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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10263
GuideStone Funds
(Exact name of registrant as specified in charter)
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Address of principal executive offices) (Zip code)
Matthew A. Wolfe, Esq.
GuideStone Financial Resources of the Southern Baptist Convention
5005 Lyndon B. Johnson Freeway, Suite 2200
Dallas, TX 75244-6152
(Name and address of agent for service)
Registrant’s telephone number, including area code: 214-720-4640
Date of fiscal year end: December 31
Date of reporting period: June 30, 2019
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Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) |
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• | Information we receive from you on applications or other forms; |
• | Information about your transactions with us, our affiliates or others (including our third-party service providers); |
• | Information we receive from others, such as service providers, broker-dealers and your personal agents or representatives; and |
• | Information you and others provide to us in correspondence sent to us, whether written, electronic or by telephone. |
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Matt L. Peden, CFA |
Index | 1st Quarter 2019 Returns | 2ndQuarter 2019 Returns | YTD Returns as of June 30, 2019 |
U.S. Equities | |||
S&P 500® | 13.65% | 4.30% | 18.54% |
Dow Jones Industrial Average | 11.81% | 3.21% | 15.40% |
NASDAQ | 16.81% | 3.87% | 21.33% |
International Equities | |||
MSCI EAFE | 9.98% | 3.68% | 14.03% |
MSCI Emerging Markets | 9.92% | 0.61% | 10.58% |
U.S. Fixed Income | |||
Bloomberg Barclays U.S. Aggregate Bond | 2.94% | 3.08% | 6.11% |
Bloomberg Barclays U.S. High Yield – Corporate | 7.26% | 2.50% | 9.94% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | 2.20% | 3.29% | 5.57% |
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Vice President - Chief Investment Officer
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Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,100.00 | 0.06% | $0.31 | |||||
Investor | 1,000.00 | 1,098.90 | 0.31 | 1.61 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,118.00 | 0.09 | 0.47 | |||||
Investor | 1,000.00 | 1,116.80 | 0.33 | 1.73 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,141.00 | 0.13 | 0.69 | |||||
Investor | 1,000.00 | 1,139.90 | 0.38 | 2.02 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,152.30 | 0.13 | 0.69 | |||||
Investor | 1,000.00 | 1,151.00 | 0.38 | 2.03 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,155.10 | 0.15 | 0.80 | |||||
Investor | 1,000.00 | 1,154.30 | 0.39 | 2.08 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,074.50 | 0.15 | 0.77 | |||||
Investor | 1,000.00 | 1,072.70 | 0.40 | 2.06 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,118.30 | 0.12 | 0.64 | |||||
Investor | 1,000.00 | 1,116.50 | 0.38 | 1.99 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,149.70 | 0.12 | 0.64 | |||||
Investor | 1,000.00 | 1,147.90 | 0.38 | 2.02 | ||||||
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Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Aggressive Allocation | Institutional | $1,000.00 | $1,178.10 | 0.13% | $0.68 | |||||
Investor | 1,000.00 | 1,176.80 | 0.38 | 2.05 | ||||||
Money Market | Institutional | 1,000.00 | 1,011.50 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 1,010.20 | 0.41 | 2.04 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,026.60 | 0.35 | 1.76 | |||||
Investor | 1,000.00 | 1,026.00 | 0.61 | 3.06 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,067.80 | 0.38 | 1.95 | |||||
Investor | 1,000.00 | 1,067.10 | 0.65 | 3.33 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,095.00 | 0.56 | 2.91 | |||||
Investor | 1,000.00 | 1,093.50 | 0.83 | 4.31 | ||||||
Global Bond | Institutional | 1,000.00 | 1,087.00 | 0.54 | 2.79 | |||||
Investor | 1,000.00 | 1,085.90 | 0.82 | 4.24 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,128.30 | 0.66 | 3.50 | |||||
Investor | 1,000.00 | 1,126.90 | 0.93 | 4.90 | ||||||
Equity Index | Institutional | 1,000.00 | 1,185.30 | 0.14 | 0.76 | |||||
Investor | 1,000.00 | 1,183.80 | 0.40 | 2.17 | ||||||
Value Equity | Institutional | 1,000.00 | 1,165.60 | 0.62 | 3.33 | |||||
Investor | 1,000.00 | 1,163.40 | 0.88 | 4.72 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,241.50 | 0.71 | 3.95 | |||||
Investor | 1,000.00 | 1,239.70 | 0.97 | 5.36 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,200.20 | 1.00 | 5.46 | |||||
Investor | 1,000.00 | 1,198.30 | 1.26 | 6.87 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,137.40 | 0.22 | 1.17 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,152.50 | 1.22 | 6.51 | |||||
Investor | 1,000.00 | 1,150.40 | 1.48 | 7.89 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,113.70 | 1.29 | 6.76 | |||||
Investor | 1,000.00 | 1,111.20 | 1.55 | 8.11 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,158.30 | 0.81 | 4.33 | |||||
Investor | 1,000.00 | 1,155.00 | 1.09 | 5.82 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,033.40 | 1.14 | 5.75 | |||||
Investor | 1,000.00 | 1,031.40 | 1.43 | 7.20 | ||||||
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,024.50 | 0.06% | $0.30 | |||||
Investor | 1,000.00 | 1,023.26 | 0.31 | 1.56 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.35 | 0.09 | 0.45 | |||||
Investor | 1,000.00 | 1,023.16 | 0.33 | 1.66 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2035 | Institutional | $1,000.00 | $1,024.15 | 0.13% | $0.65 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,022.86 | 0.39 | 1.96 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,022.81 | 0.40 | 2.01 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,024.19 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.20 | 0.12 | 0.60 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.17 | 0.13 | 0.63 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.10 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 1,022.76 | 0.41 | 2.06 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.06 | 0.35 | 1.76 | |||||
Investor | 1,000.00 | 1,021.77 | 0.61 | 3.06 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,022.91 | 0.38 | 1.91 | |||||
Investor | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.02 | 0.56 | 2.81 | |||||
Investor | 1,000.00 | 1,020.68 | 0.83 | 4.16 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.12 | 0.54 | 2.71 | |||||
Investor | 1,000.00 | 1,020.73 | 0.82 | 4.11 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,021.51 | 0.66 | 3.32 | |||||
Investor | 1,000.00 | 1,020.18 | 0.93 | 4.66 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.10 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 1,022.81 | 0.40 | 2.01 | ||||||
Value Equity | Institutional | 1,000.00 | 1,021.72 | 0.62 | 3.11 | |||||
Investor | 1,000.00 | 1,020.43 | 0.88 | 4.41 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.27 | 0.71 | 3.56 | |||||
Investor | 1,000.00 | 1,020.01 | 0.97 | 4.83 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,019.84 | 1.00 | 5.01 | |||||
Investor | 1,000.00 | 1,018.55 | 1.26 | 6.31 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,023.70 | 0.22 | 1.10 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,018.74 | 1.22 | 6.11 | |||||
Investor | 1,000.00 | 1,017.46 | 1.48 | 7.40 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,018.40 | 1.29 | 6.46 | |||||
Investor | 1,000.00 | 1,017.11 | 1.55 | 7.75 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.78 | 0.81 | 4.06 | |||||
Investor | 1,000.00 | 1,019.39 | 1.09 | 5.46 | ||||||
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/19 | Ending Account Value 06/30/19 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Strategic Alternatives (3) | Institutional | $1,000.00 | $1,019.14 | 1.14% | $5.71 | |||||
Investor | 1,000.00 | 1,017.70 | 1.43 | 7.15 | ||||||
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INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
2M | — | 2 Month |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
ASX | — | Australian Securities Exchange |
BBR FRA | — | Bank Bill Rate FRA |
BBSW | — | Bank Bill Swap Rate |
BUBOR | — | Budapest Interbank Offered Rate |
CDI | — | Crest Depository Interest |
CDOR | — | Canadian Dollar Offered Rate |
CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
CFETS | — | China Foreign Exchange Trade System |
CLO | — | Collateralized Loan Obligation |
CMBX | — | A group of indexes made up of 25 tranches of commercial mortgage-backed securities (CMBS), each with different credit ratings. |
CMT | — | Constant Maturity |
COF | — | Cost of Funds |
CONV | — | Convertible |
CVA | — | Dutch Certificate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
GDR | — | Global Depositary Receipt |
HIBOR | — | Hong Kong Interbank Offered Rate |
HY | — | High Yield |
ICE LIBOR | — | Intercontinental Exchange London Interbank Offered Rate |
IG | — | Investment Grade |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
KORIBOR | — | Korea Interbank Offered Rate |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MIBOR | — | Mumbai Interbank Offered Rate |
NIBOR | — | Norwegian Interbank Offered Rate |
NSA | — | Not Seasonally Adjusted |
NVDR | — | Non-Voting Depository Receipt |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PLC | — | Public Limited Company |
PRIBOR | — | Prague Interbank Offered Rate |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SDR | — | Special Drawing Rights |
SONIA | — | Sterling Overnight Index Average Rate |
SOFR | — | Secured Overnight Financing Rate |
SPDR | — | Standard and Poor's Depositary |
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STIBOR | — | Stockholm Interbank Offered Rate |
STRIP | — | Stripped Security |
TBA | — | To be announced |
TIIE | — | The Equilibrium Interbank Interest Rate |
US CPI | — | U.S. Consumer Price Index |
UK RPI | — | UK Retail Price Index |
WIBOR | — | Warsaw Interbank Offered Rate |
144A | — | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of June 30, 2019, the total market values and percentages of net assets for 144A securities by fund were as follows: |
Fund | Value of 144A Securities | Percentage of Net Assets | ||
Low-Duration Bond | $258,600,569 | 26.74% | ||
Medium-Duration Bond | 271,413,876 | 16.33 | ||
Extended-Duration Bond | 14,999,473 | 6.06 | ||
Global Bond | 107,437,383 | 18.82 | ||
Defensive Market Strategies | 85,392,005 | 7.36 | ||
International Equity Index | 6,291,529 | 0.98 | ||
International Equity | 4,910,262 | 0.40 | ||
Emerging Markets Equity | 11,763,203 | 2.42 | ||
Global Real Estate Fund | 545,947 | 0.23 | ||
Strategic Alternatives | 45,343,231 | 11.23 | ||
INVESTMENT FOOTNOTES: | ||
π | — | Century bond maturing in 2115. |
‡‡ | — | All or a portion of the security was held as collateral for open futures, options, securities sold short and/or swap agreements. |
‡ | — | Security represents underlying investment on open options contracts. |
* | — | Non-income producing security. |
# | — | Security in default. |
§ | — | Security purchased with the cash proceeds from securities loaned. |
^ | — | Variable rate security. Security issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of June 30, 2019. Maturity date for money market instruments is the date of the next interest rate reset. |
γ | — | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
Ω | — | Rate shown reflects the effective yield as of June 30, 2019. |
∞ | — | Affiliated fund. |
Δ | — | Security either partially or fully on loan. |
Σ | — | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
††† | — | Security is a Level 3 investment (see Note 1 in Notes to Schedules of Investments). |
Ø | — | 7-day current yield as of June 30, 2019 is disclosed. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 1 in Notes to Schedules of Investments). As of June 30, 2019, the total market values and percentages of net assets for Fair Valued securities by fund were as follows: |
Fund | Value of Fair Valued Securities | Percentage of Net Assets | ||
Medium-Duration Bond | $2,470,385 | 0.15% | ||
Global Bond | 30,844 | 0.01 | ||
Small Cap Equity | 1,956,000 | 0.34 | ||
International Equity | — | — | ||
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FOREIGN BOND FOOTNOTES: | ||
(A) | — | Par is denominated in Australian Dollars (AUD). |
(B) | — | Par is denominated in Brazilian Reals (BRL). |
(C) | — | Par is denominated in Canadian Dollars (CAD). |
(E) | — | Par is denominated in Euro (EUR). |
(I) | — | Par is denominated in Indonesian Rupiahs (IDR). |
(J) | — | Par is denominated in Japanese Yen (JPY). |
(K) | — | Par is denominated in Norwegian Kroner (NOK). |
(M) | — | Par is denominated in Mexican Pesos (MXN). |
(Q) | — | Par is denominated in Russian Rubles (RUB). |
(S) | — | Par is denominated in South African Rand (ZAR). |
(T) | — | Par is denominated in Turkish Lira (TRY). |
(U) | — | Par is denominated in British Pounds (GBP). |
(X) | — | Par is denominated in Colombian Pesos (COP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
(ZA) | — | Par is denominated in Argentine Pesos (ARS). |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
CITI | — | Counterparty to contract is Citibank NA London. |
CS | — | Counterparty to contract is Credit Suisse International. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
HSBC | — | Counterparty to contract is HSBC Securities. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is West Banc. |
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Shares | Value | |||
MUTUAL FUNDS — 99.8% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 8,139,494 | $8,139,494 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,269,568 | 97,412,206 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 10,921,164 | 164,145,094 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,593,157 | 65,997,502 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 5,356,644 | 70,011,334 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,478,212 | 112,554,948 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 699,208 | 10,942,612 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 6,196,334 | 65,123,471 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,917,641 | 18,601,120 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 552,061 | 5,592,375 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,972,175 | 30,316,185 | ||
Total Mutual Funds (Cost $630,098,987) | 648,836,341 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.0% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $198,177) | $200,000 | $198,367 | ||
TOTAL INVESTMENTS —99.8% (Cost $630,297,164) | 649,034,708 | |||
Other Assets in Excess of Liabilities — 0.2% | 1,151,497 | |||
NET ASSETS — 100.0% | $650,186,205 |
% | ||
Fixed Income Select Funds | 51.5 | |
U.S. Equity Select Funds | 29.8 | |
Non-U.S. Equity Select Funds | 12.9 | |
Alternative Select Funds | 4.7 | |
Real Return Select Funds | 0.9 | |
U.S. Treasury Obligation | — | ** |
99.8 |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 28 | $3,583,125 | $77,169 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 11 | 1,057,815 | 29,895 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 5 | 263,350 | 9,645 | ||||
S&P 500® E-Mini | 09/2019 | 7 | 1,030,470 | 15,997 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $5,934,760 | $132,706 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $648,836,341 | $648,836,341 | $— | $— | |||
U.S. Treasury Obligation | 198,367 | — | 198,367 | — | |||
Total Assets - Investments in Securities | $649,034,708 | $648,836,341 | $198,367 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $132,706 | $132,706 | $— | $— | |||
Total Assets - Other Financial Instruments | $132,706 | $132,706 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 25,355,186 | $25,355,186 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 4,878,258 | 65,368,663 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 22,032,680 | 331,151,181 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 9,935,434 | 99,453,699 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 10,986,659 | 143,595,636 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,854,330 | 318,886,125 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,041,981 | 31,956,995 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,542,714 | 184,373,925 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,329,836 | 51,699,407 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,450,141 | 14,689,930 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,316,727 | 33,830,620 | ||
Total Mutual Funds (Cost $1,256,888,196) | 1,300,361,367 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.0% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $594,530) | $600,000 | $595,102 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,257,482,726) | 1,300,956,469 | |||
Liabilities in Excess of Other Assets — (0.0)% | (280,400) | |||
NET ASSETS — 100.0% | $1,300,676,069 |
% | ||
Fixed Income Select Funds | 40.1 | |
U.S. Equity Select Funds | 38.0 | |
Non-U.S. Equity Select Funds | 18.2 | |
Alternative Select Funds | 2.6 | |
Real Return Select Funds | 1.1 | |
U.S. Treasury Obligation | — | ** |
100.0 |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 79 | $10,109,531 | $174,623 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 42 | 4,038,930 | 114,134 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 20 | 1,053,400 | 38,194 | ||||
S&P 500® E-Mini | 09/2019 | 56 | 8,243,760 | 113,611 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $23,445,621 | $440,562 | ||||||
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,300,361,367 | $1,300,361,367 | $— | $— | |||
U.S. Treasury Obligation | 595,102 | — | 595,102 | — | |||
Total Assets - Investments in Securities | $1,300,956,469 | $1,300,361,367 | $595,102 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $440,562 | $440,562 | $— | $— | |||
Total Assets - Other Financial Instruments | $440,562 | $440,562 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 17,875,996 | $17,875,996 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 9,300,022 | 139,779,335 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,497,961 | 35,014,589 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 3,654,870 | 47,769,148 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,454,951 | 305,962,200 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,978,052 | 30,956,521 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 16,680,665 | 175,313,792 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,169,767 | 50,146,738 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,198,392 | 12,139,715 | ||
Total Mutual Funds (Cost $784,661,950) | 814,958,034 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.31%, Ω‡‡ (Cost $743,163) | $750,000 | $743,878 | ||
TOTAL INVESTMENTS —100.0% (Cost $785,405,113) | 815,701,912 | |||
Liabilities in Excess of Other Assets — (0.0)% | (36,246) | |||
NET ASSETS — 100.0% | $815,665,666 |
% | |
U.S. Equity Select Funds | 47.2 |
Non-U.S. Equity Select Funds | 27.6 |
Fixed Income Select Funds | 23.6 |
Real Return Select Funds | 1.5 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 31 | $3,967,031 | $ 73,375 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 40 | 3,846,600 | 108,600 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 24 | 1,264,080 | 45,765 | ||||
S&P 500® E-Mini | 09/2019 | 56 | 8,243,760 | 127,979 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $17,321,471 | $355,719 | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $814,958,034 | $814,958,034 | $— | $— | |||
U.S. Treasury Obligation | 743,878 | — | 743,878 | — | |||
Total Assets - Investments in Securities | $815,701,912 | $814,958,034 | $743,878 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $355,719 | $355,719 | $— | $— | |||
Total Assets - Other Financial Instruments | $355,719 | $355,719 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 13,975,328 | $13,975,328 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 3,244,543 | 48,765,472 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,211,299 | 12,125,102 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,275,283 | 29,737,947 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,401,778 | 271,881,548 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,750,841 | 27,400,668 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 14,824,669 | 155,807,267 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 4,592,443 | 44,546,698 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,039,039 | 10,525,464 | ||
Total Mutual Funds (Cost $590,378,227) | 614,765,494 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $644,074) | $650,000 | $644,694 | ||
TOTAL INVESTMENTS —100.0% (Cost $591,022,301) | 615,410,188 | |||
Other Assets in Excess of Liabilities — 0.0% | 292,985 | |||
NET ASSETS — 100.0% | $615,703,173 |
% | |
U.S. Equity Select Funds | 53.5 |
Non-U.S. Equity Select Funds | 32.5 |
Fixed Income Select Funds | 12.2 |
Real Return Select Funds | 1.7 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 11 | $1,407,656 | $30,317 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 42 | 4,038,930 | 114,134 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 22 | 1,158,740 | 41,923 | ||||
S&P 500® E-Mini | 09/2019 | 50 | 7,360,500 | 114,265 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $13,965,826 | $300,639 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $614,765,494 | $614,765,494 | $— | $— | |||
U.S. Treasury Obligation | 644,694 | — | 644,694 | — | |||
Total Assets - Investments in Securities | $615,410,188 | $614,765,494 | $644,694 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $300,639 | $300,639 | $— | $— | |||
Total Assets - Other Financial Instruments | $300,639 | $300,639 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.8% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 4,196,904 | $4,196,904 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 658,551 | 9,898,026 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 246,805 | 2,470,516 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 674,995 | 8,822,188 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,547,815 | 82,447,283 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 528,283 | 8,267,634 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 4,506,421 | 47,362,489 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,384,581 | 13,430,432 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 318,652 | 3,227,941 | ||
Total Mutual Funds (Cost $175,312,670) | 180,123,413 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.45%, 07/25/19Ω‡‡ (Cost $199,677) | $200,000 | $199,741 | ||
TOTAL INVESTMENTS —99.9% (Cost $175,512,347) | 180,323,154 | |||
Other Assets in Excess of Liabilities — 0.1% | 143,265 | |||
NET ASSETS — 100.0% | $180,466,419 |
% | |
U.S. Equity Select Funds | 55.2 |
Non-U.S. Equity Select Funds | 33.6 |
Fixed Income Select Funds | 9.2 |
Real Return Select Funds | 1.8 |
U.S. Treasury Obligation | 0.1 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 2 | $255,938 | $5,512 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 11 | 1,057,815 | 29,895 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 6 | 316,020 | 11,561 | ||||
S&P 500® E-Mini | 09/2019 | 16 | 2,355,360 | 33,145 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $3,985,133 | $80,113 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $180,123,413 | $180,123,413 | $— | $— | |||
U.S. Treasury Obligation | 199,741 | — | 199,741 | — | |||
Total Assets - Investments in Securities | $180,323,154 | $180,123,413 | $199,741 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $80,113 | $80,113 | $— | $— | |||
Total Assets - Other Financial Instruments | $80,113 | $80,113 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $198,367 | $595,102 | |
Investments in securities of affiliated issuers, at value | 648,836,341 | 1,300,361,367 | |
Total investments, at value(1) | 649,034,708 | 1,300,956,469 | |
Receivables: | |||
Dividends | 13,797 | 41,570 | |
Interest | — | 99 | |
From advisor | — | — | |
Fund shares sold | 1,340,293 | 385,760 | |
Variation margin on futures contracts | 10,135 | 54,497 | |
Prepaid expenses and other assets | 40,176 | 50,605 | |
Total Assets | 650,439,109 | 1,301,489,000 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 42,826 | 434,099 | |
Accrued expenses: | |||
Investment advisory fees | 52,768 | 104,984 | |
Shareholder servicing fees | 109,282 | 205,674 | |
Other expenses | 48,028 | 68,174 | |
Total Liabilities | 252,904 | 812,931 | |
Net Assets | $650,186,205 | $1,300,676,069 | |
Net Assets Consist of: | |||
Paid-in-capital | $619,448,474 | $1,233,891,212 | |
Distributable earnings (loss) | 30,737,731 | 66,784,857 | |
Net Assets | $650,186,205 | $1,300,676,069 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $112,609,309 | $282,092,673 | |
Institutional shares outstanding | 10,894,227 | 27,563,997 | |
Net asset value, offering and redemption price per Institutional share | $10.34 | $10.23 | |
Net assets applicable to the Investor Class | $537,576,896 | $1,018,583,396 | |
Investor shares outstanding | 52,044,023 | 99,528,932 | |
Net asset value, offering and redemption price per Investor share | $10.33 | $10.23 | |
(1)Investments in securities of unaffiliated issuers, at cost | $198,177 | $594,530 | |
Investments in securities of affiliated issuers, at cost | 630,098,987 | 1,256,888,196 | |
Total investments, at cost | $630,297,164 | $1,257,482,726 |
Table of Contents
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$743,878 | $644,694 | $199,741 | ||
814,958,034 | 614,765,494 | 180,123,413 | ||
815,701,912 | 615,410,188 | 180,323,154 | ||
31,698 | 24,825 | 7,164 | ||
68 | 244 | 90 | ||
— | — | 4,738 | ||
220,724 | 400,870 | 192,114 | ||
54,169 | 50,784 | 15,172 | ||
5,377 | 2,585 | 4,561 | ||
816,013,948 | 615,889,496 | 180,546,993 | ||
111,644 | 9,273 | 7,247 | ||
65,500 | 49,325 | 14,377 | ||
123,873 | 86,780 | 24,549 | ||
47,265 | 40,945 | 34,401 | ||
348,282 | 186,323 | 80,574 | ||
$815,665,666 | $615,703,173 | $180,466,419 | ||
$772,429,766 | $581,772,803 | $171,154,851 | ||
43,235,900 | 33,930,370 | 9,311,568 | ||
$815,665,666 | $615,703,173 | $180,466,419 | ||
$198,457,557 | $182,340,894 | $57,168,832 | ||
20,107,308 | 19,278,863 | 4,310,282 | ||
$9.87 | $9.46 | $13.26 | ||
$617,208,109 | $433,362,279 | $123,297,587 | ||
62,582,902 | 45,880,613 | 9,313,718 | ||
$9.86 | $9.45 | $13.24 | ||
$743,163 | $644,074 | $199,677 | ||
784,661,950 | 590,378,227 | 175,312,670 | ||
$785,405,113 | $591,022,301 | $175,512,347 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
MyDestination 2015 Fund | |
Investment Income | |
Income distributions received from affiliated funds | $5,760,893 |
Interest | 3,130 |
Total Investment Income | 5,764,023 |
Expenses | |
Investment advisory fees | 314,188 |
Transfer agent fees: | |
Institutional shares | 2,064 |
Investor shares | 11,097 |
Custodian fees | 13,931 |
Shareholder servicing fees: | |
Investor shares | 648,875 |
Accounting and administration fees | 13,869 |
Professional fees | 23,940 |
Blue sky fees: | |
Institutional shares | 5,361 |
Investor shares | 8,706 |
Shareholder reporting fees: | |
Institutional shares | 355 |
Investor shares | 5,909 |
Trustees expenses | 2,700 |
Line of credit facility fees and interest expense | 2,139 |
Other expenses | 17,189 |
Total Expenses | 1,070,323 |
Expenses waived/reimbursed net of amount recaptured(1) | (222,872) |
Net Expenses | 847,451 |
Net Investment Income | 4,916,572 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 524,453 |
Net realized gain on investment securities of affiliated issuers | 2,584,749 |
Net realized gain on futures transactions | 411,537 |
Net realized gain | 3,520,739 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 50,329,450 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 131 |
Change in unrealized appreciation (depreciation) on futures | 168,546 |
Net change in unrealized appreciation (depreciation) | 50,498,127 |
Net Realized and Unrealized Gain | 54,018,866 |
Net Increase in Net Assets Resulting from Operations | $58,935,438 |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$10,432,103 | $5,486,628 | $3,534,630 | $987,870 | |||
6,220 | 6,812 | 4,985 | — | |||
10,438,323 | 5,493,440 | 3,539,615 | 987,870 | |||
614,546 | 381,900 | 288,395 | 85,161 | |||
2,238 | 2,260 | 2,315 | 2,258 | |||
15,578 | 10,645 | 9,618 | 7,825 | |||
16,856 | 15,018 | 13,989 | 13,692 | |||
1,197,813 | 714,590 | 499,724 | 137,454 | |||
27,129 | 16,860 | 12,732 | 3,760 | |||
23,941 | 23,940 | 23,941 | 23,939 | |||
6,167 | 4,156 | 4,064 | 5,741 | |||
5,144 | 4,994 | 4,739 | 1,820 | |||
861 | 880 | 668 | 640 | |||
8,993 | 5,431 | 4,091 | 1,854 | |||
5,079 | 3,245 | 2,503 | 1,283 | |||
3,119 | 1,711 | 1,352 | 722 | |||
27,866 | 25,427 | 20,997 | 15,009 | |||
1,955,330 | 1,211,057 | 889,128 | 301,158 | |||
(241,884) | (16,344) | (7,270) | (40,832) | |||
1,713,446 | 1,194,713 | 881,858 | 260,326 | |||
8,724,877 | 4,298,727 | 2,657,757 | 727,544 | |||
1,168,102 | 595,693 | 456,973 | 136,651 | |||
4,665,949 | 2,067,947 | 1,501,300 | 2,274,378 | |||
1,262,601 | 1,280,779 | 1,154,207 | 453,073 | |||
7,096,652 | 3,944,419 | 3,112,480 | 2,864,102 | |||
118,465,474 | 89,203,670 | 72,790,320 | 19,731,827 | |||
425 | 509 | 458 | 70 | |||
671,665 | 686,436 | 623,323 | 145,312 | |||
119,137,564 | 89,890,615 | 73,414,101 | 19,877,209 | |||
126,234,216 | 93,835,034 | 76,526,581 | 22,741,311 | |||
$134,959,093 | $98,133,761 | $79,184,338 | $23,468,855 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $4,916,572 | $10,846,431 | $8,724,877 | $18,066,593 | |||
Net realized gain on investment securities and futures transactions | 3,520,739 | 17,611,538 | 7,096,652 | 43,698,728 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 50,498,127 | (50,445,913) | 119,137,564 | (120,607,296) | |||
Net increase (decrease) in net assets resulting from operations | 58,935,438 | (21,987,944) | 134,959,093 | (58,841,975) | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (6,604,455) | — | (16,350,338) | |||
Investor shares | — | (30,285,425) | — | (55,692,414) | |||
Total distributions | — | (36,889,880) | — | (72,042,752) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 9,551,959 | 16,426,731 | 25,391,626 | 56,134,192 | |||
Investor shares | 24,138,511 | 78,979,838 | 50,684,001 | 112,982,675 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 6,604,455 | — | 16,350,338 | |||
Investor shares | — | 30,278,786 | — | 55,690,937 | |||
Total proceeds from shares sold and reinvested | 33,690,470 | 132,289,810 | 76,075,627 | 241,158,142 | |||
Value of shares redeemed | |||||||
Institutional shares | (11,610,175) | (17,508,898) | (23,432,732) | (15,193,743) | |||
Investor shares | (31,339,163) | (85,707,539) | (25,281,767) | (57,333,646) | |||
Total value of shares redeemed | (42,949,338) | (103,216,437) | (48,714,499) | (72,527,389) | |||
Net increase (decrease) from capital share transactions(1) | (9,258,868) | 29,073,373 | 27,361,128 | 168,630,753 | |||
Total increase (decrease) in net assets | 49,676,570 | (29,804,451) | 162,320,221 | 37,746,026 | |||
Net Assets: | |||||||
Beginning of Period | 600,509,635 | 630,314,086 | 1,138,355,848 | 1,100,609,822 | |||
End of Period | $650,186,205 | $600,509,635 | $1,300,676,069 | $1,138,355,848 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$4,298,727 | $9,161,754 | $2,657,757 | $6,153,336 | $727,544 | $1,647,212 | |||||
3,944,419 | 33,087,247 | 3,112,480 | 30,163,206 | 2,864,102 | 9,328,162 | |||||
89,890,615 | (93,205,222) | 73,414,101 | (80,537,920) | 19,877,209 | (24,338,304) | |||||
98,133,761 | (50,956,221) | 79,184,338 | (44,221,378) | 23,468,855 | (13,362,930) | |||||
— | (12,321,756) | — | (12,439,781) | — | (4,137,262) | |||||
— | (35,422,853) | — | (26,848,548) | — | (7,020,293) | |||||
— | (47,744,609) | — | (39,288,329) | — | (11,157,555) | |||||
18,360,806 | 42,767,692 | 14,375,356 | 35,535,113 | 10,059,877 | 23,647,962 | |||||
38,833,294 | 74,504,056 | 29,072,156 | 56,272,089 | 17,460,384 | 30,548,502 | |||||
— | 12,321,756 | — | 12,439,781 | — | 4,137,262 | |||||
— | 35,422,853 | — | 26,848,548 | — | 7,020,226 | |||||
57,194,100 | 165,016,357 | 43,447,512 | 131,095,531 | 27,520,261 | 65,353,952 | |||||
(18,259,177) | (8,920,967) | (17,052,500) | (6,748,975) | (15,552,660) | (2,598,836) | |||||
(9,645,994) | (20,380,091) | (7,452,785) | (12,750,653) | (3,688,145) | (5,701,187) | |||||
(27,905,171) | (29,301,058) | (24,505,285) | (19,499,628) | (19,240,805) | (8,300,023) | |||||
29,288,929 | 135,715,299 | 18,942,227 | 111,595,903 | 8,279,456 | 57,053,929 | |||||
127,422,690 | 37,014,469 | 98,126,565 | 28,086,196 | 31,748,311 | 32,533,444 | |||||
688,242,976 | 651,228,507 | 517,576,608 | 489,490,412 | 148,718,108 | 116,184,664 | |||||
$815,665,666 | $688,242,976 | $615,703,173 | $517,576,608 | $180,466,419 | $148,718,108 |
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net(1)(3) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $9.40 | $0.09 | $0.85 | $0.94 | $— | $— | $— | $10.34 | 10.00% | $112,609 | 0.06% | 0.14% | 1.76% | 3% |
2018 | 10.37 | 0.20 | (0.54) | (0.34) | (0.38) | (0.25) | (0.63) | 9.40 | (3.33) | 104,300 | 0.13 | 0.15 | 1.91 | 32 |
2017(6) | 9.97 | 0.12 | 0.58 | 0.70 | (0.06) | (0.24) | (0.30) | 10.37 | 6.99 | 108,975 | 0.16 | 0.16 | 1.78 | 17 |
Investor Class | ||||||||||||||
2019(5) | $9.40 | $0.08 | $0.85 | $0.93 | $— | $— | $— | $10.33 | 9.89% | $537,577 | 0.31% | 0.38% | 1.52% | 3% |
2018 | 10.38 | 0.17 | (0.55) | (0.38) | (0.35) | (0.25) | (0.60) | 9.40 | (3.66) | 496,209 | 0.37 | 0.39 | 1.67 | 32 |
2017 | 9.54 | 0.12 | 1.00 | 1.12 | (0.04) | (0.24) | (0.28) | 10.38 | 11.67 | 521,339 | 0.38 | 0.39 | 1.21 | 17 |
2016 | 9.19 | 0.16 | 0.48 | 0.64 | (0.11) | (0.18) | (0.29) | 9.54 | 6.99 | 535,401 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.84 | 0.15 | (0.38) | (0.23) | (0.14) | (1.28) | (1.42) | 9.19 | (2.06) | 479,512 | 0.28 | 0.31 | 1.41 | 108 (7) |
2014 | 10.97 | 0.15 | 0.28 | 0.43 | (0.22) | (0.34) | (0.56) | 10.84 | 3.92 | 480,325 | 0.14 | 0.14 | 1.29 | 6 |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $9.15 | $0.08 | $1.00 | $1.08 | $— | $— | $— | $10.23 | 11.80% | $282,093 | 0.09% | 0.12% | 1.60% | 3% |
2018 | 10.25 | 0.18 | (0.66) | (0.48) | (0.28) | (0.34) | (0.62) | 9.15 | (4.64) | 250,202 | 0.12 | 0.13 | 1.80 | 37 |
2017(6) | 9.79 | 0.13 | 0.75 | 0.88 | (0.12) | (0.30) | (0.42) | 10.25 | 9.08 | 222,031 | 0.14 | 0.14 | 1.82 | 15 |
Investor Class | ||||||||||||||
2019(5) | $9.16 | $0.07 | $1.00 | $1.07 | $— | $— | $— | $10.23 | 11.68% | $1,018,583 | 0.33% | 0.37% | 1.37% | 3% |
2018 | 10.26 | 0.15 | (0.65) | (0.50) | (0.26) | (0.34) | (0.60) | 9.16 | (4.87) | 888,153 | 0.36 | 0.38 | 1.51 | 37 |
2017 | 9.28 | 0.11 | 1.27 | 1.38 | (0.10) | (0.30) | (0.40) | 10.26 | 14.92 | 878,579 | 0.38 | 0.38 | 1.12 | 15 |
2016 | 8.88 | 0.16 | 0.55 | 0.71 | (0.09) | (0.22) | (0.31) | 9.28 | 8.01 | 855,171 | 0.35 | 0.39 | 1.70 | 17 |
2015 | 10.66 | 0.16 | (0.48) | (0.32) | (0.13) | (1.33) | (1.46) | 8.88 | (2.91) | 707,698 | 0.28 | 0.31 | 1.46 | 110 (7) |
2014 | 10.80 | 0.14 | 0.28 | 0.42 | (0.22) | (0.34) | (0.56) | 10.66 | 3.88 | 658,695 | 0.14 | 0.14 | 1.23 | 3 |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $8.65 | $0.06 | $1.16 | $1.22 | $— | $— | $— | $9.87 | 14.10% | $198,458 | 0.13% | 0.13% | 1.28% | 2% |
2018 | 9.95 | 0.15 | (0.80) | (0.65) | (0.29) | (0.36) | (0.65) | 8.65 | (6.56) | 173,573 | 0.13 | 0.14 | 1.54 | 50 |
2017(6) | 9.29 | 0.13 | 0.93 | 1.06 | (0.07) | (0.33) | (0.40) | 9.95 | 11.51 | 152,421 | 0.15 | 0.15 | 1.99 | 35 |
Investor Class | ||||||||||||||
2019(5) | $8.65 | $0.05 | $1.16 | $1.21 | $— | $— | $— | $9.86 | 13.99% | $617,208 | 0.38% | 0.38% | 1.07% | 2% |
2018 | 9.96 | 0.12 | (0.80) | (0.68) | (0.27) | (0.36) | (0.63) | 8.65 | (6.89) | 514,670 | 0.38 | 0.39 | 1.25 | 50 |
2017 | 8.72 | 0.11 | 1.51 | 1.62 | (0.05) | (0.33) | (0.38) | 9.96 | 18.66 | 498,807 | 0.38 | 0.39 | 1.16 | 35 |
2016 | 8.36 | 0.14 | 0.57 | 0.71 | (0.07) | (0.28) | (0.35) | 8.72 | 8.38 | 479,051 | 0.35 | 0.40 | 1.65 | 16 |
2015 | 10.49 | 0.15 | (0.62) | (0.47) | (0.12) | (1.54) | (1.66) | 8.36 | (4.30) | 391,279 | 0.28 | 0.32 | 1.41 | 120 (7) |
2014 | 10.79 | 0.12 | 0.17 | 0.29 | (0.19) | (0.40) | (0.59) | 10.49 | 2.70 | 358,812 | 0.15 | 0.15 | 1.10 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.43%, 0.41%, 0.36%, 0.35% and 0.35%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(5) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(7) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net(1)(3) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $8.21 | $0.05 | $1.20 | $1.25 | $— | $— | $— | $9.46 | 15.23% | $182,341 | 0.13% | 0.13% | 1.06% | 3% |
2018 | 9.60 | 0.13 | (0.84) | (0.71) | (0.26) | (0.42) | (0.68) | 8.21 | (7.50) | 160,533 | 0.14 | 0.15 | 1.36 | 58 |
2017(6) | 8.90 | 0.13 | 1.01 | 1.14 | (0.07) | (0.37) | (0.44) | 9.60 | 12.85 | 145,343 | 0.16 | 0.16 | 1.99 | 10 |
Investor Class | ||||||||||||||
2019(5) | $8.21 | $0.04 | $1.20 | $1.24 | $— | $— | $— | $9.45 | 15.10% | $433,362 | 0.38% | 0.39% | 0.86% | 3% |
2018 | 9.60 | 0.10 | (0.83) | (0.73) | (0.24) | (0.42) | (0.66) | 8.21 | (7.73) | 357,044 | 0.39 | 0.40 | 1.08 | 58 |
2017 | 8.29 | 0.10 | 1.63 | 1.73 | (0.05) | (0.37) | (0.42) | 9.60 | 20.90 | 344,147 | 0.38 | 0.40 | 1.06 | 10 |
2016 | 7.95 | 0.12 | 0.56 | 0.68 | (0.04) | (0.30) | (0.34) | 8.29 | 8.45 | 354,271 | 0.35 | 0.41 | 1.50 | 16 |
2015 | 10.00 | 0.12 | (0.59) | (0.47) | (0.09) | (1.49) | (1.58) | 7.95 | (4.46) | 281,718 | 0.29 | 0.34 | 1.22 | 124 (7) |
2014 | 10.37 | 0.10 | 0.13 | 0.23 | (0.17) | (0.43) | (0.60) | 10.00 | 2.23 | 253,395 | 0.20 | 0.17 | 0.92 | 4 |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $11.48 | $0.06 | $1.72 | $1.78 | $— | $— | $— | $13.26 | 15.51% | $57,169 | 0.15% | 0.20% | 0.91% | 9% |
2018 | 13.45 | 0.19 | (1.23) | (1.04) | (0.31) | (0.62) | (0.93) | 11.48 | (7.77) | 54,326 | 0.18 | 0.24 | 1.40 | 62 |
2017(6) | 12.43 | 0.18 | 1.47 | 1.65 | (0.02) | (0.61) | (0.63) | 13.45 | 13.33 | 38,161 | 0.20 | 0.33 | 2.04 | 9 |
Investor Class | ||||||||||||||
2019(5) | $11.47 | $0.01 | $1.76 | $1.77 | $— | $— | $— | $13.24 | 15.43% | $123,298 | 0.39% | 0.44% | 0.82% | 9% |
2018 | 13.45 | 0.15 | (1.22) | (1.07) | (0.29) | (0.62) | (0.91) | 11.47 | (8.02) | 94,392 | 0.39 | 0.49 | 1.08 | 62 |
2017 | 11.56 | 0.14 | 2.37 | 2.51 | (0.01) | (0.61) | (0.62) | 13.45 | 21.73 | 78,024 | 0.38 | 0.55 | 1.12 | 9 |
2016 | 11.05 | 0.18 | 0.80 | 0.98 | (0.13) | (0.34) | (0.47) | 11.56 | 8.81 | 62,973 | 0.35 | 0.65 | 1.62 | 27 |
2015 | 12.60 | 0.16 | (0.73) | (0.57) | (0.13) | (0.85) | (0.98) | 11.05 | (4.48) | 38,465 | 0.30 | 0.65 | 1.29 | 124 (7) |
2014 | 12.95 | 0.14 | 0.15 | 0.29 | (0.21) | (0.43) | (0.64) | 12.60 | 2.25 | 27,813 | 0.20 | 0.62 | 1.02 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.43%, 0.41%, 0.36%, 0.35% and 0.35%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(5) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | Inception date was May 1, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(7) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 6,242,281 | $6,242,281 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 18,313,546 | 245,401,515 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,440,015 | 66,733,420 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,674,467 | 16,761,411 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,931,987 | 38,321,073 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,548,029 | 30,031,762 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,136,187 | 29,824,902 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 377,645 | 5,910,141 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,532,708 | 34,267,541 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,032,587 | 10,016,096 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 593,956 | 6,016,776 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,468,262 | 25,176,276 | ||
Total Mutual Funds (Cost $509,880,551) | 514,703,194 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.0% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $99,088) | $100,000 | $99,184 | ||
TOTAL INVESTMENTS —100.0% (Cost $509,979,639) | 514,802,378 | |||
Liabilities in Excess of Other Assets — (0.0)% | (94,782) | |||
NET ASSETS — 100.0% | $514,707,596 |
% | ||
Fixed Income Select Funds | 65.2 | |
U.S. Equity Select Funds | 20.1 | |
Non-U.S. Equity Select Funds | 8.6 | |
Alternative Select Funds | 4.9 | |
Real Return Select Funds | 1.2 | |
U.S. Treasury Obligation | — | ** |
100.0 |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2019 | 5 | $480,825 | $13,646 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 4 | 210,680 | 7,720 | ||||
S&P 500® E-Mini | 09/2019 | 7 | 1,030,470 | 15,997 | ||||
2-Year U.S. Treasury Note | 09/2019 | 27 | 5,809,852 | 18,731 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $7,531,827 | $56,094 | ||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $514,703,194 | $514,703,194 | $— | $— | |||
U.S. Treasury Obligation | 99,184 | — | 99,184 | — | |||
Total Assets - Investments in Securities | $514,802,378 | $514,703,194 | $99,184 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $56,094 | $56,094 | $— | $— | |||
Total Assets - Other Financial Instruments | $56,094 | $56,094 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 33,981,819 | $33,981,820 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,287,900 | 97,657,860 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 24,522,446 | 368,572,370 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 3,704,950 | 66,948,444 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,340,900 | 133,542,408 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 12,346,707 | 161,371,459 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 8,741,779 | 169,590,503 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 6,477,798 | 170,042,191 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,085,801 | 32,642,793 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 14,331,705 | 193,907,970 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,615,578 | 54,471,108 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,162,662 | 32,037,764 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 5,937,089 | 60,558,310 | ||
Total Mutual Funds (Cost $1,575,471,493) | 1,575,325,000 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.0% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $1,089,972) | $1,100,000 | $1,091,021 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,576,561,465) | 1,576,416,021 | |||
Liabilities in Excess of Other Assets — (0.0)% | (633,680) | |||
NET ASSETS — 100.0% | $1,575,782,341 |
% | ||
Fixed Income Select Funds | 44.5 | |
U.S. Equity Select Funds | 33.9 | |
Non-U.S. Equity Select Funds | 15.8 | |
Alternative Select Funds | 3.8 | |
Real Return Select Funds | 2.0 | |
U.S. Treasury Obligation | — | ** |
100.0 |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 30 | $3,839,062 | $82,682 | ||||
U.S. Treasury Long Bond | 09/2019 | 22 | 3,423,063 | 115,657 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 54 | 5,192,910 | 146,731 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 37 | 1,948,790 | 70,475 | ||||
S&P 500® E-Mini | 09/2019 | 72 | 10,599,120 | 164,542 | ||||
5-Year U.S. Treasury Note | 09/2019 | 43 | 5,080,719 | 73,727 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $30,083,664 | $653,814 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,575,325,000 | $1,575,325,000 | $— | $— | |||
U.S. Treasury Obligation | 1,091,021 | — | 1,091,021 | — | |||
Total Assets - Investments in Securities | $1,576,416,021 | $1,575,325,000 | $1,091,021 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $653,814 | $653,814 | $— | $— | |||
Total Assets - Other Financial Instruments | $653,814 | $653,814 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.9% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 28,308,380 | $28,308,380 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 2,564,496 | 34,364,242 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,439,422 | 126,844,508 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 1,255,654 | 22,689,675 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,567,421 | 45,719,881 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,239,266 | 55,407,204 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 11,721,401 | 227,395,188 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 8,633,823 | 226,637,852 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,796,680 | 43,768,038 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 19,041,143 | 257,626,668 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,435,574 | 72,125,069 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,531,929 | 35,778,439 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,867,197 | 29,245,406 | ||
Total Mutual Funds (Cost $1,237,651,305) | 1,205,910,550 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $1,486,326) | $1,500,000 | $1,487,756 | ||
TOTAL INVESTMENTS —100.0% (Cost $1,239,137,631) | 1,207,398,306 | |||
Liabilities in Excess of Other Assets — (0.0)% | (66,702) | |||
NET ASSETS — 100.0% | $1,207,331,604 |
% | |
U.S. Equity Select Funds | 45.8 |
Non-U.S. Equity Select Funds | 27.3 |
Fixed Income Select Funds | 21.4 |
Real Return Select Funds | 3.0 |
Alternative Select Funds | 2.4 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2019 | 12 | $1,535,625 | $33,084 | ||||
U.S. Treasury Long Bond | 09/2019 | 9 | 1,400,344 | 47,357 | ||||
MSCI EAFE Index E-Mini | 09/2019 | 70 | 6,731,550 | 190,222 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 44 | 2,317,480 | 83,868 | ||||
S&P 500® E-Mini | 09/2019 | 93 | 13,690,530 | 212,534 | ||||
5-Year U.S. Treasury Note | 09/2019 | 21 | 2,481,281 | 36,006 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $28,156,810 | $603,071 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,205,910,550 | $1,205,910,550 | $— | $— | |||
U.S. Treasury Obligation | 1,487,756 | — | 1,487,756 | — | |||
Total Assets - Investments in Securities | $1,207,398,306 | $1,205,910,550 | $1,487,756 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $603,071 | $603,071 | $— | $— | |||
Total Assets - Other Financial Instruments | $603,071 | $603,071 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 99.8% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 17,799,620 | $17,799,620 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 14,363,992 | 278,661,437 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 10,593,835 | 278,088,175 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,454,144 | 54,057,350 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 23,369,424 | 316,188,306 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,027,483 | 87,566,585 | ||
Total Mutual Funds (Cost $1,079,897,958) | 1,032,361,473 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $1,288,149) | $1,300,000 | 1,289,388 | |
TOTAL INVESTMENTS —99.9% (Cost $1,081,186,107) | 1,033,650,861 | ||
Other Assets in Excess of Liabilities — 0.1% | 546,997 | ||
NET ASSETS — 100.0% | $1,034,197,858 |
% | |
U.S. Equity Select Funds | 59.0 |
Non-U.S. Equity Select Funds | 39.1 |
Fixed Income Select Funds | 1.7 |
U.S. Treasury Obligation | 0.1 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2019 | 58 | $5,577,570 | $157,560 | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 30 | 1,580,100 | 57,849 | ||||
S&P 500® E-Mini | 09/2019 | 79 | 11,629,590 | 180,540 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $18,787,260 | $395,949 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,032,361,473 | $1,032,361,473 | $— | $— | |||
U.S. Treasury Obligation | 1,289,388 | — | 1,289,388 | — | |||
Total Assets - Investments in Securities | $1,033,650,861 | $1,032,361,473 | $1,289,388 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $395,949 | $395,949 | $— | $— | |||
Total Assets - Other Financial Instruments | $395,949 | $395,949 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $99,184 | $1,091,021 | $1,487,756 | $1,289,388 | |||
Investments in securities of affiliated issuers, at value | 514,703,194 | 1,575,325,000 | 1,205,910,550 | 1,032,361,473 | |||
Total investments, at value(1) | 514,802,378 | 1,576,416,021 | 1,207,398,306 | 1,033,650,861 | |||
Receivables: | |||||||
Dividends from affiliated funds | 12,020 | 59,551 | 54,880 | 34,610 | |||
Interest | — | 53 | 116 | 52 | |||
Investment securities sold | — | — | — | 1,000,000 | |||
Fund shares sold | 386,502 | 344,689 | 245,833 | 77,021 | |||
Variation margin on futures contracts | 5,460 | 66,992 | 88,755 | 76,325 | |||
Prepaid expenses and other assets | 3,301 | 6,312 | 7,477 | 5,626 | |||
Total Assets | 515,209,661 | 1,576,893,618 | 1,207,795,367 | 1,034,844,495 | |||
Liabilities | |||||||
Cash Overdraft | 97 | — | — | 154,761 | |||
Payables: | |||||||
Fund shares redeemed | 273,917 | 595,923 | 82,304 | 179,970 | |||
Accrued expenses: | |||||||
Investment advisory fees | 41,980 | 127,703 | 97,565 | 83,104 | |||
Shareholder servicing fees | 85,195 | 249,873 | 188,060 | 165,065 | |||
Other expenses | 100,876 | 137,778 | 95,834 | 63,737 | |||
Total Liabilities | 502,065 | 1,111,277 | 463,763 | 646,637 | |||
Net Assets | $514,707,596 | $1,575,782,341 | $1,207,331,604 | $1,034,197,858 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $497,676,783 | $1,517,291,555 | $1,158,715,759 | $982,515,092 | |||
Distributable earnings (loss) | 17,030,813 | 58,490,786 | 48,615,845 | 51,682,766 | |||
Net Assets | $514,707,596 | $1,575,782,341 | $1,207,331,604 | $1,034,197,858 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $96,816,798 | $343,261,649 | $276,730,854 | $212,709,347 | |||
Institutional shares outstanding | 8,292,003 | 27,731,768 | 21,847,260 | 17,012,977 | |||
Net asset value, offering and redemption price per Institutional share | $11.68 | $12.38 | $12.67 | $12.50 | |||
Net assets applicable to the Investor Class | $417,890,798 | $1,232,520,692 | $930,600,750 | $821,488,511 | |||
Investor shares outstanding | 35,838,125 | 99,704,595 | 73,586,005 | 65,985,918 | |||
Net asset value, offering and redemption price per Investor share | $11.66 | $12.36 | $12.65 | $12.45 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $ 99,088 | $1,089,972 | $1,486,326 | $1,288,149 | |||
Investments in securities of affiliated issuers, at cost | 509,880,551 | 1,575,471,493 | 1,237,651,305 | 1,079,897,958 | |||
Total investments, at cost | $509,979,639 | $1,576,561,465 | $1,239,137,631 | $1,081,186,107 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Income distributions received from affiliated funds | $ 4,738,150 | $12,181,113 | $6,217,001 | $2,921,066 | |||
Interest | 1,763 | 12,135 | 15,846 | 16,023 | |||
Total Investment Income | 4,739,913 | 12,193,248 | 6,232,847 | 2,937,089 | |||
Expenses | |||||||
Investment advisory fees | 252,421 | 764,299 | 585,542 | 498,368 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,899 | 2,005 | 1,941 | 1,881 | |||
Investor shares | 16,470 | 27,107 | 19,835 | 16,407 | |||
Custodian fees | 18,500 | 20,838 | 19,024 | 16,117 | |||
Shareholder servicing fees: | |||||||
Investor shares | 516,881 | 1,513,385 | 1,134,962 | 1,001,430 | |||
Accounting and administration fees | 11,142 | 33,737 | 25,847 | 22,000 | |||
Professional fees | 23,975 | 30,650 | 23,906 | 23,977 | |||
Blue sky fees: | |||||||
Institutional shares | 5,708 | 5,631 | 5,705 | 5,060 | |||
Investor shares | 6,058 | 8,117 | 7,686 | 5,933 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 154 | 242 | 270 | 122 | |||
Investor shares | 9,006 | 21,549 | 14,044 | 9,069 | |||
Trustees expenses | 4,049 | 6,405 | 5,051 | 4,383 | |||
Line of credit facility fees and interest expense | 3,169 | 5,143 | 3,689 | 2,885 | |||
Other expenses | 15,858 | 28,279 | 25,226 | 21,860 | |||
Total Expenses | 885,290 | 2,467,387 | 1,872,728 | 1,629,492 | |||
Net Investment Income | 3,854,623 | 9,725,861 | 4,360,119 | 1,307,597 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 646,350 | 3,353,658 | 3,543,279 | 3,960,247 | |||
Net realized loss on investment securities of affiliated issuers | (1,564,727) | (7,095,092) | (8,424,320) | (4,928,365) | |||
Net realized gain on futures transactions | 146,721 | 1,527,545 | 1,066,261 | 1,063,482 | |||
Net realized gain (loss) | (771,656) | (2,213,889) | (3,814,780) | 95,364 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 32,437,074 | 159,957,231 | 158,797,116 | 157,071,200 | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 67 | 814 | 1,180 | 945 | |||
Change in unrealized appreciation (depreciation) on futures | 96,801 | 910,797 | 1,083,961 | 1,072,539 | |||
Net change in unrealized appreciation (depreciation) | 32,533,942 | 160,868,842 | 159,882,257 | 158,144,684 | |||
Net Realized and Unrealized Gain | 31,762,286 | 158,654,953 | 156,067,477 | 158,240,048 | |||
Net Increase in Net Assets Resulting from Operations | $35,616,909 | $168,380,814 | $160,427,596 | $159,547,645 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Conservative Allocation Fund | Balanced Allocation Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,854,623 | $9,281,324 | $9,725,861 | $27,344,795 | |||
Net realized gain (loss) on investment securities and futures transactions | (771,656) | 13,521,251 | (2,213,889) | 75,823,197 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 32,533,942 | (33,102,035) | 160,868,842 | (177,957,127) | |||
Net increase (decrease) in net assets resulting from operations | 35,616,909 | (10,299,460) | 168,380,814 | (74,789,135) | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (2,972,759) | — | (13,477,706) | |||
Investor shares | — | (12,862,446) | — | (49,835,500) | |||
Total distributions | — | (15,835,205) | — | (63,313,206) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 8,143,351 | 16,045,556 | 31,281,459 | 15,120,577 | |||
Investor shares | 22,047,650 | 45,071,229 | 21,211,402 | 45,373,813 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 2,959,667 | — | 13,403,701 | |||
Investor shares | — | 12,839,159 | — | 49,814,872 | |||
Total proceeds from shares sold and reinvested | 30,191,001 | 76,915,611 | 52,492,861 | 123,712,963 | |||
Value of shares redeemed | |||||||
Institutional shares | (5,228,241) | (12,430,684) | (19,573,563) | (38,100,646) | |||
Investor shares | (38,792,345) | (58,396,787) | (86,986,461) | (100,441,597) | |||
Total value of shares redeemed | (44,020,586) | (70,827,471) | (106,560,024) | (138,542,243) | |||
Net increase (decrease) from capital share transactions(1) | (13,829,585) | 6,088,140 | (54,067,163) | (14,829,280) | |||
Total increase (decrease) in net assets | 21,787,324 | (20,046,525) | 114,313,651 | (152,931,621) | |||
Net Assets: | |||||||
Beginning of Period | 492,920,272 | 512,966,797 | 1,461,468,690 | 1,614,400,311 | |||
End of Period | $514,707,596 | $492,920,272 | $1,575,782,341 | $1,461,468,690 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | |||
(Unaudited) | (Unaudited) | |||||
$4,360,119 | $17,243,746 | $1,307,597 | $10,350,533 | |||
(3,814,780) | 98,545,323 | 95,364 | 113,880,286 | |||
159,882,257 | (205,234,045) | 158,144,684 | (226,239,328) | |||
160,427,596 | (89,444,976) | 159,547,645 | (102,008,509) | |||
— | (10,661,534) | — | (6,776,974) | |||
— | (34,763,236) | — | (28,239,358) | |||
— | (45,424,770) | — | (35,016,332) | |||
10,589,874 | 7,299,692 | 25,441,067 | 5,814,021 | |||
19,006,731 | 33,074,873 | 12,159,488 | 26,325,550 | |||
— | 10,644,712 | — | 6,774,126 | |||
— | 34,754,218 | — | 28,234,382 | |||
29,596,605 | 85,773,495 | 37,600,555 | 67,148,079 | |||
(14,976,199) | (22,129,719) | (10,241,809) | (16,481,653) | |||
(65,339,577) | (83,535,607) | (62,133,301) | (64,716,255) | |||
(80,315,776) | (105,665,326) | (72,375,110) | (81,197,908) | |||
(50,719,171) | (19,891,831) | (34,774,555) | (14,049,829) | |||
109,708,425 | (154,761,577) | 124,773,090 | (151,074,670) | |||
1,097,623,179 | 1,252,384,756 | 909,424,768 | 1,060,499,438 | |||
$1,207,331,604 | $1,097,623,179 | $1,034,197,858 | $909,424,768 |
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net(1)(3) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $10.87 | $0.10 | $0.71 | $0.81 | $— | $— | $— | $11.68 | 7.45% | $96,817 | 0.15% | 0.15% | 1.75% | 3% |
2018 | 11.47 | 0.23 | (0.45) | (0.22) | (0.37) | (0.01) | (0.38) | 10.87 | (1.90) | 87,409 | 0.17 | 0.17 | 2.01 | 12 |
2017 | 10.88 | 0.16 | 0.64 | 0.80 | (0.05) | (0.16) | (0.21) | 11.47 | 7.33 | 85,482 | 0.19 | 0.19 | 1.40 | 19 |
2016 | 10.62 | 0.18 | 0.35 | 0.53 | (0.13) | (0.14) | (0.27) | 10.88 | 5.07 | 75,333 | 0.14 | 0.15 | 1.61 | 5 |
2015(6) | 11.51 | 0.05 | (0.17) | (0.12) | (0.12) | (0.65) | (0.77) | 10.62 | (0.99) | 70,895 | 0.18 | 0.20 | 4.36 | 92 (7) |
Investor Class | ||||||||||||||
2019(5) | $10.87 | $0.08 | $0.71 | $0.79 | $— | $— | $— | $11.66 | 7.27% | $417,891 | 0.40% | 0.40% | 1.48% | 3% |
2018 | 11.47 | 0.20 | (0.44) | (0.24) | (0.35) | (0.01) | (0.36) | 10.87 | (2.13) | 405,512 | 0.40 | 0.40 | 1.76 | 12 |
2017 | 10.88 | 0.13 | 0.64 | 0.77 | (0.02) | (0.16) | (0.18) | 11.47 | 7.11 | 427,485 | 0.42 | 0.42 | 1.19 | 19 |
2016 | 10.62 | 0.15 | 0.36 | 0.51 | (0.11) | (0.14) | (0.25) | 10.88 | 4.82 | 306,300 | 0.39 | 0.42 | 1.36 | 5 |
2015 | 11.59 | 0.14 | (0.34) | (0.20) | (0.12) | (0.65) | (0.77) | 10.62 | (1.69) | 294,997 | 0.27 | 0.33 | 1.22 | 92 (7) |
2014 | 11.84 | 0.14 | 0.02 | 0.16 | (0.19) | (0.22) | (0.41) | 11.59 | 1.40 | 311,438 | 0.12 | 0.16 | 1.17 | 20 |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $11.07 | $0.08 | $1.23 | $1.31 | $— | $— | $— | $12.38 | 11.83% | $343,262 | 0.12% | 0.12% | 1.45% | 2% |
2018 | 12.16 | 0.23 | (0.80) | (0.57) | (0.49) | (0.03) | (0.52) | 11.07 | (4.63) | 296,530 | 0.13 | 0.13 | 1.93 | 13 |
2017 | 11.09 | 0.19 | 1.20 | 1.39 | (0.16) | (0.16) | (0.32) | 12.16 | 12.57 | 334,114 | 0.12 | 0.13 | 1.57 | 19 |
2016 | 10.70 | 0.22 | 0.56 | 0.78 | (0.08) | (0.31) | (0.39) | 11.09 | 7.27 | 326,164 | 0.11 | 0.13 | 1.97 | 4 |
2015(6) | 12.67 | 0.09 | (0.32) | (0.23) | (0.16) | (1.58) | (1.74) | 10.70 | (1.73) | 332,327 | 0.12 | 0.14 | 7.28 | 95 (7) |
Investor Class | ||||||||||||||
2019(5) | $11.07 | $0.07 | $1.22 | $1.29 | $— | $— | $— | $12.36 | 11.65% | $1,232,521 | 0.38% | 0.38% | 1.21% | 2% |
2018 | 12.16 | 0.20 | (0.80) | (0.60) | (0.46) | (0.03) | (0.49) | 11.07 | (4.89) | 1,164,939 | 0.38 | 0.38 | 1.68 | 13 |
2017 | 11.09 | 0.16 | 1.20 | 1.36 | (0.13) | (0.16) | (0.29) | 12.16 | 12.30 | 1,280,286 | 0.37 | 0.38 | 1.34 | 19 |
2016 | 10.70 | 0.19 | 0.56 | 0.75 | (0.05) | (0.31) | (0.36) | 11.09 | 7.00 | 1,156,865 | 0.37 | 0.38 | 1.71 | 4 |
2015 | 12.89 | 0.20 | (0.65) | (0.45) | (0.16) | (1.58) | (1.74) | 10.70 | (3.43) | 1,191,878 | 0.28 | 0.30 | 1.56 | 95 (7) |
2014 | 13.14 | 0.19 | 0.27 | 0.46 | (0.27) | (0.44) | (0.71) | 12.89 | 3.53 | 1,291,859 | 0.12 | 0.13 | 1.38 | 3 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.52%, 0.63%, 0.74% and 0.83%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(5) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(7) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income#(1) | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(2)(3) | Expenses, Gross(2)(4) | Investment Income, Net(1)(3) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $11.02 | $0.06 | $1.59 | $1.65 | $— | $— | $— | $12.67 | 14.97% | $276,731 | 0.12% | 0.12% | 0.95% | 2% |
2018 | 12.43 | 0.20 | (1.11) | (0.91) | (0.46) | (0.04) | (0.50) | 11.02 | (7.32) | 244,900 | 0.13 | 0.13 | 1.60 | 9 |
2017 | 10.97 | 0.17 | 1.90 | 2.07 | (0.11) | (0.50) | (0.61) | 12.43 | 18.94 | 279,148 | 0.13 | 0.13 | 1.38 | 17 |
2016 | 10.83 | 0.19 | 0.61 | 0.80 | (0.10) | (0.56) | (0.66) | 10.97 | 7.34 | 244,873 | 0.12 | 0.13 | 1.72 | 4 |
2015(6) | 13.23 | 0.11 | (0.44) | (0.33) | (0.14) | (1.93) | (2.07) | 10.83 | (2.36) | 247,746 | 0.14 | 0.14 | 8.37 | 97 (7) |
Investor Class | ||||||||||||||
2019(5) | $11.02 | $0.04 | $1.59 | $1.63 | $— | $— | $— | $12.65 | 14.79% | $930,601 | 0.38% | 0.38% | 0.68% | 2% |
2018 | 12.42 | 0.17 | (1.10) | (0.93) | (0.43) | (0.04) | (0.47) | 11.02 | (7.50) | 852,723 | 0.38 | 0.38 | 1.35 | 9 |
2017 | 10.97 | 0.14 | 1.89 | 2.03 | (0.08) | (0.50) | (0.58) | 12.42 | 18.59 | 973,237 | 0.37 | 0.37 | 1.14 | 17 |
2016 | 10.83 | 0.16 | 0.61 | 0.77 | (0.07) | (0.56) | (0.63) | 10.97 | 7.08 | 842,779 | 0.38 | 0.39 | 1.46 | 4 |
2015 | 13.43 | 0.17 | (0.71) | (0.54) | (0.13) | (1.93) | (2.06) | 10.83 | (3.83) | 867,203 | 0.29 | 0.30 | 1.26 | 97 (7) |
2014 | 14.00 | 0.15 | 0.26 | 0.41 | (0.25) | (0.73) | (0.98) | 13.43 | 2.93 | 952,103 | 0.12 | 0.13 | 1.07 | 4 |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(5) | $10.61 | $0.03 | $1.86 | $1.89 | $— | $— | $— | $12.50 | 17.81% | $212,709 | 0.13% | 0.13% | 0.49% | 2% |
2018 | 12.28 | 0.15 | (1.37) | (1.22) | (0.40) | (0.05) | (0.45) | 10.61 | (9.95) | 167,013 | 0.14 | 0.14 | 1.18 | 9 |
2017 | 10.48 | 0.12 | 2.58 | 2.70 | (0.13) | (0.77) | (0.90) | 12.28 | 25.88 | 195,991 | 0.14 | 0.14 | 0.98 | 7 |
2016 | 10.77 | 0.14 | 0.57 | 0.71 | — | (1.00) | (1.00) | 10.48 | 6.55 | 166,293 | 0.13 | 0.13 | 1.28 | 2 |
2015(6) | 14.13 | 0.12 | (0.57) | (0.45) | (0.09) | (2.82) | (2.91) | 10.77 | (2.85) | 169,302 | 0.15 | 0.15 | 8.75 | 103 (7) |
Investor Class | ||||||||||||||
2019(5) | $10.58 | $0.01 | $1.86 | $1.87 | $— | $— | $— | $12.45 | 17.68% | $821,489 | 0.38% | 0.38% | 0.21% | 2% |
2018 | 12.24 | 0.12 | (1.36) | (1.24) | (0.37) | (0.05) | (0.42) | 10.58 | (10.15) | 742,412 | 0.38 | 0.38 | 0.94 | 9 |
2017 | 10.46 | 0.09 | 2.57 | 2.66 | (0.11) | (0.77) | (0.88) | 12.24 | 25.49 | 864,508 | 0.38 | 0.38 | 0.75 | 7 |
2016 | 10.77 | 0.10 | 0.59 | 0.69 | — | (1.00) | (1.00) | 10.46 | 6.38 | 708,104 | 0.39 | 0.39 | 0.96 | 2 |
2015 | 14.06 | 0.12 | (0.50) | (0.38) | (0.09) | (2.82) | (2.91) | 10.77 | (2.39) | 797,043 | 0.29 | 0.30 | 0.85 | 103 (7) |
2014 | 14.82 | 0.12 | 0.39 | 0.51 | (0.23) | (1.04) | (1.27) | 14.06 | 3.38 | 869,726 | 0.12 | 0.13 | 0.79 | 4 |
# | Calculated using the average shares outstanding method. |
(1) | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
(2) | Does not include expenses of the investment companies in which the Fund invests. The estimated acquired fund fees which are incurred directly by the underlying funds for the Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.52%, 0.63%, 0.74% and 0.83%, respectively for 2019, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(4) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(5) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(6) | Inception date was November 23, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(7) | The portfolio turnover rate for the year ended December 31, 2015 reflects rebalancing of holdings in the Funds and is not representative of a change in investment strategy for the Funds. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 56.8% | ||||
Federal Farm Credit Bank | ||||
(Floating, ICE LIBOR USD 1M - 0.08%), 2.32%, 07/30/19† | $5,720,000 | $5,719,721 | ||
(Floating, ICE LIBOR USD 3M - 0.12%), 2.46%, 01/27/20† | 16,100,000 | 16,103,155 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.38%, 02/04/20† | 18,000,000 | 18,000,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.37%, 02/07/20† | 13,700,000 | 13,699,915 | ||
(Floating, ICE LIBOR USD 1M - 0.01%), 2.38%, 06/18/20† | 1,685,000 | 1,684,967 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 2.39%, 06/19/20† | 11,000,000 | 11,004,969 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 2.34%, 08/17/20† | 4,255,000 | 4,255,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 2.37%, 09/11/20† | 5,475,000 | 5,474,804 | ||
(Floating, ICE LIBOR USD 1M + 0.03%), 2.43%, 12/14/20† | 6,300,000 | 6,299,626 | ||
(Floating, U.S. SOFR + 0.11%), 2.61%, 01/15/21† | 4,515,000 | 4,515,000 | ||
(Floating, ICE LIBOR USD 1M + 0.05%), 2.44%, 04/16/21† | 7,620,000 | 7,620,000 | ||
Federal Farm Credit Bank Discount Notes | ||||
2.56%, 07/22/19 | 6,240,000 | 6,230,827 | ||
2.55%, 07/23/19 | 12,250,000 | 12,231,184 | ||
2.46%, 07/25/19 | 4,525,000 | 4,517,670 | ||
2.62%, 07/29/19 | 31,155,000 | 31,092,340 | ||
2.43%, 08/15/19 | 6,560,000 | 6,540,320 | ||
2.65%, 09/12/19 | 4,260,000 | 4,237,454 | ||
2.42%, 10/21/19 | 3,990,000 | 3,960,332 | ||
2.42%, 10/31/19 | 5,335,000 | 5,291,789 | ||
2.50%, 11/20/19 | 3,500,000 | 3,465,900 | ||
2.45%, 01/17/20 | 9,610,000 | 9,480,799 | ||
2.40%, 02/04/20 | 5,880,000 | 5,795,612 | ||
2.37%, 02/21/20 | 6,055,000 | 5,962,115 | ||
2.32%, 03/10/20 | 11,540,000 | 11,354,280 | ||
2.34%, 03/24/20 | 9,480,000 | 9,317,584 | ||
Federal Home Loan Bank | ||||
2.49%, 07/11/19 | 2,250,000 | 2,250,000 | ||
2.48%, 07/15/19 | 5,195,000 | 5,195,000 | ||
(Floating, U.S. SOFR + 0.02%), 2.52%, 07/17/19† | 1,835,000 | 1,835,000 | ||
(Floating, ICE LIBOR USD 1M - 0.11%), 2.29%, 07/19/19† | 19,690,000 | 19,690,000 | ||
(Floating, ICE LIBOR USD 3M - 0.26%), 2.27%, 08/16/19† | 4,630,000 | 4,629,424 | ||
(Floating, ICE LIBOR USD 1M - 0.08%), 2.32%, 08/27/19† | 7,925,000 | 7,925,000 | ||
(Floating, U.S. SOFR + 0.02%), 2.52%, 08/27/19† | 3,575,000 | 3,575,000 | ||
(Floating, ICE LIBOR USD 1M - 0.09%), 2.33%, 09/09/19† | 16,095,000 | 16,095,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.35%, 09/11/19† | 10,000,000 | 10,000,000 | ||
(Floating, ICE LIBOR USD 1M - 0.07%), 2.33%, 09/17/19† | 5,800,000 | 5,800,000 |
Par | Value | |||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.34%, 09/27/19† | $5,980,000 | $5,980,000 | ||
(Floating, ICE LIBOR USD 1M - 0.03%), 2.37%, 10/29/19† | 7,540,000 | 7,540,000 | ||
(Floating, U.S. SOFR + 0.01%), 2.51%, 11/13/19† | 8,495,000 | 8,495,000 | ||
(Floating, U.S. SOFR + 0.03%), 2.53%, 12/06/19† | 2,685,000 | 2,685,000 | ||
(Floating, ICE LIBOR USD 3M - 0.14%), 2.28%, 12/19/19† | 4,765,000 | 4,765,000 | ||
(Floating, U.S. SOFR + 0.01%), 2.51%, 12/20/19† | 6,925,000 | 6,925,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 2.37%, 01/14/20† | 3,175,000 | 3,175,000 | ||
(Floating, U.S. SOFR + 0.01%), 2.51%, 01/17/20† | 6,385,000 | 6,385,000 | ||
(Floating, U.S. SOFR + 0.05%), 2.55%, 01/17/20† | 610,000 | 610,000 | ||
(Floating, ICE LIBOR USD 1M - 0.06%), 2.34%, 02/24/20† | 10,755,000 | 10,755,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 2.36%, 02/25/20† | 5,825,000 | 5,825,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 2.35%, 04/17/20† | 10,825,000 | 10,822,471 | ||
(Floating, ICE LIBOR USD 1M - 0.02%), 2.39%, 06/01/20† | 13,000,000 | 13,000,000 | ||
(Floating, U.S. SOFR + 0.04%), 2.54%, 06/19/20† | 2,955,000 | 2,955,000 | ||
(Floating, U.S. SOFR + 0.08%), 2.58%, 07/24/20† | 1,710,000 | 1,710,000 | ||
(Floating, ICE LIBOR USD 1M - 0.03%), 2.40%, 08/04/20† | 3,570,000 | 3,570,000 | ||
(Floating, U.S. SOFR + 0.11%), 2.61%, 10/01/20† | 6,460,000 | 6,460,000 | ||
(Floating, ICE LIBOR USD 3M - 0.13%), 2.26%, 12/21/20† | 8,000,000 | 8,000,000 | ||
(Floating, U.S. SOFR + 0.12%), 2.62%, 03/12/21† | 5,725,000 | 5,725,000 | ||
Federal Home Loan Bank Discount Notes | ||||
2.40%, 07/05/19 | 10,460,000 | 10,457,219 | ||
2.44%, 07/08/19 | 9,795,000 | 9,790,417 | ||
2.39%, 07/10/19 | 16,315,000 | 16,305,285 | ||
2.43%, 07/11/19 | 30,000,000 | 29,979,833 | ||
2.39%, 07/12/19 | 8,090,000 | 8,084,097 | ||
2.42%, 07/16/19 | 6,415,000 | 6,408,612 | ||
2.33%, 07/19/19 | 3,380,000 | 3,375,946 | ||
2.42%, 07/24/19 | 2,380,000 | 2,376,329 | ||
2.41%, 07/26/19 | 2,860,000 | 2,855,217 | ||
2.40%, 07/30/19 | 9,360,000 | 9,341,979 | ||
2.42%, 08/05/19 | 11,365,000 | 11,338,371 | ||
2.40%, 08/07/19 | 22,330,000 | 22,274,988 | ||
2.21%, 08/12/19 | 30,000,000 | 29,923,700 | ||
2.38%, 08/14/19 | 13,625,000 | 13,585,400 | ||
2.35%, 08/28/19 | 20,015,000 | 19,939,382 | ||
2.36%, 08/30/19 | 19,540,000 | 19,463,501 | ||
2.34%, 09/04/19 | 21,225,000 | 21,135,708 | ||
2.43%, 09/10/19 | 17,780,000 | 17,695,841 | ||
2.28%, 09/11/19 | 14,490,000 | 14,424,244 | ||
2.23%, 09/18/19 | 22,130,000 | 22,022,239 |
Table of Contents
Par | Value | |||
2.47%, 09/20/19 | $23,260,000 | $23,132,192 | ||
2.42%, 09/27/19 | 16,680,000 | 16,582,268 | ||
2.41%, 10/09/19 | 3,560,000 | 3,536,336 | ||
2.49%, 10/11/19 | 3,070,000 | 3,048,646 | ||
2.47%, 10/15/19 | 5,135,000 | 5,098,008 | ||
2.42%, 10/21/19 | 6,090,000 | 6,044,528 | ||
2.43%, 10/23/19 | 8,425,000 | 8,360,623 | ||
2.43%, 10/30/19 | 6,050,000 | 6,000,912 | ||
2.39%, 11/13/19 | 7,090,000 | 7,026,855 | ||
2.36%, 11/29/19 | 5,350,000 | 5,297,557 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, ICE LIBOR USD 1M - 0.10%), 2.31%, 08/08/19† | 10,510,000 | 10,509,457 | ||
Total Agency Obligations (Cost $791,647,948) | 791,647,948 | |||
U.S. TREASURY OBLIGATIONS — 9.7% | ||||
U.S. Treasury Bills | ||||
2.19%, 07/02/19Ω | 10,000,000 | 9,999,401 | ||
2.41%, 07/05/19Ω | 35,000,000 | 34,990,760 | ||
2.45%, 08/29/19Ω | 15,000,000 | 14,939,648 | ||
2.34%, 10/31/19Ω | 1,135,000 | 1,126,076 | ||
2.13%, 12/19/19Ω | 22,550,000 | 22,321,797 | ||
2.41%, 02/27/20Ω | 5,410,000 | 5,323,804 | ||
2.38%, 04/23/20Ω | 23,065,000 | 22,615,925 | ||
111,317,411 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 2.20%, 07/31/20† | 10,000,000 | 10,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 2.20%, 10/31/20† | 12,000,000 | 11,983,295 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.14%), 2.30%, 04/30/21† | 1,240,000 | 1,238,151 | ||
23,221,446 | ||||
U.S. Treasury Note | ||||
1.38%, 07/31/19 | 1,040,000 | 1,039,030 | ||
Total U.S. Treasury Obligations (Cost $135,577,887) | 135,577,887 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 2.25%Ø (Cost $48,460) | 48,460 | 48,460 |
Par | Value | |||
REPURCHASE AGREEMENTS — 34.9% | ||||
Bank of Nova Scotia | ||||
2.47% (dated 06/28/19, due 07/01/19, repurchase price $123,025,318, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.750% to 2.625%, due 03/31/20 to 02/15/46, total market value $125,485,837) | $123,000,000 | $123,000,000 | ||
BNP Paribas | ||||
2.49% (dated 06/28/19, due 07/01/19, repurchase price $60,012,450, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.750%, due 11/30/20 to 02/15/43, total market value $61,200,029) | 60,000,000 | 60,000,000 | ||
2.50% (dated 06/28/19, due 07/01/19, repurchase price $50,010,417, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 6.000%, due 11/15/19 to 06/20/49, total market value $51,073,878) | 50,000,000 | 50,000,000 | ||
Citigroup Global Markets, Inc. | ||||
2.51% (dated 06/28/19, due 07/01/19, repurchase price $21,004,393, collateralized by Federal Home Loan Mortgage Corporation, 4.500%, due 11/01/48, total market value $21,630,001) | 21,000,000 | 21,000,000 | ||
Goldman Sachs & Co. | ||||
2.51% (dated 06/28/19, due 07/01/19, repurchase price $20,004,183, collateralized by Government National Mortgage Association, 4.000%, due 11/20/48, total market value $20,400,000) | 20,000,000 | 20,000,000 | ||
2.65% (dated 06/26/19, due 07/03/19, repurchase price $23,011,851, collateralized by Federal Home Loan Mortgage Corporation, 3.500%, due 12/01/42, total market value $23,690,000) | 23,000,000 | 23,000,000 |
Table of Contents
Par | Value | |||
HSBC Securities USA, Inc. | ||||
2.52% (dated 06/28/19, due 07/01/19, repurchase price $5,001,050, collateralized by Government National Mortgage Association, 4.500%, due 05/20/43, total market value $5,100,000) | $5,000,000 | $5,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
2.50% (dated 06/28/19, due 07/01/19, repurchase price $30,006,250, collateralized by Federal National Mortgage Association, Government National Mortgage Association and Federal Home Loan Banks, 2.000% to 6.500%, due 05/20/24 to 09/15/60, total market value $30,744,972) | 30,000,000 | 30,000,000 | ||
Mizuho Securities USA, Inc. | ||||
2.51% (dated 06/28/19, due 07/01/19, repurchase price $49,010,249, collateralized by Federal Home Loan Mortgage Corporation, 3.500%, due 06/01/49, total market value $50,470,000) | 49,000,000 | 49,000,000 | ||
Natixis S.A. | ||||
2.50% (dated 06/28/19, due 07/01/19, repurchase price $22,004,583, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 1.750% to 3.000%, due 09/30/22 to 05/15/47, total market value $22,440,070) | 22,000,000 | 22,000,000 | ||
2.52% (dated 06/28/19, due 07/01/19, repurchase price $4,000,840, collateralized by Federal Farm Credit Banks, Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 5.000%, due 05/15/25 to 06/20/49, total market value $4,080,059) | 4,000,000 | 4,000,000 |
Par | Value | |||
TD Securities USA LLC | ||||
2.52% (dated 06/28/19, due 07/01/19, repurchase price $79,016,590, collateralized by Federal National Mortgage Association and Government National Mortgage Association, 3.000% to 3.500%, due 05/01/49 to 05/20/49, total market value $80,897,069) | $79,000,000 | $79,000,000 | ||
Total Repurchase Agreements (Cost $486,000,000) | 486,000,000 | |||
TOTAL INVESTMENTS — 101.4% (Cost $1,413,274,295) | 1,413,274,295 | |||
Liabilities in Excess of Other Assets — (1.4)% | (18,918,466) | |||
NET ASSETS — 100.0% | $1,394,355,829 |
% | ||
Agency Obligations | 56.8 | |
Repurchase Agreements | 34.9 | |
U.S. Treasury Obligations | 9.7 | |
Money Market Funds | — | ** |
101.4 | ||
**Rounds to less than 0.05% |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $791,647,948 | $— | $791,647,948 | $— | |||
Money Market Funds | 48,460 | 48,460 | — | — | |||
Repurchase Agreements | 486,000,000 | — | 486,000,000 | — | |||
U.S. Treasury Obligations | 135,577,887 | — | 135,577,887 | — | |||
Total Assets - Investments in Securities | $1,413,274,295 | $48,460 | $1,413,225,835 | $ — |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 0.8% | ||||
Federal Home Loan Mortgage Corporation | ||||
2.55%, 06/20/22 | $5,000,000 | $5,001,000 | ||
Federal National Mortgage Association | ||||
2.75%, 06/22/21 | 2,980,000 | 3,034,392 | ||
Total Agency Obligations (Cost $7,979,541) | 8,035,392 | |||
ASSET-BACKED SECURITIES — 15.4% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.70%, 07/15/26 144A † | 630,679 | 630,917 | ||
Ally Auto Receivables Trust, Series 2018-1, Class A2 | ||||
2.14%, 09/15/20 | 408,081 | 407,949 | ||
Ally Auto Receivables Trust, Series 2018-3, Class A2 | ||||
2.72%, 05/17/21 | 564,348 | 564,762 | ||
Ally Auto Receivables Trust, Series 2019-1, Class A3 | ||||
2.91%, 09/15/23 | 1,680,000 | 1,711,708 | ||
ALM XII, Ltd., Series 2015-12A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.89%, 0.89% Floor), 3.49%, 04/16/27 144A † | 440,000 | 439,150 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C | ||||
2.87%, 11/08/21 | 230,000 | 230,744 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A3 | ||||
1.46%, 05/10/21 | 73,724 | 73,695 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3 | ||||
1.87%, 08/18/21 | 90,484 | 90,338 | ||
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A3 | ||||
1.98%, 12/20/21 | 369,362 | 368,690 | ||
Americredit Automobile Receivables Trust, Series 2018-1, Class A3 | ||||
3.07%, 12/19/22 | 650,000 | 655,306 | ||
Americredit Automobile Receivables Trust, Series 2019-1, Class A3 | ||||
2.97%, 11/20/23 | 410,000 | 415,903 | ||
Americredit Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.28%, 01/18/24 | 5,000,000 | 5,014,420 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | ||||
(Floating, ICE LIBOR USD 3M + 1.26%), 3.84%, 07/24/29 144A † | 2,000,000 | 2,010,880 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.70%), 4.30%, 10/15/27 144A † | 450,000 | 445,526 |
Par | Value | |||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 3.53%, 07/18/27 144A † | $3,215,000 | $3,206,918 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.69%, 04/15/27 144A † | 1,610,000 | 1,615,414 | ||
Ascentium Equipment Receivables Trust, Series 2018-2A, Class A3 | ||||
3.51%, 04/10/24 144A | 1,940,000 | 1,994,829 | ||
Bank of The West Auto Trust, Series 2018-1, Class A2 | ||||
3.09%, 04/15/21 144A | 1,717,932 | 1,721,733 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 3.39%, 01/20/28 144A † | 1,200,000 | 1,193,649 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.40%, 10/25/37† | 348,227 | 350,782 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 11.00% Cap), 2.85%, 12/25/42† | 39,333 | 38,853 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.35%, 07/15/29 144A † | 300,000 | 299,686 | ||
BMW Vehicle Lease Trust, Series 2018-1, Class A4 | ||||
3.36%, 03/21/22 | 550,000 | 560,606 | ||
BMW Vehicle Owner Trust, Series 2016-A, Class A3 | ||||
1.16%, 11/25/20 | 226,498 | 226,003 | ||
BSPRT Issuer, Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 3.44%, 03/15/28 144A † | 950,000 | 952,313 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.69%, 09/15/35 144A † | 1,520,000 | 1,521,330 | ||
Capital Auto Receivables Asset Trust, Series 2016-2, Class B | ||||
2.11%, 03/22/21 | 170,000 | 169,640 | ||
Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1 | ||||
2.84%, 12/15/24 | 1,150,000 | 1,172,860 | ||
Carmax Auto Owner Trust, Series 2018-4, Class A3 | ||||
3.36%, 09/15/23 | 1,560,000 | 1,596,690 |
Table of Contents
Par | Value | |||
Carmax Auto Owner Trust, Series 2019-2, Class A3 | ||||
2.68%, 03/15/24 | $2,140,000 | $2,171,300 | ||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 | ||||
2.12%, 11/15/29 144A | 1,105,220 | 1,102,178 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 765,039 | 773,455 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 245,259 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 235,067 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | 370,000 | 378,026 | ||
CIFC Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.78%, 0.78% Floor), 3.38%, 04/15/27 144A † | 1,000,000 | 998,641 | ||
CNH Equipment Trust, Series 2016-B, Class A3 | ||||
1.63%, 08/15/21 | 317,808 | 316,888 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 1,030,000 | 1,048,666 | ||
CNH Equipment Trust, Series 2019-A, Class A3 | ||||
3.01%, 04/15/24 | 1,350,000 | 1,379,869 | ||
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A | ||||
2.56%, 10/15/25 144A | 575,337 | 575,371 | ||
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | ||||
3.01%, 02/16/27 144A | 1,380,000 | 1,388,123 | ||
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | ||||
3.47%, 05/17/27 144A | 1,800,000 | 1,826,841 | ||
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | ||||
3.55%, 08/15/27 144A | 800,000 | 814,773 | ||
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | ||||
3.33%, 02/15/28 144A | 1,160,000 | 1,185,501 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 08/25/19), 5.72%, 09/25/36 STEP | 321,414 | 184,239 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor), 2.94%, 12/25/34† | 1,042,857 | 1,044,904 |
Par | Value | |||
Dell Equipment Finance Trust, Series 2017-2, Class A3 | ||||
2.19%, 10/24/22 144A | $560,000 | $559,451 | ||
Dell Equipment Finance Trust, Series 2018-2, Class A3 | ||||
3.37%, 10/22/23 144A | 1,130,000 | 1,149,964 | ||
DLL LLC, Series 2018-ST2, Class A3 | ||||
3.46%, 01/20/22 144A | 1,700,000 | 1,725,387 | ||
Drive Auto Receivables Trust, Series 2018-4, Class A3 | ||||
3.04%, 11/15/21 | 161,168 | 161,315 | ||
Drive Auto Receivables Trust, Series 2018-4, Class B | ||||
3.36%, 10/17/22 | 770,000 | 773,544 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A3 | ||||
3.04%, 03/15/23 | 810,000 | 817,787 | ||
Drug Royalty II LP 2, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 2.85%, 2.85% Floor), 5.64%, 07/15/23 144A † | 28,449 | 28,567 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 3.50%, 10/15/27 144A † | 1,680,000 | 1,676,781 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 3.50%, 04/15/29 144A † | 1,000,000 | 993,813 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 492,209 | 500,832 | ||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2 | ||||
1.74%, 02/22/22 144A | 99,782 | 99,680 | ||
Enterprise Fleet Financing LLC, Series 2016-2, Class A3 | ||||
2.04%, 02/22/22 144A | 730,000 | 728,185 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A2 | ||||
2.13%, 07/20/22 144A | 117,032 | 116,866 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 | ||||
2.60%, 07/20/22 144A | 250,000 | 250,656 | ||
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 | ||||
2.13%, 05/22/23 144A | 626,547 | 625,515 | ||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 2,903,147 | 2,925,495 | ||
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 | ||||
2.98%, 10/22/24 144A | 950,000 | 962,154 |
Table of Contents
Par | Value | |||
FHLMC Structured Pass-Through Certificates, Series T-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 2.53%, 08/25/31† | $288,572 | $287,425 | ||
First Investors Auto Owner Trust, Series 2018-2A, Class A2 | ||||
3.56%, 06/15/23 144A | 840,000 | 856,678 | ||
Flatiron CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.49%, 04/15/27 144A † | 1,765,000 | 1,765,927 | ||
Ford Credit Auto Lease Trust, Series 2019-A, Class A2A | ||||
2.84%, 09/15/21 | 3,200,000 | 3,212,611 | ||
Ford Credit Auto Owner Trust, Series 2018-A, Class A3 | ||||
3.03%, 11/15/22 | 2,170,000 | 2,196,609 | ||
Ford Credit Floorplan Master Owner Trust A, Series 2019-2, Class A | ||||
3.06%, 04/15/26 | 1,475,000 | 1,522,165 | ||
Ford Credit Floorplan Master Owner Trust, Series 2017-2, Class A1 | ||||
2.16%, 09/15/22 | 1,600,000 | 1,598,389 | ||
GM Financial Automobile Leasing Trust, Series 2018-2, Class A3 | ||||
3.06%, 06/21/21 | 790,000 | 794,554 | ||
GM Financial Automobile Leasing Trust, Series 2018-3, Class A4 | ||||
3.30%, 07/20/22 | 310,000 | 315,047 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2018-4, Class A3 | ||||
3.21%, 10/16/23 | 2,080,000 | 2,122,401 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.65%, 02/16/24 | 3,810,000 | 3,866,986 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A | ||||
2.70%, 04/15/24 144A | 920,000 | 931,782 | ||
Great American Auto Leasing, Inc., Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | 1,140,000 | 1,161,108 | ||
Greystone Commercial Real Estate Notes, Ltd., Series 2017-FL1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 3.94%, 03/15/27 144A † | 900,000 | 898,413 | ||
Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A2 | ||||
2.92%, 07/15/21 144A | 720,000 | 724,082 | ||
Hyundai Auto Receivables Trust, Series 2016-A, Class A3 | ||||
1.56%, 09/15/20 | 53,955 | 53,933 | ||
Hyundai Auto Receivables Trust, Series 2016-B, Class D | ||||
2.68%, 09/15/23 | 680,000 | 680,891 |
Par | Value | |||
KKR Clo, Ltd., Series 16, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 4.24%, 01/20/29 144A † | $480,000 | $480,331 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 3.49%, 06/15/36 144A † | 1,360,000 | 1,367,310 | ||
Kubota Credit Owner Trust, Series 2017-1A, Class A3 | ||||
1.88%, 08/16/21 144A | 1,700,272 | 1,696,566 | ||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | 103,659 | 109,421 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 3.63%, 10/20/27 144A † | 1,220,000 | 1,220,222 | ||
Lendmark Funding Trust, Series 2018-1A, Class A | ||||
3.81%, 12/21/26 144A | 960,000 | 981,424 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 3.52%, 05/15/28 144A † | 630,000 | 630,786 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 4.49%, 04/19/30 144A † | 400,000 | 393,322 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 4.25%, 01/22/28 144A † | 600,000 | 600,585 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 3.40%, 01/15/28 144A † | 2,890,000 | 2,871,161 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 3.58%, 04/15/31 144A † | 530,000 | 526,373 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
3.54%, 06/15/28 144A | 290,000 | 290,435 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 307,942 | ||
Mercedes-Benz Master Owner Trust, Series 2017-BA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.42%), 2.81%, 05/16/22 144A † | 1,750,000 | 1,753,128 | ||
Mercedes-Benz Master Owner Trust, Series 2019-BA, Class A | ||||
2.61%, 05/15/24 144A | 1,310,000 | 1,327,508 |
Table of Contents
Par | Value | |||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | $791,376 | $792,628 | ||
MVW Owner Trust, Series 2017-1A, Class A | ||||
2.42%, 12/20/34 144A | 544,363 | 543,150 | ||
Navient Private Education Loan Trust, Series 2014-CTA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.09%, 09/16/24 144A † | 24,056 | 24,068 | ||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A1 | ||||
3.03%, 01/15/43 144A | 458,597 | 463,044 | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 410,000 | 419,239 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 3.15%, 03/25/66 144A † | 1,300,077 | 1,305,976 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 3.45%, 12/27/66 144A † | 1,008,130 | 1,014,570 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.20%, 07/26/66 144A † | 1,092,463 | 1,085,867 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 143,000 | 151,086 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 390,000 | 403,182 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.20%, 09/25/65 144A † | 1,163,737 | 1,166,934 | ||
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.45%, 01/15/28 144A † | 1,145,000 | 1,141,075 | ||
Nissan Auto Receivables Owner Trust, Series 2019-A, Class A3 | ||||
2.90%, 10/16/23 | 1,820,000 | 1,853,102 | ||
Nissan Master Owner Receivables Trust, Series 2017-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.43%), 2.82%, 04/18/22† | 1,650,000 | 1,653,063 | ||
Nissan Master Owner Receivables Trust, Series 2019-A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor), 2.95%, 02/15/24† | 1,200,000 | 1,205,035 |
Par | Value | |||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.69%, 02/15/36 144A † | $256,000 | $257,216 | ||
OFSI Fund VI, Ltd., Series 2014-6A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 4.10%, 03/20/25 144A † | 295,000 | 289,917 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 1,150,000 | 1,166,649 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 220,000 | 222,977 | ||
Palmer Square Loan Funding, Ltd., Series 2017-1A, Class A1 | ||||
3.34%, 10/15/25 144A | 522,550 | 522,278 | ||
PFS Financing Corporation, Series 2016-BA, Class A | ||||
1.87%, 10/15/21 144A | 290,000 | 289,743 | ||
PFS Financing Corporation, Series 2018-B, Class A | ||||
2.89%, 02/15/23 144A | 2,330,000 | 2,352,009 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.94%, 04/15/24 144A † | 390,000 | 391,324 | ||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | 1,500,000 | 1,518,149 | ||
Prestige Auto Receivables Trust, Series 2018-1A, Class A3 | ||||
3.29%, 09/15/22 144A | 590,000 | 596,507 | ||
Santander Drive Auto Receivables Trust, Series 2015-2, Class D | ||||
3.02%, 04/15/21 | 3,720 | 3,723 | ||
Santander Drive Auto Receivables Trust, Series 2016-2, Class C | ||||
2.66%, 11/15/21 | 388,963 | 389,306 | ||
Santander Drive Auto Receivables Trust, Series 2018-1, Class A3 | ||||
2.32%, 08/16/21 | 134,727 | 134,700 | ||
Santander Drive Auto Receivables Trust, Series 2018-3, Class A3 | ||||
3.03%, 02/15/22 | 200,000 | 200,241 | ||
Santander Drive Auto Receivables Trust, Series 2019-1, Class A2A | ||||
2.91%, 01/18/22 | 1,070,000 | 1,072,607 | ||
Securitized Asset-Backed Receivables LLC Trust, Series 2006-OP1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.37%, 0.37% Floor), 2.77%, 10/25/35† | 33,320 | 33,407 |
Table of Contents
Par | Value | |||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | $700,000 | $710,461 | ||
SLC Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 2.51%, 09/15/26† | 499,878 | 498,930 | ||
SLM Private Credit Student Loan Trust, Series 2005-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 2.61%, 06/15/23† | 798,515 | 796,856 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%, 0.24% Floor), 2.65%, 12/16/41† | 352,829 | 344,200 | ||
SLM Private Education Loan Trust, Series 2010-A, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 3.25% Floor), 5.64%, 05/16/44 144A † | 190,241 | 191,412 | ||
SLM Private Education Loan Trust, Series 2011-B, Class A2 | ||||
3.74%, 02/15/29 144A | 6,007 | 6,008 | ||
SLM Private Education Loan Trust, Series 2014-A, Class A2A | ||||
2.59%, 01/15/26 144A | 15,450 | 15,447 | ||
SLM Private Education Loan Trust, Series 2014-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.54%, 01/15/26 144A † | 34,659 | 34,672 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 202,889 | 230,579 | ||
SLM Student Loan Trust, Series 2004-2, Class A5 | ||||
(Floating, 0.18% - Euribor 3M), 0.00%, 01/25/24(E) † | 1,229,096 | 1,398,690 | ||
SLM Student Loan Trust, Series 2004-3, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.17%, 0.17% Floor), 2.75%, 07/25/23† | 296,557 | 296,381 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 3.13%, 01/25/28† | 1,370,498 | 1,372,962 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 383,849 | 386,094 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2A | ||||
2.70%, 05/15/31 144A | 321,446 | 323,798 | ||
SMB Private Education Loan Trust, Series 2016-B, Class A2A | ||||
2.43%, 02/17/32 144A | 209,099 | 208,818 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2018-A, Class A2A | ||||
3.50%, 02/15/36 144A | $1,105,000 | $1,147,687 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 3.11%, 01/15/37 144A † | 640,000 | 638,694 | ||
SMB Private Education Loan Trust, Series 2019-A, Class A2A | ||||
3.44%, 07/15/36 144A | 280,000 | 290,785 | ||
SoFi Professional Loan Program LLC, Series 2015-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 3.60%, 03/25/33 144A † | 175,189 | 175,615 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 867,361 | 872,319 | ||
Sofi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 299,455 | 301,352 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 169,448 | 169,297 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 161,716 | 161,598 | ||
Sofi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 1,012,576 | 1,024,275 | ||
Sofi Professional Loan Program LLC, Series 2017-C, Class A2A | ||||
1.75%, 07/25/40 144A | 135,632 | 135,231 | ||
SoFi Professional Loan Program LLC, Series 2017-E, Class A2A | ||||
1.86%, 11/26/40 144A | 1,506,884 | 1,499,012 | ||
Sofi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 210,000 | 213,675 | ||
Sofi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 245,000 | 255,326 | ||
SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A | ||||
3.20%, 05/27/36 144A | 677,982 | 687,079 | ||
Springleaf Funding Trust, Series 2015-BA, Class A | ||||
3.48%, 05/15/28 144A | 315,000 | 319,203 | ||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | 400,000 | 401,010 | ||
Starwood Waypoint Homes Trust, Series 2017-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 3.34%, 01/17/35 144A † | 1,974,325 | 1,974,640 |
Table of Contents
Par | Value | |||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 3.94%, 04/25/35† | $216,842 | $214,599 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 484,552 | 482,948 | ||
Toyota Auto Receivables Owner Trust, Series 2016-B, Class A3 | ||||
1.30%, 04/15/20 | 6,120 | 6,117 | ||
Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3 | ||||
2.91%, 07/17/23 | 1,890,000 | 1,919,041 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.49%, 04/15/29 144A † | 3,070,000 | 3,054,415 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
3.48%, 04/15/27 144A | 360,000 | 358,679 | ||
Verizon Owner Trust, Series 2019-B, Class A1A | ||||
2.33%, 12/20/23 | 3,690,000 | 3,703,277 | ||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | 1,500,000 | 1,525,749 | ||
Westlake Automobile Receivables Trust, Series 2016-2A, Class D | ||||
4.10%, 06/15/21 144A | 320,065 | 321,111 | ||
Westlake Automobile Receivables Trust, Series 2017-1A, Class C | ||||
2.70%, 10/17/22 144A | 588,486 | 588,698 | ||
Wheels SPV 2 LLC, Series 2017-1A, Class A2 | ||||
1.88%, 04/20/26 144A | 82,058 | 81,940 | ||
Total Asset-Backed Securities (Cost $147,901,643) | 148,993,354 | |||
CORPORATE BONDS — 23.2% | ||||
AbbVie, Inc. | ||||
2.30%, 05/14/21 | 2,300,000 | 2,286,860 | ||
3.38%, 11/14/21 | 1,600,000 | 1,627,724 | ||
2.90%, 11/06/22 | 160,000 | 161,179 | ||
3.75%, 11/14/23 | 364,000 | 379,227 | ||
ADT Security Corporation (The) | ||||
6.25%, 10/15/21 | 150,000 | 159,375 | ||
AES Corporation | ||||
4.00%, 03/15/21 | 850,000 | 867,000 | ||
AIG Global Funding | ||||
2.30%, 07/01/22 144A | 330,000 | 330,196 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 150,090 | ||
Aircastle, Ltd. | ||||
5.13%, 03/15/21Δ | 1,000,000 | 1,037,480 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 415,000 | 431,279 | ||
Ally Financial, Inc. | ||||
3.88%, 05/21/24 | 400,000 | 410,500 |
Par | Value | |||
American Electric Power Co., Inc. | ||||
3.65%, 12/01/21 | $730,000 | $753,148 | ||
American Express Co. | ||||
2.75%, 05/20/22 | 1,230,000 | 1,245,487 | ||
American Express Credit Corporation | ||||
2.38%, 05/26/20 | 1,550,000 | 1,550,889 | ||
American Tower Corporation REIT | ||||
2.25%, 01/15/22 | 2,700,000 | 2,686,516 | ||
3.50%, 01/31/23 | 95,000 | 98,139 | ||
3.38%, 05/15/24 | 500,000 | 514,701 | ||
Analog Devices, Inc. | ||||
2.85%, 03/12/20 | 110,000 | 110,340 | ||
Andeavor Logistics LP | ||||
6.25%, 10/15/22 | 199,000 | 204,473 | ||
3.50%, 12/01/22 | 265,000 | 271,489 | ||
Antero Resources Corporation | ||||
5.13%, 12/01/22 | 1,130,000 | 1,089,037 | ||
Anthem, Inc. | ||||
3.13%, 05/15/22 | 165,000 | 168,079 | ||
Apache Corporation | ||||
3.63%, 02/01/21 | 26,000 | 26,389 | ||
3.25%, 04/15/22 | 122,000 | 123,855 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,325,000 | 1,339,395 | ||
Arizona Public Service Co. | ||||
2.20%, 01/15/20 | 1,580,000 | 1,578,068 | ||
Assurant, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.58%, 03/26/21† | 1,410,000 | 1,410,106 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.27%, 06/01/21† | 2,300,000 | 2,312,150 | ||
3.80%, 03/15/22 | 670,000 | 695,342 | ||
3.60%, 02/17/23 | 115,000 | 119,441 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.62%, 06/12/24† | 2,100,000 | 2,127,899 | ||
Athene Global Funding | ||||
2.75%, 04/20/20 144A Δ | 1,445,000 | 1,448,286 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A Δ | 1,000,000 | 1,007,472 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21^ | 1,840,000 | 1,838,317 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21^ | 765,000 | 764,219 | ||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.97%, 01/23/22† Δ | 900,000 | 898,471 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 3.50%, 05/17/22^ | 425,000 | 433,300 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.00%, 06/25/22† | 750,000 | 752,358 | ||
2.50%, 10/21/22 | 775,000 | 777,256 | ||
3.30%, 01/11/23 | 1,135,000 | 1,170,729 | ||
Becton, Dickinson and Co. | ||||
2.40%, 06/05/20 | 325,000 | 324,810 | ||
BGC Partners, Inc. | ||||
5.13%, 05/27/21 | 1,400,000 | 1,447,741 | ||
BMW US Capital LLC | ||||
3.25%, 08/14/20 144A | 1,040,000 | 1,049,547 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.04%, 08/13/21 144A † | $3,000,000 | $3,009,840 | ||
Boeing Co. (The) | ||||
2.70%, 05/01/22 | 205,000 | 208,029 | ||
Bristol-Myers Squibb Co. | ||||
2.55%, 05/14/21 144A | 740,000 | 745,593 | ||
2.60%, 05/16/22 144A | 875,000 | 886,448 | ||
2.90%, 07/26/24 144A | 325,000 | 332,843 | ||
Broadcom Corporation | ||||
2.38%, 01/15/20 | 3,275,000 | 3,269,740 | ||
Broadcom, Inc. | ||||
3.13%, 04/15/21 144A | 465,000 | 468,169 | ||
3.13%, 10/15/22 144A | 3,000,000 | 3,020,061 | ||
Burlington Northern Santa Fe LLC | ||||
3.40%, 09/01/24 | 500,000 | 528,138 | ||
Calpine Corporation | ||||
6.00%, 01/15/22 144A | 200,000 | 201,750 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 807,031 | ||
Capital One Financial Corporation | ||||
2.40%, 10/30/20 | 1,105,000 | 1,106,455 | ||
3.75%, 04/24/24 | 135,000 | 141,764 | ||
Capital One NA | ||||
2.35%, 01/31/20 | 1,030,000 | 1,029,644 | ||
Celgene Corporation | ||||
2.75%, 02/15/23 | 110,000 | 111,052 | ||
Centene Corporation | ||||
5.63%, 02/15/21 | 350,000 | 357,000 | ||
4.75%, 05/15/22 | 210,000 | 215,250 | ||
CenterPoint Energy Resources Corporation | ||||
3.55%, 04/01/23 | 200,000 | 206,203 | ||
CenterPoint Energy, Inc. | ||||
3.60%, 11/01/21 | 445,000 | 457,300 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20 | 530,000 | 537,950 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 640,000 | 672,732 | ||
(Floating, ICE LIBOR USD 3M + 1.65%), 4.23%, 02/01/24† Δ | 2,700,000 | 2,712,996 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 703,237 | ||
Cigna Corporation | ||||
3.20%, 09/17/20 144A | 1,360,000 | 1,372,851 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.06%, 09/17/21 144A † | 860,000 | 860,392 | ||
CIT Group, Inc. | ||||
4.13%, 03/09/21 | 1,030,000 | 1,052,196 | ||
5.00%, 08/15/22 | 750,000 | 797,677 | ||
Citibank NA | ||||
2.10%, 06/12/20 | 1,050,000 | 1,048,196 | ||
2.13%, 10/20/20 | 800,000 | 798,792 | ||
Citigroup, Inc. | ||||
2.45%, 01/10/20 | 820,000 | 820,232 |
Par | Value | |||
2.75%, 04/25/22Δ | $1,100,000 | $1,110,492 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 3.54%, 06/01/24† Δ | 1,000,000 | 1,006,045 | ||
Citizens Bank NA | ||||
2.25%, 03/02/20 | 285,000 | 284,801 | ||
2.20%, 05/26/20 | 370,000 | 369,429 | ||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.09%, 05/26/20† | 750,000 | 752,015 | ||
2.55%, 05/13/21Δ | 1,126,000 | 1,129,694 | ||
3.25%, 02/14/22 | 730,000 | 744,438 | ||
CNH Industrial Capital LLC | ||||
3.38%, 07/15/19 | 275,000 | 275,069 | ||
3.88%, 10/15/21 | 145,000 | 148,190 | ||
Comcast Corporation | ||||
3.30%, 10/01/20 | 1,210,000 | 1,226,843 | ||
3.45%, 10/01/21 | 605,000 | 622,704 | ||
3.70%, 04/15/24 | 780,000 | 828,406 | ||
Compass Bank | ||||
3.50%, 06/11/21 | 1,600,000 | 1,631,101 | ||
Conagra Brands, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.34%, 10/22/20† | 905,000 | 905,189 | ||
3.80%, 10/22/21 | 425,000 | 436,985 | ||
Continental Resources, Inc. | ||||
3.80%, 06/01/24 | 510,000 | 524,935 | ||
CoreCivic, Inc. REIT | ||||
4.63%, 05/01/23 | 200,000 | 195,250 | ||
Cox Communications, Inc. | ||||
3.15%, 08/15/24 144A | 290,000 | 294,205 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,518,874 | ||
CVS Health Corporation | ||||
3.13%, 03/09/20 | 1,475,000 | 1,480,949 | ||
3.35%, 03/09/21 | 1,700,000 | 1,724,178 | ||
4.30%, 03/25/28 | 590,000 | 622,673 | ||
D.R. Horton, Inc. | ||||
4.00%, 02/15/20 | 1,100,000 | 1,108,001 | ||
Daimler Finance North America LLC | ||||
1.50%, 07/05/19 144A | 510,000 | 509,945 | ||
2.20%, 05/05/20 144A | 230,000 | 229,557 | ||
2.30%, 02/12/21 144A | 1,455,000 | 1,449,847 | ||
3.35%, 05/04/21 144A | 230,000 | 233,312 | ||
(Floating, ICE LIBOR USD 3M + 0.84%), 3.41%, 05/04/23 144A † Δ | 3,000,000 | 3,000,634 | ||
DCP Midstream Operating LP | ||||
5.35%, 03/15/20 144A | 275,000 | 279,469 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 1,375,000 | 1,417,300 | ||
5.88%, 06/15/21 144A | 540,000 | 549,152 | ||
5.45%, 06/15/23 144A | 2,065,000 | 2,227,053 | ||
Delta Air Lines, Inc. | ||||
2.88%, 03/13/20 | 465,000 | 465,645 | ||
3.63%, 03/15/22 | 2,100,000 | 2,137,171 | ||
Diamondback Energy, Inc. | ||||
4.75%, 11/01/24 144A | 350,000 | 361,375 |
Table of Contents
Par | Value | |||
Discover Bank | ||||
3.35%, 02/06/23 | $250,000 | $256,019 | ||
Discovery Communications LLC | ||||
4.38%, 06/15/21 | 220,000 | 227,798 | ||
3.30%, 05/15/22 | 375,000 | 381,874 | ||
DISH DBS Corporation | ||||
6.75%, 06/01/21 | 700,000 | 735,875 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.01%, 06/15/21† | 1,800,000 | 1,808,598 | ||
Dominion Energy, Inc. | ||||
2.96%, 07/01/19 STEP | 1,125,000 | 1,125,000 | ||
2.58%, 07/01/20 | 335,000 | 334,587 | ||
2.72%, 08/15/21 STEP | 965,000 | 967,660 | ||
DTE Energy Co. | ||||
1.50%, 10/01/19 | 400,000 | 399,053 | ||
2.60%, 06/15/22 | 375,000 | 376,964 | ||
3.70%, 08/01/23 | 240,000 | 250,600 | ||
Duke Energy Corporation | ||||
3.95%, 10/15/23 | 430,000 | 454,086 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 144A | 295,000 | 301,500 | ||
Enbridge Energy Partners LP | ||||
5.20%, 03/15/20 | 280,000 | 284,881 | ||
4.38%, 10/15/20 | 15,000 | 15,345 | ||
Energy Transfer Operating LP | ||||
4.15%, 10/01/20 | 1,115,000 | 1,134,365 | ||
3.60%, 02/01/23 | 105,000 | 107,388 | ||
4.25%, 03/15/23 | 630,000 | 658,195 | ||
Energy Transfer Partners LP | ||||
5.75%, 09/01/20 | 230,000 | 236,504 | ||
EQT Corporation | ||||
2.50%, 10/01/20 | 395,000 | 394,053 | ||
Exelon Corporation | ||||
2.45%, 04/15/21 | 175,000 | 175,010 | ||
Exelon Generation Co. LLC | ||||
5.20%, 10/01/19 | 240,000 | 241,470 | ||
First Data Corporation | ||||
5.38%, 08/15/23 144A | 400,000 | 407,700 | ||
FirstEnergy Corporation | ||||
2.85%, 07/15/22 | 2,357,000 | 2,386,781 | ||
Fiserv, Inc. | ||||
3.50%, 10/01/22 | 380,000 | 391,702 | ||
2.75%, 07/01/24 | 475,000 | 479,782 | ||
Florida Power & Light Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.97%, 05/06/22† | 420,000 | 420,211 | ||
Ford Motor Credit Co. LLC | ||||
1.90%, 08/12/19 | 2,200,000 | 2,197,958 | ||
2.43%, 06/12/20 | 1,135,000 | 1,130,886 | ||
3.16%, 08/04/20 | 225,000 | 225,889 | ||
3.34%, 03/18/21 | 300,000 | 301,640 | ||
(Floating, ICE LIBOR USD 3M + 0.81%), 3.14%, 04/05/21† | 500,000 | 493,605 | ||
3.81%, 10/12/21 | 241,000 | 244,707 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 3.60%, 03/28/22† | 235,000 | 231,299 |
Par | Value | |||
4.14%, 02/15/23 | $345,000 | $351,716 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 500,000 | 503,125 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 3.29%, 11/05/21† | 500,000 | 498,038 | ||
General Electric Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 5.00%, 01/21/21^ | 700,000 | 676,186 | ||
General Motors Financial Co., Inc. | ||||
2.65%, 04/13/20 | 460,000 | 459,942 | ||
(Floating, ICE LIBOR USD 3M + 0.93%), 3.53%, 04/13/20† | 1,010,000 | 1,013,049 | ||
2.45%, 11/06/20 | 605,000 | 603,136 | ||
3.70%, 11/24/20 | 2,790,000 | 2,826,917 | ||
3.20%, 07/06/21 | 800,000 | 807,287 | ||
4.20%, 11/06/21 | 395,000 | 406,862 | ||
(Floating, ICE LIBOR USD 3M + 1.55%), 4.15%, 01/14/22† | 895,000 | 903,795 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 3.64%, 06/30/22† Δ | 614,000 | 613,989 | ||
3.25%, 01/05/23Δ | 290,000 | 291,254 | ||
4.15%, 06/19/23 | 235,000 | 242,214 | ||
Georgia-Pacific LLC | ||||
3.73%, 07/15/23 144A | 500,000 | 523,611 | ||
Goldman Sachs Group, Inc. (The) | ||||
2.60%, 04/23/20 | 925,000 | 926,908 | ||
2.60%, 12/27/20 | 990,000 | 991,058 | ||
2.35%, 11/15/21 | 20,000 | 19,988 | ||
3.00%, 04/26/22 | 1,040,000 | 1,050,204 | ||
(Floating, ICE LIBOR USD 3M + 0.78%), 3.36%, 10/31/22† | 2,000,000 | 2,001,739 | ||
Harley-Davidson Financial Services, Inc. | ||||
2.15%, 02/26/20 144A | 260,000 | 259,034 | ||
Hartford Financial Services Group, Inc. (The) | ||||
5.13%, 04/15/22 | 263,000 | 282,067 | ||
HSBC USA, Inc. | ||||
2.75%, 08/07/20 | 1,500,000 | 1,507,881 | ||
Huntington National Bank (The) | ||||
2.38%, 03/10/20Δ | 1,240,000 | 1,239,686 | ||
3.13%, 04/01/22 | 275,000 | 280,486 | ||
Hyundai Capital America | ||||
1.75%, 09/27/19 144A | 435,000 | 434,167 | ||
2.55%, 04/03/20 144A | 315,000 | 314,516 | ||
International Business Machines Corporation | ||||
2.80%, 05/13/21 | 915,000 | 926,327 | ||
3.00%, 05/15/24Δ | 815,000 | 837,570 | ||
International Lease Finance Corporation | ||||
8.25%, 12/15/20 | 800,000 | 863,393 | ||
8.63%, 01/15/22 | 1,200,000 | 1,369,115 | ||
Interpublic Group of Cos., Inc. (The) | ||||
3.50%, 10/01/20 | 230,000 | 232,978 | ||
3.75%, 10/01/21 | 80,000 | 82,124 |
Table of Contents
Par | Value | |||
Iron Mountain, Inc. REIT | ||||
4.38%, 06/01/21 144A | $635,000 | $642,937 | ||
iStar, Inc. REIT | ||||
4.63%, 09/15/20 | 225,000 | 227,531 | ||
Jackson National Life Global Funding | ||||
3.30%, 02/01/22 144A | 1,125,000 | 1,151,464 | ||
John Deere Capital Corporation | ||||
2.60%, 03/07/24 | 85,000 | 85,977 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.68%), 3.20%, 06/01/21† | 1,265,000 | 1,269,688 | ||
(Floating, ICE LIBOR USD 3M + 0.61%), 3.01%, 06/18/22† | 540,000 | 541,136 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 2.78%, 04/25/23^ | 815,000 | 823,394 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 165,000 | 173,142 | ||
JPMorgan Chase Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.28%), 2.60%, 02/01/21^ | 1,850,000 | 1,852,262 | ||
(Variable, ICE LIBOR USD 3M + 0.35%), 3.09%, 04/26/21^ | 525,000 | 528,031 | ||
Kinder Morgan Energy Partners LP | ||||
5.00%, 10/01/21 | 300,000 | 314,668 | ||
Kinder Morgan, Inc. | ||||
3.05%, 12/01/19 | 810,000 | 811,526 | ||
3.15%, 01/15/23 | 810,000 | 824,525 | ||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.88%, 01/15/23† | 660,000 | 666,576 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 3.37%, 08/10/22† Δ | 400,000 | 398,374 | ||
L3 Technologies, Inc. | ||||
4.40%, 06/15/28 | 375,000 | 409,882 | ||
Lam Research Corporation | ||||
2.80%, 06/15/21 | 40,000 | 40,317 | ||
Lear Corporation | ||||
5.25%, 01/15/25 | 2,300,000 | 2,383,124 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 600,000 | 10,020 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,287,125 | ||
Level 3 Financing, Inc. | ||||
5.13%, 05/01/23 | 200,000 | 202,420 | ||
Lowe's Cos., Inc. | ||||
3.65%, 04/05/29 | 195,000 | 203,786 | ||
Masco Corporation | ||||
5.95%, 03/15/22 | 683,000 | 739,225 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 201,910 | ||
Metropolitan Life Global Funding I | ||||
2.40%, 01/08/21 144A | 790,000 | 792,007 | ||
Midwest Connector Capital Co. LLC | ||||
3.63%, 04/01/22 144A | 675,000 | 691,874 | ||
Morgan Stanley | ||||
5.50%, 01/26/20 | 969,000 | 985,787 | ||
(Floating, ICE LIBOR USD 3M + 0.55%), 3.10%, 02/10/21† | 1,500,000 | 1,502,029 |
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.77%, 01/20/22† | $653,000 | $660,048 | ||
2.75%, 05/19/22 | 755,000 | 763,216 | ||
Navient Corporation | ||||
8.00%, 03/25/20 | 400,000 | 415,000 | ||
6.63%, 07/26/21 | 575,000 | 610,219 | ||
Newmont Goldcorp Corporation | ||||
3.50%, 03/15/22 | 280,000 | 286,680 | ||
NextEra Energy Capital Holdings, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.92%, 08/21/20† Δ | 1,000,000 | 999,647 | ||
3.34%, 09/01/20 | 990,000 | 1,001,478 | ||
3.20%, 02/25/22 | 100,000 | 101,947 | ||
2.90%, 04/01/22 | 925,000 | 941,401 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 408,299 | ||
Nissan Motor Acceptance Corporation | ||||
2.25%, 01/13/20 144A Δ | 310,000 | 309,452 | ||
2.13%, 03/03/20 144A | 455,000 | 453,653 | ||
2.15%, 09/28/20 144A Δ | 515,000 | 512,251 | ||
3.65%, 09/21/21 144A | 5,000,000 | 5,120,590 | ||
Northrop Grumman Corporation | ||||
2.55%, 10/15/22 | 785,000 | 786,934 | ||
Northwest Airlines Pass Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | 45,313 | 47,019 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 90,000 | 92,544 | ||
NuStar Logistics LP | ||||
6.75%, 02/01/21 | 250,000 | 262,500 | ||
NVIDIA Corporation | ||||
2.20%, 09/16/21 | 605,000 | 603,674 | ||
ONEOK, Inc. | ||||
4.25%, 02/01/22 | 1,300,000 | 1,345,798 | ||
Pennsylvania Electric Co. | ||||
5.20%, 04/01/20 | 500,000 | 508,827 | ||
Penske Truck Leasing Co. LP | ||||
