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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, 2020
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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 |
• | 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 |
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Index | 1 st Quarter 2020 Returns | 2 nd Quarter 2020 Returns | YTD Returns as of June 30, 2020 |
U.S. Equities | |||
S&P 500® | -19.60% | 20.54% | -3.08% |
Dow Jones Industrial Average | -22.73% | 18.51% | -8.43% |
NASDAQ | -13.95% | 30.95% | 12.67% |
International Equities | |||
MSCI EAFE | -22.83% | 14.88% | -11.34% |
MSCI Emerging Markets | -23.60% | 18.08% | -9.78% |
U.S. Fixed Income | |||
Bloomberg Barclays U.S. Aggregate Bond | 3.15% | 2.90% | 6.14% |
Bloomberg Barclays US High Yield-Corporate | -12.68% | 10.18% | -3.80% |
Global Fixed Income | |||
Bloomberg Barclays Global Aggregate Bond | -0.33% | 3.32% | 2.98% |
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Vice President - Chief Investment Officer
GuideStone Capital Management, LLC
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Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $ 990.40 | 0.06% | $0.30 | |||||
Investor | 1,000.00 | 989.40 | 0.31 | 1.53 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 980.80 | 0.09 | 0.44 | |||||
Investor | 1,000.00 | 978.90 | 0.34 | 1.67 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 963.80 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 962.80 | 0.39 | 1.91 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 949.30 | 0.14 | 0.68 | |||||
Investor | 1,000.00 | 948.30 | 0.41 | 1.98 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 944.80 | 0.16 | 0.79 | |||||
Investor | 1,000.00 | 943.30 | 0.42 | 2.03 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 995.70 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 994.80 | 0.40 | 1.98 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 981.90 | 0.13 | 0.62 | |||||
Investor | 1,000.00 | 980.30 | 0.38 | 1.85 | ||||||
Growth Allocation | Institutional | 1,000.00 | 952.90 | 0.13 | 0.62 | |||||
Investor | 1,000.00 | 951.30 | 0.38 | 1.84 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 930.80 | 0.13 | 0.63 | |||||
Investor | 1,000.00 | 929.70 | 0.38 | 1.83 | ||||||
Money Market | Institutional | 1,000.00 | 1,004.10 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,002.80 | 0.39 | 1.97 |
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Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Low-Duration Bond | Institutional | $1,000.00 | $1,021.00 | 0.35% | $1.76 | |||||
Investor | 1,000.00 | 1,020.50 | 0.62 | 3.11 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,061.60 | 0.38 | 1.95 | |||||
Investor | 1,000.00 | 1,059.60 | 0.65 | 3.33 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,084.90 | 0.55 | 2.85 | |||||
Investor | 1,000.00 | 1,084.20 | 0.81 | 4.21 | ||||||
Global Bond | Institutional | 1,000.00 | 982.80 | 0.55 | 2.71 | |||||
Investor | 1,000.00 | 980.70 | 0.83 | 4.11 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 957.50 | 0.67 | 3.27 | |||||
Investor | 1,000.00 | 956.30 | 0.94 | 4.57 | ||||||
Equity Index | Institutional | 1,000.00 | 970.10 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 969.00 | 0.41 | 2.01 | ||||||
Value Equity | Institutional | 1,000.00 | 848.10 | 0.63 | 2.88 | |||||
Investor | 1,000.00 | 846.60 | 0.89 | 4.08 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,100.10 | 0.68 | 3.57 | |||||
Investor | 1,000.00 | 1,099.00 | 0.94 | 4.90 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 895.70 | 0.98 | 4.62 | |||||
Investor | 1,000.00 | 894.00 | 1.25 | 5.87 | ||||||
International Equity Index | Institutional | 1,000.00 | 894.20 | 0.22 | 1.04 | |||||
International Equity (3) | Institutional | 1,000.00 | 874.50 | 1.01 | 4.71 | |||||
Investor | 1,000.00 | 873.30 | 1.27 | 5.92 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 925.40 | 1.16 | 5.55 | |||||
Investor | 1,000.00 | 922.50 | 1.57 | 7.50 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 827.90 | 0.84 | 3.82 | |||||
Investor | 1,000.00 | 827.50 | 1.11 | 5.04 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 965.50 | 1.08 | 5.28 | |||||
Investor | 1,000.00 | 963.50 | 1.36 | 6.64 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,024.57 | 0.06% | $0.30 | |||||
Investor | 1,000.00 | 1,023.32 | 0.31 | 1.56 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.42 | 0.09 | 0.45 | |||||
Investor | 1,000.00 | 1,023.18 | 0.34 | 1.70 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,024.15 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,022.91 | 0.39 | 1.97 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.17 | 0.14 | 0.70 | |||||
Investor | 1,000.00 | 1,022.83 | 0.41 | 2.06 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.05 | 0.16 | 0.82 | |||||
Investor | 1,000.00 | 1,022.78 | 0.42 | 2.11 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.11 | 0.15 | 0.76 | |||||
Investor | 1,000.00 | 1,022.88 | 0.40 | 2.01 |
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Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Balanced Allocation | Institutional | $1,000.00 | $1,024.24 | 0.13% | $0.63 | |||||
Investor | 1,000.00 | 1,022.99 | 0.38 | 1.89 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.22 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,022.98 | 0.38 | 1.91 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.21 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 1,022.97 | 0.38 | 1.92 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.15 | 0.14 | 0.73 | |||||
Investor | 1,000.00 | 1,022.90 | 0.39 | 1.99 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.12 | 0.35 | 1.77 | |||||
Investor | 1,000.00 | 1,021.79 | 0.62 | 3.11 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,022.97 | 0.38 | 1.91 | |||||
Investor | 1,000.00 | 1,021.63 | 0.65 | 3.27 | ||||||
Extended-Duration Bond | Institutional | 1,000.00 | 1,022.13 | 0.55 | 2.76 | |||||
Investor | 1,000.00 | 1,020.82 | 0.81 | 4.08 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.13 | 0.55 | 2.77 | |||||
Investor | 1,000.00 | 1,020.72 | 0.83 | 4.19 | ||||||
Defensive Market Strategies | Institutional | 1,000.00 | 1,021.52 | 0.67 | 3.38 | |||||
Investor | 1,000.00 | 1,020.19 | 0.94 | 4.72 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.19 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,022.82 | 0.41 | 2.06 | ||||||
Value Equity | Institutional | 1,000.00 | 1,021.74 | 0.63 | 3.15 | |||||
Investor | 1,000.00 | 1,020.45 | 0.89 | 4.46 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.46 | 0.68 | 3.44 | |||||
Investor | 1,000.00 | 1,020.19 | 0.94 | 4.72 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,019.99 | 0.98 | 4.93 | |||||
Investor | 1,000.00 | 1,018.67 | 1.25 | 6.25 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,023.77 | 0.22 | 1.11 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,019.84 | 1.01 | 5.07 | |||||
Investor | 1,000.00 | 1,018.55 | 1.27 | 6.37 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.10 | 1.16 | 5.82 | |||||
Investor | 1,000.00 | 1,017.06 | 1.57 | 7.87 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.69 | 0.84 | 4.22 | |||||
Investor | 1,000.00 | 1,019.34 | 1.11 | 5.57 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,019.49 | 1.08 | 5.42 | |||||
Investor | 1,000.00 | 1,018.10 | 1.36 | 6.82 | ||||||
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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 |
BBSW | — | Bank Bill Swap 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 |
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 |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MIBOR | — | Mumbai Interbank Offered Rate |
NIBOR | — | Norwegian Interbank Offered Rate |
NVDR | — | Non-Voting Depository Receipt |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PLC | — | Public Limited Company |
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 |
TELBOR | — | Tel Aviv Interbank Offered Rate |
TIIE | — | The Equilibrium Interbank Interest Rate |
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, 2020, 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 | $301,050,402 | 30.44% | ||
Medium-Duration Bond | 298,981,361 | 16.18 | ||
Extended-Duration Bond | 24,634,795 | 8.65 | ||
Global Bond | 86,172,239 | 14.66 | ||
Defensive Market Strategies | 162,814,816 | 13.52 | ||
International Equity Index | 10,873,820 | 1.62 | ||
International Equity | 9,318,048 | 0.81 | ||
Emerging Markets Equity | 10,555,912 | 1.86 | ||
Global Real Estate Securities | 478,223 | 0.22 | ||
Strategic Alternatives | 40,732,285 | 11.18 |
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, 2020. |
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, 2020. |
∞ | — | 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, 2020 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
α | — | Century bond maturing in 3013. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 1 in Notes to Schedules of Investments). As of June 30, 2020, 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 | $ — | 0.00% | ||
Global Bond | 40,330 | 0.01 | ||
Small Cap Equity | 1,956,000 | 0.36 | ||
International Equity | — | 0.00 | ||
Strategic Alternatives | 1,411,670 | 0.39 |
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). |
(P) | — | Par is denominated in Polish Zloty (PLN). |
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FOREIGN BOND FOOTNOTES: | ||
(Q) | — | Par is denominated in Russian Rubles (RUB). |
(S) | — | Par is denominated in South African Rand (ZAR). |
(U) | — | Par is denominated in British Pounds (GBP). |
(X) | — | Par is denominated in Colombian Pesos (COP). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(ZA) | — | Par is denominated in Argentine Pesos (ARS). |
COUNTERPARTY ABBREVIATIONS: | ||
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
BOFA | — | 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. |
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 Westpac Bank. |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 10,203,261 | $ 10,203,261 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 7,428,115 | 100,725,243 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 10,640,173 | 168,008,333 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,741,029 | 65,725,031 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 5,436,283 | 68,279,710 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,133,483 | 106,538,408 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 746,700 | 10,513,539 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,913,756 | 57,481,711 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,149,311 | 20,268,000 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 577,719 | 4,777,734 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,187,053 | 31,169,381 | ||
Total Mutual Funds (Cost $627,927,962) | 643,690,351 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $92,616) | 92,616 | $ 92,616 | ||
TOTAL INVESTMENTS — 100.0% (Cost $628,020,578) | 643,782,967 | |||
Liabilities in Excess of Other Assets — (0.0)% | (55,764) | |||
NET ASSETS — 100.0% | $643,727,203 |
% | |
Fixed Income Select Funds | 53.6 |
U.S. Equity Select Funds | 28.8 |
Non-U.S. Equity Select Funds | 12.1 |
Alternative Select Funds | 4.8 |
Real Assets Select Funds | 0.7 |
Money Market Funds | —** |
100.0 |
**Rounds to less than 0.05% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 92,616 | $ 92,616 | $ — | $ — | |||
Mutual Funds | 643,690,351 | 643,690,351 | — | — | |||
Total Assets - Investments in Securities | $643,782,967 | $643,782,967 | $ — | $ — |
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Shares | Value | |||
MUTUAL FUNDS — 100.1% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 21,012,491 | $ 21,012,491 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 6,690,089 | 90,717,611 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 22,793,870 | 359,915,205 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 11,313,519 | 110,306,815 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 12,604,161 | 158,308,262 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,586,605 | 325,944,576 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,323,171 | 32,710,247 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,200,740 | 176,911,194 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,571,598 | 61,970,171 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,627,143 | 13,456,470 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,878,372 | 37,930,479 | ||
Total Mutual Funds (Cost $1,357,359,032) | 1,389,183,521 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $73,115) | 73,115 | $ 73,115 | ||
TOTAL INVESTMENTS — 100.1% (Cost $1,357,432,147) | 1,389,256,636 | |||
Liabilities in Excess of Other Assets — (0.1)% | (750,576) | |||
NET ASSETS — 100.0% | $1,388,506,060 |
% | |
Fixed Income Select Funds | 41.9 |
U.S. Equity Select Funds | 37.3 |
Non-U.S. Equity Select Funds | 17.2 |
Alternative Select Funds | 2.7 |
Real Assets Select Funds | 1.0 |
Money Market Funds | —** |
100.1 |
**Rounds to less than 0.05% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 73,115 | $ 73,115 | $ — | $ — | |||
Mutual Funds | 1,389,183,521 | 1,389,183,521 | — | — | |||
Total Assets - Investments in Securities | $1,389,256,636 | $1,389,256,636 | $ — | $ — |
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Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 21,477,541 | $ 21,477,541 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,055,302 | 174,563,216 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,387,387 | 42,777,025 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,793,213 | 60,202,760 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 10,036,065 | 341,226,205 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,560,543 | 36,052,450 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 19,245,630 | 187,067,528 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,911,560 | 65,176,010 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,572,093 | 13,001,213 | ||
Total Mutual Funds (Cost $917,279,244) | 941,543,948 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $17,207) | 17,207 | 17,207 | ||
TOTAL INVESTMENTS — 100.0% (Cost $917,296,451) | 941,561,155 | |||
Liabilities in Excess of Other Assets — (0.0)% | (393,143) | |||
NET ASSETS — 100.0% | $941,168,012 |
% | |
U.S. Equity Select Funds | 46.5 |
Non-U.S. Equity Select Funds | 26.8 |
Fixed Income Select Funds | 25.3 |
Real Assets Select Funds | 1.4 |
Money Market Funds | —** |
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 | 09/2020 | 3 | $ 266,760 | $ 3,176 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 1 | 49,285 | 700 | ||||
S&P 500® E-Mini | 09/2020 | 4 | 618,040 | 16,824 | ||||
10-Year U.S. Treasury Note | 09/2020 | 3 | 417,516 | 1,167 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $1,351,601 | $21,867 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 17,207 | $ 17,207 | $ — | $ — | |||
