Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
26 Novembre 2024 - 5:16PM
Edgar (US Regulatory)
Portfolio
of
Investments
September
30,
2024
NPCT
(Unaudited)
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
LONG-TERM
INVESTMENTS
-
146.1%
(103.6%
of
Total
Investments)
X
284,783,105
CORPORATE
BONDS
-
79
.9
%
(
53
.9
%
of
Total
Investments)
X
284,783,105
AUTOMOBILES
&
COMPONENTS
-
1.9%
$
4,000,000
Dana
Inc
4
.250
%
09/01/30
$
3,591,541
3,510,000
Ford
Motor
Co
3
.250
02/12/32
2,989,205
TOTAL
AUTOMOBILES
&
COMPONENTS
6,580,746
BANKS
-
15.0%
2,500,000
Bank
of
America
Corp
2
.456
10/22/25
2,495,552
5,000,000
(a)
Citigroup
Inc
2
.014
01/25/26
4,949,448
2,500,000
Citigroup
Inc
1
.281
11/03/25
2,490,313
17,000,000
(b)
Intesa
Sanpaolo
SpA
4
.950
06/01/42
13,644,357
5,000,000
(a)
Lloyds
Banking
Group
PLC
4
.976
08/11/33
5,049,816
10,000,000
(a),(b)
Standard
Chartered
PLC
5
.300
01/09/43
10,012,826
15,000,000
(a),(b)
UniCredit
SpA
5
.459
06/30/35
14,758,579
TOTAL
BANKS
53,400,891
CAPITAL
GOODS
-
2.4%
5,800,000
(a)
GATX
Corp
3
.100
06/01/51
3,955,593
5,000,000
(b)
Sociedad
de
Transmision
Austral
SA
4
.000
01/27/32
4,616,693
TOTAL
CAPITAL
GOODS
8,572,286
COMMERCIAL
&
PROFESSIONAL
SERVICES
-
0.5%
1,625,000
(b)
Ambipar
Lux
Sarl
9
.875
02/06/31
1,686,012
TOTAL
COMMERCIAL
&
PROFESSIONAL
SERVICES
1,686,012
CONSUMER
DISCRETIONARY
DISTRIBUTION
&
RETAIL
-
2.2%
10,000,000
Nordstrom
Inc
5
.000
01/15/44
7,714,505
TOTAL
CONSUMER
DISCRETIONARY
DISTRIBUTION
&
RETAIL
7,714,505
CONSUMER
DURABLES
&
APPAREL
-
1.5%
EUR
5,000,000
(c)
Arcelik
AS,
Reg
S
3
.000
05/27/26
5,448,072
TOTAL
CONSUMER
DURABLES
&
APPAREL
5,448,072
ENERGY
-
3.8%
15,000,000
(a),(b)
Santos
Finance
Ltd
3
.649
04/29/31
13,628,043
TOTAL
ENERGY
13,628,043
EQUITY
REAL
ESTATE
INVESTMENT
TRUSTS
(REITS)
-
0.5%
2,000,000
Host
Hotels
&
Resorts
LP
2
.900
12/15/31
1,758,709
TOTAL
EQUITY
REAL
ESTATE
INVESTMENT
TRUSTS
(REITS)
1,758,709
FINANCIAL
SERVICES
-
9.3%
2,400,000
Community
Preservation
Corp/The
2
.867
02/01/30
2,180,316
2,000,000
(b)
HAT
Holdings
I
LLC
/
HAT
Holdings
II
LLC
3
.750
09/15/30
1,805,746
9,915,000
(b)
HAT
Holdings
I
LLC
/
HAT
Holdings
II
LLC
3
.375
06/15/26
9,601,534
1,000,000
(b)
HAT
Holdings
I
LLC
/
HAT
Holdings
II
LLC
8
.000
06/15/27
1,059,382
1,961,000
Morgan
Stanley
0
.864
10/21/25
1,955,836
EUR
5,400,000
(c)
Power
Finance
Corp
Ltd
1
.841
09/21/28
5,553,100
5,710,000
(b)
Starwood
Property
Trust
Inc
4
.375
01/15/27
5,564,309
4,292,000
(b)
Starwood
Property
Trust
Inc
3
.625
07/15/26
4,144,449
1,445,000
(b),(d)
Starwood
Property
Trust
Inc
6
.000
04/15/30
1,445,588
TOTAL
FINANCIAL
SERVICES
33,310,260
MATERIALS
-
5.2%
345,000
(b)
Alcoa
Nederland
Holding
BV
7
.125
03/15/31
367,779
1,550,000
(b),(e)
Cemex
SAB
de
CV
9
.125
N/A
1,690,733
550,000
(b)
LD
Celulose
International
GmbH
7
.950
01/26/32
564,437
5,000,000
(b)
LG
Chem
Ltd
2
.375
07/07/31
4,309,545
5,000,000
LYB
International
Finance
III
LLC
3
.800
10/01/60
3,684,074
7,830,000
(b)
Star
Energy
Geothermal
Wayang
Windu
Ltd
6
