|
2025 Quarterly Report
(Unaudited)
|
|
BlackRock Capital Allocation Term Trust (BCAT)
|
|
Not FDIC Insured • May Lose Value • No Bank Guarantee
|
|
Security
|
|
Par
(000)
|
Value
|
|
Asset-Backed Securities
|
|||
|
Cayman Islands(a)(b) — 1.4%
|
|
||
|
Apidos CLO XXXV, Series 2021-35A, Class E, (3-mo.
CME Term SOFR + 6.01%), 10.34%, 04/20/34
|
USD
|
375
|
$ 374,899
|
|
Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo.
CME Term SOFR + 6.56%), 10.89%, 10/22/34
|
|
250
|
250,486
|
|
ARES Loan Funding I Ltd.
|
|
|
|
|
Series 2021-ALFA, Class E, (3-mo. CME Term
SOFR + 6.96%), 11.28%, 10/15/34
|
|
1,250
|
1,249,406
|
|
Series 2021-ALFA, Class SUB, 0.00%, 10/15/34
|
|
2,150
|
1,018,154
|
|
Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3-mo.
CME Term SOFR + 3.31%), 7.63%, 07/15/32
|
|
2,700
|
2,710,692
|
|
Canyon CLO Ltd., Series 2020-3A, Class BR, (3-mo.
CME Term SOFR + 1.95%), 6.27%, 10/15/37
|
|
750
|
753,397
|
|
CarVal CLO VC Ltd., Series 2021-2A, Class E, (3-mo.
CME Term SOFR + 7.01%), 11.33%, 10/15/34
|
|
500
|
501,130
|
|
Crown City CLO III, Series 2021-1A, Class C, (3-mo.
CME Term SOFR + 3.56%), 7.89%, 07/20/34
|
|
1,250
|
1,249,107
|
|
Crown Point CLO Ltd., Series 2020-9A, Class DR,
(3-mo. CME Term SOFR + 4.01%), 8.33%,
07/14/34
|
|
500
|
501,155
|
|
OCP CLO Ltd.
|
|
|
|
|
Series 2019-16A, Class ER, (3-mo. CME Term
SOFR + 6.61%), 10.94%, 04/10/33
|
|
400
|
398,672
|
|
Series 2020-18A, Class D1R2, (3-mo. CME Term
SOFR + 3.10%), 7.43%, 07/20/37
|
|
500
|
504,541
|
|
Series 2020-AR, Class D1R, (3-mo. CME Term
SOFR + 3.60%), 7.87%, 04/18/37
|
|
3,500
|
3,519,156
|
|
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo.
CME Term SOFR + 3.31%), 7.63%, 07/15/34
|
|
250
|
249,983
|
|
Regatta XX Funding Ltd., Series 2021-2A, Class D1R,
(3-mo. CME Term SOFR + 2.60%), 6.92%,
01/15/38
|
|
1,500
|
1,505,124
|
|
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term
SOFR + 6.85%), 11.17%, 07/15/35
|
|
750
|
749,586
|
|
Sound Point CLO XXVI Ltd., Series 2020-1A,
Class DR, (3-mo. CME Term SOFR + 3.61%),
7.94%, 07/20/34
|
|
250
|
249,642
|
|
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%,
12/29/29(c)
|
|
1,000
|
—
|
|
Trestles CLO Ltd., Series 2017-1A, Class D1RR, (3-
mo. CME Term SOFR + 3.15%), 7.47%, 07/25/37
|
|
500
|
504,498
|
|
Whitebox CLO I Ltd.
|
|
|
|
|
Series 2019-1A, Class D1RR, (3-mo. CME Term
SOFR + 3.10%), 7.42%, 07/24/36
|
|
250
|
250,657
|
|
Series 2019-1A, Class ERR, (3-mo. CME Term
SOFR + 5.75%), 10.07%, 07/24/36
|
|
1,300
|
1,300,335
|
|
Series 2019-1A, Class SUB, 0.00%, 07/24/36
|
|
1,000
|
613,223
|
|
Whitebox CLO II Ltd., Series 2020-2A, Class D1R2,
(3-mo. CME Term SOFR + 2.90%), 7.22%,
10/24/37
|
|
2,750
|
2,772,443
|
|
Whitebox CLO III Ltd.
|
|
|
|
|
Series 2021-3A, Class DR, (3-mo. CME Term SOFR
+ 2.85%), 7.17%, 10/15/35
|
|
500
|
504,007
|
|
Series 2021-3A, Class ER, (3-mo. CME Term SOFR
+ 5.65%), 9.97%, 10/15/35
|
|
500
|
499,771
|
|
|
|
|
22,230,064
|
|
Ireland(a) — 1.3%
|
|
||
|
AB Carval Euro CLO II-C DAC, Series 2X, Class D,
(3-mo. EURIBOR + 3.75%), 5.79%, 02/15/37(d)
|
EUR
|
250
|
297,071
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|
||
|
Anchorage Capital Europe CLO DAC, Series 4A,
Class D, (3-mo. EURIBOR + 3.20%), 5.14%,
04/25/34(b)
|
EUR
|
868
|
$ 1,029,052
|
|
Arbour CLO VI DAC, Series 6X, Class DR, (3-mo.
EURIBOR + 3.20%), 5.24%, 11/15/37(d)
|
|
300
|
354,195
|
|
Arcano Euro CLO I DAC, Series 1X, Class D, (3-mo.
EURIBOR + 3.40%), 5.59%, 04/25/39(d)
|
|
350
|
417,446
|
|
Arcano Euro CLO II DAC, Series 2X, Class D, (3-mo.
EURIBOR + 3.30%), 0.00%, 07/25/39(d)
|
|
160
|
189,549
|
|
ARES European CLO XII DAC, Series 12A, Class DR,
(3-mo. EURIBOR + 3.00%), 5.02%, 04/20/32(b)
|
|
875
|
1,031,332
|
|
Arini European CLO IV DAC, Series 4X, Class D, (3-
mo. EURIBOR + 3.50%), 5.53%, 01/15/38(d)
|
|
430
|
513,884
|
|
Arini European CLO V DAC, Series 5X, Class D, (3-
mo. EURIBOR + 2.80%), 5.17%, 01/15/39(d)
|
|
230
|
269,972
|
|
Aurium CLO VII DAC, Series 7X, Class DR, (3-mo.
EURIBOR + 3.15%), 5.28%, 10/15/38(d)
|
|
100
|
118,770
|
|
Aurium CLO XIII DAC, Series 13X, Class D, (3-mo.
EURIBOR + 2.80%), 5.17%, 04/15/38(d)
|
|
160
|
187,398
|
|
Avoca CLO XVIII DAC, Series 18X, Class DR, (3-mo.
EURIBOR + 3.05%), 5.08%, 01/15/38(d)
|
|
170
|
200,716
|
|
Avoca Static CLO I DAC, Series 1X, Class DR, (3-mo.
EURIBOR + 2.90%), 4.93%, 01/15/35(d)
|
|
150
|
177,018
|
|
Capital Four CLO VIII DAC, Series 8X, Class D, (3-mo.
EURIBOR + 3.25%), 5.19%, 10/25/37(d)
|
|
350
|
415,103
|
|
CIFC European Funding CLO III DAC, Series 3A,
Class D, (3-mo. EURIBOR + 3.60%), 5.63%,
01/15/34(b)
|
|
700
|
829,115
|
|
Contego CLO V DAC, Series 5X, Class DR, (3-mo.
EURIBOR + 3.10%), 5.13%, 10/15/37(d)
|
|
230
|
271,829
|
|
Contego CLO VII DAC, Series 7X, Class DR, (3-mo.
EURIBOR + 3.45%), 5.42%, 01/23/38(d)
|
|
290
|
344,288
|
|
Contego CLO XI DAC, Series 11X, Class DR, (3-mo.
EURIBOR + 3.20%), 5.23%, 11/20/38(d)
|
|
220
|
261,114
|
|
CVC Cordatus Loan Fund XIX DAC, Series 19A,
Class D, (3-mo. EURIBOR + 3.80%), 5.82%,
12/23/33(b)
|
|
2,300
|
2,740,079
|
|
CVC Cordatus Opportunity Loan Fund-R DAC,
Series 1X, Class DR, (3-mo. EURIBOR + 2.80%),
4.84%, 08/15/33(d)
|
|
700
|
823,006
|
|
Fidelity Grand Harbour CLO DAC, Series 2023-1X,
Class DR, (3-mo. EURIBOR + 2.70%), 4.74%,
02/15/38(d)
|
|
300
|
350,333
|
|
Hambridge Euro CLO 1 DAC, Series 1X, Class D,
10/20/38(d)(e)
|
|
210
|
246,551
|
|
Harvest CLO XXXII DAC, Series 2032X, Class D, (3-
mo. EURIBOR + 3.60%), 5.54%, 07/25/37(d)
|
|
209
|
249,282
|
|
Henley CLO IV DAC, Series 4A, Class D, (3-mo.
EURIBOR + 3.00%), 4.94%, 04/25/34(b)
|
|
1,000
|
1,184,202
|
|
Henley CLO XI DAC, Series 11X, Class D, (3-mo.
EURIBOR + 2.60%), 4.96%, 04/25/39(d)
|
|
330
|
389,869
|
|
Henley CLO XII DAC, Series 12X, Class D, (3-mo.
EURIBOR + 3.10%), 5.13%, 01/15/38(d)
|
|
220
|
261,937
|
|
Invesco Euro CLO V DAC, Series 5A, Class D, (3-mo.
EURIBOR + 3.80%), 6.08%, 01/15/34(b)
|
|
3,150
|
3,701,532
|
|
Jubilee CLO XXIX DAC, Series 2024-29X, Class D,
(3-mo. EURIBOR + 3.20%), 5.23%, 01/15/39(d)
|
|
370
|
438,936
|
|
Palmer Square European Loan Funding DAC(d)
|
|
|
|
|
Series 2024-2X, Class D, (3-mo. EURIBOR +
3.15%), 5.19%, 05/15/34
|
|
250
|
294,281
|
|
Series 2024-3X, Class D, (3-mo. EURIBOR +
3.05%), 5.09%, 05/15/34
|
|
220
|
260,434
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|
||
|
Penta CLO DAC, Series 2024-17X, Class D, (3-mo.
EURIBOR + 3.25%), 5.29%, 08/15/38(d)
|
EUR
|
232
|
$ 274,220
|
|
Prodigy Finance DAC(b)
|
|
|
|
|
Series 2021-1A, Class C, (1-mo. Term SOFR +
3.86%), 8.02%, 07/25/51
|
USD
|
58
|
59,243
|
|
Series 2021-1A, Class D, (1-mo. Term SOFR +
6.01%), 10.17%, 07/25/51
|
|
58
|
59,542
|
|
Providus CLO II DAC, Series 2X, Class DRR, (3-mo.
EURIBOR + 3.20%), 5.23%, 10/15/38(d)
|
EUR
|
238
|
281,875
|
|
Rockford Tower Europe CLO DAC, Series 2025-1X,
Class D, (3-mo. EURIBOR + 3.00%), 5.21%,
10/25/37(d)
|
|
290
|
342,457
|
|
Signal Harmonic CLO I DAC, Series 1X, Class DR,
(3-mo. EURIBOR + 3.50%), 5.42%, 07/15/38(d)
|
|
190
|
225,634
|
|
Sona Fios CLO III DAC, Series 3X, Class D, (3-mo.
EURIBOR + 3.25%), 5.27%, 04/20/37(d)
|
|
470
|
557,687
|
|
Sona Fios CLO V DAC, Series 5X, Class D, (3-mo.
EURIBOR + 3.30%), 5.33%, 08/25/38(d)
|
|
170
|
201,859
|
|
Texas Debt Capital Euro CLO DAC, Series 2025-1X,
Class D, (3-mo. EURIBOR + 3.00%), 5.20%,
04/16/39(d)
|
|
350
|
415,820
|
|
Tikehau CLO XII DAC, Series 12X, Class D, (3-mo.
EURIBOR + 3.25%), 5.27%, 10/20/38(d)
|
|
340
|
401,197
|
|
Victory Street CLO I DAC, Series 1X, Class D, (3-mo.
EURIBOR + 3.45%), 5.48%, 01/15/38(d)
|
|
320
|
381,919
|
|
|
|
|
21,049,747
|
|
United Kingdom — 0.0%
|
|
||
|
Unique Pub Finance Co. PLC, Series 02, Class N,
6.46%, 03/30/32(d)
|
GBP
|
297
|
416,427
|
|
United States — 2.2%
|
|
||
|
Ajax Mortgage Loan Trust(b)
|
|
|
|
|
Series 2021-G, Class A, 4.88%, 06/25/61(a)
|
USD
|
3,269
|
3,266,321
|
|
Series 2021-G, Class B, 6.75%, 06/25/61(a)
|
|
723
|
818,370
|
|
Series 2021-G, Class C, 0.00%, 06/25/61
|
|
1,260
|
1,269,639
|
|
Citigroup Mortgage Loan Trust(a)
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1-mo. Term SOFR +
0.31%), 4.47%, 05/25/37
|
|
3,886
|
2,625,025
|
|
Series 2007-AHL3, Class A3B, (1-mo. Term SOFR +
0.28%), 4.44%, 07/25/45
|
|
2,835
|
1,983,549
|
|
College Avenue Student Loans LLC, Series 2021-A,
Class D, 4.12%, 07/25/51(b)
|
|
140
|
134,701
|
|
Credit Suisse ABS Repackaging Trust, Series 2013-A,
Class R1, 0.00%, 04/25/43(b)(c)
|
|
5
|
1,684,120
|
|
Home Partners of America Trust, Series 2021-2,
Class F, 3.80%, 12/17/26(b)
|
|
2,399
|
2,337,103
|
|
Lending Funding Trust, Series 2020-2A, Class D,
6.77%, 04/21/31(b)
|
|
2,830
|
2,836,035
|
|
Lendmark Funding Trust, Series 2021-1A, Class D,
5.05%, 11/20/31(b)
|
|
2,320
|
2,207,315
|
|
Mariner Finance Issuance Trust(b)
|
|
|
|
|
Series 2021-AA, Class E, 5.40%, 03/20/36
|
|
1,420
|
1,375,931
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36
|
|
540
|
502,540
|
|
Nelnet Student Loan Trust(b)
|
|
|
|
|
Series 2021-A, Class D, 4.93%, 04/20/62
|
|
1,670
|
1,519,050
|
|
Series 2021-BA, Class D, 4.75%, 04/20/62
|
|
340
|
304,570
|
|
Series 2021-CA, Class D, 4.44%, 04/20/62
|
|
110
|
94,736
|
|
Progress Residential, Series 2021-SFR3, Class H,
4.75%, 05/17/26(b)
|
|
1,140
|
1,133,053
|
|
Regional Management Issuance Trust, Series 2021-3,
Class A, 3.88%, 10/17/33(b)(c)
|
|
4,780
|
4,630,864
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|
||
|
Republic Finance Issuance Trust, Series 2021-A,
Class D, 5.23%, 12/22/31(b)
|
USD
|
800
|
$ 783,386
|
|
Residential Mortgage Loan Trust, Series 2020-1,
Class B1, 3.95%, 01/26/60(a)(b)
|
|
400
|
382,504
|
|
SMB Private Education Loan Trust(b)
|
|
|
|
|
Series 2021-A, Class D1, 3.86%, 01/15/53
|
|
1,186
|
1,080,868
|
|
Series 2021-A, Class D2, 3.86%, 01/15/53
|
|
647
|
589,634
|
|
Series 2021-C, Class D, 3.93%, 01/15/53
|
|
260
|
233,211
|
|
Sofi Professional Loan Program LLC, Series 2018-A,
Class R1, 0.00%, 02/25/42(b)
|
|
115
|
1,283,947
|
|
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-WF2, Class M8, (1-mo. Term SOFR +
1.91%), 6.07%, 05/25/35(a)
|
|
182
|
179,323
|
|
Tricon Residential Trust(b)
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38
|
|
1,375
|
1,356,094
|
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38
|
|
887
|
874,112
|
|
|
|
|
35,486,001
|
|
Total Asset-Backed Securities — 4.9%
(Cost: $86,681,612)
|
79,182,239
|
||
|
|
|
Shares
|
|
|
Common Stocks
|
|||
|
Canada — 1.2%
|
|
||
|
Algoma Steel Group, Inc.
|
|
178,901
|
635,993
|
|
Cameco Corp.
|
|
173,826
|
14,577,048
|
|
Suncor Energy, Inc.
|
|
87,340
|
3,655,013
|
|
|
|
|
18,868,054
|
|
Cayman Islands(f) — 0.1%
|
|
||
|
Accelerant Holdings, Class A
|
|
12,857
|
191,441
|
|
Bullish
|
|
30,650
|
1,949,646
|
|
|
|
|
2,141,087
|
|
Chile — 0.0%
|
|
||
|
Wom New Holdco(c)(f)
|
|
599
|
13,777
|
|
China — 0.9%
|
|
||
|
Alibaba Group Holding Ltd., ADR
|
|
3,707
|
662,552
|
|
BYD Co. Ltd., Class H
|
|
306,000
|
4,325,211
|
|
Tencent Holdings Ltd.
|
|
109,167
|
9,302,076
|
|
|
|
|
14,289,839
|
|
Denmark — 0.4%
|
|
||
|
DSV A/S
|
|
23,902
|
4,774,916
|
|
Novo Nordisk A/S, Class B
|
|
30,598
|
1,703,746
|
|
|
|
|
6,478,662
|
|
France — 1.5%
|
|
||
|
Arkema SA
|
|
20,886
|
1,324,341
|
|
Cie de Saint-Gobain SA
|
|
61,086
|
6,618,766
|
|
EssilorLuxottica SA
|
|
28,882
|
9,408,420
|
|
Hermes International SCA
|
|
2,602
|
6,398,421
|
|
Societe Generale SA
|
|
12,265
|
816,559
|
|
|
|
|
24,566,507
|
|
Germany — 0.2%
|
|
||
|
Northern Data AG(f)
|
|
4,783
|
98,937
|
|
SAP SE
|
|
11,360
|
3,041,837
|
|
|
|
|
3,140,774
|
|
Security
|
|
Shares
|
Value
|
|
India — 0.0%
|
|
||
|
Think & Learn Private Ltd., Class J-B, (Acquired
12/11/20, Cost: $5,113,105)(c)(f)(g)
|
|
2,279
|
$ —
|
|
Israel — 0.0%
|
|
||
|
Deep Instinct Ltd.(c)(f)
|
|
66,096
|
3,966
|
|
Italy — 1.5%
|
|
||
|
Intesa Sanpaolo SpA
|
|
1,839,986
|
12,179,195
|
|
Leonardo SpA
|
|
11,182
|
715,499
|
|
UniCredit SpA
|
|
144,361
|
10,985,162
|
|
|
|
|
23,879,856
|
|
Japan — 0.0%
|
|
||
|
FANUC Corp.
|
|
15
|
431
|
|
Rakuten Group, Inc.(f)
|
|
112,800
|
731,470
|
|
|
|
|
731,901
|
|
Macau — 0.0%
|
|
||
|
Wynn Macau Ltd.
|
|
534,519
|
495,694
|
|
Netherlands — 1.0%
|
|
||
|
ASML Holding NV
|
|
15,389
|
15,007,152
|
|
ING Groep NV
|
|
62,974
|
1,650,911
|
|
|
|
|
16,658,063
|
|
Spain — 0.4%
|
|
||
|
CaixaBank SA
|
|
84,877
|
896,464
|
|
Cellnex Telecom SA(b)
|
|
159,693
|
5,531,355
|
|
|
|
|
6,427,819
|
|
Sweden — 0.0%
|
|
||
|
Volta Trucks, Series C, (Acquired 02/22/22, Cost:
$322,253)(c)(f)(g)
|
|
2,732
|
—
|
|
Taiwan — 1.3%
|
|
||
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
|
77,145
|
21,545,827
|
|
United Kingdom — 2.4%
|
|
||
|
BAE Systems PLC
|
|
492,909
|
13,720,821
|
|
Compass Group PLC
|
|
196,450
|
6,696,143
|
|
Flutter Entertainment PLC(f)
|
|
7,485
|
1,901,190
|
|
Genius Sports Ltd.(f)
|
|
140,437
|
1,738,610
|
|
National Grid PLC
|
|
489,463
|
7,032,927
|
|
RELX PLC
|
|
145,997
|
6,975,562
|
|
Teya Services Ltd., (Acquired 11/16/21, Cost:
$2,398,802)(c)(f)(g)
|
|
1,235
|
404,030
|
|
|
|
|
38,469,283
|
|
United States — 46.6%
|
|
||
|
Advanced Micro Devices, Inc.(f)
|
|
2,700
|
436,833
|
|
Air Products and Chemicals, Inc.
|
|
11,746
|
3,203,369
|
|
Alphabet, Inc., Class C
|
|
126,339
|
30,769,863
|
|
Amazon.com, Inc.(f)(h)
|
|
180,230
|
39,573,101
|
|
AMC Networks, Inc., Class A(f)
|
|
9,801
|
80,760
|
|
Amentum Holdings, Inc.(f)
|
|
33,844
|
810,564
|
|
Apollo Global Management, Inc.
|
|
36,436
|
4,855,826
|
|
Apple, Inc.
|
|
126,850
|
32,299,815
|
|
Autodesk, Inc.(f)
|
|
14,902
|
4,733,918
|
|
Bank of America Corp.
|
|
305,347
|
15,752,852
|
|
Boeing Co.(f)
|
|
49,201
|
10,619,052
|
|
Boston Scientific Corp.(f)(h)
|
|
128,567
|
12,551,996
|
|
BP PLC
|
|
73,129
|
419,881
|
|
Broadcom, Inc.
|
|
67,195
|
22,168,302
|
|
Caesars Entertainment, Inc.(f)
|
|
19,728
|
533,149
|
|
Capital One Financial Corp.
|
|
44,119
|
9,378,817
|
|
Caresyntax, Inc.(c)(f)
|
|
15,359
|
5,068
|
|
Carrier Global Corp.
|
|
5,949
|
355,155
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Centene Corp.(f)
|
|
31,726
|
$ 1,131,984
|
|
Century Communities, Inc.
|
|
15,990
|
1,013,286
|
|
Chevron Corp.
|
|
45,738
|
7,102,654
|
|
Cisco Systems, Inc.
|
|
115,907
|
7,930,357
|
|
Citigroup, Inc.
|
|
142,279
|
14,441,318
|
|
Coinbase Global, Inc., Class A(f)
|
|
789
|
266,280
|
|
Comerica, Inc.
|
|
1,300
|
89,076
|
|
Confluent, Inc., Class A(f)
|
|
131,710
|
2,607,858
|
|
Core Scientific, Inc.(f)
|
|
103,904
|
1,864,038
|
|
Costco Wholesale Corp.
|
|
16,253
|
15,044,264
|
|
CRH PLC
|
|
65,384
|
7,839,542
|
|
Crown PropTech Acquisitions(c)(f)
|
|
84,264
|
69,360
|
|
Crown PropTech Acquisitions, Class A(f)
|
|
29,568
|
336,484
|
|
Davidson Kempner Merchant Co-Investment Fund LP,
(Acquired 06/30/21, Cost: $0)(f)(g)(i)
|
|
—
(j)
|
4,436,210
|
|
Delta Air Lines, Inc.
|
|
63,703
|
3,615,145
|
|
DR Horton, Inc.
|
|
28,111
|
4,763,971
|
|
Duke Energy Corp.
|
|
5,700
|
705,375
|
|
EchoStar Corp., Class A(f)
|
|
56,142
|
4,287,003
|
|
Eli Lilly & Co.
|
|
20,111
|
15,344,693
|
|
EOG Resources, Inc.
|
|
4,165
|
466,980
|
|
Epic Games, Inc., (Acquired 03/29/21, Cost:
$2,499,240)(c)(f)(g)
|
|
2,824
|
1,975,162
|
|
EQT Corp.
|
|
71,847
|
3,910,632
|
|
EXO Imaging, Inc., (Acquired 06/24/21, Cost:
$1,482,935)(c)(f)(g)
|
|
2,532
|
911
|
|
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost:
$8,566,971)(c)(f)(g)
|
|
126,282
|
7,724,670
|
|
Figma, Inc., Class A(f)
|
|
4,615
|
239,380
|
|
First Citizens BancShares, Inc., Class A
|
|
228
|
407,928
|
|
First Horizon Corp.
|
|
7,186
|
162,475
|
|
Flagstar Financial, Inc.
|
|
254,364
|
2,937,904
|
|
Flowco Holdings, Inc., Class A
|
|
56,042
|
832,224
|
|
Flyr AS(c)(f)
|
|
421,209
|
4
|
|
Formentera Partners Fund II LP(c)(f)(i)
|
|
—
(j)
|
3,134,282
|
|
Freeport-McMoRan, Inc.
|
|
173,864
|
6,818,946
|
|
Freewire Equity(c)(f)
|
|
45
|
—
|
|
General Electric Co.
|
|
9,153
|
2,753,405
|
|
Hilton Worldwide Holdings, Inc.
|
|
10,312
|
2,675,345
|
|
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost:
$2,660,000)(c)(f)(g)
|
|
2,660,000
|
1,915,200
|
|
Home Depot, Inc.
|
|
29,553
|
11,974,580
|
|
Intel Corp.
|
|
28,500
|
956,175
|
|
Intuit, Inc.
|
|
8,293
|
5,663,373
|
|
Intuitive Surgical, Inc.(f)
|
|
13,642
|
6,101,112
|
|
JPMorgan Chase & Co.
|
|
60,895
|
19,208,110
|
|
Lam Research Corp.
|
|
6,051
|
810,229
|
|
Latch, Inc.(f)
|
|
142,273
|
14,085
|
|
Lionsgate Studios Corp.(f)
|
|
95,306
|
657,611
|
|
Live Nation Entertainment, Inc.(f)
|
|
32,426
|
5,298,408
|
|
Lumen Technologies, Inc.(f)
|
|
272,406
|
1,667,125
|
|
M/I Homes, Inc.(f)
|
|
4,074
|
588,449
|
|
Marsh & McLennan Cos., Inc.
|
|
53,595
|
10,801,000
|
|
Mastercard, Inc., Class A
|
|
28,760
|
16,358,976
|
|
McDonald’s Corp.
|
|
7,321
|
2,224,779
|
|
McKesson Corp.
|
|
12,864
|
9,937,955
|
|
Medtronic PLC
|
|
80,529
|
7,669,582
|
|
Meritage Homes Corp.
|
|
12,647
|
916,022
|
|
Meta Platforms, Inc., Class A
|
|
31,205
|
22,916,328
|
|
Micron Technology, Inc.