Mutual Funds | 941,543,948 | 941,543,948 | — | — | |||
Total Assets - Investments in Securities | $941,561,155 | $941,561,155 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 21,867 | $ 21,867 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 21,867 | $ 21,867 | $ — | $ — |
*** | 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, 0.16% (Institutional Class)Ø∞ | 14,552,977 | $ 14,552,977 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 3,858,686 | 60,928,654 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,550,902 | 15,121,295 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 2,788,093 | 35,018,447 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,161,824 | 311,502,031 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,207,038 | 31,075,087 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,164,761 | 166,841,478 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,286,082 | 59,277,755 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,485,989 | 12,289,129 | ||
Total Mutual Funds (Cost $687,375,819) | 706,606,853 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $35,698) | 35,698 | 35,698 | ||
TOTAL INVESTMENTS — 100.0% (Cost $687,411,517) | 706,642,551 | |||
Liabilities in Excess of Other Assets — (0.0)% | (15,527) | |||
NET ASSETS — 100.0% | $706,627,024 |
% | |
U.S. Equity Select Funds | 53.5 |
Non-U.S. Equity Select Funds | 32.0 |
Fixed Income Select Funds | 12.8 |
Real Assets Select Funds | 1.7 |
Money Market Funds | —** |
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) | ||||
S&P 500® E-Mini | 09/2020 | 1 | $154,510 | $3,874 | ||||
10-Year U.S. Treasury Note | 09/2020 | 1 | 139,172 | 389 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $293,682 | $4,263 |
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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: | |||||||
Money Market Funds | $ 35,698 | $ 35,698 | $ — | $ — | |||
Mutual Funds | 706,606,853 | 706,606,853 | — | — | |||
Total Assets - Investments in Securities | $706,642,551 | $706,642,551 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 4,263 | $ 4,263 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 4,263 | $ 4,263 | $ — | $ — |
*** | 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, 0.16% (Institutional Class)Ø∞ | 4,884,080 | $ 4,884,080 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 863,809 | 13,639,545 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 347,226 | 3,385,451 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 958,181 | 12,034,756 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,291,681 | 111,917,171 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 792,170 | 11,153,752 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 6,167,465 | 59,947,761 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,258,672 | 21,299,274 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 533,359 | 4,410,880 | ||
Total Mutual Funds (Cost $239,868,537) | 242,672,670 | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $60,123) | 60,123 | 60,123 | ||
TOTAL INVESTMENTS — 99.9% (Cost $239,928,660) | 242,732,793 | |||
Other Assets in Excess of Liabilities — 0.1% | 156,696 | |||
NET ASSETS — 100.0% | $242,889,489 |
% | |
U.S. Equity Select Funds | 55.6 |
Non-U.S. Equity Select Funds | 33.5 |
Fixed Income Select Funds | 9.0 |
Real Assets Select Funds | 1.8 |
Money Market Funds | —** |
99.9 |
**Rounds to less than 0.05% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 60,123 | $ 60,123 | $ — | $ — | |||
Mutual Funds | 242,672,670 | 242,672,670 | — | — | |||
Total Assets - Investments in Securities | $242,732,793 | $242,732,793 | $ — | $ — |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 92,616 | $ 73,115 | |
Investments in securities of affiliated issuers, at value | 643,690,351 | 1,389,183,521 | |
Total investments, at value(1) | 643,782,967 | 1,389,256,636 | |
Deposits with broker for futures contracts | — | — | |
Receivables: | |||
Dividends | 1,551 | 3,096 | |
From advisor | 39,065 | — | |
Fund shares sold | 125,769 | 236,127 | |
Variation margin on futures contracts | — | — | |
Prepaid expenses and other assets | 34,461 | 96,610 | |
Total Assets | 643,983,813 | 1,389,592,469 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 53,873 | 690,608 | |
Accrued expenses: | |||
Investment advisory fees | 52,577 | 113,766 | |
Shareholder servicing fees | 102,235 | 206,241 | |
Trustee fees | 582 | 901 | |
Other expenses | 47,343 | 74,893 | |
Total Liabilities | 256,610 | 1,086,409 | |
Net Assets | $643,727,203 | $1,388,506,060 | |
Net Assets Consist of: | |||
Paid-in-capital | $617,322,241 | $1,329,033,405 | |
Distributable earnings (loss) | 26,404,962 | 59,472,655 | |
Net Assets | $643,727,203 | $1,388,506,060 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $144,060,746 | $ 382,930,865 | |
Institutional shares outstanding | 13,983,444 | 37,474,067 | |
Net asset value, offering and redemption price per Institutional share | $ 10.30 | $ 10.22 | |
Net assets applicable to the Investor Class | $499,666,457 | $1,005,575,195 | |
Investor shares outstanding | 48,564,593 | 98,441,862 | |
Net asset value, offering and redemption price per Investor share | $ 10.29 | $ 10.21 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 92,616 | $ 73,115 | |
Investments in securities of affiliated issuers, at cost | 627,927,962 | 1,357,359,032 | |
Total investments, at cost | $628,020,578 | $1,357,432,147 |
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MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ 17,207 | $ 35,698 | $ 60,123 | ||
941,543,948 | 706,606,853 | 242,672,670 | ||
941,561,155 | 706,642,551 | 242,732,793 | ||
90,000 | 15,000 | 5 | ||
3,216 | 2,274 | 790 | ||
— | 13,103 | 394 | ||
137,207 | 207,357 | 249,873 | ||
7,311 | 1,969 | — | ||
41,653 | 37,701 | 26,544 | ||
941,840,542 | 706,919,955 | 243,010,399 | ||
402,456 | 89,620 | 38,112 | ||
76,839 | 57,676 | 19,753 | ||
132,802 | 93,653 | 30,231 | ||
531 | 463 | 7 | ||
59,902 | 51,519 | 32,807 | ||
672,530 | 292,931 | 120,910 | ||
$941,168,012 | $706,627,024 | $242,889,489 | ||
$903,256,144 | $680,120,037 | $238,195,236 | ||
37,911,868 | 26,506,987 | 4,694,253 | ||
$941,168,012 | $706,627,024 | $242,889,489 | ||
$291,891,800 | $248,123,339 | $ 94,473,640 | ||
29,641,941 | 26,471,338 | 7,258,877 | ||
$ 9.85 | $ 9.37 | $ 13.01 | ||
$649,276,212 | $458,503,685 | $148,415,849 | ||
65,995,978 | 48,991,505 | 11,430,415 | ||
$ 9.84 | $ 9.36 | $ 12.98 | ||
$ 17,207 | $ 35,698 | $ 60,123 | ||
917,279,244 | 687,375,819 | 239,868,537 | ||
$917,296,451 | $687,411,517 | $239,928,660 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
MyDestination 2015 Fund | |
Investment Income | |
Dividends | $ 5 |
Income distributions received from affiliated funds | 4,319,321 |
Interest | — |
Total Investment Income | 4,319,326 |
Expenses | |
Investment advisory fees | 314,115 |
Transfer agent fees: | |
Institutional shares | 1,812 |
Investor shares | 10,922 |
Custodian fees | 11,789 |
Shareholder servicing fees: | |
Investor shares | 615,132 |
Accounting and administration fees | 13,944 |
Professional fees | 43,535 |
Shareholder reporting fees: | |
Institutional shares | 264 |
Investor shares | 3,821 |
Trustees expenses | 2,170 |
Line of credit facility fees | 756 |
Other expenses | 31,842 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 1,050,102 |
Expenses waived/reimbursed(1) | (226,659) |
Net Expenses | 823,443 |
Net Investment Income | 3,495,883 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 1,110,341 |
Net realized gain (loss) on investment securities of affiliated issuers | 636,162 |
Net realized gain (loss) on futures transactions | 61,281 |
Net realized gain | 1,807,784 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (13,623,350) |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (14) |
Change in unrealized appreciation (depreciation) on futures | (17,466) |
Net change in unrealized appreciation (depreciation) | (13,640,830) |
Net Realized and Unrealized Loss | (11,833,046) |
Net Decrease in Net Assets Resulting from Operations | $ (8,337,163) |
(1) | See Note 3c in Notes to Financial Statements. |
Table of Contents
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 163 | $ 150 | $ 173 | $ 63 | |||
9,120,851 | 5,539,218 | 3,757,765 | 1,239,283 | |||
1,621 | 1,818 | 1,865 | 426 | |||
9,122,635 | 5,541,186 | 3,759,803 | 1,239,772 | |||
673,297 | 446,278 | 332,730 | 110,792 | |||
2,101 | 2,143 | 2,199 | 2,116 | |||
16,083 | 11,036 | 9,882 | 8,139 | |||
15,605 | 13,273 | 12,113 | 11,270 | |||
1,235,852 | 780,457 | 547,856 | 172,398 | |||
29,890 | 19,813 | 14,771 | 4,919 | |||
39,969 | 41,123 | 42,379 | 42,212 | |||
645 | 616 | 769 | 675 | |||
6,584 | 4,116 | 3,600 | 2,198 | |||
4,180 | 2,756 | 2,122 | 1,042 | |||
1,421 | 1,111 | 946 | 697 | |||
55,409 | 44,118 | 35,631 | 15,696 | |||
— | 61,206 | 59,540 | — | |||
2,081,036 | 1,428,046 | 1,064,538 | 372,154 | |||
(247,084) | (13,414) | (2,803) | (14,237) | |||
1,833,952 | 1,414,632 | 1,061,735 | 357,917 | |||
7,288,683 | 4,126,554 | 2,698,068 | 881,855 | |||
2,538,983 | 1,633,255 | 1,242,729 | 425,487 | |||
8,629,654 | 3,998,625 | 1,254,907 | (36,591) | |||
(335,478) | (481,090) | (676,225) | (253,663) | |||
10,833,159 | 5,150,790 | 1,821,411 | 135,233 | |||
(48,871,143) | (44,755,340) | (39,951,864) | (13,074,477) | |||
(41) | (51) | (44) | (60) | |||
(105,146) | (131,960) | (124,823) | (41,910) | |||
(48,976,330) | (44,887,351) | (40,076,731) | (13,116,447) | |||
(38,143,171) | (39,736,561) | (38,255,320) | (12,981,214) | |||
$(30,854,488) | $(35,610,007) | $(35,557,252) | $(12,099,359) |
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 | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,495,883 | $ 13,925,733 | $ 7,288,683 | $ 27,594,933 | |||
Net realized gain on investment securities and futures transactions | 1,807,784 | 14,296,310 | 10,833,159 | 27,355,301 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (13,640,830) | 61,031,096 | (48,976,330) | 156,024,078 | |||
Net increase (decrease) in net assets resulting from operations | (8,337,163) | 89,253,139 | (30,854,488) | 210,974,312 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (5,862,578) | — | (13,988,165) | |||
Investor shares | — | (20,450,729) | — | (38,484,767) | |||
Total distributions | — | (26,313,307) | — | (52,472,932) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 17,750,485 | 53,645,758 | 57,606,832 | 112,767,546 | |||
Investor shares | 30,920,786 | 49,464,244 | 51,305,117 | 111,058,235 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 5,862,578 | — | 13,988,165 | |||
Investor shares | — | 20,446,948 | — | 38,483,178 | |||
Total proceeds from shares sold and reinvested | 48,671,271 | 129,419,528 | 108,911,949 | 276,297,124 | |||
Value of shares redeemed | |||||||
Institutional shares | (15,385,129) | (31,768,802) | (29,191,918) | (50,659,250) | |||
Investor shares | (48,817,505) | (93,504,464) | (69,907,693) | (112,946,892) | |||
Total value of shares redeemed | (64,202,634) | (125,273,266) | (99,099,611) | (163,606,142) | |||
Net increase (decrease) from capital share transactions(1) | (15,531,363) | 4,146,262 | 9,812,338 | 112,690,982 | |||
Total increase (decrease) in net assets | (23,868,526) | 67,086,094 | (21,042,150) | 271,192,362 | |||
Net Assets: | |||||||
Beginning of Period | 667,595,729 | 600,509,635 | 1,409,548,210 | 1,138,355,848 | |||
End of Period | $643,727,203 | $ 667,595,729 | $1,388,506,060 | $1,409,548,210 |
(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 | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 4,126,554 | $ 17,182,712 | $ 2,698,068 | $ 12,586,247 | $ 881,855 | $ 3,872,295 | |||||
5,150,790 | 14,025,688 | 1,821,411 | 9,995,707 | 135,233 | 5,037,224 | |||||
(44,887,351) | 128,412,019 | (40,076,731) | 108,037,603 | (13,116,447) | 30,906,869 | |||||
(35,610,007) | 159,620,419 | (35,557,252) | 130,619,557 | (12,099,359) | 39,816,388 | |||||
— | (9,403,983) | — | (8,040,317) | — | (3,200,893) | |||||
— | (21,796,700) | — | (15,261,033) | — | (5,664,596) | |||||
— | (31,200,683) | — | (23,301,350) | — | (8,865,489) | |||||
49,249,261 | 85,294,170 | 37,417,077 | 60,147,102 | 25,413,862 | 29,732,533 | |||||
37,642,088 | 88,866,340 | 27,468,312 | 65,328,746 | 21,176,802 | 39,108,697 | |||||
— | 9,403,983 | — | 8,040,317 | — | 3,200,894 | |||||
— | 21,796,029 | — | 15,260,906 | — | 5,664,445 | |||||
86,891,349 | 205,360,522 | 64,885,389 | 148,777,071 | 46,590,664 | 77,706,569 | |||||
(13,204,885) | (35,182,892) | (8,486,530) | (31,741,269) | (3,901,509) | (20,917,032) | |||||
(25,730,743) | (58,018,044) | (15,305,113) | (40,840,087) | (8,329,611) | (15,829,240) | |||||
(38,935,628) | (93,200,936) | (23,791,643) | (72,581,356) | (12,231,120) | (36,746,272) | |||||
47,955,721 | 112,159,586 | 41,093,746 | 76,195,715 | 34,359,544 | 40,960,297 | |||||
12,345,714 | 240,579,322 | 5,536,494 | 183,513,922 | 22,260,185 | 71,911,196 | |||||
928,822,298 | 688,242,976 | 701,090,530 | 517,576,608 | 220,629,304 | 148,718,108 | |||||
$941,168,012 | $928,822,298 | $706,627,024 | $701,090,530 | $242,889,489 | $220,629,304 |
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) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2015 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.40 | $0.07 | $(0.17) | $(0.10) | $ — | $ — | $ — | $10.30 | (0.96)% | $ 144,061 | 0.06% | 0.14% | 1.32% | 8% |
2019 | 9.40 | 0.25 | 1.19 | 1.44 | (0.28) | (0.16) | (0.44) | 10.40 | 15.32 | 142,900 | 0.06 | 0.13 | 2.48 | 7 |
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(4) | 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 | ||||||||||||||
2020(3) | $10.40 | $0.05 | $(0.16) | $(0.11) | $ — | $ — | $ — | $10.29 | (1.06)% | $ 499,666 | 0.31% | 0.39% | 1.06% | 8% |
2019 | 9.40 | 0.21 | 1.21 | 1.42 | (0.26) | (0.16) | (0.42) | 10.40 | 15.09 | 524,696 | 0.31 | 0.38 | 2.09 | 7 |
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(5) |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.42 | $0.06 | $(0.26) | $(0.20) | $ — | $ — | $ — | $10.22 | (1.92)% | $ 382,931 | 0.09% | 0.13% | 1.29% | 8% |
2019 | 9.15 | 0.25 | 1.44 | 1.69 | (0.27) | (0.15) | (0.42) | 10.42 | 18.45 | 361,408 | 0.09 | 0.12 | 2.43 | 5 |
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(4) | 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 | ||||||||||||||
2020(3) | $10.43 | $0.05 | $(0.27) | $(0.22) | $ — | $ — | $ — | $10.21 | (2.11)% | $1,005,575 | 0.34% | 0.38% | 1.01% | 8% |
2019 | 9.16 | 0.21 | 1.45 | 1.66 | (0.24) | (0.15) | (0.39) | 10.43 | 18.18 | 1,048,140 | 0.34 | 0.37 | 2.06 | 5 |
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(5) |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $10.22 | $0.05 | $(0.42) | $(0.37) | $ — | $ — | $ — | $ 9.85 | (3.62)% | $ 291,892 | 0.14% | 0.15% | 1.12% | 6% |
2019 | 8.65 | 0.24 | 1.70 | 1.94 | (0.24) | (0.13) | (0.37) | 10.22 | 22.47 | 266,012 | 0.13 | 0.13 | 2.41 | 4 |
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(4) | 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 | ||||||||||||||
