|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
U.S. Treasury Inflation Protected Securities — 109.5%
|
|||||
|
U.S. Treasury Bonds, Inflation Indexed
|
2.375%
|
1/15/27
|
3,213,800
|
$3,260,365
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
3.625%
|
4/15/28
|
2,003,550
|
2,117,332
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.500%
|
1/15/29
|
13,584,060
|
14,178,353
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
3.875%
|
4/15/29
|
44,352,225
|
48,238,408
(a)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.125%
|
2/15/40
|
5,097,552
|
5,190,076
(b)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.125%
|
2/15/41
|
2,219,640
|
2,237,917
(c)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.750%
|
2/15/42
|
4,302,360
|
3,469,342
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
1.375%
|
2/15/44
|
5,561,760
|
4,821,070
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.750%
|
2/15/45
|
16,651,173
|
12,609,753
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.250%
|
2/15/50
|
11,596,048
|
6,990,217
(a)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.125%
|
2/15/52
|
6,169,677
|
3,423,020
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
4/15/26
|
8,649,690
|
8,658,352
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
10/15/26
|
13,163,379
|
13,187,509
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
4/15/27
|
21,806,680
|
21,629,395
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
10/15/27
|
5,469,650
|
5,559,449
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.500%
|
1/15/28
|
3,941,220
|
3,915,083
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.875%
|
1/15/29
|
11,550,330
|
11,528,780
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
10/15/29
|
5,149,350
|
5,274,995
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
1/15/30
|
1,259,520
|
1,215,988
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
4/15/30
|
5,089,900
|
5,197,314
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.125%
|
10/15/30
|
5,009,050
|
5,024,916
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
1/15/32
|
8,183,070
|
7,659,678
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.125%
|
1/15/33
|
13,054,560
|
12,838,299
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.750%
|
1/15/34
|
10,963,784
|
11,166,655
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
2.125%
|
1/15/35
|
9,138,787
|
9,522,472
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.875%
|
7/15/35
|
5,046,050
|
5,153,559
|
|
|
|
|||||
|
Total U.S. Treasury Inflation Protected Securities (Cost — $238,790,086)
|
234,068,297
|
||||
|
Corporate Bonds & Notes — 10.1%
|
|||||
|
Communication Services — 0.0%††
|
|||||
|
Wireless Telecommunication Services — 0.0%††
|
|||||
|
T-Mobile USA Inc., Senior Notes
|
3.750%
|
4/15/27
|
40,000
|
39,949
|
|
|
|
|||||
|
Consumer Discretionary — 1.1%
|
|||||
|
Broadline Retail — 0.3%
|
|||||
|
Prosus NV, Senior Notes
|
3.061%
|
7/13/31
|
700,000
|
646,471
(d)
|
|
|
Hotels, Restaurants & Leisure — 0.8%
|
|||||
|
Sands China Ltd., Senior Notes
|
5.400%
|
8/8/28
|
600,000
|
612,969
|
|
|
Sands China Ltd., Senior Notes
|
2.850%
|
3/8/29
|
200,000
|
191,532
|
|
|
Sands China Ltd., Senior Notes
|
4.375%
|
6/18/30
|
420,000
|
415,913
|
|
|
Sands China Ltd., Senior Notes
|
3.250%
|
8/8/31
|
400,000
|
372,973
|
|
|
Total Hotels, Restaurants & Leisure
|
1,593,387