.750
04/24/33
7,996,301
TOTAL
MATERIALS
18,612,869
REAL
ESTATE
MANAGEMENT
&
DEVELOPMENT
-
0.6%
EUR
2,250,000
(c)
GTC
Aurora
Luxembourg
SA,
Reg
S
2
.250
06/23/26
2,291,280
TOTAL
REAL
ESTATE
MANAGEMENT
&
DEVELOPMENT
2,291,280
TECHNOLOGY
HARDWARE
&
EQUIPMENT
-
1.4%
5,000,000
SK
Battery
America
Inc,
Reg
S
2
.125
01/26/26
4,797,170
TOTAL
TECHNOLOGY
HARDWARE
&
EQUIPMENT
4,797,170
Portfolio
of
Investments
September
30,
2024
(continued)
NPCT
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
TELECOMMUNICATION
SERVICES
-
3.2%
$
5,000,000
Verizon
Communications
Inc
2
.987
%
10/30/56
$
3,279,588
10,000,000
Vodafone
Group
PLC
5
.125
06/04/81
8,237,081
TOTAL
TELECOMMUNICATION
SERVICES
11,516,669
TRANSPORTATION
-
1.5%
7,000,000
Norfolk
Southern
Corp
4
.100
05/15/21
5,296,334
TOTAL
TRANSPORTATION
5,296,334
UTILITIES
-
30.9%
1,750,000
AES
Corp/The
2
.450
01/15/31
1,515,602
15,000,000
(a),(b)
Brooklyn
Union
Gas
Co/The
4
.273
03/15/48
12,169,622
5,100,000
(b)
Clearway
Energy
Operating
LLC
3
.750
01/15/32
4,615,002
7,050,000
(b)
Colbun
SA
3
.150
01/19/32
6,214,937
2,244,000
Consolidated
Edison
Co
of
New
York
Inc
4
.300
12/01/56
1,960,141
EUR
5,000,000
(c)
EDP
-
Energias
de
Portugal
SA
1
.875
03/14/82
4,992,252
5,747,000
(b)
India
Cleantech
Energy2021
1
4
.700
08/10/26
5,563,671
6,650,000
(a),(b)
Interchile
SA
4
.500
06/30/56
5,651,961
2,000,000
(b)
Leeward
Renewable
Energy
Operations
LLC
4
.250
07/01/29
1,885,840
7,330,000
(a),(b)
Liberty
Utilities
Finance
GP
1
2
.050
09/15/30
6,310,897
2,033,000
(b)
NextEra
Energy
Operating
Partners
LP
7
.250
01/15/29
2,143,553
7,000,000
(b)
Pattern
Energy
Operations
LP
/
Pattern
Energy
Operations
Inc
4
.500
08/15/28
6,771,715
1,000,000
PG&E
Recovery
Funding
LLC
4
.838
06/01/35
1,024,745
2,515,939
(b)
Solar
Star
Funding
LLC
5
.375
06/30/35
2,553,352
13,000,000
(a)
Southern
California
Edison
Co
3
.650
06/01/51
9,975,447
4,000,000
Southern
Co
Gas
Capital
Corp
3
.150
09/30/51
2,764,033
5,000,000
(b)
Star
Energy
Geothermal
Darajat
II
/
Star
Energy
Geothermal
Salak
4
.850
10/14/38
4,794,022
8,075,000
(b)
Sunnova
Energy
Corp
5
.875
09/01/26
7,539,527
9,439,100
(b)
Sweihan
PV
Power
Co
PJSC2022
1
3
.625
01/31/49
8,023,235
3,832,170
(b)
Topaz
Solar
Farms
LLC
5
.750
09/30/39
3,792,515
8,518,945
(b)
Topaz
Solar
Farms
LLC
4
.875
09/30/39
7,667,050
2,585,310
(b)
UEP
Penonome
II
SA2020
1
6
.500
10/01/38
2,240,140
TOTAL
UTILITIES
110,169,259
TOTAL
CORPORATE
BONDS
(Cost
$329,991,748)
284,783,105
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
X
76,806,750
$1,000
PAR
(OR
SIMILAR)
INSTITUTIONAL
PREFERRED
-
21
.5
%
(
14
.5
%
of
Total
Investments)
X
76,806,750
BANKS
-
7.3%
$
10,375,000
(b)
Banco
Nacional
de
Comercio
Exterior
SNC/Cayman
Islands
2
.720
08/11/31
$
9,465,813
4,250,000
(e)
Citigroup
Inc
4
.150
N/A
4,080,644
3,250,000
(e)
JPMorgan
Chase
&
Co
3
.650
N/A
3,144,186
10,195,000
(e)
PNC
Financial
Services
Group
Inc/The
3
.400
N/A
9,311,206
TOTAL
BANKS
26,001,849
CAPITAL
GOODS
-
2.7%
9,000,000
(e)
Air
Lease
Corp
4