2020(3) | $10.22 | $0.04 | $(0.42) | $(0.38) | $ — | $ — | $ — | $ 9.84 | (3.72)% | $ 649,276 | 0.39% | 0.40% | 0.84% | 6% |
2019 | 8.65 | 0.20 | 1.72 | 1.92 | (0.22) | (0.13) | (0.35) | 10.22 | 22.16 | 662,810 | 0.39 | 0.39 | 2.01 | 4 |
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(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 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 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | 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. |
(5) | 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) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
MyDestination 2045 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $ 9.87 | $0.05 | $(0.55) | $(0.50) | $ — | $ — | $ — | $ 9.37 | (5.07)% | $248,123 | 0.14% | 0.14% | 1.01% | 4% |
2019 | 8.21 | 0.22 | 1.79 | 2.01 | (0.22) | (0.13) | (0.35) | 9.87 | 24.56 | 230,295 | 0.13 | 0.13 | 2.31 | 4 |
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(4) | 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 | ||||||||||||||
2020(3) | $ 9.87 | $0.03 | $(0.54) | $(0.51) | $ — | $ — | $ — | $ 9.36 | (5.17)% | $458,504 | 0.41% | 0.41% | 0.71% | 4% |
2019 | 8.21 | 0.18 | 1.80 | 1.98 | (0.19) | (0.13) | (0.32) | 9.87 | 24.24 | 470,796 | 0.41 | 0.41 | 1.94 | 4 |
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(5) |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $13.77 | $0.06 | $(0.82) | $(0.76) | $ — | $ — | $ — | $13.01 | (5.52)% | $ 94,473 | 0.16% | 0.18% | 0.98% | 8% |
2019 | 11.48 | 0.30 | 2.58 | 2.88 | (0.30) | (0.29) | (0.59) | 13.77 | 25.15 | 77,156 | 0.16 | 0.20 | 2.26 | 10 |
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(4) | 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 | ||||||||||||||
2020(3) | $13.76 | $0.04 | $(0.82) | $(0.78) | $ — | $ — | $ — | $12.98 | (5.67)% | $148,416 | 0.42% | 0.43% | 0.68% | 8% |
2019 | 11.47 | 0.27 | 2.58 | 2.85 | (0.27) | (0.29) | (0.56) | 13.76 | 24.92 | 143,473 | 0.41 | 0.44 | 2.03 | 10 |
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(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 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 0.44%, 0.41%, 0.35%, 0.34% and 0.33%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | 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. |
(5) | 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, 0.16% (Institutional Class)Ø∞ | 7,169,603 | $ 7,169,603 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 17,794,266 | 241,290,243 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,084,563 | 64,495,243 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,710,100 | 16,673,469 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 3,011,114 | 37,819,593 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,845,895 | 29,072,849 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 1,093,267 | 30,994,127 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 205,226 | 2,889,582 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 2,634,619 | 31,747,163 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,150,241 | 10,846,776 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 666,222 | 5,509,656 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,514,229 | 24,589,163 | ||
Total Mutual Funds (Cost $501,055,939) | 503,097,467 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.1% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07% (Cost $593,061) | 593,061 | $ 593,061 | ||
TOTAL INVESTMENTS — 100.1% (Cost $501,649,000) | 503,690,528 | |||
Liabilities in Excess of Other Assets — (0.1)% | (310,335) | |||
NET ASSETS — 100.0% | $503,380,193 |
% | |
Fixed Income Select Funds | 65.4 |
U.S. Equity Select Funds | 20.1 |
Non-U.S. Equity Select Funds | 8.5 |
Alternative Select Funds | 4.9 |
Real Assets Select Funds | 1.1 |
Money Market Funds | 0.1 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 593,061 | $ 593,061 | $ — | $ — | |||
Mutual Funds | 503,097,467 | 503,097,467 | — | — | |||
Total Assets - Investments in Securities | $503,690,528 | $503,690,528 | $ — | $ — |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.1% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 29,921,432 | $ 29,921,432 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 6,890,962 | 93,441,439 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 22,558,400 | 356,197,142 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 3,329,989 | 64,768,296 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,517,111 | 131,791,832 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 12,781,712 | 160,538,300 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 10,120,472 | 159,397,429 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 6,103,330 | 173,029,413 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,106,368 | 29,657,666 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 14,539,240 | 175,197,838 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,535,062 | 61,625,635 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,401,917 | 28,133,856 |
Shares | Value | |||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,071,547 | $ 59,379,731 | ||
Total Mutual Funds (Cost $1,544,923,684) | 1,523,080,009 | |||
TOTAL INVESTMENTS — 100.1% (Cost $1,544,923,684) | 1,523,080,009 | |||
Liabilities in Excess of Other Assets — (0.1)% | (882,749) | |||
NET ASSETS — 100.0% | $1,522,197,260 |
% | |
Fixed Income Select Funds | 44.5 |
U.S. Equity Select Funds | 34.3 |
Non-U.S. Equity Select Funds | 15.6 |
Alternative Select Funds | 3.9 |
Real Assets Select Funds | 1.8 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $1,523,080,009 | $1,523,080,009 | $ — | $ — | |||
Total Assets - Investments in Securities | $1,523,080,009 | $1,523,080,009 | $ — | $ — |
Table of Contents
Shares | Value | |||
MUTUAL FUNDS — 100.0% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 30,257,006 | $ 30,257,006 | ||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 2,292,751 | 31,089,709 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 7,643,104 | 120,684,621 | ||
GuideStone Extended-Duration Bond Fund (Institutional Class)∞ | 1,152,454 | 22,415,233 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,343,013 | 42,344,373 | ||
GuideStone Defensive Market Strategies Fund (Institutional Class)∞ | 4,371,047 | 54,900,356 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 13,540,859 | 213,268,527 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 7,953,184 | 225,472,778 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,169,541 | 44,627,132 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 19,420,535 | 234,017,442 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,736,799 | 82,388,013 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,800,475 | 31,429,924 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,949,414 | 28,845,270 | ||
Total Mutual Funds (Cost $1,247,629,510) | 1,161,740,384 |
Shares | Value | |||
MONEY MARKET FUNDS — 0.0% | ||||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø (Cost $35,455) | 35,455 | $ 35,455 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,247,664,965) | 1,161,775,839 | |||
Other Assets in Excess of Liabilities — 0.0% | 123,775 | |||
NET ASSETS — 100.0% | $1,161,899,614 |
% | |
U.S. Equity Select Funds | 46.3 |
Non-U.S. Equity Select Funds | 27.2 |
Fixed Income Select Funds | 21.3 |
Real Assets Select Funds | 2.7 |
Alternative Select Funds | 2.5 |
Money Market Funds | —** |
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 | 09/2020 | 21 | $1,867,320 | $19,315 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 10 | 492,850 | 1,224 | ||||
S&P 500® E-Mini | 09/2020 | 23 | 3,553,730 | 74,138 | ||||
10-Year U.S. Treasury Note | 09/2020 | 3 | 417,516 | 745 | ||||
U.S. Treasury Long Bond | 09/2020 | 2 | 357,125 | 1,496 | ||||
5-Year U.S. Treasury Note | 09/2020 | 5 | 628,711 | 843 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $7,317,252 | $97,761 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 35,455 | $ 35,455 | $ — | $ — | |||
Mutual Funds | 1,161,740,384 | 1,161,740,384 | — | — | |||
Total Assets - Investments in Securities | $1,161,775,839 | $1,161,775,839 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 97,761 | $ 97,761 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 97,761 | $ 97,761 | $ — | $ — |
*** | 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 — 100.1% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 19,209,932 | $ 19,209,932 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 16,049,751 | 252,783,576 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 9,243,615 | 262,056,495 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,772,778 | 53,120,706 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 23,111,787 | 278,497,030 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 10,380,694 | 97,889,945 | ||
Total Mutual Funds (Cost $1,076,008,527) | 963,557,684 | |||
TOTAL INVESTMENTS — 100.1% (Cost $1,076,008,527) | 963,557,684 | |||
Liabilities in Excess of Other Assets — (0.1)% | (567,787) | |||
NET ASSETS — 100.0% | $962,989,897 |
% | |
U.S. Equity Select Funds | 59.0 |
Non-U.S. Equity Select Funds | 39.1 |
Fixed Income Select Funds | 2.0 |
100.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Mutual Funds | $963,557,684 | $963,557,684 | $ — | $ — | |||
Total Assets - Investments in Securities | $963,557,684 | $963,557,684 | $ — | $ — |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $ 593,061 | $ — | $ 35,455 | $ — | |||
Investments in securities of affiliated issuers, at value | 503,097,467 | 1,523,080,009 | 1,161,740,384 | 963,557,684 | |||
Total investments, at value(1) | 503,690,528 | 1,523,080,009 | 1,161,775,839 | 963,557,684 | |||
Cash | — | — | 550,000 | — | |||
Receivables: | |||||||
Dividends from affiliated funds | 894 | 4,333 | 4,079 | 3,006 | |||
Fund shares sold | 25,549 | 53,112 | 85,973 | 19,940 | |||
Variation margin on futures contracts | — | — | 41,643 | — | |||
Prepaid expenses and other assets | 31,309 | 38,023 | 37,049 | 35,781 | |||
Total Assets | 503,748,280 | 1,523,175,477 | 1,162,494,583 | 963,616,411 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 185,566 | 504,849 | 244,239 | 336,827 | |||
Accrued expenses: | |||||||
Investment advisory fees | 41,210 | 124,877 | 95,270 | 78,890 | |||
Shareholder servicing fees | 78,137 | 230,579 | 168,157 | 148,497 | |||
Trustee fees | 1,294 | 1,610 | 1,112 | 767 | |||
Other expenses | 61,880 | 116,302 | 86,191 | 61,533 | |||
Total Liabilities | 368,087 | 978,217 | 594,969 | 626,514 | |||
Net Assets | $503,380,193 | $1,522,197,260 | $1,161,899,614 | $ 962,989,897 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $496,450,483 | $1,520,866,498 | $1,209,616,394 | $1,027,712,648 | |||
Distributable earnings (loss) | 6,929,710 | 1,330,762 | (47,716,780) | (64,722,751) | |||
Net Assets | $503,380,193 | $1,522,197,260 | $1,161,899,614 | $ 962,989,897 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $121,572,342 | $ 399,602,814 | $ 342,575,785 | $ 238,397,861 | |||
Institutional shares outstanding | 10,595,590 | 33,384,737 | 29,198,906 | 21,341,622 | |||
Net asset value, offering and redemption price per Institutional share | $ 11.47 | $ 11.97 | $ 11.73 | $ 11.17 | |||
Net assets applicable to the Investor Class | $381,807,851 | $1,122,594,446 | $ 819,323,829 | $ 724,592,036 | |||
Investor shares outstanding | 33,322,133 | 93,925,030 | 69,965,519 | 65,197,107 | |||
Net asset value, offering and redemption price per Investor share | $ 11.46 | $ 11.95 | $ 11.71 | $ 11.11 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $ 593,061 | $ — | $ 35,455 | $ — | |||
Investments in securities of affiliated issuers, at cost | 501,055,939 | 1,544,923,684 | 1,247,629,510 | 1,076,008,527 | |||
Total investments, at cost | $501,649,000 | $1,544,923,684 | $1,247,664,965 | $1,076,008,527 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Dividends | $ 653 | $ 3,541,599 | $ 236 | $ 369 | |||
Income distributions received from affiliated funds | 3,633,883 | 5,738,560 | 5,196,874 | 2,765,712 | |||
Interest | — | 99 | 3,040 | 549 | |||
Total Investment Income | 3,634,536 | 9,280,258 | 5,200,150 | 2,766,630 | |||
Expenses | |||||||
Investment advisory fees | 250,891 | 752,174 | 571,452 | 473,060 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,677 | 1,788 | 1,679 | 1,642 | |||
Investor shares | 14,497 | 26,550 | 19,656 | 16,395 | |||
Custodian fees | 9,069 | 17,946 | 16,766 | 12,999 | |||
Shareholder servicing fees: | |||||||
Investor shares | 487,905 | 1,422,201 | 1,037,278 | 909,993 | |||
Accounting and administration fees | 11,137 | 33,387 | 25,363 | 20,992 | |||
Professional fees | 41,502 | 40,032 | 40,608 | 41,048 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 86 | — | — | 65 | |||
Investor shares | 5,881 | — | — | 5,958 | |||
Trustees expenses | 2,331 | 5,270 | 3,957 | 3,250 | |||
Line of credit facility fees | 1,080 | 1,764 | 1,390 | 1,144 | |||
Other expenses | 38,727 | 70,292 | 58,106 | 45,878 | |||
Total Expenses | 864,783 | 2,371,404 | 1,776,255 | 1,532,424 | |||
Net Investment Income | 2,769,753 | 6,908,854 | 3,423,895 | 1,234,206 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 1,258,796 | 7,284,857 | 7,584,329 | 7,888,154 | |||
Net realized loss on investment securities of affiliated issuers | (3,096,050) | (14,593,577) | (8,684,126) | (8,722,177) | |||
Net realized gain (loss) on futures transactions | 49,971 | 21,988 | (985,539) | (970,077) | |||
Net realized loss | (1,787,283) | (7,286,732) | (2,085,336) | (1,804,100) | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | (4,563,776) | (34,090,503) | (65,522,167) | (75,813,747) | |||
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | (6) | (69) | (61) | (75) | |||
Change in unrealized appreciation (depreciation) on futures | (22,813) | (138,773) | (138,549) | (276,413) | |||
Net change in unrealized appreciation (depreciation) | (4,586,595) | (34,229,345) | (65,660,777) | (76,090,235) | |||
Net Realized and Unrealized Loss | (6,373,878) | (41,516,077) | (67,746,113) | (77,894,335) | |||
Net Decrease in Net Assets Resulting from Operations | $(3,604,125) | $(34,607,223) | $(64,322,218) | $(76,660,129) |
Table of Contents
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 | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 2,769,753 | $ 9,886,471 | $ 6,908,854 | $ 29,080,642 | |||
Net realized gain (loss) on investment securities and futures transactions | (1,787,283) | 8,087,315 | (7,286,732) | 45,298,776 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | (4,586,595) | 34,283,232 | (34,229,345) | 172,746,142 | |||
Net increase (decrease) in net assets resulting from operations | (3,604,125) | 52,257,018 | (34,607,223) | 247,125,560 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (5,095,548) | — | (24,389,522) | |||
Investor shares | — | (18,041,539) | — | (76,908,025) | |||
Total distributions | — | (23,137,087) | — | (101,297,547) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 20,302,490 | 26,042,462 | 50,014,202 | 73,921,673 | |||
Investor shares | 27,114,976 | 47,469,039 | 23,426,407 | 57,180,119 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 5,077,191 | — | 24,290,995 | |||