3.05%, 01/09/20 144A | 760,000 | 760,998 | ||
3.20%, 07/15/20 144A | 1,000,000 | 1,004,721 | ||
3.38%, 02/01/22 144A | 755,000 | 769,952 | ||
4.25%, 01/17/23 144A | 165,000 | 173,654 | ||
2.70%, 03/14/23 144A | 255,000 | 255,078 | ||
3.45%, 07/01/24 144A | 1,500,000 | 1,546,789 | ||
Phillips 66 | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.12%, 02/26/21† | 595,000 | 595,023 | ||
Protective Life Global Funding | ||||
2.16%, 09/25/20 144A | 1,565,000 | 1,562,493 | ||
QEP Resources, Inc. | ||||
6.88%, 03/01/21 | 543,000 | 560,647 | ||
QUALCOMM, Inc. | ||||
2.60%, 01/30/23 | 85,000 | 85,352 | ||
Qwest Corporation | ||||
6.75%, 12/01/21 | 350,000 | 375,951 |
Table of Contents
Par | Value | |||
Roper Technologies, Inc. | ||||
3.65%, 09/15/23 | $365,000 | $380,444 | ||
Ryder System, Inc. | ||||
2.88%, 06/01/22 | 3,215,000 | 3,253,226 | ||
3.75%, 06/09/23 | 250,000 | 260,331 | ||
S&P Global, Inc. | ||||
3.30%, 08/14/20 | 800,000 | 808,521 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 1,170,000 | 1,215,618 | ||
6.25%, 03/15/22 | 1,100,000 | 1,194,390 | ||
5.75%, 05/15/24 | 130,000 | 144,661 | ||
Santander Holdings USA, Inc. | ||||
2.65%, 04/17/20 | 1,230,000 | 1,229,836 | ||
4.45%, 12/03/21 | 775,000 | 806,422 | ||
3.70%, 03/28/22 | 815,000 | 835,074 | ||
Sempra Energy | ||||
1.63%, 10/07/19 | 385,000 | 383,960 | ||
2.40%, 02/01/20 | 290,000 | 289,959 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.10%, 01/15/21† | 630,000 | 628,103 | ||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | 1,250,000 | 1,259,375 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 401,980 | ||
Smithfield Foods, Inc. | ||||
2.70%, 01/31/20 144A | 250,000 | 249,516 | ||
2.65%, 10/03/21 144A | 495,000 | 488,086 | ||
Southern California Edison Co. | ||||
2.90%, 03/01/21 | 1,000,000 | 1,002,734 | ||
1.85%, 02/01/22 | 642,857 | 631,696 | ||
Spectra Energy Partners LP | ||||
4.75%, 03/15/24 | 90,000 | 97,540 | ||
Sprint Spectrum Co., LLC | ||||
3.36%, 09/20/21 144A | 1,051,875 | 1,054,778 | ||
4.74%, 03/20/25 144A | 445,000 | 462,800 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 270,000 | 270,000 | ||
5.00%, 12/15/21 | 275,000 | 283,250 | ||
Sterling Bancorp | ||||
3.50%, 06/08/20 | 480,000 | 481,031 | ||
Sunoco Logistics Partners Operations LP | ||||
5.50%, 02/15/20 | 130,000 | 132,186 | ||
SunTrust Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 1,515,000 | 1,516,307 | ||
2.80%, 05/17/22 | 1,555,000 | 1,575,395 | ||
Synchrony Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.63%), 2.95%, 03/30/20† Δ | 1,700,000 | 1,701,838 | ||
Synchrony Financial | ||||
3.00%, 08/15/19 | 212,000 | 212,036 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.81%, 02/03/20† | 250,000 | 251,019 | ||
Tenet Healthcare Corporation | ||||
6.00%, 10/01/20 | 435,000 | 449,437 |
Par | Value | |||
Total System Services, Inc. | ||||
3.75%, 06/01/23 | $240,000 | $247,884 | ||
TRI Pointe Group, Inc. | ||||
4.88%, 07/01/21 | 300,000 | 307,500 | ||
Unit Corporation | ||||
6.63%, 05/15/21 | 175,000 | 159,688 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.17%, 08/16/21† | 370,000 | 370,239 | ||
3.35%, 08/16/21 | 915,000 | 935,518 | ||
3.65%, 08/16/23 | 230,000 | 241,040 | ||
US Airways Pass Through Trust, Series 2012-1, Class B | ||||
8.00%, 10/01/19 | 225,258 | 227,556 | ||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25 | 905,000 | 902,007 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.62%, 05/15/25† | 1,900,000 | 1,926,007 | ||
3.88%, 02/08/29 | 390,000 | 418,686 | ||
Vistra Energy Corporation | ||||
5.88%, 06/01/23 | 150,000 | 153,938 | ||
Volkswagen Group of America Finance LLC | ||||
3.88%, 11/13/20 144A | 820,000 | 837,601 | ||
WEA Finance LLC REIT | ||||
2.70%, 09/17/19 144A | 260,000 | 259,996 | ||
WEC Energy Group, Inc. | ||||
3.38%, 06/15/21 | 555,000 | 566,078 | ||
3.10%, 03/08/22Δ | 550,000 | 559,269 | ||
Wells Fargo & Co. | ||||
2.50%, 03/04/21 | 150,000 | 150,377 | ||
(Floating, ICE LIBOR USD 3M + 0.93%), 3.47%, 02/11/22† | 500,000 | 503,056 | ||
3.07%, 01/24/23 | 50,000 | 50,804 | ||
3.75%, 01/24/24 | 220,000 | 231,452 | ||
Wells Fargo Bank NA | ||||
2.60%, 01/15/21 | 1,500,000 | 1,506,613 | ||
(Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,320,000 | 1,332,850 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21Δ | 175,000 | 180,614 | ||
3.70%, 01/15/23 | 480,000 | 496,411 | ||
WR Grace & Co-Conn | ||||
5.13%, 10/01/21 144A | 135,000 | 140,738 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 115,000 | 119,393 | ||
Xerox Corporation | ||||
3.50%, 08/20/20 | 270,000 | 270,338 | ||
Zimmer Biomet Holdings, Inc. | ||||
2.70%, 04/01/20 | 190,000 | 190,261 | ||
Zions Bancorp NA | ||||
3.35%, 03/04/22 | 590,000 | 601,204 |
Table of Contents
Par | Value | |||
Zoetis, Inc. | ||||
3.45%, 11/13/20 | $300,000 | $303,866 | ||
Total Corporate Bonds (Cost $222,186,044) | 224,403,298 | |||
FOREIGN BONDS — 11.1% | ||||
Australia — 1.2% | ||||
Commonwealth Bank of Australia | ||||
2.05%, 09/18/20 144A Δ | 250,000 | 249,391 | ||
Macquarie Group, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 3.54%, 11/28/23 144A † | 1,435,000 | 1,436,525 | ||
(Floating, ICE LIBOR USD 3M + 1.35%), 3.66%, 03/27/24 144A † | 2,800,000 | 2,815,179 | ||
National Australia Bank, Ltd. | ||||
2.25%, 03/16/21 144A | 1,500,000 | 1,503,919 | ||
Scentre Group Trust 1 REIT | ||||
2.38%, 04/28/21 144A | 1,500,000 | 1,495,510 | ||
Suncorp-Metway, Ltd. | ||||
2.35%, 04/27/20 144A | 420,000 | 419,676 | ||
2.38%, 11/09/20 144A | 785,000 | 785,460 | ||
Virgin Australia Pass Through Trust, Series 2013-1A | ||||
5.00%, 10/23/23 144A | 150,633 | 155,205 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A Δ | 1,275,000 | 1,331,055 | ||
Woodside Finance, Ltd. | ||||
4.60%, 05/10/21 144A | 600,000 | 618,502 | ||
3.70%, 09/15/26 144A | 400,000 | 406,852 | ||
11,217,274 | ||||
Bermuda — 0.0% | ||||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 281,788 | ||
Canada — 0.6% | ||||
Bank of Montreal | ||||
2.90%, 03/26/22 | 1,105,000 | 1,122,341 | ||
Bausch Health Cos., Inc. | ||||
6.50%, 03/15/22 144A | 300,000 | 311,250 | ||
Canada Housing Trust No. 1 | ||||
2.65%, 12/15/28(C) 144A | 4,540,000 | 3,699,881 | ||
Cenovus Energy, Inc. | ||||
5.70%, 10/15/19 | 461,539 | 465,139 | ||
Enbridge, Inc. | ||||
2.90%, 07/15/22 | 15,000 | 15,227 | ||
TransCanada PipeLines, Ltd. | ||||
3.75%, 10/16/23 | 45,000 | 46,915 | ||
WestJet Airlines, Ltd. | ||||
3.50%, 06/16/21 144A | 600,000 | 603,560 | ||
6,264,313 | ||||
Chile — 0.2% | ||||
Banco del Estado de Chile | ||||
2.67%, 01/08/21 144A | 725,000 | 725,650 |
Par | Value | |||
Banco Santander Chile | ||||
2.50%, 12/15/20 144A | $635,000 | $639,128 | ||
Itau CorpBanca | ||||
3.88%, 09/22/19 144A | 500,000 | 501,750 | ||
1,866,528 | ||||
China — 0.7% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.63%, 05/01/22 144A Δ | 350,000 | 355,198 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22Δ | 235,000 | 235,799 | ||
Park Aerospace Holdings, Ltd. | ||||
3.63%, 03/15/21 144A | 400,000 | 404,520 | ||
5.25%, 08/15/22 144A | 800,000 | 846,640 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
2.50%, 04/28/20 | 3,500,000 | 3,500,476 | ||
Sinopec Group Overseas Development 2017, Ltd. | ||||
2.38%, 04/12/20 144A | 970,000 | 970,155 | ||
Tencent Holdings, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.91%), 3.49%, 04/11/24 144A † | 600,000 | 600,559 | ||
6,913,347 | ||||
Finland — 0.1% | ||||
Nokia OYJ | ||||
3.38%, 06/12/22 | 185,000 | 187,313 | ||
Nordea Bank Abp | ||||
1.63%, 09/30/19 144A | 280,000 | 279,349 | ||
466,662 | ||||
France — 0.3% | ||||
Banque Federative du Credit Mutuel SA | ||||
2.20%, 07/20/20 144A | 1,230,000 | 1,228,738 | ||
Credit Agricole SA | ||||
3.38%, 01/10/22 144A | 1,600,000 | 1,632,387 | ||
2,861,125 | ||||
Germany — 0.6% | ||||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,405,000 | 1,394,876 | ||
4.25%, 02/04/21 | 410,000 | 413,758 | ||
Erste Abwicklungsanstalt | ||||
(Floating, ICE LIBOR USD 3M + 0.21%), 2.66%, 03/09/20† | 4,000,000 | 4,006,182 | ||
5,814,816 | ||||
Hong Kong — 0.2% | ||||
CK Hutchison International 17 II, Ltd. | ||||
2.25%, 09/29/20 144A | 990,000 | 987,994 | ||
Goodman HK Finance | ||||
4.38%, 06/19/24 | 1,200,000 | 1,259,915 | ||
2,247,909 |
Table of Contents
Par | Value | |||
India — 0.3% | ||||
Export-Import Bank of India | ||||
2.75%, 04/01/20 | $1,300,000 | $1,302,158 | ||
ICICI Bank, Ltd. | ||||
3.13%, 08/12/20 | 1,000,000 | 1,002,928 | ||
State Bank of India | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.54%, 04/06/20† | 1,000,000 | 1,002,437 | ||
3,307,523 | ||||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A Δ | 1,175,000 | 1,229,344 | ||
Ireland — 0.8% | ||||
AerCap Ireland Capital DAC | ||||
3.95%, 02/01/22 | 940,000 | 967,473 | ||
3.50%, 05/26/22 | 460,000 | 468,700 | ||
3.30%, 01/23/23 | 155,000 | 156,482 | ||
AIB Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.87%), 4.26%, 04/10/25 144A Δ ^ | 200,000 | 206,061 | ||
Shire Acquisitions Investments Ireland DAC | ||||
1.90%, 09/23/19 | 3,560,000 | 3,554,682 | ||
2.40%, 09/23/21 | 740,000 | 739,346 | ||
2.88%, 09/23/23 | 200,000 | 202,094 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A | 390,000 | 389,994 | ||
3.00%, 07/15/22 144A | 540,000 | 546,996 | ||
Willis Towers Watson PLC | ||||
5.75%, 03/15/21 | 131,000 | 137,616 | ||
7,369,444 | ||||
Japan — 1.8% | ||||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.28%, 09/14/21† | 1,000,000 | 1,007,988 | ||
(Floating, ICE LIBOR USD 3M + 0.56%), 3.13%, 11/02/21† | 1,000,000 | 1,001,159 | ||
2.85%, 03/03/22 | 2,000,000 | 2,023,410 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.54%, 07/26/21 | 65,000 | 66,484 | ||
3.22%, 03/07/22 | 2,030,000 | 2,073,634 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 3.37%, 07/25/22† | 1,500,000 | 1,505,483 | ||
(Floating, ICE LIBOR USD 3M + 0.74%), 3.26%, 03/02/23† | 900,000 | 900,181 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
2.25%, 09/07/21 | 500,000 | 497,070 | ||
Mitsubishi UFJ Trust & Banking Corporation | ||||
2.65%, 10/19/20 144A | 700,000 | 702,568 | ||
Mizuho Bank, Ltd. | ||||
2.40%, 03/26/20 144A | 510,000 | 510,433 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.93%, 03/09/21 | 1,600,000 | 1,615,118 |
Par | Value | |||
2.06%, 07/14/21 | $1,100,000 | $1,095,826 | ||
(Floating, ICE LIBOR USD 3M + 0.74%), 3.34%, 10/18/22† | 2,000,000 | 2,004,691 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
1.95%, 09/19/19 144A | 490,000 | 489,462 | ||
2.05%, 10/18/19 144A | 520,000 | 519,409 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
3.80%, 11/26/20 144A | 690,000 | 702,748 | ||
4.00%, 11/26/21 144A | 1,100,000 | 1,138,585 | ||
17,854,249 | ||||
Netherlands — 0.7% | ||||
BNG Bank NV | ||||
2.50%, 02/28/20 144A | 2,000,000 | 2,004,514 | ||
1.75%, 10/05/20 144A | 1,450,000 | 1,445,756 | ||
Cooperatieve Rabobank UA | ||||
3.13%, 04/26/21 | 1,570,000 | 1,595,575 | ||
Deutsche Telekom International Finance BV | ||||
6.00%, 07/08/19 | 390,000 | 390,214 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 400,000 | 420,343 | ||
NXP BV | ||||
4.13%, 06/01/21 144A | 500,000 | 512,800 | ||
6,369,202 | ||||
New Zealand — 0.0% | ||||
ANZ New Zealand International, Ltd. | ||||
2.20%, 07/17/20 144A | 340,000 | 339,686 | ||
Norway — 0.1% | ||||
DNB Bank ASA | ||||
2.13%, 10/02/20 144A | 950,000 | 947,144 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 702,937 | ||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | 990,000 | 999,542 | ||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 701,905 | ||
DBS Group Holdings, Ltd. | ||||
2.85%, 04/16/22 144A | 595,000 | 603,146 | ||
1,305,051 | ||||
South Korea — 0.1% | ||||
Hyundai Capital Services, Inc. | ||||
1.63%, 08/30/19 144A | 520,000 | 519,042 | ||
Sweden — 0.2% | ||||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A Δ | 1,000,000 | 1,010,194 | ||
Swedbank AB | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 3.13%, 03/14/22 144A † | 700,000 | 694,460 |
Table of Contents
Par | Value | |||
Telefonaktiebolaget LM Ericsson | ||||
4.13%, 05/15/22 | $155,000 | $160,557 | ||
1,865,211 | ||||
Switzerland — 0.6% | ||||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 766,104 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
2.75%, 03/26/20 | 900,000 | 901,606 | ||
3.80%, 09/15/22 | 450,000 | 466,691 | ||
UBS AG | ||||
2.20%, 06/08/20 144A | 1,490,000 | 1,489,480 | ||
2.45%, 12/01/20 144A | 755,000 | 756,252 | ||
UBS Group Funding Switzerland AG | ||||
(Floating, ICE LIBOR USD 3M + 1.78%), 4.38%, 04/14/21 144A † | 900,000 | 922,024 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | 368,393 | ||
5,670,550 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 655,000 | 660,767 | ||
United Kingdom — 2.1% | ||||
Aon PLC | ||||
2.80%, 03/15/21 | 225,000 | 226,642 | ||
Barclays PLC | ||||
2.75%, 11/08/19 | 700,000 | 699,472 | ||
3.25%, 01/12/21Δ | 725,000 | 730,940 | ||
(Floating, ICE LIBOR USD 3M + 2.11%), 4.66%, 08/10/21† | 1,000,000 | 1,022,334 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | 621,121 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.09%, 09/11/21† | 2,000,000 | 2,002,227 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 270,000 | 275,159 | ||
Jaguar Land Rover Automotive PLC | ||||
3.50%, 03/15/20 144A Δ | 300,000 | 298,125 | ||
Lloyds Banking Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 3.19%, 06/21/21† | 2,000,000 | 2,001,344 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,528,446 | ||
NatWest Markets PLC | ||||
3.63%, 09/29/22 144A | 635,000 | 649,120 | ||
Royal Bank of Scotland Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 3.99%, 05/15/23† | 1,810,000 | 1,805,664 | ||
3.88%, 09/12/23 | 240,000 | 246,423 | ||
Santander UK Group Holdings PLC | ||||
2.88%, 08/05/21 | 3,500,000 | 3,506,597 |
Par | Value | |||
3.57%, 01/10/23 | $350,000 | $356,268 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 217,226 | ||
Santander UK PLC | ||||
3.75%, 11/15/21 | 525,000 | 541,551 | ||
Sky, Ltd. | ||||
2.63%, 09/16/19 144A | 221,000 | 221,034 | ||
Standard Chartered PLC | ||||
2.10%, 08/19/19 144A Δ | 580,000 | 579,538 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 3.59%, 01/16/24† | 2,700,000 | 2,708,683 | ||
20,237,914 | ||||
Total Foreign Bonds (Cost $106,283,527) | 107,311,368 | |||
MORTGAGE-BACKED SECURITIES — 19.4% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 3.93%, 09/15/34 144A † | 315,000 | 316,041 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 3.42%, 11/25/46† | 664,678 | 336,395 | ||
American Home Mortgage Investment Trust, Series 2004-3, Class 5A | ||||
(Floating, ICE LIBOR USD 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 4.21%, 10/25/34† | 24,308 | 24,373 | ||
Americold LLC, Series 2010-ARTA, Class A1 | ||||
3.85%, 01/14/29 144A | 325,311 | 328,852 | ||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | 1,330,000 | 1,344,187 | ||
Apollo Trust, Series 2009-1, Class A3 | ||||
(Floating, Australian BBSW 1M + 1.30%), 2.70%, 10/03/40(A) † | 9,785 | 6,874 | ||
Aventura Mall Trust, Series 2013-AVM, Class A | ||||
3.87%, 12/05/32 144A † γ | 1,770,000 | 1,796,103 | ||
Aventura Mall Trust, Series 2013-AVM, Class B | ||||
3.87%, 12/05/32 144A † γ | 1,410,000 | 1,430,794 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
4.65%, 01/20/47† γ | 217,625 | 211,622 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
4.99%, 01/25/34† γ | 81,996 | 82,899 | ||
Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | ||||
6.50%, 10/25/31 | 27,392 | 29,195 |
Table of Contents
Par | Value | |||
Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.66%, 0.33% Floor, 11.50% Cap), 3.06%, 09/25/34† | $446,654 | $442,437 | ||
Bear Stearns ALT-A Trust, Series 2004-13, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.74%, 0.37% Floor, 11.50% Cap), 3.14%, 11/25/34† | 9,978 | 9,983 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
4.76%, 01/25/34† γ | 120,614 | 124,563 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
4.50%, 07/25/34† γ | 113,197 | 114,477 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.51%, 01/12/45† γ | 152,367 | 152,192 | ||
BX Trust, Series 2017-APPL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 3.27%, 07/15/34 144A † | 2,037,697 | 2,040,330 | ||
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A | ||||
3.53%, 10/15/34 144A | 585,000 | 606,999 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,563,871 | ||
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class B | ||||
3.21%, 04/10/28 144A | 850,000 | 853,800 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 4.45%, 06/15/34 144A † | 1,610,000 | 1,610,000 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 11.50% Cap), 2.94%, 02/25/35† | 66,452 | 64,634 | ||
Citigroup Commercial Mortgage Trust, Series 2015-SHP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.28%, 1.28% Floor), 3.67%, 07/15/27 144A † | 1,035,000 | 1,035,258 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 1,010,000 | 1,029,301 | ||
CLNS Trust, Series 2017-IKPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 3.21%, 06/11/32 144A † | 420,000 | 420,600 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 486,027 | 485,241 |
Par | Value | |||
COMM Mortgage Trust, Series 2013-300P, Class A1 | ||||
4.35%, 08/10/30 144A | $515,000 | $551,789 | ||
COMM Mortgage Trust, Series 2013-CR12, Class A2 | ||||
2.90%, 10/10/46 | 127,395 | 127,306 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 785,632 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 326,433 | 324,288 | ||
COMM Mortgage Trust, Series 2014-CR17, Class ASB | ||||
3.60%, 05/10/47 | 1,500,302 | 1,545,325 | ||
COMM Mortgage Trust, Series 2014-UBS3, Class ASB | ||||
3.37%, 06/10/47 | 1,040,571 | 1,066,531 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 390,000 | 402,505 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 480,000 | 497,854 | ||
COMM Mortgage Trust, Series 2015-CR25, Class ASB | ||||
3.54%, 08/10/48 | 1,160,000 | 1,206,391 | ||
COMM Trust, Series 2013-GAM, Class A1 | ||||
1.71%, 02/10/28 144A | 325,272 | 322,504 | ||
Core Industrial Trust, Series 2015-TEXW, Class A | ||||
3.08%, 02/10/34 144A | 1,439,120 | 1,474,836 | ||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4 | ||||
3.51%, 04/15/50 | 280,000 | 294,377 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
1.95%, 01/15/49† IO γ | 979,719 | 82,298 | ||
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | ||||
2.99%, 03/15/52 | 975,753 | 993,361 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.56% on 08/25/19), 5.87%, 10/25/36 STEP | 191,268 | 183,841 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.56% on 08/25/19), 5.89%, 10/25/36 STEP | 191,268 | 183,839 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 3.22%, 06/15/35 144A † | 429,745 | 430,933 |
Table of Contents
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.55%, 09/25/29† | $348,952 | $350,054 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 3.25%, 11/25/29† | 485,478 | 486,029 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05 | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor), 3.12%, 01/25/31† | 921,421 | 922,029 | ||
Federal Home Loan Mortgage Corporation | ||||
5.00%, 12/01/19 | 3,657 | 3,745 | ||
5.50%, 05/01/22 | 39,980 | 40,473 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 13.12% Cap), 4.63%, 07/01/27† | 3,841 | 3,962 | ||
2.50%, 11/01/27 | 1,260,936 | 1,273,284 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 11.04% Cap), 4.72%, 11/01/31† | 25,547 | 26,913 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 10.96% Cap), 4.76%, 04/01/32† | 5,188 | 5,467 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 9.68% Cap), 4.58%, 06/01/33† | 370,841 | 389,502 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 9.49% Cap), 4.74%, 10/01/34† | 68,939 | 72,812 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 10.74% Cap), 4.59%, 08/01/35† | 225,438 | 237,381 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 10.33% Cap), 4.10%, 09/01/35† | 122,895 | 127,120 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 10.84% Cap), 4.40%, 10/01/35† | 137,851 | 144,155 | ||
(Floating, ICE LIBOR USD 1Y + 1.52%, 11.80% Cap), 4.60%, 04/01/36† | 164,927 | 171,836 | ||
4.50%, 07/01/47 | 103,864 | 111,803 | ||
4.50%, 03/01/49 | 7,899,913 | 8,573,893 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 2.89%, 10/15/36† | 1,546,751 | 1,546,750 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 114,432 | 121,851 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 300,279 | 319,278 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 352,502 | 372,317 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | $592,188 | $608,128 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4493 | ||||
3.00%, 02/15/44 | 445,167 | 457,309 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 514,724 | 533,111 | ||
Federal National Mortgage Association | ||||
5.00%, 07/01/19 | 12 | 12 | ||
5.00%, 05/01/21 | 3,108 | 3,181 | ||
5.00%, 11/01/21 | 2,403 | 2,460 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.99%, 1.99% Floor, 10.58% Cap), 4.42%, 12/01/24 CONV † | 8,765 | 8,926 | ||
2.50%, 12/01/27 | 765,656 | 772,717 | ||
3.00%, 09/01/30 | 351,606 | 359,747 | ||
3.00%, 02/01/31 | 1,878,962 | 1,921,389 | ||
3.00%, 04/01/31 | 31,173 | 31,876 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.69% Cap), 4.62%, 09/01/31† | 37,722 | 39,152 | ||
2.50%, 10/01/31 | 786,785 | 793,354 | ||
2.50%, 11/01/31 | 1,527,886 | 1,540,644 | ||
2.50%, 01/01/32 | 14,284 | 14,399 | ||
3.00%, 03/01/32 | 1,162,483 | 1,189,454 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 3.81%, 08/01/32† | 314,138 | 319,104 | ||
3.00%, 11/01/32 | 109,806 | 112,054 | ||
3.00%, 12/01/32 | 1,631,832 | 1,667,492 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 4.86%, 12/01/32† | 279,506 | 295,774 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.38% Cap), 4.79%, 06/01/33† | 10,303 | 10,748 | ||
4.00%, 03/01/34 | 104,663 | 109,748 | ||
4.00%, 05/01/34 | 992,402 | 1,052,328 | ||
2.50%, 07/01/34 TBA | 530,000 | 533,758 | ||
4.00%, 07/01/34 TBA | 545,000 | 565,799 | ||
4.50%, 07/01/34 TBA | 510,000 | 520,300 | ||
2.50%, 08/01/34 TBA | 3,820,000 | 3,845,739 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.09% Cap), 4.72%, 02/01/35† | 146,531 | 153,781 | ||
(Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 4.36%, 09/01/35† | 25,689 | 26,391 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 4.74%, 12/01/35† | 4,900 | 4,981 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.51% Cap), 4.61%, 05/01/38† | 1,165,222 | 1,223,289 | ||
3.68%, 08/01/42† | 254,493 | 256,314 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 8.38% Cap), 3.32%, 09/01/42† | $599,017 | $617,434 | ||
(Floating, ICE LIBOR USD 1Y + 1.70%, 1.70% Floor, 7.71% Cap), 2.71%, 07/01/43† | 968,245 | 981,046 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.49% Cap), 3.68%, 07/01/44† | 129,536 | 130,521 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.69% Cap), 3.68%, 10/01/44† | 103,858 | 104,614 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.67% Cap), 2.67%, 06/01/45† | 1,099,912 | 1,111,341 | ||
4.50%, 03/01/47 | 374,113 | 397,618 | ||
4.50%, 05/01/47 | 1,229,704 | 1,308,475 | ||
4.50%, 07/01/47 | 119,127 | 127,306 | ||
4.50%, 11/01/47 | 1,384,862 | 1,473,994 | ||
4.50%, 06/01/48 | 133,193 | 144,562 | ||
4.50%, 11/01/48 | 438,455 | 475,879 | ||
4.50%, 02/01/49 | 1,157,312 | 1,260,205 | ||
4.50%, 04/01/49 | 292,133 | 318,464 | ||
3.50%, 08/01/49 TBA | 3,000,000 | 3,066,756 | ||
4.00%, 08/01/49 TBA | 18,200,000 | 18,806,078 | ||
Federal National Mortgage Association ACES, Series 2015-M4 | ||||
0.48%, 07/25/22† IO γ | 17,852,346 | 156,351 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 2.83%, 10/25/36† | 207,350 | 207,959 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 2.95%, 10/25/37† | 353,702 | 356,570 | ||
Federal National Mortgage Association REMIC, Series 2010-72 | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 6.50% Cap), 3.12%, 07/25/40† | 919,186 | 930,706 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 188,101 | 199,766 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 2.85%, 07/25/42† | 275,900 | 276,426 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 2.80%, 06/25/55† | $338,543 | $336,746 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 2.99%, 03/25/46† | 1,659,792 | 1,657,845 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.94%, 07/25/46† | 2,081,829 | 2,080,831 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 418,096 | 426,371 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 390,000 | 399,957 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KW01 | ||||
1.11%, 01/25/26† IO γ | 2,606,637 | 135,816 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.95%, 04/25/30† | 381,730 | 381,589 | ||
FHLMC Structured Pass-Through Certificates, Series T-56 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 3.40%, 05/25/43† | 468,233 | 478,801 | ||
FHLMC Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.90%, 07/25/44† | 537,565 | 552,676 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
4.39%, 06/25/34† γ | 163,507 | 164,553 | ||
Flagstar Mortgage Trust, Series 2018-4, Class A4 | ||||
4.00%, 07/25/48 144A | 1,588,614 | 1,607,549 | ||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.79%, 08/19/34† | 321,439 | 321,821 | ||
FWDSecuritization Trust, Series 2019-INV1, Class A1 | ||||
2.81%, 07/25/49 144A | 1,000,000 | 999,921 |
Table of Contents
Par | Value | |||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.97%, 08/25/60 144A † | $648,895 | $649,833 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 2.00% Floor, 12.00% Cap), 3.63%, 06/20/21† | 523 | 527 | ||
4.00%, 03/20/22† | 37,108 | 37,456 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 4.00%, 01/20/23† | 7,532 | 7,574 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 10.00% Cap), 3.63%, 05/20/24† | 18,209 | 18,603 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.75%, 07/20/25† | 24,605 | 25,347 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.75%, 08/20/25† | 7,679 | 7,913 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 4.13%, 11/20/25† | 25,712 | 26,459 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 4.13%, 12/20/26† | 39,213 | 40,462 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 3.75%, 07/20/27† | 876 | 907 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 10.00% Cap), 4.13%, 10/20/27† | 14,156 | 14,631 | ||
8.50%, 10/15/29 | 19,841 | 20,182 | ||
8.50%, 04/15/30 | 3,114 | 3,143 | ||
8.50%, 05/15/30 | 54,127 | 55,875 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.63%, 05/20/30† | 21,792 | 22,572 | ||
8.55%, 07/15/30 | 39,493 | 41,313 | ||
8.50%, 08/15/30 | 4,613 | 4,669 | ||
8.50%, 11/15/30 | 6,339 | 6,575 | ||
8.50%, 12/15/30 | 17,549 | 19,351 | ||
8.50%, 02/15/31 | 14,501 | 14,980 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.68%, 05/20/37† | 108,755 | 108,631 |
Par | Value | |||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 3.07%, 02/20/61† | $962,941 | $965,520 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 1,378,247 | 1,401,391 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 2.88%, 05/20/63† | 1,562,008 | 1,569,053 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 3.24%, 02/20/66† | 454,983 | 456,088 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 3.24%, 10/20/66† | 2,220,364 | 2,235,360 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.63%, 04/20/67† | 2,884,878 | 2,991,488 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 3.63%, 04/20/67† | 3,261,735 | 3,322,229 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 3.28%, 11/21/35 144A † | 735,972 | 737,076 | ||
GRACE Mortgage Trust, Series 2014-GRCE, Class A | ||||
3.37%, 06/10/28 144A | 1,850,000 | 1,885,817 | ||
Great Wolf Trust, Series 2017-WOLF, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 1.00% Floor), 3.24%, 09/15/34 144A † | 390,000 | 390,544 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 2.94%, 11/25/45† | 127,115 | 112,347 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.58%, 01/25/37† | 375,093 | 360,104 | ||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | 680,000 | 701,594 |
Table of Contents
Par | Value | |||
GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.09%, 07/15/32 144A † | $1,500,000 | $1,499,222 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 3.35%, 06/15/36 144A † | 536,000 | 536,590 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A | 410,000 | 430,892 | ||
GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | ||||
3.72%, 07/10/46 | 2,161,988 | 2,221,276 | ||
GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | ||||
3.53%, 08/10/46 | 341,069 | 343,791 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 397,833 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
4.79%, 09/25/34† γ | 181,248 | 189,763 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.50%, 09/25/35† γ | 87,782 | 90,481 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 3.54%, 05/15/38 144A † | 859,000 | 861,613 | ||
Holmes Master Issuer PLC, Series 2018-2A, Class A2 | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 3.02%, 10/15/54 144A † | 3,200,000 | 3,233,611 | ||
Impac CMB Trust, Series 2003-1, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.40% Floor, 11.95% Cap), 3.20%, 03/25/33† | 46,057 | 45,992 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 2.59%, 09/25/46† | 468,621 | 446,123 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 2.67%, 06/25/37† | 213,829 | 204,092 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | 1,310,000 | 1,340,535 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 800,000 | 818,648 |
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | $1,005,538 | $1,012,338 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 203,306 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 3.34%, 07/15/36 144A † | 1,710,000 | 1,714,310 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.72%, 02/25/35† γ | 31,083 | 31,492 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.79%, 06/25/46 144A † γ | 778,259 | 781,091 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 943,081 | 954,058 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A5 | ||||
3.50%, 01/25/47 144A | 816,443 | 825,945 | ||
JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | ||||
3.00%, 08/25/47 144A | 2,202,292 | 2,213,303 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A | 1,947,084 | 1,964,912 | ||
JP Morgan Mortgage Trust, Series 2017-6, Class A6 | ||||
3.00%, 12/25/48 144A | 352,235 | 350,804 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 365,000 | 378,111 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,558,313 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 3.19%, 05/15/36 144A † | 409,000 | 409,764 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.74%, 05/15/36 144A † | 136,000 | 136,345 | ||
Lanark Master Issuer PLC, Series 2018-2A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 2.94%, 12/22/69 144A † | 1,123,400 | 1,122,226 |
Table of Contents
Par | Value | |||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 3.29%, 12/22/69 144A † | $1,940,000 | $1,951,362 | ||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | ||||
6.11%, 07/15/40 | 8,088 | 8,088 | ||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class A1 | ||||
2.42%, 03/10/50 144A | 958,174 | 959,451 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 2.57%, 12/25/36† | 452,274 | 438,133 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
4.60%, 12/25/33† γ | 142,309 | 145,940 | ||
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 2A1 | ||||
4.36%, 02/25/36† γ | 203,597 | 206,474 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 1,221,496 | 1,257,611 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 545,000 | 575,013 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 231,209 | 232,726 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 520,000 | 538,603 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 2,000,000 | 2,046,730 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB | ||||
3.38%, 10/15/48 | 825,000 | 852,974 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.89%, 12/15/49† IO γ | 1,954,496 | 85,059 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | ||||
3.35%, 07/13/29 144A | 815,000 | 831,853 | ||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 2.36%, 06/20/44(A) † | 119,950 | 84,541 | ||
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 2.95%, 03/09/21† | 560,812 | 562,331 |
Par | Value | |||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | $1,670,794 | $1,749,136 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 1,686,869 | 1,774,269 | ||
Permanent Master Issuer PLC, Series 2018-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.98%, 07/15/58 144A † | 830,000 | 830,463 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%), 3.37%, 04/14/36 144A † | 314,500 | 315,699 | ||
RAIT Trust, Series 2017-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 3.34%, 06/15/37 144A † | 67,916 | 67,390 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 6,157 | 6,405 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 937,520 | 1,190,486 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 585,841 | 607,327 | ||
Sequoia Mortgage Trust 2017-CH1 A2 | ||||
3.50%, 08/25/47 144A | 617,295 | 627,860 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A11 | ||||
3.50%, 08/25/47 144A | 977,156 | 985,594 | ||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | ||||
4.00%, 12/25/47 144A | 831,456 | 843,388 | ||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.15%, 01/21/70 144A † | 200,000 | 200,140 | ||
STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 3.20%, 12/25/30 144A † | 1,447,748 | 1,450,882 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 4.05%, 04/25/43 144A † | 922,846 | 927,076 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 3.65%, 02/25/47 144A † | 2,200,000 | 2,210,671 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Class 3A1 | ||||
4.61%, 08/25/34† γ | 230,965 | 231,037 |
Table of Contents
Par | Value | |||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
0.49%, 09/25/34 | $65,351 | $62,453 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.64%, 07/19/35† | 49,466 | 49,134 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 10.50% Cap), 2.68%, 02/25/36† | 359,292 | 345,030 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.77% on 08/25/19), 6.01%, 07/25/37 STEP | 254,093 | 177,058 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 2.32%, 04/12/44(A) † | 592,530 | 416,008 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.85%, 10/20/51(U) 144A † | 2,000,000 | 2,545,060 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.90%, 06/25/42† | 7,793 | 7,713 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
4.26%, 08/25/33† γ | 165,339 | 171,403 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor, 10.50% Cap), 2.71%, 01/25/45† | 327,736 | 326,426 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR19, Class 1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.74%, 0.74% Floor), 3.24%, 01/25/47† | 311,969 | 301,839 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5, Class A12A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.98%, 0.98% Floor), 3.48%, 06/25/46† | 626,319 | 621,498 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.90%, 02/25/37† γ | 239,094 | 223,533 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.49%, 05/25/37† γ | 278,244 | 233,199 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 2A1 | ||||
3.60%, 07/25/37† γ | $749,721 | $684,672 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class A1B | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.84%, 0.84% Floor), 3.34%, 05/25/47† | 67,364 | 12,250 | ||
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 | ||||
3.35%, 11/15/43 144A | 175,322 | 175,569 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | ||||
3.48%, 08/15/50 | 925,791 | 951,282 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 3.94%, 01/15/59 144A † | 2,000,000 | 2,055,717 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-EE, Class 2A1 | ||||
4.96%, 12/25/34† γ | 114,871 | 119,428 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 1A1 | ||||
4.95%, 08/25/33† γ | 14,878 | 15,036 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 3.84%, 06/15/44 144A † | 2,951,297 | 2,990,782 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.39%, 08/15/45 144A † | 558,312 | 560,718 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 775,000 | 791,684 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 654,754 | 671,885 | ||
Total Mortgage-Backed Securities (Cost $186,782,231) | 187,081,774 | |||
MUNICIPAL BONDS — 1.2% | ||||
New York City Transitional Finance Authority Future Tax Secured, Revenue Bond | ||||
1.90%, 02/01/20 | 4,560,000 | 4,558,130 | ||
North Texas Higher Education Authority, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor, 15.00% Cap), 3.42%, 04/01/40† | 1,593,854 | 1,618,376 | ||
South Carolina Public Service Authority | ||||
2.39%, 12/01/23 | 715,000 | 709,212 | ||
3.72%, 12/01/23 | 400,000 | 418,374 |
Table of Contents
Par | Value | |||
State of California, General Obligation, Series B | ||||
(Floating, ICE LIBOR USD 1M + 0.76%), 2.44%, 12/01/31† | $3,000,000 | $3,015,705 | ||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.78%), 3.18%, 04/01/47† | 1,500,000 | 1,505,130 | ||
Total Municipal Bonds (Cost $11,710,746) | 11,824,927 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Put Option — 0.0% | ||||
2-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,040.00, Expires 08/23/19 (GSC) (Premiums paid $2,269) | 273 | $58,727,760 | 273 |
Par | |||
U.S. TREASURY OBLIGATIONS — 42.2% | |||
U.S. Treasury Bill | |||
1.94%, 05/21/20Ω Δ | $12,000,000 | 11,793,324 | |
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 04/15/22 | 8,826,636 | 8,759,218 | |
0.63%, 04/15/23 | 8,283,774 | 8,402,140 | |
0.75%, 07/15/28‡‡ | 7,635,375 | 7,958,767 | |
0.88%, 01/15/29 | 3,137,386 | 3,303,746 | |
28,423,871 | |||
U.S. Treasury Notes | |||
2.25%, 02/29/20 | 114,900,000 | 115,057,068 | |
1.38%, 03/31/20 | 7,000,000 | 6,966,365 | |
1.38%, 04/30/20Δ | 22,000,000 | 21,885,710 | |
2.50%, 05/31/20‡‡ | 21,000,000 | 21,094,332 | |
1.88%, 06/30/20 | 8,000,000 | 7,993,908 | |
2.50%, 01/31/21‡‡ | 71,500,000 | 72,255,505 | |
2.25%, 03/31/21 | 10,000,000 | 10,078,905 | |
2.25%, 04/30/21Δ | 35,500,000 | 35,801,608 | |
2.13%, 05/31/21Δ | 19,000,000 | 19,130,995 | |
2.25%, 04/15/22 | 29,900,000 | 30,324,565 | |
2.13%, 05/15/22‡‡ | 26,955,000 | 27,260,872 | |
367,849,833 | |||
Total U.S. Treasury Obligations (Cost $406,053,794) | 408,067,028 |
Shares | |||
MONEY MARKET FUNDS — 3.7% | |||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø ∞ | 26,318,621 | 26,318,621 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%Ø § | 8,610,075 | $8,610,075 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 858,233 | 858,233 | ||
Total Money Market Funds (Cost $35,786,929) | 35,786,929 | |||
TOTAL INVESTMENTS — 117.0% (Cost $1,124,686,724) | 1,131,504,343 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Swaptions — (0.0)% | ||||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.90, Expires 08/21/19 (CS) | 1 | $(1,900,000) | (351) | |
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.90, Expires 08/21/19 (GSC) | 1 | (2,600,000) | (480) | |
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.90, Expires 08/21/19 (GSC) | 1 | (3,000,000) | (554) | |
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.90, Expires 08/21/19 (MSCS) | 1 | (1,500,000) | (277) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.95, Expires 09/18/19 (GSC) | 1 | $(700,000) | $(211) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.95, Expires 09/18/19 (DEUT) | 1 | (1,500,000) | (451) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $0.95, Expires 09/18/19 (GSC) | 1 | (1,500,000) | (451) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $1.00, Expires 08/21/19 (BNP) | 1 | (7,400,000) | (943) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $1.00, Expires 09/18/19 (BNP) | 1 | (2,200,000) | (554) |
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $1.00, Expires 09/18/19 (BAR) | 1 | $(4,000,000) | $(1,007) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $1.00, Expires 09/18/19 (BNP) | 1 | (4,200,000) | (1,058) | ||
Sell Protection on Markit CDX.NA.IG.32 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 6/20/2024 USD, Strike Price $1.05, Expires 09/18/19 (CS) | 1 | (700,000) | (149) | ||
(6,486) | |||||
Put Option — (0.0)% | |||||
FNMA TBA 3% expiration date 6/2049, Strike Price $99.20, Expires 09/05/19 (GSC) | (30,400,000) | (3,015,680,000) | (66,306) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Put Swaption — (0.0)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 2.05% (Semiannually): Interest Rate Swap Maturing 7/22/2021 USD, Strike Price $2.05, Expires 07/18/19 (MSCS) | 1 | $(43,200,000) | $(1,850) | ||
Total Written Options (Premiums received $ (147,006)) | (74,642) | ||||
Liabilities in Excess of Other Assets — (17.0)% | (164,417,981) | ||||
NET ASSETS — 100.0% | $967,011,720 |
% | ||
U.S. Treasury Obligations | 42.2 | |
Corporate Bonds | 23.2 | |
Mortgage-Backed Securities | 19.4 | |
Asset-Backed Securities | 15.4 | |
Foreign Bonds | 11.1 | |
Money Market Funds | 3.7 | |
Municipal Bonds | 1.2 | |
Agency Obligations | 0.8 | |
Purchased Option | — | ** |
Written Options | — | ** |
117.0 | ||
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 09/2019 | (5) | $(982,113) | $(24,977) | ||||
10-Year CAN Bond | 09/2019 | 1 | 109,144 | (49,732) | ||||
10-Year U.S. Treasury Note | 09/2019 | 76 | 10,812,344 | (33,453) | ||||
U.S. Treasury Long Bond | 09/2019 | 3 | 466,781 | 12,373 | ||||
Ultra Long U.S. Treasury Bond | 09/2019 | (3) | (532,687) | (16,500) | ||||
Long GILT | 09/2019 | (79) | (13,072,486) | (164,944) | ||||
2-Year U.S. Treasury Note | 09/2019 | 1,273 | 273,923,742 | 1,725,046 | ||||
5-Year U.S. Treasury Note | 09/2019 | (75) | (8,861,719) | (46,067) | ||||
90-Day Bank Acceptance | 06/2020 | 121 | 22,702,226 | 224,444 | ||||
90-Day Bank Acceptance | 09/2020 | 202 | 37,922,722 | 186,549 | ||||
90-Day Bank Acceptance | 12/2020 | 170 | 31,923,275 | 38,065 | ||||
90-Day Eurodollar | 12/2020 | (636) | (156,527,550) | (1,413,543) | ||||
3-Month Euro Euribor | 03/2022 | 325 | 92,685,024 | 315,890 | ||||
90-Day Eurodollar | 03/2022 | (385) | (94,671,500) | (624,134) | ||||
90-Day Eurodollar | 09/2022 | 160 | 39,314,000 | 19,795 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $235,211,203 | $148,812 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | Swedish Kronor | 7,254,369 | U.S. Dollars | 770,000 | JPM | $15,738 | ||||||
09/18/19 | U.S. Dollars | 770,000 | Japanese Yen | 82,111,645 | BOA | 3,840 | ||||||
09/18/19 | Japanese Yen | 82,923,201 | U.S. Dollars | 770,000 | BNP | 3,733 | ||||||
07/02/19 | Euro | 218,000 | U.S. Dollars | 244,512 | BNP | 3,376 | ||||||
07/02/19 | Australian Dollars | 539,000 | U.S. Dollars | 376,546 | RBS | 1,858 | ||||||
08/06/19 | U.S. Dollars | 3,550,429 | Canadian Dollars | 4,644,000 | BNP | 1,185 | ||||||
08/02/19 | British Pounds | 379,000 | U.S. Dollars | 481,019 | BAR | 1,106 | ||||||
07/02/19 | U.S. Dollars | 174,422 | British Pounds | 137,000 | JPM | 439 | ||||||
08/14/19 | Mexican Pesos | 30,189 | U.S. Dollars | 1,540 | BNP | 21 | ||||||
Subtotal Appreciation | $31,296 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/14/19 | U.S. Dollars | 1,533 | Mexican Pesos | 30,189 | JPM | $(27) | ||||||
08/06/19 | U.S. Dollars | 158,517 | Australian Dollars | 226,000 | CBA | (352) | ||||||
09/18/19 | Swedish Kronor | 7,099,962 | U.S. Dollars | 770,000 | JPM | (986) | ||||||
09/18/19 | Japanese Yen | 82,273,345 | U.S. Dollars | 770,000 | JPM | (2,331) | ||||||
07/02/19 | U.S. Dollars | 461,003 | Australian Dollars | 660,000 | HSBC | (2,350) | ||||||
07/03/19 | U.S. Dollars | 172,841 | Australian Dollars | 250,000 | ANZ | (2,691) | ||||||
09/18/19 | U.S. Dollars | 770,000 | Japanese Yen | 82,813,269 | HSBC | (2,707) | ||||||
08/02/19 | U.S. Dollars | 9,825,929 | Euro | 8,620,000 | BNP | (3,406) | ||||||
08/02/19 | U.S. Dollars | 4,377,443 | British Pounds | 3,446,000 | BNP | (6,204) | ||||||
08/02/19 | U.S. Dollars | 6,679,435 | Australian Dollars | 9,515,000 | HSBC | (8,468) | ||||||
09/18/19 | U.S. Dollars | 770,000 | Swedish Kronor | 7,208,604 | JPM | (10,781) | ||||||
09/18/19 | U.S. Dollars | 770,000 | Swedish Kronor | 7,247,660 | MSCS | (15,011) | ||||||
07/02/19 | U.S. Dollars | 4,182,483 | British Pounds | 3,309,000 | MSCS | (19,782) | ||||||
07/02/19 | U.S. Dollars | 6,501,543 | Australian Dollars | 9,394,000 | BAR | (93,515) | ||||||
07/03/19 | U.S. Dollars | 3,503,152 | Canadian Dollars | 4,733,000 | CITI | (111,332) | ||||||
07/02/19 | U.S. Dollars | 9,862,968 | Euro | 8,838,000 | GSC | (186,723) | ||||||
Subtotal Depreciation | $(466,666) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $(435,370) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issues — Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00)% | 6/20/2024 | MSCS | USD | 3,100,000 | $(83,026) | $(69,495) | $(13,531) | ||||||||
$(83,026) | $(69,495) | $(13,531) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swap on Credit Indexes — Buy Protection | ||||||||||||||
Markit CDX.NA.IG.31 Index (Pay Quarterly) | (1.00)% | 12/20/2023 | USD | 6,000,000 | $(136,260) | $(72,394) | $(63,866) | |||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 15,400,000 | (332,606) | (299,950) | (32,656) | |||||||
$(468,866) | $(372,344) | $(96,522) | ||||||||||||
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day US Federal Fund Effective Rate (Annually) | 2.50% (Annually) | 3/1/2020 | USD | 111,600,000 | $487,614 | $131,335 | $356,279 | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 2.34% (Annually) | 3/18/2020 | USD | 86,100,000 | 153,829 | (978) | 154,807 | |||||||
Subtotal Appreciation | $641,443 | $130,357 | $511,086 | |||||||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/10/2021 | USD | 50,720,000 | $(26,558) | $(26,176) | $(382) | |||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/11/2021 | USD | 25,400,000 | (12,359) | (11,217) | (1,142) | |||||||
1-Month LIBOR + 0.14% (Quarterly) | 3-Month LIBOR (Quarterly) | 5/14/2021 | USD | 31,480,000 | (16,880) | (14,671) | (2,209) | |||||||
2.30% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 3/1/2022 | USD | 110,300,000 | (2,247,690) | 278,968 | (2,526,658) | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/19/2028 | USD | 1,800,000 | (166,276) | 30,090 | (196,366) | |||||||
3.03% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/13/2029 | USD | 3,900,000 | (403,931) | — | (403,931) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,500,000 | (884,352) | (878,595) | (5,757) | |||||||
Subtotal Depreciation | $(3,758,046) | $(621,601) | $(3,136,445) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2019 | $(3,116,603) | $(491,244) | $(2,625,359) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Inflation Swaps | ||||||||||||||
1.23% (Upon termination) | 1-Day CPTFEMU (Upon termination) | 4/15/2029 | EUR | 2,500,000 | $(44,136) | $ — | $(44,136) | |||||||
$(44,136) | $ — | $(44,136) |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $8,035,392 | $— | $8,035,392 | $— | |||
Asset-Backed Securities | 148,993,354 | — | 148,993,354 | — | |||
Corporate Bonds | 224,403,298 | — | 224,403,298 | — | |||
Foreign Bonds | 107,311,368 | — | 107,311,368 | — | |||
Money Market Funds | 35,786,929 | 35,786,929 | — | — | |||
Mortgage-Backed Securities | 187,081,774 | — | 187,081,774 | — | |||
Municipal Bonds | 11,824,927 | — | 11,824,927 | — | |||
Purchased Option: | |||||||
Put Option | 273 | 273 | — | — | |||
U.S. Treasury Obligations | 408,067,028 | — | 408,067,028 | — | |||
Total Assets - Investments in Securities | $1,131,504,343 | $35,787,202 | $1,095,717,141 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $31,296 | $— | $31,296 | $— | |||
Futures Contracts | 2,522,162 | 2,522,162 | — | — | |||
Swap Agreements | 511,086 | — | 511,086 | — | |||
Total Assets - Other Financial Instruments | $3,064,544 | $2,522,162 | $542,382 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Swaptions | $(6,486) | $— | $(6,486) | $— | |||
Put Option | (66,306) | — | (66,306) | — | |||
Put Swaption | (1,850) | — | (1,850) | — | |||
Total Written Options | (74,642) | — | (74,642) | — | |||
Total Liabilities - Investments in Securities | $(74,642) | $ — | $(74,642) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(466,666) | $— | $(466,666) | $— | |||
Futures Contracts | (2,373,350) | (2,373,350) | — | — | |||
Swap Agreements | (3,290,634) | — | (3,290,634) | — | |||
Total Liabilities - Other Financial Instruments | $(6,130,650) | $(2,373,350) | $(3,757,300) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 0.6% | ||||
Federal Home Loan Bank | ||||
2.13%, 02/11/20 | $270,000 | $270,128 | ||
3.38%, 12/08/23 | 200,000 | 212,862 | ||
Federal Home Loan Bank Discount Notes | ||||
2.42%, 07/31/19Ω | 1,700,000 | 1,696,898 | ||
Federal National Mortgage Association | ||||
2.51%, 10/09/19Ω | 3,350,000 | 3,329,175 | ||
1.88%, 09/24/26 | 1,500,000 | 1,485,711 | ||
6.25%, 05/15/29 | 500,000 | 675,434 | ||
6.63%, 11/15/30 | 1,170,000 | 1,674,160 | ||
Tennessee Valley Authority | ||||
3.88%, 02/15/21 | 1,000,000 | 1,031,906 | ||
Total Agency Obligations (Cost $10,101,749) | 10,376,274 | |||
ASSET-BACKED SECURITIES — 7.6% | ||||
Academic Loan Funding Trust, Series 2012-1A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%), 3.50%, 12/27/44 144A † | 1,030,172 | 1,043,782 | ||
Access Group, Inc., Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 3.10%, 07/25/56 144A † | 251,034 | 248,847 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 2.85%, 01/25/36† | 2,900,000 | 2,891,831 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 3.59%, 04/30/31 144A † | 710,000 | 705,086 | ||
Apex Credit CLO, Ltd., Series 2017-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 4.05%, 04/24/29 144A † | 100,000 | 100,079 | ||
Atlas Senior Loan Fund III, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.83%), 3.36%, 11/17/27 144A † | 520,000 | 517,584 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 5.74%, 04/20/31 144A † | 750,000 | 732,167 |
Par | Value | |||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | $1,085,385 | $820,467 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,109,662 | 1,613,520 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 3.85%, 07/15/29 144A † | 1,400,000 | 1,401,396 | ||
BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.33%), 3.93%, 04/13/27 144A † | 500,000 | 500,326 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 4.44%, 04/20/27 144A † | 800,000 | 788,194 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 3.44%, 09/15/35 144A † | 2,600,000 | 2,605,525 | ||
California Street CLO IX LP, Series 2012-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%), 3.77%, 07/16/32 144A † | 525,000 | 525,000 | ||
Capital Auto Receivables Asset Trust, Series 2017-1, Class A3 | ||||
2.02%, 08/20/21 144A | 3,568,097 | 3,561,368 | ||
CarMax Auto Owner Trust, Series 2017-2, Class A3 | ||||
1.93%, 03/15/22 | 2,252,661 | 2,248,152 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.65% Floor), 3.38%, 05/25/35† | 2,700,000 | 2,712,428 | ||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 3.43%, 01/27/28 144A † | 1,600,000 | 1,593,821 | ||
Chapel BV, Series 2007, Class A2 | ||||
(Floating, 0.36% - Euribor 3M), 0.05%, 07/17/66(E) † | 209,196 | 237,491 | ||
Citibank Credit Card Issuance Trust, Series 2018-A7, Class A7 | ||||
3.96%, 10/13/30 | 850,000 | 944,910 | ||
Community Funding CLO, Series 2015-1A, Class A | ||||
5.75%, 11/01/27 144A Ψ ††† STEP | 846,785 | 847,283 |
Table of Contents
Par | Value | |||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.70%, 07/25/36† | $508,526 | $509,585 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.50% Floor), 3.15%, 03/25/34† | 380,129 | 383,135 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 2.63%, 12/15/35† | 56,527 | 50,031 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 2.53%, 07/15/36† | 167,479 | 161,571 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A2A | ||||
2.93%, 03/15/22 | 5,700,000 | 5,712,962 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor), 2.67%, 03/15/22† | 5,700,000 | 5,699,829 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.65%, 07/15/30 144A † | 250,000 | 250,000 | ||
ECMC Group Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%), 3.75%, 07/26/66 144A † | 640,458 | 646,444 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 3.60%, 12/27/66 144A † | 1,594,246 | 1,604,907 | ||
ECMC Group Student Loan Trust, Series 2018-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 3.15%, 02/27/68 144A † | 2,820,102 | 2,805,347 | ||
Edsouth Indenture No. 7 LLC, Series 2014-3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%), 3.00%, 02/25/36 144A † | 675,871 | 667,929 | ||
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 3.75%, 03/25/36 144A † | 1,200,000 | 1,208,189 |
Par | Value | |||
EFS Volunteer No. 3 LLC, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 3.40%, 04/25/33 144A † | $1,949,471 | $1,947,057 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 2.81%, 02/27/35 144A † | 837,982 | 815,739 | ||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A | ||||
4.06%, 11/15/30 | 700,000 | 752,312 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 1A1 | ||||
7.00%, 09/25/37 | 7,044 | 7,127 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 62,236 | 63,311 | ||
Golden Credit Card Trust, Series 2016-5A, Class A | ||||
1.60%, 09/15/21 144A | 900,000 | 899,516 | ||
Golden Credit Card Trust, Series 2017-2A, Class A | ||||
1.98%, 04/15/22 144A | 500,000 | 498,432 | ||
GSAMP Trust, Series 2007-HS1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 3.25%, 02/25/47† | 134,102 | 134,604 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 3.66%, 07/25/27 144A † | 700,000 | 699,239 | ||
Hertz Vehicle Financing II LP, Series 2018-1A, Class A | ||||
3.29%, 02/25/24 144A | 1,550,000 | 1,578,465 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 3.57%, 05/25/34 144A † | 954,580 | 959,170 | ||
Jackson Mill CLO, Ltd., Series 2015-1A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 5.40%, 04/15/27 144A † | 750,000 | 741,542 | ||
KKR CLO, Ltd., Series 21, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.60%, 04/15/31 144A † | 550,000 | 544,544 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 3.49%, 06/15/36 144A † | 1,450,000 | 1,457,794 |
Table of Contents
Par | Value | |||
LCM XXIII, Ltd., Series 23A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.99%, 10/20/29 144A † | $1,000,000 | $1,003,446 | ||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 4.05%, 08/20/24 144A † | 1,011,262 | 1,001,898 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 3.35%, 04/15/29 144A † | 2,750,000 | 2,718,891 | ||
Marlette Funding Trust, Series 2018-2A, Class A | ||||
3.06%, 07/17/28 144A | 1,037,734 | 1,038,965 | ||
Midocean Credit Clo VII, Series 2017-7A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 4.50%, 07/15/29 144A † | 1,500,000 | 1,506,051 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
2.87%, 07/25/59 144A † γ | 428,731 | 434,124 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 3.08%, 10/25/35† | 491,940 | 491,668 | ||
Montana Higher Education Student Assistance Corporation, Series 2012-1, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 3.49%, 07/20/43† | 700,000 | 708,008 | ||
Navient Student Loan Trust, Series 2016-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 3.65%, 06/25/65 144A † | 1,573,462 | 1,593,023 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 3.70%, 03/25/66 144A † | 6,000,000 | 6,125,124 | ||
Navient Student Loan Trust, Series 2016-7A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.55%, 03/25/66 144A † | 772,168 | 775,893 | ||
Navient Student Loan Trust, Series 2017-1A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 3.55%, 07/26/66 144A † | 520,000 | 525,813 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 3.45%, 12/27/66 144A † | 1,512,195 | 1,521,855 |
Par | Value | |||
Nelnet Student Loan Trust, Series 2006-1, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%, 0.45% Floor), 2.97%, 08/23/36 144A † | $1,200,000 | $1,169,048 | ||
Nelnet Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 2.68%, 01/25/30† | 158,127 | 158,093 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 3.57%, 04/15/31 144A † | 700,000 | 694,874 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.41%), 3.93%, 08/15/29 144A † | 1,000,000 | 1,003,095 | ||
Orec, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 3.57%, 06/15/36 144A † | 750,000 | 752,062 | ||
OZLM VII, Ltd., Series 2014-7RA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.60%, 1.60% Floor), 4.19%, 07/17/29 144A † | 1,250,000 | 1,243,060 | ||
OZLM XV, Ltd., Series 2016-15A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 2.70%), 5.29%, 01/20/29 144A † | 1,000,000 | 1,000,966 | ||
Panhandle-Plains Higher Education Authority, Inc., Series 2010-2, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 18.00% Cap), 3.45%, 10/01/35† | 243,915 | 244,696 | ||
Park Place Securities, Inc. Asset-Backed Pass-Through Trust Certificates, Series 2005-WCH1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.84%, 0.56% Floor), 3.24%, 01/25/36† | 30,651 | 30,764 | ||
Penarth Master Issuer PLC, Series 2018-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.83%, 09/18/22 144A † | 1,600,000 | 1,599,901 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.95%, 05/25/57 144A † | 668,681 | 662,542 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 3.55%, 09/25/65 144A † | 607,996 | 613,755 |
Table of Contents
Par | Value | |||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 3.35%, 11/25/65 144A † | $1,285,331 | $1,284,089 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.43% Floor, 14.00% Cap), 3.05%, 11/25/35† | 1,406,618 | 1,412,305 | ||
Ready Capital Mortgage Financing, Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 3.28%, 06/25/35 144A † | 431,459 | 431,723 | ||
RMAT LP, Series 2018-NPL1, Class A1 | ||||
(Step to 7.09% on 06/25/21), 4.09%, 05/25/48 144A STEP | 765,504 | 772,526 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.53% Floor, 10.28% Cap), 3.18%, 03/25/35† | 297,909 | 291,645 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 209,269 | 223,256 | ||
SBA Small Business Investment Cos., Series 2019-10A, Class 1 | ||||
3.11%, 03/10/29 | 450,000 | 469,627 | ||
Scholar Funding Trust, Series 2010-A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.33%, 10/28/41 144A † | 238,193 | 233,933 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.53%, 06/15/29† | 624,717 | 620,298 | ||
SLM Private Education Loan Trust, Series 2010-A, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 3.25% Floor), 5.64%, 05/16/44 144A † | 79,267 | 79,755 | ||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 | ||||
3.50%, 10/28/29 144A | 79,731 | 79,065 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 2.88%, 12/15/27 144A † | 2,347,268 | 2,349,764 | ||
SLM Student Loan Trust, Series 2003-7A, Class A5A | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 3.61%, 12/15/33 144A † | 765,584 | 765,150 |
Par | Value | |||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 2.70%, 01/25/27† | $107,551 | $106,919 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 2.72%, 10/25/28† | 721,700 | 717,097 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 2.67%, 01/26/26† | 2,308,165 | 2,301,192 | ||
SLM Student Loan Trust, Series 2007-7, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.33%), 2.91%, 01/25/22† | 367,829 | 361,016 | ||
SLM Student Loan Trust, Series 2008-2, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.33%, 04/25/23† | 122,872 | 122,274 | ||
SLM Student Loan Trust, Series 2008-4, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.65%), 4.23%, 07/25/22† | 338,261 | 342,280 | ||
SLM Student Loan Trust, Series 2008-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 4.28%, 07/25/23† | 433,177 | 438,668 | ||
SLM Student Loan Trust, Series 2008-6, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.68%, 07/25/23† | 520,269 | 520,703 | ||
SLM Student Loan Trust, Series 2008-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 4.08%, 04/25/23† | 217,249 | 219,467 | ||
SoFi Consumer Loan Program, Series 2017-4, Class A | ||||
2.50%, 05/26/26 144A | 398,692 | 399,107 | ||
Sound Point Clo XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 3.69%, 07/26/31 144A † | 500,000 | 495,123 | ||
Soundview Home Loan Trust, Series 2006-OPT2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.58%, 05/25/36† | 317,391 | 317,803 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.62% Floor), 3.33%, 07/25/35† | 1,582,650 | 1,585,163 |
Table of Contents
Par | Value | |||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.52% Floor), 3.18%, 02/25/35 144A † | $2,700,000 | $2,720,795 | ||
TIAA CLO II, Ltd., Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 3.87%, 04/20/29 144A † | 3,950,000 | 3,957,170 | ||
TPG Real Estate Finance Issuer, Ltd., Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%), 3.52%, 11/15/37 144A † | 1,150,000 | 1,153,881 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.49%, 04/15/29 144A † | 2,690,000 | 2,676,344 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 230,000 | 238,008 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 3.03%, 02/25/43† | 411,727 | 411,781 | ||
Venture XXVI CLO, Ltd., Series 2017-26A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.45%), 4.04%, 01/20/29 144A † | 450,000 | 450,557 | ||
Vibrant CLO VI, Ltd., Series 2017-6A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%), 3.63%, 06/20/29 144A † | 2,750,000 | 2,743,678 | ||
Voya CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 3.50%, 01/18/29 144A † | 500,000 | 497,227 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.82%, 07/20/30 144A † | 4,150,000 | 4,165,457 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 3.75%, 10/15/31 144A † | 1,500,000 | 1,495,668 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A | ||||
2.98%, 01/18/22 144A | 1,490,350 | 1,494,256 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 6.25%, 10/15/31 144A † | 750,000 | 747,367 | ||
Total Asset-Backed Securities (Cost $125,631,369) | 125,747,790 |
Par | Value | |||
CERTIFICATES OF DEPOSIT — 1.0% | ||||
Bank of Nova Scotia (The) | ||||
1.78%, 08/02/19Ω | $3,000,000 | $2,287,223 | ||
FirstBank | ||||
1.75%, 07/31/19Ω | 4,200,000 | 3,202,456 | ||
HSBC Bank Canada | ||||
1.85%, 07/15/19Ω | 3,500,000 | 2,670,429 | ||
Royal Bank of Canada | ||||
1.74%, 07/31/19Ω | 4,300,000 | 3,278,735 | ||
Toronto Dominion Bank | ||||
1.75%, 07/04/19Ω | 7,500,000 | 5,726,305 | ||
Total Certificates Of Deposit (Cost $16,927,466) | 17,165,148 | |||
CORPORATE BONDS — 22.0% | ||||
ABB Finance USA, Inc. | ||||
4.38%, 05/08/42 | 40,000 | 45,281 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 160,148 | ||
4.75%, 11/30/36 | 170,000 | 201,129 | ||
4.90%, 11/30/46 | 210,000 | 259,866 | ||
AbbVie, Inc. | ||||
3.38%, 11/14/21 | 750,000 | 762,996 | ||
2.85%, 05/14/23Δ | 1,050,000 | 1,060,000 | ||
3.75%, 11/14/23 | 525,000 | 546,962 | ||
3.60%, 05/14/25 | 440,000 | 454,967 | ||
3.20%, 05/14/26 | 300,000 | 303,532 | ||
Acadia Healthcare Co., Inc. | ||||
5.63%, 02/15/23 | 634,000 | 647,472 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 225,000 | 226,506 | ||
Air Lease Corporation | ||||
3.75%, 06/01/26 | 875,000 | 897,078 | ||
Aircastle, Ltd. | ||||
5.13%, 03/15/21Δ | 764,000 | 792,635 | ||
5.50%, 02/15/22 | 1,300,000 | 1,378,460 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26Δ | 300,000 | 315,619 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 404,984 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 285,787 | ||
4.25%, 06/15/28 144A | 75,000 | 79,392 | ||
Amazon.com, Inc. | ||||
3.15%, 08/22/27 | 370,000 | 389,272 | ||
3.88%, 08/22/37 | 160,000 | 176,684 | ||
4.95%, 12/05/44 | 220,000 | 277,710 | ||
4.05%, 08/22/47 | 790,000 | 898,311 | ||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 7.32%, 02/12/23 144A † | 1,691,866 | 1,723,589 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 543,178 | ||
American Express Credit Corporation | ||||
2.38%, 05/26/20 | 310,000 | 310,178 |
Table of Contents
Par | Value | |||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | $759,000 | $827,038 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 825,000 | 864,141 | ||
4.20%, 04/01/28 | 1,050,000 | 1,123,155 | ||
6.25%, 03/15/37 | 278,000 | 285,393 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 849,257 | ||
3.38%, 10/15/26 | 1,500,000 | 1,527,212 | ||
American Tower Trust #1 REIT | ||||
3.07%, 03/15/23 144A | 940,000 | 956,106 | ||
Amgen, Inc. | ||||
2.13%, 05/01/20 | 70,000 | 69,839 | ||
3.63%, 05/22/24Δ | 50,000 | 52,553 | ||
4.66%, 06/15/51 | 34,000 | 37,188 | ||
Anadarko Petroleum Corporation | ||||
4.85%, 03/15/21 | 231,000 | 239,198 | ||
5.55%, 03/15/26 | 845,000 | 950,381 | ||
6.45%, 09/15/36 | 430,000 | 529,364 | ||
6.60%, 03/15/46 | 620,000 | 808,356 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 110,000 | 109,038 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 395,832 | ||
3.35%, 12/01/24 | 130,000 | 134,577 | ||
3.65%, 12/01/27 | 520,000 | 541,034 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 24,365 | ||
4.38%, 10/15/28Δ | 50,000 | 52,296 | ||
5.10%, 09/01/40 | 180,000 | 182,265 | ||
4.25%, 01/15/44 | 800,000 | 724,984 | ||
Apple, Inc. | ||||
2.00%, 11/13/20 | 260,000 | 259,917 | ||
1.55%, 08/04/21 | 230,000 | 227,851 | ||
2.75%, 01/13/25 | 650,000 | 664,970 | ||
2.45%, 08/04/26 | 1,620,000 | 1,615,894 | ||
2.90%, 09/12/27 | 600,000 | 614,791 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 248,341 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,257,678 | ||
AT&T, Inc. | ||||
4.45%, 05/15/21 | 80,000 | 83,063 | ||
3.00%, 02/15/22 | 170,000 | 172,785 | ||
3.00%, 06/30/22 | 475,000 | 483,494 | ||
3.60%, 02/17/23 | 825,000 | 856,857 | ||
4.45%, 04/01/24 | 725,000 | 780,630 | ||
3.40%, 05/15/25 | 1,805,000 | 1,857,064 | ||
4.13%, 02/17/26 | 175,000 | 186,301 | ||
4.25%, 03/01/27 | 1,400,000 | 1,501,743 | ||
4.35%, 03/01/29 | 200,000 | 215,600 | ||
5.25%, 03/01/37 | 225,000 | 252,885 | ||
4.90%, 08/15/37 | 200,000 | 215,903 | ||
4.85%, 03/01/39 | 1,400,000 | 1,505,290 | ||
6.10%, 07/15/40 | 140,000 | 168,503 | ||
4.35%, 06/15/45 | 360,000 | 360,497 | ||
5.45%, 03/01/47 | 175,000 | 201,330 |
Par | Value | |||
4.50%, 03/09/48 | $430,000 | $440,344 | ||
AXA Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 1,300,000 | 1,368,292 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 123,777 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 335,223 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 3.27%, 03/05/24† | 1,500,000 | 1,502,347 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 549,742 | ||
4.00%, 04/01/24 | 420,000 | 447,859 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 3.55%, 07/23/24† Δ | 900,000 | 906,149 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 875,000 | 919,558 | ||
4.20%, 08/26/24 | 1,190,000 | 1,265,823 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24^ | 300,000 | 327,055 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24Δ ^ | 150,000 | 165,482 | ||
4.00%, 01/22/25 | 440,000 | 463,118 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,255,916 | ||
4.45%, 03/03/26 | 420,000 | 453,398 | ||
3.50%, 04/19/26 | 2,010,000 | 2,106,619 | ||
4.25%, 10/22/26 | 440,000 | 470,487 | ||
3.25%, 10/21/27 | 275,000 | 281,991 | ||
4.18%, 11/25/27 | 825,000 | 874,686 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 1,360,000 | 1,419,144 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 714,726 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 573,859 | ||
6.11%, 01/29/37 | 500,000 | 638,529 | ||
5.00%, 01/21/44 | 790,000 | 964,249 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49^ | 270,000 | 285,173 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 189,804 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 179,716 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 224,260 | ||
Beacon Roofing Supply, Inc. | ||||
4.88%, 11/01/25 144A Δ | 80,000 | 79,500 | ||
Becton, Dickinson and Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 3.19%, 12/29/20† | 600,000 | 600,099 | ||
2.89%, 06/06/22 | 700,000 | 709,771 | ||
3.36%, 06/06/24 | 830,000 | 855,425 | ||
3.73%, 12/15/24 | 171,000 | 179,488 | ||
4.69%, 12/15/44 | 270,000 | 299,945 | ||
4.67%, 06/06/47 | 575,000 | 645,131 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 413,583 |
Table of Contents
Par | Value | |||
Berkshire Hathaway Finance Corporation | ||||
4.25%, 01/15/49 | $460,000 | $518,540 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 120,000 | 122,250 | ||
BMW US Capital LLC | ||||
1.85%, 09/15/21 144A | 60,000 | 59,408 | ||
Boeing Capital Corporation | ||||
4.70%, 10/27/19 | 230,000 | 231,600 | ||
Boeing Co. (The) | ||||
4.88%, 02/15/20Δ | 50,000 | 50,747 | ||
2.80%, 03/01/27 | 110,000 | 110,756 | ||
6.63%, 02/15/38 | 210,000 | 292,584 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28 | 900,000 | 1,000,041 | ||
BP Capital Markets America, Inc. | ||||
3.22%, 11/28/23 | 370,000 | 381,918 | ||
3.12%, 05/04/26 | 570,000 | 581,340 | ||
4.23%, 11/06/28 | 1,875,000 | 2,077,345 | ||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27Δ | 1,600,000 | 1,521,590 | ||
Bristol-Myers Squibb Co. | ||||
2.60%, 05/16/22 144A | 300,000 | 303,925 | ||
2.90%, 07/26/24 144A | 540,000 | 553,031 | ||
3.20%, 06/15/26 144A | 420,000 | 436,744 | ||
3.40%, 07/26/29 144A | 200,000 | 209,572 | ||
Broadcom Corporation | ||||
3.00%, 01/15/22 | 550,000 | 551,636 | ||
2.65%, 01/15/23 | 225,000 | 221,975 | ||
3.63%, 01/15/24 | 775,000 | 782,874 | ||
3.13%, 01/15/25 | 845,000 | 826,448 | ||
3.88%, 01/15/27 | 900,000 | 882,738 | ||
Broadcom, Inc. | ||||
3.13%, 10/15/22 144A | 1,150,000 | 1,157,690 | ||
3.63%, 10/15/24 144A Δ | 825,000 | 829,687 | ||
4.25%, 04/15/26 144A | 675,000 | 685,611 | ||
Catalent Pharma Solutions, Inc. | ||||
5.00%, 07/15/27 144A | 130,000 | 132,600 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 500,000 | 518,930 | ||
Celgene Corporation | ||||
2.25%, 08/15/21 | 270,000 | 269,204 | ||
3.55%, 08/15/22 | 170,000 | 176,102 | ||
3.88%, 08/15/25 | 1,725,000 | 1,849,704 | ||
3.90%, 02/20/28 | 150,000 | 160,874 | ||
5.00%, 08/15/45 | 110,000 | 130,727 | ||
Centene Corporation | ||||
5.63%, 02/15/21 | 80,000 | 81,600 | ||
4.75%, 05/15/22 | 150,000 | 153,750 | ||
6.13%, 02/15/24 | 220,000 | 230,725 | ||
4.75%, 01/15/25 | 50,000 | 51,736 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 756,872 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,608,098 | ||
Charter Communications Operating LLC | ||||
3.58%, 07/23/20 | 120,000 | 121,099 |
Par | Value | |||
4.46%, 07/23/22 | $1,725,000 | $1,813,224 | ||
4.50%, 02/01/24 | 963,000 | 1,027,012 | ||
4.91%, 07/23/25 | 2,510,000 | 2,727,109 | ||
3.75%, 02/15/28 | 1,800,000 | 1,814,382 | ||
4.20%, 03/15/28 | 710,000 | 738,185 | ||
5.05%, 03/30/29Δ | 460,000 | 508,562 | ||
6.48%, 10/23/45 | 90,000 | 106,198 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.13%, 06/30/27 | 80,000 | 87,100 | ||
Chesapeake Energy Corporation | ||||
6.63%, 08/15/20 | 20,000 | 20,250 | ||
6.13%, 02/15/21 | 220,000 | 224,400 | ||
Chevron Corporation | ||||
2.95%, 05/16/26 | 540,000 | 557,784 | ||
Chubb INA Holdings, Inc. | ||||
2.30%, 11/03/20Δ | 90,000 | 90,057 | ||
3.35%, 05/03/26 | 120,000 | 125,952 | ||
Cigna Corporation | ||||
3.40%, 09/17/21 144A | 240,000 | 244,760 | ||
3.75%, 07/15/23 144A | 2,240,000 | 2,333,722 | ||
4.13%, 11/15/25 144A | 180,000 | 191,842 | ||
4.38%, 10/15/28 144A | 460,000 | 496,706 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27 | 500,000 | 514,258 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 183,129 | ||
3.70%, 04/01/27 | 190,000 | 202,479 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 99,039 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 140,000 | 153,825 | ||
Citibank NA | ||||
3.05%, 05/01/20 | 975,000 | 980,426 | ||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.12%, 05/20/22† | 1,800,000 | 1,802,929 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 3.77%, 08/02/21† | 1,300,000 | 1,317,744 | ||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23^ | 170,000 | 176,466 | ||
3.50%, 05/15/23 | 220,000 | 227,162 | ||
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23^ | 180,000 | 181,399 | ||
(Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24Δ ^ | 1,700,000 | 1,798,030 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25^ | 690,000 | 721,640 | ||
4.40%, 06/10/25 | 450,000 | 480,650 | ||
5.50%, 09/13/25 | 290,000 | 328,734 | ||
3.40%, 05/01/26 | 2,075,000 | 2,149,565 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26^ | 150,000 | 164,872 | ||
3.20%, 10/21/26 | 500,000 | 510,371 | ||
4.30%, 11/20/26 | 1,675,000 | 1,780,346 | ||
4.45%, 09/29/27 | 1,480,000 | 1,595,942 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 156,667 | ||
4.13%, 07/25/28 | 125,000 | 132,506 |
Table of Contents
Par | Value | |||
6.63%, 06/15/32 | $50,000 | $64,655 | ||
8.13%, 07/15/39 | 20,000 | 32,033 | ||
6.68%, 09/13/43 | 10,000 | 13,893 | ||
5.30%, 05/06/44 | 24,000 | 28,596 | ||
4.65%, 07/30/45 | 894,000 | 1,031,220 | ||
4.75%, 05/18/46 | 40,000 | 45,311 | ||
CNOOC Finance 2015 USA LLC | ||||
3.50%, 05/05/25 | 1,820,000 | 1,877,960 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 1,375,000 | 1,460,332 | ||
3.38%, 08/15/25 | 275,000 | 287,851 | ||
3.95%, 10/15/25 | 550,000 | 593,854 | ||
3.30%, 02/01/27 | 344,000 | 358,256 | ||
3.15%, 02/15/28 | 950,000 | 975,918 | ||
4.15%, 10/15/28 | 2,395,000 | 2,641,859 | ||
4.25%, 10/15/30 | 810,000 | 904,741 | ||
5.65%, 06/15/35 | 420,000 | 524,694 | ||
3.20%, 07/15/36 | 380,000 | 369,750 | ||
3.90%, 03/01/38 | 30,000 | 31,640 | ||
4.70%, 10/15/48 | 90,000 | 105,560 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 40,290 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 310,477 | ||
Compass Bank | ||||
5.50%, 04/01/20 | 300,000 | 306,177 | ||
Concho Resources, Inc. | ||||
4.38%, 01/15/25 | 70,000 | 72,777 | ||
3.75%, 10/01/27 | 30,000 | 31,070 | ||
4.30%, 08/15/28 | 320,000 | 344,859 | ||
ConocoPhillips Holding Co. | ||||
6.95%, 04/15/29 | 220,000 | 296,017 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 1,705,000 | 1,792,877 | ||
3.80%, 06/01/24 | 120,000 | 123,514 | ||
4.38%, 01/15/28 | 270,000 | 284,391 | ||
Cott Holdings, Inc. | ||||
5.50%, 04/01/25 144A | 170,000 | 173,825 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A | 500,000 | 511,642 | ||
Crown Castle International Corporation REIT | ||||
5.25%, 01/15/23 | 525,000 | 571,241 | ||
3.15%, 07/15/23Δ | 725,000 | 739,550 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 210,000 | 212,987 | ||
2.75%, 12/01/22 | 210,000 | 210,825 | ||
3.70%, 03/09/23 | 720,000 | 745,087 | ||
4.00%, 12/05/23 | 800,000 | 837,841 | ||
4.10%, 03/25/25 | 590,000 | 622,685 | ||
3.88%, 07/20/25 | 963,000 | 1,006,353 | ||
4.30%, 03/25/28 | 2,870,000 | 3,028,936 | ||
4.78%, 03/25/38 | 400,000 | 417,935 | ||
5.13%, 07/20/45 | 325,000 | 347,115 | ||
5.05%, 03/25/48 | 1,200,000 | 1,280,114 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30Δ | 591,097 | 695,930 |
Par | Value | |||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | $800,000 | $833,428 | ||
DAE Funding LLC | ||||
5.75%, 11/15/23 144A Δ | 150,000 | 157,875 | ||
5.00%, 08/01/24 144A Δ | 700,000 | 730,625 | ||
Daimler Finance North America LLC | ||||
3.40%, 02/22/22 144A | 1,700,000 | 1,735,224 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 2,520,000 | 2,597,524 | ||
5.45%, 06/15/23 144A | 400,000 | 431,390 | ||
6.02%, 06/15/26 144A | 125,000 | 138,005 | ||
8.35%, 07/15/46 144A | 200,000 | 252,823 | ||
Delta Air Lines Pass Through Trust, Series 2007-1, Class A | ||||
6.82%, 08/10/22 | 260,887 | 287,445 | ||
Depository Trust & Clearing Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.17%), 4.88%, 06/15/20 144A ^ | 750,000 | 750,161 | ||
Devon Energy Corporation | ||||
3.25%, 05/15/22Δ | 220,000 | 224,234 | ||
5.85%, 12/15/25 | 492,000 | 583,305 | ||
5.60%, 07/15/41 | 312,000 | 370,973 | ||
4.75%, 05/15/42 | 340,000 | 373,005 | ||
5.00%, 06/15/45 | 660,000 | 758,272 | ||
Diamondback Energy, Inc. | ||||
4.75%, 11/01/24 144A | 300,000 | 309,750 | ||
4.75%, 11/01/24 | 800,000 | 826,000 | ||
Discover Financial Services | ||||
3.75%, 03/04/25Δ | 450,000 | 465,631 | ||
DISH DBS Corporation | ||||
5.88%, 07/15/22 | 130,000 | 132,437 | ||
5.88%, 11/15/24 | 830,000 | 788,500 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 339,055 | ||
4.20%, 05/15/28 | 400,000 | 414,606 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 681,248 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 211,126 | ||
3.15%, 08/15/27 | 550,000 | 558,400 | ||
3.95%, 08/15/47 | 30,000 | 30,381 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 376,039 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 550,000 | 589,132 | ||
4.49%, 11/15/25 | 350,000 | 387,592 | ||
4.73%, 11/15/28 | 350,000 | 396,659 | ||
5.42%, 11/15/48Δ | 75,000 | 91,257 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 710,000 | 719,638 | ||
4.15%, 11/02/42 | 200,000 | 211,894 | ||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | 68,000 | 73,192 | ||
Elanco Animal Health, Inc. | ||||
3.91%, 08/27/21 144A | 550,000 | 562,118 |
Table of Contents
Par | Value | |||
4.27%, 08/28/23 144A | $225,000 | $236,305 | ||
Eli Lilly & Co. | ||||
3.10%, 05/15/27 | 80,000 | 83,635 | ||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28 | 900,000 | 944,275 | ||
Energizer Holdings, Inc. | ||||
7.75%, 01/15/27 144A Δ | 425,000 | 461,053 | ||
Energy Transfer Operating LP | ||||
4.65%, 06/01/21 | 150,000 | 155,648 | ||
4.20%, 09/15/23 | 625,000 | 655,683 | ||
4.50%, 04/15/24 | 230,000 | 244,909 | ||
5.50%, 06/01/27 | 525,000 | 587,788 | ||
4.95%, 06/15/28 | 70,000 | 76,598 | ||
5.25%, 04/15/29 | 615,000 | 687,742 | ||
5.30%, 04/15/47 | 225,000 | 235,068 | ||
6.00%, 06/15/48Δ | 225,000 | 257,193 | ||
6.25%, 04/15/49 | 20,000 | 23,730 | ||
Energy Transfer Partners LP | ||||
4.50%, 11/01/23 | 310,000 | 327,686 | ||
Entercom Media Corporation | ||||
6.50%, 05/01/27 144A | 175,000 | 182,437 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,383,051 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 320,000 | 348,602 | ||
5.70%, 02/15/42 | 60,000 | 72,449 | ||
(Variable, ICE LIBOR USD 3M + 2.78%), 5.30%, 06/01/67† | 455,000 | 419,292 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 140,000 | 152,569 | ||
EQM Midstream Partners LP | ||||
4.75%, 07/15/23 | 1,225,000 | 1,274,696 | ||
4.13%, 12/01/26 | 1,800,000 | 1,742,853 | ||
5.50%, 07/15/28 | 300,000 | 316,055 | ||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | 709,000 | 739,339 | ||
ERP Operating LP REIT | ||||
4.63%, 12/15/21 | 150,000 | 157,845 | ||
Exelon Corporation | ||||
5.63%, 06/15/35 | 415,000 | 503,028 | ||
Expedia Group, Inc. | ||||
3.80%, 02/15/28 | 300,000 | 305,639 | ||
Exxon Mobil Corporation | ||||
3.04%, 03/01/26 | 280,000 | 290,429 | ||
4.11%, 03/01/46 | 230,000 | 265,024 | ||
Fifth Third Bancorp | ||||
3.65%, 01/25/24 | 230,000 | 241,846 | ||
First Data Corporation | ||||
5.38%, 08/15/23 144A | 70,000 | 71,348 | ||
FirstEnergy Corporation | ||||
4.25%, 03/15/23 | 290,000 | 304,852 | ||
3.90%, 07/15/27 | 690,000 | 725,308 | ||
7.38%, 11/15/31 | 1,800,000 | 2,462,769 | ||
Fiserv, Inc. | ||||
3.80%, 10/01/23 | 225,000 | 236,835 | ||
2.75%, 07/01/24 | 1,075,000 | 1,085,822 | ||
3.20%, 07/01/26 | 725,000 | 741,138 | ||
4.20%, 10/01/28 | 375,000 | 406,304 |
Par | Value | |||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | $425,000 | $452,227 | ||
Ford Motor Credit Co. LLC | ||||
2.46%, 03/27/20 | 800,000 | 797,818 | ||
3.16%, 08/04/20 | 225,000 | 225,889 | ||
3.20%, 01/15/21 | 200,000 | 200,684 | ||
5.75%, 02/01/21 | 200,000 | 208,262 | ||
3.34%, 03/18/21 | 250,000 | 251,367 | ||
5.88%, 08/02/21 | 570,000 | 601,237 | ||
3.82%, 11/02/27Δ | 250,000 | 239,247 | ||
Fox Corporation | ||||
4.03%, 01/25/24 144A | 480,000 | 510,887 | ||
4.71%, 01/25/29 144A | 570,000 | 638,197 | ||
5.48%, 01/25/39 144A | 270,000 | 319,151 | ||
5.58%, 01/25/49 144A | 80,000 | 98,016 | ||
Freeport-McMoRan, Inc. | ||||
4.00%, 11/14/21 | 10,000 | 10,225 | ||
3.55%, 03/01/22 | 20,000 | 20,125 | ||
6.88%, 02/15/23Δ | 10,000 | 10,563 | ||
3.88%, 03/15/23 | 10,000 | 10,025 | ||
4.55%, 11/14/24Δ | 10,000 | 10,248 | ||
5.45%, 03/15/43 | 192,000 | 176,640 | ||
General Electric Co. | ||||
6.00%, 08/07/19 | 301,000 | 301,994 | ||
5.50%, 01/08/20 | 40,000 | 40,573 | ||
4.38%, 09/16/20 | 198,000 | 202,082 | ||
5.30%, 02/11/21 | 104,000 | 107,785 | ||
4.65%, 10/17/21 | 1,540,000 | 1,605,050 | ||
3.15%, 09/07/22 | 230,000 | 233,028 | ||
2.70%, 10/09/22 | 75,000 | 74,946 | ||
3.10%, 01/09/23Δ | 250,000 | 252,386 | ||
6.75%, 03/15/32 | 80,000 | 98,641 | ||
6.88%, 01/10/39 | 500,000 | 627,915 | ||
4.50%, 03/11/44 | 790,000 | 767,714 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28 | 600,000 | 648,308 | ||
General Motors Co. | ||||
4.00%, 04/01/25 | 200,000 | 203,777 | ||
5.15%, 04/01/38 | 50,000 | 49,370 | ||
General Motors Financial Co., Inc. | ||||
3.50%, 07/10/19 | 300,000 | 300,062 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 3.58%, 10/04/19† | 400,000 | 400,972 | ||
3.20%, 07/13/20 | 1,000,000 | 1,003,729 | ||
2.45%, 11/06/20 | 130,000 | 129,599 | ||
4.38%, 09/25/21 | 400,000 | 413,016 | ||
3.45%, 04/10/22 | 230,000 | 233,343 | ||
4.30%, 07/13/25 | 300,000 | 309,476 | ||
4.35%, 01/17/27 | 560,000 | 570,930 | ||
5.65%, 01/17/29 | 100,000 | 110,062 | ||
Genesis Energy LP | ||||
6.50%, 10/01/25 | 400,000 | 392,500 | ||
Gilead Sciences, Inc. | ||||
2.55%, 09/01/20 | 80,000 | 80,252 | ||
3.70%, 04/01/24 | 230,000 | 244,180 | ||
4.50%, 02/01/45 | 275,000 | 300,543 | ||
4.75%, 03/01/46 | 20,000 | 22,789 | ||
4.15%, 03/01/47 | 300,000 | 314,178 |
Table of Contents
Par | Value | |||
Glencore Funding LLC | ||||
2.88%, 04/16/20 144A | $90,000 | $90,491 | ||
3.00%, 10/27/22 144A | 10,000 | 10,081 | ||
4.13%, 05/30/23 144A | 20,000 | 20,808 | ||
4.13%, 03/12/24 144A Δ | 1,225,000 | 1,272,699 | ||
4.63%, 04/29/24 144A | 658,000 | 696,178 | ||
4.00%, 03/27/27 144A Δ | 500,000 | 505,342 | ||
3.88%, 10/27/27 144A Δ | 430,000 | 430,843 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/12/19† Δ | 3,000 | 2,435 | ||
Goldman Sachs Group, Inc. (The) | ||||
5.38%, 03/15/20 | 200,000 | 204,160 | ||
6.00%, 06/15/20 | 540,000 | 558,058 | ||
5.25%, 07/27/21 | 560,000 | 592,086 | ||
3.20%, 02/23/23 | 250,000 | 256,024 | ||
3.85%, 07/08/24 | 150,000 | 157,470 | ||
3.50%, 01/23/25 | 1,700,000 | 1,759,945 | ||
4.25%, 10/21/25 | 1,470,000 | 1,560,049 | ||
3.50%, 11/16/26 | 700,000 | 717,842 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 690,000 | 721,758 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 880,000 | 944,576 | ||
6.75%, 10/01/37 | 110,000 | 144,057 | ||
6.25%, 02/01/41 | 750,000 | 1,007,086 | ||
5.15%, 05/22/45 | 330,000 | 378,244 | ||
4.75%, 10/21/45 | 530,000 | 610,534 | ||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 1,012,306 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A | 225,000 | 247,150 | ||
Halliburton Co. | ||||
3.80%, 11/15/25 | 645,000 | 676,838 | ||
5.00%, 11/15/45 | 230,000 | 251,315 | ||
Harris Corporation | ||||
5.05%, 04/27/45 | 110,000 | 129,169 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 600,000 | 649,125 | ||
5.25%, 04/15/25 | 120,000 | 133,122 | ||
7.69%, 06/15/25 | 250,000 | 294,375 | ||
5.25%, 06/15/26 | 10,000 | 11,087 | ||
5.38%, 09/01/26 | 1,600,000 | 1,728,000 | ||
5.63%, 09/01/28 | 20,000 | 21,700 | ||
5.50%, 06/15/47 | 50,000 | 53,498 | ||
HCP, Inc. REIT | ||||
2.63%, 02/01/20Δ | 300,000 | 300,197 | ||
Herc Holdings, Inc. | ||||
5.50%, 07/15/27 144A | 670,000 | 675,862 | ||
Hewlett Packard Enterprise Co. | ||||
4.90%, 10/15/25 | 715,000 | 779,529 | ||
6.35%, 10/15/45 | 155,000 | 172,002 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 30,000 | 31,116 | ||
Home Depot, Inc. (The) | ||||
3.90%, 12/06/28 | 250,000 | 275,354 |
Par | Value | |||
Humana, Inc. | ||||
3.15%, 12/01/22 | $70,000 | $71,506 | ||
3.95%, 03/15/27 | 150,000 | 156,527 | ||
4.63%, 12/01/42 | 60,000 | 63,765 | ||
4.95%, 10/01/44 | 70,000 | 77,377 | ||
4.80%, 03/15/47 | 10,000 | 10,869 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 587,261 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 335,695 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 80,000 | 85,843 | ||
3.73%, 12/08/47 | 76,000 | 79,600 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24Δ | 990,000 | 1,017,416 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 420,000 | 479,190 | ||
John Deere Capital Corporation | ||||
1.70%, 01/15/20 | 80,000 | 79,727 | ||
Johnson & Johnson | ||||
2.45%, 03/01/26 | 560,000 | 563,531 | ||
3.63%, 03/03/37 | 520,000 | 556,915 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.80%), 5.30%, 05/01/20^ | 550,000 | 556,482 | ||
4.40%, 07/22/20 | 980,000 | 1,001,958 | ||
2.40%, 06/07/21 | 1,100,000 | 1,103,325 | ||
4.35%, 08/15/21 | 70,000 | 72,835 | ||
2.97%, 01/15/23Δ | 475,000 | 482,225 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,600,000 | 1,678,957 | ||
3.88%, 09/10/24 | 860,000 | 904,763 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 2,900,000 | 3,083,847 | ||
3.13%, 01/23/25 | 900,000 | 926,123 | ||
3.90%, 07/15/25 | 700,000 | 748,072 | ||
2.95%, 10/01/26 | 700,000 | 713,174 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | 936,692 | ||
4.25%, 10/01/27 | 780,000 | 845,523 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,520,000 | 1,581,531 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 415,809 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 189,704 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 3.88%, 07/24/38^ | 175,000 | 183,727 | ||
4.95%, 06/01/45 | 400,000 | 475,630 | ||
Kerr-McGee Corporation | ||||
6.95%, 07/01/24 | 290,000 | 340,072 | ||
7.88%, 09/15/31 | 280,000 | 383,525 | ||
Keurig Dr. Pepper, Inc. | ||||
4.06%, 05/25/23 | 475,000 | 499,026 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 413,518 |
Table of Contents
Par | Value | |||
4.75%, 12/15/28 | $1,750,000 | $1,946,230 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 541,534 | ||
4.25%, 09/01/24 | 980,000 | 1,043,797 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 34,756 | ||
Kraft Heinz Foods Co. | ||||
5.38%, 02/10/20Δ | 223,000 | 226,711 | ||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.12%, 02/10/21† | 1,000,000 | 998,438 | ||
3.50%, 07/15/22Δ | 1,130,000 | 1,157,031 | ||
4.00%, 06/15/23 | 20,000 | 20,969 | ||
3.95%, 07/15/25 | 90,000 | 93,749 | ||
3.00%, 06/01/26 | 320,000 | 311,667 | ||
Kroger Co. (The) | ||||
6.15%, 01/15/20 | 360,000 | 366,963 | ||
Lamb Weston Holdings, Inc. | ||||
4.63%, 11/01/24 144A | 50,000 | 52,063 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 3,340 | ||
0.00%, 01/24/13# | 2,300,000 | 38,870 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 08/12/19††† # | 2,330,000 | — | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 150,000 | 158,625 | ||
Level 3 Financing, Inc. | ||||
5.63%, 02/01/23 | 1,050,000 | 1,065,708 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 920,810 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 41,065 | ||
3.55%, 01/15/26 | 310,000 | 329,731 | ||
4.50%, 05/15/36 | 50,000 | 57,453 | ||
Marathon Oil Corporation | ||||
4.40%, 07/15/27Δ | 200,000 | 212,379 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 250,000 | 254,321 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 408,425 | ||
3.20%, 04/01/30 144A Δ | 475,000 | 493,996 | ||
Marsh & McLennan Cos., Inc. | ||||
4.38%, 03/15/29 | 500,000 | 552,102 | ||
McDonald’s Corporation | ||||
3.70%, 01/30/26 | 240,000 | 255,337 | ||
3.50%, 03/01/27 | 410,000 | 430,946 | ||
3.80%, 04/01/28Δ | 90,000 | 96,718 | ||
Medtronic Global Holdings SCA | ||||
3.35%, 04/01/27 | 350,000 | 372,249 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 30,000 | 31,840 | ||
4.63%, 03/15/45 | 44,000 | 53,373 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 378,478 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 57,249 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 | 350,000 | 356,445 |
Par | Value | |||
Microsoft Corporation | ||||
2.88%, 02/06/24 | $470,000 | $487,311 | ||
2.70%, 02/12/25 | 120,000 | 123,291 | ||
2.40%, 08/08/26 | 2,040,000 | 2,052,056 | ||
3.30%, 02/06/27 | 800,000 | 850,786 | ||
3.45%, 08/08/36 | 10,000 | 10,598 | ||
4.10%, 02/06/37 | 50,000 | 57,131 | ||
3.95%, 08/08/56 | 130,000 | 144,882 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 377,922 | ||
Moody’s Corporation | ||||
4.50%, 09/01/22 | 800,000 | 846,530 | ||
Morgan Stanley | ||||
5.50%, 07/24/20 | 550,000 | 567,845 | ||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.99%, 04/21/21† | 100,000 | 101,828 | ||
(Floating, ICE LIBOR USD 3M + 1.40%), 3.98%, 10/24/23† | 225,000 | 229,429 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 500,000 | 521,549 | ||
3.88%, 04/29/24 | 275,000 | 291,659 | ||
3.70%, 10/23/24 | 1,150,000 | 1,214,103 | ||
3.63%, 01/20/27 | 1,475,000 | 1,549,447 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 630,000 | 661,491 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30Δ ^ | 1,355,000 | 1,500,163 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 250,362 | ||
4.88%, 06/01/25 | 100,000 | 108,766 | ||
4.00%, 03/15/28 | 50,000 | 51,829 | ||
4.80%, 02/15/29 | 250,000 | 275,581 | ||
4.50%, 04/15/38 | 530,000 | 535,991 | ||
4.70%, 04/15/48 | 1,170,000 | 1,200,110 | ||
5.50%, 02/15/49 | 595,000 | 676,771 | ||
National Retail Properties, Inc. REIT | ||||
3.60%, 12/15/26 | 250,000 | 257,334 | ||
NCL Corporation, Ltd. | ||||
4.75%, 12/15/21 144A | 40,000 | 40,650 | ||
Netflix, Inc. | ||||
5.38%, 02/01/21 | 60,000 | 62,175 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 200,000 | 203,072 | ||
4.20%, 04/01/26 | 150,000 | 149,205 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,202,582 | ||
NiSource, Inc. | ||||
3.65%, 06/15/23 | 400,000 | 414,654 | ||
3.49%, 05/15/27 | 925,000 | 957,634 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 3.49%, 01/13/22 144A † | 1,900,000 | 1,902,736 | ||
Noble Energy, Inc. | ||||
4.15%, 12/15/21 | 620,000 | 640,018 | ||
3.85%, 01/15/28 | 230,000 | 234,738 | ||
4.95%, 08/15/47 | 110,000 | 116,902 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 1,620,000 | 1,651,109 |
Table of Contents
Par | Value | |||
3.25%, 01/15/28 | $670,000 | $688,388 | ||
4.75%, 06/01/43 | 200,000 | 231,620 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 497,060 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 402,769 | ||
3.85%, 09/30/47 144A | 250,000 | 258,480 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 642,669 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 225,000 | 247,083 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 03/15/22 | 77,000 | 77,000 | ||
6.88%, 01/15/23Δ | 30,000 | 30,075 | ||
Occidental Petroleum Corporation | ||||
3.13%, 02/15/22 | 100,000 | 101,582 | ||
2.70%, 02/15/23 | 20,000 | 20,183 | ||
3.40%, 04/15/26Δ | 500,000 | 509,809 | ||
3.00%, 02/15/27Δ | 150,000 | 148,414 | ||
4.63%, 06/15/45Δ | 130,000 | 138,868 | ||
4.40%, 04/15/46 | 60,000 | 62,163 | ||
4.10%, 02/15/47 | 260,000 | 257,163 | ||
4.20%, 03/15/48 | 80,000 | 80,980 | ||
Office Properties Income Trust REIT | ||||
3.60%, 02/01/20 | 125,000 | 125,412 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 375,000 | 402,684 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 1,000,000 | 1,019,804 | ||
Phillips 66 | ||||
3.90%, 03/15/28 | 475,000 | 499,545 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,415,691 | ||
Pioneer Natural Resources Co. | ||||
3.95%, 07/15/22 | 75,000 | 78,055 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 204,922 | ||
4.50%, 12/15/26 | 600,000 | 639,241 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 352,187 | ||
Principal Life Global Funding II | ||||
2.38%, 09/11/19 144A | 2,900,000 | 2,895,825 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 491,093 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 430,000 | 406,887 | ||
4.88%, 05/15/25Δ | 10,000 | 8,825 | ||
Raytheon Co. | ||||
3.13%, 10/15/20 | 200,000 | 202,305 | ||
Refinitiv US Holdings, Inc. | ||||
6.25%, 05/15/26 144A | 600,000 | 618,600 | ||
Reliance Standard Life Global Funding II | ||||
2.50%, 01/15/20 144A | 100,000 | 99,962 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 1,300,000 | 1,343,410 |
Par | Value | |||
Resolute Forest Products, Inc. | ||||
5.88%, 05/15/23 | $360,000 | $363,600 | ||
Reynolds Group Issuer, Inc. | ||||
5.13%, 07/15/23 144A | 160,000 | 163,400 | ||
Rockwell Collins, Inc. | ||||
3.50%, 03/15/27 | 550,000 | 572,837 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 535,834 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 515,760 | ||
5.63%, 04/15/23 | 400,000 | 435,935 | ||
5.63%, 03/01/25 | 450,000 | 504,341 | ||
5.00%, 03/15/27 | 425,000 | 466,363 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 311,571 | ||
3.70%, 04/11/28 | 100,000 | 107,905 | ||
Santander Holdings USA, Inc. | ||||
4.45%, 12/03/21 | 1,100,000 | 1,144,599 | ||
4.50%, 07/17/25 | 60,000 | 63,914 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 190,000 | 201,276 | ||
3.90%, 05/17/28 144A | 252,000 | 262,475 | ||
Sempra Energy | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.10%, 01/15/21† | 625,000 | 623,118 | ||
2.90%, 02/01/23 | 1,125,000 | 1,135,194 | ||
3.40%, 02/01/28 | 275,000 | 274,795 | ||
Sherwin-Williams Co. (The) | ||||
2.75%, 06/01/22Δ | 125,000 | 126,331 | ||
3.13%, 06/01/24 | 75,000 | 76,344 | ||
3.45%, 06/01/27 | 350,000 | 360,527 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 1,800,000 | 1,862,689 | ||
4.20%, 03/01/29 | 400,000 | 426,281 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,422,980 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 302,738 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,520,000 | 2,773,106 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 559,972 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 110,000 | 114,813 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,549,060 | ||
Spirit Airlines Pass Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28Δ | 1,197,116 | 1,254,997 | ||
Spirit Realty LP REIT | ||||
4.00%, 07/15/29 | 350,000 | 353,552 | ||
Sprint Communications, Inc. | ||||
6.00%, 11/15/22 | 875,000 | 914,375 | ||
Sprint Corporation | ||||
7.25%, 09/15/21 | 200,000 | 213,000 | ||
Sprint Spectrum Co., LLC | ||||
3.36%, 09/20/21 144A | 112,500 | 112,811 |
Table of Contents
Par | Value | |||
5.15%, 03/20/28 144A | $1,100,000 | $1,135,750 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 667,557 | ||
Stryker Corporation | ||||
2.63%, 03/15/21 | 125,000 | 125,578 | ||
Sunoco Logistics Partners Operations LP | ||||
4.25%, 04/01/24 | 100,000 | 104,947 | ||
5.95%, 12/01/25 | 300,000 | 341,900 | ||
5.40%, 10/01/47 | 125,000 | 132,969 | ||
SunTrust Bank | ||||
(Variable, ICE LIBOR USD 3M + 0.30%), 2.59%, 01/29/21^ | 875,000 | 875,755 | ||
Synchrony Financial | ||||
2.70%, 02/03/20 | 200,000 | 200,042 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 640,000 | 680,800 | ||
6.50%, 07/15/27 144A | 425,000 | 464,844 | ||
6.88%, 01/15/29 144A | 90,000 | 100,007 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 65,289 | ||
4.90%, 09/15/44 144A | 655,000 | 767,523 | ||
Thermo Fisher Scientific, Inc. | ||||
3.00%, 04/15/23 | 100,000 | 102,613 | ||
3.65%, 12/15/25 | 200,000 | 210,874 | ||
Time Warner Cable LLC | ||||
4.13%, 02/15/21 | 400,000 | 407,552 | ||
7.30%, 07/01/38 | 620,000 | 753,501 | ||
5.88%, 11/15/40 | 100,000 | 108,371 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 07/15/33 | 390,000 | 525,934 | ||
TJX Cos, Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 39,286 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 120,000 | 124,650 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 350,000 | 447,171 | ||
TransDigm, Inc. | ||||
6.50%, 05/15/25 | 50,000 | 50,763 | ||
6.38%, 06/15/26 | 350,000 | 353,937 | ||
7.50%, 03/15/27 144A | 300,000 | 313,875 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 224,624 | ||
3.95%, 09/10/28 | 680,000 | 744,667 | ||
4.50%, 09/10/48 | 600,000 | 683,678 | ||
United Airlines Pass Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 736,566 | 728,279 | ||
United Airlines Pass Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 736,566 | 731,594 | ||
United Rentals North America, Inc. | ||||
5.50%, 07/15/25 | 90,000 | 93,938 | ||
6.50%, 12/15/26 | 110,000 | 119,350 |
Par | Value | |||
4.88%, 01/15/28 | $40,000 | $40,900 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.17%, 08/16/21† | 250,000 | 250,161 | ||
3.35%, 08/16/21 | 225,000 | 230,046 | ||
3.95%, 08/16/25 | 730,000 | 787,841 | ||
2.65%, 11/01/26 | 295,000 | 295,280 | ||
4.13%, 11/16/28 | 200,000 | 219,906 | ||
4.50%, 06/01/42 | 90,000 | 102,003 | ||
UnitedHealth Group, Inc. | ||||
2.70%, 07/15/20 | 280,000 | 281,198 | ||
2.88%, 12/15/21 | 180,000 | 182,728 | ||
3.75%, 07/15/25 | 270,000 | 288,608 | ||
3.88%, 12/15/28Δ | 90,000 | 98,263 | ||
4.63%, 07/15/35 | 150,000 | 172,636 | ||
Univision Communications, Inc. | ||||
5.13%, 02/15/25 144A | 150,000 | 143,437 | ||
US Bank NA | ||||
3.15%, 04/26/21 | 300,000 | 305,538 | ||
VEREIT Operating Partnership LP REIT | ||||
4.13%, 06/01/21 | 200,000 | 205,316 | ||
4.63%, 11/01/25 | 600,000 | 646,623 | ||
3.95%, 08/15/27 | 250,000 | 257,846 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 1,175,000 | 1,235,528 | ||
3.38%, 02/15/25 | 2,845,000 | 2,971,617 | ||
2.63%, 08/15/26 | 980,000 | 974,488 | ||
4.33%, 09/21/28 | 1,018,000 | 1,129,097 | ||
3.88%, 02/08/29 | 360,000 | 386,479 | ||
4.50%, 08/10/33 | 230,000 | 259,331 | ||
5.25%, 03/16/37 | 680,000 | 814,502 | ||
4.13%, 08/15/46 | 160,000 | 167,284 | ||
4.86%, 08/21/46 | 190,000 | 221,533 | ||
5.50%, 03/16/47 | 40,000 | 50,289 | ||
5.01%, 04/15/49 | 541,000 | 645,238 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 700,000 | 734,934 | ||
4.30%, 12/14/45 | 460,000 | 545,647 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,150,000 | 1,158,071 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,100,000 | 1,109,264 | ||
3.90%, 08/21/27 | 500,000 | 507,626 | ||
Volkswagen Group of America Finance LLC | ||||
3.88%, 11/13/20 144A | 2,400,000 | 2,451,516 | ||
4.75%, 11/13/28 144A | 1,600,000 | 1,742,658 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 209,919 | ||
Wachovia Capital Trust III | ||||
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 08/12/19† | 560,000 | 561,109 | ||
Walmart, Inc. | ||||
3.70%, 06/26/28 | 620,000 | 677,142 |
Table of Contents
Par | Value | |||
4.05%, 06/29/48 | $250,000 | $286,851 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 144A | 625,000 | 665,578 | ||
6.15%, 03/01/37 144A | 175,000 | 238,053 | ||
6.65%, 11/15/37 144A | 150,000 | 215,793 | ||
Washington Prime Group LP REIT | ||||
5.95%, 08/15/24Δ | 1,700,000 | 1,617,125 | ||
Waste Management, Inc. | ||||
3.50%, 05/15/24 | 140,000 | 146,987 | ||
3.20%, 06/15/26 | 110,000 | 114,523 | ||
3.45%, 06/15/29 | 220,000 | 232,097 | ||
4.00%, 07/15/39 | 30,000 | 32,202 | ||
4.15%, 07/15/49 | 150,000 | 164,081 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 804,181 | ||
Wells Fargo & Co. | ||||
4.60%, 04/01/21 | 70,000 | 72,682 | ||
3.45%, 02/13/23 | 200,000 | 205,686 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 3.81%, 10/31/23† | 600,000 | 611,684 | ||
4.48%, 01/16/24 | 396,000 | 424,757 | ||
3.75%, 01/24/24 | 960,000 | 1,009,972 | ||
3.00%, 04/22/26 | 900,000 | 910,630 | ||
4.10%, 06/03/26 | 440,000 | 467,010 | ||
3.00%, 10/23/26 | 2,210,000 | 2,234,899 | ||
4.30%, 07/22/27 | 1,590,000 | 1,719,209 | ||
4.15%, 01/24/29 | 645,000 | 703,254 | ||
5.38%, 11/02/43 | 190,000 | 231,725 | ||
4.65%, 11/04/44 | 70,000 | 78,016 | ||
4.90%, 11/17/45 | 370,000 | 430,322 | ||
4.40%, 06/14/46 | 70,000 | 75,690 | ||
4.75%, 12/07/46 | 260,000 | 296,798 | ||
Wells Fargo Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,100,000 | 1,110,708 | ||
(Floating, ICE LIBOR USD 3M + 0.51%), 3.10%, 10/22/21† | 1,600,000 | 1,603,062 | ||
(Floating, ICE LIBOR USD 3M + 0.62%), 3.14%, 05/27/22† | 2,400,000 | 2,405,813 | ||
Wells Fargo Capital X | ||||
5.95%, 12/15/36 | 140,000 | 165,219 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 898,000 | 957,757 | ||
Western Midstream Operating LP | ||||
3.95%, 06/01/25 | 200,000 | 199,032 | ||
5.45%, 04/01/44 | 75,000 | 70,964 | ||
5.30%, 03/01/48 | 75,000 | 69,696 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23Δ | 30,000 | 31,185 | ||
Whiting Petroleum Corporation | ||||
5.75%, 03/15/21 | 120,000 | 121,350 | ||
Williams Cos., Inc. (The) | ||||
5.25%, 03/15/20 | 140,000 | 142,617 | ||
3.60%, 03/15/22 | 155,000 | 159,112 | ||
3.90%, 01/15/25 | 300,000 | 314,833 | ||
7.50%, 01/15/31 | 100,000 | 129,479 | ||
7.75%, 06/15/31 | 585,000 | 771,844 |
Par | Value | |||
8.75%, 03/15/32 | $181,000 | $257,792 | ||
5.10%, 09/15/45 | 55,000 | 59,497 | ||
Wm.Wrigley Jr. Co. | ||||
2.90%, 10/21/19 144A | 230,000 | 230,203 | ||
WP Carey, Inc. REIT | ||||
3.85%, 07/15/29 | 400,000 | 404,704 | ||
WPX Energy, Inc. | ||||
6.00%, 01/15/22 | 10,000 | 10,475 | ||
8.25%, 08/01/23 | 30,000 | 34,350 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 519,099 | ||
4.00%, 03/15/28Δ | 1,100,000 | 1,143,185 | ||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | 90,000 | 92,025 | ||
Total Corporate Bonds (Cost $348,759,766) | 366,209,023 | |||
FOREIGN BONDS — 14.5% | ||||
Argentina — 0.2% | ||||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 63.21%, 06/21/20(ZA) † | 1,110,000 | 25,585 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 13,930,000 | 229,791 | ||
Argentine Republic Government International Bond | ||||
5.63%, 01/26/22 | 1,410,000 | 1,191,464 | ||
5.88%, 01/11/28 | 790,000 | 602,869 | ||
7.13%, 07/06/36 | 720,000 | 558,817 | ||
(Step to 5.25% on 03/31/29), 3.75%, 12/31/38 STEP | 810,000 | 475,883 | ||
6.88%, 01/11/48 | 410,000 | 304,941 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 193,432 | ||
7.88%, 06/15/27 144A | 180,000 | 134,552 | ||
3,717,334 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22 | 20,000 | 20,363 | ||
5.00%, 09/30/43Δ | 170,000 | 213,251 | ||
(Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A ^ | 880,000 | 1,005,418 | ||
CNOOC Finance 2015 Australia Proprietary, Ltd. | ||||
2.63%, 05/05/20 | 1,300,000 | 1,302,476 | ||
Commonwealth Bank of Australia | ||||
5.00%, 10/15/19 144A | 50,000 | 50,382 | ||
3.90%, 07/12/47 144A | 110,000 | 119,130 | ||
Westpac Banking Corporation | ||||
2.30%, 05/26/20 | 50,000 | 50,020 | ||
2.60%, 11/23/20 | 310,000 | 311,560 |
Table of Contents
Par | Value | |||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | $175,000 | $181,292 | ||
3,253,892 | ||||
Brazil — 0.4% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 7,692,000 | 2,111,269 | ||
10.00%, 01/01/23(B) | 7,128,000 | 2,039,606 | ||
10.00%, 01/01/27(B) | 1,013,000 | 302,621 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28 | 480,000 | 504,360 | ||
5.63%, 01/07/41 | 750,000 | 805,695 | ||
5.00%, 01/27/45 | 350,000 | 347,072 | ||
Vale Overseas, Ltd. | ||||
4.38%, 01/11/22 | 20,000 | 20,705 | ||
6.25%, 08/10/26 | 105,000 | 119,800 | ||
6.88%, 11/21/36 | 284,000 | 342,575 | ||
6,593,703 | ||||
Canada — 0.5% | ||||
Alimentation Couche-Tard, Inc. | ||||
2.70%, 07/26/22 144A | 275,000 | 275,644 | ||
3.55%, 07/26/27 144A | 75,000 | 76,585 | ||
Bank of Montreal | ||||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 101,501 | ||
Bank of Nova Scotia (The) | ||||
1.88%, 04/26/21 | 1,600,000 | 1,595,025 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 560,000 | 657,928 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 672,630 | ||
Bombardier, Inc. | ||||
7.50%, 03/15/25 144A Δ | 250,000 | 251,638 | ||
Brookfield Finance, Inc. | ||||
3.90%, 01/25/28 | 800,000 | 816,534 | ||
Cenovus Energy, Inc. | ||||
4.25%, 04/15/27Δ | 275,000 | 285,113 | ||
Export Development Canada | ||||
2.63%, 02/21/24Δ | 2,380,000 | 2,462,194 | ||
Nutrien, Ltd. | ||||
4.88%, 03/30/20 | 110,000 | 111,904 | ||
Royal Bank of Canada | ||||
2.15%, 10/26/20 | 270,000 | 270,072 | ||
3.20%, 04/30/21 | 300,000 | 305,427 | ||
Teck Resources, Ltd. | ||||
6.00%, 08/15/40 | 10,000 | 10,900 | ||
Toronto-Dominion Bank (The) | ||||
3.25%, 06/11/21 | 370,000 | 377,454 | ||
8,270,549 | ||||
Chile — 0.1% | ||||
Latam Airlines Pass Through Trust, Series 2015-1, Class A | ||||
4.20%, 11/15/27 | 730,541 | 741,280 |
Par | Value | |||
China — 0.1% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A Δ | $400,000 | $410,332 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 146,465 | ||
Huarong Finance 2019 Co., Ltd. | ||||
3.75%, 05/29/24 | 220,000 | 221,167 | ||
Huarong Finance II Co., Ltd. | ||||
5.50%, 01/16/25 | 200,000 | 218,254 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 210,000 | 222,243 | ||
4.50%, 03/15/23 144A | 20,000 | 20,693 | ||
5.50%, 02/15/24 144A | 60,000 | 64,754 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 417,463 | ||
1,721,371 | ||||
Colombia — 0.2% | ||||
Colombia Government International Bond | ||||
4.50%, 03/15/29Δ | 210,000 | 229,635 | ||
5.63%, 02/26/44 | 480,000 | 569,100 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45 | 1,500,000 | 1,664,475 | ||
2,463,210 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 565,073 | ||
5.38%, 01/12/24 144A | 340,000 | 367,740 | ||
932,813 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A Δ | 540,000 | 566,330 | ||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
7.88%, 01/23/28 144A | 370,000 | 367,229 | ||
Egypt — 0.0% | ||||
Egypt Government International Bond | ||||
5.58%, 02/21/23 144A | 410,000 | 417,500 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,259 | ||
Nordea Bank Abp | ||||
4.88%, 05/13/21 144A | 640,000 | 664,377 | ||
673,636 | ||||
France — 0.5% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 952,169 | ||
3.38%, 01/09/25 144A | 450,000 | 458,183 |
Table of Contents
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | $880,000 | $944,718 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,453,054 | ||
(Variable, ICE LIBOR USD 3M + 2.57%), 5.20%, 01/10/30 144A Δ ^ | 580,000 | 664,770 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 440,000 | 453,670 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 785,009 | ||
4.63%, 09/12/28 144A Δ | 375,000 | 414,620 | ||
Credit Agricole SA | ||||
(Variable, ICE LIBOR USD 3M + 6.98%), 8.38%, 10/13/19 144A ^ | 510,000 | 514,080 | ||
4.38%, 03/17/25 | 275,000 | 288,509 | ||
