10/29/2024 | Press release | Distributed by Public on 10/29/2024 14:53
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class A | $83 | 0.81% |
AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
Class A (with sales charge) | (0.90)% | (0.58)% | 1.16% |
Class A (without sales charge) | 3.81% | 0.34% | 1.63% |
Bloomberg U.S. Aggregate Bond Index | 2.63% | (0.23)% | 1.35% |
Fund net assets | $4,555,480,846% |
Total number of portfolio holdings | 1,523^^ |
Total advisory fee paid | $12,890,557 |
Portfolio turnover rate | 57% |
^^
|
Short-term investments and derivative contracts other than purchased options are not included.
|
U.S. Government and Agency Obligations | 43.8% |
Corporate Bonds | 33.8% |
Asset Backed Securities | 8.1% |
Collateralized Mortgage Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Insurance-Linked Securities | 3.3% |
Foreign Government Bonds | 0.5% |
Senior Secured Floating Rate Loan Interests | 0.2% |
*
|
As a percentage of total investments excluding short-term investments and all derivative contracts except for options purchased.
|
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class C | $148 | 1.46% |
AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
Class C (with contingent deferred sales charge) | 2.13% | (0.32)% | 0.93% |
Class C (without contingent deferred sales charge) | 3.13% | (0.32)% | 0.93% |
Bloomberg U.S. Aggregate Bond Index | 2.63% | (0.23)% | 1.35% |
Fund net assets | $4,555,480,846% |
Total number of portfolio holdings | 1,523^^ |
Total advisory fee paid | $12,890,557 |
Portfolio turnover rate | 57% |
^^
|
Short-term investments and derivative contracts other than purchased options are not included.
|
U.S. Government and Agency Obligations | 43.8% |
Corporate Bonds | 33.8% |
Asset Backed Securities | 8.1% |
Collateralized Mortgage Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Insurance-Linked Securities | 3.3% |
Foreign Government Bonds | 0.5% |
Senior Secured Floating Rate Loan Interests | 0.2% |
*
|
As a percentage of total investments excluding short-term investments and all derivative contracts except for options purchased.
|
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class K | $37 | 0.36% |
AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
Class K | 4.28% | 0.80% | 2.07% |
Bloomberg U.S. Aggregate Bond Index | 2.63% | (0.23)% | 1.35% |
Fund net assets | $4,555,480,846% |
Total number of portfolio holdings | 1,523^^ |
Total advisory fee paid | $12,890,557 |
Portfolio turnover rate | 57% |
^^
|
Short-term investments and derivative contracts other than purchased options are not included.
|
U.S. Government and Agency Obligations | 43.8% |
Corporate Bonds | 33.8% |
Asset Backed Securities | 8.1% |
Collateralized Mortgage Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Insurance-Linked Securities | 3.3% |
Foreign Government Bonds | 0.5% |
Senior Secured Floating Rate Loan Interests | 0.2% |
*
|
As a percentage of total investments excluding short-term investments and all derivative contracts except for options purchased.
|
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class R | $113 | 1.11% |
AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
Class R | 3.49% | 0.05% | 1.36% |
Bloomberg U.S. Aggregate Bond Index | 2.63% | (0.23)% | 1.35% |
Fund net assets | $4,555,480,846% |
Total number of portfolio holdings | 1,523^^ |
Total advisory fee paid | $12,890,557 |
Portfolio turnover rate | 57% |
^^
|
Short-term investments and derivative contracts other than purchased options are not included.
|
U.S. Government and Agency Obligations | 43.8% |
Corporate Bonds | 33.8% |
Asset Backed Securities | 8.1% |
Collateralized Mortgage Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Insurance-Linked Securities | 3.3% |
Foreign Government Bonds | 0.5% |
Senior Secured Floating Rate Loan Interests | 0.2% |
*
|
As a percentage of total investments excluding short-term investments and all derivative contracts except for options purchased.
|
Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class Y | $48 | 0.47% |
AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
Class Y | 4.17% | 0.69% | 1.95% |
Bloomberg U.S. Aggregate Bond Index | 2.63% | (0.23)% | 1.35% |
Fund net assets | $4,555,480,846% |
Total number of portfolio holdings | 1,523^^ |
Total advisory fee paid | $12,890,557 |
Portfolio turnover rate | 57% |
^^
|
Short-term investments and derivative contracts other than purchased options are not included.
|
U.S. Government and Agency Obligations | 43.8% |
Corporate Bonds | 33.8% |
Asset Backed Securities | 8.1% |
Collateralized Mortgage Obligations | 6.3% |
Commercial Mortgage-Backed Securities | 4.0% |
Insurance-Linked Securities | 3.3% |
Foreign Government Bonds | 0.5% |
Senior Secured Floating Rate Loan Interests | 0.2% |
*
|
As a percentage of total investments excluding short-term investments and all derivative contracts except for options purchased.
|
ITEM 2. CODE OF ETHICS.
(a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant has adopted, as of the end of the period covered by this report, a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer and controller.
(b) For purposes of this Item, the term "code of ethics" means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and
(5) Accountability for adherence to the code.
(c) The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 19(a), unless the registrant has elected to satisfy paragraph (f) of this Item by posting its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
The registrant has made no amendments to the code of ethics during the period covered by this report.
(d) If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable.
(e) If the registrant intends to satisfy the disclosure requirement under paragraph (c) or (d) of this Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller,
or persons performing similar functions and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item by posting such information on its Internet website, disclose the registrant's Internet address and such intention.
Not applicable.
(f) The registrant must:
(1) File with the Commission, pursuant to Item 19(a)(1), a copy of its code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR(see attachment);
(2) Post the text of such code of ethics on its Internet website and disclose, in its most recent report on this Form N-CSR,its Internet address and the fact that it has posted such code of ethics on its Internet website; or
(3) Undertake in its most recent report on this Form N-CSRto provide to any person without charge, upon request, a copy of such code of ethics and explain the manner in which such request may be made. See Item 19(2)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's Board of Trustees has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The registrant's Board of Trustees has determined that the registrant has at least one audit committee financial expert.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the Board of Trustees, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
Mr. Fred J. Ricciardi, an independent Trustee, is such an audit committee financial expert.
(3) If the registrant provides the disclosure required by paragraph (a)(1) (ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
The audit fees for the Fund were $75,100 billed to Deloitte & Touche LLP for the year ended June 30, 2024 and $75,130 billed to Ernst & Young LLP for the year ended June 30, 2023.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
The audit-related services fees for the Fund were $0 billed to Deloitte & Touche LLP and $3,860 billed to Ernst & Young for the year ended June 30, 2024 and $23,506 billed to Ernst & Young LLP for the year ended June 30, 2023.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
The Fund paid aggregate non-auditfees to Deloitte & Touche LLP for tax services of $25,200 and $25,159 to Ernst & Young LLP for during the fiscal years ended June 30, 2024 and 2023, respectively.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
There were no other fees in 2024 or 2023.
(e) (1) Disclose the audit committee's pre-approvalpolicies and procedures described in paragraph (c)(7) of Rule 2-01of Regulation S-X.
PIONEER FUNDS
APPROVAL OF AUDIT, AUDIT-RELATED, TAX AND OTHER SERVICES
PROVIDED BY THE INDEPENDENT AUDITOR
SECTION I - POLICY PURPOSE AND APPLICABILITY
The Pioneer Funds recognize the importance of maintaining the independence of their outside auditors. Maintaining independence is a shared responsibility involving Amundi Asset Management US, Inc., the audit committee and the independent auditors.
The Funds recognize that a Fund's independent auditors: 1) possess knowledge of the Funds, 2) are able to incorporate certain services into the scope of the audit, thereby avoiding redundant work, cost and disruption of Fund personnel and processes, and 3) have expertise that has value to the Funds. As a result, there are situations where it is desirable to use the Fund's independent auditors for services in addition to the annual audit and where the potential for conflicts of interests are minimal. Consequently,
this policy, which is intended to comply with Rule 210.2-01(C)(7),sets forth guidelines and procedures to be followed by the Funds when retaining the independent audit firm to perform audit, audit-related tax and other services under those circumstances, while also maintaining independence.
Approval of a service in accordance with this policy for a Fund shall also constitute approval for any other Fund whose pre-approvalis required pursuant to Rule 210.2-01(c)(7)(ii).
In addition to the procedures set forth in this policy, any non-auditservices that may be provided consistently with Rule 210.2-01may be approved by the Audit Committee itself and any pre-approvalthat may be waived in accordance with Rule 210.2-01(c)(7)(i)(C)is hereby waived.
Selection of a Fund's independent auditors and their compensation shall be determined by the Audit Committee and shall not be subject to this policy.
SECTION II - POLICY
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PRE-APPROVEDSERVICE |
||
I. AUDIT SERVICES | Services that are directly related to performing the independent audit of the Funds |
• Accounting research assistance • SEC consultation, registration statements, and reporting |
||
• Tax accrual related matters |
||||
• Implementation of new accounting standards |
||||
• Compliance letters (e.g. rating agency letters) |
||||
• Regulatory reviews and assistance regarding financial matters |
||||
• Semi-annual reviews (if requested) |
||||
• Comfort letters for closed end offerings |
||||
II. AUDIT-RELATEDSERVICES | Services which are not prohibited under Rule 210.2-01(C)(4)(the "Rule") and are related extensions of the audit services support the audit, or use the knowledge/expertise gained from the audit procedures as a foundation to complete the project. In most cases, if the Audit-Related Services are not performed by the Audit firm, the scope of the Audit Services would likely increase. The Services are typically well-defined and governed by accounting professional standards (AICPA, SEC, etc.) |
• AICPA attest and agreed-upon procedures • Technology control assessments • Financial reporting control assessments • Enterprise security architecture assessment |
AUDIT COMMITTEE APPROVAL POLICY |
AUDIT COMMITTEE REPORTING POLICY |
|
• "One-time"pre-approvalfor the audit period for all pre-approved specific service subcategories. Approval of the independent auditors as auditors for a Fund shall constitute pre approval for these services. |
• A summary of all such services and related fees reported at each regularly scheduled Audit Committee meeting. |
|
• "One-time"pre-approvalfor the fund fiscal year within a specified dollar limit for all pre-approved specific service subcategories |
• A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
• Specific approval is needed to exceed the pre-approveddollar limit for these services (see general Audit Committee approval policy below for details on obtaining specific approvals) |
|
• Specific approval is needed to use the Fund's auditors for Audit-Related Services not denoted as "pre-approved",or to add a specific service subcategory as "pre-approved" |
SECTION III - POLICY DETAIL
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PRE-APPROVEDSERVICE SUBCATEGORIES |
||
III. TAX SERVICES | Services which are not prohibited by the Rule, if an officer of the Fund determines that using the Fund's auditor to provide these services creates significant synergy in the form of efficiency, minimized disruption, or the ability to maintain a desired level of confidentiality. |
• Tax planning and support • Tax controversy assistance • Tax compliance, tax returns, excise tax returns and support • Tax opinions |
AUDIT COMMITTEE APPROVAL POLICY |
AUDIT COMMITTEE REPORTING POLICY |
|
• "One-time"pre-approval forthe fund fiscal year within a specified dollar limit |
• A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
|
• Specific approval is needed to exceed the pre-approveddollar limits for these services (see general Audit Committee approval policy below for details on obtaining specific approvals) |
||
• Specific approval is needed to use the Fund's auditors for tax services not denoted as pre-approved,or to add a specific service subcategory as "pre-approved" |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PRE-APPROVED SERVICE SUBCATEGORIES |
||
IV. OTHER SERVICES A. SYNERGISTIC, UNIQUE QUALIFICATIONS |
Services which are not prohibited by the Rule, if an officer of the Fund determines that using the Fund's auditor to provide these services creates significant synergy in the form of efficiency, minimized disruption, the ability to maintain a desired level of confidentiality, or where the Fund's auditors posses unique or superior qualifications to provide these services, resulting in superior value and results for the Fund. |
• Business Risk Management support • Other control and regulatory compliance projects |
AUDIT COMMITTEE APPROVAL POLICY |
AUDIT COMMITTEE REPORTING POLICY |
|
• "One-time"pre-approval forthe fund fiscal year within a specified dollar limit |
• A summary of all such services and related fees (including comparison to specified dollar limits) reported quarterly. |
|
• Specific approval is needed to exceed the pre-approveddollar limits for these services (see general Audit Committee approval policy below for details on obtaining specific approvals) |
||
• Specific approval is needed to use the Fund's auditors for "Synergistic" or "Unique Qualifications" Other Services not denoted as pre-approvedto the left, or to add a specific service subcategory as "pre-approved" |
SECTION III - POLICY DETAIL, CONTINUED
SERVICE CATEGORY |
SERVICE CATEGORY DESCRIPTION |
SPECIFIC PROHIBITED SERVICE SUBCATEGORIES |
||
PROHIBITED SERVICES | Services which result in the auditors losing independence status under the Rule. | 1. Bookkeeping or other services related to the accounting records or financial statements of the audit client* | ||
2. Financial information systems design and implementation* | ||||
3. Appraisal or valuation services, fairness* opinions, or contribution-in-kindreports | ||||
4. Actuarial services (i.e., setting actuarial reserves versus actuarial audit work)* | ||||
5. Internal audit outsourcing services* | ||||
6. Management functions or human resources | ||||
7. Broker or dealer, investment advisor, or investment banking services | ||||
8. Legal services and expert services unrelated to the audit | ||||
9. Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible |
AUDIT COMMITTEE APPROVAL POLICY |
AUDIT COMMITTEE REPORTING POLICY |
|
• These services are not to be performed with the exception of the(*) services that may be permitted if they would not be subject to audit procedures at the audit client (as defined in rule 2-01(f)(4))level the firm providing the service. |
• A summary of all services and related fees reported at each regularly scheduled Audit Committee meeting will serve as continual confirmation that has not provided any restricted services. |
GENERAL AUDIT COMMITTEE APPROVAL POLICY:
• |
For all projects, the officers of the Funds and the Fund's auditors will each make an assessment to determine that any proposed projects will not impair independence. |
• |
Potential services will be classified into the four non-restrictedservice categories and the "Approval of Audit, Audit-Related, Tax and Other Services" Policy above will be applied. Any services outside the specific pre-approvedservice subcategories set forth above must be specifically approved by the Audit Committee. |
• |
At least quarterly, the Audit Committee shall review a report summarizing the services by service category, including fees, provided by the Audit firm as set forth in the above policy. |
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01of Regulation S-X.
Non-AuditServices
Beginning with non-auditservice contracts entered into on or after May 6, 2003, the effective date of the new SEC pre-approvalrules, the Trust's audit committee is required to pre-approveservices to affiliates defined by SEC rules to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Trust. For the years ended June 30, 2024 and 2023, there were no services provided to an affiliate that required the Trust's audit committee pre-approval.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountants engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
N/A
(g) Disclose the aggregate non-auditfees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviserwhose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The Fund paid aggregate non-auditfees to Deloitte & Touche LLP for tax services of $25,200 and $25,159 to Ernst & Young LLP for during the fiscal years ended June 30, 2024 and 2023, respectively.
(h) Disclose whether the registrants audit committee of the Board of Trustees has considered whether the provision of non-auditservices that were rendered to the registrants investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approvedpursuant to paragraph (c)(7)(ii) of Rule 2-01of Regulation S-Xis compatible with maintaining the principal accountant's independence.
The Fund's audit committee of the Board of Trustees has considered whether the provision of non-auditservices that were rendered to the Affiliates (as defined) that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01of Regulation S-Xis compatible with maintaining the principal accountant's independence.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
N/A
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4,identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR,a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
(1) That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant;
N/A
(2) The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized;
N/A
(3) Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; N/A
(4) The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant;
N/A
(5) Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter.
N/A
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
(a) If the registrant is a listed issuer as defined in Rule 10A-3under the Exchange Act (17 CFR 240.10A-3),state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
N/A
(b) If applicable, provide the disclosure required by Rule 10A-3(d)under the Exchange Act (17 CFR 240.10A-3(d))regarding an exemption from the listing standards for audit committees.
N/A
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in 210.1212 of Regulation S-X[17 CFR 210.12-12],unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 7
ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-ENDMANAGEMENT INVESTMENT COMPANIES.
A: PIOBX | C: PCYBX | K: PBFKX | R: PBFRX | Y: PICYX |
Schedule of Investments | 2 |
Financial Statements | 77 |
Notes to Financial Statements | 86 |
Report of Independent Registered Public Accounting Firm | 108 |
Additional Information (unaudited) | 110 |
Principal Amount USD ($) |
Value | |||||
UNAFFILIATED ISSUERS - 110.0% | ||||||
Senior Secured Floating Rate Loan Interests - 0.2%of Net Assets*(a) |
||||||
Building & Construction Products - 0.0%† | ||||||
830,000 | MI Windows and Doors LLC, 2024 Incremental Term Loan, 8.844% (Term SOFR +350 bps), 3/28/31 | $ 836,225 | ||||
Total Building & Construction Products | $836,225 | |||||
Chemicals-Diversified - 0.0%† | ||||||
1,383,162 | LSF11 A5 Holdco LLC, 2024 Refinancing Term Loan, 8.958% (Term SOFR +350 bps), 10/15/28 | $ 1,387,658 | ||||
Total Chemicals-Diversified | $1,387,658 | |||||
Chemicals-Specialty - 0.0%† | ||||||
1,887,929 | Mativ Holdings, Inc., Term B Loan, 9.208% (Term SOFR +375 bps), 4/20/28 | $ 1,885,569 | ||||
Total Chemicals-Specialty | $1,885,569 | |||||
Cruise Lines - 0.0%† | ||||||
1,100,000 | LC Ahab US Bidco LLC, Initial Term Loan, 8.844% (Term SOFR +350 bps), 5/1/31 | $ 1,103,437 | ||||
Total Cruise Lines | $1,103,437 | |||||
Electric-Generation - 0.1% | ||||||
317,487 | Eastern Power LLC (Eastern Covert Midco LLC), Term Loan, 9.208% (Term SOFR +375 bps), 10/2/25 | $ 314,842 | ||||
1,931,499 | Generation Bridge Northeast LLC, Term Loan B, 8.844% (Term SOFR +350 bps), 8/22/29 | 1,945,985 | ||||
Total Electric-Generation | $2,260,827 | |||||
Finance-Leasing Company - 0.0%† | ||||||
605,015 | Avolon TLB Borrower 1 (US) LLC, Term B-4 Loan, 6.939% (Term SOFR +150 bps), 2/12/27 | $ 605,801 | ||||
Total Finance-Leasing Company | $605,801 | |||||
Medical-Wholesale Drug Distribution - 0.1% | ||||||
1,897,517 | Owens & Minor, Inc., Term B-1 Loan, 9.194% (Term SOFR +375 bps), 3/29/29 | $ 1,899,888 | ||||
Total Medical-Wholesale Drug Distribution | $1,899,888 | |||||
Principal Amount USD ($) |
Value | |||||
Recreational Centers - 0.0%† | ||||||
190,310 | Fitness International LLC, Term B Loan, 10.58% (Term SOFR +525 bps), 2/12/29 | $ 191,618 | ||||
Total Recreational Centers | $191,618 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $10,080,108) |
$10,171,023 | |||||
Asset Backed Securities - 8.6%of Net Assets |
||||||
500,000 | 321 Henderson Receivables III LLC, Series 2008-1A, Class B, 8.37%, 1/15/46 (144A) | $ 501,002 | ||||
200,835(a) | 321 Henderson Receivables LLC, Series 2005-1A, Class A1, 5.673% (1 Month Term SOFR +34 bps), 11/15/40 (144A) | 198,947 | ||||
1,716,773(a) | ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A, 7.536% (3 Month Term SOFR +221 bps), 1/20/32 (144A) | 1,725,008 | ||||
1,334,045 | Accelerated LLC, Series 2021-1H, Class C, 2.35%, 10/20/40 (144A) | 1,225,114 | ||||
8,540,470(a) | ACREC, Ltd., Series 2021-FL1, Class A, 6.596% (1 Month Term SOFR +126 bps), 10/16/36 (144A) | 8,511,313 | ||||
7,264,786 | Affirm Asset Securitization Trust, Series 2024-X1, Class A, 6.27%, 5/15/29 (144A) | 7,273,506 | ||||
1,700,000 | Ally Bank Auto Credit-Linked Notes Series, Series 2024-A, Class D, 6.315%, 5/17/32 (144A) | 1,701,797 | ||||
1,200,000 | Ally Bank Auto Credit-Linked Notes Series, Series 2024-A, Class E, 7.917%, 5/17/32 (144A) | 1,199,713 | ||||
3,500,000 | Amur Equipment Finance Receivables XII LLC, Series 2023-1A, Class C, 6.36%, 12/20/29 (144A) | 3,554,718 | ||||
1,110,000 | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class C, 5.55%, 1/21/31 (144A) | 1,108,489 | ||||
3,555,463 | Aqua Finance Trust, Series 2019-A, Class C, 4.01%, 7/16/40 (144A) | 3,287,006 | ||||
2,110,000 | Aqua Finance Trust, Series 2020-AA, Class C, 3.97%, 7/17/46 (144A) | 1,914,865 | ||||
6,975,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL3, Class C, 7.293% (1 Month Term SOFR +196 bps), 8/15/34 (144A) | 6,916,515 | ||||
7,740,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL1, Class C, 7.633% (SOFR30A +230 bps), 1/15/37 (144A) | 7,613,443 | ||||
10,600,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL2, Class C, 8.779% (1 Month Term SOFR +345 bps), 5/15/37 (144A) | 10,493,997 |
Principal Amount USD ($) |
Value | |||||
Asset Backed Securities - (continued) | ||||||
3,660,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-5A, Class C, 6.24%, 4/20/27 (144A) | $ 3,642,751 | ||||
2,660,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class B, 5.85%, 6/20/30 (144A) | 2,660,914 | ||||
1,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C, 6.48%, 6/20/30 (144A) | 1,006,191 | ||||
7,037,650 | Blackbird Capital II Aircraft Lease, Ltd., Series 2021-1A, Class A, 2.443%, 7/15/46 (144A) | 6,296,093 | ||||
4,980,000(a) | BSPRT Issuer, Ltd., Series 2022-FL8, Class C, 7.633% (SOFR30A +230 bps), 2/15/37 (144A) | 4,820,383 | ||||
2,750,000(a) | Carlyle US CLO, Ltd., Series 2019-4A, Class CR, 8.529% (3 Month Term SOFR +320 bps), 4/15/35 (144A) | 2,730,032 | ||||
4,835,102(b) | Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44 (144A) | 4,470,763 | ||||
3,773,000 | Cascade MH Asset Trust, Series 2021-MH1, Class M1, 2.992%, 2/25/46 (144A) | 2,836,863 | ||||
1,906,000 | Cascade MH Asset Trust, Series 2021-MH1, Class M2, 3.693%, 2/25/46 (144A) | 1,493,425 | ||||
3,745,000(b) | CFMT LLC, Series 2022-HB9, Class M3, 3.25%, 9/25/37 (144A) | 3,207,302 | ||||
5,457,596(b) | CFMT LLC, Series 2024-HB13, Class A, 3.00%, 5/25/34 (144A) | 5,227,439 | ||||
2,170,000(b) | CFMT LLC, Series 2024-HB13, Class M2, 3.00%, 5/25/34 (144A) | 1,891,122 | ||||
4,405,000 | Commercial Equipment Finance LLC, Series 2021-A, Class C, 3.55%, 12/15/28 (144A) | 4,283,333 | ||||
160,863(a) | Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 6.11% (1 Month Term SOFR +76 bps), 9/25/42 (144A) | 158,416 | ||||
12,425,000 | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A, 6.19%, 10/15/30 (144A) | 12,370,603 | ||||
2,400,000 | DataBank Issuer, Series 2021-1A, Class B, 2.65%, 2/27/51 (144A) | 2,200,591 | ||||
5,400,000 | DataBank Issuer, Series 2024-1A, Class A2, 5.30%, 1/26/54 (144A) | 5,166,081 | ||||
2,100,000 | Dell Equipment Finance Trust, Series 2024-1, Class D, 6.12%, 9/23/30 (144A) | 2,109,874 | ||||
635,022 | Drive Auto Receivables Trust, Series 2020-2, Class D, 3.05%, 5/15/28 | 634,152 | ||||
11,290,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.13%, 2/15/30 | 11,623,066 | ||||
7,480,000 | Exeter Automobile Receivables Trust, Series 2024-3A, Class D, 5.98%, 9/16/30 | 7,492,528 |
Principal Amount USD ($) |
Value | |||||
Asset Backed Securities - (continued) | ||||||
4,000,000 | ExteNet LLC, Series 2019-1A, Class C, 5.219%, 7/25/49 (144A) | $ 3,990,101 | ||||
12,575,000(b) | Finance of America HECM Buyout, Series 2022-HB1, Class M3, 5.084%, 2/25/32 (144A) | 12,158,570 | ||||
4,966,901(c) | Finance of America Structured Securities Trust, Series 2021-S2, Class A2, 1.75%, 9/25/71 (144A) | 4,589,945 | ||||
7,683,122(c) | Finance of America Structured Securities Trust, Series 2022-S1, Class A1, 2.00%, 2/25/52 (144A) | 7,307,803 | ||||
8,176,590(c) | Finance of America Structured Securities Trust, Series 2022-S1, Class A2, 3.00%, 2/25/52 (144A) | 7,642,557 | ||||
1,575,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class C, 9.936% (3 Month Term SOFR +461 bps), 1/20/33 (144A) | 1,568,265 | ||||
1,000,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class D, 13.286% (3 Month Term SOFR +796 bps), 1/20/33 (144A) | 978,157 | ||||
3,440,000 | Foundation Finance Trust, Series 2019-1A, Class B, 4.22%, 11/15/34 (144A) | 3,363,535 | ||||
1,817,233 | Foundation Finance Trust, Series 2021-1A, Class A, 1.27%, 5/15/41 (144A) | 1,652,182 | ||||
4,662,000 | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class D, 7.18%, 8/15/29 (144A) | 4,807,123 | ||||
5,210,000 | GLS Auto Receivables Issuer Trust, Series 2024-2A, Class D, 6.19%, 2/15/30 (144A) | 5,254,243 | ||||
3,000,000(a) | Goldentree Loan Management US CLO 6, Ltd., Series 2019-6A, Class DR, 8.425% (3 Month Term SOFR +310 bps), 4/20/35 (144A) | 3,007,842 | ||||
1,640,000 | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D, 7.00%, 8/22/33 (144A) | 1,640,688 | ||||
3,440,000(a) | HGI CRE CLO, Ltd., Series 2021-FL2, Class C, 7.243% (1 Month Term SOFR +191 bps), 9/17/36 (144A) | 3,322,562 | ||||
313,957 | HIN Timeshare Trust, Series 2020-A, Class D, 5.50%, 10/9/39 (144A) | 295,208 | ||||
5,800,962 | HOA Funding LLC - HOA, Series 2021-1A, Class A2, 4.723%, 8/20/51 (144A) | 4,615,256 | ||||
2,860,648 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/39 (144A) | 2,650,738 | ||||
4,225,134 | Home Partners of America Trust, Series 2019-2, Class E, 3.32%, 10/19/39 (144A) | 3,889,169 | ||||
3,090,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.97%, 7/21/31 (144A) | 3,141,298 | ||||
1,410,000 | HPEFS Equipment Trust, Series 2024-1A, Class D, 5.82%, 11/20/31 (144A) | 1,409,915 | ||||
2,800,000 | HPEFS Equipment Trust, Series 2024-2A, Class D, 5.82%, 4/20/32 (144A) | 2,801,107 |
Principal Amount USD ($) |
Value | |||||
Asset Backed Securities - (continued) | ||||||
1,850,000(a) | Huntington Bank Auto Credit-Linked Notes Series, Series 2024-1, Class C, 8.483% (SOFR30A +315 bps), 5/20/32 (144A) | $ 1,849,975 | ||||
2,939,471 | J.G. Wentworth XLI LLC, Series 2018-1A, Class A, 3.74%, 10/17/72 (144A) | 2,581,909 | ||||
4,569,453 | JG Wentworth XLIII LLC, Series 2019-1A, Class A, 3.82%, 8/17/71 (144A) | 4,070,375 | ||||
91,899 | JG Wentworth XXII LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (144A) | 91,793 | ||||
1,950,000 | JPMorgan Chase Bank NA - CACLN, Series 2021-3, Class F, 3.694%, 2/26/29 (144A) | 1,906,976 | ||||
1,218,098 | Libra Solutions LLC, Series 2022-2A, Class B, 8.85%, 10/15/34 (144A) | 1,218,098 | ||||
7,560,000 | Merchants Fleet Funding LLC, Series 2024-1A, Class C, 6.18%, 4/20/37 (144A) | 7,569,979 | ||||
3,770,000 | Merchants Fleet Funding LLC, Series 2024-1A, Class D, 6.85%, 4/20/37 (144A) | 3,775,316 | ||||
1,513,403 | Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 9/20/40 (144A) | 1,322,205 | ||||
1 | Mosaic Solar Loan Trust, Series 2019-2A, Class C, 4.35%, 9/20/40 (144A) | 1 | ||||
652,806 | Mosaic Solar Loan Trust, Series 2020-1A, Class A, 2.10%, 4/20/46 (144A) | 563,359 | ||||
249,019 | MVW LLC, Series 2020-1A, Class C, 4.21%, 10/20/37 (144A) | 239,637 | ||||
5,095,000 | Nelnet Student Loan Trust, Series 2021-A, Class B1, 2.85%, 4/20/62 (144A) | 4,234,701 | ||||
2,850,000(a) | Newark BSL CLO 1, Ltd., Series 2016-1A, Class CR, 8.586% (3 Month Term SOFR +326 bps), 12/21/29 (144A) | 2,835,761 | ||||
2,228,114 | NMEF Funding LLC, Series 2021-A, Class C, 2.58%, 12/15/27 (144A) | 2,208,531 | ||||
2,690,000 | NMEF Funding LLC, Series 2022-B, Class C, 8.54%, 6/15/29 (144A) | 2,664,934 | ||||
1,260,575 | Oportun Funding XIV LLC, Series 2021-A, Class C, 3.44%, 3/8/28 (144A) | 1,220,996 | ||||
3,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2022-1A, Class C, 7.929% (3 Month Term SOFR +260 bps), 4/15/30 (144A) | 2,981,574 | ||||
8,500,000(a) | Race Point VIII CLO, Ltd., Series 2013-8A, Class CR2, 7.637% (3 Month Term SOFR +231 bps), 2/20/30 (144A) | 8,492,511 | ||||
4,000,000(a) | Race Point VIII CLO, Ltd., Series 2013-8A, Class DR2, 9.087% (3 Month Term SOFR +376 bps), 2/20/30 (144A) | 3,994,940 |
Principal Amount USD ($) |
Value | |||||
Asset Backed Securities - (continued) | ||||||
7,408,096(a) | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A, 8.57% (PRIME +7 bps), 4/25/48 (144A) | $ 7,473,991 | ||||
9,010,000 | Republic Finance Issuance Trust, Series 2021-A, Class A, 2.30%, 12/22/31 (144A) | 8,697,894 | ||||
2,300,000 | Republic Finance Issuance Trust, Series 2021-A, Class C, 3.53%, 12/22/31 (144A) | 2,122,997 | ||||
3,000,000(b) | RMF Buyout Issuance Trust, Series 2021-HB1, Class M3, 3.69%, 11/25/31 (144A) | 2,641,267 | ||||
11,663,255(b) | Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class A2, 3.50%, 10/25/51 (144A) | 10,719,260 | ||||
4,125,000(b) | Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class A3, 4.50%, 2/25/52 (144A) | 3,906,385 | ||||
4,000,000 | Santander Bank Auto Credit-Linked Notes Series, Series 2024-A, Class E, 7.762%, 6/15/32 (144A) | 3,998,848 | ||||
121,605 | Santander Bank N.A. - SBCLN, Series 2021-1A, Class C, 3.268%, 12/15/31 (144A) | 120,905 | ||||
1,925,000 | Santander Bank N.A. - SBCLN, Series 2021-1A, Class D, 5.004%, 12/15/31 (144A) | 1,913,011 | ||||
510,742 | Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.833%, 12/15/31 (144A) | 506,460 | ||||
5,080,000 | Santander Drive Auto Receivables Trust, Series 2024-2, Class D, 6.28%, 8/15/31 | 5,152,832 | ||||
6,975,000(c) | SBA Tower Trust, Series 2014-2A, Class C, 3.869%, 10/15/49 (144A) | 6,929,891 | ||||
813,963 | SCF Equipment Leasing LLC, Series 2019-2A, Class C, 3.11%, 6/21/27 (144A) | 812,400 | ||||
2,760,000 | SCF Equipment Leasing LLC, Series 2024-1A, Class D, 6.58%, 6/21/33 (144A) | 2,774,272 | ||||
2,750,000(a) | Sound Point CLO XXVIII, Ltd., Series 2020-3A, Class D, 9.235% (3 Month Term SOFR +391 bps), 1/25/32 (144A) | 2,685,331 | ||||
3,388,442 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37 (144A) | 3,097,148 | ||||
10,345,000(a) | STWD, Ltd., Series 2022-FL3, Class B, 7.283% (SOFR30A +195 bps), 11/15/38 (144A) | 9,936,089 | ||||
250,000 | Switch ABS Issuer LLC, Series 2024-1A, Class A2, 6.28%, 3/25/54 (144A) | 250,944 | ||||
3,330,000 | Tricolor Auto Securitization Trust, Series 2024-2A, Class C, 6.93%, 4/17/28 (144A) | 3,345,393 | ||||
