有価証券報告書(内国投資信託受益証券)-第13期(令和3年9月8日-令和4年3月7日)
(4) 【附属明細表】
投資信託受益証券及び親投資信託受益証券における券面総額欄の数値は、証券数を表示しております。
「ダイワ・ディスカバリー・ファンド・シリーズ-ダイワ・コア・ボンド・ストラテジー・ファンド(円ヘッジ・クラス)」の状況
以下に記載した同ファンドの情報は、会計監査人により監査を受けた財務諸表を委託会社で抜粋・翻訳したものであります。
以下に記載した情報は監査の対象外であります。
(米ドル建て)
貸借対照表
2020年9月30日
損益計算書
2020年9月30日に終了した年度
投資明細表
2020年9月30日
*バンクローンは変動利付債務です。記載されているクーポンレートは期末時点のものです。
(a) 144A 証券 - 1933年証券取引法の規則144Aの下でSECへの登録の適用除外になっている証券。これらの証券は、適格機関投資家に対することで登録せずに転売が可能です。他に記載がない限り、これらの証券は非流動性資産とはみなされません。
(b) 期前償還条項付き証券
(c) 2020年9月30日時点レートでの変動金利証券
(d) 当該残高の全てもしくは一部が期末時点における未決済の貸出予約を表しています。未決済の貸出予約のクーポンレートを含む詳細について、受渡日前に入手することはできません。
(e)ゼロクーポン債
(f) 当該証券は、2020年9月30日時点において、買い現先取引のために、相手方へ全てもしくは一部を担保として差し入れられています。
(g)永久債
(金融商品に関する注記)
附属明細表
| 第1 有価証券明細表 |
| (1) 株式 |
| 該当事項はありません。 |
| (2) 株式以外の有価証券 | ||||
| 種 類 | 銘 柄 | 券面総額 | 評価額 (円) | 備考 |
| 投資信託受益証券 | DAIWA CORE BOND STRATEGY FUND - THE JPY HEDGED CLASS UNIT | 21,689,346.040 | 2,162,384,421 | |
| 投資信託受益証券 合計 | 2,162,384,421 | |||
| 親投資信託受益証券 | ダイワ・マネーアセット・マザーファンド | 999 | 997 | |
| 親投資信託受益証券 合計 | 997 | |||
| 合計 | 2,162,385,418 | |||
| 第2 信用取引契約残高明細表 |
| 該当事項はありません。 |
| 第3 デリバティブ取引及び為替予約取引の契約額等及び時価の状況表 |
| 該当事項はありません。 |
| (参考) |
| 当ファンドは、ケイマン籍の外国投資信託「ダイワ・ディスカバリー・ファンド・シリーズ-ダイワ・コア・ボンド・ストラテジー・ファンド(円ヘッジ・クラス)」の受益証券(円建)を主要投資対象としており、貸借対照表の資産の部に計上された「投資信託受益証券」は、すべて同ファンドの受益証券であります。 また、当ファンドは、「ダイワ・マネーアセット・マザーファンド」受益証券を主要投資対象としており、貸借対照表の資産の部に計上された「親投資信託受益証券」は、すべて同マザーファンドの受益証券であります。 なお、同ファンドの状況及び当ファンドの計算期間末日(以下、｢期末日｣)における同マザーファンドの状況は次のとおりであります。 |
「ダイワ・ディスカバリー・ファンド・シリーズ-ダイワ・コア・ボンド・ストラテジー・ファンド(円ヘッジ・クラス)」の状況
以下に記載した同ファンドの情報は、会計監査人により監査を受けた財務諸表を委託会社で抜粋・翻訳したものであります。
以下に記載した情報は監査の対象外であります。
(米ドル建て)
貸借対照表
2020年9月30日
| 資産 | ||
| 投資資産の評価額 (簿価 $359,966,873) | $ | 368,055,624 |
| 現金 | 124 | |
| 中央清算されるデリバティブ取引におけるブローカーへの預託金 | 13,361 | |
| 外国為替先渡取引による評価益 | 886,065 | |
| ブローカーからの未収金 – 中央清算されるデリバティブ-スワップ取引の変動証拠金 | 12,422 | |
| 未収: | ||
| 売却済投資資産の代金 | 6,013,383 | |
| 受渡遅延の売却済投資資産の代金 | 38,407,323 | |
| 発行済受益証券の代金 | 60,719 | |
| 配当 | 2,828 | |
| 利息 | 1,757,938 | |
| 資産合計 | 415,209,787 | |
| 負債 | ||
| 外国為替先渡取引による評価損 | 635,802 | |
| 店頭スワップ取引による評価損 | 16,146 | |
| 店頭デリバティブ取引におけるブローカーからの預託金 | 750,000 | |
| ブローカーに対する未払金 – 中央清算されるデリバティブ-スワップ取引の変動証拠金 | 1,893 | |
| 買い現先取引の評価額 (簿価 $1,486,005) | 1,486,166 | |
| 未払: | ||
| 購入済投資資産の代金 | 13,355,455 | |
| 受渡遅延の購入済投資資産の代金 | 60,635,234 | |
| 償還済受益証券の代金 | 190,905 | |
| 会計および管理会社報酬 | 253,081 | |
| 運用会社報酬 | 241,648 | |
| 専門家報酬 | 92,852 | |
| 販売会社報酬 | 33,731 | |
| 保管会社報酬 | 25,448 | |
| 管理会社報酬 | 17,898 | |
| 為替取引執行会社報酬 | 15,336 | |
| 名義書換代理人報酬 | 5,494 | |
| 代理人報酬 | 5,189 | |
| 印刷費用 | 2,847 | |
| その他負債 | 2,444 | |
| 負債合計 | 77,767,569 | |
| 純資産 | $ | 337,442,218 |
| 純資産 | ||
| 豪ドル・クラス | $ | 9,052,170 |
| 円ヘッジ・クラス | 29,721,688 | |
| ノンヘッジ・クラス | 264,277,790 | |
| NZドル・クラス | 4,706,877 | |
| トルコ・リラ・クラス | 14,245,269 | |
| 米ドル・クラス | 10,629,416 | |
| 南アフリカ・ランド・クラス | 4,809,008 | |
| $ | 337,442,218 | |
| 発行済み受益証券 | ||
| 豪ドル・クラス | 112,530 | |
| 円ヘッジ・クラス | 29,607,360 | |
| ノンヘッジ・クラス | 288,800,653 | |
| NZドル・クラス | 63,170 | |
| トルコ・リラ・クラス | 902,620 | |
| 米ドル・クラス | 92,525 | |
| 南アフリカ・ランド・クラス | 70,153 | |
| 受益証券1口当り純資産額 | ||
| 豪ドル・クラス | $ | 80.440 |
| 円ヘッジ・クラス | $ | 1.004 |
| ノンヘッジ・クラス | $ | 0.915 |
| NZドル・クラス | $ | 74.510 |
| トルコ・リラ・クラス | $ | 15.780 |
| 米ドル・クラス | $ | 114.880 |
| 南アフリカ・ランド・クラス | $ | 68.550 |
損益計算書
2020年9月30日に終了した年度
| 投資収益 | ||
| 受取利息 (源泉徴収税 $5,030 控除後) | $ | 7,964,918 |
| 配当収益 ((源泉徴収税 $10,261 控除後) | 19,901 | |
| 投資収益合計 | 7,984,819 | |
| 費用 | ||
| 管理会社報酬 | 1,302,713 | |
| 販売会社報酬 | 303,243 | |
| 会計および管理会社報酬 | 217,119 | |
| 運用会社報酬 | 212,912 | |
| 保管会社報酬 | 135,375 | |
| 専門家報酬 | 96,757 | |
| 代理人報酬 | 46,653 | |
| 名義書換代理人報酬 | 44,473 | |
| 為替取引執行会社報酬 | 28,795 | |
| 印刷費用 | 13,398 | |
| 支払利息 | 13,326 | |
| 受託会社報酬 | 10,150 | |
| 登録料 | 5,865 | |
| その他費用 | 68 | |
| 費用合計 | 2,430,847 | |
| 投資利益 | 5,553,972 | |
| 実現損益および評価損益: | ||
| 実現損益: | ||
| 証券投資 | 8,904,266 | |
| 先物取引 | 213,083 | |
| スワップ取引 | 2,867,505 | |
| 外国為替換算調整および外国為替先渡取引 | (2,740,419) | |
| 実現利益 | 9,244,435 | |
| 評価損益の変動: | ||
| 証券投資 | 678,266 | |
| スワップ取引 | 1,435,824 | |
| 外国為替換算調整および外国為替先渡取引 | 1,034,547 | |
| 評価益の変動 | 3,148,637 | |
| 実現・評価損益 | 12,393,072 | |
| 運用による純資産の増減 | $ | 17,947,044 |
投資明細表
2020年9月30日
| 元本 | 証券の明細 | 評価額 | |||
| 債券* (105.5%) | |||||
| オーストラリア (1.0%) | |||||
| 社債 (1.0%) | |||||
| Macquarie Bank, Ltd. (a) | |||||
| USD 1,610,000 | 3.62% due 2030/6/3 | $ | 1,711,665 | ||
| Newcrest Finance Pty, Ltd. (a),(b) | |||||
| USD 800,000 | 3.25% due 2030/5/13 | 872,638 | |||
| Transurban Finance Co. Pty, Ltd. (a),(b) | |||||
| USD 850,000 | 2.45% due 2031/3/16 | 865,877 | |||
| 社債合計 | 3,450,180 | ||||
| オーストラリア合計 (簿価 $3,302,808) | 3,450,180 | ||||
| バルバドス (0.2%) | |||||
| 資産担保証券(0.2%) | |||||
| Global SC Finance II SRL 2014-1A Class A1 (a) | |||||
| USD 575,000 | 3.19% due 2029/7/17 | 584,469 | |||
| 資産担保証券合計 | 584,469 | ||||
| バルバドス合計 (簿価 $575,228) | 584,469 | ||||
| バミューダ (1.9%) | |||||
| 資産担保証券 (1.9%) | |||||
| CAL Funding III, Ltd. 2018-2A Class A (a),(b) | |||||
| USD 1,800,000 | 4.34% due 2043/9/25 | 1,843,742 | |||
| CAL Funding IV, Ltd. 2020-1A Class A (a),(b) | |||||
| USD 3,500,000 | 2.22% due 2045/9/25 | 3,511,125 | |||
| Textainer Marine Containers VII, Ltd. 2020-1A Class A (a) | |||||
| USD 942,012 | 2.73% due 2045/8/21 | 962,806 | |||
| 資産担保証券合計 | 6,317,673 | ||||
| バミューダ合計 (簿価 $6,253,028) | 6,317,673 | ||||
| カナダ (0.8%) | |||||
| バンクローン (0.2%) | |||||
| Bombardier Recreational Products, Inc. | |||||
| USD 750,000 | 6.00% due 2027/5/24 | 759,690 | |||
| バンクローン合計 | 759,690 | ||||
| 社債 (0.6%) | |||||
| 1011778 BC ULC / New Red Finance, Inc. (a),(b) | |||||
| USD 950,000 | 4.00% due 2030/10/15 | 957,324 | |||
| USD 100,000 | 5.75% due 2025/4/15 | 106,750 | |||
| Brookfield Finance, Inc. (b) | |||||
| USD 530,000 | 3.50% due 2051/3/30 | 523,681 | |||
| Manulife Financial Corp. (b) | |||||
| USD 390,000 | 2.48% due 2027/5/19 | 417,369 | |||
| 社債合計 | 2,005,124 | ||||
| カナダ合計 (簿価 $2,699,076) | 2,764,814 | ||||
| ケイマン諸島 (11.7%) | |||||
| 資産担保証券 (11.5%) | |||||
| AIM Aviation Finance, Ltd., 2015-1A Class A1 (a),(b) | |||||
| USD 1,800,807 | 4.21% due 2040/2/15 | 1,505,391 | |||
| Anchorage Credit Funding 4, Ltd. 2016-4A Class A (a),(b) | |||||
| USD 2,000,000 | 3.50% due 2035/2/15 | 2,011,293 | |||
| BSPRT 2018-FL3 Issuer, Ltd. Class A (a),(b),(c) | |||||
| USD 338,210 | 1.20% due 2028/3/15 | 336,335 | |||
| BXMT 2020-FL2, Ltd. Class AS (a),(c) | |||||
| USD 2,000,000 | 1.30% due 2037/2/16 | 1,961,283 | |||
| BXMT 2020-FL2, Ltd. Class C (a),(c) | |||||
| USD 1,000,000 | 1.80% due 2037/2/16 | 969,650 | |||
| Cerberus Loan Funding XVII, Ltd. 2016-3A Class A (a),(c) | |||||
| USD 1,000,000 | 2.81% due 2028/1/15 | 978,825 | |||
| Crown Point CLO III, Ltd. 2015-3A Class A2R (a),(b),(c) | |||||
| USD 2,500,000 | 1.73% due 2027/12/31 | 2,460,145 | |||
| Denali Capital CLO XI, Ltd. 2015-1A Class A1RR (a),(b),(c) | |||||
| USD 2,700,000 | 1.40% due 2028/10/20 | 2,682,472 | |||
| FDF I, Ltd. 2015-1A Class A (a),(b) | |||||
| USD 1,000,000 | 4.40% due 2030/11/12 | 1,003,175 | |||
| FDF II, Ltd. 2016-2A Class A (a),(b) | |||||
| USD 1,000,000 | 4.29% due 2031/5/12 | 1,001,039 | |||
| FINS 2020-1 A1 | |||||
| USD 1,750,000 | 0.00% due 2038/5/15 | 1,749,125 | |||
| Fortress Credit Opportunities XI CLO, Ltd. 2018-11A Class A1T (a),(c) | |||||
| USD 1,000,000 | 1.58% due 2031/4/15 | 942,401 | |||
| GoldentTree Loan Management US CLO 1, Ltd. 2017-1A Class AR (a),(b),(c) | |||||
| USD 1,000,000 | 1.22% due 2029/4/20 | 995,570 | |||
| Golub Capital Partners CLO 16, Ltd. 2013-16A Class A1R (a),(c) | |||||