|
|
70,921
|
11,866,502
|
|
Microsoft Corp.(h)
|
|
108,244
|
56,064,980
|
|
MNTN, Inc., (Acquired 11/05/21, Cost: $1,353,207)(f)(g)
|
|
58,924
|
1,093,040
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
MongoDB, Inc., Class A(f)
|
|
2,976
|
$ 923,691
|
|
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost:
$560,518)(c)(f)(g)
|
|
816
|
—
|
|
Netflix, Inc.(f)
|
|
4,619
|
5,537,811
|
|
NextEra Energy, Inc.
|
|
116,286
|
8,778,430
|
|
NRG Energy, Inc.
|
|
4,984
|
807,159
|
|
NVIDIA Corp.
|
|
230,545
|
43,015,086
|
|
Oracle Corp.
|
|
30,037
|
8,447,606
|
|
Palantir Technologies, Inc., Class A(f)
|
|
18,885
|
3,445,002
|
|
Palladyne AI Corp.(f)
|
|
7,517
|
64,571
|
|
Paramount Skydance Corp., Class B
|
|
3,734
|
70,647
|
|
Philip Morris International, Inc.
|
|
26,534
|
4,303,815
|
|
Playstudios, Inc., Class A(f)
|
|
226,924
|
218,437
|
|
Progressive Corp.
|
|
43,521
|
10,747,511
|
|
Relativity Space, Inc.(c)(f)
|
|
496
|
511
|
|
Rotor Acquisition Corp.(f)
|
|
3,978
|
34,172
|
|
Salesforce, Inc.
|
|
28,678
|
6,796,686
|
|
Sanofi SA
|
|
47,778
|
4,524,288
|
|
Sarcos Technology & Robotics Corp.(f)
|
|
160,743
|
1,380,784
|
|
Screaming Eagle Acquisition Crop., Pipe, (Acquired
05/14/24, Cost: $1,168,975)(f)(g)
|
|
115,000
|
785,273
|
|
ServiceNow, Inc.(f)
|
|
3,532
|
3,250,429
|
|
ServiceTitan, Inc., Class A(f)
|
|
10,244
|
1,032,903
|
|
Shell PLC
|
|
325,312
|
11,668,115
|
|
Six Flags Entertainment Corp.(f)
|
|
43,361
|
985,162
|
|
Snorkel AI, Inc., (Acquired 06/30/21, Cost:
$189,563)(c)(f)(g)
|
|
12,621
|
77,241
|
|
Solaris Energy Infrastructure, Inc., Class A
|
|
87,644
|
3,503,131
|
|
Sonder Holdings, Inc., Class A(f)
|
|
37,498
|
47,622
|
|
Source Global PBC(c)(f)
|
|
4,622
|
370
|
|
Space Exploration Technologies Corp., Class A,
(Acquired 08/21/23, Cost: $1,663,335)(c)(f)(g)
|
|
20,535
|
4,202,282
|
|
Space Exploration Technologies Corp., Class C,
(Acquired 08/21/23, Cost: $1,785,240)(c)(f)(g)
|
|
22,040
|
4,510,266
|
|
Starz Entertainment Corp.(f)
|
|
3,086
|
45,457
|
|
Stryker Corp.
|
|
24,421
|
9,027,711
|
|
Tesla, Inc.(f)
|
|
24,905
|
11,075,752
|
|
Thermo Fisher Scientific, Inc.
|
|
3,447
|
1,671,864
|
|
TJX Cos., Inc.
|
|
74,209
|
10,726,169
|
|
Toll Brothers, Inc.
|
|
4,111
|
567,894
|
|
Trane Technologies PLC
|
|
22,336
|
9,424,899
|
|
TransDigm Group, Inc.
|
|
4,093
|
5,394,656
|
|
Tri Pointe Homes, Inc.(f)
|
|
27,655
|
939,440
|
|
Uber Technologies, Inc.(f)
|
|
15,980
|
1,565,561
|
|
Union Pacific Corp.
|
|
17,896
|
4,230,078
|
|
United Airlines Holdings, Inc.(f)
|
|
18,827
|
1,816,805
|
|
UnitedHealth Group, Inc.
|
|
1,919
|
662,631
|
|
Valero Energy Corp.
|
|
13,738
|
2,339,032
|
|
Vertex Pharmaceuticals, Inc.(f)
|
|
4,657
|
1,823,867
|
|
Vertiv Holdings Co., Class A
|
|
47,945
|
7,232,983
|
|
Vistra Corp.
|
|
40,821
|
7,997,650
|
|
Walmart, Inc.
|
|
202,079
|
20,826,262
|
|
Walt Disney Co.
|
|
61,718
|
7,066,711
|
|
Warner Bros Discovery, Inc., Class A(f)
|
|
75,452
|
1,473,578
|
|
Wells Fargo & Co.
|
|
108,005
|
9,052,979
|
|
Williams Cos., Inc.
|
|
80,729
|
5,114,182
|
|
Wolfspeed, Inc.
|
|
1,112
|
31,816
|
|
|
|
|
759,448,066
|
|
Total Common Stocks — 57.5%
(Cost: $638,358,477)
|
937,159,175
|
||
|
Security
|
|
Par
(000)
|
Value
|
|
Corporate Bonds
|
|||
|
Argentina(b) — 0.0%
|
|||
|
Telecom Argentina SA, 9.25%, 05/28/33
|
USD
|
56
|
$ 55,029
|
|
Vista Energy Argentina SAU, 8.50%, 06/10/33
|
|
102
|
103,938
|
|
|
|
|
158,967
|
|
Australia — 0.5%
|
|||
|
AGL Energy Ltd., 5.77%, 09/30/35(d)
|
AUD
|
200
|
132,263
|
|
Mineral Resources Ltd., 9.25%, 10/01/28(b)
|
USD
|
255
|
267,191
|
|
Oceana Australian Fixed Income Trust, A Note
Upsize(c)
|
|
|
|
|
10.50%, 07/31/28
|
AUD
|
1,980
|
1,331,522
|
|
Class A, 12.50%, 07/31/26
|
|
2,822
|
1,907,091
|
|
Class A, 12.50%, 07/31/27
|
|
4,703
|
3,252,014
|
|
Pacific National Finance Pty. Ltd., (Update
Replacements.xls: ADSWAP5 + 3.85%), 7.75%,
12/11/54(a)(d)
|
|
190
|
129,189
|
|
Port of Newcastle Investments Financing Pty. Ltd.,
6.10%, 07/18/33(d)
|
|
180
|
122,357
|
|
Scentre Group Trust 1, 5.35%, 09/18/35(d)
|
|
430
|
280,858
|
|
|
|
|
7,422,485
|
|
Belgium — 0.0%
|
|||
|
Telenet Finance Luxembourg Notes SARL, 5.50%,
03/01/28(b)
|
USD
|
200
|
198,829
|
|
Brazil — 0.1%
|
|||
|
LD Celulose International GmbH, 7.95%, 01/26/32(b)
|
|
200
|
211,200
|
|
MC Brazil Downstream Trading SARL, 7.25%,
06/30/31(d)
|
|
182
|
156,353
|
|
Petrobras Global Finance BV, 6.75%, 01/27/41
|
|
193
|
194,821
|
|
Samarco Mineracao SA(k)
|
|
|
|
|
(9.50% PIK), 9.50%, 06/30/31(d)
|
|
76
|
76,576
|
|
(9.50% PIK), 9.50%, 06/30/31(b)
|
|
33
|
32,960
|
|
Vale Overseas Ltd., 6.40%, 06/28/54
|
|
116
|
119,048
|
|
|
|
|
790,958
|
|
Canada — 0.8%
|
|||
|
Air Canada Pass-Through Trust, Series 2020-1,
Class C, 10.50%, 07/15/26(b)
|
|
1,769
|
1,845,002
|
|
Alexandrite Lake Lux Holdings SARL, 6.75%,
07/30/30(d)
|
EUR
|
384
|
461,213
|
|
HR Ottawa LP, 11.00%, 03/31/31(b)
|
USD
|
9,537
|
10,511,353
|
|
|
|
|
12,817,568
|
|
Chile(b) — 0.0%
|
|||
|
AES Andes SA, (5-year CMT + 3.84%), 8.15%,
06/10/55(a)
|
|
285
|
301,419
|
|
WOM Chile Holdco SpA, (5.00% PIK), 5.00%,
04/01/32(k)(l)
|
|
315
|
280,757
|
|
WOM Mobile SA, (11.00% PIK), 11.00%, 04/01/31(k)
|
|
13
|
12,101
|
|
|
|
|
594,277
|
|
China — 0.1%
|
|||
|
Alibaba Group Holding Ltd., 0.50%, 06/01/31(l)
|
|
223
|
409,651
|
|
Fantasia Holdings Group Co. Ltd.(d)(f)(m)
|
|
|
|
|
6.95%, 12/17/21
|
|
320
|
4,800
|
|
11.75%, 04/17/22
|
|
520
|
5,850
|
|
9.25%, 07/28/23
|
|
1,200
|
18,000
|
|
Prosus NV, 4.03%, 08/03/50(d)
|
|
303
|
212,291
|
|
|
|
|
650,592
|
|
Colombia — 0.0%
|
|||
|
ABRA Global Finance, (6.00% Cash & 8.00% PIK),
14.00%, 10/22/29(b)(k)
|
|
162
|
156,618
|
|
Security
|
|
Par
(000)
|
Value
|
|
Colombia (continued)
|
|||
|
Ecopetrol SA, 8.88%, 01/13/33
|
USD
|
238
|
$ 258,194
|
|
SURA Asset Management SA, 6.35%, 05/13/32(b)
|
|
200
|
213,500
|
|
|
|
|
628,312
|
|
Costa Rica — 0.0%
|
|||
|
Liberty Costa Rica Senior Secured Finance, 10.88%,
01/15/31(b)
|
|
211
|
224,926
|
|
Czech Republic — 0.0%
|
|||
|
Czechoslovak Group A/S, 5.25%, 01/10/31(d)
|
EUR
|
225
|
274,728
|
|
Denmark — 0.0%
|
|||
|
SGL Group ApS, (3-mo. EURIBOR + 4.25%), 6.28%,
02/24/31(a)
|
|
143
|
163,478
|
|
Finland(d) — 0.0%
|
|||
|
Citycon Treasury BV
|
|
|
|
|
5.00%, 03/11/30
|
|
100
|
117,451
|
|
5.38%, 07/08/31
|
|
100
|
118,058
|
|
Mehilainen Yhtiot OYJ, 5.13%, 06/30/32
|
|
152
|
182,241
|
|
|
|
|
417,750
|
|
France — 0.8%
|
|||
|
Afflelou SAS, 6.00%, 07/25/29(d)
|
|
292
|
357,600
|
|
Atos SE(d)(n)
|
|
|
|
|
5.20%, 12/18/30
|
|
305
|
337,847
|
|
1.04%, 12/18/32
|
|
250
|
151,673
|
|
9.36%, 12/18/29
|
|
330
|
444,756
|
|
Bertrand Franchise Finance SAS, (3-mo. EURIBOR +
3.75%), 5.99%, 07/18/30(a)(d)
|
|
335
|
376,054
|
|
ELO SACA, 2.88%, 01/29/26(d)
|
|
200
|
233,788
|
|
Figeac Aero SA, (Acquired 07/16/25, Cost:
$4,095,695), 7.79%, 07/23/30(c)(g)
|
|
3,520
|
4,122,327
|
|
Forvia SE, 5.50%, 06/15/31(d)
|
|
349
|
421,279
|
|
Goldstory SAS, 6.75%, 02/01/30(d)
|
|
317
|
386,448
|
|
iliad SA, 4.25%, 01/09/32(d)
|
|
300
|
354,127
|
|
IPD 3 BV, 5.50%, 06/15/31(d)
|
|
282
|
336,222
|
|
Lion/Polaris Lux 4 SA, (3-mo. EURIBOR + 3.63%),
5.64%, 07/01/29(a)(d)
|
|
305
|
362,071
|
|
Loxam SAS, 6.38%, 05/31/29(d)
|
|
583
|
709,197
|
|
Lune Holdings SARL, 5.63%, 11/15/28(d)
|
|
305
|
110,607
|
|
Maya SAS/Paris France, 6.88%, 04/15/31(d)
|
|
100
|
124,711
|
|
New Immo Holding SA(d)
|
|
|
|
|
5.88%, 04/17/28
|
|
100
|
121,225
|
|
4.88%, 12/08/28
|
|
200
|
237,606
|
|
RCI Banque SA(a)(d)
|
|
|
|
|
(5-year EURIBOR ICE Swap + 2.20%), 4.75%,
03/24/37
|
|
200
|
238,908
|
|
(5-year EURIBOR ICE Swap + 2.75%), 5.50%,
10/09/34
|
|
600
|
740,978
|
|
Sabena technics SAS, (3-mo. EURIBOR + 5.00%),
(Acquired 10/28/22, Cost: $2,056,590), 7.00%,
09/30/29(a)(c)(g)
|
|
2,085
|
2,447,599
|
|
Worldline SA, 5.50%, 06/10/30(d)
|
|
100
|
90,994
|
|
|
|
|
12,706,017
|
|
Germany — 0.6%
|
|||
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(b)
|
|
173
|
193,207
|
|
Alstria Office AG, 5.50%, 03/20/31(d)
|
|
100
|
122,080
|
|
APCOA Group GmbH, (3-mo. EURIBOR + 4.13%),
6.15%, 04/15/31(a)(d)
|
|
307
|
362,759
|
|
Aroundtown Finance SARL(a)(o)
|
|
|
|
|
(5-year EURIBOR ICE Swap + 4.51%), 7.13%
|
|
271
|
335,512
|
|
(5-year UK Government Bond + 4.49%), 8.63%
|
GBP
|
408
|
565,064
|
|
Security
|
|
Par
(000)
|
Value
|
|
Germany (continued)
|
|||
|
BRANICKS Group AG, 2.25%, 09/22/26(d)
|
EUR
|
100
|
$ 92,739
|
|
DEMIRE Deutsche Mittelstand Real Estate AG, 5.00%,
12/31/27(d)(n)
|
|
352
|
389,060
|
|
Deutsche Lufthansa AG, (5-year EURIBOR ICE Swap
+ 2.86%), 5.25%, 01/15/55(a)(d)
|
|
400
|
484,586
|
|
Dynamo Newco II GmbH, 6.25%, 10/15/31(d)
|
|
118
|
143,645
|
|
IHO Verwaltungs GmbH, (7.00% PIK), 7.00%,
11/15/31(d)(k)
|
|
249
|
316,442
|
|
Lanxess AG, (6-mo. EURIBOR at 0.00% Floor +
9.50%, 13.41% Cash or 13.41% PIK), 11.62%,
04/01/31(c)(k)
|
|
4,051
|
4,345,996
|
|
Mahle GmbH, 6.50%, 05/02/31(d)
|
|
489
|
594,293
|
|
PCF GmbH(d)
|
|
|
|
|
4.75%, 04/15/29
|
|
104
|
94,261
|
|
(3-mo. EURIBOR + 4.75%), 6.78%, 04/15/29(a)
|
|
129
|
116,633
|
|
PrestigeBidCo GmbH, (3-mo. EURIBOR + 3.75%),
5.78%, 07/01/29(a)(d)
|
|
236
|
278,648
|
|
Schaeffler AG(d)
|
|
|
|
|
4.25%, 04/01/28
|
|
100
|
119,329
|
|
5.38%, 04/01/31
|
|
100
|
122,936
|
|
TAG Immobilien AG, 0.63%, 03/11/31(d)(l)
|
|
100
|
122,692
|
|
Tele Columbus AG, (10.00% PIK), 10.00%,
01/01/29(d)(k)
|
|
304
|
240,215
|
|
TUI Cruises GmbH, 5.00%, 05/15/30(d)
|
|
104
|
125,360
|
|
Vonovia SE, Series B, 0.88%, 05/20/32(d)(l)
|
|
200
|
235,528
|
|
Wintershall Dea Finance 2 BV, (5-year EURIBOR ICE
Swap + 3.94%), 6.12%(a)(d)(o)
|
|
164
|
201,209
|
|
ZF Europe Finance BV, 7.00%, 06/12/30(d)
|
|
200
|
243,739
|
|
|
|
|
9,845,933
|
|
Greece(a)(d) — 0.0%
|
|||
|
Eurobank SA, (1-year EURIBOR ICE Swap + 1.70%),
4.00%, 02/07/36
|
|
325
|
383,484
|
|
National Bank of Greece SA, (5-year EURIBOR ICE
Swap + 3.15%), 5.88%, 06/28/35
|
|
200
|
252,603
|
|
|
|
|
636,087
|
|
Hong Kong — 0.0%
|
|||
|
AIA Group Ltd., 5.40%, 09/30/54(d)
|
USD
|
200
|
196,038
|
|
India — 0.3%
|
|||
|
CA Magnum Holdings, 5.38%, 10/31/26(d)
|
|
200
|
199,025
|
|
Clean Renewable Power Mauritius Pte. Ltd., 4.25%,
03/25/27(d)
|
|
154
|
150,728
|
|
Continuum Energy Aura Pte. Ltd., 9.50%, 02/24/27(d)
|
|
200
|
206,188
|
|
Diamond II Ltd., 7.95%, 07/28/26(d)
|
|
200
|
201,500
|
|
Flourishing Trade & Investment Ltd., (11.04% PIK),
11.04%, 04/02/28(c)(k)
|
|
2,339
|
2,444,928
|
|
Greenko Wind Projects Mauritius Ltd., 7.25%,
09/27/28(d)
|
|
200
|
203,700
|
|
India Cleantech Energy, 4.70%, 08/10/26(d)
|
|
190
|
187,947
|
|
Muthoot Finance Ltd., 6.38%, 03/02/30(d)
|
|
415
|
420,312
|
|
ReNew Pvt Ltd., 5.88%, 03/05/27(d)
|
|
200
|
199,722
|
|
Vedanta Resources Finance II PLC
|
|
|
|
|
10.88%, 09/17/29(b)
|
|
389
|
407,234
|
|
10.88%, 09/17/29(d)
|
|
200
|
209,375
|
|
|
|
|
4,830,659
|
|
Indonesia — 0.0%
|
|||
|
Freeport Indonesia PT, 6.20%, 04/14/52(d)
|
|
200
|
204,600
|
|
Ireland(d) — 0.1%
|
|||
|
Cedacri SpA, (3-mo. EURIBOR + 4.63%), 6.66%,
05/15/28(a)
|
EUR
|
102
|
120,439
|
|
Security
|
|
Par
(000)
|
Value
|
|
Ireland (continued)
|
|||
|
eircom Finance DAC, 5.00%, 04/30/31
|
EUR
|
223
|
$ 268,168
|
|
Flutter Treasury DAC
|
|
|
|
|
4.00%, 06/04/31
|
|
211
|
248,245
|
|
6.13%, 06/04/31
|
GBP
|
100
|
135,539
|
|
Virgin Media O2 Vendor Financing Notes V DAC,
7.88%, 03/15/32
|
|
100
|
138,994
|
|
|
|
|
911,385
|
|
Italy — 0.6%
|
|||
|
Agrifarma SpA, 4.50%, 10/31/28(b)
|
EUR
|
1,882
|
2,220,609
|
|
Almaviva-The Italian Innovation Co. SpA, 5.00%,
10/30/30(d)
|
|
309
|
368,527
|
|
Bubbles Bidco SpA(d)
|
|
|
|
|
6.50%, 09/30/31
|
|
236
|
283,791
|
|
(3-mo. EURIBOR + 4.25%), 6.25%, 09/30/31(a)
|
|
231
|
273,291
|
|
Continuum Energy Pte. Ltd., 5.00%, 09/11/27(b)(c)
|
USD
|
853
|
852,781
|
|
Dolcetto Holdco SpA(d)
|
|
|
|
|
5.63%, 07/14/32
|
EUR
|
156
|
187,776
|
|
(3-mo. EURIBOR + 3.63%), 5.64%, 07/14/32(a)
|
|
100
|
118,339
|
|
Duomo Bidco SpA, (3-mo. EURIBOR + 4.13%), 6.15%,
07/15/31(a)(d)
|
|
301
|
355,504
|
|
Engineering - Ingegneria Informatica - SpA, 11.13%,
05/15/28(d)
|
|
448
|
560,492
|
|
Eni SpA, (5-year EUR Swap + 2.40%), 4.88%(a)(d)(o)
|
|
200
|
238,666
|
|
Fedrigoni SpA, 6.13%, 06/15/31(d)
|
|
298
|
347,773
|
|
Fiber Midco SpA, (10.75% PIK), 10.75%, 06/15/29(d)(k)
|
|
196
|
212,725
|
|
Fibercop SpA(d)
|
|
|
|
|
4.75%, 06/30/30
|
|
100
|
119,253
|
|
5.13%, 06/30/32
|
|
100
|
119,332
|
|
FIS Fabbrica Italiana Sintetici SpA, 5.63%, 08/01/27(d)
|
|
257
|
304,013
|
|
Itelyum Regeneration SpA, 5.75%, 04/15/30(d)
|
|
100
|
119,447
|
|
Lottomatica Group SpA(d)
|
|
|
|
|
5.38%, 06/01/30
|
|
100
|
121,660
|
|
4.88%, 01/31/31
|
|
148
|
179,040
|
|
(3-mo. EURIBOR + 3.25%), 5.30%, 06/01/31(a)
|
|
142
|
167,708
|
|
Marcolin SpA, 6.13%, 11/15/26(b)
|
|
540
|
634,397
|
|
Pachelbel Bidco SpA(d)
|
|
|
|
|
7.13%, 05/17/31
|
|
137
|
173,297
|
|
(3-mo. EURIBOR + 4.25%), 6.27%, 05/17/31(a)
|
|
126
|
149,033
|
|
Rossini SARL(d)
|
|
|
|
|
6.75%, 12/31/29
|
|
147
|
182,075
|
|
(3-mo. EURIBOR + 3.88%), 5.88%, 12/31/29(a)
|
|
89
|
105,454
|
|
TeamSystem SpA(a)(d)
|
|
|
|
|
(3-mo. EURIBOR + 3.25%), 5.19%, 07/01/32
|
|
112
|
131,639
|
|
(3-mo. EURIBOR + 3.50%), 5.53%, 07/31/31
|
|
218
|
256,686
|
|
Telecom Italia Capital SA, 7.72%, 06/04/38
|
USD
|
74
|
81,977
|
|
Unipol Assicurazioni SpA, 4.90%, 05/23/34(d)
|
EUR
|
200
|
247,258
|
|
|
|
|
9,112,543
|
|
Japan(d) — 0.1%
|
|||
|
Nissan Motor Co. Ltd., 5.25%, 07/17/29
|
|
214
|
256,052
|
|
SoftBank Group Corp.