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
2,239,858
|
||||
|
Energy — 4.3%
|
|||||
|
Oil, Gas & Consumable Fuels — 4.3%
|
|||||
|
BP Capital Markets America Inc., Senior Notes
|
3.633%
|
4/6/30
|
190,000
|
188,087
|
|
|
Columbia Pipelines Holding Co. LLC, Senior Notes
|
6.042%
|
8/15/28
|
440,000
|
460,084
(d)
|
|
|
Ecopetrol SA, Senior Notes
|
4.625%
|
11/2/31
|
700,000
|
627,608
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Oil, Gas & Consumable Fuels — continued
|
|||||
|
Energy Transfer LP, Senior Notes
|
5.250%
|
4/15/29
|
430,000
|
$444,207
|
|
|
Enterprise Products Operating LLC, Senior Notes
|
3.125%
|
7/31/29
|
1,170,000
|
1,143,205
|
|
|
EOG Resources Inc., Senior Notes
|
4.375%
|
4/15/30
|
40,000
|
40,591
|
|
|
EQT Corp., Senior Notes
|
5.000%
|
1/15/29
|
440,000
|
448,789
|
|
|
Occidental Petroleum Corp., Senior Notes
|
3.000%
|
2/15/27
|
810,000
|
803,647
|
|
|
Occidental Petroleum Corp., Senior Notes
|
6.200%
|
3/15/40
|
660,000
|
688,362
|
|
|
ONEOK Inc., Senior Notes
|
5.800%
|
11/1/30
|
410,000
|
435,008
|
|
|
Petrobras Global Finance BV, Senior Notes
|
5.999%
|
1/27/28
|
510,000
|
521,399
|
|
|
QazaqGaz NC JSC, Senior Notes
|
4.375%
|
9/26/27
|
1,600,000
|
1,597,962
(d)
|
|
|
Targa Resources Corp., Senior Notes
|
4.200%
|
2/1/33
|
470,000
|
456,582
|
|
|
Williams Cos. Inc., Senior Notes
|
5.750%
|
6/24/44
|
1,340,000
|
1,364,993
|
|
|
|
|||||
|
Total Energy
|
9,220,524
|
||||
|
Financials — 0.4%
|
|||||
|
Financial Services — 0.4%
|
|||||
|
ILFC E-Capital Trust II, Ltd. GTD
|
6.600%
|
12/21/65
|
1,010,000
|
893,110
(d)(e)
|
|
|
|
|||||
|
Health Care — 0.5%
|
|||||
|
Pharmaceuticals — 0.5%
|
|||||
|
Bausch Health Americas Inc., Senior Notes
|
8.500%
|
1/31/27
|
970,000
|
962,145
(d)
|
|
|
|
|||||
|
Industrials — 1.0%
|
|||||
|
Aerospace & Defense — 1.0%
|
|||||
|
General Dynamics Corp., Senior Notes
|
4.250%
|
4/1/40
|
10,000
|
9,330
|
|
|
General Dynamics Corp., Senior Notes
|
4.250%
|
4/1/50
|
2,560,000
|
2,221,818
|
|
|
|
|||||
|
Total Industrials
|
2,231,148
|
||||
|
Information Technology — 0.2%
|
|||||
|
Semiconductors & Semiconductor Equipment — 0.2%
|
|||||
|
Broadcom Inc., Senior Notes
|
3.137%
|
11/15/35
|
370,000
|
323,643
(d)
|
|
|
|
|||||
|
Materials — 2.1%
|
|||||
|
Metals & Mining — 2.1%
|
|||||
|
Antofagasta PLC, Senior Notes
|
2.375%
|
10/14/30
|
550,000
|
500,427
(d)
|
|
|
Capstone Copper Corp., Senior Notes
|
6.750%
|
3/31/33
|
500,000
|
517,078
(d)
|
|
|
Corp. Nacional del Cobre de Chile, Senior Notes
|
5.529%
|
1/30/37
|
330,000
|
338,332
(d)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
8.000%
|
3/1/33
|
240,000
|
256,528
(d)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
7.250%
|
2/15/34
|
250,000
|
261,957
(d)
|
|
|
Glencore Finance Canada Ltd., Senior Notes
|
5.550%
|
10/25/42
|
950,000
|
952,599
(d)
|
|
|
Glencore Funding LLC, Senior Notes
|
4.000%
|
3/27/27
|
200,000
|
200,108
(d)
|
|
|
Glencore Funding LLC, Senior Notes
|
3.875%
|
10/27/27
|
800,000
|
799,093
(d)
|
|
|
Yamana Gold Inc., Senior Notes
|
4.625%
|
12/15/27
|
670,000
|
675,163
|
|
|
|
|||||
|
Total Materials
|
4,501,285
|
||||
|
Utilities — 0.5%
|
|||||
|
Electric Utilities — 0.5%
|
|||||
|
Comision Federal de Electricidad, Senior Notes
|
6.045%
|
1/28/34
|
530,000
|
536,625
(d)
|
|
|
Constellation Energy Generation LLC, Senior Notes
|
6.125%
|
1/15/34
|
570,000
|
624,527
|
|
|
|
|||||
|
Total Utilities