Investor shares | — | 18,032,064 | — | 76,871,367 | |||
Total proceeds from shares sold and reinvested | 47,417,466 | 96,620,756 | 73,440,609 | 232,264,154 | |||
Value of shares redeemed | |||||||
Institutional shares | (10,253,553) | (11,877,607) | (22,889,675) | (46,362,952) | |||
Investor shares | (57,533,885) | (79,429,062) | (109,333,278) | (177,611,078) | |||
Total value of shares redeemed | (67,787,438) | (91,306,669) | (132,222,953) | (223,974,030) | |||
Net increase (decrease) from capital share transactions(1) | (20,369,972) | 5,314,087 | (58,782,344) | 8,290,124 | |||
Total increase (decrease) in net assets | (23,974,097) | 34,434,018 | (93,389,567) | 154,118,137 | |||
Net Assets: | |||||||
Beginning of Period | 527,354,290 | 492,920,272 | 1,615,586,827 | 1,461,468,690 | |||
End of Period | $503,380,193 | $527,354,290 | $1,522,197,260 | $1,615,586,827 |
(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 | |||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||
(Unaudited) | (Unaudited) | |||||
$ 3,423,895 | $ 19,015,078 | $ 1,234,206 | $ 12,104,780 | |||
(2,085,336) | 48,072,704 | (1,804,100) | 57,225,647 | |||
(65,660,777) | 170,887,923 | (76,090,235) | 168,923,373 | |||
(64,322,218) | 237,975,705 | (76,660,129) | 238,253,800 | |||
— | (28,008,711) | — | (26,653,779) | |||
— | (81,549,805) | — | (91,797,764) | |||
— | (109,558,516) | — | (118,451,543) | |||
64,136,998 | 41,999,339 | 26,863,799 | 45,256,536 | |||
17,580,065 | 39,313,198 | 13,138,427 | 30,691,082 | |||
— | 27,969,231 | — | 26,641,062 | |||
— | 81,515,470 | — | 91,783,316 | |||
81,717,063 | 190,797,238 | 40,002,226 | 194,371,996 | |||
(20,361,948) | (30,570,472) | (14,277,775) | (21,076,702) | |||
(82,564,930) | (138,835,487) | (66,048,646) | (122,548,098) | |||
(102,926,878) | (169,405,959) | (80,326,421) | (143,624,800) | |||
(21,209,815) | 21,391,279 | (40,324,195) | 50,747,196 | |||
(85,532,033) | 149,808,468 | (116,984,324) | 170,549,453 | |||
1,247,431,647 | 1,097,623,179 | 1,079,974,221 | 909,424,768 | |||
$1,161,899,614 | $1,247,431,647 | $ 962,989,897 | $1,079,974,221 |
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) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Conservative Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $11.52 | $0.07 | $(0.12) | $(0.05) | $ — | $ — | $ — | $11.47 | (0.43)% | $ 121,572 | 0.15% | 0.15% | 1.32% | 7% |
2019 | 10.87 | 0.25 | 0.95 | 1.20 | (0.27) | (0.28) | (0.55) | 11.52 | 11.01 | 111,611 | 0.13 | 0.13 | 2.19 | 7 |
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(4) | 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(5) |
Investor Class | ||||||||||||||
2020(3) | $11.52 | $0.06 | $(0.12) | $(0.06) | $ — | $ — | $ — | $11.46 | (0.52)% | $ 381,808 | 0.40% | 0.40% | 1.04% | 7% |
2019 | 10.87 | 0.21 | 0.96 | 1.17 | (0.24) | (0.28) | (0.52) | 11.52 | 10.73 | 415,743 | 0.39 | 0.39 | 1.86 | 7 |
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(5) |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.19 | $0.07 | $(0.29) | $(0.22) | $ — | $ — | $ — | $11.97 | (1.81)% | $ 399,603 | 0.13% | 0.13% | 1.20% | 7% |
2019 | 11.07 | 0.26 | 1.69 | 1.95 | (0.29) | (0.54) | (0.83) | 12.19 | 17.62 | 377,832 | 0.12 | 0.12 | 2.12 | 9 |
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(4) | 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(5) |
Investor Class | ||||||||||||||
2020(3) | $12.19 | $0.05 | $(0.29) | $(0.24) | $ — | $ — | $ — | $11.95 | (1.97)% | $1,122,594 | 0.38% | 0.38% | 0.85% | 7% |
2019 | 11.07 | 0.22 | 1.70 | 1.92 | (0.26) | (0.54) | (0.80) | 12.19 | 17.33 | 1,237,755 | 0.38 | 0.38 | 1.79 | 9 |
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(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 Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | 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. |
(5) | 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) | Expenses, Gross(2) | Investment Income, Net (1) | Portfolio Turnover Rate | |
Growth Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.31 | $0.05 | $(0.63) | $(0.58) | $ — | $ — | $ — | $11.73 | (4.71)% | $342,576 | 0.13% | 0.13% | 0.82% | 8% |
2019 | 11.02 | 0.23 | 2.25 | 2.48 | (0.22) | (0.97) | (1.19) | 12.31 | 22.62 | 312,347 | 0.12 | 0.12 | 1.86 | 10 |
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(4) | 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(5) |
Investor Class | ||||||||||||||
2020(3) | $12.31 | $0.03 | $(0.63) | $(0.60) | $ — | $ — | $ — | $11.71 | (4.87)% | $819,324 | 0.38% | 0.38% | 0.52% | 8% |
2019 | 11.02 | 0.19 | 2.26 | 2.45 | (0.19) | (0.97) | (1.16) | 12.31 | 22.33 | 935,085 | 0.38 | 0.38 | 1.51 | 10 |
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(5) |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(3) | $12.00 | $0.03 | $(0.86) | $(0.83) | $ — | $ — | $ — | $11.17 | (6.92)% | $238,398 | 0.13% | 0.13% | 0.49% | 5% |
2019 | 10.61 | 0.18 | 2.69 | 2.87 | (0.15) | (1.33) | (1.48) | 12.00 | 27.25 | 239,577 | 0.12 | 0.12 | 1.48 | 9 |
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(4) | 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(5) |
Investor Class | ||||||||||||||
2020(3) | $11.95 | $0.01 | $(0.85) | $(0.84) | $ — | $ — | $ — | $11.11 | (7.03)% | $724,592 | 0.38% | 0.38% | 0.19% | 5% |
2019 | 10.58 | 0.14 | 2.68 | 2.82 | (0.12) | (1.33) | (1.45) | 11.95 | 26.86 | 840,397 | 0.38 | 0.38 | 1.12 | 9 |
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(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 Conservative Allocation Fund, Balanced Allocation Fund, Growth Allocation Fund and Aggressive Allocation Fund were 0.53%, 0.65%, 0.76% and 0.84%, respectively for 2020, and are deducted from the value of the funds in which each Fund invests and is included in each Fund’s total return. |
(3) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(4) | 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. |
(5) | 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 — 41.3% | ||||
Federal Farm Credit Bank Discount Notes | ||||
1.76%, 07/07/20 | $ 285,000 | $ 284,916 | ||
1.60%, 08/14/20 | 5,505,000 | 5,494,235 | ||
1.55%, 09/03/20 | 11,365,000 | 11,333,535 | ||
1.60%, 09/28/20 | 3,020,000 | 3,008,054 | ||
0.52%, 10/02/20 | 4,285,000 | 4,279,244 | ||
0.14%, 11/12/20 | 9,295,000 | 9,290,156 | ||
1.50%, 12/08/20 | 20,040,000 | 19,906,108 | ||
0.34%, 01/19/21 | 8,160,000 | 8,144,433 | ||
0.88%, 01/20/21 | 1,785,000 | 1,776,143 | ||
0.43%, 02/12/21 | 7,400,000 | 7,379,991 | ||
0.17%, 03/11/21 | 7,500,000 | 7,491,040 | ||
0.27%, 03/17/21 | 6,290,000 | 6,277,745 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, ICE LIBOR USD 1M - 0.05%), 0.14%, 08/17/20† | 4,255,000 | 4,255,000 | ||
(Floating, ICE LIBOR USD 1M - 0.04%), 0.15%, 09/11/20† | 5,475,000 | 5,474,968 | ||
(Floating, ICE LIBOR USD 1M + 0.03%), 0.21%, 12/14/20† | 6,300,000 | 6,299,883 | ||
(Floating, U.S. Federal Funds + 0.10%), 0.18%, 12/16/20† | 630,000 | 629,998 | ||
(Floating, U.S. SOFR + 0.08%), 0.18%, 01/14/21† | 2,715,000 | 2,715,000 | ||
(Floating, U.S. SOFR + 0.11%), 0.21%, 01/15/21† | 4,515,000 | 4,515,000 | ||
(Floating, ICE LIBOR USD 1M + 0.00%), 0.19%, 03/17/21† | 3,865,000 | 3,864,826 | ||
(Floating, ICE LIBOR USD 1M + 0.05%), 0.24%, 04/16/21† | 7,620,000 | 7,620,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.26%), 0.41%, 06/17/21† | 5,795,000 | 5,794,449 | ||
(Floating, ICE LIBOR USD 1M + 0.16%), 0.33%, 07/01/21† | 4,705,000 | 4,705,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.23%), 0.38%, 07/08/21† | 3,240,000 | 3,240,000 | ||
(Floating, ICE LIBOR USD 1M + 0.10%), 0.30%, 07/16/21† | 5,000,000 | 5,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.09%), 0.26%, 08/30/21† | 8,000,000 | 8,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.11%), 0.30%, 11/12/21† | 1,600,000 | 1,600,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.29%, 11/18/21† | 2,680,000 | 2,680,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.15%), 0.30%, 12/13/21† | 3,470,000 | 3,464,987 | ||
(Floating, U.S. SOFR + 0.18%), 0.28%, 01/14/22† | 6,170,000 | 6,170,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.27%, 05/02/22† | 2,100,000 | 2,099,766 | ||
Federal Home Loan Bank | ||||
(Floating, ICE LIBOR USD 1M + 0.01%), 0.18%, 07/10/20† | 11,860,000 | 11,860,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.08%), 0.18%, 07/24/20† | $ 1,710,000 | $ 1,710,000 | ||
(Floating, ICE LIBOR USD 1M - 0.03%), 0.14%, 08/04/20† | 3,570,000 | 3,570,000 | ||
(Floating, U.S. SOFR + 0.03%), 0.13%, 08/05/20† | 2,265,000 | 2,265,000 | ||
(Floating, U.S. SOFR + 0.02%), 0.12%, 08/19/20† | 3,605,000 | 3,605,000 | ||
(Floating, ICE LIBOR USD 1M - 0.05%), 0.14%, 08/20/20† | 4,770,000 | 4,770,000 | ||
(Floating, U.S. SOFR + 0.03%), 0.13%, 08/21/20† | 1,725,000 | 1,725,000 | ||
(Floating, U.S. SOFR + 0.02%), 0.12%, 08/28/20† | 11,880,000 | 11,880,000 | ||
(Floating, U.S. SOFR + 0.09%), 0.19%, 09/11/20† | 10,370,000 | 10,370,000 | ||
(Floating, U.S. SOFR + 0.11%), 0.21%, 10/01/20† | 6,460,000 | 6,460,000 | ||
2.63%, 10/01/20 | 3,555,000 | 3,563,608 | ||
(Floating, U.S. SOFR + 0.12%), 0.22%, 10/07/20† | 3,600,000 | 3,600,000 | ||
(Floating, ICE LIBOR USD 3M - 0.13%), 0.18%, 12/21/20† | 8,000,000 | 8,000,000 | ||
(Floating, ICE LIBOR USD 3M - 0.17%), 1.18%, 01/08/21† | 4,565,000 | 4,565,000 | ||
(Floating, U.S. SOFR + 0.05%), 0.15%, 01/22/21† | 2,225,000 | 2,225,000 | ||
(Floating, U.S. SOFR + 0.04%), 0.14%, 02/09/21† | 12,595,000 | 12,593,700 | ||
(Floating, U.S. SOFR + 0.08%), 0.18%, 03/04/21† | 3,695,000 | 3,695,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.22%, 03/12/21† | 5,725,000 | 5,725,000 | ||
(Floating, U.S. SOFR + 0.11%), 0.21%, 03/25/21† | 6,550,000 | 6,550,000 | ||
(Floating, ICE LIBOR USD 1M - 0.01%), 0.16%, 04/05/21† | 10,550,000 | 10,550,000 | ||
(Floating, ICE LIBOR USD 1M - 0.02%), 0.16%, 04/27/21† | 5,770,000 | 5,768,626 | ||
(Floating, U.S. SOFR + 0.16%), 0.26%, 05/07/21† | 4,000,000 | 4,000,000 | ||
0.20%, 06/17/21 | 9,545,000 | 9,544,283 | ||
(Floating, U.S. SOFR + 0.08%), 0.18%, 07/08/21† | 4,720,000 | 4,720,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.18%, 07/23/21† | 3,035,000 | 3,035,000 | ||
(Floating, U.S. SOFR + 0.09%), 0.19%, 09/10/21† | 5,880,000 | 5,880,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.22%, 02/28/22† | 8,240,000 | 8,240,000 | ||
Federal Home Loan Bank Discount Notes | ||||
1.56%, 07/06/20 | 24,665,000 | 24,659,621 | ||
0.17%, 07/08/20 | 9,355,000 | 9,354,693 | ||
1.55%, 07/15/20 | 6,155,000 | 6,151,266 | ||
0.12%, 07/22/20 | 14,890,000 | 14,888,961 | ||
1.56%, 07/31/20 | 24,210,000 | 24,178,446 | ||
0.12%, 08/05/20 | 33,345,000 | 33,341,142 | ||
1.58%, 08/14/20 | 10,010,000 | 9,990,644 | ||
1.09%, 08/17/20 | 8,920,000 | 8,907,248 | ||
0.25%, 08/20/20 | 24,445,000 | 24,436,512 |
Table of Contents
Par | Value | |||
1.52%, 08/21/20 | $ 6,500,000 | $ 6,485,957 | ||
0.93%, 08/28/20 | 1,955,000 | 1,952,039 | ||
0.52%, 09/01/20 | 14,720,000 | 14,706,818 | ||
0.69%, 12/04/20 | 7,940,000 | 7,915,915 | ||
0.20%, 04/29/21 | 8,605,000 | 8,590,563 | ||
0.20%, 06/11/21 | 6,770,000 | 6,757,024 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. SOFR + 0.03%), 0.13%, 02/26/21† | 5,065,000 | 5,065,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.22%, 06/04/21† | 12,835,000 | 12,810,810 | ||
(Floating, U.S. SOFR + 0.32%), 0.42%, 09/23/21† | 9,540,000 | 9,540,000 | ||
(Floating, U.S. SOFR + 0.18%), 0.28%, 12/13/21† | 9,870,000 | 9,870,000 | ||
(Floating, U.S. SOFR + 0.20%), 0.30%, 03/11/22† | 5,330,000 | 5,330,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.29%, 06/02/22† | 8,900,000 | 8,900,000 | ||
Federal Home Loan Mortgage Corporation Discount Notes | ||||
1.02%, 07/17/20 | 18,305,000 | 18,296,530 | ||
0.67%, 07/24/20 | 4,755,000 | 4,752,965 | ||
0.66%, 07/28/20 | 7,300,000 | 7,296,386 | ||
Federal National Mortgage Association | ||||
(Floating, U.S. SOFR + 0.07%), 0.17%, 12/11/20† | 4,725,000 | 4,725,000 | ||
(Floating, U.S. SOFR + 0.35%), 0.45%, 04/07/22† | 7,655,000 | 7,655,000 | ||
(Floating, U.S. SOFR + 0.39%), 0.49%, 04/15/22† | 8,775,000 | 8,775,000 | ||
Federal National Mortgage Association Discount Note | ||||
0.67%, 07/24/20 | 4,830,000 | 4,827,932 | ||
Total Agency Obligations (Cost $633,426,166) | 633,426,166 | |||
U.S. TREASURY OBLIGATIONS — 28.5% | ||||
U.S. Cash Management Bills | ||||
0.17%, 11/10/20 | 8,670,000 | 8,664,353 | ||
0.18%, 11/17/20 | 20,000,000 | 19,985,328 | ||
0.18%, 11/24/20 | 21,370,000 | 21,354,072 | ||
0.16%, 12/01/20 | 5,350,000 | 5,346,272 | ||
55,350,025 | ||||
U.S. Treasury Bills | ||||
0.11%, 07/07/20Ω | 73,000,000 | 72,998,662 | ||
0.13%, 07/14/20Ω | 2,000,000 | 6,999,651 | ||
0.13%, 07/30/20Ω | 13,780,000 | 13,778,591 | ||
0.13%, 08/04/20Ω | 26,000,000 | 25,996,562 | ||
0.94%, 08/06/20Ω | 2,320,000 | 2,317,796 | ||
0.15%, 08/11/20Ω | 57,000,000 | 56,990,392 |
Par | Value | |||
0.12%, 08/18/20Ω | $13,550,000 | $ 13,547,886 | ||
0.85%, 08/27/20Ω | 7,520,000 | 7,509,825 | ||
0.81%, 09/03/20Ω | 4,605,000 | 4,598,328 | ||
1.73%, 09/10/20Ω | 3,305,000 | 3,293,658 | ||
0.14%, 09/17/20Ω | 2,635,000 | 2,634,201 | ||
0.20%, 10/15/20Ω | 24,850,000 | 24,835,151 | ||
0.15%, 10/22/20Ω | 20,640,000 | 20,630,108 | ||
0.16%, 01/28/21Ω | 13,000,000 | 12,987,428 | ||
0.18%, 02/25/21Ω | 16,000,000 | 15,980,880 | ||
0.18%, 03/25/21Ω | 16,540,000 | 16,518,062 | ||
0.16%, 05/20/21Ω | 10,265,000 | 10,250,264 | ||
311,867,445 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.04%), 0.19%, 07/31/20† | 13,630,000 | 13,629,688 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 0.20%, 10/31/20† | 12,000,000 | 11,995,824 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.14%), 0.29%, 04/30/21† | 1,240,000 | 1,239,162 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.37%, 07/31/21† | 12,000,000 | 12,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.30%), 0.45%, 10/31/21† | 4,215,000 | 4,218,341 | ||
43,083,015 | ||||
U.S. Treasury Notes | ||||
1.75%, 11/15/20 | 1,365,000 | 1,365,685 | ||
2.63%, 11/15/20 | 3,685,000 | 3,698,353 | ||
1.63%, 11/30/20 | 1,470,000 | 1,469,755 | ||
2.00%, 11/30/20 | 870,000 | 871,211 | ||
2.00%, 01/15/21 | 2,490,000 | 2,511,947 | ||
2.50%, 01/31/21 | 16,000,000 | 16,214,763 | ||
26,131,714 | ||||
Total U.S. Treasury Obligations (Cost $436,432,199) | 436,432,199 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 0.13%Ø (Cost $181,392) | 181,392 | 181,392 |
Table of Contents
Par | Value | |||
REPURCHASE AGREEMENTS — 29.6% | ||||
Bank of Nova Scotia | ||||
0.07% (dated 06/30/20, due 07/01/20, repurchase price $30,000,058, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 3.125%, due 01/31/21 to 11/15/49, total market value $30,600,148) | $30,000,000 | $30,000,000 | ||
BNP Paribas | ||||
0.07% (dated 06/30/20, due 07/01/20, repurchase price $75,000,146, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.875%, due 06/30/22 to 08/15/47, total market value $76,500,001) | 75,000,000 | 75,000,000 | ||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $30,000,075, collateralized by Government National Mortgage Association and U.S. Treasury Notes, 0.625% to 7.000%, due 08/15/29 to 05/20/50, total market value $30,600,071) | 30,000,000 | 30,000,000 | ||