|
|
|
|
|
5.38%, 01/08/29
|
|
276
|
335,672
|
|
3.38%, 07/06/29
|
|
100
|
114,142
|
|
5.25%, 10/10/29
|
|
100
|
121,057
|
|
5.88%, 07/10/31
|
|
100
|
123,682
|
|
5.75%, 07/08/32
|
|
380
|
466,169
|
|
6.38%, 07/10/33
|
|
100
|
124,834
|
|
|
|
|
1,541,608
|
|
Security
|
|
Par
(000)
|
Value
|
|
Jersey(d) — 0.0%
|
|||
|
Aston Martin Capital Holdings Ltd., 10.38%, 03/31/29
|
GBP
|
285
|
$ 372,694
|
|
Deepocean Ltd., 04/08/31(e)
|
EUR
|
100
|
118,991
|
|
|
|
|
491,685
|
|
Kuwait — 0.0%
|
|||
|
EQUATE Petrochemical Co. KSC, 4.25%, 11/03/26(d)
|
USD
|
297
|
295,664
|
|
Luxembourg — 0.3%
|
|||
|
Adler Financing SARL, Series 1L, (8.25% PIK), 8.25%,
12/31/28(k)
|
EUR
|
820
|
1,024,748
|
|
Albion Financing 1 SARL/Aggreko Holdings, Inc.,
5.38%, 05/21/30(d)
|
|
185
|
225,316
|
|
Currenta Group Holdings SARL(d)
|
|
|
|
|
5.50%, 05/15/30
|
|
159
|
191,304
|
|
(3-mo. EURIBOR + 4.00%), 6.04%, 05/15/32(a)
|
|
163
|
192,889
|
|
Encore Issuances SA, Series 155, (3-mo. EURIBOR +
10.00%), 12.05%, 11/06/25(a)
|
|
48
|
55,699
|
|
Herens Midco SARL, 5.25%, 05/15/29(b)
|
|
490
|
330,668
|
|
INEOS Finance PLC(d)
|
|
|
|
|
6.38%, 04/15/29
|
|
384
|
446,468
|
|
7.25%, 03/31/31
|
|
186
|
218,064
|
|
ION Platform Finance SARL(e)
|
|
|
|
|
09/30/30
|
|
119
|
139,712
|
|
09/30/32
|
|
100
|
117,405
|
|
ION Trading Technologies SARL, 5.75%, 05/15/28(b)
|
USD
|
400
|
392,531
|
|
Kleopatra Finco SARL, 4.25%, 03/01/26(d)
|
EUR
|
411
|
271,625
|
|
Luna 1.5 SARL, (10.50% PIK), 10.50%, 07/01/32(d)(k)
|
|
191
|
232,378
|
|
Luna 2 5SARL, 5.50%, 07/01/32(d)
|
|
100
|
119,445
|
|
Maxam Prill SARL, 6.00%, 07/15/30(d)
|
|
306
|
364,726
|
|
SES SA, 4.88%, 06/24/33(d)
|
|
100
|
122,237
|
|
Summer BC Holdco B SARL(d)
|
|
|
|
|
5.88%, 02/15/30
|
|
200
|
229,342
|
|
(3-mo. EURIBOR + 4.25%), 6.29%, 02/15/30(a)
|
|
127
|
146,424
|
|
Vivion Investments SARL, (6.50% PIK), 6.50%,
08/31/28(d)(k)
|
|
526
|
615,833
|
|
|
|
|
5,436,814
|
|
Macau(d) — 0.0%
|
|||
|
MGM China Holdings Ltd., 5.88%, 05/15/26
|
USD
|
250
|
249,845
|
|
Studio City Finance Ltd., 5.00%, 01/15/29
|
|
200
|
192,800
|
|
Wynn Macau Ltd., 5.63%, 08/26/28
|
|
200
|
199,602
|
|
|
|
|
642,247
|
|
Mexico — 0.3%
|
|||
|
Fomento Economico Mexicano SAB de C.V., 2.63%,
02/24/26(d)(l)
|
EUR
|
500
|
586,067
|
|
Orbia Advance Corp. SAB de CV, 6.80%, 05/13/30(b)
|
USD
|
200
|
207,951
|
|
Petroleos Mexicanos
|
|
|
|
|
7.50%, 03/31/26(b)
|
|
2,767
|
2,750,398
|
|
8.75%, 06/02/29
|
|
207
|
222,924
|
|
5.95%, 01/28/31
|
|
188
|
182,266
|
|
|
|
|
3,949,606
|
|
Morocco — 0.0%
|
|||
|
OCP SA, 7.50%, 05/02/54(b)
|
|
317
|
351,772
|
|
Netherlands(d) — 0.1%
|
|||
|
Boels Topholding BV, 5.75%, 05/15/30
|
EUR
|
328
|
399,390
|
|
Q-Park Holding I BV, 5.13%, 02/15/30
|
|
456
|
552,978
|
|
VZ Secured Financing BV, 5.25%, 01/15/33
|
|
241
|
282,933
|
|
|
|
|
1,235,301
|
|
Panama — 0.0%
|
|||
|
AES Panama Generation Holdings SRL, 4.38%,
05/31/30(d)
|
USD
|
239
|
225,829
|
|
Security
|
|
Par
(000)
|
Value
|
|
Peru(b) — 0.0%
|
|||
|
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA, 6.24%,
07/03/36
|
USD
|
155
|
$ 165,447
|
|
Volcan Cia Minera SAA, 8.75%, 01/24/30
|
|
159
|
164,931
|
|
|
|
|
330,378
|
|
Singapore — 0.0%
|
|||
|
Puma International Financing SA, 7.75%, 04/25/29(d)
|
|
200
|
206,042
|
|
Slovenia — 0.0%
|
|||
|
United Group BV, 6.50%, 10/31/31(d)
|
EUR
|
102
|
121,267
|
|
South Africa — 0.0%
|
|||
|
Sappi Papier Holding GmbH, 4.50%, 03/15/32(d)
|
|
150
|
173,722
|
|
Sasol Financing USA LLC, 6.50%, 09/27/28
|
USD
|
200
|
199,062
|
|
Stillwater Mining Co., 4.50%, 11/16/29(b)
|
|
200
|
186,125
|
|
|
|
|
558,909
|
|
Spain(d) — 0.1%
|
|||
|
Arena Luxembourg Finance SARL, (3-mo. EURIBOR +
2.50%), 4.52%, 05/01/30(a)
|
EUR
|
193
|
227,996
|
|
Cirsa Finance International SARL, 6.50%, 03/15/29
|
|
432
|
528,198
|
|
Grifols SA, 7.13%, 05/01/30
|
|
229
|
283,208
|
|
Iberdrola Finanzas SA, Series IBE, 1.50%, 03/27/30(l)
|
|
100
|
120,530
|
|
Kaixo Bondco Telecom SA, 5.13%, 09/30/29
|
|
187
|
222,223
|
|
|
|
|
1,382,155
|
|
Sweden — 0.2%
|
|||
|
Intrum Investments And Financing AB
|
|
|
|
|
7.75%, 09/11/27
|
|
66
|
71,830
|
|
8.00%, 09/11/27(d)
|
|
137
|
162,932
|
|
8.50%, 09/11/29
|
|
83
|
85,223
|
|
8.50%, 09/11/30(b)(d)
|
|
65
|
66,904
|
|
Series 1, 7.75%, 09/11/28(b)(d)
|
|
117
|
121,184
|
|
Preem Holdings AB, 12.00%, 06/30/27(d)
|
|
138
|
167,040
|
|
Stena International SA, 7.25%, 01/15/31(d)
|
USD
|
500
|
509,759
|
|
Verisure Holding AB
|
|
|
|
|
3.25%, 02/15/27(d)
|
EUR
|
251
|
294,361
|
|
7.13%, 02/01/28(b)
|
|
237
|
287,618
|
|
Verisure Midholding AB, 5.25%, 02/15/29(d)
|
|
553
|
653,048
|
|
|
|
|
2,419,899
|
|
Switzerland — 0.0%
|
|||
|
gategroup Finance Luxembourg SA, 3.00%,
02/28/27(d)
|
CHF
|
255
|
316,878
|
|
Thailand — 0.1%
|
|||
|
Bangkok Bank PCL/Hong Kong, 5.30%, 09/21/28(b)
|
USD
|
241
|
246,873
|
|
Muangthai Capital PCL(d)
|
|
|
|
|
6.88%, 09/30/28
|
|
200
|
202,500
|
|
7.55%, 07/21/30
|
|
250
|
259,138
|
|
|
|
|
708,511
|
|
Turkey — 0.0%
|
|||
|
Turkcell Iletisim Hizmetleri A/S, 7.65%, 01/24/32(b)
|
|
200
|
209,000
|
|
Ukraine(k) — 0.0%
|
|||
|
NAK Naftogaz Ukraine via Kondor Finance PLC
|
|
|
|
|
(7.13% PIK), 7.13%, 07/19/26(d)
|
EUR
|
232
|
234,274
|
|
(7.63% PIK), 7.63%, 11/08/28(b)
|
USD
|
270
|
211,045
|
|
|
|
|
445,319
|
|
United Arab Emirates — 0.0%
|
|||
|
DP World Salaam, (5-year CMT + 5.75%),
6.00%(a)(d)(o)
|
|
352
|
352,063
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom — 0.9%
|
|||
|
10X Future Technologies Service Ltd., (15.00% PIK),
(Acquired 12/19/23, Cost: $1,655,539),
06/19/26(c)(e)(g)(k)
|
GBP
|
1,301
|
$ 1,693,116
|
|
Amber Finco PLC, 6.63%, 07/15/29(d)
|
EUR
|
573
|
707,077
|
|
Ardonagh Finco Ltd., 6.88%, 02/15/31(d)
|
|
1,025
|
1,243,860
|
|
BCP V Modular Services Finance II PLC
|
|
|
|
|
6.13%, 11/30/28(b)
|
GBP
|
855
|
1,073,517
|
|
6.50%, 07/10/31(d)
|
EUR
|
382
|
419,290
|
|
BCP V Modular Services Finance PLC, 6.75%,
11/30/29(b)
|
|
200
|
176,040
|
|
Bellis Acquisition Co. PLC, 8.00%, 07/01/31(d)
|
|
333
|
396,774
|
|
Bracken MidCo1 PLC, (6.75% PIK), 6.75%,
11/01/27(d)(k)
|
GBP
|
119
|
159,416
|
|
California Buyer Ltd./Atlantica Sustainable
Infrastructure PLC, 5.63%, 02/15/32(d)
|
EUR
|
196
|
239,480
|
|
CD&R Firefly Bidco PLC, 8.63%, 04/30/29(d)
|
GBP
|
100
|
141,299
|
|
Connect Finco SARL/Connect U.S. Finco LLC, 9.00%,
09/15/29(b)
|
USD
|
650
|
683,413
|
|
ContourGlobal Power Holdings SA, 5.00%, 02/28/30(d)
|
EUR
|
162
|
194,692
|
|
Deuce Finco PLC, 5.50%, 06/15/27(b)
|
GBP
|
345
|
463,124
|
|
Edge Finco PLC, 8.13%, 08/15/31(d)
|
|
495
|
709,830
|
|
Froneri Lux FinCo SARL, 4.75%, 08/01/32(d)
|
EUR
|
151
|
178,843
|
|
Gatwick Airport Finance PLC, 4.38%, 04/07/26(d)
|
GBP
|
239
|
319,886
|
|
Heathrow Finance PLC, 6.63%, 03/01/31(d)
|
|
639
|
863,503
|
|
INEOS Quattro Finance 2 PLC, 6.75%, 04/15/30(d)
|
EUR
|
174
|
191,452
|
|
Ithaca Energy North Sea PLC, 8.13%, 10/15/29(b)
|
USD
|
200
|
208,953
|
|
Mobico Group PLC(d)
|
|
|
|
|
4.88%, 09/26/31
|
EUR
|
195
|
180,220
|
|
(5-year UK Government Bond + 4.14%), 4.25%(a)(o)
|
GBP
|
162
|
133,020
|
|
Motion Finco SARL, 7.38%, 06/15/30(d)
|
EUR
|
201
|
212,583
|
|
Ocado Group PLC, 11.00%, 06/15/30(d)
|
GBP
|
146
|
197,278
|
|
OEG Finance PLC, 7.25%, 09/27/29(d)
|
EUR
|
271
|
332,542
|
|
Pinnacle Bidco PLC, 10.00%, 10/11/28(d)
|
GBP
|
177
|
251,146
|
|
Stonegate Pub Co. Financing PLC(d)
|
|
|
|
|
10.75%, 07/31/29
|
|
138
|
186,104
|
|
(3-mo. EURIBOR + 6.63%), 8.66%, 07/31/29(a)
|
EUR
|
123
|
142,309
|
|
Thames Water Super Senior Issuer PLC, 9.75%,
10/10/27(b)
|
GBP
|
38
|
57,841
|
|
Thames Water Utilities Finance PLC, 4.00%,
06/19/27(d)
|
|
770
|
736,545
|
|
Thames Water Utilities Ltd., 0.00%, 03/22/27(b)(p)
|
|
6
|
6,641
|
|
Vmed O2 U.K. Financing I PLC(d)
|
|
|
|
|
4.00%, 01/31/29
|
|
100
|
128,083
|
|
5.63%, 04/15/32
|
EUR
|
1,293
|
1,556,164
|
|
Vodafone Group PLC, (5-year CMT + 2.77%), 4.13%,
06/04/81(a)
|
USD
|
59
|
55,194
|
|
Zegona Finance PLC, 6.75%, 07/15/29(d)
|
EUR
|
655
|
813,875
|
|
|
|
|
15,053,110
|
|
United States — 6.5%
|
|||
|
Alexander Funding Trust II, 7.47%, 07/31/28(b)
|
USD
|
130
|
139,005
|
|
AMC Networks, Inc.
|
|
|
|
|
10.25%, 01/15/29(b)
|
|
856
|
902,010
|
|
4.25%, 02/15/29
|
|
1,617
|
1,406,790
|
|
4.25%, 02/15/29(l)
|
|
655
|
623,888
|
|
Amkor Technology, Inc., 6.63%, 09/15/27(b)
|
|
299
|
299,086
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA,
Inc.
|
|
|
|
|
2.13%, 08/15/26(d)
|
EUR
|
514
|
586,825
|
|
4.13%, 08/15/26(b)(c)
|
USD
|
4,805
|
4,612,800
|
|
Avianca Midco 2 PLC, 9.00%, 12/01/28(d)
|
|
109
|
108,728
|
|
Ball Corp., 4.25%, 07/01/32
|
EUR
|
179
|
214,950
|
|
Bausch & Lomb Corp., 8.38%, 10/01/28(b)
|
USD
|
40
|
41,688
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Bausch & Lomb Netherlands BV & Bausch & Lomb,
Inc., (3-mo. EURIBOR + 3.88%), 5.87%,
01/15/31(a)(d)
|
EUR
|
100
|
$ 118,956
|
|
BCPE Flavor Debt Merger Sub LLC & BCPE Flavor
Issuer, Inc., 9.50%, 07/01/32(b)
|
USD
|
154
|
161,180
|
|
Beach Acquisition Bidco LLC, 5.25%, 07/15/32(d)
|
EUR
|
128
|
154,048
|
|
Breeze Aviation Group, Inc., (20.00% PIK), (Acquired
01/26/24, Cost: $2,508,081), 20.00%,
01/30/28(c)(g)(k)
|
USD
|
2,508
|
2,608,404
|
|
California Resources Corp., 01/15/34(b)(e)
|
|
707
|
702,133
|
|
Centene Corp., 4.25%, 12/15/27
|
|
2,000
|
1,964,035
|
|
Civitas Resources, Inc., 5.00%, 10/15/26(b)
|
|
812
|
808,096
|
|
Clarios Global LP/Clarios U.S. Finance Co., 4.75%,
06/15/31(d)
|
EUR
|
216
|
258,373
|
|
Cloud Software Group, Inc.(b)
|
|
|
|
|
6.50%, 03/31/29
|
USD
|
280
|
282,526
|
|
9.00%, 09/30/29
|
|
500
|
518,603
|
|
8.25%, 06/30/32
|
|
159
|
168,660
|
|
Clydesdale Acquisition Holdings, Inc., 8.75%,
04/15/30(b)
|
|
506
|
519,785
|
|
CommScope LLC, 9.50%, 12/15/31(b)
|
|
120
|
124,212
|
|
Core Scientific, Inc., 0.00%, 06/15/31(b)(l)(p)
|
|
281
|
314,018
|
|
CSC Holdings LLC(b)
|
|
|
|
|
5.50%, 04/15/27
|
|
2,040
|
1,936,222
|
|
11.25%, 05/15/28
|
|
448
|
414,740
|
|
11.75%, 01/31/29
|
|
985
|
828,330
|
|
Darling Global Finance BV, 4.50%, 07/15/32(d)
|
EUR
|
196
|
232,329
|
|
DISH Network Corp.(l)
|
|
|
|
|
0.00%, 12/15/25(p)
|
USD
|
1,800
|
1,773,655
|
|
3.38%, 08/15/26
|
|
174
|
167,214
|
|
First Citizens BancShares, Inc., (5-year CMT + 1.97%),
6.25%, 03/12/40(a)
|
|
1,566
|
1,586,471
|
|
Five Point Operating Co. LP, 8.00%, 10/01/30(b)
|
|
144
|
146,127
|
|
Flyr Secured Notes, (1-mo. CME Term SOFR at 0.50%
Floor + 5.00%, 9.44% Cash and 3.75% PIK),
10.00%, 01/20/27(c)(k)
|
|
1,194
|
364,935
|
|
Ford Motor Credit Co. LLC
|
|
|
|
|
6.95%, 03/06/26
|
|
410
|
413,265
|
|
6.95%, 06/10/26
|
|
1,001
|
1,014,013
|
|
4.54%, 08/01/26
|
|
399
|
398,659
|
|
5.13%, 11/05/26
|
|
806
|
808,671
|
|
4.27%, 01/09/27
|
|
807
|
800,399
|
|
Forestar Group, Inc., 5.00%, 03/01/28(b)
|
|
1,950
|
1,931,750
|
|
Freedom Mortgage Corp., 12.25%, 10/01/30(b)
|
|
200
|
223,108
|
|
Frontier Communications Holdings LLC(b)
|
|
|
|
|
6.75%, 05/01/29
|
|
660
|
666,584
|
|
6.00%, 01/15/30
|
|
40
|
40,471
|
|
8.75%, 05/15/30
|
|
1,250
|
1,305,806
|
|
8.63%, 03/15/31
|
|
700
|
737,983
|
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28
|
|
845
|
881,589
|
|
Full House Resorts, Inc., 8.25%, 02/15/28(b)
|
|
172
|
159,625
|
|
GoTo Group, Inc., 5.50%, 05/01/28(b)
|
|
1,003
|
481,983
|
|
GS Finance Corp., 8.75%, 02/14/30(a)
|
|
2,810
|
2,838,044
|
|
Helios Software Holdings, Inc./ION Corporate Solutions
Finance SARL, 7.88%, 05/01/29(d)
|
EUR
|
274
|
336,610
|
|
Hyundai Capital America, (1-day SOFR + 1.35%),
5.50%, 03/27/30(a)(d)
|
USD
|
200
|
201,740
|
|
Iron Mountain, Inc., 4.75%, 01/15/34(d)
|
EUR
|
284
|
334,166
|
|
JetBlue Pass-Through Trust, Series 2019-1, Class AA,
2.75%, 11/15/33
|
USD
|
327
|
289,934
|
|
Kronos International, Inc.(d)
|
|
|
|
|
9.50%, 03/15/29
|
EUR
|
100
|
123,724
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Kronos International, Inc.(d) (continued)
|
|
|
|
|
Series SEP, 9.50%, 03/15/29
|
EUR
|
100
|
$ 123,724
|
|
Lessen Holdings, Inc., 12.48%, 01/05/28(b)(c)
|
USD
|
2,060
|
1,915,833
|
|
LGI Homes, Inc., 7.00%, 11/15/32(b)
|
|
867
|
846,560
|
|
MPT Operating Partnership LP/MPT Finance Corp.,
7.00%, 02/15/32(d)
|
EUR
|
209
|
256,400
|
|
NCR Atleos Corp., 9.50%, 04/01/29(b)
|
USD
|
430
|
465,484
|
|
Northern Oil & Gas, Inc., 10/15/33(b)(e)
|
|
354
|
352,599
|
|
Olympus Water U.S. Holding Corp., 02/15/33(d)(e)
|
EUR
|
224
|
263,613
|
|
OT Midco, Inc., 10.00%, 02/15/30(b)
|
USD
|
1,792
|
1,210,684
|
|
Pioneer Midco LLC, (10.50% Cash or 11.63% PIK),
10.50%, 11/18/30(b)(c)(k)
|
|
5,367
|
5,380,721
|
|
Pitney Bowes, Inc., 6.88%, 03/15/27(b)
|
|
1,822
|
1,820,557
|
|
Resort Communities Loanco LP, 12.00%, 11/21/28(b)(c)
|
|
9,583
|
9,811,027
|
|
RingCentral, Inc., 8.50%, 08/15/30(b)
|
|
1,430
|
1,521,567
|
|
Sabre GLBL, Inc.(b)
|
|
|
|
|
10.75%, 11/15/29
|
|
1,771
|
1,711,492
|
|
11.13%, 07/15/30
|
|
147
|
142,362
|
|
Schneider Electric SE, Series SUFP, 1.25%,
09/23/33(d)(l)
|
EUR
|
400
|
474,284
|
|
Seagate Data Storage Technology Pte Ltd.(b)
|
|
|
|
|
8.25%, 12/15/29
|
USD
|
639
|
676,447
|
|
8.50%, 07/15/31
|
|
326
|
345,123
|
|
9.63%, 12/01/32
|
|
550
|
622,971
|
|
Service Properties Trust(b)
|
|
|
|
|
0.00%, 09/30/27(p)
|
|
1,185
|
1,044,613
|
|
8.63%, 11/15/31
|
|
110
|
117,116
|
|
Shift4 Payments LLC/Shift4 Payments Finance Sub,
Inc., 5.50%, 05/15/33(d)
|
EUR
|
139
|
169,925
|
|
Solaris Energy Infrastructure, Inc., 4.75%, 05/01/30(l)
|
USD
|
2,286
|
4,091,724
|
|
Sonder Holdings, Inc., (7.00% PIK), 7.00%,
12/10/27(c)(k)
|
|
10,938
|
8,203,488
|
|
Spirit AeroSystems, Inc.(b)
|
|
|
|
|
9.38%, 11/30/29
|
|
772
|
813,085
|
|
9.75%, 11/15/30
|
|
1,706
|
1,876,249
|
|
Spirit Airlines Pass-Through Trust
|
|
|
|
|
Series 2015-1A, Class A, 4.10%, 10/01/29
|
|
47
|
44,704
|
|
Series 2015-1A, Class A, 3.65%, 08/15/31(f)(m)
|
|
1,397
|
1,273,227
|
|
Series 2017-1AA, Class AA, 3.38%, 08/15/31
|
|
533
|
495,818
|
|
Starz Capital Holdings 1, Inc., 6.00%, 04/15/30(b)
|
|
2,575
|
2,441,976
|
|
Starz Capital Holdings LLC, 5.50%, 04/15/29(b)
|
|
112
|
91,840
|
|
Stem, Inc., 0.50%, 12/01/28(b)(l)
|
|
200
|
57,000
|
|
Talen Energy Supply LLC, 8.63%, 06/01/30(b)
|
|
240
|
254,769
|
|
Tenneco, Inc., 8.00%, 11/17/28(b)
|
|
1,648
|
1,651,009
|
|
Texas Capital Bancshares, Inc., (5-year CMT + 3.15%),
4.00%, 05/06/31(a)
|
|
794
|
782,511
|
|
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b)
|
|
343
|
351,682
|
|
United Airlines Pass-Through Trust, Series 2019-2,
Class A, 2.90%, 11/01/29
|
|
219
|
207,379
|
|
Uniti Group LP/Uniti Group Finance 2019, Inc./CSL
Capital LLC, 10.50%, 02/15/28(b)
|
|
762
|
802,538
|
|
Warnermedia Holdings, Inc., 3.76%, 03/15/27
|
|
2,631
|
2,594,824
|
|
Westbay, 11.00%, 02/06/30(c)
|
|
9,314
|
9,442,533
|
|
Windstream Services LLC, 10/15/33(b)(e)
|
|
65
|
64,982
|
|
Wolfspeed, Inc.
|
|
|
|
|
2.50%, 06/15/31(c)(l)
|
|
12
|
11,423
|
|
2.50%, 06/15/31(b)(l)
|
|
5
|
4,566
|
|
06/15/31(c)(e)
|
|
13
|
50,347
|
|
Xerox Corp.(b)
|
|
|
|
|
10.25%, 10/15/30
|
|
662
|
672,483
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Xerox Corp.(b) (continued)
|
|
|
|
|
13.50%, 04/15/31
|
USD
|
559
|
$ 541,173
|
|
Zayo Group Holdings, Inc., 03/09/30(b)(e)
|
|
141
|
134,537
|
|
|
|
|
105,305,915
|
|
Uzbekistan — 0.0%
|
|||
|
Navoi Mining & Metallurgical Combinat, 6.95%,
10/17/31(b)
|
|
200
|
213,558
|
|
Vietnam — 0.0%
|
|||
|
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(d)
|
|
169
|
167,494
|
|
Total Corporate Bonds — 12.5%
(Cost: $201,734,802)
|
204,747,156
|
||
|
Fixed Rate Loan Interests
|
|||
|
India — 0.1%
|
|||
|
Vedanta Holdings Mauritius II Ltd., Delayed Draw Term
Loan, 18.00%, 04/17/26(c)
|
|
864
|
863,720
|
|
United States(c) — 0.5%
|
|||
|
AMF MF Portfolio, Term Loan, 7.29%, 11/01/28
|
|
2,367
|
2,428,452
|
|
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27
|
|
6,479
|
6,541,219
|
|
|
|
|
8,969,671
|
|
Total Fixed Rate Loan Interests — 0.6%
(Cost: $9,672,061)
|
9,833,391
|
||
|
Floating Rate Loan Interests(a)
|
|||
|
France — 0.3%
|
|||
|
Hestiafloor 2 SASU, 2025 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.50%), 5.50%,
02/27/30
|
EUR
|
588
|
694,866
|
|
HomeVi SASU, 2025 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 4.75%), 6.78%,
10/31/29
|
|
1,000
|
1,176,540
|
|
Obol France 2.5 SAS, 2024 EUR Term Loan B, (6-mo.
EURIBOR at 0.00% Floor + 5.00%), 7.19%,
12/31/28
|
|
1,000
|
1,151,063
|
|
Parts Europe SA, 2025 EUR Repriced Term Loan B,
(1-mo. EURIBOR at 0.00% Floor + 3.00%), 4.92%,
02/03/31
|
|
1,000
|
1,177,537
|
|
Ramsay Generale de Sante SA, 2025 EUR Term Loan
B4, (3-mo. EURIBOR at 0.00% Floor + 3.25%),
5.25%, 08/13/31
|
|
900
|
1,058,093
|
|
|
|
|
5,258,099
|
|
Germany — 0.4%
|
|||
|
AVIV Group GmbH, EUR Term Loan B, (6-mo.
EURIBOR at 0.00% Floor + 4.00%), 6.10%,
04/23/32
|
|
1,147
|
1,354,458
|
|
IFCO Management GmbH, 2024 EUR 1st Lien Term
Loan B, (1-mo. EURIBOR at 0.00% Floor + 3.50%),
5.40%, 11/29/29
|
|
1,000
|
1,177,819
|
|
Nidda Healthcare Holding GmbH, 2025 EUR Term
Loan B, (3-mo. EURIBOR at 0.00% Floor + 3.50%),
5.53%, 02/21/30
|
|
1,439
|
1,692,676
|
|
Security
|
|
Par
(000)
|
Value
|
|
Germany (continued)
|
|||
|
Schoen Klinik SE, 2025 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.00%), 5.00%,
01/12/31
|
EUR
|
667
|
$ 783,922
|
|
Speedster Bidco GmbH, 2024 EUR Term Loan B, (6-
mo. EURIBOR at 0.00% Floor + 3.50%), 5.62%,
12/10/31
|
|
660
|
778,748
|
|
TK Elevator Midco GmbH, 2025 EUR Term Loan B1,
(6-mo. EURIBOR at 0.00% Floor + 3.25%), 5.33%,
04/30/30
|
|
1,000
|
1,177,479
|
|
|
|
|
6,965,102
|
|
Ireland — 0.2%
|
|||
|
Applegreen Finance Ireland DAC, 2025 EUR Term
Loan B, (3-mo. EURIBOR at 0.00% Floor + 5.00%),
7.03%, 01/30/32
|
|
570
|
675,036
|
|
ION Trading Finance Ltd., 2025 EUR Term Loan B,
(1-mo. EURIBOR at 0.00% Floor + 3.75%), 5.66%,
04/01/28
|
|
1,000
|
1,169,648
|
|
Promontoria Beech Designated Activity Co., EUR Term
Loan, (1-mo. EURIBOR + 3.75%), 5.63%,
05/17/27(c)
|
|
1,051
|
1,234,359
|
|
|
|
|
3,079,043
|
|
Jersey(c) — 0.5%
|
|||
|
Vita Global FinCo Ltd.
|
|
|
|
|
EUR Term Loan B, (6-mo. EURIBOR at 0.00% Floor
+ 8.00%), 10.05%, 07/06/27
|
|
5,101
|
4,970,363
|
|
GBP Incremental Term Loan, (6-mo. SONIA +
8.00%), 11.97%, 09/23/27
|
GBP
|
3,153
|
3,509,132
|
|
|
|
|
8,479,495
|
|
Luxembourg — 0.8%
|
|||
|
Euro Parfums Fze, Term Loan B, (6-mo. CME Term
SOFR at 0.00% Floor + 5.25%), 9.12%, 06/23/28(c)
|
USD
|
549
|
546,247
|
|
Garfunkelux Holdco 3 SA, EUR Term Loan,
08/01/28(q)
|
EUR
|
3,515
|
4,073,470
|
|
INEOS Finance PLC, 2024 EUR 1st Lien Term Loan B,
(1-mo. EURIBOR at 0.00% Floor + 3.50%), 5.41%,
06/23/31
|
|
1,000
|
1,097,373
|
|
Matterhorn Telecom SA, EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 2.50%), 4.50%,
01/30/32
|
|
1,000
|
1,176,669
|
|
Speed Midco 3 SARL
|
|
|
|
|
2024 EUR Term Loan B2, (1-mo. EURIBOR at
0.00% Floor + 4.95%), 6.87%, 05/16/29(c)
|
|
2,566
|
3,012,566
|
|
2025 EUR Term Loan, 09/23/32(q)
|
|
1,000
|
1,174,051
|
|
Tackle SARL
|
|
|
|
|
2025 EUR Add on Term Loan B3, (3-mo. EURIBOR
at 0.00% Floor + 3.25%), 5.28%, 05/22/28
|
|
594
|
697,964
|
|
2025 EUR Repriced Term Loan B2, (6-mo.
EURIBOR at 0.00% Floor + 3.25%), 5.37%,
05/22/28
|
|
656
|
772,543
|
|
Traviata BV, 2025 EUR PIK Term Loan, (1-mo.