.650
N/A
8,773,088
875,000
(e)
Air
Lease
Corp
6
.000
N/A
865,968
TOTAL
CAPITAL
GOODS
9,639,056
FINANCIAL
SERVICES
-
1.9%
7,200,000
(e)
American
Express
Co
3
.550
N/A
6,823,294
TOTAL
FINANCIAL
SERVICES
6,823,294
INSURANCE
-
1.4%
4,800,000
(b)
Swiss
Re
Finance
Luxembourg
SA
5
.000
04/02/49
4,872,648
TOTAL
INSURANCE
4,872,648
UTILITIES
-
8.2%
1,700,000
AES
Corp/The
7
.600
01/15/55
1,788,469
5,000,000
Algonquin
Power
&
Utilities
Corp
4
.750
01/18/82
4,671,895
2,500,000
CMS
Energy
Corp
4
.750
06/01/50
2,412,433
2,500,000
CMS
Energy
Corp
3
.750
12/01/50
2,183,554
EUR
8,000,000
(c),(e)
Engie
SA,
Reg
S
1
.875
N/A
7,669,421
4,600,000
Sempra
4
.125
04/01/52
4,373,724
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
UTILITIES
(continued)
$
5,000,000
Southern
Co/The
3
.750
%
09/15/51
$
4,839,201
1,500,000
(b),(e)
Vistra
Vision
LLC
7
.000
N/A
1,531,206
TOTAL
UTILITIES
29,469,903
TOTAL
$1,000
PAR
(OR
SIMILAR)
INSTITUTIONAL
PREFERRED
(Cost
$83,602,446)
76,806,750
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
–
MORTGAGE-BACKED
SECURITIES
-
19.0%
(12.8%
of
Total
Investments)
–
6,500,000
(b),(f)
Alen
2021-ACEN
Mortgage
Trust,
(TSFR1M
+
4.114%),
2021
ACEN
9
.211
04/15/34
2,782,000
5,000,000
(b),(f)
BAMLL
Commercial
Mortgage
Securities
Trust
2021-JACX,
(TSFR1M
+
3.864%),
2021
JACX
8
.961
09/15/38
3,922,726
4,000,000
(b)
BBCMS
Mortgage
Trust
2020-C6,
2020
C6
3
.811
02/15/53
2,873,378
3,840,000
(b)
Benchmark
2019-B10
Mortgage
Trust,
2019
B10
4
.029
03/15/62
2,830,038
7,887,000
(b)
COMM
2020-CX
Mortgage
Trust,
2020
CX
2
.773
11/10/46
5,660,019
45,308,978
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML12,
(I/O)
1
.304
07/25/41
4,349,662
28,050,792
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML10,
(I/O)
2
.127
01/25/38
4,022,203
24,388,999
Freddie
Mac
Multifamily
ML
Certificates,
2023
ML18
1
.508
09/25/37
2,591,087
64,977,298
(b)
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML11,
(I/O)
0
.770
03/25/38
3,346,981
500,000
(b)
Hudson
Yards
2016-10HY
Mortgage
Trust,
2016
10HY
2
.835
08/10/38
480,615
2,500,000
(b)
Hudson
Yards
2019-55HY
Mortgage
Trust,
2019
55HY
3
.041
12/10/41
1,891,519
5,000,000
(b)
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2018-
AON,
2018
AON
4
.767
07/05/31
1,086,752
10,000,000
(b)
MFT
Trust
2020-ABC,
2020
ABC
3
.593
02/10/42
4,851,923
700,000
(b),(f)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
+
3.579%),
2019
MILE
8
.676
07/15/36
489,256
5,661,000
(b),(f)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
+
2.829%),
2019
MILE
7
.926
07/15/36
4,259,708
7,420,000
(b)
NYC
Commercial
Mortgage
Trust
2021-909,
2021
909
3
.312
04/10/43
4,661,617
3,860,000
(b)
SLG
Office
Trust
2021-OVA,
2021
OVA
2
.851
07/15/41
3,131,677
7,000,000
(b)
SLG
Office
Trust
2021-OVA,
2021
OVA
2
.851
07/15/41
5,470,473
80,369,000
(b)
SLG
Office
Trust
2021-OVA,
2021
OVA,
(I/O)
0
.258
07/15/41
1,111,367
3,500,000
(b)
SUMIT
2022-BVUE
Mortgage
Trust,
2022
BVUE
2
.989
02/12/41
2,268,542
6,000,000
(b)
VNDO
Trust