4.13%, 01/10/27 144A Δ | 450,000 | 476,153 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 252,970 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 653,638 | ||
2.95%, 11/02/26 144A | 310,000 | 309,693 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 377,252 | ||
8,998,488 | ||||
Germany — 0.3% | ||||
Deutsche Bank AG | ||||
4.25%, 10/14/21 | 1,500,000 | 1,521,174 | ||
5.00%, 02/14/22 | 1,400,000 | 1,443,688 | ||
Volkswagen Bank GmbH | ||||
1.25%, 08/01/22(E) | 1,500,000 | 1,749,673 | ||
4,714,535 | ||||
Hong Kong — 0.1% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 212,819 | ||
CNAC HK Finbridge Co., Ltd. | ||||
3.13%, 06/19/22Δ | 440,000 | 438,850 | ||
4.63%, 03/14/23 | 200,000 | 209,208 | ||
860,877 | ||||
India — 0.0% | ||||
Reliance Industries, Ltd. | ||||
3.67%, 11/30/27 144A | 250,000 | 253,002 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.88%, 05/05/21 | 570,000 | 592,782 | ||
4.75%, 01/08/26 144A | 250,000 | 272,497 | ||
3.85%, 07/18/27 144A | 500,000 | 517,742 | ||
3.50%, 01/11/28 | 450,000 | 452,475 | ||
5.13%, 01/15/45 144A | 200,000 | 225,703 | ||
5.25%, 01/08/47 144A | 200,000 | 231,283 | ||
4.35%, 01/11/48 | 500,000 | 517,405 | ||
2,809,887 |
Par | Value | |||
Ireland — 0.8% | ||||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | $150,000 | $157,376 | ||
4.63%, 07/01/22Δ | 550,000 | 574,628 | ||
3.30%, 01/23/23 | 1,625,000 | 1,640,541 | ||
4.88%, 01/16/24Δ | 350,000 | 376,081 | ||
3.50%, 01/15/25 | 600,000 | 603,933 | ||
4.45%, 10/01/25 | 800,000 | 844,245 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 999,394 | ||
Ardagh Packaging Finance PLC | ||||
7.25%, 05/15/24 144A | 450,000 | 475,875 | ||
6.00%, 02/15/25 144A Δ | 200,000 | 207,750 | ||
Bank of Ireland | ||||
(Variable, EUR Swap Rate 5Y + 6.96%), 7.38%, 06/18/20(E) ^ | 1,000,000 | 1,202,473 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
2.34%, 11/15/20 | 1,723,000 | 1,715,382 | ||
3.37%, 11/15/25 | 1,722,000 | 1,744,676 | ||
Shire Acquisitions Investments Ireland DAC | ||||
1.90%, 09/23/19 | 500,000 | 499,253 | ||
2.40%, 09/23/21 | 1,000,000 | 999,116 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 942,387 | ||
12,983,110 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 381,644 | ||
Israel — 0.1% | ||||
Israel Government AID Bond | ||||
5.50%, 09/18/23 | 1,200,000 | 1,372,383 | ||
5.50%, 12/04/23 | 200,000 | 230,152 | ||
5.50%, 04/26/24 | 500,000 | 581,605 | ||
2,184,140 | ||||
Italy — 0.4% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 574,332 | ||
3.38%, 01/12/23 144A | 220,000 | 219,366 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,314,535 | ||
5.71%, 01/15/26 144A | 200,000 | 202,589 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 563,624 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,543,751 | ||
Wind Tre SpA | ||||
5.00%, 01/20/26 144A | 525,000 | 510,746 | ||
6,928,943 | ||||
Jamaica — 0.0% | ||||
Digicel, Ltd. | ||||
6.75%, 03/01/23 144A | 300,000 | 171,000 | ||
Japan — 0.9% | ||||
Development Bank of Japan, Inc. | ||||
1.63%, 09/01/21 144A | 1,300,000 | 1,288,098 |
Table of Contents
Par | Value | |||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | $2,200,000 | $2,194,522 | ||
Japan Treasury Discount Bill | ||||
0.00%, 09/17/19(J) Ω | 990,000,000 | 9,185,070 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
2.95%, 03/01/21 | 250,000 | 252,492 | ||
3.00%, 02/22/22 | 180,000 | 182,891 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 259,013 | ||
4.44%, 04/02/24 144A | 350,000 | 369,162 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.40%, 11/26/23 144A | 1,700,000 | 1,822,669 | ||
15,553,917 | ||||
Jersey — 0.0% | ||||
UBM PLC | ||||
5.75%, 11/03/20 144A | 230,000 | 238,255 | ||
Jordan — 0.1% | ||||
Hashemite Kingdom of Jordan Government AID Bond | ||||
2.50%, 10/30/20 | 1,200,000 | 1,209,510 | ||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 222,065 | ||
Kenya — 0.0% | ||||
Kenya Government International Bond | ||||
6.88%, 06/24/24 | 200,000 | 213,352 | ||
7.25%, 02/28/28 144A | 200,000 | 207,796 | ||
421,148 | ||||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 1,490,000 | 1,588,578 | ||
Luxembourg — 0.0% | ||||
ArcelorMittal | ||||
6.25%, 02/25/22Δ | 50,000 | 54,265 | ||
6.13%, 06/01/25Δ | 40,000 | 45,507 | ||
4.55%, 03/11/26 | 200,000 | 211,577 | ||
7.00%, 10/15/39 | 70,000 | 83,194 | ||
394,543 | ||||
Mexico — 0.5% | ||||
America Movil SAB de CV | ||||
5.00%, 03/30/20 | 100,000 | 101,919 | ||
Mexican Bonos | ||||
8.00%, 06/11/20(M) | 5,120,000 | 267,394 | ||
10.00%, 12/05/24(M) | 25,130,000 | 1,461,658 | ||
8.50%, 11/18/38(M) | 31,010,000 | 1,730,501 | ||
7.75%, 11/13/42(M) | 40,935,200 | 2,117,060 | ||
8.00%, 11/07/47(M) | 19,930,000 | 1,056,678 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 350,586 | ||
5.50%, 07/31/47 | 200,000 | 200,250 | ||
5.50%, 07/31/47 144A | 270,000 | 270,337 |
Par | Value | |||
Petroleos Mexicanos | ||||
6.00%, 03/05/20 | $60,000 | $60,825 | ||
6.38%, 02/04/21Δ | 11,000 | 11,314 | ||
5.13%, 03/15/23(E) | 110,000 | 131,818 | ||
6.88%, 08/04/26 | 200,000 | 202,980 | ||
6.50%, 03/13/27 | 60,000 | 59,394 | ||
6.63%, 06/15/35 | 29,000 | 26,934 | ||
5.50%, 06/27/44Δ | 170,000 | 136,553 | ||
6.38%, 01/23/45 | 435,000 | 375,731 | ||
6.75%, 09/21/47 | 20,000 | 17,860 | ||
6.35%, 02/12/48 | 70,000 | 60,358 | ||
8,640,150 | ||||
Morocco & Antilles — 0.0% | ||||
OCP SA | ||||
4.50%, 10/22/25 144A | 450,000 | 462,254 | ||
Netherlands — 1.5% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 214,808 | ||
Alcoa Nederland Holding BV | ||||
7.00%, 09/30/26 144A | 200,000 | 215,000 | ||
Cooperatieve Rabobank UA | ||||
4.75%, 01/15/20 144A | 540,000 | 546,891 | ||
(Variable, EUR Swap Rate 5Y + 5.25%), 5.50%, 06/29/20(E) ^ | 500,000 | 592,662 | ||
4.63%, 12/01/23 | 400,000 | 428,778 | ||
4.38%, 08/04/25 | 920,000 | 977,540 | ||
5.25%, 08/04/45 | 370,000 | 447,884 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 546,078 | ||
ING Bank NV | ||||
5.80%, 09/25/23 144A | 340,000 | 376,360 | ||
ING Groep NV | ||||
4.10%, 10/02/23 | 1,100,000 | 1,162,814 | ||
4.63%, 01/06/26 144A | 1,600,000 | 1,746,797 | ||
Mylan NV | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,739,536 | ||
3.95%, 06/15/26 | 1,700,000 | 1,645,361 | ||
Myriad International Holdings BV | ||||
4.85%, 07/06/27 144A | 420,000 | 449,755 | ||
NXP BV | ||||
3.88%, 09/01/22 144A | 950,000 | 979,203 | ||
3.88%, 06/18/26 144A | 350,000 | 360,034 | ||
Petrobras Global Finance BV | ||||
6.13%, 01/17/22 | 51,000 | 54,756 | ||
6.25%, 03/17/24 | 380,000 | 417,069 | ||
5.30%, 01/27/25 | 2,116,000 | 2,250,366 | ||
7.38%, 01/17/27 | 120,000 | 137,520 | ||
6.00%, 01/27/28 | 520,000 | 553,540 | ||
5.75%, 02/01/29 | 230,000 | 240,327 | ||
6.90%, 03/19/49 | 120,000 | 128,040 | ||
6.85%, 06/05/15π | 550,000 | 571,538 | ||
Shell International Finance BV | ||||
4.38%, 03/25/20 | 320,000 | 324,888 | ||
2.88%, 05/10/26 | 1,210,000 | 1,238,393 | ||
4.55%, 08/12/43 | 120,000 | 140,753 | ||
4.38%, 05/11/45 | 230,000 | 265,141 |
Table of Contents
Par | Value | |||
4.00%, 05/10/46 | $190,000 | $209,432 | ||
Stichting AK Rabobank Certificaten | ||||
6.50%, 03/29/18(E) Δ | 700,000 | 976,273 | ||
Syngenta Finance NV | ||||
3.70%, 04/24/20 144A | 565,000 | 569,049 | ||
3.93%, 04/23/21 144A | 2,350,000 | 2,393,436 | ||
4.44%, 04/24/23 144A Δ | 1,075,000 | 1,118,242 | ||
5.18%, 04/24/28 144A | 200,000 | 208,240 | ||
UPCB Finance IV, Ltd. | ||||
5.38%, 01/15/25 144A | 200,000 | 206,062 | ||
24,432,566 | ||||
Nigeria — 0.1% | ||||
Nigeria Government International Bond | ||||
6.50%, 11/28/27 | 750,000 | 752,799 | ||
6.50%, 11/28/27 144A | 200,000 | 200,746 | ||
7.14%, 02/23/30 144A | 250,000 | 253,437 | ||
8.75%, 01/21/31 | 210,000 | 234,315 | ||
1,441,297 | ||||
Norway — 0.1% | ||||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,186,833 | ||
Peru — 0.0% | ||||
Peruvian Government International Bond | ||||
5.63%, 11/18/50Δ | 330,000 | 455,403 | ||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 780,000 | 840,834 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 2,260,000 | 2,338,252 | ||
4.00%, 03/14/29 144A | 460,000 | 496,523 | ||
4.82%, 03/14/49 144A | 1,220,000 | 1,401,286 | ||
4,236,061 | ||||
Russia — 0.4% | ||||
Gazprom OAO Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | 340,000 | 362,949 | ||
7.29%, 08/16/37 | 100,000 | 126,621 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 536,031 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 823,126 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 157,854 | ||
8.15%, 02/03/27(Q) | 63,930,000 | 1,064,295 | ||
7.05%, 01/19/28(Q) | 150,011,000 | 2,341,890 | ||
6.90%, 05/23/29(Q) | 127,490,000 | 1,963,662 | ||
7,376,428 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A Δ | 1,800,000 | 1,817,348 | ||
South Africa — 0.1% | ||||
Republic of South Africa Government Bond | ||||
8.00%, 01/31/30(S) | 780,000 | 52,342 |
Par | Value | |||
7.00%, 02/28/31(S) | $2,020,000 | $122,899 | ||
8.25%, 03/31/32(S) | 5,580,000 | 369,521 | ||
8.88%, 02/28/35(S) | 720,000 | 48,815 | ||
6.25%, 03/31/36(S) | 915,000 | 47,885 | ||
9.00%, 01/31/40(S) | 90,000 | 6,027 | ||
6.50%, 02/28/41(S) | 390,000 | 19,818 | ||
8.75%, 01/31/44(S) | 1,500,000 | 97,130 | ||
764,437 | ||||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 964,597 | ||
Spain — 0.7% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 3.72%, 04/12/23† | 200,000 | 199,299 | ||
3.85%, 04/12/23 | 400,000 | 415,524 | ||
4.38%, 04/12/28 | 600,000 | 639,089 | ||
3.31%, 06/27/29 | 400,000 | 403,324 | ||
Spain Government Bond | ||||
0.60%, 10/31/29(E) 144A | 4,000,000 | 4,618,791 | ||
1.85%, 07/30/35(E) 144A | 3,100,000 | 4,035,648 | ||
Telefonica Emisiones SA | ||||
5.88%, 07/15/19 | 70,000 | 70,082 | ||
4.57%, 04/27/23 | 500,000 | 541,055 | ||
5.21%, 03/08/47 | 400,000 | 441,660 | ||
11,364,472 | ||||
Supranational — 1.2% | ||||
African Development Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.19%), 2.60%, 06/15/20† | 2,700,000 | 2,705,454 | ||
2.63%, 03/22/21 | 5,530,000 | 5,599,496 | ||
2.31%, 07/14/21 | 6,000,000 | 6,036,784 | ||
International Bank for Reconstruction & Development | ||||
1.63%, 09/04/20 | 5,210,000 | 5,190,799 | ||
19,532,533 | ||||
Sweden — 0.2% | ||||
Skandinaviska Enskilda Banken AB | ||||
(Floating, ICE LIBOR USD 3M + 0.43%), 2.96%, 05/17/21 144A † | 2,900,000 | 2,908,071 | ||
Stadshypotek AB | ||||
1.88%, 10/02/19 144A | 900,000 | 898,801 | ||
Svenska Handelsbanken AB | ||||
3.35%, 05/24/21 | 250,000 | 254,737 | ||
4,061,609 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 248,203 | ||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.33%), 7.25%, 09/12/25 144A ^ | 400,000 | 430,342 | ||
4.28%, 01/09/28 144A | 1,800,000 | 1,901,762 |
Table of Contents
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | $425,000 | $438,499 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.45%, 04/16/21 | 800,000 | 812,788 | ||
3.80%, 09/15/22 | 1,300,000 | 1,348,220 | ||
4.55%, 04/17/26Δ | 2,440,000 | 2,656,199 | ||
UBS Group Funding Switzerland AG | ||||
3.00%, 04/15/21 144A | 1,500,000 | 1,514,221 | ||
2.65%, 02/01/22 144A | 300,000 | 301,605 | ||
(Floating, ICE LIBOR USD 3M + 1.53%), 4.11%, 02/01/22 144A † | 200,000 | 204,669 | ||
3.49%, 05/23/23 144A | 480,000 | 492,341 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ^ | 840,000 | 892,949 | ||
4.13%, 09/24/25 144A Δ | 440,000 | 469,973 | ||
4.25%, 03/23/28 144A | 1,490,000 | 1,607,282 | ||
13,319,053 | ||||
Turkey — 0.1% | ||||
Turkish Airlines Pass Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,193,598 | 1,099,244 | ||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 610,000 | 615,371 | ||
3.13%, 10/11/27 144A | 500,000 | 519,621 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 620,000 | 688,912 | ||
1,823,904 | ||||
United Kingdom — 2.8% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 715,534 | ||
4.00%, 09/11/27 144A | 220,000 | 221,048 | ||
Barclays Bank PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.98%, 10/25/19† | 2,700,000 | 2,702,724 | ||
7.63%, 11/21/22 | 1,700,000 | 1,857,411 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 5.88%), 6.50%, 09/15/19(E) ^ | 800,000 | 920,985 | ||
(Floating, ICE LIBOR USD 3M + 2.11%), 4.66%, 08/10/21† | 1,600,000 | 1,635,735 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 983,441 | ||
(Floating, ICE LIBOR USD 3M + 1.38%), 3.90%, 05/16/24† | 1,600,000 | 1,577,543 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 1,400,000 | 1,446,879 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,060,000 | 1,131,473 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 750,000 | 767,960 | ||
BP Capital Markets PLC | ||||
3.56%, 11/01/21 | 30,000 | 30,975 |
Par | Value | |||
3.81%, 02/10/24 | $330,000 | $349,442 | ||
3.54%, 11/04/24 | 60,000 | 63,335 | ||
3.51%, 03/17/25 | 330,000 | 347,392 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 220,000 | 223,782 | ||
5.25%, 12/19/33(U) | 100,000 | 175,703 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 130,783 | ||
HSBC Bank PLC | ||||
4.75%, 01/19/21 144A | 200,000 | 207,442 | ||
HSBC Holdings PLC | ||||
3.40%, 03/08/21 | 610,000 | 619,583 | ||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.12%, 05/18/21† | 400,000 | 400,380 | ||
(Floating, ICE LIBOR USD 3M + 1.50%), 3.83%, 01/05/22† | 400,000 | 408,906 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 525,000 | 535,032 | ||
(Variable, USD ICE Swap Rate 5Y + 3.45%), 6.25%, 03/23/23Δ ^ | 540,000 | 556,586 | ||
4.25%, 03/14/24 | 240,000 | 253,541 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.52%, 05/18/24† | 300,000 | 300,973 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 651,571 | ||
4.25%, 08/18/25 | 220,000 | 231,826 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 700,000 | 735,905 | ||
(Variable, USD ICE Swap Rate 5Y + 3.61%), 6.50%, 03/23/28^ | 540,000 | 566,557 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 1,000,000 | 1,094,513 | ||
(Variable, ICE LIBOR USD 3M + 1.61%), 3.97%, 05/22/30^ | 610,000 | 637,701 | ||
6.50%, 09/15/37 | 500,000 | 653,166 | ||
Lloyds Bank Corporate Markets PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.09%, 10/26/20† | 1,600,000 | 1,604,886 | ||
Lloyds Bank PLC | ||||
(Variable, ICE LIBOR USD 3M + 11.76%), 12.00%, 12/16/24 144A Δ ^ | 1,200,000 | 1,461,450 | ||
7.50%, 04/02/32 STEP | 2,000,000 | 1,597,130 | ||
Lloyds Banking Group PLC | ||||
3.90%, 03/12/24Δ | 210,000 | 218,819 | ||
4.50%, 11/04/24 | 240,000 | 251,241 | ||
4.38%, 03/22/28 | 800,000 | 850,697 | ||
4.55%, 08/16/28 | 230,000 | 247,988 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28^ | 200,000 | 200,378 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | 2,042,610 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,357,856 |
Table of Contents
Par | Value | |||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | $600,000 | $604,978 | ||
Royal Bank of Scotland Group PLC | ||||
6.13%, 12/15/22 | 180,000 | 194,326 | ||
2.50%, 03/22/23(E) | 1,400,000 | 1,691,971 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 434,009 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 3.99%, 05/15/23† | 1,300,000 | 1,296,886 | ||
3.88%, 09/12/23 | 579,000 | 594,496 | ||
6.00%, 12/19/23 | 110,000 | 119,873 | ||
5.13%, 05/28/24 | 280,000 | 297,358 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,297,879 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 540,000 | 558,797 | ||
(Variable, ICE LIBOR USD 3M + 1.75%), 4.89%, 05/18/29^ | 400,000 | 427,480 | ||
Santander UK PLC | ||||
2.38%, 03/16/20 | 160,000 | 160,014 | ||
2.88%, 06/18/24 | 925,000 | 931,138 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 174,658 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 140,542 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,032,941 | ||
5.70%, 03/26/44 144A Δ | 430,000 | 501,443 | ||
Vedanta Resources Finance II PLC | ||||
8.00%, 04/23/23 144A | 200,000 | 203,100 | ||
Vodafone Group PLC | ||||
3.75%, 01/16/24 | 1,025,000 | 1,072,414 | ||
4.38%, 05/30/28 | 910,000 | 984,539 | ||
5.25%, 05/30/48 | 170,000 | 187,952 | ||
46,875,676 | ||||
Total Foreign Bonds (Cost $236,019,110) | 240,327,188 | |||
LOAN AGREEMENTS — 1.2% | ||||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.64%, 04/28/22† | 460,617 | 435,119 | ||
Albertson's LLC 2017-1 Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.00%, 0.75% Floor), 5.31%, 12/21/22† | 229,415 | 229,702 | ||
Albertson's LLC 2017-1 Term B-6 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 0.75% Floor), 5.40%, 06/22/23† | 448,855 | 448,967 | ||
American Airlines, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.06%, 06/27/25† | 346,419 | 337,387 |
Par | Value | |||
American Axle & Manufacturing, Inc. Tranche B Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.75% Floor), 4.66%, 04/06/24† | $10,637 | $10,432 | ||
(Floating, ICE LIBOR USD 3M + 2.25%, 0.75% Floor), 4.84%, 04/06/24† | 5,397 | 5,293 | ||
Asurion LLC Amendment No. 14 Replacement B-4 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 5.40%, 08/04/22† | 757,049 | 756,235 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 5.40%, 11/03/24† | 209,120 | 208,960 | ||
athenahealth, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.50%), 7.05%, 02/11/26† | 269,325 | 269,157 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 6.16%, 12/06/25† | 89,550 | 90,334 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%, 0.75% Floor), 4.13%, 01/15/25† | 944,801 | 944,900 | ||
Berry Global, Inc. Term Q Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.41%, 10/01/22† | 65,408 | 65,043 | ||
Berry Global, Inc. Term R Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.41%, 01/19/24† | 454,931 | 450,982 | ||
BioScrip, Inc. Cov-Lite TL | ||||
0.00%, 05/22/26† Σ | 250,000 | 249,687 | ||
Change Healthcare Holdings, Inc. Closing Date Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.15%, 03/01/24† | 558,050 | 554,704 | ||
Charter Communications Operating LLC Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.33%, 04/30/25† | 657,695 | 657,695 | ||
Dell International L.L.C. Refinancing Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 0.75% Floor), 4.41%, 09/07/23† | 490,311 | 488,372 | ||
Delos Finance S.a r.l. New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.08%, 10/06/23† | 258,333 | 258,319 | ||
DigiCert, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%, 1.00% Floor), 6.40%, 10/31/24† | 689,070 | 687,565 | ||
Edelman Financial Center LLC The Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 5.64%, 07/21/25† | 218,900 | 218,509 |
Table of Contents
Par | Value | |||
First Eagle Holdings, Inc. Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%), 5.08%, 12/02/24† | $658,097 | $657,603 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.08%, 10/30/22† | 160,000 | 160,078 | ||
Focus Financial Partners LLC Tranche B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.90%, 07/03/24† | 658,287 | 658,452 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 11/30/23† | 171,506 | 171,350 | ||
HCA, Inc. Tranche B-10 Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.33%, 03/13/25† | 63,654 | 63,759 | ||
Hilton Worldwide Finance, LLC Series B-2 Term Loan Retired 06/21/2019 | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.15%, 10/25/23† | 658,355 | 659,478 | ||
iHeartCommunications, Inc. Initial Term Loan | ||||
0.00%, 05/01/26† Σ | 270,000 | 270,655 | ||
Intelsat Jackson Holdings S.A. Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 6.15%, 11/27/23† | 130,000 | 128,842 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.90%, 08/18/22† | 240,314 | 239,277 | ||
Jane Street Group LLC Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 5.40%, 08/25/22† | 658,342 | 655,600 | ||
Level 3 Financing, Inc. Tranche B 2024 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.65%, 02/22/24† | 860,000 | 854,302 | ||
LPL Holdings, Inc. Tranche B Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.65%, 09/23/24† | 59,848 | 59,811 | ||
McAfee LLC Term B USD Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 6.15%, 09/30/24† | 129,348 | 129,368 | ||
Michaels Stores, Inc. 2018 New Replacement Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.90%, 01/30/23† | 691,571 | 671,692 |
Par | Value | |||
Micron Technology, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.16%, 04/26/22† | $658,303 | $658,511 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 5.08%, 06/07/23† | 656,397 | 629,321 | ||
Numericable U.S. LLC USD TLB Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.69%), 6.08%, 01/31/26† | 388,866 | 377,809 | ||
ON Semiconductor Corporation 2018 New Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.15%, 03/31/23† | 79,193 | 78,281 | ||
Panther BF Aggregator 2 L P Initial Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%), 5.90%, 04/30/26† | 530,000 | 526,854 | ||
Post Holdings, Inc. Series A Incremental Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 05/24/24† | 57,380 | 57,184 | ||
Prime Security Services Borrower LLC December 2018 Incremental Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.15%, 05/02/22† | 356,647 | 354,657 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.15%, 02/05/23† | 306,015 | 304,185 | ||
RPI Finance Trust Initial Term Loan B-6 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 03/27/23† | 718,282 | 719,855 | ||
Sprint Communications, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 4.94%, 02/02/24† | 423,120 | 423,120 | ||
Trans Union LLC 2017 Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 04/10/23† | 209,155 | 209,062 | ||
UFC Holdings LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.66%, 04/29/26† | 310,000 | 309,806 | ||
Unitymedia Finance LLC Facility D Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.64%, 01/15/26† | 250,000 | 249,602 |
Table of Contents
Par | Value | |||
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.15%, 03/15/24† | $871,593 | $831,352 | ||
UPC Financing Partnership Facility AR | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.89%, 01/15/26† | 216,430 | 216,376 | ||
Virgin Media Bristol LLC K Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.89%, 01/15/26† | 330,000 | 329,175 | ||
Total Loan Agreements (Cost $19,196,309) | 19,022,779 | |||
MORTGAGE-BACKED SECURITIES — 39.5% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 3.27%, 09/15/34 144A † | 1,200,000 | 1,202,027 | ||
Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR GBP 1M + 1.25%), 1.97%, 04/24/49(U) † | 578,711 | 738,056 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.96%, 03/17/39(U) † | 712,976 | 855,723 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 2.59%, 09/25/46† | 380,902 | 350,952 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 4.04%, 09/25/45† | 385,162 | 389,228 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
4.79%, 05/25/35† γ | 498,311 | 530,000 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
4.69%, 07/25/34† γ | 48,445 | 50,613 | ||
Bancorp Commercial Mortgage, Series 2018-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 3.29%, 09/15/35 144A † | 739,291 | 737,911 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.96%, 11/15/54† IO γ | 9,946,215 | 549,300 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,714,887 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.71%, 08/10/33 144A † γ | 390,000 | 384,431 | ||
BBCCRE Trust, Series 2015-GTP, Class E | ||||
4.71%, 08/10/33 144A † γ | 1,210,000 | 1,112,257 |
Par | Value | |||
BBCMS Trust, Series 2015-STP, Class A | ||||
3.32%, 09/10/28 144A | $1,029,589 | $1,038,887 | ||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 2.63%, 01/26/38 144A † | 891,860 | 864,195 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
4.62%, 05/25/35† γ | 153,784 | 157,155 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
4.74%, 02/25/33† γ | 8,431 | 8,674 | ||
Bear Stearns ARM Trust, Series 2004-2, Class 24A | ||||
2.39%, 05/25/34 | 18,778 | 18,067 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
4.28%, 01/26/36† γ | 455,730 | 425,580 | ||
Brunel Residential Mortgage Securitisation No. 1 PLC, Series 2007-1X, Class A4B | ||||
(Floating, ICE LIBOR GBP 3M + 0.22%), 1.04%, 01/13/39(U) † | 268,776 | 336,326 | ||
BX Commercial Mortgage Trust, Series 2018-IND, Class H | ||||
(Floating, ICE LIBOR USD 1M + 3.00%, 3.00% Floor), 5.39%, 11/15/35 144A † | 2,939,888 | 2,955,785 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
4.69%, 02/19/34† γ | 248,720 | 255,752 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
4.31%, 04/20/35† γ | 312,533 | 315,641 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.11% Floor), 3.32%, 11/15/36 144A † | 310,000 | 310,638 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 53,282 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 41,831 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.25%, 10/10/46† γ | 20,000 | 20,957 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 393,124 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.73%, 08/10/49 144A † γ | 160,000 | 169,944 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.49%, 02/10/48† γ | 80,000 | 82,094 |
Table of Contents
Par | Value | |||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 4.80%, 04/25/31 144A † | $600,000 | $607,671 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 4.70%, 08/25/31 144A † | 820,000 | 828,155 | ||
Credit Suisse First Boston Mortgage Securities Corporation, Series 2003-AR20, Class 2X | ||||
0.00%, 08/25/33 IO | 7,692 | — | ||
CSFB Mortgage-Backed Pass-Through Certificates Series, Series 2003-AR18, Class 2X | ||||
0.00%, 07/25/33 IO | 23,160 | — | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
4.25%, 06/25/50 144A † γ | 2,154,736 | 1,675,209 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 5,290,792 | 5,306,088 | ||
CSMC Trust, Series 2018-PLUM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 3.23%, 3.23% Floor), 5.63%, 08/15/20 144A † | 850,000 | 851,071 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 551,917 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
4.08%, 02/25/36† γ | 760,847 | 733,636 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 3.22%, 06/15/35 144A † | 1,399,171 | 1,403,039 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 4.65%, 07/25/30† | 200,000 | 202,348 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 4.55%, 10/25/30† | 190,000 | 191,482 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 572 | 609 | ||
4.00%, 10/01/25 | 120,982 | 125,932 | ||
5.50%, 02/01/27 | 22,582 | 24,094 | ||
4.50%, 10/01/29 | 1,884 | 2,008 | ||
7.50%, 11/01/29 | 3,012 | 3,513 | ||
7.50%, 12/01/29 | 3,311 | 3,843 | ||
7.50%, 02/01/31 | 4,138 | 4,308 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 11.36% Cap), 4.48%, 07/01/31† | 2,848 | 2,935 |
Par | Value | |||
7.50%, 11/01/31 | $7,728 | $7,744 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 10.50% Cap), 4.85%, 04/01/32† | 1,047 | 1,095 | ||
3.50%, 08/01/33 | 654,824 | 676,969 | ||
5.00%, 08/01/33 | 3,967 | 4,311 | ||
5.00%, 09/01/33 | 803 | 875 | ||
5.00%, 10/01/33 | 2,199 | 2,397 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 9.19% Cap), 5.04%, 03/01/34† | 1,032 | 1,097 | ||
5.00%, 12/01/34 | 67,590 | 73,948 | ||
5.50%, 05/01/35 | 239,127 | 264,927 | ||
5.00%, 07/01/35 | 3,383 | 3,681 | ||
5.00%, 11/01/35 | 101,168 | 110,668 | ||
5.50%, 11/01/35 | 24,478 | 27,181 | ||
5.00%, 12/01/35 | 9,183 | 10,072 | ||
6.00%, 02/01/36 | 191,468 | 209,851 | ||
5.00%, 02/01/37 | 8,851 | 9,631 | ||
5.50%, 07/01/37 | 25,831 | 28,718 | ||
3.00%, 02/01/38 | 270,291 | 274,184 | ||
3.00%, 04/01/38 | 183,819 | 186,613 | ||
5.50%, 04/01/38 | 6,218 | 6,886 | ||
7.00%, 03/01/39 | 14,541 | 16,942 | ||
4.50%, 06/01/39 | 76,635 | 82,376 | ||
6.50%, 09/01/39 | 30,737 | 35,745 | ||
4.00%, 02/01/41 | 55,918 | 59,029 | ||
5.00%, 06/01/41 | 2,995 | 3,264 | ||
3.50%, 10/01/42 | 110,245 | 114,339 | ||
4.00%, 10/01/42 | 47,017 | 49,637 | ||
3.50%, 11/01/42 | 243,873 | 252,916 | ||
3.50%, 12/01/42 | 64,170 | 66,542 | ||
3.50%, 01/01/43 | 364,537 | 378,066 | ||
3.50%, 02/01/43 | 253,213 | 262,613 | ||
3.50%, 03/01/43 | 588,425 | 610,181 | ||
4.00%, 04/01/43 | 111,355 | 117,600 | ||
3.50%, 05/01/43 | 404,022 | 421,127 | ||
4.00%, 05/01/43 | 48,298 | 51,676 | ||
4.00%, 06/01/43 | 60,619 | 64,858 | ||
4.00%, 07/01/43 | 201,022 | 214,703 | ||
4.00%, 08/01/43 | 108,746 | 114,764 | ||
4.50%, 12/01/43 | 753,297 | 808,787 | ||
3.50%, 02/01/44 | 59,423 | 61,623 | ||
4.50%, 02/01/44 | 621,434 | 667,630 | ||
4.50%, 03/01/44 | 175,193 | 187,982 | ||
3.50%, 03/01/45 | 644,107 | 667,975 | ||
4.00%, 12/01/45 | 447,824 | 468,901 | ||
3.50%, 06/01/46 | 72,450 | 75,130 | ||
4.00%, 09/01/46 | 1,434,809 | 1,502,344 | ||
4.50%, 01/01/47 | 726,053 | 763,253 | ||
3.50%, 04/01/47 | 11,222,189 | 11,634,028 | ||
3.50%, 06/01/47 | 83,110 | 85,975 | ||
4.00%, 07/01/47 | 711,358 | 743,183 | ||
5.00%, 07/01/47 | 433,281 | 460,006 | ||
4.00%, 08/01/47 | 164,639 | 172,630 | ||
3.00%, 09/01/47 | 1,157,041 | 1,173,109 | ||
3.50%, 09/01/47 | 1,386,446 | 1,427,427 | ||
3.50%, 02/01/48 | 358,885 | 369,935 |
Table of Contents
Par | Value | |||
3.50%, 04/01/48 | $1,903,676 | $1,958,280 | ||
4.00%, 04/01/48 | 274,261 | 284,050 | ||
4.00%, 05/01/48 | 1,750,744 | 1,821,250 | ||
3.50%, 06/01/48 | 558,121 | 577,339 | ||
4.50%, 08/01/48 | 1,887,765 | 2,031,290 | ||
5.00%, 08/01/48 | 429,038 | 455,506 | ||
4.00%, 09/01/48 | 6,886,377 | 7,129,800 | ||
3.50%, 10/01/48 | 95,421 | 97,856 | ||
5.00%, 10/01/48 | 341,226 | 362,133 | ||
4.00%, 11/01/48 | 1,417,438 | 1,473,051 | ||
5.00%, 11/01/48 | 256,409 | 271,799 | ||
5.00%, 01/01/49 | 1,532,556 | 1,627,106 | ||
3.50%, 02/01/49 | 965,766 | 989,810 | ||
3.00%, 03/01/49 | 198,860 | 200,857 | ||
3.50%, 03/01/49 | 3,164,811 | 3,245,488 | ||
3.00%, 04/01/49 | 6,893,162 | 6,962,359 | ||
3.50%, 04/01/49 | 1,474,702 | 1,511,337 | ||
4.00%, 05/01/49 | 2,754,484 | 2,853,450 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 151,051 | 173,279 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 2.89%, 06/15/37† | 103,377 | 104,062 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 3.84%, 01/15/40† IO | 215,104 | 33,554 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.56%, 10/15/41† IO | 142,887 | 22,047 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 4.10%, 12/15/41† IO | 267,509 | 55,658 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 08/15/42† IO | 222,380 | 38,985 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 816,408 | 111,123 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 352,519 | 344,265 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 269,317 | 21,957 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 267,256 | 28,673 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.56%, 02/15/44† IO | $107,393 | $17,611 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 05/15/44† IO | 111,056 | 18,522 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
1.75%, 04/15/41† IO γ | 141,538 | 7,941 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 2.93%, 07/15/40† | 377,666 | 376,695 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 1,269,037 | 1,287,573 | ||
3.00%, 06/15/48 | 953,701 | 967,698 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 1,244,607 | 1,263,912 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 12/15/46† IO | 384,115 | 63,606 | ||
Federal National Mortgage Association | ||||
9.50%, 05/01/22 | 69 | 70 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 2.38%, 07/01/22† | 977 | 971 | ||
5.50%, 09/01/23 | 16,256 | 16,798 | ||
5.50%, 10/01/23 | 4,019 | 4,166 | ||
9.50%, 07/01/24 | 54 | 55 | ||
2.81%, 04/01/25 | 50,000 | 51,526 | ||
5.50%, 05/01/25 | 5,283 | 5,368 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 2.21%, 07/01/27† | 7,972 | 7,899 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.86% Cap), 4.60%, 08/01/27† | 13,854 | 14,475 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.62% Cap), 2.21%, 11/01/27 CONV † | 8,894 | 8,814 | ||
2.84%, 01/01/28 | 820,000 | 844,473 | ||
3.08%, 01/01/28 | 140,000 | 146,730 | ||
3.07%, 01/01/29 | 100,000 | 104,364 | ||
3.30%, 04/01/29 | 100,000 | 106,413 | ||
3.09%, 05/01/29 | 200,000 | 209,889 | ||
3.16%, 05/01/29 | 149,854 | 157,722 | ||
3.19%, 05/01/29 | 99,876 | 105,319 |
Table of Contents
Par | Value | |||
3.24%, 05/01/29 | $280,000 | $296,183 | ||
3.26%, 05/01/29 | 259,793 | 275,530 | ||
3.35%, 05/01/29 | 60,000 | 63,848 | ||
3.16%, 06/01/29 | 5,900,000 | 6,202,992 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.64%, 2.64% Floor, 12.39% Cap), 4.89%, 02/01/30† | 68,475 | 69,984 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 4.63%, 06/01/30 CONV † | 11,345 | 11,481 | ||
8.00%, 10/01/30 | 9,143 | 10,990 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 4.95%, 12/01/30 CONV † | 3,374 | 3,418 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 2.21%, 01/01/31† | 4,801 | 4,732 | ||
4.50%, 04/01/31 | 43,572 | 46,407 | ||
3.31%, 05/01/31 | 100,000 | 106,147 | ||
4.50%, 05/01/31 | 157,195 | 167,422 | ||
4.50%, 06/01/31 | 47,272 | 50,348 | ||
4.50%, 11/01/31 | 70,305 | 74,881 | ||
6.00%, 11/01/31 | 1,738 | 1,965 | ||
4.50%, 12/01/31 | 108,258 | 115,306 | ||
6.00%, 01/01/32 | 52,851 | 57,931 | ||
6.00%, 03/01/32 | 2,354 | 2,581 | ||
6.00%, 04/01/32 | 103,964 | 114,279 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 2.21%, 06/01/32† | 6,510 | 6,412 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 2.38%, 08/01/32† | 6,625 | 6,527 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 4.88%, 02/01/33† | 887 | 901 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.99% Cap), 2.38%, 05/01/33† | 14,998 | 14,807 | ||
5.00%, 07/01/33 | 20,037 | 21,766 | ||
5.00%, 09/01/33 | 24,559 | 26,678 | ||
3.50%, 05/01/34 | 129,760 | 134,873 | ||
3.50%, 07/01/34 TBA | 8,300,000 | 8,567,849 | ||
6.00%, 10/01/34 | 26,139 | 28,631 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 4.55%, 12/01/34† | 12,926 | 13,466 | ||
6.00%, 05/01/35 | 409,707 | 463,664 | ||
6.00%, 07/01/35 | 70,459 | 78,435 | ||
5.50%, 09/01/35 | 54,022 | 57,617 | ||
5.00%, 10/01/35 | 68,881 | 74,877 | ||
6.00%, 10/01/35 | 15,158 | 17,102 |
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 2.21%, 11/01/35† | $3,244 | $3,244 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.95%, 1.95% Floor, 8.99% Cap), 4.41%, 11/01/35† | 34,739 | 36,012 | ||
6.00%, 11/01/35 | 265,578 | 293,750 | ||
5.50%, 04/01/36 | 3,353 | 3,599 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.87% Floor, 12.94% Cap), 4.08%, 05/01/36† | 28,435 | 29,872 | ||
5.50%, 11/01/36 | 56,523 | 62,824 | ||
5.50%, 03/01/37 | 3,404 | 3,782 | ||
6.00%, 07/01/37 | 526,629 | 596,574 | ||
6.50%, 10/01/37 | 42,658 | 47,353 | ||
7.00%, 10/01/37 | 1,317 | 1,464 | ||
7.00%, 11/01/37 | 4,963 | 5,468 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.65% Cap), 2.21%, 12/01/37† | 21,575 | 21,246 | ||
3.00%, 12/01/37 | 177,644 | 180,976 | ||
7.00%, 12/01/37 | 3,282 | 3,880 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.53% Cap), 2.21%, 01/01/38† | 12,873 | 12,777 | ||
7.00%, 02/01/38 | 1,722 | 1,912 | ||
4.50%, 03/01/38 | 3,488 | 3,679 | ||
4.50%, 04/01/38 | 69,519 | 74,651 | ||
5.00%, 04/01/38 | 65,338 | 70,897 | ||
5.00%, 06/01/38 | 74,978 | 81,269 | ||
5.50%, 08/01/38 | 39,371 | 43,412 | ||
7.00%, 11/01/38 | 14,391 | 16,983 | ||
7.00%, 02/01/39 | 6,525 | 7,734 | ||
6.00%, 12/01/39 | 238,310 | 270,432 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.68% Cap), 3.88%, 06/01/40† | 27,442 | 28,194 | ||
3.88%, 10/01/40† | 89,800 | 89,559 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 2.21%, 11/01/40† | 7,707 | 7,618 | ||
4.50%, 04/01/41 | 97,034 | 104,249 | ||
4.50%, 08/01/41 | 53,230 | 57,197 | ||
4.50%, 11/01/41 | 292,778 | 314,599 | ||
4.00%, 06/01/42 | 34,033 | 35,452 | ||
3.50%, 09/01/42 | 49,578 | 51,377 | ||
2.50%, 10/01/42 | 364,089 | 362,973 | ||
4.00%, 10/01/42 | 191,998 | 202,505 | ||
2.50%, 11/01/42 | 21,426 | 21,368 | ||
4.00%, 11/01/42 | 1,570,685 | 1,668,939 | ||
2.50%, 12/01/42 | 15,135 | 15,094 | ||
3.00%, 12/01/42 | 16,158 | 16,522 |
Table of Contents
Par | Value | |||
3.50%, 12/01/42 | $77,653 | $80,609 | ||
4.00%, 12/01/42 | 108,439 | 114,418 | ||
2.50%, 01/01/43 | 15,557 | 15,514 | ||
3.00%, 01/01/43 | 292,370 | 297,226 | ||
3.50%, 01/01/43 | 1,524,936 | 1,578,459 | ||
2.50%, 02/01/43 | 19,301 | 19,248 | ||
2.50%, 03/01/43 | 1,359,898 | 1,356,185 | ||
3.00%, 03/01/43 | 183,517 | 187,618 | ||
3.50%, 03/01/43 | 643,789 | 668,692 | ||
2.50%, 04/01/43 | 1,183,403 | 1,180,173 | ||
3.00%, 04/01/43 | 273,222 | 279,358 | ||
4.00%, 04/01/43 | 51,887 | 55,287 | ||
2.50%, 05/01/43 | 26,189 | 26,118 | ||
3.00%, 05/01/43 | 176,554 | 180,522 | ||
2.50%, 06/01/43 | 23,146 | 23,083 | ||
3.00%, 06/01/43 | 52,776 | 53,963 | ||
4.00%, 06/01/43 | 470,948 | 499,788 | ||
3.00%, 07/01/43 | 474,459 | 485,122 | ||
4.00%, 07/01/43 | 490,342 | 519,597 | ||
2.50%, 08/01/43 | 825,907 | 822,478 | ||
4.00%, 08/01/43 | 166,250 | 175,430 | ||
4.50%, 09/01/43 | 529,768 | 567,934 | ||
2.50%, 10/01/43 | 38,306 | 38,137 | ||
4.50%, 10/01/43 | 174,176 | 186,878 | ||
4.50%, 11/01/43 | 117,938 | 126,607 | ||
4.50%, 12/01/43 | 164,713 | 176,803 | ||
4.50%, 01/01/44 | 104,389 | 112,039 | ||
4.50%, 02/01/44 | 803,025 | 860,175 | ||
4.50%, 10/01/44 | 399,778 | 430,159 | ||
4.00%, 01/01/45 | 158,219 | 167,510 | ||
4.50%, 02/01/45 | 1,013,693 | 1,106,056 | ||
4.50%, 04/01/45 | 564,950 | 613,644 | ||
4.50%, 05/01/45 | 62,913 | 68,336 | ||
3.50%, 06/01/45 | 612,206 | 631,614 | ||
4.50%, 06/01/45 | 741,838 | 789,527 | ||
3.00%, 11/01/45 | 1,461,278 | 1,481,930 | ||
3.50%, 12/01/45 | 214,550 | 222,411 | ||
3.50%, 01/01/46 | 428,285 | 445,047 | ||
3.00%, 05/01/46 | 515,352 | 522,273 | ||
3.00%, 07/01/46 | 613,235 | 623,615 | ||
3.00%, 08/01/46 | 1,034,478 | 1,048,796 | ||
3.00%, 09/01/46 | 324,609 | 328,949 | ||
3.00%, 11/01/46 | 3,011,587 | 3,057,532 | ||
4.50%, 11/01/46 | 718,768 | 757,199 | ||
5.00%, 11/01/46 | 969,247 | 1,035,006 | ||
3.50%, 12/01/46 | 844,470 | 876,876 | ||
3.00%, 01/01/47 | 324,748 | 328,976 | ||
3.50%, 02/01/47 | 5,453,070 | 5,624,615 | ||
4.50%, 03/01/47 | 816,641 | 860,308 | ||
4.00%, 04/01/47 | 707,800 | 741,683 | ||
4.00%, 05/01/47 | 167,107 | 175,106 | ||
4.50%, 06/01/47 | 704,533 | 758,788 | ||
4.50%, 07/01/47 | 1,464,064 | 1,556,054 | ||
3.00%, 09/01/47 | 1,379,291 | 1,402,589 | ||
3.50%, 09/01/47 | 19,149,275 | 19,857,712 | ||
3.50%, 10/01/47 | 19,512,999 | 20,234,892 | ||
3.50%, 11/01/47 | 24,375,588 | 25,277,350 |
Par | Value | |||
4.50%, 11/01/47 | $332,322 | $353,203 | ||
3.50%, 12/01/47 | 25,175,847 | 26,103,017 | ||
4.00%, 12/01/47 | 553,238 | 584,816 | ||
4.00%, 01/01/48 | 561,043 | 593,938 | ||
3.50%, 02/01/48 | 2,330,654 | 2,399,708 | ||
4.00%, 02/01/48 | 1,894,321 | 1,999,264 | ||
4.00%, 03/01/48 | 1,571,444 | 1,655,277 | ||
4.00%, 05/01/48 | 916,840 | 965,752 | ||
5.00%, 05/01/48 | 382,902 | 405,866 | ||
3.50%, 06/01/48 | 2,047,634 | 2,103,115 | ||
4.00%, 06/01/48 | 933,310 | 988,238 | ||
3.50%, 07/01/48 | 1,625,737 | 1,673,733 | ||
4.00%, 07/01/48 | 1,898,553 | 2,004,456 | ||
3.50%, 08/01/48 | 10,476,902 | 10,863,934 | ||
4.00%, 08/01/48 | 3,611,188 | 3,770,335 | ||
4.50%, 09/01/48 | 944,732 | 1,015,872 | ||
5.00%, 10/01/48 | 1,254,462 | 1,328,746 | ||
4.00%, 11/01/48 | 2,003,858 | 2,079,658 | ||
5.00%, 11/01/48 | 1,759,562 | 1,866,974 | ||
3.50%, 02/01/49 | 96,134 | 99,667 | ||
3.50%, 04/01/49 | 2,175,328 | 2,234,329 | ||
3.50%, 05/01/49 | 1,192,754 | 1,224,535 | ||
3.50%, 06/01/49 | 4,782,156 | 4,899,761 | ||
3.50%, 07/01/49 TBA | 1,000,000 | 1,022,461 | ||
4.00%, 07/01/49 TBA | 1,000,000 | 1,033,613 | ||
4.50%, 07/01/49 TBA | 14,100,000 | 14,736,016 | ||
5.00%, 07/01/49 TBA | 1,100,000 | 1,162,928 | ||
3.00%, 08/01/49 TBA | 44,700,000 | 45,048,347 | ||
3.00%, 09/01/49 TBA | 4,000,000 | 4,028,244 | ||
4.00%, 02/01/56 | 524,499 | 551,314 | ||
4.50%, 04/01/56 | 834,826 | 894,078 | ||
5.50%, 09/01/56 | 768,605 | 831,967 | ||
4.00%, 01/01/57 | 314,222 | 330,287 | ||
3.50%, 03/01/57 | 2,348,768 | 2,413,815 | ||
4.00%, 06/01/57 | 584,444 | 614,122 | ||
4.50%, 09/01/57 | 952,518 | 1,019,773 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.64%, 09/25/24† IO γ | 3,787,838 | 88,849 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 225,513 | 232,279 | ||
Federal National Mortgage Association ACES, Series 2019-M10 | ||||
3.30%, 12/25/37 | 410,000 | 434,836 | ||
Federal National Mortgage Association ACES, Series 2019-M4 | ||||
3.61%, 02/25/31 | 260,000 | 283,045 | ||
Federal National Mortgage Association ACES, Series 2019-M5 | ||||
3.27%, 01/25/29 | 500,000 | 527,970 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association ACES, Series 2019-M6 | ||||
3.45%, 01/01/29 | $550,000 | $591,805 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 233,264 | 16,700 | ||
4.50%, 11/25/39 IO | 41,830 | 7,731 | ||
3.50%, 11/25/41 IO | 163,714 | 26,626 | ||
4.00%, 11/25/41 IO | 201,005 | 33,711 | ||
4.00%, 04/25/42 IO | 369,842 | 60,707 | ||
Federal National Mortgage Association REMIC, Series 1991-137 | ||||
868.32%, 10/25/21 IO | 17 | 128 | ||
Federal National Mortgage Association REMIC, Series 1991-97 | ||||
1,009.25%, 08/25/21 IO | 9 | 86 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 2.83%, 10/18/30† | 6,243 | 6,275 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 350,758 | 400,466 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 4.35%, 03/25/37† IO | 469,228 | 93,793 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 288,615 | 318,200 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 864,950 | 976,998 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 4.15%, 10/25/41† IO | 353,739 | 60,533 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 133,595 | 10,337 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 23,998 | 28,497 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 216,536 | 17,091 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.75%, 12/25/42† IO | $124,348 | $22,408 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 81,714 | 96,168 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 8,809 | 9,520 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.10%, 04/25/42† IO | 120,073 | 20,869 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 121,105 | 133,731 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.25%, 02/25/41† IO | 22,592 | 2,186 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.25%, 03/25/42† IO | 149,475 | 21,417 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 4.20%, 07/25/42† IO | 42,953 | 7,959 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 3.55%, 12/25/43† IO | 462,688 | 84,961 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 190,578 | 27,712 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 886,159 | 71,745 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 528,362 | 73,841 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.75%, 06/25/43† IO | $208,358 | $43,230 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 523,432 | 586,473 | ||
6.50%, 07/25/42 | 210,199 | 245,264 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
1.84%, 08/25/44† IO γ | 402,973 | 23,108 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
1.60%, 08/25/55† IO γ | 136,540 | 7,435 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 3.75%, 08/25/45† IO | 64,788 | 14,516 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.70%, 10/25/57† IO | 899,915 | 165,897 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.80%, 11/25/47† IO | 291,671 | 46,620 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K015 | ||||
1.73%, 07/25/21† IO γ | 575,720 | 15,598 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K016 | ||||
1.64%, 10/25/21† IO γ | 175,727 | 5,220 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K044 | ||||
0.87%, 01/25/25† IO γ | 1,267,623 | 43,299 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K068 | ||||
0.57%, 08/25/27† IO γ | 2,434,081 | 76,821 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K091 | ||||
0.70%, 03/25/29† IO γ | 1,419,781 | 69,072 | ||
3.51%, 03/25/29 | 620,000 | 673,734 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K093 | ||||
0.95%, 05/25/29† IO γ | 2,000,000 | 158,770 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series K723 | ||||
1.07%, 08/25/23† IO γ | 3,265,475 | 103,329 | ||
FHLMC Multifamily Structured Pass Through Certificates, Series KF11 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 3.08%, 09/25/25† | 359,774 | 360,629 |
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 6.20%, 03/25/29† | $250,000 | $266,262 | ||
FHLMC Structured Pass-Through Certificates, Series T-61 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.90%, 07/25/44† | 542,364 | 557,610 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
4.39%, 06/25/34† γ | 218,010 | 219,403 | ||
Flagstar Mortgage Trust, Series 2018-2, Class A4 | ||||
3.50%, 04/25/48 144A † γ | 1,182,278 | 1,196,255 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 5,260,825 | 25,326 | ||
FREMF Mortgage Trust, Series 2018-KF49, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.90%, 1.90% Floor), 4.33%, 06/25/25 144A † | 849,984 | 846,832 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 2,522 | 2,694 | ||
7.00%, 07/15/27 | 23,938 | 26,806 | ||
7.00%, 01/15/28 | 11,425 | 11,557 | ||
7.00%, 03/15/28 | 31,485 | 35,722 | ||
7.00%, 07/15/28 | 3,613 | 3,875 | ||
7.50%, 07/15/28 | 9,903 | 10,053 | ||
6.50%, 08/15/28 | 2,289 | 2,517 | ||
7.00%, 08/15/28 | 6,267 | 6,795 | ||
7.50%, 08/15/28 | 6,665 | 7,358 | ||
6.50%, 09/15/28 | 4,055 | 4,587 | ||
7.00%, 10/15/28 | 11,381 | 11,460 | ||
7.50%, 03/15/29 | 11,061 | 12,861 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.00% Floor, 11.00% Cap), 4.13%, 11/20/29† | 19,323 | 20,036 | ||
8.50%, 08/15/30 | 476 | 489 | ||
8.50%, 11/20/30 | 5,188 | 6,029 | ||
6.50%, 08/15/31 | 30,091 | 34,088 | ||
7.50%, 08/15/31 | 6,826 | 7,364 | ||
6.50%, 10/15/31 | 49,672 | 56,002 | ||
6.00%, 11/15/31 | 99,155 | 110,845 | ||
6.50%, 11/15/31 | 60,544 | 66,534 | ||
6.00%, 12/15/31 | 17,865 | 20,102 | ||
6.00%, 01/15/32 | 66,806 | 73,767 | ||
6.00%, 02/15/32 | 97,164 | 107,211 | ||
6.50%, 02/15/32 | 34,592 | 38,049 | ||
6.00%, 04/15/32 | 38,435 | 42,068 | ||
7.50%, 04/15/32 | 8,191 | 8,683 | ||
6.50%, 06/15/32 | 53,168 | 58,668 | ||
6.50%, 08/15/32 | 97,696 | 107,493 | ||
6.50%, 09/15/32 | 89,538 | 100,448 |
Table of Contents
Par | Value | |||
6.00%, 10/15/32 | $71,666 | $81,801 | ||
5.50%, 11/15/32 | 10,156 | 11,076 | ||
6.00%, 11/15/32 | 56,843 | 62,627 | ||
6.00%, 12/15/32 | 26,810 | 29,720 | ||
6.50%, 12/15/32 | 8,502 | 9,347 | ||
5.50%, 01/15/33 | 5,815 | 6,305 | ||
6.00%, 01/15/33 | 25,549 | 28,318 | ||
5.50%, 02/15/33 | 12,841 | 14,354 | ||
6.00%, 02/15/33 | 24,702 | 28,189 | ||
5.50%, 03/15/33 | 14,639 | 16,483 | ||
6.50%, 04/15/33 | 155,324 | 181,764 | ||
6.00%, 06/15/33 | 18,230 | 19,954 | ||
5.50%, 07/15/33 | 14,677 | 16,206 | ||
5.50%, 08/15/33 | 5,061 | 5,405 | ||
5.50%, 09/15/33 | 3,035 | 3,290 | ||
6.00%, 10/15/33 | 35,088 | 38,419 | ||
6.50%, 10/15/33 | 67,152 | 74,267 | ||
5.50%, 04/15/34 | 10,426 | 11,671 | ||
5.50%, 05/15/34 | 2,582 | 2,752 | ||
6.50%, 08/15/34 | 116,114 | 131,526 | ||
5.50%, 09/15/34 | 62,119 | 69,876 | ||
5.50%, 12/15/34 | 63,426 | 71,291 | ||
5.50%, 01/15/35 | 46,275 | 52,039 | ||
6.00%, 09/20/38 | 142,400 | 162,259 | ||
5.00%, 07/20/40 | 12,303 | 13,533 | ||
5.00%, 09/20/40 | 54,086 | 59,489 | ||
4.00%, 10/20/40 | 7,010 | 7,428 | ||
6.00%, 10/20/40 | 22,211 | 25,463 | ||
6.00%, 01/20/41 | 17,883 | 20,486 | ||
4.50%, 04/20/41 | 239,383 | 255,473 | ||
3.00%, 09/15/42 | 553,750 | 567,002 | ||
3.00%, 10/15/42 | 117,576 | 120,390 | ||
3.00%, 11/15/42 | 556,313 | 569,626 | ||
4.00%, 08/20/43 | 402,461 | 425,092 | ||
3.50%, 06/20/44 | 165,770 | 172,391 | ||
3.00%, 01/15/45 | 3,693,898 | 3,774,324 | ||
3.00%, 02/15/45 | 101,620 | 103,832 | ||
3.50%, 03/20/45 | 78,169 | 81,143 | ||
3.50%, 04/15/45 | 721,169 | 745,729 | ||
4.00%, 05/20/45 | 36,861 | 38,880 | ||
4.00%, 10/20/45 | 315,644 | 331,703 | ||
3.50%, 09/20/46 | 2,515,140 | 2,608,204 | ||
3.00%, 01/20/47 | 1,384,090 | 1,417,332 | ||
3.00%, 03/20/47 | 834,389 | 854,823 | ||
3.00%, 09/20/47 | 1,307,195 | 1,337,906 | ||
4.00%, 09/20/47 | 1,720,344 | 1,794,409 | ||
3.50%, 10/20/47 | 1,060,792 | 1,097,625 | ||
3.50%, 11/20/47 | 87,456 | 90,430 | ||
4.00%, 11/20/47 | 1,046,017 | 1,090,701 | ||
4.00%, 12/20/47 | 491,948 | 512,743 | ||
3.00%, 02/20/48 | 224,125 | 229,391 | ||
4.50%, 05/20/48 | 3,996,515 | 4,168,499 | ||
3.50%, 06/15/48 | 268,184 | 278,276 | ||
3.50%, 06/20/48 | 600,000 | 620,064 | ||
4.00%, 07/20/48 | 819,833 | 851,129 | ||
4.50%, 08/20/48 | 12,591,573 | 13,160,032 |
Par | Value | |||
4.50%, 09/20/48 | $5,812,056 | $6,072,160 | ||
5.00%, 09/20/48 | 894,850 | 936,293 | ||
4.00%, 10/20/48 | 800,000 | 829,295 | ||
5.00%, 11/20/48 | 2,082,056 | 2,178,482 | ||
4.00%, 12/20/48 | 600,000 | 621,971 | ||
4.50%, 12/20/48 | 1,246,650 | 1,300,298 | ||
5.00%, 12/20/48 | 3,216,343 | 3,365,301 | ||
4.50%, 01/20/49 | 5,691,512 | 5,957,001 | ||
5.00%, 01/20/49 | 7,517,502 | 7,865,660 | ||
4.50%, 03/20/49 | 396,572 | 414,889 | ||
5.00%, 03/20/49 | 5,358,493 | 5,629,456 | ||
4.50%, 04/20/49 | 2,885,991 | 3,011,759 | ||
5.00%, 04/20/49 | 2,985,514 | 3,136,617 | ||
5.00%, 05/20/49 | 2,994,913 | 3,152,224 | ||
3.00%, 07/01/49 TBA | 3,300,000 | 3,372,574 | ||
3.50%, 07/01/49 TBA | 11,900,000 | 12,293,723 | ||
4.00%, 07/01/49 TBA | 6,200,000 | 6,427,658 | ||
4.50%, 07/01/49 TBA | 45,640,000 | 47,579,266 | ||
3.00%, 07/20/49 | 799,920 | 818,534 | ||
3.50%, 08/01/49 TBA | 40,600,000 | 41,910,000 | ||
4.00%, 08/01/49 TBA | 500,000 | 518,203 | ||
5.00%, 08/01/49 TBA | 5,500,000 | 5,748,468 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 2.68%, 05/20/37† | 112,263 | 112,135 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 4.20%, 08/20/37† IO | 985,760 | 163,956 | ||
Government National Mortgage Association, Series 2010-31 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 4.12%, 03/20/39† IO | 13,590 | 456 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 4.27%, 01/20/40† IO | 35,070 | 2,826 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 2.87%, 12/20/60† | 232,917 | 232,546 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 2.95%, 03/20/61† | 303,335 | 303,419 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 2.97%, 03/20/61† | 212,506 | 212,660 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.41%, 01/16/53† IO γ | 7,679,154 | 218,311 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 3.67%, 03/20/42† IO | $37,800 | $7,187 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 124,381 | 6,859 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
(Variable, ICE LIBOR USD 1M + 0.00%, 2.15% Floor, 12.17% Cap), 1.75%, 10/20/62† IO | 699,617 | 34,631 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 2.82%, 12/20/62† | 1,082,823 | 1,080,130 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 112,014 | 13,979 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.22%, 08/20/44† IO | 80,451 | 11,227 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.82%, 08/20/44† IO | 219,967 | 44,566 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.75%, 11/16/55† IO γ | 3,093,739 | 128,975 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 115,317 | 20,484 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 3.02%, 05/20/65† | 2,315,053 | 2,310,205 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 2.90%, 05/20/65† | 2,422,474 | 2,420,142 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 3.04%, 06/20/65† | 3,936,600 | 3,931,644 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 3.05%, 06/20/65† | 1,521,778 | 1,520,196 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 3.07%, 06/20/65† | 3,769,192 | 3,768,472 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 3.07%, 07/20/65† | 3,732,092 | 3,731,247 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor, 12.30% Cap), 2.95%, 06/20/65† | $571,607 | $571,471 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 3.07%, 07/20/65† | 561,415 | 561,309 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 3.07%, 08/20/65† | 578,553 | 578,437 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 3.07%, 09/20/65† | 592,366 | 592,221 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 3.09%, 09/20/65† | 692,242 | 692,630 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 2.99%, 10/20/65† | 1,361,507 | 1,363,930 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 3.15%, 08/20/61† | 38,273 | 38,343 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.93%, 08/15/58† IO γ | 5,277,701 | 394,680 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.69%, 03/16/60† IO γ | 7,175,701 | 448,851 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%, 2.35% Floor), 2.23%, 07/20/67† IO | 576,282 | 78,078 | ||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.52%, 07/20/67† | 1,852,855 | 1,887,965 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%, 2.40% Floor), 1.58%, 09/20/67† IO | 4,541,841 | 425,993 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%, 2.40% Floor), 2.00%, 10/20/67† IO | 197,548 | 22,443 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2017-H22 | ||||
(Variable, ICE LIBOR USD 1Y + 0.00%, 2.52% Floor), 2.25%, 11/20/67† IO | $1,613,548 | $191,181 | ||
Government National Mortgage Association, Series 2018-118 | ||||
3.20%, 05/16/49 | 246,825 | 250,919 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 2.77%, 05/20/68† | 1,083,670 | 1,078,580 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 229,878 | 233,390 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 3.28%, 11/21/35 144A † | 1,349,283 | 1,351,306 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 2.58%, 01/25/37† | 475,118 | 456,131 | ||
GS Mortgage Securities Corporation II, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 389,117 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 3.69%, 09/15/31 144A † | 1,530,000 | 1,512,022 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 142,867 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.50%, 09/25/35† γ | 423,421 | 436,437 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 567,499 | 721,681 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.36% Floor, 11.00% Cap), 3.12%, 10/25/34† | 32,772 | 32,703 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
3.91%, 01/25/32† γ | 5,614 | 5,425 | ||
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.26% Floor, 11.50% Cap), 2.92%, 01/25/36† | 107,786 | 107,823 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.32%, 05/15/45† γ | 280,000 | 284,330 |
Par | Value | |||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
4.72%, 02/25/35† γ | $40,796 | $41,334 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 2,708,722 | 2,758,118 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 1,056,471 | 1,071,812 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
5.05%, 01/15/47† γ | 50,000 | 54,240 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 840,000 | 865,520 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 800,000 | 827,369 | ||
Kensington Mortgage Securities PLC, Series 2007-1X, Class A3C | ||||
(Floating, ICE LIBOR USD 3M + 0.17%), 2.60%, 06/14/40† | 845,181 | 830,709 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 1.66%, 11/15/49(U) † | 778,726 | 990,788 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.94%, 01/01/61(U) † | 741,224 | 882,426 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.37%, 01/01/61(U) † | 597,081 | 737,836 | ||
Magnolia Finance X, Ltd., Series 2015-3GNA, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 2.48%), 3.41%, 03/12/20(U) 144A † Ψ ††† | 980,185 | 1,182,546 | ||
Magnolia Finance X, Ltd., Series 2015-3GNA, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 3.75%), 4.67%, 03/12/20(U) 144A † Ψ ††† | 365,167 | 440,556 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 1.00%, 04/15/47(U) † | 721,661 | 875,000 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
4.66%, 11/21/34† γ | 214,471 | 223,934 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
4.25%, 05/25/34† γ | 82,746 | 83,140 |
Table of Contents
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A4 | ||||
3.10%, 05/15/46 | $300,000 | $308,483 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 144,626 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 388,460 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 498,829 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,469,434 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 800,000 | 836,195 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | ||||
3.56%, 07/13/29 144A † γ | 800,000 | 812,970 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 3.79%, 05/15/36 144A † | 1,050,000 | 1,051,650 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 11.50% Cap), 2.68%, 10/25/35† | 279,379 | 278,983 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.58%, 06/07/35 144A † γ | 580,000 | 598,941 | ||
MSCG Trust, Series 2016-SNR, Class C | ||||
5.21%, 11/15/34 144A | 331,500 | 336,072 | ||
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 2.63%, 12/26/35 144A † | 302,442 | 301,239 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 3.05%, 06/25/57 144A † | 814,128 | 811,754 | ||
Prime Mortgage Trust, Series 2006-DR1, Class 2A1 | ||||
5.50%, 05/25/35 144A | 1,914,186 | 1,650,560 | ||
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 | ||||
6.00%, 05/25/35 144A | 1,550,948 | 1,281,798 | ||
ResLoc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 1,039,214 | 1,130,538 |
Par | Value | |||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.95%, 12/15/43(U) † | $259,803 | $313,283 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 164,066 | 208,335 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.60%, 08/20/56(U) † | 3,187,568 | 4,047,651 | ||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 3.34%, 06/15/33 144A † | 450,000 | 449,876 | ||
Sequoia Mortgage Trust, Series 2003-4, Class 1A2 | ||||
(Floating, ICE LIBOR USD 6M + 0.66%, 0.33% Floor, 11.50% Cap), 3.42%, 07/20/33† | 57,132 | 55,063 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.00% Cap), 3.03%, 04/19/27† | 277,935 | 274,413 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 345,419 | ||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.15%, 01/21/70 144A † | 720,000 | 720,503 | ||
Station Place Securitization Trust, Series 2015-2, Class AR | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor), 2.95%, 05/15/21 144A † | 350,000 | 350,000 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 2.70%, 10/25/35† | 537,347 | 541,208 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 2.64%, 07/19/35† | 64,924 | 64,488 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.50% Cap), 3.04%, 09/25/43† | 6,734 | 6,809 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
4.62%, 04/25/45† γ | 47,889 | 49,154 | ||
Towd Point Mortgage Funding PLC, Series 2016-V1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.20%), 2.00%, 02/20/54(U) 144A † | 364,324 | 464,076 |
Table of Contents
Par | Value | |||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.85%, 10/20/51(U) 144A † | $2,000,000 | $2,545,060 | ||
Tower Bridge Funding No. 1 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.00%), 1.78%, 03/20/56(U) † | 509,431 | 648,766 | ||
Tower Bridge Funding No. 2 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.90%), 1.68%, 03/20/56(U) † | 1,058,428 | 1,345,458 | ||
TPG Real Estate Finance Issuer, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 3.14%, 02/15/35 144A † | 338,245 | 338,751 | ||
Trinity Square PLC, Series 2015-1A, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.97%, 07/15/51(U) 144A † | 215,458 | 275,398 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.63%, 12/10/45 144A † γ | 320,000 | 314,505 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 102,465 | ||
Warwick Finance Residential Mortgages No. One PLC, Series 1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.00%), 1.77%, 09/21/49(U) † | 1,003,614 | 1,280,871 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
4.51%, 02/25/33† γ | 3,120 | 3,207 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR6, Class A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 3.90%, 06/25/42† | 9,254 | 9,159 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.39% Floor, 10.50% Cap), 3.18%, 01/25/45† | 1,189,415 | 1,181,819 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.29%, 0.29% Floor, 10.50% Cap), 2.69%, 10/25/45† | 853,073 | 853,681 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.90%, 02/25/37† γ | 239,372 | 223,793 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.96%, 02/25/37† γ | 144,899 | 143,668 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 3.26%, 04/25/47† | $548,326 | $551,177 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 2.94%, 07/25/45† | 561,305 | 556,899 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.29% Floor, 10.50% Cap), 2.98%, 07/25/45† | 112,049 | 111,515 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 148,900 | 153,291 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
4.72%, 12/28/37† γ | 428,087 | 427,111 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.42%, 07/15/46† γ | 20,000 | 20,767 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class XA | ||||
1.31%, 08/15/50† IO γ | 2,445,134 | 105,078 | ||
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR2, Class 2A2 | ||||
5.15%, 03/25/35† γ | 40,711 | 42,289 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.52%, 06/15/45 144A † IO γ | 267,841 | 8,250 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.33%, 05/15/45 144A † IO γ | 2,389,904 | 92,474 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.21%, 03/15/47† IO γ | 919,466 | 33,818 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.21%, 08/15/47† IO γ | 3,273,845 | 134,707 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 302,578 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 302,491 | ||
Total Mortgage-Backed Securities (Cost $648,254,258) | 656,013,995 | |||
MUNICIPAL BONDS — 0.6% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,044,807 |
Table of Contents
Par | Value | |||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | $250,000 | $336,185 | ||
Chicago Transit Authority, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 946,498 | ||
Chicago Transit Authority, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 406,849 | ||
City of Chicago IL, General Obligation | ||||
7.75%, 01/01/42 | 2,177,000 | 2,805,326 | ||
Northstar Education Finance, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.10%, 0.10% Floor), 2.68%, 04/28/30† | 104,922 | 104,491 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 374,623 | ||
State of California, General Obligation | ||||
7.95%, 03/01/36 | 265,000 | 274,993 | ||
7.55%, 04/01/39 | 410,000 | 649,877 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 1,115,000 | 1,175,121 | ||
6.63%, 02/01/35 | 495,000 | 571,361 | ||
7.35%, 07/01/35 | 465,000 | 548,730 | ||
Utah State Board of Regents Series 2016-1 A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 25.00% Cap), 3.15%, 09/25/56† | 1,223,928 | 1,225,446 | ||
Total Municipal Bonds (Cost $9,707,761) | 10,464,307 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.1% | ||||
Call Options — 0.1% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,280.00, Expires 07/26/19 (GSC) | 80 | $10,237,600 | 48,750 | |
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,285.00, Expires 07/26/19 (GSC) | 98 | 12,541,060 | 39,813 |
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,185.00, Expires 07/26/19 (GSC) | 346 | $40,883,360 | $91,906 | ||
Euro Dollar, Strike Price $97.37, Expires 12/16/19 (GSC) | 64 | 15,694,400 | 114,800 | ||
Euro vs. U.S. Dollar, Strike Price $1.12, Expires 07/24/19 (BAR) | 9,550,657 | 9,550,657 | 157,885 | ||
Long U.S. Treasury Bond Future expiration date 9/2019, Strike Price $1,940.00, Expires 08/23/19 (JPM) | 37 | 5,756,830 | 37 | ||
453,191 | |||||
Put Options — 0.0% | |||||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,100.00, Expires 08/23/19 (JPM) | 115 | 14,716,550 | 115 | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,105.00, Expires 08/23/19 (JPM) | 89 | 11,389,330 | 89 | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,110.00, Expires 08/23/19 (JPM) | 103 | 13,180,910 | 103 | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,127.50, Expires 07/26/19 (GSC) | 225 | 26,586,000 | 225 | ||
Euro vs. U.S. Dollar, Strike Price $1.14, Expires 11/04/19 (CITI) | 6,311,449 | 6,311,449 | 73,028 | ||
73,560 |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Put Swaptions — 0.0% | |||||
Pay 2.30% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2049 USD, Strike Price $2.30, Expires 10/21/19 (GSC) | 1 | $7,700,000 | $165,404 | ||
Pay 2.50% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2049 USD, Strike Price $2.50, Expires 11/07/19 (DEUT) | 1 | 3,100,000 | 31,447 | ||
196,851 | |||||
Total Purchased Options (Premiums paid $1,531,114) | 723,602 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.2% | |||
U.S. Treasury Bonds | |||
4.25%, 05/15/39 | $4,300,000 | 5,626,700 | |
4.38%, 11/15/39 | 200,000 | 265,992 | |
2.75%, 08/15/42 | 600,000 | 629,801 | |
2.75%, 11/15/42 | 1,080,000 | 1,132,439 | |
3.13%, 02/15/43 | 650,000 | 724,991 | |
2.88%, 05/15/43 | 3,200,000 | 3,423,437 | |
3.75%, 11/15/43 | 1,000,000 | 1,231,230 | |
3.38%, 05/15/44 | 480,000 | 557,878 | |
3.13%, 08/15/44 | 760,000 | 848,083 | |
2.50%, 02/15/45 | 2,290,000 | 2,281,905 | |
2.88%, 08/15/45 | 3,640,000 | 3,891,246 | |
2.88%, 11/15/46‡‡ | 11,290,000 | 12,084,929 | |
2.75%, 08/15/47 | 7,940,000 | 8,288,308 | |
2.75%, 11/15/47 | 3,480,000 | 3,633,066 | |
3.00%, 02/15/48 | 6,170,000 | 6,760,611 | |
3.13%, 05/15/48 | 3,900,000 | 4,377,064 | |
3.00%, 08/15/48Δ | 30,000 | 32,907 | |
3.00%, 02/15/49Δ | 280,000 | 307,573 | |
2.88%, 05/15/49Δ | 13,390,000 | 14,367,055 | |
70,465,215 | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 07/15/22 | 777,882 | 775,750 | |
0.13%, 07/15/24 | 2,938,135 | 2,934,185 | |
0.38%, 07/15/25 | 1,239,252 | 1,253,348 | |
0.63%, 01/15/26 | 4,699,891 | 4,814,618 | |
0.13%, 07/15/26 | 426,444 | 423,714 | |
0.38%, 07/15/27 | 2,925,104 | 2,953,385 |
Par | Value | |||
0.50%, 01/15/28 | $4,558,444 | $4,634,518 | ||
0.75%, 07/15/28 | 2,015,739 | 2,101,115 | ||
0.88%, 01/15/29 | 13,156,780 | 13,854,417 | ||
2.13%, 02/15/40 | 1,087,744 | 1,393,197 | ||
0.75%, 02/15/42 | 237,497 | 238,664 | ||
1.38%, 02/15/44 | 4,254,381 | 4,833,195 | ||
0.75%, 02/15/45 | 868,168 | 859,847 | ||
1.00%, 02/15/46 | 2,383,507 | 2,500,258 | ||
0.88%, 02/15/47 | 2,011,416 | 2,051,746 | ||
1.00%, 02/15/48 | 5,285,130 | 5,565,573 | ||
1.00%, 02/15/49Δ | 5,321,482 | 5,634,011 | ||
56,821,541 | ||||
U.S. Treasury Notes | ||||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,510,342 | ||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,908,684 | ||
2.13%, 05/15/22 | 60,000 | 60,681 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 3,015,234 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,723,994 | ||
1.75%, 06/30/24 | 8,310,000 | 8,307,241 | ||
2.13%, 09/30/24 | 8,550,000 | 8,696,286 | ||
2.25%, 11/15/24 | 1,760,000 | 1,801,353 | ||
2.13%, 11/30/24 | 5,090,000 | 5,178,281 | ||
2.25%, 12/31/24 | 10,000,000 | 10,237,500 | ||
2.75%, 06/30/25 | 2,470,000 | 2,599,819 | ||
2.88%, 07/31/25 | 3,970,000 | 4,208,510 | ||
2.25%, 11/15/25‡‡ | 13,560,000 | 13,889,467 | ||
2.25%, 03/31/26 | 3,160,000 | 3,238,445 | ||
2.13%, 05/31/26 | 6,420,000 | 6,527,962 | ||
1.88%, 06/30/26 | 18,870,000 | 18,879,218 | ||
2.00%, 11/15/26 | 14,000,000 | 14,109,102 | ||
2.25%, 02/15/27 | 7,718,000 | 7,910,649 | ||
2.25%, 08/15/27 | 33,000,000 | 33,806,305 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,488,813 | ||
2.88%, 05/15/28 | 800,000 | 859,156 | ||
2.88%, 08/15/28 | 4,580,000 | 4,922,426 | ||
3.13%, 11/15/28 | 8,180,000 | 8,973,395 | ||
2.63%, 02/15/29Δ | 1,000,000 | 1,054,668 | ||
165,907,531 | ||||
U.S. Treasury Strips | ||||
2.26%, 02/15/40Ω | 8,060,000 | 4,809,857 | ||
2.23%, 11/15/40Ω | 4,030,000 | 2,348,426 | ||
2.21%, 08/15/41Ω | 4,030,000 | 2,290,094 | ||
9,448,377 | ||||
Total U.S. Treasury Obligations (Cost $292,178,541) | 302,642,664 |
Shares | |||
PREFERRED STOCK — 0.0% | |||
GMAC Capital Trust I | |||
(Variable, ICE LIBOR USD 3M + 5.79%), 8.30%, 08/13/19† Δ (Cost $173,227) | 6,979 | 184,001 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 8.0% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø ∞ | 120,612,867 | $120,612,867 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%Ø § | 7,958,238 | 7,958,238 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 4,792,512 | 4,792,512 | ||
Total Money Market Funds (Cost $133,363,617) | 133,363,617 | |||
TOTAL INVESTMENTS — 113.3% (Cost $1,841,844,287) | 1,882,240,388 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.1)% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,290.00, Expires 07/26/19 (GSC) | (65) | $(8,318,050) | (17,266) | |
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,295.00, Expires 07/26/19 (GSC) | (129) | (16,508,130) | (20,156) | |
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,300.00, Expires 07/26/19 (GSC) | (34) | (4,350,980) | (3,188) | |
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,260.00, Expires 08/23/19 (GSC) | (32) | (4,095,040) | (70,000) | |
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,270.00, Expires 08/23/19 (GSC) | (17) | (2,175,490) | (24,172) | |
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,275.00, Expires 08/23/19 (GSC) | (17) | (2,175,490) | (19,125) | |
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,285.00, Expires 08/23/19 (GSC) | (128) | (16,380,160) | (84,000) | |
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,290.00, Expires 08/23/19 (GSC) | (48) | (6,142,560) | (23,250) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,305.00, Expires 08/23/19 (GSC) | (66) | $(8,446,020) | $(13,407) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,177.50, Expires 07/26/19 (GSC) | (67) | (7,916,720) | (42,398) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,187.50, Expires 07/26/19 (GSC) | (86) | (10,161,760) | (16,125) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,195.00, Expires 07/26/19 (GSC) | (246) | (29,067,360) | (15,375) | ||
5-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,182.50, Expires 08/23/19 (GSC) | (101) | (11,934,160) | (51,289) | ||
5-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,185.00, Expires 08/23/19 (GSC) | (160) | (18,905,600) | (65,000) | ||
Euro Dollar, Strike Price $97.62, Expires 12/16/19 (GSC) | (128) | (31,388,800) | (156,000) | ||
Long U.S. Treasury Bond Future expiration date 8/2019, Strike Price $1,580.00, Expires 07/26/19 (GSC) | (16) | (2,489,440) | (6,500) | ||
Long U.S. Treasury Bond Future expiration date 8/2019, Strike Price $1,610.00, Expires 07/26/19 (GSC) | (32) | (4,978,880) | (2,500) | ||
Long U.S. Treasury Bond Future expiration date 9/2019, Strike Price $1,580.00, Expires 08/23/19 (GSC) | (48) | (7,468,320) | (42,750) | ||
Long U.S. Treasury Bond Future expiration date 9/2019, Strike Price $1,620.00, Expires 08/23/19 (GSC) | (32) | (4,978,880) | (8,000) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Mexican Peso vs. U.S. Dollar, Strike Price $19.64, Expires 07/11/19 (GSC) | (1,400,000) | $(1,400,000) | $(2,238) | ||
Mexican Peso vs. U.S. Dollar, Strike Price $19.80, Expires 07/10/19 (MSCS) | (200,000) | (200,000) | (193) | ||
Mexican Peso vs. U.S. Dollar, Strike Price $19.80, Expires 08/01/19 (MSCS) | (1,400,000) | (1,400,000) | (5,913) | ||
Mexican Peso vs. U.S. Dollar, Strike Price $20.30, Expires 07/18/19 (HSBC) | (700,000) | (700,000) | (444) | ||
Mexican Peso vs. U.S. Dollar, Strike Price $20.41, Expires 08/01/19 (MSCS) | (6,000,000) | (6,000,000) | (8,186) | ||
(697,475) | |||||
Call Swaption — (0.0)% | |||||
Sell Protection on Markit CDX.NA.IG.31 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2023 USD, Strike Price $2.40, Expires 09/18/19 (GSC) | 1 | (3,300,000) | (2) | ||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,240.00, Expires 07/26/19 (GSC) | (34) | (4,350,980) | (531) | ||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,245.00, Expires 07/26/19 (GSC) | (119) | (15,228,430) | (1,860) | ||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,255.00, Expires 07/26/19 (GSC) | (35) | (4,478,950) | (1,641) | ||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,260.00, Expires 07/26/19 (GSC) | (85) | (10,877,450) | (6,641) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,265.00, Expires 07/26/19 (GSC) | (34) | $(4,350,980) | $(4,781) | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,225.00, Expires 08/23/19 (GSC) | (238) | (30,456,860) | (11,157) | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,235.00, Expires 08/23/19 (GSC) | (17) | (2,175,490) | (1,063) | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,265.00, Expires 08/23/19 (GSC) | (253) | (32,376,410) | (79,063) | ||
10-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,270.00, Expires 08/23/19 (GSC) | (161) | (20,603,170) | (72,954) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,157.50, Expires 07/26/19 (GSC) | (67) | (7,916,720) | (1,047) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,160.00, Expires 07/26/19 (GSC) | (68) | (8,034,880) | (1,063) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,167.50, Expires 07/26/19 (GSC) | (86) | (10,161,760) | (3,359) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,170.00, Expires 07/26/19 (GSC) | (35) | (4,135,600) | (2,188) | ||
5-Year U.S. Treasury Note Future expiration date 8/2019, Strike Price $1,172.50, Expires 07/26/19 (GSC) | (52) | (6,144,320) | (4,875) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
5-Year U.S. Treasury Note Future expiration date 9/2019, Strike Price $1,152.50, Expires 08/23/19 (GSC) | (101) | $(11,934,160) | $(3,156) | ||
Long U.S. Treasury Bond Future expiration date 8/2019, Strike Price $1,470.00, Expires 07/26/19 (GSC) | (48) | (7,468,320) | (1,500) | ||
(196,879) | |||||
Put Swaptions — (0.0)% | |||||
Pay 2.00% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 10/23/2024 USD, Strike Price $2.00, Expires 10/21/19 (GSC) | 1 | (38,500,000) | (107,677) | ||
Pay 2.25% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/12/2024 USD, Strike Price $2.25, Expires 11/07/19 (DEUT) | 1 | (15,500,000) | (16,600) | ||
(124,277) | |||||
Total Written Options (Premiums received $ (1,818,479)) | (1,018,633) |
Par | |||
TBA SALE COMMITMENTS — (1.9)% | |||
Federal National Mortgage Association 3.50%, 08/01/49 TBA | $(28,000,000) | (28,623,056) | |
Government National Mortgage Association 3.00%, 07/01/49 TBA | (1,000,000) | (1,021,266) | |
Government National Mortgage Association 3.50%, 07/01/49 TBA | (600,000) | (619,852) | |
Government National Mortgage Association 4.00%, 07/01/49 TBA | (1,400,000) | (1,451,406) | |
Total TBA Sale Commitments (Proceeds $(31,667,555)) | (31,715,580) | ||
Liabilities in Excess of Other Assets — (11.3)% | (187,529,175) | ||
NET ASSETS — 100.0% | $1,661,977,000 |
% | ||
Mortgage-Backed Securities | 39.5 | |
Corporate Bonds | 22.0 | |
U.S. Treasury Obligations | 18.2 | |
Foreign Bonds | 14.5 | |
Money Market Funds | 8.0 | |
Asset-Backed Securities | 7.6 | |
Loan Agreements | 1.2 | |
Certificates Of Deposit | 1.0 | |
Municipal Bonds | 0.6 | |
Agency Obligations | 0.6 | |
Purchased Options | 0.1 | |
Preferred Stock | — | ** |
Written Options | (0.1) | |
TBA Sale Commitments | (1.9) | |
111.3 | ||
**Rounds to less than 0.05% |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Day Federal Fund | 07/2019 | (93) | $(37,836,589) | $ — | ||||
30-Day Federal Fund | 08/2019 | (41) | (16,735,318) | (7,313) | ||||
Euro-Bobl | 09/2019 | (6) | (917,230) | (2,521) | ||||
Euro-BTP | 09/2019 | 96 | 14,660,403 | 587,394 | ||||
Euro-Bund | 09/2019 | 23 | 4,517,721 | 61,749 | ||||
Euro-Bund | 09/2019 | (374) | (73,462,075) | (779,628) | ||||
Euro-OAT | 09/2019 | (84) | (15,747,789) | (317,378) | ||||
10-Year Japanese Treasury Bond | 09/2019 | (12) | (17,123,777) | (42,974) | ||||
10-Year Commonwealth Treasury Bond | 09/2019 | 25 | 2,521,239 | (1,540) | ||||
10-Year Commonwealth Treasury Bond | 09/2019 | (224) | (22,590,303) | (131,819) | ||||
3-Year Commonwealth Treasury Bond | 09/2019 | 36 | 2,906,427 | (2,467) | ||||
90-Day Eurodollar | 09/2019 | (5) | (1,224,938) | (9,938) | ||||
10-Year CAN Bond | 09/2019 | (37) | (4,038,341) | (54,003) | ||||
10-Year U.S. Treasury Note | 09/2019 | 1,098 | 140,509,687 | 2,638,098 | ||||
10-Year U.S. Treasury Note | 09/2019 | (180) | (23,034,375) | (290,313) | ||||
U.S. Treasury Long Bond | 09/2019 | 92 | 14,314,625 | 317,445 | ||||
U.S. Treasury Long Bond | 09/2019 | (259) | (40,298,782) | (1,061,713) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2019 | 33 | 4,558,125 | 102,089 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2019 | (4) | (552,500) | (9,531) | ||||
Ultra Long U.S. Treasury Bond | 09/2019 | 886 | 157,320,375 | 6,081,103 | ||||
Long GILT | 09/2019 | (66) | (10,921,317) | (61,058) | ||||
2-Year U.S. Treasury Note | 09/2019 | 371 | 79,831,664 | 440,582 | ||||
30-Year Euro Buxl | 09/2019 | (12) | (2,768,611) | (82,647) | ||||
5-Year U.S. Treasury Note | 09/2019 | 2,280 | 269,396,251 | 3,333,536 | ||||
5-Year U.S. Treasury Note | 12/2019 | 336 | 82,395,600 | 662,833 | ||||
30-Day Federal Fund | 01/2020 | (115) | (47,127,416) | (209,475) | ||||
90-Day Eurodollar | 03/2020 | (8) | (1,965,800) | (12,600) | ||||
90-Day Eurodollar | 06/2020 | 190 | 46,730,500 | 469,075 | ||||
90-Day Eurodollar | 06/2020 | (44) | (10,821,800) | (74,128) | ||||
90-Day Eurodollar | 03/2021 | 42 | 10,339,350 | 108,675 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $502,835,006 | $11,651,533 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/02/19 | Canadian Dollars | 13,845,000 | U.S. Dollars | 10,341,199 | JPM | $231,135 | ||||||
07/08/19 | U.S. Dollars | 6,129,858 | British Pounds | 4,664,614 | SS | 203,568 | ||||||
07/02/19 | Canadian Dollars | 7,327,930 | U.S. Dollars | 5,436,101 | HSBC | 159,660 | ||||||
07/17/19 | U.S. Dollars | 5,284,059 | Chinese Yuan Renminbi | 35,528,427 | BAR | 108,342 | ||||||
08/15/19 | Japanese Yen | 767,100,000 | U.S. Dollars | 7,044,972 | BNP | 95,359 | ||||||
07/17/19 | Brazilian Reals | 21,086,194 | U.S. Dollars | 5,404,439 | CITI | 77,981 | ||||||
07/17/19 | Indian Rupees | 266,417,098 | U.S. Dollars | 3,778,323 | BAR | 74,355 | ||||||
07/08/19 | U.S. Dollars | 1,770,152 | British Pounds | 1,346,042 | DEUT | 60,035 | ||||||
07/17/19 | Brazilian Reals | 8,230,000 | U.S. Dollars | 2,086,132 | BAR | 53,672 | ||||||
07/17/19 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,756,976 | CITI | 53,427 | ||||||
08/14/19 | Mexican Pesos | 53,367,000 | U.S. Dollars | 2,710,567 | JPM | 48,489 | ||||||
07/17/19 | Canadian Dollars | 3,789,664 | U.S. Dollars | 2,853,362 | BAR | 41,709 | ||||||
07/17/19 | Mexican Pesos | 62,342,787 | U.S. Dollars | 3,197,148 | CITI | 41,660 | ||||||
07/17/19 | U.S. Dollars | 1,234,649 | British Pounds | 939,161 | BAR | 40,908 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/17/19 | Russian Rubles | 49,900,000 | U.S. Dollars | 750,777 | BAR | $36,643 | ||||||
09/18/19 | New Zealand Dollars | 2,701,767 | U.S. Dollars | 1,783,626 | WEST | 34,186 | ||||||
08/14/19 | Mexican Pesos | 23,587,000 | U.S. Dollars | 1,186,696 | GSC | 32,744 | ||||||
07/17/19 | Russian Rubles | 40,940,071 | U.S. Dollars | 620,256 | CITI | 25,776 | ||||||
07/02/19 | British Pounds | 8,670,000 | U.S. Dollars | 10,985,955 | HSBC | 24,512 | ||||||
08/14/19 | Mexican Pesos | 28,380,776 | U.S. Dollars | 1,446,007 | HSBC | 21,270 | ||||||
08/14/19 | Mexican Pesos | 26,949,000 | U.S. Dollars | 1,374,858 | BAR | 18,396 | ||||||
09/18/19 | Australian Dollars | 2,398,975 | U.S. Dollars | 1,672,611 | RBC | 15,708 | ||||||
09/23/19 | Argentine Pesos | 33,720,000 | U.S. Dollars | 682,591 | CITI | 15,348 | ||||||
07/17/19 | Euro | 1,140,000 | U.S. Dollars | 1,285,188 | CITI | 12,993 | ||||||
10/17/19 | Indian Rupees | 175,367,400 | U.S. Dollars | 2,495,090 | BAR | 11,580 | ||||||
07/17/19 | U.S. Dollars | 440,206 | Chinese Offshore Yuan | 2,957,482 | CITI | 9,769 | ||||||
09/18/19 | Canadian Dollars | 964,601 | U.S. Dollars | 728,925 | BOA | 8,756 | ||||||
10/17/19 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,755,713 | BAR | 8,682 | ||||||
09/18/19 | New Zealand Dollars | 408,823 | U.S. Dollars | 269,113 | CITI | 5,952 | ||||||
07/17/19 | Chinese Yuan Renminbi | 35,528,427 | U.S. Dollars | 5,171,156 | BAR | 4,561 | ||||||
09/18/19 | Canadian Dollars | 533,722 | U.S. Dollars | 403,710 | RBC | 4,454 | ||||||
07/17/19 | U.S. Dollars | 1,972,255 | Russian Rubles | 124,708,286 | CITI | 4,364 | ||||||
09/18/19 | Norwegian Kroner | 5,451,750 | Euro | 555,904 | JPM | 4,332 | ||||||
08/15/19 | Japanese Yen | 979,700,000 | U.S. Dollars | 9,115,905 | GSC | 3,353 | ||||||
09/18/19 | New Zealand Dollars | 159,919 | U.S. Dollars | 104,370 | BOA | 3,228 | ||||||
09/18/19 | Euro | 183,927 | U.S. Dollars | 208,171 | RBC | 2,320 | ||||||
09/18/19 | Swedish Kronor | 1,849,936 | Euro | 173,212 | CITI | 2,142 | ||||||
09/18/19 | Swedish Kronor | 473,725 | U.S. Dollars | 49,932 | DEUT | 1,378 | ||||||
09/18/19 | Australian Dollars | 72,570 | U.S. Dollars | 49,821 | CITI | 1,251 | ||||||
09/18/19 | U.S. Dollars | 416,922 | Japanese Yen | 44,556,262 | SS | 1,180 | ||||||
09/18/19 | Japanese Yen | 33,657,476 | U.S. Dollars | 312,938 | CITI | 1,110 | ||||||
09/18/19 | Australian Dollars | 171,760 | U.S. Dollars | 119,779 | BOA | 1,100 | ||||||
09/18/19 | British Pounds | 62,752 | U.S. Dollars | 78,883 | BOA | 1,099 | ||||||
07/17/19 | British Pounds | 150,000 | U.S. Dollars | 189,709 | CITI | 952 | ||||||
07/17/19 | Chinese Offshore Yuan | 2,957,482 | U.S. Dollars | 429,511 | BAR | 927 | ||||||
09/18/19 | Norwegian Kroner | 903,381 | Euro | 91,950 | UBS | 908 | ||||||
09/18/19 | Norwegian Kroner | 903,117 | Euro | 91,963 | SS | 861 | ||||||
09/18/19 | Canadian Dollars | 121,055 | U.S. Dollars | 92,025 | CITI | 552 | ||||||
09/18/19 | Euro | 93,058 | U.S. Dollars | 105,948 | JPM | 550 | ||||||
09/18/19 | British Pounds | 221,561 | U.S. Dollars | 281,928 | CITI | 467 | ||||||
09/18/19 | Euro | 93,038 | Norwegian Kroner | 903,039 | UBS | 377 | ||||||
09/18/19 | U.S. Dollars | 142,221 | Swedish Kronor | 1,309,683 | SS | 366 | ||||||
09/18/19 | Swedish Kronor | 430,615 | Norwegian Kroner | 394,131 | DEUT | 335 | ||||||
09/18/19 | U.S. Dollars | 160,343 | Euro | 139,866 | CITI | 277 | ||||||
09/18/19 | U.S. Dollars | 276,342 | Swiss Francs | 267,553 | SS | 243 | ||||||
09/18/19 | U.S. Dollars | 53,800 | British Pounds | 42,054 | SS | 199 | ||||||
09/18/19 | British Pounds | 52,463 | Swedish Kronor | 615,570 | JPM | 195 | ||||||
09/18/19 | U.S. Dollars | 96,301 | Swedish Kronor | 887,625 | UBS | 160 | ||||||
09/18/19 | Euro | 48,020 | Norwegian Kroner | 466,452 | RBC | 152 | ||||||
09/18/19 | Euro | 55,209 | Norwegian Kroner | 536,517 | SS | 148 | ||||||
07/17/19 | U.S. Dollars | 23,321 | Japanese Yen | 2,500,000 | CITI | 101 | ||||||
10/09/19 | Mexican Pesos | 61,000 | U.S. Dollars | 3,119 | HSBC | 5 | ||||||
10/16/19 | Mexican Pesos | 61,000 | U.S. Dollars | 3,119 | GSC | 1 | ||||||
Subtotal Appreciation | $1,616,263 | |||||||||||
10/16/19 | U.S. Dollars | 3,116 | Mexican Pesos | 61,000 | HSBC | $(5) | ||||||
10/09/19 | U.S. Dollars | 3,114 | Mexican Pesos | 61,000 | HSBC | (10) | ||||||
07/17/19 | Mexican Pesos | 6,000,000 | U.S. Dollars | 311,742 | BAR | (32) | ||||||
08/14/19 | U.S. Dollars | 254,689 | Mexican Pesos | 4,927,000 | GSC | (35) | ||||||
09/18/19 | Japanese Yen | 8,517,882 | U.S. Dollars | 79,553 | JPM | (75) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/14/19 | U.S. Dollars | 3,074 | Mexican Pesos | 61,000 | JPM | $(79) | ||||||
09/18/19 | U.S. Dollars | 54,444 | British Pounds | 42,782 | UBS | (85) | ||||||
09/18/19 | Canadian Dollars | 344,778 | U.S. Dollars | 263,781 | BOA | (112) | ||||||
09/18/19 | British Pounds | 45,714 | U.S. Dollars | 58,409 | SS | (143) | ||||||
09/18/19 | U.S. Dollars | 149,737 | Japanese Yen | 16,066,399 | JPM | (175) | ||||||
09/18/19 | Norwegian Kroner | 852,914 | U.S. Dollars | 100,443 | SS | (235) | ||||||
09/18/19 | U.S. Dollars | 104,062 | Norwegian Kroner | 888,500 | UBS | (327) | ||||||
09/18/19 | U.S. Dollars | 103,115 | Japanese Yen | 11,090,920 | DEUT | (372) | ||||||
09/18/19 | Australian Dollars | 100,895 | Swiss Francs | 69,172 | CITI | (375) | ||||||
09/18/19 | British Pounds | 55,798 | Canadian Dollars | 93,534 | CITI | (412) | ||||||
09/18/19 | U.S. Dollars | 112,645 | Swedish Kronor | 1,044,194 | UBS | (454) | ||||||
09/18/19 | British Pounds | 166,454 | Euro | 186,011 | DEUT | (718) | ||||||
09/18/19 | British Pounds | 82,904 | Euro | 93,075 | JPM | (850) | ||||||
10/17/19 | U.S. Dollars | 429,211 | Chinese Offshore Yuan | 2,957,482 | BAR | (853) | ||||||
09/18/19 | U.S. Dollars | 105,465 | Australian Dollars | 151,121 | RBC | (889) | ||||||
07/31/19 | U.S. Dollars | 6,494,616 | Canadian Dollars | 8,500,000 | JPM | (1,026) | ||||||
09/18/19 | U.S. Dollars | 49,932 | Canadian Dollars | 66,696 | DEUT | (1,074) | ||||||
09/18/19 | U.S. Dollars | 105,198 | New Zealand Dollars | 158,050 | DEUT | (1,142) | ||||||
09/18/19 | U.S. Dollars | 260,026 | Australian Dollars | 371,109 | DEUT | (1,148) | ||||||
09/18/19 | U.S. Dollars | 117,114 | Canadian Dollars | 154,641 | RBC | (1,148) | ||||||
09/18/19 | U.S. Dollars | 103,461 | Norwegian Kroner | 891,231 | JPM | (1,249) | ||||||
09/18/19 | U.S. Dollars | 373,481 | Australian Dollars | 532,587 | CITI | (1,336) | ||||||
09/18/19 | U.S. Dollars | 77,138 | New Zealand Dollars | 116,835 | CITI | (1,472) | ||||||
09/18/19 | British Pounds | 165,741 | Euro | 186,084 | UBS | (1,710) | ||||||
07/17/19 | U.S. Dollars | 451,794 | Euro | 398,247 | BAR | (1,711) | ||||||
07/02/19 | U.S. Dollars | 75,997 | Canadian Dollars | 102,000 | HSBC | (1,892) | ||||||
09/05/19 | U.S. Dollars | 636,643 | South African Rand | 9,075,580 | UBS | (2,154) | ||||||
09/18/19 | U.S. Dollars | 210,162 | New Zealand Dollars | 316,157 | RBC | (2,556) | ||||||
09/18/19 | U.S. Dollars | 132,856 | Swedish Kronor | 1,255,622 | SS | (3,143) | ||||||
07/17/19 | U.S. Dollars | 135,120 | Japanese Yen | 14,887,237 | CITI | (3,149) | ||||||
08/15/19 | Japanese Yen | 799,100,000 | U.S. Dollars | 7,441,511 | GSC | (3,317) | ||||||
07/10/19 | U.S. Dollars | 364,288 | Euro | 323,412 | JPM | (3,779) | ||||||
09/18/19 | U.S. Dollars | 310,225 | Swiss Francs | 304,611 | JPM | (4,116) | ||||||
07/02/19 | U.S. Dollars | 506,776 | Australian Dollars | 728,000 | GSC | (4,316) | ||||||
08/02/19 | U.S. Dollars | 15,092,263 | Euro | 13,240,000 | BNP | (5,231) | ||||||
07/02/19 | British Pounds | 1,163,000 | U.S. Dollars | 1,482,948 | HSBC | (5,996) | ||||||
07/17/19 | Mexican Pesos | 18,596,579 | U.S. Dollars | 972,218 | CITI | (6,095) | ||||||
07/02/19 | U.S. Dollars | 631,000 | Euro | 562,000 | BNP | (8,050) | ||||||
07/17/19 | U.S. Dollars | 3,801,776 | Indonesian Rupiahs | 53,935,795,049 | BAR | (8,626) | ||||||
07/17/19 | Australian Dollars | 935,862 | U.S. Dollars | 666,947 | CITI | (9,517) | ||||||
07/01/19 | U.S. Dollars | 634,223 | South African Rand | 9,075,580 | RBC | (10,121) | ||||||
10/17/19 | U.S. Dollars | 5,156,745 | Chinese Yuan Renminbi | 35,528,427 | BAR | (11,700) | ||||||
09/18/19 | U.S. Dollars | 2,301,806 | Euro | 2,023,278 | JPM | (13,687) | ||||||
08/02/19 | U.S. Dollars | 10,370,704 | British Pounds | 8,164,000 | BNP | (14,697) | ||||||
07/17/19 | U.S. Dollars | 2,467,163 | Euro | 2,190,000 | CITI | (26,710) | ||||||
08/15/19 | U.S. Dollars | 2,306,519 | Japanese Yen | 251,200,000 | GSC | (31,705) | ||||||
07/17/19 | U.S. Dollars | 1,088,666 | Russian Rubles | 71,030,000 | BAR | (32,184) | ||||||
09/17/19 | U.S. Dollars | 9,203,309 | Japanese Yen | 990,000,000 | GSC | (33,452) | ||||||
07/17/19 | U.S. Dollars | 3,813,885 | Indian Rupees | 266,417,098 | BAR | (38,793) | ||||||
08/02/19 | U.S. Dollars | 2,242,493 | Canadian Dollars | 3,000,000 | BNP | (50,158) | ||||||
07/15/19 | U.S. Dollars | 2,623,046 | Canadian Dollars | 3,500,000 | JPM | (50,608) | ||||||
07/02/19 | U.S. Dollars | 4,366,665 | Euro | 3,898,000 | BAR | (65,751) | ||||||
08/15/19 | U.S. Dollars | 5,427,752 | Japanese Yen | 590,800,000 | JPM | (71,541) | ||||||
08/14/19 | U.S. Dollars | 2,553,765 | Mexican Pesos | 50,797,767 | RBS | (72,462) | ||||||
07/26/19 | U.S. Dollars | 5,611,405 | Euro | 4,990,000 | BAR | (75,353) | ||||||
08/14/19 | U.S. Dollars | 3,768,073 | Mexican Pesos | 74,387,009 | HSBC | (77,711) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/02/19 | U.S. Dollars | 3,727,588 | Canadian Dollars | 4,997,000 | RBS | $(88,226) | ||||||
07/02/19 | U.S. Dollars | 22,747,704 | British Pounds | 17,997,000 | MSCS | (107,588) | ||||||
07/02/19 | U.S. Dollars | 7,070,383 | Canadian Dollars | 9,418,000 | BNP | (121,401) | ||||||
07/02/19 | U.S. Dollars | 5,051,067 | Canadian Dollars | 6,773,680 | JPM | (121,457) | ||||||
07/05/19 | U.S. Dollars | 5,602,664 | Canadian Dollars | 7,500,000 | RBS | (125,195) | ||||||
07/17/19 | U.S. Dollars | 4,532,796 | Philippine Pesos | 238,833,000 | CITI | (125,918) | ||||||
07/02/19 | U.S. Dollars | 9,798,241 | Euro | 8,780,000 | GSC | (185,497) | ||||||
Subtotal Depreciation | $(1,643,104) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $(26,841) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Corporate and Sovereign Issuers—Buy Protection | ||||||||||||||||
Credit Suisse (USA), Inc. 6.5% due 1/15/18 (Pay Quarterly) | (1.00)% | 9/20/2020 | GSC | USD | 300,000 | $(3,057) | $6,900 | $(9,957) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | BOA | USD | 300,000 | (3,944) | 1,691 | (5,635) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | CITI | USD | 330,000 | (4,339) | 2,662 | (7,001) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | JPM | USD | 590,000 | (7,757) | 2,495 | (10,252) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (6,107) | 2,601 | (8,708) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 320,000 | (5,430) | 1,224 | (6,654) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 520,000 | (8,821) | 6,078 | (14,899) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | (15,606) | 6,695 | (22,301) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | JPM | USD | 220,000 | (4,378) | 845 | (5,223) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (8,557) | 1,639 | (10,196) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | GSC | USD | 130,000 | (2,962) | (2,277) | (685) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 810,000 | (18,456) | (10,263) | (8,193) | ||||||||
$(89,414) | $20,290 | $(109,704) | ||||||||||||||
Table of Contents
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.91% | 1.00% | 6/20/2024 | USD | 1,820,000 | $8,607 | $(6,510) | $15,117 | ||||||||
$8,607 | $(6,510) | $15,117 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate Issuers—Sell Protection | ||||||||||||||||
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Receive Quarterly) | 0.21% | 1.00% | 12/20/2021 | USD | 400,000 | $7,835 | $5,258 | $2,577 | ||||||||
Berkshire Hathaway, Inc., 1.55% due 02/09/18 (Receive Quarterly) | 0.24% | 1.00% | 6/20/2022 | USD | 100,000 | 2,245 | 1,852 | 393 | ||||||||
General Electric Company, 2.70% due 10/9/22 (Receive Quarterly) | 0.81% | 1.00% | 12/20/2023 | USD | 600,000 | 5,097 | (25,420) | 30,517 | ||||||||
General Electric Co., 2.7% due 10/9/22 (Receive Quarterly) | 0.93% | 1.00% | 6/20/2024 | USD | 800,000 | 2,957 | (1,811) | 4,768 | ||||||||
Prudential Financial Inc., 3.5% due 5/15/24 (Receive Quarterly) | 0.56% | 1.00% | 6/20/2024 | USD | 1,075,000 | �� | 22,846 | 18,589 | 4,257 | |||||||
The Boeing Company, 8.75% due 8/15/21 (Receive Quarterly) | 0.40% | 1.00% | 6/20/2024 | USD | 475,000 | 13,688 | 11,978 | 1,710 | ||||||||
Subtotal Appreciation | $54,668 | $10,446 | $44,222 | |||||||||||||
Ford Motor Credit Company LLC, 3.81% due 1/9/24 (Receive Quarterly) | 1.84% | 5.00% | 12/20/2023 | USD | 1,600,000 | $212,990 | $222,127 | $(9,137) | ||||||||
Subtotal Depreciation | $212,990 | $222,127 | $(9,137) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate Issuers—Sell Protection outstanding at June 30, 2019 | $267,658 | $232,573 | $35,085 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||||
Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||||
Markit CMBX.NA.AAA.7 Index (Receive Monthly) | 0.24% | 0.50% | 1/17/2047 | GSC | USD | 1,692,340 | $18,392 | $(75,337) | $93,729 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 0.27% | 0.50% | 10/17/2057 | DEUT | USD | 1,700,000 | 19,783 | (116,926) | 136,709 | |||||||||
Markit CMBX.NA.AAA.8 Index (Receive Monthly) | 0.27% | 0.50% | 10/17/2057 | GSC | USD | 1,700,000 | 19,783 | (102,781) | 122,564 | |||||||||
$57,958 | $(295,044) | $353,002 |
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.EM.30 Index (Receive Quarterly) | 1.69% | 1.00% | 12/20/2023 | USD | 2,850,000 | $(80,954) | $(83,048) | $2,094 | ||||||||
Markit CDX.NA.IG.31 Index (Receive Quarterly) | 0.48% | 1.00% | 12/20/2023 | USD | 2,300,000 | 52,233 | 28,641 | 23,592 |
Table of Contents
Reference Obligation | Implied Credit Spread | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Markit CDS.NA.HY.32 Index (Receive Quarterly) | 3.26% | 5.00% | 6/20/2024 | USD | 6,330,000 | $484,545 | $417,792 | $66,753 | ||||||||
Markit CDX.NA.IG.32 Index (Receive Quarterly) | 0.55% | 1.00% | 6/20/2024 | USD | 38,025,000 | 821,255 | 646,594 | 174,661 | ||||||||
$1,277,079 | $1,009,979 | $267,100 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.41% (Upon termination) | 1/2/2020 | CITI | BRL | 88,650,000 | $747,863 | $26,941 | $720,922 | ||||||||
$747,863 | $26,941 | $720,922 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 7.25% (Monthly) | 1/2/2020 | BRL | 5,846,182 | $10,101 | $1,688 | $8,413 | |||||||
8.36% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 3/18/2020 | MXN | 139,650,000 | (776) | (2,035) | 1,259 | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 1.95% (Annually) | 6/15/2021 | USD | 16,780,000 | 135,977 | 1,933 | 134,044 | |||||||
3-Month LIBOR (Quarterly) | 2.28% (Semiannually) | 6/24/2021 | USD | 393,700,000 | 2,690,101 | — | 2,690,101 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.50% (Semiannually) | 9/18/2021 | NZD | 30,480,000 | 73,746 | 39,268 | 34,478 | |||||||
3-Month LIBOR (Quarterly) | 1.85% (Semiannually) | 6/15/2022 | USD | 14,850,000 | 42,806 | (6,170) | 48,976 | |||||||
1.39% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 11/30/2023 | USD | 8,600,000 | 23,736 | 21,365 | 2,371 | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 77,881 | 42,931 | 34,950 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2024 | USD | 10,530,000 | (136,262) | (150,958) | 14,696 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/18/2024 | EUR | 20,600,000 | 844,121 | 723,438 | 120,683 | |||||||
1.51% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 4/30/2026 | USD | 4,700,000 | 15,014 | — | 15,014 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/18/2026 | GBP | 1,460,000 | (67,578) | (69,453) | 1,875 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 9/18/2026 | AUD | 2,960,000 | 51,638 | 26,934 | 24,704 | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 3/22/2028 | JPY | 817,460,000 | 166,855 | 136,828 | 30,027 | |||||||
3-Month LIBOR (Quarterly) | 2.25% (Quarterly) | 6/20/2028 | USD | 10,900,000 | 308,366 | 221,984 | 86,382 | |||||||
6-Month LIBOR (Semiannually) | 1.05% (Annually) | 8/7/2028 | CHF | 3,940,000 | 222,427 | (2,772) | 225,199 | |||||||
6-Month EURIBOR (Semiannually) | 1.20% (Annually) | 2/21/2029 | EUR | 3,540,000 | 137,718 | 41,612 | 96,106 | |||||||
3-Month LIBOR (Quarterly) | 2.50% (Semiannually) | 5/20/2029 | USD | 10,100,000 | 152,472 | 39,616 | 112,856 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 6/19/2029 | USD | 3,880,000 | 142,544 | 86,982 | 55,562 | |||||||
6-Month LIBOR (Semiannually) | 1.75% (Semiannually) | 6/19/2029 | GBP | 1,790,000 | 60,869 | 59,400 | 1,469 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/18/2029 | GBP | 4,500,000 | (245,562) | (251,912) | 6,350 | |||||||
1.80% (Annually) | 6-Month NIBOR (Semiannually) | 9/18/2029 | NOK | 10,480,000 | 5,714 | 2,558 | 3,156 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 9/18/2029 | USD | 4,410,000 | 424,547 | 340,078 | 84,469 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 9/18/2029 | EUR | 300,000 | 27,514 | 22,859 | 4,655 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 2/15/2036 | USD | 9,694,000 | 1,226,561 | 15,986 | 1,210,575 | |||||||
6-Month EURIBOR (Semiannually) | 2.05% (Annually) | 2/3/2037 | EUR | 6,200,000 | 666,165 | 25,341 | 640,824 | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 6/20/2039 | USD | 1,540,000 | 65,256 | 50,827 | 14,429 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6-Month EURIBOR (Semiannually) | 1.50% (Annually) | 9/18/2039 | EUR | 390,000 | $72,060 | $59,023 | $13,037 | |||||||
3-Month LIBOR (Quarterly) | 2.50% (Quarterly) | 6/15/2046 | USD | 4,700,000 | 266,779 | 151,582 | 115,197 | |||||||
1.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/15/2049 | EUR | 320,000 | (19,378) | (19,378) | — | |||||||
3-Month LIBOR (Quarterly) | 2.75% (Semiannually) | 6/15/2049 | USD | 360,000 | 9,398 | 6,830 | 2,568 | |||||||
6-Month LIBOR (Semiannually) | 1.75% (Semiannually) | 6/15/2049 | GBP | 200,000 | 9,148 | 9,148 | — | |||||||
1.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 12/18/2049 | GBP | 1,200,000 | (3,563) | (25,304) | 21,741 | |||||||
Subtotal Appreciation | $7,456,395 | $1,600,229 | $5,856,166 | |||||||||||
0.73% (Annually) | 1-Day SONIO (Annually) | 11/7/2019 | GBP | 56,840,000 | $(3,365) | $ — | $(3,365) | |||||||
28-Day Mexico Interbank TIIE (Monthly) | 7.35% (Monthly) | 4/5/2021 | MXN | 766,870,000 | (183,671) | (33,747) | (149,924) | |||||||
7.95% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 6/16/2021 | MXN | 33,400,000 | (9,871) | (421) | (9,450) | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2021 | USD | 14,610,000 | (15,071) | 10,983 | (26,054) | |||||||
1.27% (Semiannually) | 6-Month LIBOR (Semiannually) | 10/26/2021 | GBP | 6,220,000 | (68,711) | 3,019 | (71,730) | |||||||
2.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/23/2022 | USD | 361,700,000 | (2,128,901) | — | (2,128,901) | |||||||
0.25% (Annually) | 3-Month STIBOR (Quarterly) | 9/18/2024 | SEK | 181,200,000 | (125,646) | (73,690) | (51,956) | |||||||
3-Month CDOR (Semiannually) | 2.75% (Semiannually) | 9/18/2024 | CAD | 14,240,000 | 546,150 | 562,820 | (16,670) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/16/2025 | USD | 1,500,000 | (63,726) | (20,888) | (42,838) | |||||||
2.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/31/2025 | USD | 14,012,000 | (378,646) | 72,431 | (451,077) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/31/2026 | USD | 30,792,000 | (1,312,192) | (433,536) | (878,656) | |||||||
1.55% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 4/30/2026 | USD | 19,435,000 | 13,303 | 23,876 | (10,573) | |||||||
1.85% (Semiannually) | 3-Month LIBOR (Quarterly) | 4/30/2026 | USD | 4,254,000 | (12,221) | 6,824 | (19,045) | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/21/2026 | USD | 5,200,000 | 37,303 | 297,037 | (259,734) | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/21/2027 | USD | 4,600,000 | 131,224 | 310,356 | (179,132) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/20/2027 | USD | 2,200,000 | (104,196) | 49,008 | (153,204) | |||||||
2.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/20/2028 | USD | 92,700,000 | (2,573,965) | 5,828,741 | (8,402,706) | |||||||
1.90% (Semiannually) | 6-Month LIBOR (Semiannually) | 8/3/2028 | GBP | 2,500,000 | (115,101) | (4,856) | (110,245) | |||||||
2.30% (Annually) | 6-Month NIBOR (Semiannually) | 2/21/2029 | NOK | 38,880,000 | (77,977) | (9,725) | (68,252) | |||||||
0.90% (Annually) | 6-Month EURIBOR (Semiannually) | 5/20/2029 | EUR | 10,190,000 | (196,613) | (50,599) | (146,014) | |||||||
1.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2029 | EUR | 5,680,000 | (301,084) | (168,889) | (132,195) | |||||||
3.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 6/19/2029 | AUD | 3,440,000 | (112,782) | (74,937) | (37,845) | |||||||
3.25% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 6/19/2029 | NZD | 2,100,000 | (68,899) | (15,064) | (53,835) | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 9/18/2029 | SEK | 4,130,000 | (7,994) | (4,642) | (3,352) | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/18/2029 | GBP | 14,200,000 | (774,885) | (100,679) | (674,206) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 9/18/2029 | AUD | 3,980,000 | 107,271 | 115,397 | (8,126) | |||||||
2.04% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 2,100,000 | (159,136) | (28,177) | (130,959) | |||||||
2.05% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 3,300,000 | (253,817) | (55,813) | (198,004) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 2,160,000,000 | (1,814,101) | 109,837 | (1,923,938) | |||||||
1.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2039 | EUR | 1,540,000 | (96,681) | (77,803) | (18,878) | |||||||
3.33% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2044 | USD | 8,319,000 | (1,887,864) | (427) | (1,887,437) | |||||||
2.88% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/15/2044 | USD | 4,736,000 | (613,386) | 23,629 | (637,015) | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/15/2044 | USD | 7,252,000 | (1,119,923) | (8,854) | (1,111,069) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 8/15/2044 | USD | 7,344,000 | (772,134) | (30,177) | (741,957) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2046 | USD | 4,700,000 | (267,382) | (59,355) | (208,027) | |||||||
2.54% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/23/2048 | USD | 500,000 | (37,060) | — | (37,060) | |||||||
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month LIBOR (Quarterly) | 2.25 (Semiannually) | 6/20/2028 | USD | 10,900,000 | $(171,070) | $221,984 | $(393,054) | |||||||
3-Month LIBOR (Quarterly) | 2.5 (Semiannually) | 6/15/2046 | USD | 4,700,000 | (124,714) | 151,582 | (276,296) | |||||||
2.94% (Semiannually) | 3-Month LIBOR (Quarterly) | 8/22/2048 | USD | 500,000 | (82,399) | — | (82,399) | |||||||
Subtotal Depreciation | $(15,199,933) | $6,535,245 | $(21,735,178) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2019 | $(7,743,538) | $8,135,474 | $(15,879,012) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Inflation Swaps | ||||||||||||||
1-Day UK RPI (Receive Upon termination) | 3.47% (Upon termination) | 11/15/2025 | GBP | 12,750,000 | $(4,913) | $(111,389) | $106,476 | |||||||
1-Day UK RPI (Receive Upon termination) | 3.57% (Upon termination) | 11/15/2028 | GBP | 2,430,000 | 17,901 | 14,283 | 3,618 | |||||||
Subtotal Appreciation | $12,988 | $(97,106) | $110,094 | |||||||||||
3.29% (Upon termination) | 1-Day UK RPI (Upon termination) | 11/15/2020 | GBP | 14,160,000 | $(128,198) | $(10,175) | $(118,023) | |||||||
2.19% (Upon termination) | US CPI Urban Consumers NSA Index (Upon termination) | 11/26/2028 | USD | 4,110,000 | (130,183) | (44,194) | (85,989) | |||||||
3.52% (Upon termination) | 1-Day UK RPI (Upon termination) | 11/15/2048 | GBP | 540,000 | (45,281) | (3,517) | (41,764) | |||||||
Subtotal Depreciation | $(303,662) | $(57,886) | $(245,776) | |||||||||||
Net Centrally Cleared Inflation Swaps outstanding at June 30, 2019 | $(290,674) | $(154,992) | $(135,682) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $10,376,274 | $— | $10,376,274 | $— | |||
Asset-Backed Securities | 125,747,790 | — | 124,900,507 | 847,283 | |||
Certificates Of Deposit | 17,165,148 | — | 17,165,148 | — | |||
Corporate Bonds | 366,209,023 | — | 366,209,023 | — | |||
Foreign Bonds | 240,327,188 | — | 240,327,188 | — | |||
Loan Agreements | 19,022,779 | — | 19,022,779 | — | |||
Money Market Funds | 133,363,617 | 133,363,617 | — | — | |||
Mortgage-Backed Securities | 656,013,995 | — | 654,390,893 | 1,623,102 | |||
Municipal Bonds | 10,464,307 | — | 10,464,307 | — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Preferred Stock | $184,001 | $— | $184,001 | $— | |||
Purchased Options: | |||||||
Call Options | 453,191 | 295,306 | 157,885 | — | |||
Put Options | 73,560 | 532 | 73,028 | — | |||
Put Swaptions | 196,851 | — | 196,851 | — | |||
Total Purchased Options | 723,602 | 295,838 | 427,764 | — | |||
U.S. Treasury Obligations | 302,642,664 | — | 302,642,664 | — | |||
Total Assets - Investments in Securities | $1,882,240,388 | $133,659,455 | $1,746,110,548 | $2,470,385 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,616,263 | $— | $1,616,263 | $— | |||
Futures Contracts | 14,802,579 | 14,802,579 | — | — | |||
Swap Agreements | 7,366,623 | — | 7,366,623 | — | |||
Total Assets - Other Financial Instruments | $23,785,465 | $14,802,579 | $8,982,886 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(31,715,580) | $— | $(31,715,580) | $— | |||
Written Options: | |||||||
Call Options | (697,475) | (680,501) | (16,974) | — | |||
Call Swaption | (2) | — | (2) | — | |||
Put Options | (196,879) | (196,879) | — | — | |||
Put Swaptions | (124,277) | — | (124,277) | — | |||
Total Written Options | (1,018,633) | (877,380) | (141,253) | — | |||
Total Liabilities - Investments in Securities | $(32,734,213) | $(877,380) | $(31,856,833) | $ — | |||
Other Financial Instruments | |||||||
Forward Foreign Currency Contracts | $(1,643,104) | $— | $(1,643,104) | $— | |||
Futures Contracts | (3,151,046) | (3,151,046) | — | — | |||
Swap Agreements | (22,099,795) | — | (22,099,795) | — | |||
Total Liabilities - Other Financial Instruments | $(26,893,945) | $(3,151,046) | $(23,742,899) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITY — 0.2% | ||||
Towd Point Mortgage Trust, Series 2016-4, Class A1 | ||||
2.25%, 07/25/56 144A (Cost $475,461) | $480,135 | $478,613 | ||
COMMERCIAL PAPER — 0.3% | ||||
Ford Motor Credit Co. LLC | ||||
4.16%, 12/02/19 (Cost $669,893) | 682,000 | 672,804 | ||
CORPORATE BONDS — 35.5% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 1,613,000 | 1,745,401 | ||
4.90%, 11/30/46 | 436,000 | 539,532 | ||
AbbVie, Inc. | ||||
4.70%, 05/14/45 | 558,000 | 568,984 | ||
AES Corporation | ||||
4.88%, 05/15/23 | 145,000 | 147,906 | ||
Aflac, Inc. | ||||
6.45%, 08/15/40 | 328,000 | 440,158 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 85,000 | 84,788 | ||
Ally Financial, Inc. | ||||
8.00%, 11/01/31 | 177,000 | 234,828 | ||
Alta Wind Holdings LLC | ||||
7.00%, 06/30/35 144A | 357,234 | 401,005 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 305,000 | 314,623 | ||
American Airlines Pass Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 542,605 | 573,371 | ||
American Airlines Pass Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 242,879 | 244,825 | ||
American Airlines Pass Through Trust, Series 2017-1, Class B | ||||
4.95%, 02/15/25 | 112,354 | 117,729 | ||