5,650,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.73%, 11/17/39 (144A) | 5,029,281 | ||||
15,174 | United States Small Business Administration, Series 2005-20B, Class 1, 4.625%, 2/1/25 | 15,066 |
Principal Amount USD ($) |
Value | |||||
Asset Backed Securities - (continued) | ||||||
12,036 | United States Small Business Administration, Series 2005-20E, Class 1, 4.84%, 5/1/25 | $ 11,898 | ||||
45,846 | United States Small Business Administration, Series 2008-20D, Class 1, 5.37%, 4/1/28 | 45,398 | ||||
46,852 | United States Small Business Administration, Series 2008-20H, Class 1, 6.02%, 8/1/28 | 46,895 | ||||
30,011 | United States Small Business Administration, Series 2008-20J, Class 1, 5.63%, 10/1/28 | 29,447 | ||||
29,010 | United States Small Business Administration, Series 2008-20L, Class 1, 6.22%, 12/1/28 | 28,924 | ||||
14,333 | United States Small Business Administration, Series 2009-20A, Class 1, 5.72%, 1/1/29 | 14,056 | ||||
32,278 | United States Small Business Administration, Series 2009-20I, Class 1, 4.20%, 9/1/29 | 31,317 | ||||
65,278 | Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30 (144A) | 65,191 | ||||
3,145,000 | VFI ABS LLC, Series 2023-1A, Class C, 9.26%, 12/24/29 (144A) | 3,174,763 | ||||
12,059,819(c) | Vista Point Securitization Trust, Series 2024-CES1, Class A1, 6.676%, 5/25/54 (144A) | 12,168,599 | ||||
462,102 | Welk Resorts LLC, Series 2019-AA, Class C, 3.34%, 6/15/38 (144A) | 437,693 | ||||
221,699 | Welk Resorts LLC, Series 2019-AA, Class D, 4.03%, 6/15/38 (144A) | 211,574 | ||||
5,113,166 | Westgate Resorts LLC, Series 2022-1A, Class C, 2.488%, 8/20/36 (144A) | 4,901,411 | ||||
8,730,000 | Westlake Automobile Receivables Trust, Series 2024-2A, Class D, 5.91%, 4/15/30 (144A) | 8,711,072 | ||||
1,800,000(a) | Whitebox CLO II, Ltd., Series 2020-2A, Class ER, 12.685% (3 Month Term SOFR +736 bps), 10/24/34 (144A) | 1,829,135 | ||||
1,306,891(a) | Woodmont Trust, Series 2020-7A, Class A1A, 7.49% (3 Month Term SOFR +216 bps), 1/15/32 (144A) | 1,308,455 | ||||
Total Asset Backed Securities (Cost $404,057,061) |
$392,602,683 | |||||
Collateralized Mortgage Obligations-6.7%of Net Assets |
||||||
12,559,000(b) | BINOM Securitization Trust, Series 2022-RPL1, Class M2, 3.00%, 2/25/61 (144A) | $ 9,355,956 | ||||
3,315,494(b) | Brean Asset Backed Securities Trust, Series 2021-RM1, Class A, 1.40%, 10/25/63 (144A) | 2,903,263 | ||||
2,985,000(b) | Bunker Hill Loan Depositary Trust, Series 2020-1, Class A3, 3.253%, 2/25/55 (144A) | 2,637,212 | ||||
960,870(b) | Cascade Funding Mortgage Trust, Series 2018-RM2, Class A, 4.00%, 10/25/68 (144A) | 951,751 |
Principal Amount USD ($) |
Value | |||||
Collateralized Mortgage Obligations-(continued) |
||||||
3,434,375(b) | Cascade Funding Mortgage Trust, Series 2018-RM2, Class C, 4.00%, 10/25/68 (144A) | $ 3,095,207 | ||||
2,480,000(b) | CFMT LLC, Series 2024-HB14, Class M1, 3.00%, 6/25/34 (144A) | 2,249,089 | ||||
1,840,000(b) | CFMT LLC, Series 2024-HB14, Class M2, 3.00%, 6/25/34 (144A) | 1,621,041 | ||||
5,170,000(b) | CIM Trust, Series 2020-R2, Class M3, 3.00%, 10/25/59 (144A) | 3,873,101 | ||||
5,476,693(b) | CIM Trust, Series 2021-J1, Class B1, 2.661%, 3/25/51 (144A) | 4,339,389 | ||||
3,051,567(b) | Citigroup Mortgage Loan Trust, Series 2021-INV1, Class B1W, 2.708%, 5/25/51 (144A) | 2,399,548 | ||||
2,035,000(a) | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2, 8.335% (SOFR30A +300 bps), 1/25/42 (144A) | 2,088,910 | ||||
3,230,000(a) | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2, 7.285% (SOFR30A +195 bps), 3/25/44 (144A) | 3,245,448 | ||||
2,490,163(b) | CSMC Trust, Series 2021-RPL2, Class M1, 2.75%, 1/25/60 (144A) | 1,836,473 | ||||
2,350,000(b) | CSMC Trust, Series 2021-RPL2, Class M2, 3.25%, 1/25/60 (144A) | 1,697,812 | ||||
6,810,000(a) | Eagle Re, Ltd., Series 2023-1, Class M1B, 9.285% (SOFR30A +395 bps), 9/26/33 (144A) | 7,068,956 | ||||
4,369,228(a)(d) | Federal Home Loan Mortgage Corp. REMICs, Series 4091, Class SH, 1.102% (SOFR30A +644 bps), 8/15/42 | 519,185 | ||||
2,537,326(d) | Federal Home Loan Mortgage Corp. REMICs, Series 4999, Class QI, 4.00%, 5/25/50 | 519,238 | ||||
2,624,110(d) | Federal Home Loan Mortgage Corp. REMICs, Series 5067, Class GI, 4.00%, 12/25/50 | 546,460 | ||||
133,467(b) | Federal National Mortgage Association Grantor Trust, Series 2004-T2, Class 2A, 4.71%, 7/25/43 | 132,881 | ||||
9,425 | Federal National Mortgage Association REMICs, Series 2009-36, Class HX, 4.50%, 6/25/29 | 9,345 | ||||
2,053,444(d) | Federal National Mortgage Association REMICs, Series 2020-83, Class EI, 4.00%, 11/25/50 | 421,435 | ||||
160,711,454(b)(d) | Flagstar Mortgage Trust, Series 2021-4, Class AX1, 0.203%, 6/1/51 (144A) | 1,786,967 | ||||
225,473 | Government National Mortgage Association, Series 2013-169, Class TE, 3.25%, 4/16/27 | 218,465 | ||||
12,534,600(d) | Government National Mortgage Association, Series 2019-159, Class CI, 3.50%, 12/20/49 | 2,120,689 |
Principal Amount USD ($) |
Value | |||||
Collateralized Mortgage Obligations-(continued) |
||||||
10,870,293(a)(d) | Government National Mortgage Association, Series 2020-9, Class SA, 8.577% (1 Month Term SOFR +324 bps), 1/20/50 | $ 164,463 | ||||
6,071,000(b) | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class B1, 2.75%, 12/25/60 (144A) | 4,759,204 | ||||
4,820,000(b) | GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ4, Class A33, 3.00%, 9/25/52 (144A) | 3,337,514 | ||||
2,860,624(b) | GS Mortgage-Backed Securities Trust, Series 2021-PJ9, Class B3, 2.928%, 2/26/52 (144A) | 2,222,313 | ||||
1,782,124(a) | Home Re, Ltd., Series 2019-1, Class M1, 7.10% (SOFR30A +176 bps), 5/25/29 (144A) | 1,782,960 | ||||
1,590,000(a) | Home Re, Ltd., Series 2023-1, Class M1B, 9.935% (SOFR30A +460 bps), 10/25/33 (144A) | 1,664,640 | ||||
3,990,000(b) | Homeward Opportunities Fund I Trust, Series 2020-2, Class A3, 3.196%, 5/25/65 (144A) | 3,798,296 | ||||
2,185,000(b) | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1, 3.897%, 5/25/65 (144A) | 2,031,145 | ||||
55,689,458(b)(d) | Hundred Acre Wood Trust, Series 2021-INV1, Class AX1, 0.226%, 7/25/51 (144A) | 693,128 | ||||
4,419,522(b) | Hundred Acre Wood Trust, Series 2021-INV1, Class B1, 3.226%, 7/25/51 (144A) | 3,685,556 | ||||
11,170,933(b) | Hundred Acre Wood Trust, Series 2021-INV3, Class A3, 2.50%, 12/25/51 (144A) | 8,835,594 | ||||
1,800,000(b) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class B1, 3.295%, 9/25/56 (144A) | 1,246,246 | ||||
2,065,000(b) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class M1, 2.489%, 9/25/56 (144A) | 1,382,912 | ||||
10,431,621 | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.40%, 8/18/43 (144A) | 9,701,408 | ||||
105,195,542(b)(d) | JP Morgan Mortgage Trust, Series 2021-10, Class AX1, 0.118%, 12/25/51 (144A) | 653,738 | ||||
5,559,109(b) | JP Morgan Mortgage Trust, Series 2021-10, Class B1, 2.805%, 12/25/51 (144A) | 4,343,746 | ||||
4,017,718(b) | JP Morgan Mortgage Trust, Series 2021-12, Class B1, 3.162%, 2/25/52 (144A) | 3,257,626 | ||||
3,830,569(b) | JP Morgan Mortgage Trust, Series 2021-13, Class B1, 3.14%, 4/25/52 (144A) | 3,091,161 | ||||
4,763,129(b) | JP Morgan Mortgage Trust, Series 2021-7, Class B2, 2.798%, 11/25/51 (144A) | 3,685,286 | ||||
91,058,761(b)(d) | JP Morgan Mortgage Trust, Series 2021-8, Class AX1, 0.119%, 12/25/51 (144A) | 573,351 | ||||
2,591,965(b) | JP Morgan Mortgage Trust, Series 2021-INV1, Class B1, 2.978%, 10/25/51 (144A) | 2,074,307 |
Principal Amount USD ($) |
Value | |||||
Collateralized Mortgage Obligations-(continued) |
||||||
4,739,019(b) | JP Morgan Mortgage Trust, Series 2021-INV4, Class B3, 3.215%, 1/25/52 (144A) | $ 3,733,181 | ||||
6,420,000(b) | JP Morgan Mortgage Trust, Series 2022-4, Class A5, 3.00%, 10/25/52 (144A) | 4,433,442 | ||||
7,114,000(b) | JP Morgan Mortgage Trust, Series 2022-LTV1, Class M1, 3.52%, 7/25/52 (144A) | 4,550,149 | ||||
1,056,460 | La Hipotecaria El Salvadorian Mortgage Trust, Series 2016-1A, Class A, 3.358%, 1/15/46 (144A) | 945,531 | ||||
260,540(a) | La Hipotecaria Panamanian Mortgage Trust, Series 2010-1GA, Class A, 3.00% (Panamanian Mortgage Reference Rate - 300 bps), 9/8/39 (144A) | 250,119 | ||||
1,543,349(a) | La Hipotecaria Panamanian Mortgage Trust, Series 2014-1A, Class A1, 3.508% (Panamanian Mortgage Reference Rate - 224 bps), 11/24/42 (144A) | 1,435,315 | ||||
6,755,742 | La Hipotecaria Panamanian Mortgage Trust, Series 2021-1, Class GA, 4.35%, 7/13/52 (144A) | 5,958,017 | ||||
9,761,409(b) | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A15, 2.50%, 8/25/51 (144A) | 7,639,718 | ||||
4,488,336(b) | Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B1, 2.669%, 6/25/51 (144A) | 3,510,060 | ||||
4,686,364(b) | Mello Mortgage Capital Acceptance, Series 2022-INV1, Class B1, 3.319%, 3/25/52 (144A) | 3,791,292 | ||||
98,762(b) | MFA Trust, Series 2020-NQM1, Class A3, 2.30%, 8/25/49 (144A) | 90,287 | ||||
3,149,400(b) | Mill City Mortgage Loan Trust, Series 2017-3, Class B2, 3.25%, 1/25/61 (144A) | 2,577,355 | ||||
7,800,000(b) | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M3, 3.25%, 7/25/59 (144A) | 6,480,726 | ||||
10,950,000(b) | New Residential Mortgage Loan Trust, Series 2019-RPL2, Class M2, 3.75%, 2/25/59 (144A) | 9,455,205 | ||||
4,175,000 | NYMT Loan Trust, Series 2022-CP1, Class M1, 3.215%, 7/25/61 (144A) | 3,450,729 | ||||
1,151,125(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M2, 10.70% (SOFR30A +536 bps), 10/25/30 (144A) | 1,167,975 | ||||
2,713,195(b) | Oceanview Mortgage Trust, Series 2021-5, Class B2, 2.973%, 10/25/51 (144A) | 2,188,136 | ||||
6,393,345(b) | PRMI Securitization Trust, Series 2021-1, Class B1, 2.478%, 4/25/51 (144A) | 4,910,516 | ||||
2,620,629(b) | PRMI Securitization Trust, Series 2021-1, Class B2, 2.478%, 4/25/51 (144A) | 1,998,875 | ||||
3,275,726(b) | Provident Funding Mortgage Trust, Series 2021-1, Class B1, 2.384%, 4/25/51 (144A) | 2,559,323 |
Principal Amount USD ($) |
Value | |||||
Collateralized Mortgage Obligations-(continued) |
||||||
3,298,806(b) | Provident Funding Mortgage Trust, Series 2021-2, Class B1, 2.351%, 4/25/51 (144A) | $ 2,527,114 | ||||
2,748,206(b) | Provident Funding Mortgage Trust, Series 2021-J1, Class B1, 2.637%, 10/25/51 (144A) | 2,209,381 | ||||
2,832,540(b) | Provident Funding Mortgage Trust, Series 2021-J1, Class B2, 2.637%, 10/25/51 (144A) | 2,262,874 | ||||
3,130,000(a) | Radnor Re, Ltd., Series 2023-1, Class M1A, 8.035% (SOFR30A +270 bps), 7/25/33 (144A) | 3,171,502 | ||||
2,636,139(b) | Rate Mortgage Trust, Series 2021-HB1, Class B1, 2.703%, 12/25/51 (144A) | 2,045,434 | ||||
3,880,984(b) | Rate Mortgage Trust, Series 2021-J3, Class B2, 2.713%, 10/25/51 (144A) | 3,062,333 | ||||
3,855,145(b) | Rate Mortgage Trust, Series 2021-J4, Class B3, 2.63%, 11/25/51 (144A) | 2,887,516 | ||||
5,150,498(b) | RCKT Mortgage Trust, Series 2021-2, Class B1A, 2.563%, 6/25/51 (144A) | 4,049,474 | ||||
3,154,783(b) | RCKT Mortgage Trust, Series 2021-3, Class A25, 2.50%, 7/25/51 (144A) | 2,473,176 | ||||
10,247,972(b) | RCKT Mortgage Trust, Series 2021-4, Class B1A, 3.007%, 9/25/51 (144A) | 8,222,517 | ||||
12,685,000(b) | RCKT Mortgage Trust, Series 2022-3, Class A17, 3.00%, 5/25/52 (144A) | 8,706,545 | ||||
4,185,295(b) | RMF Proprietary Issuance Trust, Series 2021-2, Class A, 2.125%, 9/25/61 (144A) | 3,604,159 | ||||
10,931,281(b) | Saluda Grade Alternative Mortgage Trust, Series 2024-CES1, Class A1, 6.306%, 3/25/54 (144A) | 10,918,424 | ||||
309,043(b) | Sequoia Mortgage Trust, Series 2012-6, Class B3, 3.705%, 12/25/42 | 293,963 | ||||
58,389(b) | Sequoia Mortgage Trust, Series 2018-CH3, Class A1, 4.50%, 8/25/48 (144A) | 56,855 | ||||
4,725,000(b) | Sequoia Mortgage Trust, Series 2022-1, Class A7, 2.50%, 2/25/52 (144A) | 3,014,988 | ||||
10,000,000(b) | Towd Point Mortgage Trust, Series 2019-3, Class M2D, 3.25%, 2/25/59 (144A) | 7,820,142 | ||||
4,610,000(a) | Towd Point Mortgage Trust, Series 2019-HY1, Class B2, 7.61% (1 Month Term SOFR +226 bps), 10/25/48 (144A) | 4,597,254 | ||||
2,000,000(a) | Towd Point Mortgage Trust, Series 2019-HY2, Class B1, 7.71% (1 Month Term SOFR +236 bps), 5/25/58 (144A) | 2,072,171 | ||||
11,193,940(b) | Towd Point Mortgage Trust, Series 2021-R1, Class A1, 2.918%, 11/30/60 (144A) | 9,234,306 | ||||
11,155,614(b) | Towd Point Mortgage Trust, Series 2024-CES2, Class A1A, 6.125%, 2/25/64 (144A) | 11,140,867 |
Principal Amount USD ($) |
Value | |||||
Collateralized Mortgage Obligations-(continued) |
||||||
8,190,000(a) | Triangle Re, Ltd., Series 2023-1, Class M1A, 8.735% (SOFR30A +340 bps), 11/25/33 (144A) | $ 8,360,216 | ||||
4,861,404(b) | UWM Mortgage Trust, Series 2021-INV5, Class B1, 3.233%, 1/25/52 (144A) | 3,926,470 | ||||
2,810,000(b) | Wells Fargo Mortgage Backed Securities Trust, Series 2022-2, Class A5, 3.00%, 12/25/51 (144A) | 1,939,935 | ||||
11,105,000(b) | Wells Fargo Mortgage Backed Securities Trust, Series 2022-2, Class A6, 2.50%, 12/25/51 (144A) | 7,051,495 | ||||
Total Collateralized Mortgage Obligations (Cost $362,119,377) |
$305,397,477 | |||||
Commercial Mortgage-Backed Securities-4.3%of Net Assets |
||||||
4,360,000(a) | AREIT Trust, Series 2022-CRE6, Class D, 8.183% (SOFR30A +285 bps), 1/20/37 (144A) | $ 4,235,015 | ||||
1,941,526(c)(d)+ | Bayview Commercial Asset Trust, Series 2007-2A, Class IO, 0.000%, 7/25/37 (144A) | - | ||||
7,340,000 | Benchmark Mortgage Trust, Series 2018-B8, Class A4, 3.963%, 1/15/52 | 6,973,119 | ||||
2,615,000(b) | Benchmark Mortgage Trust, Series 2020-IG3, Class B, 3.387%, 9/15/48 (144A) | 1,486,111 | ||||
3,030,000(b) | Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.958%, 4/15/55 | 2,620,729 | ||||
1,303,096(a) | BSREP Commercial Mortgage Trust, Series 2021-DC, Class B, 6.793% (1 Month Term SOFR +146 bps), 8/15/38 (144A) | 1,176,159 | ||||
7,615,000(b) | BX Commercial Mortgage Trust, Series 2021-VIV5, Class A, 2.843%, 3/9/44 (144A) | 6,518,997 | ||||
17,400,000 | BX Trust, Series 2019-OC11, Class A, 3.202%, 12/9/41 (144A) | 15,471,805 | ||||
13,115,000(a) | BX Trust, Series 2021-ARIA, Class D, 7.339% (1 Month Term SOFR +201 bps), 10/15/36 (144A) | 12,869,242 | ||||
4,869,730 | Citigroup Commercial Mortgage Trust, Series 2018-C5, Class A3, 3.963%, 6/10/51 | 4,623,021 | ||||
4,380,569(b)(d) | COMM Mortgage Trust, Series 2014-CR18, Class XA, 0.93%, 7/15/47 | 177 | ||||
11,065,000(a) | COMM Mortgage Trust, Series 2024-WCL1, Class A, 7.141% (1 Month Term SOFR +184 bps), 6/15/41 (144A) | 11,011,934 | ||||
543,435(a) | Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Series 2021-MN1, Class M1, 7.335% (SOFR30A +200 bps), 1/25/51 (144A) | 540,076 |
Principal Amount USD ($) |
Value | |||||
Commercial Mortgage-Backed Securities-(continued) |
||||||
6,790,000(a) | Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Series 2021-MN3, Class M2, 9.335% (SOFR30A +400 bps), 11/25/51 (144A) | $ 6,868,389 | ||||
2,500,000(b) | FREMF Mortgage Trust, Series 2017-KW03, Class B, 4.212%, 7/25/27 (144A) | 2,312,248 | ||||
3,244,609(a) | FREMF Mortgage Trust, Series 2018-KSW4, Class B, 7.889% (SOFR30A +256 bps), 10/25/28 | 3,074,067 | ||||
1,745,000(a) | FREMF Mortgage Trust, Series 2018-KSW4, Class C, 10.439% (SOFR30A +511 bps), 10/25/28 | 1,573,119 | ||||
4,590,000(b) | FREMF Mortgage Trust, Series 2019-K88, Class C, 4.529%, 2/25/52 (144A) | 4,307,324 | ||||
4,106,918(a) | FREMF Mortgage Trust, Series 2019-KF64, Class B, 7.739% (SOFR30A +241 bps), 6/25/26 (144A) | 3,979,335 | ||||
3,364,630(a) | FREMF Mortgage Trust, Series 2019-KF66, Class B, 7.839% (SOFR30A +251 bps), 7/25/29 (144A) | 3,130,802 | ||||
2,528,910(b) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60%, 10/25/27 (144A) | 2,333,296 | ||||
5,000,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 12.339% (SOFR30A +701 bps), 8/25/29 | 4,793,252 | ||||
9,000,000(e) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000%, 1/25/31 (144A) | 4,928,965 | ||||
110,964,059(d) | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10%, 1/25/31 (144A) | 527,867 | ||||
9,000,000(d) | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10%, 1/25/31 (144A) | 40,540 | ||||
2,648,935(b) | FRESB Mortgage Trust, Series 2018-SB52, Class A7F, 3.39%, 6/25/25 | 2,587,312 | ||||
15,879,869(b)(d) | Government National Mortgage Association, Series 2017-21, Class IO, 0.632%, 10/16/58 | 570,472 | ||||
4,885,000(a) | GS Mortgage Securities Corportation Trust, Series 2021-IP, Class D, 7.543% (1 Month Term SOFR +221 bps), 10/15/36 (144A) | 4,686,547 | ||||
7,025,000(a) | HILT Commercial Mortgage Trust, Series 2024-ORL, Class A, 6.87% (1 Month Term SOFR +154 bps), 5/15/37 (144A) | 7,007,438 | ||||
2,915,000(b) | HTL Commercial Mortgage Trust, Series 2024-T53, Class B, 6.774%, 5/10/39 (144A) | 2,916,989 | ||||
8,216,000 | ILPT Trust, Series 2019-SURF, Class A, 4.145%, 2/11/41 (144A) | 7,686,110 | ||||
6,150,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX, 4.248%, 7/5/33 (144A) | 5,689,922 | ||||
7,010,000 | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.211%, 6/15/51 | 6,605,864 |
Principal Amount USD ($) |
Value | |||||
Commercial Mortgage-Backed Securities-(continued) |
||||||
45,714,000(b)(d) | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class XB, 0.20%, 6/15/51 | $ 216,268 | ||||
6,560,000 | Key Commercial Mortgage Securities Trust, Series 2019-S2, Class A3, 3.469%, 6/15/52 (144A) | 6,004,682 | ||||
2,677,152(a) | Med Trust, Series 2021-MDLN, Class A, 6.393% (1 Month Term SOFR +106 bps), 11/15/38 (144A) | 2,671,298 | ||||
2,250,000(a) | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class D, 7.943% (1 Month Term SOFR +261 bps), 7/15/36 (144A) | 2,208,940 | ||||
2,628,500(b) | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class C, 4.258%, 3/15/48 | 2,253,772 | ||||
6,330,000(b) | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.419%, 7/11/40 (144A) | 5,546,052 | ||||
4,750,000(a) | ORL Trust, Series 2023-GLKS, Class A, 7.679% (1 Month Term SOFR +235 bps), 10/19/36 (144A) | 4,758,898 | ||||
2,000,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713%, 4/13/33 (144A) | 1,240,000 | ||||
6,380,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class D, 8.41% (1 Month Term SOFR +306 bps), 11/25/36 (144A) | 6,226,074 | ||||
230,393 | ReadyCap Commercial Mortgage Trust, Series 2019-6, Class A, 2.833%, 10/25/52 (144A) | 224,541 | ||||
2,375,000(b) | Soho Trust, Series 2021-SOHO, Class A, 2.786%, 8/10/38 (144A) | 1,660,441 | ||||
9,760,000(a) | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class B, 8.261% (1 Month Term SOFR +293 bps), 5/15/37 (144A) | 9,814,900 | ||||
6,300,000(b) | THPT Mortgage Trust, Series 2023-THL, Class A, 7.227%, 12/10/34 (144A) | 6,389,190 | ||||
27,861,047(b)(d) | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class XA, 1.017%, 9/15/57 | 216,951 | ||||
23,972,105(b)(d) | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class XA, 1.748%, 10/15/49 | 655,510 | ||||
2,795,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class A4, 3.311%, 6/15/52 | 2,514,494 | ||||
Total Commercial Mortgage-Backed Securities (Cost $214,358,170) |
$195,748,254 | |||||
Corporate Bonds - 35.9%of Net Assets | ||||||
Aerospace & Defense - 0.6% | ||||||
13,240,000 | Boeing Co., 3.90%, 5/1/49 | $ 8,855,449 | ||||
5,437,000 | Boeing Co., 5.15%, 5/1/30 | 5,221,075 | ||||
7,995,000 | Boeing Co., 5.805%, 5/1/50 | 7,205,094 |
Principal Amount USD ($) |
Value | |||||
Aerospace & Defense - (continued) | ||||||
3,690,000 | Boeing Co., 6.858%, 5/1/54 (144A) | $ 3,786,574 | ||||
2,695,000 | Boeing Co., 7.008%, 5/1/64 (144A) | 2,759,330 | ||||
Total Aerospace & Defense | $27,827,522 | |||||
Agriculture - 0.5% | ||||||
5,690,000 | BAT Capital Corp., 6.00%, 2/20/34 | $ 5,756,253 | ||||
15,890,000(f) | Imperial Brands Finance Plc, 5.50%, 2/1/30 (144A) | 15,741,784 | ||||
Total Agriculture | $21,498,037 | |||||
Airlines - 0.5% | ||||||
4,562,558 | Air Canada 2017-1 Class AA Pass Through Trust, 3.30%, 1/15/30 (144A) | $ 4,168,001 | ||||
1,141,800 | American Airlines 2021-1 Class B Pass Through Trust, 3.95%, 7/11/30 | 1,054,481 | ||||
11,750,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28 (144A) | 11,443,417 | ||||
3,775,732 | JetBlue 2019-1 Class AA Pass Through Trust, 2.75%, 5/15/32 | 3,256,854 | ||||
1,377,725 | JetBlue 2020-1 Class A Pass Through Trust, 4.00%, 11/15/32 | 1,288,831 | ||||
1,386,000 | United Airlines 2020-1 Class B Pass Through Trust, 4.875%, 1/15/26 | 1,365,550 | ||||
Total Airlines | $22,577,134 | |||||
Auto Manufacturers - 1.6% | ||||||
2,630,000 | Cummins, Inc., 5.15%, 2/20/34 | $ 2,632,810 | ||||
4,600,000 | Cummins, Inc., 5.45%, 2/20/54 | 4,511,912 | ||||
3,640,000 | Ford Motor Co., 6.10%, 8/19/32 | 3,634,803 | ||||
6,150,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/31 | 5,300,944 | ||||
3,140,000 | Ford Motor Credit Co. LLC, 7.35%, 3/6/30 | 3,323,045 | ||||
6,464,000 | General Motors Co., 6.60%, 4/1/36 | 6,763,865 | ||||
1,605,000 | General Motors Financial Co., Inc., 3.10%, 1/12/32 | 1,348,942 | ||||
2,770,000 | General Motors Financial Co., Inc., 5.75%, 2/8/31 | 2,777,391 | ||||
12,850,000 | General Motors Financial Co., Inc., 6.10%, 1/7/34 | 12,988,977 | ||||
7,475,000 | General Motors Financial Co., Inc., 6.40%, 1/9/33 | 7,757,945 | ||||
8,805,000 | Hyundai Capital America, 5.80%, 4/1/30 (144A) | 8,963,386 | ||||
4,380,000 | Hyundai Capital America, 6.20%, 9/21/30 (144A) | 4,550,788 | ||||
9,820,000 | Mercedes-Benz Finance North America LLC, 4.85%, 1/11/29 (144A) | 9,759,239 | ||||
Total Auto Manufacturers | $74,314,047 | |||||
Principal Amount USD ($) |
Value | |||||
Auto Parts & Equipment - 0.1% | ||||||
2,640,000 | ZF North America Capital, Inc., 6.875%, 4/14/28 (144A) | $ 2,692,467 | ||||
Total Auto Parts & Equipment | $2,692,467 | |||||
Banks - 12.4% | ||||||
20,600,000(b) | ABN AMRO Bank NV, 3.324% (5 Year CMT Index +190 bps), 3/13/37 (144A) | $ 16,880,941 | ||||
9,070,000(b) | Australia & New Zealand Banking Group, Ltd., 5.731% (5 Year CMT Index +162 bps), 9/18/34 (144A) | 9,010,851 | ||||
7,400,000 | Banco Bilbao Vizcaya Argentaria S.A., 5.381%, 3/13/29 | 7,424,459 | ||||
2,800,000 | Banco Santander S.A., 2.749%, 12/3/30 | 2,329,840 | ||||
17,000,000(b) | Banco Santander S.A., 3.225% (1 Year CMT Index +160 bps), 11/22/32 | 14,165,536 | ||||
3,200,000 | Banco Santander S.A., 6.921%, 8/8/33 | 3,340,734 | ||||
6,600,000 | Banco Santander S.A., 6.938%, 11/7/33 | 7,208,897 | ||||
11,055,000(b) | Bank of America Corp., 2.572% (SOFR +121 bps), 10/20/32 | 9,162,977 | ||||
18,900,000(b) | Bank of America Corp., 2.884% (3 Month Term SOFR +145 bps), 10/22/30 | 16,820,744 | ||||
6,930,000(b) | Bank of America Corp., 5.872% (SOFR +184 bps), 9/15/34 | 7,128,857 | ||||
1,373,000(b) | Bank of New York Mellon Corp., 4.975% (SOFR +109 bps), 3/14/30 | 1,364,771 | ||||
19,195,000(b) | Bank of Nova Scotia, 4.588% (5 Year CMT Index +205 bps), 5/4/37 | 17,287,868 | ||||
10,825,000(b) | Barclays Plc, 5.746% (1 Year CMT Index +300 bps), 8/9/33 | 10,797,376 | ||||
1,105,000(b) | Barclays Plc, 6.224% (SOFR +298 bps), 5/9/34 | 1,132,216 | ||||
6,285,000(b) | Barclays Plc, 6.692% (SOFR +262 bps), 9/13/34 | 6,662,957 | ||||
4,435,000(b) | Barclays Plc, 7.437% (1 Year CMT Index +350 bps), 11/2/33 | 4,877,317 | ||||
7,275,000(b) | BNP Paribas S.A., 2.159% (SOFR +122 bps), 9/15/29 (144A) | 6,349,002 | ||||
7,320,000(b) | BNP Paribas S.A., 5.176% (SOFR +152 bps), 1/9/30 (144A) | 7,243,330 | ||||
2,870,000(b) | BNP Paribas S.A., 5.497% (SOFR +159 bps), 5/20/30 (144A) | 2,858,591 | ||||
4,875,000(b) | BPCE S.A., 3.116% (SOFR +173 bps), 10/19/32 (144A) | 3,966,813 | ||||
5,051,000(b) | BPCE S.A., 3.648% (5 Year CMT Index +190 bps), 1/14/37 (144A) | 4,186,330 | ||||
3,220,000(b) | BPCE S.A., 5.936% (SOFR +185 bps), 5/30/35 (144A) | 3,207,179 |
Principal Amount USD ($) |
Value | |||||
Banks - (continued) | ||||||
1,150,000(b) | CaixaBank S.A., 6.037% (SOFR +226 bps), 6/15/35 (144A) | $ 1,152,335 | ||||
8,605,000(b) | CaixaBank S.A., 6.84% (SOFR +277 bps), 9/13/34 (144A) | 9,086,764 | ||||
7,440,000(b) | Citigroup, Inc., 2.52% (SOFR +118 bps), 11/3/32 | 6,112,924 | ||||
5,530,000(b) | Citigroup, Inc., 4.91% (SOFR +209 bps), 5/24/33 | 5,310,239 | ||||
4,124,000(b) | Citizens Financial Group, Inc., 5.841% (SOFR +201 bps), 1/23/30 | 4,111,114 | ||||
2,100,000(b) | Citizens Financial Group, Inc., 6.645% (SOFR +233 bps), 4/25/35 | 2,170,657 | ||||
10,660,000(b) | Comerica Bank, 5.332% (SOFR +261 bps), 8/25/33 | 9,566,313 | ||||
8,595,000(b) | Danske Bank A/S, 5.427% (1 Year CMT Index +95 bps), 3/1/28 (144A) | 8,600,404 | ||||
19,310,000 | Federation des Caisses Desjardins du Quebec, 5.25%, 4/26/29 (144A) | 19,264,045 | ||||
7,000,000(b) | Goldman Sachs Group, Inc., 2.65% (SOFR +126 bps), 10/21/32 | 5,819,298 | ||||
5,815,000(b) | Goldman Sachs Group, Inc., 4.223% (3 Month Term SOFR +156 bps), 5/1/29 | 5,597,661 | ||||
10,240,000(b) | HSBC Holdings Plc, 2.206% (SOFR +129 bps), 8/17/29 | 9,001,613 | ||||
11,015,000(b) | HSBC Holdings Plc, 2.871% (SOFR +141 bps), 11/22/32 | 9,160,494 | ||||
5,835,000(b) | HSBC Holdings Plc, 6.161% (SOFR +197 bps), 3/9/29 | 5,968,681 | ||||
1,800,000(b) | ING Groep NV, 4.252% (SOFR +207 bps), 3/28/33 | 1,663,610 | ||||
4,800,000(b) | ING Groep NV, 5.335% (SOFR +144 bps), 3/19/30 | 4,781,233 | ||||
775,000(b) | ING Groep NV, 6.114% (SOFR +209 bps), 9/11/34 | 799,023 | ||||
15,574,000(b)(g) | ING Groep NV, 4.25% (5 Year CMT Index +286 bps) | 12,123,052 | ||||
7,560,000(b) | Intesa Sanpaolo S.p.A., 7.778% (1 Year CMT Index +390 bps), 6/20/54 (144A) | 7,897,735 | ||||
10,900,000 | Intesa Sanpaolo S.p.A., 7.80%, 11/28/53 (144A) | 11,983,562 | ||||
9,060,000(b) | JPMorgan Chase & Co., 2.545% (SOFR +118 bps), 11/8/32 | 7,544,128 | ||||
2,960,000(b) | JPMorgan Chase & Co., 4.586% (SOFR +180 bps), 4/26/33 | 2,823,651 | ||||
9,035,000(b) | JPMorgan Chase & Co., 5.04% (SOFR +119 bps), 1/23/28 | 8,986,103 | ||||
4,961,000 | KeyBank N.A./Cleveland OH, 4.90%, 8/8/32 | 4,421,212 | ||||
10,849,000 | KeyBank NA, 4.15%, 8/8/25 | 10,639,058 | ||||
3,275,000(b) | KeyCorp, 6.401% (SOFR +242 bps), 3/6/35 | 3,320,319 | ||||
4,221,000(b) | Lloyds Banking Group Plc, 4.976% (1 Year CMT Index +230 bps), 8/11/33 | 4,032,927 | ||||
6,185,000(b)(g) | Lloyds Banking Group Plc, 8.00% (5 Year CMT Index +391 bps) | 6,322,326 |
Principal Amount USD ($) |
Value | |||||
Banks - (continued) | ||||||
9,860,000(b) | Macquarie Group, Ltd., 2.691% (SOFR +144 bps), 6/23/32 (144A) | $ 8,173,183 | ||||
6,190,000(b) | Macquarie Group, Ltd., 2.871% (SOFR +153 bps), 1/14/33 (144A) | 5,115,441 | ||||
3,490,000(b) | Mitsubishi UFJ Financial Group, Inc., 2.494% (1 Year CMT Index +97 bps), 10/13/32 | 2,888,152 | ||||
8,360,000(b) | Mitsubishi UFJ Financial Group, Inc., 5.426% (1 Year CMT Index +100 bps), 4/17/35 | 8,325,783 | ||||
5,105,000(b) | Mizuho Financial Group, Inc., 5.579% (1 Year CMT Index +130 bps), 5/26/35 | 5,098,379 | ||||
5,285,000(b) | Morgan Stanley, 5.173% (SOFR +145 bps), 1/16/30 | 5,271,900 | ||||
9,845,000(b) | Morgan Stanley, 5.297% (SOFR +262 bps), 4/20/37 | 9,426,742 | ||||
2,265,000(b) | Morgan Stanley, 5.652% (SOFR +101 bps), 4/13/28 | 2,287,434 | ||||
5,590,000(b) | Morgan Stanley, 5.942% (5 Year CMT Index +180 bps), 2/7/39 | 5,528,486 | ||||
1,830,000(b) | Morgan Stanley, 5.948% (5 Year CMT Index +243 bps), 1/19/38 | 1,819,339 | ||||
6,575,000(b) | NatWest Group Plc, 6.475% (5 Year CMT Index +220 bps), 6/1/34 | 6,678,839 | ||||
4,950,000(b)(g) | NatWest Group Plc, 8.125% (5 Year CMT Index +375 bps) | 5,001,208 | ||||
11,300,000(a) | NatWest Markets Plc, 6.502% (SOFR +114 bps), 5/17/29 (144A) | 11,339,094 | ||||
16,051,000(b)(g) | Nordea Bank Abp, 3.75% (5 Year CMT Index +260 bps) (144A) | 13,382,460 | ||||
1,790,000(b) | PNC Financial Services Group, Inc., 5.30% (SOFR +134 bps), 1/21/28 | 1,787,538 | ||||
6,295,000(b) | PNC Financial Services Group, Inc., 6.875% (SOFR +228 bps), 10/20/34 | 6,860,715 | ||||
6,210,000(b) | Santander Holdings USA, Inc., 2.49% (SOFR +125 bps), 1/6/28 | 5,722,834 | ||||
2,140,000(b) | Santander Holdings USA, Inc., 6.124% (SOFR +123 bps), 5/31/27 | 2,148,837 | ||||
2,195,000(b) | Societe Generale S.A., 2.797% (1 Year CMT Index +130 bps), 1/19/28 (144A) | 2,025,496 | ||||
4,140,000(b) | Standard Chartered Plc, 6.097% (1 Year CMT Index +210 bps), 1/11/35 (144A) | 4,198,921 | ||||
6,886,000(b) | Standard Chartered Plc, 6.296% (1 Year CMT Index +258 bps), 7/6/34 (144A) | 7,098,807 | ||||
7,130,000(b)(f) | Toronto-Dominion Bank, 7.25% (5 Year CMT Index +298 bps), 7/31/84 | 7,112,175 | ||||
1,920,000(b) | Truist Financial Corp., 5.435% (SOFR +162 bps), 1/24/30 | 1,914,999 | ||||
5,985,000(b) | Truist Financial Corp., 7.161% (SOFR +245 bps), 10/30/29 | 6,355,256 |
Principal Amount USD ($) |
Value | |||||
Banks - (continued) | ||||||
12,330,000(b) | UBS Group AG, 2.746% (1 Year CMT Index +110 bps), 2/11/33 (144A) | $ 10,077,055 | ||||
2,615,000(b) | UBS Group AG, 4.988% (1 Year CMT Index +240 bps), 8/5/33 (144A) | 2,494,630 | ||||
3,635,000(b) | UBS Group AG, 6.301% (1 Year CMT Index +200 bps), 9/22/34 (144A) | 3,780,187 | ||||
3,455,000(b)(g) | UBS Group AG, 9.25% (5 Year CMT Index +476 bps) (144A) | 3,869,227 | ||||
19,295,000(b) | UniCredit S.p.A., 2.569% (1 Year CMT Index +230 bps), 9/22/26 (144A) | 18,507,707 | ||||
4,578,000(b) | UniCredit S.p.A., 5.459% (5 Year CMT Index +475 bps), 6/30/35 (144A) | 4,288,555 | ||||
7,483,000(b) | UniCredit S.p.A., 7.296% (5 Year USD Swap Rate +491 bps), 4/2/34 (144A) | 7,635,496 | ||||
17,775,000(b) | US Bancorp, 2.491% (5 Year CMT Index +95 bps), 11/3/36 | 13,994,002 | ||||
2,500,000(b) | US Bancorp, 5.384% (SOFR +156 bps), 1/23/30 | 2,506,698 | ||||
10,220,000(b) | Wells Fargo & Co., 6.491% (SOFR +206 bps), 10/23/34 | 10,895,096 | ||||
Total Banks | $565,278,738 | |||||
Beverages - 0.4% | ||||||
6,880,000 | Coca-Cola Co., 5.00%, 5/13/34 | $ 6,902,795 | ||||
6,060,000 | Coca-Cola Consolidated, Inc., 5.25%, 6/1/29 | 6,087,242 | ||||
5,405,000 | Suntory Holdings, Ltd., 5.124%, 6/11/29 (144A) | 5,419,818 | ||||
Total Beverages | $18,409,855 | |||||
Biotechnology - 0.2% | ||||||
3,630,000 | Royalty Pharma Plc, 5.15%, 9/2/29 | $ 3,599,334 | ||||
4,560,000 | Royalty Pharma Plc, 5.40%, 9/2/34 | 4,437,572 | ||||
Total Biotechnology | $8,036,906 | |||||
Building Materials - 0.1% | ||||||
1,870,000 | Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, 6.75%, 4/1/32 (144A) | $ 1,883,299 | ||||
4,410,000 | Owens Corning, 5.70%, 6/15/34 | 4,450,588 | ||||
Total Building Materials | $6,333,887 | |||||
Commercial Services - 1.0% | ||||||
4,500,000 | Ashtead Capital, Inc., 5.50%, 8/11/32 (144A) | $ 4,390,193 | ||||
6,898,000 | Ashtead Capital, Inc., 5.95%, 10/15/33 (144A) | 6,911,023 | ||||
9,415,000 | Block, Inc., 6.50%, 5/15/32 (144A) | 9,541,067 | ||||
765,000 | Brink's Co., 6.50%, 6/15/29 (144A) | 773,020 | ||||
2,580,000 | Element Fleet Management Corp., 5.643%, 3/13/27 (144A) | 2,586,220 |
Principal Amount USD ($) |
Value | |||||
Commercial Services - (continued) | ||||||
8,480,000 | Element Fleet Management Corp., 6.319%, 12/4/28 (144A) | $ 8,766,606 | ||||
5,470,000 | S&P Global, Inc., 5.25%, 9/15/33 (144A) | 5,521,323 | ||||
8,935,000 | Verisk Analytics, Inc., 5.25%, 6/5/34 | 8,797,694 | ||||
Total Commercial Services | $47,287,146 | |||||
Distribution/Wholesale - 0.0%† | ||||||
995,000 | Velocity Vehicle Group LLC, 8.00%, 6/1/29 (144A) | $ 1,023,407 | ||||
Total Distribution/Wholesale | $1,023,407 | |||||
Diversified Financial Services - 2.7% | ||||||
26,796,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | $ 23,023,562 | ||||
7,335,000 | Ameriprise Financial, Inc., 5.15%, 5/15/33 | 7,346,914 | ||||
2,141,000 | Avolon Holdings Funding, Ltd., 5.75%, 3/1/29 (144A) | 2,128,877 | ||||
4,605,000 | Avolon Holdings Funding, Ltd., 5.75%, 11/15/29 (144A) | 4,576,922 | ||||
11,740,000 | Avolon Holdings Funding, Ltd., 6.375%, 5/4/28 (144A) | 11,922,131 | ||||
9,455,000(b) | Capital One Financial Corp., 2.359% (SOFR +134 bps), 7/29/32 | 7,386,430 | ||||
8,084,000(b) | Capital One Financial Corp., 5.268% (SOFR +237 bps), 5/10/33 | 7,801,249 | ||||
6,770,000(b) | Charles Schwab Corp., 5.853% (SOFR +250 bps), 5/19/34 | 6,902,142 | ||||
5,845,000 | Freedom Mortgage Holdings LLC, 9.125%, 5/15/31 (144A) | 5,687,769 | ||||
5,835,000 | Freedom Mortgage Holdings LLC, 9.25%, 2/1/29 (144A) | 5,831,233 | ||||
8,300,000 | Jefferies Financial Group, Inc., 6.20%, 4/14/34 | 8,406,401 | ||||
3,900,000 | LPL Holdings, Inc., 5.70%, 5/20/27 | 3,915,420 | ||||
14,325,000 | Nomura Holdings, Inc., 2.999%, 1/22/32 | 11,975,365 | ||||
4,645,000 | Nomura Holdings, Inc., 5.605%, 7/6/29 | 4,669,936 | ||||
4,840,000(f) | Nomura Holdings, Inc., 5.783%, 7/3/34 | 4,821,906 | ||||
8,559,000 | United Wholesale Mortgage LLC, 5.50%, 4/15/29 (144A) | 8,131,567 | ||||
Total Diversified Financial Services | $124,527,824 | |||||
Electric - 1.5% | ||||||
5,045,000 | AEP Texas, Inc., 5.45%, 5/15/29 | $ 5,071,275 | ||||
6,305,000(b) | Algonquin Power & Utilities Corp., 4.75% (5 Year CMT Index +325 bps), 1/18/82 | 5,767,888 | ||||
1,530,000(c) | Algonquin Power & Utilities Corp., 5.365%, 6/15/26 | 1,522,586 | ||||
1,960,000 | Black Hills Corp., 6.00%, 1/15/35 | 1,971,593 |
Principal Amount USD ($) |
Value | |||||
Electric - (continued) | ||||||
11,150,000 | Entergy Louisiana LLC, 5.35%, 3/15/34 | $ 11,063,411 | ||||