2016-350P,
2016
350P
4
.033
01/10/35
5,613,210
TOTAL
MORTGAGE-BACKED
SECURITIES
(Cost
$97,438,316)
67,694,753
SHARES
DESCRIPTION
RATE
VALUE
X
22,781,864
$25
PAR
(OR
SIMILAR)
RETAIL
PREFERRED
-
6
.4
%
(
4
.3
%
of
Total
Investments)
X
22,781,864
CAPITAL
GOODS
-
1.7%
269,000
Triton
International
Ltd
5
.750
$
6,200,450
TOTAL
CAPITAL
GOODS
6,200,450
FINANCIAL
SERVICES
-
1.5%
300,000
Affiliated
Managers
Group
Inc
4
.200
5,352,000
TOTAL
FINANCIAL
SERVICES
5,352,000
REAL
ESTATE
MANAGEMENT
&
DEVELOPMENT
-
0.3%
77,904
Brookfield
Property
Partners
LP
5
.750
1,152,979
TOTAL
REAL
ESTATE
MANAGEMENT
&
DEVELOPMENT
1,152,979
UTILITIES
-
2.9%
100,426
Brookfield
Infrastructure
Partners
LP
5
.125
1,988,435
200,000
Brookfield
Renewable
Partners
LP
5
.250
4,130,000
200,000
CMS
Energy
Corp
4
.200
3,958,000
TOTAL
UTILITIES
10,076,435
TOTAL
$25
PAR
(OR
SIMILAR)
RETAIL
PREFERRED
(Cost
$28,938,056)
22,781,864
Portfolio
of
Investments
September
30,
2024
(continued)
NPCT
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
X
20,587,881
SOVEREIGN
DEBT
-
5
.8
%
(
3
.9
%
of
Total
Investments)
X
20,587,881
BENIN
-
2.6%
EUR
10,000,000
(b)
Benin
Government
International
Bond
4
.950
%
01/22/35
$
9,323,517
TOTAL
BENIN
9,323,517
CHILE
-
1.1%
$
5,000,000
Chile
Government
International
Bond
3
.100
05/07/41
3,898,299
TOTAL
CHILE
3,898,299
MEXICO
-
2.1%
EUR
5,000,000
Mexico
Government
International
Bond
2
.250
08/12/36
4,348,374
3,150,000
Mexico
Government
International
Bond
4
.875
05/19/33
3,017,691
TOTAL
MEXICO
7,366,065
TOTAL
SOVEREIGN
DEBT
(Cost
$25,530,406)
20,587,881
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
X
14,060,899
MUNICIPAL
BONDS
-
3
.9
%
(
2
.7
%
of
Total
Investments)
X
14,060,899
ARIZONA
-
0.2%
$
810,000
Arizona
Industrial
Development
Authority,
Arizona,
Education
Revenue
Bonds,
KIPPC
NYC
Public
Charter
Schools
-
Gerard
Facility
Project,
Series
2021C
3
.250
07/01/31
$
739,047
TOTAL
ARIZONA
739,047
DISTRICT
OF
COLUMBIA
-
0.1%
254,000
District
of
Columbia
Water
and
Sewer
Authority,
Public
Utility
Revenue
Bonds,
Taxable
Senior
Lien
Green
Series
2014A
4
.814
10/01/14
245,866
TOTAL
DISTRICT
OF
COLUMBIA
245,866
INDIANA
-
0.0%
234,358
(g)
Fort
Wayne,
Indiana
Economic
Development,
Solid
Waste
Facility
Revenue
Bonds,
Do
Good
Foods
LLC
Fort
Wayne,
Taxable
Series
2022A-2
10
.750
12/01/29
23
TOTAL
INDIANA
23
MICHIGAN
-
1.5%
1,000,000
City
of
Detroit,
Michigan,
General
Obligation
Bonds,
Series
2021
2
.960
04/01/27
962,227
500,000
City
of
Detroit,
Michigan,
General
Obligation
Bonds,
Series
2021
3
.110
04/01/28
476,301
2,245,000
City
of
Detroit,
Michigan,
General
Obligation
Bonds,
Series
2021
3
.244
04/01/29
2,116,150
1,575,000
Detroit,
Wayne
County,
Michigan,
General
Obligation
Bonds,
Taxable
Series
2021B
3
.644
04/01/34
1,411,864
425,000
Washington
Metropolitan
Area
Transit
Authority,
District
of
Columbia,
Second
Lien
Dedicated
Revenue
Bonds,
Sustainability-
Climate
Transition,
Series
2024A
3
.344
04/01/30
395,424
TOTAL
MICHIGAN
5,361,966
MONTANA
-
0.6%