| USD 250,000 | 1.94% due 2029/7/25 | 247,933 | |||
| Golub Capital Partners CLO 16, Ltd. 2013-16A Class A2R (a),(c) | |||||
| USD 2,000,000 | 2.09% due 2029/7/25 | 1,961,359 | |||
| Golub Capital Partners CLO 16, Ltd. 2013-16A Class BR (a),(c) | |||||
| USD 250,000 | 2.49% due 2029/7/25 | 246,305 | |||
| Golub Capital Partners CLO 36M, Ltd. 2018-36A Class A (a),(b),(c) | |||||
| USD 1,000,000 | 1.55% due 2031/2/5 | 961,241 | |||
| KDAC Aviation Finance, Ltd. 2017-1A Class A (a) | |||||
| USD 1,066,511 | 4.21% due 2042/12/15 | 936,797 | |||
| LoanCore 2018-CRE1 Issuer, Ltd. Class AS (a),(b),(c) | |||||
| USD 1,000,000 | 1.65% due 2028/5/15 | 991,316 | |||
| LoanCore 2019-CRE2 Issuer, Ltd. Class AS (a),(b),(c) | |||||
| USD 650,000 | 1.65% due 2036/5/15 | 636,415 | |||
| Midocean Credit Clo VII 2017-7A Class A2R (a),(b),(c) | |||||
| USD 1,000,000 | 1.73% due 2029/7/15 | 998,343 | |||
| Monroe Capital CLO 2014-1, Ltd. Class AR (a),(c) | |||||
| USD 459,842 | 1.61% due 2026/10/22 | 457,631 | |||
| Monroe Capital CLO 2014-1, Ltd. Class BR (a),(c) | |||||
| USD 1,000,000 | 1.96% due 2026/10/22 | 971,484 | |||
| Monroe Capital CLO 2015-1, Ltd. Class BR (a),(c) | |||||
| USD 1,250,000 | 2.01% due 2027/5/22 | 1,235,625 | |||
| Palmer Square Loan Funding 2018-4, Ltd. Class A1 (a),(b),(c) | |||||
| USD 2,365,751 | 1.18% due 2026/11/15 | 2,357,607 | |||
| Putnam Structured Product Funding 2003-1, Ltd. Class A2 (a),(c) | |||||
| USD 106,497 | 1.18% due 2038/10/15 | 105,633 | |||
| Shackleton 2015-VIII CLO, Ltd. 2015-8A Class A1R (a),(b),(c) | |||||
| USD 2,813,226 | 1.19% due 2027/10/20 | 2,793,333 | |||
| THL Credit Lake Shore MM CLO I, Ltd. 2019-1A Class A (a),(b),(c) | |||||
| USD 2,500,000 | 1.98% due 2030/4/15 | 2,457,850 | |||
| Tralee CLO III, Ltd. 2014-3A Class BRR (a),(b),(c) | |||||
| USD 3,000,000 | 1.72% due 2027/10/20 | 2,903,099 | |||
| VENTURE XIII CLO, Ltd. 2013-13A Class SUB (a),(b),(c) | |||||
| USD 500,000 | 0.00% due 2029/9/10 | 50,793 | |||
| 資産担保証券合計 | 38,909,468 | ||||
| バンクローン (0.2%) | |||||
| Globalfoundries, Inc. | |||||
| USD 598,485 | 5.00% due 2026/6/5 | 598,485 | |||
| バンクローン合計 | 598,485 | ||||
| ケイマン諸島合計 (簿価 $40,620,088) | 39,507,953 | ||||
| フランス (0.1%) | |||||
| 社債 (0.1%) | |||||
| Altice France S.A. (a),(b) | |||||
| USD 200,000 | 5.13% due 2029/1/15 | 199,250 | |||
| USD 200,000 | 7.38% due 2026/5/1 | 209,580 | |||
| 社債合計 | 408,830 | ||||
| フランス合計 (簿価 $407,018) | 408,830 | ||||
| ドイツ (0.0%) | |||||
| バンクローン (0.0%) | |||||
| Vertical Midco GmbH | |||||
| USD 150,000 | 4.57% due 2027/7/30 | 149,036 | |||
| バンクローン合計 | 149,036 | ||||
| ドイツ合計 (簿価 $147,099) | 149,036 | ||||
| ガーンジー (0.3%) | |||||
| 社債 (0.3%) | |||||
| Pershing Square Holdings, Ltd. (a),(b) | |||||
| USD 1,000,000 | 5.50% due 2022/7/15 | 1,055,910 | |||
| 社債合計 | 1,055,910 | ||||
| ガーンジー合計 (簿価 $1,041,639) | 1,055,910 | ||||
| アイルランド (0.1%) | |||||
| 社債 (0.1%) | |||||
| LCPR Senior Secured Financing DAC (a),(b) | |||||
| USD 200,000 | 6.75% due 2027/10/15 | 209,000 | |||
| 社債合計 | 209,000 | ||||
| アイルランド合計 (簿価 $215,383) | 209,000 | ||||
| ルクセンブルク (0.3%) | |||||
| バンクローン (0.2%) | |||||
| Aston FinCo S.A.R.L. | |||||
| USD 249,373 | 4.40% due 2026/10/9 | 245,633 | |||
| Samsonite International S.A. | |||||
| USD 548,625 | 5.50% due 2025/4/25 | 536,967 | |||
| バンクローン合計 | 782,600 | ||||
| 社債 (0.1%) | |||||
| Telenet Finance Luxembourg Notes S.A.R.L. (a),(b) | |||||
| USD 200,000 | 5.50% due 2028/3/1 | 210,000 | |||
| 社債合計 | 210,000 | ||||
| ルクセンブルク合計 (簿価 $981,943) | 992,600 | ||||
| 多国籍企業 (0.5%) | |||||
| 社債 (0.5%) | |||||
| Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (a),(b) | |||||
| USD 430,000 | 4.13% due 2026/8/15 | 435,913 | |||
| Delta Air Lines, Inc. / SkyMiles IP, Ltd. (a) | |||||
| USD 1,150,000 | 4.50% due 2025/10/20 | 1,180,880 | |||
| 社債合計 | 1,616,793 | ||||
| 多国籍企業合計 (簿価 $1,582,003) | 1,616,793 | ||||
| オランダ (0.1%) | |||||
| 社債 (0.1%) | |||||
| Alcoa Nederland Holding B.V. (a),(b) | |||||
| USD 200,000 | 5.50% due 2027/12/15 | 208,440 | |||
| 社債合計 | 208,440 | ||||
| オランダ合計 (簿価 $200,000) | 208,440 | ||||
| 英国 (3.1%) | |||||
| バンクローン (0.1%) | |||||
| GVC Holdings PLC | |||||
| USD 488,747 | 2.47% due 2024/3/29 | 482,637 | |||
| バンクローン合計 | 482,637 | ||||
| 社債 (3.0%) | |||||
| Anglo American Capital PLC (a),(b) | |||||
| USD 1,450,000 | 2.63% due 2030/9/10 | 1,446,056 | |||
| USD 750,000 | 3.95% due 2050/9/10 | 766,445 | |||
| USD 200,000 | 5.63% due 2030/4/1 | 245,484 | |||
| BAE Systems PLC (a),(b) | |||||
| USD 340,000 | 3.40% due 2030/4/15 | 379,988 | |||
| BP Capital Markets PLC (b),(c) | |||||
| USD 1,480,000 | 4.88% due 2068/12/22 | 1,583,600 | |||
| Ferguson Finance PLC (a),(b) | |||||
| USD 750,000 | 3.25% due 2030/6/2 | 815,178 | |||
| Prudential PLC | |||||
| USD 270,000 | 3.13% due 2030/4/14 | 299,838 | |||
| Rolls-Royce PLC (a),(b) | |||||
| USD 700,000 | 2.38% due 2020/10/14 | 698,250 | |||
| Royalty Pharma PLC (a),(b) | |||||
| USD 270,000 | 2.20% due 2030/9/2 | 269,514 | |||
| USD 520,000 | 3.55% due 2050/9/2 | 504,276 | |||
| Standard Chartered PLC (a),(b),(c) | |||||
| USD 1,400,000 | 4.64% due 2031/4/1 | 1,611,514 | |||
| Virgin Media Finance PLC (a),(b) | |||||
| USD 200,000 | 5.00% due 2030/7/15 | 199,000 | |||
| Virgin Media Secured Finance PLC (a),(b) | |||||
| USD 400,000 | 4.50% due 2030/8/15 | 410,976 | |||
| Vmed O2 UK Financing I PLC (a),(b) | |||||
| GBP 650,000 | 4.00% due 2029/1/31 | 834,018 | |||
| 社債合計 | 10,064,137 | ||||
| 英国合計 (簿価 $10,319,569) | 10,546,774 | ||||
| 米国 (85.4%) | |||||
| 資産担保証券 (19.8%) | |||||
| AASET 2017-1 Trust Class A (a) | |||||
| USD 419,010 | 3.97% due 2042/5/16 | 378,813 | |||
| AASET 2018-2 US, Ltd. Class A (a) | |||||
| USD 2,608,633 | 4.45% due 2038/11/18 | 2,426,206 | |||
| ABPCI Direct Lending Fund CLO VII LP 2019-7A Class A1A (a),(c) | |||||
| USD 300,000 | 2.08% due 2031/10/20 | 297,764 | |||
| American Home Mortgage Investment Trust 2007-1 Class GIOP | |||||
| USD 3,506,243 | 2.08% due 2047/5/25 | 583,453 | |||
| Applebee's Funding LLC / IHOP Funding LLC 2019-1A Class A2II (a),(b) | |||||
| USD 500,000 | 4.72% due 2049/6/7 | 433,630 | |||
| Arbys Funding LLC 2020-1A Class A2 (a),(b) | |||||
| USD 1,600,000 | 3.24% due 2050/7/30 | 1,645,296 | |||
| Asset Backed Securities Corp. Home Equity Loan Trust Series AEG 2006-HE1 Class M1 (b),(c) | |||||
| USD 1,000,000 | 0.55% due 2036/1/25 | 954,496 | |||
| Bear Stearns Asset Backed Securities I Trust 2006-HE9 Class 2A (b),(c) | |||||
| USD 547,641 | 0.29% due 2036/11/25 | 524,469 | |||
| Benchmark 2018-B6 Mortgage Trust Class XA (c) | |||||
| USD 23,439,898 | 0.59% due 2051/10/10 | 584,905 | |||
| BRAVO Residential Funding Trust 2019-NQM1 Class A1 (a),(b),(c) | |||||
| USD 607,899 | 2.67% due 2059/7/25 | 620,347 | |||
| BX Commercial Mortgage Trust 2019-XL Class F (a),(c) | |||||
| USD 949,298 | 2.15% due 2036/10/15 | 937,394 | |||
| Capital Automotive LLC 2017-1A Class A1 (a),(b) | |||||
| USD 825,975 | 3.87% due 2047/4/15 | 827,482 | |||
| Capital Automotive REIT 2014-1A Class A (a),(b) | |||||
| USD 3,353,953 | 3.66% due 2044/10/15 | 3,364,062 | |||
| Capmark Military Housing Trust 2007-AET2 Class A (a) | |||||
| USD 471,222 | 6.06% due 2052/10/10 | 563,553 | |||
| CARS-DB4 LP 2020-1A Class A5 (a) | |||||
| USD 600,000 | 3.48% due 2050/2/15 | 623,392 | |||
| CARS-DB4 LP 2020-1A Class A6 (a) | |||||
| USD 1,000,000 | 3.81% due 2050/2/15 | 1,039,491 | |||
| Cascade Funding Mortgage Trust 2018-RM2 Class A (a),(b),(c) | |||||