EURIBOR at 0.00% Floor + 8.00%), 9.93%,
01/22/33(c)
|
|
1,043
|
1,214,387
|
|
|
|
|
13,765,270
|
|
Netherlands — 0.4%
|
|||
|
Cypher Bidco BV, EUR Term Loan, (3-mo. EURIBOR +
4.25%), 6.20%, 12/30/27(c)
|
|
1,828
|
2,092,133
|
|
Security
|
|
Par
(000)
|
Value
|
|
Netherlands (continued)
|
|||
|
Median BV, 2021 EUR Term Loan B1, (3-mo.
EURIBOR at 0.00% Floor + 4.93%), 6.93%,
10/14/27
|
EUR
|
982
|
$ 1,153,062
|
|
Peer Holding III BV, 2025 EUR Term Loan B6B, (3-mo.
EURIBOR at 0.00% Floor + 2.75%), 4.75%,
07/01/31
|
|
1,400
|
1,646,169
|
|
Stage Entertainment BV, 2024 EUR Term Loan B, (3-
mo. EURIBOR at 0.00% Floor + 4.00%), 6.03%,
06/02/29
|
|
1,000
|
1,182,492
|
|
|
|
|
6,073,856
|
|
New Zealand — 0.1%
|
|||
|
FNZ NZ Finco Ltd., 2024 GBP Term Loan B, (1-mo.
SONIA at 0.00% Floor + 6.00%), 9.97%, 11/05/31
|
GBP
|
1,000
|
1,075,920
|
|
Norway — 0.0%
|
|||
|
Sector Alarm Holding A/S, 2025 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 3.50%), 5.53%,
06/14/29
|
EUR
|
407
|
479,804
|
|
Spain — 0.3%
|
|||
|
Aernnova Aerospace SAU, 2024 EUR Term Loan B,
(3-mo. EURIBOR at 0.00% Floor + 4.00%), 5.98%,
02/27/30
|
|
1,303
|
1,519,655
|
|
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan B,
(6-mo. EURIBOR at 0.00% Floor + 3.25%), 5.29%,
10/30/31
|
|
741
|
874,906
|
|
Financiere Pax SAS, 2025 EUR Term Loan B, (6-mo.
EURIBOR at 0.00% Floor + 4.00%), 6.04%,
12/31/29
|
|
1,000
|
1,180,531
|
|
HBX Group International PLC, EUR Term Loan B, (6-
mo. EURIBOR at 0.00% Floor + 2.75%), 4.87%,
02/13/32
|
|
1,011
|
1,188,295
|
|
|
|
|
4,763,387
|
|
Sweden — 0.1%
|
|||
|
Platea BC Bidco AB
|
|
|
|
|
EUR Delayed Draw Term Loan, (3-mo. EURIBOR at
0.00% Floor + 3.50%), 5.50%, 04/03/31
|
|
65
|
77,155
|
|
EUR Term Loan, (3-mo. EURIBOR at 0.00% Floor +
3.50%), 5.50%, 04/03/31
|
|
833
|
983,727
|
|
Quimper AB, 2024 EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 3.75%), 5.69%,
03/29/30
|
|
1,009
|
1,191,828
|
|
|
|
|
2,252,710
|
|
United Kingdom — 0.5%
|
|||
|
Belron U.K. Finance PLC, 2024 EUR Incremental Term
Loan B, (3-mo. EURIBOR at 0.00% Floor + 3.00%),
4.97%, 10/16/31
|
|
1,325
|
1,560,561
|
|
Boots Group Bidco Ltd., GBP Term Loan B, (1-mo.
SONIA at 0.00% Floor + 4.75%), 8.72%, 08/30/32
|
GBP
|
1,160
|
1,570,031
|
|
CD&R Firefly Bidco PLC, 2025 GBP Term Loan, (3-mo.
SONIA at 0.00% Floor + 4.75%), 8.97%, 04/29/29
|
|
1,000
|
1,345,599
|
|
Froneri Lux FinCo SARL, 2024 EUR Term Loan B3,
(6-mo. EURIBOR at 0.00% Floor + 2.50%), 4.58%,
09/30/31
|
EUR
|
1,000
|
1,173,076
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom (continued)
|
|||
|
Inspired Finco Holdings Ltd., 2025 EUR Term Loan B6,
(1-mo. EURIBOR at 0.00% Floor + 3.25%), 5.16%,
02/28/31
|
EUR
|
719
|
$ 847,034
|
|
Masorange Finco PLC, 2025 EUR Term Loan B, (6-mo.
EURIBOR at 0.00% Floor + 2.50%), 4.56%,
03/25/31
|
|
1,000
|
1,172,795
|
|
|
|
|
7,669,096
|
|
United States — 4.2%
|
|||
|
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term SOFR
+ 6.88%), 11.04%, 12/21/27(c)
|
USD
|
3,043
|
3,020,435
|
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (12-mo.
CME Term SOFR at 0.50% Floor + 5.60%), 9.58%,
02/01/30
|
|
2,548
|
2,412,340
|
|
Arctera U.S. Holdings LLC, 2024 Priority Term Loan,
(3-mo. CME Term SOFR at 2.50% Floor + 8.00%,
4.50% PIK), 12.00%, 12/09/29(k)
|
|
632
|
637,801
|
|
Clarios Global LP, 2025 EUR Term Loan B, (1-mo.
EURIBOR at 0.00% Floor + 3.25%), 5.16%,
01/28/32
|
EUR
|
1,000
|
1,178,723
|
|
CML La Quinta Resort, Term Loan, (1-mo. CME Term
SOFR + 3.31%), 7.35%, 12/09/26(c)
|
USD
|
6,800
|
6,800,000
|
|
ConnectWise LLC, 2021 Term Loan B, (3-mo. CME
Term SOFR at 0.50% Floor + 3.76%), 7.76%,
09/29/28
|
|
1,199
|
1,200,706
|
|
Coreweave Compute Acquisition Co. II LLC, Delayed
Draw Term Loan, (3-mo. CME Term SOFR at 0.00%
Floor + 9.62%), 14.10%, 07/31/28(c)
|
|
5,388
|
5,360,538
|
|
Coreweave Compute Acquisition Co. IV LLC
|
|
|
|
|
2024 Delayed Draw Term Loan, (3-mo. CME Term
SOFR at 0.00% Floor + 6.00%), 9.97%,
05/16/29(c)
|
|
379
|
373,409
|
|
2025 5th Amendment Delayed Draw Term Loan,
(3-mo. CME Term SOFR at 0.00% Floor +
4.25%), 8.25%, 09/30/30
|
|
93
|
93,426
|
|
CSC Holdings LLC, 2019 Term Loan B5, (Prime +
1.50%), 8.75%, 04/15/27
|
|
573
|
554,097
|
|
CVR CHC LP, Term Loan B, (3-mo. CME Term SOFR
at 0.00% Floor + 4.00%), 8.00%, 12/30/27
|
|
1,323
|
1,323,102
|
|
Directv Financing LLC, 2025 Term Loan B, (3-mo. CME
Term SOFR at 0.75% Floor + 5.50%), 9.81%,
02/17/31
|
|
2,045
|
1,996,207
|
|
ECL Entertainment LLC, 2025 Term Loan B, (1-mo.
CME Term SOFR at 0.00% Floor + 3.00%), 7.16%,
08/30/30
|
|
2,948
|
2,942,327
|
|
EIS Group, Inc.(c)
|
|
|
|
|
Revolver, (1-mo. CME Term SOFR at 0.75% Floor +
7.00%), 11.16%, 07/10/28
|
|
373
|
360,787
|
|
Term Loan, (1-mo. CME Term SOFR at 0.75% Floor
+ 7.00%), 11.16%, 07/10/28
|
|
3,734
|
3,607,871
|
|
Emerald Electronics Manufacturing Services, Term
Loan, (3-mo. CME Term SOFR at 1.00% Floor +
6.40%), 10.60%, 12/29/27(c)
|
|
1,079
|
744,217
|
|
Galaxy Universal LLC, 1st Lien Term Loan, (6-mo.
CME Term SOFR at 1.00% Floor + 6.50%), 10.75%,
11/12/26(c)
|
|
12,825
|
12,760,797
|
|
GoTo Group, Inc.
|
|
|
|
|
2024 First Out Term Loan, (3-mo. CME Term SOFR
at 0.00% Floor + 4.90%), 9.22%, 04/28/28
|
|
205
|
173,222
|
|
2024 Second Out Term Loan, (3-mo. CME Term
SOFR + 4.90%), 9.22%, 04/28/28
|
|
461
|
150,132
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
Hydrofarm Holdings LLC, 2021 Term Loan, (3-mo.
CME Term SOFR at 1.00% Floor + 5.76%), 10.07%,
10/25/28(c)
|
USD
|
1,773
|
$ 1,453,557
|
|
Indy U.S. Bidco LLC, 2025 EUR Term Loan B, (1-mo.
EURIBOR at 0.00% Floor + 3.00%), 4.91%,
10/31/30
|
EUR
|
884
|
1,038,122
|
|
Maverick Gaming LLC, 2024 Second Out Term Loan,
(Prime + 8.50%), 15.75%, 06/05/28
|
USD
|
907
|
498,880
|
|
Medical Solutions Holdings, Inc., 2021 2nd Lien Term
Loan, (3-mo. CME Term SOFR at 0.50% Floor +
7.10%), 11.41%, 11/01/29
|
|
1,052
|
212,157
|
|
Montage Hotels & Resorts LLC(c)
|
|
|
|
|
Revolver, (Prime + 6.00%), 12.55%, 02/16/29
|
|
257
|
247,529
|
|
Term Loan, (Prime + 6.00%), 13.25%, 02/16/29
|
|
1,284
|
1,236,064
|
|
Peninsula Pacific Entertainment LLC(c)(q)
|
|
|
|
|
2025 Delayed Draw Term Loan, 10/01/32
|
|
429
|
427,437
|
|
2025 Term Loan B, 10/01/32
|
|
1,828
|
1,823,731
|
|
Pitney Bowes, Inc., 2025 Term Loan B, (1-mo. CME
Term SOFR at 0.00% Floor + 3.75%), 7.91%,
03/19/32
|
|
547
|
546,466
|
|
Polaris Newco LLC, EUR Term Loan B, (3-mo.
EURIBOR at 0.00% Floor + 4.00%), 6.03%,
06/02/28
|
EUR
|
992
|
1,083,135
|
|
Redstone Holdco 2 LP
|
|
|
|
|
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR
at 0.75% Floor + 8.01%), 12.32%, 04/27/29
|
USD
|
620
|
124,620
|
|
2021 Term Loan, (3-mo. CME Term SOFR at 0.75%
Floor + 5.01%), 9.32%, 04/27/28
|
|
2,034
|
1,032,316
|
|
RunItOneTime LLC
|
|
|
|
|
2nd Amendment Final New Money DIP Term Loan,
(3-mo. CME Term SOFR at 2.00% Floor + 1.00%,
11.50% PIK), 16.50%, 07/07/26(k)
|
|
318
|
305,975
|
|
, 04/16/26(q)
|
|
23
|
20,152
|
|
, 05/06/26(q)
|
|
514
|
465,409
|
|
Solaris Oilfield Infrastructure, Term Loan, (3-mo. CME
Term SOFR at 1.00% Floor + 6.00%), 10.00%,
09/11/29(c)
|
|
6,126
|
6,171,403
|
|
Stakeholder Midstream LLC, Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 4.00%), 8.04%,
01/01/31
|
|
2,487
|
2,489,876
|
|
Verifone Systems, Inc., 2025 Term Loan, (3-mo. CME
Term SOFR at 0.00% Floor + 5.51%), 9.82%,
08/18/28
|
|
1,868
|
1,803,668
|
|
West Deptford Energy Holdings LLC, 2025 Term Loan,
(1-mo. CME Term SOFR at 0.00% Floor + 4.00%),
8.16%, 07/24/32
|
|
1,014
|
1,004,086
|
|
X Corp., Term Loan, (3-mo. CME Term SOFR at 0.50%
Floor + 6.65%), 10.96%, 10/26/29
|
|
94
|
92,002
|
|
Xerox Holdings Corp., 2023 Term Loan B, (3-mo. CME
Term SOFR + 4.00%), 8.10%, 11/19/29
|
|
40
|
37,050
|
|
|
|
|
67,803,772
|
|
Total Floating Rate Loan Interests — 7.8%
(Cost: $129,132,816)
|
127,665,554
|
||
|
Foreign Agency Obligations
|
|||
|
Bahrain — 0.0%
|
|
||
|
Bahrain Government International Bonds, 5.45%,
09/16/32(d)
|
|
257
|
252,112
|
|
Security
|
|
Par
(000)
|
Value
|
|
Barbados — 0.0%
|
|
||
|
Barbados Government International Bonds, 8.00%,
06/26/35(b)
|
USD
|
135
|
$ 140,602
|
|
Chile — 0.0%
|
|
||
|
Chile Government International Bonds
|
|
|
|
|
3.75%, 01/14/32
|
EUR
|
111
|
133,334
|
|
4.34%, 03/07/42
|
USD
|
278
|
246,030
|
|
|
|
|
379,364
|
|
Colombia — 0.1%
|
|
||
|
Colombia Government International Bonds
|
|
|
|
|
8.00%, 04/20/33
|
|
224
|
244,160
|
|
7.75%, 11/07/36
|
|
243
|
254,542
|
|
|
|
|
498,702
|
|
Costa Rica — 0.0%
|
|
||
|
Costa Rica Government International Bonds, 7.30%,
11/13/54(b)
|
|
210
|
229,950
|
|
Dominican Republic(b) — 0.1%
|
|
||
|
Dominican Republic International Bonds
|
|
|
|
|
4.50%, 01/30/30
|
|
420
|
411,180
|
|
7.05%, 02/03/31
|
|
272
|
293,352
|
|
6.95%, 03/15/37
|
|
233
|
249,135
|
|
|
|
|
953,667
|
|
Ecuador — 0.0%
|
|
||
|
Ecuador Government International Bonds, 6.90%,
07/31/30(b)(n)
|
|
29
|
25,414
|
|
Egypt — 0.1%
|
|
||
|
Egypt Government International Bonds
|
|
|
|
|
5.63%, 04/16/30(d)
|
EUR
|
214
|
239,235
|
|
7.63%, 05/29/32(d)
|
USD
|
219
|
215,605
|
|
8.50%, 01/31/47(b)
|
|
200
|
175,750
|
|
|
|
|
630,590
|
|
Gabon — 0.0%
|
|
||
|
Gabon Government International Bonds, Series 4Y,
9.50%, 02/18/29(d)
|
|
248
|
229,477
|
|
Guatemala(b) — 0.0%
|
|
||
|
Guatemala Government Bonds
|
|
|
|
|
7.05%, 10/04/32
|
|
210
|
230,580
|
|
6.60%, 06/13/36
|
|
230
|
243,570
|
|
|
|
|
474,150
|
|
Hungary — 0.1%
|
|
||
|
Hungary Government International Bonds
|
|
|
|
|
5.50%, 03/26/36(b)
|
|
200
|
201,440
|
|
Series 10Y, 5.38%, 09/12/33(d)
|
EUR
|
194
|
246,883
|
|
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(d)
|
|
254
|
322,252
|
|
|
|
|
770,575
|
|
Indonesia — 0.0%
|
|
||
|
Indonesia Government International Bonds, 3.88%,
01/15/33
|
|
110
|
131,244
|
|
Ivory Coast — 0.1%
|
|
||
|
Ivory Coast Government International Bonds
|
|
|
|
|
5.88%, 10/17/31(d)
|
|
251
|
293,029
|
|
8.08%, 04/01/36(b)
|
USD
|
200
|
206,800
|
|
|
|
|
499,829
|
|
Kenya — 0.0%
|
|
||
|
Republic of Kenya Government International Bonds,
9.75%, 02/16/31(b)
|
|
249
|
265,758
|
|
Security
|
|
Par
(000)
|
Value
|
|
Latvia — 0.0%
|
|
||
|
Latvia Government International Bonds, 5.13%,
07/30/34(b)
|
USD
|
201
|
$ 206,014
|
|
Mexico — 0.1%
|
|
||
|
Eagle Funding Luxco SARL, 5.50%, 08/17/30(b)
|
|
300
|
304,650
|
|
Mexico Government International Bonds
|
|
|
|
|
6.63%, 01/29/38
|
|
200
|
210,250
|
|
5.13%, 03/19/38
|
EUR
|
100
|
119,534
|
|
6.34%, 05/04/53
|
USD
|
200
|
194,522
|
|
|
|
|
828,956
|
|
Montenegro — 0.0%
|
|
||
|
Montenegro Government International Bonds, 2.88%,
12/16/27(d)
|
EUR
|
186
|
213,733
|
|
Morocco(b) — 0.0%
|
|
||
|
Morocco Government International Bonds
|
|
|
|
|
5.95%, 03/08/28
|
USD
|
200
|
207,375
|
|
4.75%, 04/02/35
|
EUR
|
200
|
241,864
|
|
|
|
|
449,239
|
|
Nigeria — 0.0%
|
|
||
|
Nigeria Government International Bonds
|
|
|
|
|
10.38%, 12/09/34(b)
|
USD
|
200
|
222,600
|
|
7.63%, 11/28/47(d)
|
|
244
|
209,328
|
|
|
|
|
431,928
|
|
Oman — 0.0%
|
|
||
|
Oman Government International Bonds, 6.75%,
01/17/48(d)
|
|
227
|
249,541
|
|
Panama — 0.0%
|
|
||
|
Panama Government International Bonds, 7.50%,
03/01/31
|
|
352
|
388,432
|
|
Paraguay — 0.0%
|
|
||
|
Paraguay Government International Bonds, 2.74%,
01/29/33(d)
|
|
395
|
349,180
|
|
Peru — 0.0%
|
|
||
|
Corp. Financiera de Desarrollo SA, 5.50%, 05/06/30(b)
|
|
200
|
205,600
|
|
Peruvian Government International Bonds
|
|
|
|
|
2.78%, 01/23/31
|
|
152
|
140,182
|
|
1.86%, 12/01/32
|
|
142
|
117,221
|
|
|
|
|
463,003
|
|
Poland — 0.0%
|
|
||
|
Republic of Poland Government International Bonds
|
|
|
|
|
4.88%, 10/04/33
|
|
48
|
48,509
|
|
5.50%, 04/04/53
|
|
149
|
143,870
|
|
|
|
|
192,379
|
|
Republic of North Macedonia — 0.0%
|
|
||
|
North Macedonia Government International Bonds,
6.96%, 03/13/27(d)
|
EUR
|
187
|
228,215
|
|
Romania — 0.1%
|
|
||
|
Romania Government International Bonds
|
|
|
|
|
5.25%, 11/25/27(b)
|
USD
|
46
|
46,482
|
|
2.12%, 07/16/31(d)
|
EUR
|
224
|
224,197
|
|
5.88%, 07/11/32(b)
|
|
89
|
106,972
|
|
6.25%, 09/10/34(b)
|
|
215
|
259,610
|
|
6.75%, 07/11/39(b)
|
|
82
|
98,159
|
|
|
|
|
735,420
|
|
Security
|
|
Par
(000)
|
Value
|
|
Saudi Arabia — 0.1%
|
|
||
|
Saudi Government International Bonds, 5.00%,
01/18/53(b)
|
USD
|
658
|
$ 593,845
|
|
Serbia — 0.0%
|
|
||
|
Serbia International Bonds
|
|
|
|
|
6.50%, 09/26/33(d)
|
|
200
|
216,660
|
|
6.00%, 06/12/34(b)
|
|
236
|
245,794
|
|
|
|
|
462,454
|
|
South Africa — 0.0%
|
|
||
|
Republic of South Africa Government International
Bonds, 5.75%, 09/30/49
|
|
475
|
380,456
|
|
Turkey — 0.0%
|
|
||
|
Turkiye Government International Bonds, Series 7Y,
7.13%, 02/12/32
|
|
226
|
233,627
|
|
Ukraine(b)(n) — 0.0%
|
|
||
|
Ukraine Government International Bonds
|
|
|
|
|
6.00%, 02/01/29
|
|
75
|
51,192
|
|
3.00%, 02/01/30
|
|
7
|
3,588
|
|
6.00%, 02/01/34
|
|
50
|
27,980
|
|
7.75%, 02/01/34
|
|
26
|
10,564
|
|
7.75%, 02/01/35
|
|
22
|
10,443
|
|
7.75%, 02/01/36
|
|
18
|
8,684
|
|
|
|
|
112,451
|
|
Uruguay — 0.0%
|
|
||
|
Oriental Republic of Uruguay, 5.25%, 09/10/60
|
|
216
|
202,981
|
|
Uzbekistan — 0.0%
|
|
||
|
Republic of Uzbekistan International Bonds, 5.38%,
05/29/27(b)
|
EUR
|
221
|
267,064
|
|
Total Foreign Agency Obligations — 0.8%
(Cost: $11,744,704)
|
12,470,352
|
||
|
|
|
Shares
|
|
|
Investment Companies
|
|||
|
Brazil — 0.0%
|
|
||
|
iShares MSCI Brazil ETF(r)
|
|
13,963
|
432,853
|
|
United States — 2.7%
|
|
||
|
iShares China Large-Cap ETF(r)
|
|
77,200
|
3,176,008
|
|
KraneShares CSI China Internet ETF
|
|
50,850
|
2,136,209
|
|
SPDR Gold Shares(f)(h)(i)
|
|
78,338
|
27,846,809
|
|
SPDR S&P Biotech ETF
|
|
45,000
|
4,509,000
|
|
SPDR S&P Homebuilders ETF
|
|
8,193
|
907,784
|
|
SPDR S&P Regional Banking ETF
|
|
42,594
|
2,696,200
|
|
VanEck J.P. Morgan EM Local Currency Bond ETF
|
|
43,791
|
1,117,108
|
|
VanEck Semiconductor ETF(f)
|
|
3,593
|
1,172,612
|
|
|
|
|
43,561,730
|
|
Total Investment Companies — 2.7%
(Cost: $34,404,908)
|
43,994,583
|
||
|
Security
|
|
Par
(000)
|
Value
|
|
Municipal Bonds
|
|||
|
Arizona — 0.0%
|
|
||
|
Maricopa County Industrial Development Authority, RB,
7.38%, 10/01/29(b)
|
USD
|
315
|
$ 329,847
|
|
Puerto Rico — 0.2%
|
|
||
|
Commonwealth of Puerto Rico, RB, 0.00%,
11/01/51(a)(f)(m)
|
|
4,584
|
2,691,565
|
|
Texas — 0.0%
|
|
||
|
Port of Beaumont Navigation District, Refunding ARB,
Series B, 10.00%, 07/01/26(b)
|
|
520
|
522,721
|
|
Total Municipal Bonds — 0.2%
(Cost: $2,963,035)
|
3,544,133
|
||
|
Non-Agency Mortgage-Backed Securities
|
|||
|
United States — 3.4%
|
|||
|
Ajax Mortgage Loan Trust(b)
|
|
|
|
|
Series 2020-C, Class C, 0.00%, 09/27/60
|
|
9
|
131
|
|
Series 2021-E, Class B3, 3.95%, 12/25/60(a)
|
|
946
|
525,013
|
|
Series 2021-E, Class SA, 0.00%, 12/25/60(a)
|
|
6
|
2,819
|
|
Series 2021-E, Class XS, 0.00%, 12/25/60(a)
|
|
11,787
|
404,726
|
|
BFLD Trust, Series 2021-EYP, Class E, (1-mo. Term
SOFR + 3.81%), 7.97%, 10/15/35(a)(b)
|
|
790
|
9,876
|
|
BX Trust, Series 2021-VIEW, Class E, (1-mo. Term
SOFR + 3.71%), 7.86%, 06/15/36(a)(b)
|
|
614
|
613,625
|
|
Commercial Mortgage Trust, Series 2015-CR25,
Class C, 4.49%, 08/10/48(a)
|
|
560
|
553,208
|
|
CSMC(a)(b)
|
|
|
|
|
Series 2020-FACT, Class E, (1-mo. Term SOFR +
5.48%), 9.63%, 10/15/37
|
|
730
|
668,169
|
|
Series 2021-BHAR, Class E, (1-mo. Term SOFR +
3.61%), 7.77%, 11/15/38
|
|
1,500
|
1,478,692
|
|
Series 2022-LION, Class A, (1-mo. Term SOFR +
3.44%), 7.59%, 02/15/27(c)
|
|
3,400
|
3,376,502
|
|
Deephaven Residential Mortgage Trust, Series 2021-1,
Class B2, 3.96%, 05/25/65(a)(b)
|
|
1,550
|
1,377,604
|
|
Freddie Mac Seasoned Credit Risk Transfer Trust,
Series 2020-3, Class BXS, 5.82%, 05/25/60(a)(b)
|
|
7,538
|
3,877,706
|
|
FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%,
04/25/28(a)(b)
|
|
437
|
406,932
|
|
GS Mortgage Securities Corp. Trust, Series 2021-IP,
Class E, (1-mo. Term SOFR + 3.66%), 7.82%,
10/15/36(a)(b)
|
|
1,540
|
1,519,129
|
|
Imperial Fund Mortgage Trust, Series 2020-NQM1,
Class B1, 4.00%, 10/25/55(a)(b)
|
|
3,602
|
3,298,963
|
|
JP Morgan Mortgage Trust(a)(b)
|
|
|
|
|
Series 2021-1, Class A3X, 0.50%, 06/25/51
|
|
43,240
|
1,218,258
|
|
Series 2021-1, Class AX1, 0.12%, 06/25/51
|
|
175,468
|
1,130,945
|
|
Series 2021-1, Class AX4, 0.40%, 06/25/51
|
|
11,205
|
256,121
|
|
Series 2021-1, Class B4, 3.02%, 06/25/51
|
|
764
|
629,829
|
|
Series 2021-1, Class B5, 3.02%, 06/25/51
|
|
917
|
697,011
|
|
Series 2021-1, Class B6, 2.90%, 06/25/51
|
|
1,533
|
667,511
|
|
Series 2021-4, Class B4, 2.90%, 08/25/51
|
|
1,142
|
909,156
|
|
Series 2021-4, Class B5, 2.90%, 08/25/51
|
|
856
|
640,939
|
|
Series 2021-4, Class B6, 2.90%, 08/25/51
|
|
2,209
|
910,617
|
|
Lehman Brothers Small Balance Commercial Mortgage
Trust, Series 2007-2A, Class M2, (1-mo. Term
SOFR + 0.71%), 4.87%, 06/25/37(a)(b)
|
|
2,693
|
2,328,502
|
|
Security
|
|
Par
(000)
|
Value
|
|
United States (continued)
|
|||
|
MCM Trust(c)
|
|
|
|
|
0.00%, 09/25/31
|
USD
|
3,896
|
$ 2,759,971
|
|
2.50%, 09/25/31
|
|
4,237
|
4,073,411
|
|
New Residential Mortgage Loan Trust(a)(b)
|
|
|
|
|
Series 2019-RPL2, Class B3, 3.97%, 02/25/59
|
|
9,329
|
7,426,159
|
|
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55
|
|
1,370
|
1,198,811
|
|
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55
|
|
1,022
|
915,952
|
|
Seasoned Loans Structured Transaction Trust(a)(b)
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60
|
|
1,887
|
1,872,810
|
|
Series 2020-3, Class M1, 4.75%, 04/26/60
|
|
2,257
|
2,235,369
|
|
Starwood Mortgage Residential Trust, Series 2020-