American Airlines Pass Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 89,889 | 89,649 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 1,800,000 | 1,885,398 | ||
American Tower Corporation REIT | ||||
3.80%, 08/15/29 | 839,000 | 866,622 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 255,000 | 259,368 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 125,000 | 123,906 | ||
5.13%, 12/01/22 | 35,000 | 33,731 | ||
Apple, Inc. | ||||
3.00%, 06/20/27 | 480,000 | 492,330 | ||
4.38%, 05/13/45 | 676,000 | 771,584 | ||
3.85%, 08/04/46 | 367,000 | 390,745 | ||
4.25%, 02/09/47 | 242,000 | 272,437 | ||
AT&T, Inc. | ||||
4.30%, 02/15/30 | 2,000,000 | 2,142,523 | ||
4.50%, 05/15/35 | 529,000 | 554,626 | ||
4.30%, 12/15/42 | 1,242,000 | 1,230,690 |
Par | Value | |||
4.75%, 05/15/46 | $1,153,000 | $1,219,542 | ||
4.50%, 03/09/48 | 105,000 | 107,526 | ||
4.55%, 03/09/49 | 115,000 | 117,571 | ||
AXA Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 1,328,000 | 1,372,396 | ||
Bank of America Corporation | ||||
3.50%, 04/19/26 | 964,000 | 1,010,339 | ||
6.11%, 01/29/37 | 900,000 | 1,149,352 | ||
Bank of America NA | ||||
6.00%, 10/15/36 | 1,315,000 | 1,735,837 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 110,000 | 126,104 | ||
Boston Properties LP REIT | ||||
3.40%, 06/21/29 | 1,218,000 | 1,249,144 | ||
Brighthouse Financial, Inc. | ||||
4.70%, 06/22/47 | 40,000 | 33,486 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 04/01/45 | 879,000 | 983,757 | ||
CenturyLink, Inc. | ||||
6.88%, 01/15/28 | 30,000 | 30,150 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22Δ | 70,000 | 66,500 | ||
5.75%, 03/15/23 | 20,000 | 18,850 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 130,000 | 111,150 | ||
Citigroup, Inc. | ||||
8.13%, 07/15/39 | 858,000 | 1,374,205 | ||
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48Δ ^ | 533,000 | 597,500 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 1,550,000 | 1,646,192 | ||
Continental Airlines Pass Through Trust, Series 1999-2, Class B | ||||
7.57%, 03/15/20 | 45 | 46 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 40,000 | 42,062 | ||
3.80%, 06/01/24 | 125,000 | 128,661 | ||
Cox Communications, Inc. | ||||
4.60%, 08/15/47 144A | 255,000 | 258,773 | ||
Crown Castle International Corporation REIT | ||||
3.20%, 09/01/24 | 517,000 | 528,323 | ||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | 200,000 | 208,250 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 1,620,000 | 1,922,278 | ||
CVS Health Corporation | ||||
4.30%, 03/25/28 | 1,498,000 | 1,580,957 | ||
5.13%, 07/20/45 | 240,000 | 256,331 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 490,000 | 516,950 | ||
Dell International LLC | ||||
6.02%, 06/15/26 144A | 140,000 | 154,566 | ||
8.10%, 07/15/36 144A | 180,000 | 222,207 | ||
8.35%, 07/15/46 144A | 130,000 | 164,335 |
Table of Contents
Par | Value | |||
Dillard's, Inc. | ||||
7.00%, 12/01/28 | $500,000 | $539,714 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 1,080,000 | 1,001,716 | ||
Dow Chemical Co. (The) | ||||
9.40%, 05/15/39 | 374,000 | 594,491 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 445,000 | 415,917 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 305,000 | 448,569 | ||
Energy Transfer Operating LP | ||||
5.25%, 04/15/29 | 628,000 | 702,280 | ||
5.15%, 03/15/45Δ | 446,000 | 454,222 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 595,000 | 681,085 | ||
4.20%, 01/31/50 | 612,000 | 628,488 | ||
EQT Corporation | ||||
3.90%, 10/01/27 | 2,168,000 | 2,060,298 | ||
ERP Operating LP REIT | ||||
3.00%, 07/01/29 | 970,000 | 983,110 | ||
Ford Motor Co. | ||||
6.38%, 02/01/29 | 1,255,000 | 1,360,700 | ||
General Electric Co. | ||||
3.10%, 01/09/23Δ | 248,000 | 250,367 | ||
5.88%, 01/14/38 | 150,000 | 169,594 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 1,085,000 | 1,037,825 | ||
General Motors Financial Co., Inc. | ||||
5.25%, 03/01/26 | 250,000 | 268,380 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.50%, 11/16/26 | 2,755,000 | 2,825,222 | ||
6.75%, 10/01/37 | 225,000 | 294,661 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27 | 355,000 | 338,581 | ||
HCA, Inc. | ||||
5.38%, 09/01/26 | 140,000 | 151,200 | ||
7.05%, 12/01/27 | 500,000 | 567,500 | ||
HCP, Inc. REIT | ||||
3.25%, 07/15/26 | 300,000 | 302,623 | ||
Hewlett Packard Enterprise Co. | ||||
6.35%, 10/15/45 | 135,000 | 149,808 | ||
Home Depot, Inc. (The) | ||||
5.88%, 12/16/36 | 200,000 | 265,709 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 175,000 | 180,006 | ||
Jefferies Group LLC | ||||
6.45%, 06/08/27 | 50,000 | 56,666 | ||
6.25%, 01/15/36 | 185,000 | 199,682 | ||
JPMorgan Chase & Co. | ||||
5.60%, 07/15/41 | 1,813,000 | 2,357,949 | ||
Kinder Morgan Energy Partners LP | ||||
5.80%, 03/15/35 | 280,000 | 323,352 | ||
Liberty Mutual Group, Inc. | ||||
6.50%, 03/15/35 144A | 1,400,000 | 1,785,330 | ||
Lockheed Martin Corporation | ||||
4.70%, 05/15/46 | 903,000 | 1,106,345 | ||
Marathon Petroleum Corporation | ||||
3.63%, 09/15/24 | 2,048,000 | 2,121,337 |
Par | Value | |||
Masco Corporation | ||||
7.75%, 08/01/29 | $129,000 | $162,157 | ||
6.50%, 08/15/32 | 15,000 | 17,715 | ||
McDonald’s Corporation | ||||
4.88%, 12/09/45 | 625,000 | 718,537 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 310,000 | 354,945 | ||
5.88%, 02/06/41 | 300,000 | 394,622 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 85,000 | 150,223 | ||
Microsoft Corporation | ||||
4.45%, 11/03/45 | 595,000 | 714,544 | ||
3.70%, 08/08/46 | 594,000 | 642,961 | ||
Morgan Stanley | ||||
3.13%, 08/05/21(C) | 235,000 | 183,202 | ||
3.63%, 01/20/27 | 1,500,000 | 1,575,709 | ||
MPLX LP | ||||
4.00%, 03/15/28 | 200,000 | 207,315 | ||
4.50%, 04/15/38 | 1,038,000 | 1,049,733 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 100,000 | 128,355 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 175,000 | 178,062 | ||
Navient Corporation | ||||
5.63%, 08/01/33 | 1,460,000 | 1,222,750 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 100,000 | 105,000 | ||
6.13%, 03/01/25 | 220,000 | 218,900 | ||
Noble Energy, Inc. | ||||
3.85%, 01/15/28 | 444,000 | 453,146 | ||
5.05%, 11/15/44 | 600,000 | 639,197 | ||
Northrop Grumman Corporation | ||||
3.25%, 01/15/28 | 1,000,000 | 1,027,444 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 60,000 | 59,094 | ||
1.00%, 12/15/35 CONV | 85,000 | 80,204 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 230,000 | 249,430 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 85,000 | 104,634 | ||
ONEOK Partners LP | ||||
6.20%, 09/15/43Δ | 5,000 | 5,923 | ||
Owens Corning | ||||
4.40%, 01/30/48 | 210,000 | 178,472 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 440,000 | 609,251 | ||
Prudential Financial, Inc. | ||||
6.63%, 06/21/40 | 548,000 | 769,715 | ||
PulteGroup, Inc. | ||||
6.38%, 05/15/33 | 1,000,000 | 1,071,250 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 60,000 | 62,175 | ||
5.25%, 01/15/28 144A | 70,000 | 69,913 | ||
Qwest Corporation | ||||
7.25%, 09/15/25Δ | 410,000 | 456,844 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 90,000 | 92,636 |
Table of Contents
Par | Value | |||
Rockwell Collins, Inc. | ||||
4.35%, 04/15/47 | $236,000 | $258,288 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27Δ | 100,000 | 100,440 | ||
Sempra Energy | ||||
6.00%, 10/15/39 | 991,000 | 1,195,906 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 80,000 | 74,012 | ||
5.00%, 01/15/24Δ | 15,000 | 13,838 | ||
6.75%, 09/15/26 | 30,000 | 28,275 | ||
Southern Co. (The) | ||||
4.40%, 07/01/46 | 1,356,000 | 1,433,532 | ||
Springleaf Finance Corporation | ||||
6.88%, 03/15/25 | 170,000 | 186,572 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28 | 1,025,000 | 1,056,057 | ||
Tenet Healthcare Corporation | ||||
5.13%, 05/01/25 | 335,000 | 337,512 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 160,000 | 210,662 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 25,000 | 26,261 | ||
4.50%, 09/15/42 | 45,000 | 42,140 | ||
Toro Co. (The) | ||||
6.63%, 05/01/37 | 300,000 | 369,298 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 455,000 | 581,322 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 205,000 | 202,437 | ||
6.80%, 03/15/38Δ | 20,000 | 15,100 | ||
Tyson Foods, Inc. | ||||
4.55%, 06/02/47 | 357,000 | 373,983 | ||
United Airlines Pass Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 89,499 | 94,193 | ||
United Airlines Pass Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 74,080 | 74,397 | ||
United Rentals North America, Inc. | ||||
6.50%, 12/15/26 | 85,000 | 92,225 | ||
4.88%, 01/15/28 | 30,000 | 30,675 | ||
United States Steel Corporation | ||||
6.25%, 03/15/26 | 10,000 | 8,938 | ||
6.65%, 06/01/37 | 90,000 | 76,050 | ||
United Technologies Corporation | ||||
3.95%, 08/16/25 | 400,000 | 431,694 | ||
Unum Group | ||||
5.75%, 08/15/42 | 800,000 | 925,559 | ||
Verizon Communications, Inc. | ||||
4.27%, 01/15/36 | 1,700,000 | 1,844,156 | ||
5.25%, 03/16/37 | 999,000 | 1,196,599 | ||
5.50%, 03/16/47 | 1,000,000 | 1,257,233 | ||
Visa, Inc. | ||||
4.30%, 12/14/45 | 700,000 | 830,333 | ||
Walmart, Inc. | ||||
3.63%, 12/15/47 | 381,000 | 407,962 |
Par | Value | |||
Walt Disney Co. (The) | ||||
4.75%, 09/15/44 144A | $623,000 | $761,803 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONV | 140,000 | 126,074 | ||
WestRock MWV LLC | ||||
7.55%, 03/01/47 | 335,000 | 449,060 | ||
Weyerhaeuser Co. REIT | ||||
6.88%, 12/15/33 | 580,000 | 775,338 | ||
Total Corporate Bonds (Cost $78,369,238) | 87,924,808 | |||
FOREIGN BONDS — 10.5% | ||||
Australia — 0.3% | ||||
Barrick PD Australia Finance Proprietary, Ltd. | ||||
5.95%, 10/15/39 | 571,000 | 701,192 | ||
Brazil — 0.3% | ||||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,525,000 | 761,163 | ||
Canada — 3.7% | ||||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A Δ | 515,000 | 519,784 | ||
Canadian Government Bond Residual STRIP | ||||
3.47%, 06/01/25(C) Ω | 3,685,000 | 2,597,847 | ||
Enbridge, Inc. | ||||
5.50%, 12/01/46Δ | 549,000 | 681,002 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A | 340,000 | 324,700 | ||
Province of Ontario Generic Residual STRIP | ||||
2.98%, 03/08/29(C) Ω | 4,600,000 | 2,830,201 | ||
Province of Saskatchewan Residual STRIP | ||||
3.49%, 02/04/22(C) Ω | 3,000,000 | 2,186,961 | ||
9,140,495 | ||||
Ireland — 0.1% | ||||
Johnson Controls International PLC | ||||
4.50%, 02/15/47 | 160,000 | 162,765 | ||
Italy — 0.3% | ||||
Telecom Italia Capital SA | ||||
6.00%, 09/30/34 | 785,000 | 804,625 | ||
Jersey — 0.1% | ||||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A | 260,000 | 232,700 | ||
Luxembourg — 0.5% | ||||
ArcelorMittal | ||||
6.75%, 03/01/41Δ | 975,000 | 1,138,362 | ||
Mexico — 0.9% | ||||
America Movil SAB de CV | ||||
6.45%, 12/05/22(M) | 2,600,000 | 127,536 | ||
8.46%, 12/18/36(M) | 12,000,000 | 573,624 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 21,300,000 | 1,134,261 |
Table of Contents
Par | Value | |||
10.00%, 12/05/24(M) | $3,500,000 | $203,574 | ||
7.50%, 06/03/27(M) | 3,500,000 | 182,178 | ||
8.50%, 05/31/29(M) | 500,000 | 27,723 | ||
7.75%, 05/29/31(M) | 1,000,000 | 52,706 | ||
2,301,602 | ||||
Netherlands — 1.3% | ||||
Cooperatieve Rabobank UA | ||||
3.75%, 07/21/26 | 493,000 | 504,924 | ||
5.25%, 05/24/41 | 632,000 | 811,807 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 80,000 | 89,021 | ||
Enel Finance International NV | ||||
6.00%, 10/07/39 144A | 500,000 | 593,906 | ||
Petrobras Global Finance BV | ||||
5.63%, 05/20/43Δ | 120,000 | 116,490 | ||
Shell International Finance BV | ||||
4.00%, 05/10/46 | 1,060,000 | 1,168,410 | ||
3,284,558 | ||||
Norway — 0.0% | ||||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 196,000 | 24,053 | ||
Spain — 0.3% | ||||
Telefonica Emisiones SA | ||||
7.05%, 06/20/36 | 524,000 | 686,911 | ||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,188,000 | 1,225,734 | ||
United Kingdom — 2.2% | ||||
Barclays PLC | ||||
4.38%, 01/12/26 | 865,000 | 897,070 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | 705,961 | ||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | 1,056,000 | 1,030,968 | ||
Royal Bank of Scotland Group PLC | ||||
3.88%, 09/12/23 | 1,761,000 | 1,808,130 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 3.59%, 01/16/24† Δ | 962,000 | 965,094 | ||
5,407,223 | ||||
Total Foreign Bonds (Cost $25,941,805) | 25,871,383 | |||
MORTGAGE-BACKED SECURITIES — 8.5% | ||||
Federal Home Loan Mortgage Corporation | ||||
4.50%, 09/01/48 | 1,701,090 | 1,789,049 | ||
Federal National Mortgage Association | ||||
4.50%, 12/01/47 | 999,266 | 1,052,050 | ||
3.50%, 01/01/48 | 7,417,533 | 7,636,047 | ||
4.50%, 08/01/48 | 1,757,127 | 1,848,011 |
Par | Value | |||
4.50%, 11/01/48 | $1,745,760 | $1,824,546 | ||
Government National Mortgage Association | ||||
4.50%, 10/20/48 | 1,778,794 | 1,855,342 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 2,370,548 | 2,398,139 | ||
JP Morgan Trust, Series 2015-6, Class A5 | ||||
3.50%, 10/25/45 144A † γ | 2,697,260 | 2,747,022 | ||
Total Mortgage-Backed Securities (Cost $20,898,689) | 21,150,206 | |||
MUNICIPAL BOND — 0.1% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $189,902) | 235,000 | 247,671 | ||
U.S. TREASURY OBLIGATIONS — 40.4% | ||||
U.S. Treasury Bonds | ||||
4.50%, 02/15/36Δ | 1,152,000 | 1,520,190 | ||
5.00%, 05/15/37 | 215,000 | 303,205 | ||
4.63%, 02/15/40 | 11,176,000 | 15,348,448 | ||
4.38%, 05/15/40 | 316,000 | 420,835 | ||
2.88%, 05/15/43 | 9,438,000 | 10,096,999 | ||
2.50%, 05/15/46 | 4,500,000 | 4,475,041 | ||
2.75%, 08/15/47 | 15,577,000 | 16,260,324 | ||
2.75%, 11/15/47 | 1,504,300 | 1,570,466 | ||
3.00%, 08/15/48Δ | 662,000 | 726,157 | ||
3.38%, 11/15/48 | 890,000 | 1,047,853 | ||
3.00%, 02/15/49Δ | 1,700,000 | 1,867,410 | ||
53,636,928 | ||||
U.S. Treasury Notes | ||||
1.75%, 11/30/19Δ | 12,055,000 | 12,036,640 | ||
2.25%, 03/31/20 | 3,425,000 | 3,430,954 | ||
2.75%, 11/30/20 | 1,361,000 | 1,378,225 | ||
2.00%, 11/30/22 | 16,495,000 | 16,646,094 | ||
2.88%, 11/30/23 | 1,000,000 | 1,048,008 | ||
2.63%, 12/31/23 | 2,728,000 | 2,831,046 | ||
2.25%, 04/30/24Δ | 1,076,000 | 1,100,525 | ||
2.50%, 02/28/26 | 266,000 | 276,708 | ||
2.75%, 02/15/28 | 1,540,000 | 1,637,694 | ||
2.88%, 08/15/28 | 3,797,000 | 4,080,885 | ||
2.63%, 02/15/29Δ | 253,000 | 266,831 | ||
2.38%, 05/15/29 | 1,674,000 | 1,730,105 | ||
46,463,715 | ||||
Total U.S. Treasury Obligations (Cost $96,135,829) | 100,100,643 |
Shares | |||
PREFERRED STOCKS — 0.1% | |||
Chesapeake Energy Corporation | |||
5.00%, 04/30/19 CONV Δ | 620 | 25,265 | |
5.75%, 04/30/19 144A CONV | 80 | 37,844 |
Table of Contents
Shares | Value | |||
El Paso Energy Capital Trust I | ||||
4.75%, 06/27/19 CONV Δ | 5,350 | $283,550 | ||
Total Preferred Stocks (Cost $354,717) | 346,659 | |||
MONEY MARKET FUNDS — 5.3% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø ∞ | 11,538,731 | 11,538,731 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%Ø § | 1,643,820 | 1,643,820 | ||
Total Money Market Funds (Cost $13,182,551) | 13,182,551 | |||
TOTAL INVESTMENTS — 100.9% (Cost $236,218,085) | 249,975,338 | |||
Liabilities in Excess of Other Assets — (0.9)% | (2,351,782) | |||
NET ASSETS — 100.0% | $247,623,556 |
% | |
U.S. Treasury Obligations | 40.4 |
Corporate Bonds | 35.5 |
Foreign Bonds | 10.5 |
Mortgage-Backed Securities | 8.5 |
Money Market Funds | 5.3 |
Commercial Paper | 0.3 |
Asset-Backed Security | 0.2 |
Energy | 0.1 |
Municipal Bond | 0.1 |
100.9 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $478,613 | $— | $478,613 | $— | |||
Commercial Paper | 672,804 | — | 672,804 | — | |||
Corporate Bonds | 87,924,808 | — | 87,924,808 | — | |||
Foreign Bonds | 25,871,383 | — | 25,871,383 | — | |||
Money Market Funds | 13,182,551 | 13,182,551 | — | — | |||
Mortgage-Backed Securities | 21,150,206 | — | 21,150,206 | — | |||
Municipal Bond | 247,671 | — | 247,671 | — | |||
Preferred Stocks | 346,659 | 283,550 | 63,109 | — | |||
U.S. Treasury Obligations | 100,100,643 | — | 100,100,643 | — | |||
Total Assets - Investments in Securities | $249,975,338 | $13,466,101 | $236,509,237 | $ — |
Table of Contents
Par | Value | |||
AGENCY OBLIGATION — 1.3% | ||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||
2.39%, 09/19/19Ω (Cost $7,236,604) | $7,275,000 | $7,240,240 | ||
ASSET-BACKED SECURITIES — 0.9% | ||||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 2.80%, 07/25/36 144A † | 880,000 | 838,525 | ||
Hertz Vehicle Financing II LP, Series 2016-3A, Class B | ||||
3.11%, 07/25/20 144A | 309,000 | 309,024 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.23%, 01/22/35 144A † γ | 925,522 | 964,282 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 3.16%, 03/15/33 144A † | 234,054 | 229,470 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 2.73%, 03/25/44† | 480,000 | 464,025 | ||
Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE4, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor), 2.57%, 07/25/47† | 2,852,556 | 2,250,039 | ||
Total Asset-Backed Securities (Cost $4,556,696) | 5,055,365 | |||
COMMERCIAL PAPER — 0.3% | ||||
Ford Motor Credit Co. LLC | ||||
4.16%, 12/02/19 (Cost $1,605,974) | 1,635,000 | 1,612,953 | ||
CORPORATE BONDS — 30.1% | ||||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 396,000 | 428,505 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 420,000 | 429,975 | ||
4.75%, 10/01/27 144A | 210,000 | 209,475 | ||
Ally Financial, Inc. | ||||
8.00%, 03/15/20 | 161,000 | 167,165 | ||
5.13%, 09/30/24 | 920,000 | 995,900 | ||
8.00%, 11/01/31 | 345,000 | 457,715 | ||
Amazon.com, Inc. | ||||
3.88%, 08/22/37 | 870,000 | 960,717 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 875,000 | 902,606 | ||
American Airlines Pass Through Trust, Series 2013-1, Class B | ||||
5.63%, 01/15/21 144A | 332,342 | 340,734 | ||
American Airlines Pass Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 1,377,095 | 1,455,176 |
Par | Value | |||
American Airlines Pass Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | $598,523 | $603,319 | ||
American Airlines Pass Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 220,229 | 219,640 | ||
Anadarko Petroleum Corporation | ||||
4.50%, 07/15/44 | 215,000 | 220,552 | ||
Andeavor Logistics LP | ||||
6.38%, 05/01/24 | 190,000 | 199,738 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 415,000 | 422,109 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21 | 365,000 | 361,806 | ||
5.13%, 12/01/22 | 475,000 | 457,781 | ||
5.63%, 06/01/23 | 155,000 | 150,187 | ||
Apple, Inc. | ||||
1.55%, 02/07/20 | 165,000 | 164,328 | ||
Ashtead Capital, Inc. | ||||
5.63%, 10/01/24 144A | 330,000 | 342,788 | ||
4.13%, 08/15/25 144A | 274,000 | 278,795 | ||
AT&T, Inc. | ||||
4.00%, 01/15/22 | 50,000 | 51,918 | ||
4.50%, 03/09/48 | 250,000 | 256,014 | ||
4.55%, 03/09/49 | 275,000 | 281,149 | ||
Avon Products, Inc. | ||||
8.95%, 03/15/43 | 115,000 | 122,331 | ||
Bank of America Corporation | ||||
4.25%, 10/22/26 | 100,000 | 106,929 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 860,000 | 885,683 | ||
6.11%, 01/29/37 | 1,300,000 | 1,660,175 | ||
Barrick North America Finance LLC | ||||
5.75%, 05/01/43 | 1,000,000 | 1,251,637 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A Δ | 460,000 | 515,798 | ||
8.50%, 01/31/27 144A | 70,000 | 77,141 | ||
Beacon Roofing Supply, Inc. | ||||
4.88%, 11/01/25 144A Δ | 310,000 | 308,063 | ||
Beazer Homes USA, Inc. | ||||
7.25%, 02/01/23 | 3,000 | 2,955 | ||
Berry Petroleum Corporation (Escrow) | ||||
6.38%, 09/15/22Ψ ††† # Δ | 60,000 | — | ||
Blue Cube Spinco LLC | ||||
10.00%, 10/15/25 | 1,525,000 | 1,732,781 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 200,000 | 203,750 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV Δ | 570,000 | 653,447 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41Δ | 2,290,000 | 2,710,673 | ||
Brighthouse Financial, Inc. | ||||
4.70%, 06/22/47 | 120,000 | 100,458 | ||
CalAmp Corporation | ||||
1.63%, 05/15/20 CONV | 65,000 | 63,456 | ||
California Resources Corporation | ||||
8.00%, 12/15/22 144A Δ | 1,390,000 | 1,054,662 |
Table of Contents
Par | Value | |||
CCO Holdings LLC | ||||
5.38%, 05/01/25 144A | $380,000 | $393,775 | ||
Celgene Corporation | ||||
5.00%, 08/15/45 | 1,120,000 | 1,331,035 | ||
Centene Corporation | ||||
4.75%, 05/15/22 | 550,000 | 563,750 | ||
6.13%, 02/15/24 | 200,000 | 209,750 | ||
4.75%, 01/15/25 | 260,000 | 269,025 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/20 | 295,000 | 299,425 | ||
6.75%, 12/01/23 | 600,000 | 648,750 | ||
5.63%, 04/01/25 | 90,000 | 92,025 | ||
Charter Communications Operating LLC | ||||
6.48%, 10/23/45 | 300,000 | 353,994 | ||
5.75%, 04/01/48 | 1,000,000 | 1,107,719 | ||
Chesapeake Energy Corporation | ||||
6.13%, 02/15/21 | 270,000 | 275,400 | ||
5.38%, 06/15/21Δ | 80,000 | 78,200 | ||
4.88%, 04/15/22Δ | 2,570,000 | 2,441,500 | ||
5.75%, 03/15/23 | 250,000 | 235,625 | ||
5.50%, 09/15/26 CONV | 40,000 | 32,027 | ||
8.00%, 06/15/27Δ | 500,000 | 443,125 | ||
Cincinnati Bell, Inc. | ||||
7.00%, 07/15/24 144A Δ | 110,000 | 97,625 | ||
8.00%, 10/15/25 144A | 305,000 | 260,775 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 412,000 | 438,191 | ||
5.00%, 08/01/23 | 670,000 | 717,737 | ||
5.25%, 03/07/25 | 750,000 | 824,062 | ||
Citigroup, Inc. | ||||
5.13%, 11/12/19(Z) | 640,000 | 434,413 | ||
3.50%, 05/15/23 | 1,305,000 | 1,347,483 | ||
(Variable, ICE LIBOR USD 3M + 3.47%), 5.35%, 05/15/23^ | 1,180,000 | 1,189,169 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24^ | 1,330,000 | 1,382,488 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25^ | 250,000 | 261,464 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 860,000 | 1,102,244 | ||
Comcast Corporation | ||||
5.15%, 03/01/20 | 170,000 | 173,063 | ||
3.15%, 03/01/26 | 1,010,000 | 1,046,182 | ||
4.70%, 10/15/48 | 1,000,000 | 1,172,883 | ||
4.95%, 10/15/58 | 300,000 | 366,717 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 20,000 | 28,122 | ||
Continental Airlines Pass Through Trust, Series 2007-1, Class A | ||||
5.98%, 04/19/22 | 363,240 | 385,670 | ||
Continental Resources, Inc. | ||||
5.00%, 09/15/22 | 76,000 | 76,702 | ||
4.50%, 04/15/23 | 525,000 | 552,059 | ||
3.80%, 06/01/24 | 315,000 | 324,225 | ||
4.90%, 06/01/44Δ | 370,000 | 389,557 | ||
Covey Park Energy LLC | ||||
7.50%, 05/15/25 144A | 1,010,000 | 732,250 |
Par | Value | |||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | $265,000 | $275,931 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 800,000 | 832,000 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 860,000 | 1,020,469 | ||
CVS Health Corporation | ||||
4.10%, 03/25/25 | 1,800,000 | 1,899,718 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 1,405,000 | 1,463,709 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 10,000 | 10,175 | ||
DaVita, Inc. | ||||
5.00%, 05/01/25 | 90,000 | 89,190 | ||
DCP Midstream Operating LP | ||||
6.75%, 09/15/37 144A | 700,000 | 756,000 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 610,000 | 628,766 | ||
5.88%, 06/15/21 144A | 500,000 | 508,474 | ||
7.13%, 06/15/24 144A | 380,000 | 401,179 | ||
6.02%, 06/15/26 144A | 260,000 | 287,051 | ||
8.10%, 07/15/36 144A | 440,000 | 543,173 | ||
8.35%, 07/15/46 144A | 240,000 | 303,387 | ||
Delta Air Lines Pass Through Trust, Series 2007-1, Class B | ||||
8.02%, 08/10/22 | 32,715 | 36,127 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25Δ | 450,000 | 474,187 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 890,000 | 993,791 | ||
DISH DBS Corporation | ||||
5.88%, 07/15/22 | 600,000 | 611,250 | ||
5.00%, 03/15/23 | 975,000 | 945,750 | ||
5.88%, 11/15/24 | 1,370,000 | 1,301,500 | ||
7.75%, 07/01/26Δ | 2,020,000 | 1,964,450 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 1,785,000 | 1,655,614 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 90,000 | 103,097 | ||
8.38%, 06/15/32 | 75,000 | 100,845 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 260,000 | 243,007 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 175,000 | 257,376 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 460,000 | 486,450 | ||
Energy Transfer Partners LP | ||||
5.88%, 03/01/22 | 340,000 | 364,840 | ||
5.00%, 10/01/22 | 80,000 | 85,070 | ||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25 | 460,000 | 452,525 | ||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | 1,065,000 | 1,456,395 | ||
Evolent Health, Inc. | ||||
2.00%, 12/01/21 CONV | 95,000 | 84,684 | ||
Extraction Oil & Gas, Inc. | ||||
5.63%, 02/01/26 144A | 1,220,000 | 991,250 |
Table of Contents
Par | Value | |||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | $600,000 | $625,500 | ||
First Data Corporation | ||||
5.00%, 01/15/24 144A | 590,000 | 604,824 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 185,000 | 253,118 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 850,000 | 961,145 | ||
Ford Motor Credit Co. LLC | ||||
4.39%, 01/08/26 | 3,085,000 | 3,103,771 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 380,000 | 382,375 | ||
5.45%, 03/15/43 | 1,670,000 | 1,536,400 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 750,000 | 801,363 | ||
General Electric Co. | ||||
3.15%, 09/07/22 | 95,000 | 96,251 | ||
6.75%, 03/15/32 | 30,000 | 36,990 | ||
6.88%, 01/10/39 | 161,000 | 202,189 | ||
4.50%, 03/11/44 | 130,000 | 126,333 | ||
General Motors Co. | ||||
5.20%, 04/01/45 | 210,000 | 200,869 | ||
General Motors Financial Co., Inc. | ||||
3.45%, 04/10/22 | 300,000 | 304,361 | ||
5.25%, 03/01/26 | 625,000 | 670,950 | ||
Genesis Energy LP | ||||
5.63%, 06/15/24 | 130,000 | 125,775 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 400,000 | 354,000 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 605,000 | 937,797 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 940,000 | 992,386 | ||
Global Marine, Inc. | ||||
7.00%, 06/01/28Δ | 45,000 | 39,375 | ||
Goldman Sachs Capital II | ||||
4.00%, 08/09/19Δ | 58,000 | 47,068 | ||
Goldman Sachs Group, Inc. (The) | ||||
6.75%, 10/01/37 | 355,000 | 464,910 | ||
5.15%, 05/22/45 | 810,000 | 928,418 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27 | 835,000 | 796,381 | ||
7.00%, 03/15/28 | 690,000 | 741,750 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 160,000 | 166,912 | ||
4.88%, 05/15/26 144A | 783,000 | 816,191 | ||
Harris Corporation | ||||
5.05%, 04/27/45 | 870,000 | 1,021,609 | ||
HCA, Inc. | ||||
5.88%, 05/01/23 | 30,000 | 32,696 | ||
5.00%, 03/15/24 | 50,000 | 54,529 | ||
8.36%, 04/15/24 | 90,000 | 104,400 | ||
7.69%, 06/15/25 | 275,000 | 323,813 | ||
7.58%, 09/15/25 | 715,000 | 829,400 | ||
5.88%, 02/15/26 | 10,000 | 11,075 |
Par | Value | |||
5.25%, 06/15/26 | $500,000 | $554,369 | ||
5.38%, 09/01/26 | 30,000 | 32,400 | ||
4.50%, 02/15/27 | 450,000 | 480,821 | ||
7.05%, 12/01/27 | 20,000 | 22,700 | ||
5.63%, 09/01/28 | 620,000 | 672,700 | ||
7.50%, 11/06/33 | 205,000 | 236,775 | ||
7.75%, 07/15/36 | 120,000 | 137,400 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 250,000 | 266,250 | ||
Hilton Worldwide Finance LLC | ||||
4.63%, 04/01/25 | 250,000 | 256,563 | ||
4.88%, 04/01/27 | 720,000 | 746,784 | ||
Indigo Natural Resources LLC | ||||
6.88%, 02/15/26 144A | 380,000 | 342,950 | ||
Intelsat Jackson Holdings SA | ||||
5.50%, 08/01/23 | 330,000 | 302,775 | ||
International Business Machines Corporation | ||||
1.63%, 05/15/20 | 720,000 | 715,989 | ||
International Lease Finance Corporation | ||||
4.63%, 04/15/21 | 300,000 | 309,551 | ||
INVISTA Finance LLC | ||||
4.25%, 10/15/19 144A | 915,000 | 924,796 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 430,000 | 442,299 | ||
J.C. Penney Corporation, Inc. | ||||
6.38%, 10/15/36 | 480,000 | 129,600 | ||
7.63%, 03/01/97 | 815,000 | 203,750 | ||
Jaguar Holding Co. II | ||||
6.38%, 08/01/23 144A | 190,000 | 197,125 | ||
Jefferies Group LLC | ||||
6.88%, 04/15/21 | 270,000 | 288,809 | ||
5.13%, 01/20/23Δ | 305,000 | 326,888 | ||
6.45%, 06/08/27 | 35,000 | 39,666 | ||
6.25%, 01/15/36 | 1,135,000 | 1,225,077 | ||
6.50%, 01/20/43 | 510,000 | 554,678 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24^ | 260,000 | 277,762 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 75,000 | 90,187 | ||
6.95%, 01/15/38 | 90,000 | 115,546 | ||
Kinder Morgan, Inc. | ||||
7.75%, 01/15/32 | 780,000 | 1,068,701 | ||
Kraft Heinz Foods Co. | ||||
4.88%, 02/15/25 144A | 166,000 | 171,240 | ||
Lamb Weston Holdings, Inc. | ||||
4.63%, 11/01/24 144A | 440,000 | 458,150 | ||
4.88%, 11/01/26 144A Δ | 1,430,000 | 1,494,350 | ||
Lennar Corporation | ||||
4.75%, 11/15/22 | 315,000 | 330,750 | ||
4.75%, 11/29/27 | 1,000,000 | 1,057,500 | ||
Leonardo US Holdings, Inc. | ||||
6.25%, 01/15/40 144A | 143,000 | 140,140 | ||
Lions Gate Capital Holdings LLC | ||||
5.88%, 11/01/24 144A Δ | 500,000 | 515,000 |
Table of Contents
Par | Value | |||
Lockheed Martin Corporation | ||||
3.80%, 03/01/45 | $1,090,000 | $1,162,007 | ||
Magnum Hunter Resources Corporation (Escrow) | ||||
0.00%, 12/31/20Ψ ††† # | 470,000 | — | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 117,000 | 147,073 | ||
6.50%, 08/15/32 | 47,000 | 55,506 | ||
Match Group, Inc. | ||||
5.00%, 12/15/27 144A Δ | 970,000 | 1,020,828 | ||
MBIA Insurance Corporation | ||||
13.86%, 01/15/33 144A | 435,000 | 306,131 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 280,000 | 494,854 | ||
Midas Intermediate Holdco II LLC | ||||
7.88%, 10/01/22 144A | 1,015,000 | 971,862 | ||
Morgan Stanley | ||||
5.75%, 01/25/21 | 205,000 | 215,385 | ||
3.13%, 08/05/21(C) | 535,000 | 417,078 | ||
4.10%, 05/22/23 | 370,000 | 389,752 | ||
6.25%, 08/09/26 | 400,000 | 480,342 | ||
4.35%, 09/08/26 | 940,000 | 1,008,798 | ||
3.95%, 04/23/27 | 125,000 | 130,861 | ||
MPLX LP | ||||
4.50%, 07/15/23 | 20,000 | 21,228 | ||
4.88%, 06/01/25 | 75,000 | 81,575 | ||
MPT Operating Partnership LP REIT | ||||
5.25%, 08/01/26 | 340,000 | 355,725 | ||
5.00%, 10/15/27 | 1,390,000 | 1,435,175 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 1,200,000 | 1,540,258 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 415,000 | 422,263 | ||
Navient Corporation | ||||
8.00%, 03/25/20 | 600,000 | 622,500 | ||
5.88%, 03/25/21 | 320,000 | 333,600 | ||
5.50%, 01/25/23 | 1,720,000 | 1,773,750 | ||
6.13%, 03/25/24 | 1,495,000 | 1,539,850 | ||
5.88%, 10/25/24 | 360,000 | 365,850 | ||
6.75%, 06/15/26Δ | 335,000 | 348,400 | ||
NCL Corporation, Ltd. | ||||
4.75%, 12/15/21 144A | 468,000 | 475,605 | ||
Newell Brands, Inc. | ||||
3.85%, 04/01/23 | 680,000 | 690,444 | ||
4.00%, 12/01/24 | 445,000 | 453,324 | ||
Newfield Exploration Co. | ||||
5.63%, 07/01/24 | 955,000 | 1,058,033 | ||
Newmont Goldcorp Corporation | ||||
4.88%, 03/15/42 | 575,000 | 644,557 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 785,000 | 824,250 | ||
6.13%, 03/01/25 | 740,000 | 736,300 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 600,000 | 621,000 | ||
7.77%, 12/15/37 144A | 280,000 | 357,000 | ||
Noble Holding International, Ltd. | ||||
7.88%, 02/01/26 144A | 215,000 | 185,775 |
Par | Value | |||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | $230,000 | $254,150 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 155,000 | 152,660 | ||
1.50%, 11/01/35 CONV | 5,000 | 5,027 | ||
1.00%, 12/15/35 CONV | 1,430,000 | 1,349,311 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 01/15/23Δ | 95,000 | 95,238 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 520,000 | 563,928 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 645,000 | 793,990 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 60,000 | 65,266 | ||
6.20%, 09/15/43Δ | 20,000 | 23,693 | ||
Outfront Media Capital LLC | ||||
5.25%, 02/15/22 | 70,000 | 71,201 | ||
5.88%, 03/15/25 | 170,000 | 176,375 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 1,043,000 | 1,239,281 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A | 1,500,000 | 1,569,375 | ||
Pactiv LLC | ||||
8.38%, 04/15/27 | 200,000 | 218,000 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 685,000 | 948,493 | ||
PulteGroup, Inc. | ||||
7.88%, 06/15/32 | 1,500,000 | 1,796,250 | ||
6.38%, 05/15/33 | 470,000 | 503,487 | ||
6.00%, 02/15/35 | 180,000 | 185,400 | ||
QEP Resources, Inc. | ||||
5.38%, 10/01/22 | 315,000 | 307,519 | ||
5.25%, 05/01/23 | 1,500,000 | 1,451,250 | ||
Quicken Loans, Inc. | ||||
5.75%, 05/01/25 144A | 1,895,000 | 1,963,694 | ||
5.25%, 01/15/28 144A | 175,000 | 174,781 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 225,000 | 231,590 | ||
Range Resources Corporation | ||||
5.00%, 08/15/22 | 520,000 | 495,950 | ||
5.00%, 03/15/23 | 1,450,000 | 1,372,062 | ||
4.88%, 05/15/25Δ | 240,000 | 211,800 | ||
Reliance Holding USA, Inc. | ||||
4.50%, 10/19/20 144A | 540,000 | 552,224 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 58,146 | 58,365 | ||
5.13%, 07/15/23 144A | 940,000 | 959,975 | ||
Rovi Corporation | ||||
0.50%, 03/01/20 CONV | 985,000 | 962,887 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 240,000 | 241,055 | ||
Sealed Air Corporation | ||||
4.88%, 12/01/22 144A | 25,000 | 26,313 | ||
ServiceMaster Co. LLC (The) | ||||
7.45%, 08/15/27 | 1,195,000 | 1,286,119 |
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Par | Value | |||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | $235,000 | $217,410 | ||
5.00%, 01/15/24Δ | 40,000 | 36,900 | ||
6.75%, 09/15/26Δ | 75,000 | 70,688 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 1,210,000 | 1,331,531 | ||
Southwestern Energy Co. | ||||
6.20%, 01/23/25 | 280,000 | 256,900 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 910,000 | 949,812 | ||
Springleaf Finance Corporation | ||||
6.13%, 05/15/22 | 1,165,000 | 1,255,287 | ||
8.25%, 10/01/23 | 55,000 | 64,020 | ||
6.88%, 03/15/25 | 525,000 | 576,177 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28 | 2,865,000 | 2,951,809 | ||
8.75%, 03/15/32 | 765,000 | 887,400 | ||
Sprint Communications, Inc. | ||||
11.50%, 11/15/21 | 570,000 | 661,200 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 680,000 | 740,350 | ||
Targa Resources Partners LP | ||||
4.25%, 11/15/23 | 430,000 | 431,613 | ||
6.75%, 03/15/24 | 1,050,000 | 1,094,625 | ||
5.13%, 02/01/25 | 60,000 | 62,250 | ||
5.88%, 04/15/26 | 870,000 | 925,462 | ||
5.38%, 02/01/27Δ | 50,000 | 52,000 | ||
Tenet Healthcare Corporation | ||||
6.75%, 06/15/23Δ | 305,000 | 307,288 | ||
5.13%, 05/01/25 | 1,025,000 | 1,032,687 | ||
6.88%, 11/15/31 | 310,000 | 275,125 | ||
Textron, Inc. | ||||
6.63%, 04/07/20(U) | 130,000 | 171,163 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 60,000 | 63,027 | ||
4.50%, 09/15/42 | 105,000 | 98,326 | ||
TransDigm, Inc. | ||||
6.50%, 07/15/24 | 199,000 | 201,985 | ||
6.50%, 05/15/25 | 195,000 | 197,974 | ||
Transocean Proteus, Ltd. | ||||
6.25%, 12/01/24 144A | 1,203,750 | 1,247,386 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 430,000 | 424,625 | ||
7.50%, 01/15/26 144A | 480,000 | 459,600 | ||
7.50%, 04/15/31 | 35,000 | 29,925 | ||
6.80%, 03/15/38Δ | 390,000 | 294,450 | ||
TRI Pointe Group, Inc. | ||||
5.88%, 06/15/24 | 5,000 | 5,174 | ||
UAL Pass Through Trust, Series 2007-1 | ||||
6.64%, 07/02/22 | 132,589 | 140,988 | ||
United Airlines Pass Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 194,563 | 204,767 | ||
United Airlines Pass Through Trust, Series 2014-2, Class B | ||||
4.63%, 09/03/22 | 60,528 | 62,362 |
Par | Value | |||
United Airlines Pass Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | $174,306 | $175,052 | ||
United Rentals North America, Inc. | ||||
4.63%, 10/15/25 | 150,000 | 152,813 | ||
6.50%, 12/15/26 | 210,000 | 227,850 | ||
5.50%, 05/15/27 | 890,000 | 938,950 | ||
4.88%, 01/15/28 | 445,000 | 455,012 | ||
5.25%, 01/15/30 | 570,000 | 587,100 | ||
United States Steel Corporation | ||||
6.25%, 03/15/26 | 15,000 | 13,406 | ||
6.65%, 06/01/37 | 725,000 | 612,625 | ||
US Airways Pass Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 207,562 | 229,148 | ||
US Airways Pass Through Trust, Series 2012-1, Class B | ||||
8.00%, 10/01/19 | 376,503 | 380,344 | ||
US Airways Pass Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 167,948 | 181,814 | ||
Valvoline, Inc. | ||||
5.50%, 07/15/24 | 270,000 | 279,450 | ||
4.38%, 08/15/25 | 650,000 | 651,625 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 130,000 | 131,950 | ||
Vine Oil & Gas LP | ||||
9.75%, 04/15/23 144A | 65,000 | 42,413 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 390,000 | 397,313 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24 | 124,000 | 133,005 | ||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25Δ ^ | 240,000 | 261,095 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONV | 330,000 | 297,175 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 145,000 | 195,575 | ||
7.95%, 02/15/31 | 45,000 | 60,229 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 405,000 | 518,661 | ||
6.95%, 10/01/27 | 55,000 | 68,986 | ||
7.38%, 03/15/32 | 370,000 | 517,661 | ||
6.88%, 12/15/33 | 490,000 | 655,027 | ||
Whiting Petroleum Corporation | ||||
5.75%, 03/15/21 | 420,000 | 424,725 | ||
6.25%, 04/01/23Δ | 980,000 | 982,450 | ||
6.63%, 01/15/26Δ | 615,000 | 596,166 | ||
William Lyon Homes, Inc. | ||||
7.00%, 08/15/22 | 20,000 | 20,125 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 60,000 | 77,687 | ||
5.75%, 06/24/44 | 440,000 | 514,234 | ||
Windstream Services LLC | ||||
10.50%, 06/30/24 144A # | 75,000 | 54,750 | ||
9.00%, 06/30/25 144A # | 530,000 | 369,675 |
Table of Contents
Par | Value | |||
WPX Energy, Inc. | ||||
8.25%, 08/01/23 | $430,000 | $492,350 | ||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | 14,000 | 14,315 | ||
6.13%, 09/01/23 144A | 490,000 | 508,987 | ||
ZF North America Capital, Inc. | ||||
4.75%, 04/29/25 144A | 550,000 | 568,879 | ||
Total Corporate Bonds (Cost $160,222,059) | 171,903,188 | |||
FOREIGN BONDS — 30.3% | ||||
Argentina — 1.5% | ||||
Argentina Bonar Bonds | ||||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 3.25%), 53.25%, 03/01/20(ZA) † | 11,590,000 | 270,501 | ||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 50.43%, 04/03/22(ZA) † | 32,020,000 | 660,831 | ||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 63.21%, 06/21/20(ZA) † | 5,680,000 | 130,978 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 91,281,000 | 1,505,781 | ||
Argentine Republic Government International Bond | ||||
6.88%, 04/22/21Δ | 310,000 | 272,955 | ||
7.50%, 04/22/26Δ | 850,000 | 719,950 | ||
5.88%, 01/11/28 | 1,300,000 | 992,062 | ||
7.63%, 04/22/46 | 950,000 | 755,488 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 1,810,000 | 1,688,730 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 780,000 | 583,058 | ||
YPF SA | ||||
8.50%, 03/23/21 144A | 980,000 | 1,000,580 | ||
16.50%, 05/09/22(ZA) | 450,000 | 6,621 | ||
8,587,535 | ||||
Armenia — 0.1% | ||||
Republic of Armenia International Bond | ||||
6.00%, 09/30/20 | 520,000 | 536,464 | ||
Austria — 0.1% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A Δ | 370,000 | 405,150 | ||
Brazil — 1.6% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 15,097,000 | 4,143,764 | ||
10.00%, 01/01/27(B) | 927,000 | 276,930 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 5,250,000 | 1,582,615 |
Par | Value | |||
4.63%, 01/13/28 | $1,000,000 | $1,050,750 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ^ | 1,060,000 | 1,078,550 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 420,000 | 441,000 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 285,000 | 343,781 | ||
8,917,390 | ||||
Canada — 1.7% | ||||
1011778 BC ULC | ||||
5.00%, 10/15/25 144A | 30,000 | 30,309 | ||
Bausch Health Cos., Inc. | ||||
6.13%, 04/15/25 144A | 180,000 | 184,270 | ||
5.50%, 11/01/25 144A | 380,000 | 397,575 | ||
9.00%, 12/15/25 144A | 60,000 | 67,263 | ||
7.25%, 05/30/29 144A Δ | 290,000 | 302,325 | ||
Baytex Energy Corporation | ||||
5.13%, 06/01/21 144A | 110,000 | 110,550 | ||
5.63%, 06/01/24 144A | 110,000 | 105,600 | ||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A Δ | 1,200,000 | 1,211,148 | ||
Entertainment One, Ltd. | ||||
4.63%, 07/15/26(U) 144A | 230,000 | 301,073 | ||
First Quantum Minerals, Ltd. | ||||
7.25%, 04/01/23 144A | 300,000 | 293,250 | ||
7.50%, 04/01/25 144A | 850,000 | 812,812 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41Δ | 470,000 | 503,820 | ||
Hudbay Minerals, Inc. | ||||
7.63%, 01/15/25 144A | 1,220,000 | 1,265,750 | ||
MEG Energy Corporation | ||||
6.38%, 01/30/23 144A | 45,000 | 43,031 | ||
7.00%, 03/31/24 144A | 605,000 | 577,775 | ||
6.50%, 01/15/25 144A | 30,000 | 30,263 | ||
Methanex Corporation | ||||
5.25%, 03/01/22 | 75,000 | 78,164 | ||
Province of Ontario Generic Residual STRIP | ||||
2.96%, 07/13/22(C) Ω | 2,600,000 | 1,880,506 | ||
2.90%, 03/08/29(C) Ω | 2,400,000 | 1,476,626 | ||
Teine Energy, Ltd. | ||||
6.88%, 09/30/22 144A | 60,000 | 61,350 | ||
9,733,460 | ||||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A Δ | 220,000 | 228,303 | ||
China — 0.3% | ||||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 310,000 | 328,073 | ||
4.50%, 03/15/23 144A | 260,000 | 269,011 |
Table of Contents
Par | Value | |||
5.50%, 02/15/24 144A | $1,160,000 | $1,251,907 | ||
1,848,991 | ||||
Colombia — 1.3% | ||||
Colombia Government International Bond | ||||
5.63%, 02/26/44 | 4,427,000 | 5,248,762 | ||
Colombian TES | ||||
10.00%, 07/24/24(X) | 23,100,000 | 8,719 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 190,000 | 210,577 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 1,820,000 | 1,851,850 | ||
7,319,908 | ||||
Denmark — 0.2% | ||||
Danske Bank A/S | ||||
(Variable, EUR Swap Rate 6Y + 4.64%), 5.75%, 04/06/20(E) Δ ^ | 800,000 | 932,409 | ||
Egypt — 0.2% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 144A | 1,120,000 | 1,184,150 | ||
France — 0.8% | ||||
3AB Optique Developpement SAS | ||||
4.00%, 10/01/23(E) 144A | 200,000 | 234,745 | ||
Altice France SA | ||||
7.38%, 05/01/26 144A | 1,100,000 | 1,130,250 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A Δ ^ | 300,000 | 320,520 | ||
Burger King France SAS | ||||
(Floating, Euribor 3M + 5.25%), 5.25%, 05/01/23(E) 144A † | 130,000 | 151,750 | ||
6.00%, 05/01/24(E) 144A | 120,000 | 146,464 | ||
Credit Agricole SA | ||||
(Variable, EUR Swap Rate 5Y + 5.12%), 6.50%, 06/23/21(E) ^ | 420,000 | 523,128 | ||
Hercule Debtco S.a.r.l. | ||||
Cash Coupon 6.75% or PIK 7.50%, 6.75%, 06/30/24(E) 144A | 830,000 | 888,760 | ||
Novafives SAS | ||||
5.00%, 06/15/25(E) Δ | 900,000 | 982,664 | ||
4,378,281 | ||||
Germany — 0.4% | ||||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 963,668 | ||
KME SE | ||||
6.75%, 02/01/23(E) 144A | 670,000 | 741,493 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 480,000 | 552,652 | ||
2,257,813 |
Par | Value | |||
Ghana — 0.3% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | $900,000 | $917,160 | ||
10.75%, 10/14/30 144A | 540,000 | 684,385 | ||
1,601,545 | ||||
Greece — 0.0% | ||||
Navios Maritime Acquisition Corporation | ||||
8.13%, 11/15/21 144A | 90,000 | 72,000 | ||
Guatemala — 0.1% | ||||
Guatemala Government Bond | ||||
4.38%, 06/05/27 144A | 760,000 | 760,950 | ||
Honduras — 0.2% | ||||
Honduras Government International Bond | ||||
7.50%, 03/15/24 | 460,000 | 507,730 | ||
6.25%, 01/19/27 144A | 620,000 | 668,831 | ||
1,176,561 | ||||
Indonesia — 1.0% | ||||
Indonesia Government International Bond | ||||
5.88%, 01/15/24 144A | 400,000 | 448,990 | ||
5.25%, 01/17/42 144A | 2,710,000 | 3,093,668 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 30,479,000,000 | 2,111,905 | ||
5,654,563 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
3.50%, 05/26/22 | 300,000 | 305,674 | ||
Ardagh Packaging Finance PLC | ||||
4.63%, 05/15/23 144A | 250,000 | 254,688 | ||
7.25%, 05/15/24 144A | 460,000 | 486,450 | ||
6.00%, 02/15/25 144A Δ | 500,000 | 519,375 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 249,239 | ||
4.42%, 11/15/35 | 569,000 | 564,116 | ||
2,379,542 | ||||
Italy — 1.9% | ||||
Intesa Sanpaolo SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.88%), 7.00%, 01/19/21(E) Δ ^ | 770,000 | 923,742 | ||
Italy Buoni Poliennali Del Tesoro | ||||
2.05%, 08/01/27(E) | 4,000,000 | 4,646,969 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 715,000 | 745,387 | ||
6.00%, 09/30/34 | 200,000 | 205,000 | ||
Telecom Italia Finance SA | ||||
7.75%, 01/24/33(E) Δ | 910,000 | 1,423,109 |
Table of Contents
Par | Value | |||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | $1,800,000 | $1,869,750 | ||
UniCredit SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ^ | 700,000 | 794,414 | ||
10,608,371 | ||||
Ivory Coast — 0.1% | ||||
Ivory Coast Government International Bond | ||||
5.75%, 12/31/32 144A STEP | 705,900 | 687,751 | ||
Jersey — 0.3% | ||||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A | 1,035,000 | 926,325 | ||
LHC3 PLC | ||||
Cash Coupon 4.13% or PIK 4.88%, 4.13%, 08/15/24(E) | 760,000 | 888,465 | ||
1,814,790 | ||||
Kazakhstan — 0.3% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 555,163 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 880,000 | 898,182 | ||
1,453,345 | ||||
Luxembourg — 0.5% | ||||
Altice Luxembourg SA | ||||
7.25%, 05/15/22(E) 144A | 147,976 | 172,901 | ||
7.75%, 05/15/22 144A Δ | 276,000 | 281,175 | ||
ArcelorMittal | ||||
5.50%, 03/01/21Δ | 30,000 | 31,240 | ||
7.00%, 10/15/39 | 510,000 | 606,131 | ||
6.75%, 03/01/41Δ | 690,000 | 805,610 | ||
Eurofins Scientific SE | ||||
(Variable, 7.01% - Euribor 3M), 4.88%, 04/29/23(E) Δ ^ | 780,000 | 929,124 | ||
2,826,181 | ||||
Mexico — 3.8% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ^ | 260,000 | 264,537 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A Δ ^ | 325,000 | 328,900 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 880,000 | 850,080 | ||
Mexican Bonos | ||||
6.50%, 06/09/22(M) | 45,803,100 | 2,327,102 | ||
8.00%, 12/07/23(M) | 41,500,000 | 2,209,946 | ||
10.00%, 12/05/24(M) | 31,500,000 | 1,832,162 | ||
7.50%, 06/03/27(M) | 154,900,000 | 8,062,669 | ||
8.50%, 05/31/29(M) | 2,000,000 | 110,892 |
Par | Value | |||
7.75%, 05/29/31(M) | $3,000,000 | $158,117 | ||
7.75%, 11/13/42(M) | 63,160,000 | 3,266,468 | ||
Mexichem SAB de CV | ||||
5.88%, 09/17/44 144A | 1,530,000 | 1,602,675 | ||
Petroleos Mexicanos | ||||
5.50%, 01/21/21 | 750,000 | 760,125 | ||
21,773,673 | ||||
Morocco & Antilles — 0.2% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 550,000 | 593,488 | ||
4.50%, 10/22/25 144A | 520,000 | 534,160 | ||
1,127,648 | ||||
Netherlands — 3.2% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 750,000 | 1,030,383 | ||
Alcoa Nederland Holding BV | ||||
6.75%, 09/30/24 144A | 380,000 | 403,275 | ||
7.00%, 09/30/26 144A | 250,000 | 268,750 | ||
CBR Fashion Finance BV | ||||
5.13%, 10/01/22(E) | 890,000 | 1,015,662 | ||
Cooperatieve Rabobank UA | ||||
(Variable, EUR Swap Rate 5Y + 4.10%), 4.63%, 12/29/25(E) ^ | 800,000 | 977,542 | ||
5.75%, 12/01/43 | 880,000 | 1,120,197 | ||
EDP Finance BV | ||||
4.90%, 10/01/19 144A | 1,600,000 | 1,608,456 | ||
4.13%, 01/15/20 144A | 540,000 | 543,489 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 250,000 | 278,190 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 580,000 | 609,087 | ||
Maxeda DIY Holding BV | ||||
6.13%, 07/15/22(E) Δ | 840,000 | 951,047 | ||
Myriad International Holdings BV | ||||
4.85%, 07/06/27 144A | 1,670,000 | 1,788,311 | ||
OCI NV | ||||
6.63%, 04/15/23 144A | 840,000 | 877,800 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 3,860,000 | 4,236,543 | ||
6.88%, 01/20/40 | 106,000 | 115,328 | ||
5.63%, 05/20/43Δ | 275,000 | 266,956 | ||
6.90%, 03/19/49 | 250,000 | 266,750 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A Δ | 920,000 | 957,007 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 510,000 | 513,825 | ||
UPCB Finance IV, Ltd. | ||||
5.38%, 01/15/25 144A | 250,000 | 257,578 | ||
Ziggo BV | ||||
5.50%, 01/15/27 144A | 150,000 | 153,332 | ||
18,239,508 |
Table of Contents
Par | Value | |||
Nigeria — 0.3% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | $440,000 | $446,049 | ||
7.63%, 11/28/47 144A | 1,310,000 | 1,309,109 | ||
1,755,158 | ||||
Norway — 0.0% | ||||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 129,000 | 15,831 | ||
Panama — 0.2% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 1,200,000 | 1,267,812 | ||
6.70%, 01/26/36 | 3,000 | 4,095 | ||
1,271,907 | ||||
Peru — 0.6% | ||||
Peruvian Government International Bond | ||||
6.55%, 03/14/37Δ | 890,000 | 1,259,359 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 2,330,000 | 2,441,723 | ||
3,701,082 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
4.00%, 01/15/21 | 200,000 | 204,827 | ||
Poland — 0.4% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28 | 7,490,000 | 2,069,773 | ||
Qatar — 0.0% | ||||
Ooredoo International Finance, Ltd. | ||||
4.75%, 02/16/21 144A Δ | 200,000 | 206,580 | ||
Russia — 1.8% | ||||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 264,781,000 | 4,165,858 | ||
7.05%, 01/19/28(Q) | 385,541,000 | 6,018,857 | ||
10,184,715 | ||||
Singapore — 0.2% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 03/30/20 144A | 1,000,000 | 1,002,547 | ||
South Africa — 0.6% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) | 2,988,000 | 156,371 | ||
6.50%, 02/28/41(S) | 68,700,000 | 3,491,092 | ||
3,647,463 | ||||
Spain — 0.2% | ||||
Telefonica Emisiones SA | ||||
5.13%, 04/27/20 | 75,000 | 76,545 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 710,000 | 828,813 | ||
(Floating, Euribor 3M + 5.25%), 5.25%, 09/15/24(E) 144A † | 260,000 | 298,054 | ||
1,203,412 |
Par | Value | |||
Sri Lanka — 0.2% | ||||
Sri Lanka Government International Bond | ||||
5.88%, 07/25/22Δ | $900,000 | $904,353 | ||
Switzerland — 0.2% | ||||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ^ | 330,000 | 352,699 | ||
UBS Group Funding Switzerland AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ^ | 600,000 | 637,821 | ||
990,520 | ||||
Turkey — 1.6% | ||||
Turk Telekomunikasyon AS | ||||
4.88%, 06/19/24 144A | 2,640,000 | 2,502,482 | ||
Turkey Government Bond | ||||
10.60%, 02/11/26(T) | 17,580,000 | 2,355,942 | ||
Turkey Government International Bond | ||||
7.25%, 12/23/23Δ | 1,840,000 | 1,904,980 | ||
6.00%, 03/25/27 | 2,190,000 | 2,087,050 | ||
4.88%, 04/16/43 | 500,000 | 390,354 | ||
9,240,808 | ||||
Ukraine — 0.4% | ||||
Ukraine Government International Bond | ||||
7.38%, 09/25/32 | 2,500,000 | 2,464,475 | ||
United Arab Emirates — 0.3% | ||||
DP World PLC | ||||
5.63%, 09/25/48 144A | 1,350,000 | 1,500,051 | ||
United Kingdom — 2.8% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 212,025 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 1,660,000 | 1,813,708 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 2.45%), 2.63%, 11/11/25(E) ^ | 300,000 | 345,777 | ||
Garfunkelux Holdco 3 SA | ||||
7.50%, 08/01/22(E) Δ | 340,000 | 357,244 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25^ | 600,000 | 631,329 | ||
Jerrold Finco PLC | ||||
6.13%, 01/15/24(U) 144A | 760,000 | 985,382 | ||
KCA Deutag UK Finance PLC | ||||
7.25%, 05/15/21 144A Δ | 540,000 | 409,050 | ||
Lloyds Bank PLC | ||||
6.50%, 03/24/20(E) | 326,000 | 387,892 | ||
Lloyds Banking Group PLC | ||||
4.34%, 01/09/48 | 1,581,000 | 1,543,524 | ||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) | 740,000 | 951,466 |
Table of Contents
Par | Value | |||
Monitchem Holdco 2 SA | ||||
6.88%, 06/15/22(E) | $730,000 | $836,458 | ||
Pinewood Finance Co., Ltd. | ||||
3.75%, 12/01/23(U) 144A | 780,000 | 1,013,991 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) 144A | 810,000 | 1,091,511 | ||
Rio Tinto Finance USA PLC | ||||
4.13%, 08/21/42Δ | 145,000 | 161,068 | ||
Royal Bank of Scotland Group PLC | ||||
6.10%, 06/10/23 | 1,880,000 | 2,042,318 | ||
6.00%, 12/19/23 | 275,000 | 299,683 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ^ | 390,000 | 527,178 | ||
Southern Gas Networks PLC | ||||
4.88%, 12/21/20(U) | 270,000 | 360,678 | ||
Synlab Bondco PLC | ||||
6.25%, 07/01/22(E) | 270,000 | 312,451 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 576,206 | 935,077 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 407,293 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 200,000 | 207,750 | ||
15,832,853 | ||||
Total Foreign Bonds (Cost $184,678,495) | 172,702,637 | |||
LOAN AGREEMENTS — 0.9% | ||||
Air Medical Group Holdings, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%, 1.00% Floor), 5.64%, 04/28/22† | 291,023 | 274,913 | ||
American Axle & Manufacturing, Inc. Tranche B Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.75% Floor), 4.66%, 04/06/24† | 19,582 | 19,206 | ||
(Floating, ICE LIBOR USD 3M + 2.25%, 0.75% Floor), 4.84%, 04/06/24† | 9,936 | 9,745 | ||
Avolon TLB Borrower 1 (US) LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%, 0.75% Floor), 4.13%, 01/15/25† | 187,810 | 187,830 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 5.41%, 06/02/25† | 325,137 | 325,374 | ||
Berry Global, Inc. Term Q Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.41%, 10/01/22† | 142,322 | 141,529 | ||
CBS Radio, Inc. Additional Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.15%, 11/18/24† | 207,408 | 207,495 |
Par | Value | |||
Charter Communications Operating LLC Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 4.33%, 04/30/25† | $99,218 | $99,218 | ||
Flying Fortress Holdings LLC New Loan | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 4.08%, 10/30/22† | 380,000 | 380,186 | ||
Hilton Worldwide Finance, LLC Series B-2 Term Loan Retired 06/21/2019 | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 4.15%, 10/25/23† | 339,605 | 340,184 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 4.90%, 08/18/22† | 246,276 | 245,214 | ||
Level 3 Financing, Inc. Tranche B 2024 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 4.65%, 02/22/24† | 110,000 | 109,271 | ||
Party City Holdings, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 4.91%, 08/19/22† | 145,084 | 144,385 | ||
Petco Animal Supplies, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%, 1.00% Floor), 5.83%, 01/26/23† | 398,668 | 310,463 | ||
PetSmart, Inc. Amended Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 1.00% Floor), 6.67%, 03/11/22† | 8,223 | 8,026 | ||
Prime Security Services Borrower LLC December 2018 Incremental Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.15%, 05/02/22† | 455,374 | 452,833 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 5.15%, 02/05/23† | 364,035 | 361,858 | ||
TDC A/S Facility B3 | ||||
(Floating, EURIBOR EUR 1M + 2.75%), 2.75%, 06/04/25† | 820,000 | 933,909 | ||
Trans Union LLC 2017 Replacement Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 04/10/23† | 97,124 | 97,081 | ||
Univision Communications, Inc. 2017 Replacement Repriced Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 1.00% Floor), 5.15%, 03/15/24† | 408,812 | 389,937 |
Table of Contents
Par | Value | |||
UPC Financing Partnership Facility AR | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 4.89%, 01/15/26† | $256,456 | $256,392 | ||
Vistra Operations Co. LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 4.40%, 08/04/23† | 17,130 | 17,129 | ||
Total Loan Agreements (Cost $5,472,546) | 5,312,178 | |||
MORTGAGE-BACKED SECURITIES — 1.7% | ||||
Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | ||||
5.37%, 12/15/39 | 92,328 | 62,747 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.87%, 09/15/40 | 92,430 | 70,385 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 7.35%, 07/25/29† | 1,060,000 | 1,200,330 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA2 | ||||
(Floating, ICE LIBOR USD 1M + 5.15%), 7.55%, 10/25/29† | 560,000 | 639,533 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 6.14%, 09/15/31 144A † | 2,220,000 | 2,223,875 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 3.50%, 08/25/36† | 573,609 | 580,568 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.58%, 02/15/51† γ | 3,311 | 3,174 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 10.60%, 06/15/35 144A † | 2,500,000 | 2,492,940 | ||
Lone Star Portfolio Trust, Series 2015-LSMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 7.22%, 7.22% Floor), 9.61%, 09/15/20 144A † | 348,081 | 346,529 | ||
Lone Star Portfolio Trust, Series 2015-LSP, Class F | ||||
(Floating, ICE LIBOR USD 1M + 7.15%, 6.90% Floor), 9.54%, 09/15/28 144A † | 767,900 | 772,446 |
Par | Value | |||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | $610,000 | $613,568 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 800,000 | 772,657 | ||
Total Mortgage-Backed Securities (Cost $9,507,707) | 9,778,752 | |||
MUNICIPAL BOND — 0.0% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $129,296) | 160,000 | 168,627 | ||
U.S. TREASURY OBLIGATIONS — 21.3% | ||||
U.S. Treasury Bills | ||||
2.42%, 08/29/19Ω Δ | 6,075,000 | 6,054,142 | ||
2.23%, 09/12/19Ω Δ | 1,640,000 | 1,633,158 | ||
2.37%, 10/17/19Ω Δ | 3,000,000 | 2,981,619 | ||
2.40%, 10/24/19Ω Δ | 2,100,000 | 2,086,692 | ||
2.34%, 11/29/19Ω Δ | 6,000,000 | 5,948,154 | ||
18,703,765 | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | 860,000 | 1,021,838 | ||
4.25%, 05/15/39 | 40,000 | 52,341 | ||
3.88%, 08/15/40 | 30,000 | 37,479 | ||
2.75%, 08/15/42 | 120,000 | 125,960 | ||
3.13%, 02/15/43 | 9,716,000 | 10,836,945 | ||
2.88%, 05/15/43 | 2,220,000 | 2,375,009 | ||
3.00%, 05/15/45 | 40,000 | 43,752 | ||
3.00%, 11/15/45 | 920,000 | 1,007,041 | ||
2.50%, 05/15/46 | 820,000 | 815,452 | ||
2.25%, 08/15/46 | 960,000 | 907,181 | ||
2.88%, 11/15/46 | 2,120,000 | 2,269,269 | ||
3.00%, 05/15/47 | 80,000 | 87,633 | ||
2.75%, 08/15/47 | 120,000 | 125,264 | ||
3.13%, 05/15/48 | 60,000 | 67,339 | ||
3.00%, 08/15/48Δ | 2,715,000 | 2,978,122 | ||
3.38%, 11/15/48 | 4,040,000 | 4,756,547 | ||
27,507,172 | ||||
U.S. Treasury Notes | ||||
1.25%, 10/31/19 | 110,000 | 109,678 | ||
3.63%, 02/15/21 | 14,549,000 | 14,969,844 | ||
1.88%, 01/31/22 | 710,000 | 712,607 | ||
2.00%, 02/15/22 | 120,000 | 120,870 | ||
1.63%, 08/15/22 | 17,580,000 | 17,528,842 | ||
2.88%, 10/31/23 | 3,550,000 | 3,716,960 | ||
2.75%, 02/15/24 | 6,650,000 | 6,945,353 | ||
2.38%, 02/29/24 | 20,000 | 20,566 | ||
2.25%, 11/15/24 | 20,630,000 | 21,114,723 | ||
2.00%, 02/15/25 | 100,000 | 101,041 | ||
1.63%, 02/15/26 | 8,530,000 | 8,406,882 | ||
1.63%, 05/15/26 | 470,000 | 462,656 |
Table of Contents
Par | Value | |||
2.00%, 11/15/26 | $1,220,000 | $1,229,507 | ||
75,439,529 | ||||
Total U.S. Treasury Obligations (Cost $116,763,106) | 121,650,466 |
Shares | |||
COMMON STOCKS — 1.2% | |||
Communication Services — 0.4% | |||
AT&T, Inc. | 78,546 | 2,632,076 | |
Consumer Discretionary — 0.2% | |||
Ford Motor Co. | 96,849 | 990,765 | |
Energy — 0.0% | |||
Berry Petroleum CorporationΔ | 2,472 | 26,203 | |
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 30,844 | |
Montage Resources CorporationΔ * | 7,129 | 43,487 | |
100,534 | |||
Health Care — 0.2% | |||
Bristol-Myers Squibb Co. | 23,032 | 1,044,501 | |
Information Technology — 0.4% | |||
Corning, Inc. | 70,534 | 2,343,845 | |
Total Common Stocks (Cost $7,819,488) | 7,111,721 | ||
PREFERRED STOCKS — 0.4% | |||
Bank of America Corporation | |||
7.25%, 06/28/19 CONV Δ | 602 | 825,944 | |
Chesapeake Energy Corporation | |||
5.00%, 04/30/19 CONV Δ | 4,225 | 172,169 | |
5.75%, 04/30/19 CONV | 810 | 387,240 | |
5.75%, 04/30/19 144A CONV | 50 | 23,652 | |
4.50%, 05/30/19 CONV Δ | 1,229 | 65,321 | |
El Paso Energy Capital Trust I | |||
4.75%, 06/27/19 CONV | 11,315 | 599,695 | |
iStar, Inc. REIT | |||
4.50%, 05/31/19 CONV | 50 | 2,582 | |
Total Preferred Stocks (Cost $1,912,515) | 2,076,603 | ||
MONEY MARKET FUNDS — 10.2% | |||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø ∞ | 43,204,426 | 43,204,426 | |
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%Ø § | 15,139,634 | 15,139,634 | |
Total Money Market Funds (Cost $58,344,060) | 58,344,060 | ||
TOTAL INVESTMENTS — 98.6% (Cost $558,248,546) | 562,956,790 | ||
Other Assets in Excess of Liabilities — 1.4% | 7,911,304 | ||
NET ASSETS — 100.0% | $570,868,094 |
% | ||
Foreign Bonds | 30.3 | |
Corporate Bonds | 30.1 | |
U.S. Treasury Obligations | 21.3 | |
Money Market Funds | 10.2 | |
Mortgage-Backed Securities | 1.7 | |
Agency Obligation | 1.3 | |
Loan Agreements | 0.9 | |
Asset-Backed Securities | 0.9 | |
Communication Services | 0.4 | |
Information Technology | 0.4 | |
Commercial Paper | 0.3 | |
Energy | 0.2 | |
Health Care | 0.2 | |
Consumer Discretionary | 0.2 | |
Financials | 0.2 | |
Municipal Bond | — | ** |
Real Estate | — | ** |
98.6 | ||
**Rounds to less than 0.05% |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 09/2019 | (91) | $(17,874,462) | $(190,294) | ||||
2-Year U.S. Treasury Note | 09/2019 | 3 | 645,539 | 4,352 | ||||
30-Year Euro Buxl | 09/2019 | (3) | (692,153) | (20,696) | ||||
5-Year U.S. Treasury Note | 09/2019 | (166) | (19,613,937) | (265,842) | ||||
Total Futures Contracts outstanding at June 30, 2019 | $(37,535,013) | $(472,480) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/17/19 | Japanese Yen | 5,095,425 | U.S. Dollars | 46,303,541 | CITI | $1,021,564 | ||||||
07/17/19 | Euro | 25,067,940 | U.S. Dollars | 28,413,958 | BAR | 132,278 | ||||||
07/17/19 | U.S. Dollars | 3,672,749 | British Pounds | 2,793,751 | BAR | 121,690 | ||||||
07/17/19 | Indian Rupees | 271,487,535 | U.S. Dollars | 3,850,232 | BAR | 75,770 | ||||||
07/17/19 | Indonesian Rupiahs | 26,810,100,000 | U.S. Dollars | 1,855,113 | CITI | 38,940 | ||||||
07/17/19 | Argentine Pesos | 30,090,000 | U.S. Dollars | 653,846 | CITI | 35,676 | ||||||
07/17/19 | Turkish Lira | 4,332,800 | U.S. Dollars | 715,574 | CITI | 25,516 | ||||||
10/17/19 | Indian Rupees | 271,487,535 | U.S. Dollars | 3,862,667 | BAR | 17,927 | ||||||
07/17/19 | Euro | 1,150,000 | U.S. Dollars | 1,298,407 | CITI | 11,160 | ||||||
07/17/19 | U.S. Dollars | 356,328 | Australian Dollars | 500,000 | CITI | 5,085 | ||||||
10/17/19 | Indonesian Rupiahs | 26,810,100,000 | U.S. Dollars | 1,866,869 | BAR | 4,316 | ||||||
07/17/19 | Brazilian Reals | 941,000 | U.S. Dollars | 241,181 | CITI | 3,480 | ||||||
07/17/19 | Brazilian Reals | 370,000 | U.S. Dollars | 93,787 | BAR | 2,413 | ||||||
07/17/19 | British Pounds | 1,500,000 | U.S. Dollars | 1,905,456 | BAR | 1,152 | ||||||
07/17/19 | Polish Zloty | 120,000 | U.S. Dollars | 31,405 | BAR | 750 | ||||||
Subtotal Appreciation | $1,497,717 | |||||||||||
07/17/19 | U.S. Dollars | 1,889,765 | Indonesian Rupiahs | 26,810,100,000 | BAR | (4,288) | ||||||
07/17/19 | U.S. Dollars | 3,909,896 | Indian Rupees | 271,487,535 | BAR | (16,106) | ||||||
07/17/19 | U.S. Dollars | 1,002,070 | South African Rand | 14,380,000 | CITI | (16,666) | ||||||
07/17/19 | U.S. Dollars | 2,875,711 | Mexican Pesos | 56,074,921 | CITI | (37,472) | ||||||
07/17/19 | U.S. Dollars | 3,942,544 | Euro | 3,500,000 | CITI | (43,098) | ||||||
07/17/19 | U.S. Dollars | 968,487 | Russian Rubles | 64,370,000 | BAR | (47,268) | ||||||
Subtotal Depreciation | $(164,898) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $1,332,819 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligation | $7,240,240 | $— | $7,240,240 | $— | |||
Asset-Backed Securities | 5,055,365 | — | 5,055,365 | — | |||
Commercial Paper | 1,612,953 | — | 1,612,953 | — | |||
Common Stocks: | |||||||
Energy | 100,534 | 69,690 | — | 30,844 | |||
Other^^ | 7,011,187 | 7,011,187 | — | — | |||
Total Common Stocks | 7,111,721 | 7,080,877 | — | 30,844 | |||
Corporate Bonds | 171,903,188 | — | 171,903,188 | —** | |||
Foreign Bonds | 172,702,637 | — | 172,702,637 | — | |||
Loan Agreements | 5,312,178 | — | 5,312,178 | — | |||
Money Market Funds | 58,344,060 | 58,344,060 | — | — | |||
Mortgage-Backed Securities | 9,778,752 | — | 9,778,752 | — | |||
Municipal Bond | 168,627 | — | 168,627 | — | |||
Preferred Stocks: | |||||||
Energy | 1,248,077 | 665,016 | 583,061 | — | |||
Financials | 825,944 | 825,944 | — | — | |||
Real Estate | 2,582 | — | 2,582 | — | |||
Total Preferred Stocks | 2,076,603 | 1,490,960 | 585,643 | — | |||
U.S. Treasury Obligations | 121,650,466 | — | 121,650,466 | — | |||
Total Assets - Investments in Securities | $562,956,790 | $66,915,897 | $496,010,049 | $30,844 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,497,717 | $— | $1,497,717 | $— | |||
Futures Contracts | 4,352 | 4,352 | — | — | |||
Total Assets - Other Financial Instruments | $1,502,069 | $4,352 | $1,497,717 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(164,898) | $— | $(164,898) | $— | |||
Futures Contracts | (476,832) | (476,832) | — | — | |||
Total Liabilities - Other Financial Instruments | $(641,730) | $(476,832) | $(164,898) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $927,274,295 | $1,105,185,722 | |
Investments in repurchase agreements, at value | 486,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 26,318,621 | |
Total investments, at value(1), (2) | 1,413,274,295 | 1,131,504,343 | |
Cash collateral for derivatives | — | 2,344,364 | |
Deposits with broker for futures contracts | — | 1,361,663 | |
Foreign currency(3) | — | 839,860 | |
Upfront premiums paid from swap agreements | — | 440,393 | |
Receivables: | |||
Dividends and reclaims | — | 57,249 | |
Interest | 750,145 | 5,714,352 | |
Securities lending | — | 4,055 | |
Investment securities sold | — | 32,816,186 | |
Fund shares sold | 26,922,490 | 168,643 | |
Variation margin on centrally cleared swaps | — | — | |
Unrealized appreciation on foreign currency exchange contracts | — | 31,296 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 59,600 | 24,587 | |
Total Assets | 1,441,006,530 | 1,175,306,991 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 74,642 | |
Upfront premiums received from swap agreements | — | 1,373,476 | |
Unrealized depreciation on foreign currency exchange contracts | — | 466,666 | |
Unrealized depreciation on swap agreements | — | 13,531 | |
Collateral held for securities on loan, at value | — | 8,610,075 | |
Collateral held for derivatives | — | 10,207 | |
Payables: | |||
Investment securities purchased | — | 196,511,692 | |
Fund shares redeemed | 44,865,835 | 310,202 | |
Variation margin on centrally cleared swaps | — | 458,083 | |
Variation margin on futures contracts | — | 2,446 | |
Distributions | 1,416,087 | — | |
Accrued expenses: | |||
Investment advisory fees | 127,935 | 233,043 | |
Shareholder servicing fees | 79,952 | 49,445 | |
Other expenses | 160,892 | 181,763 | |
Total Liabilities | 46,650,701 | 208,295,271 | |
Net Assets | $1,394,355,829 | $967,011,720 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,394,345,510 | $972,813,011 | |
Distributable earnings (loss) | 10,319 | (5,801,291) | |
Net Assets | $1,394,355,829 | $967,011,720 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,004,601,457 | $725,986,446 | |
Institutional shares outstanding | 1,004,598,444 | 54,158,956 | |
Net asset value, offering and redemption price per Institutional share | $1.00 | $13.40 | |
Net assets applicable to the Investor Class | $389,754,372 | $241,025,274 | |
Investor shares outstanding | 389,712,629 | 17,974,514 | |
Net asset value, offering and redemption price per Investor share | $1.00 | $13.41 | |
(1)Investments in securities of unaffiliated issuers, at cost | $927,274,295 | $1,098,368,103 | |
Investments in repurchase agreements, at cost | 486,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 26,318,621 | |
Total investments, at cost | $1,413,274,295 | $1,124,686,724 | |
(2)Includes securities loaned of: | $— | $74,719,312 | |
(3)Foreign currency, at cost | $— | $839,810 | |
(4)TBA sale commitments, at cost | $— | $— | |
(5)Premiums received on options written | $— | $147,006 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$1,761,627,521 | $238,436,607 | $519,752,364 | ||
— | — | — | ||
120,612,867 | 11,538,731 | 43,204,426 | ||
1,882,240,388 | 249,975,338 | 562,956,790 | ||
23,957,403 | — | 114,073 | ||
5,156,832 | — | 355,542 | ||
3,183,122 | — | 4,600,006 | ||
10,595,746 | — | — | ||
300,877 | 18,295 | 104,872 | ||
9,473,062 | 1,923,153 | 6,020,895 | ||
7,953 | 1,690 | 15,271 | ||
318,603,424 | 40,695 | 11,978,602 | ||
142,550 | 112,833 | 272,460 | ||
3,529 | — | — | ||
1,616,263 | — | 1,497,717 | ||
1,219,214 | — | — | ||
43,373 | 17,837 | 23,811 | ||
2,256,543,736 | 252,089,841 | 587,940,039 | ||
1,330,022 | — | 70,210 | ||
31,715,580 | — | — | ||
1,018,633 | — | — | ||
2,374,162 | — | — | ||
1,643,104 | — | 164,898 | ||
364,616 | — | — | ||
7,958,238 | 1,643,820 | 15,139,634 | ||
25,620,675 | — | — | ||
521,528,467 | 2,644,385 | 1,338,890 | ||
8,856 | 1,200 | 9,876 | ||
— | — | — | ||
192,076 | — | 11,920 | ||
— | — | — | ||
434,541 | 92,404 | 219,651 | ||
58,051 | 25,683 | 21,400 | ||
319,715 | 58,793 | 95,466 | ||
594,566,736 | 4,466,285 | 17,071,945 | ||
$1,661,977,000 | $247,623,556 | $570,868,094 | ||
$1,628,526,458 | $232,885,256 | $566,883,420 | ||
33,450,542 | 14,738,300 | 3,984,674 | ||
$1,661,977,000 | $247,623,556 | $570,868,094 | ||
$1,376,535,075 | $119,993,813 | $464,329,557 | ||
91,568,112 | 6,639,656 | 46,396,409 | ||
$15.03 | $18.07 | $10.01 | ||
$285,441,925 | $127,629,743 | $106,538,537 | ||
18,984,174 | 7,060,651 | 10,655,421 | ||
$15.04 | $18.08 | $10.00 | ||
$1,721,231,420 | $224,679,354 | $515,044,120 | ||
— | — | — | ||
120,612,867 | 11,538,731 | 43,204,426 | ||
$1,841,844,287 | $236,218,085 | $558,248,546 | ||
$52,424,830 | $22,698,663 | $47,357,646 | ||
$3,209,917 | $— | $4,606,801 | ||
$31,667,555 | $— | $— | ||
$1,818,479 | $— | $— |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $— | $— | |
Income distributions received from affiliated funds | — | 357,231 | |
Interest | 16,409,114 | 13,231,600 | |
Securities lending, net | — | 32,284 | |
Less foreign taxes withheld | — | (4,221) | |
Total Investment Income | 16,409,114 | 13,616,894 | |
Expenses | |||
Investment advisory fees | 734,027 | 1,385,221 | |
Transfer agent fees: | |||
Institutional shares | 2,177 | 2,331 | |
Investor shares | 17,074 | 10,139 | |
Custodian fees | 25,207 | 67,351 | |
Shareholder servicing fees: | |||
Investor shares | 488,020 | 332,834 | |
Accounting and administration fees | 128,304 | 96,492 | |
Professional fees | 26,217 | 36,075 | |
Blue sky fees: | |||
Institutional shares | 8,077 | 9,010 | |
Investor shares | 16,027 | 10,072 | |
Shareholder reporting fees: | |||
Institutional shares | 447 | 533 | |
Investor shares | 10,100 | 2,402 | |
Trustees expenses | 5,638 | 2,936 | |
Line of credit facility fees and interest expense | 2,651 | 341 | |
Other expenses | 5,807 | 15,580 | |
Total Expenses | 1,469,773 | 1,971,317 | |
Net Investment Income | 14,939,341 | 11,645,577 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 4,775 | 4,437,512 | |
Investment securities sold short | — | (205,006) | |
Futures transactions | — | (1,694,230) | |
Swap agreements | — | 743,972 | |
Option contracts written | — | 65,227 | |
Option contracts purchased | — | 29,409 | |
Forward foreign currency contracts | — | 687,433 | |
Foreign currency | — | 46,107 | |
Net realized gain (loss) | 4,775 | 4,110,424 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 11,868,733 | |
Investment securities sold short | — | 37,263 | |
Futures | — | 201,914 | |
Swap agreements | — | (2,727,474) | |
Option contracts written | — | 428,452 | |
Option contracts purchased | — | (470,485) | |
Forward foreign currency contracts | — | (314,379) | |
Foreign currency | — | 19,337 | |
Net change in unrealized appreciation (depreciation) | — | 9,043,361 | |
Net Realized and Unrealized Gain | 4,775 | 13,153,785 | |
Net Increase in Net Assets Resulting from Operations | $14,944,116 | $24,799,362 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$— | $10,360 | $229,494 | ||
1,140,290 | 81,229 | 434,526 | ||
26,272,693 | 4,129,533 | 13,138,112 | ||
47,709 | 9,004 | 93,451 | ||
(6,170) | (7,552) | (40,969) | ||
27,454,522 | 4,222,574 | 13,854,614 | ||
2,515,307 | 538,032 | 1,285,063 | ||
2,375 | 2,057 | 2,242 | ||
11,216 | 9,233 | 8,546 | ||
233,014 | 12,209 | 49,906 | ||
342,571 | 144,664 | 133,864 | ||
163,247 | 23,800 | 56,319 | ||
36,678 | 33,801 | 35,855 | ||
9,574 | 7,913 | 7,594 | ||
10,867 | 8,932 | 8,333 | ||
743 | 249 | 571 | ||
3,220 | 3,885 | 2,182 | ||
3,710 | 1,808 | 1,819 | ||
7,348 | 1,364 | 366 | ||
22,982 | 10,839 | 11,739 | ||
3,362,852 | 798,786 | 1,604,399 | ||
24,091,670 | 3,423,788 | 12,250,215 | ||
11,159,894 | 1,034,219 | (269,616) | ||
(418,313) | — | — | ||
13,745,176 | — | (961,067) | ||
1,135,432 | — | — | ||
(177,905) | — | — | ||
642,260 | — | (125,355) | ||
(582,451) | — | (699,175) | ||
216,904 | 948 | (887,056) | ||
25,720,997 | 1,035,167 | (2,942,269) | ||
60,822,409 | 16,500,754 | 36,364,548 | ||
119,756 | — | — | ||
2,946,666 | — | (654,544) | ||
(10,428,906) | — | — | ||
2,874,644 | — | — | ||
(2,212,787) | — | — | ||
1,109,724 | — | 243,854 | ||
4,191 | 490 | 44,028 | ||
55,235,697 | 16,501,244 | 35,997,886 | ||
80,956,694 | 17,536,411 | 33,055,617 | ||
$105,048,364 | $20,960,199 | $45,305,832 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/19 | 12/31/18 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $14,939,341 | $18,097,193 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 4,775 | 3,419 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 14,944,116 | 18,100,612 | |
Distributions to Shareholders: | |||
Institutional shares | (10,942,137) | (5,076,945) | |
Investor shares | (3,997,204) | (13,020,248) | |
Total distributions | (14,939,341) | (18,097,193) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 2,383,527,318 | 1,748,822,489 | |
Investor shares | 167,729,295 | 4,746,224,687 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 2,392,929 | 2,208,188 | |
Investor shares | 3,978,867 | 5,445,866 | |
Total proceeds from shares sold and reinvested | 2,557,628,409 | 6,502,701,230 | |
Value of shares redeemed | |||
Institutional shares | (2,222,854,207) | (1,178,447,349) | |
Investor shares | (190,186,533) | (5,238,005,117) | |
Total value of shares redeemed | (2,413,040,740) | (6,416,452,466) | |
Net increase from capital share transactions(1) | 144,587,669 | 86,248,764 | |
Total increase in net assets | 144,592,444 | 86,252,183 | |
Net Assets: | |||
Beginning of Period | 1,249,763,385 | 1,163,511,202 | |
End of Period | $1,394,355,829 | $1,249,763,385 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Low-Duration Bond Fund | Medium-Duration Bond Fund | |||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | |||
(Unaudited) | (Unaudited) | |||||
$11,645,577 | $20,568,605 | $24,091,670 | $41,137,326 | |||
4,110,424 | (4,046,761) | 25,720,997 | (22,983,840) | |||
9,043,361 | (4,789,726) | 55,235,697 | (25,818,861) | |||
24,799,362 | 11,732,118 | 105,048,364 | (7,665,375) | |||
(8,168,235) | (15,019,892) | (18,871,149) | (34,879,820) | |||
(2,745,805) | (6,577,258) | (3,614,729) | (6,688,627) | |||
(10,914,040) | (21,597,150) | (22,485,878) | (41,568,447) | |||
121,061,853 | 99,252,756 | 90,873,785 | 245,602,344 | |||
18,320,974 | 34,391,035 | 28,378,288 | 47,923,137 | |||
8,083,888 | 14,827,815 | 18,810,186 | 34,717,112 | |||
2,744,013 | 6,574,660 | 3,510,582 | 6,583,119 | |||
150,210,728 | 155,046,266 | 141,572,841 | 334,825,712 | |||
(15,910,965) | (96,844,338) | (42,321,776) | (137,487,888) | |||
(89,616,279) | (42,427,351) | (30,911,346) | (44,988,883) | |||
(105,527,244) | (139,271,689) | (73,233,122) | (182,476,771) | |||
44,683,484 | 15,774,577 | 68,339,719 | 152,348,941 | |||
58,568,806 | 5,909,545 | 150,902,205 | 103,115,119 | |||
908,442,914 | 902,533,369 | 1,511,074,795 | 1,407,959,676 | |||
$967,011,720 | $908,442,914 | $1,661,977,000 | $1,511,074,795 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Extended-Duration Bond Fund | Global Bond Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $3,423,788 | $7,040,440 | $12,250,215 | $24,114,261 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 1,035,167 | (437,384) | (2,942,269) | (6,067,877) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 16,501,244 | (14,553,984) | 35,997,886 | (43,656,161) | |||
Net increase (decrease) in net assets resulting from operations | 20,960,199 | (7,950,928) | 45,305,832 | (25,609,777) | |||
Distributions to Shareholders: | |||||||
Institutional shares | (1,563,253) | (4,610,373) | (5,367,883) | (13,546,563) | |||
Investor shares | (1,452,921) | (4,032,031) | (1,138,745) | (3,687,399) | |||
Total distributions | (3,016,174) | (8,642,404) | (6,506,628) | (17,233,962) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 6,963,176 | 7,774,517 | 43,341,687 | 73,567,800 | |||
Investor shares | 19,374,622 | 13,477,007 | 14,272,571 | 24,463,013 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 1,562,538 | 4,584,780 | 5,366,285 | 13,429,011 | |||
Investor shares | 1,447,753 | 4,024,823 | 1,133,818 | 3,675,912 | |||
Total proceeds from shares sold and reinvested | 29,348,089 | 29,861,127 | 64,114,361 | 115,135,736 | |||
Value of shares redeemed | |||||||
Institutional shares | (5,586,036) | (18,238,669) | (24,652,207) | (49,971,832) | |||
Investor shares | (14,499,453) | (22,210,332) | (31,068,697) | (27,176,135) | |||
Total value of shares redeemed | (20,085,489) | (40,449,001) | (55,720,904) | (77,147,967) | |||
Net increase (decrease) from capital share transactions(1) | 9,262,600 | (10,587,874) | 8,393,457 | 37,987,769 | |||
Total increase (decrease) in net assets | 27,206,625 | (27,181,206) | 47,192,661 | (4,855,970) | |||
Net Assets: | |||||||
Beginning of Period | 220,416,931 | 247,598,137 | 523,675,433 | 528,531,403 | |||
End of Period | $247,623,556 | $220,416,931 | $570,868,094 | $523,675,433 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $1.00 | $0.01 | $—† | $0.01 | $(0.01) | $— | $(0.01) | $1.00 | 1.15% | $1,004,602 | 0.14% | 0.14% | 2.32% | N/A |
2018 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.74 | 841,532 | 0.15 | 0.15 | 1.74 | N/A |
2017 | 1.00 | 0.01 | —† | — | (0.01) | —† | — | 1.00 | 0.76 | 268,948 | 0.17 | 0.17 | 0.77 | N/A |
2016 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.28 | 251,639 | 0.17 | 0.18 | 0.27 | N/A |
2015 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.08 | 245,882 | 0.17 | 0.18 | 0.08 | N/A |
2014 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.02 | 121,624 | 0.18 | 0.19 | 0.01 | N/A |
Investor Class | ||||||||||||||
2019(3) | $1.00 | $0.01 | $—† | $0.01 | $(0.01) | $— | $(0.01) | $1.00 | 1.02% | $389,754 | 0.41% | 0.41% | 2.05% | N/A |
2018 | 1.00 | 0.01 | —† | 0.01 | (0.01) | — | (0.01) | 1.00 | 1.48 | 408,231 | 0.40 | 0.40 | 1.47 | N/A |
2017 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 0.51 | 894,563 | 0.42 | 0.42 | 0.52 | N/A |
2016 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.04 | 950,663 | 0.41 | 0.42 | 0.03 | N/A |
2015 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.02 | 1,041,421 | 0.24 | 0.43 | 0.01 | N/A |
2014 | 1.00 | —† | —† | — | —† | —† | — | 1.00 | 0.02 | 1,163,495 | 0.19 | 0.44 | 0.01 | N/A |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $13.21 | $0.17 | $0.18 | $0.35 | $(0.16) | $— | $(0.16) | $13.40 | 2.66% | $725,987 | 0.35% | 0.35% | 2.59% | 291% |
2018 | 13.35 | 0.30 | (0.12) | 0.18 | (0.32) | — | (0.32) | 13.21 | 1.36 | 602,968 | 0.35 | 0.35 | 2.30 | 513 |
2017 | 13.34 | 0.21 | 0.01 | 0.22 | (0.21) | — | (0.21) | 13.35 | 1.69 | 592,325 | 0.35 | 0.36 | 1.60 | 102 |
2016 | 13.30 | 0.19 | 0.05 (4) | 0.24 | (0.20) | — | (0.20) | 13.34 | 1.74 | 585,590 | 0.37 | 0.38 | 1.46 | 398 |
2015 | 13.41 | 0.21 | (0.10) (4) | 0.11 | (0.22) | — | (0.22) | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
2014 | 13.57 | 0.14 | 0.02 (4) | 0.16 | (0.30) | (0.02) | (0.32) | 13.41 | 1.16 | 141,461 | 0.36 | 0.42 | 1.06 | 529 |
Investor Class | ||||||||||||||
2019(3) | $13.21 | $0.15 | $0.19 | $0.34 | $(0.14) | $— | $(0.14) | $13.41 | 2.60% | $241,025 | 0.61% | 0.61% | 2.31% | 291% |
2018 | 13.35 | 0.27 | (0.13) | 0.14 | (0.28) | — | (0.28) | 13.21 | 1.10 | 305,475 | 0.61 | 0.61 | 2.03 | 513 |
2017 | 13.34 | 0.18 | 0.01 | 0.19 | (0.18) | — | (0.18) | 13.35 | 1.42 | 310,208 | 0.62 | 0.63 | 1.33 | 102 |
2016 | 13.27 | 0.16 | 0.03 (4) | 0.19 | (0.12) | — | (0.12) | 13.34 | 1.47 | 280,701 | 0.64 | 0.65 | 1.18 | 398 |
2015 | 13.31 | 0.16 | (0.09) (4) | 0.07 | (0.11) | — | (0.11) | 13.27 | 0.49 | 242,325 | 0.60 | 0.65 | 1.17 | 746 |
2014 | 13.35 | 0.11 | 0.02 (4) | 0.13 | (0.16) | (0.01) | (0.17) | 13.31 | 0.97 | 704,878 | 0.57 | 0.66 | 0.85 | 529 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $14.28 | $0.23 | $0.73 | $0.96 | $(0.21) | $— | $(0.21) | $15.03 | 6.78% | $1,376,535 | 0.38% | 0.38% | 3.11% | 212% |
2018 | 14.75 | 0.40 | (0.47) | (0.07) | (0.40) | — | (0.40) | 14.28 | (0.46) | 1,240,967 | 0.37 | 0.38 | 2.76 | 431 |
2017 | 14.46 | 0.34 | 0.26 | 0.60 | (0.31) | — | (0.31) | 14.75 | 4.13 | 1,138,597 | 0.39 | 0.40 | 2.32 | 387 |
2016 | 14.44 | 0.37 | 0.08 (4) | 0.45 | (0.39) | (0.04) | (0.43) | 14.46 | 3.21 | 815,430 | 0.45 | 0.46 | 2.50 | 337 |
2015 | 15.18 | 0.37 | (0.35) (4) | 0.02 | (0.54) | (0.22) | (0.76) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
2014 | 15.01 | 0.33 | 0.56 (4) | 0.89 | (0.63) | (0.09) | (0.72) | 15.18 | 6.03 | 239,389 | 0.48 | 0.52 | 2.14 | 408 |
Investor Class | ||||||||||||||
2019(3) | $14.28 | $0.21 | $0.74 | $0.95 | $(0.19) | $— | $(0.19) | $15.04 | 6.71% | $285,442 | 0.65% | 0.65% | 2.85% | 212% |
2018 | 14.75 | 0.36 | (0.47) | (0.11) | (0.36) | — | (0.36) | 14.28 | (0.72) | 270,107 | 0.64 | 0.65 | 2.49 | 431 |
2017 | 14.46 | 0.30 | 0.26 | 0.56 | (0.27) | — | (0.27) | 14.75 | 3.93 | 269,362 | 0.66 | 0.67 | 2.05 | 387 |
2016 | 14.31 | 0.33 | 0.08 (4) | 0.41 | (0.22) | (0.04) | (0.26) | 14.46 | 2.88 | 215,783 | 0.72 | 0.73 | 2.24 | 337 |
2015 | 14.65 | 0.28 | (0.31)(4) | (0.03) | (0.21) | (0.10) | (0.31) | 14.31 | (0.22) | 187,863 | 0.66 | 0.75 | 1.92 | 346 |
2014 | 14.14 | 0.29 | 0.53 (4) | 0.82 | (0.27) | (0.04) | (0.31) | 14.65 | 5.82 | 669,537 | 0.63 | 0.77 | 1.98 | 408 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
Extended-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $16.73 | $0.27 | $1.31 | $1.58 | $(0.24) | $— | $(0.24) | $18.07 | 9.50% | $119,994 | 0.56% | 0.56% | 3.13% | 10% |
2018 | 17.94 | 0.54 | (1.09) | (0.55) | (0.53) | (0.13) | (0.66) | 16.73 | (3.07) | 108,206 | 0.55 | 0.56 | 3.16 | 45 |
2017 | 16.90 | 0.59 | 1.13 | 1.72 | (0.56) | (0.12) | (0.68) | 17.94 | 10.38 | 122,526 | 0.57 | 0.58 | 3.37 | 93 |
2016 | 17.37 | 0.70 | 0.63 (4) | 1.33 | (0.98) | (0.82) | (1.80) | 16.90 | 7.65 | 115,558 | 0.56 | 0.57 | 3.81 | 50 |
2015 | 21.26 | 0.78 | (1.74) (4) | (0.96) | (1.42) | (1.51) | (2.93) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
2014 | 21.85 | 0.96 | 2.70 (4) | 3.66 | (2.42) | (1.83) | (4.25) | 21.26 | 17.47 | 56,216 | 0.56 | 0.57 | 4.19 | 48 |
Investor Class | ||||||||||||||
2019(3) | $16.74 | $0.25 | $1.31 | $1.56 | $(0.22) | $— | $(0.22) | $18.08 | 9.35% | $127,630 | 0.83% | 0.83% | 2.86% | 10% |
2018 | 17.95 | 0.49 | (1.09) | (0.60) | (0.48) | (0.13) | (0.61) | 16.74 | (3.34) | 112,211 | 0.82 | 0.83 | 2.89 | 45 |
2017 | 16.90 | 0.54 | 1.15 | 1.69 | (0.52) | (0.12) | (0.64) | 17.95 | 10.13 | 125,072 | 0.85 | 0.85 | 3.09 | 93 |
2016 | 16.76 | 0.64 | 0.56 (4) | 1.20 | (0.34) | (0.72) | (1.06) | 16.90 | 7.23 | 119,443 | 0.84 | 0.85 | 3.51 | 50 |
2015 | 18.30 | 0.66 | (1.60) (4) | (0.94) | (0.27) | (0.33) | (0.60) | 16.76 | (5.30) | 106,918 | 0.82 | 0.85 | 3.65 | 42 |
2014 | 16.39 | 0.71 | 2.10 (4) | 2.81 | (0.50) | (0.40) | (0.90) | 18.30 | 17.32 | 245,417 | 0.75 | 0.83 | 3.99 | 48 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $9.32 | $0.22 | $0.59 | $0.81 | $(0.12) | $— | $(0.12) | $10.01 | 8.70% | $464,330 | 0.54% | 0.54% | 4.57% | 12% |
2018 | 10.08 | 0.43 | (0.88) | (0.45) | (0.31) | — | (0.31) | 9.32 | (4.51) | 409,257 | 0.53 | 0.55 | 4.50 | 23 |
2017 | 9.68 | 0.42 | 0.35 | 0.77 | (0.37) | — | (0.37) | 10.08 | 8.09 | 405,411 | 0.56 | 0.58 | 4.18 | 31 |
2016 | 9.08 | 0.45 | 0.56 (4) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
2015(5) | 10.09 | 0.27 | (1.02) (4) | (0.75) | (0.26) | — | (0.26) | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
Investor Class | ||||||||||||||
2019(3) | $9.31 | $0.21 | $0.59 | $0.80 | $(0.11) | $— | $(0.11) | $10.00 | 8.59% | $106,539 | 0.82% | 0.82% | 4.32% | 12% |
2018 | 10.07 | 0.41 | (0.88) | (0.47) | (0.29) | — | (0.29) | 9.31 | (4.73) | 114,418 | 0.80 | 0.82 | 4.22 | 23 |
2017 | 9.68 | 0.39 | 0.35 | 0.74 | (0.35) | — | (0.35) | 10.07 | 7.69 | 123,120 | 0.83 | 0.85 | 3.89 | 31 |
2016 | 9.08 | 0.42 | 0.56 (4) | 0.98 | (0.38) | — | (0.38) | 9.68 | 10.91 | 89,412 | 0.88 | 0.89 | 4.42 | 28 |
2015 | 10.03 | 0.33 | (0.92) (4) | (0.59) | (0.36) | — | (0.36) | 9.08 | (6.00) | 78,636 | 0.82 | 0.84 | 3.35 | 30 |
2014 | 10.09 | 0.37 | (0.07) (4) | 0.30 | (0.36) | — | (0.36) | 10.03 | 2.90 | 401,321 | 0.79 | 0.82 | 3.64 | 57 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(5) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 39.4% | ||||
Communication Services — 1.9% | ||||
Activision Blizzard, Inc. | 1,269 | $59,896 | ||
Alphabet, Inc. Class A* | 3,067 | 3,320,948 | ||
Alphabet, Inc. Class C* | 548 | 592,339 | ||
AT&T, Inc. | 19,786 | 663,029 | ||
Cable One, Inc. | 120 | 140,519 | ||
CBS Corporation Class B (Non-Voting Shares) | 817 | 40,768 | ||
CenturyLink, Inc. | 1,295 | 15,229 | ||
Charter Communications, Inc. Class A* | 343 | 135,547 | ||
Comcast Corporation Class A | 7,920 | 334,858 | ||
Discovery, Inc. Class A* | 454 | 13,938 | ||
Discovery, Inc. Class C* | 631 | 17,952 | ||
Electronic Arts, Inc.* | 559 | 56,604 | ||
Facebook, Inc. Class A* | 14,426 | 2,784,218 | ||
Fox Corporation Class A | 725 | 26,564 | ||
Fox Corporation Class B | 255 | 9,315 | ||
Interpublic Group of Cos., Inc. (The) | 849 | 19,179 | ||
Netflix, Inc.* | 2,733 | 1,003,885 | ||
News Corporation Class A | 567 | 7,649 | ||
Omnicom Group, Inc. | 506 | 41,467 | ||
Take-Two Interactive Software, Inc.* | 196 | 22,252 | ||
T-Mobile US, Inc.* | 3,631 | 269,202 | ||
Twitter, Inc.* | 1,378 | 48,092 | ||
Verizon Communications, Inc. | 167,087 | 9,545,680 | ||
Walt Disney (The) Co. | 19,954 | 2,786,376 | ||
21,955,506 | ||||
Consumer Discretionary — 2.4% | ||||
Advance Auto Parts, Inc. | 122 | 18,805 | ||
Amazon.com, Inc.* | 1,349 | 2,554,507 | ||
AutoZone, Inc.* | 38 | 41,780 | ||
Best Buy Co., Inc. | 458 | 31,936 | ||
Booking Holdings, Inc.* | 604 | 1,132,325 | ||
BorgWarner, Inc. | 232 | 9,739 | ||
CarMax, Inc.* | 253 | 21,968 | ||
Carnival Corporation | 46,456 | 2,162,527 | ||
Chipotle Mexican Grill, Inc.* | 46 | 33,712 | ||
D.R. Horton, Inc. | 870 | 37,523 | ||
Darden Restaurants, Inc. | 10,008 | 1,218,274 | ||
Dollar General Corporation | 398 | 53,794 | ||
Dollar Tree, Inc.* | 361 | 38,768 | ||
eBay, Inc. | 1,476 | 58,302 | ||
Expedia Group, Inc. | 332 | 44,166 | ||
Foot Locker, Inc. | 320 | 13,414 | ||
Ford Motor Co. | 6,322 | 64,674 | ||
General Motors Co. | 2,563 | 98,752 | ||
Genuine Parts Co. | 17,079 | 1,769,043 | ||
H&R Block, Inc. | 760 | 22,268 | ||
Hanesbrands, Inc. | 827 | 14,241 | ||
Hasbro, Inc. | 1,294 | 136,750 | ||
Hilton Worldwide Holdings, Inc. | 377 | 36,848 | ||
Home Depot, Inc. (The) | 14,547 | 3,025,340 | ||
Kohl’s Corporation | 339 | 16,119 | ||
Leggett & Platt, Inc. | 135 | 5,180 | ||
Lennar Corporation Class A | 374 | 18,124 |
Shares | Value | |||
LKQ Corporation* | 551 | $14,662 | ||
Lowe’s Cos., Inc. | 7,501 | 756,926 | ||
Lululemon Athletica, Inc.* | 5,326 | 959,798 | ||
Macy’s, Inc. | 1,010 | 21,675 | ||
Marriott International, Inc. Class A | 528 | 74,073 | ||
McDonald’s Corporation | 17,306 | 3,593,764 | ||
Mohawk Industries, Inc.* | 105 | 15,484 | ||
Newell Brands, Inc. | 1,473 | 22,714 | ||
NIKE, Inc. Class B | 18,461 | 1,549,801 | ||
Nordstrom, Inc. | 287 | 9,144 | ||
Norwegian Cruise Line Holdings, Ltd.* | 381 | 20,433 | ||
O’Reilly Automotive, Inc.* | 141 | 52,074 | ||
Pool Corporation | 454 | 86,714 | ||
PulteGroup, Inc. | 555 | 17,549 | ||
PVH Corporation | 138 | 13,060 | ||
Ralph Lauren Corporation | 137 | 15,562 | ||
Ross Stores, Inc. | 7,410 | 734,479 | ||
Royal Caribbean Cruises, Ltd. | 327 | 39,636 | ||
Starbucks Corporation | 43,088 | 3,612,067 | ||
Tapestry, Inc. | 15,041 | 477,251 | ||
Target Corporation | 964 | 83,492 | ||
Tiffany & Co. | 162 | 15,170 | ||
TJX Cos., Inc. (The) | 19,758 | 1,044,803 | ||
Tractor Supply Co. | 240 | 26,112 | ||
Ulta Beauty, Inc.* | 534 | 185,239 | ||
Under Armour, Inc. Class A* | 210 | 5,324 | ||
Under Armour, Inc. Class C* | 211 | 4,684 | ||
VF Corporation | 555 | 48,479 | ||
Whirlpool Corporation | 160 | 22,778 | ||
Yum! Brands, Inc. | 13,503 | 1,494,377 | ||
27,696,203 | ||||
Consumer Staples — 4.5% | ||||
Archer-Daniels-Midland Co. | 1,013 | 41,330 | ||
Campbell Soup Co. | 418 | 16,749 | ||
Casey’s General Stores, Inc. | 6,139 | 957,623 | ||
Church & Dwight Co., Inc. | 1,377 | 100,604 | ||
Clorox Co. (The) | 3,184 | 487,502 | ||
Coca-Cola Co. (The) | 71,063 | 3,618,528 | ||
Colgate-Palmolive Co. | 30,573 | 2,191,167 | ||
Conagra Brands, Inc. | 599 | 15,885 | ||
Costco Wholesale Corporation | 8,707 | 2,300,912 | ||
Coty, Inc. Class A | 1,645 | 22,043 | ||
Estee Lauder Cos., Inc. (The) Class A | 10,551 | 1,931,994 | ||
Flowers Foods, Inc. | 21,591 | 502,423 | ||
General Mills, Inc. | 1,073 | 56,354 | ||
Hershey Co. (The) | 26,027 | 3,488,399 | ||
Hormel Foods CorporationΔ | 36,910 | 1,496,331 | ||
Ingredion, Inc. | 12,083 | 996,727 | ||
J.M. Smucker Co. (The) | 250 | 28,797 | ||
Kellogg Co. | 694 | 37,178 | ||
Kimberly-Clark Corporation | 36,309 | 4,839,264 | ||
Kraft Heinz Co. (The) | 1,329 | 41,252 | ||
Kroger Co. (The) | 1,673 | 36,321 | ||
Lamb Weston Holdings, Inc. | 13,987 | 886,216 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 9,381 | 1,454,149 |
Table of Contents
Shares | Value | |||
Mondelez International, Inc. Class A | 53,906 | $2,905,533 | ||
Monster Beverage Corporation* | 15,173 | 968,493 | ||
PepsiCo, Inc. | 29,187 | 3,827,291 | ||
Procter & Gamble Co. (The) | 102,296 | 11,216,756 | ||
Sysco Corporation | 28,529 | 2,017,571 | ||
Tyson Foods, Inc. Class A | 450 | 36,333 | ||
Walgreens Boots Alliance, Inc. | 1,419 | 77,577 | ||
Walmart, Inc. | 50,429 | 5,571,900 | ||
52,169,202 | ||||
Energy — 1.0% | ||||
Anadarko Petroleum Corporation | 801 | 56,519 | ||
Apache Corporation | 581 | 16,832 | ||
Baker Hughes a GE Co. | 27,389 | 674,591 | ||
Cabot Oil & Gas Corporation | 765 | 17,564 | ||
Chevron Corporation | 62,014 | 7,717,022 | ||
Cimarex Energy Co. | 158 | 9,374 | ||
Concho Resources, Inc. | 317 | 32,708 | ||
ConocoPhillips | 2,361 | 144,021 | ||
Devon Energy Corporation | 701 | 19,993 | ||
Diamondback Energy, Inc. | 209 | 22,775 | ||
EOG Resources, Inc. | 4,661 | 434,219 | ||
Exxon Mobil Corporation | 23,992 | 1,838,507 | ||
Halliburton Co. | 717 | 16,305 | ||
Helmerich & Payne, Inc. | 341 | 17,261 | ||
Hess Corporation | 541 | 34,391 | ||
HollyFrontier Corporation | 313 | 14,486 | ||
Kinder Morgan, Inc. | 3,159 | 65,960 | ||
Marathon Oil Corporation | 1,211 | 17,208 | ||
Marathon Petroleum Corporation | 1,446 | 80,802 | ||
Noble Energy, Inc. | 607 | 13,597 | ||
Occidental Petroleum Corporation | 1,433 | 72,051 | ||
ONEOK, Inc. | 903 | 62,135 | ||
Phillips 66 | 752 | 70,342 | ||
Pioneer Natural Resources Co. | 361 | 55,543 | ||
Valero Energy Corporation | 1,830 | 156,666 | ||
Williams Cos., Inc. (The) | 2,038 | 57,146 | ||
11,718,018 | ||||
Financials — 7.4% | ||||
Aflac, Inc. | 112,028 | 6,140,255 | ||
Alleghany Corporation* | 1,248 | 850,025 | ||
Allstate Corporation (The) | 27,618 | 2,808,474 | ||
American Express Co. | 9,544 | 1,178,111 | ||
American Financial Group, Inc. | 8,676 | 889,030 | ||
American International Group, Inc. | 1,388 | 73,953 | ||
Ameriprise Financial, Inc. | 269 | 39,048 | ||
Arch Capital Group, Ltd.* | 24,987 | 926,518 | ||
Arthur J. Gallagher & Co. | 451 | 39,503 | ||
Assurant, Inc. | 75 | 7,979 | ||
Assured Guaranty, Ltd.Δ | 3,251 | 136,802 | ||
Bank of America Corporation | 16,367 | 474,643 | ||
Bank of Hawaii CorporationΔ | 4,834 | 400,787 | ||
Bank of New York Mellon Corporation (The) | 116,765 | 5,155,175 | ||
BB&T Corporation | 5,417 | 266,137 | ||
Berkshire Hathaway, Inc. Class B* | 3,375 | 719,449 | ||
BlackRock, Inc. | 4,455 | 2,090,731 | ||
Capital One Financial Corporation | 901 | 81,757 |
Shares | Value | |||
Capitol Federal Financial, Inc. | 286,500 | $3,945,105 | ||
Cboe Global Markets, Inc. | 2,077 | 215,240 | ||
Charles Schwab Corporation (The) | 1,948 | 78,290 | ||
Cincinnati Financial Corporation | 334 | 34,626 | ||
Citigroup, Inc. | 4,568 | 319,897 | ||
Citizens Financial Group, Inc. | 836 | 29,561 | ||
CME Group, Inc. | 16,823 | 3,265,513 | ||
Comerica, Inc. | 64,102 | 4,656,369 | ||
Commerce Bancshares, Inc. | 14,589 | 870,380 | ||
Credit Acceptance CorporationΔ* | 2,303 | 1,114,260 | ||
Discover Financial Services | 9,426 | 731,363 | ||
E*TRADE Financial Corporation | 326 | 14,540 | ||
East West Bancorp, Inc. | 7,479 | 349,793 | ||
Erie Indemnity Co. Class AΔ | 1,630 | 414,476 | ||
Everest Re Group, Ltd. | 3,806 | 940,767 | ||
Fidelity National Financial, Inc. | 32,037 | 1,291,091 | ||
Fifth Third Bancorp | 1,381 | 38,530 | ||
First Republic Bank | 214 | 20,897 | ||
Franklin Resources, Inc. | 636 | 22,133 | ||
Goldman Sachs Group, Inc. (The) | 615 | 125,829 | ||
Hartford Financial Services Group, Inc. (The) | 633 | 35,271 | ||
Huntington Bancshares, Inc. | 1,372 | 18,961 | ||
Intercontinental Exchange, Inc. | 6,627 | 569,524 | ||
Invesco, Ltd. | 816 | 16,695 | ||
Jefferies Financial Group, Inc. | 558 | 10,730 | ||
JPMorgan Chase & Co. | 39,969 | 4,468,534 | ||
KeyCorp | 1,880 | 33,370 | ||
Lincoln National Corporation | 388 | 25,007 | ||
Loews Corporation | 373 | 20,392 | ||
M&T Bank Corporation | 6,802 | 1,156,816 | ||
Markel Corporation* | 1,365 | 1,487,304 | ||
MarketAxess Holdings, Inc. | 282 | 90,640 | ||
Marsh & McLennan Cos., Inc. | 43,172 | 4,306,407 | ||
MetLife, Inc. | 2,122 | 105,400 | ||
Moody’s Corporation | 247 | 48,242 | ||
Morgan Stanley | 2,337 | 102,384 | ||
MSCI, Inc. | 94 | 22,446 | ||
Nasdaq, Inc. | 251 | 24,139 | ||
Northern Trust Corporation | 4,270 | 384,300 | ||
People’s United Financial, Inc. | 674 | 11,310 | ||
PNC Financial Services Group, Inc. (The) | 71,179 | 9,771,453 | ||
Principal Financial Group, Inc. | 556 | 32,204 | ||
ProAssurance Corporation | 47,490 | 1,714,864 | ||
Progressive Corporation (The) | 43,868 | 3,506,369 | ||
Prudential Financial, Inc. | 758 | 76,558 | ||
Raymond James Financial, Inc. | 240 | 20,292 | ||
Regions Financial Corporation | 2,436 | 36,394 | ||
RenaissanceRe Holdings, Ltd. | 3,581 | 637,454 | ||
S&P Global, Inc. | 1,008 | 229,612 | ||
SEI Investments Co. | 5,739 | 321,958 | ||
State Street Corporation | 604 | 33,860 | ||
SunTrust Banks, Inc. | 29,960 | 1,882,986 | ||
SVB Financial Group* | 1,969 | 442,218 | ||
Synchrony Financial | 1,366 | 47,359 | ||
T. Rowe Price Group, Inc. | 7,712 | 846,084 | ||
TFS Financial Corporation | 7,575 | 136,880 |
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Shares | Value | |||
Torchmark Corporation | 219 | $19,592 | ||
Travelers Cos., Inc. (The) | 17,895 | 2,675,660 | ||
U.S. Bancorp | 48,270 | 2,529,348 | ||
Unum Group | 295 | 9,897 | ||
W.R. Berkley Corporation | 9,582 | 631,741 | ||
Wells Fargo & Co. | 132,142 | 6,252,959 | ||
Zions Bancorp NA | 159 | 7,311 | ||
85,557,962 | ||||
Health Care — 5.0% | ||||
Abbott Laboratories | 15,592 | 1,311,287 | ||
AbbVie, Inc. | 2,808 | 204,198 | ||
ABIOMED, Inc.* | 1,719 | 447,782 | ||
Agilent Technologies, Inc. | 9,877 | 737,516 | ||
Alexion Pharmaceuticals, Inc.* | 413 | 54,095 | ||
Align Technology, Inc.* | 3,775 | 1,033,217 | ||
Amgen, Inc. | 2,975 | 548,233 | ||
Anthem, Inc. | 5,595 | 1,578,965 | ||
Baxter International, Inc. | 9,868 | 808,189 | ||
Becton, Dickinson and Co. | 3,267 | 823,317 | ||
Biogen, Inc.* | 2,830 | 661,852 | ||
Bio-Techne Corporation | 525 | 109,457 | ||
Boston Scientific Corporation* | 2,122 | 91,204 | ||
Bristol-Myers Squibb Co. | 5,673 | 257,271 | ||
Cardinal Health, Inc. | 601 | 28,307 | ||
Celgene Corporation* | 1,539 | 142,265 | ||
Centene Corporation* | 610 | 31,988 | ||
Cerner Corporation | 527 | 38,629 | ||
Chemed Corporation | 2,881 | 1,039,580 | ||
Cigna Corporation | 5,120 | 806,656 | ||
CVS Health Corporation | 2,524 | 137,533 | ||
Danaher Corporation | 10,759 | 1,537,676 | ||
DaVita, Inc.* | 265 | 14,909 | ||
DENTSPLY SIRONA, Inc. | 472 | 27,546 | ||
Edwards Lifesciences Corporation* | 3,584 | 662,108 | ||
Eli Lilly & Co. | 33,144 | 3,672,024 | ||
Gilead Sciences, Inc. | 58,482 | 3,951,044 | ||
HCA Healthcare, Inc. | 500 | 67,585 | ||
Henry Schein, Inc.* | 13,360 | 933,864 | ||
Hologic, Inc.* | 508 | 24,394 | ||
Humana, Inc. | 5,731 | 1,520,434 | ||
IDEXX Laboratories, Inc.* | 1,453 | 400,054 | ||
Illumina, Inc.Δ* | 2,292 | 843,800 | ||
Incyte Corporation* | 268 | 22,769 | ||
Intuitive Surgical, Inc.* | 5,772 | 3,027,703 | ||
IQVIA Holdings, Inc.* | 250 | 40,225 | ||
Johnson & Johnson | 90,996 | 12,673,923 | ||
Laboratory Corporation of America Holdings* | 195 | 33,716 | ||
Masimo Corporation* | 393 | 58,486 | ||
McKesson Corporation | 281 | 37,764 | ||
Mettler-Toledo International, Inc.* | 2,038 | 1,711,920 | ||
Nektar Therapeutics* | 1,384 | 49,243 | ||
PerkinElmer, Inc. | 318 | 30,636 | ||
Quest Diagnostics, Inc. | 51,602 | 5,253,600 | ||
Regeneron Pharmaceuticals, Inc.* | 124 | 38,812 | ||
ResMed, Inc. | 207 | 25,260 | ||
Stryker Corporation | 8,748 | 1,798,414 |
Shares | Value | |||
Teleflex, Inc. | 72 | $23,843 | ||
Thermo Fisher Scientific, Inc. | 9,901 | 2,907,726 | ||
UnitedHealth Group, Inc. | 13,141 | 3,206,535 | ||
Universal Health Services, Inc. Class B | 174 | 22,688 | ||
Varian Medical Systems, Inc.* | 4,093 | 557,180 | ||
Vertex Pharmaceuticals, Inc.* | 2,108 | 386,565 | ||
Waters Corporation* | 589 | 126,776 | ||
WellCare Health Plans, Inc.* | 76 | 21,665 | ||
West Pharmaceutical Services, Inc. | 2,204 | 275,831 | ||
Zimmer Biomet Holdings, Inc. | 334 | 39,325 | ||
Zoetis, Inc. | 11,992 | 1,360,972 | ||
58,278,556 | ||||
Industrials — 4.2% | ||||
3M Co. | 12,711 | 2,203,325 | ||
Alaska Air Group, Inc. | 219 | 13,996 | ||
American Airlines Group, Inc. | 534 | 17,414 | ||
AMETEK, Inc. | 278 | 25,254 | ||
Arconic, Inc. | 1,067 | 27,550 | ||
Boeing Co. (The) | 3,454 | 1,257,291 | ||
C.H. Robinson Worldwide, Inc. | 2,486 | 209,694 | ||
Caterpillar, Inc. | 6,911 | 941,900 | ||
Cintas Corporation | 4,601 | 1,091,771 | ||
Copart, Inc.* | 6,027 | 450,458 | ||
CSX Corporation | 1,596 | 123,483 | ||
Cummins, Inc. | 740 | 126,792 | ||
Curtiss-Wright Corporation | 306 | 38,902 | ||
Deere & Co. | 8,969 | 1,486,253 | ||
Delta Air Lines, Inc. | 1,190 | 67,533 | ||
Dover Corporation | 2,184 | 218,837 | ||
Emerson Electric Co. | 33,634 | 2,244,060 | ||
Equifax, Inc. | 234 | 31,646 | ||
Expeditors International of Washington, Inc. | 8,970 | 680,464 | ||
Fastenal Co. | 1,426 | 46,473 | ||
FedEx Corporation | 433 | 71,094 | ||
Flowserve Corporation | 291 | 15,333 | ||
Fortive Corporation | 3,879 | 316,216 | ||
Fortune Brands Home & Security, Inc. | 191 | 10,912 | ||
General Dynamics Corporation | 4,890 | 889,100 | ||
General Electric Co. | 14,944 | 156,912 | ||
Harris Corporation | 191 | 36,124 | ||
Honeywell International, Inc. | 15,689 | 2,739,143 | ||
Hubbell, Inc.Δ | 46,471 | 6,059,818 | ||
Huntington Ingalls Industries, Inc. | 90 | 20,227 | ||
IDEX Corporation | 1,348 | 232,045 | ||
IHS Markit, Ltd.* | 500 | 31,860 | ||
Illinois ToolWorks, Inc. | 11,938 | 1,800,370 | ||
J.B. Hunt Transport Services, Inc. | 166 | 15,174 | ||
Jacobs Engineering Group, Inc. | 178 | 15,021 | ||
Kansas City Southern | 154 | 18,760 | ||
L3 Technologies, Inc. | 139 | 34,079 | ||
Landstar System, Inc. | 7,744 | 836,275 | ||
Lincoln Electric Holdings, Inc.Δ | 1,523 | 125,373 | ||
Lockheed Martin Corporation | 2,730 | 992,464 | ||
Masco Corporation | 401 | 15,735 | ||
Norfolk Southern Corporation | 11,056 | 2,203,792 |
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Shares | Value | |||
Northrop Grumman Corporation | 317 | $102,426 | ||
PACCAR, Inc. | 729 | 52,240 | ||
Parker-Hannifin Corporation | 254 | 43,183 | ||
Quanta Services, Inc. | 139 | 5,308 | ||
Raytheon Co. | 9,116 | 1,585,090 | ||
Republic Services, Inc. | 91,428 | 7,921,322 | ||
Robert Half International, Inc. | 7,443 | 424,325 | ||
Rockwell Automation, Inc. | 3,263 | 534,577 | ||
Rollins, Inc. | 36,843 | 1,321,558 | ||
Roper Technologies, Inc. | 165 | 60,433 | ||
Snap-on, Inc. | 112 | 18,552 | ||
Southwest Airlines Co. | 14,199 | 721,025 | ||
Stanley Black & Decker, Inc. | 256 | 37,020 | ||
Teledyne Technologies, Inc.* | 5,042 | 1,380,853 | ||
Textron, Inc. | 272 | 14,427 | ||
TransDigm Group, Inc.* | 70 | 33,866 | ||
Union Pacific Corporation | 7,248 | 1,225,709 | ||
United Continental Holdings, Inc.* | 462 | 40,448 | ||
United Parcel Service, Inc. Class B | 17,612 | 1,818,791 | ||
United Rentals, Inc.* | 123 | 16,313 | ||
United Technologies Corporation | 1,452 | 189,050 | ||
Verisk Analytics, Inc. | 707 | 103,547 | ||
W.W. Grainger, Inc. | 77 | 20,654 | ||
Wabtec Corporation | 214 | 15,357 | ||
Waste Management, Inc. | 30,758 | 3,548,550 | ||
Xylem, Inc. | 293 | 24,507 | ||
49,198,054 | ||||
Information Technology — 5.9% | ||||
Adobe, Inc.* | 9,183 | 2,705,771 | ||
Advanced Micro Devices, Inc.* | 1,790 | 54,362 | ||
Akamai Technologies, Inc.* | 11,227 | 899,732 | ||
Alliance Data Systems Corporation | 101 | 14,153 | ||
Amdocs, Ltd. | 1,249 | 77,550 | ||
Amphenol Corporation Class A | 6,664 | 639,344 | ||
Analog Devices, Inc. | 634 | 71,560 | ||
ANSYS, Inc.* | 1,329 | 272,206 | ||
Apple, Inc. | 15,905 | 3,147,918 | ||
Applied Materials, Inc. | 28,280 | 1,270,055 | ||
Arista Networks, Inc.* | 84 | 21,808 | ||
Autodesk, Inc.* | 417 | 67,929 | ||
Automatic Data Processing, Inc. | 48,393 | 8,000,815 | ||
Broadcom, Inc. | 787 | 226,546 | ||
Broadridge Financial Solutions, Inc. | 3,750 | 478,800 | ||
Cadence Design Systems, Inc.* | 3,565 | 252,438 | ||
Cisco Systems, Inc. | 117,469 | 6,429,078 | ||
Citrix Systems, Inc. | 271 | 26,596 | ||
Cognex Corporation | 16,412 | 787,448 | ||
Cognizant Technology Solutions Corporation Class A | 20,247 | 1,283,457 | ||
Corning, Inc. | 1,580 | 52,503 | ||
Dolby Laboratories, Inc. Class A | 709 | 45,801 | ||
DXC Technology Co. | 441 | 24,321 | ||
F5 Networks, Inc.* | 7,316 | 1,065,429 | ||
Fidelity National Information Services, Inc. | 549 | 67,351 | ||
Fiserv, Inc.* | 636 | 57,978 | ||
FleetCor Technologies, Inc.* | 152 | 42,689 |
Shares | Value | |||
FLIR Systems, Inc. | 13,257 | $717,204 | ||
Fortinet, Inc.* | 2,034 | 156,272 | ||
Gartner, Inc.* | 125 | 20,117 | ||
Global Payments, Inc. | 200 | 32,026 | ||
Hewlett Packard Enterprise Co. | 2,988 | 44,671 | ||
HP, Inc. | 2,972 | 61,788 | ||
Intel Corporation | 34,466 | 1,649,887 | ||
International Business Machines Corporation | 8,101 | 1,117,128 | ||
Intuit, Inc. | 12,837 | 3,354,693 | ||
Jack Henry & Associates, Inc. | 6,869 | 919,896 | ||
Juniper Networks, Inc. | 751 | 19,999 | ||
Keysight Technologies, Inc.* | 264 | 23,710 | ||
KLA-Tencor Corporation | 1,433 | 169,381 | ||
Lam Research Corporation | 290 | 54,474 | ||
Manhattan Associates, Inc.* | 1,564 | 108,432 | ||
Mastercard, Inc. Class A | 14,941 | 3,952,343 | ||
Maxim Integrated Products, Inc. | 87,100 | 5,210,322 | ||
Microchip Technology, Inc. | 461 | 39,969 | ||
Micron Technology, Inc.* | 2,018 | 77,875 | ||
Microsoft Corporation | 58,134 | 7,787,631 | ||
Motorola Solutions, Inc. | 226 | 37,681 | ||
National Instruments Corporation | 4,818 | 202,308 | ||
NetApp, Inc. | 478 | 29,493 | ||
NVIDIA Corporation | 1,047 | 171,949 | ||
Oracle Corporation | 21,050 | 1,199,218 | ||
Paychex, Inc. | 51,519 | 4,239,498 | ||
PayPal Holdings, Inc.* | 3,984 | 456,009 | ||
Qorvo, Inc.* | 254 | 16,919 | ||
QUALCOMM, Inc. | 2,076 | 157,921 | ||
Red Hat, Inc.* | 321 | 60,271 | ||
salesforce.com, Inc.* | 1,344 | 203,925 | ||
Skyworks Solutions, Inc. | 1,420 | 109,723 | ||
Symantec Corporation | 1,116 | 24,284 | ||
Synopsys, Inc.* | 179 | 23,036 | ||
Texas Instruments, Inc. | 26,052 | 2,989,728 | ||
Total System Services, Inc. | 261 | 33,478 | ||
VeriSign, Inc.* | 2,689 | 562,431 | ||
Visa, Inc. Class AΔ | 23,329 | 4,048,748 | ||
Western Digital Corporation | 561 | 26,676 | ||
Western Union Co. (The) | 1,380 | 27,448 | ||
Xerox Corporation | 523 | 18,519 | ||
Xilinx, Inc. | 6,231 | 734,760 | ||
68,975,479 | ||||
Materials — 0.8% | ||||
Air Products & Chemicals, Inc. | 4,769 | 1,079,559 | ||
Albemarle Corporation | 215 | 15,138 | ||
Ball Corporation | 452 | 31,636 | ||
Celanese Corporation | 213 | 22,961 | ||
CF Industries Holdings, Inc. | 450 | 21,020 | ||
Corteva, Inc.* | 1,360 | 40,215 | ||
Dow, Inc. | 1,360 | 67,062 | ||
DuPont de Nemours, Inc. | 13,941 | 1,046,551 | ||
Eastman Chemical Co. | 225 | 17,512 | ||
Ecolab, Inc. | 18,162 | 3,585,905 | ||
FMC Corporation | 211 | 17,502 |
Table of Contents
Shares | Value | |||
Freeport-McMoRan, Inc. | 2,892 | $33,576 | ||
International Flavors & Fragrances, Inc. | 127 | 18,426 | ||
International Paper Co. | 727 | 31,494 | ||
Martin Marietta Materials, Inc. | 107 | 24,622 | ||
Mosaic Co. (The) | 608 | 15,218 | ||
Newmont Goldcorp Corporation | 12,242 | 470,950 | ||
Nucor Corporation | 652 | 35,925 | ||
Packaging Corporation of America | 176 | 16,776 | ||
PPG Industries, Inc. | 6,306 | 735,973 | ||
Royal Gold, Inc.Δ | 7,141 | 731,881 | ||
Sealed Air Corporation | 225 | 9,626 | ||
Sherwin-Williams Co. (The) | 1,986 | 910,164 | ||
Vulcan Materials Co. | 294 | 40,369 | ||
Westrock Co. | 468 | 17,068 | ||
9,037,129 | ||||
Real Estate — 1.1% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 24,267 | ||
American Tower Corporation REIT | 763 | 155,995 | ||
Apartment Investment & Management Co. Class A REIT | 480 | 24,058 | ||
AvalonBay Communities, Inc. REIT | 351 | 71,316 | ||
Boston Properties, Inc. REIT | 8,757 | 1,129,653 | ||
CBRE Group, Inc. Class A* | 534 | 27,394 | ||
Crown Castle International Corporation REIT | 826 | 107,669 | ||
Digital Realty Trust, Inc. REIT | 362 | 42,640 | ||
Equinix, Inc. REIT | 132 | 66,566 | ||
Equity Residential REIT | 647 | 49,120 | ||
Essex Property Trust, Inc. REIT | 109 | 31,820 | ||
Extra Space Storage, Inc. REIT | 205 | 21,751 | ||
Federal Realty Investment Trust REIT | 105 | 13,520 | ||
HCP, Inc. REIT | 933 | 29,837 | ||
Host Hotels & Resorts, Inc. REIT | 1,879 | 34,235 | ||
Iron Mountain, Inc. REIT | 754 | 23,600 | ||
Kimco Realty Corporation REIT | 934 | 17,260 | ||
Macerich Co. (The) REIT | 275 | 9,210 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 23,788 | ||
Prologis, Inc. REIT | 1,007 | 80,661 | ||
Public Storage REIT | 6,240 | 1,486,181 | ||
Realty Income Corporation REIT | 503 | 34,692 | ||
Regency Centers Corporation REIT | 625 | 41,713 | ||
SBA Communications Corporation REIT* | 126 | 28,330 | ||
Simon Property Group, Inc. REIT | 649 | 103,684 | ||
SL Green Realty Corporation REIT | 174 | 13,984 | ||
UDR, Inc. REIT | 300 | 13,467 | ||
Ventas, Inc. REIT | 810 | 55,364 | ||
Vornado Realty Trust REIT | 299 | 19,166 | ||
Welltower, Inc. REIT | 56,567 | 4,611,908 | ||
Weyerhaeuser Co. REIT | 158,007 | 4,161,904 | ||
12,554,753 | ||||
Utilities — 5.2% | ||||
AES Corporation | 1,420 | 23,799 |
Shares | Value | |||
Alliant Energy Corporation | 4,100 | $201,228 | ||
Ameren Corporation | 39,442 | 2,962,489 | ||
American Electric Power Co., Inc. | 30,043 | 2,644,084 | ||
American Water Works Co., Inc. | 25,822 | 2,995,352 | ||
Aqua America, Inc. | 5,637 | 233,203 | ||