|
1,161,152
|
||||
|
Total Corporate Bonds & Notes (Cost — $21,791,759)
|
21,572,814
|
||||
|
Collateralized Mortgage Obligations(f) — 7.2%
|
|||||
|
Alternative Loan Trust, 2007-12T1 A3
|
6.000%
|
6/25/37
|
1,086,030
|
487,264
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(f) — continued
|
|||||
|
Angel Oak Mortgage Trust, 2023-1 A1
|
4.750%
|
9/26/67
|
182,148
|
$181,828
(d)
|
|
|
BANK, 2021-BN32 XA, IO
|
0.757%
|
4/15/54
|
2,592,297
|
71,911
(e)
|
|
|
Benchmark Mortgage Trust, 2021-B29 XA, IO
|
1.010%
|
9/15/54
|
4,155,949
|
139,423
(e)
|
|
|
BOCA Commercial Mortgage Trust, 2025-BOCA A (1 mo. Term SOFR + 1.600%)
|
5.260%
|
12/15/42
|
390,000
|
392,213
(d)(e)
|
|
|
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)
|
7.765%
|
2/15/39
|
469,000
|
470,425
(d)(e)
|
|
|
BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%)
|
7.350%
|
4/15/40
|
997,306
|
1,005,320
(d)(e)
|
|
|
BX Trust, 2022-CLS A
|
5.760%
|
10/13/27
|
530,000
|
531,881
(d)
|
|
|
BXMT Ltd., 2020-FL2 A (1 mo. Term SOFR + 1.264%)
|
4.929%
|
2/15/38
|
18,481
|
18,521
(d)(e)
|
|
|
CD Mortgage Trust, 2017-CD5 A4
|
3.431%
|
8/15/50
|
300,000
|
296,328
|
|
|
Chase Mortgage Finance Trust, 2007-A1 2A3
|
5.877%
|
2/25/37
|
926
|
882
(e)
|
|
|
Citigroup Commercial Mortgage Trust, 2016-C3 A3
|
2.896%
|
11/15/49
|
93,925
|
93,193
|
|
|
Citigroup Commercial Mortgage Trust, 2023-SMRT A
|
5.820%
|
10/12/40
|
200,000
|
206,275
(d)(e)
|
|
|
CRSO Trust, 2023-BRND A
|
7.121%
|
7/10/40
|
430,000
|
447,835
|
|
|
CSMC Trust, 2019-NQM1 A1
|
3.656%
|
10/25/59
|
32,227
|
32,055
(d)
|
|
|
Extended Stay America Trust, 2025-ESH A (1 mo. Term SOFR + 1.300%)
|
4.960%
|
10/15/42
|
200,000
|
200,514
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk
Trust, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%)
|
6.567%
|
4/25/42
|
600,000
|
612,664
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk
Trust, 2022-DNA4 M1B (30 Day Average SOFR + 3.350%)
|
7.017%
|
5/25/42
|
370,000
|
380,589
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk
Trust, 2024-DNA1 M2 (30 Day Average SOFR + 1.950%)
|
5.617%
|
2/25/44
|
460,000
|
465,154
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk
Trust, 2025-DNA1 M2 (30 Day Average SOFR + 1.350%)
|
5.017%
|
1/25/45
|
340,000
|
340,702
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2016-1 M2
|
3.750%
|
9/25/55
|
236,128
|
222,209
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2019-1 M
|
4.750%
|
7/25/58
|
342,371
|
339,151
(d)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
2022-1 M
|
4.500%
|
11/25/61
|
460,000
|
436,050
(d)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2019-R05 1B1 (30 Day
Average SOFR + 4.214%)
|
7.882%
|
7/25/39
|
477,845
|
483,376
(d)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30 Day
Average SOFR + 3.364%)
|
7.032%
|
1/25/40
|
350,000
|
356,416
(d)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B1 (30 Day
Average SOFR + 3.100%)
|
6.767%
|
10/25/41
|
330,000
|
334,489
(d)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-R06 1M2 (30 Day
Average SOFR + 2.700%)
|
6.367%
|
7/25/43
|
320,000
|
328,775
(d)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2024-R02 1M2 (30 Day
Average SOFR + 1.800%)
|
5.467%
|
2/25/44
|
250,000
|
251,642
(d)(e)
|
|
|
Government National Mortgage Association (GNMA), 2012-152 IO, IO
|
0.693%
|
1/16/54
|
1,102,630
|
32,842
(e)
|
|
|