Citigroup Global Markets, Inc. | ||||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $38,000,095, collateralized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 6.000%, due 07/28/20 to 07/15/26, total market value $38,760,073) | 38,000,000 | 38,000,000 | ||
Goldman Sachs & Co. | ||||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $58,000,145, collateralized by Government National Mortgage Association, 2.370% to 5.500%, due 12/20/24 to 11/15/56, total market value $59,160,000) | 58,000,000 | 58,000,000 | ||
0.11% (dated 06/24/20, due 07/01/20, repurchase price $23,000,492, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 2.875%, due 04/15/23 to 08/15/49, total market value $23,460,000) | 23,000,000 | 23,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $30,000,075, collateralized by Government National Mortgage Association, 2.000% to 6.000%, due 01/20/33 to 05/20/50, total market value $30,600,000) | 30,000,000 | 30,000,000 |
Par | Value | |||
Mizuho Securities USA, Inc. | ||||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $50,000,125, collateralized by Federal Farm Credit Banks, 0.300% to 2.590%, due 09/02/20 to 02/04/32, total market value $51,000,645) | $50,000,000 | $ 50,000,000 | ||
Natixis S.A. | ||||
0.07% (dated 06/30/20, due 07/01/20, repurchase price $70,000,136, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 3.125%, due 06/30/22 to 08/15/44, total market value $71,400,081) | 70,000,000 | 70,000,000 | ||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $4,000,010, collateralized by Federal Home Loan Mortgage Corporation, Government National Mortgage Association, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 5.500%, due 05/31/21 to 06/20/50, total market value $4,080,000) | 4,000,000 | 4,000,000 | ||
TD Securities USA LLC | ||||
0.09% (dated 06/30/20, due 07/01/20, repurchase price $45,000,113, collateralized by Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association, 3.500% to 4.500%, due 01/01/41 to 12/20/49, total market value $46,245,975) | 45,000,000 | 45,000,000 | ||
Total Repurchase Agreements (Cost $453,000,000) | 453,000,000 | |||
TOTAL INVESTMENTS —99.4% (Cost $1,523,039,757) | 1,523,039,757 | |||
Other Assets in Excess of Liabilities — 0.6% | 8,817,265 | |||
NET ASSETS — 100.0% | $1,531,857,022 |
% | |
Agency Obligations | 41.3 |
Repurchase Agreements | 29.6 |
U.S. Treasury Obligations | 28.5 |
Money Market Funds | —** |
99.4 | |
**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 | $ 633,426,166 | $ — | $ 633,426,166 | $ — | |||
Money Market Funds | 181,392 | 181,392 | — | — | |||
Repurchase Agreements | 453,000,000 | — | 453,000,000 | — | |||
U.S. Treasury Obligations | 436,432,199 | — | 436,432,199 | — | |||
Total Assets - Investments in Securities | $1,523,039,757 | $181,392 | $1,522,858,365 | $ — |
Table of Contents
Par | Value | |||
AGENCY OBLIGATIONS — 2.9% | ||||
Federal Home Loan Mortgage Corporation | ||||
0.38%, 04/20/23 | $1,670,000 | $ 1,675,023 | ||
0.25%, 06/26/23 | 8,845,000 | 8,833,859 | ||
1.20%, 04/17/25 | 3,000,000 | 3,001,345 | ||
Federal National Mortgage Association | ||||
2.75%, 06/22/21 | 2,980,000 | 3,054,353 | ||
1.38%, 09/06/22 | 1,875,000 | 1,921,987 | ||
1.13%, 04/16/25 | 3,000,000 | 3,003,348 | ||
0.50%, 06/17/25 | 7,000,000 | 7,006,100 | ||
Total Agency Obligations (Cost $28,321,002) | 28,496,015 | |||
ASSET-BACKED SECURITIES — 17.4% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 2.32%, 07/15/26 144A † | 485,720 | 483,285 | ||
Ally Auto Receivables Trust, Series 2019-1, Class A3 | ||||
2.91%, 09/15/23 | 1,680,000 | 1,723,668 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 1,000,000 | 1,021,415 | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C | ||||
2.87%, 11/08/21 | 29,328 | 29,357 | ||
Americredit Automobile Receivables Trust, Series 2018-1, Class A3 | ||||
3.07%, 12/19/22 | 384,869 | 388,707 | ||
Americredit Automobile Receivables Trust, Series 2019-1, Class A3 | ||||
2.97%, 11/20/23 | 410,000 | 418,672 | ||
Americredit Automobile Receivables Trust, Series 2019-2, Class A3 | ||||
2.28%, 01/18/24 | 5,000,000 | 5,104,054 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1LR | ||||
(Floating, ICE LIBOR USD 3M + 1.26%), 2.28%, 07/24/29 144A † | 1,988,999 | 1,973,298 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 3.22%, 01/28/31 144A † | 450,000 | 423,329 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 2.07%, 07/18/27 144A † | 3,215,000 | 3,191,559 | ||
Ballyrock CLO, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 2.02%, 07/20/30 144A † | 2,540,000 | 2,546,853 |
Par | Value | |||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.94%, 01/20/28 144A † | $1,134,628 | $1,116,196 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 02/16/37 144A † | 750,000 | 728,371 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.18%, 10/25/37† | 194,358 | 193,450 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 11.00% Cap), 0.63%, 12/25/42† | 31,452 | 30,881 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.75%), 2.97%, 07/15/29 144A † | 300,000 | 298,570 | ||
Black Diamond CLO, Ltd., Series 2013-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.45%), 2.58%, 02/06/26 144A † | 165,309 | 164,054 | ||
BMW Vehicle Lease Trust, Series 2018-1, Class A4 | ||||
3.36%, 03/21/22 | 550,000 | 559,050 | ||
BSPRT Issuer, Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 03/15/28 144A † | 780,841 | 772,084 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 09/15/35 144A † | 1,520,000 | 1,450,148 | ||
Carmax Auto Owner Trust, Series 2018-4, Class A3 | ||||
3.36%, 09/15/23 | 1,560,000 | 1,608,806 | ||
Carmax Auto Owner Trust, Series 2019-3, Class A3 | ||||
2.18%, 08/15/24 | 1,060,000 | 1,090,952 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 343,866 | 347,235 | ||
Chesapeake Funding II LLC, Series 2017-4A, Class A1 | ||||
2.12%, 11/15/29 144A | 557,757 | 561,707 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 454,525 | 465,050 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 243,877 |
Table of Contents
Par | Value | |||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | $ 230,000 | $ 228,796 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | 370,000 | 364,773 | ||
CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%, 1.01% Floor), 2.23%, 04/15/30 144A † | 1,000,000 | 980,497 | ||
CIFC Funding, Ltd., Series 2014-4RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 2.26%, 10/17/30 144A † | 345,000 | 340,565 | ||
CIFC Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 2.02%, 07/15/32 144A † | 2,660,000 | 2,652,823 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.44%, 08/20/35 144A † | 1,290,000 | 1,257,234 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 1,030,000 | 1,054,484 | ||
CNH Equipment Trust, Series 2019-A, Class A3 | ||||
3.01%, 04/15/24 | 1,350,000 | 1,389,634 | ||
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class A | ||||
3.01%, 02/16/27 144A | 817,813 | 822,973 | ||
Credit Acceptance Auto Loan Trust, Series 2018-2A, Class A | ||||
3.47%, 05/17/27 144A | 1,607,160 | 1,627,260 | ||
Credit Acceptance Auto Loan Trust, Series 2018-3A, Class A | ||||
3.55%, 08/15/27 144A | 800,000 | 813,727 | ||
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | ||||
3.33%, 02/15/28 144A | 1,160,000 | 1,187,656 | ||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | 580,000 | 592,333 | ||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | ||||
2.01%, 02/15/29 144A | 1,290,000 | 1,312,556 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.22% on 08/25/20), 5.72%, 09/25/36 STEP | 290,568 | 139,807 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor), 0.72%, 12/25/34† | 866,367 | 819,202 | ||
Dell Equipment Finance Trust, Series 2018-2, Class A3 | ||||
3.37%, 10/22/23 144A | 1,130,000 | 1,145,750 |
Par | Value | |||
DLL LLC, Series 2018-ST2, Class A3 | ||||
3.46%, 01/20/22 144A | $1,306,564 | $1,320,874 | ||
Drive Auto Receivables Trust, Series 2019-2, Class A3 | ||||
3.04%, 03/15/23 | 450,601 | 452,265 | ||
Drive Auto Receivables Trust, Series 2019-4, Class A3 | ||||
2.16%, 05/15/23 | 340,000 | 342,528 | ||
Drive Auto Receivables Trust, Series 2020-1, Class A3 | ||||
2.02%, 11/15/23 | 380,000 | 385,468 | ||
Drive Auto Receivables Trust, Series 2020-1, Class B | ||||
2.08%, 07/15/24 | 1,150,000 | 1,163,573 | ||
Drive Auto Receivables Trust, Series 2020-1, Class C | ||||
2.36%, 03/16/26 | 850,000 | 856,843 | ||
Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
1.42%, 03/17/25 | 400,000 | 401,471 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.12%, 10/15/27 144A † | 1,635,648 | 1,601,418 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 2.12%, 04/15/29 144A † | 1,000,000 | 981,134 | ||
Eaton Vance CLO, Ltd., Series 2013-1A, Class A1RR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%), 2.38%, 01/15/28 144A † | 305,000 | 301,378 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 400,404 | 418,540 | ||
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 | ||||
2.60%, 07/20/22 144A | 168,485 | 168,664 | ||
Enterprise Fleet Financing LLC, Series 2017-3, Class A2 | ||||
2.13%, 05/22/23 144A | 128,771 | 129,137 | ||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 1,458,140 | 1,473,701 | ||
Enterprise Fleet Financing LLC, Series 2019-1, Class A2 | ||||
2.98%, 10/20/24 144A | 729,582 | 743,784 | ||
Enterprise Fleet Financing LLC, Series 2019-2, Class A3 | ||||
2.38%, 02/20/25 144A | 630,000 | 647,648 | ||
FHLMC Structured Pass-Through Certificates, Series T-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.13%, 0.13% Floor), 0.31%, 08/25/31† | 243,244 | 242,470 | ||
First Investors Auto Owner Trust, Series 2018-2A, Class A2 | ||||
3.56%, 06/15/23 144A | 840,000 | 851,456 |
Table of Contents
Par | Value | |||
Flatiron CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/27 144A † | $1,153,025 | $1,146,631 | ||
Ford Credit Auto Lease Trust, Series 2019-A, Class A2A | ||||
2.84%, 09/15/21 | 845,161 | 847,835 | ||
Ford Credit Auto Lease Trust, Series 2020-A, Class B | ||||
2.05%, 06/15/23 | 1,010,000 | 1,010,407 | ||
Ford Credit Auto Owner Trust, Series 2020-B, Class A3 | ||||
0.56%, 10/15/24 | 1,930,000 | 1,934,023 | ||
Ford Credit Floorplan Master Owner Trust A, Series 2019-2, Class A | ||||
3.06%, 04/15/26 | 1,475,000 | 1,546,715 | ||
Ford Credit Floorplan Master Owner Trust, Series 2017-2, Class A1 | ||||
2.16%, 09/15/22 | 1,600,000 | 1,604,312 | ||
Ford Credit Floorplan Master Owner Trust, Series 2019-4, Class A | ||||
2.44%, 09/15/26 | 1,770,000 | 1,790,667 | ||
GM Financial Automobile Leasing Trust, Series 2018-2, Class A3 | ||||
3.06%, 06/21/21 | 216,205 | 216,826 | ||
GM Financial Automobile Leasing Trust, Series 2018-3, Class A4 | ||||
3.30%, 07/20/22 | 310,000 | 313,865 | ||
GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 | ||||
1.67%, 12/20/22 | 3,800,000 | 3,857,112 | ||
GM Financial Automobile Leasing Trust, Series 2020-2, Class A3 | ||||
0.80%, 07/20/23 | 730,000 | 731,617 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | 390,000 | 399,971 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 300,811 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-1, Class A | ||||
2.70%, 04/15/24 144A | 920,000 | 942,397 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | 1,140,000 | 1,156,827 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.36%, 09/15/37 144A † | 1,770,000 | 1,720,302 | ||
Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | ||||
1.87%, 10/15/24 | 700,000 | 713,526 | ||
Hyundai Auto Lease Securitization Trust, Series 2019-A, Class A2 | ||||
2.92%, 07/15/21 144A | 309,479 | 310,870 |
Par | Value | |||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A4 | ||||
2.00%, 12/15/23 144A | $ 630,000 | $ 644,072 | ||
Hyundai Auto Receivables Trust, Series 2016-B, Class D | ||||
2.68%, 09/15/23 | 680,000 | 689,373 | ||
KKR Clo, Ltd., Series 16, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.94%, 01/20/29 144A † | 480,000 | 471,870 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.29%, 06/15/36 144A † | 1,360,000 | 1,345,573 | ||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | 72,434 | 70,988 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 2.18%, 10/20/27 144A † | 1,220,000 | 1,208,204 | ||
Lendmark Funding Trust, Series 2018-1A, Class A | ||||
3.81%, 12/21/26 144A | 960,000 | 961,784 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 350,733 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.31%, 05/15/28 144A † | 630,000 | 625,293 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 3.04%, 04/19/30 144A † | 400,000 | 393,546 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 2.60%, 01/22/28 144A † | 600,000 | 583,266 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 2.02%, 01/15/28 144A † | 2,890,000 | 2,827,319 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 2.20%, 04/15/31 144A † | 530,000 | 519,539 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 06/15/28 144A † | 290,000 | 284,997 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 304,018 |
Table of Contents
Par | Value | |||
Mercedes-Benz Auto Lease Trust, Series 2020-A, Class A2 | ||||
1.82%, 03/15/22 | $3,000,000 | $3,016,854 | ||
Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3 | ||||
0.55%, 02/18/25 | 1,200,000 | 1,201,275 | ||
Mercedes-Benz Master Owner Trust, Series 2019-BA, Class A | ||||
2.61%, 05/15/24 144A | 1,310,000 | 1,333,330 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 495,403 | 502,463 | ||
MMAF Equipment Finance LLC, Series 2020-A, Class A3 | ||||
0.97%, 04/09/27 144A | 1,500,000 | 1,514,397 | ||
MVW Owner Trust, Series 2017-1A, Class A | ||||
2.42%, 12/20/34 144A | 361,345 | 359,921 | ||
Navient Private Education Refi Loan Trust, Series 2019-A, Class A1 | ||||
3.03%, 01/15/43 144A | 47,810 | 47,956 | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 410,000 | 423,478 | ||
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 1.10%, 05/15/68 144A † | 700,000 | 679,263 | ||
Navient Private Education Refi Loan Trust, Series 2019-FA, Class A1 | ||||
2.18%, 08/15/68 144A | 473,139 | 475,891 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 600,000 | 614,430 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 1.08%, 11/15/68 144A † | 100,000 | 97,931 | ||
Navient Private Education Refi Loan Trust, Series 2020-BA, Class A1 | ||||
1.80%, 01/15/69 144A | 1,262,829 | 1,266,501 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 2,000,000 | 2,009,384 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.93%, 03/25/66 144A † | 938,662 | 935,160 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.23%, 12/27/66 144A † | 899,516 | 873,259 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 07/26/66 144A † | 977,834 | 933,634 |
Par | Value | |||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | $ 143,000 | $ 149,040 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 390,000 | 404,084 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 09/25/65 144A † | 975,591 | 967,621 | ||