Atmos Energy Corporation | 68,844 | 7,267,173 | ||
CenterPoint Energy, Inc. | 9,441 | 270,296 | ||
CMS Energy Corporation | 5,650 | 327,191 | ||
Consolidated Edison, Inc. | 18,667 | 1,636,723 | ||
Dominion Energy, Inc. | 26,724 | 2,066,300 | ||
DTE Energy Co. | 13,486 | 1,724,590 | ||
Duke Energy Corporation | 18,867 | 1,664,824 | ||
Edison International | 786 | 52,984 | ||
Entergy Corporation | 480 | 49,406 | ||
Evergy, Inc. | 31,489 | 1,894,063 | ||
Eversource Energy | 70,978 | 5,377,293 | ||
Exelon Corporation | 6,555 | 314,247 | ||
FirstEnergy Corporation | 1,116 | 47,776 | ||
NextEra Energy, Inc. | 17,622 | 3,610,043 | ||
NiSource, Inc. | 539 | 15,523 | ||
NRG Energy, Inc. | 483 | 16,963 | ||
OGE Energy Corporation | 3,485 | 148,322 | ||
ONE Gas, Inc. | 60,842 | 5,494,033 | ||
Pinnacle West Capital Corporation | 50,808 | 4,780,525 | ||
PPL CorporationΔ | 11,577 | 359,003 | ||
Public Service Enterprise Group, Inc. | 11,028 | 648,667 | ||
Sempra Energy | 14,683 | 2,018,031 | ||
Southern Co. (The) | 18,676 | 1,032,409 | ||
Spire, Inc. | 62,922 | 5,280,414 | ||
UGI Corporation | 25,294 | 1,350,953 | ||
WEC Energy Group, Inc. | 21,216 | 1,768,778 | ||
Xcel Energy, Inc. | 25,599 | 1,522,884 | ||
59,799,569 | ||||
Total Common Stocks (Cost $342,606,491) | 456,940,431 | |||
FOREIGN COMMON STOCKS — 6.1% | ||||
Curacao — 0.4% | ||||
Schlumberger, Ltd. | 108,726 | 4,320,771 | ||
France — 0.9% | ||||
Sodexo SAΔ | 13,400 | 1,566,378 | ||
TOTAL SA | 156,223 | 8,753,269 | ||
10,319,647 | ||||
Ireland — 1.9% | ||||
Accenture PLC Class A | 18,183 | 3,359,673 | ||
Allegion PLC | 156 | 17,246 | ||
Eaton Corporation PLC | 837 | 69,705 | ||
Ingersoll-Rand PLC | 431 | 54,595 | ||
Johnson Controls International PLC | 1,943 | 80,265 | ||
Linde PLC | 15,553 | 3,123,042 | ||
Medtronic PLC | 159,020 | 15,486,958 | ||
Pentair PLC | 294 | 10,937 | ||
Seagate Technology PLC | 660 | 31,099 | ||
Willis Towers Watson PLC | 205 | 39,266 | ||
22,272,786 |
Table of Contents
Shares | Value | |||
Japan — 0.1% | ||||
Honda Motor Co., Ltd. | 24,800 | $640,616 | ||
Toyota Motor Corporation | 5,500 | 341,177 | ||
981,793 | ||||
Jersey — 0.1% | ||||
Aptiv PLC | 496 | 40,092 | ||
Janus Henderson Group PLCΔ | 81,100 | 1,735,540 | ||
1,775,632 | ||||
Netherlands — 0.3% | ||||
Akzo Nobel NV | 14,800 | 1,390,755 | ||
Koninklijke Ahold Delhaize NV | 52,600 | 1,182,951 | ||
LyondellBasell Industries NV Class A | 7,342 | 632,367 | ||
Mylan NV* | 5,971 | 113,688 | ||
3,319,761 | ||||
Sweden — 0.1% | ||||
Atlas Copco AB, B Shares | 55,300 | 1,586,440 | ||
Switzerland — 2.0% | ||||
ABB, Ltd. | 26,500 | 531,792 | ||
Chubb, Ltd. | 52,209 | 7,689,864 | ||
Garmin, Ltd. | 2,476 | 197,585 | ||
Nestle SA | 61,100 | 6,325,308 | ||
Novartis AG | 57,200 | 5,226,634 | ||
Roche Holding AG | 8,700 | 2,447,710 | ||
TE Connectivity, Ltd. | 4,217 | 403,904 | ||
22,822,797 | ||||
United Kingdom — 0.3% | ||||
Aon PLC | 9,346 | 1,803,591 | ||
BAE Systems PLC | 76,400 | 480,658 | ||
Nielsen Holdings PLC | 758 | 17,131 | ||
Royal Dutch Shell PLC ADR Class A | 7,400 | 481,518 | ||
Smiths Group PLC | 17,100 | 339,857 | ||
TechnipFMC PLC | 1,083 | 28,093 | ||
3,150,848 | ||||
Total Foreign Common Stocks (Cost $63,756,928) | 70,550,475 | |||
PREFERRED STOCKS — 1.3% | ||||
Bank of America Corporation, 7.25%, 06/28/19 CONVΔ | 3,314 | 4,546,808 | ||
Becton Dickinson and Co., 6.13%, 07/12/19* | 30,400 | 1,882,064 | ||
International Flavors & Fragrances, Inc., 6.00%, 09/12/19 CONVΔ | 64,778 | 3,486,352 | ||
Stanley Black & Decker, Inc., 5.38%, 04/30/19 CONVΔ | 31,105 | 3,145,649 | ||
Wells Fargo & Co., 7.50%, 05/30/19 CONVΔ | 1,756 | 2,395,535 | ||
Total Preferred Stocks (Cost $14,778,536) | 15,456,408 | |||
MUTUAL FUNDS — 1.3% | ||||
iShares Russell 1000 Value ETFΔ (Cost $15,164,724) | 121,400 | 15,444,508 |
Par | Value | |||
CORPORATE BONDS — 24.2% | ||||
Advanced Micro Devices, Inc. | ||||
2.13%, 09/01/26 CONV | $200,000 | $775,625 | ||
Akamai Technologies, Inc. | ||||
0.13%, 05/01/25 CONV | 6,754,000 | 7,249,082 | ||
Allscripts Healthcare Solutions, Inc. | ||||
1.25%, 07/01/20 CONV | 3,351,000 | 3,359,830 | ||
Altair Engineering, Inc. | ||||
0.25%, 06/01/24 CONV | 1,094,000 | 1,190,537 | ||
Arconic, Inc. | ||||
1.63%, 10/15/19 CONV | 215,000 | 217,725 | ||
Ares Capital Corporation | ||||
3.75%, 02/01/22 CONV | 3,607,000 | 3,645,966 | ||
4.63%, 03/01/24 CONV | 1,663,000 | 1,717,047 | ||
Atlassian, Inc. | ||||
0.63%, 05/01/23 CONVΔ | 698,000 | 1,188,345 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28^ | 3,116,000 | 3,255,285 | ||
Bank of New York Mellon Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.42%), 4.95%, 06/20/20^ | 529,000 | 537,459 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONVΔ | 5,529,000 | 5,753,616 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 6,043,000 | 6,323,854 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,383,000 | 1,389,051 | ||
Booking Holdings, Inc. | ||||
0.35%, 06/15/20 CONV | 1,768,000 | 2,549,871 | ||
Chart Industries, Inc. | ||||
1.00%, 11/15/24 144A CONV | 953,000 | 1,359,917 | ||
Chegg, Inc. | ||||
0.25%, 05/15/23 CONV | 247,000 | 378,879 | ||
0.13%, 03/15/25 144A CONV | 2,011,000 | 2,028,317 | ||
Chesapeake Energy Corporation | ||||
5.50%, 09/15/26 CONV | 2,197,000 | 1,759,092 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23^ | 2,355,000 | 2,444,572 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 144A CONV | 1,364,000 | 1,574,855 | ||
Cypress Semiconductor Corporation | ||||
2.00%, 02/01/23 CONV | 1,662,000 | 1,968,699 |
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Par | Value | |||
DexCom, Inc. | ||||
0.75%, 12/01/23 144A CONV | $3,625,000 | $4,260,832 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 5,339,000 | 5,203,838 | ||
DocuSign, Inc. | ||||
0.50%, 09/15/23 144A CONVΔ | 2,532,000 | 2,622,202 | ||
Dycom Industries, Inc. | ||||
0.75%, 09/15/21 CONV | 2,436,000 | 2,388,123 | ||
Empire State Realty OP LP REIT | ||||
2.63%, 08/15/19 144A CONVΔ | 282,000 | 282,536 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 2,384,000 | 2,848,615 | ||
Exact Sciences Corporation | ||||
1.00%, 01/15/25 CONVΔ | 458,000 | 791,950 | ||
0.38%, 03/15/27 CONV | 2,844,000 | 3,601,502 | ||
Extra Space Storage LP REIT | ||||
3.13%, 10/01/35 144A CONV | 4,712,000 | 5,601,310 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 CONV | 2,836,000 | 2,778,560 | ||
Five9, Inc. | ||||
0.13%, 05/01/23 CONV | 602,000 | 836,070 | ||
Fortive Corporation | ||||
0.88%, 02/15/22 144A CONV | 1,715,000 | 1,777,663 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 144A CONVΔ | 1,399,000 | 1,502,166 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.83%), 5.30%, 11/20/26Δ^ | 1,761,000 | 1,839,629 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 02/01/24 CONV | 1,304,000 | 1,262,771 | ||
Guess?, Inc. | ||||
2.00%, 04/15/24 144A CONV | 1,510,000 | 1,420,049 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 1,922,000 | 1,869,235 | ||
IAC Financeco 2, Inc. | ||||
0.88%, 06/15/26 144A CONV | 1,927,000 | 1,945,528 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 2,630,000 | 3,213,313 | ||
Illumina, Inc. | ||||
0.50%, 06/15/21 CONV | 567,000 | 877,300 | ||
0.00%, 08/15/23 144AΩ CONVΔ | 2,689,000 | 3,116,414 | ||
Insulet Corporation | ||||
1.38%, 11/15/24 CONVΔ | 2,007,000 | 2,858,785 | ||
Intel Corporation | ||||
3.25%, 08/01/39 CONV | 1,100,000 | 2,590,346 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 144A CONV | 1,265,000 | 1,289,876 | ||
Ionis Pharmaceuticals, Inc. | ||||
1.00%, 11/15/21 CONV | 1,023,000 | 1,212,313 |
Par | Value | |||
Jazz Investments I, Ltd. | ||||
1.88%, 08/15/21 CONV | $1,377,000 | $1,406,508 | ||
1.50%, 08/15/24 CONVΔ | 3,007,000 | 2,973,496 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 144A CONV | 2,154,000 | 2,507,689 | ||
Liberty Expedia Holdings, Inc. | ||||
1.00%, 06/30/47 144A CONV | 5,188,000 | 5,192,047 | ||
Liberty Interactive LLC | ||||
1.75%, 09/30/46 144A CONV | 1,689,000 | 2,117,729 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,124,000 | 1,326,051 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 584,000 | 656,968 | ||
2.25%, 09/30/46 CONV | 1,151,000 | 620,887 | ||
2.13%, 03/31/48 144A CONV | 4,226,000 | 4,122,991 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23 CONV | 2,130,000 | 1,844,286 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 CONV | 5,514,000 | 6,540,481 | ||
Lumentum Holdings, Inc. | ||||
0.25%, 03/15/24 CONV | 1,909,000 | 2,251,068 | ||
Macquarie Infrastructure Corporation | ||||
2.00%, 10/01/23 CONV | 2,192,000 | 1,937,217 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONVΔ | 5,152,000 | 5,000,315 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONVΔ | 5,741,000 | 5,998,042 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/27 CONV | 5,626,000 | 6,642,056 | ||
Nabors Industries, Inc. | ||||
0.75%, 01/15/24 CONV | 1,105,000 | 793,740 | ||
National Health Investors, Inc. REIT | ||||
3.25%, 04/01/21 CONV | 1,208,000 | 1,393,140 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 766,000 | 1,008,820 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 2,589,000 | 2,775,144 | ||
NextEra Energy Capital Holdings, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 3.16%), 5.65%, 05/01/79^ | 2,356,000 | 2,431,738 |
Table of Contents
Par | Value | |||
NextEra Energy Partners LP | ||||
1.50%, 09/15/20 144A CONV | $3,707,000 | $3,753,868 | ||
Nice Systems, Inc. | ||||
1.25%, 01/15/24 CONV | 549,000 | 936,388 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 2,653,000 | 2,612,950 | ||
1.00%, 12/15/35 CONV | 791,000 | 746,367 | ||
Nutanix, Inc. | ||||
0.00%, 01/15/23Ω CONV | 729,000 | 682,474 | ||
NuVasive, Inc. | ||||
2.25%, 03/15/21 CONV | 2,249,000 | 2,559,643 | ||
Oasis Petroleum, Inc. | ||||
2.63%, 09/15/23 CONVΔ | 1,134,000 | 1,040,289 | ||
Oil States International, Inc. | ||||
1.50%, 02/15/23 CONV | 693,000 | 619,825 | ||
Okta, Inc. | ||||
0.25%, 02/15/23 CONV | 137,000 | 355,325 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 2,911,000 | 3,583,421 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22 CONV | 900,000 | 1,068,922 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 144A CONV | 4,017,000 | 4,252,288 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,434,000 | 1,599,875 | ||
PDC Energy, Inc. | ||||
1.13%, 09/15/21 CONV | 724,000 | 681,690 | ||
Plains All American Pipeline LP | ||||
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22^ | 2,661,000 | 2,538,647 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23Δ^ | 78,000 | 79,727 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 2,035,000 | 1,958,687 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26 144A CONV | 1,620,000 | 1,750,475 | ||
Rapid7, Inc. | ||||
1.25%, 08/01/23 144A CONV | 773,000 | 1,183,655 | ||
RH | ||||
2.57%, 06/15/23Ω CONV | 1,735,000 | 1,580,117 | ||
RingCentral, Inc. | ||||
0.00%, 03/15/23Ω CONVΔ | 1,179,000 | 1,773,183 | ||
ServiceNow, Inc. | ||||
0.00%, 06/01/22Ω CONV | 212,000 | 440,073 | ||
Silicon Laboratories, Inc. | ||||
1.38%, 03/01/22 CONV | 2,947,000 | 3,673,468 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 822,000 | 760,472 |
Par | Value | |||
Spirit Realty Capital, Inc. REIT | ||||
3.75%, 05/15/21 CONVΔ | $4,032,000 | $4,111,100 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 144A CONV | 4,379,000 | 4,831,167 | ||
1.13%, 09/15/25 144A CONV | 558,000 | 626,584 | ||
Square, Inc. | ||||
0.50%, 05/15/23 CONV | 2,013,000 | 2,412,273 | ||
Starwood Property Trust, Inc. REIT | ||||
4.38%, 04/01/23 CONV | 4,031,000 | 4,106,279 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONVΔ | 1,632,000 | 1,600,749 | ||
Tabula Rasa HealthCare, Inc. | ||||
1.75%, 02/15/26 144A CONV | 817,000 | 819,966 | ||
Teradyne, Inc. | ||||
1.25%, 12/15/23 CONVΔ | 3,079,000 | 5,002,815 | ||
Tesla, Inc. | ||||
1.25%, 03/01/21 CONVΔ | 1,470,000 | 1,396,500 | ||
2.38%, 03/15/22 CONV | 1,375,000 | 1,358,006 | ||
2.00%, 05/15/24 CONV | 3,212,000 | 3,162,683 | ||
Transocean, Inc. | ||||
0.50%, 01/30/23 CONVΔ | 1,041,000 | 1,033,738 | ||
Tutor Perini Corporation | ||||
2.88%, 06/15/21 CONVΔ | 3,514,000 | 3,339,203 | ||
Twilio, Inc. | ||||
0.25%, 06/01/23 CONV | 259,000 | 520,138 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 2,703,000 | 2,645,859 | ||
Two Harbors Investment Corporation REIT | ||||
6.25%, 01/15/22 CONV | 3,246,000 | 3,279,716 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27^ | 3,599,000 | 3,737,202 | ||
Verint Systems, Inc. | ||||
1.50%, 06/01/21 CONVΔ | 3,628,000 | 3,905,829 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 144A CONV | 730,000 | 738,523 | ||
Wayfair, Inc. | ||||
1.13%, 11/01/24 144A CONVΔ | 1,112,000 | 1,618,103 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.77%), 6.18%, 09/15/19† | 4,281,000 | 4,321,669 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 144A CONVΔ | 3,980,000 | 3,584,113 | ||
Workday, Inc. | ||||
0.25%, 10/01/22 CONV | 1,716,000 | 2,578,378 | ||
Wright Medical Group, Inc. | ||||
1.63%, 06/15/23 CONV | 2,867,000 | 3,159,076 |
Table of Contents
Par | Value | |||
Zendesk, Inc. | ||||
0.25%, 03/15/23 CONV | $1,246,000 | $1,912,849 | ||
Zillow Group, Inc. | ||||
2.00%, 12/01/21 CONV | 1,378,000 | 1,562,842 | ||
1.50%, 07/01/23 CONV | 2,437,000 | 2,404,610 | ||
Zynga, Inc. | ||||
0.25%, 06/01/24 144A CONV | 2,605,000 | 2,607,477 | ||
Total Corporate Bonds (Cost $266,699,601) | 280,808,239 | |||
FOREIGN BONDS — 2.0% | ||||
France — 1.1% | ||||
AXA SA | ||||
7.25%, 05/15/21 144A CONV | 264,000 | 271,650 | ||
Cie Generale des Etablissements Michelin SCA | ||||
0.63%, 01/10/22Ω CONV | 1,400,000 | 1,456,350 | ||
TOTAL SA | ||||
0.50%, 12/02/22 CONVΔ | 3,800,000 | 4,089,560 | ||
Valeo SA | ||||
0.08%, 06/16/21Ω CONV | 3,000,000 | 2,849,643 | ||
Vinci SA | ||||
0.38%, 02/16/22 CONVΔ | 3,000,000 | 3,462,672 | ||
12,129,875 | ||||
Israel — 0.2% | ||||
Wix.com, Ltd. | ||||
0.31%, 07/01/23 144AΩ CONVΔ | 2,318,000 | 2,839,550 | ||
Jersey — 0.0% | ||||
Ensco Jersey Finance, Ltd. | ||||
3.00%, 01/31/24 CONVΔ | 579,000 | 452,967 | ||
Netherlands — 0.7% | ||||
NXP Semiconductors NV | ||||
1.00%, 12/01/19 CONV | 2,531,000 | 2,673,318 | ||
QIAGEN NV | ||||
0.88%, 03/19/21 CONV | 400,000 | 578,245 | ||
1.00%, 11/13/24 CONV | 2,000,000 | 2,230,780 | ||
STMicroelectronics NV | ||||
0.25%, 07/03/24 CONV | 2,000,000 | 2,294,500 | ||
7,776,843 | ||||
Total Foreign Bonds (Cost $21,811,096) | 23,199,235 |
Shares | |||
EQUITY-LINKED SECURITIES — 1.2% | |||
Berkshire Hathaway, Inc., Issued by Credit Suisse AG, Maturity Date 12/05/19 144A††† | 4,300 | 875,003 | |
Berkshire Hathaway, Inc., Issued by Goldman Sachs International, Maturity Date 07/10/19 144A CONV††† | 9,100 | 1,895,985 | |
Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 12/27/19 144A | 8,400 | 1,739,892 |
Shares | Value | |||
Berkshire Hathaway, Inc., Issued by Morgan Stanley Asia Products Ltd., Maturity Date 11/18/19 144A††† | 9,000 | $1,876,950 | ||
Celgene Corporation, Issued by Credit Suisse AG, Maturity Date 09/19/19 144A††† | 5,300 | 474,472 | ||
Cerner Corporation, Issued by Canadian Imperial Bank of Commerce, Maturity Date 11/25/19 144A††† | 24,400 | 1,725,007 | ||
Cerner Corporation, Issued by Credit Suisse AG, Maturity Date 10/17/19 144A††† | 12,200 | 801,894 | ||
Cerner Corporation, Issued by Merrill Lynch International & Co. CV, Maturity Date 11/20/19 144A | 11,400 | 787,854 | ||
Cerner Corporation, Issued by Morgan Stanley BV, Maturity Date 10/31/19 144A††† | 16,500 | 1,106,242 | ||
Cerner Corporation, Issued by Royal Bank of Canada, Maturity Date 11/25/19 CONV | 2,600 | 185,328 | ||
Cerner Corporation, Issued by Royal Bank of Canada, Maturity Date 12/04/19 144A CONV | 8,200 | 580,560 | ||
Martin Marietta Materials, Issued by Royal Bank of Canada, Maturity Date 08/12/19 144A CONV | 5,600 | 1,074,192 | ||
Schlumberger, Ltd., Issued by Wells Fargo Bank NA, Maturity Date 07/22/19 144A††† | 7,500 | 317,100 | ||
Southwest Airlines Co., Issued by Merrill Lynch International & Co. CV, Maturity Date 12/27/19 144A | 10,600 | 537,314 | ||
Total Equity-Linked Securities (Cost $13,615,620) | 13,977,793 | |||
MONEY MARKET FUNDS — 9.1% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 70,377,153 | 70,377,153 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 33,102,904 | 33,102,904 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 1,875,011 | 1,875,011 | ||
Total Money Market Funds (Cost $105,355,068) | 105,355,068 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.3% | |||
U.S. Treasury Bills | |||
2.37%, 07/18/19Ω | $46,205,000 | 46,160,343 | |
2.40%, 10/03/19Ω‡‡ | 1,100,000 | 1,094,004 | |
2.35%, 04/23/20Ω | 33,225,000 | 32,697,752 | |
U.S. Treasury Notes | |||
1.75%, 09/30/19 | 25,747,000 | 25,720,339 | |
1.00%, 10/15/19 | 37,970,000 | 37,849,863 | |
1.00%, 11/30/19 | 18,057,300 | 17,974,074 | |
1.63%, 12/31/19 | 22,100,000 | 22,048,198 |
Table of Contents
Par | Value | |||
1.50%, 06/15/20 | $29,344,000 | $29,217,234 | ||
Total U.S. Treasury Obligations (Cost $212,447,620) | 212,761,807 | |||
TOTAL INVESTMENTS —102.9% (Cost $1,056,235,684) | 1,194,493,964 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.1)% | |||||
Call Options — (0.1)% | |||||
S&P 500®, Strike Price $2,840.00, Expires 07/01/19 (MSCS) | (13) | $(3,824,288) | (130,000) | ||
S&P 500®, Strike Price $2,885.00, Expires 07/03/19 (MSCS) | (13) | (3,824,288) | (80,860) | ||
S&P 500®, Strike Price $2,910.00, Expires 07/05/19 (MSCS) | (12) | (3,530,112) | (53,160) | ||
S&P 500®, Strike Price $2,920.00, Expires 07/10/19 (MSCS) | (12) | (3,530,112) | (50,040) | ||
S&P 500®, Strike Price $2,970.00, Expires 07/15/19 (MSCS) | (12) | (3,530,112) | (21,780) | ||
S&P 500®, Strike Price $2,975.00, Expires 07/08/19 (MSCS) | (13) | (3,824,288) | (14,040) | ||
S&P 500®, Strike Price $2,975.00, Expires 07/12/19 (MSCS) | (13) | (3,824,288) | (19,565) | ||
S&P 500®, Strike Price $3,000.00, Expires 07/17/19 (MSCS) | (11) | (3,235,936) | (10,890) | ||
S&P 500®, Strike Price $3,000.00, Expires 07/24/19 (MSCS) | (13) | (3,824,288) | (18,135) | ||
S&P 500®, Strike Price $3,020.00, Expires 07/26/19 (MSCS) | (12) | (3,530,112) | (12,840) | ||
S&P 500®, Strike Price $3,030.00, Expires 07/22/19 (MSCS) | (12) | (3,530,112) | (6,900) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,035.00, Expires 07/19/19 (MSCS) | (13) | $(3,824,288) | $(5,915) | ||
(424,125) | |||||
Put Options — (0.0)% | |||||
S&P 500®, Strike Price $2,610.00, Expires 07/01/19 (MSCS) | (68) | (20,003,968) | (340) | ||
S&P 500®, Strike Price $2,675.00, Expires 07/03/19 (MSCS) | (67) | (19,709,792) | (2,010) | ||
S&P 500®, Strike Price $2,705.00, Expires 07/05/19 (MSCS) | (66) | (19,415,616) | (4,950) | ||
S&P 500®, Strike Price $2,705.00, Expires 07/10/19 (MSCS) | (65) | (19,121,440) | (8,775) | ||
S&P 500®, Strike Price $2,760.00, Expires 07/15/19 (MSCS) | (64) | (18,827,264) | (25,280) | ||
S&P 500®, Strike Price $2,770.00, Expires 07/12/19 (MSCS) | (65) | (19,121,440) | (24,700) | ||
S&P 500®, Strike Price $2,780.00, Expires 07/08/19 (MSCS) | (61) | (17,944,736) | (12,048) | ||
S&P 500®, Strike Price $2,805.00, Expires 07/24/19 (MSCS) | (60) | (17,650,560) | (65,700) | ||
S&P 500®, Strike Price $2,815.00, Expires 07/17/19 (MSCS) | (65) | (19,121,440) | (54,925) | ||
S&P 500®, Strike Price $2,825.00, Expires 07/26/19 (MSCS) | (58) | (17,062,208) | (46,110) | ||
S&P 500®, Strike Price $2,845.00, Expires 07/22/19 (MSCS) | (60) | (17,650,560) | (85,200) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $2,850.00, Expires 07/19/19 (MSCS) | (66) | $(19,415,616) | $(91,080) | ||
(421,118) | |||||
Total Written Options (Premiums received $(1,404,666)) | (845,243) | ||||
Liabilities in Excess of Other Assets — (2.8)% | (32,949,189) | ||||
NET ASSETS — 100.0% | $1,160,699,532 |
% | |
Corporate Bonds | 24.2 |
U.S. Treasury Obligations | 18.3 |
Money Market Funds | 9.1 |
Financials | 9.0 |
Health Care | 7.1 |
Information Technology | 6.2 |
Utilities | 5.2 |
Consumer Staples | 5.1 |
Industrials | 4.7 |
Consumer Discretionary | 2.6 |
Energy | 2.3 |
Foreign Bonds | 2.0 |
Communication Services | 1.9 |
Materials | 1.6 |
Mutual Funds | 1.3 |
Equity-Linked Securities | 1.2 |
Real Estate | 1.1 |
Written Options | (0.1) |
102.8 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2019 | (155) | $(22,817,550) | $(354,175) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
9/30/19 | U.S. Dollars | 1,235,817 | British Pounds | 966,014 | JPM | $3,998 | ||||||
9/30/19 | U.S. Dollars | 843,081 | Japanese Yen | 89,922,180 | BOA | 3,323 | ||||||
9/30/19 | U.S. Dollars | 542,450 | Norwegian Kroner | 4,594,366 | GSC | 2,532 | ||||||
9/30/19 | British Pounds | 145,929 | U.S. Dollars | 185,674 | JPM | 409 | ||||||
Subtotal Appreciation | $10,262 | |||||||||||
9/30/19 | Swedish Kronor | 627,952 | U.S. Dollars | 68,098 | GSC | $(30) | ||||||
9/30/19 | Norwegian Kroner | 4,594,366 | U.S. Dollars | 540,277 | GSC | (359) | ||||||
9/30/19 | U.S. Dollars | 10,231,822 | Euro | 8,938,118 | CS | (6,242) | ||||||
9/30/19 | U.S. Dollars | 1,318,359 | Swedish Kronor | 12,249,800 | GSC | (9,471) | ||||||
9/30/19 | U.S. Dollars | 11,750,026 | Swiss Francs | 11,384,600 | UBS | (10,140) | ||||||
Subtotal Depreciation | $(26,242) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $(15,980) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $456,940,431 | $456,940,431 | $— | $— | |||
Corporate Bonds | 280,808,239 | — | 280,808,239 | — | |||
Equity-Linked Securities | 13,977,793 | — | 4,905,140 | 9,072,653 | |||
Foreign Bonds | 23,199,234 | — | 23,199,234 | — | |||
Foreign Common Stocks | 70,550,475 | 70,550,475 | — | — | |||
Money Market Funds | 105,355,069 | 105,355,069 | — | — | |||
Mutual Funds | 15,444,508 | 15,444,508 | — | — | |||
Preferred Stocks | 15,456,408 | 15,456,408 | — | — | |||
U.S. Treasury Obligations | 212,761,807 | — | 212,761,807 | — | |||
Total Assets - Investments in Securities | $1,194,493,964 | $663,746,891 | $521,674,420 | $9,072,653 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $10,262 | $— | $10,262 | $— | |||
Total Assets - Other Financial Instruments | $10,262 | $ — | $10,262 | $ — | |||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Options | $(424,125) | $(424,125) | $— | $— | |||
Put Options | (421,118) | (421,118) | — | — | |||
Total Written Options | (845,243) | (845,243) | — | — | |||
Total Liabilities - Investments in Securities | $(845,243) | $(845,243) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(26,242) | $— | $(26,242) | $— | |||
Futures Contracts | (354,175) | (354,175) | — | — | |||
Total Liabilities - Other Financial Instruments | $(380,417) | $(354,175) | $(26,242) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 93.4% | ||||
Communication Services — 9.9% | ||||
Activision Blizzard, Inc. | 54,306 | $2,563,243 | ||
Alphabet, Inc. Class A* | 22,095 | 23,924,466 | ||
Alphabet, Inc. Class C* | 23,541 | 25,445,702 | ||
AT&T, Inc. | 564,206 | 18,906,543 | ||
CBS Corporation Class B (Non-Voting Shares) | 28,606 | 1,427,439 | ||
CenturyLink, Inc.Δ | 81,484 | 958,252 | ||
Charter Communications, Inc. Class A* | 13,277 | 5,246,805 | ||
Comcast Corporation Class A | 353,018 | 14,925,601 | ||
Discovery, Inc. Class AΔ* | 27,796 | 853,337 | ||
Discovery, Inc. Class C* | 15,921 | 452,952 | ||
DISH Network Corporation Class A* | 18,408 | 707,051 | ||
Electronic Arts, Inc.* | 25,211 | 2,552,866 | ||
Facebook, Inc. Class A* | 180,451 | 34,827,043 | ||
Fox Corporation Class A | 31,129 | 1,140,567 | ||
Fox Corporation Class B | 9,099 | 332,386 | ||
Interpublic Group of Cos., Inc. (The) | 31,936 | 721,434 | ||
Netflix, Inc.* | 31,847 | 11,698,040 | ||
News Corporation Class A | 13,865 | 187,039 | ||
News Corporation Class B | 13,984 | 195,217 | ||
Omnicom Group, Inc.Δ | 20,889 | 1,711,854 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,146,880 | ||
TripAdvisor, Inc.* | 4,311 | 199,556 | ||
Twitter, Inc.* | 52,713 | 1,839,684 | ||
Verizon Communications, Inc. | 317,938 | 18,163,798 | ||
Walt Disney (The) Co. | 133,804 | 18,684,391 | ||
188,812,146 | ||||
Consumer Discretionary — 9.6% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,070,965 | ||
Amazon.com, Inc.* | 31,021 | 58,742,296 | ||
AutoZone, Inc.Δ* | 2,011 | 2,211,034 | ||
Best Buy Co., Inc. | 15,833 | 1,104,035 | ||
Booking Holdings, Inc.* | 3,419 | 6,409,633 | ||
BorgWarner, Inc. | 6,279 | 263,592 | ||
Capri Holdings, Ltd.* | 14,032 | 486,630 | ||
CarMax, Inc.Δ* | 16,274 | 1,413,071 | ||
Carnival CorporationΔ | 30,713 | 1,429,690 | ||
Chipotle Mexican Grill, Inc.* | 1,449 | 1,061,943 | ||
D.R. Horton, Inc. | 20,166 | 869,760 | ||
Darden Restaurants, Inc. | 9,727 | 1,184,068 | ||
Dollar General Corporation | 23,558 | 3,184,099 | ||
Dollar Tree, Inc.* | 18,243 | 1,959,116 | ||
eBay, Inc. | 59,500 | 2,350,250 | ||
Expedia Group, Inc. | 10,462 | 1,391,760 | ||
Foot Locker, Inc.Δ | 5,069 | 212,492 | ||
Ford Motor Co.Δ | 395,246 | 4,043,367 | ||
Gap, Inc. (The) | 8,085 | 145,287 | ||
General Motors Co. | 106,950 | 4,120,784 | ||
Genuine Parts Co. | 12,313 | 1,275,381 | ||
H&R Block, Inc.Δ | 8,300 | 243,190 | ||
Hanesbrands, Inc.Δ | 14,216 | 244,800 | ||
Harley-Davidson, Inc.Δ | 8,982 | 321,825 | ||
Hasbro, Inc. | 10,784 | 1,139,653 | ||
Hilton Worldwide Holdings, Inc. | 25,822 | 2,523,842 |
Shares | Value | |||
Home Depot, Inc. (The) | 82,780 | $17,215,757 | ||
Kohl’s Corporation | 15,822 | 752,336 | ||
L Brands, Inc. | 19,839 | 517,798 | ||
Leggett & Platt, Inc.Δ | 4,991 | 191,505 | ||
Lennar Corporation Class A | 21,185 | 1,026,625 | ||
LKQ Corporation* | 11,558 | 307,558 | ||
Lowe’s Cos., Inc. | 58,190 | 5,871,953 | ||
Macy’s, Inc.Δ | 25,359 | 544,204 | ||
Marriott International, Inc. Class AΔ | 24,143 | 3,387,021 | ||
McDonald’s Corporation | 57,783 | 11,999,218 | ||
Mohawk Industries, Inc.* | 2,387 | 352,011 | ||
Newell Brands, Inc.Δ | 39,118 | 603,200 | ||
NIKE, Inc. Class B | 94,490 | 7,932,435 | ||
Nordstrom, Inc.Δ | 4,745 | 151,176 | ||
Norwegian Cruise Line Holdings, Ltd.* | 15,478 | 830,085 | ||
O’Reilly Automotive, Inc.* | 5,716 | 2,111,033 | ||
PulteGroup, Inc. | 11,415 | 360,942 | ||
PVH Corporation | 2,959 | 280,040 | ||
Ralph Lauren Corporation | 2,058 | 233,768 | ||
Ross Stores, Inc. | 25,592 | 2,536,679 | ||
Royal Caribbean Cruises, Ltd. | 10,700 | 1,296,947 | ||
Starbucks Corporation | 94,517 | 7,923,360 | ||
Tapestry, Inc. | 24,199 | 767,834 | ||
Target Corporation | 41,380 | 3,583,922 | ||
Tiffany & Co.Δ | 9,641 | 902,783 | ||
TJX Cos., Inc. (The) | 90,590 | 4,790,399 | ||
Tractor Supply Co. | 4,911 | 534,317 | ||
Ulta Beauty, Inc.* | 3,840 | 1,332,058 | ||
Under Armour, Inc. Class AΔ* | 20,379 | 516,608 | ||
Under Armour, Inc. Class CΔ* | 9,410 | 208,902 | ||
VF Corporation | 27,573 | 2,408,502 | ||
Whirlpool CorporationΔ | 2,806 | 399,462 | ||
Yum! Brands, Inc. | 23,522 | 2,603,180 | ||
183,876,181 | ||||
Consumer Staples — 7.0% | ||||
Archer-Daniels-Midland Co. | 58,262 | 2,377,090 | ||
Campbell Soup Co.Δ | 28,952 | 1,160,107 | ||
Church & Dwight Co., Inc. | 27,416 | 2,003,013 | ||
Clorox Co. (The) | 12,213 | 1,869,932 | ||
Coca-Cola Co. (The) | 369,705 | 18,825,379 | ||
Colgate-Palmolive Co. | 85,113 | 6,100,049 | ||
Conagra Brands, Inc.Δ | 41,499 | 1,100,554 | ||
Costco Wholesale Corporation | 32,613 | 8,618,311 | ||
Coty, Inc. Class AΔ | 22,378 | 299,865 | ||
Estee Lauder Cos., Inc. (The) Class A | 16,595 | 3,038,711 | ||
General Mills, Inc. | 62,909 | 3,303,981 | ||
Hershey Co. (The) | 15,496 | 2,076,929 | ||
Hormel Foods CorporationΔ | 31,661 | 1,283,537 | ||
J.M. Smucker Co. (The) | 10,457 | 1,204,542 | ||
Kellogg Co. | 29,100 | 1,558,887 | ||
Kimberly-Clark Corporation | 31,736 | 4,229,774 | ||
Kraft Heinz Co. (The) | 75,933 | 2,356,960 | ||
Kroger Co. (The) | 64,489 | 1,400,056 | ||
Lamb Weston Holdings, Inc. | 10,520 | 666,547 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 12,700 | 1,968,627 |
Table of Contents
Shares | Value | |||
Mondelez International, Inc. Class A | 123,970 | $6,681,983 | ||
Monster Beverage Corporation* | 46,680 | 2,979,584 | ||
PepsiCo, Inc. | 124,871 | 16,374,334 | ||
Procter & Gamble Co. (The) | 203,972 | 22,365,530 | ||
Sysco Corporation | 34,878 | 2,466,572 | ||
Tyson Foods, Inc. Class A | 35,391 | 2,857,469 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 3,347,936 | ||
Walmart, Inc. | 107,713 | 11,901,209 | ||
134,417,468 | ||||
Energy — 4.7% | ||||
Anadarko Petroleum Corporation | 33,918 | 2,393,254 | ||
Apache Corporation | 23,559 | 682,504 | ||
Archrock, Inc. | 13 | 138 | ||
Baker Hughes a GE Co.Δ | 33,215 | 818,086 | ||
Cabot Oil & Gas Corporation | 29,892 | 686,320 | ||
Chevron Corporation | 148,265 | 18,450,097 | ||
Cimarex Energy Co.Δ | 3,553 | 210,800 | ||
Concho Resources, Inc. | 15,869 | 1,637,364 | ||
ConocoPhillips | 89,387 | 5,452,607 | ||
Devon Energy Corporation | 38,557 | 1,099,646 | ||
Diamondback Energy, Inc. | 10,890 | 1,186,683 | ||
EOG Resources, Inc. | 40,407 | 3,764,316 | ||
Exterran Corporation* | 6 | 85 | ||
Exxon Mobil Corporation | 332,330 | 25,466,448 | ||
Halliburton Co.Δ | 74,621 | 1,696,882 | ||
Helmerich & Payne, Inc. | 4,961 | 251,126 | ||
Hess Corporation | 11,305 | 718,659 | ||
HollyFrontier Corporation | 10,771 | 498,482 | ||
Kinder Morgan, Inc. | 146,006 | 3,048,605 | ||
Marathon Oil Corporation | 69,854 | 992,625 | ||
Marathon Petroleum Corporation | 50,234 | 2,807,076 | ||
National Oilwell Varco, Inc. | 32,684 | 726,565 | ||
Noble Energy, Inc. | 40,915 | 916,496 | ||
Occidental Petroleum Corporation | 56,890 | 2,860,429 | ||
ONEOK, Inc. | 32,556 | 2,240,178 | ||
Phillips 66 | 31,961 | 2,989,632 | ||
Pioneer Natural Resources Co. | 11,479 | 1,766,159 | ||
Valero Energy Corporation | 31,110 | 2,663,327 | ||
Williams Cos., Inc. (The) | 96,309 | 2,700,504 | ||
88,725,093 | ||||
Financials — 12.3% | ||||
Affiliated Managers Group, Inc. | 2,010 | 185,201 | ||
Aflac, Inc. | 66,659 | 3,653,580 | ||
Allstate Corporation (The) | 28,840 | 2,932,740 | ||
American Express Co. | 47,721 | 5,890,680 | ||
American International Group, Inc. | 67,569 | 3,600,076 | ||
Ameriprise Financial, Inc. | 10,894 | 1,581,373 | ||
Arthur J. Gallagher & Co. | 15,093 | 1,321,996 | ||
Assurant, Inc. | 2,341 | 249,036 | ||
Bank of America Corporation | 683,906 | 19,833,274 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,221,493 | ||
BB&T Corporation | 59,156 | 2,906,334 | ||
Berkshire Hathaway, Inc. Class B* | 149,610 | 31,892,364 | ||
BlackRock, Inc. | 9,421 | 4,421,275 | ||
Capital One Financial Corporation | 34,907 | 3,167,461 | ||
Cboe Global Markets, Inc. | 8,664 | 897,850 |
Shares | Value | |||
Charles Schwab Corporation (The) | 84,796 | $3,407,951 | ||
Cincinnati Financial Corporation | 10,988 | 1,139,126 | ||
Citigroup, Inc. | 179,525 | 12,572,136 | ||
Citizens Financial Group, Inc. | 37,570 | 1,328,475 | ||
CME Group, Inc. | 28,081 | 5,450,803 | ||
Comerica, Inc. | 10,547 | 766,134 | ||
Discover Financial Services | 17,665 | 1,370,627 | ||
E*TRADE Financial Corporation | 10,478 | 467,319 | ||
Everest Re Group, Ltd. | 3,173 | 784,302 | ||
Fifth Third Bancorp | 52,084 | 1,453,144 | ||
First Republic Bank | 11,885 | 1,160,570 | ||
Franklin Resources, Inc.Δ | 23,495 | 817,626 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 5,591,718 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,601,783 | ||
Huntington Bancshares, Inc. | 83,830 | 1,158,531 | ||
Intercontinental Exchange, Inc. | 43,068 | 3,701,264 | ||
Invesco, Ltd. | 43,478 | 889,560 | ||
Jefferies Financial Group, Inc. | 12,259 | 235,741 | ||
JPMorgan Chase & Co. | 247,056 | 27,620,861 | ||
KeyCorp | 64,549 | 1,145,745 | ||
Lincoln National Corporation | 19,455 | 1,253,875 | ||
Loews Corporation | 12,502 | 683,484 | ||
M&T Bank Corporation | 10,059 | 1,710,734 | ||
MarketAxess Holdings, Inc. | 2,840 | 912,833 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 3,981,521 | ||
MetLife, Inc. | 79,589 | 3,953,186 | ||
Moody’s Corporation | 11,483 | 2,242,745 | ||
Morgan Stanley | 104,741 | 4,588,703 | ||
MSCI, Inc. | 3,800 | 907,402 | ||
Nasdaq, Inc. | 9,140 | 878,994 | ||
Northern Trust Corporation | 14,249 | 1,282,410 | ||
People’s United Financial, Inc. | 11,480 | 192,634 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 4,686,327 | ||
Principal Financial Group, Inc. | 22,421 | 1,298,624 | ||
Progressive Corporation (The) | 45,104 | 3,605,163 | ||
Prudential Financial, Inc. | 36,128 | 3,648,928 | ||
Raymond James Financial, Inc. | 9,228 | 780,227 | ||
Regions Financial Corporation | 83,579 | 1,248,670 | ||
S&P Global, Inc. | 17,423 | 3,968,785 | ||
State Street Corporation | 30,870 | 1,730,572 | ||
SunTrust Banks, Inc. | 34,810 | 2,187,809 | ||
SVB Financial Group* | 2,215 | 497,467 | ||
Synchrony Financial | 55,655 | 1,929,559 | ||
T. Rowe Price Group, Inc. | 15,490 | 1,699,408 | ||
Torchmark Corporation | 4,186 | 374,480 | ||
Travelers Cos., Inc. (The) | 21,004 | 3,140,518 | ||
U.S. Bancorp | 117,801 | 6,172,772 | ||
Unum Group | 8,642 | 289,939 | ||
Wells Fargo & Co. | 318,305 | 15,062,193 | ||
Zions Bancorp NAΔ | 7,446 | 342,367 | ||
233,670,478 | ||||
Health Care — 12.9% | ||||
Abbott Laboratories | 130,990 | 11,016,259 | ||
AbbVie, Inc. | 116,652 | 8,482,933 | ||
ABIOMED, Inc.* | 6,766 | 1,762,475 |
Table of Contents
Shares | Value | |||
Agilent Technologies, Inc. | 32,843 | $2,452,387 | ||
Alexion Pharmaceuticals, Inc.* | 22,317 | 2,923,081 | ||
Align Technology, Inc.* | 8,080 | 2,211,496 | ||
Amgen, Inc. | 55,832 | 10,288,721 | ||
Anthem, Inc. | 21,194 | 5,981,159 | ||
Baxter International, Inc. | 41,154 | 3,370,513 | ||
Becton, Dickinson and Co.Δ | 20,264 | 5,106,731 | ||
Biogen, Inc.* | 17,050 | 3,987,483 | ||
Boston Scientific Corporation* | 120,221 | 5,167,099 | ||
Bristol-Myers Squibb Co. | 164,837 | 7,475,358 | ||
Cardinal Health, Inc. | 27,527 | 1,296,522 | ||
Celgene Corporation* | 57,184 | 5,286,089 | ||
Centene Corporation* | 42,096 | 2,207,514 | ||
Cerner Corporation | 28,126 | 2,061,636 | ||
Cigna Corporation | 29,323 | 4,619,839 | ||
CVS Health Corporation | 98,471 | 5,365,685 | ||
Danaher Corporation | 49,319 | 7,048,671 | ||
DaVita, Inc.* | 13,768 | 774,588 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,531,425 | ||
Edwards Lifesciences Corporation* | 19,109 | 3,530,197 | ||
Eli Lilly & Co. | 106,010 | 11,744,848 | ||
Gilead Sciences, Inc. | 109,984 | 7,430,519 | ||
HCA Healthcare, Inc. | 23,088 | 3,120,805 | ||
Henry Schein, Inc.* | 11,738 | 820,486 | ||
Hologic, Inc.* | 29,305 | 1,407,226 | ||
Humana, Inc. | 11,904 | 3,158,131 | ||
IDEXX Laboratories, Inc.* | 8,626 | 2,374,997 | ||
Illumina, Inc.* | 10,930 | 4,023,879 | ||
Incyte Corporation* | 16,895 | 1,435,399 | ||
Intuitive Surgical, Inc.* | 9,533 | 5,000,535 | ||
IQVIA Holdings, Inc.* | 14,217 | 2,287,515 | ||
Johnson & Johnson | 227,204 | 31,644,973 | ||
Laboratory Corporation of America Holdings* | 7,436 | 1,285,684 | ||
McKesson Corporation | 16,930 | 2,275,223 | ||
Mettler-Toledo International, Inc.* | 2,187 | 1,837,080 | ||
Nektar TherapeuticsΔ* | 21,839 | 777,032 | ||
PerkinElmer, Inc.Δ | 11,320 | 1,090,569 | ||
Quest Diagnostics, Inc. | 16,017 | 1,630,691 | ||
Regeneron Pharmaceuticals, Inc.* | 6,974 | 2,182,862 | ||
ResMed, Inc. | 11,820 | 1,442,395 | ||
Stryker Corporation | 23,247 | 4,779,118 | ||
Teleflex, Inc. | 3,399 | 1,125,579 | ||
Thermo Fisher Scientific, Inc. | 34,174 | 10,036,220 | ||
UnitedHealth Group, Inc. | 74,142 | 18,091,389 | ||
Universal Health Services, Inc. Class B | 9,989 | 1,302,466 | ||
Varian Medical Systems, Inc.* | 9,565 | 1,302,083 | ||
Vertex Pharmaceuticals, Inc.* | 23,140 | 4,243,413 | ||
Waters Corporation* | 6,921 | 1,489,676 | ||
WellCare Health Plans, Inc.Δ* | 4,802 | 1,368,906 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 2,512,689 | ||
Zoetis, Inc. | 78,966 | 8,961,851 | ||
246,132,100 | ||||
Industrials — 8.6% | ||||
3M Co. | 44,568 | 7,725,417 | ||
A.O. Smith Corporation | 16,217 | 764,794 |
Shares | Value | |||
Alaska Air Group, Inc. | 10,021 | $640,442 | ||
American Airlines Group, Inc.Δ | 38,478 | 1,254,768 | ||
AMETEK, Inc. | 16,745 | 1,521,116 | ||
Arconic, Inc. | 16,474 | 425,359 | ||
Boeing Co. (The) | 39,324 | 14,314,329 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,050,917 | ||
Caterpillar, Inc. | 42,426 | 5,782,240 | ||
Cintas CorporationΔ | 6,438 | 1,527,673 | ||
Copart, Inc.* | 8,500 | 635,290 | ||
CSX Corporation | 58,186 | 4,501,851 | ||
Cummins, Inc. | 10,680 | 1,829,911 | ||
Deere & Co. | 22,646 | 3,752,669 | ||
Delta Air Lines, Inc. | 56,365 | 3,198,714 | ||
Dover Corporation | 13,712 | 1,373,942 | ||
Emerson Electric Co. | 47,350 | 3,159,192 | ||
Equifax, Inc.Δ | 8,312 | 1,124,115 | ||
Expeditors International of Washington, Inc. | 6,818 | 517,214 | ||
Fastenal Co. | 36,004 | 1,173,370 | ||
FedEx Corporation | 17,757 | 2,915,522 | ||
Flowserve Corporation | 4,858 | 255,968 | ||
Fortive CorporationΔ | 19,215 | 1,566,407 | ||
Fortune Brands Home & Security, Inc. | 18,870 | 1,078,043 | ||
General Dynamics Corporation | 20,407 | 3,710,401 | ||
General Electric Co. | 659,185 | 6,921,443 | ||
Harris Corporation | 8,888 | 1,680,987 | ||
Honeywell International, Inc. | 55,553 | 9,698,998 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 630,396 | ||
IHS Markit, Ltd.* | 26,223 | 1,670,930 | ||
Illinois ToolWorks, Inc. | 22,337 | 3,368,643 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 298,819 | ||
Jacobs Engineering Group, Inc. | 4,647 | 392,160 | ||
Kansas City Southern | 10,006 | 1,218,931 | ||
L3 Technologies, Inc. | 6,087 | 1,492,350 | ||
Lockheed Martin Corporation | 19,185 | 6,974,515 | ||
Masco Corporation | 31,887 | 1,251,246 | ||
Norfolk Southern Corporation | 19,839 | 3,954,508 | ||
Northrop Grumman Corporation | 12,728 | 4,112,544 | ||
PACCAR, Inc. | 22,794 | 1,633,418 | ||
Parker-Hannifin Corporation | 8,815 | 1,498,638 | ||
Quanta Services, Inc. | 5,431 | 207,410 | ||
Raytheon Co. | 22,977 | 3,995,241 | ||
Republic Services, Inc. | 19,655 | 1,702,909 | ||
Robert Half International, Inc. | 4,920 | 280,489 | ||
Rockwell Automation, Inc. | 8,494 | 1,391,572 | ||
Roper Technologies, Inc. | 6,043 | 2,213,309 | ||
Snap-on, Inc.Δ | 5,899 | 977,110 | ||
Southwest Airlines Co. | 36,781 | 1,867,739 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,497,003 | ||
Textron, Inc. | 19,700 | 1,044,888 | ||
TransDigm Group, Inc.* | 3,870 | 1,872,306 | ||
Union Pacific Corporation | 55,813 | 9,438,536 | ||
United Continental Holdings, Inc.* | 19,397 | 1,698,207 | ||
United Parcel Service, Inc. Class B | 50,421 | 5,206,977 | ||
United Rentals, Inc.* | 7,513 | 996,449 | ||
United Technologies Corporation | 63,362 | 8,249,732 | ||
Verisk Analytics, Inc. | 12,729 | 1,864,289 |
Table of Contents
Shares | Value | |||
W.W. Grainger, Inc.Δ | 3,321 | $890,792 | ||
Wabtec CorporationΔ | 11,295 | 810,529 | ||
Waste Management, Inc. | 33,085 | 3,817,016 | ||
Xylem, Inc. | 6,524 | 545,667 | ||
163,166,360 | ||||
Information Technology — 20.0% | ||||
Adobe, Inc.* | 35,347 | 10,414,993 | ||
Advanced Micro Devices, Inc.Δ* | 67,324 | 2,044,630 | ||
Akamai Technologies, Inc.* | 6,606 | 529,405 | ||
Alliance Data Systems Corporation | 2,399 | 336,172 | ||
Amphenol Corporation Class A | 18,535 | 1,778,248 | ||
Analog Devices, Inc.Δ | 29,267 | 3,303,366 | ||
ANSYS, Inc.* | 9,168 | 1,877,790 | ||
Apple, Inc. | 334,672 | 66,238,282 | ||
Applied Materials, Inc. | 77,376 | 3,474,956 | ||
Arista Networks, Inc.* | 4,638 | 1,204,118 | ||
Autodesk, Inc.* | 12,971 | 2,112,976 | ||
Automatic Data Processing, Inc. | 32,517 | 5,376,036 | ||
Broadcom, Inc. | 31,170 | 8,972,596 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 869,118 | ||
Cadence Design Systems, Inc.* | 14,000 | 991,340 | ||
Cisco Systems, Inc. | 338,843 | 18,544,877 | ||
Citrix Systems, Inc. | 9,508 | 933,115 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 2,761,205 | ||
Corning, Inc. | 59,799 | 1,987,121 | ||
DXC Technology Co. | 18,725 | 1,032,684 | ||
F5 Networks, Inc.* | 2,480 | 361,162 | ||
Fidelity National Information Services, Inc. | 26,656 | 3,270,158 | ||
Fiserv, Inc.Δ* | 26,681 | 2,432,240 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,756,436 | ||
FLIR Systems, Inc. | 5,180 | 280,238 | ||
Fortinet, Inc.* | 7,377 | 566,775 | ||
Gartner, Inc.* | 3,738 | 601,594 | ||
Global Payments, Inc.Δ | 11,780 | 1,886,331 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,701,370 | ||
HP, Inc. | 132,336 | 2,751,265 | ||
Intel Corporation | 337,349 | 16,148,897 | ||
International Business Machines Corporation | 69,494 | 9,583,223 | ||
Intuit, Inc. | 17,914 | 4,681,466 | ||
Jack Henry & Associates, Inc. | 5,530 | 740,578 | ||
Juniper Networks, Inc. | 15,019 | 399,956 | ||
Keysight Technologies, Inc.* | 13,420 | 1,205,250 | ||
KLA-Tencor CorporationΔ | 9,794 | 1,157,651 | ||
Lam Research Corporation | 10,705 | 2,010,827 | ||
Mastercard, Inc. Class A | 66,584 | 17,613,465 | ||
Maxim Integrated Products, Inc. | 19,970 | 1,194,605 | ||
Microchip Technology, Inc.Δ | 16,977 | 1,471,906 | ||
Micron Technology, Inc.* | 84,017 | 3,242,216 | ||
Microsoft Corporation | 575,360 | 77,075,226 | ||
Motorola Solutions, Inc. | 13,048 | 2,175,493 | ||
NetApp, Inc. | 21,788 | 1,344,320 | ||
NVIDIA Corporation | 43,187 | 7,092,601 | ||
Oracle Corporation | 205,823 | 11,725,736 | ||
Paychex, Inc. | 27,668 | 2,276,800 | ||
PayPal Holdings, Inc.* | 83,736 | 9,584,423 |
Shares | Value | |||
Qorvo, Inc.* | 4,807 | $320,194 | ||
QUALCOMM, Inc. | 91,816 | 6,984,443 | ||
Red Hat, Inc.* | 12,859 | 2,414,406 | ||
salesforce.com, Inc.* | 54,289 | 8,237,270 | ||
Skyworks Solutions, Inc. | 15,074 | 1,164,768 | ||
Symantec Corporation | 47,298 | 1,029,204 | ||
Synopsys, Inc.* | 15,492 | 1,993,665 | ||
Texas Instruments, Inc. | 69,952 | 8,027,691 | ||
Total System Services, Inc. | 13,565 | 1,739,982 | ||
VeriSign, Inc.* | 7,867 | 1,645,462 | ||
Visa, Inc. Class AΔ | 130,994 | 22,734,009 | ||
Western Digital CorporationΔ | 24,973 | 1,187,466 | ||
Western Union Co. (The)Δ | 39,393 | 783,527 | ||
Xerox Corporation | 11,464 | 405,940 | ||
Xilinx, Inc. | 18,364 | 2,165,483 | ||
381,948,746 | ||||
Materials — 2.1% | ||||
Air Products & Chemicals, Inc. | 16,602 | 3,758,195 | ||
Albemarle CorporationΔ | 5,038 | 354,726 | ||
Avery Dennison Corporation | 3,272 | 378,505 | ||
Ball Corporation | 26,240 | 1,836,538 | ||
Celanese Corporation | 9,582 | 1,032,940 | ||
CF Industries Holdings, Inc. | 17,082 | 797,900 | ||
Corteva, Inc.* | 55,219 | 1,632,826 | ||
Dow, Inc. | 55,219 | 2,722,849 | ||
DuPont de Nemours, Inc. | 55,219 | 4,145,290 | ||
Eastman Chemical Co. | 14,389 | 1,119,896 | ||
Ecolab, Inc. | 18,944 | 3,740,303 | ||
FMC Corporation | 5,397 | 447,681 | ||
Freeport-McMoRan, Inc. | 112,863 | 1,310,339 | ||
International Flavors & Fragrances, Inc.Δ | 5,978 | 867,348 | ||
International Paper Co. | 30,010 | 1,300,033 | ||
Martin Marietta Materials, Inc. | 5,969 | 1,373,527 | ||
Mosaic Co. (The) | 26,057 | 652,207 | ||
Newmont Goldcorp Corporation | 61,126 | 2,351,517 | ||
Nucor Corporation | 22,789 | 1,255,674 | ||
Packaging Corporation of America | 6,567 | 625,966 | ||
PPG Industries, Inc. | 18,443 | 2,152,482 | ||
Sealed Air Corporation | 10,710 | 458,174 | ||
Sherwin-Williams Co. (The) | 6,348 | 2,909,225 | ||
Vulcan Materials Co. | 11,222 | 1,540,893 | ||
Westrock Co. | 21,818 | 795,702 | ||
39,560,736 | ||||
Real Estate — 3.0% | ||||
Alexandria Real Estate Equities, Inc. REITΔ | 3,214 | 453,463 | ||
American Tower Corporation REIT | 31,527 | 6,445,695 | ||
Apartment Investment & Management Co. Class A REIT | 5,953 | 298,364 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 2,383,301 | ||
Boston Properties, Inc. REIT | 11,272 | 1,454,088 | ||
CBRE Group, Inc. Class A* | 26,915 | 1,380,740 | ||
Crown Castle International Corporation REIT | 30,379 | 3,959,903 | ||
Digital Realty Trust, Inc. REITΔ | 16,030 | 1,888,174 | ||
Duke Realty Corporation REIT | 32,547 | 1,028,811 |
Table of Contents
Shares | Value | |||
Equinix, Inc. REIT | 5,188 | $2,616,257 | ||
Equity Residential REIT | 36,341 | 2,759,009 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,642,690 | ||
Extra Space Storage, Inc. REIT | 8,534 | 905,457 | ||
Federal Realty Investment Trust REIT | 2,600 | 334,776 | ||
HCP, Inc. REITΔ | 46,597 | 1,490,172 | ||
Host Hotels & Resorts, Inc. REIT | 47,435 | 864,266 | ||
Iron Mountain, Inc. REITΔ | 20,523 | 642,370 | ||
Kimco Realty Corporation REITΔ | 56,971 | 1,052,824 | ||
Macerich Co. (The) REITΔ | 4,614 | 154,523 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 895,800 | ||
Prologis, Inc. REIT | 48,593 | 3,892,299 | ||
Public Storage REIT | 13,141 | 3,129,792 | ||
Realty Income Corporation REIT | 28,647 | 1,975,784 | ||
Regency Centers Corporation REIT | 15,104 | 1,008,041 | ||
SBA Communications Corporation REIT* | 9,082 | 2,041,997 | ||
Simon Property Group, Inc. REIT | 23,980 | 3,831,045 | ||
SL Green Realty Corporation REIT | 3,720 | 298,976 | ||
UDR, Inc. REIT | 11,107 | 498,593 | ||
Ventas, Inc. REIT | 33,547 | 2,292,937 | ||
Vornado Realty Trust REIT | 15,993 | 1,025,151 | ||
Welltower, Inc. REIT | 31,626 | 2,578,468 | ||
Weyerhaeuser Co. REIT | 49,383 | 1,300,748 | ||
56,524,514 | ||||
Utilities — 3.3% | ||||
AES Corporation | 56,201 | 941,929 | ||
Alliant Energy Corporation | 6,500 | 319,020 | ||
Ameren Corporation | 19,884 | 1,493,487 | ||
American Electric Power Co., Inc. | 43,060 | 3,789,711 | ||
American Water Works Co., Inc. | 16,565 | 1,921,540 | ||
Atmos Energy Corporation | 8,640 | 912,038 | ||
CenterPoint Energy, Inc. | 32,201 | 921,915 | ||
CMS Energy CorporationΔ | 24,417 | 1,413,988 | ||
Consolidated Edison, Inc. | 33,879 | 2,970,511 | ||
Dominion Energy, Inc. | 73,876 | 5,712,092 | ||
DTE Energy Co. | 15,525 | 1,985,337 | ||
Duke Energy Corporation | 60,096 | 5,302,871 | ||
Edison International | 25,039 | 1,687,879 | ||
Entergy Corporation | 9,511 | 978,967 | ||
Evergy, Inc. | 17,247 | 1,037,407 | ||
Eversource Energy | 22,827 | 1,729,374 | ||
Exelon Corporation | 74,076 | 3,551,203 | ||
FirstEnergy CorporationΔ | 31,999 | 1,369,877 | ||
NextEra Energy, Inc. | 33,860 | 6,936,560 | ||
NiSource, Inc. | 23,079 | 664,675 | ||
NRG Energy, Inc. | 19,377 | 680,520 | ||
Pinnacle West Capital Corporation | 4,108 | 386,522 | ||
PPL CorporationΔ | 51,392 | 1,593,666 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,749,894 | ||
Sempra Energy | 20,984 | 2,884,041 |
Shares | Value | |||
Southern Co. (The) | 81,308 | $4,494,706 | ||
WEC Energy Group, Inc. | 28,327 | 2,361,622 | ||
Xcel Energy, Inc. | 35,982 | 2,140,569 | ||
62,931,921 | ||||
Total Common Stocks (Cost $1,327,622,398) | 1,779,765,743 | |||
FOREIGN COMMON STOCKS — 3.4% | ||||
Curacao — 0.2% | ||||
Schlumberger, Ltd. | 106,365 | 4,226,945 | ||
Ireland — 2.1% | ||||
Accenture PLC Class A | 46,917 | 8,668,854 | ||
Allegion PLC | 11,277 | 1,246,672 | ||
Eaton Corporation PLC | 34,612 | 2,882,487 | ||
Ingersoll-Rand PLC | 16,206 | 2,052,814 | ||
Johnson Controls International PLC | 75,803 | 3,131,422 | ||
Linde PLC | 41,176 | 8,268,141 | ||
Medtronic PLC | 104,997 | 10,225,658 | ||
Pentair PLC | 6,692 | 248,943 | ||
Seagate Technology PLC | 24,342 | 1,146,995 | ||
Willis Towers Watson PLC | 8,889 | 1,702,599 | ||
39,574,585 | ||||
Jersey — 0.1% | ||||
Amcor PLCΔ* | 120,129 | 1,380,282 | ||
Aptiv PLCΔ | 15,022 | 1,214,228 | ||
2,594,510 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,352,383 | ||
Mylan NV* | 84,301 | 1,605,091 | ||
3,957,474 | ||||
Switzerland — 0.5% | ||||
Chubb, Ltd. | 35,583 | 5,241,020 | ||
Garmin, Ltd. | 4,430 | 353,514 | ||
TE Connectivity, Ltd. | 28,610 | 2,740,266 | ||
8,334,800 | ||||
United Kingdom — 0.3% | ||||
Aon PLC | 19,060 | 3,678,199 | ||
Nielsen Holdings PLC | 40,749 | 920,927 | ||
TechnipFMC PLC | 23,072 | 598,488 | ||
5,197,614 | ||||
Total Foreign Common Stocks (Cost $56,513,459) | 63,885,928 | |||
MONEY MARKET FUNDS — 3.1% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 58,037,391 | 58,037,391 |
Table of Contents
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 1,552,715 | $1,552,715 | ||
Total Money Market Funds (Cost $59,590,106) | 59,590,106 |
Par | |||
U.S. TREASURY OBLIGATION — 0.1% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $2,179,944) | $2,200,000 | 2,182,041 | |
TOTAL INVESTMENTS —100.0% (Cost $1,445,905,907) | 1,905,423,818 | ||
Liabilities in Excess of Other Assets — (0.0)% | (245,764) | ||
NET ASSETS — 100.0% | $1,905,178,054 |
% | |
Information Technology | 20.8 |
Health Care | 13.5 |
Financials | 12.9 |
Communication Services | 9.9 |
Consumer Discretionary | 9.6 |
Industrials | 9.2 |
Consumer Staples | 7.0 |
Energy | 4.9 |
Utilities | 3.3 |
Money Market Funds | 3.1 |
Real Estate | 3.0 |
Materials | 2.7 |
U.S. Treasury Obligation | 0.1 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2019 | 387 | $56,970,270 | $816,579 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,779,765,743 | $1,779,765,743 | $— | $— | |||
Foreign Common Stocks | 63,885,928 | 63,885,928 | — | — | |||
Money Market Funds | 59,590,106 | 59,590,106 | — | — | |||
U.S. Treasury Obligation | 2,182,041 | — | 2,182,041 | — | |||
Total Assets - Investments in Securities | $1,905,423,818 | $1,903,241,777 | $2,182,041 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $816,579 | $816,579 | $— | $— | |||
Total Assets - Other Financial Instruments | $816,579 | $816,579 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 79.6% | ||||
Communication Services — 4.7% | ||||
Activision Blizzard, Inc. | 4,616 | $217,875 | ||
AMC Networks, Inc. Class AΔ* | 7,096 | 386,661 | ||
AT&T, Inc. | 206,644 | 6,924,640 | ||
Charter Communications, Inc. Class A* | 426 | 168,347 | ||
Cinemark Holdings, Inc. | 12,689 | 458,073 | ||
Comcast Corporation Class A | 404,826 | 17,116,043 | ||
Discovery, Inc. Class AΔ* | 94,600 | 2,904,220 | ||
Electronic Arts, Inc.* | 10,804 | 1,094,013 | ||
Facebook, Inc. Class A* | 6,436 | 1,242,148 | ||
Fox Corporation Class B | 256 | 9,352 | ||
Sinclair Broadcast Group, Inc. Class A | 16,203 | 868,967 | ||
TEGNA, Inc.Δ | 34,948 | 529,462 | ||
Telephone & Data Systems, Inc. | 27,903 | 848,251 | ||
T-Mobile US, Inc.* | 9,047 | 670,745 | ||
Verizon Communications, Inc. | 336,660 | 19,233,386 | ||
Walt Disney (The) Co. | 11,292 | 1,576,815 | ||
54,248,998 | ||||
Consumer Discretionary — 6.2% | ||||
Advance Auto Parts, Inc. | 61,628 | 9,499,340 | ||
Aramark | 380,086 | 13,705,901 | ||
Booking Holdings, Inc.* | 536 | 1,004,844 | ||
Carnival Corporation | 2,670 | 124,288 | ||
Dana, Inc. | 112,181 | 2,236,889 | ||
Deckers Outdoor Corporation* | 7,398 | 1,301,826 | ||
Dollar General Corporation | 88,749 | 11,995,315 | ||
eBay, Inc. | 56,801 | 2,243,639 | ||
Expedia Group, Inc. | 4,130 | 549,414 | ||
Ford Motor Co. | 26,225 | 268,282 | ||
General Motors Co. | 10,954 | 422,058 | ||
Graham Holdings Co. Class B | 321 | 221,500 | ||
H&R Block, Inc. | 10,633 | 311,547 | ||
Home Depot, Inc. (The) | 3,115 | 647,826 | ||
Lennar Corporation Class A | 142,550 | 6,907,973 | ||
Lennar Corporation Class B | 3,259 | 125,504 | ||
Lowe’s Cos., Inc. | 107,248 | 10,822,396 | ||
McDonald’s Corporation | 4,182 | 868,434 | ||
Norwegian Cruise Line Holdings, Ltd.* | 17,130 | 918,682 | ||
Starbucks Corporation | 26,120 | 2,189,640 | ||
Tapestry, Inc. | 59,193 | 1,878,194 | ||
Target Corporation | 17,172 | 1,487,267 | ||
Wyndham Destinations, Inc. | 3,553 | 155,977 | ||
Yum! Brands, Inc. | 14,392 | 1,592,763 | ||
71,479,499 | ||||
Consumer Staples — 4.6% | ||||
Coca-Cola Co. (The) | 48,538 | 2,471,555 | ||
Colgate-Palmolive Co. | 23,572 | 1,689,405 | ||
Conagra Brands, Inc. | 54,468 | 1,444,491 | ||
General Mills, Inc. | 16,708 | 877,504 | ||
Ingredion, Inc. | 20,563 | 1,696,242 | ||
Keurig Dr. Pepper, Inc. | 2,760 | 79,764 | ||
Kimberly-Clark Corporation | 2,726 | 363,321 | ||
Kraft Heinz Co. (The) | 8,009 | 248,599 |
Shares | Value | |||
Mondelez International, Inc. Class A | 164,589 | $8,871,347 | ||
Monster Beverage Corporation* | 10,872 | 693,960 | ||
Nu Skin Enterprises, Inc. Class A | 9,340 | 460,649 | ||
PepsiCo, Inc. | 101,007 | 13,245,048 | ||
Pilgrim’s Pride Corporation* | 21,729 | 551,699 | ||
Post Holdings, Inc.* | 1,464 | 152,212 | ||
Procter & Gamble Co. (The) | 148,698 | 16,304,736 | ||
Tyson Foods, Inc. Class A | 30,129 | 2,432,615 | ||
Walgreens Boots Alliance, Inc. | 5,283 | 288,822 | ||
Walmart, Inc. | 9,248 | 1,021,812 | ||
52,893,781 | ||||
Energy — 6.5% | ||||
Anadarko Petroleum Corporation | 2,286 | 161,300 | ||
Baker Hughes a GE Co. | 137,989 | 3,398,669 | ||
Chevron Corporation | 174,759 | 21,747,010 | ||
ConocoPhillips | 46,471 | 2,834,731 | ||
EOG Resources, Inc. | 120,846 | 11,258,013 | ||
Exxon Mobil Corporation | 64,094 | 4,911,523 | ||
Hess CorporationΔ | 154,607 | 9,828,367 | ||
HollyFrontier Corporation | 20,480 | 947,814 | ||
Kinder Morgan, Inc. | 12,449 | 259,935 | ||
Marathon Petroleum Corporation | 50,783 | 2,837,754 | ||
Occidental Petroleum Corporation | 5,070 | 254,920 | ||
Peabody Energy Corporation | 17,665 | 425,727 | ||
Phillips 66 | 122,112 | 11,422,357 | ||
Valero Energy Corporation | 65,489 | 5,606,513 | ||
75,894,633 | ||||
Financials — 20.3% | ||||
Aflac, Inc. | 22,367 | 1,225,935 | ||
Alleghany Corporation* | 1,156 | 787,363 | ||
Allstate Corporation (The) | 9,516 | 967,682 | ||
Ally Financial, Inc. | 78,097 | 2,420,226 | ||
American Express Co. | 83,995 | 10,368,343 | ||
American International Group, Inc. | 334,513 | 17,822,853 | ||
Ameriprise Financial, Inc. | 10,478 | 1,520,986 | ||
Arch Capital Group, Ltd.* | 18,767 | 695,880 | ||
AXA Equitable Holdings, Inc. | 28,491 | 595,462 | ||
Bank of America Corporation | 54,882 | 1,591,578 | ||
Bank of New York Mellon Corporation (The) | 191,165 | 8,439,935 | ||
BankUnited, Inc. | 22,672 | 764,953 | ||
BB&T Corporation | 220,906 | 10,853,112 | ||
Berkshire Hathaway, Inc. Class B* | 69,932 | 14,907,404 | ||
BlackRock, Inc. | 758 | 355,729 | ||
Capital One Financial Corporation | 10,213 | 926,728 | ||
Charles Schwab Corporation (The) | 2,949 | 118,520 | ||
Citigroup, Inc. | 138,081 | 9,669,812 | ||
Citizens Financial Group, Inc. | 65,935 | 2,331,462 | ||
CME Group, Inc. | 2,265 | 439,659 | ||
CNO Financial Group, Inc. | 6,896 | 115,025 | ||
Discover Financial Services | 4,290 | 332,861 | ||
Essent Group, Ltd.* | 3,283 | 154,268 | ||
First Citizens BancShares, Inc. Class A | 319 | 143,636 | ||
First Hawaiian, Inc. | 43,984 | 1,137,866 | ||
Goldman Sachs Group, Inc. (The) | 2,146 | 439,072 |
Table of Contents
Shares | Value | |||
Hanover Insurance Group, Inc. (The) | 3,567 | $457,646 | ||
Hartford Financial Services Group, Inc. (The) | 86,676 | 4,829,587 | ||
IBERIABANK Corporation | 10,503 | 796,653 | ||
Intercontinental Exchange, Inc. | 63,041 | 5,417,744 | ||
JPMorgan Chase & Co. | 279,337 | 31,229,877 | ||
Lincoln National Corporation | 10,251 | 660,677 | ||
Marsh & McLennan Cos., Inc. | 317 | 31,621 | ||
MetLife, Inc. | 98,239 | 4,879,531 | ||
MGIC Investment Corporation* | 117,171 | 1,539,627 | ||
Morgan Stanley | 40,012 | 1,752,926 | ||
Navient Corporation | 77,560 | 1,058,694 | ||
New York Community Bancorp, Inc.Δ | 343,299 | 3,426,124 | ||
Northern Trust Corporation | 123,854 | 11,146,860 | ||
Old Republic International Corporation | 74,925 | 1,676,821 | ||
PNC Financial Services Group, Inc. (The) | 108,795 | 14,935,378 | ||
Popular, Inc. | 31,663 | 1,717,401 | ||
Principal Financial Group, Inc. | 16,523 | 957,012 | ||
Progressive Corporation (The) | 2,335 | 186,637 | ||
Prudential Financial, Inc. | 20,727 | 2,093,427 | ||
Radian Group, Inc. | 39,568 | 904,129 | ||
Reinsurance Group of America, Inc. | 101,044 | 15,765,895 | ||
State Street Corporation | 5,184 | 290,615 | ||
TD Ameritrade Holding Corporation | 121 | 6,040 | ||
Travelers Cos., Inc. (The) | 1,398 | 209,029 | ||
U.S. Bancorp | 425,973 | 22,320,985 | ||
Voya Financial, Inc. | 39,476 | 2,183,023 | ||
Wells Fargo & Co. | 280,126 | 13,255,562 | ||
Zions Bancorp NA | 63,800 | 2,933,524 | ||
235,789,395 | ||||
Health Care — 11.2% | ||||
Abbott Laboratories | 6,514 | 547,827 | ||
Agilent Technologies, Inc. | 28,109 | 2,098,899 | ||
Alexion Pharmaceuticals, Inc.* | 711 | 93,127 | ||
Amgen, Inc. | 1,092 | 201,234 | ||
Anthem, Inc. | 34,903 | 9,849,976 | ||
Baxter International, Inc. | 2,173 | 177,969 | ||
Becton, Dickinson and Co. | 1,687 | 425,141 | ||
Biogen, Inc.* | 1,055 | 246,733 | ||
Boston Scientific Corporation* | 192 | 8,252 | ||
Bristol-Myers Squibb Co. | 53,690 | 2,434,842 | ||
Bruker Corporation | 29,334 | 1,465,233 | ||
Centene Corporation* | 35,202 | 1,845,993 | ||
Cerner Corporation | 95,000 | 6,963,500 | ||
Cigna Corporation | 22,911 | 3,609,628 | ||
CVS Health Corporation | 168,036 | 9,156,282 | ||
Danaher Corporation | 3,971 | 567,535 | ||
Eli Lilly & Co. | 22,005 | 2,437,934 | ||
Exelixis, Inc.* | 23,614 | 504,631 | ||
Gilead Sciences, Inc. | 64,535 | 4,359,985 | ||
HCA Healthcare, Inc. | 850 | 114,895 | ||
Humana, Inc. | 8,858 | 2,350,027 | ||
Johnson & Johnson | 251,497 | 35,028,502 | ||
McKesson Corporation | 28,393 | 3,815,735 | ||
Mettler-Toledo International, Inc.* | 885 | 743,400 | ||
Molina Healthcare, Inc.* | 29,589 | 4,235,369 |
Shares | Value | |||
Quest Diagnostics, Inc. | 108,900 | $11,087,109 | ||
Regeneron Pharmaceuticals, Inc.* | 576 | 180,288 | ||
Repligen CorporationΔ* | 2,075 | 178,346 | ||
Thermo Fisher Scientific, Inc. | 1,050 | 308,364 | ||
UnitedHealth Group, Inc. | 28,122 | 6,862,049 | ||
Varian Medical Systems, Inc.* | 12,229 | 1,664,734 | ||
Waters Corporation* | 3,072 | 661,217 | ||
Zimmer Biomet Holdings, Inc. | 129,700 | 15,270,878 | ||
Zoetis, Inc. | 7,603 | 862,864 | ||
130,358,498 | ||||
Industrials — 8.0% | ||||
3M Co. | 943 | 163,460 | ||
Allison Transmission Holdings, Inc. | 8,054 | 373,303 | ||
Carlisle Cos., Inc. | 4,849 | 680,848 | ||
Caterpillar, Inc. | 3,220 | 438,854 | ||
Crane Co. | 1,408 | 117,484 | ||
CSX Corporation | 2,895 | 223,986 | ||
Cummins, Inc. | 1,371 | 234,907 | ||
Curtiss-Wright Corporation | 10,812 | 1,374,530 | ||
Deere & Co. | 1,805 | 299,107 | ||
Delta Air Lines, Inc. | 13,853 | 786,158 | ||
EMCOR Group, Inc. | 15,278 | 1,345,992 | ||
Emerson Electric Co. | 9,540 | 636,509 | ||
FedEx Corporation | 1,548 | 254,166 | ||
General Dynamics Corporation | 26,978 | 4,905,140 | ||
General Electric Co. | 1,269,270 | 13,327,335 | ||
HD Supply Holdings, Inc.* | 7,769 | 312,935 | ||
Hillenbrand, Inc. | 8,646 | 342,122 | ||
Honeywell International, Inc. | 2,294 | 400,509 | ||
Hubbell, Inc. | 96,000 | 12,518,400 | ||
Jacobs Engineering Group, Inc. | 102,063 | 8,613,097 | ||
JetBlue Airways Corporation* | 83,622 | 1,546,171 | ||
Lockheed Martin Corporation | 32 | 11,633 | ||
ManpowerGroup, Inc. | 23,006 | 2,222,380 | ||
Norfolk Southern Corporation | 1,348 | 268,697 | ||
PACCAR, Inc. | 20,492 | 1,468,457 | ||
Raytheon Co. | 729 | 126,758 | ||
Regal Beloit Corporation | 5,472 | 447,117 | ||
Resideo Technologies, Inc.* | 116 | 2,543 | ||
Robert Half International, Inc. | 17,427 | 993,513 | ||
Roper Technologies, Inc. | 430 | 157,492 | ||
Southwest Airlines Co. | 151,151 | 7,675,448 | ||
Spirit AeroSystems Holdings, Inc. Class A | 8,341 | 678,707 | ||
Teledyne Technologies, Inc.* | 3,624 | 992,505 | ||
Terex Corporation | 51,060 | 1,603,284 | ||
Textron, Inc. | 84,963 | 4,506,437 | ||
Uber Technologies, Inc.* | 756 | 35,063 | ||
United Continental Holdings, Inc.* | 24,335 | 2,130,529 | ||
United Parcel Service, Inc. Class B | 29,535 | 3,050,079 | ||
United Technologies Corporation | 79,773 | 10,386,445 | ||
Wabtec CorporationΔ | 92,632 | 6,647,272 | ||
Waste Management, Inc. | 593 | 68,414 | ||
WESCO International, Inc.* | 13,391 | 678,254 | ||
93,046,040 | ||||
Information Technology — 7.5% | ||||
Analog Devices, Inc. | 1,759 | 198,538 |
Table of Contents
Shares | Value | |||
Applied Materials, Inc. | 156,957 | $7,048,939 | ||
Autodesk, Inc.* | 138 | 22,480 | ||
Avnet, Inc. | 24,297 | 1,099,925 | ||
Broadcom, Inc. | 18,762 | 5,400,829 | ||
Cadence Design Systems, Inc.* | 24,627 | 1,743,838 | ||
Cisco Systems, Inc. | 90,602 | 4,958,647 | ||
Citrix Systems, Inc. | 16,564 | 1,625,591 | ||
Cognizant Technology Solutions Corporation Class A | 3,431 | 217,491 | ||
Corning, Inc. | 125,775 | 4,179,503 | ||
Cypress Semiconductor Corporation | 170,100 | 3,783,024 | ||
Dell Technologies, Inc. Class C* | 387 | 19,660 | ||
Fidelity National Information Services, Inc. | 913 | 112,007 | ||
Hewlett Packard Enterprise Co. | 1,779 | 26,596 | ||
HP, Inc. | 117,440 | 2,441,578 | ||
Intel Corporation | 42,552 | 2,036,964 | ||
International Business Machines Corporation | 22,474 | 3,099,165 | ||
Intuit, Inc. | 1,244 | 325,094 | ||
Jabil, Inc. | 30,383 | 960,103 | ||
Manhattan Associates, Inc.* | 14,332 | 993,638 | ||
Maxim Integrated Products, Inc. | 100,500 | 6,011,910 | ||
Micron Technology, Inc.* | 6,655 | 256,816 | ||
Microsoft Corporation | 82,083 | 10,995,839 | ||
Oracle Corporation | 221,434 | 12,615,095 | ||
QUALCOMM, Inc. | 114,766 | 8,730,250 | ||
Synopsys, Inc.* | 2,180 | 280,544 | ||
Teradata CorporationΔ* | 30,307 | 1,086,506 | ||
Texas Instruments, Inc. | 48,403 | 5,554,728 | ||
VeriSign, Inc.* | 7,179 | 1,501,560 | ||
Worldpay, Inc. Class A* | 462 | 56,618 | ||
87,383,476 | ||||
Materials — 4.3% | ||||
Air Products & Chemicals, Inc. | 62,949 | 14,249,765 | ||
Cabot Corporation | 8,018 | 382,539 | ||
Cleveland-Cliffs, Inc.Δ | 51,710 | 551,746 | ||
Corteva, Inc.* | 267,987 | 7,924,375 | ||
Domtar Corporation | 20,877 | 929,653 | ||
Dow, Inc. | 81,152 | 4,001,605 | ||
DuPont de Nemours, Inc. | 125,361 | 9,410,850 | ||
Freeport-McMoRan, Inc. | 305,131 | 3,542,571 | ||
Huntsman Corporation | 51,978 | 1,062,430 | ||
PPG Industries, Inc. | 931 | 108,657 | ||
Reliance Steel & Aluminum Co. | 19,742 | 1,867,988 | ||
Sonoco Products Co. | 76,600 | 5,005,044 | ||
Southern Copper Corporation | 295 | 11,461 | ||
Steel Dynamics, Inc. | 36,328 | 1,097,106 | ||
Trinseo SA | 5,885 | 249,171 | ||
50,394,961 | ||||
Real Estate — 2.2% | ||||
American Campus Communities, Inc. REIT | 29,815 | 1,376,261 | ||
Brandywine Realty Trust REIT | 9,464 | 135,525 | ||
CBRE Group, Inc. Class A* | 41,921 | 2,150,547 | ||
Corporate Office Properties Trust REIT | 9,144 | 241,127 |
Shares | Value | |||
Cousins Properties, Inc. REITΔ | 27,525 | $995,579 | ||
Crown Castle International Corporation REIT | 22 | 2,868 | ||
Douglas Emmett, Inc. REIT | 4,073 | 162,268 | ||
Jones Lang LaSalle, Inc.Δ | 28,177 | 3,964,222 | ||
Paramount Group, Inc. REIT | 40,834 | 572,085 | ||
Park Hotels & Resorts, Inc. REIT | 78,311 | 2,158,251 | ||
Prologis, Inc. REIT | 3,910 | 313,191 | ||
Public Storage REIT | 313 | 74,547 | ||
Simon Property Group, Inc. REIT | 542 | 86,590 | ||
VEREIT, Inc. REIT | 79,710 | 718,187 | ||
Welltower, Inc. REIT | 72,300 | 5,894,619 | ||
Weyerhaeuser Co. REIT | 264,900 | 6,977,466 | ||
25,823,333 | ||||
Utilities — 4.1% | ||||
AES Corporation | 356,312 | 5,971,789 | ||
American Electric Power Co., Inc. | 2,866 | 252,237 | ||
Dominion Energy, Inc. | 121,139 | 9,366,467 | ||
Duke Energy Corporation | 5,419 | 478,173 | ||
Exelon Corporation | 61,846 | 2,964,897 | ||
NextEra Energy, Inc. | 2,973 | 609,049 | ||
Pinnacle West Capital Corporation | 154,200 | 14,508,678 | ||
PNM Resources, Inc. | 18,452 | 939,391 | ||
Portland General Electric Co. | 27,768 | 1,504,193 | ||
Public Service Enterprise Group, Inc. | 36,578 | 2,151,518 | ||
Sempra Energy | 9,452 | 1,299,083 | ||
Southern Co. (The) | 6,826 | 377,341 | ||
Southwest Gas Holdings, Inc. | 8,132 | 728,790 | ||
Xcel Energy, Inc. | 117,000 | 6,960,330 | ||
48,111,936 | ||||
Total Common Stocks (Cost $814,216,640) | 925,424,550 | |||
FOREIGN COMMON STOCKS — 16.6% | ||||
Curacao — 1.2% | ||||
Schlumberger, Ltd. | 343,962 | 13,669,050 | ||
France — 1.5% | ||||
Sanofi ADR | 120,431 | 5,211,049 | ||
TOTAL SA ADR | 223,100 | 12,446,749 | ||
17,657,798 | ||||
Germany — 0.7% | ||||
Siemens AG | 68,935 | 8,199,175 | ||
Ireland — 5.9% | ||||
Eaton Corporation PLC | 2,914 | 242,678 | ||
Jazz Pharmaceuticals PLC* | 4,797 | 683,860 | ||
Johnson Controls International PLC | 589,493 | 24,351,956 | ||
Linde PLC | 3,444 | 691,555 | ||
Medtronic PLC | 350,181 | 34,104,128 | ||
nVent Electric PLC | 359,464 | 8,911,112 | ||
68,985,289 | ||||
Israel — 0.0% | ||||
Israel Chemicals, Ltd.Δ | 28,462 | 148,002 | ||
Taro Pharmaceutical Industries, Ltd. | 813 | 69,447 | ||
217,449 |
Table of Contents
Shares | Value | |||
Japan — 0.4% | ||||
Honda Motor Co., Ltd. ADR | 202,900 | $5,242,936 | ||
Netherlands — 0.3% | ||||
Koninklijke Philips NVΔ | 66,900 | 2,915,502 | ||
LyondellBasell Industries NV Class A | 2,031 | 174,930 | ||
3,090,432 | ||||
Norway — 0.9% | ||||
Orkla ASA | 1,191,608 | 10,571,645 | ||
Sweden — 0.6% | ||||
Atlas Copco AB, B Shares | 228,734 | 6,561,895 | ||
Switzerland — 3.4% | ||||
Chubb, Ltd. | 99,349 | 14,633,114 | ||
Nestle SA | 58,214 | 6,026,539 | ||
Novartis AG ADR | 126,400 | 11,541,584 | ||
TE Connectivity, Ltd. | 82,800 | 7,930,584 | ||
40,131,821 | ||||
United Kingdom — 1.7% | ||||
BP PLC ADR | 253,668 | 10,577,955 | ||
Nielsen Holdings PLC | 299,391 | 6,766,237 | ||
TechnipFMC PLC | 73,400 | 1,903,996 | ||
19,248,188 | ||||
Total Foreign Common Stocks (Cost $189,523,662) | 193,575,678 | |||
MUTUAL FUNDS — 0.8% | ||||
iShares Russell 1000 Value ETF (Cost $8,745,437) | 69,500 | 8,841,790 | ||
MONEY MARKET FUNDS — 3.1% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 34,621,659 | 34,621,659 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 932,558 | 932,558 | ||
Total Money Market Funds (Cost $35,554,217) | 35,554,217 |
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.1% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $1,486,247) | $1,500,000 | $1,487,756 | ||
TOTAL INVESTMENTS —100.2% (Cost $1,049,526,203) | 1,164,883,991 | |||
Liabilities in Excess of Other Assets — (0.2)% | (2,706,934) | |||
NET ASSETS — 100.0% | $1,162,177,057 |
% | |
Financials | 21.5 |
Health Care | 15.8 |
Industrials | 12.8 |
Energy | 9.9 |
Information Technology | 8.2 |
Consumer Discretionary | 6.6 |
Consumer Staples | 6.0 |
Communication Services | 4.7 |
Materials | 4.4 |
Utilities | 4.1 |
Money Market Funds | 3.1 |
Real Estate | 2.2 |
Mutual Funds | 0.8 |
U.S. Treasury Obligation | 0.1 |
100.2 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Micro S&P 500® E-Mini | 09/2019 | 17 | $250,257 | $1,979 | ||||
S&P 500® E-Mini | 09/2019 | 235 | 34,594,350 | 568,373 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $34,844,607 | $570,352 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/19 | U.S. Dollars | 5,130,150 | Japanese Yen | 548,454,103 | BOA | $8,289 | ||||||
Subtotal Appreciation | $8,289 | |||||||||||
09/30/19 | U.S. Dollars | 10,352,628 | Norwegian Kroner | 88,284,568 | GSC | $(22,349) | ||||||
09/30/19 | U.S. Dollars | 6,333,695 | Swedish Kronor | 59,084,508 | GSC | (70,836) | ||||||
09/30/19 | U.S. Dollars | 20,130,273 | Euro | 17,649,619 | CS | (86,277) | ||||||
09/30/19 | U.S. Dollars | 17,148,281 | Swiss Francs | 16,704,483 | UBS | (107,265) | ||||||
Subtotal Depreciation | $(286,727) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $(278,438) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $925,424,550 | $925,424,550 | $— | $— | |||
Foreign Common Stocks | 193,575,678 | 193,575,678 | — | — | |||
Money Market Funds | 35,554,217 | 35,554,217 | — | — | |||
Mutual Funds | 8,841,790 | 8,841,790 | — | — | |||
U.S. Treasury Obligation | 1,487,756 | — | 1,487,756 | — | |||
Total Assets - Investments in Securities | $1,164,883,991 | $1,163,396,235 | $1,487,756 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $8,289 | $— | $8,289 | $— | |||
Futures Contracts | 570,352 | 570,352 | — | — | |||
Total Assets - Other Financial Instruments | $578,641 | $570,352 | $8,289 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(286,727) | $— | $(286,727) | $— | |||
Total Liabilities - Other Financial Instruments | $(286,727) | $ — | $(286,727) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts and forwards contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" and "Forwards Foreign Currency Contracts outstanding" disclosures. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 93.1% | ||||
Communication Services — 12.2% | ||||
Activision Blizzard, Inc. | 58,900 | $2,780,080 | ||
Alphabet, Inc. Class A* | 27,352 | 29,616,746 | ||
Alphabet, Inc. Class C* | 36,192 | 39,120,295 | ||
Comcast Corporation Class A | 262,279 | 11,089,156 | ||
Electronic Arts, Inc.* | 92,881 | 9,405,130 | ||
Facebook, Inc. Class A* | 359,360 | 69,356,480 | ||
Match Group, Inc.Δ | 103,900 | 6,989,353 | ||
Netflix, Inc.* | 36,429 | 13,381,100 | ||
Walt Disney (The) Co. | 107,467 | 15,006,692 | ||
196,745,032 | ||||
Consumer Discretionary — 15.4% | ||||
Advance Auto Parts, Inc. | 55,530 | 8,559,394 | ||
Alibaba Group Holding, Ltd. ADR* | 328,005 | 55,580,447 | ||
Amazon.com, Inc.* | 54,177 | 102,591,193 | ||
Booking Holdings, Inc.* | 4,426 | 8,297,466 | ||
Chipotle Mexican Grill, Inc.* | 11,284 | 8,269,818 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 90,030 | 3,772,257 | ||
GrubHub, Inc.Δ* | 77,414 | 6,037,518 | ||
Home Depot, Inc. (The) | 51,806 | 10,774,094 | ||
Starbucks Corporation | 208,449 | 17,474,280 | ||
TJX Cos., Inc. (The) | 151,544 | 8,013,647 | ||
Yum China Holdings, Inc. | 158,224 | 7,309,949 | ||
Yum! Brands, Inc. | 101,929 | 11,280,482 | ||
247,960,545 | ||||
Consumer Staples — 6.9% | ||||
Coca-Cola Co. (The) | 393,197 | 20,021,591 | ||
Colgate-Palmolive Co. | 271,123 | 19,431,385 | ||
Costco Wholesale Corporation | 64,109 | 16,941,444 | ||
Estee Lauder Cos., Inc. (The) Class A | 53,326 | 9,764,524 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 35,858 | 5,558,349 | ||
Monster Beverage Corporation* | 387,742 | 24,749,572 | ||
Procter & Gamble Co. (The) | 136,408 | 14,957,137 | ||
111,424,002 | ||||
Energy — 0.5% | ||||
Pioneer Natural Resources Co. | 48,146 | 7,407,743 | ||
Financials — 3.5% | ||||
American Express Co. | 130,644 | 16,126,695 | ||
BlackRock, Inc. | 18,524 | 8,693,313 | ||
Charles Schwab Corporation (The) | 241,328 | 9,698,972 | ||
FactSet Research Systems, Inc.Δ | 37,924 | 10,867,502 | ||
SEI Investments Co. | 208,764 | 11,711,661 | ||
57,098,143 | ||||
Health Care — 13.4% | ||||
ABIOMED, Inc.* | 11,050 | 2,878,415 | ||
Alexion Pharmaceuticals, Inc.* | 76,632 | 10,037,259 | ||
Align Technology, Inc.* | 17,400 | 4,762,380 | ||
Amgen, Inc. | 49,477 | 9,117,622 | ||
BioMarin Pharmaceutical, Inc.* | 108,093 | 9,258,165 | ||
Cerner Corporation | 166,456 | 12,201,225 | ||
Danaher Corporation | 79,089 | 11,303,400 |
Shares | Value | |||
DexCom, Inc.* | 61,903 | $9,275,546 | ||
Edwards Lifesciences Corporation* | 82,889 | 15,312,914 | ||
Illumina, Inc.* | 20,957 | 7,715,320 | ||
Intuitive Surgical, Inc.* | 21,282 | 11,163,473 | ||
Johnson & Johnson | 68,876 | 9,593,049 | ||
Mirati Therapeutics, Inc.Δ* | 14,853 | 1,529,859 | ||
Regeneron Pharmaceuticals, Inc.* | 43,083 | 13,484,979 | ||
Sarepta Therapeutics, Inc.Δ* | 20,514 | 3,117,102 | ||
Thermo Fisher Scientific, Inc. | 86,749 | 25,476,446 | ||
UnitedHealth Group, Inc. | 70,585 | 17,223,446 | ||
Varian Medical Systems, Inc.* | 76,247 | 10,379,504 | ||
Zoetis, Inc. | 279,658 | 31,738,386 | ||
215,568,490 | ||||
Industrials — 8.3% | ||||
BWX Technologies, Inc. | 110,287 | 5,745,953 | ||
C.H. Robinson Worldwide, Inc. | 40,620 | 3,426,297 | ||
Caterpillar, Inc. | 47,246 | 6,439,157 | ||
Cintas Corporation | 41,982 | 9,961,909 | ||
CoStar Group, Inc.* | 17,941 | 9,940,390 | ||
Deere & Co. | 85,343 | 14,142,189 | ||
Expeditors International of Washington, Inc. | 213,094 | 16,165,311 | ||
Fortive Corporation | 118,995 | 9,700,472 | ||
Honeywell International, Inc. | 69,894 | 12,202,793 | ||
IHS Markit, Ltd.* | 146,250 | 9,319,050 | ||
Roper Technologies, Inc. | 34,130 | 12,500,454 | ||
Uber Technologies, Inc.Δ* | 127,070 | 5,893,507 | ||
United Parcel Service, Inc. Class B | 91,142 | 9,412,234 | ||
W.W. Grainger, Inc. | 35,925 | 9,636,163 | ||
134,485,879 | ||||
Information Technology — 30.1% | ||||
Adobe, Inc.* | 114,260 | 33,666,709 | ||
Akamai Technologies, Inc.* | 141,711 | 11,356,719 | ||
Amphenol Corporation Class A | 89,038 | 8,542,306 | ||
Apple, Inc. | 58,737 | 11,625,227 | ||
Autodesk, Inc.* | 206,912 | 33,705,965 | ||
Automatic Data Processing, Inc. | 36,436 | 6,023,964 | ||
Cisco Systems, Inc. | 280,832 | 15,369,935 | ||
FleetCor Technologies, Inc.* | 17,428 | 4,894,654 | ||
Genpact, Ltd. | 227,536 | 8,666,846 | ||
Intuit, Inc. | 61,893 | 16,174,498 | ||
Microsoft Corporation | 468,956 | 62,821,346 | ||
Nutanix, Inc. Class A* | 156,902 | 4,070,038 | ||
NVIDIA Corporation | 109,867 | 18,043,457 | ||
Oracle Corporation | 675,276 | 38,470,474 | ||
Palo Alto Networks, Inc.* | 48,747 | 9,932,689 | ||
PayPal Holdings, Inc.* | 138,649 | 15,869,764 | ||
QUALCOMM, Inc. | 366,156 | 27,853,487 | ||
salesforce.com, Inc.* | 119,733 | 18,167,088 | ||
ServiceNow, Inc.* | 60,300 | 16,556,571 | ||
Splunk, Inc.* | 69,515 | 8,741,511 | ||
Texas Instruments, Inc. | 79,930 | 9,172,767 | ||
TiVo Corporation | 7 | 52 | ||
Twilio, Inc. Class AΔ* | 22,200 | 3,026,970 | ||
Visa, Inc. Class AΔ | 530,075 | 91,994,516 |
Table of Contents
Shares | Value | |||
Vmware, Inc. Class A | 40,644 | $6,796,083 | ||
Workday, Inc. Class A* | 19,700 | 4,049,926 | ||
485,593,562 | ||||
Materials — 1.3% | ||||
Ecolab, Inc. | 55,430 | 10,944,099 | ||
Sherwin-Williams Co. (The) | 21,809 | 9,994,847 | ||
20,938,946 | ||||
Real Estate — 1.5% | ||||
Equinix, Inc. REIT | 21,191 | 10,686,409 | ||
SBA Communications Corporation REIT* | 56,434 | 12,688,621 | ||
23,375,030 | ||||
Total Common Stocks (Cost $1,009,883,946) | 1,500,597,372 | |||
FOREIGN COMMON STOCKS — 3.3% | ||||
Curacao — 0.5% | ||||
Schlumberger, Ltd. | 215,661 | 8,570,368 | ||
France — 0.9% | ||||
Danone SA ADRΔ | 862,086 | 14,595,116 | ||
Ireland — 0.6% | ||||
Linde PLC | 47,542 | 9,546,434 | ||
Netherlands — 0.4% | ||||
NXP Semiconductor NV | 65,988 | 6,441,089 | ||
Switzerland — 0.7% | ||||
Alcon, Inc.Δ* | 21,126 | 1,310,868 | ||
Novartis AG ADRΔ | 105,633 | 9,645,349 | ||
10,956,217 | ||||
United Kingdom — 0.2% | ||||
Atlassian Corporation PLC Class A* | 20,400 | 2,669,136 | ||
Total Foreign Common Stocks (Cost $52,246,485) | 52,778,360 | |||
MONEY MARKET FUNDS — 3.7% | ||||
GuideStone Money Market Fund, 2.29%Ø∞ | 58,959,305 | 58,959,305 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 1,048,655 | 1,048,655 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 9 | $9 | ||
Total Money Market Funds (Cost $60,007,969) | 60,007,969 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $2,873,563) | $2,900,000 | 2,876,327 | |
TOTAL INVESTMENTS —100.3% (Cost $1,125,011,963) | 1,616,260,028 | ||
Liabilities in Excess of Other Assets — (0.3)% | (4,168,319) | ||
NET ASSETS — 100.0% | $1,612,091,709 |
% | |
Information Technology | 30.7 |
Consumer Discretionary | 15.4 |
Health Care | 14.1 |
Communication Services | 12.2 |
Industrials | 8.3 |
Consumer Staples | 7.8 |
Money Market Funds | 3.7 |
Financials | 3.5 |
Materials | 1.9 |
Real Estate | 1.5 |
Energy | 1.0 |
U.S. Treasury Obligation | 0.2 |
100.3 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2019 | 400 | $58,884,000 | $846,994 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,500,597,372 | $1,500,597,372 | $— | $— | |||
Foreign Common Stocks | 52,778,360 | 52,778,360 | — | — | |||
Money Market Funds | 60,007,969 | 60,007,969 | — | — | |||
U.S. Treasury Obligation | 2,876,327 | — | 2,876,327 | — | |||
Total Assets - Investments in Securities | $1,616,260,028 | $1,613,383,701 | $2,876,327 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $846,994 | $846,994 | $— | $— | |||
Total Assets - Other Financial Instruments | $846,994 | $846,994 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 92.6% | ||||
Communication Services — 3.2% | ||||
AMC Networks, Inc. Class AΔ* | 15,682 | $854,512 | ||
ATN International, Inc. | 12,563 | 725,262 | ||
Cable One, Inc. | 2,910 | 3,407,581 | ||
Cogent Communications Holdings, Inc. | 39,400 | 2,338,784 | ||
comScore, Inc.* | 40,200 | 207,432 | ||
DHI Group, Inc.Δ* | 54,461 | 194,426 | ||
Hemisphere Media Group, Inc.* | 900 | 11,628 | ||
John Wiley & Sons, Inc. Class A | 3,300 | 151,338 | ||
Liberty Latin America, Ltd. Class C* | 4,500 | 77,355 | ||
Liberty TripAdvisor Holdings, Inc. Class A* | 56,742 | 703,601 | ||
Marchex, Inc. Class BΔ* | 65,168 | 306,289 | ||
Marcus Corporation (The) | 8,810 | 290,377 | ||
Meet Group, Inc. (The)Δ* | 138,587 | 482,283 | ||
MSG Networks, Inc. Class A* | 25,066 | 519,869 | ||
Nexstar Media Group, Inc. Class AΔ | 6,882 | 695,082 | ||
Rosetta Stone, Inc.* | 122,015 | 2,791,703 | ||
Scholastic Corporation | 7,700 | 255,948 | ||
Shenandoah Telecommunications Co. | 49,000 | 1,887,480 | ||
TEGNA, Inc.Δ | 82,671 | 1,252,466 | ||
Telephone & Data Systems, Inc. | 6,445 | 195,928 | ||
TravelzooΔ* | 9,220 | 142,357 | ||
Yelp, Inc.* | 19,124 | 653,658 | ||
18,145,359 | ||||
Consumer Discretionary — 9.6% | ||||
1-800-Flowers.com, Inc. Class A* | 7,314 | 138,088 | ||
Aaron's, Inc. | 16,600 | 1,019,406 | ||
Adtalem Global Education, Inc.* | 3,800 | 171,190 | ||
American Axle & Manufacturing Holdings, Inc.Δ* | 51,742 | 660,228 | ||
American Eagle Outfitters, Inc. | 69,049 | 1,166,928 | ||
American Public Education, Inc.* | 2,400 | 70,992 | ||
Bassett Furniture Industries, Inc. | 12,795 | 195,124 | ||
BBX Capital Corporation | 28,979 | 142,287 | ||
Brinker International, Inc.Δ | 24,092 | 948,020 | ||
Callaway Golf Co.Δ | 129,000 | 2,213,640 | ||
Cheesecake Factory, Inc. (The)Δ | 23,739 | 1,037,869 | ||
Chegg, Inc.Δ* | 84,100 | 3,245,419 | ||
Chuy's Holdings, Inc.* | 15,904 | 364,520 | ||
Collectors Universe, Inc. | 3,710 | 79,171 | ||
Container Store Group, Inc. (The)Δ* | 6,100 | 44,652 | ||
Cooper-Standard Holdings, Inc.* | 16,510 | 756,488 | ||
CSS Industries, Inc. | 4,400 | 21,472 | ||
Deckers Outdoor Corporation* | 5,882 | 1,035,056 | ||
Ethan Allen Interiors, Inc. | 11,457 | 241,284 | ||
Fiesta Restaurant Group, Inc.* | 8,400 | 110,376 | ||
Five Below, Inc.* | 10,040 | 1,205,001 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 26,700 | 1,118,730 | ||
Genesco, Inc.Δ* | 15,700 | 663,953 | ||
Graham Holdings Co. Class B | 849 | 585,835 | ||
Green Brick Partners, Inc.Δ* | 24,008 | 199,506 | ||
Group 1 Automotive, Inc. | 13,610 | 1,114,523 | ||
H&R Block, Inc.Δ | 40,018 | 1,172,527 | ||
Hilton Grand Vacations, Inc.Δ* | 69,200 | 2,201,944 |
Shares | Value | |||
Hooker Furniture Corporation | 26,664 | $549,812 | ||
Hudson, Ltd. Class A* | 166,000 | 2,289,140 | ||
Jack in the Box, Inc. | 15,835 | 1,288,811 | ||
K12, Inc.* | 54,693 | 1,663,214 | ||
Lands' End, Inc.Δ* | 8,508 | 103,968 | ||
La-Z-Boy, Inc. | 18,379 | 563,500 | ||
Malibu Boats, Inc. Class A* | 31,101 | 1,208,274 | ||
MasterCraft Boat Holdings, Inc.* | 4,098 | 80,280 | ||
Modine Manufacturing Co.* | 17,600 | 251,856 | ||
Monro, Inc.Δ | 30,550 | 2,605,915 | ||
Murphy USA, Inc.Δ* | 8,400 | 705,852 | ||
National Vision Holdings, Inc.Δ* | 106,300 | 3,266,599 | ||
Office Depot, Inc.Δ | 109,752 | 226,089 | ||
Ollie's Bargain Outlet Holdings, Inc.* | 29,100 | 2,534,901 | ||
OneSpaWorld Holdings, Ltd.Δ* | 133,600 | 2,070,800 | ||
PulteGroup, Inc. | 2,602 | 82,275 | ||
Ralph Lauren Corporation | 4,718 | 535,918 | ||
RealReal, Inc. (The)* | 9,900 | 286,110 | ||
Regis Corporation* | 15,905 | 264,023 | ||
Rent-A-Center, Inc.* | 1,800 | 47,934 | ||
Sally Beauty Holdings, Inc.Δ* | 26,618 | 355,084 | ||
Steven Madden, Ltd.Δ | 52,371 | 1,777,995 | ||
Strategic Education, Inc. | 36,500 | 6,497,000 | ||
Taylor Morrison Home Corporation Class A* | 6,720 | 140,851 | ||
Tenneco, Inc. | 37,845 | 419,701 | ||
Tilly's, Inc. Class A | 4,556 | 34,762 | ||
Toll Brothers, Inc. | 9,634 | 352,797 | ||
Tower International, Inc. | 27,749 | 541,106 | ||
Town Sports International Holdings, Inc.* | 2,600 | 5,642 | ||
TRI Pointe Group, Inc.* | 9,514 | 113,883 | ||
Universal Electronics, Inc.* | 2,439 | 100,048 | ||
Vista Outdoor, Inc.* | 39,703 | 352,563 | ||
Visteon CorporationΔ* | 20,090 | 1,176,872 | ||
Wendy's Co. (The) | 31,301 | 612,874 | ||
Wyndham Destinations, Inc. | 6,680 | 293,252 | ||
55,323,930 | ||||
Consumer Staples — 1.5% | ||||
Andersons, Inc. (The) | 5,100 | 138,924 | ||
BJ's Wholesale Club Holdings, Inc.* | 113,200 | 2,988,480 | ||
Dean Foods Co.Δ | 127,379 | 117,673 | ||
Edgewell Personal Care Co.* | 23,419 | 631,142 | ||
Fresh Del Monte Produce, Inc. | 29,247 | 788,207 | ||
Ingles Markets, Inc. Class AΔ | 14,838 | 461,907 | ||
Ingredion, Inc. | 6,729 | 555,075 | ||
J&J Snack Foods Corporation | 8,713 | 1,402,357 | ||
Lifevantage CorporationΔ* | 21,752 | 282,341 | ||
Natural Grocers by Vitamin Cottage, Inc.* | 10,200 | 102,510 | ||
Pilgrim’s Pride Corporation* | 18,167 | 461,260 | ||
Post Holdings, Inc.* | 800 | 83,176 | ||
Sanderson Farms, Inc.Δ | 1,584 | 216,311 | ||
SpartanNash Co. | 31,600 | 368,772 | ||
US Foods Holding Corporation* | 5,800 | 207,408 | ||
8,805,543 |
Table of Contents
Shares | Value | |||
Energy — 3.7% | ||||
Apergy Corporation* | 39,300 | $1,318,122 | ||
Arch Coal, Inc. Class AΔ | 23,338 | 2,198,673 | ||
Archrock, Inc. | 38,337 | 406,372 | ||
Berry Petroleum Corporation | 21,000 | 222,600 | ||
Bonanza Creek Energy, Inc.Δ* | 10,010 | 209,009 | ||
C&J Energy Services, Inc.* | 33,000 | 388,740 | ||
Cactus, Inc. Class A* | 39,000 | 1,291,680 | ||
Carrizo Oil & Gas, Inc.Δ* | 83,329 | 834,957 | ||
CONSOL Energy, Inc.Δ* | 25,246 | 671,796 | ||
CVR Energy, Inc. | 1,400 | 69,986 | ||
Exterran Corporation* | 36,520 | 519,314 | ||
FTS International, Inc.Δ* | 18,700 | 104,346 | ||
Gran Tierra Energy, Inc.* | 109,703 | 174,428 | ||
Gulf Island Fabrication, Inc.* | 1,200 | 8,520 | ||
Hallador Energy Co. | 13,042 | 73,426 | ||
HollyFrontier Corporation | 7,758 | 359,040 | ||
Keane Group, Inc.* | 111,713 | 750,711 | ||
KLX Energy Services Holdings, Inc.Δ* | 10,532 | 215,169 | ||
Matador Resources Co.Δ* | 94,300 | 1,874,684 | ||
Matrix Service Co.* | 24,300 | 492,318 | ||
Midstates Petroleum Co., Inc.* | 50,757 | 298,959 | ||
Overseas Shipholding Group, Inc. Class A* | 138,146 | 259,715 | ||
Par Pacific Holdings, Inc.* | 31,300 | 642,276 | ||
Patterson-UTI Energy, Inc.Δ | 42,840 | 493,088 | ||
Peabody Energy Corporation | 48,400 | 1,166,440 | ||
Renewable Energy Group, Inc.Δ* | 28,000 | 444,080 | ||
REX American Resources Corporation* | 4,234 | 308,659 | ||
SEACOR Holdings, Inc.Δ* | 10,900 | 517,859 | ||
SM Energy Co. | 16,000 | 200,320 | ||
Solaris Oilfield Infrastructure, Inc. Class AΔ | 73,500 | 1,101,030 | ||
Southwestern Energy Co.Δ* | 81,232 | 256,693 | ||
SRC Energy, Inc.* | 51,483 | 255,356 | ||
Superior Energy Services, Inc.* | 138,100 | 179,530 | ||
Talos Energy, Inc.* | 18,498 | 444,877 | ||
Unit Corporation* | 17,800 | 158,242 | ||
US Silica Holdings, Inc.Δ | 21,867 | 279,679 | ||
W&T Offshore, Inc.Δ* | 71,046 | 352,388 | ||
World Fuel Services Corporation | 39,678 | 1,426,821 | ||
20,969,903 | ||||
Financials — 15.5% | ||||
1st Source Corporation | 12,278 | 569,699 | ||
Alleghany Corporation* | 901 | 613,680 | ||
American Equity Investment Life Holding Co. | 72,595 | 1,971,680 | ||
American National Bankshares, Inc. | 500 | 19,375 | ||
AMERISAFE, Inc. | 21,000 | 1,339,170 | ||
Argo Group International Holdings, Ltd. | 11,600 | 858,980 | ||
Atlantic Capital Bancshares, Inc.* | 12,900 | 220,848 | ||
AXA Equitable Holdings, Inc. | 10,830 | 226,347 | ||
BancFirst Corporation | 9,100 | 506,506 | ||
Bancorp, Inc. (The)* | 94,811 | 845,714 | ||
Bank of Commerce HoldingsΔ | 2,061 | 22,032 |
Shares | Value | |||
Bank of Marin Bancorp | 6,360 | $260,887 | ||
BankFinancial Corporation | 3,900 | 54,561 | ||
BankUnited, Inc. | 10,905 | 367,935 | ||
Banner Corporation | 14,600 | 790,590 | ||
Baycom CorporationΔ* | 3,125 | 68,437 | ||
BlackRock TCP Capital Corporation | 23,330 | 332,452 | ||
Bridge Bancorp, Inc. | 13,471 | 396,856 | ||
Brighthouse Financial, Inc.* | 17,211 | 631,472 | ||
Bryn Mawr Bank Corporation | 13,823 | 515,874 | ||
Cadence BanCorp | 145,100 | 3,018,080 | ||
Capital City Bank Group, Inc. | 3,700 | 91,945 | ||
Capitala Finance CorporationΔ | 16,301 | 154,044 | ||
CBTX, Inc.Δ | 2,700 | 75,978 | ||
CenterState Bank Corporation | 48,238 | 1,110,921 | ||
Central Pacific Financial Corporation | 52,882 | 1,584,345 | ||
Central Valley Community Bancorp | 6,000 | 128,820 | ||
Century Bancorp, Inc. Class A | 3,277 | 288,048 | ||
Chemung Financial Corporation | 736 | 35,578 | ||
City Holding Co.Δ | 11,219 | 855,561 | ||
CNO Financial Group, Inc. | 16,236 | 270,816 | ||
Commerce Bancshares, Inc. | 5,145 | 306,951 | ||
Community Trust Bancorp, Inc. | 6,200 | 262,198 | ||
Cowen, Inc.Δ* | 21,904 | 376,530 | ||
Donegal Group, Inc. Class AΔ | 1,700 | 25,959 | ||
East West Bancorp, Inc. | 12,600 | 589,302 | ||
Elevate Credit, Inc.* | 6,454 | 26,590 | ||
Enova International, Inc.* | 9,100 | 209,755 | ||
Enterprise Financial Services Corporation | 14,800 | 615,680 | ||
Essent Group, Ltd.* | 41,854 | 1,966,719 | ||
FedNat Holding Co. | 8,279 | 118,141 | ||
FGL Holdings | 52,169 | 438,220 | ||
Financial Institutions, Inc. | 23,991 | 699,338 | ||
First Bancorp | 39,721 | 1,446,639 | ||
First BanCorp | 132,500 | 1,462,800 | ||
First Bancshares, Inc. (The) | 3,300 | 100,122 | ||
First Business Financial Services, Inc. | 4,500 | 105,750 | ||
First Citizens BancShares, Inc. Class A | 1,270 | 571,843 | ||
First Commonwealth Financial Corporation | 35,100 | 472,797 | ||
First Defiance Financial Corporation | 9,800 | 279,986 | ||
First Financial Bancorp | 48,681 | 1,179,054 | ||
First Financial Corporation | 3,500 | 140,560 | ||
First Hawaiian, Inc. | 28,270 | 731,345 | ||
First Interstate BancSystem, Inc. Class A | 21,359 | 846,030 | ||
First Merchants CorporationΔ | 5,100 | 193,290 | ||
First Midwest Bancorp, Inc. | 27,300 | 558,831 | ||
Flagstar Bancorp, Inc. | 29,724 | 985,053 | ||
Focus Financial Partners, Inc. Class A* | 109,900 | 3,001,369 | ||
Great Southern Bancorp, Inc. | 3,800 | 227,430 | ||
Great Western Bancorp, Inc. | 44,222 | 1,579,610 | ||
Green Dot Corporation Class A* | 9,700 | 474,330 | ||
Guaranty Bancshares, Inc.Δ | 1,600 | 49,840 | ||
Hallmark Financial Services, Inc.* | 23,771 | 338,261 | ||
Hamilton Lane, Inc. Class AΔ | 66,685 | 3,805,046 |
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Shares | Value | |||
Hancock Whitney Corporation | 19,400 | $777,164 | ||
Hanover Insurance Group, Inc. (The) | 9,970 | 1,279,151 | ||
Heartland Financial USA, Inc. | 4,900 | 219,177 | ||
Heritage Financial CorporationΔ | 5,300 | 156,562 | ||
Heritage Insurance Holdings, Inc. | 24,800 | 382,168 | ||
Home Bancorp, Inc. | 500 | 19,240 | ||
HomeStreet, Inc.* | 2,673 | 79,228 | ||
HomeTrust Bancshares, Inc. | 7,600 | 191,064 | ||
Hope Bancorp, Inc. | 21,187 | 291,957 | ||
Houlihan Lokey, Inc. | 36,500 | 1,625,345 | ||
IBERIABANK Corporation | 7,100 | 538,535 | ||
Independent Bank Corporation | 22,611 | 1,133,327 | ||
Independent Bank Group, Inc. | 20,798 | 1,143,058 | ||
Ladenburg Thalmann Financial Services, Inc. | 15,200 | 52,136 | ||
LendingTree, Inc.Δ* | 2,686 | 1,128,201 | ||
Marlin Business Services Corporation | 2,800 | 69,804 | ||
Mercantile Bank Corporation | 200 | 6,516 | ||
Merchants BancorpΔ | 2,686 | 45,743 | ||
Meridian Bancorp, Inc. | 11,200 | 200,368 | ||
Metropolitan Bank Holding Corporation* | 3,400 | 149,600 | ||
MGIC Investment Corporation* | 186,942 | 2,456,418 | ||
MidWestOne Financial Group, Inc. | 6,629 | 185,347 | ||
National General Holdings Corporation | 47,428 | 1,087,998 | ||
Navient Corporation | 81,988 | 1,119,136 | ||
Nelnet, Inc. Class A | 1,142 | 67,629 | ||
Nicolet Bankshares, Inc.* | 1,100 | 68,266 | ||
Northrim BanCorp, Inc. | 7,395 | 263,706 | ||
Oaktree Specialty Lending Corporation | 100,607 | 545,290 | ||
OFG Bancorp | 71,681 | 1,703,857 | ||
Old Line Bancshares, Inc.Δ | 1,000 | 26,610 | ||
Old National Bancorp | 73,246 | 1,215,151 | ||
Old Republic International Corporation | 54,857 | 1,227,700 | ||
Old Second Bancorp, Inc. | 1,300 | 16,601 | ||
OP BancorpΔ | 3,100 | 33,604 | ||
Oppenheimer Holdings, Inc. Class A | 18,042 | 491,103 | ||
Opus Bank | 10,600 | 223,766 | ||
Park National CorporationΔ | 3,766 | 374,303 | ||
Peapack Gladstone Financial CorporationΔ | 5,200 | 146,224 | ||
Peoples Bancorp, Inc. | 2,400 | 77,424 | ||
People's Utah Bancorp | 3,400 | 99,960 | ||
Piper Jaffray Cos. | 7,300 | 542,171 | ||
Popular, Inc. | 28,073 | 1,522,680 | ||
Primerica, Inc.Δ | 4,551 | 545,892 | ||
ProAssurance Corporation | 23,000 | 830,530 | ||
Protective Insurance Corporation Class BΔ | 2,100 | 36,477 | ||
Provident Financial Services, Inc. | 2,900 | 70,325 | ||
QCR Holdings, Inc. | 6,300 | 219,681 | ||
Radian Group, Inc. | 53,772 | 1,228,690 | ||
Regional Management Corporation* | 15,865 | 418,360 | ||
Reinsurance Group of America, Inc. | 3,900 | 608,517 | ||
Republic Bancorp, Inc. Class A | 6,599 | 328,300 | ||
Riverview Bancorp, Inc. | 6,222 | 53,136 |
Shares | Value | |||
Selective Insurance Group, Inc. | 28,562 | $2,139,008 | ||
Shore Bancshares, Inc.Δ | 2,900 | 47,386 | ||
Sierra Bancorp | 20,397 | 553,167 | ||
Solar Capital, Ltd. | 16,800 | 344,904 | ||
South State Corporation | 2,000 | 147,340 | ||
State Auto Financial Corporation | 2,000 | 70,000 | ||
Sterling Bancorp | 18,671 | 397,319 | ||
Stifel Financial Corporation | 40,214 | 2,375,039 | ||
Territorial Bancorp, Inc. | 2,000 | 61,800 | ||
Third Point Reinsurance, Ltd.* | 72,200 | 745,104 | ||
THL Credit, Inc. | 26,883 | 178,503 | ||
Thunder Bridge Acquisition, Ltd. Class A* | 128,300 | 1,338,169 | ||
TriCo Bancshares | 14,000 | 529,200 | ||
TrustCo Bank CorporationΔ | 57,000 | 451,440 | ||
UMB Financial Corporation | 12,600 | 829,332 | ||
Umpqua Holdings Corporation | 27,259 | 452,227 | ||
United Community Banks, Inc. | 37,366 | 1,067,173 | ||
United Community Financial Corporation | 16,514 | 158,039 | ||
Valley National BancorpΔ | 104,074 | 1,121,918 | ||
Voya Financial, Inc. | 27,969 | 1,546,686 | ||
Waddell & Reed Financial, Inc. Class AΔ | 37,200 | 620,124 | ||
Washington Federal, Inc. | 21,000 | 733,530 | ||
WesBanco, Inc. | 4,900 | 188,895 | ||
Wintrust Financial Corporation | 9,200 | 673,072 | ||
WisdomTree Investments, Inc. | 260,300 | 1,606,051 | ||
WSFS Financial Corporation | 22,651 | 935,486 | ||
89,046,708 | ||||
Health Care — 9.6% | ||||
Acceleron Pharma, Inc.* | 34,500 | 1,417,260 | ||
Acorda Therapeutics, Inc.* | 40,700 | 312,169 | ||
Adamas Pharmaceuticals, Inc.Δ* | 53,555 | 332,041 | ||
Adaptive Biotechnologies Corporation* | 16,600 | 801,780 | ||
Addus HomeCare Corporation* | 51,400 | 3,852,430 | ||
Aeglea BioTherapeutics, Inc.* | 4,000 | 27,400 | ||
Akorn, Inc.Δ* | 51,500 | 265,225 | ||
Allscripts Healthcare Solutions, Inc.Δ* | 71,200 | 828,056 | ||
AMAG Pharmaceuticals, Inc.Δ* | 31,542 | 315,105 | ||
Anika Therapeutics, Inc.* | 6,008 | 244,045 | ||
Applied Genetic Technologies CorporationΔ* | 6,200 | 23,498 | ||
Arena Pharmaceuticals, Inc.Δ* | 3,837 | 224,963 | ||
Array BioPharma, Inc.* | 27,748 | 1,285,565 | ||
Assertio Therapeutics, Inc.* | 70,049 | 241,669 | ||
BioSpecifics Technologies Corporation* | 8,461 | 505,206 | ||
Blueprint Medicines CorporationΔ* | 29,800 | 2,811,034 | ||
Bridgebio Pharma, Inc.* | 11,800 | 318,246 | ||
Bruker Corporation | 18,457 | 921,927 | ||
Calithera Biosciences, Inc.* | 3,873 | 15,105 | ||
Chimerix, Inc.* | 16,300 | 70,416 | ||
Coherus Biosciences, Inc.Δ* | 6,100 | 134,810 | ||
Computer Programs & Systems, Inc. | 11,515 | 320,002 | ||
CONMED Corporation | 17,600 | 1,506,032 |
Table of Contents
Shares | Value | |||
Corcept Therapeutics, Inc.Δ* | 12,624 | $140,758 | ||
Cross Country Healthcare, Inc.Δ* | 23,600 | 221,368 | ||
CryoLife, Inc.* | 35,972 | 1,076,642 | ||
Eagle Pharmaceuticals, Inc.Δ* | 16,600 | 924,288 | ||
Exelixis, Inc.* | 8,685 | 185,598 | ||
Five Star Senior Living, Inc.Ψ†††* | 2,086 | — | ||
FONAR Corporation* | 9,025 | 194,128 | ||
Immunomedics, Inc.Δ* | 84,300 | 1,169,241 | ||
Innoviva, Inc.* | 30,860 | 449,322 | ||
Inspire Medical Systems, Inc.* | 28,800 | 1,746,720 | ||
Intra-Cellular Therapies, Inc.* | 4,700 | 61,006 | ||
iRhythm Technologies, Inc.Δ* | 22,000 | 1,739,760 | ||
Lannett Co., Inc.Δ* | 40,530 | 245,612 | ||
Lantheus Holdings, Inc.* | 7,625 | 215,788 | ||
LHC Group, Inc.Δ* | 19,300 | 2,307,894 | ||
Ligand Pharmaceuticals, Inc.Δ* | 12,930 | 1,475,960 | ||
Magellan Health, Inc.* | 11,080 | 822,468 | ||
Medicines Co. (The)Δ* | 25,522 | 930,787 | ||
Menlo Therapeutics, Inc.* | 8,300 | 49,717 | ||
Meridian Bioscience, Inc. | 10,939 | 129,955 | ||
Merit Medical Systems, Inc.* | 25,612 | 1,525,451 | ||
Mersana Therapeutics, Inc.* | 21,000 | 85,050 | ||
Minerva Neurosciences, Inc.* | 11,902 | 67,008 | ||
Natera, Inc.* | 50,005 | 1,379,138 | ||
Neon Therapeutics, Inc.Δ* | 11,727 | 55,586 | ||
NextGen Healthcare, Inc.* | 8,109 | 161,369 | ||
NuVasive, Inc.* | 16,652 | 974,808 | ||
Orthofix Medical, Inc.* | 7,100 | 375,448 | ||
Patterson Cos., Inc.Δ | 7,976 | 182,650 | ||
PetIQ, Inc.Δ* | 45,300 | 1,493,088 | ||
Phibro Animal Health Corporation Class A | 5,849 | 185,823 | ||
Prestige Consumer Healthcare, Inc.Δ* | 44,553 | 1,411,439 | ||
Principia Biopharma, Inc.Δ* | 1,170 | 38,832 | ||
Psychemedics Corporation | 7,395 | 74,616 | ||
Puma Biotechnology, Inc.Δ* | 21,805 | 277,142 | ||
Quidel CorporationΔ* | 23,603 | 1,400,130 | ||
Repligen CorporationΔ* | 20,698 | 1,778,993 | ||
Retrophin, Inc.Δ* | 57,461 | 1,154,391 | ||
Revance Therapeutics, Inc.* | 100 | 1,297 | ||
Rhythm Pharmaceuticals, Inc.Δ* | 34,700 | 763,400 | ||
RTI Surgical Holdings, Inc.Δ* | 18,300 | 77,775 | ||
Silk Road Medical, Inc.* | 14,800 | 717,208 | ||
Spark Therapeutics, Inc.Δ* | 4,923 | 504,017 | ||
Spectrum Pharmaceuticals, Inc.* | 65,030 | 559,908 | ||
STAAR Surgical Co.* | 57,000 | 1,674,660 | ||
Supernus Pharmaceuticals, Inc.Δ* | 29,261 | 968,246 | ||
Sutro Biopharma, Inc.* | 900 | 10,242 | ||
Tabula Rasa HealthCare, Inc.Δ* | 15,479 | 772,866 | ||
Tandem Diabetes Care, Inc.* | 40,300 | 2,600,156 | ||
Teladoc Health, Inc.Δ* | 10,053 | 667,620 | ||
Triple-S Management Corporation Class B* | 16,987 | 405,140 | ||
Ultragenyx Pharmaceutical, Inc.Δ* | 14,825 | 941,388 | ||
Vanda Pharmaceuticals, Inc.* | 56,637 | 798,015 | ||
Varex Imaging Corporation* | 6,389 | 195,823 | ||
55,139,719 |
Shares | Value | |||
Industrials — 18.0% | ||||
ABM Industries, Inc. | 29,993 | $1,199,720 | ||
AGCO Corporation | 8,900 | 690,373 | ||
Albany International Corporation Class A | 53,000 | 4,394,230 | ||
Applied Industrial Technologies, Inc. | 19,922 | 1,225,801 | ||
ARC Document Solutions, Inc.* | 80,889 | 165,014 | ||
ArcBest Corporation | 16,900 | 475,059 | ||
Armstrong Flooring, Inc.* | 9,400 | 92,590 | ||
ASGN, Inc.* | 106,297 | 6,441,598 | ||
Atkore International Group, Inc.* | 37,631 | 973,514 | ||
Barnes Group, Inc. | 16,657 | 938,455 | ||
Beacon Roofing Supply, Inc.Δ* | 76,300 | 2,801,736 | ||
BMC Stock Holdings, Inc.* | 45,552 | 965,702 | ||
BrightView Holdings, Inc.Δ* | 36,452 | 682,017 | ||
Carlisle Cos., Inc. | 1,392 | 195,451 | ||
Casella Waste Systems, Inc. Class A* | 63,290 | 2,508,183 | ||
CIRCOR International, Inc.Δ* | 27,200 | 1,251,200 | ||
Clean Harbors, Inc.* | 62,000 | 4,408,200 | ||
Columbus McKinnon Corporation | 38,188 | 1,602,750 | ||
Comfort Systems USA, Inc. | 20,261 | 1,033,108 | ||
Commercial Vehicle Group, Inc.* | 82,141 | 658,771 | ||
Continental Building Products, Inc.* | 53,392 | 1,418,625 | ||
CSW Industrials, Inc. | 10,575 | 720,686 | ||
Curtiss-Wright Corporation | 2,893 | 367,787 | ||
Ducommun, Inc.* | 9,000 | 405,630 | ||
Echo Global Logistics, Inc.* | 23,500 | 490,445 | ||
EMCOR Group, Inc. | 59,526 | 5,244,241 | ||
Encore Wire Corporation | 2,400 | 140,592 | ||
EnPro Industries, Inc. | 15,460 | 986,966 | ||
ESCO Technologies, Inc.Δ | 14,207 | 1,173,782 | ||
Exponent, Inc. | 46,600 | 2,727,964 | ||
Federal Signal Corporation | 56,268 | 1,505,169 | ||
Fluor Corporation | 12,300 | 414,387 | ||
Foundation Building Materials, Inc.* | 15,500 | 275,590 | ||
Gibraltar Industries, Inc.* | 1,725 | 69,621 | ||
Granite Construction, Inc. | 24,894 | 1,199,393 | ||
Great Lakes Dredge & Dock Corporation* | 33,382 | 368,537 | ||
Hawaiian Holdings, Inc.Δ | 29,513 | 809,542 | ||
Healthcare Services Group, Inc.Δ | 68,750 | 2,084,500 | ||
Heidrick & Struggles International, Inc. | 4,811 | 144,186 | ||
Herc Holdings, Inc.* | 16,100 | 737,863 | ||
Hillenbrand, Inc. | 3,483 | 137,822 | ||
Hub Group, Inc. Class A* | 20,544 | 862,437 | ||
Hyster-Yale Materials Handling, Inc.Δ | 5,600 | 309,456 | ||
JetBlue Airways Corporation* | 47,542 | 879,052 | ||
Kadant, Inc.Δ | 15,488 | 1,406,465 | ||
Kelly Services, Inc. Class A | 17,500 | 458,325 | ||
Kforce, Inc. | 9,180 | 322,126 | ||
Kimball International, Inc. Class B | 34,737 | 605,466 | ||
Korn Ferry | 14,267 | 571,679 | ||
LB Foster Co. Class A* | 4,787 | 130,877 | ||
Lennox International, Inc.Δ | 1,380 | 379,500 | ||
LSI Industries, Inc. | 9,196 | 33,565 | ||
Manitowoc Co., Inc. (The)Δ* | 34,300 | 610,540 |
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Shares | Value | |||
ManpowerGroup, Inc. | 15,279 | $1,475,951 | ||
MasTec, Inc.Δ* | 17,732 | 913,730 | ||
Miller Industries, Inc.Δ | 14,223 | 437,357 | ||
Moog, Inc. | 7,098 | 664,444 | ||
MYR Group, Inc.* | 37,890 | 1,415,192 | ||
Navigant Consulting, Inc.Δ | 35,546 | 824,312 | ||
Navistar International Corporation* | 16,000 | 551,200 | ||
Park-Ohio Holdings Corporation | 3,500 | 114,065 | ||
Parsons Corporation* | 46,000 | 1,695,560 | ||
Patrick Industries, Inc.Δ* | 23,400 | 1,151,046 | ||
Powell Industries, Inc. | 6,400 | 243,200 | ||
Proto Labs, Inc.Δ* | 8,800 | 1,020,976 | ||
Quanex Building Products Corporation | 23,146 | 437,228 | ||
Radiant Logistics, Inc.* | 24,139 | 148,213 | ||
RBC Bearings, Inc.Δ* | 15,600 | 2,602,236 | ||
Rexnord Corporation* | 117,000 | 3,535,740 | ||
Robert Half International, Inc. | 15,285 | 871,398 | ||
Rush Enterprises, Inc. Class A | 19,400 | 708,488 | ||
Ryder System, Inc. | 2,300 | 134,090 | ||
SPX Corporation* | 2,400 | 79,248 | ||
SPX FLOW, Inc.* | 12,400 | 519,064 | ||
Sterling Construction Co., Inc.* | 66,284 | 889,531 | ||
Teledyne Technologies, Inc.* | 507 | 138,852 | ||
Terex Corporation | 5,100 | 160,140 | ||
Tetra Tech, Inc.Δ | 23,721 | 1,863,285 | ||
Titan International, Inc. | 37,500 | 183,375 | ||
TriNet Group, Inc.* | 86,500 | 5,864,700 | ||
TrueBlue, Inc.Δ* | 29,290 | 646,137 | ||
US Ecology, Inc.Δ | 18,048 | 1,074,578 | ||
US Xpress Enterprises, Inc. Class AΔ* | 26,563 | 136,534 | ||
USA Truck, Inc.* | 1,800 | 18,198 | ||
Vectrus, Inc.* | 2,045 | 82,945 | ||
Veritiv CorporationΔ* | 14,294 | 277,590 | ||
Viad Corporation | 37,000 | 2,450,880 | ||
Wabash National Corporation | 33,712 | 548,494 | ||
WageWorks, Inc.* | 94,174 | 4,783,098 | ||
WESCO International, Inc.* | 5,742 | 290,832 | ||
Willdan Group, Inc.Δ* | 36,200 | 1,348,450 | ||
WillScot CorporationΔ* | 133,000 | 2,000,320 | ||
Woodward, Inc. | 6,935 | 784,765 | ||
103,781,730 | ||||
Information Technology — 18.8% | ||||
2U, Inc.Δ* | 66,900 | 2,518,116 | ||
Acacia Communications, Inc.* | 2,200 | 103,752 | ||
ACI Worldwide, Inc.* | 79,200 | 2,719,728 | ||
ADTRAN, Inc. | 33,000 | 503,250 | ||
Amkor Technology, Inc.* | 62,500 | 466,250 | ||
Anixter International, Inc.* | 22,406 | 1,337,862 | ||
Arlo Technologies, Inc.Δ* | 78,708 | 315,619 | ||
Aspen Technology, Inc.* | 2,027 | 251,916 | ||
Avid Technology, Inc.* | 9,100 | 82,992 | ||
Avnet, Inc. | 26,222 | 1,187,070 | ||
Belden, Inc. | 15,097 | 899,328 | ||
Benchmark Electronics, Inc. | 37,400 | 939,488 |
Shares | Value | |||
Blackbaud, Inc.Δ | 5,702 | $476,117 | ||
Bottomline Technologies de, Inc.* | 48,300 | 2,136,792 | ||
Brooks Automation, Inc.Δ | 98,167 | 3,803,971 | ||
Cabot Microelectronics Corporation | 14,300 | 1,574,144 | ||
Calix, Inc.* | 41,500 | 272,240 | ||
Cirrus Logic, Inc.* | 30,200 | 1,319,740 | ||
Cision, Ltd.* | 249,000 | 2,920,770 | ||
CommScope Holding Co., Inc.* | 5,000 | 78,650 | ||
CSG Systems International, Inc. | 17,836 | 870,932 | ||
Daktronics, Inc. | 24,500 | 151,165 | ||
Diebold Nixdorf, Inc.* | 19,500 | 178,620 | ||
Digi International, Inc.* | 16,900 | 214,292 | ||
EMCORE Corporation* | 7,600 | 25,004 | ||
Envestnet, Inc.* | 34,700 | 2,372,439 | ||
Evo Payments, Inc. Class A* | 99,100 | 3,124,623 | ||
Exela Technologies, Inc.Δ* | 161,500 | 353,685 | ||
ExlService Holdings, Inc.* | 80,372 | 5,315,000 | ||
FireEye, Inc.* | 6,600 | 97,746 | ||
Fitbit, Inc. Class AΔ* | 78,700 | 346,280 | ||
Harmonic, Inc.Δ* | 80,300 | 445,665 | ||
I3 Verticals, Inc. Class A* | 67,700 | 1,993,765 | ||
II-VI, Inc.Δ* | 34,438 | 1,259,053 | ||
Infinera CorporationΔ* | 75,000 | 218,250 | ||
Insight Enterprises, Inc.Δ* | 27,284 | 1,587,929 | ||
Instructure, Inc.Δ* | 79,900 | 3,395,750 | ||
inTEST Corporation* | 7,743 | 37,244 | ||
Intevac, Inc.Δ* | 10,900 | 52,756 | ||
j2 Global, Inc.Δ | 71,923 | 6,393,235 | ||
Jabil, Inc. | 36,436 | 1,151,378 | ||
KBR, Inc. | 41,300 | 1,030,022 | ||
Littelfuse, Inc. | 9,200 | 1,627,572 | ||
MACOM Technology Solutions Holdings, Inc.Δ* | 8,975 | 135,792 | ||
Manhattan Associates, Inc.* | 15,153 | 1,050,558 | ||
MAXIMUS, Inc. | 4,861 | 352,617 | ||
MaxLinear, Inc.* | 42,195 | 989,051 | ||
MicroStrategy, Inc. Class A* | 7,254 | 1,039,571 | ||
MKS Instruments, Inc. | 33,400 | 2,601,526 | ||
NeoPhotonics Corporation* | 13,000 | 54,340 | ||
NETGEAR, Inc.Δ* | 21,618 | 546,719 | ||
NetScout Systems, Inc.* | 20,600 | 523,034 | ||
New Relic, Inc.* | 17,500 | 1,513,925 | ||
NIC, Inc. | 49,502 | 794,012 | ||
nLight, Inc.Δ* | 74,700 | 1,434,240 | ||
Paylocity Holding Corporation* | 60,350 | 5,662,037 | ||
PC Connection, Inc. | 6,394 | 223,662 | ||
PCM, Inc.* | 1,293 | 45,307 | ||
Pegasystems, Inc. | 37,000 | 2,634,770 | ||
Photronics, Inc.* | 15,020 | 123,164 | ||
Plantronics, Inc. | 15,353 | 568,675 | ||
Pluralsight, Inc. Class A* | 154,100 | 4,672,312 | ||
Presidio, Inc. | 38,502 | 526,322 | ||
Priority Technology Holdings, Inc.* | 122,900 | 964,765 | ||
Q2 Holdings, Inc.Δ* | 96,567 | 7,373,856 | ||
Rapid7, Inc.* | 20,522 | 1,186,993 | ||
RealPage, Inc.* | 85,200 | 5,014,020 |
Table of Contents
Shares | Value | |||
SailPoint Technologies Holding, Inc.Δ* | 74,600 | $1,494,984 | ||
ScanSource, Inc.* | 9,600 | 312,576 | ||
Seachange International, Inc.Δ* | 14,500 | 20,735 | ||
Semtech Corporation* | 27,371 | 1,315,177 | ||
Silicon Laboratories, Inc.* | 10,695 | 1,105,863 | ||
Smartsheet, Inc. Class A* | 37,900 | 1,834,360 | ||
Synaptics, Inc.Δ* | 28,400 | 827,576 | ||
Synchronoss Technologies, Inc.Δ* | 29,500 | 233,345 | ||
Tech Data Corporation* | 9,680 | 1,012,528 | ||
Telenav, Inc.Δ* | 20,384 | 163,072 | ||
Teradata CorporationΔ* | 29,192 | 1,046,533 | ||
TiVo Corporation | 60,300 | 444,411 | ||
Unisys CorporationΔ* | 31,800 | 309,096 | ||
USA Technologies, Inc.Δ* | 107,300 | 797,239 | ||
Veeco Instruments, Inc.* | 26,300 | 321,386 | ||
Vishay Intertechnology, Inc. | 7,337 | 121,207 | ||
Vishay Precision Group, Inc.* | 8,188 | 332,678 | ||
Zix Corporation* | 2,190 | 19,907 | ||
107,894,141 | ||||
Materials — 3.9% | ||||
AdvanSix, Inc.* | 36,189 | 884,097 | ||
Ashland Global Holdings, Inc. | 5,400 | 431,838 | ||
Balchem Corporation | 8,370 | 836,749 | ||
Boise Cascade Co. | 63,695 | 1,790,466 | ||
Cleveland-Cliffs, Inc.Δ | 39,623 | 422,777 | ||
Coeur Mining, Inc.Δ* | 124,125 | 538,703 | ||
Domtar Corporation | 5,559 | 247,542 | ||
Ferro CorporationΔ* | 26,344 | 416,235 | ||
Huntsman Corporation | 2,900 | 59,276 | ||
Innospec, Inc. | 13,832 | 1,262,032 | ||
Kaiser Aluminum Corporation | 14,136 | 1,379,815 | ||
Koppers Holdings, Inc.Δ* | 3,700 | 108,632 | ||
Kraton Corporation* | 13,200 | 410,124 | ||
Mercer International, Inc. | 33,991 | 525,841 | ||
Minerals Technologies, Inc. | 22,578 | 1,208,149 | ||
Neenah, Inc. | 22,540 | 1,522,577 | ||
PH Glatfelter Co. | 20,888 | 352,589 | ||
Quaker Chemical CorporationΔ | 6,159 | 1,249,538 | ||
Resolute Forest Products, Inc. | 96,173 | 692,446 | ||
Schnitzer Steel Industries, Inc. Class AΔ | 23,200 | 607,144 | ||
Silgan Holdings, Inc. | 12,200 | 373,320 | ||
Steel Dynamics, Inc. | 21,542 | 650,568 | ||
Stepan Co.Δ | 12,717 | 1,168,819 | ||
Tredegar Corporation | 8,840 | 146,921 | ||
Trinseo SA | 39,217 | 1,660,448 | ||
Valvoline, Inc. | 9,500 | 185,535 | ||
Verso Corporation Class A* | 38,396 | 731,444 | ||
Warrior Met Coal, Inc. | 38,149 | 996,452 | ||
Worthington Industries, Inc. | 34,861 | 1,403,504 | ||
WR Grace & Co. | 4,800 | 365,328 | ||
22,628,909 | ||||
Real Estate — 5.8% | ||||
Alexander & Baldwin, Inc. REIT | 6,000 | 138,600 | ||
Altisource Portfolio Solutions SAΔ* | 1,400 | 27,524 |
Shares | Value | |||
American Assets Trust, Inc. REIT | 12,054 | $567,984 | ||
American Campus Communities, Inc. REIT | 10,985 | 507,068 | ||
Americold Realty Trust REITΔ | 2,195 | 71,162 | ||
Armada Hoffler Properties, Inc. REIT | 90,194 | 1,492,711 | ||
Ashford Hospitality Trust, Inc. REIT | 98,279 | 291,889 | ||
Bluerock Residential Growth REIT, Inc. | 53,671 | 630,634 | ||
Braemar Hotels & Resorts, Inc. REIT | 53,355 | 528,215 | ||
Brandywine Realty Trust REIT | 16,736 | 239,660 | ||
Camden Property Trust REIT | 3,000 | 313,170 | ||
Cedar Realty Trust, Inc. REIT | 124,585 | 330,150 | ||
Chatham Lodging Trust REIT | 36,430 | 687,434 | ||
City Office REIT, Inc.Δ | 53,476 | 641,177 | ||
Colony Capital, Inc. REIT | 69,997 | 349,985 | ||
Consolidated-Tomoka Land Co.Δ | 5,959 | 355,752 | ||
CoreCivic, Inc. REIT | 30,300 | 629,028 | ||
CorePoint Lodging, Inc. REIT | 8,500 | 105,315 | ||
Cousins Properties, Inc. REIT | 19,978 | 722,604 | ||
DiamondRock Hospitality Co. REIT | 67,400 | 696,916 | ||
Douglas Emmett, Inc. REIT | 6,378 | 254,100 | ||
EastGroup Properties, Inc. REIT | 14,024 | 1,626,504 | ||
Equity Commonwealth REIT | 5,880 | 191,218 | ||
First Industrial Realty Trust, Inc. REIT | 48,860 | 1,795,116 | ||
Forestar Group, Inc.* | 3,900 | 76,245 | ||
Franklin Street Properties Corporation REIT | 16,800 | 123,984 | ||
Getty Realty Corporation REIT | 5,200 | 159,952 | ||
Gladstone Commercial Corporation REIT | 28,669 | 608,356 | ||
Hudson Pacific Properties, Inc. REIT | 3,343 | 111,222 | ||
Jones Lang LaSalle, Inc. | 6,897 | 970,339 | ||
Kennedy-Wilson Holdings, Inc. | 160,025 | 3,291,714 | ||
Kite Realty Group Trust REIT | 83,705 | 1,266,457 | ||
Life Storage, Inc. REIT | 800 | 76,064 | ||
Mack-Cali Realty Corporation REIT | 36,100 | 840,769 | ||
Marcus & Millichap, Inc.* | 2,244 | 69,227 | ||
National Storage Affiliates Trust REIT | 39,200 | 1,134,448 | ||
NexPoint Residential Trust, Inc. REIT | 2,700 | 111,780 | ||
Paramount Group, Inc. REIT | 92,905 | 1,301,599 | ||
Park Hotels & Resorts, Inc. REIT | 43,461 | 1,197,785 | ||
Pebblebrook Hotel Trust REITΔ | 34,004 | 958,233 | ||
Physicians Realty Trust REITΔ | 46,325 | 807,908 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 54,812 | 1,092,403 | ||
QTS Realty Trust, Inc. Class A REIT | 12,345 | 570,092 | ||
Rayonier, Inc. REIT | 4,000 | 121,200 | ||
Retail Properties of America, Inc. Class A REIT | 2,100 | 24,696 | ||
Retail Value, Inc. REIT | 5,200 | 180,960 | ||
RLJ Lodging Trust REITΔ | 8,967 | 159,075 | ||
RMR Group, Inc. (The) Class A | 3,439 | 161,564 | ||
RPT Realty REITΔ | 103,777 | 1,256,739 | ||
Spirit Realty Capital, Inc. REITΔ | 3,500 | 149,310 | ||
Sunstone Hotel Investors, Inc. REITΔ | 136,221 | 1,867,590 | ||
Terreno Realty Corporation REIT | 11,133 | 545,962 |
Table of Contents
Shares | Value | |||
VEREIT, Inc. REIT | 101,628 | $915,668 | ||