INV, Class B2, 4.26%, 11/25/55(b)
|
|
1,225
|
1,049,244
|
|
TVC DSCR(c)
|
|
|
|
|
Series 2021-1, 0.00%, 03/25/28
|
|
1,323
|
1,133,339
|
|
Series 2021-1, Class A, 0.00%, 02/01/51
|
|
2,496
|
2,301,135
|
|
Verus Securitization Trust, Series 2021-R2, Class B1,
3.25%, 02/25/64(a)(b)
|
|
2,735
|
2,206,847
|
|
WaMu Mortgage Pass-Through Certificates Trust,
Series 2007-OA6, Class 1A, (12-mo. MTA + 0.81%),
4.96%, 07/25/47(a)
|
|
967
|
817,604
|
|
Wells Fargo Commercial Mortgage Trust, Series 2019-
C50, Class XA, 1.57%, 05/15/52(a)
|
|
21,831
|
816,157
|
|
Total Non-Agency Mortgage-Backed Securities — 3.4%
(Cost: $60,074,292)
|
56,308,793
|
||
|
Preferred Securities
|
|||
|
Capital Trusts — 0.3%(a)
|
|||
|
France(d)(o) — 0.1%
|
|
||
|
Air France-KLM, 5.75%
|
EUR
|
200
|
239,606
|
|
Electricite de France SA
|
|
|
|
|
4.38%
|
|
100
|
116,525
|
|
5.13%
|
|
200
|
242,311
|
|
5.63%
|
|
200
|
246,539
|
|
7.38%
|
GBP
|
200
|
274,330
|
|
Unibail-Rodamco-Westfield SE, 4.75%
|
EUR
|
200
|
238,510
|
|
Veolia Environnement SA, 4.32%
|
|
100
|
117,638
|
|
|
|
|
1,475,459
|
|
Germany(d) — 0.0%
|
|
||
|
Bayer AG, 5.38%, 03/25/82
|
|
300
|
361,917
|
|
Volkswagen International Finance NV(o)
|
|
|
|
|
5.49%
|
|
100
|
121,189
|
|
5.99%
|
|
100
|
121,839
|
|
|
|
|
604,945
|
|
Indonesia — 0.0%
|
|
||
|
Bank Negara Indonesia Persero Tbk PT, 4.30%(d)(o)
|
USD
|
200
|
194,005
|
|
Italy — 0.0%
|
|
||
|
Prysmian SpA, 5.25%(d)(o)
|
EUR
|
275
|
336,792
|
|
Singapore — 0.0%
|
|
||
|
Lendlease Asia Treasury Pte. Ltd., 3.90%(d)(o)
|
SGD
|
250
|
194,290
|
|
Thailand — 0.0%
|
|
||
|
GC Treasury Center Co. Ltd., 6.50%(d)(o)
|
USD
|
250
|
254,063
|
|
Security
|
|
Par
(000)
|
Value
|
|
United Kingdom — 0.1%
|
|
||
|
British Telecommunications PLC, 4.88%, 11/23/81(b)
|
USD
|
369
|
$ 353,938
|
|
Centrica PLC, 6.50%, 05/21/55(d)
|
GBP
|
494
|
680,160
|
|
|
|
|
1,034,098
|
|
United States(b)(o) — 0.1%
|
|
||
|
Sunoco LP, 7.88%
|
USD
|
723
|
734,358
|
|
Venture Global LNG, Inc., 9.00%
|
|
953
|
944,499
|
|
|
|
|
1,678,857
|
|
|
|
|
5,772,509
|
|
|
|
Shares
|
|
|
Preferred Stocks — 4.4%(c)
|
|||
|
China — 0.6%
|
|
||
|
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost:
$4,390,747)(f)(g)
|
|
40,071
|
10,132,754
|
|
Finland — 0.1%
|
|
||
|
Aiven, Series D(f)
|
|
37,890
|
2,107,442
|
|
Germany — 0.0%
|
|
||
|
Volocopter GmbH, Series D, (Acquired 03/03/21, Cost:
$4,145,649)(f)(g)
|
|
780
|
—
|
|
United Kingdom — 0.1%
|
|
||
|
10X Future Technologies Service Ltd., Series D,
(Acquired 12/19/23, Cost: $3,926,032)(f)(g)
|
|
114,500
|
1,450,595
|
|
United States — 3.6%
|
|
||
|
Breeze Aviation Group, Inc., Series B, (Acquired
07/30/21, Cost: $1,800,187)(f)(g)
|
|
3,333
|
520,415
|
|
Bright Machines, Inc.(f)
|
|
|
|
|
Series C
|
|
472,899
|
132,412
|
|
Series C-1
|
|
985,059
|
108,356
|
|
Cap Hill Brands, Series B-2(f)
|
|
1,185,824
|
12
|
|
Clarify Health, Series D-1(f)
|
|
345,315
|
1,039,398
|
|
CoreWeave, Inc., Series C, 03/25/49
|
|
1,579,000
|
4,326,460
|
|
Databricks, Inc., Series G, (Acquired 02/01/21, Cost:
$2,392,693)(f)(g)
|
|
40,470
|
6,070,500
|
|
Davidson Homes, Inc.(f)
|
|
7,345
|
7,971,382
|
|
Dream Finders Homes, Inc., Series A
|
|
10,172
|
10,095,710
|
|
EXO Imaging, Inc., Series D, (Acquired 08/14/24, Cost:
$71,814)(f)(g)
|
|
117,667
|
87,074
|
|
HawkEye 360, Inc., Series D-1(f)
|
|
406,081
|
6,144,006
|
|
Insight M, Inc., Series D(f)
|
|
1,942,003
|
390,925
|
|
Jumpcloud, Inc.(f)(g)
|
|
|
|
|
Series E-1, (Acquired 10/30/20, Cost: $2,052,443)
|
|
1,125,428
|
2,656,010
|
|
Series F, (Acquired 09/03/21, Cost: $443,302)
|
|
74,023
|
174,694
|
|
Lessen Holdings, Inc.(f)
|
|
|
|
|
Series BX
|
|
489,075
|
180,958
|
|
Series CX
|
|
25,831
|
12,915
|
|
Noodle Partners, Inc., Series C, (Acquired 08/26/21,
Cost: $1,751,669)(f)(g)
|
|
196,272
|
296,371
|
|
PsiQuantum Corp., Series D, (Acquired 05/21/21,
Cost: $945,402)(f)(g)
|
|
36,048
|
1,479,770
|
|
RapidSOS, Series C-1(f)
|
|
1,707,127
|
1,980,267
|
|
SambaNova Systems, Inc., Series D, (Acquired
04/09/21, Cost: $1,250,247)(f)(g)
|
|
13,158
|
398,687
|
|
SCI PH Parent, Inc., Series A, (Acquired 02/10/23,
Cost: $1,183,000), 12/31/79(f)(g)
|
|
1,183
|
1,571,154
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost:
$678,934)(f)(g)
|
|
45,203
|
$ 345,351
|
|
Ursa Major Technologies, Inc.(f)(g)
|
|
|
|
|
Series C, (Acquired 09/13/21, Cost: $1,732,297)
|
|
290,420
|
1,286,561
|
|
Series D, (Acquired 10/14/22, Cost: $235,803)
|
|
35,579
|
163,663
|
|
Verger Capital Fund LLC(f)
|
|
341,505
|
64,886
|
|
Veritas Kapital Assurance PLC(f)
|
|
|
|
|
Series G
|
|
8,968
|
204,022
|
|
Series G-1
|
|
6,197
|
140,982
|
|
Versa Networks, Inc., Series E, (Acquired 10/14/22,
Cost: $4,906,958), 10/07/32(f)(g)
|
|
1,681,498
|
10,004,913
|
|
|
|
|
57,847,854
|
|
|
|
|
71,538,645
|
|
Total Preferred Securities — 4.7%
(Cost: $84,556,220)
|
77,311,154
|
||
|
|
|
Par
(000)
|
|
|
U.S. Government Sponsored Agency Securities
|
|||
|
Commercial Mortgage-Backed Securities — 0.1%
|
|
||
|
Freddie Mac Multifamily Structured Pass Through
Certificates, Series KL06, Class XFX, 1.46%,
12/25/29(a)
|
USD
|
17,996
|
856,455
|
|
Mortgage-Backed Securities(s) — 10.5%
|
|
||
|
Uniform Mortgage-Backed Securities
|
|
|
|
|
5.50%, 10/15/54
|
|
11,500
|
11,594,737
|
|
3.00%, 10/14/55
|
|
9,557
|
8,392,969
|
|
3.50%, 10/14/55
|
|
74,731
|
68,268,352
|
|
4.50%, 10/14/55
|
|
86,126
|
83,529,977
|
|
|
|
|
171,786,035
|
|
Total U.S. Government Sponsored Agency Securities — 10.6%
(Cost: $173,152,161)
|
172,642,490
|
||
|
|
|
Shares
|
|
|
Warrants
|
|||
|
Brazil — 0.0%
|
|
||
|
Lavoro Ltd., (Issued 12/27/22, Exercisable 12/27/23,
1 Share for 1 Warrant, Expires 12/27/27, Strike
Price USD 11.50)(f)
|
|
25,681
|
971
|
|
Israel — 0.0%
|
|
||
|
Deep Instinct Ltd., Series D, (Acquired 09/20/22, Cost:
$0), (Exercisable 09/20/22, 1 Share for 1 Warrant,
Expires 09/20/32, Strike Price USD 0.01)(c)(f)(g)
|
|
21,889
|
219
|
|
United Kingdom — 0.0%
|
|
||
|
10X Future Technologies Service Ltd., (Acquired
12/19/23, Cost: $0), (Issued 12/19/23, Expires
11/17/30, Strike Price GBP 0.01)(c)(f)(g)
|
|
137,950
|
77,922
|
|
United States(f) — 0.4%
|
|
||
|
Crown PropTech Acquisitions, (Issued 02/05/21,
1 Share for 1 Warrant, Expires 02/01/26, Strike
Price USD 11.50)(c)
|
|
74,120
|
19,605
|
|
Security
|
|
Shares
|
Value
|
|
United States (continued)
|
|
||
|
Crown PropTech Acquisitions, (Issued/Exercisable
01/25/21, 1 Share for 1 Warrant, Expires 12/31/27,
Strike Price USD 11.50)(c)
|
|
44,352
|
$ —
|
|
Davidson Homes, Inc., Class A, (Issued 05/16/24,
Expires 05/16/34, Strike Price USD 8.47)(c)
|
|
50,977
|
311,979
|
|
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for
1 Warrant, Expires 09/15/25, Strike Price USD
11.50)
|
|
40,220
|
7,646
|
|
Flyr AS, Series D-X, (Expires 12/31/49)(c)
|
|
5,990
|
—
|
|
HawkEye 360, Inc., Series D-1, (Issued 07/07/23,
1 Share for 1 Warrant, Expires 07/07/33, Strike
Price USD(c)
|
|
173,677
|
1,853,134
|
|
HawkEye 360, Inc., Series D-1, (Issued 07/07/23,
1 Share for 1 Warrant, Expires 07/07/33, Strike
Price USD 11.17)(c)
|
|
19,736
|
131,442
|
|
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21,
0.04 Shares for 1 Warrant, Expires 08/02/26, Strike
Price USD 287.50)
|
|
11,689
|
76
|
|
Insight M, Inc., (Issued 01/31/24, Expires 12/31/49,
Strike Price USD 0.34)(c)
|
|
2,012,253
|
141,461
|
|
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for
1 Warrant, Expires 06/04/26, Strike Price USD
11.50)(c)
|
|
10,196
|
1
|
|
New York Community Bancorp, Inc., Pipe, PIPE,
(Acquired 03/07/24, Cost: $0), (Issued/Exercisable
03/11/24, 1,000 Shares for 1 Warrant, Expires
03/11/31, Strike Price USD 2.50)(c)(g)
|
|
550
|
1,146,876
|
|
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20,
1 Share for 1 Warrant, Expires 09/01/26, Strike
Price USD 11.50)
|
|
60,706
|
3,035
|
|
Palladyne AI Corp., (Issued/Exercisable 12/21/20,
1 Share for 1 Warrant, Expires 09/24/26, Strike
Price USD 11.50)
|
|
68,671
|
13,768
|
|
RapidSOS, Inc., Series C-1, (Issued 12/13/23, Expires
12/13/33, Strike Price USD 0.01)(c)
|
|
946,544
|
1,088,526
|
|
Sarcos Technology & Robotics Corp., (Issued
01/15/21, 1 Share for 1 Warrant, Expires 06/15/27,
Strike Price USD 69.00)
|
|
25,291
|
5,071
|
|
Sonder Holdings, Inc., (Expires 04/11/30, Strike Price
USD 1.00)(c)
|
|
261,005
|
143,553
|
|
Sonder Holdings, Inc., (Expires 12/30/29, Strike Price
USD 0.01)(c)
|
|
26,165
|
33,753
|
|
Versa Networks, Inc., Series E, (Acquired 10/14/22,
Cost: $0), (Exercisable 10/14/22, 1 Share for
1 Warrant, Expires 10/07/32, Strike Price USD
0.01)(c)(g)
|
|
207,248
|
990,645
|
|
Volato Group, Inc., (Acquired 12/03/23, Cost: $48,765),
(Issued 12/04/23, Expires 12/03/28, Strike Price
USD 11.50)(g)
|
|
48,765
|
488
|
|
|
|
|
5,891,059
|
|
Total Warrants — 0.4%
(Cost: $614,237)
|
5,970,171
|
||
|
Total Long-Term Investments — 106.1%
(Cost: $1,433,089,325)
|
1,730,829,191
|
||
|
Security
|
|
Shares
|
Value
|
|
Short-Term Securities
|
|||
|
Money Market Funds — 2.1%
|
|
||
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares, 4.01%(r)(t)
|
|
35,321,631
|
$ 35,321,631
|
|
Total Short-Term Securities — 2.1%
(Cost: $35,321,631)
|
35,321,631
|
||
|
Options Purchased — 0.4%
(Cost: $5,583,344)
|
6,359,901
|
||
|
Total Investments Before Options Written — 108.6%
(Cost: $1,473,994,300)
|
1,772,510,723
|
||
|
Options Written — (0.3)%
(Premiums Received: $(4,802,271))
|
(5,702,481
)
|
||
|
Total Investments, Net of Options Written — 108.3%
(Cost: $1,469,192,029)
|
1,766,808,242
|
||
|
Liabilities in Excess of Other Assets — (8.3)%
|
(136,090,655
)
|
||
|
Net Assets — 100.0%
|
$ 1,630,717,587
|
||
|
(a)
|
Variable rate security. Interest rate resets periodically. The rate shown is the effective
interest rate as of period end. Security description also includes the reference rate
and
spread if published and available.
|
|
(b)
|
Security exempt from registration pursuant to Rule 144A under the Securities Act of
1933,
as amended. These securities may be resold in transactions exempt from registration
to
qualified institutional investors.
|
|
(c)
|
Security is valued using significant unobservable inputs and is classified as Level
3 in the
fair value hierarchy.
|
|
(d)
|
This security may be resold to qualified foreign investors and foreign institutional
buyers
under Regulation S of the Securities Act of 1933.
|
|
(e)
|
When-issued security.
|
|
(f)
|
Non-income producing security.
|
|
(g)
|
Restricted security as to resale, excluding 144A securities. The Trust held restricted
securities with a current value of $76,850,393, representing 4.7% of its net assets
as of
period end, and an original cost of $72,035,991.
|
|
(h)
|
All or a portion of the security has been pledged and/or segregated as collateral
in
connection with outstanding exchange-traded options written.
|
|
(i)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
(j)
|
Investment does not issue shares.
|
|
(k)
|
Payment-in-kind security which may pay interest/dividends in additional par/shares
and/or in cash. Rates shown are the current rate and possible payment rates.
|
|
(l)
|
Convertible security.
|
|
(m)
|
Issuer filed for bankruptcy and/or is in default.
|
|
(n)
|
Step coupon security. Coupon rate will either increase (step-up bond) or decrease
(step-
down bond) at regular intervals until maturity. Interest rate shown reflects the rate
currently in effect.
|
|
(o)
|
Perpetual security with no stated maturity date.
|
|
(p)
|
Zero-coupon bond.
|
|
(q)
|
Represents an unsettled loan commitment at period end. Certain details associated
with
this purchase are not known prior to the settlement date, including coupon rate.
|
|
(r)
|
Affiliate of the Trust.
|
|
(s)
|
Represents or includes a TBA transaction.
|
|
(t)
|
Annualized 7-day yield as of period end.
|
|
Affiliated Issuer
|
Value at
12/31/24
|
Purchases
at Cost
|
Proceeds
from Sales
|
Net
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Value at
09/30/25
|
Shares
Held at
09/30/25
|
Income
|
Capital Gain
Distributions
from
Underlying
Funds
|
|
BlackRock Liquidity Funds, T-Fund, Institutional
Shares
|
$ 14,674,337
|
$ 20,647,294
(a)
|
$ —
|
$ —
|
$ —
|
$ 35,321,631
|
35,321,631
|
$ 1,056,437
|
$ —
|
|
iShares Biotechnology ETF(b)
|
1,824,498
|
—
|
(1,832,356
)
|
(142,209
)
|
150,067
|
—
|
—
|
1,672
|
—
|
|
iShares China Large-Cap ETF
|
—
|
7,082,183
|
(4,237,767
)
|
95,665
|
235,927
|
3,176,008
|
77,200
|
—
|
—
|
|
iShares iBoxx $ High Yield Corporate Bond ETF(b)
|
2,217,537
|
—
|
(2,247,079
)
|
17,277
|
12,265
|
—
|
—
|
10,154
|
—
|
|
iShares JP Morgan USD Emerging Markets Bond
ETF(b)
|
6,335,641
|
—
|
(6,773,899
)
|
610,582
|
(172,324
)
|
—
|
—
|
229,612
|
—
|
|
iShares MSCI Brazil ETF
|
314,307
|
—
|
—
|
—
|
118,546
|
432,853
|
13,963
|
7,194
|
—
|
|
iShares Russell 2000 ETF(b)
|
—
|
11,592,097
|
(11,576,769
)
|
(15,328
)
|
—
|
—
|
—
|
—
|
—
|
|
|
|
|
|
$ 565,987
|
$ 344,481
|
$ 38,930,492
|
|
$ 1,305,069
|
$ —
|
|
(a)
|
Represents net amount purchased (sold).
|
|
(b)
|
As of period end, the entity is no longer held.
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount (000)
|
Value/
Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts
|
|
|
|
|
|
NSE IFSC Nifty 50 Index
|
40
|
10/28/25
|
$ 1,981
|
$ (4,320
)
|
|
Euro BOBL
|
319
|
12/08/25
|
44,122
|
10,872
|
|
Euro Bund
|
138
|
12/08/25
|
20,831
|
69,490
|
|
Euro-Schatz
|
51
|
12/08/25
|
6,406
|
(6,636
)
|
|
Short Term Euro BTP
|
90
|
12/08/25
|
11,405
|
4,668
|
|
KOSPI 200 Index
|
41
|
12/11/25
|
3,476
|
248,689
|
|
Nikkei 225 Index
|
48
|
12/11/25
|
14,579
|
485,377
|
|
10-Year Australian Treasury Bonds
|
136
|
12/15/25
|
10,201
|
(9,571
)
|
|
10-Year Canadian Bond
|
22
|
12/18/25
|
1,936
|
44,232
|
|
E-mini Russell 2000 Index
|
5
|
12/19/25
|
614
|
(2,857
)
|
|
Euro Stoxx Banks Index
|
172
|
12/19/25
|
2,348
|
38,505
|
|
U.S. Long Bond
|
179
|
12/19/25
|
20,876
|
497,720
|
|
Ultra U.S. Treasury Bond
|
462
|
12/19/25
|
55,527
|
1,384,913
|
|
Long Gilt
|
59
|
12/29/25
|
7,208
|
28,088
|
|
5-Year U.S. Treasury Note
|
1,314
|
12/31/25
|
143,452
|
(6,036
)
|
|
3-Month SOFR
|
27
|
03/17/26
|
6,501
|
21,563
|
|
|
|
|
|
2,804,697
|
|
Short Contracts
|
|
|
|
|
|
30-Year Euro Buxl Bond
|
20
|
12/08/25
|
2,688
|
(77,040
)
|
|
Euro BTP
|
19
|
12/08/25
|
2,673
|
(31,917
)
|
|
Euro OAT
|
7
|
12/08/25
|
997
|
(11,266
)
|
|
10-Year Japanese Government Treasury Bonds
|
16
|
12/15/25
|
14,691
|
141,693
|
|
10-Year U.S. Treasury Note
|
732
|
12/19/25
|
82,350
|
(449,223
)
|
|
10-Year U.S. Ultra Long Treasury Note
|
1,510
|
12/19/25
|
173,768
|
(2,390,052
)
|
|
Euro Stoxx 50 Index
|
68
|
12/19/25
|
4,424
|
(111,097
)
|
|
NASDAQ 100 E-Mini Index
|
70
|
12/19/25
|
34,862
|
(349,468
)
|
|
S&P 500 E-Mini Index
|
381
|
12/19/25
|
128,373
|
(1,157,445
)
|
|
2-Year U.S. Treasury Note
|
411
|
12/31/25
|
85,639
|
(23,288
)
|
|
|
|
|
|
(4,459,103
)
|
|
|
|
|
|
$ (1,654,406
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
100,253
|
EUR
|
85,045
|
Deutsche Bank AG
|
10/16/25
|
$ 321
|
|
USD
|
118,178
|
EUR
|
99,679
|
Deutsche Bank AG
|
10/16/25
|
1,050
|
|
USD
|
125,951
|
EUR
|
107,106
|
Deutsche Bank AG
|
10/16/25
|
96
|
|
USD
|
130,117
|
EUR
|
110,624
|
Deutsche Bank AG
|
10/16/25
|
128
|
|
USD
|
201,494
|
EUR
|
171,331
|
Deutsche Bank AG
|
10/16/25
|
170
|
|
USD
|
204,264
|
EUR
|
173,701
|
Deutsche Bank AG
|
10/16/25
|
155
|
|
USD
|
233,487
|
EUR
|
198,552
|
Deutsche Bank AG
|
10/16/25
|
178
|
|
USD
|
234,006
|
EUR
|
198,973
|
Deutsche Bank AG
|
10/16/25
|
202
|
|
USD
|
235,164
|
EUR
|
199,940
|
Deutsche Bank AG
|
10/16/25
|
223
|
|
USD
|
259,911
|
EUR
|
221,000
|
Deutsche Bank AG
|
10/16/25
|
224
|
|
USD
|
298,448
|
EUR
|
253,794
|
Deutsche Bank AG
|
10/16/25
|
227
|
|
USD
|
449,920
|
EUR
|
382,556
|
Deutsche Bank AG
|
10/16/25
|
396
|
|
USD
|
491,357
|
EUR
|
417,796
|
Deutsche Bank AG
|
10/16/25
|
424
|
|
USD
|
581,762
|
EUR
|
494,718
|
Deutsche Bank AG
|
10/16/25
|
442
|
|
USD
|
1,907,018
|
EUR
|
1,621,547
|
Deutsche Bank AG
|
10/16/25
|
1,614
|
|
BRL
|
24,396,455
|
USD
|
4,413,523
|
Deutsche Bank AG
|
12/17/25
|
89,089
|
|
CHF
|
12,872
|
USD
|
16,300
|
Toronto-Dominion Bank
|
12/17/25
|
14
|
|
DKK
|
6,838,535
|
USD
|
1,079,615
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
1,488
|
|
EUR
|
237,154
|
USD
|
279,516
|
The Bank of New York Mellon
|
12/17/25
|
136
|
|
EUR
|
1,481,054
|
USD
|
1,736,969
|
The Bank of New York Mellon
|
12/17/25
|
9,488
|
|
EUR
|
16,989,301
|
USD
|
20,007,060
|
UBS AG
|
12/17/25
|
26,704
|
|
GBP
|
2,022,385
|
USD
|
2,700,077
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
20,103
|
|
HKD
|
1,047,491
|
USD
|
134,770
|
Goldman Sachs International
|
12/17/25
|
48
|
|
MXN
|
28,859,590
|
USD
|
1,537,435
|
State Street Bank and Trust Co.
|
12/17/25
|
25,721
|
|
TRY
|
34,066,106
|
USD
|
757,390
|
Goldman Sachs International
|
12/17/25
|
12,836
|
|
TRY
|
34,820,842
|
USD
|
774,170
|
Goldman Sachs International
|
12/17/25
|
13,120
|
|
USD
|
1,116,485
|
AUD
|
1,683,284
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
1,653
|
|
USD
|
4,998,372
|
AUD
|
7,535,977
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
7,323
|
|
USD
|
7,648,984
|
CAD
|
10,553,963
|
Citibank N.A.
|
12/17/25
|
38,205
|
|
USD
|
3,692,137
|
CNY
|
26,069,071
|
HSBC Bank PLC
|
12/17/25
|
10,301
|
|
USD
|
174,622
|
EUR
|
147,796
|
Deutsche Bank AG
|
12/17/25
|
341
|
|
USD
|
472,257
|
EUR
|
398,433
|
Deutsche Bank AG
|
12/17/25
|
2,425
|
|
USD
|
1,370,859
|
EUR
|
1,161,823
|
Deutsche Bank AG
|
12/17/25
|
839
|
|
USD
|
206,971
|
EUR
|
175,364
|
State Street Bank and Trust Co.