Neuberger Berman CLO, Ltd., Series 2017-16SA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.07%, 01/15/28 144A † | 1,123,062 | 1,112,882 | ||
Nissan Auto Lease Trust, Series 2020-A, Class A2A | ||||
1.80%, 05/16/22 | 2,500,000 | 2,522,457 | ||
Nissan Auto Lease Trust, Series 2020-A, Class A4 | ||||
1.88%, 04/15/25 | 730,000 | 746,682 | ||
Nissan Master Owner Receivables Trust, Series 2019-A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%), 0.74%, 02/15/24† | 1,200,000 | 1,194,223 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 02/15/36 144A † | 256,000 | 250,899 | ||
NP SPE II LLC, Series 2019-2A, Class A1 | ||||
2.86%, 11/19/49 144A | 1,584,040 | 1,590,637 | ||
Oaktree CLO, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.34%, 07/15/29 144A † | 1,970,000 | 2,002,272 | ||
OFSI Fund VI, Ltd., Series 2014-6A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 2.72%, 03/20/25 144A † | 295,000 | 288,705 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 1,150,000 | 1,166,614 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 220,000 | 223,758 | ||
Palmer Square CLO, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 2.00%, 2.00% Floor), 2.29%, 04/20/29 144A † | 2,460,000 | 2,473,507 | ||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 1.18%, 02/20/28 144A † | 1,141,632 | 1,126,453 |
Table of Contents
Par | Value | |||
PFS Financing Corp, Series 2019-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 09/15/23 144A † | $1,400,000 | $1,394,365 | ||
PFS Financing Corp, Series 2020-B, Class A | ||||
1.21%, 06/17/24 144A | 1,500,000 | 1,504,180 | ||
PFS Financing Corporation, Series 2018-B, Class A | ||||
2.89%, 02/15/23 144A | 2,330,000 | 2,357,904 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 04/15/24 144A † | 390,000 | 389,107 | ||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | 1,500,000 | 1,547,568 | ||
RR 10 LTD, Series 2020-10A, A1FL | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 2.00%, 07/15/33 144A † | 2,830,000 | 2,810,920 | ||
Santander Retail Auto Lease Trust, Series 2019-B, Class A3 | ||||
2.30%, 01/20/23 144A | 1,150,000 | 1,175,454 | ||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | 700,000 | 714,259 | ||
SLC Student Loan Trust, Series 2006-2, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 0.41%, 09/15/26† | 215,143 | 214,960 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.71%, 06/15/33† | 405,700 | 391,935 | ||
SLM Private Credit Student Loan Trust, Series 2005-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.20%), 0.51%, 06/15/23† | 93,343 | 93,220 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 0.55%, 12/16/41† | 286,593 | 271,807 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 107,071 | 120,061 | ||
SLM Student Loan Trust, Series 2004-2, Class A5 | ||||
(Floating, 0.18% - Euribor 3M), 0.02%, 01/25/24(E) † | 484,307 | 544,520 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 1.54%, 01/25/28† | 743,083 | 741,738 | ||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | 229,562 | 233,168 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2A | ||||
2.70%, 05/15/31 144A | 246,082 | 251,937 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 1.68%, 05/15/31 144A † | $ 670,180 | $ 674,134 | ||
SMB Private Education Loan Trust, Series 2016-B, Class A2A | ||||
2.43%, 02/17/32 144A | 161,878 | 165,615 | ||
SMB Private Education Loan Trust, Series 2018-A, Class A2A | ||||
3.50%, 02/15/36 144A | 1,091,853 | 1,143,448 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 0.90%, 01/15/37 144A † | 582,006 | 569,065 | ||
SMB Private Education Loan Trust, Series 2019-A, Class A2A | ||||
3.44%, 07/15/36 144A | 280,000 | 293,045 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 1,000,000 | 1,020,341 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 1.01%, 09/15/37 144A † | 100,000 | 97,300 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 1.03%, 09/15/54 144A † | 3,000,000 | 2,899,681 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 532,254 | 541,055 | ||
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 185,998 | 187,156 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 91,451 | 92,340 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 94,768 | 96,155 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 690,797 | 712,869 | ||
SoFi Professional Loan Program LLC, Series 2017-E, Class A2A | ||||
1.86%, 11/26/40 144A | 98,810 | 98,865 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 210,000 | 218,423 | ||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 245,000 | 256,042 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 490,000 | 508,374 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 805,000 | 833,103 |
Table of Contents
Par | Value | |||
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%), 2.19%, 01/23/29 144A † | $ 345,000 | $ 341,312 | ||
SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A | ||||
3.20%, 05/27/36 144A | 507,719 | 514,145 | ||
Springleaf Funding Trust, Series 2015-BA, Class A | ||||
3.48%, 05/15/28 144A | 651,968 | 650,570 | ||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | 400,000 | 399,810 | ||
Starwood Waypoint Homes Trust, Series 2017-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.13%, 01/17/35 144A † | 1,850,415 | 1,845,338 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 1.67%, 04/25/35† | 174,110 | 169,171 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.26%, 07/15/38 144A † | 1,330,000 | 1,291,664 | ||
Taco Bell Funding LLC, Series 2018-1A, Class A2I | ||||
4.32%, 11/25/48 144A | 817,550 | 835,969 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.42%, 01/15/29 144A † | 285,000 | 283,350 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 326,949 | 329,628 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 709,981 | 725,940 | ||
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 | ||||
3.00%, 11/25/59 144A | 1,568,445 | 1,595,170 | ||
Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3 | ||||
2.91%, 07/17/23 | 1,890,000 | 1,946,052 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 610,000 | 615,084 | ||
TRESTLES CLO, Ltd. Series 2017-1A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.29%), 2.28%, 07/25/29 144A † | 550,000 | 544,754 | ||
Trillium Credit Card Trust II, Series 2020-1A, Class B | ||||
2.33%, 12/26/24 144A | 215,000 | 216,813 |
Par | Value | |||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 10/15/34 144A † | $1,870,000 | $ 1,829,355 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/29 144A † | 3,070,000 | 3,014,237 | ||
VB-S1 Issuer LLC, Series 2020-1A, Class C2 | ||||
3.03%, 06/15/50 144A | 670,000 | 683,008 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 2.10%, 04/15/27 144A † | 357,232 | 351,459 | ||
Verizon Owner Trust, Series 2019-B, Class A1A | ||||
2.33%, 12/20/23 | 3,690,000 | 3,790,014 | ||
Verizon Owner Trust, Series 2020-A, Class A1A | ||||
1.85%, 07/22/24 | 420,000 | 431,497 | ||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | 1,500,000 | 1,533,008 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class D | ||||
4.00%, 10/16/23 144A | 300,000 | 306,444 | ||
Westlake Automobile Receivables Trust, Series 2019-3A, Class A2 | ||||
2.15%, 02/15/23 144A | 363,928 | 366,751 | ||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C | ||||
2.52%, 04/15/25 144A | 620,000 | 628,903 | ||
Westlake Automobile Receivables Trust, Series 2020-2A, Class B | ||||
1.32%, 07/15/25 144A | 910,000 | 912,664 | ||
Total Asset-Backed Securities (Cost $171,075,946) | 171,793,524 | |||
COMMERCIAL PAPER — 0.3% | ||||
American Honda Finance Corporation | ||||
1.92%, Ω (Cost $2,999,188) | 3,000,000 | 2,999,188 | ||
CORPORATE BONDS — 24.4% | ||||
3M Co. | ||||
2.65%, 04/15/25 | 80,000 | 86,574 | ||
ADT Security Corporation (The) | ||||
6.25%, 10/15/21 | 150,000 | 154,091 | ||
4.13%, 06/15/23 | 180,000 | 180,918 | ||
AIG Global Funding | ||||
2.30%, 07/01/22 144A | 330,000 | 340,207 | ||
0.80%, 07/07/23 144A | 610,000 | 610,495 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 148,776 | ||
2.25%, 01/15/23 | 1,360,000 | 1,345,390 | ||
2.75%, 01/15/23Δ | 275,000 | 272,590 |
Table of Contents
Par | Value | |||
Air Products and Chemicals, Inc. | ||||
1.50%, 10/15/25 | $ 40,000 | $ 41,291 | ||
Ally Financial, Inc. | ||||
3.88%, 05/21/24 | 400,000 | 413,955 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 647,176 | ||
American Honda Finance Corporation | ||||
2.05%, 01/10/23 | 915,000 | 946,836 | ||
American Tower Corporation REIT | ||||
2.25%, 01/15/22 | 2,700,000 | 2,767,927 | ||
3.50%, 01/31/23 | 95,000 | 101,580 | ||
3.38%, 05/15/24 | 500,000 | 543,529 | ||
2.40%, 03/15/25 | 215,000 | 227,228 | ||
1.30%, 09/15/25 | 190,000 | 190,839 | ||
1.95%, 05/22/26(E) | 120,000 | 143,421 | ||
Anthem, Inc. | ||||
3.13%, 05/15/22 | 165,000 | 172,890 | ||
3.35%, 12/01/24 | 600,000 | 659,193 | ||
2.38%, 01/15/25 | 145,000 | 153,993 | ||
Aon Corporation | ||||
2.20%, 11/15/22 | 855,000 | 887,236 | ||
Apache Corporation | ||||
3.63%, 02/01/21 | 26,000 | 25,745 | ||
Apple, Inc. | ||||
1.70%, 09/11/22 | 435,000 | 448,183 | ||
0.75%, 05/11/23 | 1,155,000 | 1,167,994 | ||
1.13%, 05/11/25 | 615,000 | 628,703 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,325,000 | 1,347,812 | ||
Assurant, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 1.53%, 03/26/21† | 226,000 | 226,006 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 1.10%, 06/01/21† | 520,000 | 522,682 | ||
3.80%, 03/15/22 | 1,200,000 | 1,264,091 | ||
3.60%, 02/17/23 | 115,000 | 123,524 | ||
3.90%, 03/11/24 | 455,000 | 502,915 | ||
4.45%, 04/01/24 | 350,000 | 393,426 | ||
(Floating, ICE LIBOR USD 3M + 1.18%), 1.50%, 06/12/24† | 3,000,000 | 3,007,090 | ||
Athene Global Funding | ||||
2.80%, 05/26/23 144A | 820,000 | 836,934 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A | 1,000,000 | 955,916 | ||
4.38%, 01/30/24 144A | 1,000,000 | 940,533 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 0.66%), 2.37%, 07/21/21^ | 1,840,000 | 1,841,719 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 2.33%, 10/01/21^ | 765,000 | 768,179 | ||
(Floating, ICE LIBOR USD 3M + 0.38%), 1.42%, 01/23/22† Δ | 900,000 | 897,746 | ||
(Variable, ICE LIBOR USD 3M + 0.37%), 2.74%, 01/23/22^ | 600,000 | 606,757 | ||
(Variable, ICE LIBOR USD 3M + 0.63%), 3.50%, 05/17/22^ | 425,000 | 435,397 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 06/25/22† | 750,000 | 750,588 |
Par | Value | |||
2.50%, 10/21/22 | $ 175,000 | $ 179,203 | ||
3.30%, 01/11/23 | 335,000 | 357,669 | ||
(Variable, ICE LIBOR USD 3M + 0.93%), 2.82%, 07/21/23^ | 700,000 | 727,373 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 1,500,000 | 1,576,368 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 1,000,000 | 1,084,134 | ||
Bank of New York Mellon Corporation (The) | ||||
1.95%, 08/23/22 | 640,000 | 660,262 | ||
BBVA USA | ||||
3.50%, 06/11/21 | 1,600,000 | 1,635,055 | ||
Becton, Dickinson and Co. | ||||
2.89%, 06/06/22 | 1,300,000 | 1,346,614 | ||
BGC Partners, Inc. | ||||
5.13%, 05/27/21Δ | 1,400,000 | 1,421,157 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.93%, 08/13/21 144A † Δ | 3,000,000 | 2,984,961 | ||
3.80%, 04/06/23 144A | 1,045,000 | 1,123,047 | ||
Bristol-Myers Squibb Co. | ||||
2.60%, 05/16/22 144A | 875,000 | 909,981 | ||
Broadcom Corporation | ||||
3.63%, 01/15/24 | 250,000 | 268,921 | ||
Broadcom, Inc. | ||||
3.13%, 04/15/21 144A | 1,000,000 | 1,016,555 | ||
4.70%, 04/15/25 144A | 690,000 | 778,304 | ||
3.46%, 09/15/26 144A | 3,126,000 | 3,357,003 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 796,016 | ||
Capital One Financial Corporation | ||||
3.90%, 01/29/24 | 800,000 | 870,559 | ||
3.75%, 04/24/24 | 135,000 | 146,457 | ||
Carrier Global Corporation | ||||
2.24%, 02/15/25 144A | 690,000 | 706,229 | ||
Caterpillar Financial Services Corporation | ||||
0.95%, 05/13/22Δ | 1,500,000 | 1,519,393 | ||
2.15%, 11/08/24 | 200,000 | 212,390 | ||
Centene Corporation | ||||
4.75%, 05/15/22 | 210,000 | 212,830 | ||
4.75%, 01/15/25 | 395,000 | 404,899 | ||
CenterPoint Energy Resources Corporation | ||||
3.55%, 04/01/23 | 200,000 | 213,216 | ||
Charter Communications Operating LLC | ||||
4.50%, 02/01/24 | 2,700,000 | 2,989,266 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 706,757 | ||
Chevron Corporation | ||||
1.14%, 05/11/23 | 755,000 | 768,328 | ||
Cigna Corporation | ||||
3.20%, 09/17/20 | 1,360,000 | 1,367,657 | ||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 09/17/21† | 860,000 | 860,042 |
Table of Contents
Par | Value | |||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | $ 440,000 | $ 412,432 | ||
CIT Group, Inc. | ||||
4.13%, 03/09/21 | 1,030,000 | 1,032,343 | ||
5.00%, 08/15/22 | 750,000 | 768,274 | ||
Citigroup, Inc. | ||||
2.75%, 04/25/22 | 1,100,000 | 1,140,301 | ||
(Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 1,850,000 | 1,913,915 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.37%, 06/01/24† | 1,000,000 | 997,840 | ||
Citizens Bank NA | ||||
3.25%, 02/14/22 | 430,000 | 445,511 | ||
Cleveland-Cliffs, Inc. | ||||
4.88%, 01/15/24 144A | 225,000 | 212,320 | ||
CNH Industrial Capital LLC | ||||
3.88%, 10/15/21 | 145,000 | 148,700 | ||
1.95%, 07/02/23 | 590,000 | 594,131 | ||
Coca-Cola Co. (The) | ||||
1.13%, 09/22/22(E) | 340,000 | 391,015 | ||
Conagra Brands, Inc. | ||||
3.80%, 10/22/21 | 700,000 | 727,792 | ||
Cox Communications, Inc. | ||||
3.15%, 08/15/24 144A | 290,000 | 312,380 | ||
Crown Castle International Corporation REIT | ||||
1.35%, 07/15/25 | 570,000 | 574,749 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,525,375 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 903,000 | 920,979 | ||
3.70%, 03/09/23 | 1,350,000 | 1,450,355 | ||
4.10%, 03/25/25 | 1,200,000 | 1,357,988 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.43%), 0.86%, 02/12/21 144A † | 1,000,000 | 996,004 | ||
2.30%, 02/12/21 144A | 1,455,000 | 1,465,212 | ||
2.88%, 03/10/21 144A | 1,000,000 | 1,010,689 | ||
3.35%, 05/04/21 144A | 230,000 | 234,269 | ||
2.55%, 08/15/22 144A Δ | 1,000,000 | 1,026,543 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 2,917,000 | 2,998,785 | ||
5.88%, 06/15/21 144A | 356,000 | 356,664 | ||
5.45%, 06/15/23 144A | 1,680,000 | 1,838,323 | ||
Delta Air Lines, Inc. | ||||
3.63%, 03/15/22 | 2,100,000 | 1,989,859 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,840,000 | 1,942,381 | ||
DISH DBS Corporation | ||||
6.75%, 06/01/21 | 700,000 | 714,280 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 1,100,000 | 1,179,368 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 0.91%, 06/15/21† | 1,800,000 | 1,797,591 | ||
Dominion Energy, Inc. | ||||
2.58%, 07/01/20 | 335,000 | 335,000 |
Par | Value | |||
2.72%, 08/15/21 STEP | $ 390,000 | $ 398,747 | ||
Duke Energy Corporation | ||||
3.95%, 10/15/23 | 430,000 | 469,522 | ||
DuPont de Nemours, Inc. | ||||
2.17%, 05/01/23 | 1,110,000 | 1,132,152 | ||
Elanco Animal Health, Inc. | ||||
4.66%, 08/27/21 | 295,000 | 302,191 | ||
Energy Transfer Operating LP | ||||
3.60%, 02/01/23 | 105,000 | 108,662 | ||