Xenia Hotels & Resorts, Inc. REITΔ | 12,600 | 262,710 | ||
33,607,967 | ||||
Utilities — 3.0% | ||||
ALLETE, Inc. | 10,180 | 847,078 | ||
Avista Corporation | 27,700 | 1,235,420 | ||
Chesapeake Utilities Corporation | 450 | 42,759 | ||
IDACORP, Inc. | 3,372 | 338,650 | ||
MDU Resources Group, Inc. | 25,234 | 651,037 | ||
National Fuel Gas Co. | 6,684 | 352,581 | ||
Northwest Natural Holding Co. | 10,100 | 701,950 | ||
NorthWestern Corporation | 29,854 | 2,153,966 | ||
NRG Energy, Inc. | 27,016 | 948,802 | ||
OGE Energy Corporation | 2,400 | 102,144 | ||
ONE Gas, Inc. | 7,800 | 704,340 | ||
PNM Resources, Inc. | 27,721 | 1,411,276 | ||
Portland General Electric Co. | 33,298 | 1,803,753 | ||
South Jersey Industries, Inc.Δ | 55,075 | 1,857,680 | ||
Southwest Gas Holdings, Inc. | 14,400 | 1,290,528 | ||
Spire, Inc. | 25,844 | 2,168,828 | ||
Unitil Corporation | 12,487 | 747,846 | ||
17,358,638 | ||||
Total Common Stocks (Cost $508,702,769) | 532,702,547 | |||
FOREIGN COMMON STOCKS — 3.3% | ||||
Canada — 0.5% | ||||
Aeterna Zentaris, Inc.Δ* | 26,566 | 78,370 | ||
Colliers International Group, Inc.Δ | 17,400 | 1,246,188 | ||
IMAX Corporation* | 58,500 | 1,181,700 | ||
Silvercorp Metals, Inc.Δ | 92,661 | 227,946 | ||
TransGlobe Energy CorporationΔ | 48,864 | 67,921 | ||
2,802,125 | ||||
France — 0.2% | ||||
Talend SA ADR* | 35,300 | 1,362,227 | ||
Ireland — 0.3% | ||||
Adient PLCΔ | 15,800 | 383,466 | ||
Jazz Pharmaceuticals PLC* | 3,001 | 427,822 | ||
Mallinckrodt PLCΔ* | 52,083 | 478,122 | ||
Prothena Corporation PLC* | 17,400 | 183,918 | ||
1,473,328 | ||||
Israel — 0.5% | ||||
Stratasys, Ltd.Δ* | 35,300 | 1,036,761 | ||
Taro Pharmaceutical Industries, Ltd. | 517 | 44,162 | ||
Tufin Software Technologies, Ltd.Δ* | 60,600 | 1,568,934 | ||
2,649,857 | ||||
Jersey — 1.2% | ||||
Delphi Technologies PLC | 5,821 | 116,420 | ||
Mimecast, Ltd.* | 13,733 | 641,469 | ||
Novocure, Ltd.* | 33,000 | 2,086,590 | ||
WNS Holdings, Ltd. ADR* | 71,937 | 4,258,670 | ||
7,103,149 | ||||
Netherlands — 0.6% | ||||
Argenx SE ADRΔ* | 6,900 | 976,902 |
Shares | Value | |||
InterXion Holding NV* | 17,121 | $1,302,737 | ||
Wright Medical Group NVΔ* | 49,072 | 1,463,327 | ||
3,742,966 | ||||
Total Foreign Common Stocks (Cost $16,898,478) | 19,133,652 | |||
PREFERRED STOCK — 0.3% | ||||
CuriosityStream LLC0.00 CONVΨ†††* (Cost $1,956,000) | 195,600 | 1,956,000 | ||
MONEY MARKET FUNDS — 4.2% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 18,985,023 | 18,985,023 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 5,177,763 | 5,177,763 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 43,492 | 43,492 | ||
Total Money Market Funds (Cost $24,206,278) | 24,206,278 |
Par | |||
U.S. TREASURY OBLIGATION — 0.3% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $1,387,164) | $1,400,000 | 1,388,572 | |
TOTAL INVESTMENTS —100.7% (Cost $553,150,689) | 579,387,049 | ||
Liabilities in Excess of Other Assets — (0.7)% | (4,051,866) | ||
NET ASSETS — 100.0% | $575,335,183 |
% | |
Information Technology | 20.5 |
Industrials | 18.0 |
Financials | 15.5 |
Health Care | 10.6 |
Consumer Discretionary | 9.7 |
Real Estate | 6.0 |
Money Market Funds | 4.2 |
Materials | 4.0 |
Communication Services | 3.7 |
Energy | 3.7 |
Utilities | 3.0 |
Consumer Staples | 1.5 |
U.S. Treasury Obligation | 0.3 |
100.7 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Russell 2000 Mini Index | 09/2019 | 260 | $20,372,300 | $465,899 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $532,702,547 | $532,702,547 | $— | $—** | |||
Foreign Common Stocks | 19,133,652 | 19,133,652 | — | — | |||
Money Market Funds | 24,206,278 | 24,206,278 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
U.S. Treasury Obligation | 1,388,572 | — | 1,388,572 | — | |||
Total Assets - Investments in Securities | $579,387,049 | $576,042,477 | $1,388,572 | $1,956,000 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $465,899 | $465,899 | $— | $— | |||
Total Assets - Other Financial Instruments | $465,899 | $465,899 | $ — | $ — |
** | Level 3 securities have zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
COMMON STOCK — 0.0% | ||||
Health Care — 0.0% | ||||
BeiGene, Ltd. ADRΔ* (Cost $230,755) | 1,505 | $186,545 | ||
FOREIGN COMMON STOCKS — 94.8% | ||||
Australia — 6.8% | ||||
AGL Energy, Ltd. | 36,482 | 512,500 | ||
Alumina, Ltd. | 123,227 | 201,572 | ||
AMP, Ltd.Δ | 113,756 | 169,308 | ||
APA Group | 85,754 | 650,199 | ||
ASX, Ltd. | 6,366 | 368,132 | ||
Aurizon Holdings, Ltd. | 83,954 | 318,276 | ||
AusNet Services | 175,484 | 230,997 | ||
Australia & New Zealand Banking Group, Ltd. | 130,882 | 2,592,096 | ||
Bank of Queensland, Ltd.Δ | 4,238 | 28,355 | ||
Bendigo and Adelaide Bank, Ltd.Δ | 5,305 | 43,128 | ||
BHP Group, Ltd. | 129,073 | 3,729,742 | ||
BlueScope Steel, Ltd. | 20,263 | 171,419 | ||
Boral, Ltd. | 56,616 | 203,506 | ||
Brambles, Ltd. | 67,897 | 613,952 | ||
Caltex Australia, Ltd. | 11,404 | 198,153 | ||
Challenger, Ltd.Δ | 33,947 | 158,248 | ||
CIMIC Group, Ltd. | 2,882 | 90,584 | ||
Coca-Cola Amatil, Ltd. | 95,359 | 684,196 | ||
Cochlear, Ltd. | 3,288 | 477,457 | ||
Coles Group, Ltd.* | 50,160 | 470,118 | ||
Commonwealth Bank of Australia | 77,119 | 4,481,825 | ||
Computershare, Ltd. | 44,623 | 507,820 | ||
CSL, Ltd. | 21,046 | 3,176,699 | ||
Dexus REIT | 36,721 | 334,624 | ||
Domino’s Pizza Enterprises, Ltd.Δ | 2,696 | 71,242 | ||
Flight Centre Travel Group, Ltd. | 6,157 | 179,601 | ||
Fortescue Metals Group, Ltd. | 42,058 | 266,332 | ||
Goodman Group REIT | 76,569 | 807,942 | ||
GPT Group (The) REIT | 67,147 | 289,914 | ||
Harvey Norman Holdings, Ltd.Δ | 90,687 | 259,124 | ||
Incitec Pivot, Ltd. | 86,785 | 207,762 | ||
Insurance Australia Group, Ltd. | 97,696 | 566,533 | ||
Lendlease Group | 34,784 | 317,461 | ||
Macquarie Group, Ltd. | 16,995 | 1,496,071 | ||
Medibank Pvt., Ltd. | 117,607 | 288,155 | ||
Mirvac Group REIT | 149,919 | 329,435 | ||
National Australia Bank, Ltd. | 129,758 | 2,434,101 | ||
Newcrest Mining, Ltd. | 36,206 | 812,119 | ||
Orica, Ltd. | 21,761 | 309,671 | ||
Origin Energy, Ltd. | 89,304 | 458,307 | ||
QBE Insurance Group, Ltd. | 67,446 | 560,156 | ||
Ramsay Health Care, Ltd. | 6,096 | 309,165 | ||
REA Group, Ltd. | 2,055 | 138,558 | ||
Rio Tinto, Ltd. | 15,247 | 1,110,663 | ||
Santos, Ltd. | 59,995 | 298,206 | ||
Scentre Group REIT | 252,947 | 681,913 | ||
SEEK, Ltd. | 15,462 | 229,694 | ||
Sonic Healthcare, Ltd. | 25,549 | 486,084 | ||
South32, Ltd. | 201,814 | 450,554 | ||
Stockland REIT | 85,681 | 250,835 | ||
Suncorp Group, Ltd. | 55,716 | 526,885 |
Shares | Value | |||
Sydney Airport | 85,801 | $484,302 | ||
Telstra Corporation, Ltd. | 216,660 | 585,609 | ||
TPG Telecom, Ltd. | 15,539 | 70,255 | ||
Transurban Group | 151,919 | 1,572,091 | ||
Unibail-Rodamco-Westfield REIT | 10,140 | 73,110 | ||
Vicinity Centres REIT | 137,781 | 236,986 | ||
Washington H Soul Pattinson & Co., Ltd. | 1,395 | 21,536 | ||
Wesfarmers, Ltd. | 57,427 | 1,457,849 | ||
Westpac Banking Corporation | 155,825 | 3,102,497 | ||
Woodside Petroleum, Ltd. | 47,504 | 1,212,613 | ||
WorleyParsons, Ltd. | 15,221 | 157,190 | ||
43,523,427 | ||||
Austria — 0.2% | ||||
ANDRITZ AG | 720 | 27,099 | ||
Erste Group Bank AG* | 12,654 | 469,653 | ||
OMV AG | 5,326 | 259,508 | ||
Raiffeisen Bank International AG | 8,197 | 192,288 | ||
Verbund AG | 1,978 | 103,463 | ||
voestalpine AG | 4,506 | 139,213 | ||
1,191,224 | ||||
Belgium — 0.7% | ||||
Ageas | 8,844 | 459,683 | ||
Colruyt SA | 6,500 | 376,949 | ||
Groupe Bruxelles Lambert SA | 12,096 | 1,186,726 | ||
KBC Group NV | 10,166 | 666,305 | ||
Proximus SADP | 7,723 | 227,625 | ||
Solvay SA | 4,910 | 508,626 | ||
Telenet Group Holding NV | 6,213 | 346,175 | ||
UCB SA | 7,959 | 659,939 | ||
Umicore SAΔ | 9,507 | 304,854 | ||
4,736,882 | ||||
Denmark — 1.3% | ||||
AP Moeller - Maersk A/S Class A | 439 | 509,614 | ||
AP Moeller - Maersk A/S Class B | 60 | 74,422 | ||
Chr. Hansen Holding A/S | 5,914 | 555,348 | ||
Coloplast A/S Class B | 6,585 | 744,156 | ||
Danske Bank A/S | 33,495 | 529,407 | ||
Demant A/SΔ* | 13,113 | 407,724 | ||
DSV A/S | 9,570 | 939,775 | ||
Genmab A/S* | 3,898 | 716,755 | ||
H Lundbeck A/S | 7,592 | 299,903 | ||
ISS A/S | 7,886 | 237,992 | ||
Novozymes A/S, B Shares | 12,803 | 597,031 | ||
Orsted A/S 144A | 13,824 | 1,195,357 | ||
Pandora A/S | 12,981 | 461,760 | ||
Tryg A/S | 14,443 | 469,541 | ||
Vestas Wind Systems A/S | 9,047 | 781,464 | ||
8,520,249 | ||||
Finland — 1.0% | ||||
Elisa OYJΔ | 7,229 | 352,724 | ||
Fortum OYJ | 22,487 | 496,952 | ||
Kone OYJ Class B | 13,131 | 774,932 | ||
Metso OYJ | 1,554 | 61,052 | ||
Neste OYJ | 18,222 | 618,292 |
Table of Contents
Shares | Value | |||
Nokia OYJ | 222,610 | $1,105,165 | ||
Nokian Renkaat OYJ | 5,395 | 168,458 | ||
Nordea Bank Abp | 123,780 | 898,677 | ||
Orion OYJ Class B | 7,634 | 279,776 | ||
Sampo OYJ, A Shares | 18,199 | 858,805 | ||
Stora Enso OYJ, R Shares | 18,200 | 213,885 | ||
UPM-Kymmene OYJ | 19,161 | 509,185 | ||
Wartsila OYJ AbpΔ | 14,669 | 212,755 | ||
6,550,658 | ||||
France — 10.2% | ||||
Accor SA | 11,377 | 488,364 | ||
Aeroports de Paris | 1,224 | 216,009 | ||
Air Liquide SA | 22,716 | 3,178,426 | ||
Alstom SA | 8,266 | 383,490 | ||
Amundi SA 144A | 3,229 | 225,442 | ||
Arkema SA | 2,715 | 252,473 | ||
Atos SE | 4,922 | 411,477 | ||
AXA SA | 101,488 | 2,665,786 | ||
BioMerieux | 2,764 | 228,964 | ||
BNP Paribas SA | 52,676 | 2,501,635 | ||
Bollore SA | 53,565 | 236,326 | ||
Bouygues SA | 11,283 | 417,870 | ||
Bureau Veritas SA | 15,449 | 381,557 | ||
Capgemini SE | 7,893 | 981,431 | ||
Carrefour SAΔ | 28,164 | 543,789 | ||
Casino Guichard Perrachon SAΔ | 2,250 | 76,754 | ||
Cie de St-Gobain | 30,007 | 1,169,496 | ||
Cie Generale des Etablissements Michelin SCA | 7,665 | 972,255 | ||
CNP Assurances | 6,718 | 152,475 | ||
Covivio REIT | 2,833 | 296,530 | ||
Credit Agricole SA | 47,205 | 566,022 | ||
Danone SA | 37,253 | 3,155,849 | ||
Dassault Aviation SA | 92 | 132,231 | ||
Dassault Systemes SA | 5,621 | 896,747 | ||
Edenred | 9,445 | 481,792 | ||
Eiffage SA | 4,139 | 409,179 | ||
Electricite de France SA | 30,397 | 383,147 | ||
Engie SA | 92,801 | 1,407,690 | ||
EssilorLuxottica SA | 13,851 | 1,807,309 | ||
Eurazeo SE | 3,083 | 214,898 | ||
Eurofins Scientific SE Millicom International Cellular SA SDRΔ | 602 | 266,284 | ||
Eutelsat Communications SA | 8,399 | 157,010 | ||
Faurecia SA | 3,831 | 177,778 | ||
Gecina SA REIT | 2,894 | 433,065 | ||
Getlink SE | 19,820 | 317,551 | ||
Hermes International | 2,906 | 2,095,659 | ||
ICADE REITΔ | 2,606 | 238,841 | ||
Iliad SAΔ | 1,822 | 204,611 | ||
Imerys SA | 3,201 | 169,690 | ||
Ingenico GroupΔ | 2,848 | 251,887 | ||
Ipsen SA | 3,144 | 429,005 | ||
JCDecaux SA | 3,731 | 113,021 | ||
Kering SA | 3,903 | 2,308,257 | ||
Klepierre REIT | 14,221 | 476,712 | ||
L’Oreal SA | 12,211 | 3,478,225 |
Shares | Value | |||
Legrand SA | 12,486 | $912,921 | ||
Natixis SA | 54,091 | 217,673 | ||
Orange SA | 111,352 | 1,755,564 | ||
Peugeot SA | 23,149 | 570,414 | ||
Publicis Groupe SAΔ | 9,683 | 511,219 | ||
Renault SAΔ | 7,966 | 500,825 | ||
Safran SA | 13,309 | 1,949,973 | ||
Sanofi | 55,646 | 4,803,210 | ||
Sartorius Stedim Biotech | 1,344 | 211,970 | ||
Schneider Electric SE | 24,624 | 2,233,276 | ||
SCOR SE | 5,564 | 243,962 | ||
SEB SA | 1,701 | 305,798 | ||
SES SA | 12,769 | 199,645 | ||
Societe BIC SA | 792 | 60,384 | ||
Societe Generale SA | 34,476 | 871,083 | ||
Sodexo SAΔ | 5,941 | 694,467 | ||
Suez | 19,394 | 279,852 | ||
Teleperformance | 2,595 | 519,926 | ||
Thales SA | 3,928 | 485,288 | ||
TOTAL SA | 104,642 | 5,863,154 | ||
Ubisoft Entertainment SA* | 2,676 | 209,472 | ||
Valeo SAΔ | 12,169 | 395,749 | ||
Veolia Environnement SA | 34,427 | 838,528 | ||
Vinci SA | 26,567 | 2,720,653 | ||
Vivendi SA | 46,091 | 1,268,848 | ||
Wendel SA | 1,720 | 234,502 | ||
Worldline SA 144A* | 3,482 | 253,400 | ||
65,464,765 | ||||
Germany — 7.8% | ||||
1&1 Drillisch AG | 1,576 | 52,543 | ||
adidas AG | 8,325 | 2,570,116 | ||
Allianz SE | 19,521 | 4,705,834 | ||
Aroundtown SA | 29,327 | 241,638 | ||
Axel Springer SE | 1,821 | 128,277 | ||
BASF SE | 42,548 | 3,092,535 | ||
Bayerische Motoren Werke AG | 20,141 | 1,490,713 | ||
Beiersdorf AG | 5,172 | 620,748 | ||
Brenntag AG | 4,261 | 209,845 | ||
Carl Zeiss Meditec AG | 3,097 | 305,499 | ||
Commerzbank AG | 39,511 | 283,900 | ||
Continental AG | 4,845 | 706,396 | ||
Covestro AG 144A | 8,920 | 453,490 | ||
Daimler AG | 42,316 | 2,354,150 | ||
Delivery Hero SE 144A* | 3,335 | 151,272 | ||
Deutsche Bank AG | 81,719 | 630,016 | ||
Deutsche Boerse AG | 7,277 | 1,029,370 | ||
Deutsche Lufthansa AG | 9,868 | 169,099 | ||
Deutsche Post AG | 46,342 | 1,522,900 | ||
Deutsche Telekom AG | 165,905 | 2,869,753 | ||
Deutsche Wohnen SE | 13,751 | 504,582 | ||
E.ON SE | 142,291 | 1,545,343 | ||
Evonik Industries AG | 4,379 | 127,521 | ||
Fraport AG Frankfurt Airport ServicesWorldwide | 2,669 | 229,440 | ||
Fresenius Medical Care AG & Co. KGaA | 9,321 | 731,749 | ||
Fresenius SE & Co. KGaA | 18,260 | 990,001 |
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Shares | Value | |||
GEA Group AG | 7,555 | $214,770 | ||
Hannover Rueck SE | 3,483 | 563,186 | ||
HeidelbergCement AG | 7,836 | 634,058 | ||
Henkel AG & Co. KGaA | 5,645 | 518,329 | ||
HOCHTIEF AG | 586 | 71,365 | ||
HUGO BOSS AG | 4,022 | 267,545 | ||
Infineon Technologies AG | 63,002 | 1,113,995 | ||
Innogy SE | 2,135 | 91,403 | ||
KION Group AG | 3,162 | 199,335 | ||
Knorr-Bremse AG | 2,858 | 318,483 | ||
LANXESS AG | 3,845 | 228,489 | ||
METRO AG | 9,082 | 166,009 | ||
MTU Aero Engines AG | 1,893 | 450,955 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,484 | 1,627,211 | ||
Puma SE | 3,890 | 259,428 | ||
RTL Group SA | 567 | 29,039 | ||
RWE AG | 24,199 | 596,286 | ||
SAP SE | 44,119 | 6,058,253 | ||
Siemens AG | 33,266 | 3,956,680 | ||
Siemens Healthineers AG 144A | 13,084 | 552,116 | ||
Symrise AG | 6,729 | 647,627 | ||
Telefonica Deutschland Holding AG | 56,298 | 157,288 | ||
thyssenkrupp AG | 21,536 | 314,066 | ||
TUI AG | 23,283 | 228,385 | ||
Uniper SE | 8,857 | 268,199 | ||
United Internet AG | 5,566 | 183,291 | ||
Volkswagen AG | 1,484 | 255,059 | ||
Vonovia SE | 20,386 | 973,599 | ||
Wirecard AG | 5,045 | 849,314 | ||
Zalando SE 144A* | 5,038 | 223,534 | ||
49,734,027 | ||||
Hong Kong — 3.6% | ||||
AIA Group, Ltd. | 548,400 | 5,914,551 | ||
Bank of East Asia, Ltd. (The) | 69,647 | 194,809 | ||
BOC Hong Kong Holdings, Ltd. | 154,000 | 606,206 | ||
CK Asset Holdings, Ltd. | 142,500 | 1,115,490 | ||
CK Hutchison Holdings, Ltd. | 115,500 | 1,138,485 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 285,405 | ||
CLP Holdings, Ltd. | 91,000 | 1,004,160 | ||
Hang Lung Properties, Ltd. | 117,000 | 278,283 | ||
Hang Seng Bank, Ltd. | 28,500 | 709,609 | ||
Henderson Land Development Co., Ltd. | 105,275 | 580,167 | ||
HK Electric Investments & HK Electric Investments, Ltd. | 86,500 | 88,585 | ||
HKT Trust & HKT, Ltd. | 69,000 | 109,528 | ||
Hong Kong & China Gas Co., Ltd. | 453,929 | 1,006,446 | ||
Hong Kong Exchanges and Clearing, Ltd. | 53,199 | 1,878,245 | ||
Hysan Development Co., Ltd. | 65,000 | 335,746 | ||
Kerry Properties, Ltd. | 66,000 | 277,123 | ||
Link REIT | 91,500 | 1,124,467 | ||
MTR Corporation, Ltd. | 108,110 | 727,958 | ||
New World Development Co., Ltd. | 409,867 | 641,163 | ||
NWS Holdings, Ltd. | 21,399 | 43,994 | ||
PCCW, Ltd. | 102,000 | 58,889 |
Shares | Value | |||
Power Assets Holdings, Ltd. | 77,000 | $553,964 | ||
Shangri-La Asia, Ltd. | 170,000 | 214,358 | ||
Sino Land Co., Ltd.Δ | 166,604 | 279,390 | ||
Sun Hung Kai Properties, Ltd. | 71,500 | 1,212,764 | ||
Swire Pacific, Ltd. Class A | 22,500 | 276,508 | ||
Swire Properties, Ltd. | 63,800 | 257,676 | ||
Techtronic Industries Co., Ltd. | 56,000 | 428,690 | ||
Vitasoy International Holdings, Ltd. | 58,000 | 278,800 | ||
WH Group, Ltd. 144A | 353,500 | 358,401 | ||
Wharf Holdings, Ltd. (The) | 77,000 | 204,040 | ||
Wharf Real Estate Investment Co., Ltd. | 42,000 | 295,979 | ||
Wheelock & Co., Ltd. | 75,000 | 537,655 | ||
Yue Yuen Industrial Holdings, Ltd. | 84,000 | 230,116 | ||
23,247,650 | ||||
Ireland — 0.6% | ||||
AIB Group PLC | 35,314 | 144,399 | ||
Bank of Ireland Group PLC | 40,646 | 212,421 | ||
CRH PLC | 45,968 | 1,499,633 | ||
DCC PLC | 3,336 | 297,406 | ||
James Hardie Industries PLC CDI | 16,895 | 221,803 | ||
Kerry Group PLC Class A | 9,365 | 1,118,139 | ||
Kingspan Group PLC | 5,720 | 310,641 | ||
Smurfit Kappa Group PLC | 9,229 | 279,253 | ||
4,083,695 | ||||
Israel — 0.5% | ||||
Azrieli Group | 1,239 | 83,140 | ||
Bank Hapoalim BM* | 48,532 | 360,410 | ||
Bank Leumi Le-Israel BM | 65,831 | 475,830 | ||
Check Point Software Technologies, Ltd.Δ* | 5,794 | 669,844 | ||
Elbit Systems, Ltd. | 512 | 76,391 | ||
Israel Chemicals, Ltd. | 44,785 | 235,612 | ||
Nice, Ltd.* | 2,756 | 377,284 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 64,824 | 598,326 | ||
Wix.com, Ltd.* | 1,160 | 164,836 | ||
3,041,673 | ||||
Italy — 1.9% | ||||
Assicurazioni Generali SpA | 36,421 | 685,821 | ||
Atlantia SpAΔ | 20,348 | 530,085 | ||
Enel SpA | 358,493 | 2,502,924 | ||
Eni SpA | 121,501 | 2,017,947 | ||
FinecoBank Banca Fineco SpA | 27,715 | 309,159 | ||
Intesa Sanpaolo SpA | 710,538 | 1,520,567 | ||
Leonardo SpA | 20,334 | 257,692 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 220,127 | ||
Moncler SpA | 14,899 | 637,006 | ||
Pirelli & C SpA 144A | 23,808 | 140,721 | ||
Poste Italiane SpA 144AΔ | 25,999 | 273,758 | ||
Prysmian SpAΔ | 8,844 | 182,526 | ||
Recordati SpA | 8,616 | 359,167 | ||
Snam SpA | 106,584 | 529,751 | ||
Telecom Italia SpA* | 77,209 | 42,159 | ||
Telecom Italia SpA (Italy Exchange)Δ | 635,892 | 329,794 |
Table of Contents
Shares | Value | |||
Tenaris SAΔ | 20,917 | $273,762 | ||
Terna Rete Elettrica Nazionale SpA | 90,920 | 578,957 | ||
UniCredit SpA | 78,683 | 968,607 | ||
12,360,530 | ||||
Japan — 22.3% | ||||
ABC-Mart, Inc. | 100 | 6,511 | ||
Acom Co., Ltd.Δ | 3,200 | 11,516 | ||
Advantest Corporation | 10,700 | 294,259 | ||
Aeon Co., Ltd. | 41,800 | 717,635 | ||
AEON Financial Service Co., Ltd. | 800 | 12,874 | ||
Aeon Mall Co., Ltd. | 900 | 13,540 | ||
AGC, Inc. | 7,200 | 248,759 | ||
Aisin Seiki Co., Ltd. | 5,800 | 199,583 | ||
Ajinomoto Co., Inc. | 31,600 | 547,501 | ||
Alfresa Holdings Corporation | 4,500 | 110,940 | ||
Alps Alpine Co., Ltd. | 9,400 | 158,330 | ||
Amada Holdings Co., Ltd. | 8,700 | 97,882 | ||
ANA Holdings, Inc. | 7,400 | 244,894 | ||
Aozora Bank, Ltd. | 500 | 11,993 | ||
Asahi Intecc Co., Ltd. | 7,400 | 182,160 | ||
Asahi Kasei Corporation | 46,300 | 493,211 | ||
Astellas Pharma, Inc. | 106,900 | 1,521,973 | ||
Bandai Namco Holdings, Inc. | 8,000 | 388,072 | ||
Bank of Kyoto, Ltd. (The) | 600 | 23,179 | ||
Benesse Holdings, Inc. | 7,600 | 176,792 | ||
Bridgestone CorporationΔ | 25,700 | 1,011,171 | ||
Brother Industries, Ltd. | 11,600 | 218,949 | ||
Calbee, Inc. | 7,900 | 213,080 | ||
Canon, Inc.Δ | 61,400 | 1,791,628 | ||
Casio Computer Co., Ltd.Δ | 2,100 | 26,061 | ||
Central Japan Railway Co. | 7,400 | 1,481,167 | ||
Chiba Bank, Ltd. (The) | 40,000 | 195,149 | ||
Chubu Electric Power Co., Inc. | 38,800 | 543,952 | ||
Chugai Pharmaceutical Co., Ltd. | 10,400 | 679,089 | ||
Chugoku Electric Power Co., Inc. (The) | 3,100 | 39,047 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 17,900 | 453,083 | ||
Concordia Financial Group, Ltd. | 55,000 | 204,563 | ||
Credit Saison Co., Ltd. | 2,000 | 23,392 | ||
CyberAgent, Inc.Δ | 5,700 | 206,451 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 223,605 | ||
Daicel Corporation | 3,100 | 27,545 | ||
Daifuku Co., Ltd. | 5,500 | 308,631 | ||
Dai-ichi Life Holdings, Inc. | 44,700 | 673,723 | ||
Daiichi Sankyo Co., Ltd. | 25,000 | 1,306,636 | ||
Daikin Industries, Ltd. | 11,800 | 1,539,368 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 445,880 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 716,678 | ||
Daiwa House REIT Investment CorporationΔ | 101 | 243,659 | ||
Daiwa Securities Group, Inc. | 49,000 | 214,561 | ||
Denso Corporation | 16,900 | 710,548 | ||
Dentsu, Inc. | 10,700 | 373,158 | ||
Disco CorporationΔ | 1,500 | 245,977 | ||
East Japan Railway Co. | 13,000 | 1,215,415 | ||
Eisai Co., Ltd. | 11,100 | 627,094 | ||
Electric Power Development Co., Ltd. | 8,700 | 197,538 |
Shares | Value | |||
FamilyMart UNY Holdings Co., Ltd. | 10,400 | $248,099 | ||
FANUC Corporation | 8,000 | 1,478,829 | ||
Fast Retailing Co., Ltd. | 2,400 | 1,449,817 | ||
Fuji Electric Co., Ltd. | 2,700 | 93,034 | ||
FUJIFILM Holdings Corporation | 16,000 | 810,722 | ||
Fujitsu, Ltd. | 8,700 | 606,172 | ||
Fukuoka Financial Group, Inc. | 5,700 | 103,992 | ||
Hakuhodo DY Holdings, Inc. | 5,300 | 89,173 | ||
Hamamatsu Photonics KK | 1,200 | 46,691 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 469,007 | ||
Hikari Tsushin, Inc.Δ | 1,200 | 261,448 | ||
Hino Motors, Ltd. | 2,100 | 17,666 | ||
Hirose Electric Co., Ltd. | 605 | 67,450 | ||
Hisamitsu Pharmaceutical Co., Inc. | 3,300 | 130,237 | ||
Hitachi Chemical Co., Ltd. | 1,200 | 32,567 | ||
Hitachi Construction Machinery Co., Ltd. | 7,500 | 194,917 | ||
Hitachi High-Technologies Corporation | 600 | 30,831 | ||
Hitachi Metals, Ltd. | 2,000 | 22,576 | ||
Hitachi, Ltd. | 45,600 | 1,670,217 | ||
Honda Motor Co., Ltd. | 77,400 | 1,999,341 | ||
Hoshizaki Corporation | 2,100 | 156,212 | ||
Hoya Corporation | 15,200 | 1,163,667 | ||
Hulic Co., Ltd.Δ | 26,200 | 210,446 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 262,530 | ||
IHI Corporation | 3,400 | 81,898 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 40,347 | ||
Inpex Corporation | 43,600 | 392,790 | ||
Isetan Mitsukoshi Holdings, Ltd. | 12,100 | 98,088 | ||
Isuzu Motors, Ltd. | 18,100 | 205,989 | ||
ITOCHU Corporation | 54,100 | 1,033,929 | ||
J. Front Retailing Co., Ltd. | 17,300 | 198,168 | ||
Japan Airlines Co., Ltd. | 6,100 | 194,799 | ||
Japan Airport Terminal Co., Ltd. | 400 | 17,048 | ||
Japan Exchange Group, Inc. | 17,100 | 271,532 | ||
Japan Post Holdings Co., Ltd. | 58,300 | 659,704 | ||
Japan Prime Realty Investment Corporation REIT | 9 | 38,983 | ||
Japan Real Estate Investment Corporation REIT | 46 | 279,887 | ||
Japan Retail Fund Investment Corporation REIT | 40 | 80,879 | ||
JFE Holdings, Inc. | 23,900 | 350,802 | ||
JGC Corporation | 11,500 | 157,650 | ||
JSR Corporation | 2,200 | 34,709 | ||
JTEKT Corporation | 2,600 | 31,495 | ||
JXTG Holdings, Inc. | 137,150 | 679,803 | ||
Kajima Corporation | 17,500 | 239,902 | ||
Kakaku.com, Inc. | 3,900 | 75,240 | ||
Kaneka Corporation | 600 | 22,539 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 392,741 | ||
Kansai Paint Co., Ltd. | 12,800 | 268,193 | ||
Kao CorporationΔ | 24,200 | 1,842,805 | ||
KDDI Corporation | 69,900 | 1,778,701 | ||
Keihan Holdings Co., Ltd. | 400 | 17,419 | ||
Keikyu Corporation | 14,200 | 244,317 | ||
Keio Corporation | 1,400 | 92,065 | ||
Keisei Electric Railway Co., Ltd. | 1,500 | 54,607 |
Table of Contents
Shares | Value | |||
Keyence Corporation | 3,900 | $2,392,125 | ||
Kikkoman Corporation | 7,100 | 308,853 | ||
Kintetsu Group Holdings Co., Ltd.Δ | 5,900 | 282,373 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 164,476 | ||
Kobe Steel, Ltd. | 10,400 | 68,005 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 229,328 | ||
Komatsu, Ltd. | 50,300 | 1,213,004 | ||
Konami Holdings Corporation | 5,500 | 257,617 | ||
Konica Minolta, Inc. | 23,900 | 232,538 | ||
Kose Corporation | 1,400 | 234,643 | ||
Kubota Corporation | 39,300 | 653,572 | ||
Kuraray Co., Ltd. | 7,300 | 87,141 | ||
KuritaWater Industries, Ltd. | 900 | 22,330 | ||
Kyocera Corporation | 12,500 | 815,633 | ||
Kyowa Hakko Kirin Co., Ltd. | 29,300 | 526,946 | ||
Kyushu Electric Power Co., Inc. | 24,000 | 235,515 | ||
Kyushu Railway Co. | 11,000 | 320,364 | ||
Lawson, Inc. | 3,900 | 187,015 | ||
LINE Corporation* | 5,200 | 145,416 | ||
Lion Corporation | 11,600 | 215,937 | ||
LIXIL Group Corporation | 11,900 | 188,078 | ||
M3, Inc. | 17,400 | 317,772 | ||
Makita Corporation | 7,900 | 268,182 | ||
Marubeni Corporation | 64,200 | 424,566 | ||
Marui Group Co., Ltd. | 6,200 | 126,168 | ||
Maruichi Steel Tube, Ltd. | 400 | 11,104 | ||
Mazda Motor Corporation | 20,700 | 215,899 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 5,400 | 237,908 | ||
Medipal Holdings Corporation | 4,500 | 99,295 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 571,349 | ||
MINEBEA MITSUMI, Inc. | 13,700 | 231,902 | ||
MISUMI Group, Inc. | 9,900 | 248,108 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 420,225 | ||
Mitsubishi Corporation | 63,100 | 1,662,143 | ||
Mitsubishi Electric Corporation | 91,900 | 1,209,536 | ||
Mitsubishi Estate Co., Ltd. | 48,200 | 896,359 | ||
Mitsubishi Gas Chemical Co., Inc. | 5,500 | 73,255 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 596,083 | ||
Mitsubishi Materials Corporation | 3,100 | 88,128 | ||
Mitsubishi Motors Corporation | 37,400 | 178,995 | ||
Mitsubishi Tanabe Pharma Corporation | 19,400 | 215,925 | ||
Mitsubishi UFJ Financial Group, Inc. | 578,600 | 2,747,699 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | 206,019 | ||
Mitsui & Co., Ltd. | 64,700 | 1,052,579 | ||
Mitsui Chemicals, Inc. | 9,400 | 232,526 | ||
Mitsui Fudosan Co., Ltd. | 49,800 | 1,206,720 | ||
Mizuho Financial Group, Inc. | 985,700 | 1,427,146 | ||
MonotaRO Co., Ltd.Δ | 4,000 | 97,426 | ||
MS&AD Insurance Group Holdings, Inc. | 18,400 | 583,666 | ||
Murata Manufacturing Co., Ltd. | 27,700 | 1,243,500 | ||
Nagoya Railroad Co., Ltd. | 1,600 | 44,239 | ||
NEC Corporation | 10,400 | 408,997 | ||
Nexon Co., Ltd.* | 18,700 | 270,921 | ||
NGK Spark Plug Co., Ltd. | 4,500 | 84,395 |
Shares | Value | |||
NH Foods, Ltd. | 6,500 | $278,231 | ||
Nidec Corporation | 10,400 | 1,420,396 | ||
Nikon Corporation | 13,200 | 186,586 | ||
Nintendo Co., Ltd. | 5,500 | 2,014,516 | ||
Nippon Building Fund, Inc. REIT | 44 | 301,183 | ||
Nippon Electric Glass Co., Ltd. | 2,600 | 65,811 | ||
Nippon Express Co., Ltd. | 4,000 | 212,586 | ||
Nippon Paint Holdings Co., Ltd.Δ | 7,300 | 283,022 | ||
Nippon Prologis REIT, Inc. | 121 | 279,339 | ||
Nippon Steel Corporation | 31,000 | 531,642 | ||
Nippon Telegraph & Telephone Corporation | 28,800 | 1,340,162 | ||
Nissan Chemical Corporation | 5,900 | 265,682 | ||
Nissan Motor Co., Ltd. | 88,200 | 631,221 | ||
Nisshin Seifun Group, Inc. | 15,300 | 348,956 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 276,789 | ||
Nitori Holdings Co., Ltd. | 3,500 | 463,572 | ||
Nitto Denko Corporation | 7,100 | 350,143 | ||
Nomura Holdings, Inc. | 192,900 | 678,813 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 282,788 | ||
Nomura Research Institute, Ltd. | 17,157 | 274,824 | ||
NSK, Ltd. | 22,800 | 203,014 | ||
NTT Data Corporation | 29,300 | 389,978 | ||
NTT DOCOMO, Inc. | 48,200 | 1,123,244 | ||
Obayashi Corporation | 26,400 | 259,801 | ||
Obic Co., Ltd. | 2,600 | 294,208 | ||
Odakyu Electric Railway Co., Ltd. | 9,000 | 220,127 | ||
Oji Holdings Corporation | 31,000 | 178,843 | ||
Olympus Corporation | 54,000 | 599,026 | ||
Omron Corporation | 6,300 | 328,396 | ||
Ono Pharmaceutical Co., Ltd. | 29,800 | 534,004 | ||
Oracle Corporation | 700 | 51,097 | ||
Oriental Land Co., Ltd. | 8,900 | 1,101,201 | ||
ORIX Corporation | 76,900 | 1,146,920 | ||
Osaka Gas Co., Ltd. | 14,000 | 243,732 | ||
Otsuka Corporation | 6,900 | 277,434 | ||
Otsuka Holdings Co., Ltd. | 26,700 | 870,725 | ||
Pan Pacific International Holdings CorporationΔ | 4,600 | 291,833 | ||
Panasonic Corporation | 128,800 | 1,072,308 | ||
Park24 Co., Ltd. | 7,600 | 176,862 | ||
PeptiDream, Inc.* | 5,900 | 301,526 | ||
Persol Holdings Co., Ltd. | 9,400 | 220,669 | ||
Pigeon Corporation | 6,500 | 261,350 | ||
Pola Orbis Holdings, Inc.Δ | 7,300 | 203,803 | ||
Rakuten, Inc. | 35,400 | 420,275 | ||
Recruit Holdings Co., Ltd. | 54,000 | 1,800,083 | ||
Renesas Electronics Corporation* | 45,200 | 224,292 | ||
Resona Holdings, Inc. | 92,600 | 385,293 | ||
Ricoh Co., Ltd. | 24,800 | 247,505 | ||
Rinnai Corporation | 4,600 | 292,260 | ||
Rohm Co., Ltd. | 3,100 | 208,171 | ||
Ryohin Keikaku Co., Ltd. | 1,100 | 198,544 | ||
Santen Pharmaceutical Co., Ltd. | 34,300 | 567,876 | ||
SBI Holdings, Inc.Δ | 9,400 | 232,526 | ||
Secom Co., Ltd. | 11,500 | 989,204 | ||
Seibu Holdings, Inc. | 13,200 | 219,888 |
Table of Contents
Shares | Value | |||
Seiko Epson Corporation | 17,200 | $272,003 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 252,121 | ||
Sekisui House, Ltd. | 31,600 | 520,390 | ||
Seven & i Holdings Co., Ltd. | 40,100 | 1,356,813 | ||
Seven Bank, Ltd. | 4,800 | 12,555 | ||
Sharp Corporation | 9,500 | 104,151 | ||
Shimadzu Corporation | 3,000 | 73,515 | ||
Shimamura Co., Ltd. | 200 | 14,933 | ||
Shimano, Inc.Δ | 3,200 | 475,778 | ||
Shimizu Corporation | 26,800 | 222,474 | ||
Shin-Etsu Chemical Co., Ltd. | 15,000 | 1,396,142 | ||
Shinsei Bank, Ltd. | 400 | 6,207 | ||
Shionogi & Co., Ltd. | 13,400 | 771,698 | ||
Shiseido Co., Ltd. | 19,000 | 1,431,146 | ||
Shizuoka Bank, Ltd. (The) | 5,000 | 36,822 | ||
Showa Denko KK | 5,600 | 164,652 | ||
SMC Corporation | 2,300 | 856,940 | ||
Softbank CorporationΔ | 70,500 | 915,130 | ||
SoftBank Group Corporation | 71,400 | 3,420,498 | ||
Sohgo Security Services Co., Ltd. | 600 | 27,658 | ||
Sompo Holdings, Inc. | 13,600 | 524,877 | ||
Sony Corporation | 53,100 | 2,781,698 | ||
Sony Financial Holdings, Inc.Δ | 4,600 | 110,419 | ||
Stanley Electric Co., Ltd. | 7,300 | 179,292 | ||
Subaru Corporation | 21,900 | 531,986 | ||
SUMCO Corporation | 14,200 | 168,848 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 236,516 | ||
Sumitomo Corporation | 45,500 | 688,946 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 236,864 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 446,070 | ||
Sumitomo Heavy Industries, Ltd. | 9,500 | 326,462 | ||
Sumitomo Metal Mining Co., Ltd. | 9,900 | 295,581 | ||
Sumitomo Mitsui Financial Group, Inc. | 59,100 | 2,086,302 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 499,956 | ||
Sumitomo Realty & Development Co., Ltd. | 18,000 | 642,434 | ||
Sumitomo Rubber Industries, Inc. | 15,700 | 181,442 | ||
Sundrug Co., Ltd.Δ | 6,600 | 178,506 | ||
Suntory Beverage & Food, Ltd. | 17,700 | 769,137 | ||
Suzuken Co., Ltd. | 1,900 | 111,376 | ||
Suzuki Motor Corporation | 13,600 | 638,783 | ||
Sysmex Corporation | 7,300 | 475,788 | ||
T&D Holdings, Inc. | 22,500 | 244,064 | ||
Taiheiyo Cement Corporation | 7,100 | 214,683 | ||
Taisei Corporation | 11,000 | 399,434 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | 414,210 | ||
Taiyo Nippon Sanso Corporation | 1,200 | 25,466 | ||
Takeda Pharmaceutical Co., Ltd. | 62,836 | 2,228,095 | ||
TDK Corporation | 5,100 | 394,509 | ||
Teijin, Ltd. | 2,600 | 44,300 | ||
Terumo Corporation | 35,700 | 1,062,904 | ||
THK Co., Ltd. | 9,100 | 217,340 | ||
Tobu Railway Co., Ltd.Δ | 2,000 | 58,248 | ||
Toho Co., Ltd. | 2,900 | 123,192 | ||
Toho Gas Co., Ltd.Δ | 300 | 11,033 |
Shares | Value | |||
Tohoku Electric Power Co., Inc. | 19,200 | $193,932 | ||
Tokio Marine Holdings, Inc. | 26,400 | 1,322,020 | ||
Tokyo Century Corporation | 2,400 | 101,173 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 292,429 | ||
Tokyo Electron, Ltd. | 6,600 | 925,585 | ||
Tokyo Gas Co., Ltd. | 20,300 | 477,774 | ||
Tokyu Corporation | 17,400 | 308,412 | ||
Tokyu Fudosan Holdings Corporation | 34,600 | 190,947 | ||
Toppan Printing Co., Ltd. | 14,000 | 212,308 | ||
Toray Industries, Inc. | 43,600 | 331,282 | ||
Toshiba Corporation | 25,300 | 787,288 | ||
Tosoh Corporation | 16,800 | 236,071 | ||
TOTO, Ltd. | 6,700 | 264,421 | ||
Toyo Seikan Group Holdings, Ltd. | 2,300 | 45,610 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 172,963 | ||
Toyoda Gosei Co., Ltd. | 500 | 9,744 | ||
Toyota Industries Corporation | 5,300 | 291,509 | ||
Toyota Motor Corporation | 100,516 | 6,235,227 | ||
Toyota Tsusho Corporation | 7,800 | 236,210 | ||
Trend Micro, Inc. | 4,300 | 191,638 | ||
Tsuruha Holdings, Inc. | 1,900 | 175,523 | ||
Unicharm Corporation | 30,400 | 914,693 | ||
United Urban Investment Corporation REIT | 156 | 261,314 | ||
USS Co., Ltd. | 5,700 | 112,239 | ||
Welcia Holdings Co., Ltd. | 2,300 | 93,544 | ||
West Japan Railway Co. | 7,800 | 630,569 | ||
Yahoo Japan Corporation | 146,400 | 429,091 | ||
Yakult Honsha Co., Ltd. | 6,500 | 382,832 | ||
Yamada Denki Co., Ltd.Δ | 7,600 | 33,624 | ||
Yamaha Corporation | 5,400 | 256,439 | ||
Yamaha Motor Co., Ltd.Δ | 10,200 | 181,171 | ||
Yamato Holdings Co., Ltd. | 10,600 | 215,412 | ||
Yamazaki Baking Co., Ltd. | 4,200 | 63,459 | ||
Yaskawa Electric Corporation | 9,000 | 305,523 | ||
Yokogawa Electric Corporation | 2,500 | 48,973 | ||
Yokohama Rubber Co., Ltd. (The) | 1,000 | 18,365 | ||
ZOZO, Inc.Δ | 8,300 | 155,430 | ||
143,198,127 | ||||
Jersey — 0.7% | ||||
Experian PLC | 47,391 | 1,434,791 | ||
Ferguson PLC | 9,304 | 661,674 | ||
Glencore PLC* | 516,891 | 1,794,340 | ||
WPP PLC | 54,275 | 682,511 | ||
4,573,316 | ||||
Netherlands — 4.7% | ||||
ABN AMRO Bank NV CVA 144A | 19,173 | 410,197 | ||
Adyen NV 144A* | 426 | 328,717 | ||
Aegon NV | 88,160 | 438,880 | ||
AerCap Holdings NV* | 7,106 | 369,583 | ||
Airbus SE | 28,116 | 3,986,107 | ||
Akzo Nobel NV | 11,693 | 1,098,791 | ||
ArcelorMittal | 27,312 | 488,705 | ||
ASML Holding NV | 18,740 | 3,915,362 | ||
CNH Industrial NVΔ | 43,467 | 445,727 |
Table of Contents
Shares | Value | |||
EXOR NV | 4,203 | $294,401 | ||
Ferrari NVΔ | 4,491 | 729,239 | ||
Fiat Chrysler Automobiles NV | 41,027 | 572,231 | ||
ING Groep NV | 190,304 | 2,206,360 | ||
Koninklijke Ahold Delhaize NV | 67,756 | 1,523,803 | ||
Koninklijke DSM NV | 7,037 | 869,793 | ||
Koninklijke KPN NV | 130,887 | 401,845 | ||
Koninklijke Philips NVΔ | 48,889 | 2,122,768 | ||
Koninklijke Vopak NV | 1,980 | 91,297 | ||
NN Group NVΔ | 13,289 | 534,927 | ||
NXP Semiconductor NV | 14,557 | 1,420,909 | ||
QIAGEN NV* | 14,497 | 588,333 | ||
Randstad NV | 7,963 | 437,343 | ||
STMicroelectronics NV | 30,848 | 547,205 | ||
Unibail-Rodamco-Westfield REIT | 6,095 | 913,110 | ||
Unilever NV CVA | 72,311 | 4,403,963 | ||
Wolters Kluwer NV | 13,376 | 973,735 | ||
30,113,331 | ||||
New Zealand — 0.3% | ||||
a2 Milk Co., Ltd.* | 45,565 | 449,057 | ||
Auckland International Airport, Ltd. | 66,489 | 439,973 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 24,725 | 256,794 | ||
Fletcher Building, Ltd. | 50,457 | 164,400 | ||
Meridian Energy, Ltd. | 12,874 | 41,082 | ||
Spark New Zealand, Ltd. | 86,942 | 233,631 | ||
1,584,937 | ||||
Norway — 0.8% | ||||
Aker BP ASA | 5,224 | 149,792 | ||
DNB ASA | 42,506 | 790,779 | ||
Equinor ASA | 67,730 | 1,337,458 | ||
Gjensidige Forsikring ASA | 19,578 | 394,293 | ||
Mowi ASA | 26,051 | 609,097 | ||
Norsk Hydro ASAΔ | 56,215 | 200,993 | ||
Orkla ASA | 60,619 | 537,796 | ||
Schibsted ASA, B Shares | 3,001 | 78,240 | ||
Telenor ASAΔ | 35,082 | 744,785 | ||
Yara International ASA | 5,948 | 288,529 | ||
5,131,762 | ||||
Papua New Guinea — 0.1% | ||||
Oil Search, Ltd. | 54,263 | 269,334 | ||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 129,216 | 491,045 | ||
Galp Energia SGPS SA | 27,004 | 415,302 | ||
Jeronimo Martins SGPS SA | 14,871 | 239,528 | ||
1,145,875 | ||||
Singapore — 1.4% | ||||
Ascendas Real Estate Investment Trust | 124,200 | 286,403 | ||
CapitaLand Commercial Trust REIT | 41,879 | 67,167 | ||
CapitaLand, Ltd. | 199,700 | 521,021 | ||
City Developments, Ltd.Δ | 37,300 | 261,072 | ||
ComfortDelGro Corporation, Ltd. | 29,600 | 58,194 | ||
Dairy Farm International Holdings, Ltd. | 17,300 | 123,695 |
Shares | Value | |||
DBS Group Holdings, Ltd. | 87,612 | $1,681,011 | ||
Hongkong Land Holdings, Ltd. | 42,500 | 273,700 | ||
Jardine Cycle & Carriage, Ltd. | 8,811 | 235,937 | ||
Jardine Matheson Holdings, Ltd. | 9,200 | 579,784 | ||
Jardine Strategic Holdings, Ltd. | 7,400 | 282,162 | ||
Keppel Corporation, Ltd.Δ | 55,600 | 273,685 | ||
Oversea-Chinese Banking Corporation, Ltd. | 129,462 | 1,090,811 | ||
SATS, Ltd. | 9,200 | 35,494 | ||
Singapore Airlines, Ltd. | 30,700 | 210,339 | ||
Singapore Exchange, Ltd. | 7,800 | 45,658 | ||
Singapore Press Holdings, Ltd. | 116,700 | 210,457 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 49,264 | ||
Singapore Telecommunications, Ltd.Δ | 353,400 | 914,191 | ||
Suntec Real Estate Investment Trust | 26,900 | 38,570 | ||
United Overseas Bank, Ltd. | 53,959 | 1,042,091 | ||
UOL Group, Ltd. | 7,561 | 42,192 | ||
Venture Corporation, Ltd. | 10,300 | 124,011 | ||
Wilmar International, Ltd.Δ | 188,000 | 514,117 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 88,700 | 100,304 | ||
9,061,330 | ||||
Spain — 2.8% | ||||
ACS Actividades de Construccion y Servicios SA | 7,831 | 312,642 | ||
Aena SME SA 144A | 3,930 | 778,912 | ||
Amadeus IT Group SA | 22,411 | 1,775,184 | ||
Banco Bilbao Vizcaya Argentaria SA | 269,854 | 1,508,786 | ||
Banco de Sabadell SA | 169,722 | 175,815 | ||
Banco Santander SA | 719,893 | 3,340,258 | ||
Bankia SAΔ | 11,453 | 27,062 | ||
Bankinter SA | 24,002 | 165,339 | ||
CaixaBank SA | 130,072 | 372,425 | ||
Cellnex Telecom SA 144A* | 9,279 | 343,334 | ||
Enagas SA | 10,800 | 288,228 | ||
Endesa SAΔ | 13,556 | 348,522 | ||
Ferrovial SA | 26,966 | 690,225 | ||
Grifols SA | 11,220 | 331,715 | ||
Iberdrola SA | 250,346 | 2,495,404 | ||
Industria de Diseno Textil SA | 55,596 | 1,672,122 | ||
Mapfre SA | 10,729 | 31,366 | ||
Naturgy Energy Group SA | 9,739 | 268,328 | ||
Red Electrica Corporation SAΔ | 14,624 | 304,559 | ||
Repsol SA | 51,999 | 815,080 | ||
Siemens Gamesa Renewable Energy SA | 6,866 | 114,143 | ||
Telefonica SA | 228,227 | 1,873,972 | ||
18,033,421 | ||||
Sweden — 2.5% | ||||
Alfa Laval AB | 9,705 | 211,738 | ||
Assa Abloy AB Class B | 55,581 | 1,256,328 | ||
Atlas Copco AB, A Shares | 26,482 | 846,407 | ||
Atlas Copco AB, B Shares | 15,381 | 441,248 | ||
Boliden AB | 9,794 | 250,436 | ||
Electrolux AB, Series BΔ | 13,970 | 356,992 |
Table of Contents
Shares | Value | |||
Epiroc AB Class A | 8,156 | $84,914 | ||
Epiroc AB Class B | 46,082 | 456,446 | ||
Essity AB Class B | 39,754 | 1,221,797 | ||
Hennes & Mauritz AB, B SharesΔ | 37,981 | 676,334 | ||
Hexagon AB, B Shares | 9,655 | 536,080 | ||
Husqvarna AB, B Shares | 23,565 | 220,420 | ||
ICA Gruppen AB | 2,026 | 87,095 | ||
Industrivarden AB, C Shares | 8,930 | 197,907 | ||
Investor AB, B Shares | 39,998 | 1,921,475 | ||
Kinnevik AB Class B | 8,239 | 214,267 | ||
L E Lundbergforetagen AB, B Shares | 660 | 24,705 | ||
Lundin Petroleum AB | 8,084 | 250,630 | ||
Millicom International Cellular SA SDR | 2,447 | 137,684 | ||
Sandvik AB | 46,877 | 861,198 | ||
Securitas AB, B Shares | 14,981 | 262,801 | ||
Skandinaviska Enskilda Banken AB Class A | 63,139 | 584,193 | ||
Skanska AB, B Shares | 13,311 | 240,385 | ||
SKF AB, B Shares | 13,321 | 244,941 | ||
Svenska Handelsbanken AB, A Shares | 65,615 | 649,215 | ||
Swedbank AB, A Shares | 34,481 | 517,801 | ||
Tele2 AB, B SharesΔ | 19,177 | 279,824 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 115,479 | 1,095,578 | ||
Telia Co. AB | 126,527 | 561,909 | ||
Volvo AB, B Shares | 64,570 | 1,024,579 | ||
15,715,327 | ||||
Switzerland — 9.3% | ||||
ABB, Ltd. | 69,588 | 1,396,465 | ||
Adecco Group AG | 4,776 | 286,990 | ||
Alcon, Inc.* | 19,678 | 1,215,109 | ||
Baloise Holding AGΔ | 1,016 | 179,845 | ||
Barry Callebaut AG | 138 | 276,792 | ||
Chocoladefabriken Lindt & Spruengli AG | 7 | 569,350 | ||
Chocoladefabriken Lindt & Spruengli AG (Swiss Exchange) | 120 | 873,387 | ||
Cie Financiere Richemont SA | 30,015 | 2,547,063 | ||
Clariant AG* | 5,445 | 110,690 | ||
Coca-Cola HBC AG* | 24,966 | 942,290 | ||
Credit Suisse Group AGΔ* | 106,526 | 1,277,286 | ||
Dufry AG* | 1,201 | 101,720 | ||
EMS-Chemie Holding AG | 209 | 135,629 | ||
Geberit AG | 1,465 | 684,327 | ||
Givaudan SAΔ | 333 | 940,123 | ||
Julius Baer Group, Ltd.Δ* | 11,052 | 492,030 | ||
Kuehne + Nagel International AG | 1,638 | 243,133 | ||
LafargeHolcim, Ltd.* | 1,494 | 72,948 | ||
LafargeHolcim, Ltd. (Swiss Exchange)Δ* | 19,045 | 930,009 | ||
Lonza Group AGΔ* | 3,338 | 1,126,344 | ||
Nestle SA | 137,973 | 14,283,499 | ||
Novartis AG | 98,391 | 8,990,450 | ||
Pargesa Holding SA | 251 | 19,348 | ||
Partners Group Holding AG | 623 | 489,491 | ||
Roche Holding AG | 32,684 | 9,195,514 | ||
Schindler Holding AG | 838 | 183,017 |
Shares | Value | |||
Schindler Holding AG (Swiss Exchange) | 1,136 | $252,871 | ||
SGS SA | 253 | 644,551 | ||
Sika AG | 4,914 | 838,632 | ||
Sonova Holding AG | 2,427 | 551,433 | ||
Straumann Holding AG | 601 | 530,323 | ||
Swatch Group AG (The) | 2,126 | 608,704 | ||
Swatch Group AG (The) (Swiss Exchange) | 15,046 | 814,568 | ||
Swiss Life Holding AGΔ | 710 | 351,873 | ||
Swiss Prime Site AG* | 4,727 | 412,801 | ||
Swiss Re AG | 11,416 | 1,160,545 | ||
Swisscom AG | 1,391 | 698,350 | ||
Temenos AG* | 2,132 | 381,432 | ||
UBS Group AGΔ* | 161,947 | 1,924,386 | ||
Vifor Pharma AG | 2,839 | 410,204 | ||
Zurich Insurance Group AG | 6,382 | 2,222,128 | ||
59,365,650 | ||||
United Kingdom — 15.1% | ||||
3i Group PLC | 54,344 | 768,473 | ||
Admiral Group PLC | 16,537 | 463,706 | ||
Anglo American PLC | 43,454 | 1,238,614 | ||
Antofagasta PLC | 23,560 | 278,137 | ||
Ashtead Group PLC | 21,261 | 608,589 | ||
Associated British Foods PLC | 20,169 | 630,864 | ||
AstraZeneca PLC | 58,770 | 4,804,999 | ||
Auto Trader Group PLC 144A | 48,519 | 337,536 | ||
Aviva PLC | 201,169 | 1,064,052 | ||
BAE Systems PLC | 180,364 | 1,134,730 | ||
Barclays PLC | 884,588 | 1,682,827 | ||
Barratt Developments PLC | 50,118 | 364,445 | ||
Berkeley Group Holdings PLC | 6,733 | 319,022 | ||
BHP Group PLC | 100,288 | 2,566,319 | ||
BP PLC | 921,992 | 6,423,469 | ||
British Land Co. PLC (The) REIT | 38,543 | 263,534 | ||
BT Group PLC | 453,308 | 1,130,978 | ||
Bunzl PLC | 22,304 | 588,310 | ||
Burberry Group PLC | 31,845 | 753,022 | ||
Carnival PLC | 9,106 | 402,317 | ||
Centrica PLC | 288,146 | 321,214 | ||
Coca-Cola European Partners PLC | 29,712 | 1,678,728 | ||
Compass Group PLC | 87,542 | 2,097,853 | ||
Croda International PLC | 3,881 | 252,348 | ||
Direct Line Insurance Group PLC | 64,437 | 271,518 | ||
easyJet PLC | 11,091 | 134,258 | ||
Evraz PLC | 40,533 | 342,411 | ||
Fresnillo PLC | 9,619 | 106,301 | ||
G4S PLC | 106,286 | 280,754 | ||
GlaxoSmithKline PLC | 241,975 | 4,844,832 | ||
Halma PLC | 16,991 | 435,870 | ||
Hargreaves Lansdown PLC | 10,678 | 260,227 | ||
HSBC Holdings PLC | 893,001 | 7,449,684 | ||
Informa PLC | 61,491 | 652,056 | ||
InterContinental Hotels Group PLC | 11,091 | 728,477 | ||
Intertek Group PLC | 8,134 | 568,344 | ||
Investec PLC | 39,844 | 258,565 | ||
ITV PLC | 231,678 | 317,757 |
Table of Contents
Shares | Value | |||
J Sainsbury PLC | 88,172 | $219,413 | ||
John Wood Group PLC | 31,746 | 182,228 | ||
Johnson Matthey PLC | 6,759 | 285,748 | ||
Kingfisher PLC | 173,177 | 472,621 | ||
Land Securities Group PLC REIT | 42,490 | 449,596 | ||
Legal & General Group PLC | 250,445 | 857,152 | ||
Lloyds Banking Group PLC | 3,156,523 | 2,268,482 | ||
London Stock Exchange Group PLC | 12,166 | 847,599 | ||
Marks & Spencer Group PLC | 94,323 | 252,388 | ||
Meggitt PLC | 30,413 | 202,384 | ||
Melrose Industries PLC | 189,229 | 434,603 | ||
Merlin Entertainments PLC 144A | 46,524 | 265,342 | ||
Micro Focus International PLC | 13,331 | 349,429 | ||
Mondi PLC | 11,953 | 271,717 | ||
National Grid PLC | 184,172 | 1,954,846 | ||
Next PLC | 7,706 | 540,787 | ||
NMC Health PLCΔ | 7,425 | 226,588 | ||
Ocado Group PLC* | 22,804 | 337,963 | ||
Pearson PLC | 57,595 | 599,332 | ||
Persimmon PLC | 14,726 | 373,465 | ||
Prudential PLC | 116,852 | 2,546,479 | ||
Reckitt Benckiser Group PLC | 33,845 | 2,670,868 | ||
RELX PLC | 15,283 | 369,810 | ||
RELX PLC (London Exchange) | 77,748 | 1,885,366 | ||
Rentokil Initial PLC | 101,023 | 509,969 | ||
Rio Tinto PLC | 48,638 | 3,014,579 | ||
Rolls-Royce Holdings PLC* | 66,226 | 706,808 | ||
Royal Bank of Scotland Group PLC | 194,604 | 543,208 | ||
Royal Dutch Shell PLC, A Shares | 195,408 | 6,383,875 | ||
Royal Dutch Shell PLC, B Shares | 177,121 | 5,805,568 | ||
RSA Insurance Group PLC | 43,200 | 316,443 | ||
Sage Group PLC (The) | 46,576 | 474,613 | ||
Schroders PLC | 6,913 | 267,765 | ||
Segro PLC REIT | 54,618 | 506,482 | ||
Severn Trent PLC | 9,681 | 251,789 | ||
Smith & Nephew PLC | 37,840 | 819,336 | ||
Smiths Group PLC | 15,525 | 308,555 | ||
Spirax-Sarco Engineering PLC | 3,375 | 393,677 | ||
SSE PLC | 68,146 | 971,001 | ||
St. James’s Place PLC | 18,780 | 261,869 | ||
Standard Chartered PLC | 118,779 | 1,077,324 | ||
Standard Life Aberdeen PLC | 114,480 | 428,301 | ||
Taylor Wimpey PLC | 203,676 | 408,034 | ||
Tesco PLC | 462,243 | 1,330,787 | ||
Unilever PLC | 52,664 | 3,273,474 | ||
United Utilities Group PLC | 27,605 | 274,426 | ||
Vodafone Group PLC | 1,284,807 | 2,110,038 |
Shares | Value | |||
Weir Group PLC (The) | 10,978 | $215,605 | ||
Whitbread PLC | 8,176 | 480,634 | ||
WM Morrison Supermarkets PLC | 106,161 | 271,526 | ||
97,095,032 | ||||
Total Foreign Common Stocks (Cost $603,193,397) | 607,742,222 | |||
FOREIGN PREFERRED STOCKS — 0.5% | ||||
Germany — 0.5% | ||||
Henkel AG & Co KGaA | ||||
2.13%, 04/09/19 | 11,912 | 1,165,152 | ||
Porsche Automobil Holding SE | ||||
3.78%, 06/28/19 | 4,564 | 296,541 | ||
Sartorius AG | ||||
0.34%, 03/29/19 | 1,809 | 370,880 | ||
Volkswagen AG | ||||
3.22%, 05/15/19 | 9,233 | 1,556,139 | ||
3,388,712 | ||||
Total Foreign Preferred Stocks (Cost $3,420,464) | 3,388,712 | |||
RIGHTS — 0.0% | ||||
ACS Actividades de Construccion y Servicios SAΔ* | 7,831 | 12,288 | ||
Repsol SAΔ* | 51,999 | 28,843 | ||
Total Rights (Cost $42,397) | 41,131 | |||
MONEY MARKET FUNDS — 5.1% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 23,882,581 | 23,882,581 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 8,889,864 | 8,889,864 | ||
Total Money Market Funds (Cost $32,772,445) | 32,772,445 |
Table of Contents
Par | Value | |||
U.S. TREASURY OBLIGATION — 0.2% | ||||
U.S. Treasury Bill | ||||
2.31%, 11/21/19Ω‡‡ (Cost $1,189,060) | $1,200,000 | $1,190,204 | ||
TOTAL INVESTMENTS —100.6% (Cost $640,848,518) | 645,321,259 | |||
Liabilities in Excess of Other Assets — (0.6)% | (3,808,887) | |||
NET ASSETS — 100.0% | $641,512,372 |
% | ||
Financials | 17.9 | |
Industrials | 13.6 | |
Health Care | 11.1 | |
Consumer Discretionary | 10.2 | |
Consumer Staples | 9.7 | |
Materials | 6.8 | |
Information Technology | 6.8 | |
Communication Services | 5.3 | |
Energy | 5.6 | |
Money Market Funds | 5.1 | |
Utilities | 4.2 | |
Real Estate | 4.1 | |
U.S. Treasury Obligation | 0.2 | |
Rights | — | ** |
100.6 | ||
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 09/2019 | 309 | $29,714,985 | $705,723 | ||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stock | $186,545 | $186,545 | $— | $— | |||
Foreign Common Stocks: | |||||||
Israel | 3,041,673 | 1,433,006 | 1,608,667 | — | |||
Other^^ | 604,700,549 | 604,700,549 | — | — | |||
Total Foreign Common Stocks | 607,742,222 | 606,133,555 | 1,608,667 | — | |||
Foreign Preferred Stocks | 3,388,712 | 3,388,712 | — | — | |||
Money Market Funds | 32,772,445 | 32,772,445 | — | — | |||
Rights | 41,131 | 41,131 | — | — | |||
U.S. Treasury Obligation | 1,190,204 | — | 1,190,204 | — | |||
Total Assets - Investments in Securities | $645,321,259 | $642,522,388 | $2,798,871 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $705,723 | $705,723 | $— | $— | |||
Total Assets - Other Financial Instruments | $705,723 | $705,723 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 1.7% | ||||
Consumer Discretionary — 0.5% | ||||
Yum China Holdings, Inc. | 135,482 | $6,259,268 | ||
Health Care — 1.2% | ||||
Mettler-Toledo International, Inc.* | 9,800 | 8,232,000 | ||
ResMed, Inc. | 53,500 | 6,528,605 | ||
14,760,605 | ||||
Total Common Stocks (Cost $16,991,800) | 21,019,873 | |||
FOREIGN COMMON STOCKS — 97.0% | ||||
Australia — 3.3% | ||||
AGL Energy, Ltd. | 7,472 | 104,967 | ||
AMP, Ltd. | 903,180 | 1,344,244 | ||
Ansell, Ltd. | 16,842 | 317,472 | ||
ASX, Ltd.‡‡ | 2,303 | 133,178 | ||
Aurizon Holdings, Ltd.‡‡ | 98,308 | 372,692 | ||
Australia & New Zealand Banking Group, Ltd.‡‡ | 49,698 | 984,260 | ||
BHP Group, Ltd.‡‡ | 46,115 | 1,332,557 | ||
BlueScope Steel, Ltd. | 249,691 | 2,112,312 | ||
Brambles, Ltd. | 126,601 | 1,144,777 | ||
Caltex Australia, Ltd. | 40,904 | 710,737 | ||
CIMIC Group, Ltd.‡‡ | 60,586 | 1,904,265 | ||
Coca-Cola Amatil, Ltd. | 11,676 | 83,775 | ||
CSL, Ltd. | 57,447 | 8,671,094 | ||
Dexus REIT‡‡ | 12,849 | 117,088 | ||
Flight Centre Travel Group, Ltd. | 7,659 | 223,414 | ||
Fortescue Metals Group, Ltd. | 241,825 | 1,531,355 | ||
Goodman Group REIT‡‡ | 30,218 | 318,855 | ||
GPT Group (The) REIT | 25,055 | 108,178 | ||
GPT Group (The) REIT Ψ†††* | 63,198 | — | ||
Iluka Resources, Ltd. | 192,318 | 1,454,132 | ||
Lendlease Group | 45,873 | 418,667 | ||
Mirvac Group REIT‡‡ | 53,620 | 117,825 | ||
Newcrest Mining, Ltd. | 59,342 | 1,331,071 | ||
Orica, Ltd. | 144,417 | 2,055,134 | ||
Origin Energy, Ltd. | 48,381 | 248,291 | ||
Qantas Airways, Ltd. | 472,755 | 1,792,247 | ||
QBE Insurance Group, Ltd. | 764,201 | 6,346,882 | ||
Rio Tinto, Ltd.‡‡ | 8,019 | 584,142 | ||
Santos, Ltd. | 139,341 | 692,596 | ||
Scentre Group REIT‡‡ | 93,514 | 252,102 | ||
South32, Ltd. | 1,406,381 | 3,139,772 | ||
Stockland REIT‡‡ | 41,895 | 122,650 | ||
Suncorp Group, Ltd. | 7,133 | 67,454 | ||
Telstra Corporation, Ltd. | 52,407 | 141,650 | ||
Vicinity Centres REIT‡‡ | 52,810 | 90,834 | ||
Woodside Petroleum, Ltd. | 38,183 | 974,680 | ||
41,345,349 | ||||
Belgium — 0.6% | ||||
Ageas | 23,588 | 1,226,030 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 40,715 | ||
KBC Group NV | 80,046 | 5,246,411 | ||
UCB SA | 14,860 | 1,232,151 | ||
7,745,307 |
Shares | Value | |||
Canada — 2.6% | ||||
Alimentation Couche-Tard, Inc. Class B | 4,500 | $283,185 | ||
Canadian National Railway Co. | 75,115 | 6,946,635 | ||
Canadian Pacific Railway, Ltd.Δ | 36,300 | 8,539,212 | ||
Cenovus Energy, Inc. | 222,799 | 1,965,048 | ||
Dollarama, Inc. | 87,100 | 3,064,180 | ||
Shopify, Inc. Class A* | 30,385 | 9,120,058 | ||
Suncor Energy, Inc. | 64,308 | 2,006,019 | ||
31,924,337 | ||||
China — 0.7% | ||||
Baidu, Inc. ADR* | 16,995 | 1,994,533 | ||
Tencent Holdings, Ltd. | 157,500 | 7,109,144 | ||
9,103,677 | ||||
Denmark — 2.1% | ||||
Chr. Hansen Holding A/SΔ | 56,648 | 5,319,474 | ||
Coloplast A/S Class B | 14,077 | 1,590,811 | ||
Danske Bank A/S | 12,095 | 191,168 | ||
DSV A/S | 45,593 | 4,477,236 | ||
GN Store Nord A/S | 69,170 | 3,227,649 | ||
H Lundbeck A/S | 39,920 | 1,576,938 | ||
ISS A/S | 243,223 | 7,340,246 | ||
Orsted A/S 144A | 1,095 | 94,684 | ||
Pandora A/S | 42,786 | 1,521,984 | ||
Rockwool International A/S, B Shares | 3,803 | 971,006 | ||
26,311,196 | ||||
Finland — 0.3% | ||||
Kone OYJ Class B | 3,164 | 186,725 | ||
Neste OYJ‡‡ | 47,507 | 1,611,963 | ||
Nokia OYJ | 133,143 | 660,999 | ||
Orion OYJ Class B | 14,042 | 514,622 | ||
Sampo OYJ, A Shares | 10,786 | 508,988 | ||
Stora Enso OYJ, R Shares | 13,430 | 157,828 | ||
UPM-Kymmene OYJ‡‡ | 26,915 | 715,240 | ||
4,356,365 | ||||
France — 9.7% | ||||
Accor SAΔ | 75,400 | 3,236,585 | ||
Air Liquide SA | 40,992 | 5,735,607 | ||
Alstom SA | 2,000 | 92,787 | ||
Atos SE‡‡ | 20,873 | 1,744,974 | ||
AXA SA | 70,419 | 1,849,697 | ||
BNP Paribas SA‡‡ | 161,448 | 7,667,324 | ||
Bureau Veritas SA | 76,443 | 1,887,975 | ||
Capgemini SE‡‡ | 12,858 | 1,598,788 | ||
Christian Dior SE | 14,612 | 7,659,656 | ||
Cie de St-Gobain | 306,504 | 11,945,719 | ||
CNP Assurances‡‡ | 15,062 | 341,855 | ||
Credit Agricole SA | 18,152 | 217,656 | ||
Danone SA | 8,915 | 755,225 | ||
Dassault Aviation SA | 115 | 165,289 | ||
Dassault Systemes SA | 590 | 94,126 | ||
Edenred | 8,879 | 452,921 | ||
Electricite de France SA | 53,686 | 676,699 | ||
Engie SA‡‡ | 271,928 | 4,124,853 |
Table of Contents
Shares | Value | |||
EssilorLuxottica SA | 64,697 | $8,441,809 | ||
Gecina SA REIT | 674 | 100,859 | ||
Hermes International‡‡ | 2,255 | 1,626,191 | ||
Ingenico Group | 1,926 | 170,342 | ||
Kering SA | 2,045 | 1,209,425 | ||
Klepierre REIT‡‡ | 4,327 | 145,048 | ||
L’Oreal SA | 31,341 | 8,927,282 | ||
Peugeot SA‡‡ | 121,130 | 2,984,759 | ||
Publicis Groupe SAΔ | 54,935 | 2,900,324 | ||
Safran SA‡‡ | 10,494 | 1,537,532 | ||
Sanofi‡‡ | 154,646 | 13,348,620 | ||
Sartorius Stedim Biotech | 2,480 | 391,135 | ||
Schneider Electric SE | 101,114 | 9,170,544 | ||
SES SA | 31,843 | 497,869 | ||
Societe Generale SA | 243,841 | 6,160,975 | ||
SPIE SA | 10,640 | 197,572 | ||
Teleperformance | 3,723 | 745,929 | ||
Thales SA‡‡ | 7,389 | 912,881 | ||
TOTAL SA‡‡ | 61,113 | 3,424,198 | ||
Ubisoft Entertainment SA* | 52,560 | 4,114,290 | ||
Valeo SAΔ | 96,761 | 3,146,770 | ||
Vinci SA | 1,202 | 123,093 | ||
Worldline SA 144A* | 4,035 | 293,645 | ||
120,818,828 | ||||
Germany — 10.1% | ||||
adidas AG | 31,241 | 9,644,805 | ||
Allianz SE‡‡ | 87,541 | 21,103,089 | ||
Bayerische Motoren Werke AG | 67,255 | 4,977,801 | ||
Beiersdorf AG | 61,337 | 7,361,723 | ||
Carl Zeiss Meditec AG | 7,054 | 695,831 | ||
CECONOMY AG* | 58,467 | 358,608 | ||
Continental AG | 87,921 | 12,818,791 | ||
Covestro AG 144A‡‡ | 43,815 | 2,227,543 | ||
Daimler AG | 272,237 | 15,145,257 | ||
Deutsche Boerse AG | 31,535 | 4,460,791 | ||
Deutsche Lufthansa AG‡‡ | 45,262 | 775,614 | ||
Deutsche Telekom AG | 463,024 | 8,009,188 | ||
Deutsche Wohnen SE | 6,238 | 228,899 | ||
E.ON SE‡‡ | 239,218 | 2,598,013 | ||
Evonik Industries AG | 217,725 | 6,340,399 | ||
Fresenius Medical Care AG & Co. KGaA | 9,174 | 720,208 | ||
Fresenius SE & Co. KGaA‡‡ | 5,433 | 294,561 | ||
HOCHTIEF AG | 2,213 | 269,507 | ||
KION Group AG | 9,025 | 568,944 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 5,874 | 1,474,127 | ||
Nordex SE* | 7,203 | 99,269 | ||
Rheinmetall AG‡‡ | 4,082 | 499,673 | ||
SAP SE‡‡ | 114,408 | 15,710,072 | ||
Siemens AG | 15,006 | 1,784,824 | ||
Siemens Healthineers AG 144A | 11,276 | 475,822 | ||
Software AG | 33,185 | 1,139,587 | ||
Suedzucker AG | 3,527 | 59,717 | ||
Talanx AG | 5,165 | 223,766 |
Shares | Value | |||
thyssenkrupp AG | 205,872 | $3,002,295 | ||
Uniper SE | 10,120 | 306,443 | ||
Vonovia SE | 8,154 | 389,420 | ||
Wirecard AG | 10,278 | 1,730,277 | ||
125,494,864 | ||||
Hong Kong — 4.2% | ||||
AIA Group, Ltd. | 1,602,600 | 17,284,208 | ||
China Mobile, Ltd. | 763,500 | 6,954,059 | ||
CK Asset Holdings, Ltd. | 264,500 | 2,070,506 | ||
CK Hutchison Holdings, Ltd. | 1,100,500 | 10,847,639 | ||
CK Infrastructure Holdings, Ltd.‡‡ | 11,000 | 89,699 | ||
CLP Holdings, Ltd. | 9,000 | 99,313 | ||
Henderson Land Development Co., Ltd. | 102,560 | 565,205 | ||
HKT Trust & HKT, Ltd. | 114,000 | 180,959 | ||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 19,700 | 695,528 | ||
Hysan Development Co., Ltd. | 47,000 | 242,770 | ||
Kerry Properties, Ltd. | 371,500 | 1,559,865 | ||
Li & Fung, Ltd. | 908,000 | 158,081 | ||
Link REIT‡‡ | 41,000 | 503,860 | ||
PCCW, Ltd.‡‡ | 62,000 | 35,795 | ||
Sino Land Co., Ltd. | 162,000 | 271,669 | ||
Swire Properties, Ltd. | 109,800 | 443,462 | ||
WH Group, Ltd. 144A | 8,698,825 | 8,819,424 | ||
Wharf Holdings, Ltd. (The) | 127,000 | 336,534 | ||
Wheelock & Co., Ltd. | 84,000 | 602,174 | ||
Yue Yuen Industrial Holdings, Ltd. | 159,500 | 436,947 | ||
52,197,697 | ||||
India — 1.3% | ||||
Axis Bank, Ltd.* | 40,418 | 473,434 | ||
HDFC Bank, Ltd. ADR | 62,200 | 8,088,488 | ||
Tata Consultancy Services, Ltd. | 244,386 | 7,885,213 | ||
16,447,135 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 3,169,100 | 1,800,179 | ||
Ireland — 1.4% | ||||
Accenture PLC Class A | 45,500 | 8,407,035 | ||
ICON PLC* | 23,400 | 3,602,898 | ||
Ryanair Holdings PLC ADR* | 64,877 | 4,161,211 | ||
Willis Towers Watson PLC | 5,855 | 1,121,466 | ||
17,292,610 | ||||
Italy — 3.3% | ||||
A2A SpA‡‡ | 1,342,887 | 2,330,197 | ||
Assicurazioni Generali SpA | 22,346 | 420,784 | ||
BPER Banca | 325,829 | 1,327,502 | ||
Enel SpA | 2,400,767 | 16,761,661 | ||
Eni SpA‡‡ | 742,103 | 12,325,205 | ||
Intesa Sanpaolo SpA | 2,878,437 | 6,159,919 | ||
Italgas SpA | 10,810 | 72,622 | ||
Leonardo SpA | 81,515 | 1,033,038 | ||
Poste Italiane SpA 144A | 6,389 | 67,273 | ||
Unipol Gruppo SpA | 66,748 | 325,076 |
Table of Contents
Shares | Value | |||
UnipolSai Assicurazioni SpA | 26,446 | $67,932 | ||
40,891,209 | ||||
Japan — 15.4% | ||||
Aisin Seiki Co., Ltd. | 3,100 | 106,673 | ||
Alfresa Holdings Corporation | 25,600 | 631,126 | ||
Alps Alpine Co., Ltd. | 30,300 | 510,363 | ||
Astellas Pharma, Inc.‡‡ | 196,600 | 2,799,063 | ||
Bandai Namco Holdings, Inc. | 8,700 | 422,028 | ||
Brother Industries, Ltd. | 50,500 | 953,184 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 244,500 | 6,188,754 | ||
Dai Nippon Printing Co., Ltd. | 4,700 | 100,090 | ||
Dai-ichi Life Holdings, Inc. | 38,800 | 584,798 | ||
Daikin Industries, Ltd. | 57,000 | 7,435,932 | ||
Daito Trust Construction Co., Ltd.‡‡ | 1,000 | 127,394 | ||
Daiwa House Industry Co., Ltd.‡‡ | 9,100 | 265,112 | ||
Eisai Co., Ltd.‡‡ | 10,000 | 564,949 | ||
Fuji Electric Co., Ltd. | 24,900 | 857,984 | ||
FUJIFILM Holdings Corporation | 218,700 | 11,081,557 | ||
Fujitsu, Ltd. | 94,600 | 6,591,246 | ||
GungHo Online Entertainment, Inc. | 10,050 | 277,781 | ||
Gunma Bank, Ltd. (The) | 17,800 | 62,242 | ||
Hachijuni Bank, Ltd. (The) | 85,600 | 348,545 | ||
Haseko Corporation‡‡ | 131,300 | 1,327,431 | ||
Hitachi High-Technologies Corporation | 12,400 | 637,166 | ||
Hitachi, Ltd.‡‡ | 77,500 | 2,838,636 | ||
Honda Motor Co., Ltd. | 394,100 | 10,180,109 | ||
Hoshizaki Corporation | 1,600 | 119,019 | ||
Hoya Corporation | 124,500 | 9,531,355 | ||
IHI Corporation | 22,000 | 529,926 | ||
Isuzu Motors, Ltd. | 324,000 | 3,687,316 | ||
Iyo Bank, Ltd. (The) | 11,400 | 57,521 | ||
Japan Airlines Co., Ltd. | 48,100 | 1,536,041 | ||
Japan Real Estate Investment Corporation REIT | 18 | 109,521 | ||
Japan Retail Fund Investment Corporation REIT | 50 | 101,099 | ||
JTEKT Corporation | 8,800 | 106,597 | ||
Kajima Corporation | 24,400 | 334,491 | ||
Kamigumi Co., Ltd. | 32,900 | 778,138 | ||
Kao Corporation | 2,900 | 220,832 | ||
KDDI Corporation | 2,600 | 66,161 | ||
Keyence Corporation | 12,600 | 7,728,405 | ||
Komatsu, Ltd. | 138,900 | 3,349,627 | ||
Kose Corporation | 6,300 | 1,055,892 | ||
Kyocera Corporation | 86,200 | 5,624,607 | ||
Kyushu Railway Co. | 39,200 | 1,141,659 | ||
Mabuchi Motor Co., Ltd. | 3,300 | 112,790 | ||
Marubeni Corporation | 113,700 | 751,919 | ||
Mazda Motor Corporation | 71,900 | 749,910 | ||
Medipal Holdings Corporation | 4,800 | 105,915 | ||
MINEBEA MITSUMI, Inc. | 17,200 | 291,147 | ||
Mitsubishi Corporation | 33,700 | 887,706 | ||
Mitsubishi Electric Corporation | 553,400 | 7,283,538 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 22,000 | 409,127 | ||
Mitsubishi Gas Chemical Co., Inc.‡‡ | 25,800 | 343,633 |
Shares | Value | |||
Mitsubishi UFJ Financial Group, Inc.‡‡ | 355,800 | $1,689,650 | ||
Mitsui & Co., Ltd. | 21,900 | 356,283 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 16,000 | 387,701 | ||
Mixi, Inc. | 58,100 | 1,164,533 | ||
MS&AD Insurance Group Holdings, Inc. | 7,000 | 222,047 | ||
Murata Manufacturing Co., Ltd. | 4,400 | 197,524 | ||
Nikon Corporation | 47,900 | 677,082 | ||
Nippon Building Fund, Inc. REIT | 16 | 109,521 | ||
Nippon Express Co., Ltd. | 19,300 | 1,025,729 | ||
Nippon Telegraph & Telephone Corporation | 143,900 | 6,696,158 | ||
Nitto Denko Corporation | 3,200 | 157,811 | ||
NTT DOCOMO, Inc.‡‡ | 27,200 | 633,864 | ||
Olympus Corporation | 811,500 | 9,002,031 | ||
Omron Corporation | 6,400 | 333,608 | ||
Otsuka Holdings Co., Ltd.Δ | 119,400 | 3,893,803 | ||
Persol Holdings Co., Ltd. | 37,300 | 875,632 | ||
Pola Orbis Holdings, Inc. | 25,300 | 706,330 | ||
Recruit Holdings Co., Ltd. | 3,900 | 130,006 | ||
Renesas Electronics Corporation* | 98,700 | 489,770 | ||
Resona Holdings, Inc.‡‡ | 191,300 | 795,967 | ||
Rohm Co., Ltd. | 1,300 | 87,298 | ||
Secom Co., Ltd. | 43,100 | 3,707,364 | ||
Sekisui Chemical Co., Ltd. | 352,000 | 5,282,530 | ||
SG Holdings Co., Ltd. | 7,100 | 201,183 | ||
Shimamura Co., Ltd. | 2,000 | 149,330 | ||
Shimizu Corporation | 11,700 | 97,125 | ||
Shinsei Bank, Ltd. | 36,700 | 569,486 | ||
Shionogi & Co., Ltd.‡‡ | 20,400 | 1,174,824 | ||
SoftBank Group Corporation | 66,000 | 3,161,805 | ||
Sojitz Corporation‡‡ | 519,300 | 1,666,538 | ||
Sony Corporation‡‡ | 44,400 | 2,325,940 | ||
Subaru Corporation | 4,900 | 119,029 | ||
Sumitomo Corporation | 56,300 | 852,476 | ||
Sumitomo Dainippon Pharma Co., Ltd.‡‡ | 89,200 | 1,690,262 | ||
Sumitomo Electric Industries, Ltd. | 417,300 | 5,474,849 | ||
Sumitomo Heavy Industries, Ltd. | 19,200 | 659,797 | ||
Sumitomo Mitsui Financial Group, Inc. | 42,000 | 1,482,651 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 214,145 | ||
Suzuken Co., Ltd. | 5,600 | 328,266 | ||
Sysmex Corporation | 7,200 | 469,271 | ||
T&D Holdings, Inc. | 8,300 | 90,032 | ||
Taiheiyo Cement Corporation | 8,700 | 263,062 | ||
Taisei Corporation | 21,800 | 791,606 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 800 | 61,364 | ||
Takeda Pharmaceutical Co., Ltd. | 293,700 | 10,414,275 | ||
TDK Corporation | 6,800 | 526,012 | ||
Terumo CorporationΔ | 128,400 | 3,822,882 | ||
THK Co., Ltd. | 28,700 | 685,457 | ||
Tokio Marine Holdings, Inc. | 174,300 | 8,728,337 | ||
Tosoh Corporation | 15,800 | 222,019 | ||
Toyo Seikan Group Holdings, Ltd. | 8,200 | 162,608 |
Table of Contents
Shares | Value | |||
Toyota Boshoku Corporation | 6,400 | $83,936 | ||
Toyota Motor Corporation | 53,800 | 3,337,332 | ||
Toyota Tsusho Corporation | 6,600 | 199,870 | ||
Unicharm Corporation | 3,400 | 102,301 | ||
190,656,367 | ||||
Jersey — 3.1% | ||||
Experian PLC | 554,951 | 16,801,480 | ||
Ferguson PLC | 29,247 | 2,079,965 | ||
Glencore PLC* | 1,983,208 | 6,884,525 | ||
IWG PLC | 29,002 | 125,410 | ||
Man Group PLC‡‡ | 780,117 | 1,543,526 | ||
WPP PLC | 858,211 | 10,792,043 | ||
38,226,949 | ||||
Mexico — 0.5% | ||||
Grupo Televisa SAB SA ADR | 165,900 | 1,400,196 | ||
Wal-Mart de Mexico SAB de CV | 1,560,900 | 4,260,530 | ||
5,660,726 | ||||
Netherlands — 2.7% | ||||
Adyen NV 144A* | 1,768 | 1,364,253 | ||
Airbus SE‡‡ | 8,612 | 1,220,954 | ||
Akzo Nobel NV | 7,977 | 749,598 | ||
ASM International NV | 3,446 | 224,370 | ||
ASML Holding NVΔ | 19,400 | 4,033,842 | ||
ASML Holding NV | 11,798 | 2,464,965 | ||
ASR Nederland NV | 38,713 | 1,574,175 | ||
CNH Industrial NV | 518,047 | 5,312,245 | ||
EXOR NV | 55,523 | 3,889,129 | ||
Fiat Chrysler Automobiles NV | 28,227 | 393,701 | ||
ING Groep NV‡‡ | 66,977 | 776,523 | ||
Koninklijke Ahold Delhaize NV | 213,860 | 4,809,618 | ||
Koninklijke Philips NV | 27,263 | 1,183,764 | ||
Randstad NV | 17,394 | 955,312 | ||
Signify NV 144A | 25,548 | 755,316 | ||
STMicroelectronics NV | 11,487 | 203,765 | ||
Unibail-Rodamco-Westfield REIT‡‡ | 1,666 | 249,588 | ||
Unilever NV CVA | 28,192 | 1,716,980 | ||
Wolters Kluwer NV | 23,249 | 1,692,461 | ||
33,570,559 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ††† | 364,373 | — | ||
Norway — 0.4% | ||||
DNB ASA | 15,435 | 287,152 | ||
Equinor ASA | 55,614 | 1,098,204 | ||
Gjensidige Forsikring ASA | 5,575 | 112,278 | ||
Leroy Seafood Group ASA | 170,810 | 1,130,130 | ||
Salmar ASA | 53,126 | 2,309,894 | ||
4,937,658 | ||||
Portugal — 0.0% | ||||
EDP - Energias de Portugal SA | 96,013 | 364,867 | ||
Singapore — 2.8% | ||||
Ascendas Real Estate Investment Trust‡‡Δ | 1,180,500 | 2,722,217 | ||
CapitaLand Commercial Trust REIT | 69,500 | 111,467 | ||
CapitaLand Mall Trust REIT‡‡ | 58,400 | 113,520 |
Shares | Value | |||
ComfortDelGro Corporation, Ltd. | 485,400 | $954,297 | ||
DBS Group Holdings, Ltd. | 273,000 | 5,238,049 | ||
Jardine Matheson Holdings, Ltd. | 61,945 | 3,903,774 | ||
Singapore Exchange, Ltd.‡‡ | 13,600 | 79,610 | ||
Singapore Telecommunications, Ltd. | 2,310,300 | 5,976,386 | ||
Suntec Real Estate Investment Trust | 65,200 | 93,487 | ||
United Overseas Bank, Ltd. | 667,877 | 12,898,467 | ||
UOL Group, Ltd. | 14,686 | 81,951 | ||
Venture Corporation, Ltd. | 9,600 | 115,583 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 2,608,800 | 2,950,084 | ||
35,238,892 | ||||
South Africa — 0.3% | ||||
Naspers, Ltd. N Shares | 13,267 | 3,220,928 | ||
South Korea — 0.5% | ||||
NAVER Corporation | 29,540 | 2,916,520 | ||
Samsung Electronics Co., Ltd. | 66,500 | 2,706,881 | ||
5,623,401 | ||||
Spain — 3.1% | ||||
ACS Actividades de Construccion y Servicios SA | 23,672 | 945,071 | ||
Amadeus IT Group SA | 165,502 | 13,109,478 | ||
Banco Bilbao Vizcaya Argentaria SA | 203,149 | 1,135,831 | ||
Banco Santander SA | 2,360,326 | 10,951,763 | ||
Endesa SA‡‡ | 101,581 | 2,611,631 | ||
Iberdrola SA | 864,599 | 8,618,166 | ||
International Consolidated Airlines Group SA | 12,447 | 75,384 | ||
Mapfre SA | 58,261 | 170,325 | ||
Mediaset Espana Comunicacion SA | 12,967 | 94,278 | ||
Red Electrica Corporation SA | 22,824 | 475,332 | ||
Repsol SA‡‡ | 24,432 | 382,970 | ||
38,570,229 | ||||
Sweden — 2.9% | ||||
AAK AB | 8,496 | 161,024 | ||
Atlas Copco AB, A Shares | 122,677 | 3,920,950 | ||
Atlas Copco AB, B Shares | 6,930 | 198,807 | ||
Elekta AB, B Shares | 15,032 | 218,046 | ||
Essity AB Class B | 33,006 | 1,014,405 | ||
Fingerprint Cards AB, B Shares* | 308,052 | 545,700 | ||
Getinge AB, B Shares | 34,375 | 541,566 | ||
Hennes & Mauritz AB, B SharesΔ | 326,638 | 5,816,497 | ||
Investor AB, B Shares‡‡ | 8,150 | 391,520 | ||
Sandvik AB | 47,360 | 870,072 | ||
Securitas AB, B Shares | 23,051 | 404,367 | ||
SKF AB, B Shares | 165,187 | 3,037,392 | ||
Swedish Orphan Biovitrum AB* | 111,739 | 2,152,078 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 100,522 | 953,677 | ||
Telia Co. AB | 2,581,526 | 11,464,615 | ||
Volvo AB, B Shares‡‡ | 243,463 | 3,863,202 | ||
35,553,918 | ||||
Switzerland — 9.9% | ||||
ABB, Ltd.Δ | 477,025 | 9,572,751 | ||
Adecco Group AG‡‡ | 33,609 | 2,019,570 |
Table of Contents
Shares | Value | |||
Alcon, Inc.* | 115,221 | $7,114,855 | ||
Chubb, Ltd. | 47,000 | 6,922,630 | ||
Cie Financiere Richemont SA | 24,617 | 2,088,990 | ||
Coca-Cola HBC AG* | 3,210 | 121,155 | ||
Credit Suisse Group AG* | 483,375 | 5,795,846 | ||
GAM Holding AG* | 72,575 | 335,442 | ||
Geberit AG | 9,238 | 4,315,231 | ||
Kuehne + Nagel International AGΔ | 11,050 | 1,640,181 | ||
LafargeHolcim, Ltd. (Swiss Exchange)Δ* | 51,104 | 2,495,521 | ||
Nestle SA | 202,902 | 21,005,200 | ||
Novartis AG‡‡ | 201,721 | 18,432,200 | ||
Roche Holding AG‡‡ | 55,284 | 15,553,934 | ||
Sika AG | 47,493 | 8,105,238 | ||
Sonova Holding AG‡‡ | 8,975 | 2,039,188 | ||
Swatch Group AG (The) | 2,710 | 775,912 | ||
Swiss Life Holding AG | 306 | 151,652 | ||
Temenos AG‡‡* | 3,884 | 694,879 | ||
UBS Group AG* | 408,482 | 4,853,914 | ||
Zurich Insurance Group AG‡‡ | 25,884 | 9,012,468 | ||
123,046,757 | ||||
Taiwan — 1.6% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 221,000 | 1,700,575 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 458,201 | 17,947,733 | ||
19,648,308 | ||||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS* | 1 | — | ||
United Kingdom — 14.1% | ||||
3i Group PLC‡‡ | 15,222 | 215,253 | ||
Aggreko PLC | 16,153 | 162,057 | ||
Anglo American PLC‡‡ | 107,195 | 3,055,490 | ||
Ashtead Group PLC | 108,826 | 3,115,109 | ||
AstraZeneca PLC | 7,157 | 585,152 | ||
Babcock International Group PLC | 16,470 | 95,837 | ||
Barclays PLC‡‡ | 983,936 | 1,871,825 | ||
BHP Group PLC | 183,066 | 4,684,566 | ||
BP PLC‡‡ | 1,508,548 | 10,509,973 | ||
British Land Co. PLC (The) REIT‡‡ | 18,907 | 129,275 | ||
BT Group PLC‡‡ | 659,302 | 1,644,922 | ||
Burberry Group PLC‡‡ | 147,862 | 3,496,415 | ||
Centrica PLC | 254,545 | 283,757 | ||
Close Brothers Group PLC | 5,735 | 102,984 | ||
Compass Group PLC | 572,068 | 13,709,014 | ||
Dialog Semiconductor PLC* | 22,400 | 903,203 | ||
Dixons Carphone PLC‡‡ | 493,283 | 685,644 | ||
Drax Group PLC | 197,380 | 652,224 | ||
Dunelm Group PLC | 5,734 | 66,993 | ||
Evraz PLC‡‡ | 256,798 | 2,169,355 | ||
G4S PLC | 2,966,499 | 7,835,996 | ||
GlaxoSmithKline PLC | 517,379 | 10,358,980 | ||
Hays PLC | 106,774 | 213,024 | ||
Inchcape PLC‡‡ | 81,376 | 636,596 | ||
Indivior PLC* | 548,906 | 297,445 |
Shares | Value | |||
Intermediate Capital Group PLC | 17,036 | $298,778 | ||
Investec PLC | 73,973 | 480,044 | ||
John Wood Group PLC | 939,844 | 5,394,869 | ||
Kingfisher PLC | 2,368,795 | 6,464,732 | ||
Land Securities Group PLC REIT | 14,472 | 153,131 | ||
Legal & General Group PLC | 52,972 | 181,298 | ||
Liberty Global PLC Class A* | 93,000 | 2,510,070 | ||
Liberty Global PLC Class C* | 50,426 | 1,337,802 | ||
Lloyds Banking Group PLC‡‡ | 22,477,772 | 16,153,983 | ||
London Stock Exchange Group PLC | 5,849 | 407,497 | ||
Meggitt PLC | 137,136 | 912,577 | ||
Moneysupermarket.com Group PLC | 267,146 | 1,398,778 | ||
National Grid PLC | 369,380 | 3,920,689 | ||
Prudential PLC | 11,724 | 255,493 | ||
Reckitt Benckiser Group PLC | 33,368 | 2,633,226 | ||
Rio Tinto PLC‡‡ | 76,995 | 4,772,144 | ||
Rolls-Royce Holdings PLC* | 527,945 | 5,634,578 | ||
Royal Bank of Scotland Group PLC | 1,012,050 | 2,824,986 | ||
Royal Dutch Shell PLC, A Shares‡‡ | 72,840 | 2,379,644 | ||
Royal Dutch Shell PLC, B Shares‡‡ | 444,866 | 14,581,556 | ||
Schroders PLCΔ | 95,518 | 3,699,744 | ||
Segro PLC REIT | 14,592 | 135,314 | ||
Smith & Nephew PLC‡‡ | 26,077 | 564,636 | ||
Smiths Group PLC | 82,596 | 1,641,572 | ||
Spectris PLC | 17,369 | 634,822 | ||
SSE PLC | 749,162 | 10,674,690 | ||
Standard Chartered PLC | 45,567 | 413,292 | ||
Tate & Lyle PLC‡‡ | 121,960 | 1,143,657 | ||
Tesco PLC | 3,458,825 | 9,957,877 | ||
Travis Perkins PLC | 175,101 | 2,834,100 | ||
Unilever PLC | 17,700 | 1,100,191 | ||
Vodafone Group PLC‡‡ | 1,109,478 | 1,822,095 | ||
WH Smith PLC | 8,050 | 201,395 | ||
175,000,349 | ||||
Total Foreign Common Stocks (Cost $1,178,082,642) | 1,205,048,661 | |||
FOREIGN PREFERRED STOCKS — 0.1% | ||||
Germany — 0.1% | ||||
Bayerische MotorenWerke AG | ||||
6.27%, 05/17/19 | 9,226 | 572,802 | ||
Porsche Automobil Holding SE | ||||
3.78%, 06/28/19‡‡ | 2,638 | 171,401 | ||
744,203 | ||||
Total Foreign Preferred Stocks (Cost $996,178) | 744,203 | |||
MONEY MARKET FUNDS — 5.2% | ||||
GuideStone Money Market Fund, 2.29%Ø∞ | 53,550,566 | 53,550,566 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 10,835,476 | 10,835,476 |
Table of Contents
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 371,323 | $371,323 | ||
Total Money Market Funds (Cost $64,757,365) | 64,757,365 |
Par | |||
U.S. TREASURY OBLIGATION — 0.3% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $3,468,093) | $3,500,000 | 3,471,430 | |
TOTAL INVESTMENTS —104.3% (Cost $1,264,296,078) | 1,295,041,532 |
Shares | |||
FOREIGN COMMON STOCKS SOLD SHORT — (5.2)% | |||
Australia — (0.4)% | |||
AMP, Ltd. | (212,638) | (316,479) | |
Challenger, Ltd. | (413,354) | (1,926,896) | |
Magellan Financial Group, Ltd. | (15,180) | (543,513) | |
Orica, Ltd. | (45,709) | (650,465) | |
SEEK, Ltd. | (77,251) | (1,147,593) | |
TPG Telecom, Ltd. | (7,799) | (35,261) | |
Vocus Group, Ltd.* | (224,036) | (514,320) | |
WorleyParsons, Ltd. | (47,207) | (487,514) | |
(5,622,041) | |||
Austria — (0.0)% | |||
ams AG* | (6,245) | (244,823) | |
Belgium — (0.1)% | |||
Umicore SA | (33,014) | (1,058,634) | |
Denmark — (0.3)% | |||
AP Moeller - Maersk A/S Class B | (2,607) | (3,233,655) | |
Dfds A/S | (10,311) | (437,312) | |
Drilling Co. of 1972 A/S (The)* | (880) | (68,371) | |
(3,739,338) | |||
Finland — (0.2)% | |||
Huhtamaki OYJ | (10,080) | (414,465) | |
Outokumpu OYJ | (510,625) | (1,741,895) | |
(2,156,360) | |||
France — (0.6)% | |||
Altran Technologies SA | (41,824) | (663,673) | |
Bollore SA | (257,203) | (1,134,766) | |
Elior Group SA 144A | (65,966) | (906,870) | |
Iliad SA | (17,781) | (1,996,806) | |
Technicolor SA* | (216,928) | (200,788) | |
Valeo SA | (80,451) | (2,616,352) | |
(7,519,255) | |||
Germany — (0.9)% | |||
1&1 Drillisch AG | (20,974) | (699,268) | |
Aurubis AG | (3,420) | (166,561) | |
Delivery Hero SE 144A* | (17,256) | (782,714) | |
Deutsche Bank AG | (228,426) | (1,761,059) | |
Freenet AG | (6,238) | (124,805) | |
Innogy SE 144A | (1,983) | (94,028) |
Shares | Value | |||
Telefonica Deutschland Holding AG | (50,794) | $(141,911) | ||
thyssenkrupp AG | (321,976) | (4,695,475) | ||
TUI AG | (96,628) | (947,833) | ||
United Internet AG | (29,263) | (963,643) | ||
Zalando SE 144A* | (27,856) | (1,235,961) | ||
(11,613,258) | ||||
Ireland — (0.2)% | ||||
James Hardie Industries PLC CDI | (168,933) | (2,217,809) | ||
Italy — (0.3)% | ||||
Autogrill SpA | (9,229) | (96,705) | ||
Banco BPM SpA* | (164,145) | (334,102) | ||
Buzzi Unicem SpA | (18,541) | (376,226) | ||
Freni Brembo SpA | (47,625) | (548,584) | ||
Pirelli & C SpA 144A | (202,038) | (1,194,175) | ||
Prysmian SpA | (21,787) | (449,648) | ||
Saipem SpA* | (26,358) | (131,126) | ||
Salvatore Ferragamo SpA | (6,195) | (147,790) | ||
Telecom Italia SpA* | (982,436) | (536,445) | ||
Unione di Banche Italiane SpA | (212,664) | (580,369) | ||
(4,395,170) | ||||
Japan — (0.4)% | ||||
Aeon Co., Ltd. | (6,400) | (109,877) | ||
Asics Corporation | (14,500) | (156,949) | ||
Bank of Kyoto, Ltd. (The) | (2,500) | (96,577) | ||
CyberAgent, Inc. | (8,900) | (322,353) | ||
FamilyMart UNY Holdings Co., Ltd. | (10,200) | (243,328) | ||
Hitachi Metals, Ltd. | (6,600) | (74,500) | ||
Hokuriku Electric Power Co.* | (112,900) | (817,835) | ||
Japan Airport Terminal Co., Ltd. | (1,600) | (68,191) | ||
Kansai Paint Co., Ltd. | (8,100) | (169,716) | ||
Nippon Paint Holdings Co., Ltd. | (39,100) | (1,515,912) | ||
Taiyo Nippon Sanso Corporation | (6,400) | (135,818) | ||
Yaskawa Electric Corporation | (25,300) | (858,860) | ||
(4,569,916) | ||||
Netherlands — (0.2)% | ||||
Altice Europe NV* | (103,708) | (372,529) | ||
BoskalisWestminster | (14,954) | (345,355) | ||
Koninklijke Vopak NV | (10,260) | (473,083) | ||
OCI NV* | (37,307) | (1,024,062) | ||
SBM Offshore NV | (18,107) | (349,609) | ||
(2,564,638) | ||||
Norway — (0.2)% | ||||
Adevinta ASA Class A* | (43,211) | (480,210) | ||
Schibsted ASA Class A | (51,412) | (1,418,125) | ||
Yara International ASA | (5,748) | (278,827) | ||
(2,177,162) | ||||
Papua New Guinea — (0.0)% | ||||
Oil Search, Ltd. | (47,545) | (235,989) | ||
Spain — (0.4)% | ||||
Cellnex Telecom SA 144A* | (119,861) | (4,435,005) | ||
Sweden — (0.2)% | ||||
BillerudKorsnas AB | (15,101) | (200,915) | ||
Husqvarna AB, B Shares | (62,490) | (584,514) |
Table of Contents
Shares | Value | |||
Millicom International Cellular SA SDR | (12,413) | $(698,437) | ||
Saab AB Class B | (6,183) | (201,214) | ||
SSAB AB, A Shares | (36,247) | (126,351) | ||
Tele2 AB, B Shares | (42,565) | (621,093) | ||
(2,432,524) | ||||
Switzerland — (0.1)% | ||||
Cie Financiere Richemont SA | (1,874) | (159,027) | ||
Dufry AG* | (2,015) | (170,662) | ||
Idorsia, Ltd.* | (13,252) | (302,725) | ||
Panalpina Welttransport Holding AG* | (435) | (100,172) | ||
Sunrise Communications Group AG 144A* | (2,061) | (153,804) | ||
(886,390) | ||||
United Kingdom — (0.7)% | ||||
ASOS PLC* | (14,456) | (468,139) | ||
easyJet PLC | (9,074) | (109,842) | ||
Hargreaves Lansdown PLC | (10,180) | (248,090) | ||
John Wood Group PLC | (402,029) | (2,307,717) | ||
Merlin Entertainments PLC 144A | (67,529) | (385,141) | ||
NMC Health PLC | (85,533) | (2,610,202) | ||
Severn Trent PLC | (24,907) | (647,796) | ||
St. James’s Place PLC | (10,242) | (142,815) | ||
Thomas Cook Group PLC* | (471,690) | (78,802) | ||
United Utilities Group PLC | (101,404) | (1,008,074) | ||
Weir Group PLC (The) | (22,387) | (439,676) | ||
(8,446,294) | ||||
Total Foreign Common Stocks Sold Short (Proceeds $(67,300,127)) | (64,314,606) | |||
Other Assets in Excess of Liabilities — 0.9% | 11,058,396 | |||
NET ASSETS — 100.0% | $1,241,785,322 |
% | |
Industrials | 17.1 |
Financials | 16.2 |
Consumer Discretionary | 12.6 |
Health Care | 12.3 |
Information Technology | 10.9 |
Consumer Staples | 7.1 |
Communication Services | 6.8 |
Materials | 5.8 |
Money Market Funds | 5.2 |
Energy | 4.9 |
Utilities | 4.4 |
Real Estate | 0.7 |
U.S. Treasury Obligation | 0.3 |
Foreign Common Stocks Sold Short | (5.2) |
99.1 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CAC 40 Index | 07/2019 | 321 | $20,195,954 | $211,651 | ||||
IBEX 35 Index | 07/2019 | 16 | 1,668,899 | 9,269 | ||||
OMXS30 Index | 07/2019 | (194) | (3,385,962) | (68,529) | ||||
Hang Seng Index | 07/2019 | 68 | 12,406,647 | 146,302 | ||||
AEX Index | 07/2019 | (59) | (7,526,436) | (76,782) | ||||
Topix Index® | 09/2019 | 31 | 4,459,584 | (6,438) | ||||
ASX SPI 200 Index | 09/2019 | (229) | (26,362,172) | (215,606) | ||||
DAX Index | 09/2019 | 23 | 8,099,677 | 110,334 | ||||
FTSE 100 Index® | 09/2019 | 151 | 14,130,976 | 68,194 | ||||
FTSE/MIB Index | 09/2019 | 70 | 8,419,771 | 110,997 | ||||
MSCI EAFE Index | 09/2019 | 546 | 52,506,090 | 1,421,770 | ||||
S&P/TSX 60 Index | 09/2019 | (38) | (5,674,102) | (17,559) | ||||
Swiss Market Index | 09/2019 | (55) | (5,551,270) | 19,346 | ||||
Total Futures Contracts outstanding at June 30, 2019 | $73,387,656 | $1,712,949 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | New Zealand Dollars | 48,271,000 | U.S. Dollars | 31,735,544 | CITI | $742,312 | ||||||
09/18/19 | Canadian Dollars | 32,007,000 | U.S. Dollars | 23,901,104 | CITI | 576,316 | ||||||
09/18/19 | Australian Dollars | 57,027,000 | U.S. Dollars | 39,633,327 | CITI | 500,376 | ||||||
09/18/19 | Japanese Yen | 1,487,064,000 | U.S. Dollars | 13,748,877 | CITI | 126,492 | ||||||
09/18/19 | Euro | 17,432,000 | U.S. Dollars | 19,838,499 | CITI | 111,148 | ||||||
09/18/19 | Israeli Shekels | 5,306,000 | U.S. Dollars | 1,480,882 | CITI | 13,351 | ||||||
09/18/19 | British Pounds | 1,992,574 | U.S. Dollars | 2,533,647 | CITI | 6,035 | ||||||
09/18/19 | Swedish Kronor | 3,510,000 | U.S. Dollars | 374,157 | CITI | 6,019 | ||||||
09/18/19 | Danish Kroner | 3,470,000 | U.S. Dollars | 527,955 | CITI | 4,343 | ||||||
09/18/19 | Singapore Dollars | 354,000 | U.S. Dollars | 257,849 | CITI | 4,114 | ||||||
09/18/19 | U.S. Dollars | 1,211,014 | British Pounds | 948,000 | CITI | 2,718 | ||||||
09/18/19 | U.S. Dollars | 2,550,920 | Japanese Yen | 273,135,125 | CITI | 2,374 | ||||||
09/18/19 | Hong Kong Dollars | 4,560,000 | U.S. Dollars | 582,288 | CITI | 1,664 | ||||||
Subtotal Appreciation | $2,097,262 | |||||||||||
09/18/19 | Hong Kong Dollars | 328,000 | U.S. Dollars | 42,021 | CITI | $(18) | ||||||
09/18/19 | Danish Kroner | 2,311,000 | U.S. Dollars | 354,715 | CITI | (207) | ||||||
09/18/19 | U.S. Dollars | 45,578 | Israeli Shekels | 163,000 | CITI | (325) | ||||||
09/18/19 | U.S. Dollars | 451,148 | Hong Kong Dollars | 3,534,000 | CITI | (1,415) | ||||||
09/18/19 | Swiss Francs | 3,323,000 | U.S. Dollars | 3,431,010 | CITI | (1,873) | ||||||
09/18/19 | British Pounds | 1,199,426 | U.S. Dollars | 1,532,834 | CITI | (4,078) | ||||||
09/18/19 | Euro | 6,962,000 | U.S. Dollars | 7,980,298 | CITI | (12,799) | ||||||
09/18/19 | U.S. Dollars | 1,449,445 | Singapore Dollars | 1,990,000 | CITI | (23,171) | ||||||
12/18/19 | U.S. Dollars | 1,614,593 | Swiss Francs | 1,580,000 | NT | (29,208) | ||||||
09/18/19 | U.S. Dollars | 2,128,393 | Danish Kroner | 14,126,000 | CITI | (38,536) | ||||||
09/18/19 | Japanese Yen | 705,065,000 | U.S. Dollars | 6,636,368 | CITI | (57,608) | ||||||
09/18/19 | U.S. Dollars | 6,849,003 | Australian Dollars | 9,829,000 | CITI | (68,320) | ||||||
09/18/19 | U.S. Dollars | 6,491,489 | Norwegian Kroner | 56,435,000 | CITI | (139,031) | ||||||
09/18/19 | U.S. Dollars | 18,923,339 | Japanese Yen | 2,052,379,875 | CITI | (226,830) | ||||||
09/18/19 | U.S. Dollars | 9,037,697 | Swedish Kronor | 85,674,000 | CITI | (241,853) | ||||||
09/18/19 | U.S. Dollars | 10,509,373 | New Zealand Dollars | 16,040,000 | CITI | (282,714) | ||||||
09/18/19 | U.S. Dollars | 31,447,367 | Euro | 27,816,000 | CITI | (386,007) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | U.S. Dollars | 59,946,205 | Swiss Francs | 59,363,000 | CITI | $(1,312,845) | ||||||
Subtotal Depreciation | $(2,826,838) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $(729,576) |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
MSCI Italy Index, Floating financing rate: 1-Month EURIBOR - 0.31% | 09/18/19 | GSC | EUR | 7,995,293 | $294,620 | $ — | $294,620 | |||||||
MSCI Germany Index, Floating financing rate: 1-Month EURIBOR - 0.1% | 09/18/19 | GSC | EUR | 135,082 | 3,079 | — | 3,079 | |||||||
MSCI United Kingdom Index, Floating financing rate: 1-Month ICE LIBOR GBP + 0.13% | 09/18/19 | GSC | GBP | 96,612 | 647 | — | 647 | |||||||
Subtotal Appreciation | $298,346 | $ — | $298,346 | |||||||||||
MSCI Canada Index, Floating financing rate: 1-Month CDOR - 1.0% | 09/18/19 | GSC | CAD | 435,785 | $(3,302) | $ — | $(3,302) | |||||||
MSCI Japan Index, Floating financing rate: 1-Month ICE LIBOR JPY - 0.2% | 09/18/19 | GSC | JPY | 683,614,257 | (13,264) | — | (13,264) | |||||||
MSCI Australia Index, Floating financing rate: 1-Month ASX BBSW + 0.35% | 09/18/19 | GSC | AUD | 1,869,879 | (15,617) | — | (15,617) | |||||||
MSCI Netherlands Index, Floating financing rate: 1-Month EURIBOR - 0.29% | 09/18/19 | GSC | EUR | 2,378,080 | (23,445) | — | (23,445) | |||||||
MSCI Switzerland Index, Floating financing rate: 1-Month ICE LIBOR CHF - 0.17% | 09/18/19 | GSC | CHF | 4,254,679 | (31,307) | — | (31,307) | |||||||
MSCI Sweden Index, Floating financing rate: 1-Month STIBOR - 0.15% | 09/18/19 | GSC | SEK | 76,424,370 | (124,136) | — | (124,136) | |||||||
Subtotal Depreciation | $(211,071) | $ — | $(211,071) | |||||||||||
Net Total Return Swaps outstanding at June 30, 2019 | $87,275 | $ — | $87,275 | |||||||||||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $21,019,873 | $21,019,873 | $— | $— | |||
Foreign Common Stocks | 1,205,048,661 | 1,205,048,661 | — | —** | |||
Foreign Preferred Stocks | 744,203 | 744,203 | — | — | |||
Money Market Funds | 64,757,365 | 64,757,365 | — | — | |||
U.S. Treasury Obligation | 3,471,430 | — | 3,471,430 | — | |||
Total Assets - Investments in Securities | $1,295,041,532 | $1,291,570,102 | $3,471,430 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $2,097,262 | $— | $2,097,262 | $— | |||
Futures Contracts | 2,097,863 | 2,097,863 | — | — | |||
Swap Agreements | 298,346 | — | 298,346 | — | |||
Total Assets - Other Financial Instruments | $4,493,471 | $2,097,863 | $2,395,608 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short | $(64,314,606) | $(64,314,606) | $— | $— | |||
Total Liabilities - Investments in Securities | $(64,314,606) | $(64,314,606) | $ — | $ — | |||
Other Financial Instruments | |||||||
Forward Foreign Currency Contracts | $(2,826,838) | $— | $(2,826,838) | $— | |||
Futures Contracts | (384,914) | (384,914) | — | — | |||
Swap Agreements | (211,071) | — | (211,071) | — | |||
Total Liabilities - Other Financial Instruments | $(3,422,823) | $(384,914) | $(3,037,909) | $ — |
** | Level 3 securities have zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 1.8% | ||||
Communication Services — 0.2% | ||||
Autohome, Inc. ADRΔ* | 2,235 | $191,360 | ||
Momo, Inc. ADR | 4,615 | 165,217 | ||
Sea, Ltd. ADRΔ* | 13,231 | 439,534 | ||
YY, Inc. ADR* | 1,875 | 130,669 | ||
926,780 | ||||
Consumer Discretionary — 0.4% | ||||
Huazhu Group, Ltd. ADRΔ | 5,382 | 195,098 | ||
MercadoLibre, Inc.* | 1,651 | 1,010,032 | ||
Yum China Holdings, Inc. | 12,740 | 588,588 | ||
1,793,718 | ||||
Financials — 0.0% | ||||
LexinFintech Holdings, Ltd. ADR* | 22,326 | 249,158 | ||
Health Care — 0.2% | ||||
Zai Lab, Ltd. ADRΔ* | 25,762 | 898,321 | ||
Industrials — 0.3% | ||||
Copa Holdings SA Class A | 11,893 | 1,160,400 | ||
ZTO Express Cayman, Inc. ADRΔ | 13,552 | 259,114 | ||
1,419,514 | ||||
Information Technology — 0.7% | ||||
Globant SA* | 13,156 | 1,329,414 | ||
Huami Corporation ADRΔ* | 27,748 | 277,480 | ||
Pagseguro Digital, Ltd. Class AΔ* | 15,109 | 588,797 | ||
StoneCo, Ltd. Class AΔ* | 40,172 | 1,188,288 | ||
3,383,979 | ||||
Materials — 0.0% | ||||
Southern Copper CorporationΔ | 4,037 | 156,838 | ||
Total Common Stocks (Cost $7,352,784) | 8,828,308 | |||
FOREIGN COMMON STOCKS — 88.0% | ||||
Argentina — 0.2% | ||||
YPF SA ADR | 56,257 | 1,024,440 | ||
Brazil — 5.9% | ||||
Atacadao SA* | 84,400 | 483,988 | ||
B3 SA - Brasil Bolsa Balcao* | 117,100 | 1,144,484 | ||
Banco BTG Pactual SA* | 70,500 | 927,344 | ||
Banco do Brasil SA* | 265,700 | 3,721,232 | ||
BB Seguridade Participacoes SA | 81,400 | 690,001 | ||
CCR SA | 6,400 | 22,850 | ||
Centrais Eletricas Brasileiras SA | 257,000 | 2,358,541 | ||
Cia de Saneamento Basico do Estado de Sao Paulo ADR* | 151,931 | 1,849,000 | ||
Cielo SA | 479,100 | 839,684 | ||
Embraer SA ADRΔ | 7,243 | 145,802 | ||
Fleury SA | 62,400 | 350,842 | ||
Hapvida Participacoes e Investimentos SA 144A | 128,800 | 1,312,502 | ||
IRB Brasil Resseguros SA | 3,000 | 77,759 | ||
JBS SA | 517,500 | 2,838,201 | ||
Localiza Rent a Car SA | 163,200 | 1,729,347 | ||
Lojas Renner SA | 66,230 | 810,632 | ||
Magazine Luiza SA | 11,400 | 619,735 |
Shares | Value | |||
Minerva SA* | 468,200 | $969,333 | ||
Petrobras Distribuidora SA | 111,500 | 725,631 | ||
Petroleo Brasileiro SA ADRΔ* | 95,190 | 1,482,108 | ||
Porto Seguro SA | 13,200 | 178,752 | ||
Rumo SA* | 166,700 | 902,970 | ||
Sao Martinho SA | 99,100 | 520,024 | ||
Sul America SA | 86,649 | 847,547 | ||
TIM Participacoes SA ADRΔ* | 89,467 | 1,339,321 | ||
Vale SA ADR | 122,722 | 1,649,384 | ||
Wiz Solucoes e Corretagem de Seguros SA | 136,500 | 386,400 | ||
28,923,414 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc.* | 60,453 | 969,888 | ||
Chile — 0.7% | ||||
Aguas Andinas SA Class A | 78,977 | 46,620 | ||
Banco de Chile ADRΔ | 27,474 | 815,703 | ||
Banco de Credito e Inversiones SA | 2,158 | 150,475 | ||
Banco Santander Chile ADRΔ | 24,382 | 729,510 | ||
Cencosud SA | 126,221 | 249,601 | ||
Empresas CMPC SA | 58,055 | 159,354 | ||
Empresas COPEC SA | 48,859 | 529,678 | ||
Enel Americas SA ADR | 81,645 | 724,191 | ||
Enel Chile SA ADR | 15,435 | 73,779 | ||
Itau CorpBanca | 3,779,881 | 31,768 | ||
3,510,679 | ||||
China — 18.4% | ||||
58.com, Inc. ADR* | 11,801 | 733,668 | ||
Agricultural Bank of China, Ltd. Class A | 675,100 | 353,728 | ||
Alibaba Group Holding, Ltd. ADR* | 115,964 | 19,650,100 | ||
Anhui Conch Cement Co., Ltd. Class A | 10,900 | 65,838 | ||
Anhui Conch Cement Co., Ltd. Class H | 246,000 | 1,541,495 | ||
BAIC Motor Corporation, Ltd. Class H 144A | 231,000 | 144,898 | ||
Baidu, Inc. ADR* | 12,094 | 1,419,352 | ||
Bank of Beijing Co., Ltd. Class A | 23,959 | 20,609 | ||
Bank of China, Ltd. Class A | 240,800 | 131,077 | ||
Bank of China, Ltd. Class H | 4,503,199 | 1,902,346 | ||
Bank of Communications Co., Ltd. Class A | 132,900 | 118,379 | ||
Bank of Shanghai Co., Ltd. Class A | 12,000 | 20,697 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 82,700 | 78,238 | ||
Beijing Capital International Airport Co., Ltd. Class H | 490,000 | 429,676 | ||
BOE Technology Group Co., Ltd. Class A | 89,700 | 44,911 | ||
China Communications Services Corporation, Ltd. Class H | 998,000 | 774,208 | ||
China Construction Bank Corporation Class H | 4,401,266 | 3,791,815 | ||
China Everbright Bank Co., Ltd. Class A | 35,300 | 19,575 | ||
China Evergrande GroupΔ | 354,000 | 992,434 |
Table of Contents
Shares | Value | |||
China Longyuan Power Group Corporation, Ltd. Class H | 1,360,000 | $872,230 | ||
China Medical System Holdings, Ltd. | 1,114,000 | 1,021,063 | ||
China Merchants Bank Co., Ltd. Class A | 30,393 | 159,160 | ||
China Merchants Bank Co., Ltd. Class H | 341,500 | 1,702,757 | ||
China Merchants Securities Co., Ltd. Class A | 8,934 | 22,222 | ||
China Minsheng Banking Corporation, Ltd. Class A | 22,200 | 20,518 | ||
China National Building Material Co., Ltd. | 1,664,000 | 1,459,145 | ||
China Oilfield Services, Ltd. Class H | 774,000 | 765,905 | ||
China Pacific Insurance Group Co., Ltd. Class A | 8,700 | 46,231 | ||
China Petroleum & Chemical Corporation Class A | 132,500 | 105,488 | ||
China Petroleum & Chemical Corporation Class H | 916,000 | 622,651 | ||
China Railway Construction Corporation, Ltd. Class A | 45,300 | 65,602 | ||
China Shenhua Energy Co., Ltd. Class H | 150,500 | 315,191 | ||
China Shipbuilding Industry Co., Ltd. Class A | 57,500 | 46,531 | ||
China State Construction Engineering Corporation, Ltd. Class A | 78,100 | 65,361 | ||
China Telecom Corporation, Ltd. Class H | 184,000 | 92,569 | ||
China Tower Corporation, Ltd. Class H 144A | 6,233,900 | 1,635,943 | ||
China Vanke Co., Ltd. Class H | 97,700 | 366,452 | ||
CITIC Securities Co., Ltd. Class A | 23,200 | 80,398 | ||
Contemporary Amperex Technology Co., Ltd. Class A* | 35,399 | 354,881 | ||
Country Garden Holdings Co., Ltd. | 343,471 | 522,349 | ||
CRRC Corporation, Ltd. Class A | 37,800 | 44,508 | ||
Ctrip.com International, Ltd. ADR* | 46,850 | 1,729,233 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 3,000 | 45,847 | ||
Gree Electric Appliances, Inc. of Zhuhai | 49,000 | 392,245 | ||
Guotai Junan Securities Co., Ltd. Class A* | 27,300 | 72,912 | ||
Haier Smart Home Co., Ltd. Class A* | 18,600 | 46,807 | ||
Haitian International Holdings, Ltd. | 170,000 | 352,983 | ||
Haitong Securities Co., Ltd. Class A | 34,900 | 72,079 | ||
Haitong Securities Co., Ltd. Class H | 1,317,791 | 1,477,764 | ||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 12,100 | 48,571 | ||
Huaneng Renewables Corporation, Ltd. Class H* | 4,318,000 | 1,188,435 | ||
Huatai Securities Co., Ltd. Class A | 22,936 | 74,509 | ||
Huaxia Bank Co., Ltd. Class A* | 18,400 | 20,621 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 198,900 | 170,510 | ||
Industrial & Commercial Bank of China, Ltd. Class H | 2,560,000 | 1,867,967 | ||
Industrial Bank Co., Ltd. Class A | 25,000 | 66,551 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 174,169 | 846,928 |
Shares | Value | |||
JD.com, Inc. ADR* | 29,937 | $906,792 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 66,885 | 642,498 | ||
Jiangxi Copper Co., Ltd. Class H | 118,000 | 157,098 | ||
Kingsoft Corporation, Ltd.* | 102,000 | 220,669 | ||
Luxshare Precision Industry Co., Ltd. Class A | 14,050 | 50,693 | ||
Midea Group Co., Ltd. Class A | 5,909 | 44,601 | ||
NARI Technology Co., Ltd. Class A* | 127,075 | 344,751 | ||
NetEase, Inc. ADR | 7,752 | 1,982,729 | ||
New China Life Insurance Co., Ltd. Class H | 318,900 | 1,551,288 | ||
New Oriental Education & Technology Group, Inc. ADRΔ* | 11,404 | 1,101,398 | ||
People’s Insurance Co. Group of China, Ltd. (The) Class H | 1,350,000 | 527,094 | ||
PetroChina Co., Ltd. Class H | 1,086,000 | 599,186 | ||
PICC Property & Casualty Co., Ltd. Class H | 1,960,000 | 2,115,135 | ||
Ping An Bank Co., Ltd. Class A | 35,200 | 70,598 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 13,300 | 171,527 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 286,000 | 3,434,182 | ||
SAIC Motor Corporation, Ltd. Class A | 12,500 | 46,393 | ||
Sany Heavy Industry Co., Ltd. Class A | 23,800 | 45,309 | ||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 672,000 | 609,056 | ||
Shanghai International Airport Co., Ltd. Class A | 53,100 | 647,491 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 11,800 | 20,060 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 28,800 | 21,000 | ||
SINA Corporation* | 2,218 | 95,662 | ||
Sinopec Engineering Group Co., Ltd. Class H | 338,000 | 286,437 | ||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 791,711 | 314,183 | ||
Sunac China Holdings, Ltd. | 106,859 | 525,287 | ||
Sunny Optical Technology Group Co., Ltd. | 39,800 | 411,160 | ||
TAL Education Group ADR* | 12,364 | 471,068 | ||
Tencent Holdings, Ltd. | 420,748 | 18,991,480 | ||
Tingyi Cayman Islands Holding Corporation | 174,000 | 290,457 | ||
Vipshop Holdings, Ltd. ADR* | 15,320 | 132,212 | ||
Weichai Power Co., Ltd. Class H | 483,000 | 816,160 | ||
WuXi AppTec Co., Ltd. Class H 144AΔ | 49,091 | 430,474 | ||
Yanzhou Coal Mining Co., Ltd. Class H | 160,000 | 149,519 | ||
Zhejiang Expressway Co., Ltd. Class H | 32,000 | 33,714 | ||
Zijin Mining Group Co., Ltd. Class H | 152,000 | 61,682 | ||
89,413,204 | ||||
Czech Republic — 0.3% | ||||
Moneta Money Bank AS 144A | 477,941 | 1,637,249 |
Table of Contents
Shares | Value | |||
Egypt — 0.1% | ||||
Commercial International Bank Egypt SAE GDR | 81,017 | $344,322 | ||
Germany — 0.3% | ||||
Delivery Hero SE 144A* | 32,205 | 1,460,784 | ||
Greece — 0.5% | ||||
JUMBO SA | 101,780 | 1,967,479 | ||
Sarantis SA* | 34,902 | 352,818 | ||
2,320,297 | ||||
Hong Kong — 10.3% | ||||
AAC Technologies Holdings, Inc. | 107,000 | 607,480 | ||
AIA Group, Ltd. | 438,625 | 4,730,616 | ||
ANTA Sports Products, Ltd. | 438,000 | 3,008,142 | ||
China Hongqiao Group, Ltd. | 274,000 | 193,266 | ||
China Jinmao Holdings Group, Ltd. | 122,000 | 74,184 | ||
China Mobile, Ltd. | 656,500 | 5,979,489 | ||
China Oriental Group Co., Ltd. | 146,000 | 85,413 | ||
China Overseas Land & Investment, Ltd. | 651,521 | 2,402,013 | ||
China Resources Cement Holdings, Ltd. | 1,904,398 | 1,845,474 | ||
China Resources Gas Group, Ltd. | 6,000 | 29,763 | ||
China Resources Land, Ltd. | 204,000 | 898,345 | ||
China Resources Power Holdings Co., Ltd. | 748,000 | 1,091,593 | ||
China Taiping Insurance Holdings Co., Ltd.* | 257,800 | 689,737 | ||
China Unicom Hong Kong, Ltd. | 2,242,000 | 2,459,636 | ||
CITIC, Ltd. | 517,000 | 745,218 | ||
CNOOC, Ltd. | 3,101,361 | 5,304,119 | ||
Country Garden Services Holdings Co., Ltd. | 126,000 | 291,301 | ||
CSPC Pharmaceutical Group, Ltd. | 1,181,124 | 1,905,112 | ||
ENN Energy Holdings, Ltd. | 181,900 | 1,769,704 | ||
FIT Hon Teng, Ltd. 144A | 1,019,000 | 412,207 | ||
Fullshare Holdings, Ltd.Δ* | 1,980,000 | 122,931 | ||
Genscript Biotech Corporation* | 172,000 | 431,998 | ||
Guangdong Investment, Ltd. | 206,000 | 407,691 | ||
Haier Electronics Group Co., Ltd.* | 368,000 | 1,017,551 | ||
Hengan International Group Co., Ltd. | 207,600 | 1,526,764 | ||
Hong Kong Exchanges and Clearing, Ltd. | 95,673 | 3,377,832 | ||
Hua Hong Semiconductor, Ltd. 144AΔ | 113,000 | 218,718 | ||
IMAX China Holding, Inc. 144A | 90,057 | 220,655 | ||
Innovent Biologics, Inc. 144AΔ* | 286,500 | 966,406 | ||
Kingboard Laminates Holdings, Ltd. | 915,574 | 839,191 | ||
Longfor Group Holdings, Ltd. | 54,384 | 205,027 | ||
Meituan Dianping Class B* | 157,988 | 1,385,381 | ||
Minth Group, Ltd. | 166,000 | 447,316 | ||
MMG, Ltd.* | 632,000 | 220,869 | ||
Nexteer Automotive Group, Ltd. | 232,000 | 288,675 | ||
Shimao Property Holdings, Ltd. | 49,000 | 149,289 | ||
Sihuan Pharmaceutical Holdings Group, Ltd. | 258,000 | 58,128 | ||
Sino Biopharmaceutical, Ltd. | 726,000 | 742,571 | ||
Sinotruk Hong Kong, Ltd. | 572,500 | 990,847 | ||
SSY Group, Ltd. | 1,216,050 | 1,099,033 |
Shares | Value | |||
Techtronic Industries Co., Ltd. | 52,500 | $401,897 | ||
Uni-President China Holdings, Ltd. | 547,000 | 609,202 | ||
50,250,784 | ||||
Hungary — 0.5% | ||||
OTP Bank Nyrt PLC | 57,879 | 2,302,050 | ||
India — 8.6% | ||||
Abbott India, Ltd. | 1,136 | 146,271 | ||
Aditya Birla Fashion and Retail, Ltd.* | 84,648 | 264,082 | ||
AIA Engineering, Ltd.* | 20,770 | 539,669 | ||
Amber Enterprises India, Ltd.* | 20,861 | 249,250 | ||
Ambuja Cements, Ltd. | 44,664 | 137,724 | ||
Apollo Hospitals Enterprise, Ltd. | 88,637 | 1,745,325 | ||
Atul, Ltd. | 3,860 | 222,589 | ||
Aurobindo Pharma, Ltd. | 2,296 | 20,225 | ||
Axis Bank, Ltd.* | 78,265 | 916,753 | ||
Bajaj Finance, Ltd. | 8,827 | 470,726 | ||
Bharat Financial Inclusion, Ltd.* | 95,038 | 1,228,875 | ||
Bharat Petroleum Corporation, Ltd. | 166,444 | 946,303 | ||
Bharti Infratel, Ltd. | 402,403 | 1,556,796 | ||
Coal India, Ltd. | 190,765 | 701,404 | ||
Crompton Greaves Consumer Electricals, Ltd. | 89,536 | 300,929 | ||
Dalmia Bharat, Ltd. | 27,350 | 415,178 | ||
Divi's Laboratories, Ltd. | 23,924 | 553,481 | ||
Edelweiss Financial Services, Ltd. | 146,719 | 360,912 | ||
Eicher Motors, Ltd. | 4,452 | 1,234,377 | ||
Emami, Ltd.* | 172,478 | 747,357 | ||
GAIL India, Ltd. | 571,382 | 2,582,197 | ||
Glenmark Pharmaceuticals, Ltd. | 14,426 | 92,655 | ||
Godrej Consumer Products, Ltd. | 5,614 | 53,930 | ||
Godrej Industries, Ltd. | 76,482 | 536,324 | ||
HCL Technologies, Ltd. | 129,774 | 2,001,577 | ||
Hindalco Industries, Ltd. | 372,223 | 1,116,494 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 118,802 | ||
Hindustan Unilever, Ltd. | 57,247 | 1,482,521 | ||
Hindustan Zinc, Ltd. | 59,403 | 210,065 | ||
Housing Development Finance Corporation, Ltd. | 45,741 | 1,452,593 | ||
ICICI Bank, Ltd. ADR | 184,894 | 2,327,815 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 33,429 | 538,792 | ||
Indiabulls Housing Finance, Ltd. | 226,216 | 1,991,546 | ||
Indian Oil Corporation, Ltd. | 297,720 | 672,407 | ||
Info Edge India, Ltd. | 16,896 | 550,039 | ||
Infosys, Ltd. | 59,645 | 632,504 | ||
Infosys, Ltd. ADRΔ | 289,763 | 3,100,464 | ||
Larsen & Toubro Infotech, Ltd. 144A | 12,063 | 319,708 | ||
LIC Housing Finance, Ltd. | 2,634 | 21,188 | ||
Maruti Suzuki India, Ltd. | 10,720 | 1,014,834 | ||
MRF, Ltd. | 254 | 208,306 | ||
Navin Fluorine International, Ltd. | 25,014 | 256,201 | ||
NTPC, Ltd. | 45,376 | 92,918 | ||
Oil & Natural Gas Corporation, Ltd. | 352,218 | 855,957 | ||
Page Industries, Ltd. | 122 | 36,376 | ||
Power Grid Corporation of India, Ltd. | 578,060 | 1,732,652 | ||
Prestige Estates Projects, Ltd. | 69,768 | 275,272 |
Table of Contents
Shares | Value | |||
Procter & Gamble Hygiene & Health Care, Ltd. | 1,959 | $304,087 | ||
Tata Consultancy Services, Ltd. | 93,969 | 3,031,948 | ||
TeamLease Services, Ltd.* | 13,337 | 569,147 | ||
Tech Mahindra, Ltd. | 35,234 | 360,673 | ||
Thermax, Ltd. | 16,892 | 258,981 | ||
Wipro, Ltd. | 21,045 | 85,518 | ||
Wipro, Ltd. ADR | 11,605 | 50,250 | ||
Zee Entertainment Enterprises, Ltd. | 30,601 | 150,129 | ||
41,843,096 | ||||
Indonesia — 2.4% | ||||
PT Adaro Energy Tbk | 6,643,300 | 639,525 | ||
PT Bank Central Asia Tbk | 1,138,800 | 2,416,247 | ||
PT Bank Mandiri Persero Tbk | 1,574,000 | 894,097 | ||
PT Bank Negara Indonesia Persero Tbk | 1,893,500 | 1,233,070 | ||
PT Bank Rakyat Indonesia Persero Tbk | 3,327,700 | 1,026,988 | ||
PT BFI Finance Indonesia Tbk | 5,778,700 | 245,423 | ||
PT Bukit Asam Tbk | 468,100 | 98,077 | ||
PT Indofood Sukses Makmur Tbk | 119,436 | 59,390 | ||
PT Link Net Tbk | 2,611,900 | 785,742 | ||
PT Map Aktif Adiperkasa* | 558,100 | 229,126 | ||
PT Perusahaan Gas Negara Tbk | 665,800 | 99,440 | ||
PT Semen Indonesia Persero Tbk | 489,500 | 401,059 | ||
PT Telekomunikasi Indonesia Persero Tbk | 6,882,500 | 2,016,886 | ||
PT Unilever Indonesia Tbk | 7,500 | 23,890 | ||
PT United Tractors Tbk | 789,369 | 1,575,665 | ||
11,744,625 | ||||
Isle of Man — 0.0% | ||||
NEPI Rockcastle PLC | 18,122 | 166,501 | ||
Malaysia — 1.2% | ||||
AirAsia Group Bhd | 597,900 | 394,983 | ||
Dialog Group Bhd | 109,100 | 86,065 | ||
Hartalega Holdings Bhd | 31,300 | 39,688 | ||
Hong Leong Bank Bhd. | 121,100 | 556,782 | ||
Malayan Banking Bhd | 415,200 | 892,190 | ||
Malaysia Airports Holdings | 351,500 | 725,540 | ||
Nestle Malaysia Bhd | 500 | 18,040 | ||
Petronas Chemicals Group Bhd | 283,299 | 575,853 | ||
Petronas Gas Bhd | 68,400 | 287,338 | ||
Public Bank Bhd | 246,300 | 1,370,817 | ||
RHB Bank Bhd | 107,900 | 145,955 | ||
Sime Darby Bhd | 269,600 | 147,440 | ||
Tenaga Nasional Bhd | 125,200 | 419,303 | ||
5,659,994 | ||||
Mexico — 3.1% | ||||
Alfa SAB de CV Series A | 786,700 | 771,381 | ||
Alpek SAB de CV | 1,050,900 | 1,318,433 | ||
America Movil SAB de CV, Series L ADR | 13,561 | 197,448 | ||
Arca Continental SAB de CV | 77,401 | 418,586 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADRΔ | 26,966 | 206,290 |
Shares | Value | |||
Bolsa Mexicana de Valores SAB de CVΔ | 346,500 | $653,871 | ||
Cemex SAB de CV ADR | 22,808 | 96,706 | ||
Fibra Uno Administracion SA de CV REIT | 205,100 | 272,060 | ||
Fomento Economico Mexicano SAB de CV ADR | 1,236 | 119,583 | ||
Gruma SAB de CV Series B | 47,020 | 442,303 | ||
Grupo Aeroportuario del Pacifico SAB de CV Series B | 5,300 | 55,193 | ||
Grupo Aeroportuario del Sureste SAB de CV ADR | 981 | 159,030 | ||
Grupo Cementos de Chihuahua SAB de CV | 103,900 | 570,120 | ||
Grupo Financiero Banorte SAB de CV Series O | 282,310 | 1,639,696 | ||
Grupo Financiero Inbursa SAB de CV Series O | 92,800 | 134,265 | ||
Grupo Mexico SAB de CV Series B | 153,100 | 407,762 | ||
Grupo Televisa SAB SA ADR | 42,264 | 356,708 | ||
Kimberly-Clark de Mexico SAB de CV Series A* | 166,900 | 309,996 | ||
Mexichem SAB de CV | 300,311 | 632,267 | ||
Promotora y Operadora de Infraestructura SAB de CV | 3,935 | 39,174 | ||
Unifin Financiera SAB de CV SOFOM ENR | 149,800 | 333,023 | ||
Wal-Mart de Mexico SAB de CV | 2,271,182 | 6,199,269 | ||
15,333,164 | ||||
Netherlands — 0.2% | ||||
Yandex NV Class A* | 22,324 | 848,312 | ||
Peru — 1.1% | ||||
Alicorp SAA | 117,538 | 368,734 | ||
Banco BBVA Peru SA | 221,539 | 252,299 | ||
Cia de Minas Buenaventura SAA ADR | 90,082 | 1,501,667 | ||
Credicorp, Ltd. | 12,462 | 2,852,677 | ||
Intercorp Financial Services, Inc. | 7,526 | 342,433 | ||
5,317,810 | ||||
Philippines — 0.6% | ||||
Ayala Land, Inc. | 1,567,000 | 1,553,696 | ||
BDO Unibank, Inc. | 47,840 | 130,723 | ||
International Container Terminal Services, Inc. | 50,560 | 144,471 | ||
JG Summit Holdings, Inc. | 46,080 | 60,619 | ||
Jollibee Foods Corporation | 106,070 | 583,400 | ||
PLDT, Inc. | 4,385 | 110,406 | ||
SM Investments Corporation | 5 | 95 | ||
SM Prime Holdings, Inc. | 310,900 | 225,127 | ||
2,808,537 | ||||
Poland — 1.3% | ||||
Alior Bank SA* | 13,081 | 174,547 | ||
Bank Polska Kasa Opieki SA | 678 | 20,302 | ||
Cyfrowy Polsat SA | 12,630 | 100,671 | ||
Dino Polska SA 144A* | 18,442 | 646,568 | ||
Grupa Lotos SA | 1,204 | 27,314 | ||
Jastrzebska Spolka Weglowa SA* | 47,113 | 595,592 |
Table of Contents
Shares | Value | |||
KGHM Polska Miedz SA* | 21,648 | $600,101 | ||
LPP SA | 40 | 81,850 | ||
PGE Polska Grupa Energetyczna SA* | 263,002 | 675,670 | ||
Polski Koncern Naftowy ORLEN SA | 21,076 | 507,926 | ||
Polskie Gornictwo Naftowe i Gazownictwo SA | 597,520 | 849,793 | ||
Powszechna Kasa Oszczednosci Bank Polski SA | 109,896 | 1,260,361 | ||
Powszechny Zaklad Ubezpieczen SA | 49,665 | 580,765 | ||
6,121,460 | ||||
Portugal — 0.2% | ||||
Galp Energia SGPS SA | 53,529 | 823,237 | ||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 55,364 | ||
Qatar Islamic Bank SAQ | 6,620 | 30,124 | ||
Qatar National Bank QPSC | 108,220 | 565,777 | ||
651,265 | ||||
Russia — 2.9% | ||||
Gazprom PJSC ADR | 215,087 | 1,575,727 | ||
LUKOIL PJSC ADR | 17,469 | 1,467,745 | ||
LUKOIL PJSC ADR (London Exchange) | 16,596 | 1,401,034 | ||
MMC Norilsk Nickel PJSC ADR | 11,665 | 264,912 | ||
Mobile TeleSystems PJSC ADR | 275,597 | 2,565,808 | ||
Novatek PJSC GDR | 4,011 | 850,332 | ||
Novolipetsk Steel PJSC GDR | 16,904 | 426,657 | ||
Rosneft Oil Co. PJSC GDR | 27,856 | 182,457 | ||
Sberbank of Russia PJSC ADR | 10,383 | 158,652 | ||
Sberbank of Russia PJSC ADR (London Exchange) | 226,135 | 3,477,956 | ||
Severstal PJSC GDR | 76,336 | 1,286,262 | ||
Surgutneftegas PJSC ADR | 42,924 | 176,418 | ||
Tatneft PJSC ADR | 1,978 | 145,977 | ||
13,979,937 | ||||
Singapore — 0.0% | ||||
Silverlake Axis, Ltd. | 490,500 | 193,952 | ||
Slovenia — 0.2% | ||||
Nova Ljubljanska Banka dd GDR | 83,760 | 1,104,825 | ||
South Africa — 4.6% | ||||
Absa Group, Ltd. | 63,125 | 788,782 | ||
Anglo American Platinum, Ltd. | 1,799 | 106,896 | ||
AngloGold Ashanti, Ltd. ADR | 42,926 | 764,512 | ||
Bid Corporation, Ltd. | 19,184 | 418,125 | ||
Capitec Bank Holdings, Ltd. | 467 | 43,061 | ||
Exxaro Resources, Ltd. | 79,187 | 966,942 | ||
FirstRand, Ltd. | 277,324 | 1,349,703 | ||
Foschini Group, Ltd. (The) | 20,189 | 258,436 | ||
Gold Fields, Ltd. ADRΔ | 100,549 | 543,970 | ||
Growthpoint Properties, Ltd. REIT | 197,362 | 340,216 | ||
Imperial Logistics, Ltd. | 196,977 | 719,242 | ||
Investec, Ltd. | 19,951 | 130,117 | ||
JSE, Ltd. | 47,562 | 472,750 | ||
Kumba Iron Ore, Ltd. | 2,287 | 81,085 | ||
Mondi, Ltd. | 18,635 | 419,350 | ||
Mr Price Group, Ltd. | 50,008 | 704,799 | ||
MultiChoice Group, Ltd.* | 25,603 | 243,524 |
Shares | Value | |||
Nampak, Ltd.* | 904,567 | $658,276 | ||
Naspers, Ltd. N Shares | 30,414 | 7,383,833 | ||
Nedbank Group, Ltd. | 54,706 | 983,426 | ||
Netcare, Ltd.Δ | 75,454 | 96,320 | ||
Old Mutual, Ltd. | 1,049,224 | 1,579,237 | ||
Pick n Pay Stores, Ltd.Δ | 113,574 | 556,380 | ||
PSG Group, Ltd. | 3,782 | 64,177 | ||
Redefine Properties, Ltd. REIT | 368,822 | 236,716 | ||
Remgro, Ltd. | 16,085 | 214,581 | ||
RMB Holdings, Ltd. | 22,820 | 136,742 | ||
Santam, Ltd. | 19,607 | 417,614 | ||
Sappi, Ltd. | 15,924 | 62,057 | ||
SPAR Group, Ltd. (The) | 12,879 | 170,833 | ||
Standard Bank Group, Ltd. | 5,531 | 77,230 | ||
Tiger Brands, Ltd. | 3,826 | 60,765 | ||
Transaction Capital, Ltd. | 338,061 | 479,310 | ||
Truworths International, Ltd. | 188,899 | 938,795 | ||
22,467,802 | ||||
South Korea — 11.0% | ||||
Amorepacific Corporation | 1,803 | 256,869 | ||
BGF retail Co., Ltd. | 2,970 | 542,736 | ||
BNK Financial Group, Inc. | 54,097 | 350,917 | ||
Cheil Worldwide, Inc. | 4,183 | 106,509 | ||
Cuckoo Homesys Co., Ltd. | 20,111 | 883,062 | ||
Daelim Industrial Co., Ltd. | 7,088 | 705,945 | ||
DB Insurance Co., Ltd. | 739 | 37,953 | ||
Doosan Bobcat, Inc. | 1,499 | 47,255 | ||
E-MART, Inc. | 192 | 23,280 | ||
Hana Financial Group, Inc. | 59,815 | 1,937,454 | ||
Hankook Tire & Technology Co., Ltd. | 18,489 | 562,044 | ||
Hanwha Life Insurance Co., Ltd. | 64,561 | 183,118 | ||
HDC Hyundai Development Co-Engineering & Construction | 1,745 | 65,741 | ||
Hyundai Department Store Co., Ltd. | 2,934 | 210,143 | ||
Hyundai Engineering & Construction Co., Ltd. | 38,239 | 1,775,092 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 12,910 | 318,096 | ||
KB Financial Group, Inc. | 1,346 | 53,448 | ||
KCC Corporation | 534 | 127,413 | ||
Kolmar Korea Co., Ltd. | 5,564 | 291,054 | ||
Korea Gas Corporation | 5,444 | 198,967 | ||
Korea Investment Holdings Co., Ltd. | 15,758 | 1,101,347 | ||
Korea Zinc Co., Ltd. | 1,777 | 732,561 | ||
KT Corporation ADR | 20,783 | 257,086 | ||
Kumho Petrochemical Co., Ltd. | 11,275 | 951,098 | ||
LG Chem, Ltd. | 3,337 | 1,024,524 | ||
LG Corporation | 11,958 | 796,406 | ||
LG Electronic, Ltd. | 24,862 | 1,707,493 | ||
LG Household & Health Care, Ltd. | 863 | 981,353 | ||
LG Uplus Corporation | 36,848 | 462,734 | ||
Medy-Tox, Inc. | 364 | 141,861 | ||
NAVER Corporation | 2,609 | 257,590 | ||
NCSoft Corporation | 2,345 | 968,748 | ||
Orange Life Insurance, Ltd. 144A | 28,716 | 787,131 | ||
Orion Corporation | 4,530 | 362,902 | ||
Osstem Implant Co., Ltd.* | 2,653 | 172,095 | ||
Pearl Abyss Corporation* | 1,864 | 342,725 |
Table of Contents
Shares | Value | |||
POSCO | 14,268 | $3,021,284 | ||
Posco International Corporation | 5,522 | 87,757 | ||
Samsung Electro-Mechanics Co., Ltd.Δ | 14,981 | 1,268,906 | ||
Samsung Electronics Co., Ltd. | 540,394 | 21,996,725 | ||
Samsung Engineering Co., Ltd.* | 16,910 | 251,164 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 2,025 | 470,013 | ||
Samsung Life Insurance Co., Ltd. | 14,625 | 1,058,892 | ||
Samsung SDS Co., Ltd. | 1,756 | 326,974 | ||
Samsung Securities Co., Ltd. | 1,709 | 57,872 | ||
SK Hynix, Inc. | 62,322 | 3,751,248 | ||
SK Telecom Co., Ltd. | 4,516 | 1,012,986 | ||
Woori Financial Group, Inc. | 39,444 | 479,962 | ||
53,508,533 | ||||
Taiwan — 8.8% | ||||
Advantech Co., Ltd. | 116,000 | 985,979 | ||
Asia Cement Corporation | 112,000 | 171,464 | ||
Asustek Computer, Inc. | 16,000 | 114,876 | ||
Catcher Technology Co., Ltd. | 174,000 | 1,246,479 | ||