|
12/17/25
|
182
|
|
USD
|
220,580
|
EUR
|
186,754
|
State Street Bank and Trust Co.
|
12/17/25
|
359
|
|
USD
|
1,437,150
|
GBP
|
1,060,652
|
HSBC Bank PLC
|
12/17/25
|
10,535
|
|
USD
|
8,930,610
|
GBP
|
6,593,745
|
HSBC Bank PLC
|
12/17/25
|
61,788
|
|
USD
|
50,723,119
|
GBP
|
37,455,924
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
343,568
|
|
USD
|
258,874
|
GBP
|
191,801
|
Standard Chartered Bank
|
12/17/25
|
895
|
|
USD
|
12,075,489
|
HKD
|
93,808,118
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
1,833
|
|
USD
|
998,130
|
IDR
|
16,463,256,805
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
13,497
|
|
USD
|
11,459,090
|
JPY
|
1,670,931,064
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
73,395
|
|
USD
|
189,672
|
NOK
|
1,881,150
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
1,131
|
|
USD
|
449,543
|
SEK
|
4,178,345
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
3,607
|
|
USD
|
785,876
|
SEK
|
7,304,357
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
6,314
|
|
USD
|
16,759,704
|
TWD
|
501,467,100
|
Deutsche Bank AG
|
12/17/25
|
203,642
|
|
ZAR
|
33,715,234
|
USD
|
1,916,210
|
State Street Bank and Trust Co.
|
12/17/25
|
25,463
|
|
|
|
|
|
|
|
1,011,893
|
|
CAD
|
1,419,561
|
USD
|
1,025,641
|
Deutsche Bank AG
|
12/17/25
|
(1,953
)
|
|
CAD
|
9,588,516
|
USD
|
6,949,224
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
(34,657
)
|
|
CNH
|
27,643,764
|
USD
|
3,909,025
|
HSBC Bank PLC
|
12/17/25
|
(12,443
)
|
|
EUR
|
310,619
|
USD
|
367,213
|
The Bank of New York Mellon
|
12/17/25
|
(931
)
|
|
EUR
|
382,025
|
USD
|
450,956
|
The Bank of New York Mellon
|
12/17/25
|
(473
)
|
|
EUR
|
500,284
|
USD
|
595,850
|
The Bank of New York Mellon
|
12/17/25
|
(5,916
)
|
|
EUR
|
3,077,934
|
USD
|
3,632,330
|
The Bank of New York Mellon
|
12/17/25
|
(2,834
)
|
|
EUR
|
1,024,752
|
USD
|
1,220,023
|
UBS AG
|
12/17/25
|
(11,637
)
|
|
EUR
|
1,936,731
|
USD
|
2,288,108
|
UBS AG
|
12/17/25
|
(4,317
)
|
|
GBP
|
220,393
|
USD
|
296,560
|
HSBC Bank PLC
|
12/17/25
|
(123
)
|
|
GBP
|
138,325
|
USD
|
187,574
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
(1,522
)
|
|
GBP
|
2,148,819
|
USD
|
2,890,288
|
Societe Generale
|
12/17/25
|
(50
)
|
|
GBP
|
4,533,864
|
USD
|
6,140,772
|
State Street Bank and Trust Co.
|
12/17/25
|
(42,563
)
|
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
GBP
|
234,867
|
USD
|
317,930
|
The Bank of New York Mellon
|
12/17/25
|
$ (2,025
)
|
|
GBP
|
361,178
|
USD
|
489,200
|
The Bank of New York Mellon
|
12/17/25
|
(3,403
)
|
|
INR
|
74,786,626
|
USD
|
844,788
|
UBS AG
|
12/17/25
|
(6,754
)
|
|
JPY
|
58,131,818
|
USD
|
397,987
|
Morgan Stanley & Co. International PLC
|
12/17/25
|
(1,878
)
|
|
JPY
|
36,096,143
|
USD
|
246,261
|
State Street Bank and Trust Co.
|
12/17/25
|
(302
)
|
|
JPY
|
42,088,550
|
USD
|
289,249
|
State Street Bank and Trust Co.
|
12/17/25
|
(2,459
)
|
|
JPY
|
23,580,906
|
USD
|
161,966
|
UBS AG
|
12/17/25
|
(1,286
)
|
|
JPY
|
2,102,011,939
|
USD
|
14,414,995
|
UBS AG
|
12/17/25
|
(91,923
)
|
|
USD
|
167,390
|
AUD
|
255,215
|
Societe Generale
|
12/17/25
|
(1,638
)
|
|
USD
|
198,337
|
AUD
|
301,816
|
Societe Generale
|
12/17/25
|
(1,555
)
|
|
USD
|
2,252,402
|
CHF
|
1,778,510
|
Barclays Bank PLC
|
12/17/25
|
(1,681
)
|
|
USD
|
11,001,212
|
DKK
|
69,679,984
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
(14,493
)
|
|
USD
|
812,563
|
EUR
|
689,264
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
(216
)
|
|
USD
|
75,646,310
|
EUR
|
64,255,429
|
Standard Chartered Bank
|
12/17/25
|
(123,615
)
|
|
USD
|
178,603,168
|
EUR
|
151,708,962
|
Standard Chartered Bank
|
12/17/25
|
(291,859
)
|
|
USD
|
435,689
|
GBP
|
325,168
|
Goldman Sachs International
|
12/17/25
|
(1,674
)
|
|
USD
|
174,835
|
JPY
|
25,703,458
|
Societe Generale
|
12/17/25
|
(308
)
|
|
USD
|
2,536,442
|
MXN
|
47,607,671
|
JPMorgan Chase Bank N.A.
|
12/17/25
|
(42,188
)
|
|
USD
|
2,145,575
|
ZAR
|
37,736,964
|
Goldman Sachs International
|
12/17/25
|
(27,710
)
|
|
|
|
|
|
|
|
(736,386
)
|
|
|
$ 275,507
|
|||||
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust
|
1,152
|
10/03/25
|
USD
|
670.00
|
USD
|
76,744
|
$ 96,192
|
|
SPDR S&P 500 ETF Trust
|
585
|
10/03/25
|
USD
|
672.00
|
USD
|
38,972
|
24,863
|
|
SPDR S&P 500 ETF Trust
|
231
|
10/10/25
|
USD
|
667.00
|
USD
|
15,389
|
103,372
|
|
Alphabet, Inc., Class C
|
93
|
10/17/25
|
USD
|
225.00
|
USD
|
2,265
|
188,557
|
|
Alphabet, Inc., Class C
|
123
|
10/17/25
|
USD
|
240.00
|
USD
|
2,996
|
107,317
|
|
Apple, Inc.
|
195
|
10/17/25
|
USD
|
240.00
|
USD
|
4,965
|
312,975
|
|
Apple, Inc.
|
63
|
10/17/25
|
USD
|
245.00
|
USD
|
1,604
|
73,868
|
|
ASML Holding N.V., ADR
|
19
|
10/17/25
|
USD
|
840.00
|
USD
|
1,839
|
258,020
|
|
Freeport-McMoRan, Inc.
|
98
|
10/17/25
|
USD
|
48.00
|
USD
|
384
|
539
|
|
iShares China Large-Cap ETF
|
2,855
|
10/17/25
|
USD
|
42.00
|
USD
|
11,745
|
144,177
|
|
Meta Platforms, Inc., Class A
|
19
|
10/17/25
|
USD
|
820.00
|
USD
|
1,395
|
2,100
|
|
Microsoft Corp.
|
34
|
10/17/25
|
USD
|
560.00
|
USD
|
1,761
|
986
|
|
SPDR S&P Regional Banking ETF
|
533
|
10/17/25
|
USD
|
67.00
|
USD
|
3,374
|
19,721
|
|
Tesla, Inc.
|
39
|
10/17/25
|
USD
|
360.00
|
USD
|
1,734
|
339,690
|
|
Wells Fargo & Co.
|
217
|
10/17/25
|
USD
|
85.00
|
USD
|
1,819
|
43,292
|
|
Alphabet, Inc., Class C
|
121
|
11/21/25
|
USD
|
240.00
|
USD
|
2,947
|
191,180
|
|
Alphabet, Inc., Class C
|
25
|
11/21/25
|
USD
|
250.00
|
USD
|
609
|
27,063
|
|
Amazon.com, Inc.
|
133
|
11/21/25
|
USD
|
240.00
|
USD
|
2,920
|
62,510
|
|
Apple, Inc.
|
96
|
11/21/25
|
USD
|
235.00
|
USD
|
2,444
|
229,200
|
|
Apple, Inc.
|
44
|
11/21/25
|
USD
|
250.00
|
USD
|
1,120
|
57,090
|
|
Citigroup, Inc.
|
126
|
11/21/25
|
USD
|
105.00
|
USD
|
1,279
|
40,635
|
|
DR Horton, Inc.
|
32
|
11/21/25
|
USD
|
175.00
|
USD
|
542
|
23,840
|
|
DR Horton, Inc.
|
32
|
11/21/25
|
USD
|
185.00
|
USD
|
542
|
13,120
|
|
Euro Stoxx Banks
|
402
|
11/21/25
|
EUR
|
240.00
|
EUR
|
4,693
|
116,812
|
|
Intuit, Inc.
|
15
|
11/21/25
|
USD
|
700.00
|
USD
|
1,024
|
37,425
|
|
McDonald’s Corp.
|
53
|
11/21/25
|
USD
|
330.00
|
USD
|
1,611
|
9,010
|
|
MongoDB, Inc., Class A
|
29
|
11/21/25
|
USD
|
360.00
|
USD
|
900
|
16,530
|
|
SPDR Gold Shares(a)
|
1,548
|
11/21/25
|
USD
|
360.00
|
USD
|
55,027
|
1,280,970
|
|
Walt Disney Co.
|
64
|
11/21/25
|
USD
|
120.00
|
USD
|
733
|
20,800
|
|
Booking Holdings, Inc.
|
5
|
12/19/25
|
USD
|
5,900.00
|
USD
|
2,700
|
57,225
|
|
Broadcom, Inc.
|
81
|
12/19/25
|
USD
|
350.00
|
USD
|
2,672
|
172,732
|
|
Delta Air Lines, Inc.
|
636
|
12/19/25
|
USD
|
62.50
|
USD
|
3,609
|
161,226
|
|
NVIDIA Corp.
|
191
|
12/19/25
|
USD
|
185.00
|
USD
|
3,564
|
305,122
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
SPDR Gold Shares(a)
|
724
|
12/19/25
|
USD
|
345.00
|
USD
|
25,736
|
$ 1,361,120
|
|
United Airlines Holdings, Inc.
|
181
|
12/19/25
|
USD
|
105.00
|
USD
|
1,747
|
103,170
|
|
Valero Energy Corp.
|
84
|
12/19/25
|
USD
|
170.00
|
USD
|
1,430
|
90,510
|
|
|
|
|
|
|
|
|
6,092,959
|
|
Put
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust
|
347
|
10/10/25
|
USD
|
655.00
|
USD
|
23,116
|
75,299
|
|
Rheinmetall AG
|
6
|
10/17/25
|
EUR
|
1,600.00
|
EUR
|
1,191
|
1,303
|
|
Alphabet, Inc., Class C
|
25
|
11/21/25
|
USD
|
245.00
|
USD
|
609
|
32,563
|
|
|
|
|
|
|
|
|
109,165
|
|
|
|
|
|
|
|
|
$ 6,202,124
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Description
|
Counterparty
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
EUR Currency
|
Bank of America N.A.
|
10/08/25
|
USD
|
1.20
|
EUR
|
12,476
|
$ 5,010
|
|
Put
|
|
|
|
|
|
|
|
|
EUR Currency
|
JPMorgan Chase Bank N.A.
|
10/01/25
|
USD
|
1.18
|
EUR
|
16,093
|
34,557
|
|
USD Currency
|
Deutsche Bank AG
|
10/08/25
|
JPY
|
142.00
|
USD
|
14,395
|
993
|
|
|
|
|
|
|
|
|
35,550
|
|
|
|
|
|
|
|
|
$ 40,560
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Interest Rate Swap, 11/01/55
|
1-day SOFR,
4.24%
|
Annual
|
3.80%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
10/30/25
|
3.80
%
|
USD
|
7,658
|
$ 52,519
|
|
30-Year Interest Rate Swap, 11/28/55
|
1-day SOFR,
4.24%
|
Annual
|
3.65%
|
Annual
|
Goldman Sachs
International
|
11/26/25
|
3.65
|
USD
|
11,435
|
64,698
|
|
|
|
|
|
|
|
|
|
|
|
$ 117,217
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
Alphabet, Inc., Class C
|
21
|
10/17/25
|
USD
|
260.00
|
USD
|
511
|
$ (3,287
)
|
|
Apollo Global Management, Inc.
|
5
|
10/17/25
|
USD
|
145.00
|
USD
|
67
|
(413
)
|
|
Apple, Inc.
|
22
|
10/17/25
|
USD
|
255.00
|
USD
|
560
|
(10,780
)
|
|
Autodesk, Inc.
|
6
|
10/17/25
|
USD
|
330.00
|
USD
|
191
|
(1,530
)
|
|
Bank of America Corp.
|
122
|
10/17/25
|
USD
|
52.50
|
USD
|
629
|
(11,895
)
|
|
Bank of America Corp.
|
44
|
10/17/25
|
USD
|
55.00
|
USD
|
227
|
(1,210
)
|
|
Cameco Corp.
|
12
|
10/17/25
|
USD
|
90.00
|
USD
|
101
|
(1,806
)
|
|
Capital One Financial Corp.
|
8
|
10/17/25
|
USD
|
240.00
|
USD
|
170
|
(300
)
|
|
Citigroup, Inc.
|
77
|
10/17/25
|
USD
|
110.00
|
USD
|
782
|
(4,389
)
|
|
EchoStar Corp., Class A
|
131
|
10/17/25
|
USD
|
80.00
|
USD
|
1,000
|
(30,457
)
|
|
EQT Corp.
|
31
|
10/17/25
|
USD
|
60.00
|
USD
|
169
|
(713
)
|
|
Hilton Worldwide Holdings, Inc.
|
10
|
10/17/25
|
USD
|
300.00
|
USD
|
259
|
(900
)
|
|
Intel Corp.
|
285
|
10/17/25
|
USD
|
35.00
|
USD
|
956
|
(38,047
)
|
|
Intuit, Inc.
|
1
|
10/17/25
|
USD
|
730.00
|
USD
|
68
|
(228
)
|
|
iShares China Large-Cap ETF
|
2,855
|
10/17/25
|
USD
|
45.00
|
USD
|
11,745
|
(21,412
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
JPMorgan Chase & Co.
|
79
|
10/17/25
|
USD
|
315.00
|
USD
|
2,492
|
$ (62,212
)
|
|
JPMorgan Chase & Co.
|
31
|
10/17/25
|
USD
|
325.00
|
USD
|
978
|
(11,625
)
|
|
Live Nation Entertainment, Inc.
|
23
|
10/17/25
|
USD
|
185.00
|
USD
|
376
|
(1,265
)
|
|
McKesson Corp.
|
5
|
10/17/25
|
USD
|
780.00
|
USD
|
386
|
(6,100
)
|
|
Micron Technology, Inc.
|
5
|
10/17/25
|
USD
|
160.00
|
USD
|
84
|
(5,663
)
|
|
Tesla, Inc.
|
24
|
10/17/25
|
USD
|
420.00
|
USD
|
1,067
|
(85,980
)
|
|
TJX Cos., Inc.
|
27
|
10/17/25
|
USD
|
150.00
|
USD
|
390
|
(1,013
)
|
|
Trane Technologies PLC
|
3
|
10/17/25
|
USD
|
450.00
|
USD
|
127
|
(405
)
|
|
Wells Fargo & Co.
|
76
|
10/17/25
|
USD
|
90.00
|
USD
|
637
|
(3,876
)
|
|
Williams Cos., Inc.
|
40
|
10/17/25
|
USD
|
65.00
|
USD
|
253
|
(2,800
)
|
|
Alphabet, Inc., Class C
|
25
|
11/21/25
|
USD
|
280.00
|
USD
|
609
|
(7,625
)
|
|
Apple, Inc.
|
96
|
11/21/25
|
USD
|
255.00
|
USD
|
2,444
|
(96,720
)
|
|
NVIDIA Corp.
|
40
|
11/21/25
|
USD
|
200.00
|
USD
|
746
|
(27,800
)
|
|
SPDR Gold Shares(a)
|
2,323
|
11/21/25
|
USD
|
380.00
|
USD
|
82,576
|
(643,471
)
|
|
Alphabet, Inc., Class C
|
108
|
12/19/25
|
USD
|
220.00
|
USD
|
2,630
|
(334,530
)
|
|
Alphabet, Inc., Class C
|
50
|
12/19/25
|
USD
|
210.00
|
USD
|
1,218
|
(196,500
)
|
|
Amazon.com, Inc.
|
64
|
12/19/25
|
USD
|
260.00
|
USD
|
1,405
|
(17,664
)
|
|
Apple, Inc.
|
194
|
12/19/25
|
USD
|
240.00
|
USD
|
4,940
|
(430,195
)
|
|
Apple, Inc.
|
52
|
12/19/25
|
USD
|
250.00
|
USD
|
1,324
|
(80,210
)
|
|
Bank of America Corp.
|
58
|
12/19/25
|
USD
|
52.50
|
USD
|
299
|
(12,702
)
|
|
Boeing Co.
|
13
|
12/19/25
|
USD
|
260.00
|
USD
|
281
|
(3,907
)
|
|
Boeing Co.
|
13
|
12/19/25
|
USD
|
265.00
|
USD
|
281
|
(3,348
)
|
|
Broadcom, Inc.
|
58
|
12/19/25
|
USD
|
380.00
|
USD
|
1,913
|
(70,905
)
|
|
Broadcom, Inc.
|
14
|
12/19/25
|
USD
|
370.00
|
USD
|
462
|
(20,685
)
|
|
Broadcom, Inc.
|
95
|
12/19/25
|
USD
|
410.00
|
USD
|
3,134
|
(65,075
)
|
|
Cameco Corp.
|
19
|
12/19/25
|
USD
|
100.00
|
USD
|
159
|
(5,406
)
|
|
Capital One Financial Corp.
|
30
|
12/19/25
|
USD
|
250.00
|
USD
|
638
|
(7,650
)
|
|
Citigroup, Inc.
|
50
|
12/19/25
|
USD
|
100.00
|
USD
|
508
|
(33,750
)
|
|
CRH PLC
|
32
|
12/19/25
|
USD
|
110.00
|
USD
|
384
|
(44,160
)
|
|
Delta Air Lines, Inc.
|
6
|
12/19/25
|
USD
|
70.00
|
USD
|
34
|
(618
)
|
|
Delta Air Lines, Inc.
|
1,272
|
12/19/25
|
USD
|
72.50
|
USD
|
7,219
|
(101,760
)
|
|
JPMorgan Chase & Co.
|
16
|
12/19/25
|
USD
|
325.00
|
USD
|
505
|
(17,080
)
|
|
Mastercard, Inc., Class A
|
16
|
12/19/25
|
USD
|
650.00
|
USD
|
910
|
(5,336
)
|
|
Meta Platforms, Inc., Class A
|
10
|
12/19/25
|
USD
|
860.00
|
USD
|
734
|
(11,925
)
|
|
Micron Technology, Inc.
|
14
|
12/19/25
|
USD
|
150.00
|
USD
|
234
|
(37,485
)
|
|
Microsoft Corp.
|
104
|
12/19/25
|
USD
|
580.00
|
USD
|
5,387
|
(52,260
)
|
|
NVIDIA Corp.
|
245
|
12/19/25
|
USD
|
220.00
|
USD
|
4,571
|
(100,450
)
|
|
NVIDIA Corp.
|
191
|
12/19/25
|
USD
|
210.00
|
USD
|
3,564
|
(119,375
)
|
|
Oracle Corp.
|
12
|
12/19/25
|
USD
|
280.00
|
USD
|
337
|
(35,280
)
|
|
Oracle Corp.
|
293
|
12/19/25
|
USD
|
330.00
|
USD
|
8,240
|
(366,250
)
|
|
Palantir Technologies, Inc., Class A
|
1
|
12/19/25
|
USD
|
200.00
|
USD
|
18
|
(1,388
)
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
23
|
12/19/25
|
USD
|
270.00
|
USD
|
642
|
(58,592
)
|
|
Tesla, Inc.
|
5
|
12/19/25
|
USD
|
460.00
|
USD
|
222
|
(22,162
)
|
|
Tesla, Inc.
|
2
|
12/19/25
|
USD
|
500.00
|
USD
|
89
|
(6,220
)
|
|
United Airlines Holdings, Inc.
|
8
|
12/19/25
|
USD
|
115.00
|
USD
|
77
|
(2,436
)
|
|
United Airlines Holdings, Inc.
|
362
|
12/19/25
|
USD
|
125.00
|
USD
|
3,493
|
(55,205
)
|
|
Alphabet, Inc., Class C
|
54
|
01/16/26
|
USD
|
250.00
|
USD
|
1,315
|
(84,375
)
|
|
Amazon.com, Inc.
|
59
|
01/16/26
|
USD
|
270.00
|
USD
|
1,295
|
(15,694
)
|
|
Apollo Global Management, Inc.
|
13
|
01/16/26
|
USD
|
170.00
|
USD
|
173
|
(1,625
)
|
|
Apple, Inc.
|
48
|
01/16/26
|
USD
|
270.00
|
USD
|
1,222
|
(38,040
)
|
|
Autodesk, Inc.
|
6
|
01/16/26
|
USD
|
350.00
|
USD
|
191
|
(4,740
)
|
|
Bank of America Corp.
|
122
|
01/16/26
|
USD
|
60.00
|
USD
|
629
|
(6,405
)
|
|
Boeing Co.
|
18
|
01/16/26
|
USD
|
270.00
|
USD
|
388
|
(5,418
)
|
|
Broadcom, Inc.
|
26
|
01/16/26
|
USD
|
380.00
|
USD
|
858
|
(39,910
)
|
|
Cameco Corp.
|
29
|
01/16/26
|
USD
|
95.00
|
USD
|
243
|
(14,717
)
|
|
Capital One Financial Corp.
|
23
|
01/16/26
|
USD
|
260.00
|
USD
|
489
|
(5,233
)
|
|
CRH PLC
|
24
|
01/16/26
|
USD
|
135.00
|
USD
|
288
|
(7,020
)
|
|
DR Horton, Inc.
|
7
|
01/16/26
|
USD
|
210.00
|
USD
|
119
|
(1,715
)
|
|
Eli Lilly & Co.
|
9
|
01/16/26
|
USD
|
900.00
|
USD
|
687
|
(16,267
)
|
|
EQT Corp.
|
31
|
01/16/26
|
USD
|
65.00
|
USD
|
169
|
(3,968
)
|
|
Intuitive Surgical, Inc.
|
4
|
01/16/26
|
USD
|
575.00
|
USD
|
179
|
(1,960
)
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
650
|
01/16/26
|
USD
|
82.00
|
USD
|
5,277
|
(11,700
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call (continued)
|
|
|
|
|
|
|
|
|
JPMorgan Chase & Co.
|
22
|
01/16/26
|
USD
|
350.00
|
USD
|
694
|
$ (11,550
)
|
|
Live Nation Entertainment, Inc.
|
17
|
01/16/26
|
USD
|
195.00
|
USD
|
278
|
(3,358
)
|
|
McKesson Corp.
|
5
|
01/16/26
|
USD
|
840.00
|
USD
|
386
|
(8,925
)
|
|
Meta Platforms, Inc., Class A
|
13
|
01/16/26
|
USD
|
920.00
|
USD
|
955
|
(10,855
)
|
|
Micron Technology, Inc.
|
17
|
01/16/26
|
USD
|
155.00
|
USD
|
284
|
(43,477
)
|
|
Microsoft Corp.
|
34
|
01/16/26
|
USD
|
605.00
|
USD
|
1,761
|
(13,005
)
|
|
Netflix, Inc.
|
1
|
01/16/26
|
USD
|
1,500.00
|
USD
|
120
|
(1,395
)
|
|
NVIDIA Corp.
|
101
|
01/16/26
|
USD
|
230.00
|
USD
|
1,884
|
(40,147
)
|
|
Salesforce, Inc.
|
13
|
01/16/26
|
USD
|
310.00
|
USD
|
308
|
(3,621
)
|
|
Tesla, Inc.
|
10
|
01/16/26
|
USD
|
480.00
|
USD
|
445
|
(44,625
)
|
|
Valero Energy Corp.
|
9
|
01/16/26
|
USD
|
170.00
|
USD
|
153
|
(11,340
)
|
|
Walt Disney Co.
|
19
|
01/16/26
|
USD
|
140.00
|
USD
|
218
|
(1,520
)
|
|
|
|
|
|
|
|
|
(3,857,036
)
|
|
Put
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust
|
521
|
10/10/25
|
USD
|
645.00
|
USD
|
34,708
|
(58,352
)
|
|
Boeing Co.
|
18
|
10/17/25
|
USD
|
200.00
|
USD
|
388
|
(2,169
)
|
|
Circle Internet Group, Inc., Class A
|
127
|
10/17/25
|
USD
|
110.00
|
USD
|
1,684
|
(18,986
)
|
|
Costco Wholesale Corp.
|
5
|
10/17/25
|
USD
|
850.00
|
USD
|
463
|
(408
)
|
|
Freeport-McMoRan, Inc.
|
98
|
10/17/25
|
USD
|
40.00
|
USD
|
384
|
(20,041
)
|
|
Hilton Worldwide Holdings, Inc.
|
7
|
10/17/25
|
USD
|
230.00
|
USD
|
182
|
(420
)
|
|
Intuitive Surgical, Inc.
|
4
|
10/17/25
|
USD
|
410.00
|
USD
|
179
|
(660
)
|
|
Live Nation Entertainment, Inc.
|
17
|
10/17/25
|
USD
|
135.00
|
USD
|
278
|
(2,083
)
|
|
McKesson Corp.
|
5
|
10/17/25
|
USD
|
590.00
|
USD
|
386
|
(2,500
)
|
|
Meta Platforms, Inc., Class A
|
39
|
10/17/25
|
USD
|
700.00
|
USD
|
2,864
|
(23,302
)
|
|
Rheinmetall AG
|
6
|
10/17/25
|
EUR
|
1,400.00
|
EUR
|
1,191
|
(3,737
)
|
|
SPDR S&P Regional Banking ETF
|
533
|
10/17/25
|
USD
|
59.00
|
USD
|
3,374
|
(16,523
)
|
|
Walt Disney Co.