| USD 2,336,233 | 4.00% due 2068/10/25 | 2,423,378 | |||
| Castlelake Aircraft Securitization Trust 2017-1 Class A | |||||
| USD 613,832 | 3.97% due 2042/7/15 | 552,709 | |||
| Castlelake Aircraft Securitization Trust 2018-1 Class A (a) | |||||
| USD 1,571,167 | 4.13% due 2043/6/15 | 1,466,793 | |||
| CD 2016-CD1 Mortgage Trust Class XA (c) | |||||
| USD 959,698 | 1.53% due 2049/8/10 | 58,202 | |||
| CF Hippolyta LLC 2020-1 Class B1 (a),(b) | |||||
| USD 250,000 | 2.28% due 2060/7/15 | 254,367 | |||
| Citigroup Commercial Mortgage Trust 2016-C2 Class XA (c) | |||||
| USD 966,513 | 1.90% due 2049/8/10 | 76,683 | |||
| Citigroup Commercial Mortgage Trust 2016-GC37 Class XA (c) | |||||
| USD 3,663,501 | 1.90% due 2049/4/10 | 268,449 | |||
| Citigroup Commercial Mortgage Trust 2016-P5 Class XA (c) | |||||
| USD 1,920,778 | 1.65% due 2049/10/10 | 119,074 | |||
| Citigroup Mortgage Loan Trust Series 2005-OPT3 Asset Backed Pass-Through Certificates Class M3 (b),(c) | |||||
| USD 122,719 | 0.87% due 2035/5/25 | 122,567 | |||
| COMM 2015-CCRE26 Mortgage Trust Class XA (c) | |||||
| USD 6,023,396 | 1.08% due 2048/10/10 | 230,189 | |||
| CSMC 2018-RPL9 Trust Class A1 (a),(b),(c) | |||||
| USD 2,032,155 | 3.85% due 2057/9/25 | 2,182,472 | |||
| CSMC Series 2015-12R Class 2A1 (a),(c) | |||||
| USD 400,117 | 0.68% due 2037/11/30 | 398,425 | |||
| Falcon Aerospace, Ltd. 2017-1 Class A (a) | |||||
| USD 224,780 | 4.58% due 2042/2/15 | 202,467 | |||
| FirstKey Revolving Trust 2020-C2 | |||||
| USD 2,147,709 | 0.00% due 2023/7/31 | 2,167,039 | |||
| FNMA-Aces 2017-M11 Class A2 | |||||
| USD 1,600,000 | 2.98% due 2029/8/25 | 1,835,273 | |||
| FNMA-Aces 2020-M23 Class X1 (c) | |||||
| USD 4,097,713 | 1.61% due 2035/3/25 | 587,934 | |||
| Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1 Class B1 (a),(c) | |||||
| USD 1,989,481 | 4.66% due 2055/11/25 | 2,300,794 | |||
| Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 2015-R1 Class XA1 (a),(c) | |||||
| USD 5,921,075 | 0.70% due 2055/11/25 | 424,899 | |||
| Freddie Mac Multifamily Structured Pass Through Certificates K046 Class X1 (c) | |||||
| USD 19,815,805 | 0.49% due 2025/3/25 | 295,796 | |||
| Freddie Mac Multifamily Structured Pass Through Certificates K-1513 Class A3 | |||||
| USD 1,300,000 | 2.80% due 2034/8/25 | 1,503,789 | |||
| GE Business Loan Trust 2007-1 Class A (a),(c) | |||||
| USD 361,624 | 0.32% due 2035/4/15 | 361,624 | |||
| GMAC Commercial Mortgage Asset Corp. 2006-NELL Class A (a) | |||||
| USD 469,274 | 5.36% due 2051/5/10 | 528,876 | |||
| GMAC Commercial Mortgage Asset Corp. 2007-HCKM Class A (a) | |||||
| USD 946,198 | 6.11% due 2052/8/10 | 1,110,143 | |||
| GS Mortgage Securities Corp. Trust 2020-DUNE Class D (a),(c) | |||||
| USD 1,000,000 | 2.05% due 2036/12/15 | 884,681 | |||
| GS Mortgage Securities Corp. Trust 2020-UPTN Class D (a),(c) | |||||
| USD 1,000,000 | 3.25% due 2037/2/10 | 970,194 | |||
| Home Equity Loan Trust 2007-FRE1 Class 1AV1 (b),(c) | |||||
| USD 1,865,908 | 0.34% due 2037/4/25 | 1,750,805 | |||
| Homeward Opportunities Fund I Trust 2019-2 Class A1 (a),(b),(c) | |||||
| USD 617,440 | 2.70% due 2059/9/25 | 623,708 | |||
| InSite Issuer LLC 2020-1A Class B (a),(b) | |||||
| USD 2,000,000 | 2.49% due 2050/9/15 | 1,997,082 | |||
| Lehman XS Trust Series 2006-12N Class A32A (b),(c) | |||||
| USD 2,116,906 | 0.35% due 2046/8/25 | 2,005,848 | |||
| Lehman XS Trust Series 2007-2N Class 2A (b),(c) | |||||
| USD 698,379 | 0.33% due 2037/2/25 | 647,736 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 Class XA (c) | |||||
| USD 16,164,569 | 0.95% due 2052/11/15 | 721,392 | |||
| Morgan Stanley Capital I Trust 2016-UB11 Class XA (b),(c) | |||||
| USD 2,312,541 | 1.72% due 2049/8/15 | 144,960 | |||
| Nassau 2019 CFO LLC Class A (a) | |||||
| USD 400,429 | 3.98% due 2034/8/15 | 407,562 | |||
| New Residential Advance Receivables Trust Advance Receivables Backed 2019-T4 Class AT4 (a),(b) | |||||
| USD 2,000,000 | 2.33% due 2051/10/15 | 2,014,356 | |||
| New Residential Advance Receivables Trust Advance Receivables Backed 2019-T5 Class AT5 (a),(b) | |||||
| USD 1,000,000 | 2.42% due 2051/10/15 | 995,860 | |||
| NewStar Clarendon Fund CLO LLC 2014-1A Class AR (a),(b),(c) | |||||
| USD 1,536,946 | 1.54% due 2027/1/25 | 1,523,788 | |||
| NXT Capital CLO 2017-1 LLC Class A (a),(c) | |||||
| USD 1,000,000 | 1.97% due 2029/4/20 | 971,869 | |||
| Oxford Finance Funding 2020-1 LLC Class A2 (a),(b) | |||||
| USD 500,000 | 3.10% due 2028/2/15 | 507,896 | |||
| Park Place Securities, Inc. Asset Backed Pass Through Certificates Series 2005-WHQ3 Class M4 (b),(c) | |||||
| USD 2,600,000 | 1.09% due 2035/6/25 | 2,580,823 | |||
| RALI Series 2006-QO2 Trust Class A1 (b),(c) | |||||
| USD 116,526 | 0.37% due 2046/2/25 | 32,873 | |||
| Raspro Trust 2005-1A Class B (a),(c) | |||||
| USD 443,606 | 2.89% due 2024/3/23 | 416,128 | |||
| Ready Captial Mortgage Financing 2019-FL3 LLC Class B (a),(c) | |||||
| USD 75,000 | 1.80% due 2034/3/25 | 72,389 | |||
| Sabey Data Center Issuer LLC 2020-1 Class A2 (a),(b) | |||||
| USD 500,000 | 3.81% due 2045/4/20 | 517,578 | |||
| Soundview Home Loan Trust 2006-OPT5 Class 1A1 (b),(c) | |||||
| USD 1,892,667 | 0.29% due 2036/7/25 | 1,834,227 | |||
| Starwood Mortgage Residential Trust 2019-1 Class A1 (a),(b),(c) | |||||
| USD 415,606 | 2.94% due 2049/6/25 | 422,285 | |||
| STORE Master Funding I LLC 2015-1A Class A1 (a),(b) | |||||
| USD 972,917 | 3.75% due 2045/4/20 | 988,379 | |||
| STORE Master Funding I LLC 2015-1A Class A2 (a),(b) | |||||
| USD 194,583 | 4.17% due 2045/4/20 | 201,726 | |||
| STORE Master Funding I-VII 2016-1A Class A1 (a),(b) | |||||
| USD 926,820 | 3.96% due 2046/10/20 | 945,396 | |||
| STORE Master Funding I-VII 2018-1A Class A2 (a),(b) | |||||
| USD 960,399 | 4.29% due 2048/10/20 | 1,017,038 | |||
| STORE Master Funding LLC 2013-2A Class A2 (a),(b) | |||||
| USD 376,695 | 5.33% due 2043/7/20 | 343,024 | |||
| TCP Waterman CLO, Ltd. 2016-1A Class A1ST (a),(c) | |||||
| USD 1,000,000 | 2.30% due 2028/12/15 | 984,044 | |||
| Textainer Marine Containers VIII, Ltd. 2020-2A Class A (a),(b) | |||||
| USD 1,750,000 | 2.10% due 2045/9/20 | 1,751,124 | |||
| UBS Commercial Mortgage Trust 2017-C2 Class XA (c) | |||||
| USD 5,537,716 | 1.23% due 2050/8/15 | 311,559 | |||
| Vantage Data Centers Issuer LLC 2018-1A Class A2 (a),(b) | |||||
| USD 146,250 | 4.07% due 2043/2/16 | 151,282 | |||
| VB-S1 Issuer LLC 2020-1A Class C2 (a),(b) | |||||
| USD 500,000 | 3.03% due 2050/6/15 | 521,140 | |||
| Wachovia Asset Securitization Issuance II LLC 2007-HE2 Trust Class A (a),(c) | |||||
| USD 545,557 | 0.30% due 2037/7/25 | 489,485 | |||
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust Class 1A (b),(c) | |||||
| USD 808,552 | 1.85% due 2046/11/25 | 704,624 | |||
| Wells Fargo Commercial Mortgage Trust 2015-NXS1 Class A2 | |||||
| USD 157,424 | 2.63% due 2048/5/15 | 157,367 | |||
| Wells Fargo Commercial Mortgage Trust 2016-C37 Class XA (c) | |||||
| USD 10,062,078 | 1.11% due 2049/12/15 | 339,585 | |||
| Wells Fargo Commercial Mortgage Trust 2016-NXS5 Class XA (c) | |||||
| USD 3,963,571 | 1.65% due 2059/1/15 | 236,133 | |||
| Wendy's Funding LLC Class A23 (a),(b) | |||||
| USD 237,500 | 4.50% due 2045/6/15 | 242,464 | |||
| 資産担保証券合計 | 66,705,105 | ||||
| バンクローン (4.4%) | |||||
| Alchemy Copyrights LLC | |||||
| USD 700,000 | 4.00% due 2027/8/16 | 700,000 | |||
| Alterra Mountain Co. (d) | |||||