Cathay Financial Holding Co., Ltd.* | 280,120 | 387,809 | ||
Chailease Holding Co., Ltd. | 316,926 | 1,311,193 | ||
China Airlines, Ltd. | 2,022,000 | 640,592 | ||
China Development Financial Holding Corporation | 1,124,000 | 342,706 | ||
China Life Insurance Co., Ltd. | 1,001,832 | 801,543 | ||
China Steel Corporation | 241,000 | 193,595 | ||
Chroma ATE, Inc. | 297,000 | 1,319,596 | ||
CTBC Financial Holding Co., Ltd. | 1,224,173 | 841,485 | ||
Delta Electronics, Inc. | 176,000 | 892,481 | ||
Eva Airways Corporation | 421,350 | 202,810 | ||
Far Eastern New Century Corporation | 417,000 | 449,766 | ||
Feng TAY Enterprise Co., Ltd. | 80,000 | 623,320 | ||
First Financial Holding Co., Ltd. | 1,278,231 | 938,317 | ||
Formosa Chemicals & Fibre Corporation | 267,000 | 885,430 | ||
Fubon Financial Holding Co., Ltd.* | 269,000 | 397,097 | ||
Giant Manufacturing Co., Ltd. | 4,000 | 31,295 | ||
Globalwafers Co., Ltd. | 42,000 | 425,280 | ||
Hon Hai Precision Industry Co., Ltd. | 11,000 | 27,412 | ||
Inventec Corporation | 122,000 | 97,020 | ||
Kingpak Technology, Inc. | 39,000 | 184,581 | ||
Largan Precision Co., Ltd. | 19,000 | 2,358,216 | ||
Lite-On Technology Corporation | 45,000 | 65,922 | ||
MediaTek, Inc. | 167,000 | 1,688,308 | ||
Mega Financial Holding Co., Ltd. | 56,420 | 56,130 | ||
Nien Made Enterprise Co., Ltd. | 59,000 | 443,552 | ||
Phison Electronics Corporation | 12,000 | 109,339 | ||
Pou Chen Corporation | 206,010 | 255,361 | ||
Powertech Technology, Inc. | 80,763 | 197,620 | ||
President Chain Store Corporation | 230,000 | 2,225,245 | ||
Shanghai Commercial & Savings Bank, Ltd. (The) | 26,000 | 47,045 | ||
Shin Kong Financial Holding Co., Ltd. | 703,199 | 213,499 | ||
Silergy Corporation | 108,000 | 2,114,136 | ||
Taiwan Business Bank | 763,000 | 335,323 |
Shares | Value | |||
Taiwan Cement Corporation | 59,000 | $87,476 | ||
Taiwan Cooperative Financial Holding Co., Ltd. | 382,130 | 255,906 | ||
Taiwan High Speed Rail Corporation | 21,000 | 30,899 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 884,000 | 6,802,299 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 229,831 | 9,002,480 | ||
Uni-President Enterprises Corporation | 848,000 | 2,257,911 | ||
Walsin Technology Corporation | 40,000 | 211,207 | ||
Wistron Corporation | 27,000 | 21,037 | ||
Yuanta Financial Holding Co., Ltd. | 187,000 | 112,286 | ||
Zhen Ding Technology Holding, Ltd. | 186,000 | 595,257 | ||
42,998,580 | ||||
Thailand — 2.3% | ||||
Advanced Info Service PCL | 175,700 | 1,248,964 | ||
Advanced Info Service PCL NVDR | 13,400 | 95,254 | ||
Airports of Thailand PCL | 368,800 | 883,893 | ||
Bangkok Bank PCL NVDR | 164,370 | 1,055,870 | ||
Bangkok Dusit Medical Services PCL NVDR | 73,600 | 62,398 | ||
Bumrungrad Hospital PCL NVDR | 17,900 | 98,642 | ||
Central Pattana PCL NVDRΔ | 24,400 | 59,672 | ||
Charoen Pokphand Foods PCL NVDR | 22,400 | 20,634 | ||
CP ALL PCL | 430,200 | 1,206,398 | ||
Electricity Generating PCL NVDR | 26,400 | 279,775 | ||
Home Product Center PCL NVDR | 162,400 | 92,671 | ||
Kasikornbank PCL NVDR | 12,100 | 74,176 | ||
Krung Thai Bank PCL NVDR | 1,100,635 | 699,841 | ||
PTT Exploration & Production PCL | 139,400 | 613,646 | ||
PTT Exploration & Production PCL NVDR | 322,800 | 1,420,983 | ||
PTT Global Chemical PCL NVDR | 339,833 | 709,198 | ||
PTT PCL NVDR | 1,340,900 | 2,131,536 | ||
Ratch Group PCL NVDR | 77,500 | 168,684 | ||
Robinson PCL NVDR | 12,300 | 22,561 | ||
Siam Cement PCL (The) NVDR | 4,500 | 69,259 | ||
Siam Commercial Bank PCL (The) NVDR | 25,000 | 113,720 | ||
Thai Union Group PCL NVDR | 185,200 | 110,513 | ||
TMB Bank PCL NVDR | 2,969,700 | 189,798 | ||
11,428,086 | ||||
Turkey — 0.9% | ||||
BIM Birlesik Magazalar AS | 5,487 | 75,475 | ||
Enerjisa Enerji AS 144A | 612,001 | 582,355 | ||
Eregli Demir ve Celik Fabrikalari TAS | 174,018 | 236,512 | ||
Ford Otomotiv Sanayi AS | 15,267 | 164,785 | ||
Haci Omer Sabanci Holding AS | 26,452 | 39,241 | ||
Sok Marketler Ticaret AS* | 156,970 | 259,154 | ||
TAV Havalimanlari Holding AS | 192,783 | 898,910 | ||
Tupras Turkiye Petrol Rafinerileri AS | 39,164 | 777,802 | ||
Turkcell Iletisim Hizmetleri AS | 73,981 | 163,536 | ||
Türkiye Is Bankasi AS Class C* | 391,807 | 409,366 | ||
Yapi ve Kredi Bankasi AS* | 1,408,724 | 586,309 | ||
4,193,445 |
Table of Contents
Shares | Value | |||
United Kingdom — 1.1% | ||||
Anglo American PLC | 23,136 | $659,469 | ||
Antofagasta PLC | 75,276 | 888,667 | ||
Ferrexpo PLC | 193,313 | 680,766 | ||
Network International Holdings PLC 144A* | 59,597 | 448,813 | ||
NMC Health PLC | 24,368 | 743,636 | ||
TBC Bank Group PLC | 11,947 | 240,933 | ||
TCS Group Holding PLC GDR | 76,301 | 1,495,500 | ||
5,157,784 | ||||
Total Foreign Common Stocks (Cost $413,275,443) | 428,508,056 | |||
FOREIGN PREFERRED STOCKS — 1.4% | ||||
Brazil — 1.2% | ||||
Azul SA | ||||
0.00%, * | 31,000 | 348,109 | ||
Azul SA ADR | ||||
0.00%, Δ* | 49,767 | 1,664,209 | ||
Banco Bradesco SA | ||||
0.00%, 07/01/19* | 165,720 | 1,632,622 | ||
Banco Bradesco SA ADR | ||||
0.00%, 07/01/19* | 13,111 | 128,750 | ||
Cia Energetica de Minas Gerais | ||||
3.04%, 05/06/19 | 156,300 | 604,856 | ||
Itausa - Investimentos Itau SA | ||||
0.62%, 09/02/19 | 365,609 | 1,230,138 | ||
5,608,684 | ||||
Colombia — 0.2% | ||||
Banco Davivienda SA | ||||
2.08%, 09/12/19 | 20,252 | 255,112 | ||
Bancolombia SA ADR | ||||
2.62%, 06/26/19 | 14,213 | 725,431 | ||
980,543 | ||||
Total Foreign Preferred Stocks (Cost $5,039,763) | 6,589,227 | |||
MONEY MARKET FUNDS — 8.1% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 21,843,830 | 21,843,830 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 3,372,834 | $3,372,834 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 13,971,708 | 13,971,708 | ||
Total Money Market Funds (Cost $39,188,372) | 39,188,372 |
Par | |||
U.S. TREASURY OBLIGATION — 0.6% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $2,972,651) | $3,000,000 | 2,975,511 | |
TOTAL INVESTMENTS —99.9% (Cost $467,829,013) | 486,089,474 | ||
Other Assets in Excess of Liabilities — 0.1% | 658,544 | ||
NET ASSETS — 100.0% | $486,748,018 |
% | |
Financials | 21.1 |
Information Technology | 14.9 |
Consumer Discretionary | 11.6 |
Communication Services | 10.4 |
Money Market Funds | 8.1 |
Materials | 6.2 |
Energy | 6.3 |
Consumer Staples | 6.5 |
Industrials | 5.5 |
Utilities | 3.8 |
Health Care | 2.9 |
Real Estate | 2.0 |
U.S. Treasury Obligation | 0.6 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
TAIEX | 07/2019 | (23) | $(1,566,484) | $ (12,810) | ||||
SGX Nifty 50 Index | 07/2019 | (243) | (5,753,268) | (6,385) | ||||
Tel Aviv 35 Index | 07/2019 | 9 | 398,214 | 586 | ||||
Hang Seng Index | 07/2019 | 265 | 18,378,042 | 159,012 | ||||
MSCI Taiwan Index | 07/2019 | (52) | (2,009,800) | (4,455) | ||||
SGX MSCI Singapore Index | 07/2019 | (26) | (726,674) | (7,192) | ||||
Euro-BTP | 07/2019 | 24 | 487,260 | 106 | ||||
Bovespa Index | 08/2019 | (215) | (5,675,178) | (144,724) |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
BIST 30 Index | 08/2019 | 30 | $64,826 | $ 554 | ||||
KOSPI 200 Index | 09/2019 | 173 | 10,428,095 | 185,799 | ||||
KOSPI 200 Index | 09/2019 | 136 | 8,197,809 | 196,268 | ||||
BIST 30 Index | 09/2019 | (86) | (676,155) | 5,435 | ||||
FTSE/JSE Top 40 Index | 09/2019 | (100) | (3,722,542) | 25,616 | ||||
Mexican Bolsa Index | 09/2019 | 10 | 227,548 | (980) | ||||
MSCI Emerging Markets E-Mini | 09/2019 | 854 | 44,980,180 | 1,573,494 | ||||
WIG 20 Index | 09/2019 | (97) | (1,190,401) | (26,090) | ||||
SET50 Index | 09/2019 | (64) | (479,236) | (3,466) | ||||
Total Futures Contracts outstanding at June 30, 2019 | $ 61,362,236 | $ 1,940,768 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | Mexican Pesos | 323,185,215 | U.S. Dollars | 16,263,127 | CITI | $ 346,918 | ||||||
09/18/19 | Polish Zloty | 52,126,000 | U.S. Dollars | 13,717,529 | CITI | 269,108 | ||||||
09/18/19 | Russian Rubles | 493,191,000 | U.S. Dollars | 7,467,782 | CITI | 244,115 | ||||||
09/18/19 | Philippine Pesos | 537,587,000 | U.S. Dollars | 10,217,387 | CITI | 233,038 | ||||||
09/18/19 | Indian Rupees | 924,129,000 | U.S. Dollars | 13,111,524 | CITI | 146,235 | ||||||
09/18/19 | Brazilian Reals | 40,500,000 | U.S. Dollars | 10,323,420 | CITI | 141,313 | ||||||
09/18/19 | Hong Kong Dollars | 207,868,225 | U.S. Dollars | 26,538,003 | CITI | 81,509 | ||||||
09/18/19 | South Korean Won | 4,980,926,000 | U.S. Dollars | 4,247,206 | CITI | 66,471 | ||||||
09/18/19 | Thai Baht | 56,915,000 | U.S. Dollars | 1,797,481 | CITI | 61,970 | ||||||
09/18/19 | Hungarian Forint | 977,656,000 | U.S. Dollars | 3,401,578 | CITI | 56,868 | ||||||
09/18/19 | Czech Republic Koruna | 128,700,000 | U.S. Dollars | 5,706,403 | CITI | 55,727 | ||||||
09/18/19 | Colombian Pesos | 5,540,000,000 | U.S. Dollars | 1,665,039 | CITI | 50,444 | ||||||
09/18/19 | Taiwan Dollars | 68,661,000 | U.S. Dollars | 2,187,130 | CITI | 38,367 | ||||||
09/18/19 | Singapore Dollars | 2,220,000 | U.S. Dollars | 1,616,064 | CITI | 26,754 | ||||||
09/18/19 | Chinese Offshore Yuan | 15,252,500 | U.S. Dollars | 2,199,126 | CITI | 19,683 | ||||||
09/18/19 | Israeli Shekels | 3,806,000 | U.S. Dollars | 1,062,398 | CITI | 9,416 | ||||||
09/18/19 | Euro | 510,000 | U.S. Dollars | 575,968 | CITI | 7,690 | ||||||
09/18/19 | U.S. Dollars | 2,589,600 | Mexican Pesos | 50,300,000 | CITI | 4,441 | ||||||
09/18/19 | Peruvian Nuevo Soles | 799,874 | U.S. Dollars | 237,687 | CITI | 4,395 | ||||||
09/18/19 | U.S. Dollars | 1,476,964 | Brazilian Reals | 5,700,000 | CITI | 4,150 | ||||||
09/18/19 | U.S. Dollars | 1,779,230 | Hong Kong Dollars | 13,883,000 | CITI | 1,379 | ||||||
09/18/19 | U.S. Dollars | 564,366 | Philippine Pesos | 29,000,000 | CITI | 621 | ||||||
09/18/19 | U.S. Dollars | 358,749 | Indian Rupees | 25,000,000 | CITI | 93 | ||||||
09/18/19 | U.S. Dollars | 32,706 | Thai Baht | 1,000,000 | CITI | 35 | ||||||
09/23/19 | U.S. Dollars | 73,833 | Chilean Pesos | 50,000,000 | CITI | 14 | ||||||
Subtotal Appreciation | $ 1,870,754 | |||||||||||
09/18/19 | Euro | 10,000 | U.S. Dollars | 11,458 | CITI | $(13) | ||||||
09/18/19 | Hong Kong Dollars | 1,400,000 | U.S. Dollars | 179,337 | CITI | (54) | ||||||
09/18/19 | U.S. Dollars | 68,160 | Euro | 60,000 | CITI | (506) | ||||||
09/18/19 | Czech Republic Koruna | 13,800,000 | U.S. Dollars | 618,824 | CITI | (973) | ||||||
09/18/19 | Chinese Offshore Yuan | 9,918,000 | U.S. Dollars | 1,444,010 | CITI | (1,220) | ||||||
09/18/19 | Hungarian Forint | 191,000,000 | U.S. Dollars | 677,454 | CITI | (1,794) | ||||||
09/18/19 | U.S. Dollars | 291,740 | Israeli Shekels | 1,045,000 | CITI | (2,545) | ||||||
09/18/19 | U.S. Dollars | 177,917 | Russian Rubles | 11,577,000 | CITI | (3,110) | ||||||
09/18/19 | South Korean Won | 1,430,000,000 | U.S. Dollars | 1,241,986 | CITI | (3,550) | ||||||
09/18/19 | Brazilian Reals | 3,300,000 | U.S. Dollars | 856,642 | CITI | (3,960) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | Colombian Pesos | 1,800,000,000 | U.S. Dollars | 562,209 | CITI | $(4,832) | ||||||
09/18/19 | U.S. Dollars | 347,827 | Polish Zloty | 1,316,000 | CITI | (5,286) | ||||||
09/18/19 | U.S. Dollars | 717,790 | Mexican Pesos | 14,200,000 | CITI | (12,016) | ||||||
09/18/19 | U.S. Dollars | 5,792,599 | Hong Kong Dollars | 45,364,000 | CITI | (16,695) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (17,593) | ||||||
09/18/19 | Mexican Pesos | 157,742,785 | U.S. Dollars | 8,128,110 | CITI | (20,948) | ||||||
09/18/19 | U.S. Dollars | 2,278,072 | Singapore Dollars | 3,110,000 | CITI | (23,353) | ||||||
09/18/19 | U.S. Dollars | 1,786,994 | Thai Baht | 55,915,000 | CITI | (39,786) | ||||||
09/18/19 | U.S. Dollars | 3,818,921 | Philippine Pesos | 200,474,000 | CITI | (78,194) | ||||||
09/18/19 | U.S. Dollars | 2,376,109 | Indonesian Rupiahs | 35,220,755,212 | CITI | (91,352) | ||||||
09/18/19 | U.S. Dollars | 10,213,102 | Indian Rupees | 718,307,000 | CITI | (91,889) | ||||||
09/18/19 | U.S. Dollars | 5,843,739 | Taiwan Dollars | 183,673,000 | CITI | (109,622) | ||||||
09/18/19 | U.S. Dollars | 18,358,413 | Chinese Offshore Yuan | 127,370,000 | CITI | (170,334) | ||||||
09/18/19 | U.S. Dollars | 11,416,797 | Brazilian Reals | 45,147,000 | CITI | (248,667) | ||||||
09/18/19 | U.S. Dollars | 8,943,273 | South African Rand | 132,862,000 | CITI | (393,727) | ||||||
09/18/19 | U.S. Dollars | 22,764,075 | South Korean Won | 26,927,830,000 | CITI | (556,476) | ||||||
09/23/19 | U.S. Dollars | 18,697,998 | Chilean Pesos | 13,048,885,000 | CITI | (567,180) | ||||||
Subtotal Depreciation | $(2,465,675) | |||||||||||
Total Foreign Currency Contracts outstanding at June 30, 2019 | $(594,921) |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
MSCI South Africa Index, Floating financing rate: 1-Month SAFE South Africa JIBAR - 0.47% (Monthly) | 09/18/2019 | GSC | ZAR | 43,401,005 | $59,902 | $ — | $59,902 | |||||||
MSCI China Index, Floating financing rate: 1-Month HIBOR (Monthly) | 09/18/2019 | GSC | HKD | 6,973,549 | 26,806 | — | 26,806 | |||||||
MSCI Emerging Markets Korea Index, Floating financing rate: 1-Month ICE LIBOR USD + 0.20% (Monthly) | 09/18/2019 | GSC | USD | 169,299 | 6,451 | — | 6,451 | |||||||
MSCI Daily TR Net Israel USD Index, Floating financing rate: 1-Month ICE LIBOR USD + 0.27% (Monthly) | 09/18/2019 | GSC | USD | 279,017 | 3,758 | — | 3,758 | |||||||
Subtotal Appreciation | $96,917 | $ — | $96,917 | |||||||||||
MSCI Brazil Index, Floating financing rate: Brazil Cetip DI Interbank Deposit Rate - 0.60% (Monthly) | 09/18/2019 | GSC | BRL | 72,106 | $(319) | $ — | $(319) | |||||||
MSCI Poland Index, Floating financing rate: 1-Month WIBOR - 0.60% (Monthly) | 09/18/2019 | GSC | PLN | 335,255 | (1,114) | — | (1,114) | |||||||
MSCI Singapore Index, Floating financing rate: 1-Month SIBOR - 0.10% (Monthly) | 09/18/2019 | GSC | SGD | 418,395 | (14,689) | — | (14,689) | |||||||
Subtotal Depreciation | $(16,122) | $ — | $(16,122) | |||||||||||
Net Total Return Swaps outstanding June 30, 2019 | $80,795 | $ — | $80,795 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $8,828,308 | $8,828,308 | $— | $— | |||
Foreign Common Stocks: | |||||||
Qatar | 651,265 | — | 651,265 | — | |||
Thailand | 11,428,086 | 8,724,149 | 2,703,937 | — | |||
Other^^ | 416,428,705 | 416,428,705 | — | — | |||
Total Foreign Common Stocks | 428,508,056 | 425,152,854 | 3,355,202 | — | |||
Foreign Preferred Stocks | 6,589,227 | 6,589,227 | — | — | |||
Money Market Funds | 39,188,372 | 39,188,372 | — | — | |||
U.S. Treasury Obligation | 2,975,511 | — | 2,975,511 | — | |||
Total Assets - Investments in Securities | $486,089,474 | $479,758,761 | $6,330,713 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $1,870,754 | $— | $1,870,754 | $— | |||
Futures Contracts | 2,146,870 | 2,146,870 | — | — | |||
Swap Agreements | 96,917 | — | 96,917 | — | |||
Total Assets - Other Financial Instruments | $4,114,541 | $2,146,870 | $1,967,671 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(2,465,675) | $— | $(2,465,675) | $— | |||
Futures Contracts | (206,102) | (206,102) | — | — | |||
Swap Agreements | (16,122) | — | (16,122) | — | |||
Total Liabilities - Other Financial Instruments | $(2,687,899) | $(206,102) | $(2,481,797) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,124,116,811 | $1,847,386,427 | |
Investments in securities of affiliated issuers, at value | 70,377,153 | 58,037,391 | |
Total investments, at value(1), (2) | 1,194,493,964 | 1,905,423,818 | |
Cash | — | — | |
Cash collateral for derivatives | — | — | |
Deposits with broker for futures contracts | — | 913,500 | |
Foreign currency(3) | — | — | |
Receivables: | |||
Dividends and reclaims | 879,306 | 1,312,754 | |
Interest | 1,817,120 | 1 | |
Securities lending | 11,636 | 6,921 | |
From advisor | — | — | |
Investment securities sold | 3,313,398 | — | |
Fund shares sold | 511,927 | 347,277 | |
Variation margin on futures contracts | — | 259,599 | |
Unrealized appreciation on foreign currency exchange contracts | 10,262 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 20,054 | 30,445 | |
Total Assets | 1,201,057,667 | 1,908,294,315 | |
Liabilities | |||
Cash Overdraft | — | 1,751 | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 845,243 | — | |
Unrealized depreciation on foreign currency exchange contracts | 26,242 | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 33,102,904 | 1,552,715 | |
Collateral held for derivatives | — | — | |
Payables: | |||
Investment securities purchased | 4,657,430 | 912,833 | |
Dividends on short sales | — | — | |
Fund shares redeemed | 769,714 | 98,309 | |
Variation margin on futures contracts | 103,075 | — | |
Securities lending | — | — | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 577,063 | 134,319 | |
Shareholder servicing fees | 83,633 | 118,419 | |
Other expenses | 192,831 | 297,915 | |
Total Liabilities | 40,358,135 | 3,116,261 | |
Net Assets | $ 1,160,699,532 | $ 1,905,178,054 | |
Net Assets Consist of: | |||
Paid-in-capital | $ 1,000,980,600 | $ 1,441,771,385 | |
Distributable earnings (loss) | 159,718,932 | 463,406,669 | |
Net Assets | $ 1,160,699,532 | $ 1,905,178,054 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $ 748,148,328 | $ 1,313,836,762 | |
Institutional shares outstanding | 57,230,540 | 40,601,955 | |
Net asset value, offering and redemption price per Institutional share | $ 13.07 | $ 32.36 | |
Net assets applicable to the Investor Class | $ 412,551,204 | $ 591,341,292 | |
Investor shares outstanding | 31,551,643 | 18,262,562 | |
Net asset value, offering and redemption price per Investor share | $ 13.08 | $ 32.38 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 985,858,531 | $ 1,387,868,516 | |
Investments in securities of affiliated issuers, at cost | 70,377,153 | 58,037,391 | |
Total investments, at cost | $ 1,056,235,684 | $ 1,445,905,907 | |
(2)Includes securities loaned of: | $ 48,246,085 | $ 80,710,958 | |
(3)Foreign currency, at cost | $— | $— | |
(4)Proceeds from securities sold short | $— | $— | |
(5)Premiums received on options written | $ 1,404,666 | $— |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,130,262,332 | $1,557,300,723 | $560,402,026 | $ 621,438,678 | $1,241,490,966 | $464,245,644 | |||||
34,621,659 | 58,959,305 | 18,985,023 | 23,882,581 | 53,550,566 | 21,843,830 | |||||
1,164,883,991 | 1,616,260,028 | 579,387,049 | 645,321,259 | 1,295,041,532 | 486,089,474 | |||||
859 | 211 | — | 52,870 | 262,374 | — | |||||
— | 296 | — | — | 1,500,000 | 393,658 | |||||
18,278 | — | — | 544,500 | 6,080,707 | 2,298,375 | |||||
— | — | — | 2,269,875 | 6,611,832 | 1,869,868 | |||||
1,356,340 | 647,564 | 551,748 | 2,197,021 | 10,292,441 | 1,978,018 | |||||
629 | 138 | 1,142 | 39 | 1,735 | 313,335 | |||||
4,091 | 13,229 | 25,525 | 18,142 | 31,844 | — | |||||
— | — | — | — | — | 12,270 | |||||
25,017,437 | 3,288,292 | 9,243,547 | — | 782,248 | 1,027,427 | |||||
75,124 | 64,353 | 36,946 | 9,915 | 56,691 | 69,040 | |||||
153,466 | 266,000 | 224,900 | 148,320 | 700,676 | 3,155 | |||||
8,289 | — | — | — | 2,097,262 | 1,870,754 | |||||
— | — | — | — | 298,346 | 96,917 | |||||
19,267 | 15,022 | 5,306 | 57,540 | 24,578 | 34,575 | |||||
1,191,537,771 | 1,620,555,133 | 589,476,163 | 650,619,481 | 1,323,782,266 | 496,056,866 | |||||
— | — | 23,158 | — | — | 27,238 | |||||
— | — | — | — | 64,314,606 | — | |||||
— | — | — | — | — | — | |||||
286,727 | — | — | — | 2,826,838 | 2,465,675 | |||||
— | — | — | — | 211,071 | 16,122 | |||||
932,558 | 1,048,655 | 5,177,762 | 8,889,864 | 10,835,476 | 3,372,834 | |||||
— | — | — | — | 117,615 | 708,120 | |||||
27,247,884 | 5,124,810 | 8,128,234 | — | 1,119,804 | 1,870,583 | |||||
— | — | — | — | 141,214 | — | |||||
101,536 | 1,065,943 | 206,893 | 5,107 | 514,487 | 2,732 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | 636 | |||||
— | — | — | — | 533,836 | 58,074 | |||||
545,630 | 865,564 | 428,616 | 58,267 | 773,990 | 344,594 | |||||
74,035 | 148,770 | 53,498 | — | 65,714 | 13,354 | |||||
172,344 | 209,682 | 122,819 | 153,871 | 542,293 | 428,886 | |||||
29,360,714 | 8,463,424 | 14,140,980 | 9,107,109 | 81,996,944 | 9,308,848 | |||||
$1,162,177,057 | $1,612,091,709 | $575,335,183 | $641,512,372 | $1,241,785,322 | $486,748,018 | |||||
$984,283,131 | $1,027,802,282 | $538,831,056 | $627,355,643 | $1,184,974,327 | $477,336,439 | |||||
177,893,926 | 584,289,427 | 36,504,127 | 14,156,729 | 56,810,995 | 9,411,579 | |||||
$1,162,177,057 | $1,612,091,709 | $575,335,183 | $641,512,372 | $1,241,785,322 | $486,748,018 | |||||
$794,493,819 | $871,062,251 | $309,374,446 | $641,512,372 | $914,244,527 | $419,538,826 | |||||
40,961,178 | 33,185,709 | 19,767,076 | 61,065,310 | 67,570,849 | 43,269,580 | |||||
$19.40 | $ 26.25 | $15.65 | $10.51 | $13.53 | $9.70 | |||||
$367,683,238 | $ 741,029,458 | $265,960,737 | N/A | $327,540,795 | $67,209,192 | |||||
18,940,691 | 28,403,268 | 17,056,081 | N/A | 24,184,955 | 6,932,911 | |||||
$19.41 | $ 26.09 | $15.59 | N/A | $13.54 | $9.69 | |||||
$1,014,904,544 | $ 1,066,052,658 | $534,165,666 | $616,965,937 | $1,210,745,512 | $445,985,183 | |||||
34,621,659 | 58,959,305 | 18,985,023 | 23,882,581 | 53,550,566 | 21,843,830 | |||||
$1,049,526,203 | $ 1,125,011,963 | $553,150,689 | $640,848,518 | $1,264,296,078 | $467,829,013 | |||||
$29,409,343 | $ 139,826,925 | $99,765,394 | $24,191,322 | $28,963,626 | $11,367,756 | |||||
$— | $— | $— | $2,261,831 | $6,962,564 | $1,865,882 | |||||
$— | $— | $— | $— | $67,300,127 | $— | |||||
$— | $— | $— | $— | $— | $— |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
Defensive Market Strategies Fund | Equity Index Fund | ||
Investment Income | |||
Dividends | $6,951,120 | $17,462,039 | |
Income distributions received from affiliated funds | 702,774 | 638,344 | |
Interest | 3,819,898 | 36,931 | |
Securities lending, net | 137,052 | 164,387 | |
Less foreign taxes withheld | (57,366) | (386) | |
Total Investment Income | 11,553,478 | 18,301,315 | |
Expenses | |||
Investment advisory fees | 3,356,162 | 784,256 | |
Transfer agent fees: | |||
Institutional shares | 2,324 | 2,738 | |
Investor shares | 12,293 | 14,723 | |
Custodian fees | 37,033 | 30,146 | |
Shareholder servicing fees: | |||
Investor shares | 481,028 | 690,104 | |
Accounting and administration fees | 113,781 | 185,438 | |
Professional fees | 48,876 | 38,491 | |
Blue sky fees: | |||
Institutional shares | 8,803 | 9,455 | |
Investor shares | 29,433 | 11,749 | |
Shareholder reporting fees: | |||
Institutional shares | 682 | 804 | |
Investor shares | 6,047 | 7,862 | |
Trustees expenses | 3,468 | 5,265 | |
Line of credit facility fees and interest expense | 1,124 | 2,549 | |
S&P license fees | — | 125,760 | |
Dividends on securities sold short | — | — | |
Other expenses | 44,719 | 38,286 | |
Total Expenses | 4,145,773 | 1,947,626 | |
Expenses waived/reimbursed net of amount recaptured(1) | — | — | |
Fees paid indirectly | — | — | |
Net Expenses | 4,145,773 | 1,947,626 | |
Net Investment Income | 7,407,705 | 16,353,689 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 19,297,727 | (368,643) | |
Investment securities sold short | — | — | |
Futures transactions | (103,518) | 7,892,340 | |
Swap agreements | — | — | |
Option contracts written | 4,556,460 | — | |
Forward foreign currency contracts | 420,317 | — | |
Foreign currency | (195,590) | — | |
Net realized gain | 23,975,396 | 7,523,697 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities (net of estimated capital gains taxes of $308,832 and $(272,738) for International Equity Fund and Emerging Markets Fund, respectively) | 98,056,030 | 270,316,026 | |
Investment securities sold short | — | — | |
Futures | (354,175) | 2,238,051 | |
Swap agreements | — | — | |
Option contracts written | 688,437 | — | |
Forward foreign currency contracts | 123,262 | — | |
Foreign currency | 961 | — | |
Net change in unrealized appreciation (depreciation) | 98,514,515 | 272,554,077 | |
Net Realized and Unrealized Gain | 122,489,911 | 280,077,774 | |
Net Increase in Net Assets Resulting from Operations | $129,897,616 | $296,431,463 |
(1) | See Note 3a and 3c in Notes to Financial Statements. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$14,606,250 | $6,432,193 | $3,313,465 | $14,219,062 | $28,768,279 | $6,326,827 | |||||
370,735 | 655,730 | 263,204 | 336,187 | 678,825 | 215,441 | |||||
23,301 | 31,115 | 13,751 | 14,473 | 41,227 | 186,451 | |||||
73,114 | 118,923 | 135,570 | 150,196 | 277,089 | 28,733 | |||||
(329,952) | (241,730) | (5,322) | (824,359) | (1,787,691) | (666,508) | |||||
14,743,448 | 6,996,231 | 3,720,668 | 13,895,559 | 27,977,729 | 6,090,944 | |||||
3,235,739 | 5,184,379 | 2,600,213 | 340,762 | 4,455,722 | 2,053,542 | |||||
2,271 | 2,233 | 2,300 | 1,958 | 2,675 | 2,251 | |||||
11,195 | 14,259 | 11,063 | — | 10,592 | 7,917 | |||||
37,562 | 26,563 | 65,606 | 105,368 | 442,365 | 603,220 | |||||
450,306 | 881,905 | 330,539 | — | 393,783 | 85,094 | |||||
116,956 | 160,562 | 58,009 | 62,669 | 123,039 | 47,925 | |||||
45,488 | 32,417 | 34,310 | 36,186 | 50,282 | 34,605 | |||||
9,473 | 6,009 | 5,629 | 8,045 | 8,997 | 3,926 | |||||
9,569 | 11,443 | 4,718 | — | 9,341 | 5,501 | |||||
587 | 533 | 617 | 3,076 | 886 | 742 | |||||
5,923 | 7,302 | 5,635 | — | 5,335 | 3,040 | |||||
3,715 | 5,156 | 2,519 | 942 | 4,000 | 1,780 | |||||
424 | 1,013 | 1,947 | — | 398 | 729 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 1,826,968 | — | |||||
30,580 | 43,367 | 24,847 | 107,891 | 289,708 | 42,900 | |||||
3,959,788 | 6,377,141 | 3,147,952 | 666,897 | 7,624,091 | 2,893,172 | |||||
— | — | — | — | — | 158,922 | |||||
(8,578) | (13,955) | (14,625) | — | — | (79) | |||||
3,951,210 | 6,363,186 | 3,133,327 | 666,897 | 7,624,091 | 3,052,015 | |||||
10,792,238 | 633,045 | 587,341 | 13,228,662 | 20,353,638 | 3,038,929 | |||||
80,259,860 | 94,105,892 | 9,600,422 | (1,843,471) | 26,389,003 | (5,704,697) | |||||
— | — | — | — | (385,366) | — | |||||
4,732,342 | 6,806,497 | 1,766,687 | 2,257,945 | 2,231,405 | 2,586,653 | |||||
— | — | — | — | (559,476) | (157,982) | |||||
— | — | — | — | — | — | |||||
(127,615) | — | — | — | (1,147,127) | 3,525,744 | |||||
(424,752) | — | — | 52,828 | 4,159 | (126,807) | |||||
84,439,835 | 100,912,389 | 11,367,109 | 467,302 | 26,532,598 | 122,911 | |||||
73,245,667 | 223,393,463 | 84,635,749 | 60,744,168 | 116,551,297 | 43,786,060 | |||||
— | — | — | — | (4,183,115) | — | |||||
1,498,498 | 2,898,978 | 947,614 | 1,140,768 | 3,421,003 | 2,634,192 | |||||
— | — | — | — | 342,749 | 230,338 | |||||
— | — | — | — | — | — | |||||
(278,438) | — | — | — | 2,294,999 | (1,112,351) | |||||
— | — | — | 4,284 | 87,586 | (1,962) | |||||
74,465,727 | 226,292,441 | 85,583,363 | 61,889,220 | 118,514,519 | 45,536,277 | |||||
158,905,562 | 327,204,830 | 96,950,472 | 62,356,522 | 145,047,117 | 45,659,188 | |||||
$169,697,800 | $327,837,875 | $97,537,813 | $75,585,184 | $165,400,755 | $48,698,117 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/19 | 12/31/18 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $7,407,705 | $11,172,250 | |
Net realized gain on investment securities, foreign currency and derivatives | 23,975,396 | 46,184,984 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 98,514,515 | (75,833,346) | |
Net increase (decrease) in net assets resulting from operations | 129,897,616 | (18,476,112) | |
Distributions to Shareholders: | |||
Institutional shares | (9,302,520) | (41,477,892) | |
Investor shares | (4,655,786) | (21,575,912) | |
Total distributions | (13,958,306) | (63,053,804) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 39,839,547 | 109,896,688 | |
Investor shares | 62,814,941 | 93,697,336 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 9,283,940 | 41,301,785 | |
Investor shares | 4,610,619 | 21,410,733 | |
Total proceeds from shares sold and reinvested | 116,549,047 | 266,306,542 | |
Value of shares redeemed | |||
Institutional shares | (29,679,879) | (47,118,657) | |
Investor shares | (54,367,197) | (87,943,221) | |
Total value of shares redeemed | (84,047,076) | (135,061,878) | |
Net increase (decrease) from capital share transactions(1) | 32,501,971 | 131,244,664 | |
Total increase (decrease) in net assets | 148,441,281 | 49,714,748 | |
Net Assets: | |||
Beginning of Period | 1,012,258,251 | 962,543,503 | |
End of Period | $1,160,699,532 | $1,012,258,251 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
Equity Index Fund | Value Equity Fund | Growth Equity Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$16,353,689 | $20,634,348 | $10,792,238 | $23,791,378 | $633,045 | $1,596,489 | |||||
7,523,697 | 7,660,660 | 84,439,835 | 158,026,172 | 100,912,389 | 253,211,115 | |||||
272,554,077 | (165,447,916) | 74,465,727 | (292,630,683) | 226,292,441 | (180,215,472) | |||||
296,431,463 | (137,152,908) | 169,697,800 | (110,813,133) | 327,837,875 | 74,592,132 | |||||
(12,399,735) | (17,859,884) | (6,873,480) | (131,704,586) | (13,271,865) | (123,354,704) | |||||
(4,912,230) | (9,476,926) | (2,749,644) | (60,559,704) | (10,646,099) | (103,435,086) | |||||
(17,311,965) | (27,336,810) | (9,623,124) | (192,264,290) | (23,917,964) | (226,789,790) | |||||
71,768,213 | 838,342,777 | 17,585,577 | 50,727,891 | 25,774,428 | 66,628,943 | |||||
46,442,845 | 81,414,824 | 10,938,734 | 29,434,018 | 33,518,001 | 109,117,426 | |||||
12,270,145 | 17,801,303 | 6,872,073 | 131,533,865 | 13,252,316 | 123,205,758 | |||||
4,902,838 | 9,464,086 | 2,746,142 | 60,490,792 | 10,640,173 | 103,357,365 | |||||
135,384,041 | 947,022,990 | 38,142,526 | 272,186,566 | 83,184,918 | 402,309,492 | |||||
(71,424,345) | (102,133,596) | (41,832,716) | (407,490,599) | (100,654,806) | (525,109,319) | |||||
(36,358,273) | (59,989,419) | (32,910,479) | (48,591,948) | (62,474,994) | (72,422,871) | |||||
(107,782,618) | (162,123,015) | (74,743,195) | (456,082,547) | (163,129,800) | (597,532,190) | |||||
27,601,423 | 784,899,975 | (36,600,669) | (183,895,981) | (79,944,882) | (195,222,698) | |||||
306,720,921 | 620,410,257 | 123,474,007 | (486,973,404) | 223,975,029 | (347,420,356) | |||||
1,598,457,133 | 978,046,876 | 1,038,703,050 | 1,525,676,454 | 1,388,116,680 | 1,735,537,036 | |||||
$1,905,178,054 | $1,598,457,133 | $1,162,177,057 | $1,038,703,050 | $1,612,091,709 | $1,388,116,680 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Small Cap Equity Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/19 | 12/31/18 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $587,341 | $412,150 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 11,367,109 | 84,996,200 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 85,583,363 | (152,257,719) | |
Net increase (decrease) in net assets resulting from operations | 97,537,813 | (66,849,369) | |
Distributions to Shareholders: | |||
Institutional shares | — | (50,319,903) | |
Investor shares | — | (47,116,445) | |
Total distributions | — | (97,436,348) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 17,287,278 | 32,659,834 | |
Investor shares | 16,297,733 | 43,700,940 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 50,169,090 | |
Investor shares | — | 47,072,948 | |
Total proceeds from shares sold and reinvested | 33,585,011 | 173,602,812 | |
Value of shares redeemed | |||
Institutional shares | (15,688,725) | (37,720,650) | |
Investor shares | (27,796,734) | (39,794,698) | |
Total value of shares redeemed | (43,485,459) | (77,515,348) | |
Net increase (decrease) from capital share transactions(1) | (9,900,448) | 96,087,464 | |
Total increase (decrease) in net assets | 87,637,365 | (68,198,253) | |
Net Assets: | |||
Beginning of Period | 487,697,818 | 555,896,071 | |
End of Period | $575,335,183 | $487,697,818 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | 06/30/19 | 12/31/18 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$13,228,662 | $7,905,629 | $20,353,638 | $30,003,060 | $3,038,929 | $5,708,889 | |||||
467,302 | (3,445,905) | 26,532,598 | 84,387,658 | 122,911 | (11,644,743) | |||||
61,889,220 | (74,920,710) | 118,514,519 | (314,160,718) | 45,536,277 | (97,245,669) | |||||
75,585,184 | (70,460,986) | 165,400,755 | (199,770,000) | 48,698,117 | (103,181,523) | |||||
— | (7,738,165) | — | (100,665,310) | — | (2,466,292) | |||||
— | — | — | (35,179,908) | — | (189,742) | |||||
— | (7,738,165) | — | (135,845,218) | — | (2,656,034) | |||||
29,858,276 | 437,966,963 | 32,967,626 | 112,243,308 | 23,470,449 | 72,827,933 | |||||
— | — | 23,769,606 | 33,374,437 | 10,167,872 | 42,361,289 | |||||
— | 7,736,564 | — | 100,254,048 | — | 2,464,528 | |||||
— | — | — | 35,077,508 | — | 189,500 | |||||
29,858,276 | 445,703,527 | 56,737,232 | 280,949,301 | 33,638,321 | 117,843,250 | |||||
(9,357,615) | (10,199,496) | (36,044,846) | (446,987,290) | (5,222,928) | (31,715,518) | |||||
— | — | (25,044,199) | (42,245,013) | (15,534,405) | (54,108,446) | |||||
(9,357,615) | (10,199,496) | (61,089,045) | (489,232,303) | (20,757,333) | (85,823,964) | |||||
20,500,661 | 435,504,031 | (4,351,813) | (208,283,002) | 12,880,988 | 32,019,286 | |||||
96,085,845 | 357,304,880 | 161,048,942 | (543,898,220) | 61,579,105 | (73,818,271) | |||||
545,426,527 | 188,121,647 | 1,080,736,380 | 1,624,634,600 | 425,168,913 | 498,987,184 | |||||
$641,512,372 | $545,426,527 | $1,241,785,322 | $1,080,736,380 | $486,748,018 | $425,168,913 |
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
Defensive Market Strategies Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $11.73 | $0.09 | $1.42 | $1.51 | $(0.09) | $(0.08) | $(0.17) | $13.07 | 12.83% | $748,149 | 0.66% | 0.66% | 1.45% | 26% |
2018 | 12.68 | 0.15 | (0.32) | (0.17) | (0.17) | (0.61) | (0.78) | 11.73 | (1.51) | 653,481 | 0.67 | 0.67 | 1.17 | 65 |
2017 | 11.90 | 0.09 | 1.42 | 1.51 | (0.08) | (0.65) | (0.73) | 12.68 | 12.74 | 602,011 | 0.67 (4) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15 (5) | 1.32 | (0.16) | (0.47) | (0.63) | 11.90 | 11.80 | 547,132 | 0.69 | 0.70 | 1.42 | 78 |
2015 | 11.61 | 0.17 | 0.11 (5) | 0.28 | (0.17) | (0.51) | (0.68) | 11.21 | 2.43 | 443,499 | 0.72 (4) | 0.73 | 1.46 | 55 |
2014 | 11.43 | 0.15 | 1.05 (5) | 1 | (0.15) | (0.87) | (1) | 11.61 | 10.55 | 98,903 | 0.88 (4) (6) | 0.83 (6) | 1.24 | 102 |
Investor Class | ||||||||||||||
2019(3) | $11.74 | $0.07 | $1.42 | $1.49 | $(0.07) | $(0.08) | $(0.15) | $13.08 | 12.69% | $412,551 | 0.93% | 0.93% | 1.18% | 26% |
2018 | 12.68 | 0.12 | (0.32) | (0.20) | (0.13) | (0.61) | (0.74) | 11.74 | (1.69) | 358,777 | 0.93 | 0.93 | 0.90 | 65 |
2017 | 11.91 | 0.05 | 1.41 | 1.46 | (0.04) | (0.65) | (0.69) | 12.68 | 12.35 | 360,533 | 0.95 (4) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15 (5) | 1.29 | (0.13) | (0.47) | (0.60) | 11.91 | 11.53 | 276,104 | 0.97 | 0.98 | 1.15 | 78 |
2015 | 11.60 | 0.13 | 0.12 (5) | 0.25 | (0.12) | (0.51) | (0.63) | 11.22 | 2.16 | 167,117 | 0.99 (4) | 1.00 | 1.12 | 55 |
2014 | 11.42 | 0.12 | 1.06 (5) | 1.18 | (0.13) | (0.87) | (1.00) | 11.60 | 10.35 | 476,129 | 1.09 (4) (6) | 1.07 (6) | 1.03 | 102 |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $27.56 | $0.29 | $4.82 | $5.11 | $(0.28) | $(0.03) | $(0.31) | $32.36 | 18.53% | $1,313,837 | 0.14% | 0.14% | 1.91% | —% (7) |
2018 | 29.43 | 0.55 | (1.79) | (1.24) | (0.48) | (0.15) | (0.63) | 27.56 | (4.29) | 1,107,944 | 0.12 | 0.13 | 1.81 | 3 |
2017 | 24.68 | 0.47 | 4.92 | 5.39 | (0.46) | (0.18) | (0.64) | 29.43 | 21.97 | 483,275 | 0.19 | 0.20 | 1.72 | 2 |
2016 | 22.81 | 0.46 | 2.27 (5) | 2.73 | (0.56) | (0.30) | (0.86) | 24.68 | 12.16 | 355,404 | 0.15 | 0.16 | 1.97 | 3 |
2015 | 23.99 | 0.48 | (0.26) (5) | 0.22 | (0.61) | (0.79) | (1.40) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
2014 | 22.48 | 0.40 | 2.62 (5) | 3.02 | (0.74) | (0.77) | (1.51) | 23.99 | 13.54 | 95,134 | 0.22 | 0.22 | 1.72 | 5 |
Investor Class | ||||||||||||||
2019(3) | $27.58 | $0.25 | $4.82 | $5.07 | $(0.24) | $(0.03) | $(0.27) | $32.38 | 18.39% | $591,341 | 0.40% | 0.40% | 1.65% | —% (7) |
2018 | 29.44 | 0.47 | (1.78) | (1.31) | (0.40) | (0.15) | (0.55) | 27.58 | (4.55) | 490,513 | 0.37 | 0.38 | 1.56 | 3 |
2017 | 24.70 | 0.40 | 4.91 | 5.31 | (0.39) | (0.18) | (0.57) | 29.44 | 21.65 | 494,771 | 0.45 | 0.46 | 1.46 | 2 |
2016 | 22.58 | 0.39 | 2.27 (5) | 2.66 | (0.29) | (0.25) | (0.54) | 24.70 | 11.84 | 386,796 | 0.42 | 0.42 | 1.70 | 3 |
2015 | 22.90 | 0.37 | (0.21) (5) | 0.58 | (0.18) | (0.30) | (0.48) | 22.58 | 0.70 | 332,005 | 0.41 | 0.44 | 1.62 | 6 |
2014 | 20.69 | 0.34 | 2.40 (5) | 2.74 | (0.24) | (0.29) | (0.53) | 22.90 | 13.31 | 334,833 | 0.38 | 0.48 | 1.56 | 5 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01%, 0.00% and 0.00% for the years 2014, 2015 and 2017. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | The ratio for the Defensive Market Strategies Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.02% for the year 2014. |
(7) | Rounds to less than 1% |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income/ (Loss), Net(1) | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $16.79 | $0.19 | $2.59 | $2.78 | $(0.17) | $— | $(0.17) | $19.40 | 16.56% | $794,494 | 0.62%(4) | 0.62% | 2.00% | 78% |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(4) | 0.57 | 1.75 | 38 |
2017 | 21.18 | 0.39 | 2.85 | 3.24 | (0.37) | (1.29) | (1.66) | 22.76 | 15.54 | 1,128,445 | 0.57(4) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(5) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(4) | 0.60 | 2.05 | 36 |
2015 | 23.56 | 0.39 | (1.20)(5) | (0.81) | (0.44) | (2.56) | (3.00) | 19.75 | (3.44) | 917,208 | 0.61(4) | 0.62 | 1.73 | 32 |
2014 | 25.88 | 0.37 | 2.46(5) | 2.83 | (0.65) | (4.50) | (5.15) | 23.56 | 10.91 | 273,359 | 0.65(4) | 0.67 | 1.40 | 41 |
Investor Class | ||||||||||||||
2019(3) | $16.81 | $0.16 | $2.59 | $2.75 | $(0.15) | $— | $(0.15) | $19.41 | 16.34% | $367,683 | 0.88%(4) | 0.88% | 1.74% | 78% |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(4) | 0.84 | 1.50 | 38 |
2017 | 21.20 | 0.34 | 2.85 | 3.19 | (0.32) | (1.29) | (1.61) | 22.78 | 15.25 | 397,231 | 0.83(4) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(5) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(4) | 0.87 | 1.78 | 36 |
2015 | 21.31 | 0.27 | (1.06)(5) | (0.79) | (0.08) | (0.98) | (1.06) | 19.46 | (3.70) | 324,440 | 0.89(4) | 0.89 | 1.26 | 32 |
2014 | 21.00 | 0.25 | 1.97(5) | 2.22 | (0.19) | (1.72) | (1.91) | 21.31 | 10.61 | 1,141,998 | 0.90(4) | 0.91 | 1.16 | 41 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $21.47 | $0.02 | $5.17 | $5.19 | $(0.03) | $(0.38) | $(0.41) | $26.25 | 24.15% | $871,062 | 0.71%(6) | 0.71% | 0.20% | 13% |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(6) | 0.71 | 0.18 | 19 |
2017 | 21.08 | 0.03 | 6.80 | 6.83 | (0.02) | (2.71) | (2.73) | 25.18 | 32.43 | 1,150,773 | 0.72(6) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(5) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(6) | 0.76 | 0.01 | 24 |
2015 | 25.80 | 0.02 | 1.38(5) | 1.40 | — | (4.95) | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(6) | 0.78 | 0.09 | 79 |
2014 | 28.49 | (0.05) | 2.92(5) | 2.87 | — | (5.56) | (5.56) | 25.80 | 10.12 | 244,281 | 0.85(6) | 0.87 | (0.12) | 54 |
Investor Class | ||||||||||||||
2019(3) | $21.35 | $(0.01) | $5.13 | $5.12 | $— | $(0.38) | $(0.38) | $26.09 | 23.97% | $741,030 | 0.97%(6) | 0.97% | (0.06)% | 13% |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(6) | 0.97 | (0.06) | 19 |
2017 | 21.07 | (0.04) | 6.79 | 6.75 | — | (2.71) | (2.71) | 25.11 | 32.06 | 584,764 | 0.98(6) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(5) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(6) | 1.02 | (0.26) | 24 |
2015 | 22.92 | (0.05) | 1.27(5) | 1.22 | — | (2.12) | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(6) | 1.06 | (0.21) | 79 |
2014 | 23.02 | (0.08) | 2.36(5) | 2.28 | — | (2.38) | (2.38) | 22.92 | 9.93 | 1,240,254 | 1.06(6) | 1.11 | (0.33) | 54 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016, 2017, 2018 and for the six months ended June 30, 2019. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016, 2017, 2018 and for the six months ended June 30, 2019. |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss)# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1)(2) | Expenses, Gross(3) | Investment Income/ (Loss), Net(2) | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(4) | $13.04 | $0.02 | $2.59 | $2.61 | $— | $— | $— | $15.65 | 20.02% | $309,374 | 1.00% | 1.01% | 0.33% | 37% |
2018 | 18.36 | 0.04 | (8.59) | (8.55) | — | 3.23 | 3.23 | 13.04 | (12.01) | 256,242 | 0.98 | 0.99 | 0.20 | 172 |
2017 | 17.53 | 0.02 | 2.24 | 2.26 | (0.03) | (1.40) | (1.43) | 18.36 | 12.98 | 293,953 | 0.98 | 1.00 | 0.09 | 80 |
2016 | 15.14 | 0.06 | 2.59 (5) | 2.65 | (0.07) | (0.19) | (0.26) | 17.53 | 17.48 | 265,627 | 1.01 | 1.03 | 0.36 | 77 |
2015 | 18.05 | 0.08 | (1.13) (5) | (1.05) | (0.06) | (1.80) | (1.86) | 15.14 | (5.66) | 264,962 | 1.00 | 1.03 | 0.45 | 74 |
2014 | 20.94 | 0.06 | 0.75 (5) | 0.81 | (0.12) | (3.58) | (3.70) | 18.05 | 4.03 | 84,324 | 0.97 | 0.99 | 0.27 | 103 |
Investor Class | ||||||||||||||
2019(4) | $13.01 | $0.01 | $2.57 | $2.58 | $— | $— | $— | $15.59 | 19.83% | $265,961 | 1.26% | 1.27% | 0.07% | 37% |
2018 | 18.37 | (0.01) | (8.58) | (8.59) | — | 3.23 | 3.23 | 13.01 | (12.22) | 231,456 | 1.24 | 1.25 | (0.06) | 172 |
2017 | 17.56 | (0.03) | 2.24 | 2.21 | — | (1.40) | (1.40) | 18.37 | 12.67 | 261,943 | 1.25 | 1.27 | (0.17) | 80 |
2016 | 15.17 | 0.02 | 2.59 (5) | 2.61 | (0.03) | (0.19) | (0.22) | 17.56 | 17.17 | 266,994 | 1.27 | 1.30 | 0.11 | 77 |
2015 | 17.08 | 0.02 | (1.04) (5) | (1.02) | — | (0.89) | (0.89) | 15.17 | (5.91) | 236,850 | 1.24 | 1.27 | 0.13 | 74 |
2014 | 18.19 | 0.01 | 0.67 (5) | (0.68) | (0.02) | (1.77) | (1.79) | 17.08 | 3.83 | 468,938 | 1.20 | 1.24 | 0.03 | 103 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(4) | $9.24 | $0.22 | $1.05 | $1.27 | $— | $— | $— | $10.51 | 13.74% | $641,512 | 0.22% | 0.22% | 4.39% | 4% |
2018 | 10.76 | 0.27 | (1.66) | (1.39) | (0.13) | — | (0.13) | 9.24 | (12.86) | 545,427 | 0.27 | 0.27 | 2.64 | 4 |
2017 | 8.86 | 0.25 | 1.93 | 2.18 | (0.25) | (0.03) | (0.28) | 10.76 | 24.69 | 188,122 | 0.41 | 0.35 | 2.45 | 4 |
2016 | 8.94 | 0.23 | (0.09) (5) | 0.14 | (0.22) | — | (0.22) | 8.86 | 1.63 | 133,021 | 0.57 | 0.65 | 2.61 | 6 |
2015(6) | 10.00 | 0.07 | (1.06) (5) | (0.99) | (0.07) | — | (0.07) | 8.94 | (9.88) | 111,025 | 0.57 | 0.66 | 1.33 | 4 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01%, 0.02%, 0.01% and 0.01% for the years 2014, 2015, 2016 and 2017. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for Institutional Class and Investor Class, respectively. For the six months ended June 30, 2019, the effect of fees paid indirectly decreased the ratio by 0.00%. |
(2) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(3) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(4) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | Inception date was June 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $11.74 | $0.23 | $1.56 | $1.79 | $— | $— | $— | $13.53 | 15.25% | $914,245 | 1.22%(4) | 1.22%(4) | 3.51% | 39% |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(4) | 1.08(4) | 2.08 | 73 |
2017 | 13.16 | 0.25 | 3.65 | 3.90 | (0.25) | (1.09) | (1.34) | 15.72 | 29.85 | 1,279,089 | 0.92(4)(5) | 0.93(4) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(6) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(4)(5) | 1.01(4) | 2.09 | 33 |
2015 | 14.25 | 0.22 | (0.50)(6) | (0.28) | (0.26) | (0.57) | (0.83) | 13.14 | (1.93) | 1,030,729 | 1.03(4)(5) | 1.05(4) | 1.49 | 43 |
2014 | 15.61 | 0.36 | (1.26)(6) | (1) | (0.46) | — | — | 14.25 | (5.80) | 235,545 | 1.13(4)(5) | 1.20(4) | 2.36 | 36 |
Investor Class | ||||||||||||||
2019(3) | $11.77 | $0.21 | $1.56 | $1.77 | $— | $— | $— | $13.54 | 15.04% | $327,541 | 1.48%(4) | 1.48%(4) | 3.24% | 39% |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(4) | 1.35(4) | 1.76 | 73 |
2017 | 13.18 | 0.21 | 3.66 | 3.87 | (0.22) | (1.09) | (1.31) | 15.74 | 29.50 | 345,545 | 1.18(4)(5) | 1.19(4) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(6) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(4)(5) | 1.28(4) | 1.81 | 33 |
2015 | 14.03 | 0.24 | (0.55)(6) | (0.31) | (0.12) | (0.42) | (0.54) | 13.18 | (2.16) | 245,976 | 1.35(4)(5) | 1.39(4) | 1.68 | 43 |
2014 | 15.24 | 0.32 | (1.23)(6) | (0.91) | (0.30) | — | (0.30) | 14.03 | (6.00) | 1,143,722 | 1.37(4)(5) | 1.44(4) | 2.09 | 36 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $8.71 | $0.06 | $0.93 | $0.99 | $— | $— | $— | $9.70 | 11.37% | $419,539 | 1.29%(7) | 1.21% | 1.37% | 38% |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(7) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(7) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(6) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(7) | 1.48 | 0.98 | 54 |
2015 | 9.09 | 0.11 | (1.83)(6) | (1.72) | (0.03) | — | (0.03) | 7.34 | (18.93) | 272,123 | 1.28(7) | 1.50 | 1.36 | 39 |
2014 | 9.75 | 0.11 | (0.51)(6) | (0.40) | (0.07) | (0.19) | (0.26) | 9.09 | (4.14) | 45,058 | 1.25 | 1.63 | 1.07 | 39 |
Investor Class | ||||||||||||||
2019(3) | $8.72 | $0.05 | $0.92 | $0.97 | $— | $— | $— | $9.69 | 11.12% | $67,209 | 1.55%(7) | 1.50% | 1.02% | 38% |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(7) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(7) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(6) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(7) | 1.87 | 0.73 | 54 |
2015 | 9.09 | 0.05 | (1.79)(6) | (1.74) | — | — | — | 7.35 | (19.14) | 25,659 | 1.51(7) | 1.83 | 0.58 | 39 |
2014 | 9.75 | 0.08 | (0.51)(6) | (0.43) | (0.04) | (0.19) | (0.23) | 9.09 | (4.38) | 255,202 | 1.50 | 1.84 | 0.81 | 39 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.17%, 0.17%, 0.14% and 0.08% for the years 2014, 2015, 2016 and 2017. For the year ended December 31, 2018, the effect of dividend expense on securities sold short increased the ratio by 0.23% and 0.29% for Institutional Class and Investor Class, respectively. For the six months ended June 30, 2019, the effect of dividend expense on securities sold short increased the ratio by 0.15%. |
(5) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2014, 2015, 2016 and 2017. |
(6) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(7) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018 and for the six months ended June 30, 2019. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 52.5% | ||||
Real Estate — 52.5% | ||||
Agree Realty Corporation REITΔ | 48,465 | $3,104,183 | ||
Alexandria Real Estate Equities, Inc. REITΔ | 20,946 | 2,955,271 | ||
American Assets Trust, Inc. REIT | 11,733 | 552,859 | ||
American Campus Communities, Inc. REIT | 71,784 | 3,313,549 | ||
American Homes 4 Rent Class A REIT | 58,751 | 1,428,237 | ||
Americold Realty Trust REITΔ | 77,597 | 2,515,695 | ||
Apartment Investment & Management Co. Class A REIT | 73,943 | 3,706,023 | ||
AvalonBay Communities, Inc. REIT | 12,290 | 2,497,082 | ||
Boston Properties, Inc. REIT | 9,710 | 1,252,590 | ||
Brixmor Property Group, Inc. REIT | 79,367 | 1,419,082 | ||
Camden Property Trust REIT | 16,760 | 1,749,576 | ||
CareTrust REIT, Inc. | 32,692 | 777,416 | ||
CoreSite Realty Corporation REIT | 10,100 | 1,163,217 | ||
Cousins Properties, Inc. REIT | 25,162 | 910,128 | ||
Crown Castle International Corporation REIT | 10,203 | 1,329,961 | ||
CubeSmart REIT | 90,020 | 3,010,269 | ||
CyrusOne, Inc. REITΔ | 28,611 | 1,651,427 | ||
Douglas Emmett, Inc. REIT | 44,182 | 1,760,211 | ||
Duke Realty Corporation REIT | 39,190 | 1,238,796 | ||
Empire State Realty Trust, Inc. Class A REIT | 56,465 | 836,247 | ||
Equinix, Inc. REIT | 3,587 | 1,808,888 | ||
Equity LifeStyle Properties, Inc. REIT | 26,293 | 3,190,393 | ||
Equity Residential REIT | 57,030 | 4,329,718 | ||
Essential Properties Realty Trust, Inc. REIT | 83,182 | 1,666,967 | ||
Essex Property Trust, Inc. REIT | 7,528 | 2,197,649 | ||
Extra Space Storage, Inc. REIT | 45,272 | 4,803,359 | ||
Four Corners Property Trust, Inc. REIT | 40,003 | 1,093,282 | ||
HCP, Inc. REITΔ | 147,967 | 4,731,985 | ||
Highwoods Properties, Inc. REIT | 20,130 | 831,369 | ||
Host Hotels & Resorts, Inc. REIT | 85,686 | 1,561,199 | ||
Hudson Pacific Properties, Inc. REIT | 30,101 | 1,001,460 | ||
Invitation Homes, Inc. REIT | 129,604 | 3,464,315 | ||
JBG SMITH Properties REITΔ | 47,228 | 1,857,950 | ||
Kilroy Realty Corporation REITΔ | 21,931 | 1,618,727 | ||
Kimco Realty Corporation REIT | 110,803 | 2,047,639 | ||
Liberty Property Trust REIT | 34,877 | 1,745,245 | ||
Medical Properties Trust, Inc. REIT | 112,271 | 1,958,006 | ||
Mid-America Apartment Communities, Inc. REIT | 26,997 | 3,179,167 | ||
New Senior Investment Group, Inc. REIT | 34,756 | 233,560 | ||
Paramount Group, Inc. REIT | 97,421 | 1,364,868 | ||
Pebblebrook Hotel Trust REITΔ | 43,654 | 1,230,170 | ||
Physicians Realty Trust REITΔ | 124,727 | 2,175,239 | ||
Prologis, Inc. REIT | 99,072 | 7,935,667 | ||
Public Storage REIT | 9,390 | 2,236,416 | ||
QTS Realty Trust, Inc. Class A REIT | 15,560 | 718,561 | ||
Regency Centers Corporation REIT | 57,035 | 3,806,516 |
Shares | Value | |||
Rexford Industrial Realty, Inc. REIT | 55,146 | $2,226,244 | ||
Ryman Hospitality Properties, Inc. REIT | 25,116 | 2,036,656 | ||
Sabra Health Care REIT, Inc. | 34,727 | 683,775 | ||
Simon Property Group, Inc. REIT | 34,416 | 5,498,300 | ||
SITE Centers Corporation REIT | 66,731 | 883,518 | ||
Spirit Realty Capital, Inc. REITΔ | 26,072 | 1,112,232 | ||
STAG Industrial, Inc. REIT | 51,383 | 1,553,822 | ||
STORE Capital Corporation REIT | 127,680 | 4,237,699 | ||
Ventas, Inc. REIT | 33,661 | 2,300,729 | ||
VEREIT, Inc. REIT | 219,627 | 1,978,839 | ||
Welltower, Inc. REIT | 58,096 | 4,736,567 | ||
127,208,515 | ||||
Total Common Stocks (Cost $118,298,026) | 127,208,515 | |||
FOREIGN COMMON STOCKS — 43.4% | ||||
Australia — 4.9% | ||||
Cromwell Property Group REIT* | 328,425 | 265,156 | ||
Dexus REIT | 174,660 | 1,591,608 | ||
Goodman Group REIT | 271,879 | 2,868,816 | ||
GPT Group (The) REIT | 533,903 | 2,305,184 | ||
Ingenia Communities Group REIT | 115,538 | 262,808 | ||
Mirvac Group REIT | 1,101,322 | 2,420,063 | ||
Scentre Group REIT | 566,292 | 1,526,651 | ||
Vicinity Centres REIT | 340,186 | 585,128 | ||
11,825,414 | ||||
Austria — 0.2% | ||||
CA Immobilien Anlagen AG | 13,860 | 509,055 | ||
Belgium — 0.6% | ||||
Aedifica SA REIT | 8,587 | 819,223 | ||
VGP NV | 1,856 | 153,641 | ||
Warehouses De Pauw CVA REIT | 2,280 | 383,703 | ||
Xior Student Housing NV REIT | 4,151 | 216,181 | ||
1,572,748 | ||||
Canada — 2.5% | ||||
Canadian Apartment Properties REIT | 43,934 | 1,622,426 | ||
Dream Office Real Estate Investment Trust | 52,013 | 938,939 | ||
First Capital Realty, Inc. | 37,261 | 621,989 | ||
Granite Real Estate Investment Trust | 23,265 | 1,071,091 | ||
SmartCentres Real Estate Investment Trust | 66,742 | 1,692,567 | ||
5,947,012 | ||||
France — 1.4% | ||||
Gecina SA REIT | 13,613 | 2,037,082 | ||
Klepierre REITΔ | 41,102 | 1,377,809 | ||
3,414,891 | ||||
Germany — 3.7% | ||||
ADLER Real Estate AG | 32,243 | 411,365 | ||
alstria office REIT-AG | 47,044 | 761,751 | ||
Aroundtown SA | 65,153 | 536,823 | ||
Deutsche Wohnen SE | 63,518 | 2,330,743 | ||
Godewind Immobilien AG 144A* | 18,663 | 78,733 |
Table of Contents
Shares | Value | |||
Vonovia SE | 101,736 | $4,858,728 | ||
8,978,143 | ||||
Hong Kong — 6.9% | ||||
Champion REIT | 610,622 | 508,871 | ||
CK Asset Holdings, Ltd. | 420,244 | 3,289,671 | ||
Henderson Land Development Co., Ltd. | 64,290 | 354,300 | ||
Lifestyle International Holdings, Ltd. | 145,002 | 211,980 | ||
Link REIT | 408,064 | 5,014,804 | ||
New World Development Co., Ltd. | 1,190,868 | 1,862,899 | ||
Sino Land Co., Ltd. | 1,312,819 | 2,201,560 | ||
Sun Hung Kai Properties, Ltd. | 141,321 | 2,397,049 | ||
Swire Properties, Ltd. | 168,906 | 682,180 | ||
Wharf Real Estate Investment Co., Ltd. | 11,100 | 78,223 | ||
16,601,537 | ||||
Ireland — 0.6% | ||||
Cairn Homes PLC* | 111,056 | 149,770 | ||
Dalata Hotel Group PLC | 61,421 | 328,606 | ||
Green REIT PLC | 263,659 | 550,445 | ||
Irish Residential Properties REIT PLC | 189,372 | 363,055 | ||
1,391,876 | ||||
Japan — 10.8% | ||||
Activia Properties, Inc. REIT | 503 | 2,188,072 | ||
Comforia Residential REIT, Inc. | 265 | 760,724 | ||
Daibiru Corporation | 48,500 | 450,744 | ||
Daiwa House REIT Investment Corporation | 347 | 837,126 | ||
Frontier Real Estate Investment Corporation REIT | 221 | 942,912 | ||
Global One Real Estate Investment Corporation REIT | 1,279 | 1,593,189 | ||
GLP J-REIT | 1,291 | 1,470,434 | ||
Invincible Investment Corporation REIT | 1,169 | 605,020 | ||
Japan Logistics Fund, Inc. REIT | 223 | 510,264 | ||
Japan Real Estate Investment Corporation REIT | 87 | 529,351 | ||
Japan Rental Housing Investments, Inc. REIT | 165 | 128,248 | ||
LaSalle Logiport REIT | 327 | 387,007 | ||
MCUBS MidCity Investment Corporation REIT | 662 | 622,611 | ||
Mitsubishi Estate Co., Ltd. | 271,710 | 5,052,901 | ||
Mitsui Fudosan Co., Ltd. | 156,145 | 3,783,600 | ||
Mori Hills Investment Corporation REITΔ | 1,090 | 1,542,772 | ||
Mori Trust Sogo REIT, Inc. | 476 | 773,503 | ||
Nippon Building Fund, Inc. REIT | 125 | 855,632 | ||
Orix JREIT, Inc. | 289 | 526,990 | ||
Premier Investment Corporation REIT | 881 | 1,158,705 | ||
Sumitomo Realty & Development Co., Ltd. | 13,808 | 492,818 | ||
Tokyo Tatemono Co., Ltd. | 41,300 | 458,527 | ||
XYMAX REIT Investment CorporationΔ | 391 | 457,675 | ||
26,128,825 |
Shares | Value | |||
Netherlands — 0.9% | ||||
InterXion Holding NVΔ* | 11,818 | $899,231 | ||
Unibail-Rodamco-Westfield REIT | 9,173 | 1,374,234 | ||
2,273,465 | ||||
Norway — 0.1% | ||||
Entra ASA 144A | 13,820 | 212,230 | ||
Singapore — 3.2% | ||||
Ascendas Real Estate Investment Trust | 244,306 | 563,367 | ||
CapitaLand, Ltd. | 832,668 | 2,172,445 | ||
Frasers Centrepoint Trust REIT | 516,473 | 992,483 | ||
Hongkong Land Holdings, Ltd. | 277,300 | 1,785,812 | ||
Mapletree Commercial Trust REIT | 357,745 | 552,614 | ||
Mapletree Logistics Trust REITΔ | 1,347,400 | 1,583,419 | ||
7,650,140 | ||||
Spain — 0.9% | ||||
Inmobiliaria Colonial Socimi SA REIT | 22,865 | 254,668 | ||
Lar Espana Real Estate Socimi SA REIT | 19,352 | 150,075 | ||
Merlin Properties Socimi SA REIT | 135,365 | 1,877,867 | ||
2,282,610 | ||||
Sweden — 1.4% | ||||
Castellum AB | 66,889 | 1,278,909 | ||
Fabege AB | 142,245 | 2,140,687 | ||
3,419,596 | ||||
Switzerland — 0.9% | ||||
PSP Swiss Property AG | 5,866 | 685,629 | ||
Swiss Prime Site AG* | 17,622 | 1,538,901 | ||
2,224,530 | ||||
United Kingdom — 4.4% | ||||
Assura PLC REIT | 650,387 | 526,962 | ||
British Land Co. PLC (The) REIT | 229,270 | 1,567,613 | ||
Derwent London PLC REIT | 18,208 | 720,520 | ||
Grainger PLC | 333,805 | 1,041,137 | ||
Great Portland Estates PLC REIT | 95,481 | 829,392 | ||
Hammerson PLC REIT | 40,291 | 141,785 | ||
Intu Properties PLC REIT | 152,467 | 147,698 | ||
Picton Property Income, Ltd. (The) REIT | 189,591 | 235,956 | ||
PPHE Hotel Group, Ltd. | 11,302 | 268,401 | ||
Primary Health Properties PLC REIT | 213,072 | 360,968 | ||
PRS REIT PLC (The) | 378,544 | 451,888 | ||
Safestore Holdings PLC REIT | 39,144 | 304,977 | ||
Segro PLC REIT | 255,479 | 2,369,102 | ||
Shaftesbury PLC REIT | 18,183 | 185,656 | ||
Tritax EuroBox PLC REIT 144A | 209,571 | 254,984 | ||
UNITE Group PLC (The) REIT | 61,146 | 756,722 | ||
Urban & Civic PLC | 136,391 | 573,324 | ||
Workspace Group PLC REIT | 1,236 | 13,719 | ||
10,750,804 | ||||
Total Foreign Common Stocks (Cost $97,868,397) | 105,182,876 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 3.9% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø∞ | 8,605,060 | $8,605,060 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 2.41%ا | 840,311 | 840,311 | ||
Total Money Market Funds (Cost $9,445,371) | 9,445,371 |
Par | |||
U.S. TREASURY OBLIGATION — 0.2% | |||
U.S. Treasury Bill | |||
2.31%, 11/21/19Ω‡‡ (Cost $396,354) | $400,000 | 396,735 | |
TOTAL INVESTMENTS —100.0% (Cost $226,008,148) | 242,233,497 | ||
Liabilities in Excess of Other Assets — (0.0)% | (59,311) | ||
NET ASSETS — 100.0% | $242,174,186 |
% | |
Real Estate | 95.1 |
Money Market Funds | 3.9 |
Consumer Discretionary | 0.4 |
Information Technology | 0.4 |
U.S. Treasury Obligation | 0.2 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 09/2019 | 56 | $10,920,000 | $ 216,503 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $127,208,515 | $127,208,515 | $— | $— | |||
Foreign Common Stocks: | |||||||
Australia | 11,825,414 | 11,560,258 | 265,156 | — | |||
Other^^ | 93,357,462 | 93,357,462 | — | — | |||
Total Foreign Common Stocks | 105,182,876 | 104,917,720 | 265,156 | — | |||
Money Market Funds | 9,445,371 | 9,445,371 | — | — | |||
U.S. Treasury Obligation | 396,735 | — | 396,735 | — | |||
Total Assets - Investments in Securities | $242,233,497 | $241,571,606 | $661,891 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $216,503 | $216,503 | $— | $— | |||
Total Assets - Other Financial Instruments | $216,503 | $216,503 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $233,628,437 |
Investments in securities of affiliated issuers, at value | 8,605,060 |
Total investments, at value | 242,233,497 |
Cash collateral for derivatives | 50,000 |
Foreign currency | 482,450 |
Receivables: | |
Dividends and reclaims | 1,368,925 |
Interest | 65 |
Securities lending | 1,527 |
Investment securities sold | 2,595,799 |
Fund shares sold | 123,773 |
Variation margin on futures contracts | 113,522 |
Prepaid expenses and other assets | 14,854 |
Total Assets | 246,984,412 |
Liabilities | |
Collateral held for securities on loan, at value | 840,311 |
Payables: | |
Investment securities purchased | 3,694,648 |
Fund shares redeemed | 2,191 |
Accrued expenses: | |
Investment advisory fees | 135,408 |
Shareholder servicing fees | 20,327 |
Other expenses | 117,341 |
Total Liabilities | 4,810,226 |
Net Assets | $242,174,186 |
Net Assets Consist of: | |
Paid-in-capital | $231,929,666 |
Distributable earnings (loss) | 10,244,520 |
Net Assets | $242,174,186 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $143,334,270 |
Institutional shares outstanding | 14,156,278 |
Net asset value, offering and redemption price per Institutional share | $10.13 |
Net assets applicable to the Investor Class | $98,839,916 |
Investor shares outstanding | 9,727,690 |
Net asset value, offering and redemption price per Investor share | $10.16 |
(1)Investments in securities of unaffiliated issuers, at cost | $217,403,088 |
Investments in securities of affiliated issuers, at cost | 8,605,060 |
Total investments, at cost | $226,008,148 |
(2)Includes securities loaned of: | $18,557,495 |
(3)Foreign currency, at cost | $479,670 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $4,548,916 |
Income distributions received from affiliated funds | 80,664 |
Interest | 11,050 |
Securities lending, net | 19,469 |
Less foreign taxes withheld | (171,630) |
Total Investment Income | 4,488,469 |
Expenses | |
Investment advisory fees | 802,534 |
Transfer agent fees: | |
Institutional shares | 2,179 |
Investor shares | 9,330 |
Custodian fees | 68,661 |
Shareholder servicing fees: | |
Investor shares | 118,835 |
Accounting and administration fees | 24,570 |
Professional fees | 33,517 |
Blue sky fees: | |
Institutional shares | 5,621 |
Investor shares | 8,177 |
Shareholder reporting fees: | |
Institutional shares | 345 |
Investor shares | 3,705 |
Trustees expenses | 1,776 |
Line of credit facility fees and interest expense | 1,269 |
Other expenses | 14,871 |
Total Expenses | 1,095,390 |
Fees paid indirectly | (9,112) |
Net Investment Income | 3,402,191 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 4,191,530 |
Futures transactions | 676,885 |
Forward foreign currency contracts | (3,556) |
Foreign currency | 5,876 |
Net realized gain | 4,870,735 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 24,788,802 |
Futures | 422,418 |
Foreign currency | 5,905 |
Net change in unrealized appreciation (depreciation) | 25,217,125 |
Net Realized and Unrealized Gain | 30,087,860 |
Net Increase in Net Assets Resulting from Operations | $33,490,051 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/19 | 12/31/18 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $3,402,191 | $4,869,259 | |
Net realized gain on investment securities, foreign currency and derivatives | 4,870,735 | 2,116,895 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 25,217,125 | (17,670,799) | |
Net increase (decrease) in net assets resulting from operations | 33,490,051 | (10,684,645) | |
Distributions to Shareholders: | |||
Institutional shares | (1,389,249) | (6,105,053) | |
Investor shares | (832,859) | (3,599,717) | |
Total distributions | (2,222,108) | (9,704,770) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 7,980,477 | 12,654,254 | |
Investor shares | 15,699,794 | 9,990,178 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 1,383,112 | 6,034,893 | |
Investor shares | 826,700 | 3,571,808 | |
Total proceeds from shares sold and reinvested | 25,890,083 | 32,251,133 | |
Value of shares redeemed | |||
Institutional shares | (18,439,253) | (6,697,484) | |
Investor shares | (12,018,942) | (21,086,951) | |
Total value of shares redeemed | (30,458,195) | (27,784,435) | |
Net increase (decrease) from capital share transactions(1) | (4,568,112) | 4,466,698 | |
Total increase (decrease) in net assets | 26,699,831 | (15,922,717) | |
Net Assets: | |||
Beginning of Period | 215,474,355 | 231,397,072 | |
End of Period | $242,174,186 | $215,474,355 |
(1) | See Note 6 in Notes to Financial Statements. |
Table of Contents
FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $8.83 | $0.15 | $1.25 | $1.40 | $(0.10) | $— | $(0.10) | $10.13 | 15.83% | $143,334 | 0.81% (4) | 0.81% | 2.98% | 53% |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86 (4) | 0.87 | 2.26 | 128 |
2017 | 9.10 | 0.27 | 0.73 | 1.00 | (0.41) | — | (0.41) | 9.69 | 11.05 | 133,656 | 0.87 (4) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18 (5) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88 (4) | 0.90 | 2.07 | 130 |
2015(6) | 10.50 | 0.12 | (0.33) | (0.21) | (0.27) | (0.56) | (0.83) | 9.46 | (1.89) | 159,196 | 0.93 (4) | 0.94 | 1.83 | 137 |
Investor Class | ||||||||||||||
2019(3) | $8.87 | $0.13 | $1.25 | $1.38 | $(0.09) | $— | $(0.09) | $10.16 | 15.50% | $98,840 | 1.09% (4) | 1.10% | 2.74% | 53% |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14 (4) | 1.15 | 1.97 | 128 |
2017 | 9.13 | 0.24 | 0.73 | 0.97 | (0.38) | — | (0.38) | 9.72 | 10.72 | 97,741 | 1.12 (4) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19 (5) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14 (4) | 1.19 | 1.68 | 130 |
2015 | 10.26 | 0.16 | (0.13) | 0.03 | (0.24) | (0.56) | (0.80) | 9.49 | 0.34 | 99,357 | 1.12 (4) | 1.17 | 1.50 | 137 |
2014 | 9.36 | 0.23 | 1.28 | 1.51 | (0.25) | (0.36) | (0.61) | 10.26 | 16.13 | 269,883 | 1.15 | 1.15 | 2.23 | 129 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio for the Global Real Estate Securities Fund includes the effect of fees paid indirectly which decreased the ratio by 0.01% for the years 2015, 2016, 2017, 2018 and for the six months ended June 30, 2019. |
(5) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(6) | Inception date was May 1, 2015. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITIES — 2.7% | ||||
American Express Credit Account Master Trust, Series 2017-2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.84%, 09/16/24† | $1,165,000 | $1,171,632 | ||
Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7 | ||||
(Floating, ICE LIBOR USD 1M + 0.51%), 2.90%, 09/16/24† | 791,000 | 796,793 | ||
Capital One Prime Auto Receivables Trust, Series 2019-1, Class A2 | ||||
2.58%, 04/15/22 | 1,125,000 | 1,130,650 | ||
CARDS II Trust, Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.39%), 2.84%, 05/15/24 144A † | 370,000 | 369,887 | ||
Chase Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 2.94%, 06/15/23† | 500,000 | 503,757 | ||
Chase Issuance Trust, Series 2017-A2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 2.79%, 03/15/24† | 1,125,000 | 1,131,230 | ||
Citibank Credit Card Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.49%), 2.91%, 12/07/23† | 1,125,000 | 1,133,142 | ||
Evergreen Credit Card Trust, Series 2019-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.48%), 2.87%, 01/15/23 144A † | 1,080,000 | 1,083,550 | ||
Ford Credit Auto Owner Trust, Series 2019-A, Class A2A | ||||
2.78%, 02/15/22 | 500,000 | 502,033 | ||
Ford Credit Auto Owner Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 2.62%, 02/15/22† | 350,000 | 350,067 | ||
Navient Private Education Loan Trust, Series 2017-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 2.79%, 12/16/58 144A † | 478,379 | 478,437 | ||
Navient Student Loan Trust, Series 2019-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 2.73%, 12/27/67 144A † | 581,290 | 581,317 | ||
Verizon Owner Trust, Series 2017-3A, Class A1A | ||||
2.06%, 04/20/22 144A | 600,000 | 600,121 | ||
Verizon Owner Trust, Series 2019-A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 2.71%, 09/20/23† | 605,000 | 604,369 |
Par | Value | |||
Verizon Owner Trust, Series 2019-B, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 2.89%, 12/20/23† | $525,000 | $525,303 | ||
Total Asset-Backed Securities (Cost $10,947,652) | 10,962,288 | |||
CORPORATE BONDS — 28.7% | ||||
AES Corporation | ||||
4.88%, 05/15/23 | 1,000,000 | 1,020,040 | ||
AIG Global Funding | ||||
1.95%, 10/18/19 144A | 400,000 | 399,397 | ||
Aircastle, Ltd. | ||||
6.25%, 12/01/19 | 700,000 | 709,969 | ||
Ally Financial, Inc. | ||||
3.75%, 11/18/19 | 1,925,000 | 1,930,053 | ||
AMC Networks, Inc. | ||||
4.75%, 12/15/22 | 500,000 | 507,530 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.92%, 11/05/21† | 1,379,000 | 1,382,445 | ||
APX Group, Inc. | ||||
7.88%, 12/01/22 | 2,400,000 | 2,313,000 | ||
8.50%, 11/01/24 144A | 500,000 | 478,125 | ||
Aramark Services, Inc. | ||||
5.13%, 01/15/24 | 750,000 | 772,500 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.55%, 07/15/21† | 1,400,000 | 1,412,688 | ||
Bank of America Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.00%, 06/25/22† | 1,500,000 | 1,504,717 | ||
Berry Global, Inc. | ||||
5.50%, 05/15/22 | 542,000 | 550,130 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.37%), 2.90%, 08/14/20 144A † | 800,000 | 802,247 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 3.04%, 08/13/21 144A † | 500,000 | 501,640 | ||
Bristol-Myers Squibb Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.90%, 05/16/22 144A † | 1,000,000 | 1,002,766 | ||
CalAtlantic Group, Inc. | ||||
6.63%, 05/01/20 | 1,250,000 | 1,284,375 | ||
Calpine Corporation | ||||
6.00%, 01/15/22 144A | 2,900,000 | 2,925,375 | ||
Capital One Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 3.40%, 03/09/22† | 1,000,000 | 1,008,672 | ||
Caterpillar Financial Services Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.28%), 2.75%, 09/07/21† | 1,250,000 | 1,250,712 |
Table of Contents
Par | Value | |||
CCO Holdings LLC | ||||
5.25%, 03/15/21 | $750,000 | $753,750 | ||
5.25%, 09/30/22 | 1,500,000 | 1,525,462 | ||
Central Garden & Pet Co. | ||||
6.13%, 11/15/23 | 300,000 | 312,750 | ||
Choice Hotels International, Inc. | ||||
5.75%, 07/01/22 | 395,000 | 426,608 | ||
Cigna Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 3.06%, 09/17/21 144A † | 700,000 | 700,319 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 3.54%, 04/25/22† | 1,500,000 | 1,513,219 | ||
Clean Harbors, Inc. | ||||
5.13%, 06/01/21 | 700,000 | 701,750 | ||
Clear Channel Worldwide Holdings, Inc. | ||||
9.25%, 02/15/24 144A | 750,000 | 815,625 | ||
CNH Industrial Capital LLC | ||||
4.38%, 04/05/22 | 1,750,000 | 1,821,907 | ||
Colfax Corporation | ||||
6.00%, 02/15/24 144A | 500,000 | 530,625 | ||
Crown Americas LLC | ||||
4.50%, 01/15/23 | 250,000 | 260,938 | ||
CVS Health Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 3.17%, 03/09/21† | 1,000,000 | 1,004,739 | ||
CyrusOne LP/CyrusOne Finance Corporation REIT | ||||
5.00%, 03/15/24 | 250,000 | 257,500 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 2.97%, 02/22/21 144A † | 1,250,000 | 1,249,724 | ||
DaVita, Inc. | ||||
5.75%, 08/15/22 | 1,500,000 | 1,518,750 | ||
Deere & Co. | ||||
4.38%, 10/16/19 | 500,000 | 502,960 | ||
Dell International LLC | ||||
7.13%, 06/15/24 144A | 1,000,000 | 1,055,733 | ||
DISH DBS Corporation | ||||
7.88%, 09/01/19 | 500,000 | 503,125 | ||
5.13%, 05/01/20 | 2,500,000 | 2,518,725 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 500,000 | 516,597 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 3.01%, 06/15/21† | 525,000 | 527,508 | ||
Enterprise Products Operating LLC | ||||
2.55%, 10/15/19 | 1,485,000 | 1,484,644 | ||
Equinix, Inc. REIT | ||||
5.38%, 01/01/22 | 1,000,000 | 1,028,750 | ||
5.38%, 04/01/23 | 2,500,000 | 2,559,375 | ||
ERAC USA Finance LLC | ||||
2.35%, 10/15/19 144A | 975,000 | 973,917 | ||
First Data Corporation | ||||
5.75%, 01/15/24 144A | 1,000,000 | 1,030,000 |
Par | Value | |||
Florida Power & Light Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.97%, 05/06/22† | $900,000 | $900,451 | ||
Ford Motor Credit Co. LLC | ||||
2.68%, 01/09/20 | 1,735,000 | 1,734,164 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.63%, 07/31/19 144A | 1,072,000 | 1,074,025 | ||
Fresenius US Finance II, Inc. | ||||
4.50%, 01/15/23 144A | 1,000,000 | 1,040,467 | ||
GameStop Corporation | ||||
6.75%, 03/15/21 144A | 500,000 | 491,250 | ||
General Dynamics Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 2.92%, 05/11/21† | 1,000,000 | 1,004,090 | ||
General Electric Co. | ||||
6.00%, 08/07/19 | 1,075,000 | 1,078,551 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, ICE LIBOR USD 3M + 1.11%), 3.70%, 04/26/22† | 1,500,000 | 1,512,883 | ||
Goodyear Tire & Rubber Co. (The) | ||||
5.13%, 11/15/23 | 200,000 | 203,250 | ||
Group 1 Automotive, Inc. | ||||
5.00%, 06/01/22 | 1,000,000 | 1,013,750 | ||
Herc Holdings, Inc. | ||||
5.50%, 07/15/27 144A | 250,000 | 252,188 | ||
Herc Rentals, Inc. | ||||
7.50%, 06/01/22 144A | 218,000 | 226,415 | ||
7.75%, 06/01/24 144A | 500,000 | 529,650 | ||
Hill-Rom Holdings, Inc. | ||||
5.75%, 09/01/23 144A | 500,000 | 518,025 | ||
Hughes Satellite Systems Corporation | ||||
7.63%, 06/15/21 | 1,000,000 | 1,072,500 | ||
International Business Machines Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.94%, 05/13/21† | 1,000,000 | 1,002,919 | ||
Iron Mountain, Inc. REIT | ||||
6.00%, 08/15/23 | 1,500,000 | 1,545,000 | ||
John Deere Capital Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.87%, 06/07/21† | 355,000 | 356,132 | ||
(Floating, ICE LIBOR USD 3M + 0.48%), 2.93%, 09/08/22† | 250,000 | 250,685 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 3.00%, 03/09/21† | 1,500,000 | 1,502,660 | ||
KGA Escrow LLC | ||||
7.50%, 08/15/23 144A | 500,000 | 520,625 | ||
Kinder Morgan, Inc. | ||||
3.15%, 01/15/23 | 1,000,000 | 1,017,931 | ||
Lamar Media Corporation | ||||
5.00%, 05/01/23 | 1,000,000 | 1,022,500 | ||
Laredo Petroleum, Inc. | ||||
5.63%, 01/15/22 | 1,000,000 | 932,500 | ||
Lennar Corporation | ||||
4.75%, 04/01/21 | 1,000,000 | 1,028,750 |
Table of Contents
Par | Value | |||
Level 3 Financing, Inc. | ||||
5.38%, 08/15/22 | $250,000 | $250,938 | ||
LSB Industries, Inc. | ||||
9.63%, 05/01/23 144A | 750,000 | 766,875 | ||
Marsh & McLennan Cos., Inc. | ||||
2.35%, 09/10/19 | 1,250,000 | 1,249,262 | ||
Metropolitan Life Global Funding I | ||||
1.75%, 09/19/19 144A | 425,000 | 424,359 | ||
Michaels Stores, Inc. | ||||
5.88%, 12/15/20 144A | 1,000,000 | 1,002,025 | ||
Morgan Stanley | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 3.77%, 01/20/22† | 1,500,000 | 1,516,190 | ||
Murphy Oil USA, Inc. | ||||
6.00%, 08/15/23 | 890,000 | 917,813 | ||
NBCUniversal Enterprise, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 2.72%, 04/01/21 144A † | 1,275,000 | 1,278,107 | ||
NCR Corporation | ||||
5.88%, 12/15/21 | 250,000 | 254,185 | ||
Newmark Group, Inc. | ||||
6.13%, 11/15/23 | 500,000 | 529,417 | ||
Nexstar Broadcasting, Inc. | ||||
5.88%, 11/15/22 | 250,000 | 256,250 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 1,029,000 | 1,065,015 | ||
Nielsen Co Luxembourg S.a.r.l. (The) | ||||
5.50%, 10/01/21 144A | 1,755,000 | 1,765,969 | ||
Outfront Media Capital LLC | ||||
5.25%, 02/15/22 | 500,000 | 508,575 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.00%, 01/15/22 144A | 500,000 | 514,375 | ||
Party City Holdings, Inc. | ||||
6.13%, 08/15/23 144A | 3,000,000 | 3,030,000 | ||
PBF Logistics LP | ||||
6.88%, 05/15/23 | 250,000 | 259,063 | ||
Penske Automotive Group, Inc. | ||||
5.75%, 10/01/22 | 2,250,000 | 2,286,562 | ||
PNC Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.79%, 03/12/21† | 1,000,000 | 1,001,469 | ||
Prime Security Services Borrower LLC | ||||
9.25%, 05/15/23 144A | 2,602,000 | 2,737,499 | ||
PulteGroup, Inc. | ||||
4.25%, 03/01/21 | 1,000,000 | 1,022,500 | ||
Realogy Group LLC | ||||
5.25%, 12/01/21 144A | 3,175,000 | 3,063,875 | ||
Reynolds Group Issuer, Inc. | ||||
5.75%, 10/15/20 | 484,554 | 486,371 | ||
6.88%, 02/15/21 | 1,386,149 | 1,391,347 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 02/01/21 | 250,000 | 259,748 | ||
SBA Communications Corporation REIT | ||||
4.88%, 07/15/22 | 1,500,000 | 1,522,680 |
Par | Value | |||
Sinclair Television Group, Inc. | ||||
6.13%, 10/01/22 | $775,000 | $789,531 | ||
Sirius XM Radio, Inc. | ||||
6.00%, 07/15/24 144A | 750,000 | 773,625 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 1,250,000 | 1,250,000 | ||
Sunoco LP | ||||
4.88%, 01/15/23 | 1,000,000 | 1,023,750 | ||
T-Mobile USA, Inc. | ||||
6.50%, 01/15/24 | 2,500,000 | 2,593,750 | ||
Toyota Motor Credit Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.54%), 3.13%, 01/08/21† | 1,350,000 | 1,357,728 | ||
TWDC Enterprises 18 Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.19%), 2.67%, 06/05/20† | 1,000,000 | 1,001,393 | ||
United Rentals North America, Inc. | ||||
4.63%, 07/15/23 | 250,000 | 256,125 | ||
United Technologies Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.93%, 11/01/19† | 850,000 | 850,961 | ||
UnitedHealth Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.26%), 2.67%, 06/15/21† | 1,000,000 | 1,000,804 | ||
Univision Communications, Inc. | ||||
6.75%, 09/15/22 144A | 400,000 | 408,252 | ||
US Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.31%), 2.88%, 02/04/21† | 1,000,000 | 1,002,670 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.41%, 03/16/22† | 1,400,000 | 1,421,673 | ||
WEA Finance LLC REIT | ||||
2.70%, 09/17/19 144A | 1,000,000 | 999,985 | ||
Wells Fargo & Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.93%), 3.47%, 02/11/22† | 1,400,000 | 1,408,557 | ||
XPO Logistics, Inc. | ||||
6.75%, 08/15/24 144A | 500,000 | 534,375 | ||
Total Corporate Bonds (Cost $116,110,957) | 115,716,390 | |||
FOREIGN BONDS — 4.0% | ||||
Australia — 0.3% | ||||
National Australia Bank, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 3.60%, 07/12/21 144A † | 1,000,000 | 1,012,717 | ||
Canada — 1.3% | ||||
1011778 BC ULC | ||||
4.63%, 01/15/22 144A | 500,000 | 501,250 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 03/15/24 144A | 1,500,000 | 1,597,650 | ||
Brookfield Residential Properties, Inc. | ||||
6.50%, 12/15/20 144A | 1,969,000 | 1,973,922 | ||
Quebecor Media, Inc. | ||||
5.75%, 01/15/23 | 250,000 | 268,750 |
Table of Contents
Par | Value | |||
Royal Bank of Canada | ||||
(Floating, ICE LIBOR USD 3M + 0.73%), 3.31%, 02/01/22† | $1,000,000 | $1,009,629 | ||
5,351,201 | ||||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.63%, 05/01/22 144A | 100,000 | 101,485 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 1,000,000 | 1,058,300 | ||
1,159,785 | ||||
Ireland — 0.6% | ||||
Fly Leasing, Ltd. | ||||
6.38%, 10/15/21 | 1,500,000 | 1,539,375 | ||
Shire Acquisitions Investments Ireland DAC | ||||
1.90%, 09/23/19 | 875,000 | 873,693 | ||
2,413,068 | ||||
Mexico — 0.0% | ||||
Mexican Bonos | ||||
5.75%, 03/05/26(M) | 1,875,400 | 88,932 | ||
Netherlands — 0.1% | ||||
ABN AMRO Bank NV | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 3.09%, 08/27/21 144A † | 500,000 | 502,121 | ||
South Africa — 0.5% | ||||
Republic of South Africa Government Bond | ||||
10.50%, 12/21/26(S) | 10,380,000 | 833,569 | ||
8.00%, 01/31/30(S) | 1,440,000 | 96,631 | ||
7.00%, 02/28/31(S) | 5,420,000 | 329,760 | ||
8.88%, 02/28/35(S) | 1,130,000 | 76,612 | ||
8.50%, 01/31/37(S) | 7,170,000 | 465,483 | ||
9.00%, 01/31/40(S) | 3,040,000 | 203,591 | ||
2,005,646 | ||||
United Kingdom — 0.9% | ||||
BP Capital Markets PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 2.77%, 11/24/20† | 905,000 | 906,285 | ||
GlaxoSmithKline Capital PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 2.88%, 05/14/21† | 580,000 | 581,402 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 1,220,000 | 2,258,627 | ||
3,746,314 | ||||
Total Foreign Bonds (Cost $16,108,189) | 16,279,784 | |||
LOAN AGREEMENTS — 1.2% | ||||
APX Group, Inc., Initial Loan | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 7.33%, 04/01/24† | 991,358 | 949,225 | ||
(Floating, Prime Rate U.S. 3M + 4.00%, 1.00% Floor), 9.50%, 04/01/24 | 1,142 | 1,094 |
Par | Value | |||
Asurion LLC Second Lien Replacement B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 6.50%), 8.90%, 08/04/25† | $3,000,000 | $3,048,450 | ||
PetSmart, Inc. Amended Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 1.00% Floor), 6.67%, 03/11/22† | 820,620 | 801,003 | ||
Total Loan Agreements (Cost $4,781,501) | 4,799,772 | |||
MORTGAGE-BACKED SECURITIES — 1.5% | ||||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 09/15/43† IO | 645,941 | 105,487 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 12/15/43† IO | 387,924 | 59,860 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4320 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.71%, 07/15/39† IO | 1,855,752 | 305,630 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 3.61%, 05/15/46† IO | 1,609,028 | 281,056 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4792 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.81%, 05/15/48† | 2,066,429 | 281,301 | ||
Federal National Mortgage Association | ||||
3.00%, 07/01/49 TBA | 3,000,000 | 3,025,839 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.70%, 10/25/42† IO | 737,738 | 133,249 | ||
Federal National Mortgage Association REMIC, Series 2016-69 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 3.70%, 10/25/46† IO | 847,348 | 129,717 | ||
Federal National Mortgage Association REMIC, Series 2018-38 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 3.80%, 06/25/48† IO | 980,502 | 145,110 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 3.56%, 07/20/40† IO | 266,228 | 42,061 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 3.32%, 08/20/45† IO | $376,241 | $52,281 | ||
(Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 3.33%, 08/20/45† IO | 1,868,098 | 272,285 | ||
Government National Mortgage Association, Series 2015-126 | ||||
4.00%, 09/20/45 IO | 2,455,821 | 344,893 | ||
Government National Mortgage Association, Series 2015-57 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 3.22%, 04/20/45† IO | 622,045 | 84,886 | ||
UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB | ||||
3.00%, 05/10/45 | 925,467 | 931,390 | ||
Total Mortgage-Backed Securities (Cost $6,074,531) | 6,195,045 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Put Option — 0.0% | ||||
S&P 500®, Strike Price $2,900.00, Expires 07/19/19 (JPM) (Premiums paid $118,082) | 33 | $9,707,808 | 75,075 |
Par | |||
U.S. TREASURY OBLIGATIONS — 20.7% | |||
U.S. Treasury Bills | |||
2.35%, 07/09/19Ω | $2,000,000 | 1,999,142 | |
2.36%, 07/18/19Ω | 14,918,000 | 14,903,582 | |
2.35%, 04/23/20Ω | 14,808,000 | 14,573,012 | |
31,475,736 | |||
U.S. Treasury Inflationary Indexed Bonds | |||
0.75%, 07/15/28 | 9,670,000 | 10,261,504 | |
U.S. Treasury Notes | |||
1.00%, 10/15/19 | 15,007,000 | 14,959,518 | |
1.38%, 12/15/19 | 10,508,000 | 10,475,162 | |
1.63%, 12/31/19 | 15,524,000 | 15,487,612 | |
2.88%, 08/15/28 | 1,010,000 | 1,085,513 | |
42,007,805 | |||
Total U.S. Treasury Obligations (Cost $83,137,067) | 83,745,045 |
Shares | |||
COMMON STOCKS — 18.6% | |||
Communication Services — 1.6% | |||
AT&T, Inc. | 33,136 | 1,110,387 | |
Facebook, Inc. Class A* | 3,611 | 696,923 |
Shares | Value | |||
Liberty Media Corporation-Liberty SiriusXM Class C* | 843 | $32,017 | ||
Live Nation Entertainment, Inc.* | 1,912 | 126,670 | ||
Tribune Media Co. Class A | 47,345 | 2,188,286 | ||
Walt Disney Co. (The) | 9,476 | 1,323,229 | ||
Zayo Group Holdings, Inc.* | 36,924 | 1,215,169 | ||
6,692,681 | ||||
Consumer Discretionary — 1.4% | ||||
Amazon.com, Inc.‡‡ * | 772 | 1,461,882 | ||
Best Buy Co., Inc. | 9,743 | 679,380 | ||
Lennar Corporation Class A | 4,678 | 226,696 | ||
NIKE, Inc. Class B | 7,362 | 618,040 | ||
O’Reilly Automotive, Inc.* | 2,429 | 897,078 | ||
Ross Stores, Inc. | 5,108 | 506,305 | ||
VF Corporation | 5,175 | 452,036 | ||
Wyndham Hotels & Resorts, Inc. | 12,685 | 707,062 | ||
5,548,479 | ||||
Consumer Staples — 1.0% | ||||
Colgate-Palmolive Co. | 7,210 | 516,741 | ||
Mondelez International, Inc. Class A | 11,428 | 615,969 | ||
PepsiCo, Inc.‡‡ | 9,290 | 1,218,198 | ||
Spectrum Brands Holdings, Inc. | 537 | 28,874 | ||
Walmart, Inc. | 13,848 | 1,530,066 | ||
3,909,848 | ||||
Energy — 1.4% | ||||
Anadarko Petroleum Corporation | 81,490 | 5,749,934 | ||
Financials — 1.0% | ||||
Bank of America Corporation | 24,781 | 718,649 | ||
Citigroup, Inc.‡‡ | 20,888 | 1,462,787 | ||
Loews Corporation | 1,429 | 78,123 | ||
Moody’s Corporation | 2,313 | 451,752 | ||
Navient Corporation | 3,198 | 43,653 | ||
OneMain Holdings, Inc. | 1,073 | 36,278 | ||
SunTrust Banks, Inc. | 18,718 | 1,176,426 | ||
3,967,668 | ||||
Health Care — 3.6% | ||||
Agilent Technologies, Inc. | 12,431 | 928,223 | ||
Array BioPharma, Inc.* | 28,508 | 1,320,775 | ||
Celgene Corporation‡‡ * | 70,345 | 6,502,692 | ||
Centene Corporation* | 24,062 | 1,261,811 | ||
CVS Health Corporation | 10,830 | 590,127 | ||
Danaher Corporation | 5,673 | 810,785 | ||
Edwards Lifesciences Corporation* | 2,874 | 530,943 | ||
Elanco Animal Health, Inc.* | 22,834 | 771,789 | ||
Medidata Solutions, Inc.* | 8,264 | 747,975 | ||
Pacific Biosciences of California, Inc.* | 48,309 | 292,269 | ||
Thermo Fisher Scientific, Inc. | 2,659 | 780,895 | ||
14,538,284 | ||||
Industrials — 2.4% | ||||
AMETEK, Inc. | 3,722 | 338,106 | ||
Boeing Co. (The)‡ | 3,632 | 1,322,084 | ||
CSX Corporation | 7,013 | 542,596 |
Table of Contents
Shares | Value | |||
Harris Corporation | 5,328 | $1,007,685 | ||
Honeywell International, Inc. | 7,115 | 1,242,208 | ||
Jacobs Engineering Group, Inc. | 17,119 | 1,444,672 | ||
Macquarie Infrastructure Corporation | 606 | 24,567 | ||
Masco Corporation | 17,983 | 705,653 | ||
Roper Technologies, Inc. | 1,080 | 395,561 | ||
Trinity Industries, Inc. | 3,629 | 75,302 | ||
United Technologies Corporation | 14,594 | 1,900,139 | ||
WageWorks, Inc.* | 10,535 | 535,073 | ||
XPO Logistics, Inc.* | 2,016 | 116,545 | ||
9,650,191 | ||||
Information Technology — 5.1% | ||||
Analog Devices, Inc. | 4,314 | 486,921 | ||
Autodesk, Inc.* | 2,692 | 438,527 | ||
CDW Corporation | 1,361 | 151,071 | ||
Cypress Semiconductor Corporation | 81,367 | 1,809,602 | ||
Fidelity National Information Services, Inc. | 3,905 | 479,065 | ||
First Data Corporation Class A* | 62,741 | 1,698,399 | ||
Marvell Technology Group, Ltd. | 23,601 | 563,356 | ||
Microsoft Corporation‡‡ | 9,219 | 1,234,977 | ||
PTC, Inc.* | 1,107 | 99,364 | ||
QUALCOMM, Inc.‡‡ ‡ | 21,562 | 1,640,221 | ||
Red Hat, Inc.‡‡ * | 20,635 | 3,874,428 | ||
ServiceNow, Inc.* | 1,879 | 515,917 | ||
SS&C Technologies Holdings, Inc. | 1,324 | 76,276 | ||
Tableau Software, Inc. Class A* | 21,758 | 3,612,263 | ||
Total System Services, Inc. | 4,224 | 541,813 | ||
Versum Materials, Inc. | 60,399 | 3,115,380 | ||
Worldpay, Inc. Class A* | 2,679 | 328,312 | ||
20,665,892 | ||||
Materials — 0.3% | ||||
Mosaic Co. (The)‡ | 38,431 | 961,928 | ||
NewMarket Corporation | 60 | 24,056 | ||
WR Grace & Co. | 782 | 59,518 | ||
1,045,502 | ||||
Real Estate — 0.7% | ||||
Digital Realty Trust, Inc. REIT | 3,295 | 388,118 | ||
Equinix, Inc. REIT | 2,232 | 1,125,575 | ||
SITE Centers Corporation REIT | 1,270 | 16,815 | ||
Weyerhaeuser Co. REIT | 43,081 | 1,134,754 | ||
2,665,262 | ||||
Utilities — 0.1% | ||||
El Paso Electric Co. | 8,051 | 526,535 | ||
Evergy, Inc. | 1,673 | 100,631 | ||
627,166 | ||||
Total Common Stocks (Cost $71,973,841) | 75,060,907 | |||
FOREIGN COMMON STOCKS — 1.8% | ||||
China — 0.1% | ||||
Alibaba Group Holding, Ltd. ADR* | 3,207 | 543,426 | ||
Israel — 0.6% | ||||
Mellanox Technologies, Ltd.* | 20,738 | 2,295,074 |
Shares | Value | |||
Jersey — 0.5% | ||||
Amcor PLC* | 162,924 | $1,871,997 | ||
Netherlands — 0.4% | ||||
NXP Semiconductor NV‡‡ | 14,838 | 1,448,337 | ||
United Kingdom — 0.2% | ||||
Royal Dutch Shell PLC ADR Class A | 14,207 | 924,450 | ||
Total Foreign Common Stocks (Cost $7,168,426) | 7,083,284 | |||
MONEY MARKET FUNDS — 20.3% | ||||
GuideStone Money Market Fund, 2.29% (Institutional Class)Ø ∞ | 28,018,620 | 28,018,620 | ||
Northern Institutional U.S. Government Portfolio (Shares), 2.22%Ø | 54,165,885 | 54,165,885 | ||
Total Money Market Funds (Cost $82,184,505) | 82,184,505 | |||
TOTAL INVESTMENTS — 99.5% (Cost $398,604,751) | 402,102,095 | |||
COMMON STOCKS SOLD SHORT — (6.6)% | ||||
Communication Services — (0.3)% | ||||
Alphabet, Inc. Class A * | (727) | (787,196) | ||
Netflix, Inc. * | (638) | (234,350) | ||
News Corporation Class B | (1,018) | (14,211) | ||
(1,035,757) | ||||
Consumer Discretionary — (0.4)% | ||||
Autoliv, Inc. | (4,134) | (291,488) | ||
General Motors Co. | (9,354) | (360,410) | ||
Home Depot, Inc. (The) | (3,836) | (797,773) | ||
Tesla, Inc. * | (1,448) | (323,570) | ||
(1,773,241) | ||||
Consumer Staples — (0.0)% | ||||
Flowers Foods, Inc. | (1,281) | (29,809) | ||
Energy — (0.8)% | ||||
Baker Hughes a GE Co. | (5,535) | (136,327) | ||
Exxon Mobil Corporation | (16,915) | (1,296,196) | ||
Kosmos Energy Ltd. | (9,424) | (59,089) | ||
Occidental Petroleum Corporation | (21,718) | (1,091,981) | ||
Phillips 66 | (2,914) | (272,576) | ||
Pioneer Natural Resources Co. | (1,841) | (283,256) | ||
(3,139,425) | ||||
Financials — (0.5)% | ||||
BB&T Corporation | (24,259) | (1,191,845) | ||
Morgan Stanley | (10,626) | (465,525) | ||
Morningstar, Inc. | (153) | (22,130) | ||
RenaissanceRe Holdings, Ltd. | (369) | (65,686) | ||
State Street Corporation | (3,676) | (206,076) | ||
Unum Group | (2,477) | (83,103) | ||
(2,034,365) | ||||
Health Care — (0.4)% | ||||
Alnylam Pharmaceuticals, Inc. * | (1,131) | (82,065) | ||
Bristol-Myers Squibb Co. ‡ | (18,879) | (856,163) |
Table of Contents
Shares | Value | |||
Covetrus, Inc. * | (3,769) | $(92,190) | ||
ICU Medical, Inc. * | (309) | (77,840) | ||
McKesson Corporation | (2,082) | (279,800) | ||
Nektar Therapeutics * | (2,186) | (77,778) | ||
(1,465,836) | ||||
Industrials — (1.1)% | ||||
3M Co. | (3,384) | (586,582) | ||
AGCO Corporation | (5,317) | (412,440) | ||
AMERCO | (164) | (62,082) | ||
Armstrong World Industries, Inc. | (587) | (57,056) | ||
Caterpillar, Inc. | (1,447) | (197,212) | ||
Cummins, Inc. | (1,877) | (321,605) | ||
Illinois ToolWorks, Inc. | (4,302) | (648,785) | ||
Lennox International, Inc. | (1,588) | (436,700) | ||
PACCAR, Inc. | (6,878) | (492,877) | ||
Resideo Technologies, Inc. * | (2,402) | (52,652) | ||
Rockwell Automation, Inc. | (3,796) | (621,899) | ||
United Parcel Service, Inc. Class B | (4,043) | (417,521) | ||
Univar, Inc. * | (2,834) | (62,461) | ||
(4,369,872) | ||||
Information Technology — (2.4)% | ||||
Amdocs, Ltd. | (1,093) | (67,864) | ||
CDK Global, Inc. | (954) | (47,166) | ||
DocuSign, Inc. * | (7,051) | (350,505) | ||
Fiserv, Inc. * | (19,489) | (1,776,617) | ||
Global Payments, Inc. | (3,414) | (546,684) | ||
Hewlett Packard Enterprise Co. | (12,425) | (185,754) | ||
Intel Corporation | (13,578) | (649,979) | ||
International Business Machines Corporation | (6,767) | (933,169) | ||
National Instruments Corporation | (1,562) | (65,589) | ||
PayPal Holdings, Inc. * | (5,550) | (635,253) | ||
Pure Storage, Inc. Class A * | (6,145) | (93,834) | ||
RealPage, Inc. * | (795) | (46,786) | ||
salesforce.com, Inc. * | (23,855) | (3,619,519) | ||
Switch, Inc. Class A | (2,008) | (26,285) | ||
Texas Instruments, Inc. | (7,579) | (869,766) | ||
(9,914,770) | ||||
Materials — (0.3)% | ||||
International Paper Co. | (8,025) | (347,643) | ||
Nucor Corporation | (10,630) | (585,713) | ||
PPG Industries, Inc. | (3,509) | (409,535) | ||
(1,342,891) | ||||
Real Estate — (0.4)% | ||||
Corporate Office Properties Trust REIT | (724) | (19,092) | ||
JBG SMITH Properties REIT | (728) | (28,640) | ||
Kimco Realty Corporation REIT | (30,449) | (562,697) | ||
Regency Centers Corporation REIT | (1,200) | (80,088) | ||
Simon Property Group, Inc. REIT | (3,159) | (504,682) | ||
SL Green Realty Corporation REIT | (967) | (77,718) |
Shares | Value | |||
Welltower, Inc. REIT | (2,506) | $(204,314) | ||
(1,477,231) | ||||
Utilities — (0.0)% | ||||
FirstEnergy Corporation | (3,440) | (147,266) | ||
Total Common Stocks Sold Short (Proceeds $(26,788,862)) | (26,730,463) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.9)% | ||||
Canada — (0.2)% | ||||
Enbridge, Inc. | (27,497) | (992,092) | ||
Ireland — (0.1)% | ||||
Accenture PLC Class A | (2,070) | (382,474) | ||
Jersey — (0.5)% | ||||
Amcor PLC CDI | (162,924) | (1,851,825) | ||
Netherlands — (0.1)% | ||||
Elastic NV * | (2,748) | (205,166) | ||
Switzerland — (0.0)% | ||||
Garmin, Ltd. | (2,487) | (198,462) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(3,344,441)) | (3,630,019) | |||
MUTUAL FUNDS SOLD SHORT — (3.1)% | ||||
Consumer Discretionary Select SPDR Fund | (12,709) | (1,514,913) | ||
Consumer Staples Select SPDR Fund | (61,701) | (3,582,977) | ||
Energy Select Sector SPDR Fund | (15,811) | (1,007,319) | ||
Health Care Select Sector SPDR Fund | (5,798) | (537,127) | ||
iShares Russell 2000 ETF | (8,781) | (1,365,445) | ||
iShares U.S. Real Estate ETF | (5,893) | (514,518) | ||
SPDR S&P500 ETF Trust | (13,849) | (4,057,757) | ||
Total Mutual Funds Sold Short (Proceeds $(12,272,033)) | (12,580,056) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.1)% | ||||
Abbvie, Inc., Strike Price $72.50, Expires 08/16/19 (Cowen) | (61) | $(443,592) | (16,226) | |
Boeing Co., Strike Price $375.00, Expires 08/16/19 (JPM) | (14) | (509,614) | (13,650) | |
Bristol-Myers Squibb Co., Strike Price $46.00, Expires 08/16/19 (Cowen) | (190) | (861,650) | (22,800) | |
Bristol-Myers Squibb Co., Strike Price $47.00, Expires 07/19/19 (CS) | (91) | (412,685) | (2,230) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Mosaic Co., Strike Price $23.00, Expires 08/16/19 (JPM) | (295) | $(738,385) | $(76,847) | ||
Qualcomm, Inc., Strike Price $73.00, Expires 07/19/19 (JPM) | (112) | (851,984) | (48,160) | ||
(179,913) | |||||
Put Options — (0.0)% | |||||
S&P 500®, Strike Price $2,610.00, Expires 07/01/19 (GSC) | (68) | (5,883,520) | (100) | ||
S&P 500®, Strike Price $2,675.00, Expires 07/03/19 (GSC) | (67) | (6,177,696) | (630) | ||
S&P 500®, Strike Price $2,705.00, Expires 07/05/19 (GSC) | (66) | (6,177,696) | (1,575) | ||
S&P 500®, Strike Price $2,705.00, Expires 07/10/19 (GSC) | (65) | (6,471,872) | (2,970) | ||
S&P 500®, Strike Price $2,760.00, Expires 07/15/19 (GSC) | (64) | (6,471,872) | (8,690) | ||
S&P 500®, Strike Price $2,770.00, Expires 07/12/19 (GSC) | (65) | (6,471,872) | (8,360) | ||
S&P 500®, Strike Price $2,780.00, Expires 07/08/19 (GSC) | (61) | (6,177,696) | (4,147) | ||
S&P 500®, Strike Price $2,800.00, Expires 07/19/19 (JPM) | (33) | (9,707,808) | (26,895) | ||
S&P 500®, Strike Price $2,805.00, Expires 07/24/19 (GSC) | (60) | (5,589,344) | (20,805) | ||
S&P 500®, Strike Price $2,815.00, Expires 07/17/19 (GSC) | (65) | (6,471,872) | (18,590) | ||
S&P 500®, Strike Price $2,825.00, Expires 07/26/19 (GSC) | (58) | (5,883,520) | (15,900) | ||
S&P 500®, Strike Price $2,845.00, Expires 07/22/19 (GSC) | (60) | (6,471,872) | (31,240) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $2,850.00, Expires 07/19/19 (GSC) | (66) | $(6,471,872) | $(30,360) | ||
(170,262) | |||||
Total Written Options (Premiums received $ (594,350)) | (350,175) | ||||
Other Assets in Excess of Liabilities — 11.2% | 45,063,392 | ||||
NET ASSETS — 100.0% | $403,874,774 |
% | ||
Corporate Bonds | 28.7 | |
U.S. Treasury Obligations | 20.7 | |
Money Market Funds | 20.3 | |
Information Technology | 6.1 | |
Foreign Bonds | 4.0 | |
Health Care | 3.6 | |
Asset-Backed Securities | 2.7 | |
Industrials | 2.4 | |
Communication Services | 1.6 | |
Energy | 1.6 | |
Mortgage-Backed Securities | 1.5 | |
Consumer Discretionary | 1.5 | |
Loan Agreements | 1.2 | |
Financials | 1.0 | |
Consumer Staples | 1.0 | |
Materials | 0.8 | |
Real Estate | 0.7 | |
Utilities | 0.1 | |
Purchased Option | — | ** |
Written Options | (0.1) | |
Foreign Common Stocks Sold Short | (0.9) | |
Mutual Funds Sold Short | (3.1) | |
Common Stocks Sold Short | (6.6) | |
88.8 | ||
**Rounds to less than 0.05% |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2019 | (1) | $(152,872) | $ (448) | ||||
10-Year Commonwealth Treasury Bond | 09/2019 | 11 | 1,109,345 | (430) | ||||
3-Year Commonwealth Treasury Bond | 09/2019 | 18 | 1,453,213 | (1,807) | ||||
90-Day Eurodollar | 09/2019 | (35) | (8,574,562) | (52,400) | ||||
10-Year U.S. Treasury Note | 09/2019 | 47 | 6,014,531 | 19,607 | ||||
U.S. Treasury Long Bond | 09/2019 | (76) | (11,825,125) | (270,056) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2019 | (43) | (5,939,375) | (125,604) | ||||
Ultra Long U.S. Treasury Bond | 09/2019 | (2) | (355,125) | (353) | ||||
Long GILT | 09/2019 | (22) | (3,640,439) | (46) | ||||
2-Year U.S. Treasury Note | 09/2019 | (117) | (25,176,023) | (99,125) | ||||
5-Year U.S. Treasury Note | 09/2019 | 358 | 42,299,938 | 427,596 | ||||
5-Year U.S. Treasury Note | 12/2019 | (35) | (8,582,875) | (62,000) | ||||
90-Day Eurodollar | 03/2020 | (14) | (3,440,150) | (20,505) | ||||
90-Day Eurodollar | 06/2020 | (77) | (18,938,150) | (112,607) | ||||
Total Futures Contracts outstanding at June 30, 2019 | $(35,747,669) | $(298,178) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/19 | Japanese Yen | 2,728,916,863 | U.S. Dollars | 24,732,007 | GSC | $611,504 | ||||||
07/16/19 | Swiss Francs | 23,046,104 | U.S. Dollars | 23,045,693 | CITI | 599,277 | ||||||
07/16/19 | U.S. Dollars | 20,262,295 | British Pounds | 15,508,954 | GSC | 550,320 | ||||||
07/16/19 | Canadian Dollars | 34,597,596 | U.S. Dollars | 25,936,182 | GSC | 493,609 | ||||||
07/16/19 | Japanese Yen | 2,663,148,992 | U.S. Dollars | 24,253,837 | CITI | 478,886 | ||||||
07/16/19 | Japanese Yen | 1,597,923,290 | U.S. Dollars | 14,412,022 | SS | 427,927 | ||||||
07/16/19 | U.S. Dollars | 13,550,435 | British Pounds | 10,337,836 | CITI | 410,982 | ||||||
07/16/19 | Canadian Dollars | 18,615,301 | U.S. Dollars | 13,865,665 | CITI | 354,933 | ||||||
07/16/19 | Swiss Francs | 12,891,637 | U.S. Dollars | 12,872,294 | GSC | 354,340 | ||||||
07/16/19 | U.S. Dollars | 45,676,312 | Swedish Kronor | 420,789,932 | GSC | 305,496 | ||||||
07/16/19 | Japanese Yen | 985,494,860 | U.S. Dollars | 8,886,819 | SC | 260,154 | ||||||
07/16/19 | U.S. Dollars | 16,042,781 | Australian Dollars | 22,477,696 | JPM | 253,083 | ||||||
07/16/19 | U.S. Dollars | 7,074,339 | British Pounds | 5,382,673 | SC | 223,811 | ||||||
07/16/19 | Euro | 15,675,670 | U.S. Dollars | 17,655,039 | GSC | 194,178 | ||||||
07/16/19 | Euro | 29,291,208 | U.S. Dollars | 33,162,246 | JPM | 190,405 | ||||||
07/16/19 | Norwegian Kroner | 188,650,097 | U.S. Dollars | 21,967,158 | GSC | 160,080 | ||||||
07/16/19 | U.S. Dollars | 4,650,926 | British Pounds | 3,537,735 | SS | 154,443 | ||||||
07/16/19 | Norwegian Kroner | 143,894,183 | U.S. Dollars | 16,727,881 | CITI | 149,825 | ||||||
07/16/19 | U.S. Dollars | 9,456,610 | Australian Dollars | 13,253,499 | RBC | 146,548 | ||||||
07/16/19 | Norwegian Kroner | 140,890,364 | U.S. Dollars | 16,384,308 | SS | 141,073 | ||||||
07/16/19 | U.S. Dollars | 8,311,588 | Australian Dollars | 11,646,788 | CITI | 130,177 | ||||||
07/16/19 | New Zealand Dollars | 13,381,937 | U.S. Dollars | 8,875,072 | CITI | 118,339 | ||||||
07/16/19 | Euro | 12,461,437 | U.S. Dollars | 14,073,789 | SS | 115,519 | ||||||
07/16/19 | Swiss Francs | 4,619,948 | U.S. Dollars | 4,624,825 | SS | 115,175 | ||||||
07/16/19 | Euro | 12,510,705 | U.S. Dollars | 14,132,384 | CITI | 113,023 | ||||||
07/16/19 | Swedish Kronor | 44,531,875 | U.S. Dollars | 4,689,991 | GSC | 111,567 | ||||||
07/16/19 | U.S. Dollars | 5,691,602 | Australian Dollars | 7,951,497 | SS | 105,988 | ||||||
07/16/19 | Mexican Pesos | 120,195,934 | U.S. Dollars | 6,144,677 | GSC | 100,747 | ||||||
07/16/19 | Swedish Kronor | 50,593,549 | U.S. Dollars | 5,357,748 | CITI | 97,398 | ||||||
07/16/19 | Mexican Pesos | 76,552,829 | U.S. Dollars | 3,890,324 | SS | 87,388 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/19 | U.S. Dollars | 5,198,493 | Australian Dollars | 7,284,679 | SC | $86,469 | ||||||
07/16/19 | U.S. Dollars | 5,779,731 | Australian Dollars | 8,117,666 | GSC | 77,390 | ||||||
07/08/19 | U.S. Dollars | 2,301,972 | British Pounds | 1,751,723 | MSCS | 76,447 | ||||||
09/18/19 | New Zealand Dollars | 6,266,867 | U.S. Dollars | 4,142,377 | MSCS | 74,117 | ||||||
07/16/19 | Australian Dollars | 10,863,961 | U.S. Dollars | 7,558,066 | CITI | 73,439 | ||||||
07/16/19 | New Zealand Dollars | 5,446,893 | U.S. Dollars | 3,591,574 | GSC | 69,043 | ||||||
07/16/19 | U.S. Dollars | 13,197,898 | New Zealand Dollars | 19,544,711 | JPM | 62,758 | ||||||
07/16/19 | Swiss Francs | 3,545,017 | U.S. Dollars | 3,575,264 | SC | 60,651 | ||||||
07/16/19 | U.S. Dollars | 11,478,044 | New Zealand Dollars | 16,999,725 | SC | 60,178 | ||||||
07/16/19 | Canadian Dollars | 4,033,842 | U.S. Dollars | 3,022,985 | SS | 58,547 | ||||||
07/16/19 | U.S. Dollars | 12,103,048 | New Zealand Dollars | 17,923,776 | SS | 57,266 | ||||||
07/16/19 | South African Rand | 16,400,939 | U.S. Dollars | 1,106,527 | GSC | 55,528 | ||||||
07/16/19 | U.S. Dollars | 11,863,408 | New Zealand Dollars | 17,571,202 | RBC | 54,576 | ||||||
07/16/19 | Czech Republic Koruna | 53,318,689 | U.S. Dollars | 2,335,619 | CITI | 49,621 | ||||||
07/16/19 | Norwegian Kroner | 63,154,553 | U.S. Dollars | 7,358,573 | RBC | 48,982 | ||||||
07/16/19 | Euro | 6,538,395 | U.S. Dollars | 7,399,370 | SC | 46,553 | ||||||
09/18/19 | Canadian Dollars | 5,193,158 | U.S. Dollars | 3,925,591 | MSCS | 45,887 | ||||||
07/16/19 | Canadian Dollars | 2,951,396 | U.S. Dollars | 2,214,350 | SC | 44,228 | ||||||
07/30/19 | Russian Rubles | 94,771,877 | U.S. Dollars | 1,450,492 | MSCS | 42,557 | ||||||
09/18/19 | South African Rand | 14,948,280 | U.S. Dollars | 1,009,779 | MSCS | 40,725 | ||||||
07/16/19 | South Korean Won | 2,584,473,341 | U.S. Dollars | 2,196,747 | GSC | 39,918 | ||||||
07/16/19 | U.S. Dollars | 2,274,601 | South Korean Won | 2,583,878,646 | CITI | 38,451 | ||||||
07/16/19 | Canadian Dollars | 1,925,150 | U.S. Dollars | 1,434,318 | RBC | 36,343 | ||||||
07/16/19 | Brazilian Reals | 12,778,850 | U.S. Dollars | 3,287,756 | SS | 35,066 | ||||||
07/16/19 | Polish Zloty | 4,428,818 | U.S. Dollars | 1,151,763 | GSC | 34,966 | ||||||
07/16/19 | U.S. Dollars | 3,718,305 | Swedish Kronor | 34,172,460 | SS | 33,730 | ||||||
07/16/19 | U.S. Dollars | 5,187,719 | Swedish Kronor | 47,801,434 | CITI | 33,627 | ||||||
07/01/19 | South African Rand | 14,331,720 | U.S. Dollars | 986,068 | MSCS | 31,449 | ||||||
09/18/19 | Australian Dollars | 4,804,431 | U.S. Dollars | 3,350,949 | MSCS | 30,249 | ||||||
07/16/19 | Canadian Dollars | 2,173,979 | U.S. Dollars | 1,631,143 | JPM | 29,603 | ||||||
10/17/19 | Egyptian Pounds | 6,700,735 | U.S. Dollars | 359,000 | MSCS | 28,975 | ||||||
03/05/20 | Egyptian Pounds | 7,312,805 | U.S. Dollars | 379,000 | MSCS | 28,105 | ||||||
07/16/19 | Hungarian Forint | 335,358,562 | U.S. Dollars | 1,153,592 | GSC | 28,039 | ||||||
07/16/19 | Australian Dollars | 5,872,921 | U.S. Dollars | 4,100,216 | GSC | 25,280 | ||||||
07/16/19 | Polish Zloty | 4,369,872 | U.S. Dollars | 1,146,632 | CITI | 24,302 | ||||||
07/10/19 | Euro | 1,887,970 | U.S. Dollars | 2,125,095 | MSCS | 23,554 | ||||||
07/16/19 | New Zealand Dollars | 1,815,882 | U.S. Dollars | 1,197,166 | SS | 23,209 | ||||||
07/16/19 | Australian Dollars | 6,297,636 | U.S. Dollars | 4,401,974 | SS | 21,868 | ||||||
07/02/19 | Brazilian Reals | 7,372,969 | U.S. Dollars | 1,899,818 | MSCS | 20,251 | ||||||
07/16/19 | U.S. Dollars | 3,850,278 | New Zealand Dollars | 5,700,822 | GSC | 19,006 | ||||||
07/05/19 | Chilean Pesos | 709,099,906 | U.S. Dollars | 1,028,023 | MSCS | 18,509 | ||||||
07/16/19 | U.S. Dollars | 2,888,553 | Swedish Kronor | 26,622,926 | JPM | 17,990 | ||||||
07/12/19 | Argentine Pesos | 9,268,527 | U.S. Dollars | 196,367 | MSCS | 17,729 | ||||||
07/16/19 | Swiss Francs | 1,034,364 | U.S. Dollars | 1,043,637 | JPM | 17,606 | ||||||
07/23/19 | Chilean Pesos | 480,787,635 | U.S. Dollars | 693,199 | MSCS | 16,581 | ||||||
09/18/19 | Norwegian Kroner | 16,779,171 | Euro | 1,709,038 | MSCS | 15,508 | ||||||
07/16/19 | Brazilian Reals | 5,235,601 | U.S. Dollars | 1,346,259 | GSC | 15,129 | ||||||
07/10/19 | Argentine Pesos | 8,141,579 | U.S. Dollars | 173,962 | MSCS | 14,702 | ||||||
07/16/19 | U.S. Dollars | 3,653,323 | Norwegian Kroner | 31,026,533 | SS | 14,144 | ||||||
07/16/19 | New Zealand Dollars | 1,191,601 | U.S. Dollars | 787,484 | RBC | 13,339 | ||||||
07/16/19 | Swedish Kronor | 7,056,592 | U.S. Dollars | 747,948 | SS | 12,914 | ||||||
09/18/19 | Swedish Kronor | 8,729,645 | Euro | 816,834 | MSCS | 10,721 | ||||||
08/05/19 | Taiwan Dollars | 30,779,740 | U.S. Dollars | 985,691 | MSCS | 9,902 | ||||||
07/16/19 | Euro | 1,408,940 | U.S. Dollars | 1,594,433 | RBC | 9,867 | ||||||
07/15/19 | Indian Rupees | 78,071,508 | U.S. Dollars | 1,119,495 | MSCS | 9,741 | ||||||
07/31/19 | Argentine Pesos | 4,115,551 | U.S. Dollars | 83,862 | MSCS | 8,349 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/18/19 | Czech Republic Koruna | 21,686,479 | Euro | 841,135 | MSCS | $8,325 | ||||||
07/16/19 | Australian Dollars | 1,717,719 | U.S. Dollars | 1,198,435 | SC | 8,195 | ||||||
07/16/19 | U.S. Dollars | 4,128,938 | Euro | 3,619,143 | CITI | 7,974 | ||||||
07/16/19 | U.S. Dollars | 1,878,718 | New Zealand Dollars | 2,783,727 | CITI | 7,897 | ||||||
09/18/19 | Euro | 619,973 | U.S. Dollars | 703,406 | MSCS | 6,108 | ||||||
07/16/19 | U.S. Dollars | 5,227,515 | Euro | 4,585,781 | SS | 5,882 | ||||||
07/17/19 | Swedish Kronor | 8,343,995 | U.S. Dollars | 894,194 | MSCS | 5,551 | ||||||
07/05/19 | Canadian Dollars | 408,436 | U.S. Dollars | 306,380 | MSCS | 5,549 | ||||||
07/16/19 | Swiss Francs | 281,945 | U.S. Dollars | 284,303 | RBC | 4,968 | ||||||
07/16/19 | South African Rand | 16,957,298 | U.S. Dollars | 1,196,623 | CITI | 4,851 | ||||||
07/16/19 | U.S. Dollars | 2,475,172 | Canadian Dollars | 3,234,505 | SS | 4,269 | ||||||
09/18/19 | Chinese Offshore Yuan | 7,461,080 | U.S. Dollars | 1,081,374 | MSCS | 4,003 | ||||||
07/16/19 | British Pounds | 1,749,423 | U.S. Dollars | 2,219,630 | GSC | 3,897 | ||||||
09/18/19 | Japanese Yen | 96,674,693 | U.S. Dollars | 898,362 | MSCS | 3,682 | ||||||
07/22/19 | South Korean Won | 637,926,577 | U.S. Dollars | 548,427 | MSCS | 3,497 | ||||||
08/05/19 | South Korean Won | 204,741,805 | U.S. Dollars | 173,875 | MSCS | 3,224 | ||||||
08/13/19 | Indonesian Rupiahs | 7,285,367,408 | U.S. Dollars | 509,714 | MSCS | 3,198 | ||||||
09/18/19 | Polish Zloty | 4,803,029 | Euro | 1,123,377 | MSCS | 3,144 | ||||||
07/05/19 | Swiss Francs | 162,000 | U.S. Dollars | 162,932 | MSCS | 3,099 | ||||||
07/16/19 | Norwegian Kroner | 4,846,464 | U.S. Dollars | 565,436 | JPM | 3,018 | ||||||
09/18/19 | U.S. Dollars | 1,302,587 | Japanese Yen | 139,281,621 | MSCS | 2,990 | ||||||
09/18/19 | Singapore Dollars | 1,139,976 | U.S. Dollars | 840,710 | MSCS | 2,881 | ||||||
07/03/19 | New Zealand Dollars | 200,812 | U.S. Dollars | 132,150 | MSCS | 2,765 | ||||||
09/18/19 | British Pounds | 651,879 | U.S. Dollars | 828,210 | MSCS | 2,657 | ||||||
09/18/19 | Euro | 837,093 | Norwegian Kroner | 8,132,314 | MSCS | 2,530 | ||||||
09/18/19 | Swedish Kronor | 795,077 | U.S. Dollars | 83,821 | MSCS | 2,296 | ||||||
09/18/19 | Turkish Lira | 2,971,047 | U.S. Dollars | 489,103 | MSCS | 2,258 | ||||||
07/17/19 | Chilean Pesos | 813,575,506 | U.S. Dollars | 1,198,726 | CITI | 2,228 | ||||||
08/02/19 | Brazilian Reals | 4,930,182 | U.S. Dollars | 1,277,742 | MSCS | 2,152 | ||||||
07/16/19 | U.S. Dollars | 510,255 | Norwegian Kroner | 4,333,085 | CITI | 2,017 | ||||||
07/16/19 | U.S. Dollars | 1,953,639 | Swiss Francs | 1,902,528 | SS | 1,673 | ||||||
07/16/19 | U.S. Dollars | 2,340,285 | Swiss Francs | 2,279,487 | GSC | 1,564 | ||||||
09/18/19 | Euro | 193,657 | British Pounds | 172,726 | MSCS | 1,474 | ||||||
07/24/19 | Malaysian Ringgit | 314,996 | U.S. Dollars | 74,874 | MSCS | 1,379 | ||||||
07/16/19 | U.S. Dollars | 1,089,060 | Mexican Pesos | 20,934,108 | CITI | 1,316 | ||||||
07/03/19 | U.S. Dollars | 131,901 | Australian Dollars | 186,010 | MSCS | 1,299 | ||||||
07/03/19 | Australian Dollars | 158,621 | U.S. Dollars | 110,433 | MSCS | 940 | ||||||
09/18/19 | U.S. Dollars | 422,266 | Swedish Kronor | 3,890,106 | MSCS | 920 | ||||||
07/16/19 | U.S. Dollars | 1,787,800 | Euro | 1,569,467 | GSC | 715 | ||||||
09/18/19 | Swedish Kronor | 722,173 | Norwegian Kroner | 660,641 | MSCS | 602 | ||||||
09/18/19 | U.S. Dollars | 528,455 | Swiss Francs | 511,647 | MSCS | 466 | ||||||
09/18/19 | U.S. Dollars | 269,673 | Euro | 235,234 | MSCS | 465 | ||||||
07/16/19 | U.S. Dollars | 1,795,833 | Japanese Yen | 193,320,189 | GSC | 464 | ||||||
09/18/19 | Polish Zloty | 854,375 | U.S. Dollars | 228,889 | MSCS | 360 | ||||||
07/03/19 | U.S. Dollars | 47,297 | New Zealand Dollars | 69,873 | MSCS | 352 | ||||||
09/18/19 | U.S. Dollars | 90,781 | British Pounds | 70,961 | MSCS | 336 | ||||||
09/18/19 | British Pounds | 87,971 | Swedish Kronor | 1,032,241 | MSCS | 322 | ||||||
07/16/19 | U.S. Dollars | 1,797,457 | Hungarian Forint | 510,055,302 | CITI | 283 | ||||||
09/05/19 | South African Rand | 847,353 | U.S. Dollars | 59,441 | MSCS | 201 | ||||||
07/22/19 | U.S. Dollars | 261,961 | South Korean Won | 302,709,330 | MSCS | 62 | ||||||
09/18/19 | Mexican Pesos | 2,316,697 | U.S. Dollars | 119,008 | MSCS | 58 | ||||||
07/16/19 | Turkish Lira | 3,106 | U.S. Dollars | 525 | GSC | 7 | ||||||
Subtotal Appreciation | $9,690,242 | |||||||||||
09/18/19 | Singapore Dollars | 141,452 | U.S. Dollars | 104,698 | MSCS | $(22) | ||||||
09/18/19 | Canadian Dollars | 659,468 | U.S. Dollars | 504,435 | MSCS | (105) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/05/19 | U.S. Dollars | 210,230 | Japanese Yen | 22,565,399 | MSCS | $(130) | ||||||
09/18/19 | Japanese Yen | 16,288,940 | U.S. Dollars | 152,131 | MSCS | (144) | ||||||
09/18/19 | U.S. Dollars | 377,719 | Mexican Pesos | 7,352,260 | MSCS | (149) | ||||||
07/22/19 | U.S. Dollars | 162,478 | South Korean Won | 187,981,744 | MSCS | (161) | ||||||
09/18/19 | Hungarian Forint | 66,250,498 | U.S. Dollars | 234,525 | MSCS | (165) | ||||||