5,420,000 | ITC Holdings Corp., 5.65%, 5/9/34 (144A) | 5,420,798 | ||||
4,250,000 | Monongahela Power Co., 5.85%, 2/15/34 (144A) | 4,325,990 | ||||
11,710,000 | PacifiCorp, 5.45%, 2/15/34 | 11,567,647 | ||||
6,870,000 | Puget Energy, Inc., 2.379%, 6/15/28 | 6,131,618 | ||||
6,583,000 | Puget Energy, Inc., 4.10%, 6/15/30 | 6,056,543 | ||||
2,120,000 | Puget Energy, Inc., 4.224%, 3/15/32 | 1,900,204 | ||||
2,810,000 | Southern California Edison Co., 5.45%, 6/1/31 | 2,830,087 | ||||
2,130,000 | Vistra Operations Co. LLC, 6.00%, 4/15/34 (144A) | 2,135,091 | ||||
3,935,000 | Vistra Operations Co. LLC, 6.95%, 10/15/33 (144A) | 4,211,575 | ||||
Total Electric | $69,976,306 | |||||
Energy-Alternate Sources - 0.0%† | ||||||
244,905 | Alta Wind Holdings LLC, 7.00%, 6/30/35 (144A) | $ 243,437 | ||||
Total Energy-Alternate Sources | $243,437 | |||||
Entertainment - 0.2% | ||||||
8,400,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/16/29 (144A) | $ 7,534,974 | ||||
2,700,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/6/31 (144A) | 2,343,212 | ||||
Total Entertainment | $9,878,186 | |||||
Food - 0.8% | ||||||
4,200,000 | Bimbo Bakeries USA, Inc., 5.375%, 1/9/36 (144A) | $ 4,092,746 | ||||
3,430,000 | JBS USA Holding Lux S.a.r.l./JBS USA Food Co./JBS Lux Co. S.a.r.l., 3.00%, 2/2/29 | 3,060,028 | ||||
1,654,000 | JBS USA Holding Lux S.a.r.l./JBS USA Food Co./JBS Lux Co. S.a.r.l., 3.00%, 5/15/32 | 1,361,611 | ||||
5,439,000 | JBS USA Holding Lux S.a.r.l./JBS USA Food Co./JBS Lux Co. S.a.r.l., 5.75%, 4/1/33 | 5,426,008 | ||||
2,335,000 | JBS USA Holding Lux S.a.r.l./JBS USA Food Co./JBS Lux Co. S.a.r.l., 6.50%, 12/1/52 | 2,339,717 | ||||
13,960,000 | Minerva Luxembourg S.A., 4.375%, 3/18/31 (144A) | 11,515,954 | ||||
6,070,000 | Smithfield Foods, Inc., 2.625%, 9/13/31 (144A) | 4,856,214 | ||||
5,935,000 | Smithfield Foods, Inc., 3.00%, 10/15/30 (144A) | 5,039,002 | ||||
668,000 | Smithfield Foods, Inc., 5.20%, 4/1/29 (144A) | 647,672 | ||||
Total Food | $38,338,952 | |||||
Gas - 0.8% | ||||||
16,310,000 | Atmos Energy Corp., 5.90%, 11/15/33 | $ 17,031,413 | ||||
2,810,000 | Boston Gas Co., 3.15%, 8/1/27 (144A) | 2,617,627 | ||||
1,970,000 | CenterPoint Energy Resources Corp., 5.40%, 7/1/34 | 1,950,661 |
Principal Amount USD ($) |
Value | |||||
Gas - (continued) | ||||||
11,700,000 | KeySpan Gas East Corp., 5.994%, 3/6/33 (144A) | $ 11,778,927 | ||||
1,418,647 | Nakilat, Inc., 6.267%, 12/31/33 (144A) | 1,470,428 | ||||
Total Gas | $34,849,056 | |||||
Hand & Machine Tools - 0.2% | ||||||
4,125,000 | Kennametal, Inc., 2.80%, 3/1/31 | $ 3,463,634 | ||||
3,755,000 | Regal Rexnord Corp., 6.30%, 2/15/30 | 3,838,901 | ||||
Total Hand & Machine Tools | $7,302,535 | |||||
Healthcare-Products - 0.4% | ||||||
2,139,000 | Edwards Lifesciences Corp., 4.30%, 6/15/28 | $ 2,067,084 | ||||
10,178,000 | Smith & Nephew Plc, 2.032%, 10/14/30 | 8,405,874 | ||||
2,290,000 | Smith & Nephew Plc, 5.40%, 3/20/34 | 2,254,549 | ||||
3,810,000 | Sotera Health Holdings LLC, 7.375%, 6/1/31 (144A) | 3,815,658 | ||||
Total Healthcare-Products | $16,543,165 | |||||
Healthcare-Services - 0.3% | ||||||
3,240,000 | Elevance Health, Inc., 5.15%, 6/15/29 | $ 3,248,676 | ||||
2,220,000 | Elevance Health, Inc., 5.375%, 6/15/34 | 2,230,546 | ||||
2,570,000 | Health Care Service Corp. A Mutual Legal Reserve Co., 5.20%, 6/15/29 (144A) | 2,558,924 | ||||
4,245,000 | Health Care Service Corp. A Mutual Legal Reserve Co., 5.45%, 6/15/34 (144A) | 4,195,333 | ||||
2,500,000 | Humana, Inc., 5.375%, 4/15/31 | 2,486,726 | ||||
Total Healthcare-Services | $14,720,205 | |||||
Insurance - 2.1% | ||||||
12,416,000 | Brown & Brown, Inc., 4.20%, 3/17/32 | $ 11,332,397 | ||||
3,975,000 | Brown & Brown, Inc., 5.65%, 6/11/34 | 3,949,472 | ||||
1,680,000 | CNO Financial Group, Inc., 5.25%, 5/30/29 | 1,629,999 | ||||
2,125,000 | CNO Financial Group, Inc., 6.45%, 6/15/34 | 2,122,966 | ||||
12,306,000 | CNO Global Funding, 2.65%, 1/6/29 (144A) | 10,773,411 | ||||
10,400,000(b) | Farmers Exchange Capital III, 5.454% (3 Month USD LIBOR +345 bps), 10/15/54 (144A) | 8,736,000 | ||||
8,910,000(b) | Farmers Insurance Exchange, 4.747% (3 Month USD LIBOR +323 bps), 11/1/57 (144A) | 6,636,104 | ||||
16,962,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 18,742,996 | ||||
7,760,000 | Metropolitan Life Global Funding I, 5.15%, 3/28/33 (144A) | 7,663,612 | ||||
14,190,000 | Nationwide Mutual Insurance Co., 4.35%, 4/30/50 (144A) | 10,896,076 | ||||
9,700,000(b) | Nippon Life Insurance Co., 2.90% (5 Year CMT Index +260 bps), 9/16/51 (144A) | 7,998,587 |
Principal Amount USD ($) |
Value | |||||
Insurance - (continued) | ||||||
2,590,000 | Primerica, Inc., 2.80%, 11/19/31 | $ 2,163,298 | ||||
635,000 | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) | 708,336 | ||||
Total Insurance | $93,353,254 | |||||
Iron & Steel - 0.1% | ||||||
5,330,000(f) | Steel Dynamics, Inc., 5.375%, 8/15/34 | $ 5,238,786 | ||||
Total Iron & Steel | $5,238,786 | |||||
Lodging - 0.6% | ||||||
1,730,000(f) | Choice Hotels International, Inc., 5.85%, 8/1/34 | $ 1,705,102 | ||||
4,480,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 6.625%, 1/15/32 (144A) | 4,500,975 | ||||
710,000 | Las Vegas Sands Corp., 6.00%, 8/15/29 | 713,664 | ||||
2,230,000 | Marriott International, Inc., 4.90%, 4/15/29 | 2,206,211 | ||||
3,785,000 | Marriott International, Inc., 5.30%, 5/15/34 | 3,716,237 | ||||
14,805,000 | Marriott International, Inc., 3.50%, 10/15/32 | 12,818,076 | ||||
2,845,000 | Marriott International, Inc., 4.625%, 6/15/30 | 2,761,066 | ||||
Total Lodging | $28,421,331 | |||||
Machinery-Diversified - 0.5% | ||||||
6,395,000 | CNH Industrial Capital LLC, 4.55%, 4/10/28 | $ 6,253,318 | ||||
9,397,000 | John Deere Capital Corp., 5.10%, 4/11/34 | 9,370,216 | ||||
8,815,000 | John Deere Capital Corp., 5.05%, 6/12/34 | 8,752,935 | ||||
Total Machinery-Diversified | $24,376,469 | |||||
Mining - 0.5% | ||||||
4,204,000 | Anglo American Capital Plc, 2.25%, 3/17/28 (144A) | $ 3,764,300 | ||||
2,800,000 | Anglo American Capital Plc, 5.50%, 5/2/33 (144A) | 2,741,002 | ||||
3,000,000 | Anglo American Capital Plc, 5.75%, 4/5/34 (144A) | 2,993,796 | ||||
1,200,000 | Anglo American Capital Plc, 6.00%, 4/5/54 (144A) | 1,186,879 | ||||
4,092,000 | AngloGold Ashanti Holdings Plc, 3.75%, 10/1/30 | 3,570,700 | ||||
8,260,000 | First Quantum Minerals, Ltd., 8.625%, 6/1/31 (144A) | 8,246,125 | ||||
1,835,000 | First Quantum Minerals, Ltd., 9.375%, 3/1/29 (144A) | 1,917,346 | ||||
Total Mining | $24,420,148 | |||||
Multi-National - 0.2% | ||||||
6,560,000 | Banque Ouest Africaine de Developpement, 4.70%, 10/22/31 (144A) | $ 5,729,898 | ||||
2,030,000 | Banque Ouest Africaine de Developpement, 5.00%, 7/27/27 (144A) | 1,936,143 | ||||
Total Multi-National | $7,666,041 | |||||
Oil & Gas - 0.8% | ||||||
1,735,000 | Aker BP ASA, 2.00%, 7/15/26 (144A) | $ 1,614,194 |
Principal Amount USD ($) |
Value | |||||
Oil & Gas - (continued) | ||||||
18,980,000 | Aker BP ASA, 3.10%, 7/15/31 (144A) | $ 16,146,997 | ||||
1,225,000 | Harbour Energy Plc, 5.50%, 10/15/26 (144A) | 1,200,829 | ||||
6,830,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.875%, 5/15/34 (144A) | 6,756,139 | ||||
7,773,000 | Valero Energy Corp., 6.625%, 6/15/37 | 8,285,830 | ||||
Total Oil & Gas | $34,003,989 | |||||
Oil & Gas Services - 0.1% | ||||||
2,065,000 | Halliburton Co., 7.60%, 8/15/96 (144A) | $ 2,322,916 | ||||
Total Oil & Gas Services | $2,322,916 | |||||
Packaging & Containers - 0.1% | ||||||
3,300,000 | Sealed Air Corp., 6.50%, 7/15/32 (144A) | $ 3,281,482 | ||||
Total Packaging & Containers | $3,281,482 | |||||
Pharmaceuticals - 0.5% | ||||||
10,500,000 | Cencora, Inc., 5.125%, 2/15/34 | $ 10,309,170 | ||||
1,180,000 | CVS Health Corp., 5.25%, 1/30/31 | 1,166,609 | ||||
7,765,000 | CVS Health Corp., 5.25%, 2/21/33 | 7,582,298 | ||||
2,720,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/9/29 | 2,616,554 | ||||
Total Pharmaceuticals | $21,674,631 | |||||
Pipelines - 2.1% | ||||||
13,515,000 | Boardwalk Pipelines LP, 3.60%, 9/1/32 | $ 11,653,939 | ||||
4,690,000 | Enbridge, Inc., 5.625%, 4/5/34 | 4,682,281 | ||||
3,800,000(b) | Enbridge, Inc., 7.20% (5 Year CMT Index +297 bps), 6/27/54 | 3,822,877 | ||||
3,800,000(b) | Enbridge, Inc., 7.375% (5 Year CMT Index +312 bps), 3/15/55 | 3,807,600 | ||||
5,290,000(b) | Enbridge, Inc., 8.50% (5 Year CMT Index +443 bps), 1/15/84 | 5,702,789 | ||||
2,930,000 | Energy Transfer LP, 4.15%, 9/15/29 | 2,773,848 | ||||
4,800,000 | Energy Transfer LP, 5.35%, 5/15/45 | 4,286,316 | ||||
15,750,000 | Energy Transfer LP, 5.60%, 9/1/34 | 15,645,612 | ||||
7,631,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 6,620,313 | ||||
3,944,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 3,498,115 | ||||
7,820,000 | MPLX LP, 5.50%, 6/1/34 | 7,701,176 | ||||
6,295,000 | NGPL PipeCo LLC, 3.25%, 7/15/31 (144A) | 5,374,505 | ||||
620,000 | Venture Global LNG, Inc., 8.125%, 6/1/28 (144A) | 638,734 | ||||
3,655,000 | Venture Global LNG, Inc., 8.375%, 6/1/31 (144A) | 3,791,079 | ||||
1,440,000 | Venture Global LNG, Inc., 9.50%, 2/1/29 (144A) | 1,576,939 | ||||
4,500,000 | Williams Cos., Inc., 5.15%, 3/15/34 | 4,390,321 |
Principal Amount USD ($) |
Value | |||||
Pipelines - (continued) | ||||||
2,270,000 | Williams Cos., Inc., 7.75%, 6/15/31 | $ 2,505,717 | ||||
7,360,000 | Williams Cos., Inc., 7.50%, 1/15/31 | 8,131,583 | ||||
Total Pipelines | $96,603,744 | |||||
REITs - 1.1% | ||||||
1,730,000 | Essex Portfolio LP, 5.50%, 4/1/34 | $ 1,714,459 | ||||
8,169,000 | Healthcare Realty Holdings LP, 3.10%, 2/15/30 | 7,143,284 | ||||
1,876,000 | Highwoods Realty LP, 2.60%, 2/1/31 | 1,498,616 | ||||
406,000 | Highwoods Realty LP, 3.05%, 2/15/30 | 344,276 | ||||
2,539,000 | Highwoods Realty LP, 4.125%, 3/15/28 | 2,372,179 | ||||
7,870,000 | LXP Industrial Trust, 2.375%, 10/1/31 | 6,270,022 | ||||
4,880,000 | LXP Industrial Trust, 2.70%, 9/15/30 | 4,117,262 | ||||
10,163,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.50%, 3/15/31 | 6,622,371 | ||||
15,090,000 | Sun Communities Operating LP , 5.70%, 1/15/33 | 14,859,961 | ||||
4,865,000 | UDR, Inc., 4.40%, 1/26/29 | 4,689,922 | ||||
Total REITs | $49,632,352 | |||||
Retail - 0.7% | ||||||
1,675,000 | AutoNation, Inc., 1.95%, 8/1/28 | $ 1,452,390 | ||||
1,675,000 | AutoNation, Inc., 2.40%, 8/1/31 | 1,347,785 | ||||
7,335,000 | AutoNation, Inc., 3.85%, 3/1/32 | 6,514,516 | ||||
3,775,000 | AutoNation, Inc., 4.75%, 6/1/30 | 3,607,682 | ||||
10,890,000 | Darden Restaurants, Inc., 6.30%, 10/10/33 | 11,244,011 | ||||
11,070,000 | Dollar Tree, Inc., 2.65%, 12/1/31 | 9,196,266 | ||||
Total Retail | $33,362,650 | |||||
Semiconductors - 1.0% | ||||||
978,000 | Broadcom, Inc., 3.137%, 11/15/35 (144A) | $ 783,170 | ||||
14,123,000 | Broadcom, Inc., 3.187%, 11/15/36 (144A) | 11,176,452 | ||||
7,993,000 | Broadcom, Inc., 4.15%, 4/15/32 (144A) | 7,374,591 | ||||
2,960,000 | Broadcom, Inc., 4.30%, 11/15/32 | 2,766,622 | ||||
4,470,000 | Foundry JV Holdco LLC, 5.875%, 1/25/34 (144A) | 4,431,781 | ||||
1,875,000 | Foundry JV Holdco LLC, 6.15%, 1/25/32 (144A) | 1,911,308 | ||||
2,795,000 | Foundry JV Holdco LLC, 6.25%, 1/25/35 (144A) | 2,854,260 | ||||
1,880,000 | Foundry JV Holdco LLC, 6.40%, 1/25/38 (144A) | 1,937,714 | ||||
4,197,000 | SK Hynix, Inc., 5.50%, 1/16/29 (144A) | 4,194,248 | ||||
8,577,000 | Skyworks Solutions, Inc., 3.00%, 6/1/31 | 7,267,484 | ||||
Total Semiconductors | $44,697,630 | |||||
Software - 0.2% | ||||||
12,416,000 | Autodesk, Inc., 2.40%, 12/15/31 | $ 10,305,633 | ||||
Total Software | $10,305,633 | |||||
Principal Amount USD ($) |
Value | |||||
Telecommunications - 0.7% | ||||||
3,381,000 | Motorola Solutions, Inc., 5.60%, 6/1/32 | $ 3,418,752 | ||||
5,250,000 | T-Mobile USA, Inc., 2.70%, 3/15/32 | 4,392,283 | ||||
16,860,000 | T-Mobile USA, Inc., 5.05%, 7/15/33 | 16,494,276 | ||||
4,265,000 | T-Mobile USA, Inc., 5.20%, 1/15/33 | 4,219,532 | ||||
3,850,000 | T-Mobile USA, Inc., 5.75%, 1/15/34 | 3,957,955 | ||||
Total Telecommunications | $32,482,798 | |||||
Trucking & Leasing - 0.3% | ||||||
2,897,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.40%, 7/1/27 (144A) | $ 2,818,247 | ||||
8,305,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.55%, 5/1/28 (144A) | 8,362,938 | ||||
1,345,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.05%, 8/1/28 (144A) | 1,377,530 | ||||
Total Trucking & Leasing | $12,558,715 | |||||
Total Corporate Bonds (Cost $1,723,831,499) |
$1,636,061,381 | |||||
Insurance-Linked Securities - 3.6%of Net Assets# |
||||||
Event Linked Bonds - 1.7% | ||||||
Earthquakes - California - 0.0%† | ||||||
1,000,000(a) | Phoenician Re, 8.253%, (3 Month U.S. Treasury Bill +290 bps), 12/14/24 (144A) | $ 991,500 | ||||
Earthquakes - Mexico - 0.0%† | ||||||
250,000(a) | International Bank for Reconstruction & Development, 18.85%, (SOFR +1,372 bps), 4/28/28 (144A) | $ 246,050 | ||||
Earthquakes - U.S. - 0.0%† | ||||||
750,000(a) | Ursa Re, 10.855%, (3 Month U.S. Treasury Bill +550 bps), 12/6/25 (144A) | $ 757,875 | ||||
500,000(a) | Veraison Re, 12.269%, (1 Month U.S. Treasury Bill +691 bps), 3/9/26 (144A) | 518,100 | ||||
$1,275,975 | ||||||
Flood - U.S. - 0.1% | ||||||
2,000,000(a) | FloodSmart Re, 17.185%, (3 Month U.S. Treasury Bill +1,183 bps), 2/25/25 (144A) | $ 1,919,600 | ||||
1,500,000(a) | FloodSmart Re, 19.355%, (3 Month U.S. Treasury Bill +1,400 bps), 3/12/27 (144A) | 1,485,000 | ||||
$3,404,600 | ||||||
Health - U.S. - 0.2% | ||||||
2,250,000(a) | Vitality Re XIII, 7.355%, (3 Month U.S. Treasury Bill +200 bps), 1/6/26 (144A) | $ 2,234,475 |
Principal Amount USD ($) |
Value | |||||
Health - U.S. - (continued) | ||||||
6,000,000(a) | Vitality Re XIV, 8.855%, (3 Month U.S. Treasury Bill +350 bps), 1/5/27 (144A) | $ 6,093,000 | ||||
750,000(a) | Vitality Re XIV, 9.855%, (3 Month U.S. Treasury Bill +450 bps), 1/5/27 (144A) | 765,975 | ||||
$9,093,450 | ||||||
Multiperil - U.S. - 0.7% | ||||||
1,250,000(a) | Aquila Re, 10.855%, (3 Month U.S. Treasury Bill +550 bps), 6/7/27 (144A) | $ 1,243,030 | ||||
500,000(a) | Four Lakes Re, 9.745%, (3 Month U.S. Treasury Bill +439 bps), 1/7/25 (144A) | 489,750 | ||||
750,000(a) | Four Lakes Re, 11.105%, (3 Month U.S. Treasury Bill +575 bps), 1/7/27 (144A) | 739,725 | ||||
3,000,000(a) | Four Lakes Re, 11.815%, (3 Month U.S. Treasury Bill +646 bps), 1/7/26 (144A) | 3,057,000 | ||||
500,000(a) | Herbie Re, 15.075%, (3 Month U.S. Treasury Bill +972 bps), 1/8/25 (144A) | 471,800 | ||||
3,500,000(a) | High Point Re, 11.105%, (3 Month U.S. Treasury Bill +575 bps), 1/6/27 (144A) | 3,455,200 | ||||
2,000,000(a) | Matterhorn Re, 10.625%, (SOFR +525 bps), 3/24/25 (144A) | 1,920,600 | ||||
1,000,000(a) | Matterhorn Re, 13.125%, (SOFR +775 bps), 3/24/25 (144A) | 956,700 | ||||
1,000,000(a) | Merna Re II, 12.605%, (3 Month U.S. Treasury Bill +725 bps), 7/7/27 (144A) | 989,271 | ||||
2,000,000(a) | Merna Re II, 13.855%, (3 Month U.S. Treasury Bill +850 bps), 7/7/27 (144A) | 1,983,154 | ||||
1,500,000(a) | Mystic Re, 17.355%, (3 Month U.S. Treasury Bill +1,200 bps), 1/8/27 (144A) | 1,491,450 | ||||
3,400,000(a) | Mystic Re IV, 14.525%, (3 Month U.S. Treasury Bill +917 bps), 1/8/26 (144A) | 3,447,600 | ||||
1,000,000(a) | Residential Re, 11.275%, (3 Month U.S. Treasury Bill +592 bps), 12/6/27 (144A) | 978,700 | ||||
1,750,000(a) | Residential Re, 13.045%, (3 Month U.S. Treasury Bill +769 bps), 12/6/26 (144A) | 1,721,300 | ||||
2,500,000(a) | Residential Re, 13.855%, (1 Month U.S. Treasury Bill +842 bps), 12/6/27 (144A) | 2,422,750 | ||||
1,000,000(a) | Sanders Re, 11.105%, (3 Month U.S. Treasury Bill +575 bps), 4/7/28 (144A) | 985,100 | ||||
2,750,000(a) | Sanders Re II, 8.355%, (3 Month U.S. Treasury Bill +300 bps), 4/7/25 (144A) | 2,699,125 | ||||
1,000,000(a) | Sanders Re III, 11.625%, (3 Month U.S. Treasury Bill +627 bps), 4/7/27 (144A) | 1,009,300 | ||||
$30,061,555 | ||||||
Principal Amount USD ($) |
Value | |||||
Multiperil - U.S. & Canada - 0.1% | ||||||
750,000(a) | Atlas Capital, 17.873%, (SOFR +1,250 bps), 6/8/27 (144A) | $ 785,550 | ||||
250,000(a) | Easton Re, 12.855%, (3 Month U.S. Treasury Bill +750 bps), 1/8/27 (144A) | 243,600 | ||||
750,000(a) | Galileo Re, 12.355%, (3 Month U.S. Treasury Bill +700 bps), 1/8/26 (144A) | 743,400 | ||||
1,250,000(a) | Galileo Re, 12.355%, (3 Month U.S. Treasury Bill +700 bps), 1/7/28 (144A) | 1,235,250 | ||||
250,000(a) | Matterhorn Re, 11.122%, (SOFR +575 bps), 12/8/25 (144A) | 217,900 | ||||
1,000,000(a) | Mona Lisa Re, 17.855%, (3 Month U.S. Treasury Bill +1,250 bps), 1/8/26 (144A) | 1,024,700 | ||||
750,000(a) | Northshore Re II, 13.355%, (3 Month U.S. Treasury Bill +800 bps), 7/8/25 (144A) | 746,250 | ||||
$4,996,650 | ||||||
Multiperil - U.S. Regional - 0.2% | ||||||
850,000(a) | Aquila Re, 13.625%, (3 Month U.S. Treasury Bill +827 bps), 6/8/26 (144A) | $ 862,835 | ||||
1,000,000(a) | Kilimanjaro III Re, 10.605%, (3 Month U.S. Treasury Bill +585 bps), 6/25/25 (144A) | 989,500 | ||||
1,000,000(a) | Locke Tavern Re, 10.137%, (3 Month U.S. Treasury Bill +478 bps), 4/9/26 (144A) | 1,001,700 | ||||
3,500,000(a) | Long Point Re IV, 9.605%, (3 Month U.S. Treasury Bill +425 bps), 6/1/26 (144A) | 3,490,550 | ||||
768,006(a) | Matterhorn Re, 1.50%, (3 Month U.S. Treasury Bill +150 bps), 1/8/27 (144A) | 637,522 | ||||
$6,982,107 | ||||||
Multiperil - Worldwide - 0.1% | ||||||
2,000,000(a) | Atlas Capital, 12.621%, (SOFR +772 bps), 6/5/26 (144A) | $ 1,948,000 | ||||
750,000(a) | Cat Re 2001, 17.855%, (3 Month U.S. Treasury Bill +1,250 bps), 1/8/27 (144A) | 748,125 | ||||
1,000,000(a) | Kendall Re, 11.605%, (3 Month U.S. Treasury Bill +625 bps), 4/30/27 (144A) | 999,500 | ||||
$3,695,625 | ||||||
Wind Storm - Massachusetts - 0.0%† | ||||||
1,000,000(a) | Mayflower Re, 9.845%, (1 Month U.S. Treasury Bill +450 bps), 7/8/27 (144A) | $ 1,000,148 | ||||
Windstorm - Florida - 0.0%† | ||||||
750,000(a) | Integrity Re, 12.425%, (3 Month U.S. Treasury Bill +683 bps), 6/6/25 (144A) | $ 412,500 |
Principal Amount USD ($) |
Value | |||||
Windstorm - Florida - (continued) | ||||||
250,000(a) | Marlon Re, 12.355%, (3 Month U.S. Treasury Bill +700 bps), 6/7/27 (144A) | $ 249,925 | ||||
1,000,000(a) | Merna Re II, 14.105%, (3 Month U.S. Treasury Bill +875 bps), 7/7/27 (144A) | 993,146 | ||||
$1,655,571 | ||||||
Windstorm - North Carolina - 0.1% | ||||||
1,000,000(a) | Blue Ridge Re, 10.605%, (3 Month U.S. Treasury Bill +525 bps), 1/8/27 (144A) | $ 985,500 | ||||
1,750,000(a) | Blue Ridge Re, 13.355%, (1 Month U.S. Treasury Bill +800 bps), 1/8/27 (144A) | 1,721,125 | ||||
$2,706,625 | ||||||
Windstorm - Texas - 0.0%† | ||||||
500,000(a) | Alamo Re, 6.00%, (1 Month U.S. Treasury Bill +600 bps), 6/7/27 (144A) | $ 490,250 | ||||
250,000(a) | Alamo Re, 13.105%, (1 Month U.S. Treasury Bill +775 bps), 6/7/27 (144A) | 245,975 | ||||
$736,225 | ||||||
Windstorm - U.S. - 0.1% | ||||||
1,250,000(a) | Alamo Re, 13.747%, (1 Month U.S. Treasury Bill +839 bps), 6/7/26 (144A) | $ 1,244,625 | ||||
250,000(a) | Bonanza Re, 10.975%, (3 Month U.S. Treasury Bill +562 bps), 3/16/25 (144A) | 235,850 | ||||
300,000(a) | Bonanza Re, 13.805%, (3 Month U.S. Treasury Bill +845 bps), 1/8/26 (144A) | 301,620 | ||||
1,100,000(a) | Cape Lookout Re, 13.775%, (1 Month U.S. Treasury Bill +842 bps), 4/28/26 (144A) | 1,103,850 | ||||
700,000(a) | Gateway Re, 19.315%, (1 Month U.S. Treasury Bill +1,396 bps), 2/24/26 (144A) | 713,510 | ||||
250,000(a) | Gateway Re II, 14.255%, (3 Month U.S. Treasury Bill +890 bps), 4/27/26 (144A) | 258,450 | ||||
3,000,000(a) | Queen Street Re, 12.855%, (3 Month U.S. Treasury Bill +750 bps), 12/8/25 (144A) | 2,980,500 | ||||
$6,838,405 | ||||||
Windstorm - U.S. Multistate - 0.0%† | ||||||
500,000(a) | Gateway Re, 5.374%, (1 Month U.S. Treasury Bill +0 bps), 12/23/24 (144A) | $ 466,600 | ||||
250,000(a) | Gateway Re, 10.855%, (1 Month U.S. Treasury Bill +550 bps), 7/8/27 (144A) | 244,000 | ||||
$710,600 | ||||||
Principal Amount USD ($) |
Value | |||||
Windstorm - U.S. Regional - 0.0%† | ||||||
1,000,000(a) | Commonwealth Re, 8.893%, (3 Month U.S. Treasury Bill +376 bps), 7/8/25 (144A) | $ 996,200 | ||||
Winterstorm - Florida - 0.1% | ||||||
1,500,000(a) | Integrity Re, 17.355%, (1 Month U.S. Treasury Bill +1,286 bps), 6/6/25 (144A) | $ 1,490,850 | ||||
1,000,000(a) | Lightning Re, 16.355%, (3 Month U.S. Treasury Bill +1,100 bps), 3/31/26 (144A) | 997,100 | ||||
$2,487,950 | ||||||
Total Event Linked Bonds | $77,879,236 | |||||
Face Amount USD ($) |
||||||
Collateralized Reinsurance - 0.5% | ||||||
Multiperil - Massachusetts - 0.0%† | ||||||
500,000(h)(i)+ | Portsalon Re 2022, 5/31/28 | $ 458,460 | ||||
Multiperil - U.S. - 0.2% | ||||||
1,750,000(h)(i)+ | Ballybunion Re 2022, 12/31/27 | $ - | ||||
3,500,000(h)(i)+ | Ballybunion Re 2023, 12/31/28 | 1,315,835 | ||||
6,730,594(h)(i)+ | Emetteur Non Renseigne-PI0047 2024-1, 12/31/29 | 7,098,028 | ||||
5,750,000(h)(i)+ | Gamboge Re, 3/31/29 | 54,283 | ||||
250,000(h)(i)+ | Mangrove Risk Solutions, 5/10/25 (144A) | 231,025 | ||||
$8,699,171 | ||||||
Multiperil - Worldwide - 0.2% | ||||||
6,000,000(h)(i)+ | Gamboge Re, 3/31/30 | $ 5,492,890 | ||||
1,000,000(h)(i)+ | Merion Re 2024-1, 12/31/29 | 920,481 | ||||
250,000(h)(i)+ | Old Head Re 2022, 12/31/27 | 125,000 | ||||
250,000(h)(i)+ | Old Head Re 2024, 12/31/29 | 222,657 | ||||
1,000,000(h)(i)+ | Pine Valley Re 2024, 12/31/28 | 912,710 | ||||
350,000(h)(i)+ | Walton Health Re 2019, 6/30/25 | 73,458 | ||||
2,500,000(h)(i)+ | Walton Health Re 2022, 12/15/27 | 364,383 | ||||
$8,111,579 | ||||||
Windstorm - Florida - 0.0%† | ||||||
1,500,000(h)(i)+ | Formby Re 2018, 2/28/25 | $ - | ||||
Windstorm - U.S. - 0.1% | ||||||
4,000,000(h)(i)+ | PI0048 RE 2024, 11/30/27 | $ 3,503,997 | ||||
Windstorm - U.S. Multistate - 0.0%† | ||||||
1,250,000(h)(i)+ | White Heron Re, 5/31/29 | $ 32,535 |
Face Amount USD ($) |
Value | |||||
Windstorm - U.S. Regional - 0.0%† | ||||||
7,255,240(h)(i)+ | Oakmont Re 2020, 3/31/27 | $ - | ||||
2,000,000(h)(i)+ | Oakmont Re 2024, 4/1/30 | 1,869,327 | ||||
$1,869,327 | ||||||
Total Collateralized Reinsurance | $22,675,069 | |||||
Reinsurance Sidecars - 1.4% | ||||||
Multiperil - U.S. - 0.0%† | ||||||
2,000,000(h)(j)+ | Harambee Re 2018, 12/31/24 | $ - | ||||
5,000,000(h)(j)+ | Harambee Re 2019, 12/31/24 | 10,000 | ||||
4,000,000(h)(j)+ | Harambee Re 2020, 12/31/24 | 92,800 | ||||
$102,800 | ||||||
Multiperil - Worldwide - 1.4% | ||||||
225,450(h)(j)+ | Alturas Re 2020-3, 9/30/24 | $ - | ||||
213,682(h)(j)+ | Alturas Re 2021-3, 7/31/25 | 9,594 | ||||
3,497,182(h)(j)+ | Alturas Re 2022-2, 12/31/27 | 275,578 | ||||
5,000,000(h)(i)+ | Bantry Re 2021, 12/31/24 | 50,000 | ||||
6,000,000(h)(i)+ | Bantry Re 2024, 12/31/29 | 6,388,976 | ||||
3,000,000(h)(i)+ | Berwick Re 2020-1, 12/31/24 | 21,527 | ||||
3,000,000(h)(i)+ | Berwick Re 2024-1, 12/31/29 | 3,159,020 | ||||
5,000,000(i)+ | Eccleston Re 2023, 11/30/28 | 386,334 | ||||
624,097(h)(i)+ | Eden Re II, 3/21/25 (144A) | 123,946 | ||||
1,040,000(h)(i)+ | Eden Re II, 3/20/26 (144A) | 255,497 | ||||
36,000(h)(i)+ | Eden Re II, 3/19/27 (144A) | 312,708 | ||||
3,500,000(h)(i)+ | Eden Re II, 3/17/28 (144A) | 3,749,200 | ||||
1,250,000(h)(i)+ | Gleneagles Re 2021, 12/31/24 | 125 | ||||
1,250,000(h)(i)+ | Gleneagles Re 2022, 12/31/27 | 489,925 | ||||
2,118,314(h)(i)+ | Gullane Re 2018, 12/31/24 | - | ||||
6,250,000(h)(i)+ | Gullane Re 2024, 12/31/29 | 6,371,092 | ||||
500,000(h)(j)+ | Lion Rock Re 2020, 1/31/25 | - | ||||
500,000(h)(j)+ | Lion Rock Re 2021, 12/31/24 | 22,000 | ||||
2,993,180(h)(j)+ | Lorenz Re 2019, 6/30/25 | 27,238 | ||||
9,000,000(h)(i)+ | Merion Re 2021-2, 12/31/24 | 1,080,000 | ||||
6,551,154(h)(i)+ | Merion Re 2022-2, 12/31/27 | 6,211,224 | ||||
2,970,693(h)(i)+ | Pangaea Re 2023-3, 5/31/29 | 3,564,832 | ||||
3,000,000(h)(i)+ | Pangaea Re 2024-1, 12/31/29 | 3,199,464 | ||||
1,250,000(h)(i)+ | Phoenix 3 Re 2023-3, 1/4/27 | 1,405,125 | ||||
10,858(h)(i)+ | Sector Re V, 12/1/27 (144A) | 326,073 | ||||
5,000,000(h)(i)+ | Sector Re V, 12/1/28 (144A) | 5,810,668 | ||||
4,600,000(h)(i)+ | Sector Re V, 12/1/28 (144A) | 5,345,814 | ||||
3,609,700(h)(i)+ | Sussex Re 2020-1, 12/31/24 | 4,693 | ||||
1,250,000(i)+ | Sussex Re 2021-1, 12/31/24 | 625 | ||||
6,000,000(h)(j)+ | Thopas Re 2020, 12/31/24 | 1,200 |
Face Amount USD ($) |
Value | |||||
Multiperil - Worldwide - (continued) | ||||||
7,000,000(h)(j)+ | Thopas Re 2021, 12/31/24 | $ 72,800 | ||||
4,000,000(j)+ | Thopas Re 2022, 12/31/27 | - | ||||
4,256,392(h)(j)+ | Thopas Re 2023, 12/31/28 | - | ||||
4,256,392(h)(j)+ | Thopas Re 2024, 12/31/29 | 4,682,882 | ||||
4,228,426(j)+ | Torricelli Re 2021, 7/31/25 | 38,479 | ||||
4,500,000(j)+ | Torricelli Re 2022, 6/30/28 | 45,900 | ||||
4,500,000(h)(j)+ | Torricelli Re 2023, 6/30/29 | 5,971,761 | ||||
1,000,000(h)(j)+ | Viribus Re 2018, 12/31/24 | - | ||||
3,650,000(h)(j)+ | Viribus Re 2019, 12/31/24 | - | ||||
4,139,570(h)(j)+ | Viribus Re 2020, 12/31/24 | 137,434 | ||||
3,000,000(h)(j)+ | Viribus Re 2022, 12/31/27 | 110,100 | ||||
2,000,000(h)(j)+ | Viribus Re 2023, 12/31/28 | 409,800 | ||||
333,333(h)(j)+ | Viribus Re 2024, 12/31/29 | 386,133 | ||||
4,979,452(h)(i)+ | Woburn Re 2019, 12/31/24 | 685,428 | ||||
$61,133,195 | ||||||
Total Reinsurance Sidecars | $61,235,995 | |||||
Total Insurance-Linked Securities (Cost $155,762,253) |
$161,790,300 | |||||
Principal Amount USD ($) |
||||||
Foreign Government Bonds - 0.5%of Net Assets |
||||||
Saudi Arabia - 0.1% | ||||||
6,127,000 | Saudi Government International Bond, 5.750%, 1/16/54 (144A) | $ 5,955,444 | ||||
Total Saudi Arabia | $5,955,444 | |||||
Supranational - 0.0%† | ||||||
250,000(a) | International Bank for Reconstruction & Development, 17.350%, 4/24/28 (144A) | $ 248,725 | ||||
Total Supranational | $248,725 | |||||
United Arab Emirates - 0.4% | ||||||
17,015,000(f) | UAE International Government Bond, 4.857%, 7/2/34 (144A) | $ 16,966,269 | ||||
Total United Arab Emirates | $16,966,269 | |||||
Total Foreign Government Bonds (Cost $23,257,490) |
$23,170,438 | |||||
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - 46.6%of Net Assets |
||||||
48,082,105 | Federal Home Loan Mortgage Corp., 1.500%, 3/1/42 | $ 38,723,859 | ||||
285,559 | Federal Home Loan Mortgage Corp., 2.000%, 2/1/42 | 241,162 | ||||
380,998 | Federal Home Loan Mortgage Corp., 2.000%, 1/1/52 | 302,369 | ||||
492,360 | Federal Home Loan Mortgage Corp., 2.000%, 1/1/52 | 386,378 | ||||
3,553,872 | Federal Home Loan Mortgage Corp., 2.000%, 3/1/52 | 2,786,293 | ||||
914,742 | Federal Home Loan Mortgage Corp., 2.000%, 3/1/52 | 727,203 | ||||
316,918 | Federal Home Loan Mortgage Corp., 2.000%, 3/1/52 | 251,929 | ||||
4,430,912 | Federal Home Loan Mortgage Corp., 2.000%, 5/1/52 | 3,528,052 | ||||
1,775,092 | Federal Home Loan Mortgage Corp., 2.500%, 1/1/51 | 1,474,522 | ||||
2,009,067 | Federal Home Loan Mortgage Corp., 2.500%, 2/1/51 | 1,679,957 | ||||
30,678,471 | Federal Home Loan Mortgage Corp., 2.500%, 5/1/51 | 25,280,606 | ||||
3,919,915 | Federal Home Loan Mortgage Corp., 2.500%, 4/1/52 | 3,210,251 | ||||
4,772,736 | Federal Home Loan Mortgage Corp., 2.500%, 5/1/52 | 3,961,616 | ||||
12,921,450 | Federal Home Loan Mortgage Corp., 2.500%, 6/1/52 | 10,561,220 | ||||
428,509 | Federal Home Loan Mortgage Corp., 3.000%, 10/1/29 | 410,515 | ||||
450,994 | Federal Home Loan Mortgage Corp., 3.000%, 9/1/42 | 399,391 | ||||
2,278,610 | Federal Home Loan Mortgage Corp., 3.000%, 11/1/42 | 2,015,748 | ||||
2,659,406 | Federal Home Loan Mortgage Corp., 3.000%, 12/1/46 | 2,326,601 | ||||
39,717 | Federal Home Loan Mortgage Corp., 3.000%, 10/1/48 | 34,509 | ||||
1,117,666 | Federal Home Loan Mortgage Corp., 3.000%, 8/1/50 | 971,312 | ||||
898,015 | Federal Home Loan Mortgage Corp., 3.000%, 8/1/50 | 781,308 | ||||
587,868 | Federal Home Loan Mortgage Corp., 3.000%, 8/1/51 | 503,879 | ||||
1,097,887 | Federal Home Loan Mortgage Corp., 3.000%, 9/1/51 | 934,227 | ||||
1,010,770 | Federal Home Loan Mortgage Corp., 3.000%, 1/1/52 | 861,540 | ||||
41,119,050 | Federal Home Loan Mortgage Corp., 3.000%, 4/1/52 | 35,012,449 | ||||
798,509 | Federal Home Loan Mortgage Corp., 3.000%, 5/1/52 | 681,344 | ||||
2,166,997 | Federal Home Loan Mortgage Corp., 3.000%, 6/1/52 | 1,843,571 | ||||
1,537,644 | Federal Home Loan Mortgage Corp., 3.000%, 6/1/52 | 1,308,148 | ||||
2,902,242 | Federal Home Loan Mortgage Corp., 3.000%, 8/1/52 | 2,509,582 | ||||
1,696,679 | Federal Home Loan Mortgage Corp., 3.000%, 9/1/52 | 1,444,118 | ||||
1,112,208 | Federal Home Loan Mortgage Corp., 3.000%, 4/1/53 | 946,496 | ||||
89,905 | Federal Home Loan Mortgage Corp., 3.500%, 7/1/45 | 81,826 | ||||
2,054,814 | Federal Home Loan Mortgage Corp., 3.500%, 7/1/46 | 1,872,700 | ||||
10,364,962 | Federal Home Loan Mortgage Corp., 3.500%, 12/1/46 | 9,391,551 | ||||
3,015,786 | Federal Home Loan Mortgage Corp., 3.500%, 3/1/48 | 2,729,394 | ||||
46,772 | Federal Home Loan Mortgage Corp., 3.500%, 1/1/52 | 41,732 | ||||
3,189,207 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | 2,845,163 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
257,466 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | $ 228,699 | ||||
2,735,502 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | 2,445,372 | ||||
1,054,170 | Federal Home Loan Mortgage Corp., 4.000%, 10/1/42 | 994,831 | ||||
12,755 | Federal Home Loan Mortgage Corp., 4.000%, 11/1/42 | 11,995 | ||||
3,049,181 | Federal Home Loan Mortgage Corp., 4.000%, 5/1/44 | 2,885,797 | ||||
421,554 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/47 | 392,634 | ||||
361,893 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/50 | 334,917 | ||||
198,711 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/51 | 182,618 | ||||
179,725 | Federal Home Loan Mortgage Corp., 4.000%, 9/1/51 | 164,666 | ||||
190,552 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/52 | 174,662 | ||||
37,236 | Federal Home Loan Mortgage Corp., 4.500%, 3/1/47 | 36,045 | ||||
4,502 | Federal Home Loan Mortgage Corp., 5.000%, 5/1/40 | 4,453 | ||||
167,414 | Federal Home Loan Mortgage Corp., 5.000%, 3/1/44 | 165,652 | ||||
1,539,078 | Federal Home Loan Mortgage Corp., 5.000%, 12/1/50 | 1,502,208 | ||||
1,075,597 | Federal Home Loan Mortgage Corp., 5.000%, 9/1/52 | 1,040,843 | ||||
454,355 | Federal Home Loan Mortgage Corp., 5.000%, 3/1/53 | 439,280 | ||||
36,377 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 35,195 | ||||
476,968 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 462,006 | ||||
231,383 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 224,007 | ||||
2,259 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/34 | 2,269 | ||||
42,856 | Federal Home Loan Mortgage Corp., 5.500%, 8/1/35 | 43,068 | ||||
34,137 | Federal Home Loan Mortgage Corp., 5.500%, 1/1/39 | 34,262 | ||||
304,216 | Federal Home Loan Mortgage Corp., 5.500%, 6/1/41 | 305,329 | ||||
2,886,716 | Federal Home Loan Mortgage Corp., 5.500%, 7/1/49 | 2,891,990 | ||||
466,587 | Federal Home Loan Mortgage Corp., 5.500%, 3/1/53 | 465,358 | ||||
1,425,497 | Federal Home Loan Mortgage Corp., 5.500%, 3/1/53 | 1,413,289 | ||||
163,826 | Federal Home Loan Mortgage Corp., 5.500%, 3/1/53 | 162,435 | ||||
489,595 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 483,765 | ||||
209,749 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 207,423 | ||||
1,857,542 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 1,837,475 | ||||
1,319,018 | Federal Home Loan Mortgage Corp., 5.500%, 6/1/53 | 1,308,798 | ||||
377,096 | Federal Home Loan Mortgage Corp., 5.500%, 7/1/53 | 375,066 | ||||
341,626 | Federal Home Loan Mortgage Corp., 5.500%, 7/1/53 | 339,300 | ||||
123,584,260 | Federal Home Loan Mortgage Corp., 5.500%, 8/1/53 | 121,925,914 | ||||
74,761,169 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/53 | 73,744,503 | ||||
74,948,779 | Federal Home Loan Mortgage Corp., 5.500%, 12/1/53 | 73,929,553 | ||||
28,646 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/33 | 29,003 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
9,506 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/33 | $ 9,626 | ||||
9,947 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/33 | 10,159 | ||||
1,183 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/33 | 1,197 | ||||
31,957 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | 32,448 | ||||
5,929 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | 5,953 | ||||
26,666 | Federal Home Loan Mortgage Corp., 6.000%, 9/1/33 | 27,161 | ||||
14,741 | Federal Home Loan Mortgage Corp., 6.000%, 11/1/33 | 14,799 | ||||
2,421 | Federal Home Loan Mortgage Corp., 6.000%, 11/1/33 | 2,485 | ||||
28,232 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/33 | 28,530 | ||||
6,178 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/33 | 6,227 | ||||
24,718 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/34 | 25,110 | ||||
7,742 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/34 | 7,892 | ||||
106,446 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/34 | 108,547 | ||||
15,455 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/34 | 15,656 | ||||
11,101 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/35 | 11,200 | ||||
34,812 | Federal Home Loan Mortgage Corp., 6.000%, 6/1/35 | 35,223 | ||||
36,260 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/36 | 36,736 | ||||
22,528 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/36 | 22,781 | ||||