1,000,000
(b)
County
of
Gallatin
MT
11
.500
09/01/27
1,042,399
1,000,000
(b)
Washington
Metropolitan
Area
Transit
Authority,
District
of
Columbia,
Second
Lien
Dedicated
Revenue
Bonds,
Sustainability-
Climate
Transition,
Series
2024A
11
.500
09/01/27
1,042,400
TOTAL
MONTANA
2,084,799
NEW
HAMPSHIRE
-
0.7%
61,877,716
New
Hampshire
Business
Finance
Authority
0
.595
08/20/39
2,633,516
TOTAL
NEW
HAMPSHIRE
2,633,516
NEW
YORK
-
0.8%
415,000
Metropolitan
Transportation
Authority,
New
York,
Transportation
Revenue
Bonds,
Taxable
Green
Climate
Certified
Series
2020C-2
5
.175
11/15/49
386,378
2,500,000
New
York
Transportation
Development
Corp
6
.971
06/30/51
2,609,304
TOTAL
NEW
YORK
2,995,682
TOTAL
MUNICIPAL
BONDS
(Cost
$14,823,802)
14,060,899
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
–
ASSET-BACKED
SECURITIES
-
3.3%
(2.2%
of
Total
Investments)
–
1,000,000
(b)
Frontier
Issuer
LLC,
2023
1
8
.300
08/20/53
1,045,871
1,000,000
(b)
Frontier
Issuer
LLC,
2023
1
11
.500
08/20/53
1,080,327
Investments
in
Derivatives
Na
na
boli
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
$
2,024,371
(b)
GoodLeap
Sustainable
Home
Solutions
Trust
2021-3,
2021
3CS
3
.500
%
05/20/48
$
1,422,086
2,281,482
(b)
GoodLeap
Sustainable
Home
Solutions
Trust
2021-4,
2021
4GS
3
.500
07/20/48
1,676,726
5,481,250
(b),(h)
Mosaic
Solar
Loan
Trust
2019-2,
2019
2A
0
.000
09/20/40
2,115,763
6,450,000
(b),(h)
Mosaic
Solar
Loan
Trust
2020-1,
2020
20-1A
0
.000
04/20/46
3,310,140
1,000,000
(b)
Tesla
Auto
Lease
Trust
2023-A,
2023
A
5
.940
07/20/27
1,010,770
TOTAL
ASSET-BACKED
SECURITIES
(Cost
$16,610,504)
11,661,683
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
X
11,416,363
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
-
3
.2
%
(
2
.2
%
of
Total
Investments)
X
11,416,363
$
5,470,000
United
States
Treasury
Note/Bond
3
.875
08/15/34
$
5,508,461
3,794,000
United
States
Treasury
Note/Bond
3
.500
09/30/26
3,783,477
2,013,000
United
States
Treasury
Note/Bond
3
.500
09/30/29
2,007,024
118,000
United
States
Treasury
Note/Bond
3
.375
09/15/27
117,401
TOTAL
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
(Cost
$11,348,891)
11,416,363
PRINCIPAL
DESCRIPTION
RATE
(i)
MATURITY
(j)
VALUE
X
11,032,706
VARIABLE
RATE
SENIOR
LOAN
INTERESTS
-
3
.1
%
(
2
.1
%
of
Total
Investments)
(i)
X
11,032,706
COMMERCIAL
&
PROFESSIONAL
SERVICES
-
2.8%
$
10,285,157
Liberty
Tire
Recycling
Holdco,
LLC,
Term
Loan,
(TSFR1M
+
0.045%)
9
.460
05/08/28
$
9,994,961
TOTAL
COMMERCIAL
&
PROFESSIONAL
SERVICES
9,994,961
UTILITIES
-
0.3%
1,035,028
ExGen
Renewables
IV,
LLC,
Term
Loan,
(TSFR3M
+
0.025%)
7
.307
12/15/27
1,037,745
TOTAL
UTILITIES
1,037,745
TOTAL
VARIABLE
RATE
SENIOR
LOAN
INTERESTS
(Cost
$11,290,961)
11,032,706
TOTAL
LONG-TERM
INVESTMENTS
(Cost
$619,575,130)
520,826,004
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
SHORT-TERM
INVESTMENTS
-
2.0% (1.4%
of
Total
Investments)
X
7,296,756
REPURCHASE
AGREEMENTS
-
2
.0
%
(
1
.4
%
of
Total
Investments)
X
7,296,756
$
6,725,000
(k)
Fixed