Government National Mortgage Association (GNMA), 2014-47 IA, IO
|
0.166%
|
2/16/48
|
86,378
|
346
(e)
|
|
|
Government National Mortgage Association (GNMA), 2014-50 IO, IO
|
0.587%
|
9/16/55
|
477,136
|
11,096
(e)
|
|
|
Government National Mortgage Association (GNMA), 2014-169 IO, IO
|
0.585%
|
10/16/56
|
4,939,439
|
107,087
(e)
|
|
|
Government National Mortgage Association (GNMA), 2015-101 IO, IO
|
0.252%
|
3/16/52
|
3,440,457
|
23,765
(e)
|
|
|
Government National Mortgage Association (GNMA), 2015-183 IO, IO
|
0.435%
|
9/16/57
|
4,794,996
|
105,300
(e)
|
|
|
GSR Mortgage Loan Trust, 2004-11 1A1
|
6.292%
|
9/25/34
|
17,659
|
17,909
(e)
|
|
|
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%)
|
9.667%
|
10/25/33
|
290,000
|
312,965
(d)(e)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(f) — continued
|
|||||
|
MRCD Mortgage Trust, 2019-PARK A
|
2.718%
|
12/15/36
|
850,000
|
$761,175
(d)
|
|
|
New Residential Mortgage Loan Trust, 2014-1A A
|
3.750%
|
1/25/54
|
196,822
|
194,256
(d)(e)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L F
|
8.130%
|
11/5/38
|
750,000
|
771,388
(d)(e)
|
|
|
OBX Trust, 2025-NQM4 A3
|
5.755%
|
2/25/55
|
513,580
|
518,228
(d)
|
|
|
PRKCM Trust, 2021-AFC1 A1
|
1.510%
|
8/25/56
|
541,883
|
475,866
(d)(e)
|
|
|
PRKCM Trust, 2023-AFC1 A1
|
6.598%
|
2/25/58
|
345,644
|
345,072
(d)
|
|
|
PRPM Trust, 2024-NQM4 A1
|
5.674%
|
12/26/69
|
203,087
|
205,034
(d)
|
|
|
RAMP Trust, 2004-SL4 A5
|
7.500%
|
7/25/32
|
28,170
|
7,607
|
|
|
SREIT Trust, 2021-PALM B (1 mo. Term SOFR + 0.924%)
|
4.584%
|
10/15/34
|
830,000
|
829,797
(d)(e)
|
|
|
Towd Point Mortgage Trust, 2020-2 A1A
|
1.636%
|
4/25/60
|
570,691
|
530,006
(d)(e)
|
|
|
Towd Point Mortgage Trust, 2020-2 M1B
|
3.000%
|
4/25/60
|
250,000
|
205,933
(d)(e)
|
|
|
Verus Securitization Trust, 2022-1 B1
|
4.007%
|
1/25/67
|
350,000
|
290,845
(d)(e)
|
|
|
Verus Securitization Trust, 2023-8 B1
|
8.073%
|
12/25/68
|
290,000
|
294,692
(d)(e)
|
|
|
Verus Securitization Trust, 2024-8 A3
|
5.872%
|
10/25/69
|
256,626
|
258,776
(d)
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $16,365,897)
|
15,427,070
|
||||
|
Non-U.S. Treasury Inflation Protected Securities — 2.8%
|
|||||
|
Brazil — 2.2%
|
|||||
|
Brazil Notas do Tesouro Nacional Serie B, Notes
|
6.000%
|
5/15/29
|
12,156,183
BRL
|
2,277,218
|
|
|
Brazil Notas do Tesouro Nacional Serie B, Notes
|
6.000%
|
8/15/50
|
13,840,056
BRL
|
2,425,096
|
|
|
Total Brazil
|
4,702,314
|
||||
|
Mexico — 0.6%
|
|||||
|
Mexican Udibonos, Bonds
|
4.000%
|
11/30/28
|
21,801,612
MXN
|
1,266,908
|
|
|
|
|||||
|
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $6,925,012)
|
5,969,222
|
||||
|
Sovereign Bonds — 1.7%
|
|||||
|
Ecuador — 0.1%
|
|||||
|
|
|||||
|
Ecuador Government International Bond, Senior Notes
|
8.750%
|
1/29/34
|
250,000
|
252,250
(d)
|
|
|
Mexico — 0.7%
|
|||||
|
|
|||||
|
Mexico Government International Bond, Senior Notes
|
5.850%
|
7/2/32
|
1,480,000
|
1,531,948
|
|
|
Nigeria — 0.1%
|
|||||
|
|
|||||
|
Nigeria Government International Bond, Senior Notes
|
6.500%
|
11/28/27
|
200,000
|
203,215
(d)
|
|
|
Peru — 0.3%
|
|||||
|
Peruvian Government International Bond, Senior Notes
|
5.500%
|
3/30/36
|
500,000
|
516,900
|
|
|
Peruvian Government International Bond, Senior Notes
|
3.300%
|
3/11/41
|
200,000
|
157,460
|
|
|
Total Peru
|
674,360
|
||||
|
Supranational — 0.5%
|
|||||
|
Inter-American Development Bank, Senior Notes
|