2,706 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/36 | 2,770 | ||||
7,891 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/36 | 8,051 | ||||
18,625 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/38 | 19,071 | ||||
20,700 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/38 | 21,051 | ||||
868,589 | Federal Home Loan Mortgage Corp., 6.000%, 10/1/52 | 882,710 | ||||
556,765 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/53 | 560,369 | ||||
446,706 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/53 | 456,898 | ||||
371,492 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/53 | 376,242 | ||||
302,625 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 310,669 | ||||
163,858 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 164,748 | ||||
218,572 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 219,526 | ||||
296,299 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 299,052 | ||||
1,380,592 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 1,396,596 | ||||
422,765 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/53 | 426,872 | ||||
1,285,227 | Federal Home Loan Mortgage Corp., 6.000%, 6/1/53 | 1,301,217 | ||||
501,304 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/53 | 503,982 | ||||
648,500 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/53 | 653,725 | ||||
185,532 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/53 | 189,319 | ||||
136,681 | Federal Home Loan Mortgage Corp., 6.000%, 8/1/53 | 139,023 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
741,187 | Federal Home Loan Mortgage Corp., 6.000%, 9/1/53 | $ 752,419 | ||||
1,852,127 | Federal Home Loan Mortgage Corp., 6.000%, 10/1/53 | 1,879,328 | ||||
33,072,547 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/54 | 33,171,034 | ||||
99,469 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/54 | 101,952 | ||||
88,144 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/54 | 89,339 | ||||
496,996 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/54 | 500,268 | ||||
99,750 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/54 | 100,291 | ||||
99,745 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/54 | 100,615 | ||||
98,111 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/54 | 98,404 | ||||
118 | Federal Home Loan Mortgage Corp., 6.500%, 11/1/30 | 122 | ||||
112 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/31 | 115 | ||||
1,566 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/31 | 1,610 | ||||
3,132 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/31 | 3,227 | ||||
168 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/31 | 171 | ||||
2,341 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/31 | 2,397 | ||||
2,862 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/32 | 2,927 | ||||
26 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/33 | 27 | ||||
10,751 | Federal Home Loan Mortgage Corp., 6.500%, 10/1/33 | 11,096 | ||||
398,022 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/43 | 405,148 | ||||
1,093,676 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/53 | 1,124,434 | ||||
7,398,403 | Federal Home Loan Mortgage Corp., 6.500%, 2/1/53 | 7,741,674 | ||||
322,398 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/53 | 331,948 | ||||
257,888 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/53 | 264,390 | ||||
649,716 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/53 | 672,000 | ||||
2,617,775 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/53 | 2,694,341 | ||||
642,174 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/53 | 655,928 | ||||
614,471 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/53 | 628,336 | ||||
974,105 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/53 | 1,011,972 | ||||
577,800 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/53 | 599,433 | ||||
9,386,387 | Federal Home Loan Mortgage Corp., 6.500%, 10/1/53 | 9,555,032 | ||||
198,626 | Federal Home Loan Mortgage Corp., 6.500%, 10/1/53 | 202,727 | ||||
291,707 | Federal Home Loan Mortgage Corp., 6.500%, 12/1/53 | 298,300 | ||||
99,170 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/54 | 101,254 | ||||
249,522 | Federal Home Loan Mortgage Corp., 6.500%, 2/1/54 | 255,917 | ||||
199,230 | Federal Home Loan Mortgage Corp., 6.500%, 2/1/54 | 203,530 | ||||
16,970 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 17,466 | ||||
99,100 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 102,035 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
299,285 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | $ 310,604 | ||||
167,399 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 171,774 | ||||
99,774 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 102,045 | ||||
199,312 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 204,731 | ||||
99,777 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 102,894 | ||||
398,955 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 407,539 | ||||
99,622 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 102,052 | ||||
399,051 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 412,242 | ||||
99,568 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 102,611 | ||||
199,535 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 203,927 | ||||
99,363 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/54 | 101,952 | ||||
198,572 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 204,826 | ||||
299,132 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 307,648 | ||||
99,814 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 102,663 | ||||
398,971 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 409,040 | ||||
273,244 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 280,672 | ||||
99,716 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 101,836 | ||||
99,753 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 104,123 | ||||
99,839 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 102,891 | ||||
199,700 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 205,385 | ||||
197,292 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 202,526 | ||||
99,696 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 104,193 | ||||
99,850 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 102,203 | ||||
99,772 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/54 | 102,049 | ||||
27,731,864 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/54 | 28,228,326 | ||||
395,833 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/54 | 408,300 | ||||
289,814 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/54 | 299,869 | ||||
426,296 | Federal Home Loan Mortgage Corp., 6.500%, 6/1/54 | 438,179 | ||||
598,936 | Federal Home Loan Mortgage Corp., 6.500%, 6/1/54 | 613,531 | ||||
538,794 | Federal Home Loan Mortgage Corp., 6.500%, 6/1/54 | 551,491 | ||||
1,000,000 | Federal Home Loan Mortgage Corp., 6.500%, 6/1/54 | 1,026,133 | ||||
343,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 352,443 | ||||
457,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 466,265 | ||||
407,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 419,255 | ||||
207,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 213,956 | ||||
200,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 207,134 | ||||
213,000 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/54 | 220,945 | ||||
761 | Federal Home Loan Mortgage Corp., 7.000%, 11/1/30 | 783 | ||||
99,117 | Federal Home Loan Mortgage Corp., 7.000%, 3/1/54 | 104,425 | ||||
99,834 | Federal Home Loan Mortgage Corp., 7.000%, 4/1/54 | 103,663 | ||||
300,000 | Federal Home Loan Mortgage Corp., 7.000%, 6/1/54 | 309,562 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
481,479 | Federal Home Loan Mortgage Corp., 7.000%, 6/1/54 | $ 499,421 | ||||
695,000 | Federal Home Loan Mortgage Corp., 7.000%, 6/1/54 | 720,625 | ||||
357,000 | Federal Home Loan Mortgage Corp., 7.000%, 6/1/54 | 370,626 | ||||
153,000 | Federal Home Loan Mortgage Corp., 7.000%, 6/1/54 | 158,396 | ||||
58,809,020 | Federal National Mortgage Association, 1.500%, 3/1/42 | 47,396,031 | ||||
4,000,000 | Federal National Mortgage Association, 2.000%, 7/15/39 (TBA) | 3,514,375 | ||||
18,801,064 | Federal National Mortgage Association, 2.000%, 12/1/41 | 15,726,148 | ||||
3,997,413 | Federal National Mortgage Association, 2.000%, 2/1/42 | 3,341,939 | ||||
965,200 | Federal National Mortgage Association, 2.000%, 2/1/42 | 807,151 | ||||
356,014 | Federal National Mortgage Association, 2.000%, 2/1/42 | 297,270 | ||||
873,142 | Federal National Mortgage Association, 2.000%, 11/1/50 | 696,191 | ||||
579,813 | Federal National Mortgage Association, 2.000%, 1/1/51 | 465,595 | ||||
9,866,629 | Federal National Mortgage Association, 2.000%, 11/1/51 | 7,878,789 | ||||
3,470,231 | Federal National Mortgage Association, 2.000%, 11/1/51 | 2,762,579 | ||||
10,448,196 | Federal National Mortgage Association, 2.000%, 3/1/52 | 8,193,189 | ||||
388,883 | Federal National Mortgage Association, 2.000%, 3/1/52 | 308,060 | ||||
7,904,912 | Federal National Mortgage Association, 2.000%, 3/1/52 | 6,194,353 | ||||
5,257,971 | Federal National Mortgage Association, 2.000%, 3/1/52 | 4,187,870 | ||||
153,000,000 | Federal National Mortgage Association, 2.000%, 7/15/54 (TBA) | 119,638,829 | ||||
305,460 | Federal National Mortgage Association, 2.500%, 7/1/30 | 287,229 | ||||
264,469 | Federal National Mortgage Association, 2.500%, 7/1/30 | 248,835 | ||||
471,221 | Federal National Mortgage Association, 2.500%, 7/1/30 | 443,361 | ||||
3,000,000 | Federal National Mortgage Association, 2.500%, 7/15/39 (TBA) | 2,708,437 | ||||
2,609,178 | Federal National Mortgage Association, 2.500%, 4/1/42 | 2,267,701 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
97,323 | Federal National Mortgage Association, 2.500%, 12/1/42 | $ 82,402 | ||||
85,028 | Federal National Mortgage Association, 2.500%, 12/1/42 | 71,994 | ||||
87,698 | Federal National Mortgage Association, 2.500%, 1/1/43 | 74,253 | ||||
969,138 | Federal National Mortgage Association, 2.500%, 2/1/43 | 820,575 | ||||
36,058 | Federal National Mortgage Association, 2.500%, 2/1/43 | 30,264 | ||||
35,267 | Federal National Mortgage Association, 2.500%, 2/1/43 | 30,310 | ||||
112,387 | Federal National Mortgage Association, 2.500%, 3/1/43 | 95,170 | ||||
64,904 | Federal National Mortgage Association, 2.500%, 4/1/43 | 55,135 | ||||
98,632 | Federal National Mortgage Association, 2.500%, 8/1/43 | 83,521 | ||||
43,955 | Federal National Mortgage Association, 2.500%, 12/1/43 | 37,224 | ||||
95,320 | Federal National Mortgage Association, 2.500%, 3/1/44 | 80,421 | ||||
560,295 | Federal National Mortgage Association, 2.500%, 4/1/45 | 473,060 | ||||
532,621 | Federal National Mortgage Association, 2.500%, 4/1/45 | 449,652 | ||||
206,340 | Federal National Mortgage Association, 2.500%, 4/1/45 | 174,204 | ||||
97,498 | Federal National Mortgage Association, 2.500%, 4/1/45 | 82,316 | ||||
175,825 | Federal National Mortgage Association, 2.500%, 4/1/45 | 148,436 | ||||
227,845 | Federal National Mortgage Association, 2.500%, 4/1/45 | 192,466 | ||||
60,985 | Federal National Mortgage Association, 2.500%, 4/1/45 | 51,489 | ||||
96,262 | Federal National Mortgage Association, 2.500%, 4/1/45 | 81,270 | ||||
19,692 | Federal National Mortgage Association, 2.500%, 5/1/45 | 16,625 | ||||
42,890 | Federal National Mortgage Association, 2.500%, 7/1/45 | 36,211 | ||||
48,830 | Federal National Mortgage Association, 2.500%, 8/1/45 | 41,220 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
38,044 | Federal National Mortgage Association, 2.500%, 1/1/46 | $ 31,954 | ||||
1,777,173 | Federal National Mortgage Association, 2.500%, 5/1/46 | 1,485,832 | ||||
1,872,871 | Federal National Mortgage Association, 2.500%, 6/1/46 | 1,571,424 | ||||
5,648,351 | Federal National Mortgage Association, 2.500%, 3/1/47 | 4,721,952 | ||||
11,706,387 | Federal National Mortgage Association, 2.500%, 8/1/50 | 9,826,258 | ||||
508,396 | Federal National Mortgage Association, 2.500%, 9/1/50 | 428,321 | ||||
271,181 | Federal National Mortgage Association, 2.500%, 10/1/50 | 228,517 | ||||
33,362,260 | Federal National Mortgage Association, 2.500%, 5/1/51 | 27,900,683 | ||||
14,249,089 | Federal National Mortgage Association, 2.500%, 5/1/51 | 11,925,915 | ||||
46,473,137 | Federal National Mortgage Association, 2.500%, 11/1/51 | 38,788,092 | ||||
1,439,950 | Federal National Mortgage Association, 2.500%, 1/1/52 | 1,201,586 | ||||
30,609,948 | Federal National Mortgage Association, 2.500%, 1/1/52 | 25,380,360 | ||||
1,658,323 | Federal National Mortgage Association, 2.500%, 2/1/52 | 1,380,078 | ||||
24,912,977 | Federal National Mortgage Association, 2.500%, 4/1/52 | 20,399,227 | ||||
3,728,298 | Federal National Mortgage Association, 2.500%, 4/1/52 | 3,100,219 | ||||
3,614,995 | Federal National Mortgage Association, 2.500%, 4/1/52 | 2,959,740 | ||||
24,134,765 | Federal National Mortgage Association, 2.500%, 4/1/52 | 19,762,007 | ||||
2,370,977 | Federal National Mortgage Association, 2.500%, 4/1/52 | 1,941,053 | ||||
3,402,506 | Federal National Mortgage Association, 2.500%, 4/1/52 | 2,852,486 | ||||
1,267,892 | Federal National Mortgage Association, 2.500%, 7/1/52 | 1,036,523 | ||||
87,000,000 | Federal National Mortgage Association, 2.500%, 7/15/54 (TBA) | 71,030,742 | ||||
812,309 | Federal National Mortgage Association, 3.000%, 10/1/30 | 772,985 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
299,952 | Federal National Mortgage Association, 3.000%, 4/1/31 | $ 284,791 | ||||
150,035 | Federal National Mortgage Association, 3.000%, 6/1/40 | 134,710 | ||||
282,693 | Federal National Mortgage Association, 3.000%, 8/1/45 | 248,839 | ||||
1,510,771 | Federal National Mortgage Association, 3.000%, 2/1/47 | 1,333,314 | ||||
1,678,730 | Federal National Mortgage Association, 3.000%, 4/1/47 | 1,475,108 | ||||
1,128,078 | Federal National Mortgage Association, 3.000%, 12/1/47 | 990,076 | ||||
30,611,230 | Federal National Mortgage Association, 3.000%, 2/1/51 | 26,549,936 | ||||
1,013,037 | Federal National Mortgage Association, 3.000%, 4/1/51 | 884,289 | ||||
231,805 | Federal National Mortgage Association, 3.000%, 8/1/51 | 197,608 | ||||
6,572,974 | Federal National Mortgage Association, 3.000%, 11/1/51 | 5,678,554 | ||||
1,148,549 | Federal National Mortgage Association, 3.000%, 11/1/51 | 977,285 | ||||
13,885,758 | Federal National Mortgage Association, 3.000%, 1/1/52 | 12,020,558 | ||||
18,697,516 | Federal National Mortgage Association, 3.000%, 3/1/52 | 16,318,010 | ||||
7,304,627 | Federal National Mortgage Association, 3.000%, 3/1/52 | 6,220,835 | ||||
1,146,485 | Federal National Mortgage Association, 3.000%, 4/1/52 | 975,609 | ||||
66,097,910 | Federal National Mortgage Association, 3.000%, 6/1/52 | 56,296,812 | ||||
2,738,103 | Federal National Mortgage Association, 3.000%, 6/1/52 | 2,331,270 | ||||
961,416 | Federal National Mortgage Association, 3.000%, 6/1/52 | 818,126 | ||||
5,071,374 | Federal National Mortgage Association, 3.000%, 2/1/57 | 4,293,393 | ||||
601,329 | Federal National Mortgage Association, 3.500%, 6/1/28 | 583,870 | ||||
204,324 | Federal National Mortgage Association, 3.500%, 10/1/41 | 187,847 | ||||
1,235,571 | Federal National Mortgage Association, 3.500%, 11/1/41 | 1,146,039 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
98,209 | Federal National Mortgage Association, 3.500%, 10/1/42 | $ 90,795 | ||||
143,987 | Federal National Mortgage Association, 3.500%, 12/1/42 | 132,381 | ||||
160,049 | Federal National Mortgage Association, 3.500%, 12/1/42 | 146,608 | ||||
1,119,483 | Federal National Mortgage Association, 3.500%, 9/1/45 | 1,014,589 | ||||
148,297 | Federal National Mortgage Association, 3.500%, 10/1/45 | 134,913 | ||||
32,358 | Federal National Mortgage Association, 3.500%, 2/1/47 | 29,608 | ||||
42,701 | Federal National Mortgage Association, 3.500%, 7/1/47 | 39,171 | ||||
39,201 | Federal National Mortgage Association, 3.500%, 10/1/47 | 35,287 | ||||
209,512 | Federal National Mortgage Association, 3.500%, 12/1/47 | 191,216 | ||||
3,339,928 | Federal National Mortgage Association, 3.500%, 1/1/48 | 3,023,105 | ||||
28,026 | Federal National Mortgage Association, 3.500%, 2/1/49 | 25,302 | ||||
947,619 | Federal National Mortgage Association, 3.500%, 5/1/49 | 865,422 | ||||
639,996 | Federal National Mortgage Association, 3.500%, 5/1/49 | 582,511 | ||||
16,318 | Federal National Mortgage Association, 3.500%, 7/1/49 | 14,641 | ||||
403,617 | Federal National Mortgage Association, 3.500%, 3/1/52 | 361,215 | ||||
1,060,659 | Federal National Mortgage Association, 3.500%, 3/1/52 | 945,852 | ||||
737,491 | Federal National Mortgage Association, 3.500%, 4/1/52 | 655,606 | ||||
3,038,005 | Federal National Mortgage Association, 3.500%, 4/1/52 | 2,707,307 | ||||
1,849,406 | Federal National Mortgage Association, 3.500%, 4/1/52 | 1,653,246 | ||||
5,294,881 | Federal National Mortgage Association, 3.500%, 5/1/52 | 4,723,724 | ||||
426,542 | Federal National Mortgage Association, 3.500%, 6/1/52 | 380,275 | ||||
563,308 | Federal National Mortgage Association, 3.500%, 6/1/52 | 498,937 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
5,696,446 | Federal National Mortgage Association, 3.500%, 6/1/52 | $ 5,045,616 | ||||
117,000,000 | Federal National Mortgage Association, 3.500%, 7/1/54 (TBA) | 103,545,000 | ||||
302,668 | Federal National Mortgage Association, 3.500%, 8/1/58 | 267,159 | ||||
760 | Federal National Mortgage Association, 4.000%, 10/1/25 | 750 | ||||
59,095 | Federal National Mortgage Association, 4.000%, 11/1/34 | 57,125 | ||||
556,206 | Federal National Mortgage Association, 4.000%, 4/1/39 | 524,950 | ||||
2,232,822 | Federal National Mortgage Association, 4.000%, 10/1/40 | 2,107,115 | ||||
376,159 | Federal National Mortgage Association, 4.000%, 12/1/40 | 354,981 | ||||
78,673 | Federal National Mortgage Association, 4.000%, 7/1/42 | 74,009 | ||||
2,195,375 | Federal National Mortgage Association, 4.000%, 4/1/44 | 2,071,374 | ||||
35,730 | Federal National Mortgage Association, 4.000%, 6/1/45 | 33,816 | ||||
188,542 | Federal National Mortgage Association, 4.000%, 7/1/45 | 176,549 | ||||
49,423 | Federal National Mortgage Association, 4.000%, 5/1/51 | 45,430 | ||||
7,154,874 | Federal National Mortgage Association, 4.000%, 7/1/51 | 6,590,687 | ||||
152,216 | Federal National Mortgage Association, 4.000%, 8/1/51 | 139,843 | ||||
2,219,924 | Federal National Mortgage Association, 4.000%, 9/1/51 | 2,052,327 | ||||
248,928 | Federal National Mortgage Association, 4.000%, 6/1/52 | 228,032 | ||||
52,000,000 | Federal National Mortgage Association, 4.000%, 7/1/54 (TBA) | 47,577,969 | ||||
37,814 | Federal National Mortgage Association, 4.500%, 10/1/35 | 36,595 | ||||
95,822 | Federal National Mortgage Association, 4.500%, 8/1/40 | 92,814 | ||||
87,385 | Federal National Mortgage Association, 4.500%, 2/1/41 | 84,882 | ||||
3,991,388 | Federal National Mortgage Association, 4.500%, 9/1/43 | 3,877,182 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
2,685,034 | Federal National Mortgage Association, 4.500%, 1/1/44 | $ 2,608,113 | ||||
145,946 | Federal National Mortgage Association, 4.500%, 1/1/47 | 141,042 | ||||
55,103 | Federal National Mortgage Association, 4.500%, 2/1/47 | 53,252 | ||||
32,000,000 | Federal National Mortgage Association, 4.500%, 7/1/54 (TBA) | 30,166,250 | ||||
23,761 | Federal National Mortgage Association, 5.000%, 7/1/34 | 23,438 | ||||
40,535 | Federal National Mortgage Association, 5.000%, 10/1/34 | 39,984 | ||||
167,896 | Federal National Mortgage Association, 5.000%, 2/1/39 | 165,615 | ||||
3,908,672 | Federal National Mortgage Association, 5.000%, 12/1/44 | 3,865,038 | ||||
420,193 | Federal National Mortgage Association, 5.000%, 9/1/49 | 414,075 | ||||
5,611,960 | Federal National Mortgage Association, 5.000%, 8/1/52 | 5,433,352 | ||||
3,707,829 | Federal National Mortgage Association, 5.000%, 11/1/52 | 3,589,716 | ||||
420,078 | Federal National Mortgage Association, 5.000%, 2/1/53 | 407,407 | ||||
661,335 | Federal National Mortgage Association, 5.000%, 2/1/53 | 641,688 | ||||
868,201 | Federal National Mortgage Association, 5.000%, 2/1/53 | 844,908 | ||||
1,458,807 | Federal National Mortgage Association, 5.000%, 4/1/53 | 1,412,368 | ||||
416,280 | Federal National Mortgage Association, 5.000%, 4/1/53 | 403,173 | ||||
613,486 | Federal National Mortgage Association, 5.000%, 4/1/53 | 593,559 | ||||
12,000,000 | Federal National Mortgage Association, 5.000%, 7/1/54 (TBA) | 11,596,875 | ||||
3,935 | Federal National Mortgage Association, 5.500%, 6/1/33 | 3,945 | ||||
20,468 | Federal National Mortgage Association, 5.500%, 7/1/33 | 20,770 | ||||
130,950 | Federal National Mortgage Association, 5.500%, 7/1/34 | 131,428 | ||||
5,287 | Federal National Mortgage Association, 5.500%, 10/1/35 | 5,280 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
34,664 | Federal National Mortgage Association, 5.500%, 3/1/36 | $ 34,552 | ||||
31,116 | Federal National Mortgage Association, 5.500%, 5/1/36 | 31,230 | ||||
43,608 | Federal National Mortgage Association, 5.500%, 6/1/36 | 43,768 | ||||
15,000,000 | Federal National Mortgage Association, 5.500%, 7/15/39 (TBA) | 15,027,291 | ||||
729,504 | Federal National Mortgage Association, 5.500%, 5/1/49 | 730,162 | ||||
2,471,629 | Federal National Mortgage Association, 5.500%, 4/1/50 | 2,475,636 | ||||
5,602,450 | Federal National Mortgage Association, 5.500%, 4/1/50 | 5,612,684 | ||||
1,246,816 | Federal National Mortgage Association, 5.500%, 11/1/52 | 1,233,454 | ||||
2,246,109 | Federal National Mortgage Association, 5.500%, 2/1/53 | 2,220,248 | ||||
2,109,239 | Federal National Mortgage Association, 5.500%, 4/1/53 | 2,085,569 | ||||
1,744,221 | Federal National Mortgage Association, 5.500%, 4/1/53 | 1,724,647 | ||||
324,620 | Federal National Mortgage Association, 5.500%, 4/1/53 | 323,126 | ||||
1,084,756 | Federal National Mortgage Association, 5.500%, 4/1/53 | 1,072,818 | ||||
1,437,010 | Federal National Mortgage Association, 5.500%, 4/1/53 | 1,432,906 | ||||
577,527 | Federal National Mortgage Association, 5.500%, 4/1/53 | 570,142 | ||||
1,405,357 | Federal National Mortgage Association, 5.500%, 7/1/53 | 1,399,418 | ||||
894,064 | Federal National Mortgage Association, 5.500%, 7/1/53 | 883,811 | ||||
295,328 | Federal National Mortgage Association, 5.500%, 8/1/53 | 294,854 | ||||
20,147,897 | Federal National Mortgage Association, 5.500%, 9/1/53 | 19,881,308 | ||||
4,115,950 | Federal National Mortgage Association, 5.500%, 9/1/53 | 4,063,260 | ||||
655,898 | Federal National Mortgage Association, 5.500%, 10/1/53 | 653,272 | ||||
6,866 | Federal National Mortgage Association, 5.720%, 11/1/28 | 6,811 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
10,043 | Federal National Mortgage Association, 5.720%, 6/1/29 | $ 9,996 | ||||
17,716 | Federal National Mortgage Association, 5.900%, 4/1/28 | 17,635 | ||||
156 | Federal National Mortgage Association, 6.000%, 9/1/29 | 158 | ||||
455 | Federal National Mortgage Association, 6.000%, 1/1/32 | 461 | ||||
3,374 | Federal National Mortgage Association, 6.000%, 2/1/32 | 3,461 | ||||
1,342 | Federal National Mortgage Association, 6.000%, 3/1/32 | 1,368 | ||||
806 | Federal National Mortgage Association, 6.000%, 8/1/32 | 823 | ||||
123 | Federal National Mortgage Association, 6.000%, 9/1/32 | 127 | ||||
10,677 | Federal National Mortgage Association, 6.000%, 10/1/32 | 10,880 | ||||
3,222 | Federal National Mortgage Association, 6.000%, 2/1/33 | 3,266 | ||||
16,871 | Federal National Mortgage Association, 6.000%, 3/1/33 | 17,109 | ||||
17,143 | Federal National Mortgage Association, 6.000%, 4/1/33 | 17,327 | ||||
36,443 | Federal National Mortgage Association, 6.000%, 7/1/33 | 36,550 | ||||
8,894 | Federal National Mortgage Association, 6.000%, 11/1/33 | 8,954 | ||||
30,384 | Federal National Mortgage Association, 6.000%, 8/1/34 | 30,908 | ||||
2,981 | Federal National Mortgage Association, 6.000%, 9/1/34 | 3,002 | ||||
7,907 | Federal National Mortgage Association, 6.000%, 9/1/34 | 8,050 | ||||
19,271 | Federal National Mortgage Association, 6.000%, 9/1/34 | 19,400 | ||||
898 | Federal National Mortgage Association, 6.000%, 9/1/34 | 907 | ||||
2,833 | Federal National Mortgage Association, 6.000%, 10/1/34 | 2,890 | ||||
3,067 | Federal National Mortgage Association, 6.000%, 11/1/34 | 3,129 | ||||
29,672 | Federal National Mortgage Association, 6.000%, 11/1/34 | 30,022 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
1,011 | Federal National Mortgage Association, 6.000%, 2/1/35 | $ 1,031 | ||||
2,172 | Federal National Mortgage Association, 6.000%, 2/1/35 | 2,215 | ||||
44,177 | Federal National Mortgage Association, 6.000%, 4/1/35 | 45,329 | ||||
3,525 | Federal National Mortgage Association, 6.000%, 5/1/35 | 3,587 | ||||
64,242 | Federal National Mortgage Association, 6.000%, 10/1/35 | 64,924 | ||||
31,626 | Federal National Mortgage Association, 6.000%, 12/1/35 | 32,001 | ||||
6,867 | Federal National Mortgage Association, 6.000%, 12/1/37 | 7,023 | ||||
54,188 | Federal National Mortgage Association, 6.000%, 6/1/38 | 55,309 | ||||
6,370 | Federal National Mortgage Association, 6.000%, 7/1/38 | 6,418 | ||||
2,379,730 | Federal National Mortgage Association, 6.000%, 1/1/53 | 2,428,719 | ||||
753,987 | Federal National Mortgage Association, 6.000%, 1/1/53 | 764,769 | ||||
765,045 | Federal National Mortgage Association, 6.000%, 2/1/53 | 770,083 | ||||
278,354 | Federal National Mortgage Association, 6.000%, 2/1/53 | 284,705 | ||||
233,943 | Federal National Mortgage Association, 6.000%, 3/1/53 | 235,679 | ||||
285,694 | Federal National Mortgage Association, 6.000%, 3/1/53 | 288,551 | ||||
559,513 | Federal National Mortgage Association, 6.000%, 4/1/53 | 562,475 | ||||
950,653 | Federal National Mortgage Association, 6.000%, 4/1/53 | 956,286 | ||||
3,216,595 | Federal National Mortgage Association, 6.000%, 5/1/53 | 3,282,970 | ||||
2,904,575 | Federal National Mortgage Association, 6.000%, 5/1/53 | 2,942,822 | ||||
252,868 | Federal National Mortgage Association, 6.000%, 6/1/53 | 256,491 | ||||
256,030 | Federal National Mortgage Association, 6.000%, 6/1/53 | 258,161 | ||||
286,819 | Federal National Mortgage Association, 6.000%, 6/1/53 | 288,080 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
380,024 | Federal National Mortgage Association, 6.000%, 6/1/53 | $ 382,220 | ||||
338,848 | Federal National Mortgage Association, 6.000%, 6/1/53 | 340,622 | ||||
1,371,269 | Federal National Mortgage Association, 6.000%, 6/1/53 | 1,389,455 | ||||
973,878 | Federal National Mortgage Association, 6.000%, 6/1/53 | 987,184 | ||||
148,575 | Federal National Mortgage Association, 6.000%, 7/1/53 | 150,093 | ||||
3,215,716 | Federal National Mortgage Association, 6.000%, 7/1/53 | 3,255,521 | ||||
1,950,762 | Federal National Mortgage Association, 6.000%, 7/1/53 | 2,005,240 | ||||
2,640,443 | Federal National Mortgage Association, 6.000%, 7/1/53 | 2,721,630 | ||||
1,827,364 | Federal National Mortgage Association, 6.000%, 7/1/53 | 1,852,604 | ||||
580,328 | Federal National Mortgage Association, 6.000%, 7/1/53 | 587,946 | ||||
974,246 | Federal National Mortgage Association, 6.000%, 8/1/53 | 982,156 | ||||
5,560,351 | Federal National Mortgage Association, 6.000%, 8/1/53 | 5,627,789 | ||||
25,035,273 | Federal National Mortgage Association, 6.000%, 9/1/53 | 25,129,538 | ||||
198,241 | Federal National Mortgage Association, 6.000%, 9/1/53 | 200,037 | ||||
486,071 | Federal National Mortgage Association, 6.000%, 9/1/53 | 488,962 | ||||
572,470 | Federal National Mortgage Association, 6.000%, 10/1/53 | 582,720 | ||||
1,136,990 | Federal National Mortgage Association, 6.000%, 10/1/53 | 1,153,688 | ||||
878,171 | Federal National Mortgage Association, 6.000%, 10/1/53 | 890,561 | ||||
2,335,793 | Federal National Mortgage Association, 6.000%, 11/1/53 | 2,345,662 | ||||
389,845 | Federal National Mortgage Association, 6.000%, 2/1/54 | 395,698 | ||||
11,744,739 | Federal National Mortgage Association, 6.000%, 2/1/54 | 11,779,709 | ||||
299,158 | Federal National Mortgage Association, 6.000%, 3/1/54 | 301,247 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
99,592 | Federal National Mortgage Association, 6.000%, 3/1/54 | $ 101,456 | ||||
199,481 | Federal National Mortgage Association, 6.000%, 3/1/54 | 200,557 | ||||
198,348 | Federal National Mortgage Association, 6.000%, 4/1/54 | 200,057 | ||||
3,313 | Federal National Mortgage Association, 6.500%, 7/1/29 | 3,408 | ||||
242 | Federal National Mortgage Association, 6.500%, 4/1/31 | 248 | ||||
1,030 | Federal National Mortgage Association, 6.500%, 5/1/31 | 1,058 | ||||
1,555 | Federal National Mortgage Association, 6.500%, 9/1/31 | 1,583 | ||||
1,690 | Federal National Mortgage Association, 6.500%, 9/1/31 | 1,720 | ||||
430 | Federal National Mortgage Association, 6.500%, 10/1/31 | 440 | ||||
29,424 | Federal National Mortgage Association, 6.500%, 12/1/31 | 30,269 | ||||
2,929 | Federal National Mortgage Association, 6.500%, 2/1/32 | 3,011 | ||||
8,607 | Federal National Mortgage Association, 6.500%, 3/1/32 | 8,801 | ||||
15,810 | Federal National Mortgage Association, 6.500%, 7/1/32 | 16,093 | ||||
9,611 | Federal National Mortgage Association, 6.500%, 7/1/34 | 9,853 | ||||
30,417 | Federal National Mortgage Association, 6.500%, 11/1/37 | 31,696 | ||||
8,315 | Federal National Mortgage Association, 6.500%, 11/1/47 | 8,428 | ||||
205,264 | Federal National Mortgage Association, 6.500%, 2/1/53 | 210,930 | ||||
1,835,660 | Federal National Mortgage Association, 6.500%, 3/1/53 | 1,891,449 | ||||
385,733 | Federal National Mortgage Association, 6.500%, 3/1/53 | 397,820 | ||||
1,649,350 | Federal National Mortgage Association, 6.500%, 3/1/53 | 1,696,498 | ||||
201,062 | Federal National Mortgage Association, 6.500%, 4/1/53 | 206,410 | ||||
337,755 | Federal National Mortgage Association, 6.500%, 4/1/53 | 350,499 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
384,852 | Federal National Mortgage Association, 6.500%, 4/1/53 | $ 394,562 | ||||
156,601 | Federal National Mortgage Association, 6.500%, 4/1/53 | 159,590 | ||||
475,068 | Federal National Mortgage Association, 6.500%, 7/1/53 | 485,152 | ||||
375,402 | Federal National Mortgage Association, 6.500%, 7/1/53 | 385,184 | ||||
2,227,526 | Federal National Mortgage Association, 6.500%, 8/1/53 | 2,288,080 | ||||
954,495 | Federal National Mortgage Association, 6.500%, 8/1/53 | 982,412 | ||||
299,165 | Federal National Mortgage Association, 6.500%, 8/1/53 | 305,796 | ||||
601,218 | Federal National Mortgage Association, 6.500%, 8/1/53 | 614,107 | ||||
638,546 | Federal National Mortgage Association, 6.500%, 8/1/53 | 654,541 | ||||
4,193,354 | Federal National Mortgage Association, 6.500%, 9/1/53 | 4,310,793 | ||||
929,973 | Federal National Mortgage Association, 6.500%, 9/1/53 | 955,691 | ||||
84,275 | Federal National Mortgage Association, 6.500%, 10/1/53 | 86,435 | ||||
184,382 | Federal National Mortgage Association, 6.500%, 11/1/53 | 188,919 | ||||
1,498,819 | Federal National Mortgage Association, 6.500%, 12/1/53 | 1,528,050 | ||||
99,728 | Federal National Mortgage Association, 6.500%, 2/1/54 | 102,776 | ||||
248,532 | Federal National Mortgage Association, 6.500%, 2/1/54 | 253,394 | ||||
398,349 | Federal National Mortgage Association, 6.500%, 2/1/54 | 406,946 | ||||
98,566 | Federal National Mortgage Association, 6.500%, 3/1/54 | 101,141 | ||||
299,106 | Federal National Mortgage Association, 6.500%, 3/1/54 | 306,147 | ||||
99,768 | Federal National Mortgage Association, 6.500%, 3/1/54 | 102,012 | ||||
199,246 | Federal National Mortgage Association, 6.500%, 3/1/54 | 204,261 | ||||
188,877 | Federal National Mortgage Association, 6.500%, 3/1/54 | 194,242 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
199,430 | Federal National Mortgage Association, 6.500%, 3/1/54 | $ 204,793 | ||||
99,732 | Federal National Mortgage Association, 6.500%, 3/1/54 | 102,378 | ||||
93,662 | Federal National Mortgage Association, 6.500%, 3/1/54 | 96,026 | ||||
99,771 | Federal National Mortgage Association, 6.500%, 3/1/54 | 101,599 | ||||
99,772 | Federal National Mortgage Association, 6.500%, 3/1/54 | 103,296 | ||||
99,753 | Federal National Mortgage Association, 6.500%, 3/1/54 | 101,949 | ||||
99,778 | Federal National Mortgage Association, 6.500%, 3/1/54 | 102,827 | ||||
99,685 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,894 | ||||
95,674 | Federal National Mortgage Association, 6.500%, 4/1/54 | 98,401 | ||||
92,661 | Federal National Mortgage Association, 6.500%, 4/1/54 | 95,120 | ||||
298,412 | Federal National Mortgage Association, 6.500%, 4/1/54 | 305,943 | ||||
99,734 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,258 | ||||
99,779 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,494 | ||||
99,815 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,167 | ||||
99,852 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,025 | ||||
99,681 | Federal National Mortgage Association, 6.500%, 4/1/54 | 102,110 | ||||
36,494,627 | Federal National Mortgage Association, 6.500%, 5/1/54 | 37,147,963 | ||||
235,809 | Federal National Mortgage Association, 6.500%, 5/1/54 | 244,653 | ||||