| USD 497,436 | 0.00% due 2024/7/31 | 481,682 | |||
| Berlin Packaging LLC | |||||
| USD 298,473 | 3.16% due 2025/11/7 | 290,110 | |||
| BIFM CA Buyer, Inc. (d) | |||||
| USD 795,140 | 3.76% due 2026/6/1 | 784,971 | |||
| Cambrex Corp. | |||||
| USD 249,372 | 6.00% due 2026/12/4 | 250,619 | |||
| Charter NEX US, Inc. | |||||
| USD 199,219 | 3.75% due 2024/5/16 | 195,069 | |||
| CHG Healthcare Services, Inc. | |||||
| USD 463,097 | 4.00% due 2023/6/7 | 456,192 | |||
| CNT Holdings III Corp. | |||||
| USD 498,705 | 4.00% due 2023/1/22 | 498,498 | |||
| CPI Holdco LLC | |||||
| USD 338,300 | 4.40% due 2026/11/4 | 337,243 | |||
| Cushman & Wakefield U.S. Borrower LLC (d) | |||||
| USD 148,868 | 0.00% due 2025/8/21 | 144,110 | |||
| Delta Air Lines, Inc. | |||||
| USD 249,375 | 5.75% due 2023/4/29 | 249,375 | |||
| DiversiTech Holdings, Inc. | |||||
| USD 648,325 | 4.00% due 2024/6/3 | 639,411 | |||
| Elanco Animal Health, Inc. | |||||
| USD 97,661 | 1.91% due 2027/8/1 | 95,066 | |||
| Filtration Group Corp. | |||||
| USD 397,879 | 3.15% due 2025/3/31 | 391,041 | |||
| Graftech International, Ltd. (d) | |||||
| USD 846,721 | 4.50% due 2025/2/12 | 839,312 | |||
| Hamilton Holdco LLC | |||||
| USD 692,911 | 2.23% due 2027/1/2 | 679,053 | |||
| Illuminate Buyer LLC | |||||
| USD 350,000 | 4.15% due 2027/6/30 | 347,849 | |||
| Jane Street Group LLC | |||||
| USD 99,749 | 3.15% due 2025/1/31 | 99,219 | |||
| Jefferies Finance LLC (d) | |||||
| USD 350,000 | 0.00% due 2027/9/30 | 348,688 | |||
| Mileage Plus Holdings LLC | |||||
| USD 400,000 | 6.25% due 2027/6/21 | 407,196 | |||
| Navicure, Inc. (d) | |||||
| USD 500,000 | 0.00% due 2026/10/22 | 496,875 | |||
| Neustar, Inc. | |||||
| USD 119,167 | 4.50% due 2024/8/8 | 112,451 | |||
| Nielsen Finance LLC (d) | |||||
| USD 600,000 | 0.00% due 2023/10/4 | 589,500 | |||
| Omnitracs LLC | |||||
| USD 199,487 | 2.98% due 2025/3/21 | 193,377 | |||
| PQ Corporation | |||||
| USD 99,750 | 4.00% due 2027/2/7 | 99,513 | |||
| Project Ruby Ultimate Parent Corp. | |||||
| USD 398,972 | 4.50% due 2024/2/9 | 395,481 | |||
| ProQuest LLC | |||||
| USD 331,091 | 3.65% due 2026/10/23 | 328,070 | |||
| Recorded Books, Inc. | |||||
| USD 141,519 | 4.16% due 2025/8/29 | 140,811 | |||
| Siteone Landscape Supply LLC (d) | |||||
| USD 352,379 | 3.75% due 2024/10/29 | 350,617 | |||
| T-Mobile USA, Inc. | |||||
| USD 897,750 | 3.15% due 2027/4/1 | 898,150 | |||
| TransDigm, Inc. (d) | |||||
| USD 896,482 | 0.00% due 2025/12/9 | 849,166 | |||
| Upland Software, Inc. | |||||
| USD 149,622 | 3.90% due 2026/8/6 | 147,799 | |||
| US Foods, Inc. | |||||
| USD 790,000 | 4.25% due 2025/4/24 | 770,250 | |||
| USI, Inc. | |||||
| USD 250,000 | 4.22% due 2026/12/2 | 248,203 | |||
| USIC Holdings, Inc. | |||||
| USD 886,644 | 4.25% due 2023/12/8 | 874,634 | |||
| Xplornet Communications, Inc. | |||||
| USD 249,375 | 4.90% due 2027/6/10 | 245,636 | |||
| バンクローン合計 | 14,975,237 | ||||
| 社債 (36.8%) | |||||
| Acadia Healthcare Co., Inc. (a),(b) | |||||
| USD 350,000 | 5.00% due 2029/4/15 | 354,813 | |||
| AES Corp. (b) | |||||
| USD 360,000 | 3.95% due 2030/7/15 | 397,786 | |||
| USD 175,000 | 5.50% due 2025/4/15 | 180,437 | |||
| Alcon Finance Corp. (a),(b) | |||||
| USD 620,000 | 2.60% due 2030/5/27 | 656,319 | |||
| Alexandria Real Estate Equities, Inc. (b) | |||||
| USD 250,000 | 4.90% due 2030/12/15 | 314,692 | |||
| Alleghany Corp. (b) | |||||
| USD 2,310,000 | 3.63% due 2030/5/15 | 2,596,633 | |||
| Allison Transmission, Inc. (a),(b) | |||||
| USD 150,000 | 5.00% due 2024/10/1 | 151,509 | |||
| Altria Group, Inc. (b) | |||||
| USD 490,000 | 3.40% due 2030/5/6 | 534,749 | |||
| USD 90,000 | 4.45% due 2050/5/6 | 100,151 | |||
| Amazon.com, Inc. (b) | |||||
| USD 340,000 | 2.70% due 2060/6/3 | 352,436 | |||
| American International Group, Inc. (b) | |||||
| USD 1,130,000 | 3.40% due 2030/6/30 | 1,251,321 | |||
| USD 950,000 | 4.38% due 2050/6/30 | 1,111,354 | |||
| American Woodmark Corp. (a),(b) | |||||
| USD 75,000 | 4.88% due 2026/3/15 | 75,938 | |||
| AMN Healthcare, Inc. (a),(b) | |||||
| USD 200,000 | 4.63% due 2027/10/1 | 205,000 | |||
| Amsted Industries, Inc. (a),(b) | |||||
| USD 200,000 | 4.63% due 2030/5/15 | 206,500 | |||
| Anheuser-Busch InBev Worldwide, Inc. (b) | |||||
| USD 535,000 | 3.50% due 2030/6/1 | 608,686 | |||
| Aon Corp. (b) | |||||
| USD 410,000 | 2.80% due 2030/5/15 | 444,218 | |||
| Aramark Services, Inc. (a),(b) | |||||
| USD 20,000 | 5.00% due 2028/2/1 | 20,150 | |||
| USD 300,000 | 6.38% due 2025/5/1 | 312,503 | |||
| Ares Finance Co. II LLC (a),(b) | |||||
| USD 700,000 | 3.25% due 2030/6/15 | 729,839 | |||
| Arizona Public Service Co. (b) | |||||
| USD 280,000 | 3.35% due 2050/5/15 | 308,389 | |||
| Assurant, Inc. (b),(c) | |||||
| USD 172,000 | 1.48% due 2021/3/26 | 171,939 | |||
| AT&T, Inc. (b) | |||||
| USD 690,000 | 2.75% due 2031/6/1 | 727,990 | |||
| Avantor Funding, Inc. (a),(b) | |||||
| USD 200,000 | 4.63% due 2028/7/15 | 207,500 | |||
| Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc. (b) | |||||
| USD 90,000 | 4.49% due 2030/5/1 | 102,266 | |||
| Ball Corp. (b) | |||||
| USD 575,000 | 2.88% due 2030/8/15 | 568,531 | |||
| Bank of America Corp. (b),(c) | |||||
| USD 1,400,000 | 2.68% due 2041/6/19 | 1,429,514 | |||
| Bank of New York Mellon Corp. (b),(c) | |||||
| USD 230,000 | 4.70% due 2068/9/20 | 244,030 | |||
| BAT Capital Corp. (b) | |||||
| USD 1,700,000 | 3.98% due 2050/9/25 | 1,676,243 | |||
| Belrose Funding Trust (a),(b) | |||||
| USD 550,000 | 2.33% due 2030/8/15 | 543,542 | |||
| Bemis Co., Inc. (b) | |||||
| USD 240,000 | 2.63% due 2030/6/19 | 255,832 | |||
| Black Hills Corp. (b) | |||||
| USD 190,000 | 2.50% due 2030/6/15 | 196,478 | |||
| Blackstone Holdings Finance Co. LLC (a),(b) | |||||
| USD 1,700,000 | 2.80% due 2050/9/30 | 1,672,992 | |||
| Boeing Co. (b) | |||||
| USD 1,680,000 | 5.15% due 2030/5/1 | 1,888,334 | |||
| USD 840,000 | 5.71% due 2040/5/1 | 990,295 | |||
| USD 840,000 | 5.81% due 2050/5/1 | 1,016,215 | |||
| Boston Scientific Corp. (b) | |||||
| USD 450,000 | 2.65% due 2030/6/1 | 477,567 | |||
| Boxer Parent Co., Inc. (a),(b) | |||||
| USD 150,000 | 7.13% due 2025/10/2 | 160,209 | |||
| Broadcom, Inc. (b) | |||||
| USD 890,000 | 4.15% due 2030/11/15 | 999,776 | |||
| USD 250,000 | 4.75% due 2029/4/15 | 291,264 | |||
| Brown & Brown, Inc. (b) | |||||
| USD 800,000 | 2.38% due 2031/3/15 | 804,920 | |||
| Bunge Ltd. Finance Corp. (b) | |||||
| USD 150,000 | 1.63% due 2025/8/17 | 656 | |||
| California Institute of Technology (b) | |||||
| USD 425,000 | 3.65% due 2019/9/1 | 464,645 | |||
| Carpenter Technology Corp. (b) | |||||
| USD 500,000 | 6.38% due 2028/7/15 | 523,312 | |||
| Carrier Global Corp. (a),(b) | |||||
| USD 440,000 | 2.70% due 2031/2/15 | 458,405 | |||
| CCO Holdings LLC / CCO Holdings Capital Corp. (a),(b) | |||||
| USD 50,000 | 4.25% due 2031/2/1 | 51,823 | |||
| CDW LLC / CDW Finance Corp. (b) | |||||
| USD 160,000 | 3.25% due 2029/2/15 | 159,400 | |||
| Centene Corp. (b) | |||||
| USD 600,000 | 3.00% due 2030/10/15 | 612,120 | |||
| Charles Schwab Corp. (b),(c) | |||||
| USD 700,000 | 5.38% due 2069/9/1 | 758,485 | |||
| Charter Communications Operating LLC / Charter Communications Operating Capital (b) | |||||
| USD 1,050,000 | 2.80% due 2031/4/1 | 1,092,016 | |||
| Cheniere Corpus Christi Holdings LLC | |||||
| USD 1,300,000 | 3.52% due 2039/12/31 | 1,287,035 | |||
| Chevron USA, Inc. (b) | |||||
| USD 350,000 | 2.34% due 2050/8/12 | 331,462 | |||