Income
Clearing
Corporation
4
.820
10/01/24
$
6,725,000
571,756
(l)
Fixed
Income
Clearing
Corporation
1
.520
10/01/24
571,756
TOTAL
REPURCHASE
AGREEMENTS
(Cost
$7,296,756)
7,296,756
TOTAL
SHORT-TERM
INVESTMENTS
(Cost
$7,296,756)
7,296,756
TOTAL
INVESTMENTS
-
148
.1
%
(Cost
$
626,871,886
)
528,122,760
BORROWINGS
-
(17.5)%
(m),(n)
(
62,500,000
)
REVERSE
REPURCHASE
AGREEMENTS,
INCLUDING
ACCRUED
INTEREST
-
(13.8)%(o)
(
49,128,533
)
TFP
SHARES,
NET
-
(19.5)%(p)
(
69,708,576
)
OTHER
ASSETS
&
LIABILITIES,
NET
- 2.7%
9,818,931
NET
ASSETS
APPLICABLE
TO
COMMON
SHARES
-
100%
$
356,604,582
Forward
Foreign
Currency
Contracts
Currency
Purchased
Notional
Amount
(Local
Currency)
Currency
Sold
Notional
Amount
(Local
Currency)
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
U.S.
Dollar
7,486,335
Euro
6,858,671
Morgan
Stanley
Capital
Services
LLC
10/15/24
$
(
152,411
)
Total
$(152,411)
Portfolio
of
Investments
September
30,
2024
(continued)
NPCT
Part
F
of
Form
N-PORT
was
prepared
in
accordance
with
U.S.
generally
accepted
accounting
principles
(“U.S.
GAAP”)
and
in
conformity
with
the
applicable
rules
and
regulations
of
the
U.S.
Securities
and
Exchange
Commission
(“SEC”)
related
to
interim
filings.
Part
F
of
Form
N-PORT
does
not
include
all
information
and
footnotes
required
by
U.S.
GAAP
for
complete
financial
statements.
Certain
footnote
disclosures
normally
included
in
financial
statements
prepared
in
accordance
with
U.S.
GAAP
have
been
condensed
or
omitted
from
this
report
pursuant
to
the
rules
of
the
SEC.
For
a
full
set
of
the
Fund’s
notes
to
financial
statements,
please
refer
to
the
Fund’s
most
recently
filed
annual
or
semi-annual
report.
Fair
Value
Measurements
The
Fund’s
investments
in
securities
are
recorded
at
their
estimated
fair
value
utilizing
valuation
methods
approved
by
the
Board
of
Directors/
Trustees.
Fair
value
is
defined
as
the
price
that
would
be
received
upon
selling
an
investment
or
transferring
a
liability
in
an
orderly
transaction
to
an
independent
buyer
in
the
principal
or
most
advantageous
market
for
the
investment.
U.S.
GAAP
establishes
the
three-tier
hierarchy
which
is
used
to
maximize
the
use
of
observable
market
data
and
minimize
the
use
of
unobservable
inputs
and
to
establish
classification
of
fair
value
measurements
for
disclosure
purposes.
Observable
inputs
reflect
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Observable
inputs
are
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity.
Unobservable
inputs
reflect
management’s
assumptions
about
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Unobservable
inputs
are
based
on
the
best
information
available
in
the
circumstances.
The
following
is
a
summary
of
the
three-tiered
hierarchy
of
valuation
input
levels.
Level
1
–
Inputs
are
unadjusted
and
prices
are
determined
using
quoted
prices
in
active
markets
for
identical
securities.
Level
2
–
Prices
are
determined
using
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
credit
spreads,
etc.).