1,098,829 | Federal National Mortgage Association, 6.500%, 5/1/54 | 1,127,981 | ||||
699,356 | Federal National Mortgage Association, 6.500%, 5/1/54 | 717,007 | ||||
99,905 | Federal National Mortgage Association, 6.500%, 5/1/54 | 102,516 | ||||
2,221,008 | Federal National Mortgage Association, 6.500%, 5/1/54 | 2,265,978 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
1,800,897 | Federal National Mortgage Association, 6.500%, 5/1/54 | $ 1,842,000 | ||||
17,778,304 | Federal National Mortgage Association, 6.500%, 6/1/54 | 18,096,576 | ||||
200,000 | Federal National Mortgage Association, 6.500%, 6/1/54 | 206,510 | ||||
99,893 | Federal National Mortgage Association, 6.500%, 6/1/54 | 102,678 | ||||
221,975 | Federal National Mortgage Association, 6.500%, 6/1/54 | 229,522 | ||||
899,356 | Federal National Mortgage Association, 6.500%, 6/1/54 | 920,849 | ||||
263,550 | Federal National Mortgage Association, 6.500%, 6/1/54 | 268,726 | ||||
300,000 | Federal National Mortgage Association, 6.500%, 6/1/54 | 309,985 | ||||
214,000 | Federal National Mortgage Association, 6.500%, 7/1/54 | 219,517 | ||||
3,336,736 | Federal National Mortgage Association, 6.500%, 7/1/54 | 3,396,471 | ||||
22,000,000 | Federal National Mortgage Association, 6.500%, 7/15/54 (TBA) | 22,390,156 | ||||
2,146 | Federal National Mortgage Association, 7.000%, 12/1/30 | 2,207 | ||||
1,517 | Federal National Mortgage Association, 7.000%, 4/1/31 | 1,560 | ||||
2,388 | Federal National Mortgage Association, 7.000%, 9/1/31 | 2,456 | ||||
9,349 | Federal National Mortgage Association, 7.000%, 12/1/31 | 9,615 | ||||
5,211 | Federal National Mortgage Association, 7.000%, 1/1/32 | 5,360 | ||||
99,761 | Federal National Mortgage Association, 7.000%, 4/1/54 | 103,279 | ||||
193,753 | Federal National Mortgage Association, 7.000%, 4/1/54 | 201,147 | ||||
10,000,000 | Government National Mortgage Association, 2.000%, 7/15/54 (TBA) | 8,091,406 | ||||
14,000,000 | Government National Mortgage Association, 2.500%, 7/15/54 (TBA) | 11,767,109 | ||||
11,000,000 | Government National Mortgage Association, 3.000%, 7/15/54 (TBA) | 9,582,891 | ||||
800,000 | Government National Mortgage Association, 3.500%, 7/15/54 (TBA) | 718,250 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
100,000 | Government National Mortgage Association, 4.500%, 7/15/54 (TBA) | $ 95,062 | ||||
6,000,000 | Government National Mortgage Association, 6.000%, 7/15/54 (TBA) | 6,024,918 | ||||
6,000,000 | Government National Mortgage Association, 6.500%, 7/15/54 (TBA) | 6,085,492 | ||||
2,057,097 | Government National Mortgage Association I, 3.500%, 11/15/41 | 1,898,630 | ||||
1,414,157 | Government National Mortgage Association I, 3.500%, 7/15/42 | 1,299,954 | ||||
266,843 | Government National Mortgage Association I, 3.500%, 10/15/42 | 245,270 | ||||
1,515,991 | Government National Mortgage Association I, 3.500%, 1/15/45 | 1,393,491 | ||||
498,190 | Government National Mortgage Association I, 3.500%, 8/15/46 | 456,074 | ||||
5,781 | Government National Mortgage Association I, 4.000%, 5/15/39 | 5,414 | ||||
830 | Government National Mortgage Association I, 4.000%, 6/15/39 | 785 | ||||
1,352 | Government National Mortgage Association I, 4.000%, 8/15/40 | 1,272 | ||||
113,898 | Government National Mortgage Association I, 4.000%, 8/15/40 | 107,678 | ||||
1,588 | Government National Mortgage Association I, 4.000%, 9/15/40 | 1,494 | ||||
1,590 | Government National Mortgage Association I, 4.000%, 10/15/40 | 1,506 | ||||
6,833 | Government National Mortgage Association I, 4.000%, 11/15/40 | 6,393 | ||||
13,708 | Government National Mortgage Association I, 4.000%, 11/15/40 | 12,852 | ||||
4,181 | Government National Mortgage Association I, 4.000%, 1/15/41 | 3,932 | ||||
16,747 | Government National Mortgage Association I, 4.000%, 1/15/41 | 15,833 | ||||
2,370 | Government National Mortgage Association I, 4.000%, 2/15/41 | 2,241 | ||||
22,409 | Government National Mortgage Association I, 4.000%, 6/15/41 | 21,010 | ||||
33,229 | Government National Mortgage Association I, 4.000%, 7/15/41 | 31,253 | ||||
83,020 | Government National Mortgage Association I, 4.000%, 9/15/41 | 78,081 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
1,688 | Government National Mortgage Association I, 4.000%, 10/15/41 | $ 1,579 | ||||
4,509 | Government National Mortgage Association I, 4.000%, 10/15/41 | 4,218 | ||||
1,084 | Government National Mortgage Association I, 4.000%, 11/15/41 | 1,015 | ||||
937 | Government National Mortgage Association I, 4.000%, 11/15/41 | 888 | ||||
1,261 | Government National Mortgage Association I, 4.000%, 12/15/41 | 1,184 | ||||
10,378 | Government National Mortgage Association I, 4.000%, 2/15/42 | 9,760 | ||||
201,395 | Government National Mortgage Association I, 4.000%, 8/15/43 | 189,409 | ||||
3,184 | Government National Mortgage Association I, 4.000%, 11/15/43 | 3,011 | ||||
169,646 | Government National Mortgage Association I, 4.000%, 3/15/44 | 159,548 | ||||
644,455 | Government National Mortgage Association I, 4.000%, 3/15/44 | 606,090 | ||||
20,720 | Government National Mortgage Association I, 4.000%, 3/15/44 | 19,521 | ||||
2,737 | Government National Mortgage Association I, 4.000%, 3/15/44 | 2,584 | ||||
380,945 | Government National Mortgage Association I, 4.000%, 4/15/44 | 356,395 | ||||
2,796 | Government National Mortgage Association I, 4.000%, 4/15/44 | 2,612 | ||||
4,680 | Government National Mortgage Association I, 4.000%, 4/15/44 | 4,393 | ||||
46,013 | Government National Mortgage Association I, 4.000%, 8/15/44 | 43,349 | ||||
483,915 | Government National Mortgage Association I, 4.000%, 9/15/44 | 454,807 | ||||
35,009 | Government National Mortgage Association I, 4.000%, 9/15/44 | 32,406 | ||||
50,884 | Government National Mortgage Association I, 4.000%, 9/15/44 | 47,956 | ||||
95,785 | Government National Mortgage Association I, 4.000%, 11/15/44 | 89,698 | ||||
122,067 | Government National Mortgage Association I, 4.000%, 12/15/44 | 115,034 | ||||
143,839 | Government National Mortgage Association I, 4.000%, 1/15/45 | 135,392 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
116,343 | Government National Mortgage Association I, 4.000%, 1/15/45 | $ 108,267 | ||||
340,377 | Government National Mortgage Association I, 4.000%, 2/15/45 | 320,767 | ||||
299,316 | Government National Mortgage Association I, 4.000%, 2/15/45 | 280,408 | ||||
775,037 | Government National Mortgage Association I, 4.000%, 3/15/45 | 724,992 | ||||
611,051 | Government National Mortgage Association I, 4.000%, 4/15/45 | 574,295 | ||||
629,157 | Government National Mortgage Association I, 4.000%, 5/15/45 | 587,686 | ||||
934,949 | Government National Mortgage Association I, 4.000%, 6/15/45 | 882,842 | ||||
108,854 | Government National Mortgage Association I, 4.000%, 7/15/45 | 102,058 | ||||
197,820 | Government National Mortgage Association I, 4.000%, 8/15/45 | 185,064 | ||||
10,454 | Government National Mortgage Association I, 4.500%, 6/15/25 | 10,371 | ||||
13,782 | Government National Mortgage Association I, 4.500%, 7/15/33 | 13,360 | ||||
30,082 | Government National Mortgage Association I, 4.500%, 9/15/33 | 29,187 | ||||
55,715 | Government National Mortgage Association I, 4.500%, 10/15/33 | 53,864 | ||||
40,784 | Government National Mortgage Association I, 4.500%, 10/15/33 | 39,430 | ||||
2,842 | Government National Mortgage Association I, 4.500%, 2/15/34 | 2,755 | ||||
31,843 | Government National Mortgage Association I, 4.500%, 4/15/35 | 31,011 | ||||
15,920 | Government National Mortgage Association I, 4.500%, 10/15/35 | 15,432 | ||||
25,393 | Government National Mortgage Association I, 4.500%, 4/15/38 | 24,679 | ||||
219,896 | Government National Mortgage Association I, 4.500%, 12/15/39 | 213,676 | ||||
87,771 | Government National Mortgage Association I, 4.500%, 1/15/40 | 85,511 | ||||
50,535 | Government National Mortgage Association I, 4.500%, 9/15/40 | 49,230 | ||||
118,912 | Government National Mortgage Association I, 4.500%, 10/15/40 | 115,548 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
95,703 | Government National Mortgage Association I, 4.500%, 4/15/41 | $ 92,608 | ||||
193,389 | Government National Mortgage Association I, 4.500%, 5/15/41 | 185,934 | ||||
124,735 | Government National Mortgage Association I, 4.500%, 6/15/41 | 120,701 | ||||
89,583 | Government National Mortgage Association I, 4.500%, 7/15/41 | 86,697 | ||||
75,716 | Government National Mortgage Association I, 4.500%, 8/15/41 | 72,970 | ||||
16,160 | Government National Mortgage Association I, 5.000%, 7/15/33 | 16,194 | ||||
16,796 | Government National Mortgage Association I, 5.000%, 9/15/33 | 16,831 | ||||
19,573 | Government National Mortgage Association I, 5.000%, 4/15/34 | 19,588 | ||||
111,503 | Government National Mortgage Association I, 5.000%, 4/15/35 | 111,587 | ||||
42,114 | Government National Mortgage Association I, 5.000%, 7/15/40 | 41,900 | ||||
21,746 | Government National Mortgage Association I, 5.500%, 1/15/29 | 21,913 | ||||
3,021 | Government National Mortgage Association I, 5.500%, 6/15/33 | 3,076 | ||||
15,907 | Government National Mortgage Association I, 5.500%, 7/15/33 | 16,032 | ||||
8,244 | Government National Mortgage Association I, 5.500%, 7/15/33 | 8,393 | ||||
5,070 | Government National Mortgage Association I, 5.500%, 8/15/33 | 5,111 | ||||
8,448 | Government National Mortgage Association I, 5.500%, 8/15/33 | 8,600 | ||||
7,978 | Government National Mortgage Association I, 5.500%, 8/15/33 | 8,044 | ||||
18,111 | Government National Mortgage Association I, 5.500%, 9/15/33 | 18,129 | ||||
20,587 | Government National Mortgage Association I, 5.500%, 9/15/33 | 20,959 | ||||
8,755 | Government National Mortgage Association I, 5.500%, 10/15/33 | 8,907 | ||||
14,274 | Government National Mortgage Association I, 5.500%, 10/15/33 | 14,532 | ||||
79,448 | Government National Mortgage Association I, 5.500%, 7/15/34 | 80,884 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
12,075 | Government National Mortgage Association I, 5.500%, 10/15/34 | $ 12,248 | ||||
108,116 | Government National Mortgage Association I, 5.500%, 11/15/34 | 109,408 | ||||
37,129 | Government National Mortgage Association I, 5.500%, 1/15/35 | 37,755 | ||||
7,587 | Government National Mortgage Association I, 5.500%, 2/15/35 | 7,725 | ||||
27,068 | Government National Mortgage Association I, 5.500%, 2/15/35 | 27,558 | ||||
22,687 | Government National Mortgage Association I, 5.500%, 6/15/35 | 23,098 | ||||
95,471 | Government National Mortgage Association I, 5.500%, 7/15/35 | 97,199 | ||||
7,370 | Government National Mortgage Association I, 5.500%, 10/15/35 | 7,503 | ||||
33,378 | Government National Mortgage Association I, 5.500%, 10/15/35 | 33,981 | ||||
10,264 | Government National Mortgage Association I, 5.500%, 2/15/37 | 10,449 | ||||
5,655 | Government National Mortgage Association I, 6.000%, 4/15/28 | 5,745 | ||||
20,324 | Government National Mortgage Association I, 6.000%, 9/15/28 | 20,732 | ||||
1,246 | Government National Mortgage Association I, 6.000%, 10/15/28 | 1,266 | ||||
6,905 | Government National Mortgage Association I, 6.000%, 2/15/29 | 7,008 | ||||
8,521 | Government National Mortgage Association I, 6.000%, 2/15/29 | 8,727 | ||||
4,108 | Government National Mortgage Association I, 6.000%, 11/15/31 | 4,153 | ||||
242 | Government National Mortgage Association I, 6.000%, 3/15/32 | 249 | ||||
1,286 | Government National Mortgage Association I, 6.000%, 8/15/32 | 1,307 | ||||
2,063 | Government National Mortgage Association I, 6.000%, 9/15/32 | 2,072 | ||||
56,846 | Government National Mortgage Association I, 6.000%, 9/15/32 | 57,747 | ||||
43,579 | Government National Mortgage Association I, 6.000%, 9/15/32 | 44,110 | ||||
3,988 | Government National Mortgage Association I, 6.000%, 10/15/32 | 4,042 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
1,680 | Government National Mortgage Association I, 6.000%, 10/15/32 | $ 1,697 | ||||
2,115 | Government National Mortgage Association I, 6.000%, 11/15/32 | 2,134 | ||||
2,464 | Government National Mortgage Association I, 6.000%, 11/15/32 | 2,505 | ||||
67,085 | Government National Mortgage Association I, 6.000%, 12/15/32 | 67,652 | ||||
1,936 | Government National Mortgage Association I, 6.000%, 12/15/32 | 1,962 | ||||
63,226 | Government National Mortgage Association I, 6.000%, 12/15/32 | 64,144 | ||||
21,308 | Government National Mortgage Association I, 6.000%, 12/15/32 | 21,806 | ||||
4,240 | Government National Mortgage Association I, 6.000%, 12/15/32 | 4,278 | ||||
24,584 | Government National Mortgage Association I, 6.000%, 12/15/32 | 24,838 | ||||
62,944 | Government National Mortgage Association I, 6.000%, 12/15/32 | 63,658 | ||||
41,637 | Government National Mortgage Association I, 6.000%, 1/15/33 | 42,729 | ||||
11,538 | Government National Mortgage Association I, 6.000%, 1/15/33 | 11,878 | ||||
28,209 | Government National Mortgage Association I, 6.000%, 2/15/33 | 28,814 | ||||
37,493 | Government National Mortgage Association I, 6.000%, 2/15/33 | 38,595 | ||||
33,400 | Government National Mortgage Association I, 6.000%, 2/15/33 | 33,676 | ||||
6,086 | Government National Mortgage Association I, 6.000%, 2/15/33 | 6,140 | ||||
31,849 | Government National Mortgage Association I, 6.000%, 3/15/33 | 32,127 | ||||
30,762 | Government National Mortgage Association I, 6.000%, 3/15/33 | 31,585 | ||||
17,952 | Government National Mortgage Association I, 6.000%, 3/15/33 | 18,507 | ||||
31,062 | Government National Mortgage Association I, 6.000%, 3/15/33 | 31,399 | ||||
7,412 | Government National Mortgage Association I, 6.000%, 3/15/33 | 7,515 | ||||
33,930 | Government National Mortgage Association I, 6.000%, 3/15/33 | 34,556 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
111,514 | Government National Mortgage Association I, 6.000%, 3/15/33 | $ 112,458 | ||||
56,282 | Government National Mortgage Association I, 6.000%, 3/15/33 | 57,791 | ||||
12,129 | Government National Mortgage Association I, 6.000%, 4/15/33 | 12,336 | ||||
18,471 | Government National Mortgage Association I, 6.000%, 5/15/33 | 18,713 | ||||
3,241 | Government National Mortgage Association I, 6.000%, 6/15/33 | 3,316 | ||||
16,415 | Government National Mortgage Association I, 6.000%, 9/15/33 | 16,537 | ||||
4,807 | Government National Mortgage Association I, 6.000%, 10/15/33 | 4,861 | ||||
31,752 | Government National Mortgage Association I, 6.000%, 11/15/33 | 31,957 | ||||
64,534 | Government National Mortgage Association I, 6.000%, 3/15/34 | 66,695 | ||||
14,124 | Government National Mortgage Association I, 6.000%, 6/15/34 | 14,637 | ||||
7,729 | Government National Mortgage Association I, 6.000%, 8/15/34 | 7,976 | ||||
32,694 | Government National Mortgage Association I, 6.000%, 8/15/34 | 33,357 | ||||
2,411 | Government National Mortgage Association I, 6.000%, 9/15/34 | 2,443 | ||||
27,313 | Government National Mortgage Association I, 6.000%, 9/15/34 | 27,905 | ||||
42,064 | Government National Mortgage Association I, 6.000%, 9/15/34 | 43,006 | ||||
32,160 | Government National Mortgage Association I, 6.000%, 10/15/34 | 32,506 | ||||
30,203 | Government National Mortgage Association I, 6.000%, 10/15/34 | 30,441 | ||||
34,891 | Government National Mortgage Association I, 6.000%, 10/15/34 | 35,647 | ||||
42,392 | Government National Mortgage Association I, 6.000%, 11/15/34 | 43,519 | ||||
157,881 | Government National Mortgage Association I, 6.000%, 9/15/35 | 163,181 | ||||
54,755 | Government National Mortgage Association I, 6.000%, 8/15/36 | 56,487 | ||||
26,665 | Government National Mortgage Association I, 6.000%, 10/15/36 | 27,473 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
12,414 | Government National Mortgage Association I, 6.000%, 11/15/37 | $ 12,810 | ||||
6,868 | Government National Mortgage Association I, 6.000%, 8/15/38 | 6,944 | ||||
2,148 | Government National Mortgage Association I, 6.500%, 4/15/28 | 2,191 | ||||
14,665 | Government National Mortgage Association I, 6.500%, 4/15/28 | 14,937 | ||||
1,477 | Government National Mortgage Association I, 6.500%, 6/15/28 | 1,502 | ||||
1,406 | Government National Mortgage Association I, 6.500%, 8/15/28 | 1,449 | ||||
985 | Government National Mortgage Association I, 6.500%, 10/15/28 | 998 | ||||
864 | Government National Mortgage Association I, 6.500%, 10/15/28 | 884 | ||||
4,229 | Government National Mortgage Association I, 6.500%, 1/15/29 | 4,284 | ||||
1,604 | Government National Mortgage Association I, 6.500%, 2/15/29 | 1,642 | ||||
2,057 | Government National Mortgage Association I, 6.500%, 2/15/29 | 2,111 | ||||
321 | Government National Mortgage Association I, 6.500%, 2/15/29 | 329 | ||||
797 | Government National Mortgage Association I, 6.500%, 3/15/29 | 810 | ||||
743 | Government National Mortgage Association I, 6.500%, 3/15/29 | 752 | ||||
3,396 | Government National Mortgage Association I, 6.500%, 3/15/29 | 3,436 | ||||
7,432 | Government National Mortgage Association I, 6.500%, 3/15/29 | 7,526 | ||||
9,883 | Government National Mortgage Association I, 6.500%, 5/15/29 | 10,051 | ||||
198 | Government National Mortgage Association I, 6.500%, 5/15/29 | 200 | ||||
277 | Government National Mortgage Association I, 6.500%, 5/15/29 | 280 | ||||
12,660 | Government National Mortgage Association I, 6.500%, 4/15/31 | 12,881 | ||||
3,283 | Government National Mortgage Association I, 6.500%, 5/15/31 | 3,357 | ||||
5,529 | Government National Mortgage Association I, 6.500%, 5/15/31 | 5,595 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
3,612 | Government National Mortgage Association I, 6.500%, 5/15/31 | $ 3,722 | ||||
2,413 | Government National Mortgage Association I, 6.500%, 6/15/31 | 2,494 | ||||
8,002 | Government National Mortgage Association I, 6.500%, 7/15/31 | 8,231 | ||||
14,733 | Government National Mortgage Association I, 6.500%, 8/15/31 | 14,995 | ||||
1,588 | Government National Mortgage Association I, 6.500%, 9/15/31 | 1,604 | ||||
20,804 | Government National Mortgage Association I, 6.500%, 10/15/31 | 21,362 | ||||
1,971 | Government National Mortgage Association I, 6.500%, 10/15/31 | 2,036 | ||||
1,700 | Government National Mortgage Association I, 6.500%, 11/15/31 | 1,749 | ||||
27,578 | Government National Mortgage Association I, 6.500%, 11/15/31 | 27,951 | ||||
34,217 | Government National Mortgage Association I, 6.500%, 1/15/32 | 34,838 | ||||
8,015 | Government National Mortgage Association I, 6.500%, 1/15/32 | 8,140 | ||||
5,185 | Government National Mortgage Association I, 6.500%, 2/15/32 | 5,269 | ||||
6,402 | Government National Mortgage Association I, 6.500%, 2/15/32 | 6,518 | ||||
828 | Government National Mortgage Association I, 6.500%, 2/15/32 | 840 | ||||
5,031 | Government National Mortgage Association I, 6.500%, 2/15/32 | 5,121 | ||||
12,555 | Government National Mortgage Association I, 6.500%, 2/15/32 | 12,867 | ||||
5,572 | Government National Mortgage Association I, 6.500%, 3/15/32 | 5,761 | ||||
13,713 | Government National Mortgage Association I, 6.500%, 3/15/32 | 14,078 | ||||
2,646 | Government National Mortgage Association I, 6.500%, 4/15/32 | 2,693 | ||||
2,983 | Government National Mortgage Association I, 6.500%, 4/15/32 | 3,058 | ||||
12,325 | Government National Mortgage Association I, 6.500%, 4/15/32 | 12,547 | ||||
1,506 | Government National Mortgage Association I, 6.500%, 5/15/32 | 1,533 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
1,375 | Government National Mortgage Association I, 6.500%, 5/15/32 | $ 1,398 | ||||
3,285 | Government National Mortgage Association I, 6.500%, 5/15/32 | 3,345 | ||||
764 | Government National Mortgage Association I, 6.500%, 5/15/32 | 774 | ||||
4,218 | Government National Mortgage Association I, 6.500%, 6/15/32 | 4,294 | ||||
4,509 | Government National Mortgage Association I, 6.500%, 7/15/32 | 4,578 | ||||
32,675 | Government National Mortgage Association I, 6.500%, 7/15/32 | 34,223 | ||||
3,412 | Government National Mortgage Association I, 6.500%, 7/15/32 | 3,459 | ||||
11,600 | Government National Mortgage Association I, 6.500%, 8/15/32 | 11,785 | ||||
10,664 | Government National Mortgage Association I, 6.500%, 8/15/32 | 10,928 | ||||
2,496 | Government National Mortgage Association I, 6.500%, 8/15/32 | 2,568 | ||||
16,773 | Government National Mortgage Association I, 6.500%, 9/15/32 | 17,066 | ||||
7,928 | Government National Mortgage Association I, 6.500%, 9/15/32 | 8,056 | ||||
7,462 | Government National Mortgage Association I, 6.500%, 9/15/32 | 7,617 | ||||
11,089 | Government National Mortgage Association I, 6.500%, 10/15/32 | 11,306 | ||||
13,877 | Government National Mortgage Association I, 6.500%, 11/15/32 | 14,122 | ||||
73,023 | Government National Mortgage Association I, 6.500%, 12/15/32 | 74,542 | ||||
80,856 | Government National Mortgage Association I, 6.500%, 1/15/33 | 82,234 | ||||
754 | Government National Mortgage Association I, 6.500%, 1/15/33 | 773 | ||||
13,024 | Government National Mortgage Association I, 6.500%, 5/15/33 | 13,391 | ||||
550 | Government National Mortgage Association I, 6.500%, 10/15/33 | 569 | ||||
39,915 | Government National Mortgage Association I, 6.500%, 6/15/34 | 41,209 | ||||
6,633 | Government National Mortgage Association I, 6.500%, 4/15/35 | 6,710 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
3,216 | Government National Mortgage Association I, 6.500%, 6/15/35 | $ 3,254 | ||||
6,801 | Government National Mortgage Association I, 6.500%, 7/15/35 | 7,115 | ||||
47,751 | Government National Mortgage Association I, 6.500%, 7/15/35 | 49,300 | ||||
516 | Government National Mortgage Association I, 7.000%, 11/15/26 | 517 | ||||
1,287 | Government National Mortgage Association I, 7.000%, 6/15/27 | 1,295 | ||||
3,044 | Government National Mortgage Association I, 7.000%, 1/15/28 | 3,056 | ||||
2,022 | Government National Mortgage Association I, 7.000%, 4/15/28 | 2,029 | ||||
3,340 | Government National Mortgage Association I, 7.000%, 7/15/28 | 3,357 | ||||
260 | Government National Mortgage Association I, 7.000%, 8/15/28 | 264 | ||||
2,690 | Government National Mortgage Association I, 7.000%, 11/15/28 | 2,746 | ||||
9,367 | Government National Mortgage Association I, 7.000%, 11/15/28 | 9,515 | ||||
10,965 | Government National Mortgage Association I, 7.000%, 4/15/29 | 10,983 | ||||
6,873 | Government National Mortgage Association I, 7.000%, 4/15/29 | 6,892 | ||||
11,805 | Government National Mortgage Association I, 7.000%, 5/15/29 | 11,850 | ||||
1,650 | Government National Mortgage Association I, 7.000%, 7/15/29 | 1,658 | ||||
20,044 | Government National Mortgage Association I, 7.000%, 11/15/29 | 20,219 | ||||
7,231 | Government National Mortgage Association I, 7.000%, 12/15/30 | 7,373 | ||||
971 | Government National Mortgage Association I, 7.000%, 12/15/30 | 971 | ||||
26,065 | Government National Mortgage Association I, 7.000%, 1/15/31 | 26,061 | ||||
6,135 | Government National Mortgage Association I, 7.000%, 6/15/31 | 6,357 | ||||
790 | Government National Mortgage Association I, 7.000%, 7/15/31 | 817 | ||||
38,089 | Government National Mortgage Association I, 7.000%, 8/15/31 | 38,858 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
5,580 | Government National Mortgage Association I, 7.000%, 9/15/31 | $ 5,588 | ||||
5,269 | Government National Mortgage Association I, 7.000%, 9/15/31 | 5,284 | ||||
5,086 | Government National Mortgage Association I, 7.000%, 11/15/31 | 5,094 | ||||
17,602 | Government National Mortgage Association I, 7.000%, 3/15/32 | 17,874 | ||||
15,649 | Government National Mortgage Association I, 7.000%, 4/15/32 | 15,818 | ||||
32,611 | Government National Mortgage Association I, 7.000%, 5/15/32 | 33,468 | ||||
541 | Government National Mortgage Association I, 7.500%, 8/15/25 | 540 | ||||
266 | Government National Mortgage Association I, 7.500%, 9/15/25 | 266 | ||||
1,090 | Government National Mortgage Association I, 7.500%, 2/15/27 | 1,088 | ||||
4,745 | Government National Mortgage Association I, 7.500%, 3/15/27 | 4,805 | ||||
8,385 | Government National Mortgage Association I, 7.500%, 10/15/27 | 8,482 | ||||
803 | Government National Mortgage Association I, 7.500%, 6/15/29 | 805 | ||||
1,893 | Government National Mortgage Association I, 7.500%, 8/15/29 | 1,898 | ||||
2,140 | Government National Mortgage Association I, 7.500%, 9/15/29 | 2,136 | ||||
9,802 | Government National Mortgage Association I, 7.500%, 2/15/31 | 9,814 | ||||
8,826 | Government National Mortgage Association I, 7.500%, 2/15/31 | 8,841 | ||||
3,265 | Government National Mortgage Association I, 7.500%, 3/15/31 | 3,268 | ||||
1,252 | Government National Mortgage Association I, 7.750%, 2/15/30 | 1,255 | ||||
96,937 | Government National Mortgage Association II, 3.500%, 3/20/45 | 85,856 | ||||
218,523 | Government National Mortgage Association II, 3.500%, 4/20/45 | 198,355 | ||||
403,346 | Government National Mortgage Association II, 3.500%, 4/20/45 | 366,687 | ||||
158,430 | Government National Mortgage Association II, 3.500%, 4/20/45 | 143,704 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
460,716 | Government National Mortgage Association II, 3.500%, 3/20/46 | $ 420,054 | ||||
1,553,340 | Government National Mortgage Association II, 4.000%, 7/20/44 | 1,474,185 | ||||
61,648 | Government National Mortgage Association II, 4.000%, 9/20/44 | 58,494 | ||||
370,406 | Government National Mortgage Association II, 4.000%, 10/20/44 | 351,340 | ||||
1,136,804 | Government National Mortgage Association II, 4.000%, 10/20/46 | 1,068,825 | ||||
611,892 | Government National Mortgage Association II, 4.000%, 2/20/48 | 567,999 | ||||
855,854 | Government National Mortgage Association II, 4.000%, 4/20/48 | 795,090 | ||||
15,463 | Government National Mortgage Association II, 4.500%, 12/20/34 | 15,103 | ||||
64,113 | Government National Mortgage Association II, 4.500%, 1/20/35 | 62,617 | ||||
11,337 | Government National Mortgage Association II, 4.500%, 3/20/35 | 11,073 | ||||
297,350 | Government National Mortgage Association II, 4.500%, 9/20/41 | 290,030 | ||||
1,096,904 | Government National Mortgage Association II, 4.500%, 9/20/44 | 1,066,754 | ||||
403,645 | Government National Mortgage Association II, 4.500%, 10/20/44 | 391,716 | ||||
783,446 | Government National Mortgage Association II, 4.500%, 11/20/44 | 760,291 | ||||
845,303 | Government National Mortgage Association II, 4.500%, 2/20/48 | 815,735 | ||||
4,228,092 | Government National Mortgage Association II, 5.000%, 12/20/52 | 4,122,629 | ||||
50,213 | Government National Mortgage Association II, 5.500%, 3/20/34 | 51,429 | ||||
40,688 | Government National Mortgage Association II, 5.500%, 4/20/34 | 41,673 | ||||
15,801 | Government National Mortgage Association II, 5.500%, 10/20/37 | 16,067 | ||||
547,273 | Government National Mortgage Association II, 5.500%, 9/20/52 | 543,723 | ||||
4,403,079 | Government National Mortgage Association II, 5.500%, 12/20/52 | 4,371,794 | ||||
43,988 | Government National Mortgage Association II, 5.750%, 6/20/33 | 43,956 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
10,143 | Government National Mortgage Association II, 5.900%, 1/20/28 | $ 10,210 | ||||
17,952 | Government National Mortgage Association II, 5.900%, 7/20/28 | 18,026 | ||||
4,463 | Government National Mortgage Association II, 6.000%, 10/20/31 | 4,572 | ||||
22,637 | Government National Mortgage Association II, 6.000%, 1/20/33 | 22,992 | ||||
26,038 | Government National Mortgage Association II, 6.000%, 10/20/33 | 26,985 | ||||
15,544 | Government National Mortgage Association II, 6.000%, 6/20/34 | 16,110 | ||||
35,326 | Government National Mortgage Association II, 6.450%, 1/20/33 | 35,535 | ||||
7,280 | Government National Mortgage Association II, 6.500%, 8/20/28 | 7,388 | ||||
353 | Government National Mortgage Association II, 6.500%, 2/20/29 | 359 | ||||
151 | Government National Mortgage Association II, 6.500%, 3/20/29 | 153 | ||||
4,377 | Government National Mortgage Association II, 6.500%, 4/20/29 | 4,442 | ||||
2,862 | Government National Mortgage Association II, 6.500%, 4/20/31 | 2,950 | ||||
2,318 | Government National Mortgage Association II, 6.500%, 6/20/31 | 2,367 | ||||
10,764 | Government National Mortgage Association II, 6.500%, 10/20/32 | 11,116 | ||||
14,052 | Government National Mortgage Association II, 6.500%, 3/20/34 | 14,260 | ||||
659 | Government National Mortgage Association II, 7.000%, 5/20/26 | 671 | ||||
3,452 | Government National Mortgage Association II, 7.000%, 8/20/27 | 3,515 | ||||
3,187 | Government National Mortgage Association II, 7.000%, 6/20/28 | 3,245 | ||||
14,877 | Government National Mortgage Association II, 7.000%, 11/20/28 | 15,151 | ||||
13,224 | Government National Mortgage Association II, 7.000%, 1/20/29 | 13,467 | ||||
1,179 | Government National Mortgage Association II, 7.000%, 2/20/29 | 1,201 | ||||
463 | Government National Mortgage Association II, 7.000%, 12/20/30 | 472 |
Principal Amount USD ($) |
Value | |||||
U.S. Government and Agency Obligations - (continued) |
||||||
2,528 | Government National Mortgage Association II, 7.000%, 1/20/31 | $ 2,630 | ||||
1,461 | Government National Mortgage Association II, 7.000%, 3/20/31 | 1,488 | ||||
8,194 | Government National Mortgage Association II, 7.000%, 7/20/31 | 8,549 | ||||
2,820 | Government National Mortgage Association II, 7.000%, 11/20/31 | 2,872 | ||||
2,898 | Government National Mortgage Association II, 7.500%, 5/20/30 | 2,972 | ||||
768 | Government National Mortgage Association II, 7.500%, 6/20/30 | 786 | ||||
753 | Government National Mortgage Association II, 7.500%, 7/20/30 | 763 | ||||
2,972 | Government National Mortgage Association II, 7.500%, 8/20/30 | 3,059 | ||||
1,317 | Government National Mortgage Association II, 7.500%, 12/20/30 | 1,347 | ||||
1 | Government National Mortgage Association II, 8.000%, 5/20/25 | 1 | ||||
50,374,800 | U.S. Treasury Bonds, 2.250%, 2/15/52 | 32,090,322 | ||||
57,701,200 | U.S. Treasury Bonds, 2.875%, 5/15/52 | 42,290,923 | ||||
73,375,000 | U.S. Treasury Bonds, 3.625%, 2/15/53 | 62,420,341 | ||||
136,312,900 | U.S. Treasury Bonds, 4.375%, 8/15/43 | 131,573,898 | ||||
36,260,000 | U.S. Treasury Notes, 4.250%, 2/28/29 | 36,097,113 | ||||
44,600,800 | U.S. Treasury Notes, 4.625%, 9/30/30 | 45,227,999 | ||||
Total U.S. Government and Agency Obligations (Cost $2,171,087,584) |
$2,119,611,010 | |||||
Shares | ||||||
SHORT TERM INVESTMENTS - 3.6%of Net Assets |
||||||
Open-End Fund - 3.6% | ||||||
165,975,588(k) |
Dreyfus Government Cash Management, Institutional Shares, 5.19% |
$ 165,975,588 | ||||
$165,975,588 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $165,975,588) |
$165,975,588 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 110.0% (Cost $5,230,529,130) |
$5,010,528,154 |
Principal Amount USD ($) |
Value | |||||
TBA Sales Commitments - (6.7)%of Net Assets |
||||||
U.S. Government and Agency Obligations - (6.7)% |
||||||
(2,000,000) | Federal National Mortgage Association, 3.000%, 7/1/54 (TBA) | $ (1,701,094) | ||||
(299,000,000) | Federal National Mortgage Association, 5.500%, 7/1/54 (TBA) | (294,877,071) | ||||
(6,000,000) | Federal National Mortgage Association, 6.000%, 7/1/54 (TBA) | (6,016,641) | ||||
(1,000,000) | Government National Mortgage Association, 5.500%, 7/15/54 (TBA) | (992,099) | ||||
TOTAL TBA SALES COMMITMENTS (Proceeds $304,585,567) |
$(303,586,905) | |||||
OTHER ASSETS AND LIABILITIES - (3.3)% | $(151,460,403) | |||||
net assets - 100.0% | $4,555,480,846 | |||||
(TBA) | "To Be Announced" Securities. |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
FRESB | Freddie Mac Multifamily Small Balance Certificates. |
LIBOR | London Interbank Offered Rate. |
PRIME | U.S. Federal Funds Rate. |
REIT | Real Estate Investment Trust. |
REMICs | Real Estate Mortgage Investment Conduits. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
(144A) | The resale of such security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers. At June 30, 2024, the value of these securities amounted to $1,578,137,992, or 34.6% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at June 30, 2024. |
(b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at June 30, 2024. |
(c) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at June 30, 2024. |
(d) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(e) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(f) | Securities purchased on a when-issued basis. Rates do not take effect until settlement date. |
(g) | Security is perpetual in nature and has no stated maturity date. |
(h) | Non-income producing security. |
(i) | Issued as participation notes. |
(j) | Issued as preference shares. |
(k) | Rate periodically changes. Rate disclosed is the 7-day yield at June 30, 2024. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR or SOFR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at June 30, 2024. |
+ | Security is valued using significant unobservable inputs (Level 3). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Alamo Re | 4/12/2023 | $1,256,000 | $1,244,625 |
Alamo Re | 4/4/2024 | 500,000 | 490,250 |
Alamo Re | 4/4/2024 | 250,000 | 245,975 |
Alturas Re 2020-3 | 8/3/2020 | - | - |
Alturas Re 2021-3 | 8/16/2021 | 22,332 | 9,594 |
Alturas Re 2022-2 | 1/18/2022 | 63,545 | 275,578 |