7.350%
|
10/6/30
|
90,000,000
INR
|
1,006,087
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $3,671,020)
|
3,667,860
|
||||
|
Senior Loans — 1.5%
|
|||||
|
Consumer Discretionary — 0.1%
|
|||||
|
Specialty Retail — 0.1%
|
|||||
|
Harbor Freight Tools USA Inc., Initial Term Loan
|
—
|
6/11/31
|
220,000
|
217,043
(g)
|
|
|
|
|||||
|
Financials — 0.6%
|
|||||
|
Capital Markets — 0.1%
|
|||||
|
Focus Financial Partners LLC, Incremental Term Loan B
|
—
|
9/15/31
|
210,000
|
198,975
(g)
|
|
|
Financial Services — 0.1%
|
|||||
|
Jane Street Group LLC, Extended Term Loan
|
—
|
12/15/31
|
220,000
|
213,675
(g)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Insurance — 0.4%
|
|||||
|
AmWINS Group Inc., 2026 Refinancing Term Loan
|
—
|
1/30/32
|
280,000
|
$277,550
(g)
|
|
|
Asurion LLC/Asurion Co-Issuer Inc., New Term Loan B14
|
—
|
2/14/33
|
220,000
|
216,609
(g)
|
|
|
HUB International Ltd., 2025 Incremental Term Loan
|
—
|
6/20/30
|
30,000
|
29,720
(g)
|
|
|
Sedgwick Claims Management Services Inc., 2024 Term Loan
|
—
|
7/31/31
|
220,000
|
213,730
(g)
|
|
|
Truist Insurance Holdings LLC, 2024 Term Loan B
|
—
|
5/6/31
|
20,000
|
19,680
(g)
|
|
|
Total Insurance
|
757,289
|
||||
|
|
|||||
|
Total Financials
|
1,169,939
|
||||
|
Health Care — 0.3%
|
|||||
|
Health Care Equipment & Supplies — 0.0%††
|
|||||
|
Medline Borrower LP, 2028 Refinancing Term Loan
|
—
|
10/23/28
|
110,000
|
110,281
(g)
|
|
|
Health Care Technology — 0.1%
|
|||||
|
AthenaHealth Group Inc., Initial Term Loan
|
—
|
2/15/29
|
200,000
|
195,333
(g)
|
|
|
Pharmaceuticals — 0.2%
|
|||||
|
Gainwell Acquisition Corp., Term Loan B
|
—
|
10/1/27
|
450,000
|
428,063
(g)
|
|
|
|
|||||
|
Total Health Care
|
733,677
|
||||
|
Industrials — 0.0%††
|
|||||
|
Professional Services — 0.0%††
|
|||||
|
CoreLogic Inc., First Lien Initial Term Loan
|
—
|
6/2/28
|
30,000
|
28,575
(g)
|
|
|
|
|||||
|
Information Technology — 0.3%
|
|||||
|
Software — 0.3%
|
|||||
|
Cloud Software Group Inc., Tenth Amendment Term Loan B2
|
—
|
3/21/31
|
219,448
|
204,526
(g)
|
|
|
Cloudera Inc., Term Loan
|
—
|
10/8/28
|
200,000
|
177,429
(g)
|
|
|
UKG Inc., Term Loan B
|
—
|
2/10/31
|
220,000
|
208,835
(g)
|
|
|
|
|||||
|
Total Information Technology
|
590,790
|
||||
|
Materials — 0.2%
|
|||||
|
Containers & Packaging — 0.2%
|
|||||
|
Clydesdale Acquisition Holdings Inc., 2025 Incremental Closing Date Term Loan B
|
—
|
4/1/32
|
410,000
|
406,412
(g)
|
|
|
|
|||||
|
Total Senior Loans (Cost — $3,196,177)
|
3,146,436
|
||||
|
Mortgage-Backed Securities — 0.0%††
|
|||||
|
FHLMC — 0.0%††
|
|||||
|
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
6.000%
|
12/1/52
|
49,701
|
51,060
|
|
|
FNMA — 0.0%††
|
|||||
|
Federal National Mortgage Association (FNMA)
|
6.500%
|
11/1/52
|
62,463
|
66,162
|
|
|
|
|||||
|
Total Mortgage-Backed Securities (Cost — $115,013)
|
117,222
|
||||
|
Total Investments before Short-Term Investments (Cost — $290,854,964)
|
283,968,921
|
||||
|
|
|
|
|
Shares
|
|
|
Short-Term Investments — 1.4%
|
|||||
|
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost — $3,061,083)
|
3.603%
|
|
3,061,083
|
3,061,083
(h)(i)
|
|
|
Total Investments — 134.2% (Cost — $293,916,047)
|
287,030,004
|
||||
|
Liabilities in Excess of Other Assets — (34.2)%
|
(73,216,757
)
|
||||
|
Total Net Assets — 100.0%
|
$213,813,247
|
||||
|
†
|
Face amount denominated in U.S. dollars, unless otherwise noted.