4.25%, 03/15/23Δ | 1,000,000 | 1,057,623 | ||
2.90%, 05/15/25 | 260,000 | 265,921 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,305,000 | 1,391,913 | ||
1.25%, 07/15/25Δ | 380,000 | 381,805 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 1,078,598 | ||
Exelon Corporation | ||||
2.45%, 04/15/21 | 175,000 | 177,435 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 3,945,000 | 4,051,581 | ||
0.14%, 06/26/24(E) | 390,000 | 437,979 | ||
Fidelity National Information Services, Inc. | ||||
0.40%, 01/15/21(E) | 415,000 | 466,590 | ||
0.13%, 12/03/22(E) | 300,000 | 335,543 | ||
0.75%, 05/21/23(E) | 380,000 | 430,199 | ||
Fifth Third Bank NA | ||||
1.80%, 01/30/23 | 325,000 | 333,944 | ||
FirstEnergy Corporation | ||||
2.85%, 07/15/22 | 2,357,000 | 2,446,129 | ||
Ford Motor Credit Co. LLC | ||||
3.16%, 08/04/20 | 225,000 | 224,342 | ||
(Floating, ICE LIBOR USD 3M + 2.55%), 2.85%, 01/07/21† | 1,000,000 | 985,152 | ||
3.34%, 03/18/21 | 300,000 | 297,851 | ||
(Floating, ICE LIBOR USD 3M + 0.81%), 1.11%, 04/05/21† | 500,000 | 479,922 | ||
(Floating, ICE LIBOR USD 3M + 1.27%), 1.58%, 03/28/22† | 235,000 | 219,775 | ||
4.14%, 02/15/23 | 345,000 | 339,290 | ||
5.58%, 03/18/24 | 300,000 | 303,530 | ||
5.13%, 06/16/25 | 640,000 | 641,856 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 66,000 | 66,147 | ||
FS KKR Capital Corporation | ||||
4.75%, 05/15/22 | 1,000,000 | 992,198 | ||
FS KKR Capital Corporation II | ||||
4.25%, 02/14/25 144A | 880,000 | 786,919 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 1.26%, 11/05/21† | 500,000 | 493,302 | ||
GE Capital Funding LLC | ||||
3.45%, 05/15/25 144A | 760,000 | 796,774 | ||
General Mills, Inc. | ||||
0.45%, 01/15/26(E) | 100,000 | 110,767 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 230,000 | 248,875 |
Table of Contents
Par | Value | |||
General Motors Financial Co., Inc. | ||||
2.45%, 11/06/20 | $ 605,000 | $ 605,982 | ||
3.70%, 11/24/20 | 2,790,000 | 2,804,914 | ||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.17%, 04/09/21† | 500,000 | 497,059 | ||
3.20%, 07/06/21 | 46,000 | 46,518 | ||
4.20%, 11/06/21 | 395,000 | 405,160 | ||
(Floating, ICE LIBOR USD 3M + 1.55%), 2.86%, 01/14/22† | 590,000 | 586,254 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 1.62%, 06/30/22† | 584,000 | 572,406 | ||
5.20%, 03/20/23 | 1,095,000 | 1,170,988 | ||
Georgia-Pacific LLC | ||||
1.75%, 09/30/25 144A | 340,000 | 351,014 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, ICE LIBOR USD 3M + 0.78%), 1.54%, 10/31/22† | 2,000,000 | 1,999,820 | ||
(Floating, 0.55% - Euribor 3M), 0.31%, 04/21/23(E) † | 210,000 | 233,045 | ||
3.50%, 04/01/25 | 380,000 | 417,125 | ||
Hershey Co. (The) | ||||
0.90%, 06/01/25 | 630,000 | 634,066 | ||
Honeywell International, Inc. | ||||
1.30%, 02/22/23(E) | 260,000 | 300,326 | ||
1.35%, 06/01/25 | 65,000 | 66,616 | ||
Humana, Inc. | ||||
2.90%, 12/15/22 | 1,700,000 | 1,775,841 | ||
Huntington National Bank (The) | ||||
1.80%, 02/03/23 | 545,000 | 560,968 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 368,287 | ||
International Business Machines Corporation | ||||
2.85%, 05/13/22 | 605,000 | 633,165 | ||
International Lease Finance Corporation | ||||
8.25%, 12/15/20 | 800,000 | 818,989 | ||
8.63%, 01/15/22 | 1,200,000 | 1,289,741 | ||
Interpublic Group of Cos., Inc. (The) | ||||
3.50%, 10/01/20 | 230,000 | 231,534 | ||
3.75%, 10/01/21 | 80,000 | 82,977 | ||
Intuit, Inc. | ||||
0.65%, 07/15/23 | 465,000 | 466,262 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24 | 330,000 | 308,791 | ||
Jackson National Life Global Funding | ||||
3.30%, 02/01/22 144A | 1,125,000 | 1,169,627 | ||
John Deere Capital Corporation | ||||
2.70%, 01/06/23 | 1,300,000 | 1,371,628 | ||
1.20%, 04/06/23 | 435,000 | 443,300 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 0.70%), 3.21%, 04/01/23^ | 1,270,000 | 1,322,607 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 290,000 | 303,955 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 620,000 | 644,681 | ||
Kinder Morgan Energy Partners LP | ||||
5.00%, 10/01/21 | 300,000 | 311,922 |
Par | Value | |||
4.25%, 09/01/24 | $ 355,000 | $ 391,100 | ||
Kinder Morgan, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 2.50%, 01/15/23† | 660,000 | 660,100 | ||
3.15%, 01/15/23 | 600,000 | 628,675 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 1.27%, 08/10/22† | 400,000 | 391,143 | ||
Lehman Escrow Bonds | ||||
6.63%, 01/18/12# | 600,000 | 6,720 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,268,406 | ||
Level 3 Financing, Inc. | ||||
5.13%, 05/01/23 | 200,000 | 200,521 | ||
Lowe's Cos., Inc. | ||||
4.00%, 04/15/25 | 600,000 | 684,492 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 130,000 | 145,686 | ||
Marriott International, Inc. | ||||
2.88%, 03/01/21 | 600,000 | 603,031 | ||
Marsh & McLennan Cos., Inc. | ||||
3.50%, 03/10/25 | 220,000 | 243,751 | ||
Masco Corporation | ||||
5.95%, 03/15/22 | 683,000 | 737,187 | ||
MassMutual Global Funding II | ||||
0.85%, 06/09/23 144A | 950,000 | 954,436 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 208,471 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 155,000 | 172,392 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 475,000 | 530,614 | ||
0.38%, 03/07/23(E) | 180,000 | 202,742 | ||
Metropolitan Life Global Funding I | ||||
0.90%, 06/08/23 144A | 830,000 | 835,044 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 144A | 745,000 | 767,397 | ||
MMS USA Investments, Inc. | ||||
0.63%, 06/13/25(E) | 100,000 | 107,553 | ||
Mondelez International, Inc. | ||||
0.63%, 07/01/22 | 400,000 | 399,944 | ||
2.13%, 04/13/23 | 455,000 | 471,568 | ||
1.50%, 05/04/25 | 230,000 | 234,879 | ||
Morgan Stanley | ||||
2.75%, 05/19/22 | 600,000 | 623,960 | ||
3.13%, 01/23/23 | 1,000,000 | 1,060,699 | ||
(Floating, CAD Offered Rate 3M + 0.30%), 0.96%, 02/03/23(C) † | 1,500,000 | 1,074,827 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 838,652 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 600,000 | 625,442 | ||
MPLX LP | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.21%, 09/09/21† | 335,000 | 332,419 | ||
6.25%, 10/15/22 | 199,000 | 201,314 | ||
3.50%, 12/01/22 | 265,000 | 276,247 |
Table of Contents
Par | Value | |||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | $1,000,000 | $1,031,763 | ||
National Rural Utilities Cooperative Finance Corporation | ||||
2.30%, 09/15/22 | 1,200,000 | 1,246,210 | ||
National Securities Clearing Corporation | ||||
1.20%, 04/23/23 144A | 825,000 | 837,283 | ||
Navient Corporation | ||||
6.63%, 07/26/21 | 575,000 | 565,116 | ||
New York Life Global Funding | ||||
1.10%, 05/05/23 144A | 780,000 | 796,674 | ||
NextEra Energy Capital Holdings, Inc. | ||||
2.40%, 09/01/21 | 1,135,000 | 1,160,906 | ||
3.20%, 02/25/22 | 100,000 | 104,345 | ||
2.90%, 04/01/22 | 925,000 | 963,070 | ||
1.95%, 09/01/22 | 1,900,000 | 1,955,548 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 410,358 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 105,000 | 112,997 | ||
Nissan Motor Acceptance Corporation | ||||
2.15%, 09/28/20 144A | 515,000 | 513,525 | ||
3.65%, 09/21/21 144A | 5,000,000 | 5,014,090 | ||
Northwest Airlines Pass-Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | 19,537 | 18,889 | ||
Nucor Corporation | ||||
2.00%, 06/01/25 | 60,000 | 62,205 | ||
Occidental Petroleum Corporation | ||||
2.60%, 08/13/21 | 168,000 | 164,636 | ||
(Floating, ICE LIBOR USD 3M + 1.45%), 1.84%, 08/15/22† | 1,900,000 | 1,748,728 | ||
2.70%, 08/15/22 | 205,000 | 191,223 | ||
2.90%, 08/15/24 | 105,000 | 89,929 | ||
Oracle Corporation | ||||
3.40%, 07/08/24 | 2,200,000 | 2,409,806 | ||
2.50%, 04/01/25 | 380,000 | 407,439 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 144A | 1,780,000 | 1,869,469 | ||
Pacific Gas and Electric Co. | ||||
1.75%, 06/16/22 | 2,700,000 | 2,711,070 | ||
2.10%, 08/01/27 | 600,000 | 595,290 | ||
PayPal Holdings, Inc. | ||||
2.20%, 09/26/22 | 700,000 | 724,821 | ||
1.35%, 06/01/23 | 1,320,000 | 1,346,719 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 325,000 | 333,532 | ||
4.25%, 01/17/23 144A | 165,000 | 175,577 | ||
3.45%, 07/01/24 144A | 1,500,000 | 1,588,616 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,138,216 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 145,000 | 146,381 | ||
Phillips 66 | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 0.96%, 02/26/21† | 595,000 | 594,169 |
Par | Value | |||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | $ 250,000 | $ 256,276 | ||
Protective Life Global Funding | ||||
2.62%, 08/22/22 144A | 575,000 | 597,933 | ||
1.08%, 06/09/23 144A | 395,000 | 398,345 | ||
QUALCOMM, Inc. | ||||
3.00%, 05/20/22 | 25,000 | 26,131 | ||
2.90%, 05/20/24 | 790,000 | 850,567 | ||
Qwest Corporation | ||||
6.75%, 12/01/21 | 350,000 | 369,983 | ||
Regions Financial Corporation | ||||
2.75%, 08/14/22 | 1,700,000 | 1,771,236 | ||
Reliance Standard Life Global Funding II | ||||
2.63%, 07/22/22 144A | 995,000 | 1,022,856 | ||
2.15%, 01/21/23 144A | 465,000 | 474,581 | ||
2.75%, 01/21/27 144A | 1,700,000 | 1,667,514 | ||
Ryder System, Inc. | ||||
2.88%, 06/01/22 | 3,050,000 | 3,157,350 | ||
2.50%, 09/01/22 | 1,200,000 | 1,236,009 | ||
2.50%, 09/01/24Δ | 558,000 | 576,207 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 1,100,000 | 1,172,731 | ||
5.75%, 05/15/24 | 130,000 | 146,472 | ||
Santander Holdings USA, Inc. | ||||
4.45%, 12/03/21 | 475,000 | 495,124 | ||
3.70%, 03/28/22 | 1,115,000 | 1,148,568 | ||
Sempra Energy | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 1.72%, 01/15/21† | 630,000 | 630,115 | ||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | 105,000 | 118,277 | ||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | 1,250,000 | 1,260,844 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 401,222 | ||
Smithfield Foods, Inc. | ||||
2.65%, 10/03/21 144A | 495,000 | 489,672 | ||
Southern California Edison Co. | ||||
2.90%, 03/01/21 | 1,000,000 | 1,017,359 | ||
1.85%, 02/01/22 | 428,571 | 428,981 | ||
Southwest Airlines Co. | ||||
4.75%, 05/04/23 | 675,000 | 693,866 | ||
Spectra Energy Partners LP | ||||
4.75%, 03/15/24 | 90,000 | 100,635 | ||
Springleaf Finance Corporation | ||||
5.63%, 03/15/23 | 735,000 | 745,580 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 701,250 | 710,889 | ||
4.74%, 03/20/25 144A | 445,000 | 484,545 | ||
Starbucks Corporation | ||||
1.30%, 05/07/22 | 340,000 | 344,995 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 270,000 | 266,254 | ||
5.00%, 12/15/21 | 275,000 | 267,524 |
Table of Contents
Par | Value | |||
State Street Corporation | ||||
(Variable, U.S. SOFR + 2.69%), 2.83%, 03/30/23 144A ^ | $ 265,000 | $ 275,127 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 35,000 | 36,088 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 382,000 | 388,676 | ||
Target Corporation | ||||
2.25%, 04/15/25 | 135,000 | 144,546 | ||
Taylor Morrison Communities, Inc. | ||||
5.63%, 03/01/24 144A | 200,000 | 205,729 | ||
TerraForm Power Operating LLC | ||||
4.25%, 01/31/23 144A | 150,000 | 152,342 | ||
T-Mobile USA, Inc. | ||||
1.50%, 02/15/26 144A | 2,100,000 | 2,105,103 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 208,229 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23 | 1,185,000 | 1,230,698 | ||
Union Pacific Corporation | ||||
2.95%, 03/01/22 | 1,838,000 | 1,910,847 | ||
2.15%, 02/05/27 | 270,000 | 286,845 | ||
US Bank NA | ||||
2.05%, 01/21/25 | 1,800,000 | 1,902,669 | ||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25Δ | 905,000 | 908,770 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.32%, 03/16/22† | 1,500,000 | 1,520,414 | ||
5.15%, 09/15/23Δ | 900,000 | 1,025,467 | ||
3.38%, 02/15/25 | 1,200,000 | 1,336,036 | ||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.49%, 05/15/25† | 1,900,000 | 1,924,454 | ||
Volkswagen Group of America Finance LLC | ||||
2.50%, 09/24/21 144A | 410,000 | 416,633 | ||
2.90%, 05/13/22 144A | 1,330,000 | 1,373,687 | ||
2.70%, 09/26/22 144A | 2,000,000 | 2,067,564 | ||
3.13%, 05/12/23 144A | 1,000,000 | 1,052,459 | ||
Waste Management, Inc. | ||||
2.95%, 06/15/24Δ | 1,700,000 | 1,741,299 | ||
WEC Energy Group, Inc. | ||||
3.38%, 06/15/21 | 555,000 | 570,594 | ||
Wells Fargo & Co. | ||||
2.63%, 07/22/22 | 2,000,000 | 2,084,458 | ||
3.07%, 01/24/23 | 50,000 | 51,823 | ||
3.75%, 01/24/24 | 220,000 | 240,540 | ||
(Variable, U.S. SOFR + 1.60%), 1.65%, 06/02/24^ | 2,200,000 | 2,235,738 | ||
Wells Fargo Bank NA | ||||
(Variable, ICE LIBOR USD 3M + 0.49%), 3.33%, 07/23/21^ | 1,320,000 | 1,322,165 | ||
(Variable, ICE LIBOR USD 3M + 0.65%), 2.08%, 09/09/22^ | 1,730,000 | 1,758,324 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 800,000 | 849,110 |
Par | Value | |||
3.20%, 06/15/25 | $ 325,000 | $ 331,546 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21 | 175,000 | 180,790 | ||
3.70%, 01/15/23 | 80,000 | 84,646 | ||
Wisconsin Electric Power Co. | ||||
2.05%, 12/15/24 | 200,000 | 210,697 | ||
WR Grace & Co-Conn | ||||
5.13%, 10/01/21 144A | 135,000 | 142,263 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 115,000 | 127,288 | ||
Wyndham Destinations, Inc. | ||||
3.90%, 03/01/23 | 150,000 | 140,384 | ||
Xerox Corporation | ||||
3.50%, 08/20/20 | 270,000 | 271,226 | ||
Zoetis, Inc. | ||||
3.45%, 11/13/20 | 300,000 | 302,615 | ||
Total Corporate Bonds (Cost $237,086,429) | 241,143,433 | |||
FOREIGN BONDS — 12.2% | ||||
Australia — 0.7% | ||||
FMG Resources August 2006 Proprietary, Ltd. | ||||
5.13%, 05/15/24 144A | 225,000 | 232,336 | ||
Macquarie Group, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.39%, 11/28/23 144A † | 1,435,000 | 1,436,005 | ||
National Australia Bank, Ltd. | ||||
2.25%, 03/16/21 144A | 1,500,000 | 1,519,485 | ||
Telstra Corporation, Ltd. | ||||
3.50%, 09/21/22(E) | 200,000 | 241,114 | ||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,389,339 | ||
Woodside Finance, Ltd. | ||||
4.60%, 05/10/21 144A | 1,300,000 | 1,323,635 | ||
3.70%, 09/15/26 144A | 400,000 | 423,193 | ||
6,565,107 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 231,042 | ||
Bermuda — 0.0% | ||||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 278,738 | ||
Brazil — 0.2% | ||||
Banco Bradesco SA | ||||
2.85%, 01/27/23 144A | 1,495,000 | 1,476,776 | ||
Itau Unibanco Holding SA | ||||
2.90%, 01/24/23 144A | 920,000 | 911,154 | ||
2,387,930 | ||||
Canada — 0.4% | ||||
Bank of Nova Scotia (The) | ||||
1.95%, 02/01/23Δ | 1,000,000 | 1,030,456 |
Table of Contents
Par | Value | |||
National Bank of Canada | ||||
2.15%, 10/07/22 144A | $ 630,000 | $ 648,006 | ||
OMERS Finance Trust | ||||
1.13%, 04/14/23 144A Δ | 1,770,000 | 1,796,558 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 344,160 | ||
TransCanada PipeLines, Ltd. | ||||
3.75%, 10/16/23 | 45,000 | 48,643 | ||
3,867,823 | ||||
Chile — 0.1% | ||||
Banco del Estado de Chile | ||||
2.67%, 01/08/21 144A | 725,000 | 731,260 | ||
Banco Santander Chile | ||||
2.50%, 12/15/20 144A | 635,000 | 640,216 | ||
1,371,476 | ||||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
5.50%, 01/15/23 144A | 900,000 | 847,859 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22 | 235,000 | 241,051 | ||