Aquila Re | 5/10/2023 | 850,000 | 862,835 |
Aquila Re | 4/26/2024 | 1,250,000 | 1,243,030 |
Atlas Capital | 5/17/2023 | 2,000,000 | 1,948,000 |
Atlas Capital | 5/24/2024 | 750,000 | 785,550 |
Ballybunion Re 2022 | 3/9/2022 | - | - |
Ballybunion Re 2023 | 3/20/2023 | 916,084 | 1,315,835 |
Bantry Re 2021 | 1/11/2021 | - | 50,000 |
Bantry Re 2024 | 2/1/2024 | 5,929,460 | 6,388,976 |
Berwick Re 2020-1 | 9/24/2020 | - | 21,527 |
Berwick Re 2024-1 | 1/10/2024 | 3,000,000 | 3,159,020 |
Blue Ridge Re | 11/14/2023 | 1,000,000 | 985,500 |
Blue Ridge Re | 11/14/2023 | 1,750,000 | 1,721,125 |
Bonanza Re | 3/11/2022 | 250,000 | 235,850 |
Bonanza Re | 1/6/2023 | 300,000 | 301,620 |
Cape Lookout Re | 4/14/2023 | 1,100,000 | 1,103,850 |
Cat Re 2001 | 11/14/2023 | 750,000 | 748,125 |
Commonwealth Re | 6/15/2022 | 1,000,000 | 996,200 |
Easton Re | 5/16/2024 | 246,395 | 243,600 |
Eccleston Re 2023 | 7/13/2023 | - | 386,334 |
Eden Re II | 1/25/2021 | 332,268 | 123,946 |
Eden Re II | 1/21/2022 | 371,981 | 255,497 |
Eden Re II | 1/17/2023 | - | 312,708 |
Restricted Securities | Acquisition date | Cost | Value |
Eden Re II | 1/10/2024 | $3,500,000 | $3,749,200 |
Emetteur Non Renseigne-PI0047 2024-1 | 1/26/2024 | 6,730,594 | 7,098,028 |
FloodSmart Re | 2/14/2022 | 2,000,000 | 1,919,600 |
FloodSmart Re | 2/29/2024 | 1,500,000 | 1,485,000 |
Formby Re 2018 | 7/9/2018 | 4,661 | - |
Four Lakes Re | 12/15/2021 | 500,000 | 489,750 |
Four Lakes Re | 12/22/2022 | 3,000,000 | 3,057,000 |
Four Lakes Re | 12/8/2023 | 750,000 | 739,725 |
Galileo Re | 12/4/2023 | 1,250,000 | 1,235,250 |
Galileo Re | 12/4/2023 | 750,000 | 743,400 |
Gamboge Re | 4/24/2023 | - | 54,283 |
Gamboge Re | 5/9/2024 | 5,235,942 | 5,492,890 |
Gateway Re | 2/3/2023 | 700,000 | 713,510 |
Gateway Re | 3/11/2024 | 250,000 | 244,000 |
Gateway Re | 3/11/2024 | 475,559 | 466,600 |
Gateway Re II | 4/13/2023 | 250,000 | 258,450 |
Gleneagles Re 2021 | 1/13/2021 | 22,875 | 125 |
Gleneagles Re 2022 | 1/18/2022 | 522,043 | 489,925 |
Gullane Re 2018 | 3/26/2018 | - | - |
Gullane Re 2024 | 2/14/2024 | 6,057,870 | 6,371,092 |
Harambee Re 2018 | 12/19/2017 | 42,462 | - |
Harambee Re 2019 | 12/20/2018 | - | 10,000 |
Harambee Re 2020 | 2/27/2020 | - | 92,800 |
Herbie Re | 10/19/2020 | 500,000 | 471,800 |
High Point Re | 12/1/2023 | 3,500,000 | 3,455,200 |
Integrity Re | 5/9/2022 | 750,000 | 412,500 |
Integrity Re | 3/23/2023 | 1,500,000 | 1,490,850 |
International Bank for Reconstruction & Development | 4/3/2024 | 250,000 | 246,050 |
Kendall Re | 4/22/2024 | 1,000,000 | 999,500 |
Kilimanjaro III Re | 6/15/2022 | 1,000,000 | 989,500 |
Lightning Re | 3/20/2023 | 1,000,000 | 997,100 |
Lion Rock Re 2020 | 3/27/2020 | - | - |
Lion Rock Re 2021 | 3/1/2021 | 131,568 | 22,000 |
Locke Tavern Re | 3/23/2023 | 1,000,000 | 1,001,700 |
Long Point Re IV | 5/13/2022 | 3,500,000 | 3,490,550 |
Lorenz Re 2019 | 6/26/2019 | 487,609 | 27,238 |
Mangrove Risk Solutions | 6/17/2024 | 225,663 | 231,025 |
Marlon Re | 5/24/2024 | 250,000 | 249,925 |
Matterhorn Re | 1/29/2020 | 768,006 | 637,522 |
Matterhorn Re | 12/15/2021 | 250,000 | 217,900 |
Matterhorn Re | 3/10/2022 | 2,000,000 | 1,920,600 |
Matterhorn Re | 3/10/2022 | 1,000,000 | 956,700 |
Mayflower Re | 6/21/2024 | 1,000,000 | 1,000,148 |
Merion Re 2021-2 | 12/28/2020 | 2,448,846 | 1,080,000 |
Merion Re 2022-2 | 3/1/2022 | 6,551,154 | 6,211,224 |
Merion Re 2024-1 | 1/11/2024 | 843,568 | 920,481 |
Merna Re II | 5/8/2024 | 1,000,000 | 989,271 |
Merna Re II | 5/8/2024 | 1,000,000 | 993,146 |
Merna Re II | 5/8/2024 | 2,000,000 | 1,983,154 |
Restricted Securities | Acquisition date | Cost | Value |
Mona Lisa Re | 12/30/2022 | $1,000,000 | $1,024,700 |
Mystic Re | 12/12/2023 | 1,498,312 | 1,491,450 |
Mystic Re IV | 12/16/2022 | 3,400,000 | 3,447,600 |
Northshore Re II | 6/22/2022 | 750,000 | 746,250 |
Oakmont Re 2020 | 12/3/2020 | - | - |
Oakmont Re 2024 | 5/23/2024 | 1,774,715 | 1,869,327 |
Old Head Re 2022 | 1/6/2022 | 188,288 | 125,000 |
Old Head Re 2024 | 1/5/2024 | 183,891 | 222,657 |
Pangaea Re 2023-3 | 7/5/2023 | 2,970,693 | 3,564,832 |
Pangaea Re 2024-1 | 2/27/2024 | 3,000,000 | 3,199,464 |
Phoenician Re | 12/1/2021 | 1,000,000 | 991,500 |
Phoenix 3 Re 2023-3 | 12/21/2020 | 1,085,707 | 1,405,125 |
PI0048 RE 2024 | 6/12/2024 | 3,369,800 | 3,503,997 |
Pine Valley Re 2024 | 1/17/2024 | 829,193 | 912,710 |
Portsalon Re 2022 | 7/15/2022 | 404,317 | 458,460 |
Queen Street Re | 5/12/2023 | 3,000,000 | 2,980,500 |
Residential Re | 11/22/2022 | 1,750,000 | 1,721,300 |
Residential Re | 11/7/2023 | 2,500,000 | 2,422,750 |
Residential Re | 11/7/2023 | 1,000,000 | 978,700 |
Sanders Re | 1/16/2024 | 1,000,000 | 985,100 |
Sanders Re II | 11/23/2021 | 2,754,375 | 2,699,125 |
Sanders Re III | 11/30/2022 | 1,000,000 | 1,009,300 |
Sector Re V | 12/30/2022 | - | 326,073 |
Sector Re V | 12/4/2023 | 5,000,000 | 5,810,668 |
Sector Re V | 12/29/2023 | 4,600,000 | 5,345,814 |
Sussex Re 2020-1 | 1/21/2020 | - | 4,693 |
Sussex Re 2021-1 | 1/26/2021 | - | 625 |
Thopas Re 2020 | 12/30/2019 | - | 1,200 |
Thopas Re 2021 | 12/30/2020 | - | 72,800 |
Thopas Re 2022 | 2/15/2022 | - | - |
Thopas Re 2023 | 2/15/2023 | - | - |
Thopas Re 2024 | 2/2/2024 | 4,256,392 | 4,682,882 |
Torricelli Re 2021 | 7/2/2021 | - | 38,479 |
Torricelli Re 2022 | 7/26/2022 | - | 45,900 |
Torricelli Re 2023 | 7/26/2023 | 4,500,000 | 5,971,761 |
Ursa Re | 4/12/2023 | 750,000 | 757,875 |
Veraison Re | 12/14/2022 | 500,000 | 518,100 |
Viribus Re 2018 | 12/22/2017 | 16,587 | - |
Viribus Re 2019 | 12/27/2018 | - | - |
Viribus Re 2020 | 3/12/2020 | 421,904 | 137,434 |
Viribus Re 2022 | 4/18/2022 | - | 110,100 |
Viribus Re 2023 | 2/2/2023 | - | 409,800 |
Viribus Re 2024 | 3/19/2024 | 333,333 | 386,133 |
Vitality Re XIII | 1/4/2023 | 2,186,041 | 2,234,475 |
Vitality Re XIV | 1/25/2023 | 6,023,750 | 6,093,000 |
Vitality Re XIV | 1/25/2023 | 750,000 | 765,975 |
Walton Health Re 2019 | 7/18/2019 | - | 73,458 |
Walton Health Re 2022 | 7/13/2022 | 8,750 | 364,383 |
Restricted Securities | Acquisition date | Cost | Value |
White Heron Re | 8/30/2023 | $- | $32,535 |
Woburn Re 2019 | 1/30/2019 | 569,720 | 685,428 |
Total Restricted Securities | $161,790,300 | ||
% of Net assets | 3.6% |
Number of Contracts Long |
Description |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
1,453 | U.S. 2 Year Note (CBT) | 9/30/24 | $296,074,485 | $296,729,844 | $655,359 |
11,110 | U.S. 5 Year Note (CBT) | 9/30/24 | 1,177,295,141 | 1,184,083,024 | 6,787,883 |
2,114 | U.S. 10 Year Note (CBT) | 9/19/24 | 231,450,827 | 232,506,980 | 1,056,153 |
7 | U.S. Ultra Bond (CBT) | 9/19/24 | 895,363 | 877,406 | (17,957) |
$1,705,715,816 | $1,714,197,254 | $8,481,438 |
Number of Contracts Short |
Description |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
2,107 | U.S. 10 Year Ultra Bond (CBT) | 9/19/24 | $(238,454,384) | $(239,210,344) | $(755,960) |
111 | U.S. Long Bond (CBT) | 9/19/24 | (12,980,939) | (13,132,688) | (151,749) |
$(251,435,323) | $(252,343,032) | $(907,709) | |||
TOTAL FUTURES CONTRACTS | $1,454,280,493 | $1,461,854,222 | $7,573,729 | ||
CBT | Chicago Board of Trade. |
Notional Amount ($)(1) |
Reference Obligation/Index |
Pay/ Receive(2) |
Annual Fixed Rate |
Expiration Date |
Premiums (Received) |
Unrealized Appreciation |
Market Value |
318,230,000 | Markit CDX North America High Yield Index Series 42 | Pay | 5.00% | 6/20/29 | $(21,086,091) | $630,974 | $(20,455,117) |
TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS - BUY PROTECTION |
$(21,086,091) | $630,974 | $(20,455,117) |
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
(2) | Pays quarterly. |
Purchases | Sales | |
Long-Term U.S. Government Securities | $465,358,711 | $654,232,020 |
Other Long-Term Securities | $2,429,715,208 | $1,653,369,268 |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $40,295,864 |
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (275,473,014) |
Net unrealized depreciation | $(235,177,150) |
Level 1 | - | unadjusted quoted prices in active markets for identical securities. |
Level 2 | - | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). See Notes to Financial Statements - Note 1A. |
Level 3 | - | significant unobservable inputs (including the Adviser's own assumptions in determining fair value of investments). See Notes to Financial Statements - Note 1A. |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $- | $10,171,023 | $- | $10,171,023 |
Asset Backed Securities | - | 392,602,683 | - | 392,602,683 |
Collateralized Mortgage Obligations | - | 305,397,477 | - | 305,397,477 |
Commercial Mortgage-Backed Securities | - | 195,748,254 | -* | 195,748,254 |
Corporate Bonds | - | 1,636,061,381 | - | 1,636,061,381 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Multiperil - Massachusetts | - | - | 458,460 | 458,460 |
Multiperil - U.S. | - | - | 8,699,171 | 8,699,171 |
Multiperil - Worldwide | - | - | 8,111,579 | 8,111,579 |
Windstorm - Florida | - | - | -* | -* |
Windstorm - U.S. | - | - | 3,503,997 | 3,503,997 |
Windstorm - U.S. Multistate | - | - | 32,535 | 32,535 |
Windstorm - U.S. Regional | - | - | 1,869,327 | 1,869,327 |
Reinsurance Sidecars | ||||
Multiperil - U.S. | - | - | 102,800 | 102,800 |
Multiperil - Worldwide | - | - | 61,133,195 | 61,133,195 |
All Other Insurance-Linked Securities | - | 77,879,236 | - | 77,879,236 |
Foreign Government Bonds | - | 23,170,438 | - | 23,170,438 |
U.S. Government and Agency Obligations | - | 2,119,611,010 | - | 2,119,611,010 |
Open-End Fund | 165,975,588 | - | - | 165,975,588 |
Total Investments in Securities | $165,975,588 | $4,760,641,502 | $83,911,064 | $5,010,528,154 |
Liabilities | ||||
TBA Sales Commitments | $- | $(303,586,905) | $- | $(303,586,905) |
Total Liabilities | $- | $(303,586,905) | $- | $(303,586,905) |
Level 1 | Level 2 | Level 3 | Total | |
Other Financial Instruments | ||||
Net unrealized appreciation on futures contracts | $7,573,729 | $- | $- | $7,573,729 |
Centrally cleared swap contracts^ | - | 630,974 | - | 630,974 |
Total Other Financial Instruments | $7,573,729 | $630,974 | $- | $8,204,703 |
* | Securities valued at $0. |
^ | Reflects the unrealized appreciation (depreciation) of the instruments. |
Commercial Mortgage- Backed Securities |
Insurance- Linked Securities |
Total | |
Balance as of 6/30/23 | $- | $95,680,914 | $95,680,914 |
Realized gain (loss)(1) | - | (1,509,339) | (1,509,339) |
Changed in unrealized appreciation (depreciation)(2) | - | 2,596,996 | 2,596,996 |
Return of capital | - | (47,218,658) | (47,218,658) |
Purchases | - | 68,765,151 | 68,765,151 |
Sales | - | (34,404,000) | (34,404,000) |
Transfers in to Level 3* | -** | - | -** |
Transfers out of Level 3* | - | - | - |
Balance as of 6/30/24 | -** | $83,911,064 | $83,911,064 |
(1) | Realized gain (loss) on these securities is included in the realized gain (loss) from investments on the Statement of Operations. | ||
(2) | Unrealized appreciation (depreciation) on these securities is included in the change in unrealized appreciation (depreciation) from investments on the Statement of Operations. | ||
* | Transfers are calculated on the beginning of period values. During the year ended June 30, 2024, a security valued at $0 was transferred from Level 2 to Level 3, due to valuing the security using unobservable inputs. There were no other transfers in or out of Level 3 during the period. | ||
** | Securities valued at $0. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at June 30, 2024: | $6,064,882 |
ASSETS: | |
Investments in unaffiliated issuers, at value (cost $5,230,529,130) | $5,010,528,154 |
Cash | 6,587,252 |
Foreign currencies, at value (cost $23) | 23 |
Futures collateral | 16,736,371 |
Swaps collateral | 36,129,456 |
Collateral due from broker for TBA Securities | 20,000 |
Due from broker for futures | 673,861 |
Receivables - | |
Investment securities sold | 349,789,715 |
Fund shares sold | 7,347,802 |
Interest | 35,190,725 |
Other assets | 38,968 |
Total assets | $5,463,042,327 |
LIABILITIES: | |
Payables - | |
Investment securities purchased | $564,160,614 |
Fund shares repurchased | 12,518,926 |
Distributions | 2,781,096 |
Trustees' fees | 3,379 |
Interest expense | 659,069 |
Variation margin for centrally cleared swap contracts | 20,455,117 |
Collateral due to broker for TBA Securities | 1,290,249 |
Variation margin for futures contracts | 673,858 |
TBA sales commitments at value | 303,586,905 |
Management fees | 180,015 |
Administrative expenses | 91,871 |
Distribution fees | 29,160 |
Accrued expenses | 1,131,222 |
Total liabilities | $907,561,481 |
NET ASSETS: | |
Paid-in capital | $5,384,899,071 |
Distributable earnings (loss) | (829,418,225) |
Net assets | $4,555,480,846 |
NET ASSET VALUE PER SHARE: | |
No par value (unlimited number of shares authorized) | |
Class A (based on $472,853,878/57,553,696 shares) | $8.22 |
Class C (based on $15,890,810/1,957,672 shares) | $8.12 |
Class K (based on $1,500,985,448/182,895,895 shares) | $8.21 |
Class R (based on $157,915,224/19,048,914 shares) | $8.29 |
Class Y (based on $2,407,835,486/296,132,194 shares) | $8.13 |
MAXIMUM OFFERING PRICE PER SHARE: | |
Class A (based on $8.22 net asset value per share/100%-4.50% maximum sales charge) | $8.61 |
INVESTMENT INCOME: | ||
Interest from unaffiliated issuers (net of foreign taxes withheld $15,571) | $218,791,126 | |
Dividends from unaffiliated issuers | 22,169,907 | |
Total Investment Income | $240,961,033 | |
EXPENSES: | ||
Management fees | $12,890,557 | |
Administrative expenses | 1,162,421 | |
Transfer agent fees | ||
Class A | 954,725 | |
Class C | 14,103 | |
Class K | 3,276 | |
Class R | 389,670 | |
Class Y | 2,527,087 | |
Distribution fees | ||
Class A | 1,260,952 | |
Class C | 161,921 | |
Class R | 777,479 | |
Shareholder communications expense | 251,576 | |
Custodian fees | 44,664 | |
Registration fees | 227,103 | |
Professional fees | 347,189 | |
Printing expense | 59,645 | |
Officers' and Trustees' fees | 292,736 | |
Insurance expense | 55,543 | |
Miscellaneous | 651,194 | |
Total expenses | $22,071,841 | |
Net investment income | $218,889,192 | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||
Net realized gain (loss) on: | ||
Reimbursement by the Adviser | $25,163 | |
Investments in unaffiliated issuers | (133,264,590) | |
TBA sales commitments | 2,338,414 | |
Futures contracts | (58,859,544) | |
Swap contracts | (37,961,591) | |
Other assets and liabilities denominated in foreign currencies | (23) | $(227,722,171) |
Change in net unrealized appreciation (depreciation) on: | ||
Investments in unaffiliated issuers | $148,823,930 | |
TBA sales commitments | 998,662 | |
Futures contracts | 20,985,829 | |
Swap contracts | 7,587,721 | $178,396,142 |
Net realized and unrealized gain (loss) on investments | $(49,326,029) | |
Net increase in net assets resulting from operations | $169,563,163 |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
|
FROM OPERATIONS: | ||
Net investment income (loss) | $218,889,192 | $178,428,999 |
Net realized gain (loss) on investments | (227,722,171) | (241,684,297) |
Change in net unrealized appreciation (depreciation) on investments | 178,396,142 | (8,108,961) |
Net increase (decrease) in net assets resulting from operations | $169,563,163 | $(71,364,259) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Class A ($0.30 and $0.23 per share, respectively) | $(18,803,875) | $(15,674,765) |
Class C ($0.25 and $0.18 per share, respectively) | (498,706) | (391,598) |
Class K ($0.34 and $0.27 per share, respectively) | (62,395,675) | (48,224,361) |
Class R ($0.28 and $0.21 per share, respectively) | (5,337,606) | (4,114,149) |
Class Y ($0.33 and $0.26 per share, respectively) | (94,113,822) | (67,735,045) |
Total distributions to shareholders | $(181,149,684) | $(136,139,918) |
FROM FUND SHARE TRANSACTIONS: | ||
Net proceeds from sales of shares | $1,591,324,985 | $1,583,055,341 |
Reinvestment of distributions | 159,354,409 | 119,408,212 |
Cost of shares repurchased | (1,661,388,475) | (1,608,071,894) |
Net increase in net assets resulting from Fund share transactions | $89,290,919 | $94,391,659 |
Net increase (decrease) in net assets | $77,704,398 | $(113,112,518) |
NET ASSETS: | ||
Beginning of year | $4,477,776,448 | $4,590,888,966 |
End of year | $4,555,480,846 | $4,477,776,448 |
Year Ended 6/30/24 Shares |
Year Ended 6/30/24 Amount |
Year Ended 6/30/23 Shares |
Year Ended 6/30/23 Amount |
|
Class A | ||||
Shares sold | 12,992,908 | $105,805,742 | 15,947,548 | $132,250,419 |
Reinvestment of distributions | 1,891,232 | 15,368,023 | 1,513,896 | 12,545,029 |
Less shares repurchased | (23,577,998) | (191,489,445) | (23,950,304) | (199,879,949) |
Net decrease | (8,693,858) | $(70,315,680) | (6,488,860) | $(55,084,501) |
Class C | ||||
Shares sold | 602,717 | $4,871,289 | 457,791 | $3,744,549 |
Reinvestment of distributions | 58,501 | 469,776 | 44,524 | 364,538 |
Less shares repurchased | (750,560) | (6,019,961) | (967,892) | (7,928,683) |
Net decrease | (89,342) | $(678,896) | (465,577) | $(3,819,596) |
Class K | ||||
Shares sold | 63,169,078 | $512,968,700 | 58,655,203 | $487,163,148 |
Reinvestment of distributions | 6,472,908 | 52,523,089 | 4,969,389 | 41,138,139 |
Less shares repurchased | (68,015,092) | (547,814,759) | (61,630,199) | (513,351,156) |
Net increase | 1,626,894 | $17,677,030 | 1,994,393 | $14,950,131 |
Class R | ||||
Shares sold | 1,991,865 | $16,341,777 | 1,724,615 | $14,468,928 |
Reinvestment of distributions | 646,921 | 5,303,590 | 491,464 | 4,108,735 |
Less shares repurchased | (3,078,859) | (25,151,022) | (2,556,061) | (21,413,512) |
Net decrease | (440,073) | $(3,505,655) | (339,982) | $(2,835,849) |
Class Y | ||||
Shares sold | 118,224,574 | $951,337,477 | 114,806,859 | $945,428,297 |
Reinvestment of distributions | 10,656,130 | 85,689,931 | 7,468,433 | 61,251,771 |
Less shares repurchased | (111,634,341) | (890,913,288) | (105,348,040) | (865,498,594) |
Net increase | 17,246,363 | $146,114,120 | 16,927,252 | $141,181,474 |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
Year Ended 6/30/22 |
Year Ended 6/30/21 |
Year Ended 6/30/20 |
|
Class A | |||||
Net asset value, beginning of period | $8.22 | $8.60 | $10.14 | $9.98 | $9.79 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss) (a) | $0.37 | $0.31 | $0.19 | $0.23 | $0.25 |
Net realized and unrealized gain (loss) on investments | (0.07) | (0.46) | (1.22) | 0.38 | 0.23 |
Net increase (decrease) from investment operations | $0.30 | $(0.15) | $(1.03) | $0.61 | $0.48 |
Distributions to shareholders: | |||||
Net investment income | $(0.30) | $(0.23) | $(0.16) | $(0.27) | $(0.29) |
Net realized gain | - | - | (0.35) | (0.18) | - |
Total distributions | $(0.30) | $(0.23) | $(0.51) | $(0.45) | $(0.29) |
Net increase (decrease) in net asset value | $- | $(0.38) | $(1.54) | $0.16 | $0.19 |
Net asset value, end of period | $8.22 | $8.22 | $8.60 | $10.14 | $9.98 |
Total return (b) | 3.81%(c) | (1.70)% | (10.66)% | 6.26% | 5.01% |
Ratio of net expenses to average net assets | 0.81% | 0.83% | 0.79% | 0.82% | 0.82% |
Ratio of net investment income (loss) to average net assets | 4.59% | 3.76% | 2.02% | 2.26% | 2.58% |
Portfolio turnover rate | 57% | 58% | 72% | 59% | 71% |
Net assets, end of period (in thousands) | $472,854 | $544,279 | $625,834 | $831,595 | $960,460 |
(a) | The per-share data presented above is based on the average shares outstanding for the period presented. |
(b) | Assumes initial investment at net asset value at the beginning of each period, reinvestment of all distributions, the complete redemption of the investment at net asset value at the end of each period and no sales charges. Total return would be reduced if sales charges were taken into account. |
(c) | For the year ended June 30, 2024, the Fund's total return includes a reimbursement by the Adviser (see Notes to the Financial Statements - Note 1B). The impact on Class A's total return was less than 0.005%. |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
Year Ended 6/30/22 |
Year Ended 6/30/21 |
Year Ended 6/30/20 |
|
Class C | |||||
Net asset value, beginning of period | $8.12 | $8.51 | $10.03 | $9.87 | $9.68 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss) (a) | $0.32 | $0.25 | $0.13 | $0.17 | $0.19 |
Net realized and unrealized gain (loss) on investments | (0.07) | (0.46) | (1.20) | 0.38 | 0.23 |
Net increase (decrease) from investment operations | $0.25 | $(0.21) | $(1.07) | $0.55 | $0.42 |
Distributions to shareholders: | |||||
Net investment income | $(0.25) | $(0.18) | $(0.10) | $(0.21) | $(0.23) |
Net realized gain | - | - | (0.35) | (0.18) | - |
Total distributions | $(0.25) | $(0.18) | $(0.45) | $(0.39) | $(0.23) |
Net increase (decrease) in net asset value | $- | $(0.39) | $(1.52) | $0.16 | $0.19 |
Net asset value, end of period | $8.12 | $8.12 | $8.51 | $10.03 | $9.87 |
Total return (b) | 3.13%(c) | (2.49)% | (11.16)% | 5.63% | 4.38% |
Ratio of net expenses to average net assets | 1.46% | 1.49% | 1.43% | 1.43% | 1.45% |
Ratio of net investment income (loss) to average net assets | 3.95% | 3.09% | 1.36% | 1.65% | 1.96% |
Portfolio turnover rate | 57% | 58% | 72% | 59% | 71% |
Net assets, end of period (in thousands) | $15,891 | $16,617 | $21,371 | $35,295 | $59,026 |
(a) | The per-share data presented above is based on the average shares outstanding for the period presented. |
(b) | Assumes initial investment at net asset value at the beginning of each period, reinvestment of all distributions, the complete redemption of the investment at net asset value at the end of each period and no sales charges. Total return would be reduced if sales charges were taken into account. |
(c) | For the year ended June 30, 2024, the Fund's total return includes a reimbursement by the Adviser (see Notes to the Financial Statements - Note 1B). The impact on Class C's total return was less than 0.005%. |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
Year Ended 6/30/22 |
Year Ended 6/30/21 |
Year Ended 6/30/20 |
|
Class K | |||||
Net asset value, beginning of period | $8.21 | $8.60 | $10.13 | $9.98 | $9.78 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss) (a) | $0.41 | $0.35 | $0.24 | $0.28 | $0.30 |
Net realized and unrealized gain (loss) on investments | (0.07) | (0.47) | (1.21) | 0.37 | 0.24 |
Net increase (decrease) from investment operations | $0.34 | $(0.12) | $(0.97) | $0.65 | $0.54 |
Distributions to shareholders: | |||||
Net investment income | $(0.34) | $(0.27) | $(0.21) | $(0.32) | $(0.34) |
Net realized gain | - | - | (0.35) | (0.18) | - |
Total distributions | $(0.34) | $(0.27) | $(0.56) | $(0.50) | $(0.34) |
Net increase (decrease) in net asset value | $- | $(0.39) | $(1.53) | $0.15 | $0.20 |
Net asset value, end of period | $8.21 | $8.21 | $8.60 | $10.13 | $9.98 |
Total return (b) | 4.28%(c) | (1.34)% | (10.12)% | 6.66% | 5.65% |
Ratio of net expenses to average net assets | 0.36% | 0.36% | 0.33% | 0.34% | 0.34% |
Ratio of net investment income (loss) to average net assets | 5.05% | 4.25% | 2.46% | 2.73% | 3.08% |
Portfolio turnover rate | 57% | 58% | 72%(d) | 59% | 71% |
Net assets, end of period (in thousands) | $1,500,985 | $1,487,534 | $1,540,983 | $1,983,399 | $1,918,556 |
(a) | The per-share data presented above is based on the average shares outstanding for the period presented. |
(b) | Assumes initial investment at net asset value at the beginning of each period, reinvestment of all distributions and the complete redemption of the investment at net asset value at the end of each period. |
(c) | For the year ended June 30, 2024, the Fund's total return includes a reimbursement by the Adviser (see Notes to the Financial Statements - Note 1B). The impact on Class K's total return was less than 0.005%. |
(d) | Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
Year Ended 6/30/22 |
Year Ended 6/30/21 |
Year Ended 6/30/20 |
|
Class R | |||||
Net asset value, beginning of period | $8.29 | $8.68 | $10.23 | $10.07 | $9.88 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss) (a) | $0.35 | $0.29 | $0.17 | $0.20 | $0.23 |
Net realized and unrealized gain (loss) on investments | (0.07) | (0.47) | (1.23) | 0.39 | 0.23 |
Net increase (decrease) from investment operations | $0.28 | $(0.18) | $(1.06) | $0.59 | $0.46 |
Distributions to shareholders: | |||||
Net investment income | $(0.28) | $(0.21) | $(0.14) | $(0.25) | $(0.27) |
Net realized gain | - | - | (0.35) | (0.18) | - |
Total distributions | $(0.28) | $(0.21) | $(0.49) | $(0.43) | $(0.27) |
Net increase (decrease) in net asset value | $- | $(0.39) | $(1.55) | $0.16 | $0.19 |
Net asset value, end of period | $8.29 | $8.29 | $8.68 | $10.23 | $10.07 |
Total return (b) | 3.49%(c) | (2.05)% | (10.88)% | 5.97% | 4.76% |
Ratio of net expenses to average net assets | 1.11% | 1.11% | 1.07% | 1.08% | 1.08% |
Ratio of net investment income (loss) to average net assets | 4.30% | 3.50% | 1.73% | 1.99% | 2.33% |
Portfolio turnover rate | 57% | 58% | 72% | 59% | 71% |
Net assets, end of period (in thousands) | $157,915 | $161,550 | $172,125 | $212,127 | $191,311 |
(a) | The per-share data presented above is based on the average shares outstanding for the period presented. |
(b) | Assumes initial investment at net asset value at the beginning of each period, reinvestment of all distributions and the complete redemption of the investment at net asset value at the end of each period. |
(c) | For the year ended June 30, 2024, the Fund's total return includes a reimbursement by the Adviser (see Notes to the Financial Statements - Note 1B). The impact on Class R's total return was less than 0.005%. |
Year Ended 6/30/24 |
Year Ended 6/30/23 |
Year Ended 6/30/22 |
Year Ended 6/30/21 |
Year Ended 6/30/20 |
|
Class Y | |||||
Net asset value, beginning of period | $8.13 | $8.51 | $10.04 | $9.89 | $9.70 |
Increase (decrease) from investment operations: | |||||
Net investment income (loss) (a) | $0.40 | $0.34 | $0.22 | $0.26 | $0.29 |
Net realized and unrealized gain (loss) on investments | (0.07) | (0.46) | (1.20) | 0.38 | 0.23 |
Net increase (decrease) from investment operations | $0.33 | $(0.12) | $(0.98) | $0.64 | $0.52 |
Distributions to shareholders: | |||||
Net investment income | $(0.33) | $(0.26) | $(0.20) | $(0.31) | $(0.33) |
Net realized gain | - | - | (0.35) | (0.18) | - |
Total distributions | $(0.33) | $(0.26) | $(0.55) | $(0.49) | $(0.33) |
Net increase (decrease) in net asset value | $- | $(0.38) | $(1.53) | $0.15 | $0.19 |
Net asset value, end of period | $8.13 | $8.13 | $8.51 | $10.04 | $9.89 |
Total return (b) | 4.17%(c) | (1.39)% | (10.34)% | 6.58% | 5.44% |
Ratio of net expenses to average net assets | 0.47% | 0.47% | 0.44% | 0.45% | 0.45% |
Ratio of net investment income (loss) to average net assets | 4.94% | 4.13% | 2.36% | 2.62% | 2.96% |
Portfolio turnover rate | 57% | 58% | 72%(d) | 59% | 71% |
Net assets, end of period (in thousands) | $2,407,835 | $2,267,796 | $2,230,576 | $2,795,466 | $2,847,487 |
(a) | The per-share data presented above is based on the average shares outstanding for the period presented. |
(b) | Assumes initial investment at net asset value at the beginning of each period, reinvestment of all distributions and the complete redemption of the investment at net asset value at the end of each period. |
(c) | For the year ended June 30, 2024, the Fund's total return includes a reimbursement by the Adviser (see Notes to the Financial Statements - Note 1B). The impact on Class Y's total return was less than 0.005%. |
(d) | Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. |
A. | Security Valuation |
The net asset value of the Fund is computed once daily, on each day the New York Stock Exchange ("NYSE") is open, as of the close of regular trading on the NYSE. | |
Fixed income securities are valued by using prices supplied by independent pricing services, which consider such factors as market prices, market events, quotations from one or more brokers, Treasury spreads, yields, maturities and ratings, or may use a pricing matrix or other fair value methods or techniques to provide an estimated value of the security or instrument. A pricing matrix is a means of valuing a debt security on the basis of current market prices for other debt securities, historical trading patterns in the market for fixed income securities and/or other factors. Non-U.S. debt securities that are listed on an exchange will be valued at the bid price obtained from an independent third party pricing service. When independent third party pricing services are unable to supply prices, or when prices or market quotations are considered to be unreliable, the value of that security may be determined using quotations from one or more broker-dealers. | |
Loan interests are valued at the mean between the last available bid and asked prices from one or more brokers or dealers as obtained from Loan Pricing Corporation, an independent third party pricing service. If price information is not available from Loan Pricing Corporation, or if the price information is deemed to be unreliable, price information will be obtained from an alternative loan interest pricing service. If no reliable price quotes are available from either the primary or alternative pricing service, broker quotes will be solicited. | |
Event-linked bonds are valued at the bid price obtained from an independent third party pricing service. Other insurance-linked securities (including reinsurance sidecars, collateralized reinsurance and industry loss warranties) may be valued at the bid price obtained from |
an independent pricing service, or through a third party using a pricing matrix, insurance valuation models, or other fair value methods or techniques to provide an estimated value of the instrument. | |
Equity securities that have traded on an exchange are valued by using the last sale price on the principal exchange where they are traded. Equity securities that have not traded on the date of valuation, or securities for which sale prices are not available, generally are valued using the mean between the last bid and asked prices or, if both last bid and asked prices are not available, at the last quoted bid price. Last sale and bid and asked prices are provided by independent third party pricing services. In the case of equity securities not traded on an exchange, prices are typically determined by independent third party pricing services using a variety of techniques and methods. | |
The value of foreign securities is translated into U.S. dollars based on foreign currency exchange rate quotations supplied by a third party pricing source. Trading in non-U.S. equity securities is substantially completed each day at various times prior to the close of the NYSE. The values of such securities used in computing the net asset value of the Fund's shares are determined as of such times. The Adviser may use a fair value model developed by an independent pricing service to value non-U.S. equity securities. | |
Futures contracts are generally valued at the closing settlement price established by the exchange on which they are traded. | |
Swap contracts, including interest rate swaps, caps and floors (other than centrally cleared swap contracts), are valued at the dealer quotations obtained from reputable International Swap Dealers Association members. Centrally cleared swaps are valued at the daily settlement price provided by the central clearing counterparty. | |
Repurchase agreements are valued at par. Cash may include overnight time deposits at approved financial institutions. | |
Shares of open-end registered investment companies (including money market mutual funds) are valued at such funds' net asset value. | |
Securities or loan interests for which independent pricing services or broker-dealers are unable to supply prices or for which market prices and/or quotations are not readily available or are considered to be unreliable are valued by a fair valuation team comprised of certain personnel of the Adviser. The Adviser is designated as the valuation designee for the Fund pursuant to Rule 2a-5 under the 1940 Act. The Adviser's fair valuation team is responsible for monitoring developments that may impact fair valued securities. |
Inputs used when applying fair value methods to value a security may include credit ratings, the financial condition of the company, current market conditions and comparable securities. The Adviser may use fair value methods if it is determined that a significant event has occurred after the close of the exchange or market on which the security trades and prior to the determination of the Fund's net asset value. Examples of a significant event might include political or economic news, corporate restructurings, natural disasters, terrorist activity or trading halts. Thus, the valuation of the Fund's securities may differ significantly from exchange prices, and such differences could be material. | |
B. | Investment Income and Transactions |
Dividend income is recorded on the ex-dividend date, except that certain dividends from foreign securities where the ex-dividend date may have passed are recorded as soon as the Fund becomes aware of the ex-dividend data in the exercise of reasonable diligence. | |