| Choice Hotels International, Inc. (b) | |||||
| USD 530,000 | 3.70% due 2031/1/15 | 557,746 | |||
| CIT Group, Inc. (b),(c) | |||||
| USD 175,000 | 3.93% due 2024/6/19 | 176,365 | |||
| Citigroup, Inc. (b),(c) | |||||
| USD 1,000,000 | 2.57% due 2031/6/3 | 1,048,070 | |||
| Citizens Financial Group, Inc. (b) | |||||
| USD 1,930,000 | 3.25% due 2030/4/30 | 2,130,425 | |||
| Clearway Energy Operating LLC (a),(b) | |||||
| USD 50,000 | 4.75% due 2028/3/15 | 51,625 | |||
| CNA Financial Corp. (b) | |||||
| USD 250,000 | 2.05% due 2030/8/15 | 249,556 | |||
| CNH Industrial Capital LLC (b) | |||||
| USD 1,700,000 | 1.88% due 2026/1/15 | 1,697,686 | |||
| Coca-Cola Co. | |||||
| USD 300,000 | 2.75% due 2060/6/1 | 304,687 | |||
| Constellation Brands, Inc. (b) | |||||
| USD 600,000 | 2.88% due 2030/5/1 | 647,838 | |||
| USD 210,000 | 3.75% due 2050/5/1 | 234,481 | |||
| CoStar Group, Inc. (a),(b) | |||||
| USD 1,140,000 | 2.80% due 2030/7/15 | 1,181,247 | |||
| CSC Holdings LLC (a),(b) | |||||
| USD 200,000 | 3.38% due 2031/2/15 | 193,650 | |||
| USD 400,000 | 4.13% due 2030/12/1 | 407,700 | |||
| CubeSmart LP (b) | |||||
| USD 1,700,000 | 2.00% due 2031/2/15 | 1,677,373 | |||
| Cushman & Wakefield US Borrower LLC (a),(b) | |||||
| USD 450,000 | 6.75% due 2028/5/15 | 467,168 | |||
| CyrusOne LP / CyrusOne Finance Corp. (b) | |||||
| USD 850,000 | 2.15% due 2030/11/1 | 830,535 | |||
| DaVita, Inc. (a),(b) | |||||
| USD 525,000 | 3.75% due 2031/2/15 | 505,864 | |||
| USD 640,000 | 4.63% due 2030/6/1 | 655,552 | |||
| Delta Air Lines, Inc. (a) | |||||
| USD 1,795,000 | 7.00% due 2025/5/1 | 1,970,953 | |||
| Dollar General Corp. (b) | |||||
| USD 150,000 | 3.50% due 2030/4/3 | 170,724 | |||
| EnerSys (a),(b) | |||||
| USD 50,000 | 4.38% due 2027/12/15 | 51,000 | |||
| Equitable Holdings, Inc. (b),(c) | |||||
| USD 950,000 | 4.95% due 2068/12/15 | 969,000 | |||
| FedEx Corp. (b) | |||||
| USD 850,000 | 4.25% due 2030/5/15 | 1,021,759 | |||
| Fidelity National Financial, Inc. (b) | |||||
| USD 960,000 | 2.45% due 2031/3/15 | 952,180 | |||
| USD 680,000 | 3.40% due 2030/6/15 | 735,473 | |||
| First American Financial Corp. (b) | |||||
| USD 610,000 | 4.00% due 2030/5/15 | 672,211 | |||
| Five Corners Funding Trust II (a),(b) | |||||
| USD 1,260,000 | 2.85% due 2030/5/15 | 1,353,571 | |||
| Florida Gas Transmission Co. LLC (a),(b) | |||||
| USD 200,000 | 2.55% due 2030/7/1 | 209,627 | |||
| Flowserve Corp. (b) | |||||
| USD 860,000 | 3.50% due 2030/10/1 | 851,579 | |||
| Fort Benning Family Communities LLC (a) | |||||
| USD 449,000 | 5.81% due 2051/1/15 | 570,588 | |||
| Fox Corp. (b) | |||||
| USD 90,000 | 3.50% due 2030/4/8 | 101,712 | |||
| Gartner, Inc. (a),(b) | |||||
| USD 800,000 | 3.75% due 2030/10/1 | 809,240 | |||
| USD 25,000 | 4.50% due 2028/7/1 | 26,281 | |||
| GATX Corp. (b) | |||||
| USD 570,000 | 4.00% due 2030/6/30 | 656,602 | |||
| Glenn Pool Oil & Gas Trust | |||||
| USD 50,004 | 6.00% due 2021/8/2 | 42,399 | |||
| Global Payments, Inc. (b) | |||||
| USD 350,000 | 2.90% due 2030/5/15 | 374,504 | |||
| GLP Capital LP / GLP Financing II, Inc. (b) | |||||
| USD 580,000 | 4.00% due 2031/1/15 | 603,797 | |||
| USD 450,000 | 5.30% due 2029/1/15 | 501,152 | |||
| Graphic Packaging International LLC (a),(b) | |||||
| USD 225,000 | 3.50% due 2029/3/1 | 226,406 | |||
| Hanesbrands, Inc. (a),(b) | |||||
| USD 100,000 | 5.38% due 2025/5/15 | 105,500 | |||
| Health Care Service Corp. A Mutual Legal Reserve Co. (a),(b) | |||||
| USD 320,000 | 3.20% due 2050/6/1 | 332,007 | |||
| Healthcare Trust of America Holdings LP (b) | |||||
| USD 850,000 | 2.00% due 2031/3/15 | 835,394 | |||
| Hilton Domestic Operating Co., Inc. (a),(b) | |||||
| USD 250,000 | 5.38% due 2025/5/1 | 261,075 | |||
| Hologic, Inc. (a),(b) | |||||
| USD 850,000 | 3.25% due 2029/2/15 | 855,313 | |||
| Host Hotels & Resorts LP (b) | |||||
| USD 720,000 | 3.50% due 2030/9/15 | 689,191 | |||
| Howmet Aerospace, Inc. (b) | |||||
| USD 200,000 | 6.88% due 2025/5/1 | 221,000 | |||
| Hyatt Hotels Corp. (b) | |||||
| USD 390,000 | 5.38% due 2025/4/23 | 419,856 | |||
| USD 350,000 | 5.75% due 2030/4/23 | 401,892 | |||
| Intercontinental Exchange, Inc. (b) | |||||
| USD 410,000 | 3.00% due 2050/6/15 | 427,466 | |||
| Iron Mountain, Inc. (a),(b) | |||||
| USD 175,000 | 4.50% due 2031/2/15 | 176,645 | |||
| USD 425,000 | 5.25% due 2030/7/15 | 443,063 | |||
| USD 200,000 | 5.63% due 2032/7/15 | 211,200 | |||
| Jaguar Holding Co. II / PPD Development LP (a),(b) | |||||
| USD 475,000 | 4.63% due 2025/6/15 | 489,250 | |||
| Jeffries Group LLC | |||||
| USD 640,000 | 2.75% due 2032/10/15 | 633,395 | |||
| Johns Hopkins University (b) | |||||
| USD 500,000 | 2.81% due 2060/1/1 | 529,964 | |||
| JPMorgan Chase & Co. (b),(c) | |||||
| USD 380,000 | 2.96% due 2031/5/13 | 407,704 | |||
| USD 330,000 | 3.11% due 2041/4/22 | 357,964 | |||
| USD 400,000 | 4.49% due 2031/3/24 | 488,137 | |||
| Kaiser Aluminum Corp. (a),(b) | |||||
| USD 100,000 | 6.50% due 2025/5/1 | 103,079 | |||
| Kemper Corp. (b) | |||||
| USD 1,700,000 | 2.40% due 2030/9/30 | 1,682,141 | |||
| KKR Group Finance Co. III LLC (a) | |||||
| USD 350,000 | 5.13% due 2044/6/1 | 437,075 | |||
| KKR Group Finance Co. VI LLC (a),(b) | |||||
| USD 700,000 | 3.75% due 2029/7/1 | 805,313 | |||
| KKR Group Finance Co. VIII LLC (a),(b) | |||||
| USD 460,000 | 3.50% due 2050/8/25 | 468,757 | |||
| Kraft Heinz Foods Co. | |||||
| USD 150,000 | 4.25% due 2031/3/1 | 164,573 | |||
| USD 340,000 | 4.38% due 2046/6/1 | 349,326 | |||
| USD 100,000 | 5.00% due 2042/6/4 | 109,512 | |||
| USD 125,000 | 5.50% due 2050/6/1 | 143,257 | |||
| Level 3 Financing, Inc. (a),(b) | |||||
| USD 750,000 | 3.63% due 2029/1/15 | 740,625 | |||
| USD 150,000 | 3.88% due 2029/11/15 | 162,359 | |||
| USD 625,000 | 4.25% due 2028/7/1 | 634,575 | |||
| Liberty Mutual Group, Inc. (a),(b) | |||||
| USD 470,000 | 3.95% due 2060/5/15 | 516,125 | |||
| Liberty Utilities Finance GP 1 (a),(b) | |||||
| USD 850,000 | 2.05% due 2030/9/15 | 837,963 | |||
| Lincoln National Corp. (b) | |||||
| USD 700,000 | 3.40% due 2031/1/15 | 776,284 | |||
| USD 260,000 | 4.38% due 2050/6/15 | 302,256 | |||
| Loews Corp. (b) | |||||
| USD 330,000 | 3.20% due 2030/5/15 | 368,883 | |||
| Magellan Midstream Partners LP (b) | |||||
| USD 330,000 | 3.25% due 2030/6/1 | 354,158 | |||
| Markel Corp. (b),(c) | |||||
| USD 1,120,000 | 6.00% due 2068/12/1 | 1,184,400 | |||
| Marriott International, Inc. (c) | |||||
| USD 330,000 | 0.85% due 2020/12/1 | 329,413 | |||
| USD 570,000 | 3.50% due 2032/10/15 | 565,649 | |||
| USD 560,000 | 4.63% due 2030/6/15 | 599,730 | |||
| USD 440,000 | 5.75% due 2025/5/1 | 491,049 | |||
| Masco Corp. (b) | |||||
| USD 850,000 | 2.00% due 2030/10/1 | 850,320 | |||
| Match Group Holdings II LLC (a),(b) | |||||
| USD 200,000 | 4.63% due 2028/6/1 | 206,000 | |||
| MetLife, Inc. (b),(c) | |||||
| USD 1,700,000 | 3.85% due 2069/3/15 | 1,696,175 | |||
| Midwest Connector Capital Co. LLC (a),(b) | |||||
| USD 110,000 | 4.63% due 2029/4/1 | 111,175 | |||
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets, Ltd. (a),(b) | |||||
| USD 500,000 | 6.50% due 2027/6/20 | 520,625 | |||
| Minerals Technologies, Inc. (a),(b) | |||||
| USD 225,000 | 5.00% due 2028/7/1 | 232,828 | |||
| MSCI, Inc. (a),(b) | |||||
| USD 425,000 | 3.88% due 2031/2/15 | 442,935 | |||
| Nasdaq, Inc. (b) | |||||
| USD 190,000 | 3.25% due 2050/4/28 | 198,436 | |||
| Nationwide Mutual Insurance Co. (a),(b) | |||||