|
|
††
|
Represents less than 0.1%.
|
|
(a)
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
(b)
|
All or a portion of this security is held at the broker as collateral for open centrally
cleared swap contracts.
|
|
(c)
|
All or a portion of this security is held at the broker as collateral for open futures
contracts.
|
|
(d)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Trustees.
|
|
(e)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(f)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(g)
|
All or a portion of this loan has not settled as of February 28, 2026. Interest rates
are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
|
|
(h)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(i)
|
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control
with the Fund. At February 28, 2026, the total market value of
investments in Affiliated Companies was $3,061,083 and the cost was $3,061,083 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
GTD
|
—
|
Guaranteed
|
|
INR
|
—
|
Indian Rupee
|
|
IO
|
—
|
Interest Only
|
|
JSC
|
—
|
Joint Stock Company
|
|
MXN
|
—
|
Mexican Peso
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Morgan Stanley &
Co. Inc.
|
3.900%
|
12/5/2025
|
6/5/2026
|
$72,809,787
|
U.S. Treasury Inflation Protected Securities
Cash
|
$74,102,925
280,000
|
|
|
|
|
|
$72,809,787
|
|
$74,382,925
|
|
*
|
Refer to the Consolidated Schedule of Investments for positions held at the counterparty
as collateral for reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
3-Month SOFR
|
51
|
6/26
|
$12,305,132
|
$12,285,581
|
$(19,551)
|
|
Copper
|
7
|
5/26
|
1,036,330
|
1,060,413
|
24,083
|
|
Natural Gas
|
14
|
5/26
|
440,265
|
428,820
|
(11,445)
|
|
U.S. Treasury 5-Year Notes
|
116
|
6/26
|
12,723,071
|
12,776,313
|
53,242
|
|
|
|
|
|
|
46,329
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
U.S. Treasury 10-Year Notes
|
32
|
6/26
|
$3,611,945
|
$3,642,000
|
$(30,055)
|
|
U.S. Treasury Ultra Long-Term Bonds
|
59
|
6/26
|
7,062,382
|
7,174,031
|
(111,649)
|
|
|
|
|
|
|
(141,704)
|
|
Net unrealized depreciation on open futures contracts
|
$(95,375)
|
||||
|
Abbreviation(s) used in this table:
|
||
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BRL
|
12,161,309
|
USD
|
2,361,648
|
Bank of America N.A.
|
3/3/26
|
$7,967
|
|
USD
|
2,214,610
|
BRL
|
12,161,309
|
Bank of America N.A.
|
3/3/26
|
(155,006)
|
|
BRL
|
12,161,309
|
USD
|
2,350,466
|
JPMorgan Chase & Co.
|
3/3/26
|
19,150
|
|
USD
|
2,361,649
|
BRL
|
12,161,309
|
JPMorgan Chase & Co.
|
3/3/26
|
(7,967)
|
|
USD
|
1,114,307
|
MXN
|
20,214,865
|
Bank of America N.A.
|
4/16/26
|
(54,192)
|
|
USD
|
1,060,346
|
INR
|
96,104,489
|
Citibank N.A.
|
4/16/26
|
7,929
|
|
USD
|
2,301,404
|
BRL
|
12,161,309
|
JPMorgan Chase & Co.
|
6/2/26
|
(16,445)
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(198,564)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
INR
|
—
|
Indian Rupee
|
|
MXN
|
—
|
Mexican Peso
|
|
USD
|
—
|
United States Dollar
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS
|
|||||||
|
|
Notional
Amount
|
Termination
Date
|
Payments
Made by
the Fund†
|
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
|
$9,400,000
|
11/21/30
|
2.452%**
|
CPURNSA**
|
$(47,655)
|
$(4,551)
|
$(43,104)
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
|
||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received by
the Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
Markit CDX.NA.HY.45 Index
|
$6,450,840
|
12/20/30
|
5.000% quarterly
|
$438,080
|
$451,490
|
$(13,410)
|
|
Markit CDX.NA.IG.45 Index
|
14,101,000
|
12/20/30
|
1.000% quarterly
|
274,292
|
296,429
|
(22,137)
|
|
Total
|
$20,551,840
|
|
|
$712,372
|
$747,919
|
$(35,547)
|
|
OTC TOTAL RETURN SWAPS
|
|||||||
|
Swap
Counterparty
|
Notional
Amount
|
Termination
Date
|
Periodic
Payments
Made by
the Fund†
|
Periodic
Payments
Received by
the Fund‡
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
JPMorgan Chase & Co.