Interest income, including interest on income-bearing cash accounts, is recorded on the accrual basis. Dividend and interest income are reported net of unrecoverable foreign taxes withheld at the applicable country rates and net of income accrued on defaulted securities. | |
Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt and is included in interest and dividend income, respectively. | |
Principal amounts of mortgage-backed securities are adjusted for monthly paydowns. Premiums and discounts related to certain mortgage-backed securities are amortized or accreted in proportion to the monthly paydowns. All discounts/premiums on purchase prices of debt securities are accreted/amortized for financial reporting purposes over the life of the respective securities, and such accretion/amortization is included in interest income. | |
Security transactions are recorded as of trade date. Gains and losses on sales of investments are calculated on the identified cost method for both financial reporting and federal income tax purposes. | |
During the year ended June 30, 2024, the Fund realized a loss of $25,163 due to an operational error. The Adviser voluntarily reimbursed the Fund for this loss, which is reflected on the Statement of Operations as Reimbursement by the Adviser. |
C. | Foreign Currency Translation |
The books and records of the Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars using current exchange rates. | |
Net realized gains and losses on foreign currency transactions, if any, represent, among other things, the net realized gains and losses on foreign currency exchange contracts, disposition of foreign currencies and the difference between the amount of income accrued and the U.S. dollars actually received. Further, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement of Operations from the effects of changes in the market prices of those securities, but are included with the net realized and unrealized gain or loss on investments. | |
D. | Federal Income Taxes |
It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income and net realized capital gains, if any, to its shareholders. Therefore, no provision for federal income taxes is required. As of June 30, 2024, the Fund did not accrue any interest or penalties with respect to uncertain tax positions, which, if applicable, would be recorded as an income tax expense on the Statement of Operations. Tax returns filed within the prior three years remain subject to examination by federal and state tax authorities. | |
The amount and character of income and capital gain distributions to shareholders are determined in accordance with federal income tax rules, which may differ from U.S. GAAP. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes. Capital accounts within the financial statements are adjusted for permanent book/tax differences to reflect tax character, but are not adjusted for temporary differences. | |
At June 30, 2024, the Fund reclassified $4,729,589 to decrease distributable earnings and $4,729,589 to increase paid-in capital to reflect permanent book/tax differences. These adjustments have no impact on net assets or the results of operations. | |
At June 30, 2024, the Fund was permitted to carry forward indefinitely $286,272,358 of short-term losses and $330,032,155 of long-term losses. |
The tax character of distributions paid during the years ended June 30, 2024 and June 30, 2023, was as follows: |
2024 | 2023 | |
Distributions paid from: | ||
Ordinary income | $181,149,684 | $136,139,918 |
Total | $181,149,684 | $136,139,918 |
2024 | |
Distributable earnings/(losses): | |
Undistributed ordinary income | $24,844,533 |
Capital loss carryforward | (616,304,513) |
Other book/tax temporary differences | (2,781,095) |
Net unrealized depreciation | (235,177,150) |
Total | $(829,418,225) |
E. | Fund Shares |
The Fund records sales and repurchases of its shares as of trade date. The Distributor earned $19,210 in underwriting commissions on the sale of Class A shares during the year ended June 30, 2024. | |
F. | Class Allocations |
Income, common expenses and realized and unrealized gains and losses are calculated at the Fund level and allocated daily to each class of shares based on its respective percentage of adjusted net assets at the beginning of the day. | |
Distribution fees are calculated based on the average daily net asset value attributable to Class A, Class C and Class R shares of the Fund, respectively (see Note 5). Class K and Class Y shares do not pay distribution fees. All expenses and fees paid to the Fund's transfer agent for its services are allocated among the classes of shares based on the number of accounts in each class and the ratable allocation of related out-of-pocket expenses (see Note 4). |
The Fund declares as daily dividends substantially all of its net investment income. All dividends are paid on a monthly basis. Short-term capital gain distributions, if any, may be declared with the daily dividends. Distributions to shareholders are recorded as of the ex-dividend date. Distributions paid by the Fund with respect to each class of shares are calculated in the same manner and at the same time, except that net investment income dividends to Class A, Class C and Class Y shares can reflect different transfer agent and distribution expense rates. | |
G. | Risks |
The value of securities held by the Fund may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic, political or regulatory conditions, recessions, the spread of infectious illness or other public health issues, inflation, changes in interest rates, armed conflict such as between Russia and Ukraine or in the Middle East, sanctions against Russia, other nations or individuals or companies and possible countermeasures, lack of liquidity in the bond markets or adverse investor sentiment. In the past several years, financial markets have experienced increased volatility, depressed valuations, decreased liquidity and heightened uncertainty. These conditions may continue, recur, worsen or spread. Inflation and interest rates have increased and may rise further. These circumstances could adversely affect the value and liquidity of the Fund's investments and negatively impact the Fund's performance. | |
The long-term impact of the COVID-19 pandemic and its subsequent variants on economies, markets, industries and individual issuers, are not known. Some sectors of the economy and individual issuers have experienced or may experience particularly large losses. Periods of extreme volatility in the financial markets, reduced liquidity of many instruments, increased government debt, inflation, and disruptions to supply chains, consumer demand and employee availability, may continue for some time. Following Russia's invasion of Ukraine, Russian securities lost all, or nearly all, their market value. Other securities or markets could be similarly affected by past or future political, geopolitical or other events or conditions. | |
Governments and central banks, including the U.S. Federal Reserve, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. These actions have resulted in significant expansion of public debt, including in the U.S. The consequences of high public debt, including its future impact on the economy and securities markets, may not be known for some time. |
The U.S. and other countries are periodically involved in disputes over trade and other matters, which may result in tariffs, investment restrictions and adverse impacts on affected companies and securities. For example, the U.S. has imposed tariffs and other trade barriers on Chinese exports, has restricted sales of certain categories of goods to China, and has established barriers to investments in China. Trade disputes may adversely affect the economies of the U.S. and its trading partners, as well as companies directly or indirectly affected and financial markets generally. If the political climate between the U.S. and China does not improve or continues to deteriorate, if China were to attempt unification of Taiwan by force, or if other geopolitical conflicts develop or get worse, economies, markets and individual securities may be severely affected both regionally and globally, and the value of the Fund's assets may go down. | |
At times, the Fund's investments may represent industries or industry sectors that are interrelated or have common risks, making the Fund more susceptible to any economic, political, or regulatory developments or other risks affecting those industries and sectors. | |
The Fund's investments in foreign markets and countries with limited developing markets may subject the Fund to a greater degree of risk than investments in a developed market. These risks include disruptive political or economic conditions, military conflicts and sanctions, terrorism, sustained economic downturns, financial instability, less liquid trading markets, extreme price volatility, currency risks, reduction of government or central bank support, inadequate accounting standards, tariffs, tax disputes or other tax burdens, nationalization or expropriation of assets and the imposition of adverse governmental laws, arbitrary application of laws and regulations or lack of rule of law and investment and repatriation restrictions. Lack of information and less market regulation also may affect the value of these securities. Withholding and other non-U.S. taxes may decrease the Fund's return. Non-U.S. issuers may be located in parts of the world that have historically been prone to natural disasters. Investing in depositary receipts is subject to many of the same risks as investing directly in non-U.S. issuers. Depositary receipts may involve higher expenses and may trade at a discount (or premium) to the underlying security. | |
Russia launched a large-scale invasion of Ukraine on February 24, 2022. In response to the military action by Russia, various countries, including the U.S., the United Kingdom, and European Union issued broad-ranging economic sanctions against Russia and Belarus and certain companies and individuals. Since then, Russian securities lost all, or nearly all, their market value, and many other issuers, securities and markets have |
been adversely affected. The United States and other countries may impose sanctions on other countries, companies and individuals in light of Russia's military invasion. The extent and duration of the military action or future escalation of such hostilities, the extent and impact of existing and future sanctions, market disruptions and volatility, and the result of any diplomatic negotiations cannot be predicted. These and any related events could have a significant impact on the value and liquidity of certain Fund investments, on Fund performance and the value of an investment in the Fund, particularly with respect to securities and commodities, such as oil, natural gas and food commodities, as well as other sectors with exposure to Russian issuers or issuers in other countries affected by the invasion, and are likely to have collateral impacts on market sectors globally. | |
The Fund may invest in REIT securities, the value of which can fall for a variety of reasons, such as declines in rental income, fluctuating interest rates, poor property management, environmental liabilities, uninsured damage, increased competition, or changes in real estate tax laws. | |
Normally, the Fund invests at least 80% of its net assets (plus the amount of borrowings, if any, for investment purposes) in debt securities issued or guaranteed by the U.S. government, its agencies and instrumentalities, investment grade debt securities (including convertible debt) of corporate or other issuers and cash, cash equivalents and other short-term holdings. | |
The market prices of the Fund's fixed income securities may fluctuate significantly when interest rates change. The value of your investment will generally go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. For example, if interest rates increase by 1%, the value of a Fund's portfolio with a portfolio duration of ten years would be expected to decrease by 10%, all other things being equal. In recent years interest rates and credit spreads in the U.S. have been at historic lows. The U.S. Federal Reserve has raised certain interest rates, and interest rates may continue to go up. A general rise in interest rates could adversely affect the price and liquidity of fixed income securities. The maturity of a security may be significantly longer than its effective duration. A security's maturity and other features may be more relevant than its effective duration in determining the security's sensitivity to other factors affecting the issuer or markets generally, such as changes in credit quality or in the yield premium that the market may establish for certain types of securities (sometimes called "credit spread"). In general, the longer its maturity the more a security may be susceptible to these |
factors. When the credit spread for a fixed income security goes up, or "widens", the value of the security will generally go down. | |
If an issuer or guarantor of a security held by the Fund or a counterparty to a financial contract with the Fund defaults on its obligation to pay principal and/or interest, has its credit rating downgraded or is perceived to be less creditworthy, or the credit quality or value of any underlying assets declines, the value of your investment will typically decline. Changes in actual or perceived creditworthiness may occur quickly. The Fund could be delayed or hindered in its enforcement of rights against an issuer, guarantor or counterparty. | |
The Fund may invest up to 20% of its net assets in below investment grade (high-yield) debt securities. Some of these high-yield securities may be convertible into equity securities of the issuer. Debt securities rated below investment-grade are commonly referred to as "junk bonds" and are considered speculative with respect to the issuer's capacity to pay interest and repay principal. These securities involve greater risk of loss, are subject to greater price volatility, and may be less liquid and more difficult to value, especially during periods of economic uncertainty or change, than higher rated debt securities. | |
The Fund may invest in mortgage-related and asset-backed securities. The value of mortgage-related and asset-backed securities will be influenced by factors affecting the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Mortgage-backed securities tend to be more sensitive to changes in interest rate than other types of debt securities. These securities are also subject to prepayment and extension risks. Some of these securities may receive little or no collateral protection from the underlying assets and are thus subject to the risk of default. The risk of such defaults is generally higher in the case of mortgage-backed investments offered by non-governmental issuers and those that include so-called "sub-prime" mortgages. The structure of some of these securities may be complex and there may be less available information than for other types of debt securities. Upon the occurrence of certain triggering events or defaults, the Fund may become the holder of underlying assets at a time when those assets may be difficult to sell or may be sold only at a loss. | |
The Fund may invest in credit risk transfer securities. Credit risk transfer securities are unguaranteed and unsecured debt securities issued by government sponsored enterprises and therefore are not directly linked |
to or backed by the underlying mortgage loans. As a result, in the event that a government sponsored enterprise fails to pay principal or interest on its credit risk transfer securities or goes through a bankruptcy, insolvency or similar proceeding, holders of such credit risk transfer securities have no direct recourse to the underlying mortgage loans and will generally receive recovery on par with other unsecured note holders in such a scenario. The risks associated with an investment in credit risk transfer securities are different than the risks associated with an investment in mortgage-backed securities issued by Fannie Mae and Freddie Mac, or other government sponsored enterprise or issued by a private issuer, because some or all of the mortgage default or credit risk associated with the underlying mortgage loans is transferred to investors. As a result, investors in these securities could lose some or all of their investment in these securities if the underlying mortgage loans default. | |
The Fund's investments, payment obligations and financing terms may be based on floating rates, such as LIBOR (London Interbank Offered Rate) or SOFR (Secured Overnight Financing Rate). ICE Benchmark Administration, the administrator of LIBOR, has ceased publication of most LIBOR settings on a representative basis. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. In the U.S., a common benchmark replacement is based on the SOFR published by the Federal Reserve Bank of New York, including certain spread adjustments and benchmark replacement conforming changes, although other benchmark replacements (without or without spread adjustments) may be used in certain transactions. The impact of the transition from LIBOR on the Fund's transactions and financial markets generally cannot yet be determined. The transition away from LIBOR may lead to increased volatility and illiquidity in markets for instruments that have relied on LIBOR and may adversely affect the Fund's performance. | |
With the increased use of technologies such as the Internet to conduct business, the Fund is susceptible to operational, information security and related risks. While the Fund's Adviser has established business continuity plans in the event of, and risk management systems to prevent, limit or mitigate, such cyber-attacks, there are inherent limitations in such plans and systems, including the possibility that certain risks have not been identified. Furthermore, the Fund cannot control the cybersecurity plans and systems put in place by service providers to the Fund such as the Fund's custodian and accounting agent, and the Fund's transfer agent. In addition, many beneficial owners of Fund shares hold them through accounts at broker-dealers, |
retirement platforms and other financial market participants over which neither the Fund nor the Adviser exercises control. Each of these may in turn rely on service providers to them, which are also subject to the risk of cyber-attacks. Cybersecurity failures or breaches at the Adviser or the Fund's service providers or intermediaries have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with the Fund's ability to calculate its net asset value, impediments to trading, the inability of Fund shareholders to effect share purchases, redemptions or exchanges or receive distributions, loss of or unauthorized access to private shareholder information and violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, or additional compliance costs. Such costs and losses may not be covered under any insurance. In addition, maintaining vigilance against cyber-attacks may involve substantial costs over time, and system enhancements may themselves be subject to cyber-attacks. | |
The Fund's prospectus contains unaudited information regarding the Fund's principal risks. Please refer to that document when considering the Fund's principal risks. | |
H. | Restricted Securities |
Restricted Securities are subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. | |
Disposal of restricted investments may involve negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Fund at June 30, 2024 are listed in the Schedule of Investments. | |
I. | Insurance-Linked Securities ("ILS") |
The Fund invests in ILS. The Fund could lose a portion or all of the principal it has invested in an ILS, and the right to additional interest or dividend payments with respect to the security, upon the occurrence of one or more trigger events, as defined within the terms of an insurance-linked security. Trigger events, generally, are hurricanes, earthquakes, or other natural events of a specific size or magnitude that occur in a designated geographic region during a specified time period, and/or that involve losses or other metrics that exceed a specific amount. There is no way to accurately predict whether a trigger event will occur, and |
accordingly, ILS carry significant risk. The Fund is entitled to receive principal, and interest and/or dividend payments so long as no trigger event occurs of the description and magnitude specified by the instrument. In addition to the specified trigger events, ILS may expose the Fund to other risks, including but not limited to issuer (credit) default, adverse regulatory or jurisdictional interpretations and adverse tax consequences. | |
The Fund's investments in ILS may include event-linked bonds. ILS also may include special purpose vehicles ("SPVs") or similar instruments structured to comprise a portion of a reinsurer's catastrophe-oriented business, known as quota share instruments (sometimes referred to as reinsurance sidecars), or to provide reinsurance relating to specific risks to insurance or reinsurance companies through a collateralized instrument, known as collateralized reinsurance. Structured reinsurance investments also may include industry loss warranties ("ILWs"). A traditional ILW takes the form of a bilateral reinsurance contract, but there are also products that take the form of derivatives, collateralized structures, or exchange-traded instruments. | |
J. | Repurchase Agreements |
Repurchase agreements are arrangements under which the Fund purchases securities from a broker-dealer or a bank, called the counterparty, upon the agreement of the counterparty to repurchase the securities from the Fund at a later date, and at a specific price, which is typically higher than the purchase price paid by the Fund. The securities purchased serve as the Fund's collateral for the obligation of the counterparty to repurchase the securities. The value of the collateral, including accrued interest, is required to be equal to or in excess of the repurchase price. The collateral for all repurchase agreements is held in safekeeping in the customer-only account of the Fund's custodian or a sub-custodian of the Fund. The Adviser is responsible for determining that the value of the collateral remains at least equal to the repurchase price. In the event of a default by the counterparty, the Fund is entitled to sell the securities, but the Fund may not be able to sell them for the price at which they were purchased, thus causing a loss to the Fund. Additionally, if the counterparty becomes insolvent, there is some risk that the Fund will not have a right to the securities, or the immediate right to sell the securities. | |
As of and for the year ended June 30, 2024, the Fund had no open repurchase agreements. |
K. | TBA Purchases and Sales Commitments |
The Fund may enter into to-be-announced (TBA) purchases or sales commitments (collectively, TBA transactions), pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be received or delivered by the Fund are not identified at the trade date; however, the securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted "good delivery" standards. The Fund may enter into TBA transactions with the intention of taking possession of or relinquishing the underlying securities, may elect to extend the settlement by "rolling" the transaction, and/or may use TBA transactions to gain or reduce interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its commitment to purchase a TBA or, in the case of a sale commitment, the Fund maintains an entitlement to the security to be sold. | |
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund's risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral received, if any, from such counterparty. As of June 30, 2024, no collateral was pledged by the Fund. Collateral received from counterparties totaled $1,290,249 for TBAs. | |
L. | Futures Contracts |
The Fund may enter into futures transactions in order to attempt to hedge against changes in interest rates, securities prices and currency exchange rates or to seek to increase total return. Futures contracts are types of derivatives. | |
All futures contracts entered into by the Fund are traded on a futures exchange. Upon entering into a futures contract, the Fund is required to deposit with a broker an amount of cash or securities equal to the minimum "initial margin" requirements of the associated futures exchange. The amount of cash deposited with the broker as collateral at |
June 30, 2024 is recorded as "Futures collateral" on the Statement of Assets and Liabilities. | |
Subsequent payments for futures contracts ("variation margin") are paid or received by the Fund, depending on the daily fluctuation in the value of the contracts, and are recorded by the Fund as unrealized appreciation or depreciation. Cash received from or paid to the broker related to previous margin movement is held in a segregated account at the broker and is recorded as either "Due from broker for futures" or "Due to broker for futures" on the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the opening and closing value of the contract as well as any fluctuation in foreign currency exchange rates where applicable. Futures contracts are subject to market risk, interest rate risk and currency exchange rate risk. Changes in value of the contracts may not directly correlate to the changes in value of the underlying securities. With futures, there is reduced counterparty credit risk to the Fund since futures are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. | |
The average notional values of long position and short position futures contracts during the year ended June 30, 2024 were $1,446,922,765 and $117,463,932, respectively. Open futures contracts outstanding at June 30, 2024 are listed in the Schedule of Investments. | |
M. | Credit Default Swap Contracts |
A credit default swap is a contract between a buyer of protection and a seller of protection against a pre-defined credit event or an underlying reference obligation, which may be a single security or a basket or index of securities. The Fund may buy or sell credit default swap contracts to seek to increase the Fund's income, or to attempt to hedge the risk of default on portfolio securities. A credit default swap index is used to hedge risk or take a position on a basket of credit entities or indices. | |
As a seller of protection, the Fund would be required to pay the notional (or other agreed-upon) value of the referenced debt obligation to the counterparty in the event of a default by a U.S. or foreign corporate issuer of a debt obligation, which would likely result in a loss to the Fund. In return, the Fund would receive from the counterparty a periodic stream of payments during the term of the contract, provided that no event of default occurred. The maximum exposure of loss to the seller would be the notional value of the credit default swaps outstanding. If no default occurs, the Fund would keep the stream of payments and would have no payment obligation. The Fund may also buy credit default |
swap contracts in order to hedge against the risk of default of debt securities, in which case the Fund would function as the counterparty referenced above. | |
As a buyer of protection, the Fund makes an upfront or periodic payment to the protection seller in exchange for the right to receive a contingent payment. An upfront payment made by the Fund, as the protection buyer, is recorded within the "Swap contracts, at value" line item on the Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses on the Statement of Operations. | |
Credit default swap contracts are marked-to-market daily using valuations supplied by independent sources, and the change in value, if any, is recorded within the "Swap contracts, at value" line item on the Statement of Assets and Liabilities. Payments received or made as a result of a credit event or upon termination of the contract are recognized, net of the appropriate amount of the upfront payment, as realized gains or losses on the Statement of Operations. | |
Credit default swap contracts involving the sale of protection may involve greater risks than if the Fund had invested in the referenced debt instrument directly. Credit default swap contracts are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a protection buyer and no credit event occurs, it will lose its investment. If the Fund is a protection seller and a credit event occurs, the value of the referenced debt instrument received by the Fund, together with the periodic payments received, may be less than the amount the Fund pays to the protection buyer, resulting in a loss to the Fund. In addition, obligations under sell protection credit default swaps may be partially offset by net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same reference obligation with the same counterparty. | |
The Fund may invest in credit default swap index products ("CDX"). A CDX is a swap on an index of credit default swaps. CDXs allow an investor to manage credit risk or take a position on a basket of credit entities (such as credit default swaps or commercial mortgage-backed securities) in a more efficient manner than transacting in a single-name credit default swap. If a credit event occurs in one of the underlying companies, the protection is paid out via the delivery of the defaulted bond by the buyer of protection in return for a payment of notional value of the defaulted bond by the seller of protection or it may be settled through a cash settlement between the two parties. The underlying company is then removed from the index. If the Fund holds a |
long position in a CDX, the Fund would indirectly bear its proportionate share of any expenses paid by a CDX. A fund holding a long position in CDXs typically receives income from principal or interest paid on the underlying securities. By investing in CDXs, the Fund could be exposed to liquidity risk, counterparty risk, credit risk of the issuers of the underlying loan obligations and of the CDX markets, and operational risks. If there is a default by the CDX counterparty, the Fund will have contractual remedies pursuant to the agreements related to the transaction. CDXs also bear the risk that the Fund will not be able to meet its obligation to the counterparty. | |
Certain swap contracts that are cleared through a central clearinghouse are referred to as centrally cleared swaps. All payments made or received by the Fund are pursuant to a centrally cleared swap contract with the central clearing party rather than the original counterparty. Upon entering into a centrally cleared swap contract, the Fund is required to make an initial margin deposit, either in cash or in securities. The daily change in value on open centrally cleared contracts is recorded as "Variation margin for centrally cleared swap contracts" on the Statement of Assets and Liabilities. Cash received from or paid to the broker related to previous margin movement is held in a segregated account at the broker and is recorded as either "Due from broker for swaps" or "Due to broker for swaps" on the Statement of Assets and Liabilities. The amount of cash deposited with a broker as collateral at June 30, 2024 is recorded as "Swaps collateral" on the Statement of Assets and Liabilities. | |
The average notional value of credit default swap contracts buy protection open during the year ended June 30, 2024 was $373,780,260. Open credit default swap contracts at June 30, 2024 are listed in the Schedule of Investments. |
Shareholder Communications: | |
Class A | $67,353 |
Class C | 3,468 |
Class K | 83,370 |
Class R | 2,548 |
Class Y | 94,837 |
Total | $251,576 |
Statement of Assets and Liabilities |
Interest Rate Risk |
Credit Risk |
Foreign Exchange Rate Risk |
Equity Risk |
Commodity Risk |
Assets | |||||
Net unrealized appreciation on futures contracts* | $7,573,729 | $- | $- | $- | $- |
Centrally cleared swap contracts† | - | 630,974 | - | - | - |
Total Value | $7,573,729 | $630,974 | $- | $- | $- |
* | Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the assets and/or liabilities on the Statement of Assets and Liabilities. |
† | Includes cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
Statement of Operations |
Interest Rate Risk |
Credit Risk |
Foreign Exchange Rate Risk |
Equity Risk |
Commodity Risk |
Net Realized Gain (Loss) on | |||||
Futures contracts | $(58,859,544) | $- | $- | $- | $- |
Swap contracts | - | (37,961,591) | - | - | - |
Total Value | $(58,859,544) | $(37,961,591) | $- | $- | $- |
Change in Net Unrealized Appreciation (Depreciation) on | |||||
Futures contracts | $20,985,829 | $- | $- | $- | $- |
Swap contracts | - | 7,587,721 | - | - | - |
Total Value | $20,985,829 | $7,587,721 | $- | $- | $- |
Retirement plans information | 1-800-622-0176 |
Our toll-free fax | 1-800-225-4240 |
Our internet e-mail address |
[email protected] (for general questions about Amundi only) |
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-ENDMANAGEMENT INVESTMENT COMPANIES.