| USD 1,670,000 | 4.35% due 2050/4/30 | 1,789,055 | |||
| NCR Corp. (a),(b) | |||||
| USD 400,000 | 5.00% due 2028/10/1 | 400,320 | |||
| NetApp, Inc. (b) | |||||
| USD 2,600,000 | 2.70% due 2030/6/22 | 2,702,193 | |||
| New Enterprise Stone & Lime Co., Inc. (a),(b) | |||||
| USD 150,000 | 6.25% due 2026/3/15 | 154,500 | |||
| NFP Corp. (a),(b) | |||||
| USD 350,000 | 6.88% due 2028/8/15 | 354,331 | |||
| USD 350,000 | 7.00% due 2025/5/15 | 371,000 | |||
| Nielsen Finance LLC / Nielsen Finance Co. (a),(b) | |||||
| USD 850,000 | 5.63% due 2028/10/1 | 879,155 | |||
| Nucor Corp. (b) | |||||
| USD 530,000 | 2.70% due 2030/6/1 | 569,064 | |||
| NuStar Logistics LP (b) | |||||
| USD 150,000 | 6.38% due 2030/10/1 | 155,625 | |||
| OneAmerica Financial Partners, Inc. (a),(b) | |||||
| USD 870,000 | 4.25% due 2050/10/15 | 875,180 | |||
| Orlando Health Obligated Group | |||||
| USD 1,000,000 | 2.89% due 2035/10/1 | 1,000,000 | |||
| Oshkosh Corp. (b) | |||||
| USD 70,000 | 3.10% due 2030/3/1 | 74,139 | |||
| PartnerRe Finance B LLC (b),(c) | |||||
| USD 220,000 | 4.50% due 2050/10/1 | 220,890 | |||
| Performance Food Group, Inc. (a),(b) | |||||
| USD 75,000 | 6.88% due 2025/5/1 | 79,875 | |||
| Post Holdings, Inc. (a),(b) | |||||
| USD 125,000 | 4.63% due 2030/4/15 | 128,594 | |||
| Presidio Holdings, Inc. (a),(b) | |||||
| USD 75,000 | 4.88% due 2027/2/1 | 75,750 | |||
| Prime Security Services Borrower LLC / Prime Finance, Inc. (a),(b) | |||||
| USD 175,000 | 3.38% due 2027/8/31 | 167,868 | |||
| Prudential Financial, Inc. (b),(c) | |||||
| USD 230,000 | 3.70% due 2050/10/1 | 234,669 | |||
| Qorvo, Inc. (b) | |||||
| USD 150,000 | 3.38% due 2031/4/1 | 152,438 | |||
| USD 290,000 | 4.38% due 2029/10/15 | 308,125 | |||
| QualityTech LP / QTS Finance Corp. (a),(b) | |||||
| USD 250,000 | 3.88% due 2028/10/1 | 251,650 | |||
| Quanta Services, Inc. (b) | |||||
| USD 1,140,000 | 2.90% due 2030/10/1 | 1,163,495 | |||
| Quest Diagnostics, Inc. (b) | |||||
| USD 330,000 | 2.80% due 2031/6/30 | 355,435 | |||
| Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. (a),(b) | |||||
| USD 750,000 | 3.88% due 2031/3/1 | 740,625 | |||
| Radiate Holdco LLC / Radiate Finance, Inc. (a),(b) | |||||
| USD 850,000 | 4.50% due 2026/9/15 | 849,822 | |||
| Reinsurance Group of America, Inc. (b) | |||||
| USD 1,360,000 | 3.15% due 2030/6/15 | 1,480,683 | |||
| Reliance Standard Life Global Funding II (a) | |||||
| USD 1,380,000 | 2.75% due 2025/5/7 | 1,456,967 | |||
| RELX Capital, Inc. (b) | |||||
| USD 630,000 | 3.00% due 2030/5/22 | 688,863 | |||
| Sabine Pass Liquefaction LLC (a),(b) | |||||
| USD 890,000 | 4.50% due 2030/5/15 | 2,542 | |||
| SBA Communications Corp. (a),(b) | |||||
| USD 75,000 | 3.88% due 2027/2/15 | 76,125 | |||
| SBA Tower Trust (a) | |||||
| USD 1,750,000 | 2.33% due 2028/1/15 | 1,777,144 | |||
| Service Corp. International (b) | |||||
| USD 150,000 | 3.38% due 2030/8/15 | 150,188 | |||
| Sirius XM Radio, Inc. (a),(b) | |||||
| USD 300,000 | 4.13% due 2030/7/1 | 305,625 | |||
| Six Flags Theme Parks, Inc. (a),(b) | |||||
| USD 150,000 | 7.00% due 2025/7/1 | 159,563 | |||
| Smithfield Foods, Inc. (a),(b) | |||||
| USD 490,000 | 3.00% due 2030/10/15 | 491,058 | |||
| Snap-on, Inc. (b) | |||||
| USD 300,000 | 3.10% due 2050/5/1 | 313,796 | |||
| Standard Industries, Inc. (a),(b) | |||||
| USD 200,000 | 3.38% due 2031/1/15 | 197,399 | |||
| USD 175,000 | 4.38% due 2030/7/15 | 179,421 | |||
| USD 100,000 | 5.00% due 2027/2/15 | 104,000 | |||
| Starbucks Corp. (b) | |||||
| USD 1,000,000 | 2.55% due 2030/11/15 | 1,061,754 | |||
| Steel Dynamics, Inc. (b) | |||||
| USD 100,000 | 3.25% due 2031/1/15 | 107,001 | |||
| Suburban Propane Partners LP / Suburban Energy Finance Corp. (b) | |||||
| USD 250,000 | 5.88% due 2027/3/1 | 256,875 | |||
| Switch, Ltd. (a),(b) | |||||
| USD 700,000 | 3.75% due 2028/9/15 | 707,000 | |||
| Sysco Corp. (b) | |||||
| USD 1,610,000 | 5.95% due 2030/4/1 | 2,040,559 | |||
| Tenet Healthcare Corp. (a),(b) | |||||
| USD 100,000 | 4.63% due 2028/6/15 | 101,440 | |||
| Textron, Inc. (b) | |||||
| USD 1,000,000 | 2.45% due 2031/3/15 | 993,684 | |||
| USD 60,000 | 3.00% due 2030/6/1 | 63,195 | |||
| T-Mobile USA, Inc. (a),(b) | |||||
| USD 1,000,000 | 2.55% due 2031/2/15 | 1,034,610 | |||
| USD 605,000 | 3.88% due 2030/4/15 | 686,445 | |||
| Trinity Industries, Inc. (b) | |||||
| USD 200,000 | 4.55% due 2024/10/1 | 203,009 | |||
| Universal Health Services, Inc. (a),(b) | |||||
| USD 800,000 | 2.65% due 2030/10/15 | 796,208 | |||
| University of Chicago (b) | |||||
| USD 150,000 | 2.76% due 2045/4/1 | 153,302 | |||
| US Foods, Inc. (a),(b) | |||||
| USD 350,000 | 6.25% due 2025/4/15 | 370,563 | |||
| Valero Energy Corp. (b) | |||||
| USD 850,000 | 2.15% due 2027/9/15 | 846,569 | |||
| Valvoline, Inc. (b) | |||||
| USD 130,000 | 4.38% due 2025/8/15 | 133,738 | |||
| Vertical US Newco, Inc. (a),(b) | |||||
| USD 200,000 | 5.25% due 2027/7/15 | 207,853 | |||
| VF Corp. (b) | |||||
| USD 700,000 | 2.95% due 2030/4/23 | 762,105 | |||
| ViacomCBS, Inc. (b) | |||||
| USD 530,000 | 4.75% due 2025/5/15 | 608,913 | |||
| USD 1,085,000 | 4.95% due 2031/1/15 | 1,304,667 | |||
| USD 510,000 | 4.95% due 2050/5/19 | 598,412 | |||
| W R Berkley Corp. (b) | |||||
| USD 140,000 | 4.00% due 2050/5/12 | 165,599 | |||
| Walgreens Boots Alliance, Inc. (b) | |||||
| USD 271,000 | 3.20% due 2030/4/15 | 284,035 | |||
| USD 828,000 | 4.10% due 2050/4/15 | 827,344 | |||
| Wells Fargo & Co. (b),(c) | |||||
| USD 1,700,000 | 2.39% due 2028/6/2 | 1,773,575 | |||
| USD 250,000 | 2.57% due 2031/2/11 | 262,453 | |||
| Weyerhaeuser Co. (b) | |||||
| USD 68,000 | 4.00% due 2030/4/15 | 80,401 | |||
| Williams Scotsman International, Inc. (a),(b) | |||||
| USD 150,000 | 4.63% due 2028/8/15 | 150,606 | |||
| Willis North America, Inc. (b) | |||||
| USD 250,000 | 2.95% due 2029/9/15 | 269,395 | |||
| WMG Acquisition Corp. (a),(b) | |||||
| USD 125,000 | 3.00% due 2031/2/15 | 121,531 | |||
| USD 100,000 | 3.88% due 2030/7/15 | 103,120 | |||
| WRKCo, Inc. (b) | |||||
| USD 890,000 | 3.00% due 2033/6/15 | 968,137 | |||
| Yale-New Haven Health Services Corp. (b) | |||||
| USD 1,000,000 | 2.50% due 2050/7/1 | 977,385 | |||
| Zayo Group Holdings, Inc. (a),(b) | |||||
| USD 400,000 | 4.00% due 2027/3/1 | 393,690 | |||
| Zimmer Biomet Holdings, Inc. (b) | |||||
| USD 460,000 | 3.55% due 2030/3/20 | 515,066 | |||
| 社債合計 | 124,154,968 | ||||
| 国債 (16.1%) | |||||
| Federal Farm Credit Banks Funding Corp. | |||||
| USD 1,400,000 | 2.70% due 2045/1/30 | 1,592,956 | |||
| USD 100,000 | 2.88% due 2040/10/1 | 116,084 | |||
| Federal Home Loan Mortgage Corp. (e) | |||||
| USD 1,500,000 | 0.00% due 2036/9/15 | 1,135,814 | |||
| USD 250,000 | 0.00% due 2038/11/15 | 180,218 | |||
| FNMA Pool | |||||
| USD 1,000,000 | 2.00% due 2050/9/1 | 1,012,690 | |||
| USD 1,000,000 | 2.32% due 2035/4/1 | 1,087,476 | |||
| USD 2,000,000 | 2.43% due 2035/3/1 | 2,203,228 | |||
| USD 360,241 | 2.56% due 2029/7/1 | 398,844 | |||
| USD 1,750,000 | 2.90% due 2029/11/1 | 1,937,711 | |||
| USD 500,000 | 2.99% due 2029/9/1 | 557,142 | |||
| USD 500,000 | 3.01% due 2027/12/1 | 546,392 | |||
| USD 500,000 | 3.05% due 2029/10/1 | 552,906 | |||
| USD 500,000 | 3.11% due 2029/10/1 | 555,828 | |||
| USD 906,754 | 3.19% due 2032/9/1 | 1,019,831 | |||
| USD 1,666,838 | 3.24% due 2032/11/1 | 1,901,677 | |||
| USD 1,775,000 | 3.59% due 2029/2/1 | 2,023,629 | |||
| USD 1,500,000 | 3.60% due 2031/3/1 | 1,757,575 | |||