09/18/19 | Czech Republic Koruna | 2,540,721 | U.S. Dollars | 113,919 | MSCS | (166) | ||||||
09/18/19 | U.S. Dollars | 104,108 | British Pounds | 81,813 | MSCS | (169) | ||||||
07/16/19 | British Pounds | 1,288,870 | U.S. Dollars | 1,638,373 | GSC | (211) | ||||||
07/16/19 | Polish Zloty | 2,203,363 | U.S. Dollars | 590,656 | CITI | (251) | ||||||
09/18/19 | Hungarian Forint | 26,158,559 | Polish Zloty | 345,898 | MSCS | (277) | ||||||
07/17/19 | Mexican Pesos | 1,952,318 | U.S. Dollars | 101,826 | MSCS | (400) | ||||||
09/18/19 | Norwegian Kroner | 1,538,100 | U.S. Dollars | 181,124 | MSCS | (413) | ||||||
07/22/19 | South Korean Won | 361,629,611 | U.S. Dollars | 313,337 | MSCS | (461) | ||||||
08/05/19 | U.S. Dollars | 98,840 | Indian Rupees | 6,891,599 | MSCS | (604) | ||||||
09/18/19 | Australian Dollars | 170,250 | Swiss Francs | 116,721 | MSCS | (633) | ||||||
08/05/19 | Taiwan Dollars | 12,161,988 | U.S. Dollars | 394,075 | MSCS | (687) | ||||||
09/18/19 | British Pounds | 93,527 | Canadian Dollars | 156,779 | MSCS | (690) | ||||||
07/16/19 | Norwegian Kroner | 23,126,832 | U.S. Dollars | 2,713,302 | SS | (699) | ||||||
07/16/19 | Australian Dollars | 1,069,955 | U.S. Dollars | 752,490 | RBC | (888) | ||||||
09/18/19 | British Pounds | 232,023 | U.S. Dollars | 296,645 | MSCS | (914) | ||||||
09/18/19 | U.S. Dollars | 453,101 | Japanese Yen | 48,666,780 | MSCS | (995) | ||||||
07/03/19 | Australian Dollars | 144,856 | U.S. Dollars | 102,719 | MSCS | (1,011) | ||||||
07/08/19 | British Pounds | 240,438 | U.S. Dollars | 306,527 | MSCS | (1,056) | ||||||
07/17/19 | U.S. Dollars | 165,689 | Mexican Pesos | 3,210,000 | MSCS | (1,076) | ||||||
09/18/19 | U.S. Dollars | 219,122 | Polish Zloty | 821,443 | MSCS | (1,290) | ||||||
07/02/19 | Brazilian Reals | 2,176,030 | U.S. Dollars | 568,075 | MSCS | (1,393) | ||||||
09/18/19 | U.S. Dollars | 329,259 | Romanian Leu | 1,375,972 | MSCS | (1,416) | ||||||
07/08/19 | U.S. Dollars | 360,692 | British Pounds | 285,018 | MSCS | (1,417) | ||||||
07/15/19 | U.S. Dollars | 141,376 | Indian Rupees | 9,883,421 | MSCS | (1,580) | ||||||
07/16/19 | Swedish Kronor | 11,702,669 | U.S. Dollars | 1,263,514 | CITI | (1,698) | ||||||
07/16/19 | U.S. Dollars | 580,072 | Hungarian Forint | 165,227,693 | GSC | (2,106) | ||||||
07/16/19 | British Pounds | 970,920 | U.S. Dollars | 1,236,583 | SC | (2,538) | ||||||
07/16/19 | Norwegian Kroner | 8,293,828 | U.S. Dollars | 975,346 | CITI | (2,543) | ||||||
07/01/19 | U.S. Dollars | 206,691 | Japanese Yen | 22,565,399 | MSCS | (2,607) | ||||||
07/30/19 | Russian Rubles | 24,242,615 | U.S. Dollars | 384,539 | MSCS | (2,618) | ||||||
09/18/19 | U.S. Dollars | 348,683 | Norwegian Kroner | 2,990,382 | MSCS | (2,656) | ||||||
07/05/19 | U.S. Dollars | 176,229 | Swiss Francs | 174,711 | MSCS | (2,829) | ||||||
09/18/19 | U.S. Dollars | 372,836 | Singapore Dollars | 507,724 | MSCS | (2,884) | ||||||
08/14/19 | U.S. Dollars | 107,079 | Polish Zloty | 410,210 | MSCS | (2,917) | ||||||
07/16/19 | U.S. Dollars | 755,042 | British Pounds | 596,465 | CITI | (3,069) | ||||||
09/18/19 | Turkish Lira | 2,097,734 | U.S. Dollars | 350,005 | MSCS | (3,076) | ||||||
07/16/19 | Euro | 2,276,854 | U.S. Dollars | 2,596,365 | GSC | (3,808) | ||||||
09/18/19 | Euro | 475,968 | Swedish Kronor | 5,064,223 | MSCS | (3,808) | ||||||
07/22/19 | Colombian Pesos | 1,258,241,963 | U.S. Dollars | 394,672 | MSCS | (3,814) | ||||||
07/12/19 | U.S. Dollars | 70,025 | Argentine Pesos | 3,197,305 | MSCS | (3,830) | ||||||
07/17/19 | U.S. Dollars | 824,824 | Swedish Kronor | 7,686,310 | MSCS | (4,001) | ||||||
07/22/19 | U.S. Dollars | 312,921 | Colombian Pesos | 1,020,280,464 | MSCS | (4,016) | ||||||
09/18/19 | U.S. Dollars | 139,118 | Turkish Lira | 866,906 | MSCS | (4,254) | ||||||
09/18/19 | British Pounds | 694,663 | Euro | 778,286 | MSCS | (5,292) | ||||||
07/16/19 | Australian Dollars | 1,977,695 | U.S. Dollars | 1,394,841 | CITI | (5,588) | ||||||
07/16/19 | U.S. Dollars | 3,488,035 | Mexican Pesos | 67,236,675 | GSC | (5,607) | ||||||
09/18/19 | U.S. Dollars | 1,304,313 | Australian Dollars | 1,861,494 | MSCS | (5,745) | ||||||
09/18/19 | U.S. Dollars | 412,799 | Swedish Kronor | 3,867,031 | MSCS | (6,048) | ||||||
09/18/19 | U.S. Dollars | 559,745 | South African Rand | 8,052,480 | MSCS | (6,150) | ||||||
09/18/19 | U.S. Dollars | 479,584 | Swiss Francs | 470,906 | MSCS | (6,363) | ||||||
07/23/19 | U.S. Dollars | 214,648 | Chilean Pesos | 149,911,926 | MSCS | (6,665) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/05/19 | U.S. Dollars | 2,040,043 | South African Rand | 29,081,552 | MSCS | $(6,902) | ||||||
07/05/19 | U.S. Dollars | 731,232 | Canadian Dollars | 967,007 | MSCS | (7,285) | ||||||
08/05/19 | U.S. Dollars | 348,773 | South Korean Won | 412,299,012 | MSCS | (7,859) | ||||||
09/18/19 | U.S. Dollars | 873,725 | Chinese Offshore Yuan | 6,063,521 | MSCS | (8,346) | ||||||
09/18/19 | Mexican Pesos | 32,995,757 | U.S. Dollars | 1,704,209 | MSCS | (8,398) | ||||||
09/18/19 | U.S. Dollars | 657,162 | New Zealand Dollars | 990,315 | MSCS | (9,145) | ||||||
07/16/19 | Swedish Kronor | 15,667,985 | U.S. Dollars | 1,699,956 | JPM | (10,588) | ||||||
07/16/19 | Norwegian Kroner | 25,164,059 | U.S. Dollars | 2,962,340 | GSC | (10,785) | ||||||
09/18/19 | U.S. Dollars | 2,001,437 | Canadian Dollars | 2,633,870 | MSCS | (12,821) | ||||||
07/16/19 | Japanese Yen | 383,039,547 | U.S. Dollars | 3,570,286 | CITI | (12,989) | ||||||
08/05/19 | U.S. Dollars | 755,869 | Taiwan Dollars | 23,777,880 | MSCS | (13,244) | ||||||
03/05/20 | U.S. Dollars | 393,479 | Egyptian Pounds | 7,312,805 | MSCS | (13,626) | ||||||
10/17/19 | U.S. Dollars | 373,300 | Egyptian Pounds | 6,700,735 | MSCS | (14,675) | ||||||
07/17/19 | Chilean Pesos | 772,197,240 | U.S. Dollars | 1,154,601 | GSC | (14,727) | ||||||
07/16/19 | U.S. Dollars | 1,151,998 | New Zealand Dollars | 1,737,435 | SC | (15,656) | ||||||
07/16/19 | Japanese Yen | 496,643,194 | U.S. Dollars | 4,629,114 | SS | (16,777) | ||||||
07/10/19 | U.S. Dollars | 1,923,301 | Euro | 1,707,347 | MSCS | (19,785) | ||||||
07/05/19 | U.S. Dollars | 1,025,868 | Chilean Pesos | 709,099,906 | MSCS | (20,664) | ||||||
07/16/19 | U.S. Dollars | 1,191,319 | Swedish Kronor | 11,241,648 | SC | (20,788) | ||||||
07/16/19 | U.S. Dollars | 1,139,720 | Czech Republic Koruna | 25,946,295 | CITI | (21,001) | ||||||
09/18/19 | U.S. Dollars | 4,889,797 | Euro | 4,291,923 | MSCS | (21,994) | ||||||
07/16/19 | U.S. Dollars | 5,344,544 | New Zealand Dollars | 7,987,633 | SS | (23,593) | ||||||
07/16/19 | Australian Dollars | 2,317,862 | U.S. Dollars | 1,654,270 | SS | (26,063) | ||||||
07/17/19 | U.S. Dollars | 1,113,054 | Chilean Pesos | 772,248,232 | CITI | (26,895) | ||||||
07/02/19 | U.S. Dollars | 1,174,656 | Brazilian Reals | 4,618,817 | MSCS | (28,177) | ||||||
07/16/19 | U.S. Dollars | 3,822,248 | Euro | 3,383,848 | RBC | (30,795) | ||||||
07/16/19 | U.S. Dollars | 6,301,227 | Norwegian Kroner | 54,009,083 | SC | (33,368) | ||||||
07/16/19 | U.S. Dollars | 1,715,802 | Polish Zloty | 6,531,149 | GSC | (34,260) | ||||||
07/16/19 | U.S. Dollars | 6,799,103 | Mexican Pesos | 131,562,191 | CITI | (36,916) | ||||||
07/16/19 | U.S. Dollars | 7,203,448 | Norwegian Kroner | 61,742,192 | JPM | (38,447) | ||||||
07/16/19 | New Zealand Dollars | 6,750,549 | U.S. Dollars | 4,575,296 | SS | (38,548) | ||||||
07/16/19 | U.S. Dollars | 1,123,002 | South African Rand | 16,396,955 | GSC | (38,770) | ||||||
07/16/19 | U.S. Dollars | 2,084,757 | New Zealand Dollars | 3,161,971 | GSC | (40,265) | ||||||
07/16/19 | Swedish Kronor | 58,956,061 | U.S. Dollars | 6,395,754 | SC | (41,498) | ||||||
07/16/19 | U.S. Dollars | 1,009,294 | Brazilian Reals | 4,050,298 | CITI | (43,885) | ||||||
07/16/19 | U.S. Dollars | 1,180,684 | Czech Republic Koruna | 27,374,150 | GSC | (43,914) | ||||||
07/30/19 | U.S. Dollars | 1,398,161 | Russian Rubles | 91,660,616 | MSCS | (45,872) | ||||||
07/16/19 | New Zealand Dollars | 11,777,037 | U.S. Dollars | 7,961,909 | CITI | (47,080) | ||||||
07/16/19 | U.S. Dollars | 2,411,764 | Canadian Dollars | 3,214,519 | SC | (48,171) | ||||||
07/16/19 | U.S. Dollars | 2,673,536 | Canadian Dollars | 3,563,556 | RBC | (48,735) | ||||||
07/16/19 | U.S. Dollars | 3,060,408 | Japanese Yen | 336,204,021 | SC | (60,800) | ||||||
07/16/19 | U.S. Dollars | 5,332,490 | Norwegian Kroner | 46,023,798 | GSC | (65,755) | ||||||
07/01/19 | U.S. Dollars | 2,969,369 | South African Rand | 42,780,675 | MSCS | (67,952) | ||||||
07/16/19 | U.S. Dollars | 4,163,450 | Swiss Francs | 4,128,914 | RBC | (72,756) | ||||||
07/16/19 | Swedish Kronor | 100,239,643 | U.S. Dollars | 10,883,665 | RBC | (75,530) | ||||||
07/16/19 | U.S. Dollars | 5,072,516 | Swiss Francs | 5,029,603 | SC | (86,051) | ||||||
07/16/19 | U.S. Dollars | 5,437,135 | Swiss Francs | 5,388,826 | JPM | (91,723) | ||||||
07/16/19 | U.S. Dollars | 7,105,206 | Australian Dollars | 10,253,294 | CITI | (97,330) | ||||||
07/16/19 | U.S. Dollars | 4,753,179 | Japanese Yen | 526,901,776 | JPM | (140,169) | ||||||
07/16/19 | U.S. Dollars | 9,183,694 | Norwegian Kroner | 79,498,061 | CITI | (140,831) | ||||||
07/16/19 | New Zealand Dollars | 44,630,064 | U.S. Dollars | 30,142,699 | GSC | (148,795) | ||||||
07/16/19 | U.S. Dollars | 6,858,720 | Canadian Dollars | 9,181,511 | CITI | (155,219) | ||||||
07/16/19 | U.S. Dollars | 7,007,364 | Canadian Dollars | 9,380,110 | GSC | (158,288) | ||||||
07/16/19 | U.S. Dollars | 8,823,550 | Swedish Kronor | 83,310,344 | CITI | (159,218) | ||||||
07/16/19 | U.S. Dollars | 28,503,361 | Euro | 25,173,471 | GSC | (160,599) | ||||||
07/16/19 | U.S. Dollars | 10,871,643 | Canadian Dollars | 14,489,672 | JPM | (197,305) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/19 | U.S. Dollars | 7,747,486 | Swedish Kronor | 73,729,566 | SS | $(202,254) | ||||||
07/16/19 | U.S. Dollars | 36,347,330 | Euro | 32,108,706 | SS | (213,486) | ||||||
07/16/19 | U.S. Dollars | 23,258,473 | Euro | 20,617,048 | CITI | (217,282) | ||||||
07/16/19 | U.S. Dollars | 13,941,516 | Swiss Francs | 13,816,739 | SS | (234,259) | ||||||
07/16/19 | British Pounds | 7,245,142 | U.S. Dollars | 9,449,312 | CITI | (240,693) | ||||||
07/16/19 | U.S. Dollars | 14,937,790 | Japanese Yen | 1,635,311,438 | GSC | (249,384) | ||||||
07/16/19 | U.S. Dollars | 19,842,227 | Norwegian Kroner | 171,305,009 | SS | (250,563) | ||||||
07/16/19 | U.S. Dollars | 9,394,237 | Japanese Yen | 1,040,188,090 | RBC | (266,013) | ||||||
07/16/19 | U.S. Dollars | 16,120,987 | Swiss Francs | 15,976,012 | GSC | (270,171) | ||||||
07/16/19 | British Pounds | 6,699,645 | U.S. Dollars | 8,799,349 | RBC | (284,059) | ||||||
07/16/19 | Swedish Kronor | 474,588,971 | U.S. Dollars | 51,496,926 | SS | (325,338) | ||||||
07/16/19 | U.S. Dollars | 15,859,111 | Swiss Francs | 15,793,478 | CITI | (344,769) | ||||||
07/16/19 | British Pounds | 9,084,992 | U.S. Dollars | 11,928,981 | SS | (381,900) | ||||||
07/16/19 | U.S. Dollars | 17,920,606 | Japanese Yen | 1,974,145,375 | CITI | (413,325) | ||||||
07/16/19 | U.S. Dollars | 16,660,319 | Japanese Yen | 1,842,098,152 | SS | (447,287) | ||||||
07/16/19 | U.S. Dollars | 27,781,377 | Canadian Dollars | 37,017,784 | SS | (497,244) | ||||||
07/16/19 | Australian Dollars | 59,411,994 | U.S. Dollars | 42,381,664 | GSC | (647,074) | ||||||
07/16/19 | British Pounds | 16,018,571 | U.S. Dollars | 21,056,011 | JPM | (696,309) | ||||||
Subtotal Depreciation | $(9,189,141) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2019 | $501,101 |
Reference Obligation | Payment Frequency | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Currency Swaps | ||||||||||||||||
Receive 3-Month LIBOR | Quarterly | USD | 420,000 | |||||||||||||
Pay Fixed 18.60% | Annually | 12/18/2024 | CITI | TRY | 2,484,300 | $(43,411) | $ — | $(43,411) | ||||||||
Receive 3-Month LIBOR | Quarterly | USD | 420,000 | |||||||||||||
Pay Fixed 19.55% | Annually | 12/18/2024 | DEUT | TRY | 2,538,900 | (57,084) | — | (57,084) | ||||||||
$(100,495) | $ — | $(100,495) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day COP-IBR-OIS (Quarterly) | 4.75% (Quarterly) | 6/20/2020 | MSCS | COP | 10,392,325,000 | $22,874 | $10,942 | $11,932 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | BNP | THB | 147,930,000 | 19,009 | 1,633 | 17,376 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | MSCS | THB | 112,150,000 | 14,411 | 294 | 14,117 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | BOA | THB | 105,090,000 | 13,504 | 698 | 12,806 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | BNP | THB | 224,180,000 | 28,832 | 4,640 | 24,192 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | DEUT | THB | 55,870,000 | 7,185 | — | 7,185 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2021 | MSCS | THB | 55,250,000 | 7,106 | 341 | 6,765 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/20/2021 | BNP | THB | 64,360,000 | 8,430 | (161) | 8,591 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/20/2021 | MSCS | THB | 49,950,000 | $6,543 | $(139) | $6,682 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/20/2021 | CITI | THB | 28,930,000 | 3,790 | — | 3,790 | ||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 9/18/2021 | CITI | THB | 51,800,000 | (382) | (1,325) | 943 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2024 | BOA | THB | 37,830,000 | 6,616 | (1,814) | 8,430 | ||||||||
6-Month THB FIX (Semiannually) | 1.75% (Semiannually) | 6/19/2024 | CITI | THB | 18,940,000 | 3,313 | (349) | 3,662 | ||||||||
3-Month TELBOR (Quarterly) | 1.75% (Annually) | 12/18/2029 | DEUT | ILS | 2,540,000 | 8,407 | 352 | 8,055 | ||||||||
3-Month TELBOR (Quarterly) | 1.75% (Annually) | 12/18/2029 | CITI | ILS | 2,230,000 | 7,381 | 1,254 | 6,127 | ||||||||
Subtotal Appreciation | $157,019 | $16,366 | $140,653 | |||||||||||||
6-Month THB FIX (Semiannually) | 1.50% (Semiannually) | 9/18/2021 | BOA | THB | 51,620,000 | $(380) | $137 | $(517) | ||||||||
Subtotal Depreciation | $(380) | $137 | $(517) | |||||||||||||
Net Interest Rate Swaps outstanding at June 30, 2019 | $156,639 | $16,503 | $140,136 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 7.25% (Monthly) | 1/2/2020 | BRL | 15,471,421 | $41,822 | $10,966 | $30,856 | |||||||
8.36% (Monthly) | 28-Day Mexico Interbank TIIE (Monthly) | 3/18/2020 | MXN | 308,300,000 | (1,713) | (1,794) | 81 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Monthly) | 8.00% (Monthly) | 1/4/2021 | BRL | 3,133,638 | 31,216 | 1,055 | 30,161 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 5.00% (Quarterly) | 3/20/2021 | COP | 15,447,025,000 | 77,537 | 2,128 | 75,409 | |||||||
1-Day MIBOR (Semiannually) | 6.75% (Semiannually) | 3/20/2021 | INR | 306,480,000 | 94,856 | 50,396 | 44,460 | |||||||
3-Month KORIBOR (Quarterly) | 1.75% (Quarterly) | 3/20/2021 | KRW | 21,079,270,000 | 74,726 | (8,672) | 83,398 | |||||||
6-Month CLP-TNA (Semiannually) | 3.60% (Semiannually) | 3/20/2021 | CLP | 1,566,750,000 | 55,438 | 6,094 | 49,344 | |||||||
6-Month THBFIX (Semiannually) | 1.75% (Semiannually) | 3/20/2021 | THB | 52,420,000 | 6,736 | 345 | 6,391 | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 1.95% (Annually) | 6/15/2021 | USD | 25,000,000 | 202,589 | 2,880 | 199,709 | |||||||
3-Month KORIBOR (Quarterly) | 1.75% (Quarterly) | 6/19/2021 | KRW | 31,869,900,000 | 142,438 | 34,842 | 107,596 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.60% (Lunar) | 9/15/2021 | MXN | 29,760,000 | 7,921 | 77 | 7,844 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2021 | USD | 2,020,000 | 7,802 | 6,156 | 1,646 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 4.40% (Quarterly) | 9/18/2021 | COP | 5,648,250,000 | 9,166 | 246 | 8,920 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.50% (Semiannually) | 9/18/2021 | NZD | 34,700,000 | 83,957 | 50,897 | 33,060 | |||||||
6-Month PRIBOR (Semiannually) | 2.20% (Annually) | 9/18/2021 | CZK | 164,520,000 | 44,196 | 22,289 | 21,907 | |||||||
1-Day CLP-TNA (Semiannually) | 3.15% (Semiannually) | 9/23/2021 | CLP | 381,250,000 | 9,136 | 8,914 | 222 | |||||||
3-Month JIBAR (Quarterly) | 6.75% (Quarterly) | 12/18/2021 | ZAR | 78,320,000 | 4,476 | (3,452) | 7,928 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.50% (Lunar) | 9/14/2022 | MXN | 11,150,000 | 4,778 | 156 | 4,622 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.85% (Upon termination) | 1/2/2023 | BRL | 3,163,113 | 8,918 | — | 8,918 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.90% (Upon termination) | 1/2/2023 | BRL | 2,569,105 | 34,757 | (3,650) | 38,407 | |||||||
1.39% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 11/30/2023 | USD | 6,940,000 | 19,154 | 17,241 | 1,913 |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
5.75% (Semiannually) | 1-Day MIBOR (Semiannually) | 6/19/2024 | INR | 21,200,000 | $(1,054) | $(1,093) | $39 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 3.00% (Quarterly) | 6/19/2024 | CNY | 10,610,000 | 6,869 | (1,698) | 8,567 | |||||||
3-Month CDOR (Semiannually) | 2.75% (Semiannually) | 9/18/2024 | CAD | 14,980,000 | 574,531 | 561,006 | 13,525 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/18/2024 | EUR | 23,840,000 | 976,886 | 849,016 | 127,870 | |||||||
1.51% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 4/30/2026 | USD | 7,070,000 | 22,585 | — | 22,585 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/18/2026 | GBP | 1,630,000 | (75,447) | (77,025) | 1,578 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 9/18/2026 | AUD | 3,130,000 | 54,604 | 30,796 | 23,808 | |||||||
6-Month LIBOR (Semiannually) | 1.05% (Annually) | 8/7/2028 | CHF | 4,280,000 | 241,621 | 37,675 | 203,946 | |||||||
12-Month SONIO (Annually) | 1.10% (Annually) | 10/22/2028 | GBP | 1,500,000 | 55,161 | (3,338) | 58,499 | |||||||
3-Month LIBOR (Quarterly) | 2.80% (Semiannually) | 2/12/2029 | USD | 5,710,000 | 169,058 | 43,513 | 125,545 | |||||||
6-Month EURIBOR (Semiannually) | 1.20% (Annually) | 2/12/2029 | EUR | 5,580,000 | 218,472 | 68,216 | 150,256 | |||||||
6-Month EURIBOR (Semiannually) | 1.20% (Annually) | 2/21/2029 | EUR | 4,280,000 | 166,507 | 74,438 | 92,069 | |||||||
3-Month LIBOR (Quarterly) | 2.50% (Semiannually) | 5/20/2029 | USD | 19,960,000 | 301,320 | 103,542 | 197,778 | |||||||
3.00% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 6/19/2029 | AUD | 3,910,000 | (128,192) | (134,172) | 5,980 | |||||||
3.25% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 6/19/2029 | NZD | 1,720,000 | (56,432) | (56,933) | 501 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/18/2029 | KRW | 572,190,000 | 8,249 | 4,883 | 3,366 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/18/2029 | GBP | 1,510,000 | (82,400) | (85,107) | 2,707 | |||||||
1.75% (Quarterly) | 3-Month HIBOR (Quarterly) | 9/18/2029 | HKD | 1,650,000 | 1,821 | 1,592 | 229 | |||||||
1.80% (Annually) | 6-Month NIBOR (Semiannually) | 9/18/2029 | NOK | 6,590,000 | 3,593 | 2,433 | 1,160 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 5.95% (Quarterly) | 9/18/2029 | COP | 3,391,175,000 | 53,744 | 3,634 | 50,110 | |||||||
3-Month JIBAR (Quarterly) | 8.78% (Quarterly) | 9/18/2029 | ZAR | 40,340,000 | 3,309 | (4,710) | 8,019 | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 9/18/2029 | EUR | 2,270,000 | 208,191 | 175,823 | 32,368 | |||||||
1-Day CLP-TNA (Semiannually) | 3.30% (Semiannually) | 9/23/2029 | CLP | 136,910,000 | (451) | (650) | 199 | |||||||
3-Month JIBAR (Quarterly) | 8.00% (Quarterly) | 12/18/2029 | ZAR | 2,440,000 | 2,353 | (311) | 2,664 | |||||||
6-Month BUBOR (Semiannually) | 2.50% (Annually) | 12/18/2029 | HUF | 228,540,000 | 33,753 | 11,235 | 22,518 | |||||||
1.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/15/2049 | EUR | 320,000 | (19,378) | (19,378) | — | |||||||
6-Month LIBOR (Semiannually) | 1.75% (Semiannually) | 6/15/2049 | GBP | 240,000 | 10,978 | 10,978 | — | |||||||
Subtotal Appreciation | $3,710,157 | $1,791,479 | $1,918,678 | |||||||||||
0.73% (Annually) | 1-Day SONIO (Annually) | 11/7/2019 | GBP | 22,980,000 | $(1,361) | $ — | $(1,361) | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/20/2021 | USD | 14,520,000 | (398,848) | (95,569) | (303,279) | |||||||
1.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2021 | USD | 16,920,000 | (17,454) | 8,753 | (26,207) | |||||||
3-Month KWCDC (Quarterly) | 1.25% (Quarterly) | 9/18/2021 | KRW | 5,318,490,000 | (16,755) | (8,684) | (8,071) | |||||||
6-Month BUBOR (Semiannually) | 0.80% (Annually) | 12/18/2021 | HUF | 969,770,000 | (1,628) | — | (1,628) | |||||||
2.13% (Annually) | 6-Month PRIBOR (Semiannually) | 9/18/2022 | CZK | 28,680,000 | (13,637) | — | (13,637) | |||||||
1.10% (Annually) | 6-Month SONIA (Annually) | 8/1/2023 | GBP | 950,000 | (25,455) | (11,754) | (13,701) | |||||||
1.88% (Annually) | 6-Month PRIBOR (Semiannually) | 9/18/2023 | CZK | 84,825,000 | (27,971) | 12,442 | (40,413) | |||||||
3-Month TAIBOR (Quarterly) | 0.75% (Quarterly) | 6/19/2024 | TWD | 211,890,000 | 12,025 | 14,312 | (2,287) | |||||||
0.25% (Annually) | 3-Month STIBOR (Quarterly) | 9/18/2024 | SEK | 202,870,000 | (140,671) | (88,452) | (52,219) | |||||||
2.00% (Annually) | 6-Month PRIBOR (Semiannually) | 9/18/2024 | CZK | 17,590,000 | (14,049) | — | (14,049) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2024 | USD | 11,130,000 | (144,026) | (115,829) | (28,197) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 3/22/2028 | JPY | 679,200,000 | 138,634 | 144,878 | (6,244) | |||||||
1.90% (Semiannually) | 6-Month LIBOR (Semiannually) | 8/3/2028 | GBP | 2,840,000 | (130,750) | (33,032) | (97,718) | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/12/2029 | GBP | 8,880,000 | (176,232) | (47,536) | (128,696) | |||||||
2.30% (Annually) | 6-Month NIBOR (Semiannually) | 2/21/2029 | NOK | 47,180,000 | (94,623) | (23,092) | (71,531) | |||||||
0.90% (Annually) | 6-Month EURIBOR (Semiannually) | 5/20/2029 | EUR | 19,860,000 | (383,193) | (116,431) | (266,762) | |||||||
1.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2029 | EUR | 6,650,000 | (352,502) | (344,872) | (7,630) | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/19/2029 | KRW | 1,685,000,000 | (8,594) | 5,694 | (14,288) | |||||||
2.00% (Quarterly) | 3-Month HIBOR (Quarterly) | 6/19/2029 | HKD | 4,410,000 | (7,903) | (2,865) | (5,038) | |||||||
3-Month KWCDC (Quarterly) | 1.75% (Quarterly) | 6/19/2029 | KRW | 1,533,640,000 | 17,582 | 20,384 | (2,802) | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 6/19/2029 | USD | 1,870,000 | 68,700 | 68,844 | (144) |
Table of Contents
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6-Month LIBOR (Semiannually) | 1.75% (Semiannually) | 6/19/2029 | GBP | 740,000 | $24,306 | $24,306 | $ — | |||||||
7.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/5/2029 | MXN | 7,475,000 | (5,408) | (423) | (4,985) | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 9/18/2029 | SEK | 7,340,000 | (14,208) | (8,934) | (5,274) | |||||||
3.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/18/2029 | USD | 1,370,000 | (131,889) | (121,957) | (9,932) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 9/18/2029 | AUD | 3,500,000 | 94,334 | 99,803 | (5,469) | |||||||
6-Month SGD SOR (Semiannually) | 2.00% (Semiannually) | 9/18/2029 | SGD | 670,000 | 622 | 2,559 | (1,937) | |||||||
6-Month WIBOR (Semiannually) | 2.99% (Annually) | 9/18/2029 | PLN | 6,670,000 | 43,747 | 49,135 | (5,388) | |||||||
1.75% (Annually) | 6-Month PRIBOR (Semiannually) | 12/18/2029 | CZK | 43,890,000 | (31,698) | (419) | (31,279) | |||||||
2.50% (Annually) | 6-Month WIBOR (Semiannually) | 12/18/2029 | PLN | 5,410,000 | (43,869) | (13,464) | (30,405) | |||||||
1.40% (Annually) | 12-Month SONIO (Annually) | 9/7/2034 | GBP | 1,440,000 | (133,037) | (37,343) | (95,694) | |||||||
1.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2039 | EUR | 1,630,000 | (102,331) | (102,029) | (302) | |||||||
3-Month LIBOR (Quarterly) | 3.00% (Semiannually) | 6/20/2039 | USD | 1,660,000 | 70,341 | 73,267 | (2,926) | |||||||
3-Month LIBOR (Quarterly) | 2.75% (Semiannually) | 6/15/2049 | USD | 430,000 | 11,226 | 11,660 | (434) | |||||||
Subtotal Depreciation | $(1,936,575) | $(636,648) | $(1,299,927) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2019 | $1,773,582 | $1,154,831 | $618,751 |
Reference Obligation | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Total Return Swaps | ||||||||||||||
Receive 1-Month LIBOR - 0.40%; Pay Suncoke Energy, Inc. | 8/13/2019 | CITI | USD | 305,508 | $36,011 | $ — | $36,011 | |||||||
Receive AmeriGas Partners LP; Pay 1-Month LIBOR + 0.75% | 8/13/2019 | CITI | USD | 900,196 | 22,477 | — | 22,477 | |||||||
Receive Dominion Resources, Inc.; Pay 1-Month LIBOR + 0.45% | 8/13/2019 | CITI | USD | 5,799 | 377 | — | 377 | |||||||
Receive Enbridge, Inc.; Pay 1-Month LIBOR + 0.45% | 8/13/2019 | CITI | USD | 1,063,566 | 142,029 | — | 142,029 | |||||||
Receive Enbridge, Inc.; Pay 1-Month LIBOR + 0.45% | 8/13/2019 | CITI | USD | 3,247 | 181 | — | 181 | |||||||
Republic of Columbia 6.25% Maturity 11/26/2025 | 8/14/2019 | DEUT | COP | 1,862 | — | — | — | |||||||
Subtotal Appreciation | $201,075 | $ — | $201,075 | |||||||||||
Receive 1-Month LIBOR - 0.40%; Pay UGI Corporation | 8/13/2019 | CITI | USD | 690,057 | $(19,942) | $ — | $(19,942) | |||||||
Receive 1-Month LIBOR; Pay Enbridge, Inc. | 8/13/2019 | CITI | USD | 74,722 | (10,880) | — | (10,880) | |||||||
Receive Buckeye Partners LP; Pay 1-Month LIBOR + 0.75% | 8/13/2019 | CITI | USD | 1,556,616 | (846) | — | (846) | |||||||
Receive Suncoke Energy Partners LP; Pay 1-Month LIBOR + 0.75% | 8/13/2019 | CITI | USD | 304,963 | (38,828) | — | (38,828) | |||||||
Republic of Columbia 11.00% Maturity 7/24/2020 | 8/14/2019 | BOA | COP | 5,609,300,000 | (2,281) | — | (2,281) | |||||||
Subtotal Depreciation | $(72,777) | $ — | $(72,777) | |||||||||||
Net Total Return Swaps outstanding at June 30, 2019 | $128,298 | $ — | $128,298 |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $10,962,288 | $— | $10,962,288 | $— | |||
Common Stocks | 75,060,907 | 75,060,907 | — | — | |||
Corporate Bonds | 115,716,390 | — | 115,716,390 | — | |||
Foreign Bonds | 16,279,784 | — | 16,279,784 | — | |||
Foreign Common Stocks | 7,083,284 | 7,083,284 | — | — | |||
Loan Agreements | 4,799,772 | — | 4,799,772 | — | |||
Money Market Funds | 82,184,505 | 82,184,505 | — | — | |||
Mortgage-Backed Securities | 6,195,045 | — | 6,195,045 | — | |||
Purchased Option: | |||||||
Put Option | 75,075 | 75,075 | — | — | |||
U.S. Treasury Obligations | 83,745,045 | — | 83,745,045 | — | |||
Total Assets - Investments in Securities | $402,102,095 | $164,403,771 | $237,698,324 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $9,690,242 | $— | $9,690,242 | $— | |||
Futures Contracts | 447,203 | 447,203 | — | — | |||
Swap Agreements | 2,260,406 | — | 2,260,406 | — | |||
Total Assets - Other Financial Instruments | $12,397,851 | $447,203 | $11,950,648 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $(26,730,463) | $(26,730,463) | $— | $— | |||
Foreign Common Stocks Sold Short | (3,630,019) | (3,630,019) | — | — | |||
Mutual Funds Sold Short | (12,580,056) | (12,580,056) | — | — | |||
Written Options: | |||||||
Call Options | (179,913) | (179,913) | — | — | |||
Put Options | (170,262) | (170,262) | — | — | |||
Total Written Options | (350,175) | (350,175) | — | — | |||
Total Liabilities - Investments in Securities | $(43,290,713) | $(43,290,713) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(9,189,141) | $— | $(9,189,141) | $— | |||
Futures Contracts | (745,381) | (745,381) | — | — | |||
Swap Agreements | (1,473,716) | — | (1,473,716) | — | |||
Total Liabilities - Other Financial Instruments | $(11,408,238) | $(745,381) | $(10,662,857) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forwards contracts and swap agreements, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding", "Forwards Foreign Currency Contracts outstanding" and "Swap agreements outstanding" disclosures. |
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2019 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $374,083,475 |
Investments in securities of affiliated issuers, at value | 28,018,620 |
Total investments, at value(1) | 402,102,095 |
Cash | 47,811,653 |
Cash collateral for derivatives | 4,605,938 |
Deposits with broker for futures contracts | 324,477 |
Foreign currency(2) | 1,785,563 |
Upfront premiums paid from swap agreements | 2,749,847 |
Receivables: | |
Dividends and reclaims | 52,313 |
Interest | 1,769,155 |
Investment securities sold | 12,416,496 |
Fund shares sold | 18,532 |
Variation margin on futures contracts | 32,251 |
Unrealized appreciation on foreign currency exchange contracts | 9,690,242 |
Unrealized appreciation on swap agreements | 341,728 |
Prepaid expenses and other assets | 13,725 |
Total Assets | 483,714,015 |
Liabilities | |
Securities sold short, at value(3) | 42,940,538 |
Options written, at value(4) | 350,175 |
Upfront premiums received from swap agreements | 1,578,513 |
Unrealized depreciation on foreign currency exchange contracts | 9,189,141 |
Unrealized depreciation on swap agreements | 173,789 |
Collateral held for derivatives | 4,612,844 |
Payables: | |
Investment securities purchased | 20,447,609 |
Dividends on short sales | 43,127 |
Fund shares redeemed | 8,470 |
Variation margin on centrally cleared swaps | 62,620 |
Accrued expenses: | |
Investment advisory fees | 289,308 |
Shareholder servicing fees | 11,032 |
Other expenses | 132,075 |
Total Liabilities | 79,839,241 |
Net Assets | $403,874,774 |
Net Assets Consist of: | |
Paid-in-capital | $398,599,135 |
Distributable earnings (loss) | 5,275,639 |
Net Assets | $403,874,774 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $349,688,044 |
Institutional shares outstanding | 34,293,606 |
Net asset value, offering and redemption price per Institutional share | $10.20 |
Net assets applicable to the Investor Class | $54,186,730 |
Investor shares outstanding | 5,323,414 |
Net asset value, offering and redemption price per Investor share | $10.18 |
(1)Investments in securities of unaffiliated issuers, at cost | $370,586,131 |
Investments in securities of affiliated issuers, at cost | 28,018,620 |
Total investments, at cost | $398,604,751 |
(2)Foreign currency, at cost | $1,831,471 |
(3)Proceeds from securities sold short | $42,405,336 |
(4)Premiums received on options written | $594,350 |
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STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2019 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $613,291 |
Income distributions received from affiliated funds | 178,220 |
Interest | 4,892,847 |
Less foreign taxes withheld | (1,089) |
Total Investment Income | 5,683,269 |
Expenses | |
Investment advisory fees | 1,721,070 |
Transfer agent fees: | |
Institutional shares | 2,158 |
Investor shares | 7,253 |
Custodian fees | 198,789 |
Shareholder servicing fees: | |
Investor shares | 73,841 |
Accounting and administration fees | 38,442 |
Professional fees | 34,765 |
Blue sky fees: | |
Institutional shares | 4,773 |
Investor shares | 4,229 |
Shareholder reporting fees: | |
Institutional shares | 10,660 |
Investor shares | 7,814 |
Trustees expenses | 1,397 |
Line of credit facility fees and interest expense | 5,707 |
Dividends on securities sold short | 210,663 |
Other expenses | 4,357 |
Total Expenses | 2,325,918 |
Net Investment Income | 3,357,351 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 1,867,333 |
Investment securities sold short | (1,751,501) |
Futures transactions | (361,646) |
Swap agreements | 420,580 |
Option contracts written | 2,347,743 |
Option contracts purchased | (724,292) |
Forward foreign currency contracts | (369,895) |
Foreign currency | 149,926 |
Net realized gain | 1,578,248 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 9,249,087 |
Investment securities sold short | (2,694,486) |
Futures | 139,884 |
Swap agreements | 503,302 |
Option contracts written | 145,192 |
Option contracts purchased | (294,673) |
Forward foreign currency contracts | 905,869 |
Foreign currency | (81,744) |
Net change in unrealized appreciation (depreciation) | 7,872,431 |
Net Realized and Unrealized Gain | 9,450,679 |
Net Increase in Net Assets Resulting from Operations | $12,808,030 |
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STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/19 | 12/31/18 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 3,357,351 | $7,301,918 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 1,578,248 | (3,222,245) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 7,872,431 | (4,164,335) | |
Net increase (decrease) in net assets resulting from operations | 12,808,030 | (84,662) | |
Distributions to Shareholders: | |||
Institutional shares | — | (6,830,775) | |
Investor shares | — | (1,229,603) | |
Total distributions | — | (8,060,378) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 27,631,875 | 35,043,876 | |
Investor shares | 5,769,246 | 24,057,205 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 6,830,607 | |
Investor shares | — | 1,225,449 | |
Total proceeds from shares sold and reinvested | 33,401,121 | 67,157,137 | |
Value of shares redeemed | |||
Institutional shares | (9,224,557) | (17,291,395) | |
Investor shares | (20,166,199) | (15,855,027) | |
Total value of shares redeemed | (29,390,756) | (33,146,422) | |
Net increase from capital share transactions(1) | 4,010,365 | 34,010,715 | |
Total increase in net assets | 16,818,395 | 25,865,675 | |
Net Assets: | |||
Beginning of Period | 387,056,379 | 361,190,704 | |
End of Period | $403,874,774 | $387,056,379 |
(1) | See Note 6 in Notes to Financial Statements. |
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FINANCIAL HIGHLIGHTS (Unaudited) |
For a Share Outstanding For the Years Ending December 31, unless otherwise indicated | Ratios to Average Net Assets | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions Paid | Net Asset Value, End of Period | Total Return | Net Assets, End of Period (000) | Expenses, Net(1) | Expenses, Gross(2) | Investment Income, Net(1) | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2019(3) | $9.87 | $0.09 | $0.24 | $0.33 | $— | $— | $— | $10.20 | 3.34% | $349,688 | 1.14% (4) | 1.14% (4) | 1.76% | 146% |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01 (4) | 1.02 (4) | 1.96 | 172 |
2017(5) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26 (4) | 1.28 (4) | 0.69 | 88 |
Investor Class | ||||||||||||||
2019(3) | $9.87 | $0.07 | $0.24 | $0.31 | $— | $— | $— | $10.18 | 3.14% | $54,187 | 1.43% (4) | 1.43% (4) | 1.45% | 146% |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36 (4) | 1.37 (4) | 1.65 | 172 |
2017(5) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63 (4) | 1.65 (4) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | The ratio includes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were excluded, the ratio would have been higher (lower), respectively, than the ratio shown. |
(2) | The ratio excludes expenses waived/reimbursed net of amount recaptured and fees paid indirectly, where applicable; if expenses waived/reimbursed net of amount recaptured and fees paid indirectly were included, the ratio would have been lower than the ratio shown. |
(3) | For the six months ended June 30, 2019. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | The ratio for the Strategic Alternatives Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.11%, 0.14% and 0.05% for the period ended December 31, 2017, for the year 2018 and for the six months ended June 30, 2019. |
(5) | Inception date was June 30, 2017. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
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Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $123,000,000 | $(123,000,000) | $— | $— | ||||
BNP Paribas | 110,000,000 | (110,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 21,000,000 | (21,000,000) | — | — | ||||
Goldman Sachs & Co. | 43,000,000 | (43,000,000) | — | — | ||||
HSBC Securities USA, Inc. | 5,000,000 | (5,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 49,000,000 | (49,000,000) | — | — | ||||
Natixis S.A. | 26,000,000 | (26,000,000) | — | — | ||||
TD Securities USA LLC | 79,000,000 | (79,000,000) | — | — | ||||
Total Repurchase Agreements | $486,000,000 | $(486,000,000) | $— | $— |
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Fund | Assets | Liabilities | ||
MyDestination 2015 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $10,135 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,135 | — | ||
Derivatives not subject to an MA or similar agreement | 10,135 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
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Fund | Assets | Liabilities | ||
MyDestination 2025 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $54,497 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 54,497 | — | ||
Derivatives not subject to an MA or similar agreement | 54,497 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $54,169 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 54,169 | — | ||
Derivatives not subject to an MA or similar agreement | 54,169 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $50,784 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 50,784 | — | ||
Derivatives not subject to an MA or similar agreement | 50,784 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $15,172 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 15,172 | — | ||
Derivatives not subject to an MA or similar agreement | 15,172 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Conservative Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $5,460 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,460 | — | ||
Derivatives not subject to an MA or similar agreement | 5,460 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $66,992 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 66,992 | — | ||
Derivatives not subject to an MA or similar agreement | 66,992 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $88,755 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 88,755 | — | ||
Derivatives not subject to an MA or similar agreement | 88,755 | — | ||
Total assets and liabilities subject to an MA | $— | $— |
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Fund | Assets | Liabilities | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $76,325 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 76,325 | — | ||
Derivatives not subject to an MA or similar agreement | 76,325 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $2,446 | ||
Forward foreign exchange contracts | 31,296 | 466,666 | ||
Options | 273 | 74,642 | ||
Swap agreements | — | 13,531 | ||
Centrally cleared swaps | — | 458,083 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 31,569 | 1,015,368 | ||
Derivatives not subject to an MA or similar agreement | — | 460,528 | ||
Total assets and liabilities subject to an MA | $31,569 | $554,840 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $192,076 | ||
Forward foreign exchange contracts | 1,616,263 | 1,643,104 | ||
Options | 723,602 | 1,018,633 | ||
Centrally cleared swaps | 3,529 | — | ||
Swap agreements | 1,219,214 | 364,616 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,562,608 | 3,218,429 | ||
Derivatives not subject to an MA or similar agreement | 675,228 | 1,354,692 | ||
Total assets and liabilities subject to an MA | $2,887,380 | $1,863,737 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $11,920 | ||
Forward foreign exchange contracts | 1,497,717 | 164,898 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,497,717 | 176,818 | ||
Derivatives not subject to an MA or similar agreement | — | 11,920 | ||
Total assets and liabilities subject to an MA | $1,497,717 | $164,898 | ||
Defensive Market Strategies | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $— | $103,075 | ||
Forward foreign exchange contracts | 10,262 | 26,242 | ||
Options | — | 845,243 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,262 | 974,560 | ||
Derivatives not subject to an MA or similar agreement | 10,262 | 974,560 | ||
Total assets and liabilities subject to an MA | $— | $— | ||
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Fund | Assets | Liabilities | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $259,599 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 259,599 | — | ||
Derivatives not subject to an MA or similar agreement | 259,599 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $153,466 | $— | ||
Forward foreign currency contracts | 8,289 | 286,727 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 161,755 | 286,727 | ||
Derivatives not subject to an MA or similar agreement | 161,755 | 286,727 | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $266,000 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 266,000 | — | ||
Derivatives not subject to an MA or similar agreement | 266,000 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $224,900 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 224,900 | — | ||
Derivatives not subject to an MA or similar agreement | 224,900 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $148,320 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 148,320 | — | ||
Derivatives not subject to an MA or similar agreement | 148,320 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $700,676 | $— | ||
Forward foreign exchange contracts | 2,097,262 | 2,826,838 | ||
Swap agreements | 298,346 | 211,071 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,096,284 | 3,037,909 | ||
Derivatives not subject to an MA or similar agreement | 700,676 | 29,208 | ||
Total assets and liabilities subject to an MA | $2,395,608 | $3,008,701 | ||
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Fund | Assets | Liabilities | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $3,155 | $— | ||
Forward foreign exchange contracts | 1,870,754 | 2,465,675 | ||
Swap agreements | 96,917 | 16,122 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,970,826 | 2,481,797 | ||
Derivatives not subject to an MA or similar agreement | 3,155 | — | ||
Total assets and liabilities subject to an MA | $1,967,671 | $2,481,797 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $113,522 | $— | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 113,522 | — | ||
Derivatives not subject to an MA or similar agreement | 113,522 | — | ||
Total assets and liabilities subject to an MA | $— | $— | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $32,251 | $— | ||
Forward foreign exchange contracts | 9,690,242 | 9,189,141 | ||
Options | 75,075 | 350,175 | ||
Centrally cleared swaps | — | 62,620 | ||
Swap agreements | 341,728 | 173,789 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 10,139,296 | 9,775,725 | ||
Derivatives not subject to an MA or similar agreement | 107,326 | 412,795 | ||
Total assets and liabilities subject to an MA | $10,031,970 | $9,362,930 |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an MA | Derivative Liabilities Subject to an MA | Value of Derivatives Subject to an MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $24,496 | $(159,722) | $(135,226) | $13,531 | $(121,695) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 7,073 | (395,118) | (388,045) | — | (388,045) | |||||
Total Derivatives | $31,569 | $(554,840) | $(523,271) | $13,531 | $(509,740) | |||||
Table of Contents
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an MA | Derivative Liabilities Subject to an MA | Value of Derivatives Subject to an MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $357,589 | $(124,481) | $233,108 | $— | $233,108 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 1,185,121 | (1,398,615) | (213,494) | (14,847) | (228,341) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,344,670 | (340,641) | 1,004,029 | — | 1,004,029 | |||||
Total Derivatives | $2,887,380 | $(1,863,737) | $1,023,643 | $(14,847) | $1,008,796 | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
CITI | $1,141,422 | $(97,236) | $1,044,186 | $— | $1,044,186 | |||||
BAR | 356,295 | (67,662) | 288,633 | — | 288,633 | |||||
Total Derivatives | $1,497,717 | $(164,898) | $1,332,819 | $— | $1,332,819 | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $2,395,608 | $(3,008,701) | $(613,093) | $613,093 | $— | |||||
Total Derivatives | $2,395,608 | $(3,008,701) | $(613,093) | $613,093 | $— | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
CITI | $1,870,755 | $(2,448,083) | $(577,328) | $— | $(577,328) | |||||
Other Counterparties* | 96,916 | (16,121) | 80,795 | (80,795) | — | |||||
1,967,671 | (2,464,204) | (496,533) | (80,795) | (577,328) | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (17,593) | (17,593) | — | (17,593) | |||||
Total Derivatives | $1,967,671 | $(2,481,797) | $(514,126) | $(80,795) | $(594,921) | |||||
Strategic Alternatives | ||||||||||
Sub-adviser A | ||||||||||
RBC | $314,621 | $(778,775) | $(464,154) | $260,000 | $(204,154) | |||||
Other Counterparties* | 8,732,418 | (8,006,525) | 725,893 | (681,370) | 44,523 | |||||
9,047,039 | (8,785,300) | 261,739 | (421,370) | (159,631) | ||||||
Sub-adviser B | ||||||||||
Other Counterparties* | 783,856 | (507,134) | 276,722 | (249,361) | 27,361 | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 201,075 | (70,496) | 130,579 | — | 130,579 | |||||
Total Derivatives | $10,031,970 | $(9,362,930) | $669,040 | $(670,731) | $(1,691) |
Table of Contents
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* |
Asset Derivative Value | |||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
MyDestination 2015 | |||||||||
Futures | $132,706 | $77,169 | $— | $— | $55,537 | ||||
MyDestination 2025 | |||||||||
Futures | $440,562 | $174,623 | $— | $— | $265,939 | ||||
MyDestination 2035 | |||||||||
Futures | $355,719 | $73,375 | $— | $— | $282,344 | ||||
MyDestination 2045 | |||||||||
Futures | $300,639 | $30,317 | $— | $— | �� | $270,322 | |||
MyDestination 2055 | |||||||||
Futures | $80,113 | $5,512 | $— | $— | $74,601 | ||||
Conservative Allocation | |||||||||
Futures | $56,094 | $18,731 | $— | $— | $37,363 | ||||
Balanced Allocation | |||||||||
Futures | $653,814 | $272,066 | $— | $— | $381,748 | ||||
Growth Allocation | |||||||||
Futures | $603,071 | $116,447 | $— | $— | $486,624 | ||||
Aggressive Allocation | |||||||||
Futures | $395,949 | $— | $— | $— | $395,949 | ||||
Table of Contents
Asset Derivative Value | |||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Low-Duration Bond | |||||||||
Forwards | $31,296 | $— | $31,296 | $— | $— | ||||
Futures | 2,522,162 | 2,522,162 | — | — | — | ||||
Purchased Options | 273 | 273 | — | — | — | ||||
Swaps | 511,086 | 511,086 | — | — | — | ||||
Totals | $3,064,817 | $3,033,521 | $31,296 | $— | $— | ||||
Medium-Duration Bond | |||||||||
Forwards | $1,616,263 | $— | $1,616,263 | $— | $— | ||||
Futures | 14,802,579 | 14,802,579 | — | — | — | ||||
Purchased Options | 723,602 | 377,889 | 345,713 | — | — | ||||
Swaps | 7,366,623 | 6,687,182 | — | 679,441 | — | ||||
Totals | $24,509,067 | $21,867,650 | $1,961,976 | $679,441 | $— | ||||
Global Bond Fund | |||||||||
Forwards | $1,497,717 | $— | $1,497,717 | $— | $— | ||||
Futures | 4,352 | 4,352 | — | — | — | ||||
Totals | $1,502,069 | $4,352 | $1,497,717 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $10,262 | $— | $10,262 | $— | $— | ||||
Equity Index | |||||||||
Futures | $816,579 | $— | $— | $— | $816,579 | ||||
Value Equity | |||||||||
Forwards | $8,289 | $— | $8,289 | $— | $— | ||||
Futures | 570,352 | — | — | — | 570,352 | ||||
Totals | $578,641 | $— | $8,289 | $— | $570,352 | ||||
Growth Equity | |||||||||
Futures | $846,994 | $— | $— | $— | $846,994 | ||||
Small Cap Equity | |||||||||
Futures | $465,899 | $— | $— | $— | $465,899 | ||||
International Equity Index | |||||||||
Futures | $705,723 | $— | $— | $— | $705,723 | ||||
International Equity | |||||||||
Forwards | $2,097,262 | $— | $2,097,262 | $— | $— | ||||
Futures | 2,097,863 | — | — | — | 2,097,863 | ||||
Swaps | 298,346 | — | — | — | 298,346 | ||||
Totals | $4,493,471 | $— | $2,097,262 | $— | $2,396,209 | ||||
Emerging Markets Equity | |||||||||
Forwards | $1,870,754 | $— | $1,870,754 | $— | $— | ||||
Futures | 2,146,870 | — | — | — | 2,146,870 | ||||
Swaps | 96,917 | — | — | — | 96,917 | ||||
Totals | $4,114,541 | $— | $1,870,754 | $— | $2,243,787 |
Table of Contents
Asset Derivative Value | |||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Global Real Estate Securities | |||||||||
Futures | $216,503 | $— | $— | $— | $216,503 | ||||
Strategic Alternatives | |||||||||
Forwards | $9,690,242 | $— | $9,690,242 | $— | $— | ||||
Futures | 447,203 | 447,203 | — | — | — | ||||
Purchased Options | 75,075 | — | — | — | 75,075 | ||||
Swaps | 2,260,406 | 2,059,331 | — | — | 201,075 | ||||
Totals | $12,472,926 | $2,506,534 | $9,690,242 | $— | $276,150 |
Liability Derivative Value | |||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Low-Duration Bond | |||||||||
Forwards | $466,666 | $— | $466,666 | $— | $— | ||||
Futures | 2,373,350 | 2,373,350 | — | — | — | ||||
Written Options | 74,642 | — | — | — | 74,642 | ||||
Swaps | 3,290,634 | 3,180,581 | 110,053 | ||||||
Totals | $6,205,292 | $5,553,931 | $466,666 | $110,053 | $74,642 | ||||
Medium-Duration Bond | |||||||||
Forwards | $1,643,104 | $— | $1,643,104 | $— | $— | ||||
Futures | 3,151,046 | 3,151,046 | — | — | — | ||||
Written Options | 1,018,633 | 845,659 | 172,974 | — | — | ||||
Swaps | 22,099,795 | 21,980,954 | — | 118,841 | — | ||||
Totals | $27,912,578 | $25,977,659 | $1,816,078 | $118,841 | $— | ||||
Global Bond Fund | |||||||||
Forwards | $164,898 | $— | $164,898 | $— | $— | ||||
Futures | 476,832 | 476,832 | — | — | — | ||||
Totals | $641,730 | $476,832 | $164,898 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $26,242 | $— | $26,242 | $— | $— | ||||
Futures | 354,175 | — | — | — | 354,175 | ||||
Written Options | 845,243 | — | — | — | 845,243 | ||||
Totals | $1,225,660 | $— | $26,242 | $— | $1,199,418 | ||||
Value Equity | |||||||||
Forwards | $286,727 | $— | $286,727 | $— | $— | ||||
International Equity | |||||||||
Forwards | $2,826,838 | $— | $2,826,838 | $— | $— | ||||
Futures | 384,914 | — | — | — | 384,914 | ||||
Swaps | 211,071 | — | — | — | 211,071 | ||||
Totals | $3,422,823 | $— | $2,826,838 | $— | $595,985 | ||||
Table of Contents
Liability Derivative Value | |||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | ||||
Emerging Markets Equity | |||||||||
Forwards | $2,465,675 | $— | $2,465,675 | $— | $— | ||||
Futures | 206,102 | — | — | — | 206,102 | ||||
Swaps | 16,122 | — | — | — | 16,122 | ||||
Totals | $2,687,899 | $— | $2,465,675 | $— | $222,224 | ||||
Strategic Alternatives | |||||||||
Forwards | $9,189,141 | $— | $9,189,141 | $— | $— | ||||
Futures | 745,381 | 745,381 | — | — | — | ||||
Written Options | 350,175 | — | — | — | 350,175 | ||||
Swaps | 1,473,716 | 1,300,444 | 100,495 | — | 72,777 | ||||
Totals | $11,758,413 | $2,045,825 | $9,289,636 | $— | $422,952 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Forward rate agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Forward rate agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||
Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | |||||||||
Futures | $411,537 | $141,605 | $— | $— | $269,932 | ||||
MyDestination 2025 | |||||||||
Futures | $1,262,601 | $296,085 | $— | $— | $966,516 |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2035 | ||||||||||
Futures | $1,280,779 | $168,021 | $— | $— | $1,112,758 | |||||
MyDestination 2045 | ||||||||||
Futures | $1,154,207 | $43,453 | $— | $— | $1,110,754 | |||||
MyDestination 2055 | ||||||||||
Futures | $453,073 | $7,932 | $— | $— | $445,141 | |||||
Conservative Allocation | ||||||||||
Futures | $146,721 | $82,765 | $— | $— | $63,956 | |||||
Balanced Allocation | ||||||||||
Futures | $1,527,545 | $652,269 | $— | $— | $875,276 | |||||
Growth Allocation | ||||||||||
Futures | $1,066,261 | $271,891 | $— | $— | $794,370 | |||||
Aggressive Allocation | ||||||||||
Futures | $1,063,482 | $— | $— | $— | $1,063,482 | |||||
Low-Duration Bond | ||||||||||
Forwards | $687,433 | $— | $687,433 | $— | $— | |||||
Futures | (1,694,230) | (1,694,230) | — | — | — | |||||
Purchased Options | 29,409 | 29,409 | — | — | — | |||||
Swaps | 743,972 | 856,042 | (112,070) | |||||||
Written Options | 65,227 | (1,435) | — | 66,662 | — | |||||
Totals | $(168,189) | $(810,214) | $687,433 | $(45,408) | $— | |||||
Medium-Duration Bond | ||||||||||
Forwards | $(582,451) | $— | $(582,451) | $— | $— | |||||
Futures | 13,745,176 | 13,745,176 | — | — | — | |||||
Purchased Options | 642,260 | 774,044 | (131,784) | — | — | |||||
Swaps | 1,135,432 | 683,851 | — | 451,581 | — | |||||
Written Options | (177,905) | (573,176) | 380,232 | 15,039 | — | |||||
Totals | $14,762,512 | $14,629,895 | $(334,003) | $466,620 | $— | |||||
Global Bond | ||||||||||
Forwards | $(699,175) | $— | $(699,175) | $— | $— | |||||
Futures | (961,067) | (961,067) | — | — | — | |||||
Purchased Options | (125,355) | — | (125,355) | — | — | |||||
Totals | $(1,785,597) | $(961,067) | $(824,530) | $— | $— | |||||
Defensive Market Strategies | ||||||||||
Forwards | $420,317 | $— | $420,317 | $— | $— | |||||
Futures | (103,518) | — | — | — | (103,518) | |||||
Written Options | 4,556,460 | — | — | — | 4,556,460 | |||||
Totals | $4,873,259 | $— | $420,317 | $— | $4,452,942 | |||||
Equity Index | ||||||||||
Futures | $7,892,340 | $— | $— | $— | $7,892,340 |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||
Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Value Equity | |||||||||
Forwards | $(127,615) | $— | $(127,615) | $— | $— | ||||
Futures | 4,732,342 | — | — | — | 4,732,342 | ||||
Totals | $4,604,727 | $— | $(127,615) | $— | $4,732,342 | ||||
Growth Equity | |||||||||
Futures | $6,806,497 | $— | $— | $— | $6,806,497 | ||||
Small Cap Equity | |||||||||
Futures | $1,766,687 | $— | $— | $— | $1,766,687 | ||||
International Equity Index | |||||||||
Futures | $2,257,945 | $— | $— | $— | $2,257,945 | ||||
International Equity | |||||||||
Forwards | $(1,147,127) | $— | $(1,147,127) | $— | $— | ||||
Futures | 2,231,405 | — | — | — | 2,231,405 | ||||
Swaps | (559,476) | — | — | — | (559,476) | ||||
Totals | $524,802 | $— | $(1,147,127) | $— | $1,671,929 | ||||
Emerging Markets Equity | |||||||||
Forwards | $3,525,744 | $— | $3,525,744 | $— | $— | ||||
Futures | 2,586,653 | — | — | — | 2,586,653 | ||||
Swaps | (157,982) | — | — | — | (157,982) | ||||
Totals | $5,954,415 | $— | $3,525,744 | $— | $2,428,671 | ||||
Global Real Estate Securities | |||||||||
Forwards | $(3,556) | $— | $(3,556) | $— | $— | ||||
Futures | 676,885 | — | — | — | 676,885 | ||||
Totals | $673,329 | $— | $(3,556) | $— | $676,885 | ||||
Strategic Alternatives | |||||||||
Forwards | $(369,895) | $— | $(369,895) | $— | $— | ||||
Futures | (361,646) | (361,646) | — | — | — | ||||
Purchased Options | (724,292) | — | — | — | (724,292) | ||||
Swaps | 420,580 | 31,618 | 29,854 | 3,695 | 355,413 | ||||
Written Options | 2,347,743 | — | — | — | 2,347,743 | ||||
Totals | $1,312,490 | $(330,028) | $(340,041) | $3,695 | $1,978,864 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | |||||||||
Futures | $168,546 | $9,026 | $— | $— | $159,520 | ||||
MyDestination 2025 | |||||||||
Futures | $671,665 | $51,518 | $— | $— | $620,147 | ||||
MyDestination 2035 | |||||||||
Futures | $686,436 | $7,003 | $— | $— | $679,433 |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2045 | |||||||||
Futures | $623,323 | $9,214 | $— | $— | $614,109 | ||||
MyDestination 2055 | |||||||||
Futures | $145,312 | $2,498 | $— | $— | $142,814 | ||||
Conservative Allocation | |||||||||
Futures | $96,801 | $(4,039) | $— | $— | $100,840 | ||||
Balanced Allocation | |||||||||
Futures | $910,797 | $(12,065) | $— | $— | $922,862 | ||||
Growth Allocation | |||||||||
Futures | $1,083,961 | $8,916 | $— | $— | $1,075,045 | ||||
Aggressive Allocation | |||||||||
Futures | $1,072,539 | $— | $— | $— | $1,072,539 | ||||
Low-Duration Bond | |||||||||
Forwards | $(314,379) | $— | $(314,379) | $— | $— | ||||
Futures | 201,914 | 201,914 | — | — | — | ||||
Purchased Options | (470,485) | (470,485) | — | — | — | ||||
Swaps | (2,727,474) | (2,608,855) | — | (118,619) | — | ||||
Written Options | 428,452 | 396,325 | — | 32,127 | — | ||||
Totals | $(2,881,972) | $(2,481,101) | $(314,379) | $(86,492) | $— | ||||
Medium-Duration Bond | |||||||||
Forwards | $1,109,724 | $— | $1,109,724 | $— | $— | ||||
Futures | 2,946,666 | 2,954,866 | (8,200) | — | — | ||||
Purchased Options | (2,212,787) | (2,188,376) | (24,411) | — | — | ||||
Swaps | (10,428,906) | (11,837,044) | — | 1,408,138 | — | ||||
Written Options | 2,874,644 | 2,801,694 | 63,104 | 9,846 | — | ||||
Totals | $(5,710,659) | $(8,268,860) | $1,140,217 | $1,417,984 | $— | ||||
Global Bond | |||||||||
Forwards | $243,854 | $— | $243,854 | $— | $— | ||||
Futures | (654,544) | (654,544) | — | — | — | ||||
Totals | $(410,690) | $(654,544) | $243,854 | $— | $— | ||||
Defensive Market Strategies | |||||||||
Forwards | $123,262 | $— | $123,262 | $— | $— | ||||
Futures | (354,175) | — | — | — | (354,175) | ||||
Written Options | 688,437 | — | — | — | 688,437 | ||||
Totals | $457,524 | $— | $123,262 | $— | $334,262 | ||||
Equity Index | |||||||||
Futures | $2,238,051 | $— | $— | $— | $2,238,051 | ||||
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||
Total Value at 6/30/19 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Value Equity | |||||||||
Forwards | $(278,438) | $— | $(278,438) | $— | $— | ||||
Futures | 1,498,498 | — | — | — | 1,498,498 | ||||
Totals | $1,220,060 | $— | $(278,438) | $— | $1,498,498 | ||||
Growth Equity | |||||||||
Futures | $2,898,978 | $— | $— | $— | $2,898,978 | ||||
Small Cap Equity | |||||||||
Futures | $947,614 | $— | $— | $— | $947,614 | ||||
International Equity Index | |||||||||
Futures | $1,140,768 | $— | $— | $— | $1,140,768 | ||||
International Equity | |||||||||
Forwards | $2,294,999 | $— | $2,294,999 | $— | $— | ||||
Futures | 3,421,003 | — | — | — | 3,421,003 | ||||
Swaps | 342,749 | — | — | — | 342,749 | ||||
Totals | $6,058,751 | $— | $2,294,999 | $— | $3,763,752 | ||||
Emerging Markets Equity | |||||||||
Forwards | $(1,112,351) | $— | $(1,112,351) | $— | $— | ||||
Futures | 2,634,192 | — | — | — | 2,634,192 | ||||
Swaps | 230,338 | — | — | — | 230,338 | ||||
Totals | $1,752,179 | $— | $(1,112,351) | $— | $2,864,530 | ||||
Global Real Estate Securities | |||||||||
Futures | $422,418 | $— | $— | $— | $422,418 | ||||
Strategic Alternatives | |||||||||
Forwards | $905,869 | $— | $905,869 | $— | $— | ||||
Futures | 139,884 | 139,884 | — | — | — | ||||
Swaps | 503,302 | 517,413 | (117,581) | — | 103,470 | ||||
Purchased Options | (294,673) | — | — | — | (294,673) | ||||
Written Options | 145,192 | — | — | — | 145,192 | ||||
Totals | $1,399,574 | $657,297 | $788,288 | $— | $(46,011) |
Long Derivative Volume | |||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | |||
MyDestination 2015 | $— | $5,693,437 | $— | $— | |||
MyDestination 2025 | — | 19,253,272 | — | — | |||
MyDestination 2035 | — | 17,280,959 | — | — | |||
MyDestination 2045 | — | 11,815,815 | — | — |
Table of Contents
Long Derivative Volume | |||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | |||
MyDestination 2055 | $— | $3,720,419 | $— | $— | |||
Conservative Allocation | — | 7,156,529 | — | — | |||
Balanced Allocation | — | 26,967,287 | — | — | |||
Growth Allocation | — | 22,114,266 | — | — | |||
Aggressive Allocation | — | 18,843,363 | — | — | |||
Low-Duration Bond | 36,019,125 | 619,160,656 | 86,027 | 175,966,667 | |||
Medium-Duration Bond | 157,658,144 | 971,721,986 | 2,517,335 | 792,096,631 | |||
Global Bond | 35,995,074 | 8,197,133 | 25,564 | — | |||
Defensive Market Strategies | 23,051,506 | — | — | — | |||
Equity Index | — | 65,624,833 | — | — | |||
Value Equity | — | 39,031,550 | — | — | |||
Growth Equity | — | 58,201,043 | — | — | |||
Small Cap Equity | — | 20,281,247 | — | — | |||
International Equity Index | — | 31,732,568 | — | — | |||
International Equity | 166,515,207 | 98,094,151 | — | 189,771,448 | |||
Emerging Markets Equity | 95,856,093 | 67,315,913 | — | 108,012,587 | |||
Global Real Estate Securities | — | 8,866,340 | — | — | |||
Strategic Alternatives | 639,613,439 | 31,946,713 | 424,903 | 226,172,101 |
Short Derivative Volume | |||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Written Option Contracts | Swap Contracts | |||
Low-Duration Bond | $12,309,629 | $345,794,707 | $295,228 | $161,200,000 | |||
Medium-Duration Bond | 103,683,571 | 589,845,004 | 2,939,807 | 420,260,493 | |||
Global Bond | 61,137,103 | 31,524,919 | — | — | |||
Defensive Market Strategies | 888,902 | 7,605,850 | 869,144 | — | |||
International Equity | 155,756,847 | 37,849,151 | — | 38,438,937 | |||
Emerging Markets Equity | 108,914,949 | 14,302,964 | — | 2,922,951 | |||
Strategic Alternatives | 651,789,654 | 69,509,400 | 847,609 | 297,326,962 |
Table of Contents
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | 0.00% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | 0.00% | ||
MyDestination 2045 | 0.10% | 0.00% | ||
MyDestination 2055 | 0.10% | 0.00% | ||
Conservative Allocation | 0.10% | 0.00% | ||
Balanced Allocation | 0.10% | 0.00% | ||
Growth Allocation | 0.10% | 0.00% | ||
Aggressive Allocation | 0.10% | 0.00% | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.19% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.22% | ||
Global Bond | 0.25% | 0.22% | ||
Defensive Market Strategies | 0.33% | 0.28% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.25% | ||
Growth Equity | 0.33% | 0.34% | ||
Small Cap Equity | 0.33% | 0.60% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.42% | ||
Emerging Markets Equity | 0.33% | 0.56% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.48% | ||
Fund | Gross Advisory Fee | Waiver/ Reimbursements(1) | Net Advisory Fee (Reimbursement) | ||
MyDestination 2015 | $ 314,188 | $ (222,872) | $ 91,316 | ||
MyDestination 2025 | 614,546 | (241,884) | 372,662 |
Table of Contents
Fund | Gross Advisory Fee | Waiver/ Reimbursements(1) | Net Advisory Fee (Reimbursement) | ||
MyDestination 2035 | $381,900 | $(16,344) | $365,556 | ||
MyDestination 2045 | 288,395 | (7,270) | 281,125 | ||
MyDestination 2055 | 85,161 | (40,832) | 44,329 | ||
Conservative Allocation | 252,421 | — | 252,421 | ||
Balanced Allocation | 764,299 | — | 764,299 | ||
Growth Allocation | 585,542 | — | 585,542 | ||
Aggressive Allocation | 498,368 | — | 498,368 | ||
Money Market | 467,106 | — | 467,106 | ||
Low-Duration Bond | 510,477 | — | 510,477 | ||
Medium-Duration Bond | 1,020,313 | — | 1,020,313 | ||
Extended-Duration Bond | 286,010 | — | 286,010 | ||
Global Bond | 677,047 | — | 677,047 | ||
Defensive Market Strategies | 1,804,745 | — | 1,804,745 | ||
Equity Index | 712,791 | — | 712,791 | ||
Value Equity | 1,855,048 | — | 1,855,048 | ||
Growth Equity | 2,546,486 | — | 2,546,486 | ||
Small Cap Equity | 920,080 | — | 920,080 | ||
International Equity Index | 301,188 | — | 301,188 | ||
International Equity | 1,951,416 | — | 1,951,416 | ||
Emerging Markets Equity | 759,904 | 158,922 | 918,826 | ||
Global Real Estate Securities | 354,303 | — | 354,303 | ||
Strategic Alternatives | 785,700 | — | 785,700 |
Table of Contents
For the Period January 1, 2019 to June 30, 2019 | ||||||
Fund | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | ||||
International Equity Index | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | ||||
Equity Index | 0.15% | N/A |
Institutional Class | Investor Class | ||||||||||||||
Fund | 2019 | 2020 | 2021 | 2022 | 2019 | 2020 | 2021 | 2022 | |||||||
MyDestination 2015 | $N/A | $— | $23,338 | $40,089 | $180,574 | $30,638 | $106,157 | $182,783 | |||||||
MyDestination 2025 | N/A | — | 34,998 | 52,107 | 185,515 | — | 139,632 | 189,777 | |||||||
MyDestination 2035 | N/A | — | 13,410 | 3,761 | 206,887 | 24,128 | 39,969 | 12,583 | |||||||
MyDestination 2045 | N/A | — | 6,432 | 1,803 | 232,288 | 59,007 | 26,433 | 5,467 | |||||||
MyDestination 2055 | N/A | 28,120 | 27,146 | 13,872 | 253,134 | 110,489 | 90,006 | 26,960 | |||||||
International Equity Index | — | — | — | — | N/A | N/A | N/A | N/A | |||||||
Emerging Markets Equity | 16,344 | 16,344 | — | — | 138,330 | 77,711 | — | — | |||||||
Strategic Alternatives | N/A | — | — | — | N/A | — | — | — | |||||||
Equity Index | N/A | N/A | — | — | N/A | N/A | N/A | N/A |
Table of Contents
Fund | Expenses Paid Through Brokerage Service Arrangements | |
Value Equity | $8,578 | |
Growth Equity | 13,955 | |
Small Cap Equity | 14,625 | |
Emerging Markets Equity | 79 | |
Global Real Estate Securities | 9,112 |
Fund | MyDestination 2015 | MyDestination 2025 | MyDestination 2035 | MyDestination 2045 | MyDestination 2055 | |||||
Low-Duration Bond | 10.08% | 6.76% | —% | —% | —% | |||||
Money Market | 0.58 | 1.82 | 1.28 | 1.00 | 0.30 | |||||
Medium-Duration Bond | 9.88 | 19.93 | 8.41 | 2.93 | 0.60 | |||||
Global Bond | 11.56 | 17.41 | 6.13 | 2.12 | 0.43 | |||||
Defensive Market Strategies | 6.03 | 12.37 | 4.12 | 2.56 | 0.76 | |||||
Equity Index | 5.91 | 16.74 | 16.06 | 14.27 | 4.33 | |||||
Small Cap Equity | 1.90 | 5.55 | 5.37 | 4.75 | 1.43 | |||||
International Equity Index | 10.15 | 28.73 | 27.32 | 24.28 | 7.38 | |||||
Emerging Markets Equity | 3.82 | 10.62 | 10.30 | 9.15 | 2.76 | |||||
Global Real Estate Securities | 2.31 | 6.07 | 5.02 | 4.35 | 1.33 | |||||
Strategic Alternatives | 7.50 | 8.37 | — | — | — | |||||
Table of Contents
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Low-Duration Bond | 25.39% | 10.10% | 3.56% | —% | ||||
Money Market | 0.45 | 2.44 | 2.03 | 1.28 | ||||
Medium-Duration Bond | 4.02 | 22.18 | 7.63 | — | ||||
Extended-Duration Bond | — | 27.04 | 9.17 | — | ||||
Global Bond | 2.93 | 23.38 | 8.01 | — | ||||
Defensive Market Strategies | 3.30 | 13.91 | 4.77 | — | ||||
Value Equity | 2.58 | 14.59 | 19.57 | 23.98 | ||||
Growth Equity | 1.84 | 10.52 | 14.02 | 17.20 | ||||
Small Cap Equity | 1.03 | 5.66 | 7.59 | 9.38 | ||||
International Equity | 2.76 | 15.62 | 20.75 | 25.47 | ||||
Emerging Markets Equity | 2.06 | 11.19 | 14.81 | 17.98 | ||||
Global Real Estate Securities | 2.49 | 13.24 | 14.79 | — | ||||
Strategic Alternatives | 6.23 | 14.99 | 7.24 | — |
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/19 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $7,501 | $31,601 | $30,962 | $— | $— | $8,140 | $96 | $— | |||||||
Low-Duration Bond | 90,929 | 6,496 | 1,360 | (10) | 1,357 | 97,412 | 1,138 | — | |||||||
Medium-Duration Bond | 152,347 | 7,808 | 4,191 | (92) | 8,273 | 164,145 | 2,288 | — | |||||||
Global Bond | 61,290 | 1,460 | 1,298 | (45) | 4,590 | 65,997 | 773 | — | |||||||
Defensive Market Strategies | 64,969 | 971 | 3,322 | 292 | 7,101 | 70,011 | 466 | 406 | |||||||
Equity Index | 105,430 | 1,065 | 11,836 | 2,547 | 15,349 | 112,555 | 946 | 118 | |||||||
Small Cap Equity | 9,515 | — | 475 | (91) | 1,994 | 10,943 | — | — | |||||||
International Equity Index | 57,916 | 256 | 1,000 | 31 | 7,921 | 65,124 | — | — | |||||||
Emerging Markets Equity | 16,267 | 771 | 334 | — | 1,897 | 18,601 | — | — | |||||||
Global Real Estate Securities | 5,779 | 54 | 1,081 | (50) | 890 | 5,592 | 54 | — | |||||||
Strategic Alternatives | 28,651 | 978 | 273 | 3 | 957 | 30,316 | — | — | |||||||
$600,594 | $51,460 | $56,132 | $2,585 | $50,329 | $648,836 | $5,761 | $524 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $15,958 | $56,572 | $47,175 | $— | $— | $25,355 | $254 | $— | |||||||
Low-Duration Bond | 50,703 | 13,856 | — | — | 810 | 65,369 | 707 | — | |||||||
Medium-Duration Bond | 299,142 | 22,372 | 6,667 | (177) | 16,481 | 331,151 | 4,559 | — | |||||||
Global Bond | 86,074 | 7,786 | 1,025 | (39) | 6,658 | 99,454 | 1,133 | — | |||||||
Defensive Market Strategies | 123,041 | 7,645 | 1,368 | 104 | 14,173 | 143,595 | 955 | 833 | |||||||
Equity Index | 287,215 | 4,016 | 21,783 | 4,866 | 44,572 | 318,886 | 2,682 | 335 | |||||||
Small Cap Equity | 26,073 | 950 | 307 | (64) | 5,305 | 31,957 | — | — | |||||||
International Equity Index | 160,147 | 3,100 | 1,000 | 26 | 22,101 | 184,374 | — | — | |||||||
Emerging Markets Equity | 45,929 | 1,474 | 1,000 | (2) | 5,298 | 51,699 | — | — | |||||||
Global Real Estate Securities | 13,664 | 143 | 1,117 | (51) | 2,051 | 14,690 | 142 | — | |||||||
Strategic Alternatives | 29,991 | 3,123 | 302 | 3 | 1,016 | 33,831 | — | — | |||||||
$1,137,937 | $121,037 | $81,744 | $4,666 | $118,465 | $1,300,361 | $10,432 | $1,168 | ||||||||
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/19 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $15,961 | $51,397 | $49,482 | $— | $— | $17,876 | $203 | $— | |||||||
Medium-Duration Bond | 119,714 | 16,870 | 3,571 | (102) | 6,869 | 139,780 | 1,894 | — | |||||||
Global Bond | 28,323 | 5,080 | 663 | (25) | 2,300 | 35,015 | 396 | — | |||||||
Defensive Market Strategies | 39,779 | 4,227 | 892 | 68 | 4,587 | 47,769 | 316 | 276 | |||||||
Equity Index | 258,945 | 11,979 | 10,424 | 2,319 | 43,143 | 305,962 | 2,560 | 320 | |||||||
Small Cap Equity | 23,638 | 3,070 | 731 | (156) | 5,135 | 30,956 | — | — | |||||||
International Equity Index | 148,258 | 7,624 | 1,200 | (1) | 20,633 | 175,314 | — | — | |||||||
Emerging Markets Equity | 42,125 | 3,250 | 113 | — | 4,885 | 50,147 | — | — | |||||||
Global Real Estate Securities | 10,924 | 576 | 978 | (35) | 1,652 | 12,139 | 118 | — | |||||||
$687,667 | $104,073 | $68,054 | $2,068 | $89,204 | $814,958 | $5,487 | $596 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $10,350 | $40,646 | $37,020 | $— | $— | $13,976 | $152 | $— | |||||||
Medium-Duration Bond | 43,484 | 6,081 | 3,179 | (95) | 2,474 | 48,765 | 665 | — | |||||||
Global Bond | 10,869 | 875 | 437 | (16) | 834 | 12,125 | 140 | — | |||||||
Defensive Market Strategies | 25,602 | 2,127 | 934 | (14) | 2,957 | 29,738 | 198 | 173 | |||||||
Equity Index | 227,554 | 12,858 | 8,385 | 1,871 | 37,984 | 271,882 | 2,278 | 284 | |||||||
Small Cap Equity | 21,162 | 2,845 | 950 | (209) | 4,553 | 27,401 | — | — | |||||||
International Equity Index | 131,106 | 8,258 | 1,806 | (2) | 18,251 | 155,807 | — | — | |||||||
Emerging Markets Equity | 37,403 | 2,841 | — | — | 4,303 | 44,547 | — | — | |||||||
Global Real Estate Securities | 9,536 | 321 | 732 | (34) | 1,434 | 10,525 | 102 | — | |||||||
$517,066 | $76,852 | $53,443 | $1,501 | $72,790 | $614,766 | $3,535 | $457 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $3,632 | $29,773 | $29,209 | $— | $— | $4,196 | $46 | $— | |||||||
Medium-Duration Bond | 8,270 | 2,334 | 1,187 | 15 | 466 | 9,898 | 135 | — | |||||||
Global Bond | 2,129 | 428 | 249 | (6) | 169 | 2,471 | 29 | — | |||||||
Defensive Market Strategies | 7,266 | 1,523 | 827 | (13) | 873 | 8,822 | 58 | 51 | |||||||
Equity Index | 68,222 | 9,761 | 7,542 | 1,845 | 10,161 | 82,447 | 689 | 86 | |||||||
Small Cap Equity | 6,448 | 1,432 | 959 | 58 | 1,289 | 8,268 | — | — | |||||||
International Equity Index | 38,702 | 6,618 | 3,434 | 329 | 5,148 | 47,363 | — | — | |||||||
Emerging Markets Equity | 11,022 | 2,030 | 888 | 24 | 1,242 | 13,430 | — | — | |||||||
Global Real Estate Securities | 2,739 | 478 | 394 | 22 | 383 | 3,228 | 31 | — | |||||||
$148,430 | $54,377 | $44,689 | $2,274 | $19,731 | $180,123 | $988 | $137 | ||||||||
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/19 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $5,148 | $31,779 | $30,685 | $— | $— | $6,242 | $85 | $— | |||||||
Low-Duration Bond | 238,265 | 7,864 | 4,190 | (39) | 3,502 | 245,402 | 2,909 | — | |||||||
Medium-Duration Bond | 65,251 | 941 | 2,813 | (130) | 3,484 | 66,733 | 941 | — | |||||||
Global Bond | 16,437 | 284 | 1,137 | (57) | 1,234 | 16,761 | 200 | — | |||||||
Defensive Market Strategies | 35,770 | 861 | 2,374 | 203 | 3,861 | 38,321 | 255 | 222 | |||||||
Value Equity | 27,727 | 1,022 | 2,998 | (749) | 5,030 | 30,032 | 260 | — | |||||||
Growth Equity | 27,943 | 1,154 | 5,316 | (253) | 6,297 | 29,825 | 30 | 424 | |||||||
Small Cap Equity | 4,874 | 229 | 177 | (33) | 1,017 | 5,910 | — | — | |||||||
International Equity | 31,119 | 998 | 2,573 | (447) | 5,171 | 34,268 | — | — | |||||||
Emerging Markets Equity | 8,964 | 785 | 801 | (1) | 1,069 | 10,016 | — | — | |||||||
Global Real Estate Securities | 6,156 | 58 | 1,078 | (65) | 946 | 6,017 | 58 | — | |||||||
Strategic Alternatives | 25,384 | 189 | 1,229 | 6 | 826 | 25,176 | — | — | |||||||
$493,038 | $46,164 | $55,371 | $(1,565) | $32,437 | $514,703 | $4,738 | $646 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $25,803 | $70,240 | $62,061 | $— | $— | $33,982 | $367 | $— | |||||||
Low-Duration Bond | 94,385 | 4,323 | 2,427 | (15) | 1,392 | 97,658 | 1,152 | — | |||||||
Medium-Duration Bond | 349,379 | 10,165 | 9,413 | (298) | 18,739 | 368,572 | 5,166 | — | |||||||
Extended-Duration Bond | 61,768 | 2,271 | 2,090 | (297) | 5,296 | 66,948 | 884 | — | |||||||
Global Bond | 127,339 | 2,392 | 5,526 | (209) | 9,546 | 133,542 | 1,592 | — | |||||||
Defensive Market Strategies | 149,057 | 2,010 | 6,640 | 563 | 16,382 | 161,372 | 1,073 | 937 | |||||||
Value Equity | 154,535 | 3,533 | 12,205 | (3,240) | 26,968 | 169,591 | 1,466 | — | |||||||
Growth Equity | 156,698 | 5,187 | 25,865 | (1,295) | 35,317 | 170,042 | 171 | 2,417 | |||||||
Small Cap Equity | 27,916 | 154 | 1,020 | (192) | 5,785 | 32,643 | — | — | |||||||
International Equity | 174,342 | 3,430 | 10,348 | (1,841) | 28,325 | 193,908 | — | — | |||||||
Emerging Markets Equity | 46,256 | 2,861 | — | — | 5,354 | 54,471 | — | — | |||||||
Global Real Estate Securities | 31,879 | 311 | 4,748 | (270) | 4,866 | 32,038 | 310 | — | |||||||
Strategic Alternatives | 60,704 | — | 2,132 | (1) | 1,987 | 60,558 | — | — | |||||||
$1,460,061 | $106,877 | $144,475 | $(7,095) | $159,957 | $1,575,325 | $12,181 | $3,354 | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $18,201 | $66,163 | $56,056 | $— | $— | $28,308 | $306 | $— | |||||||
Low-Duration Bond | 31,837 | 2,058 | — | — | 469 | 34,364 | 395 | — | |||||||
Medium-Duration Bond | 120,582 | 3,963 | 4,000 | (169) | 6,469 | 126,845 | 1,761 | — | |||||||
Extended-Duration Bond | 20,717 | 1,301 | 1,029 | (152) | 1,851 | 22,688 | 303 | — | |||||||
Global Bond | 42,864 | 1,042 | 1,364 | (42) | 3,220 | 45,720 | 543 | — | |||||||
Defensive Market Strategies | 50,494 | 690 | 1,534 | (13) | 5,771 | 55,408 | 368 | 322 | |||||||
Value Equity | 204,933 | 3,665 | 12,944 | (3,197) | 34,937 | 227,394 | 1,966 | — | |||||||
Growth Equity | 207,087 | 4,450 | 29,789 | (1,621) | 46,512 | 226,639 | 228 | 3,221 | |||||||
Small Cap Equity | 38,361 | — | 2,269 | (426) | 8,103 | 43,769 | — | — | |||||||
International Equity | 233,648 | 1,150 | 12,512 | (2,247) | 37,588 | 257,627 | — | — | |||||||
Emerging Markets Equity | 63,802 | 1,150 | 163 | — | 7,336 | 72,125 | — | — | |||||||
Global Real Estate Securities | 36,475 | 347 | 6,095 | (548) | 5,599 | 35,778 | 347 | — | |||||||
Strategic Alternatives | 28,127 | 585 | 400 | (9) | 942 | 29,245 | — | — | |||||||
$1,097,128 | $86,564 | $128,155 | $(8,424) | $158,797 | $1,205,910 | $6,217 | $3,543 | ||||||||
Table of Contents
Total Value at 12/31/18 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/19 | Dividend Income | Distributions of Realized Gains | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $18,449 | $46,521 | $47,171 | $— | $— | $17,799 | $232 | $— | |||||||
Value Equity | 243,737 | 4,309 | 7,240 | (1,751) | 39,606 | 278,661 | 2,409 | — | |||||||
Growth Equity | 247,815 | 4,240 | 27,953 | (1,534) | 55,520 | 278,088 | 280 | 3,960 | |||||||
Small Cap Equity | 48,708 | — | 4,179 | (1,043) | 10,572 | 54,058 | — | — | |||||||
International Equity | 273,047 | 5,000 | 3,886 | (600) | 42,628 | 316,189 | — | — | |||||||
Emerging Markets Equity | 77,058 | 1,763 | — | — | 8,745 | 87,566 | — | — | |||||||
$908,814 | $61,833 | $90,429 | $(4,928) | $157,071 | $1,032,361 | $2,921 | $3,960 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $8,110 | $214,582 | $196,373 | $— | $— | $26,319 | $357 | $— | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $28,981 | $394,059 | $302,427 | $— | $— | $120,613 | $1,140 | $— | |||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $4,270 | $45,186 | $37,917 | $— | $— | $11,539 | $81 | $— | |||||||
Global Bond | |||||||||||||||
Money Market | $30,916 | $122,377 | $110,089 | $— | $— | $43,204 | $435 | $— | |||||||
Defensive Market Strategies | |||||||||||||||
Money Market | $31,395 | $224,350 | $185,368 | $— | $— | $70,377 | $703 | $— | |||||||
Equity Index | |||||||||||||||
Money Market | $83,664 | $190,979 | $216,606 | $— | $— | $58,037 | $638 | $— | |||||||
Value Equity | |||||||||||||||
Money Market | $45,945 | $349,597 | $360,920 | $— | $— | $34,622 | $371 | $— | |||||||
Growth Equity | |||||||||||||||
Money Market | $56,037 | $337,092 | $334,170 | $— | $— | $58,959 | $656 | $— | |||||||
Small Cap Equity | |||||||||||||||
Money Market | $16,995 | $104,499 | $102,509 | $— | $— | $18,985 | $263 | $— | |||||||
International Equity Index | |||||||||||||||
Money Market | $25,574 | $75,744 | $77,435 | $— | $— | $23,883 | $336 | $— | |||||||
International Equity | |||||||||||||||
Money Market | $60,810 | $192,522 | $199,781 | $— | $— | $53,551 | $679 | $— | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $15,609 | $79,463 | $73,228 | $— | $— | $21,844 | $215 | $— | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $4,154 | $47,508 | $43,057 | $— | $— | $8,605 | $81 | $— | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $10,994 | $118,120 | $101,095 | $— | $— | $28,019 | $178 | $— |
Table of Contents
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral | ||||
Low-Duration Bond | $74,719,312 | $67,631,017 | $8,610,075 | $76,241,092 | ||||
Medium-Duration Bond | 52,424,830 | 45,638,475 | 7,958,238 | 53,596,713 | ||||
Extended-Duration Bond | 22,698,663 | 21,517,883 | 1,643,820 | 23,161,703 | ||||
Global Bond | 47,357,646 | 33,308,894 | 15,139,634 | 48,448,528 | ||||
Defensive Market Strategies | 48,246,085 | 16,199,924 | 33,102,904 | 49,302,828 | ||||
Equity Index | 80,710,958 | 80,959,564 | 1,552,715 | 82,512,279 | ||||
Value Equity | 29,409,343 | 29,184,452 | 932,558 | 30,117,010 | ||||
Growth Equity | 139,826,925 | 141,759,298 | 1,048,655 | 142,807,953 | ||||
Small Cap Equity | 99,765,394 | 97,090,655 | 5,177,763 | 102,268,418 | ||||
International Equity Index | 24,191,322 | 16,714,907 | 8,889,864 | 25,604,771 | ||||
International Equity | 28,963,626 | 19,358,261 | 10,835,476 | 30,193,737 | ||||
Emerging Markets Equity | 11,367,756 | 8,653,295 | 3,372,834 | 12,026,129 | ||||
Global Real Estate Securities | 18,557,495 | 18,368,476 | 840,311 | 19,208,787 |
Table of Contents
Cost of Purchases and Proceeds from Sales and Maturities of Long-Term Securities (other than U.S. Government Obligations) | Cost of Purchases and Proceeds from Sales and Maturities of Long-Term U.S. Government Obligations | ||||||
Fund | Purchases | Sale and Maturity Proceeds | Purchases | Sale and Maturity Proceeds | |||
MyDestination 2015 | $19,861,093 | $25,171,215 | $— | $— | |||
MyDestination 2025 | 64,464,353 | 34,568,605 | — | — | |||
MyDestination 2035 | 52,676,615 | 18,572,170 | — | — | |||
MyDestination 2045 | 36,205,450 | 16,423,053 | — | — | |||
MyDestination 2055 | 24,603,540 | 15,480,463 | — | — | |||
Conservative Allocation | 14,385,317 | 24,686,352 | — | — | |||
Balanced Allocation | 36,636,979 | 82,414,570 | — | — | |||
Growth Allocation | 20,402,446 | 72,099,283 | — | — | |||
Aggressive Allocation | 15,312,537 | 43,257,880 | — | — | |||
Low-Duration Bond | 179,025,021 | 160,679,121 | 2,589,251,461 | 2,511,767,353 | |||
Medium-Duration Bond | 1,471,419 | 3,171,303 | 3,570,334,563 | 3,537,629,863 | |||
Extended-Duration Bond | 13,261,952 | 10,348,600 | 16,008,523 | 11,228,558 | |||
Global Bond | 39,249,294 | 72,766,192 | 17,914,149 | 11,757,012 | |||
Defensive Market Strategies | 213,003,745 | 218,110,427 | — | — | |||
Equity Index | 69,615,367 | 5,475,102 | — | — | |||
Value Equity | 845,314,176 | 868,189,130 | — | — | |||
Growth Equity | 190,173,899 | 283,547,276 | — | — | |||
Small Cap Equity | 198,947,184 | 209,360,381 | — | — | |||
International Equity Index | 60,362,143 | 22,614,673 | — | — | |||
International Equity | 417,508,788 | 416,959,427 | — | — | |||
Emerging Markets Equity | 174,509,154 | 162,880,229 | — | — | |||
Global Real Estate Securities | 120,124,744 | 126,672,720 | — | — | |||
Strategic Alternatives | 363,085,066 | 331,511,812 | 15,918,882 | 1,925,973 |
Six months ended 6/30/19 | Year Ended 12/31/18 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | |||||||
Shares sold | 961,386 | 2,425,249 | 1,592,802 | 7,664,541 | |||
Shares reinvested | — | — | 691,890 | 3,169,737 | |||
Shares redeemed | (1,162,930) | (3,142,661) | (1,692,956) | (8,305,598) | |||
Net increase (decrease) | (201,544) | (717,412) | 591,736 | 2,528,680 | |||
Table of Contents
Six months ended 6/30/19 | Year Ended 12/31/18 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2025 | |||||||
Shares sold | 2,600,099 | 5,147,613 | 5,435,507 | 11,013,083 | |||
Shares reinvested | — | 155 | 1,750,073 | 5,958,892 | |||
Shares redeemed | (2,380,885) | (2,567,187) | (1,496,924) | (5,621,517) | |||
Net increase (decrease) | 219,214 | 2,580,581 | 5,688,656 | 11,350,458 | |||
MyDestination 2035 | |||||||
Shares sold | 1,962,441 | 4,133,466 | 4,259,575 | 7,435,946 | |||
Shares reinvested | — | — | 1,389,913 | 3,995,826 | |||
Shares redeemed | (1,927,956) | (1,040,828) | (893,295) | (2,044,306) | |||
Net increase (decrease) | 34,485 | 3,092,638 | 4,756,193 | 9,387,466 | |||
MyDestination 2045 | |||||||
Shares sold | 1,598,203 | 3,205,107 | 3,644,133 | 5,819,518 | |||
Shares reinvested | — | — | 1,471,382 | 3,176,096 | |||
Shares redeemed | (1,876,362) | (824,417) | (694,206) | (1,337,921) | |||
Net increase (decrease) | (278,159) | 2,380,690 | 4,421,309 | 7,657,693 | |||
MyDestination 2055 | |||||||
Shares sold | 797,943 | 1,375,114 | 1,735,905 | 2,251,547 | |||
Shares reinvested | — | — | 349,702 | 593,894 | |||
Shares redeemed | (1,219,189) | (288,093) | (190,603) | (421,124) | |||
Net increase (decrease) | (421,246) | 1,087,021 | 1,895,004 | 2,424,317 | |||
Conservative Allocation | |||||||
Shares sold | 711,749 | 1,946,273 | 1,397,312 | 3,933,200 | |||
Shares reinvested | — | — | 272,742 | 1,183,139 | |||
Shares redeemed | (459,363) | (3,408,740) | (1,084,008) | (5,097,960) | |||
Net increase (decrease) | 252,386 | (1,462,467) | 586,046 | 18,379 | |||
Balanced Allocation | |||||||
Shares sold | 2,598,521 | 1,783,868 | 1,247,657 | 3,732,737 | |||
Shares reinvested | — | — | 1,212,231 | 4,504,896 | |||
Shares redeemed | (1,646,396) | (7,287,268) | (3,145,614) | (8,296,634) | |||
Net increase (decrease) | 952,125 | (5,503,400) | (685,726) | (59,001) | |||
Growth Allocation | |||||||
Shares sold | 855,935 | 1,556,351 | 584,203 | 2,640,443 | |||
Shares reinvested | — | — | 966,710 | 3,155,813 | |||
Shares redeemed | (1,233,052) | (5,379,890) | (1,781,797) | (6,724,880) | |||
Net increase (decrease) | (377,117) | (3,823,539) | (230,884) | (928,624) | |||
Aggressive Allocation | |||||||
Shares sold | 2,123,063 | 1,014,002 | 472,057 | 2,132,753 | |||
Shares reinvested | — | — | 638,095 | 2,666,545 | |||
Shares redeemed | (851,147) | (5,213,340) | (1,333,609) | (5,264,693) | |||
Net increase (decrease) | 1,271,916 | (4,199,338) | (223,457) | (465,395) | |||
Table of Contents
Six months ended 6/30/19 | Year Ended 12/31/18 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Money Market | |||||||
Shares sold | 2,383,527,318 | 167,729,294 | 1,748,822,489 | 4,746,224,687 | |||
Shares reinvested | 2,392,929 | 3,978,867 | 2,208,187 | 5,445,866 | |||
Shares redeemed | (2,222,854,207) | (190,186,533) | (1,178,447,349) | 5,238,005,118 | |||
Net increase (decrease) | 163,066,040 | (18,478,372) | 572,583,327 | 486,334,565 | |||
Low-Duration Bond | |||||||
Shares sold | 9,091,471 | 1,377,590 | 7,598,064 | 2,461,282 | |||
Shares reinvested | 607,151 | 206,146 | 1,120,581 | 496,739 | |||
Shares redeemed | (1,195,494) | (6,732,056) | (7,437,019) | (3,068,194) | |||
Net increase (decrease) | 8,503,128 | (5,148,320) | 1,281,626 | (110,173) | |||
Medium-Duration Bond | |||||||
Shares sold | 6,235,021 | 1,945,854 | 16,940,380 | 3,332,425 | |||
Shares reinvested | 1,286,128 | 240,011 | 2,434,579 | 461,492 | |||
Shares redeemed | (2,888,773) | (2,118,637) | (9,644,859) | (3,137,711) | |||
Net increase (decrease) | 4,632,376 | 67,228 | 9,730,100 | 656,206 | |||
Extended-Duration Bond | |||||||
Shares sold | 402,532 | 1,113,038 | 449,708 | 796,153 | |||
Shares reinvested | 90,059 | 83,393 | 270,425 | 237,241 | |||
Shares redeemed | (320,337) | (840,399) | (1,081,183) | (1,297,143) | |||
Net increase (decrease) | 172,254 | 356,032 | (361,050) | (263,749) | |||
Global Bond | |||||||
Shares sold | 4,482,477 | 1,473,129 | 7,558,859 | 2,522,405 | |||
Shares reinvested | 550,363 | 116,521 | 1,386,648 | 379,119 | |||
Shares redeemed | (2,555,343) | (3,220,184) | (5,259,775) | (2,836,189) | |||
Net increase (decrease) | 2,477,497 | (1,630,534) | 3,685,732 | 65,335 | |||
Defensive Market Strategies | |||||||
Shares sold | 3,123,089 | 4,931,451 | 8,509,401 | 7,339,280 | |||
Shares reinvested | 709,239 | 352,225 | 3,377,339 | 1,751,027 | |||
Shares redeemed | (2,301,290) | (4,300,325) | (3,671,181) | (6,948,280) | |||
Net increase (decrease) | 1,531,038 | 983,351 | 8,215,559 | 2,142,027 | |||
Equity Index | |||||||
Shares sold | 2,303,483 | 1,495,555 | 26,415,319 | 2,666,638 | |||
Shares reinvested | 377,892 | 150,857 | 635,988 | 329,987 | |||
Shares redeemed | (2,287,098) | (1,170,320) | (3,267,111) | (2,013,706) | |||
Net increase (decrease) | 394,277 | 476,092 | 23,784,196 | 982,919 | |||
Value Equity | |||||||
Shares sold | 933,438 | 596,335 | 2,427,541 | 1,334,212 | |||
Shares reinvested | 355,484 | 141,919 | 7,299,082 | 3,388,630 | |||
Shares redeemed | (2,200,392) | (1,762,526) | (17,432,247) | (2,197,442) | |||
Net increase (decrease) | (911,470) | (1,024,272) | (7,705,624) | 2,525,400 | |||
Table of Contents
Six months ended 6/30/19 | Year Ended 12/31/18 | ||||||
Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Growth Equity | |||||||
Shares sold | 1,012,147 | 1,351,874 | 2,611,117 | 3,989,703 | |||
Shares reinvested | 502,934 | 406,259 | 5,525,364 | 4,664,964 | |||
Shares redeemed | (3,990,112) | (2,504,969) | (18,178,641) | (2,790,036) | |||
Net increase (decrease) | (2,475,031) | (746,836) | (10,042,160) | 5,864,631 | |||
Small Cap Equity | |||||||
Shares sold | 1,153,882 | 1,102,493 | 1,854,040 | 2,279,150 | |||
Shares reinvested | — | — | 3,707,989 | 3,486,885 | |||
Shares redeemed | (1,034,785) | (1,836,499) | (1,926,065) | (2,234,624) | |||
Net increase (decrease) | 119,097 | (734,006) | 3,635,964 | 3,531,411 | |||
International Equity Index | |||||||
Shares sold | 2,966,418 | 41,656,032 | |||||
Shares reinvested | — | 856,762 | |||||
Shares redeemed | (929,116) | (973,357) | |||||
Net increase (decrease) | 2,037,302 | 41,539,437 | |||||
International Equity | |||||||
Shares sold | 2,547,792 | 1,856,631 | 7,425,117 | 2,175,172 | |||
Shares reinvested | — | — | 8,296,428 | 2,899,478 | |||
Shares redeemed | (2,740,078) | (1,915,990) | (29,345,787) | (2,778,019) | |||
Net increase (decrease) | (192,286) | (59,359) | (13,624,242) | 2,296,631 | |||
Emerging Markets Equity | |||||||
Shares sold | 2,495,207 | 1,060,619 | 7,175,778 | 4,062,973 | |||
Shares reinvested | — | — | 290,286 | 22,294 | |||
Shares redeemed | (545,932) | (1,623,952) | (2,936,797) | (5,166,585) | |||
Net increase (decrease) | 1,949,275 | (563,333) | 4,529,267 | (1,081,318) | |||
Global Real Estate Securities | |||||||
Shares sold | 797,604 | 1,589,123 | 1,352,089 | 1,058,826 | |||
Shares reinvested | 134,675 | 80,184 | 656,128 | 386,397 | |||
Shares redeemed | (1,870,521) | (1,205,390) | (713,302) | (2,238,944) | |||
Net increase (decrease) | (938,242) | 463,917 | 1,294,915 | (793,721) | |||
Strategic Alternatives | |||||||
Shares sold | 2,740,522 | 573,528 | 3,454,216 | 2,383,652 | |||
Shares reinvested | — | — | 694,201 | 124,486 | |||
Shares redeemed | (915,998) | (2,006,464) | (1,713,511) | (1,568,326) | |||
Net increase (decrease) | 1,824,524 | (1,432,936) | 2,434,906 | 939,812 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2018 | $ 22,803,959 | $14,085,921 | $— | $36,889,880 | |||||
2017 | 3,028,666 | 13,344,184 | — | 16,372,850 | ||||||
MyDestination 2025 | 2018 | 33,986,791 | 38,055,961 | — | 72,042,752 | |||||
2017 | 11,998,150 | 30,205,364 | — | 42,203,514 | ||||||
MyDestination 2035 | 2018 | 22,165,480 | 25,579,129 | — | 47,744,609 | |||||
2017 | 5,085,384 | 19,417,604 | — | 24,502,988 | ||||||
MyDestination 2045 | 2018 | 15,798,135 | 23,490,194 | — | 39,288,329 | |||||
2017 | 3,506,285 | 17,240,457 | — | 20,746,742 | ||||||
MyDestination 2055 | 2018 | 4,222,783 | 6,934,772 | — | 11,157,555 | |||||
2017 | 160,109 | 4,857,239 | — | 5,017,348 | ||||||
Conservative Allocation | 2018 | 15,397,717 | 437,488 | — | 15,835,205 |
Table of Contents
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
2017 | $3,900,622 | $4,398,229 | $— | $8,298,851 | ||||||
Balanced Allocation | 2018 | 59,404,751 | 3,908,455 | — | 63,313,206 | |||||
2017 | 20,890,962 | 18,221,162 | — | 39,112,124 | ||||||
Growth Allocation | 2018 | 41,898,996 | 3,525,774 | — | 45,424,770 | |||||
2017 | 11,871,095 | 45,385,045 | — | 57,256,140 | ||||||
Aggressive Allocation | 2018 | 31,324,625 | 3,691,707 | — | 35,016,332 | |||||
2017 | 11,165,259 | 60,731,715 | — | 71,896,974 | ||||||
Money Market | 2018 | 18,097,193 | — | — | 18,097,193 | |||||
2017 | 7,316,185 | — | — | 7,316,185 | ||||||
Low-Duration Bond | 2018 | 21,597,150 | — | — | 21,597,150 | |||||
2017 | 14,230,530 | — | — | 14,230,530 | ||||||
Medium-Duration Bond | 2018 | 41,568,447 | — | — | 41,568,447 | |||||
2017 | 24,582,654 | — | — | 24,582,654 | ||||||
Extended-Duration Bond | 2018 | 6,878,837 | 1,763,567 | — | 8,642,404 | |||||
2017 | 7,411,170 | 1,673,931 | — | 9,085,101 | ||||||
Global Bond | 2018 | 17,233,962 | — | — | 17,233,962 | |||||
2017 | 17,669,726 | — | — | 17,669,726 | ||||||
Defensive Market Strategies | 2018 | 23,181,404 | 39,872,400 | — | 63,053,804 | |||||
2017 | 23,370,589 | 28,287,458 | — | 51,658,047 | ||||||
Equity Index | 2018 | 21,300,972 | 6,035,838 | — | 27,336,810 | |||||
2017 | 15,992,257 | 3,530,413 | — | 19,522,670 | ||||||
Value Equity | 2018 | 38,627,518 | 153,636,772 | — | 192,264,290 | |||||
2017 | 30,911,640 | 73,574,469 | — | 104,486,109 | ||||||
Growth Equity | 2018 | 5,401,351 | 221,388,439 | — | 226,789,790 | |||||
2017 | 8,392,047 | 162,110,126 | — | 170,502,173 | ||||||
Small Cap Equity | 2018 | 16,705,821 | 80,730,527 | — | 97,436,348 | |||||
2017 | 9,173,522 | 30,630,414 | — | 39,803,936 | ||||||
International Equity Index | 2018 | 7,738,165 | — | — | 7,738,165 | |||||
2017 | 4,462,915 | 385,690 | — | 4,848,605 | ||||||
International Equity | 2018 | 27,909,942 | 107,935,276 | — | 135,845,218 | |||||
2017 | 44,466,793 | 84,039,499 | — | 128,506,292 | ||||||
Emerging Markets Equity | 2018 | 2,656,034 | — | — | 2,656,034 | |||||
2017 | 4,596,687 | — | — | 4,596,687 | ||||||
Global Real Estate Securities | 2018 | 9,704,770 | — | — | 9,704,770 | |||||
2017 | 9,213,231 | — | — | 9,213,231 | ||||||
Strategic Alternatives | 2018 | 7,693,005 | 367,373 | — | 8,060,378 | |||||
2017 | 2,138,677 | 198,667 | — | 2,337,344 |
Table of Contents
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Qualified Late Year Losses | Net Unrealized Appreciation (Depreciation) on Investments | ||||
MyDestination 2015 | $117,711 | $4,033,931 | $— | $(32,349,349) | ||||
MyDestination 2025 | 4,945 | 8,465,699 | — | (76,644,880) | ||||
MyDestination 2035 | 116,439 | 5,290,115 | (168,782) | (60,135,633) | ||||
MyDestination 2045 | 75,063 | 4,480,818 | (259,865) | (49,549,984) | ||||
MyDestination 2055 | 157,981 | 1,170,377 | — | (15,485,645) | ||||
Conservative Allocation | 68,111 | 12,233,550 | — | (30,887,757) | ||||
Balanced Allocation | 346,415 | 66,788,467 | — | (177,024,910) | ||||
Growth Allocation | 255,274 | 89,557,703 | — | (201,624,728) | ||||
Aggressive Allocation | 106,436 | 107,443,501 | — | (215,414,816) | ||||
Money Market | 5,549 | — | — | — | ||||
Low-Duration Bond | 119,598 | (14,858,941) | — | (4,947,270) | ||||
Medium-Duration Bond | 5,445 | (21,420,688) | (2,005,620) | (25,691,081) | ||||
Extended-Duration Bond | 12,216 | 532 | (182,274) | (3,036,198) | ||||
Global Bond | 1,543,454 | (4,096,517) | — | (32,261,467) | ||||
Defensive Market Strategies | 109,918 | 6,732,593 | (329,997) | 37,276,048 | ||||
Equity Index | 68,928 | 1,994,876 | (1,189,091) | 183,412,458 | ||||
Value Equity | 14,612 | 1,004 | (4,947,015) | 22,750,649 | ||||
Growth Equity | 1,362,471 | 21,679,688 | (2,053,718) | 259,381,075 | ||||
Small Cap Equity | 713,862 | — | (1,470,100) | (60,277,448) | ||||
International Equity Index | 55,857 | (2,112,209) | (1,857,795) | (57,514,308) | ||||
International Equity | — | 3,748 | (8,713,260) | (99,880,248) | ||||
Emerging Markets Equity | 37,797 | (7,298,426) | — | (32,027,220) | ||||
Global Real Estate Securities | 173,536 | (4,140,771) | — | (17,056,189) | ||||
Strategic Alternatives | 1,108,988 | — | (2,776,465) | (5,794,649) |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||
MyDestination 2015 | $631,054,475 | $18,093,763 | $19,304,896 | $(1,211,133) | ||||
MyDestination 2025 | 1,259,135,450 | 42,208,282 | 45,777,710 | (3,569,428) | ||||
MyDestination 2035 | 786,633,366 | 29,372,567 | 31,950,177 | (2,577,610) | ||||
MyDestination 2045 | 592,169,394 | 23,495,509 | 25,720,517 | (2,225,008) | ||||
MyDestination 2055 | 176,076,902 | 4,312,519 | 5,391,184 | (1,078,665) | ||||
Conservative Allocation | 513,252,992 | 1,595,154 | 8,805,668 | (7,210,514) | ||||
Balanced Allocation | 1,593,482,885 | (16,469,206) | 36,517,542 | (52,986,748) | ||||
Growth Allocation | 1,250,224,738 | (42,297,717) | 21,805,336 | (64,103,053) | ||||
Aggressive Allocation | 1,091,993,532 | (58,036,997) | 21,736,165 | (79,773,162) |
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Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||
Money Market | $1,413,274,295 | $— | $— | $— | ||||
Low-Duration Bond | 1,124,602,803 | 3,760,792 | 11,824,895 | (8,064,103) | ||||
Medium-Duration Bond | 1,811,400,664 | 34,997,031 | 70,860,937 | (35,863,906) | ||||
Extended-Duration Bond | 236,510,371 | 13,464,967 | 16,489,062 | (3,024,095) | ||||
Global Bond | 558,916,680 | 4,900,449 | 29,092,953 | (24,192,504) | ||||
Defensive Market Strategies | 1,058,222,662 | 135,055,904 | 149,773,513 | (14,717,609) | ||||
Equity Index | 1,451,695,334 | 454,545,063 | 501,010,586 | (46,465,523) | ||||
Value Equity | 1,068,898,028 | 96,277,877 | 142,387,536 | (46,109,659) | ||||
Growth Equity | 1,133,485,489 | 483,621,533 | 504,657,846 | (21,036,313) | ||||
Small Cap Equity | 555,072,156 | 24,780,792 | 71,243,519 | (46,462,727) | ||||
International Equity Index | 642,119,166 | 3,907,816 | 47,779,464 | (43,871,648) | ||||
International Equity | 1,216,455,502 | 15,342,072 | 134,560,476 | (119,218,404) | ||||
Emerging Markets Equity | 474,081,465 | 13,434,651 | 46,899,095 | (33,464,444) | ||||
Global Real Estate Securities | 234,494,793 | 7,955,207 | 17,561,593 | (9,606,386) | ||||
Strategic Alternatives | 358,187,943 | 1,613,052 | 17,574,290 | (15,961,238) | ||||
Fund | Paid in Capital | Undistributed Net Investment Income ** | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions ** | |||
MyDestination 2015 | $— | $1,167,626 | $(1,167,626) | |||
MyDestination 2025 | — | 2,342,715 | (2,342,715) | |||
MyDestination 2035 | — | 1,514,532 | (1,514,532) | |||
MyDestination 2045 | — | 1,250,382 | (1,250,382) | |||
MyDestination 2055 | — | 494,958 | (494,958) | |||
Conservative Allocation | — | 1,031,526 | (1,031,526) | |||
Balanced Allocation | — | 5,151,176 | (5,151,176) | |||
Growth Allocation | — | 5,249,741 | (5,249,741) |
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Fund | Paid in Capital | Undistributed Net Investment Income ** | Accumulated Net Realized Gain (Loss) on Investments, Currency Translations and Derivative Transactions ** | |||
Aggressive Allocation | $— | $5,667,600 | $(5,667,600) | |||
Money Market | — | 5,549 | (5,549) | |||
Low-Duration Bond | (405,834) | 2,172,568 | (1,766,734) | |||
Medium-Duration Bond | (276,067) | 1,417,085 | (1,141,018) | |||
Extended-Duration Bond | — | (156,887) | 156,887 | |||
Global Bond | 355,057 | (7,247,563) | 6,892,506 | |||
Defensive Market Strategies | — | 683,171 | (683,171) | |||
Equity Index | — | (249,232) | 249,232 | |||
Value Equity | — | (51,402) | 51,402 | |||
Growth Equity | — | (428,736) | 428,736 | |||
International Equity Index | — | (102,520) | 102,520 | |||
International Equity | — | (2,149,837) | 2,149,837 | |||
Emerging Markets Equity | (9,014) | (4,041,668) | 4,050,682 | |||
Global Real Estate Securities | — | 4,027,328 | (4,027,328) | |||
Strategic Alternatives | (5,560) | 774,566 | (769,006) |
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Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
INDEPENDENT TRUSTEES | ||||
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Senior Credit Officer, First National Bank of PA, 2014 - present. | 24 | None |
Barry D. Hartis (1945) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2014 | Certified Public Accountant, 1987 - present. | 24 | GuideStone Financial Resources – Board of Trustees Member, 2004 – 2012; GuideStone Funds – Board of Trustees, Interested Trustee, 2005 – 2012. |
Grady R. Hazel (1947) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2011 | Chief Financial Officer, The Dunham School, 2016 – present; Certified Public Accountant, 2015 - present; G400 Relations Manager, American Institute of Certified Public Accountants, 2012 - 2015. | 24 | Neighbors Federal Credit Union – Vice - Chairman of the Board; Stonetrust Commercial Insurance Company – Board of Directors Member and Chairman of Audit Committee; State Board of Certified Public Accountants of Louisiana - Board Member. |
Joseph A. Mack (1939) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2002 | Independent Consultant, 2010 - present; Director of Public Policy, North Greenville University, 2011 - 2016: Contractor, Interim Director of Public Policy, South Carolina Baptist Convention, 2017; Contractor, South Carolina Citizens for Life, 2014 - present. | 24 | None |
David B. McMillan (1957)2 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | Chief Executive Officer and Founder, Peridot Energy LLC, 2008 - present; Chief Executive Officer, INEA International/VHSC Cement, 2015 - 2017. | 24 | GuideStone Financial Resources - Board of Trustees Member, July 2010 - June 2018; GuideStone Financial Resources - Chairman of the Audit Committee, July 2013 - June 2018; GuideStone Capital Management, LLC, Board of Directors Member, July 2011 - June 2018; GuideStone Capital Management, LLC - Chairman of the Board of Directors, July 2013 - June 2018; GuideStone Investment Services - Chairman of the Board of Directors, May 2014 - June 2018; GuideStone Resource Management, Inc. - Chairman of the Board of Directors, May 2014 - June 2018. |
Franklin R. Morgan (1943) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2005 | Retired - Senior Vice President, Director of International Administration, Prudential Securities, Inc., 1960 - 2003. | 24 | None |
Kyle L. Tucker (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2013 | Vice President and Financial Advisor, CAPTRUST Financial Advisors, 2006 - present. | 24 | Fellowship of Christian Athletes (NC) Triangle Board, 2012 – 2015; NC Values Coalition Board, 2015 - present; Institute for Faith and Family, 2015 - present; College Golf Fellowship, 2012 - present. |
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Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
INTERESTED TRUSTEES3 | ||||
Randall T. Hahn, D.Min. (1965) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2018 | Senior Pastor, The Heights Baptist Church, 2002 - present. | 24 | GuideStone Financial Resources – Board of Trustees Member, June 2015 – present. |
John R. Morris (1938) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2017 | Vice President and Broker-in-Charge, Hound Ears Club, Inc., 2010 - present. | 24 | GuideStone Financial Resources – Board of Trustees Member, June 2012 - present; GuideStone Capital Management, LLC, Board of Directors Member, May 2014 - present; GuideStone Investment Services, Board of Directors Member, July 2012 - present; GuideStone Resource Management, Inc., Board of Directors Member, May 2014 - present. |
OFFICERS WHO ARE NOT TRUSTEES4 | ||||
Ron W. Bass (1966) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer and AML Officer | Since 2009 | Director of Asset Management Compliance, GuideStone Financial Resources, June 2009 – present. | N/A | N/A |
Melanie Childers (1971) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President – Fund Operations | Since 2014 | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 - present; Director, Funds Administration and Operations, GuideStone Financial Resources, 2009 - 2014. | N/A | N/A |
John R. Jones (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 President | Since 2000 | Executive Vice President and Chief Operating Officer, GuideStone Financial Resources, 1997 - present. | N/A | N/A |
Patrick Pattison (1974) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Treasurer | Since 2008 | Chief Accounting Officer, GuideStone Financial Resources, 2015 - present; Director of Financial Reporting & Process Review, GuideStone Financial Resources, 2008 - 2015. | N/A | N/A |
Matt L. Peden (1967) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Investment Officer | Since 2001 | Vice President and Chief Investment Officer, GuideStone Financial Resources, 2015 - present; Director of Portfolio Management, GuideStone Financial Resources, 2010 - 2015. | N/A | N/A |
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Name, (Date of Birth), Address and Position(s) with Trust | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Trusteeships/ Directorships Held by Trustee |
David S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President | Since 2019 | Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 - present; Global Investement Strategist, GuideStone Financial Resources, 2015 - 2016; Investment Strategist, Westwood Holdings Group, 2003 - 2015. | N/A | N/A |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Legal Officer and Secretary | Since 2017 | Associate Counsel - Investment and Corporate Services, GuideStone Financial Resources, 2015 - present; Vice President and Assistant General Counsel, Goldman Sachs & Co., 2012 - 2015. | N/A | N/A |
Erin Wynne (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Assistant Treasurer | Since 2016 | Director, Financial Reporting & Analysis, GuideStone Financial Resources, 2015 - present; Manager, Financial Reporting & Analysis, GuideStone Financial Resources, 2010 - 2015. | N/A | N/A |
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $6.8Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1988 | $6.8Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.8Tr | ||||
Payden & Rygel | 1983 | $114.3B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $1.4Tr | |||
Pacific Investment Management Company LLC | 1971 | $1.8Tr | ||||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $ 450.0B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $287.7B | |||
Schroder Investment Management North America Inc. | 1804 | $110.0B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $287.7B | |||
Western Asset Management Company and Western Asset Management Company Limited | 1971 | $ 450.0B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $ 168.0B | |||
AQR Capital Management, LLC | 1998 | $193.9B | ||||
Parametric Portfolio Associates LLC | 1992 | $246.0B | ||||
Shenkman Capital Management, Inc. | 1985 | $26.6B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $202.2B | |||
Value Equity | AJO, LP | 1984 | $21.4B | |||
American Century Investment Management, Inc. | 1958 | $ 168.0B | ||||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $76.5B | ||||
Legal & General Investment Management America, Inc. | 2006 | $202.2B | ||||
TCW Investment Management Company LLC | 1971 | $ 205.0B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $37.0B | |||
ClearBridge Investments, LLC | 2005 | $146.4B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $287.7B | ||||
Sands Capital Management, LLC | 1992 | $42.6B | ||||
Small Cap Equity | AJO, LP | 1984 | $21.4B | |||
Delaware Investments Fund Advisers | 1929 | $248.6B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $10.0B | ||||
TimesSquare Capital Management, LLC | 2000 | $16.8B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $202.2B | |||
International Equity | AQR Capital Management, LLC | 1998 | $193.9B | |||
Harris Associates L.P. | 1976 | $117.1B | ||||
MFS Institutional Advisors, Inc. | 1970 | $487.8B | ||||
Mondrian Investment Partners Ltd. | 1990 | $51.2B | ||||
WCM Investment Management, LLC | 1976 | $40.5B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $193.9B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.4Tr | ||||
Wellington Management Company LLP | 1928 | $1.1Tr | ||||
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Global Real Estate Securities | Heitman Real Estate Securities, LLC and Heitman International Real Estate Securities HK Limited | 1989 | $44.0B | |||
RREEF America L.L.C., DWS Investments Australia Limited and DWS Alternatives Global Limited | 1975 | $68.7B | ||||
Strategic Alternatives Fund | Allianz Global Investors U.S. LLC | 1895 | $121.2B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $1.4T | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $333.1B | ||||
Parametric Portfolio Associates LLC | 1992 | $246.0B | ||||
Perella Weinberg Partners Capital Management LP1 | 2006 | $13.8B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $8.5Tr | |||
Cash Overlay for Target Date, Asset Allocation, Fixed Income, Equity and Real Return Funds | Parametric Portfolio Associates LLC | 1992 | $246.0B |
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Item 1. Reports to Stockholders (cont.).
(b) Not applicable.
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Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
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Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s first fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | GuideStone Funds |
By (Signature and Title)* | /s/ John R. Jones | |||
John R. Jones, President | ||||
(Principal Executive Officer) |
Date | September 5, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ John R. Jones | |||
John R. Jones, President | ||||
(Principal Executive Officer) |
Date | September 5, 2019 |
By (Signature and Title)* | /s/ Patrick Pattison | |||
Patrick Pattison, Vice President and Treasurer | ||||
(Principal Financial Officer) |
Date | September 5, 2019 |
* | Print the name and title of each signing officer under his or her signature. |