Level
3
–
Prices
are
determined
using
significant
unobservable
inputs
(including
management’s
assumptions
in
determining
the
fair
value
of
investments).
The
following
table
summarizes
the
market
value
of
the
Fund's
investments
as
of
the
end
of
the
reporting
period,
based
on
the
inputs
used
to
value
them:
Cross
Currency
Swaps
-
OTC
Uncleared
Counterparty
Terms
of
payments
to
be
paid
Terms
of
payments
to
be
received
Currency
Maturity
Date
Notional
Amount
(Local
Currency)
Value
Upfront
Premiums
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
Citibank
N.A.
Fixed
annual
2.250%
Fixed
semi-annual
3.562%
USD
EUR
6/23/26
2,725,875
2,250,000
$
231,188
$
25,562
$
205,626
Citibank
N.A.
Fixed
semi-annual
1.875%
Fixed
annual
3.472%
USD
EUR
7/02/31
5,904,500
5,000,000
510,653
15,907
494,746
Citibank
N.A.
Fixed
semi-annual
1.875%
Fixed
annual
3.493%
USD
EUR
7/02/31
3,543,900
3,000,000
312,261
(
7,218
)
319,479
Citibank
N.A.
Fixed
semi-annual
2.250%
Fixed
annual
3.775%
USD
EUR
8/12/36
5,909,000
5,000,000
608,853
12,352
596,501
JPMorgan
Chase
Bank,
N.A.
Fixed
semi-annual
1.875%
Fixed
annual
3.431%
USD
EUR
6/14/29
5,905,000
5,000,000
424,569
(
2,837
)
427,406
Morgan
Stanley
Capital
Services
LLC
Fixed
semi-annual
3.000%
Fixed
annual
4.330%
USD
EUR
5/27/26
6,088,500
5,000,000
559,904
4,251
555,653
Morgan
Stanley
Capital
Services
LLC
Fixed
semi-annual
1.841%
Fixed
annual
3.337%
USD
EUR
9/21/28
6,376,320
5,400,000
422,773
(
4
)
422,777
Total
$
3,070,201
$
48,013
$
3,022,188
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Corporate
Bonds
$
–
$
284,783,105
$
–
$
284,783,105
$1,000
Par
(or
similar)
Institutional
Preferred
–
76,806,750
–
76,806,750
Mortgage-Backed
Securities
–
67,694,753
–
67,694,753
$25
Par
(or
similar)
Retail
Preferred
22,781,864
–
–
22,781,864
Sovereign
Debt
–
20,587,881
–
20,587,881
Municipal
Bonds
–
14,060,899
–
14,060,899
Asset-Backed
Securities
–
6,235,780
5,425,903
11,661,683
U.S.
Government
and
Agency
Obligations
–
11,416,363
–
11,416,363
Variable
Rate
Senior
Loan
Interests
–
11,032,706
–
11,032,706
Short-Term
Investments:
Repurchase
Agreements
–
7,296,756
–
7,296,756
Investments
in
Derivatives:
Forward
Foreign
Currency
Contracts*
–
(152,411)
–
(152,411)
Cross
Currency
Swaps*
–
3,022,188
–
3,022,188
Total
$
22,781,864
$
502,784,770
$
5,425,903
$
530,992,537
*
Represents
net
unrealized
appreciation
(depreciation).
The
following
is
a
reconciliation
of
the
Fund’s
Level
3
investments
held
at
the
beginning
and
end
of
the
measurement
period:
The
valuation
techniques
and
significant
unobservable
inputs
used
in
recurring
Level
3
fair
value
measurements
of
assets
as
of
the
end
of
the
reporting
period,
were
as
follows:
Level
3
NPCT
Asset-Backed
Securities
Balance
at
the
beginning
of
period
$
4,421,470
Gains
(losses):
Net
realized
gains
(losses)
(485,569)
Change
in
net
unrealized
appreciation
(depreciation)
(1,143,451)
Purchases
at
cost
2,758,280
Sales
at
proceeds
(289,192)
Net
discounts
(premiums)
164,365
Transfers
into
-
Transfers
(out
of)
-
Balance
at
the
end
of
period
$
5,425,903
Change
in
net
unrealized
appreciation
(depreciation)
during
the
period
of
Level
3
securities
held
as
of
period
end
$
(1,143,451)
Fund
Asset
Class
Market
Value
Techniques
Unobservable
Inputs
Range
Weighted
Average
NPCT
Asset-Backed
Securities
$5,425,903
Indicative
Trade
Broker
Quote
$38.60-51.32
$46.36
For
Fund
portfolio
compliance
purposes,
the
Fund’s
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
into
sectors
for
reporting
ease.