|
$2,932,000
|
4/9/26
|
Daily SOFR
Compound +
1.100%**
|
JPEIFNTR^**
|
$31,628
|
—
|
$31,628
|
|
1
|
If the Fund is a seller of protection and a credit event occurs, as defined under
the terms of that particular swap agreement, the Fund will either (i) pay to
the buyer of protection an amount equal to the notional amount of the swap and take
delivery of the referenced obligation or underlying securities
comprising the referenced index or (ii) pay a net settlement amount in the form of
cash or securities equal to the notional amount of the swap less the
recovery value of the referenced obligation or underlying securities comprising the
referenced index.
|
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event
occurs as defined under the terms of that particular swap agreement.
|
|
3
|
The quoted market prices and resulting values for credit default swap agreements on
asset-backed securities and credit indices serve as an indicator of the
current status of the payment/performance risk and represent the likelihood of an
expected loss (or profit) for the credit derivative had the notional amount
of the swap agreement been closed/sold as of the period end. Decreasing market values
(sell protection) or increasing market values (buy protection), when
compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement.
|
|
†
|
Percentage shown is an annual percentage rate.
|
|
‡
|
Periodic payments made/received by the Fund are based on the total return of the referenced
entity.
|
|
^
|
Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier
sector.
|
|
**
|
One time payment made at termination date.
|
|
Reference Index
|
Reference
Rate
|
|
CPURNSA
|
3.268%
|
|
Daily SOFR Compound
|
3.680%
|
|
Abbreviation(s) used in this table:
|
||
|
CPURNSA
|
—
|
U.S. CPI Urban Consumers NSA Index
|
|
JPEIFNTR
|
—
|
Western Asset Management Emerging Markets Frontier Custom Basket
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Angolan Government International Bond, 9.125% due
11/26/49
|
$11,227,000
|
$9,933,168
|
5.18%
|
|
Argentine Republic Government International Bond,
3.500% due 7/9/41
|
8,269,000
|
5,776,186
|
3.01%
|
|
Argentine Republic Government International Bond,
5.000% due 1/9/38
|
7,303,000
|
5,741,290
|
2.99%
|
|
Bahamas Government International Bond, 8.250% due
6/24/36
|
6,521,000
|
7,297,847
|
3.80%
|
|
Benin Government International Bond, 7.960% due 2/13/38
|
5,468,000
|
5,733,250
|
2.99%
|
|
Costa Rica Government International Bond, 6.550% due
4/3/34
|
7,054,000
|
7,658,880
|
3.99%
|
|
Dominican Republic International Bond, 4.500% due
1/30/30
|
7,847,000
|
7,674,366
|
4.00%
|
|
Ecuador Government International Bond, 6.900% due
7/31/35
|
7,778,430
|
7,057,739
|
3.68%
|
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Ecuador Government International Bond, 8.750% due
1/29/34
|
$2,617,500
|
$2,641,057
|
1.38%
|
|
Egypt Government International Bond, 5.800% due 9/30/27
|
3,806,000
|
3,800,786
|
1.98%
|
|
Egypt Government International Bond, 7.903% due 2/21/48
|
6,124,000
|
5,523,848
|
2.88%
|
|
El Salvador Government International Bond, 7.125% due
1/20/50
|
8,197,000
|
7,424,433
|
3.87%
|
|
Ethiopia International Bond, 6.625% due 12/11/26(a)
|
7,276,000
|
7,420,863
|
3.87%
|
|
Ghana Government International Bond, 5.000% due 7/3/29
|
2,981,000
|
2,550,494
|
1.33%
|
|
Ghana Government International Bond, 5.000% due 7/3/35
|
4,267,000
|
3,860,835
|
2.01%
|
|
Guatemala Government Bond, 5.375% due 4/24/32
|
6,704,000
|
6,838,080
|
3.56%
|
|
Ivory Coast Government International Bond, 7.625% due
1/30/33
|
10,512,000
|
11,258,352
|
5.87%
|
|
Jordan Government International Bond, 7.500% due
1/13/29
|
5,389,000
|
5,650,043
|
2.94%
|
|
Mozambique International Bond, 9.000% due 9/15/31
|
4,420,000
|
3,741,530
|
1.95%
|
|
Nigeria Government International Bond, 7.375% due
9/28/33
|
9,415,000
|
9,546,810
|
4.97%
|
|