| USD 500,000 | 3.89% due 2031/6/1 | 575,130 | |||
| USD 728,268 | 3.99% due 2033/9/1 | 846,122 | |||
| USD 200,000 | 4.04% due 2048/7/1 | 238,997 | |||
| USD 2,000,000 | 4.17% due 2049/2/1 | 2,516,265 | |||
| USD 974,261 | 4.27% due 2033/12/1 | 1,184,440 | |||
| USD 690,596 | 4.27% due 2048/9/1 | 837,595 | |||
| FNMA Principal Strip (e),(f) | |||||
| USD 4,500,000 | 0.00% due 2037/7/15 | 3,352,280 | |||
| Tennessee Valley Authority | |||||
| USD 1,100,000 | 4.25% due 2065/9/15 | 1,673,313 | |||
| USD 250,000 | 5.38% due 2056/4/1 | 427,784 | |||
| Tennessee Valley Authority Principal Strip (e) | |||||
| USD 450,000 | 0.00% due 2048/1/15 | 235,737 | |||
| U.S. Treasury Bond | |||||
| USD 3,000,000 | 1.38% due 2050/8/15 | 2,944,219 | |||
| U.S. Treasury Note | |||||
| USD 10,000,000 | 0.25% due 2025/8/31 | 9,992,187 | |||
| USD 2,805,000 | 0.63% due 2030/8/15 | 2,790,975 | |||
| U.S. Treasury Strip Principal (e) | |||||
| USD 12,000,000 | 0.00% due 2050/2/15 | 7,711,349 | |||
| United States International Development Finance Corp. | |||||
| USD 500,000 | 1.79% due 2029/10/15 | 527,408 | |||
| 国債合計 | 54,433,802 | ||||
| 地方債 (1.7%) | |||||
| Cypress School District (e) | |||||
| USD 1,000,000 | 0.00% due 2048/8/1 | 396,480 | |||
| Dallas/Fort Worth International Airport | |||||
| USD 1,000,000 | 2.92% due 2050/11/1 | 994,820 | |||
| Oklahoma Development Finance Authority | |||||
| USD 350,000 | 4.65% due 2030/8/15 | 407,271 | |||
| San Diego Unified School District | |||||
| USD 1,200,000 | 0.00% due 2042/7/1 (e) | 708,144 | |||
| USD 250,000 | 2.60% due 2033/7/1 | 263,965 | |||
| San Dieguito Union High School District (b) | |||||
| USD 250,000 | 2.68% due 2036/8/1 | 261,630 | |||
| State of California | |||||
| USD 150,000 | 7.35% due 2039/11/1 | 247,863 | |||
| USD 200,000 | 7.55% due 2039/4/1 | 349,924 | |||
| State of New York Mortgage Agency (b) | |||||
| USD 200,000 | 3.85% due 2044/10/1 | 208,426 | |||
| Westchester County Local Development Corp. (b) | |||||
| USD 500,000 | 3.85% due 2050/11/1 | 502,795 | |||
| Wylie Independent School District (b),(e) | |||||
| USD 3,000,000 | 0.00% due 2043/8/15 | 1,362,870 | |||
| 地方債合計 | 5,704,188 | ||||
| TBA証券 (6.6%) | |||||
| Fannie Mae or Freddie Mac | |||||
| USD 2,350,000 | 1.50% due 2035/10/1 | 2,404,527 | |||
| USD 19,310,000 | 2.00% due 2050/12/1 | 19,895,036 | |||
| TBA証券合計 | 299,563 | ||||
| 米国合計 (簿価 $280,118,529) | 8,272,863 | ||||
| 債券合計 (簿価 $348,463,411) | 6,085,335 | ||||
| 株数 | 優先株式 (0.9%) | ||||
| 米国 (0.9%) | |||||
| American Financial Group, Inc. (b) | |||||
| 48,000 | 4.50% due 2060/9/15 | 1,307,040 | |||
| First Republic Bank (b),(g) | |||||
| 26,000 | 4.13% | 660,400 | |||
| Public Storage (b),(g) | |||||
| 5,600 | 4.13% | 145,208 | |||
| 24,400 | 4.63% | 656,848 | |||
| W R Berkley Corp. (b) | |||||
| 6,800 | 4.25% due 2060/9/30 | 177,140 | |||
| 米国合計 (簿価 $2,770,000) | 2,946,636 | ||||
| 優先株式合計 (簿価 $2,770,000) | 2,946,636 | ||||
| 取引数 | 金利キャップオプション(0.3%) | ||||
| 米国 (0.3%) | |||||
| 216,000,000 | CMS Swap 2 Year, Put,0.395 | 784,080 | |||
| Expiration date 2022/7/29 | |||||
| 72,000,000 | CMS Swap 2 Year, Put,0.605 | 174,240 | |||
| Expiration date 2022/7/29 | |||||
| 米国合計 | 958,320 | ||||
| 金利キャップオプション合計 (支払プレミアム $668,129) | 958,320 | ||||
| 元本 | 短期投資 (2.4%) | ||||
| 英国 (0.2%) | |||||
| 定期預金 (0.2%) | |||||
| Banco Bilbao Vizcaya Argentaria | |||||
| GBP 399,500 | 0.01% due 2020/10/1 | 516,474 | |||
| 定期預金合計 | 516,474 | ||||
| 英国合計 (簿価 $516,474) | 516,474 | ||||
| 米国 (2.2%) | |||||
| 定期預金 (2.2%) | |||||
| Citibank, New York | |||||
| USD 7,548,859 | 0.01% due 2020/10/1 | 7,548,859 | |||
| 定期預金合計 | 7,548,859 | ||||
| 米国合計 (簿価 $7,548,859) | 7,548,859 | ||||
| 短期投資合計 (簿価 $8,065,333) | 8,065,333 | ||||
| 純資産に 占める割合 | |||||
| 投資総額 (簿価 $359,966,873) | 109.1 | $ | 368,055,624 | ||
| 現金および他の資産を超過する負債 | (9.1) | (30,613,406) | |||
| 純資産 | 100.0% | $ | 337,442,218 |
(a) 144A 証券 - 1933年証券取引法の規則144Aの下でSECへの登録の適用除外になっている証券。これらの証券は、適格機関投資家に対することで登録せずに転売が可能です。他に記載がない限り、これらの証券は非流動性資産とはみなされません。
(b) 期前償還条項付き証券
(c) 2020年9月30日時点レートでの変動金利証券
(d) 当該残高の全てもしくは一部が期末時点における未決済の貸出予約を表しています。未決済の貸出予約のクーポンレートを含む詳細について、受渡日前に入手することはできません。
(e)ゼロクーポン債
(f) 当該証券は、2020年9月30日時点において、買い現先取引のために、相手方へ全てもしくは一部を担保として差し入れられています。
(g)永久債
| ダイワ・コア・ボンド・ストラテジー・ファンドの外国為替先渡取引 2020年9月30日現在 (純資産の0.2%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| EUR | JP Morgan Chase N.A. | 2,297,100 | 2021/7/30 | USD | 1,639,219 | $ | 72,752 | $ | (27,287) | $ | (27,287) |
| ILS | Goldman Sachs Group, Inc. | 100,799 | 2020/11/30 | USD | 1,231,319 | 2,774 | (21,070) | (21,070) | |||
| ILS | Goldman Sachs Group, Inc. | 100,250 | 2021/11/30 | USD | 97,500 | 2,853 | - | 15 | |||
| ILS | Goldman Sachs Group, Inc. | 8,120,250 | 2022/11/30 | USD | 3,534,877 | 240,149 | (1) | (1) | |||
| JPY | Goldman Sachs Group, Inc. | 97,500 | 2020/11/2 | USD | 39,000 | 15 | - | 7 | |||
| JPY | Morgan Stanley Capital Service | 14,932 | 2020/11/2 | USD | 50,500 | 1 | - | 8 | |||
| JPY | JP Morgan Chase N.A. | 39,000 | 2020/12/1 | USD | 63,800,000 | 6 | (101) | (101) | |||
| JPY | Morgan Stanley Capital Service | 5,973 | 2020/12/1 | USD | 255,100,000 | – | - | 461 | |||
| JPY | Barclays Bank PLC | 50,500 | 2020/12/21 | USD | 88,000 | 4 | - | 4,880 | |||
| JPY | Morgan Stanley Capital Service | 7,734 | 2020/12/21 | USD | 90,000 | 1 | - | 4,974 | |||
| JPY | Goldman Sachs Group, Inc. | 247,704 | 2021/2/1 | USD | 459,000,000 | 17 | - | 31,351 | |||
| JPY | Morgan Stanley Capital Service | 44,796 | 2021/2/1 | USD | 37,590,000 | 3 | (388,450) | (388,450) | |||
| JPY | Goldman Sachs Group, Inc. | 195,097,500 | 2021/5/6 | USD | 195,000 | 25,724 | - | 44 | |||
| JPY | Morgan Stanley Capital Service | 14,932 | 2021/5/6 | USD | 97,500 | – | - | 17 | |||
| JPY | JP Morgan Chase N.A. | 78,039,000 | 2021/6/1 | USD | 3,534,877 | 9,670 | - | - | |||
| JPY | Morgan Stanley Capital Service | 5,973 | 2021/6/1 | USD | 1,456,000 | – | - | 57,809 | |||
| JPY | Barclays Bank PLC | 50,500 | 2021/6/21 | USD | 97,500 | 2 | - | 15 | |||
| JPY | Morgan Stanley Capital Service | 7,734 | 2021/6/21 | USD | 3,458,032 | – | (4) | (4) | |||
| JPY | Goldman Sachs Group, Inc. | 585,247,704 | 2021/8/2 | USD | 39,000 | 1,794 | - | 7 | |||
| JPY | Morgan Stanley Capital Service | 44,796 | 2021/8/2 | USD | 586,880 | – | - | 23,225 | |||
| JPY | Barclays Bank PLC | 101,050,500 | 2021/12/20 | USD | 503,040 | 1,116 | - | 20,211 | |||
| JPY | Morgan Stanley Capital Service | 7,734 | 2021/12/20 | USD | 50,500 | – | - | 8 | |||
| USD | JP Morgan Chase N.A. | 826,248 | 2020/10/16 | GBP | 17,100 | – | - | 395 | |||
| USD | Citibank N.A. | 941 | 2020/11/2 | JPY | 195,000 | 16 | - | 44 | |||
| USD | JP Morgan Chase N.A. | 139 | 2020/11/2 | JPY | 97,500 | – | - | 16 | |||
| USD | Goldman Sachs Group, Inc. | 29,551 | 2020/11/30 | ILS | 3,534,877 | 55 | (3) | (3) | |||
| USD | Barclays Bank PLC | 378 | 2020/12/1 | JPY | 97,500 | 8 | - | 15 | |||
| USD | JP Morgan Chase N.A. | 56 | 2020/12/1 | JPY | 3,534,877 | – | - | 1 | |||
| USD | Goldman Sachs Group, Inc. | 489 | 2020/12/21 | JPY | 39,000 | 9 | - | 7 | |||
| USD | JP Morgan Chase N.A. | 72 | 2020/12/21 | JPY | 50,500 | – | - | 8 | |||
| USD | Bank of America N.A. | 1,905 | 2021/2/1 | JPY | 195,000 | 54 | - | 44 | |||
| USD | Morgan Stanley Capital Service | 947 | 2021/2/1 | JPY | 97,500 | 21 | - | 17 | |||
| USD | Citibank N.A. | 1,902,648 | 2021/5/6 | JPY | 3,534,877 | 48,113 | - | 1 | |||
| USD | JP Morgan Chase N.A. | 140 | 2021/5/6 | JPY | 195,097,500 | – | - | 31,225 | |||