|
19
|
10/17/25
|
USD
|
105.00
|
USD
|
218
|
(475
)
|
|
Alphabet, Inc., Class C
|
25
|
11/21/25
|
USD
|
210.00
|
USD
|
609
|
(6,463
)
|
|
Amazon.com, Inc.
|
133
|
11/21/25
|
USD
|
200.00
|
USD
|
2,920
|
(51,205
)
|
|
Apple, Inc.
|
44
|
11/21/25
|
USD
|
230.00
|
USD
|
1,120
|
(9,702
)
|
|
Citigroup, Inc.
|
126
|
11/21/25
|
USD
|
90.00
|
USD
|
1,279
|
(15,246
)
|
|
DR Horton, Inc.
|
32
|
11/21/25
|
USD
|
145.00
|
USD
|
542
|
(5,920
)
|
|
DR Horton, Inc.
|
32
|
11/21/25
|
USD
|
155.00
|
USD
|
542
|
(12,160
)
|
|
Euro Stoxx Banks
|
201
|
11/21/25
|
EUR
|
205.00
|
EUR
|
2,346
|
(18,584
)
|
|
Intel Corp.
|
713
|
11/21/25
|
USD
|
25.00
|
USD
|
2,392
|
(20,320
)
|
|
Intuit, Inc.
|
15
|
11/21/25
|
USD
|
630.00
|
USD
|
1,024
|
(17,550
)
|
|
McDonald’s Corp.
|
53
|
11/21/25
|
USD
|
285.00
|
USD
|
1,611
|
(13,303
)
|
|
MongoDB, Inc., Class A
|
29
|
11/21/25
|
USD
|
260.00
|
USD
|
900
|
(11,237
)
|
|
SPDR Gold Shares(a)
|
1,548
|
11/21/25
|
USD
|
335.00
|
USD
|
55,027
|
(342,882
)
|
|
Walt Disney Co.
|
64
|
11/21/25
|
USD
|
100.00
|
USD
|
733
|
(6,496
)
|
|
Alphabet, Inc., Class C
|
97
|
12/19/25
|
USD
|
200.00
|
USD
|
2,362
|
(24,056
)
|
|
Booking Holdings, Inc.
|
5
|
12/19/25
|
USD
|
4,900.00
|
USD
|
2,700
|
(56,125
)
|
|
Broadcom, Inc.
|
95
|
12/19/25
|
USD
|
300.00
|
USD
|
3,134
|
(139,650
)
|
|
EQT Corp.
|
488
|
12/19/25
|
USD
|
42.00
|
USD
|
2,656
|
(18,300
)
|
|
EQT Corp.
|
488
|
12/19/25
|
USD
|
45.00
|
USD
|
2,656
|
(36,600
)
|
|
NVIDIA Corp.
|
191
|
12/19/25
|
USD
|
160.00
|
USD
|
3,564
|
(84,995
)
|
|
SPDR Gold Shares(a)
|
482
|
12/19/25
|
USD
|
310.00
|
USD
|
17,134
|
(33,740
)
|
|
Valero Energy Corp.
|
84
|
12/19/25
|
USD
|
135.00
|
USD
|
1,430
|
(10,038
)
|
|
Amazon.com, Inc.
|
59
|
01/16/26
|
USD
|
180.00
|
USD
|
1,295
|
(15,635
)
|
|
Apollo Global Management, Inc.
|
13
|
01/16/26
|
USD
|
110.00
|
USD
|
173
|
(3,575
)
|
|
Boeing Co.
|
18
|
01/16/26
|
USD
|
180.00
|
USD
|
388
|
(5,625
)
|
|
Boston Scientific Corp.
|
41
|
01/16/26
|
USD
|
90.00
|
USD
|
400
|
(8,917
)
|
|
Costco Wholesale Corp.
|
5
|
01/16/26
|
USD
|
840.00
|
USD
|
463
|
(6,025
)
|
|
CRH PLC
|
24
|
01/16/26
|
USD
|
90.00
|
USD
|
288
|
(2,520
)
|
|
EQT Corp.
|
31
|
01/16/26
|
USD
|
40.00
|
USD
|
169
|
(1,271
)
|
|
Intuit, Inc.
|
2
|
01/16/26
|
USD
|
560.00
|
USD
|
137
|
(1,350
)
|
|
Intuitive Surgical, Inc.
|
4
|
01/16/26
|
USD
|
380.00
|
USD
|
179
|
(3,780
)
|
|
Live Nation Entertainment, Inc.
|
17
|
01/16/26
|
USD
|
130.00
|
USD
|
278
|
(2,975
)
|
|
McKesson Corp.
|
5
|
01/16/26
|
USD
|
580.00
|
USD
|
386
|
(1,100
)
|
|
Meta Platforms, Inc., Class A
|
13
|
01/16/26
|
USD
|
600.00
|
USD
|
955
|
(12,870
)
|
|
Microsoft Corp.
|
34
|
01/16/26
|
USD
|
420.00
|
USD
|
1,761
|
(9,333
)
|
|
Description
|
Number of
Contracts
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Put (continued)
|
|
|
|
|
|
|
|
|
Netflix, Inc.
|
1
|
01/16/26
|
USD
|
970.00
|
USD
|
120
|
$ (1,390
)
|
|
NextEra Energy, Inc.
|
49
|
01/16/26
|
USD
|
60.00
|
USD
|
370
|
(2,254
)
|
|
NVIDIA Corp.
|
101
|
01/16/26
|
USD
|
140.00
|
USD
|
1,884
|
(24,694
)
|
|
Salesforce, Inc.
|
13
|
01/16/26
|
USD
|
195.00
|
USD
|
308
|
(5,298
)
|
|
Walt Disney Co.
|
19
|
01/16/26
|
USD
|
95.00
|
USD
|
218
|
(2,071
)
|
|
|
|
|
|
|
|
|
(1,194,911
)
|
|
|
|
|
|
|
|
|
$ (5,051,947
)
|
|
(a)
|
All or a portion of the security is held by a wholly-owned subsidiary.
|
|
Description
|
Counterparty
|
Expiration
Date
|
Exercise Price
|
Notional
Amount (000)
|
Value
|
||
|
Call
|
|
|
|
|
|
|
|
|
USD Currency
|
Deutsche Bank AG
|
10/08/25
|
JPY
|
151.00
|
USD
|
14,395
|
$ (7,989
)
|
|
Put
|
|
|
|
|
|
|
|
|
EUR Currency
|
JPMorgan Chase Bank N.A.
|
10/01/25
|
USD
|
1.17
|
EUR
|
16,093
|
(265
)
|
|
EUR Currency
|
Bank of America N.A.
|
10/08/25
|
USD
|
1.14
|
EUR
|
12,476
|
(498
)
|
|
USD Currency
|
Bank of America N.A.
|
12/12/25
|
IDR
|
16,000.00
|
USD
|
4,659
|
(6,285
)
|
|
USD Currency
|
Citibank N.A.
|
12/12/25
|
BRL
|
5.25
|
USD
|
4,659
|
(32,217
)
|
|
USD Currency
|
HSBC Bank PLC
|
12/12/25
|
ZAR
|
16.80
|
USD
|
4,605
|
(23,269
)
|
|
USD Currency
|
Citibank N.A.
|
12/15/25
|
MXN
|
18.00
|
USD
|
4,659
|
(26,570
)
|
|
|
|
|
|
|
|
|
(89,104
)
|
|
|
|
|
|
|
|
|
$ (97,093
)
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Call
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Interest Rate Swap, 11/01/55
|
3.50%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
10/30/25
|
3.50
%
|
USD
|
7,658
|
$ (5,215
)
|
|
5-Year Interest Rate Swap, 11/16/30
|
3.10%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
Goldman Sachs
International
|
11/14/25
|
3.10
|
USD
|
18,980
|
(25,945
)
|
|
5-Year Interest Rate Swap, 11/20/30
|
3.10%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
11/18/25
|
3.10
|
USD
|
23,660
|
(36,096
)
|
|
5-Year Interest Rate Swap, 11/22/30
|
3.05%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
11/20/25
|
3.05
|
USD
|
23,381
|
(29,546
)
|
|
5-Year Interest Rate Swap, 11/23/30
|
3.07%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
Goldman Sachs
International
|
11/21/25
|
3.07
|
USD
|
23,668
|
(33,827
)
|
|
30-Year Interest Rate Swap, 11/28/55
|
3.15%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
Goldman Sachs
International
|
11/26/25
|
3.15
|
USD
|
11,435
|
(4,534
)
|
|
2-Year Interest Rate Swap, 12/24/27
|
2.85%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
Morgan Stanley & Co.
International PLC
|
12/22/25
|
2.85
|
USD
|
107,738
|
(72,032
)
|
|
10-Year Interest Rate Swap, 01/01/36
|
3.30%
|
Annual
|
1-day SOFR,
4.24%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/30/25
|
3.30
|
USD
|
9,069
|
(34,063
)
|
|
|
|
|
|
|
|
|
|
|
|
(241,258
)
|
|
Put
|
|
|
|
|
|
|
|
|
|
|
|
5-Year Interest Rate Swap, 12/14/30
|
1-day SOFR,
4.24%
|
Annual
|
3.55%
|
Annual
|
Goldman Sachs
International
|
12/12/25
|
3.55
|
USD
|
25,403
|
(78,714
)
|
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
||
|
Description
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Expiration
Date
|
Exercise
Rate
|
Notional
Amount (000)
|
Value
|
|
|
Put (continued)
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 01/01/36
|
1-day SOFR,
4.24%
|
Annual
|
4.00%
|
Annual
|
JPMorgan Chase
Bank N.A.
|
12/30/25
|
4.00
%
|
USD
|
9,069
|
$ (32,367
)
|
|
2-Year Interest Rate Swap, 09/22/29
|
1-day SOFR,
4.24%
|
Annual
|
4.30%
|
Annual
|
Goldman Sachs
International
|
09/20/27
|
4.30
|
USD
|
72,339
|
(201,102
)
|
|
|
|
|
|
|
|
|
|
|
|
(312,183
)
|
|
|
|
|
|
|
|
|
|
|
|
$ (553,441
)
|
|
Reference Obligation/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.44.V1
|
5.00
%
|
Quarterly
|
06/20/30
|
USD
|
4,216
|
$ (342,478
)
|
$ (278,028
)
|
$ (64,450
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
CDX.NA.HY.41.V2
|
5.00
%
|
Quarterly
|
12/20/28
|
B
|
USD
|
3,368
|
$ 268,237
|
$ 68,753
|
$ 199,484
|
|
iTraxx.XO.42.V3
|
5.00
|
Quarterly
|
12/20/29
|
B
|
EUR
|
23,079
|
2,779,002
|
1,789,286
|
989,716
|
|
iTraxx.XO.43.V2
|
5.00
|
Quarterly
|
06/20/30
|
B
|
EUR
|
951
|
121,674
|
88,582
|
33,092
|
|
|
|
|
|
|
|
|
$ 3,168,913
|
$ 1,946,621
|
$ 1,222,292
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
1-day SOFR, 4.24%
|
Annual
|
5.00%
|
Annual
|
N/A
|
10/02/25
|
USD
|
169,290
|
$ 848,259
|
$ 40
|
$ 848,219
|
|
0.28%
|
Annual
|
Tokyo Overnight Average
Rate, 0.48%
|
Annual
|
N/A
|
03/09/26
|
JPY
|
2,893,937
|
52,553
|
21
|
52,532
|
|
1-day SOFR, 4.24%
|
Annual
|
4.40%
|
Annual
|
N/A
|
04/08/26
|
USD
|
43,825
|
117,406
|
52
|
117,354
|
|
1-day SOFR, 4.24%
|
Annual
|
4.45%
|
Annual
|
N/A
|
04/09/26
|
USD
|
16,044
|
51,364
|
19
|
51,345
|
|
1-day SOFR, 4.24%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/18/26
|
USD
|
25,216
|
(14,462
)
|
32
|
(14,494
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.30%
|
Annual
|
N/A
|
04/24/26
|
USD
|
30,249
|
61,881
|
39
|
61,842
|
|
1-day SOFR, 4.24%
|
Annual
|
4.50%
|
Annual
|
N/A
|
05/08/26
|
USD
|
25,254
|
110,336
|
35
|
110,301
|
|
1-day SOFR, 4.24%
|
Annual
|
4.35%
|
Annual
|
N/A
|
07/22/26
|
USD
|
11,267
|
54,004
|
21
|
53,983
|
|
4.69%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
10/02/26
|
USD
|
115,533
|
(1,388,161
)
|
(8,628
)
|
(1,379,533
)
|
|
1-day SOFR, 4.24%
|
At Termination
|
4.17%
|
At Termination
|
10/23/25
(a)
|
10/23/26
|
USD
|
19,696
|
113,225
|
36
|
113,189
|
|
1-day SOFR, 4.24%
|
At Termination
|
4.21%
|
At Termination
|
10/27/25
(a)
|
10/27/26
|
USD
|
39,419
|
247,118
|
72
|
247,046
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
10/28/26
|
USD
|
39,747
|
(15,826
)
|
98
|
(15,924
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.07%
|
Annual
|
N/A
|
01/14/27
|
USD
|
36,165
|
149,392
|
107
|
149,285
|
|
1-day SOFR, 4.24%
|
Annual
|
3.47%
|
Annual
|
N/A
|
03/10/27
|
USD
|
9,910
|
(56,773
)
|
32
|
(56,805
)
|
|
1-day MIBOR, 5.74%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/27
|
INR
|
203,365
|
30,085
|
16
|
30,069
|
|
1-day SOFR, 4.24%
|
Annual
|
4.10%
|
Annual
|
N/A
|
05/30/27
|
USD
|
30,153
|
281,209
|
112
|
281,097
|
|
1-day SOFR, 4.24%
|
Annual
|
4.15%
|
Annual
|
N/A
|
05/30/27
|
USD
|
30,153
|
310,519
|
119
|
310,400
|
|
1-day SOFR, 4.24%
|
Annual
|
3.30%
|
Annual
|
10/23/25
(a)
|
10/23/27
|
USD
|
7,036
|
(8,629
)
|
32
|
(8,661
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.20%
|
Annual
|
10/23/25
(a)
|
10/23/27
|
USD
|
10,250
|
165,050
|
47
|
165,003
|
|
1-day SOFR, 4.24%
|
Annual
|
3.92%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
4,880
|
53,812
|
22
|
53,790
|
|
1-day SOFR, 4.24%
|
Annual
|
3.95%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
4,880
|
56,623
|
22
|
56,601
|
|
Paid by the Trust
|
Received by the Trust
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
|||||||
|
1-day SOFR, 4.24%
|
Annual
|
3.99%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
9,761
|
$ 119,803
|
$ 44
|
$ 119,759
|
|
1-day SOFR, 4.24%
|
Annual
|
4.07%
|
Annual
|
11/03/25
(a)
|
11/03/27
|
USD
|
19,787
|
275,227
|
90
|
275,137
|
|
1-day SOFR, 4.24%
|
Annual
|
3.86%
|
Annual
|
11/10/25
(a)
|
11/10/27
|
USD
|
20,267
|
204,185
|
92
|
204,093
|
|
1-day SOFR, 4.24%
|
Annual
|
3.48%
|
Annual
|
01/23/26
(a)
|
01/23/28
|
USD
|
27,289
|
111,189
|
118
|
111,071
|
|
3.45%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
01/26/28
|
USD
|
24,493
|
(84,384
)
|
106
|
(84,490
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/26/28
|
USD
|
24,493
|
341,100
|
106
|
340,994
|
|
3.27%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
02/05/26
(a)
|
02/05/28
|
USD
|
24,747
|
(5,866
)
|
107
|
(5,973
)
|
|
1-day SOFR, 4.24%
|
Annual
|
3.87%
|
Annual
|
02/05/26
(a)
|
02/05/28
|
USD
|
24,747
|
289,318
|
107
|
289,211
|
|
1-day SONIA, 3.97%
|
At Termination
|
3.18%
|
At Termination
|
02/10/27
(a)
|
02/10/28
|
GBP
|
85,657
|
(548,937
)
|
524
|
(549,461
)
|
|
1-day SONIA, 3.97%
|
Annual
|
4.86%
|
Annual
|
N/A
|
06/20/28
|
GBP
|
6,480
|
259,888
|
(11
)
|
259,899
|
|
1-day SOFR, 4.24%
|
Annual
|
3.50%
|
Annual
|
N/A
|
08/20/28
|
USD
|
22,532
|
71,856
|
96
|
71,760
|
|
1-day SOFR, 4.24%
|
Annual
|
4.42%
|
Annual
|
N/A
|
10/02/28
|
USD
|
81,301
|
2,423,137
|
12,095
|
2,411,042
|
|
1-day SOFR, 4.24%
|
Annual
|
4.40%
|
Annual
|
N/A
|
10/31/28
|
USD
|
13,191
|
398,099
|
80
|
398,019
|
|
1-day SONIA, 3.97%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/17/28
|
GBP
|
6,091
|
60,802
|
188
|
60,614
|
|
1-day SONIA, 3.97%
|
Annual
|
4.12%
|
Annual
|
N/A
|
11/21/28
|
GBP
|
6,085
|
61,640
|
191
|
61,449
|
|
1-day SOFR, 4.24%
|
Annual
|
3.25%
|
Annual
|
12/15/26
(a)
|
12/15/28
|
USD
|
21,232
|
18,575
|
97
|
18,478
|
|
6-mo. EURIBOR, 2.10%
|
Semi-Annual
|
3.00%
|
Annual
|
N/A
|
03/05/29
|
EUR
|
15,660
|
720,289
|
117
|
720,172
|
|
1-day MIBOR, 5.74%
|
Semi-Annual
|
6.26%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
62,930
|
14,679
|
8
|
14,671
|
|
1-day MIBOR, 5.74%
|
Semi-Annual
|
6.30%
|
Semi-Annual
|
N/A
|
03/20/29
|
INR
|
76,915
|
18,963
|
10
|
18,953
|
|
1-day SOFR, 4.24%
|
Annual
|
3.79%
|
Annual
|
N/A
|
03/29/29
|
USD
|
35,313
|
403,550
|
229
|
403,321
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/08/29
|
USD
|
21,208
|
416,791
|
143
|
416,648
|
|
1-day SOFR, 4.24%
|
Annual
|
4.05%
|
Annual
|
N/A
|
04/09/29
|
USD
|
16,044
|
345,990
|
108
|
345,882
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/18/29
|
USD
|
25,216
|
501,566
|
171
|
501,395
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
04/24/29
|
USD
|
12,604
|
252,875
|
86
|
252,789
|
|
6-mo. EURIBOR, 2.10%
|
Semi-Annual
|
2.90%
|
Annual
|
N/A
|
04/30/29
|
EUR
|
17,653
|
500,961
|
135
|
500,826
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
05/06/29
|
USD
|
25,231
|
514,661
|
174
|
514,487
|
|
6-mo. EURIBOR, 2.10%
|
Semi-Annual
|
2.87%
|
Annual
|
N/A
|
06/11/29
|
EUR
|
12,874
|
346,204
|
104
|
346,100
|
|
1-day SOFR, 4.24%
|
Annual
|
3.66%
|
Annual
|
N/A
|
10/10/29
|
USD
|
12,616
|
38,895
|
97
|
38,798
|
|
1-day TIIEFONDEO, 7.85%
|
Monthly
|
9.04%
|
Monthly
|
N/A
|
11/14/29
|
MXN
|
81,548
|
291,100
|
31
|
291,069
|
|
1-day SONIA, 3.97%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/16/30
|
GBP
|
13,498
|
87,740
|
411
|
87,329
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/23/30
|
USD
|
13,498
|
303,343
|
111
|
303,232
|
|
1-day SOFR, 4.24%
|
Annual
|
3.23%
|
Annual
|
N/A
|
02/19/30
|
USD
|
14,200
|
(187,549
)
|
119
|
(187,668
)
|
|
1-day SOFR, 4.24%
|
Annual
|
3.90%
|
Annual
|
N/A
|
02/24/30
|
USD
|
12,058
|
223,671
|
101
|
223,570
|
|
6-mo. EURIBOR, 2.10%
|
Semi-Annual
|
2.20%
|
Annual
|
N/A
|
06/04/30
|
EUR
|
2,989
|
(23,423
)
|
32
|
(23,455
)
|
|
0.02%
|
Annual
|
6-mo. EURIBOR, 2.10%
|
Semi-Annual
|
N/A
|
08/26/31
|
EUR
|
9,317
|
1,475,219
|
123
|
1,475,096
|
|
1-day ESTR, 2,197.53%
|
Annual
|
2.34%
|
Annual
|
01/19/28
(a)
|
01/19/33
|
EUR
|
7,414
|
(70,087
)
|
104
|
(70,191
)
|
|
1-day SOFR, 4.24%
|
Annual
|
3.14%
|
Annual
|
05/12/28
(a)
|
05/12/33
|
USD
|
13,769
|
(289,372
)
|
127
|
(289,499
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.31%
|
Annual
|
N/A
|
09/29/33
|
USD
|
121,626
|
6,418,140
|
8,767
|
6,409,373
|
|
4.40%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
11/01/33
|
USD
|
11,317
|
(662,428
)
|
158
|
(662,586
)
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/12/34
|
USD
|
9,940
|
276,813
|
135
|
276,678
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
01/17/34
|
USD
|
2,863
|
79,800
|
39
|
79,761
|
|
1-day MIBOR, 5.74%
|
Semi-Annual
|
6.34%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
25,865
|
8,324
|
5
|
8,319
|
|
1-day MIBOR, 5.74%
|
Semi-Annual
|
6.35%
|
Semi-Annual
|
N/A
|
03/20/34
|
INR
|
25,865
|
8,514
|
5
|
8,509
|
|
1-day SOFR, 4.24%
|
Annual
|
3.66%
|
Annual
|
N/A
|
10/10/34
|
USD
|
8,496
|
(38,882
)
|
129
|
(39,011
)
|
|
1-day SOFR, 4.24%
|
Annual
|
3.67%
|
Annual
|
N/A
|
12/26/34
|
USD
|
13,998
|
(30,002
)
|
216
|
(30,218
)
|
|
1-day SOFR, 4.24%
|
Annual
|
3.70%
|
Annual
|
N/A
|
01/06/35
|
USD
|
10,993
|
6,224
|
170
|
6,054
|
|
1-day SOFR, 4.24%
|
Annual
|
3.75%
|
Annual
|
N/A
|
03/27/35
|
USD
|
10,876
|
66,919
|
173
|
66,746
|
|
1-day SOFR, 4.24%
|
Annual
|
3.75%
|
Annual
|
N/A
|
07/09/35
|
USD
|
5,392
|
38,038
|
86
|
37,952
|
|
3.46%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
12/15/26
(a)
|
12/15/36
|
USD
|
4,853
|
113,654
|
80
|
113,574
|
|
4.25%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
09/29/43
|
USD
|
1,467
|
(56,645
)
|
935
|
(57,580
)
|
|
3.65%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
310,820
|
163
|
310,657
|
|
1-day SOFR, 4.24%
|
Annual
|
4.00%
|
Annual
|
N/A
|
11/03/53
|
USD
|
5,251
|
19,216
|
163
|
19,053
|
|
3.65%
|
Annual
|
1-day SOFR, 4.24%
|
Annual
|
N/A
|
11/02/54
|
USD
|
31,110
|
1,825,647
|
9,739
|
1,815,908
|
|
1-day SONIA, 3.97%
|
Annual
|
4.10%
|
Annual
|
N/A
|
11/07/54
|
GBP
|
4,800
|
(583,509
)
|
22,607
|
(606,116
)
|
|
|
|
|
$ 18,901,326
|
$ 52,487
|
$ 18,848,839
|
|||||
|
(a)
|
Forward Swap.
|
|
Paid by the Trust
|
Received by the Trust
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||
|
Reference
|
Frequency
|
Rate
|
Frequency
|
|
|||||
|
Eurostat Eurozone HICP Ex
Tobacco Unrevised
|
At Termination
|
2.69%
|
At Termination
|
08/15/32
|
EUR
|
1,425
|
$ 58,894
|
$ 30
|
$ 58,864
|
|
Reference Obligations/Index
|
Financing
Rate Paid
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
UBS Group AG
|
1.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
3,700
|
$ (85,034
)
|
$ 74,627
|
$ (159,661
)
|
|
UBS Group AG
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/28
|
EUR
|
2,160
|
(49,641
)
|
42,060
|
(91,701
)
|
|
Boeing, Co.
|
1.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
USD
|
800
|
(13,571
)
|
(2,614
)
|
(10,957
)
|
|
Boeing, Co.
|
1.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/29
|
USD
|
800
|
(14,279
)
|
7,363
|
(21,642
)
|
|
TIM S.p.A.
|
1.00
|
Quarterly
|
Goldman Sachs International
|
12/20/29
|
EUR
|
190
|
(164
)
|
8,048
|
(8,212
)
|
|
|
|
|
|
|
|
|
$ (162,689
)
|
$ 129,484
|
$ (292,173
)
|
|
Reference Obligation/Index
|
Financing
Rate Received
by the Trust
|
Payment
Frequency
|
Counterparty
|
Termination
Date
|
Credit
Rating(a)
|
Notional
Amount (000)(b)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Vistra Operations Company LLC
|
5.00
%
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/25
|
BB+
|
USD
|
642
|
$ 7,381
|
$ 2,711
|
$ 4,670
|
|
ZF Europe Finance B.V.
|
5.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/28
|
BB-
|
EUR
|
145
|
10,394
|
11,238
|
(844
)
|
|
Eutelsat S.A.
|
5.00
|
Quarterly
|
Deutsche Bank AG
|
12/20/29
|
NR
|
EUR
|
102
|
13,623
|
(8,816
)
|
22,439
|
|
Faurecia SE
|
5.00
|
Quarterly
|
Goldman Sachs International
|
12/20/29
|
BB-
|
EUR
|
103
|
12,968
|
6,384
|
6,584
|
|
iTraxx.XO.42 10-20%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
B
|
EUR
|
290
|
21,954
|
18,461
|
3,493
|
|
iTraxx.XO.42 10-20%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
B
|
EUR
|
290
|
21,953
|
18,900
|
3,053
|
|
iTraxx.XO.42.V3 20-35%
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/29
|
B
|
EUR
|
662
|
108,629
|
82,778
|
25,851
|
|
Eutelsat S.A.
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
06/20/30
|
NR
|
EUR
|
89
|
11,999
|
2,749
|
9,250
|
|
Eutelsat S.A.
|
5.00
|
Quarterly
|
BNP Paribas SA
|
12/20/30
|
NR
|
EUR
|
143
|
19,368
|
19,257
|
111
|
|
Vistra Operations Company LLC
|
5.00
|
Quarterly
|
JPMorgan Chase Bank N.A.
|
12/20/30
|
BB+
|
USD
|
80
|
15,153
|
15,262
|
(109
)
|
|
|
|
|
|
|
|
|
|
$ 243,422
|
$ 168,924
|
$ 74,498
|
|
(a)
|
Using the rating of the issuer or the underlying securities of the index, as applicable,
provided by S&P Global Ratings.
|
|
(b)
|
The maximum potential amount the Trust may pay should a negative credit event take
place as defined under the terms of the agreement.