Paraguay Government International Bond, 6.100% due
8/11/44
|
7,380,000
|
7,676,584
|
4.00%
|
|
Petroleos de Venezuela SA, 5.375% due 4/12/27(a)
|
26,747,200
|
8,198,016
|
4.27%
|
|
Provincia de Buenos Aires/Government Bonds, 6.625% due
9/1/37
|
4,768,517
|
3,348,805
|
1.75%
|
|
Republic of Kenya Government International Bond, 6.300%
due 1/23/34
|
8,263,000
|
7,431,122
|
3.87%
|
|
Republic of South Africa Government International Bond,
5.000% due 10/12/46
|
7,367,000
|
5,746,260
|
2.99%
|
|
Republic of Uzbekistan International Bond, 3.900% due
10/19/31
|
5,239,000
|
4,923,023
|
2.57%
|
|
Senegal Government International Bond, 6.250% due
5/23/33
|
3,222,000
|
1,987,781
|
1.04%
|
|
Senegal Government International Bond, 6.750% due
3/13/48
|
6,888,000
|
3,878,839
|
2.02%
|
|
Sri Lanka Government International Bond, 3.100% due
1/15/30
|
2,528,000
|
2,520,416
|
1.31%
|
|
Sri Lanka Government International Bond, 3.350% due
3/15/33
|
2,245,000
|
2,095,006
|
1.09%
|
|
Sri Lanka Government International Bond, 3.600% due
6/15/35
|
3,195,000
|
2,610,315
|
1.36%
|
|
Sri Lanka Government International Bond, 3.600% due
5/15/36
|
1,067,000
|
1,062,732
|
0.55%
|
|
Sri Lanka Government International Bond, 3.600% due
2/15/38
|
1,582,000
|
1,572,698
|
0.82%
|
|
Sri Lanka Government International Bond, 4.000% due
4/15/28
|
1,006,000
|
709,102
|
0.37%
|
|
Ukraine Government International Bond, 0.000% due
2/1/34
|
2,109,000
|
1,033,410
|
0.54%
|
|
Ukraine Government International Bond, 0.000% due
2/1/35
|
1,806,000
|
1,023,099
|
0.53%
|
|
Ukraine Government International Bond, 0.000% due
2/1/36
|
1,815,000
|
1,024,568
|
0.53%
|
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Ukraine Government International Bond, 4.500% due
2/1/34
|
$3,163,000
|
$1,964,223
|
1.02%
|
|
Ukraine Government International Bond, 4.500% due
2/1/35
|
1,614,000
|
979,698
|
0.51%
|
|
Ukraine Government International Bond, 4.500% due
2/1/36
|
1,641,000
|
984,600
|
0.51%
|
|
Zambia Government International Bond, 0.500% due
12/31/53
|
5,495,000
|
4,019,922
|
2.10%
|
|
Total
|
|
$191,920,076
|
100.00%
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
U.S. Treasury Inflation Protected Securities
|
—
|
$234,068,297
|
—
|
$234,068,297
|
|
Corporate Bonds & Notes
|
—
|
21,572,814
|
—
|
21,572,814
|
|
Collateralized Mortgage Obligations
|
—
|
15,427,070
|
—
|
15,427,070
|
|
Non-U.S. Treasury Inflation Protected Securities
|
—
|
5,969,222
|
—
|
5,969,222
|
|
Sovereign Bonds
|
—
|
3,667,860
|
—
|
3,667,860
|
|
Senior Loans
|
—
|
3,146,436
|
—
|
3,146,436
|
|
Mortgage-Backed Securities
|
—
|
117,222
|
—
|
117,222
|
|
Total Long-Term Investments
|
—
|
283,968,921
|
—
|
283,968,921
|
|
Short-Term Investments†
|
$3,061,083
|
—
|
—
|
3,061,083
|
|
Total Investments
|
$3,061,083
|
$283,968,921
|
—
|
$287,030,004
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$77,325
|
—
|
—
|
$77,325
|
|
Forward Foreign Currency Contracts††
|
—
|
$35,046
|
—
|
35,046
|
|
OTC Total Return Swaps
|
—
|
31,628
|
—
|
31,628
|
|
Total Other Financial Instruments
|
$77,325
|
$66,674
|
—
|
$143,999
|
|
Total
|
$3,138,408
|
$284,035,595
|
—
|
$287,174,003
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$172,700
|
—
|
—
|
$172,700
|
|
Forward Foreign Currency Contracts††
|
—
|
$233,610
|
—
|
233,610
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
43,104
|
—
|
43,104
|
|
Centrally Cleared Credit Default Swaps on Credit Indices — Sell
Protection††
|
—
|
35,547
|
—
|
35,547
|
|
Total
|
$172,700
|
$312,261
|
—
|
$484,961
|
|
†
|
See Consolidated Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
November 30, 2025
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
$3,954,018
|
$16,781,815
|
16,781,815
|
$17,674,750
|
17,674,750
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
February 28,
2026
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$47,042
|
—
|
$3,061,083
|