| USD | Barclays Bank PLC | 763,890 | 2021/6/1 | JPY | 3,419,609 | 21,803 | - | - | |||
| USD | JP Morgan Chase N.A. | 56 | 2021/6/1 | JPY | 78,039,000 | – | - | 14,200 | |||
| USD | Goldman Sachs Group, Inc. | 494 | 2021/6/21 | JPY | 50,500 | 14 | - | 8 | |||
| USD | JP Morgan Chase N.A. | 73 | 2021/6/21 | JPY | 7,734 | – | (1) | (1) | |||
| USD | Goldman Sachs Group, Inc. | 2,668,369 | 2021/7/30 | EUR | 2,297,100 | – | (43,752) | (43,752) | |||
| USD | Bank of America N.A. | 3,850,545 | 2021/8/2 | JPY | 390,195,000 | 136,565 | – | 136,565 | |||
| USD | Morgan Stanley Capital Service | 1,914,786 | 2021/8/2 | JPY | 195,097,500 | 57,796 | – | 57,796 | |||
| USD | Goldman Sachs Group, Inc. | 29,923 | 2021/11/30 | ILS | 100,250 | 336 | – | 336 | |||
| USD | Goldman Sachs Group, Inc. | 998,424 | 2021/12/20 | JPY | 101,050,500 | 34,097 | – | 34,097 | |||
| USD | JP Morgan Chase N.A. | 73 | 2021/12/20 | JPY | 7,734 | – | (1) | (1) | |||
| USD | Goldman Sachs Group, Inc. | 2,462,921 | 2022/11/30 | ILS | 8,120,250 | 50,420 | – | 50,420 | |||
| $ | 706,188 | $ | (56,598) | $ | 649,590 | ||||||
| 豪ドル・クラスの外国為替先渡取引残高 2020年9月30日現在 (純資産の0.0%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| AUD | Citibank N.A. | 12,645,998 | 2020/10/13 | USD | 9,204,849 | $ | - | $ | (140,676) | $ | (140,676) |
| 円ヘッジ・クラスの外国為替先渡取引残高 2020年9月30日現在 (純資産の0.1%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| JPY | Citibank N.A. | 3,160,919,369 | 2020/10/13 | USD | 29,776,501 | $ | 179,877 | $ | - | $ | 179,877 |
| NZドル・クラスの外国為替先渡取引残高 2020年9月30日現在 (純資産の0.0%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| NZD | Citibank N.A. | 7,218,388 | 2020/10/13 | USD | 4,847,214 | $ | - | $ | (75,830) | $ | (75,830) |
| トルコ・リラ・クラスの外国為替先渡取引残高 2020年9月30日現在 (純資産の-0.1%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| TRY | Citibank N.A. | 110,523,064 | 2020/10/13 | USD | 14,656,318 | $ | - | $ | (340,915) | $ | (340,915) |
| 南アフリカ・ランド・クラスの外国為替先渡取引残高 2020年9月30日現在 (純資産の0.0%) | |||||||||||
| 買い | 取引相手 | 契約金額 | 決済日 | 売り | 契約金額 | 評価益 | 評価(損) | 評価益(損) | |||
| ZAR | Citibank N.A. | 80,251,592 | 2020/10/13 | USD | 4,826,309 | $ | - | $ | (21,783) | $ | (21,783) |
| 中央清算されるクレジット・デフォルト・インデックス・スワップ取引残高 2020年9月30日現在 (純資産の0.1%) | ||||||||||||
| 通貨 | 取引相手 | 想定元本 | プロテクション | 参照対象 | 固定レート 受取(支払) | 終了日 | 支払(受取) プレミアム | 評価益(損) | 評価額 | |||
| USD | Citibank N.A. | 20,150,000 | Sell protection | Markit CDX North America | 1.000% | 2025/6/20 | $ | (396,230) | $ | 549,745 | $ | 153,515 |
| USD | Goldman Sachs Group, Inc. | 3,760,000 | Sell protection | Markit CDX North America | 5.000% | 2025/12/20 | 161,000 | 1,784 | 162,784 | |||
| $ | (235,230) | $ | 551,529 | $ | 316,299 | |||||||
| 中央清算される金利スワップ取引残高 2020年9月30日現在 (純資産の0.0%) | |||||||||||
| 通貨 | 取引相手 | 想定元本 | 変動金利 | 受取(支払) | 終了日 | 支払(受取) プレミアム | 評価益(損) | 評価額 | |||
| USD | BNP Paribas S.A. | 3,000,000 | 1 Day Overnight Federal Funds Effective Rate | 0.15% | 2025/8/17 | 314 | 1,911 | 2,225 | |||
| $ | 314 | $ | 1,911 | $ | 2,225 | ||||||
| 店頭取引されるトータルリターンスワップ取引残高 2020年9月30日現在 (純資産の-0.0%) | |||||||||||
| 通貨 | 取引相手 | 想定元本 | 変動金利 | 受取(支払) | 終了日 | 支払(受取) プレミアム | 評価益(損) | 評価額 | |||
| USD | BNP Paribas S.A. | 11,860 | iShares IBOXX High Yield Corp | 0.46% | 2020/10/30 | $ | - | $ | (16,146) | $ | (16,146) |
| $ | - | $ | (16,146) | $ | (16,146) | ||||||
| 買い現先取引残高 2020年9月30日現在 (純資産の-0.5%) | ||||||||
| 取引相手 | 元本 | 通貨 | 利率 | 終了日 | 借入金額 | 未払 買い現先取引 | ||
| Bank of Montreal | (1,486,005) | USD | 0.23% | 2020/11/16 | $ | (1,486,005) | $ | (1,486,166) |
| $ | (1,486,005) | $ | (1,486,166) | |||||
| 通貨の略称 | ||
| AUD | - | 豪ドル |
| EUR | - | ユーロ |
| GBP | - | 英ポンド |
| ILS | - | イスラエル・シュケル |
| JPY | - | 日本円 |
| NZD | - | ニュージーランド・ドル |
| TRY | - | トルコ・リラ |
| USD | - | 米ドル |
| ZAR | - | 南アフリカ・ランド |
| 「ダイワ・マネーアセット・マザーファンド」の状況 |
| 以下に記載した情報は監査の対象外であります。 |
| 貸借対照表 | |||
| 2021年9月7日現在 | 2022年3月7日現在 | ||
| 金 額(円) | 金 額(円) | ||
| 資産の部 | |||
| 流動資産 | |||
| コール・ローン | 693,501,368 | 124,751,566 | |
| 流動資産合計 | 693,501,368 | 124,751,566 | |
| 資産合計 | 693,501,368 | 124,751,566 | |
| 負債の部 | |||
| 流動負債 | |||
| 流動負債合計 | - | - | |
| 負債合計 | - | - | |
| 純資産の部 | |||
| 元本等 | |||
| 元本 | ※1 | 694,638,042 | 124,972,405 |
| 剰余金 | |||
| 期末剰余金又は期末欠損金(△) | ※2 | △1,136,674 | △220,839 |
| 元本等合計 | 693,501,368 | 124,751,566 | |
| 純資産合計 | 693,501,368 | 124,751,566 | |
| 負債純資産合計 | 693,501,368 | 124,751,566 | |
| 注記表 |
| (重要な会計方針に係る事項に関する注記) |
| 自 2021年9月8日 至 2022年3月7日 |
| 該当事項はありません。 |
| (貸借対照表に関する注記) | ||||
| 区 分 | 2021年9月7日現在 | 2022年3月7日現在 | ||
| 1. | ※1 | 期首 | 2021年3月9日 | 2021年9月8日 |
| 期首元本額 | 554,625,928円 | 694,638,042円 | ||
| 期中追加設定元本額 | 170,035,124円 | 24,998,871円 | ||
| 期中一部解約元本額 | 30,023,010円 | 594,664,508円 | ||
| 期末元本額の内訳 | ||||
| ファンド名 | ||||
| ダイワ債券コア戦略ファンド(為替ヘッジあり) | 999円 | 999円 | ||
| ダイワ債券コア戦略ファンド(為替ヘッジなし) | 999円 | 999円 | ||
| 通貨選択型ダイワ米国株主還元株αクワトロプレミアム(毎月分配型) | 219,583円 | 219,583円 | ||
| 通貨選択型ダイワ米国株主還元株αクワトロプレミアム(年2回決算型) | 24,953円 | 24,953円 | ||
| ダイワ米国株主還元株ツインαプレミアム(毎月分配型) | 848,389円 | 848,389円 | ||
| ダイワ米国株主還元株ツインαプレミアム(年2回決算型) | 66,873円 | 66,873円 | ||
| ダイワ米国株主還元株ファンド | 36,730,213円 | 36,730,213円 | ||
| ダイワDBモメンタム戦略ファンド(為替ヘッジあり) | 6,592,748円 | 6,592,748円 | ||
| ダイワDBモメンタム戦略ファンド(為替ヘッジなし) | 10,288,683円 | 10,288,683円 | ||
| ダイワ/バリュー・パートナーズ・チャイナ・イノベーター・ファンド | 10,000円 | 10,000円 | ||
| 世界M&A戦略株ファンド | 1,001,302円 | 1,001,302円 | ||
| ダイワ/NB・米国債券戦略ファンド 為替ヘッジあり(年1回決算型) | 4,995円 | 487円 | ||
| ダイワ/NB・米国債券戦略ファンド 為替ヘッジなし(年1回決算型) | 4,995円 | 4,995円 | ||
| ダイワ・ブラジル・レアル債α(毎月分配型)-スーパー・ハイインカム- α50コース | 49,911円 | 49,911円 | ||
| ダイワ・ブラジル・レアル債α(毎月分配型)-スーパー・ハイインカム- α100コース | 49,911円 | 49,911円 | ||
| S&P500(マルチアイ搭載) | 130,188,276円 | 66,079,892円 | ||
| ダイワ・オーストラリア高配当株ファンド・マネー・ポートフォリオ | 15,808,517円 | -円 | ||
| ダイワ円債セレクト マネーコース | 489,744,228円 | -円 | ||
| ダイワ・スイス高配当株ツインα(毎月分配型) | 2,996,106円 | 2,996,106円 | ||
| ダイワ/NB・米国債券戦略ファンド 為替ヘッジあり(毎月分配型) | 1,235円 | 1,235円 | ||
| ダイワ/NB・米国債券戦略ファンド 為替ヘッジなし(毎月分配型) | 1,598円 | 1,598円 | ||
| 通貨選択型 ダイワ/NB・米国債券戦略ファンド 日本円コース(毎月分配型) | 1,544円 | 1,544円 | ||
| 通貨選択型 ダイワ/NB・米国債券戦略ファンド 通貨セレクトコース(毎月分配型) | 1,984円 | 1,984円 | ||
| 計 | 694,638,042円 | 124,972,405円 | ||
| 2. | 期末日における受益権の総数 | 694,638,042口 | 124,972,405口 | |
| 3. | ※2 | 元本の欠損 | 貸借対照表上の純資産額が元本総額を下回っており、その差額は1,136,674円であります。 | 貸借対照表上の純資産額が元本総額を下回っており、その差額は220,839円であります。 |
(金融商品に関する注記)
| Ⅰ 金融商品の状況に関する事項 | ||
| 区 分 | 自 2021年9月8日 至 2022年3月7日 | |
| 1. | 金融商品に対する取組方針 | 当ファンドは、「投資信託及び投資法人に関する法律」第2条第4項に定める証券投資信託であり、投資信託約款に規定する「運用の基本方針」に従っております。 |
| 2. | 金融商品の内容及びリスク | 当ファンドが保有する金融商品の種類は、金銭債権及び金銭債務等であり、その詳細を附属明細表に記載しております。 これらの金融商品に係るリスクは、信用リスクであります。 |
| 3. | 金融商品に係るリスク管理体制 | 複数の部署と会議体が連携する組織的な体制によりリスク管理を行っております。信託財産全体としてのリスク管理を金融商品、リスクの種類毎に行っております。 |
| 4. | 金融商品の時価等に関する事項についての補足説明 | 金融商品の時価の算定においては、一定の前提条件等を採用しているため、異なる前提条件等に拠った場合、当該価額が異なることもあります。 |
| Ⅱ 金融商品の時価等に関する事項 | ||
| 区 分 | 2022年3月7日現在 | |
| 1. | 金融商品の時価及び貸借対照表計上額との差額 | 金融商品はすべて時価で計上されているため、貸借対照表計上額と時価との差額はありません。 |
| 2. | 金融商品の時価の算定方法 | コール・ローン等の金銭債権及び金銭債務等 |
| これらは短期間で決済されるため、時価は帳簿価額にほぼ等しいことから、当該帳簿価額を時価としております。 | ||
| (有価証券に関する注記) | |
| 2021年9月7日現在 | 2022年3月7日現在 |
| 該当事項はありません。 | 該当事項はありません。 |
| (デリバティブ取引に関する注記) | |
| ヘッジ会計が適用されていないデリバティブ取引 | |
| 2021年9月7日現在 | 2022年3月7日現在 |
| 該当事項はありません。 | 該当事項はありません。 |
| (1口当たり情報) | ||
| 2021年9月7日現在 | 2022年3月7日現在 | |
| 1口当たり純資産額 | 0.9984円 | 0.9982円 |
| (1万口当たり純資産額) | (9,984円) | (9,982円) |
附属明細表
| 第1 有価証券明細表 |
| (1) 株式 |
| 該当事項はありません。 |
| (2) 株式以外の有価証券 |
| 該当事項はありません。 |
| 第2 信用取引契約残高明細表 |
| 該当事項はありません。 |
| 第3 デリバティブ取引及び為替予約取引の契約額等及び時価の状況表 |
| 該当事項はありません。 |
10年以上蓄積したファイナンスデータとAIを掛け合わせて、投資の意思決定を加速させるポジションです。