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
China Fixing Repo
Rates 7-day,
1.65%
|
Quarterly
|
2.60%
|
Quarterly
|
Morgan Stanley & Co.
International PLC
|
N/A
|
09/15/26
|
CNY
|
157,107
|
$ 224,498
|
$ —
|
$ 224,498
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.06%
|
At Termination
|
JPMorgan Chase Bank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,158
|
(289,438
)
|
—
|
(289,438
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.07%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
12,635
|
(261,278
)
|
—
|
(261,278
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.16%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
17,910
|
(360,029
)
|
—
|
(360,029
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.16%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
96
|
(1,928
)
|
—
|
(1,928
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.16%
|
At Termination
|
BNP Paribas SA
|
N/A
|
01/04/27
|
BRL
|
17,183
|
(345,127
)
|
—
|
(345,127
)
|
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate
|
Frequency
|
Rate
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.35%
|
At Termination
|
Barclays Bank PLC
|
N/A
|
01/04/27
|
BRL
|
29,050
|
$ (531,242
)
|
$ —
|
$ (531,242
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
9.99%
|
At Termination
|
Citibank N.A.
|
N/A
|
01/04/27
|
BRL
|
14,191
|
(297,375
)
|
—
|
(297,375
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.00%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/04/27
|
BRL
|
14,578
|
(300,093
)
|
—
|
(300,093
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
10.03%
|
At Termination
|
Morgan Stanley & Co.
International PLC
|
N/A
|
01/04/27
|
BRL
|
14,173
|
(293,139
)
|
—
|
(293,139
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
12.95%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
6,259
|
(13,147
)
|
—
|
(13,147
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
13.00%
|
At Termination
|
Barclays Bank PLC
|
N/A
|
01/02/29
|
BRL
|
11,207
|
(19,737
)
|
—
|
(19,737
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
13.00%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
7,285
|
(12,829
)
|
—
|
(12,829
)
|
|
1-day BZDIOVER,
0.06%
|
At Termination
|
13.12%
|
At Termination
|
Bank of America N.A.
|
N/A
|
01/02/29
|
BRL
|
29,259
|
(30,740
)
|
—
|
(30,740
)
|
|
|
|
|
|
$ (2,531,604
)
|
$ —
|
$ (2,531,604
)
|
|||||
|
Paid by the Trust
|
Received by the Trust
|
|
|
|
|
|
|
|
|
||
|
Rate/Reference
|
Frequency
|
Rate/Reference
|
Frequency
|
Counterparty
|
Effective
Date
|
Termination
Date
|
Notional
Amount (000)
|
Value
|
Upfront
Premium
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
|
At Termination
|
1-day SOFR minus
0.69%, 4.24%
|
At Termination
|
Goldman Sachs
International
|
N/A
|
12/19/25
|
USD
|
7,445
|
$ 24,433
|
$ —
|
$ 24,433
|
|
iShares iBoxx $
Investment Grade
Corporate Bond
ETF
|
At Termination
|
1-day SOFR minus
0.50%, 4.24%
|
At Termination
|
JPMorgan Chase
Bank N.A.
|
N/A
|
12/19/25
|
USD
|
5,826
|
19,397
|
—
|
19,397
|
|
1-day SOFR minus
0.25%, 4.24%
|
At Termination
|
iShares iBoxx $ High
Yield Corporate
Bond ETF
|
At Termination
|
BNP Paribas SA
|
N/A
|
12/19/25
|
USD
|
4,339
|
(7,972
)
|
—
|
(7,972
)
|
|
1-day SOFR minus
0.20%, 4.24%
|
At Termination
|
iShares iBoxx $ High
Yield Corporate
Bond ETF
|
At Termination
|
JPMorgan Chase
Bank N.A.
|
N/A
|
12/19/25
|
USD
|
2,836
|
(5,246
)
|
—
|
(5,246
)
|
|
1-day SOFR minus
0.15%, 4.24%
|
At Termination
|
iShares iBoxx $ High
Yield Corporate
Bond ETF
|
At Termination
|
JPMorgan Chase
Bank N.A.
|
N/A
|
12/19/25
|
USD
|
5,272
|
7,285
|
—
|
7,285
|
|
1-day SOFR plus
0.25%, 4.24%
|
At Termination
|
iShares Broad USD
High Yield
Corporate Bond
ETF
|
At Termination
|
BNP Paribas SA
|
N/A
|
12/19/25
|
USD
|
2,443
|
(3,971
)
|
—
|
(3,971
)
|
|
|
|
|
|
|
|
|
|
|
$ 33,926
|
$ —
|
$ 33,926
|
|
Reference Entity
|
Counterparty
|
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts(a)
|
||||||||
|
AMC Networks, Inc., Class A
|
Barclays Bank PLC
|
$ 214,446
|
08/23/26
|
0.20%
|
1D OBFR01
|
Monthly
|
$ 9,797
|
|
|
AMC Networks, Inc., Class A
|
JPMorgan Chase Bank N.A.
|
438,965
|
02/09/26
|
0.20%
|
1D OBFR01
|
Monthly
|
18,313
|
|
|
Reference Entity
|
Counterparty
|
|
Notional Amount
|
Termination
Date
|
Spread
|
Reference Rate
|
Payment
Frequency
|
Value/ Unrealized
Appreciation
(Depreciation)
|
|
Long Contracts(a) (continued)
|
||||||||
|
Eagle Bancorp, Inc.
|
JPMorgan Chase Bank N.A.
|
$ 67,671
|
02/09/26
|
0.20%
|
1D OBFR01
|
Monthly
|
$ 1,401
|
|
|
Flagstar Financial, Inc.
|
JPMorgan Chase Bank N.A.
|
1,164,893
|
02/09/26
|
0.20%
|
1D OBFR01
|
Monthly
|
(120,288
)
|
|
|
Total long positions of equity swaps
|
|
|
|
|
(90,777
)
|
|||
|
Short Contracts(b)
|
||||||||
|
Accelerant Holdings, Class A
|
Citibank N.A.
|
(206,483)
|
02/24/28
|
(0.15)%
|
1D OBFR01
|
Monthly
|
15,043
|
|
|
Atlantic Union Bankshares Corp.
|
JPMorgan Chase Bank N.A.
|
(55,025)
|
02/09/26
|
(0.15)%
|
1D OBFR01
|
Monthly
|
325
|
|
|
Bullish
|
Barclays Bank PLC
|
(1,008,230)
|
08/23/26
|
(1.75)%
|
1D OBFR01
|
Monthly
|
79,970
|
|
|
Community Financial System, Inc.
|
JPMorgan Chase Bank N.A.
|
(85,286)
|
02/09/26
|
(0.15)%
|
1D OBFR01
|
Monthly
|
2,251
|
|
|
CVB Financial Corp.
|
JPMorgan Chase Bank N.A.
|
(75,568)
|
02/09/26
|
(0.15)%
|
1D OBFR01
|
Monthly
|
4,826
|
|
|
iShares iBoxx $ Investment Grade
Corporate Bond ETF
|
JPMorgan Chase Bank N.A.
|
(2,404,453)
|
02/09/26
|
(0.59)%
|
1D OBFR01
|
Monthly
|
1,940
|
|
|
Provident Financial Services, Inc.
|
JPMorgan Chase Bank N.A.
|
(104,077)
|
02/09/26
|
(0.15)%
|
1D OBFR01
|
Monthly
|
3,243
|
|
|
Servisfirst Bancshares, Inc.
|
JPMorgan Chase Bank N.A.
|
(109,817)
|
02/09/26
|
(0.15)%
|
1D OBFR01
|
Monthly
|
7,544
|
|
|
SPDR Bloomberg High Yield Bond
ETF
|
Citibank N.A.
|
(4,883,185)
|
02/24/28
|
(0.48)%
|
1D OBFR01
|
Monthly
|
9,946
|
|
|
Vanguard Intermediate-Term
Corporate Bond ETF
|
JPMorgan Chase Bank N.A.
|
(1,614,670)
|
02/09/26
|
(1.34)%
|
1D OBFR01
|
Monthly
|
767
|
|
|
Total short positions of equity swaps
|
|
|
|
|
125,855
|
|||
|
Total long and short positions of equity swaps
|
|
|
|
|
35,078
|
|||
|
Net dividends and financing fees
|
|
|
|
|
(18,397
)
|
|||
|
Total equity swap contracts including dividends and financing fees
|
|
|
|
|
$ 16,681
|
|||
|
(a)
|
The Trust receives the total return on a reference entity and pays a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon the
country and/or currency of the individual underlying position.
|
|
(b)
|
The Trust pays the total return on a reference entity and receives a variable rate
of interest, based on a specified benchmark. The benchmark and spread are determined
based upon the
country and/or currency of the individual underlying position.
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Assets
|
|
|
|
|
|
Investments
|
|
|
|
|
|
Long-Term Investments
|
|
|
|
|
|
Asset-Backed Securities
|
$ —
|
$ 72,867,255
|
$ 6,314,984
|
$ 79,182,239
|
|
Common Stocks
|
|
|
|
|
|
Canada
|
18,868,054
|
—
|
—
|
18,868,054
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Common Stocks (continued)
|
|
|
|
|
|
Cayman Islands
|
$ 2,141,087
|
$ —
|
$ —
|
$ 2,141,087
|
|
Chile
|
—
|
—
|
13,777
|
13,777
|
|
China
|
662,552
|
13,627,287
|
—
|
14,289,839
|
|
Denmark
|
—
|
6,478,662
|
—
|
6,478,662
|
|
France
|
—
|
24,566,507
|
—
|
24,566,507
|
|
Germany
|
—
|
3,140,774
|
—
|
3,140,774
|
|
India
|
—
|
—
|
—
|
—
|
|
Israel
|
—
|
—
|
3,966
|
3,966
|
|
Italy
|
—
|
23,879,856
|
—
|
23,879,856
|
|
Japan
|
—
|
731,901
|
—
|
731,901
|
|
Macau
|
—
|
495,694
|
—
|
495,694
|
|
Netherlands
|
—
|
16,658,063
|
—
|
16,658,063
|
|
Spain
|
—
|
6,427,819
|
—
|
6,427,819
|
|
Sweden
|
—
|
—
|
—
|
—
|
|
Taiwan
|
21,545,827
|
—
|
—
|
21,545,827
|
|
United Kingdom
|
3,639,800
|
34,425,453
|
404,030
|
38,469,283
|
|
United States
|
710,874,348
|
24,958,391
|
23,615,327
|
759,448,066
|
|
Corporate Bonds
|
|
|
|
|
|
Argentina
|
—
|
158,967
|
—
|
158,967
|
|
Australia
|
—
|
931,858
|
6,490,627
|
7,422,485
|
|
Belgium
|
—
|
198,829
|
—
|
198,829
|
|
Brazil
|
—
|
790,958
|
—
|
790,958
|
|
Canada
|
—
|
12,817,568
|
—
|
12,817,568
|
|
Chile
|
—
|
594,277
|
—
|
594,277
|
|
China
|
—
|
650,592
|
—
|
650,592
|
|
Colombia
|
—
|
628,312
|
—
|
628,312
|
|
Costa Rica
|
—
|
224,926
|
—
|
224,926
|
|
Czech Republic
|
—
|
274,728
|
—
|
274,728
|
|
Denmark
|
—
|
163,478
|
—
|
163,478
|
|
Finland
|
—
|
417,750
|
—
|
417,750
|
|
France
|
—
|
6,136,091
|
6,569,926
|
12,706,017
|
|
Germany
|
358,220
|
5,141,717
|
4,345,996
|
9,845,933
|
|
Greece
|
—
|
636,087
|
—
|
636,087
|
|
Hong Kong
|
—
|
196,038
|
—
|
196,038
|
|
India
|
—
|
2,385,731
|
2,444,928
|
4,830,659
|
|
Indonesia
|
—
|
204,600
|
—
|
204,600
|
|
Ireland
|
—
|
911,385
|
—
|
911,385
|
|
Italy
|
—
|
8,259,762
|
852,781
|
9,112,543
|
|
Japan
|
—
|
1,541,608
|
—
|
1,541,608
|
|
Jersey
|
—
|
491,685
|
—
|
491,685
|
|
Kuwait
|
—
|
295,664
|
—
|
295,664
|
|
Luxembourg
|
—
|
5,436,814
|
—
|
5,436,814
|
|
Macau
|
—
|
642,247
|
—
|
642,247
|
|
Mexico
|
586,067
|
3,363,539
|
—
|
3,949,606
|
|
Morocco
|
—
|
351,772
|
—
|
351,772
|
|
Netherlands
|
—
|
1,235,301
|
—
|
1,235,301
|
|
Panama
|
—
|
225,829
|
—
|
225,829
|
|
Peru
|
—
|
330,378
|
—
|
330,378
|
|
Singapore
|
—
|
206,042
|
—
|
206,042
|
|
Slovenia
|
—
|
121,267
|
—
|
121,267
|
|
South Africa
|
—
|
558,909
|
—
|
558,909
|
|
Spain
|
—
|
1,382,155
|
—
|
1,382,155
|
|
Sweden
|
—
|
2,419,899
|
—
|
2,419,899
|
|
Switzerland
|
—
|
316,878
|
—
|
316,878
|
|
Thailand
|
—
|
708,511
|
—
|
708,511
|
|
Turkey
|
—
|
209,000
|
—
|
209,000
|
|
Ukraine
|
—
|
445,319
|
—
|
445,319
|
|
United Arab Emirates
|
—
|
352,063
|
—
|
352,063
|
|
United Kingdom
|
—
|
13,359,994
|
1,693,116
|
15,053,110
|
|
United States
|
474,284
|
62,430,120
|
42,401,511
|
105,305,915
|
|
Uzbekistan
|
—
|
213,558
|
—
|
213,558
|
|
Vietnam
|
—
|
167,494
|
—
|
167,494
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Fixed Rate Loan Interests
|
$ —
|
$ —
|
$ 9,833,391
|
$ 9,833,391
|
|
Floating Rate Loan Interests
|
—
|
66,698,592
|
60,966,962
|
127,665,554
|
|
Foreign Agency Obligations
|
—
|
12,470,352
|
—
|
12,470,352
|
|
Investment Companies
|
43,994,583
|
—
|
—
|
43,994,583
|
|
Municipal Bonds
|
—
|
3,544,133
|
—
|
3,544,133
|
|
Non-Agency Mortgage-Backed Securities
|
—
|
42,664,435
|
13,644,358
|
56,308,793
|
|
Preferred Securities
|
|
|
|
|
|
Capital Trusts
|
—
|
5,772,509
|
—
|
5,772,509
|
|
Preferred Stocks
|
—
|
—
|
71,538,645
|
71,538,645
|
|
U.S. Government Sponsored Agency Securities
|
—
|
172,642,490
|
—
|
172,642,490
|
|
Warrants
|
|
|
|
|
|
Brazil
|
971
|
—
|
—
|
971
|
|
Israel
|
—
|
—
|
219
|
219
|
|
United Kingdom
|
—
|
—
|
77,922
|
77,922
|
|
United States
|
24,525
|
5,559
|
5,860,975
|
5,891,059
|
|
Short-Term Securities
|
|
|
|
|
|
Money Market Funds
|
35,321,631
|
—
|
—
|
35,321,631
|
|
Options Purchased
|
|
|
|
|
|
Equity Contracts
|
6,202,124
|
—
|
—
|
6,202,124
|
|
Foreign Currency Exchange Contracts
|
—
|
40,560
|
—
|
40,560
|
|
Interest Rate Contracts
|
—
|
117,217
|
—
|
117,217
|
|
Unfunded Floating Rate Loan Interests(a)
|
—
|
8,996
|
—
|
8,996
|
|
Liabilities
|
|
|
|
|
|
Unfunded Floating Rate Loan Interests(a)
|
—
|
—
|
(10,365
)
|
(10,365
)
|
|
|
$ 844,694,073
|
$ 670,752,205
|
$ 257,063,076
|
$ 1,772,509,354
|
|
Derivative Financial Instruments(b)
|
|
|
|
|
|
Assets
|
|
|
|
|
|
Credit Contracts
|
$ —
|
$ 1,297,743
|
$ —
|
$ 1,297,743
|
|
Equity Contracts
|
287,194
|
691,858
|
—
|
979,052
|
|
Foreign Currency Exchange Contracts
|
—
|
1,011,893
|
—
|
1,011,893
|
|
Interest Rate Contracts
|
2,203,239
|
23,155,002
|
—
|
25,358,241
|
|
Other Contracts
|
—
|
58,864
|
—
|
58,864
|
|
Liabilities
|
|
|
|
|
|
Credit Contracts
|
—
|
(357,576
)
|
—
|
(357,576
)
|
|
Equity Contracts
|
(6,672,814
)
|
(160,194
)
|
—
|
(6,833,008
)
|
|
Foreign Currency Exchange Contracts
|
—
|
(833,479
)
|
—
|
(833,479
)
|
|
Interest Rate Contracts
|
(3,005,029
)
|
(7,391,208
)
|
—
|
(10,396,237
)
|
|
|
$ (7,187,410
)
|
$ 17,472,903
|
$ —
|
$ 10,285,493
|
|
(a)
|
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation)
on the commitment.
|
|
(b)
|
Derivative financial instruments are swaps, futures contracts, forward foreign currency
exchange contracts and options written. Swaps, futures contracts and forward foreign
currency
exchange contracts are valued at the unrealized appreciation (depreciation) on the
instrument and options written are shown at value.
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Fixed
Rate Loan
Interests
|
Floating
Rate Loan
Interests
|
Non-Agency
Mortgage-Backed
Securities
|
Preferred
Stocks
|
|
Assets
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2024
|
$ 6,740,774
|
$ 23,231,324
|
$ 64,054,942
|
$ 11,953,466
|
$ 66,548,642
|
$ 12,039,211
|
$ 77,045,014
|
|
Transfers into Level 3
|
2,020
|
—
|
4,324,500
|
—
|
—
|
—
|
—
|
|
Transfers out of Level 3
|
—
|
—
|
—
|
—
|
(3,726,702
)
|
—
|
—
|
|
Accrued discounts/premiums
|
11,862
|
—
|
406,631
|
8,893
|
118,615
|
160,411
|
—
|
|
Net realized gain (loss)
|
—
|
(18
)
|
(1,667,368
)
|
10,992
|
36,947
|
32,439
|
(6,130,527
)
|
|
Net change in unrealized appreciation (depreciation)(a)
|
(439,672
)
|
(6,762,478
)
|
(2,483,208
)
|
55,965
|
1,576,552
|
550
|
9,575,434
|
|
|
Asset-Backed
Securities
|
Common
Stocks
|
Corporate
Bonds
|
Fixed
Rate Loan
Interests
|
Floating
Rate Loan
Interests
|
Non-Agency
Mortgage-Backed
Securities
|
Preferred
Stocks
|
|
Purchases
|
$ —
|
$ 7,568,272
|
$ 21,565,331
|
$ 23,148
|
$ 4,980,400
|
$ 2,090,696
|
$ 6,625,797
|
|
Sales
|
—
|
—
|
(21,401,943
)
|
(2,219,073
)
|
(8,567,492
)
|
(678,949
)
|
(15,577,073
)
|
|
Closing balance, as of September 30, 2025
|
$ 6,314,984
|
$ 24,037,100
|
$ 64,798,885
|
$ 9,833,391
|
$ 60,966,962
|
$ 13,644,358
|
$ 71,538,645
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
September 30, 2025(a)
|
$ (439,672
)
|
$ (6,762,478
)
|
$ (2,029,922
)
|
$ 68,591
|
$ 1,617,122
|
$ 32,989
|
$ 2,709,157
|
|
|
Unfunded
Floating Rate
Loan
Interests
|
Warrants
|
Total
|
|
Assets/Liabilities
|
|
|
|
|
Opening balance, as of December 31, 2024
|
$ (6,120
)
|
$ 3,925,251
|
$ 265,532,504
|
|
Transfers into Level 3
|
—
|
959,200
|
5,285,720
|
|
Transfers out of Level 3
|
—
|
—
|
(3,726,702
)
|
|
Accrued discounts/premiums
|
—
|
—
|
706,412
|
|
Net realized gain (loss)
|
—
|
—
|
(7,717,535
)
|
|
Net change in unrealized appreciation (depreciation)(a)
|
(4,245
)
|
1,054,665
|
2,573,563
|
|
Purchases
|
—
|
—
|
42,853,644
|
|
Sales
|
—
|
—
|
(48,444,530
)
|
|
Closing balance, as of September 30, 2025
|
$ (10,365
)
|
$ 5,939,116
|
$ 257,063,076
|
|
Net change in unrealized appreciation (depreciation) on investments still held at
September 30, 2025(a)
|
$ (6,365
)
|
$ 1,084,065
|
$ (3,726,513
)
|
|
(a)
|
Any difference between net change in unrealized appreciation (depreciation) and net
change in unrealized appreciation (depreciation) on investments still held at September
30, 2025 is
generally due to investments no longer held or categorized as Level 3 at period end.
|
|
|
Value
|
Valuation
Approach
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
Utilized(a)
|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value
|
|
Assets
|
|
|
|
|
|
|
Common Stocks
|
$24,023,319
|
Market
|
Revenue Multiple
|
1.05x - 10.00x
|
4.22x
|
|
|
|
|
Volatility
|
56% - 80%
|
77%
|
|
|
|
|
Time to Exit
|
0.3 - 5.4 years
|
4.0 years
|
|
|
|
|
EBITDA
|
16.00x - 27.54x
|
25.46x
|
|
|
|
|
Gross Profit Multiple
|
8.25x
|
—
|
|
|
|
|
Discount for lack of marketability
|
9%
|
—
|
|
|
|
Income
|
Discount Rate
|
10%
|
—
|
|
|
|
|
|
|
|
|
Asset Backed Securities
|
4,630,864
|
Income
|
Discount Rate
|
7%
|
—
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities
|
3,376,502
|
Income
|
Discount Rate
|
8%
|
—
|
|
|
|
|
|
|
|
|
Corporate Bonds
|
60,124,314
|
Income
|
Discount Rate
|
7% - 34%
|
14%
|
|
|
|
Market
|
Revenue Mulltiple
|
1.00x - 3.50x
|
3.06x
|
|
|
|
|
Volatility
|
60% -60%
|
60%
|
|
|
|
|
Time to Exit
|
0.7 years
|
—
|
|
|
|
|
EBITDA Multiple
|
12.75x
|
—
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests
|
56,518,021
|
Income
|
Discount Rate
|
6% - 15%
|
10%
|
|
|
|
|
|
|
|
|
Fixed Rate Loan Interests
|
8,969,671
|
Income
|
Discount Rate
|
7% - 8%
|
7%
|
|
|
|
|
|
|
|
|
Preferred Stocks
|
71,193,629
|
Market
|
Revenue Multiple
|
1.30x - 18.91x
|
8.52x
|
|
|
|
|
Volatility
|
42% - 90%
|
73%
|
|
|
|
|
Time to Exit
|
1.0 - 4.0 years
|
3.0 years
|
|
|
|
|
EBITDA Multiple
|
7.96x -12.75x
|
9.15x
|
|
|
Value
|
Valuation
Approach
|
Unobservable
Inputs
|
Range of
Unobservable
Inputs
Utilized(a)
|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value
|
|
|
|
|
Market Adjustment Multiple
|
0.20x - 1.10x
|
1.06x
|
|
|
|
Income
|
Discount Rate
|
10% - 15%
|
12%
|
|
|
|
|
|
|
|
|
Warrants
|
5,829,315
|
Market
|
Revenue Multiple
|
3.50x -11.50x
|
9.60x
|
|
|
|
|
Volatility
|
30% - 80%
|
66%
|
|
|
|
|
Time to Exit
|
0.3 - 5.5 years
|
3.6 years
|
|
|
|
|
Discount for lack of marketability
|
9%
|
—
|
|
|
$234,665,635
|
|
|
|
|
|
(a)
|
A significant change in unobservable input could result in a correlated or inverse
change in value.
|
|
Currency Abbreviation
|
|
|
AUD
|
Australian Dollar
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
CHF
|
Swiss Franc
|
|
CNH
|
Chinese Yuan
|
|
CNY
|
Chinese Yuan
|
|
DKK
|
Danish Krone
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
HKD
|
Hong Kong Dollar
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
MXN
|
Mexican Peso
|
|
NOK
|
Norwegian Krone
|
|
SEK
|
Swedish Krona
|
|
SGD
|
Singapore Dollar
|
|
TRY
|
Turkish Lira
|
|
TWD
|
New Taiwan Dollar
|
|
USD
|
United States Dollar
|
|
ZAR
|
South African Rand
|
|
Portfolio Abbreviation
|
|
|
1D OBFR01
|
USD - 1D Overnight Bank Funding Rate
|
|
ABS
|
Asset-Backed Security
|
|
ADR
|
American Depositary Receipt
|
|
ARB
|
Airport Revenue Bonds
|
|
BZDIOVER
|
Overnight Brazil Interbank Deposit (CETIP)
|
|
CLO
|
Collateralized Loan Obligation
|
|
CME
|
Chicago Mercantile Exchange
|
|
CMT
|
Constant Maturity Treasury
|
|
Portfolio Abbreviation (continued)
|
|
|
CR
|
Custodian Receipt
|
|
CVR
|
Contingent Value Right
|
|
DAC
|
Designated Activity Company
|
|
DIP
|
Debtor-In-Possession
|
|
ESTR
|
Euro Short Term Rate
|
|
ETF
|
Exchange-Traded Fund
|
|
EURIBOR
|
Euro Interbank Offered Rate
|
|
FREMF
|
Freddie Mac Multifamily Securities
|
|
KOSPI
|
Korea Composite Stock Price Index
|
|
MIBOR
|
Mumbai Interbank Offered Rate
|
|
MSCI
|
Morgan Stanley Capital International
|
|
MTA
|
Month Treasury Average
|
|
PCL
|
Public Company Limited
|
|
PIK
|
Payment-in-Kind
|
|
PIPE
|
Private Investment in Public Equity
|
|
RB
|
Revenue Bonds
|
|
S&P
|
Standard & Poor’s
|
|
SAB
|
Special Assessment Bonds
|
|
SCA
|
Societe en Commandite par Actions
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SONIA
|
Sterling Overnight Interbank Average Rate
|
|
SPDR
|
Standard & Poor’s Depository Receipt
|
|
TIIEFONDEO
|
MXN - Overnight TIIE Funding Rate
|