Included in Item 1
ITEM 9. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR OPEN-ENDMANAGEMENT INVESTMENT COMPANIES. (Unaudited)
Introduction
This Proxy Voting policy and the procedures set forth below are designed to complement Amundi US' investment policies and procedures regarding its general responsibility to monitor the performance and/or corporate events of companies that are issuers of securities held in accounts managed by Amundi US. This policy sets forth Amundi US' position on a number of issues for which proxies may be solicited but it does not include all potential voting scenarios or proxy events. Furthermore, because of the special issues associated with proxy solicitations by closed-endFunds, Amundi US will vote shares of closed-endFunds on a case- by-casebasis.
Purpose
The purpose of this policy is to ensure that proxies for United States ("US") and non-UScompanies that are received in a timely manner will be voted in accordance with the principles stated above. Unless the Proxy Voting Oversight Group (as described below) specifically determines otherwise, all shares in a company held by Amundi US-managedaccounts for which Amundi US has proxy-voting authority will be voted alike, unless a client has given specific voting instructions on an issue.
Scope
Amundi US does not delegate the authority to vote proxies relating to securities held by its clients to any of its affiliates. Any questions about this policy should be directed to Amundi US' Chief of Staff U.S. Investments (the "Proxy Coordinator").
Oversight and Governance
Administration
The development, implementation, and management, to this Policy is the responsibility of the Policy Contact, in conjunction with the Policy Owner and relevant stakeholders.
Policy Exceptions
Temporary deviation from the requirements of this Policy is deemed an Exception. Exceptions are expected to be infrequent but may be justified to address and/or resolve specific internal business needs. Exceptions are to be raised to the Policy Owner for approval.
Policy Requirements
Roles and Responsibility
The below table outlines the roles and responsibilities applicable to this policy:
Individual Role |
Responsibility |
|
Policy Owner and Contact | Reviews and updates of this Policy as necessary. | |
Pioneer Funds Board of Trustees and US Compliance Committee | Provides final approval of material updates to this Policy, as necessary. |
Policy
Each of the Pioneer Funds and certain other clients of Amundi Asset Management US, Inc. ("Amundi US") have delegated responsibility to vote proxies related to portfolio holdings to Amundi US. Amundi US is a fiduciary that owes each of its clients the duties of care and loyalty with respect to all services undertaken on the client's behalf, including voting proxies for securities held by the client. When Amundi US has been delegated proxy-voting authority for a client, the duty of care requires Amundi US to monitor corporate events and to vote the proxies. To satisfy its duty of loyalty, Amundi US must place the client's interests ahead of its own and must cast proxy votes in a manner consistent with the best interest of the client. It is Amundi US' policy to vote proxies presented to Amundi US in a timely manner in accordance with these principles.
Amundi US' fundamental concern in voting proxies is the economic effect of the proposal on the value of portfolio holdings, considering both the short- and long-term impact. In many instances, Amundi US believes that supporting the company's strategy and voting "for" management's proposals builds portfolio value. In other cases, however, proposals set forth by management may have a negative effect on that value, while some shareholder proposals may hold the best prospects for enhancing it. Amundi US monitors developments in the proxy voting arena and will revise this policy as needed.
Amundi US believes that environmental, social and governance (ESG) factors can affect companies' long-term prospects for success and the sustainability of their business models. Since ESG factors that may affect corporate performance and economic value are considered by our investment professionals as part of the investment management process, Amundi US also considers these factors when reviewing proxy proposals. This approach is consistent with the stated investment objectives and policies of funds and investment strategies.
It should be noted that the proxy voting guidelines below are guidelines, not rules, and Amundi US reserves the right in all cases to vote contrary to guidelines where doing so is determined to represent the best economic interests of our clients. Further, the Pioneer Funds or other clients of Amundi US may direct Amundi US to vote contrary to guidelines.
Amundi US' clients may request copies of their proxy voting records and of Amundi US' proxy voting policies and procedures by either sending a written request to Amundi US' Proxy Coordinator, or clients may review Amundi US' proxy voting policies and procedures on-lineat amundi.com/usinvestors. Amundi US may describe to clients its proxy voting policies and procedures by delivering a copy of Amundi US' Form ADV (Part II), by separate notice to the client or by other means.
Procedures
Proxy Voting Service
Amundi US has engaged an independent proxy voting service to assist in the voting of proxies. The proxy voting service works with custodians to ensure that all proxy materials are received by the custodians and are processed in a timely fashion. The proxy voting service votes all proxies in accordance with the proxy voting guidelines established by Amundi US and set forth herein, to the extent applicable. The proxy voting service will refer proxy questions to the Proxy Coordinator (described below) for instructions under circumstances where: (1) the application of the proxy voting guidelines is unclear; (2) a particular proxy question is not covered by the guidelines; or (3) the guidelines call for specific instructions on a case-by-casebasis. The proxy voting service is also requested to call to the Proxy Coordinator's attention specific proxy questions that, while governed by a guideline, appear to involve unusual or controversial issues. Amundi US reserves the right to attend a meeting in person and may do so when it determines that the company or the matters to be voted on at the meeting are strategically important to its clients.
To supplement its own research and analysis in determining how to vote on a particular proxy proposal, Amundi US may utilize research, analysis or recommendations provided by the proxy voting service on a case-by-casebasis. Amundi US does not, as a policy, follow the assessments or recommendations provided by the proxy voting service without its own analysis and determination.
Proxy Coordinator
The Proxy Coordinator coordinates the voting, procedures and reporting of proxies on behalf of Amundi US' clients. The Proxy Coordinator will deal directly with the proxy voting service and, in the case of proxy questions referred by the proxy voting service, will solicit voting recommendations and instructions from the Portfolio Management Group, or, to the extent applicable, investment sub-advisers.The Proxy Coordinator is responsible for ensuring that these questions and referrals are responded to in a timely fashion and for transmitting appropriate voting instructions to the proxy voting service. The Proxy Coordinator is responsible for verifying with the General Counsel or his or her designee whether Amundi US' voting power is subject to any limitations or guidelines issued by the client (or in the case of an employee benefit plan, the plan's trustee or other fiduciaries).
Referral Items
The proxy voting service will refer proxy questions to the Proxy Coordinator or his or her designee that are described by Amundi US' proxy voting guidelines as to be voted on a case- by-casebasis, that are not covered by Amundi US' guidelines or where Amundi US' guidelines may be unclear with respect to the matter to be voted on. Under such circumstances, the Proxy Coordinator will seek a written voting recommendation from the Chief Investment Officer, U.S or his or her designated equity portfolio-management representative. Any such recommendation will include: (i) the manner in which the proxies should be voted; (ii) the rationale underlying any such decision; and (iii) the disclosure of any contacts or communications made between Amundi US and any outside parties concerning the proxy proposal prior to the time that the voting instructions are provided.
Securities Lending
In accordance with industry standards, proxies are not available to be voted when the shares are out on loan through either Amundi US' lending program or a client's managed security lending program. However, Amundi US will reserve the right to recall lent securities so that they may be voted according to Amundi US' instructions. If a portfolio manager would like to vote a block of previously lent shares, the Proxy Coordinator will work with the portfolio manager and Investment Operations to recall the security, to the extent possible, to facilitate the vote on the entire block of shares. Certain clients participate in securities lending programs. Although such programs allow for the recall of securities for any reason, Amundi US may determine not to vote securities on loan and it may not always be possible for securities on loan to be recalled in time to be voted.
Share-Blocking
"Share-blocking" is a market practice whereby shares are sent to a custodian (which may be different than the account custodian) for record keeping and voting at the general meeting. The shares are unavailable for sale or delivery until the end of the blocking period (typically the day after general meeting date).
Amundi US will vote in those countries with "share-blocking." In the event a manager would like to sell a security with "share-blocking", the Proxy Coordinator will work with the Portfolio Manager and Investment Operations Department to recall the shares (as allowable within the market time-frame and practices) and/or communicate with executing brokerage firm. A list of countries with "share-blocking" is available from the Investment Operations Department upon request.
Proxy Voting Oversight Group
The members of the Proxy Voting Oversight Group include Amundi US' Chief Investment Officer, U.S. or his or her designated equity portfolio management representative, the Chief of Staff, U.S., and the Chief Compliance Officer of the Adviser and Funds. Other members of Amundi US will be invited to attend meetings and otherwise participate as necessary. The Chief of Staff, U.S. will chair the Proxy Voting Oversight Group.
The Proxy Voting Oversight Group is responsible for developing, evaluating, and changing (when necessary) Amundi US' proxy voting policies and procedures. The Group meets at least annually to evaluate and review this policy and the services of its third-party proxy voting service. In addition, the Proxy Voting Oversight Group will meet as necessary to vote on referral items and address other business as necessary.
Amendments
Amundi US may not amend this policy without the prior approval of the Proxy Voting Oversight Group. Amendments to this policy with respect to votes to be cast on behalf of any of the Pioneer Funds also shall be presented to the Board of Trustees of the Pioneer Funds for its review and advance approval.
Form N-PX
The Proxy Coordinator and the Director of Regulatory Reporting are responsible for ensuring that Form NP-Xdocuments receive the proper review by a member of the Proxy Voting Oversight Group prior to a Fund officer signing the forms.
The Proxy Coordinator will provide the Compliance department with a copy of each Form N-PXfiling prepared by the proxy voting service.
Compliance files N-PX.The Compliance department will ensure that a corresponding Form N-PX exists for each Amundi US registered investment company.
Following this review, each Form N-PXis formatted for public dissemination via the EDGAR system.
Prior to submission, each Form N-PXis to be presented to the Fund officer for a final review and signature.
Copies of the Form N-PXfilings and their submission receipts are maintained according to Amundi US record keeping policies.
Proxy Voting Guidelines
Administrative
While administrative items appear infrequently in U.S. issuer proxies, they are quite common in non-U.S.proxies.
We will generally support these and similar management proposals:
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Corporate name change. |
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A change of corporate headquarters. |
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Stock exchange listing. |
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Establishment of time and place of annual meeting. |
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Adjournment or postponement of annual meeting. |
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Acceptance/approval of financial statements. |
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Approval of dividend payments, dividend reinvestment plans and other dividend-related proposals. |
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Approval of minutes and other formalities. |
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Authorization of the transferring of reserves and allocation of income. |
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Amendments to authorized signatories. |
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Approval of accounting method changes or change in fiscal year-end. |
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Acceptance of labor agreements. |
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Appointment of internal auditors. |
Amundi US will vote on a case-by-casebasis on other routine administrative items; however, Amundi US will oppose any routine proposal if insufficient information is presented in advance to allow Amundi US to judge the merit of the proposal. Amundi US has also instructed its proxy voting service to inform Amundi US of its analysis of any administrative items that may be inconsistent, in its view, with Amundi US' goal of supporting the value of its clients' portfolio holdings so that Amundi US may consider and vote on those items on a case-by-casebasis in its discretion.
Auditors
We normally vote for proposals to:
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Ratify the auditors. We will consider a vote against if we are concerned about the auditors' independence or their past work for the company. Specifically, we will oppose the ratification of auditors and withhold votes for audit committee members if non-auditfees paid by the company to the auditing firm exceed the sum of audit fees plus audit-related fees plus permissible tax fees according to the disclosure categories proposed by the Securities and Exchange Commission. |
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Restore shareholder rights to ratify the auditors. |
We will normally oppose proposals that require companies to:
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Seek bids from other auditors. |
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Rotate auditing firms, except where the rotation is statutorily required or where rotation would demonstrably strengthen financial disclosure. |
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Indemnify auditors. |
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Prohibit auditors from engaging in non-auditservices for the company. |
Board of Directors
On issues related to the board of directors, Amundi US normally supports management. We will, however, consider a vote against management in instances where corporate performance has been poor or where the board appears to lack independence.We also believe that a well balanced board with diverse perspectives is conducive to sound corporate governance. In our view, diversity of expertise, skill, gender, ethnicity, and race may contribute to the overall quality of decision making and risk management.
General Board Issues
Amundi US will vote for:
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Audit, compensation and nominating committees composed of independent directors exclusively. |
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Indemnification for directors for actions taken in good faith in accordance with the business judgment rule. We will vote against proposals for broader indemnification. |
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Changes in board size that appear to have a legitimate business purpose and are not primarily for anti-takeover reasons. |
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Election of an honorary director. |
We will vote against:
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Minimum stock ownership by directors. |
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Term limits for directors. Companies benefit from experienced directors, and shareholder control is better achieved through annual votes. |
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Requirements for union or special interest representation on the board. |
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Requirements to provide two candidates for each board seat. |
We will vote on a case-bycase basis on these issues:
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Separate chairman and CEO positions. We will consider voting with shareholders on these issues in cases of poor corporate performance. |
Elections of Directors
In uncontested elections of directors we will vote against:
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Individual directors with absenteeism above 25% without valid reason. We support proposals that require disclosure of director attendance. |
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Insider directors and affiliated outsiders who sit on the audit, compensation, stock option or nominating committees. For the purposes of our policy, we use the definition of affiliated directors provided by our proxy voting service. |
We will also vote against:
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Directors who have failed to act on a takeover offer where the majority of shareholders have tendered their shares. |
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Directors who appear to lack independence or are associated with poor corporate or governance performance. |
We will vote on a case-bycase basis on these issues:
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Re-electionof directors who have implemented or renewed a dead hand or modified dead-hand poison pill (a "dead-hand poison pill" is a shareholder rights plan that may be altered only by incumbent or "dead" directors. These plans prevent a potential acquirer from disabling a poison pill by obtaining control of the board through a proxy vote). |
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Contested election of directors. |
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Election of a greater number of independent directors (in order to move closer to a majority of independent directors) in cases of poor performance. |
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Mandatory retirement policies. |
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Directors who have ignored a shareholder proposal that has been approved by shareholders for two consecutive years. |
We will vote for:
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Precatory and binding resolutions requesting that the board changes the company's bylaws to stipulate that directors need to be elected with affirmative majority of votes cast, provided that the resolutions allow for plurality voting in cases of contested elections. |
Takeover-Related Measures
Amundi US is generally opposed to proposals that may discourage takeover attempts. We believe that the potential for a takeover helps ensure that corporate performance remains high.
Amundi US will vote for:
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Cumulative voting. |
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Increasing the ability for shareholders to call special meetings. |
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Increasing the ability for shareholders to act by written consent. |
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Restrictions on the ability to make greenmail payments. |
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Submitting rights plans to shareholder vote. |
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Rescinding shareholder rights plans ("poison pills"). |
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Opting out of the following state takeover statutes: |
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Control share acquisition statutes, which deny large holders voting rights on holdings over a specified threshold. |
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Control share cash-outprovisions, which require large holders to acquire shares from other holders. |
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Freeze-outprovisions, which impose a waiting period on large holders before they can attempt to gain control. |
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Stakeholder laws, which permit directors to consider interests of non-shareholderconstituencies. |
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Disgorgement provisions, which require acquirers to disgorge profits on purchases made before gaining control. |
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Fair price provisions. |
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Authorization of shareholder rights plans. |
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Labor protection provisions. |
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Mandatory classified boards. |
We will vote on a case-by-casebasis on the following issues:
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Fair price provisions. We will vote against provisions requiring supermajority votes to approve takeovers. We will also consider voting against proposals that require a supermajority vote to repeal or amend the provision. Finally, we will consider the mechanism used to determine the fair price; we are generally opposed to complicated formulas or requirements to pay a premium. |
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Opting out of state takeover statutes regarding fair price provisions. We will use the criteria used for fair price provisions in general to determine our vote on this issue. |
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Proposals that allow shareholders to nominate directors. |
We will vote against:
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Classified boards, except in the case of closed-endfunds, where we shall vote on a case-by-casebasis. |
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Limiting shareholder ability to remove or appoint directors. We will support proposals to restore shareholder authority in this area. We will review on case-by-casebasis proposals that authorize the board to make interim appointments. |
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Classes of shares with unequal voting rights. |
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Supermajority vote requirements. |
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Severance packages ("golden" and "tin" parachutes). We will support proposals to put these packages to shareholder vote. |
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Reimbursement of dissident proxy solicitation expenses. While we ordinarily support measures that encourage takeover bids, we believe that management should have full control over corporate funds. |
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Extension of advance notice requirements for shareholder proposals. |
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Granting board authority normally retained by shareholders, particularly the right to amend the corporate charter. |
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Shareholder rights plans ("poison pills"). These plans generally allow shareholders to buy additional shares at a below-market price in the event of a change in control and may deter some bids. |
Capital Structure
Managements need considerable flexibility in determining the company's financial structure, and Amundi US normally supports managements' proposals in this area. We will, however, reject proposals that impose high barriers to potential takeovers.
Amundi US will vote for:
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Changes in par value. |
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Reverse splits, if accompanied by a reduction in number of shares. |
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Shares repurchase programs, if all shareholders may participate on equal terms. |
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Bond issuance. |
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Increases in "ordinary" preferred stock. |
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Proposals to have blank-check common stock placements (other than shares issued in the normal course of business) submitted for shareholder approval. |
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Cancellation of company treasury shares. |
We will vote on a case-by-casebasis on the following issues:
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Reverse splits not accompanied by a reduction in number of shares, considering the risk of delisting. |
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Increase in authorized common stock. We will make a determination considering, among other factors: |
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Number of shares currently available for issuance; |
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Size of requested increase (we would normally approve increases of up to 100% of current authorization); |
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Proposed use of the proceeds from the issuance of additional shares; and |
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Potential consequences of a failure to increase the number of shares outstanding (e.g., delisting or bankruptcy). |
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Blank-check preferred. We will normally oppose issuance of a new class of blank-check preferred, but may approve an increase in a class already outstanding if the company has demonstrated that it uses this flexibility appropriately. |
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Proposals to submit private placements to shareholder vote. |
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Other financing plans. |
We will vote against preemptive rights that we believe limit a company's financing flexibility.
Compensation
Amundi US supports compensation plans that link pay to shareholder returns and believes that management has the best understanding of the level of compensation needed to attract and retain qualified people. At the same time, stock-related compensation plans have a significant economic impact and a direct effect on the balance sheet. Therefore, while we do not want to micromanage a company's compensation programs, we place limits on the potential dilution these plans may impose.
Amundi US will vote for:
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401(k) benefit plans. |
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Employee stock ownership plans (ESOPs), as long as shares allocated to ESOPs are less than 5% of outstanding shares. Larger blocks of stock in ESOPs can serve as a takeover defense. We will support proposals to submit ESOPs to shareholder vote. |
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Various issues related to the Omnibus Budget and Reconciliation Act of 1993 (OBRA), including: |
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Amendments to performance plans to conform with OBRA; |
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Caps on annual grants or amendments of administrative features; |
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Adding performance goals; and |
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Cash or cash-and-stockbonus plans. |
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Establish a process to link pay, including stock-option grants, to performance, leaving specifics of implementation to the company. |
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Require that option repricing be submitted to shareholders. |
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Require the expensing of stock-option awards. |
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Require reporting of executive retirement benefits (deferred compensation, split dollar life insurance, SERPs, and pension benefits). |
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Employee stock purchase plans where the purchase price is equal to at least 85% of the market price, where the offering period is no greater than 27 months and where potential dilution (as defined below) is no greater than 10%. |
We will vote on a case-by-casebasis on the following issues:
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Shareholder proposals seeking additional disclosure of executive and director pay information. |
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Executive and director stock-related compensation plans. We will consider the following factors when reviewing these plans: |
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The program must be of a reasonable size. We will approve plans where the combined employee and director plans together would generate less than 15% dilution. We will reject plans with 15% or more potential dilution. |
Dilution = (A + B + C) / (A + B + C + D), where
A = Shares reserved for plan/amendment,
B = Shares available under continuing plans,
C = Shares granted but unexercised and
D = Shares outstanding.
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The plan must not: |
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Explicitly permit unlimited option repricing authority or have allowed option repricing in the past without shareholder approval. |
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Be a self-replenishing "evergreen" plan or a plan that grants discount options and tax offset payments. |
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We are generally in favor of proposals that increase participation beyond executives. |
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We generally support proposals asking companies to adopt rigorous vesting provisions for stock option plans such as those that vest incrementally over, at least, a three- or four-year period with a pro rata portion of the shares becoming exercisable on an annual basis following grant date. |
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We generally support proposals asking companies to disclose their window period policies for stock transactions. Window period policies ensure that employees do not exercise options based on insider information contemporaneous with quarterly earnings releases and other material corporate announcements. |
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We generally support proposals asking companies to adopt stock holding periods for their executives. |
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All other employee stock purchase plans. |
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All other compensation-related proposals, including deferred compensation plans, employment agreements, loan guarantee programs and retirement plans. |
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All other proposals regarding stock compensation plans, including extending the life of a plan, changing vesting restrictions, repricing options, lengthening exercise periods or accelerating distribution of awards and pyramiding and cashless exercise programs. |
We will vote against:
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Pensions for non-employeedirectors. We believe these retirement plans reduce director objectivity. |
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Elimination of stock option plans. |
We will vote on a case-bycase basis on these issues:
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Limits on executive and director pay. |
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Stock in lieu of cash compensation for directors. |
Corporate Governance
Amundi US will vote for:
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Confidential voting. |
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Equal access provisions, which allow shareholders to contribute their opinions to proxy materials. |
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Proposals requiring directors to disclose their ownership of shares in the company. |
We will vote on a case-by-casebasis on the following issues:
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Change in the state of incorporation. We will support reincorporations supported by valid business reasons. We will oppose those that appear to be solely for the purpose of strengthening takeover defenses. |
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Bundled proposals. We will evaluate the overall impact of the proposal. |
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Adopting or amending the charter, bylaws or articles of association. |
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Shareholder appraisal rights, which allow shareholders to demand judicial review of an acquisition price. |
We will vote against:
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Shareholder advisory committees. While management should solicit shareholder input, we prefer to leave the method of doing so to management's discretion. |
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Limitations on stock ownership or voting rights. |
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Reduction in share ownership disclosure guidelines. |
Mergers and Restructurings
Amundi US will vote on the following and similar issues on a case-by-casebasis:
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Mergers and acquisitions. |
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Corporate restructurings, including spin-offs, liquidations, asset sales, joint ventures, conversions to holding company and conversions to self-managed REIT structure. |
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Debt restructurings. |
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Conversion of securities. |
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Issuance of shares to facilitate a merger. |
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Private placements, warrants, convertible debentures. |
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Proposals requiring management to inform shareholders of merger opportunities. |
We will normally vote against shareholder proposals requiring that the company be put up for sale.
Investment Companies
Many of our portfolios may invest in shares of closed-endfunds or open-endfunds (including exchange-traded funds). The non-corporatestructure of these investments raises several unique proxy voting issues.
Amundi US will vote for:
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Establishment of new classes or series of shares. |
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Establishment of a master-feeder structure. |
Amundi US will vote on a case-by-casebasis on:
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Changes in investment policy. We will normally support changes that do not affect the investment objective or overall risk level of the fund. We will examine more fundamental changes on a case-by-casebasis. |
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Approval of new or amended advisory contracts. |
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Changes from closed-endto open-endformat. |
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Election of a greater number of independent directors. |
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Authorization for, or increase in, preferred shares. |
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Disposition of assets, termination, liquidation, or mergers. |
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Classified boards of closed-endfunds, but will typically support such proposals. |
In general, business development companies (BDCs) are not considered investment companies for these purposes but are treated as corporate issuers.
Environmental and Social Issues
Amundi US believes that environmental and social issues may influence corporate performance and economic return. Indeed, by analyzing all of a company's risks and opportunities, Amundi US can better assess its intrinsic value and long-term economic prospects.
When evaluating proxy proposals relating to environmental or social issues, decisions are made on a case-by-casebasis. We consider each of these proposals based on the impact to the company's shareholders and economic return, the specific circumstances at each individual company, any potentially adverse economic concerns, and the current policies and practices of the company.
For example, shareholder proposals relating to environmental and social issues, and on which we will vote on a base-by-casebasis, may include those seeking that a company:
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Conduct studies regarding certain environmental or social issues; |
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Study the feasibility of the company taking certain actions with regard to such issues; or |
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Take specific action, including adopting or ceasing certain behavior and adopting company standards and principles, in relation to such issues. |
In general, Amundi US believes these issues are important and should receive management attention.
Amundi US will support proposals where we believe the proposal, if implemented, would improve the prospects for the long-term success of the business and would provide value to the company and its shareholders. Amundi US may abstain on shareholder proposals with regard to environmental and social issues in cases where we believe the proposal, if implemented, would not be in the economic interests of the company, or where implementing the proposal would constrain management flexibility or would be unduly difficult, burdensome or costly.
When evaluating proxy proposals relating to environmental or social issues, Amundi US may consider the following factors or other factors deemed relevant, given such weight as deemed appropriate:
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approval of the proposal helps improve the company's practices; |
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approval of the proposal can improve shareholder value; |
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the company's current stance on the topic is likely to have negative effects on its business position or reputation in the short, medium, or long term; |
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the company has already put appropriate action in place to respond to the issue contained in the proposal; |
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the company's reasoning against approving the proposal responds appropriately to the various points mentioned by the shareholder when the proposal was presented; |
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the solutions recommended in the proposal are relevant and appropriate, and if the topic of the proposal would not be better addressed through another means. |
In the event of failures in risk management relating to environmental and social issues, Amundi US may vote against the election of directors responsible for overseeing those areas. Issues of special concern to Amundi US include corporate commitments to mitigating climate effects; achieving a diverse board of directors and employee base; And maintaining sound and safe working conditions, equitable compensation practices, and opportunities for career advancement. Amundi US will vote against proposals calling for substantial changes in the company's business or activities. We will also normally vote against proposals with regard to contributions, believing that management should control the routine disbursement of funds. In each case, fundamental consideration governing votes cast on behalf of any of the Pioneer Funds in these areas is Amundi US' assessment of the potential impact on shareholder value.
Conflicts of Interest
Amundi US recognizes that in certain circumstances a conflict of interest may arise when Amundi US votes a proxy.
A conflict of interest occurs when Amundi US' interests interfere, or appear to interfere, with the interests of Amundi US' clients.
A conflict may be actual or perceived and may exist, for example, when the matter to be voted on concerns:
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An affiliate of Amundi US, such as another company belonging to the Credit Agricole banking group ( "Credit Agricole Affiliate"); |
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An issuer of a security for which Amundi US acts as a sponsor, advisor, manager, custodian, distributor, underwriter, broker, or other similar capacity (including those securities specifically declared by its parent Amundi to present a conflict of interest for Amundi US); |
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An issuer of a security for which Amundi has informed Amundi US that a Credit Agricole Affiliate acts as a sponsor, advisor, manager, custodian, distributor, underwriter, broker, or other similar capacity; or |
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A person with whom Amundi US (or any of its affiliates) has an existing, material contract or business relationship. |
Any member of the Proxy Voting Oversight Group and any other associate involved in the proxy voting process with knowledge of any apparent or actual conflict of interest must disclose such conflict to the Proxy Coordinator and the Chief Compliance Officer of Amundi US and the Funds. If any associate is lobbied or pressured with respect to any voting decision, whether within or outside of Amundi US, he or she should contact a member of the Proxy Voting Oversight Group or Amundi US' Chief Compliance Officer.
The Proxy Voting Oversight Group will review each item referred to Amundi US by the proxy voting service to determine whether an actual or potential conflict of interest exists in connection with the proposal(s) to be voted upon. The review will be conducted by comparing the apparent parties affected by the proxy proposal being voted upon against the Controller's and Compliance Department's internal list of interested persons and, for any matches found, evaluating the anticipated magnitude and possible probability of any conflict of interest being present. The Proxy Voting Oversight Group may cause any of the following actions to be taken when a conflict of interest is present:
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Vote the proxy in accordance with the vote indicated under "Voting Guidelines," if a vote is indicated, or |
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Direct the independent proxy voting service to vote the proxy in accordance with its independent assessment or that of another independent adviser appointed by Amundi US or the applicable client for this purpose. |
If the Proxy Voting Oversight Group perceives a material conflict of interest, the Group may also choose to disclose the conflict to the affected clients and solicit their consent to proceed with the vote or their direction (including through a client's fiduciary or other adviser), or may take such other action in good faith (in consultation with counsel) that would protect the interests of clients.
For each referral item, the determination regarding the presence or absence of any actual or potential conflict of interest will be documented in a Conflicts of Interest Report prepared by the Proxy Coordinator.
The Proxy Voting Oversight Group will review periodically the independence of the proxy voting service. This may include a review of the service's conflict management procedures and other documentation and an evaluation as to whether the service continues to have the competency and capacity to vote proxies.
Decisions Not to Vote Proxies
Although it is Amundi US' general policy to vote all proxies in accordance with the principles set forth in this policy, there may be situations in which the Proxy Voting Oversight Group
does not vote a proxy referred to it. For example, because of the potential conflict of interest inherent in voting shares of a Credit Agricole Affiliate, Amundi US will abstain from voting the shares unless otherwise directed by a client. In such a case, the Proxy Coordinator will inform Amundi Compliance before exercising voting rights.
There exist other situations in which the Proxy Voting Oversight Group may refrain from voting a proxy. For example, if the cost of voting a foreign security outweighs the benefit of voting, the Group may not vote the proxy. The Group may not be given enough time to process a vote, perhaps because its receives a meeting notice too late or it cannot obtain a translation of the agenda in the time available. If Amundi US has outstanding "sell" orders, the proxies for shares subject to the order may not be voted to facilitate the sale. Although Amundi US may hold shares on a company's record date, if the shares are sold prior to the meeting date the Group may decide not to vote those shares.
Recordkeeping
The Proxy Coordinator shall ensure that Amundi US' proxy voting service:
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Retains a copy of each proxy statement received (unless the proxy statement is available from the SEC's Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system); |
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Retains a record of the vote cast; |
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Prepares Form N-PXfor filing on behalf of each client that is a registered investment company; and |
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Is able to promptly provide Amundi US with a copy of the voting record upon its request. |
The Proxy Coordinator shall ensure that for those votes that may require additional documentation (i.e. conflicts of interest, exception votes and case-by-casevotes) the following records are maintained:
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A record memorializing the basis for each referral vote cast; |
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A copy of any document created by Amundi US that was material in making the decision on how to vote the subject proxy; |
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A copy of any recommendation or analysis furnished by the proxy voting service; and |
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A copy of any conflict notice, conflict consent or any other written communication (including emails or other electronic communications) to or from the client (or in the case of an employee benefit plan, the plan's trustee or other fiduciaries) regarding the subject proxy vote cast by, or the vote recommendation of, Amundi US. |
Amundi US shall maintain the above records in the client's file in accordance with applicable regulations.
Copies of this policy, and copies of records related to this policy shall be kept in accordance with Amundi US' Books and Records Policy. This policy and procedure shall be periodically reviewed and updated consistent with the requirements and standards established by Amundi US.
Escalation and Management Reporting
Escalation
It is each associate's responsibility to contact his or her business unit head, the Proxy Coordinator, a member of the Proxy Voting Oversight Group or Amundi US' Chief Compliance Officer if he or she becomes aware of any possible noncompliance with this policy.
Management Reporting
Reporting is done to senior leadership on an as needed basis.
Training
Amundi US will conduct periodic training regarding proxy voting and this policy. It is the responsibility of the business line policy owner and the applicable Compliance Department to coordinate and conduct such training.
Review and Approval
Review
This Policy must be reviewed and validated annually (12-months)by the Policy Contact or designee, in conjunction with the Policy Owner and relevant stakeholders.
Approval
Material Updates to this Policy must be approved by the Pioneer Funds' Board of Trustees and/or US Compliance Committee, as necessary.
Related regulations
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Rule 30b1-4,Rule 31a1-3,and Rule 38a-1under the Investment Company Act of 1940 |
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Rule 206(4)-6and Rule 204-2under the Investment Advisers Act of 1940 |
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Form N-1A |
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Form N-PX |
Item 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-ENDMANAGEMENT INVESTMENT COMPANIES. (Unaudited)
Each Board Member also serves as a Board Member of other Funds in the Pioneer Family of Funds complex. Annual retainer fees and attendance fees are allocated to each Fund based on net assets. Trustees' fees paid by the Fund are within Item 7. Statement of Operations as Trustees' fees and expenses.
Item 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESMENT ADVISORY CONTRACT. (Unaudited)
N/A
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES. (Unaudited)
A closed-endmanagement investment company that is filing an annual report on this Form N-CSRmust, unless it invests exclusively in non-votingsecurities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3))and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable to open-endmanagement investment companies.
ITEM 13. PORTFOLIO MANAGERS OF CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-endmanagement investment company that is filing an annual report on this Form N-CSR,provide the following information:
(1) State the name, title, and length of service of the person or persons employed by or associated with the registrant or an investment adviser of the registrant who are primarily responsible for the day-to-daymanagement of the registrant's portfolio ("Portfolio Manager"). Also state each Portfolio Manager's business experience during the past 5 years.
Not applicable to open-endmanagement investment companies.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-ENDMANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-endmanagement investment company, in the following tabular format, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any affiliated purchaser, as defined in Rule 10b-18(a)(3)under the Exchange Act (17 CFR 240.10b-18(a)(3)),of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable to open-endmanagement investment companies.
ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-R(17 CFR 229.407)(as required by Item 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101),or this Item.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors since the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-Rof Schedule 14(A) in its definitive proxy statement, or this item.
ITEM 16. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive and principal financials officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c)under the Act (17 CFR 270.30a-3(c)))as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b)under the Act (17 CFR 270.30(a)-3(b)and Rules 13a-15(b)or 15d-15(b)under the Exchange Act (17 CFR 240.13a-15(b)or 240.15d-15(b)).
The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures are effective based on the evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d)under the Act (17CFR 270.30a-3(d))that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
There were no significant changes in the registrant's internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-ENDMANAGEMENT INVESTMENT COMPANIES.
(a) If the registrant is a closed-endmanagement investment company, provide the following dollar amounts of income and compensation related to the securities lending activities of the registrant during its most recent fiscal year:
N/A
(1) Gross income from securities lending activities;
N/A
(2) All fees and/or compensation for each of the following securities lending activities and related services: any share of revenue generated by the securities lending program paid to the securities lending agent(s) (revenue split); fees paid for cash collateral management services (including fees deducted from a pooled cash collateral reinvestment vehicle) that are not included in the revenue split; administrative fees that are not included in the revenue split; fees for indemnification that are not included in the revenue split; rebates paid to borrowers; and any other fees relating to the securities lending program that are not included in the revenue split, including a description of those other fees;
N/A
(3) The aggregate fees/compensation disclosed pursuant to paragraph (2); and
N/A
(4) Net income from securities lending activities (i.e., the dollar amount in paragraph (1) minus the dollar amount in paragraph (3)).
If a fee for a service is included in the revenue split, state that the fee is included in the revenue split.
N/A
(b) If the registrant is a closed-endmanagement investment company, describe the services provided to the registrant by the securities lending agent in the registrants most recent fiscal year.
N/A
Item 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
N/A
ITEM 19. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) , exactly as set forth below: Filed herewith.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(3) Not applicable.
(4) Registrant's Independent Public Accountant, attached as Exhibit 99.ACCT.
SIGNATURES
[See General Instruction F]
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Pioneer Bond Fund
By (Signature and Title)* /s/ Lisa M. Jones
Lisa M. Jones, Principal Executive Officer
Date October 29, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Lisa M. Jones
Lisa M. Jones, Principal Executive Officer
Date October 29, 2024
By (Signature and Title)* /s/ Anthony J. Koenig, Jr.
Anthony J. Koenig, Jr., Principal Financial Officer
Date October 29, 2024
* |
Print the name and title of each signing officer under his or her signature. |
October 29, 2024
Registrant | File No. | Form |
Original Filing Date |
Amended Filing Date |
Explanation | |||||
Pioneer Bond Fund | 811-02864 | N-CSR | 9/5/24 | 10/29/24 |
The Registrant amended Form N-CSRfor the period ended June 30, 2024, to change the response related to the Fund's duration. In item 1, under "What was the Fund's performance last year and what factors affected it?" |