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
(a)
Investment,
or
portion
of
investment,
has
been
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
reverse
repurchase
agreements.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$70,033,019
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(b)
Security
is
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
These
securities
are
deemed
liquid
and
may
be
resold
in
transactions
exempt
from
registration,
which
are
normally
those
transactions
with
qualified
institutional
buyers.
As
of
the
end
of
the
reporting
period,
the
aggregate
value
of
these
securities
is
$280,504,819
or
53.1%
of
Total
Investments.
(c)
All
or
a
portion
of
this
security
is
owned
by
Nuveen
Core
Plus
Impact
Fund
Ltd.
which
is
a
100%
owned
subsidiary
of
the
fund.
(d)
When-issued
or
delayed
delivery
security.
(e)
Perpetual
security.
Maturity
date
is
not
applicable.
(f)
Variable
rate
security.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(g)
Defaulted
security.
A
security
whose
issuer
has
failed
to
fully
pay
principal
and/or
interest
when
due,
or
is
under
the
protection
of
bankruptcy.
(h)
For
fair
value
measurement
disclosure
purposes,
investment
classified
as
Level
3.
(i)
Senior
loans
generally
pay
interest
at
rates
which
are
periodically
adjusted
by
reference
to
a
base
short-term,
floating
lending
rate
(Reference
Rate)
plus
an
assigned
fixed
rate
(Spread).
These
floating
lending
rates
are
generally
(i)
the
lending
rate
referenced
by
the
Secured
Overnight
Financing
Rate
(“SOFR”),
or
(ii)
the
prime
rate
offered
by
one
or
more
major
United
States
banks.
Senior
loans
may
be
considered
restricted
in
that
the
Fund
ordinarily
is
contractually
obligated
to
receive
approval
from
the
agent
bank
and/or
borrower
prior
to
the
disposition
of
a
senior
loan.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(j)
Senior
loans
generally
are
subject
to
mandatory
and/or
optional
prepayment.
Because
of
these
mandatory
prepayment
conditions
and
because
there
may
be
significant
economic
incentives
for
a
borrower
to
prepay,
prepayments
of
senior
loans
may
occur.
As
a
result,
the
actual
remaining
maturity
of
senior
loans
held
may
be
substantially
less
than
the
stated
maturities
shown.
(k)
Agreement
with
Fixed
Income
Clearing
Corporation,
4.820%
dated
9/30/24
to
be
repurchased
at
$6,725,901
on
10/1/24,
collateralized
by
Government
Agency
Securities,
with
coupon
rate
4.625%
and
maturity
date
9/30/28,
valued
at
$6,859,680.
(l)
Agreement
with
Fixed
Income
Clearing
Corporation,
1.520%
dated
9/30/24
to
be
repurchased
at
$571,780
on
10/1/24,
collateralized
by
Government
Agency
Securities,
with
coupon
rate
3.500%
and
maturity
date
9/30/26,
valued
at
$583,286.
(m)
Borrowings
as
a
percentage
of
Total
Investments
is
11.8%.
(n)
The
Fund
may
pledge
up
to
100%
of
its
eligible
investment
(excluding
any
investments
pledged
as
collateral
to
specific
investments
in
derivatives,
when
applicable)
in
the
Portfolio
of
Investments
as
collateral
for
borrowings.
(o)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
9.3%.
(p)
TFP
Shares,
Net
as
a
percentage
of
Total
Investments
is
13.2%.
Portfolio
of
Investments
September
30,
2024
(continued)
NPCT
EUR
Euro
I/O
Interest
only
security
Reg
S
Regulation
S
allows
U.S.
companies
to
sell
securities
to
persons
or
entities
located
outside
of
the
United
States
without
registering
those
securities
with
the
Securities
and
Exchange
Commission.
Specifically,
Regulation
S
provides
a
safe
harbor
from
the
registration
requirements
of
the
Securities
Act
for
the
offers
and
sales
of
securities
by
both
foreign
and
domestic
issuers
that
are
made
outside
the
United
States.
TSFR
1M
CME
Term
SOFR
1
Month
TSFR
3M
CME
Term
SOFR
3
Month
Nuveen Core Plus Impact (NYSE:NPCT)
Graphique Historique de l'Action
De Oct 2024 à Nov 2024
Nuveen Core Plus Impact (NYSE:NPCT)
Graphique Historique de l'Action
De Nov 2023 à Nov 2024