Park Aerospace Holdings, Ltd. | ||||
3.63%, 03/15/21 144A | 700,000 | 691,002 | ||
5.25%, 08/15/22 144A | 800,000 | 751,304 | ||
2,531,216 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 745,000 | 756,945 | ||
Finland — 0.1% | ||||
Nokia OYJ | ||||
3.38%, 06/12/22Δ | 185,000 | 189,269 | ||
Nordea Bank Abp | ||||
1.00%, 06/09/23 144A | 355,000 | 358,709 | ||
547,978 | ||||
France — 0.6% | ||||
Air Liquide Finance SA | ||||
0.38%, 04/18/22(E) | 100,000 | 112,938 | ||
APRR SA | ||||
0.00%, 01/20/23(E) | 100,000 | 111,751 | ||
Autoroutes du Sud de la France SA | ||||
2.95%, 01/17/24(E) | 100,000 | 122,705 | ||
Banque Federative du Credit Mutuel | ||||
0.13%, 02/05/24(E) | 200,000 | 224,313 | ||
Banque Federative du Credit Mutuel SA | ||||
0.75%, 06/15/23(E) | 100,000 | 114,586 | ||
BNP Paribas SA | ||||
1.13%, 01/15/23(E) | 230,000 | 265,690 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 325,000 | 333,194 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 224,672 |
Par | Value | |||
Credit Agricole SA | ||||
3.38%, 01/10/22 144A | $1,600,000 | $1,656,724 | ||
Dassault Systemes SE | ||||
0.00%, 09/16/22(E) | 300,000 | 336,587 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 226,353 | ||
Orange SA | ||||
0.50%, 01/15/22(E) | 100,000 | 113,105 | ||
0.75%, 09/11/23(E) | 500,000 | 571,348 | ||
RTE Reseau de Transport d'Electricite SADIR | ||||
4.13%, 02/03/21(E) | 100,000 | 115,021 | ||
Schneider Electric SE | ||||
0.00%, 06/12/23(E) | 100,000 | 112,281 | ||
0.25%, 09/09/24(E) | 200,000 | 226,210 | ||
Societe Generale SA | ||||
0.00%, 05/27/22(E) | 300,000 | 336,258 | ||
Thales SA | ||||
0.00%, 05/31/22(E) | 100,000 | 111,901 | ||
0.75%, 06/07/23(E) | 100,000 | 113,881 | ||
Total Capital International SA | ||||
2.13%, 03/15/23(E) | 100,000 | 118,574 | ||
0.25%, 07/12/23(E) | 100,000 | 113,008 | ||
Veolia Environnement SA | ||||
0.67%, 03/30/22(E) | 200,000 | 226,217 | ||
5,887,317 | ||||
Germany — 0.4% | ||||
Amphenol Technologies Holding GmbH | ||||
0.75%, 05/04/26(E) | 120,000 | 134,783 | ||
BASF SE | ||||
2.00%, 12/05/22(E) | 195,000 | 229,804 | ||
0.10%, 06/05/23(E) | 200,000 | 225,131 | ||
Covestro AG | ||||
0.88%, 02/03/26(E) | 70,000 | 78,544 | ||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,305,000 | 1,311,442 | ||
4.25%, 02/04/21 | 410,000 | 414,663 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) | 240,000 | 268,646 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 300,000 | 345,420 | ||
Volkswagen Leasing GmbH | ||||
(Floating, 0.45% - Euribor 3M), 0.19%, 08/02/21(E) † | 300,000 | 334,532 | ||
1.00%, 02/16/23(E) | 460,000 | 516,189 | ||
3,859,154 | ||||
India — 0.1% | ||||
ICICI Bank, Ltd. | ||||
3.13%, 08/12/20 | 1,000,000 | 1,000,895 | ||
Shriram Transport Finance Co., Ltd. | ||||
5.10%, 07/16/23 144A | 275,000 | 242,602 | ||
1,243,497 |
Table of Contents
Par | Value | |||
Indonesia — 0.1% | ||||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A | $1,175,000 | $1,228,245 | ||
Ireland — 0.5% | ||||
Abbott Ireland Financing DAC | ||||
0.88%, 09/27/23(E) | 200,000 | 230,013 | ||
0.10%, 11/19/24(E) | 170,000 | 190,114 | ||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 900,000 | 910,539 | ||
3.50%, 05/26/22 | 400,000 | 396,089 | ||
3.30%, 01/23/23 | 155,000 | 152,264 | ||
2.88%, 08/14/24 | 150,000 | 140,995 | ||
3.50%, 01/15/25 | 350,000 | 328,943 | ||
Aon PLC | ||||
2.80%, 03/15/21 | 225,000 | 228,918 | ||
Eaton Capital Unlimited Co. | ||||
0.02%, 05/14/21(E) | 175,000 | 196,130 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 125,300 | ||
Shire Acquisitions Investments Ireland DAC | ||||
2.88%, 09/23/23 | 200,000 | 212,089 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A | 390,000 | 391,788 | ||
3.00%, 07/15/22 144A | 540,000 | 542,952 | ||
3.55%, 04/15/24 144A | 800,000 | 819,610 | ||
Willis Towers Watson PLC | ||||
5.75%, 03/15/21 | 131,000 | 135,203 | ||
5,000,947 | ||||
Japan — 1.9% | ||||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 2,000,000 | 2,008,302 | ||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.16%, 09/14/21† | 1,000,000 | 1,006,911 | ||
(Floating, ICE LIBOR USD 3M + 0.56%), 1.03%, 11/02/21† | 1,000,000 | 1,001,640 | ||
2.85%, 03/03/22 | 2,000,000 | 2,053,230 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.54%, 07/26/21 | 65,000 | 67,097 | ||
3.22%, 03/07/22 | 560,000 | 584,285 | ||
2.62%, 07/18/22 | 1,635,000 | 1,699,598 | ||
2.67%, 07/25/22 | 2,000,000 | 2,080,558 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
2.25%, 09/07/21Δ | 500,000 | 507,363 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.19%, 09/11/22† | 1,000,000 | 1,003,358 | ||
(Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 1,190,000 | 1,230,544 | ||
0.52%, 06/10/24(E) | 100,000 | 112,131 | ||
Nomura Holdings, Inc. | ||||
2.65%, 01/16/25 | 600,000 | 626,262 | ||
NTT Finance Corporation | ||||
1.90%, 07/21/21 | 500,000 | 506,125 | ||
ORIX Corporation | ||||
3.20%, 01/19/22 | 700,000 | 721,266 |
Par | Value | |||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | $1,100,000 | $ 1,118,974 | ||
2.85%, 01/11/22 | 1,600,000 | 1,653,432 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.00%, 11/26/21 | 1,100,000 | 1,148,639 | ||
19,129,715 | ||||
Netherlands — 1.5% | ||||
Airbus SE | ||||
1.38%, 06/09/26(E) | 100,000 | 113,943 | ||
Allianz Finance II BV | ||||
0.25%, 06/06/23(E) | 200,000 | 226,920 | ||
0.00%, 01/14/25(E) | 100,000 | 112,630 | ||
BMW Finance NV | ||||
2.25%, 08/12/22 144A Δ | 1,270,000 | 1,306,703 | ||
0.00%, 04/14/23(E) | 290,000 | 322,470 | ||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 123,433 | ||
Cooperatieve Rabobank UA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 910,000 | 912,903 | ||
Daimler International Finance BV | ||||
0.25%, 08/09/21(E) | 25,000 | 28,081 | ||
0.25%, 11/06/23(E) | 90,000 | 98,630 | ||
Deutsche Telekom International Finance BV | ||||
4.25%, 07/13/22(E) | 320,000 | 389,275 | ||
Enel Finance International NV | ||||
2.88%, 05/25/22 144A | 1,715,000 | 1,774,728 | ||
4.25%, 09/14/23 144A | 400,000 | 435,578 | ||
0.00%, 06/17/24(E) | 300,000 | 333,325 | ||
Fiat Chrysler Automobiles NV | ||||
3.38%, 07/07/23 | 300,000 | 300,000 | ||
ING Bank NV | ||||
0.00%, 04/08/22(E) | 100,000 | 112,132 | ||
(Floating, 0.40% - Euribor 3M), 0.08%, 04/08/22(E) † | 200,000 | 225,030 | ||
(Variable, EUR Swap Rate 5Y + 2.25%), 3.63%, 02/25/26(E) ^ | 200,000 | 228,392 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 229,637 | ||
innogy Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 56,825 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 1,945,138 | ||
Mylan NV | ||||
3.15%, 06/15/21 | 2,000,000 | 2,041,990 | ||
NXP BV | ||||
4.13%, 06/01/21 144A | 500,000 | 515,034 | ||
3.88%, 09/01/22 144A | 300,000 | 317,268 | ||
2.70%, 05/01/25 144A | 50,000 | 52,496 | ||
3.88%, 06/18/26 144A | 300,000 | 336,231 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) | 100,000 | 116,145 | ||
RELX Finance BV | ||||
0.00%, 03/18/24(E) | 100,000 | 110,931 |
Table of Contents
Par | Value | |||
Siemens Financieringsmaatschappij NV | ||||
0.00%, 09/05/21(E) | $ 376,000 | $ 422,639 | ||
0.00%, 02/20/23(E) | 300,000 | 336,786 | ||
0.38%, 09/06/23(E) | 235,000 | 267,171 | ||
Upjohn Finance BV | ||||
0.82%, 06/23/22(E) | 220,000 | 248,704 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 223,305 | ||
14,264,473 | ||||
New Zealand — 0.1% | ||||
ANZ New Zealand International, Ltd. | ||||
1.90%, 02/13/23 144A | 1,260,000 | 1,295,041 | ||
Norway — 0.0% | ||||
Telenor ASA | ||||
0.00%, 09/25/23(E) | 100,000 | 112,221 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 710,634 | ||
Qatar — 0.3% | ||||
QNB Finance, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.56%, 05/02/22† | 3,000,000 | 2,971,175 | ||
Singapore — 0.1% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 711,987 | ||
South Korea — 0.3% | ||||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | 3,100,000 | 3,252,377 | ||
Spain — 0.1% | ||||
Amadeus Capital Markets SAU | ||||
1.63%, 11/17/21(E) | 100,000 | 113,344 | ||
Amadeus IT Group SA | ||||
2.50%, 05/20/24(E) Δ | 200,000 | 232,513 | ||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 106,762 | ||
Banco Santander SA | ||||
2.71%, 06/27/24 | 400,000 | 420,665 | ||
2.75%, 05/28/25 | 400,000 | 415,002 | ||
1,288,286 | ||||
Sweden — 0.4% | ||||
Atlas Copco AB | ||||
2.50%, 02/28/23(E) | 255,000 | 305,108 | ||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A Δ | 1,000,000 | 1,035,781 | ||
Svenska Handelsbanken AB | ||||
0.63%, 06/30/23 144A | 1,275,000 | 1,274,584 | ||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 440,000 | 445,606 | ||
Telefonaktiebolaget LM Ericsson | ||||
4.13%, 05/15/22 | 155,000 | 162,768 |
Par | Value | |||
Volvo Treasury AB | ||||
(Floating, 0.65% - Euribor 3M), 0.29%, 09/13/21(E) † | $ 200,000 | $ 224,572 | ||
3,448,419 | ||||
Switzerland — 0.6% | ||||
Credit Suisse AG | ||||
2.80%, 04/08/22 | 1,085,000 | 1,125,948 | ||
1.00%, 05/05/23 | 1,645,000 | 1,654,636 | ||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 778,389 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,650,000 | 1,753,817 | ||
UBS AG | ||||
1.75%, 04/21/22 144A | 625,000 | 637,113 | ||
UBS Group AG | ||||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 365,000 | 378,364 | ||
6,328,267 | ||||
United Arab Emirates — 0.1% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 655,000 | 677,840 | ||
United Kingdom — 3.1% | ||||
Barclays Bank PLC | ||||
2.65%, 01/11/21 | 700,000 | 707,006 | ||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 600,000 | 631,895 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 969,844 | ||
BG Energy Capital PLC | ||||
4.00%, 10/15/21 144A | 1,000,000 | 1,037,295 | ||
BP Capital Markets PLC | ||||
1.53%, 09/26/22(E) | 360,000 | 416,456 | ||
1.11%, 02/16/23(E) | 170,000 | 195,531 | ||
CK Hutchison International 17 II, Ltd. | ||||
2.25%, 09/29/20 144A | 990,000 | 991,595 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 270,000 | 279,778 | ||
3.60%, 05/25/23 | 3,000,000 | 3,220,832 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | 2,576,225 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 200,000 | 201,242 | ||
Motability Operations Group PLC | ||||
1.63%, 06/09/23(E) | 240,000 | 282,555 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 112,706 | ||
Nationwide Building Society | ||||
2.00%, 01/27/23 144A | 900,000 | 927,613 |
Table of Contents
Par | Value | |||
1.70%, 02/13/23 144A | $2,900,000 | $ 2,989,045 | ||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,559,382 | ||
NatWest Markets PLC | ||||
3.63%, 09/29/22 144A | 635,000 | 665,997 | ||
2.38%, 05/21/23 144A | 1,800,000 | 1,844,028 | ||
Royal Bank of Scotland Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.86%, 05/15/23† | 1,810,000 | 1,811,455 | ||
3.88%, 09/12/23 | 240,000 | 258,911 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.15%), 2.36%, 05/22/24^ | 375,000 | 385,260 | ||
Santander UK Group Holdings PLC | ||||
2.88%, 08/05/21 | 3,500,000 | 3,579,185 | ||
3.57%, 01/10/23 | 350,000 | 363,338 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 225,637 | ||
Santander UK PLC | ||||
1.63%, 02/12/23 144A | 2,100,000 | 2,155,407 | ||
Sky, Ltd. | ||||
1.50%, 09/15/21(E) | 100,000 | 114,132 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 2.74%, 09/10/22 144A ^ | 2,300,000 | 2,326,957 | ||
30,829,307 | ||||
Total Foreign Bonds (Cost $118,692,397) | 120,777,157 | |||
MORTGAGE-BACKED SECURITIES — 19.6% | ||||
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 | ||||
3.90%, 08/10/35 144A | 447,000 | 494,803 | ||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 1.72%, 09/15/34 144A † | 315,000 | 305,281 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 2.42%, 11/25/46† | 632,746 | 274,343 | ||
Americold LLC, Series 2010-ARTA, Class A1 | ||||
3.85%, 01/14/29 144A | 122,821 | 122,928 | ||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | 1,330,000 | 1,339,932 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
4.18%, 01/20/47† γ | 160,417 | 151,581 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
3.99%, 01/25/34† γ | 25,077 | 23,700 |
Par | Value | |||
Banc of America Mortgage Trust, Series 2004-2, Class 5A1 | ||||
6.50%, 10/25/31 | $ 25,624 | $ 27,064 | ||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 09/15/36 144A † | 393,068 | 377,605 | ||
BANK, Series 2019-BN18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 660,028 | ||
BBCMS Trust, Series 2013-TYSN, Class E | ||||
3.71%, 09/05/32 144A | 200,000 | 197,758 | ||
Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.66%, 0.33% Floor, 11.50% Cap), 0.84%, 09/25/34† | 93,180 | 93,109 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
4.18%, 01/25/34† γ | 96,806 | 96,137 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
3.53%, 07/25/34† γ | 83,229 | 81,008 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.51%, 01/12/45† γ | 121,032 | 112,107 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 1.09%, 11/16/66 144A † | 258,821 | 259,246 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 1.10%, 10/15/36 144A † | 1,710,167 | 1,701,661 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.26%, 10/15/36 144A † | 640,118 | 630,770 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.63%, 10/15/36 144A † | 749,989 | 733,717 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 12/15/36 144A † | 865,000 | 858,598 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class E | ||||
(Floating, ICE LIBOR USD 1M + 1.60%, 1.60% Floor), 1.78%, 12/15/36 144A † | 350,000 | 336,537 |
Table of Contents
Par | Value | |||
Canterbury Finance PLC, No. 1, Class A2 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.35%), 1.64%, 05/16/56(U) † | $1,000,000 | $1,222,351 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,613,184 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 1.08%, 07/25/49 144A † | 164,317 | 163,340 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 335,682 | 344,263 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.23%, 06/15/34 144A † | 2,130,805 | 1,889,055 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 11.50% Cap), 0.72%, 02/25/35† | 60,656 | 55,830 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | ||||
2.90%, 07/10/49 | 641,000 | 687,446 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 1,010,000 | 1,058,452 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 340,260 | 344,793 | ||
COMM Mortgage Trust, Series 2013-300P, Class A1 | ||||
4.35%, 08/10/30 144A | 515,000 | 553,278 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 796,763 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 245,085 | 243,159 | ||
COMM Mortgage Trust, Series 2014-CR17, Class ASB | ||||
3.60%, 05/10/47 | 1,196,787 | 1,244,720 | ||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | 573,965 | 618,527 | ||
COMM Mortgage Trust, Series 2014-UBS3, Class ASB | ||||
3.37%, 06/10/47 | 827,954 | 856,563 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 326,850 | 340,015 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 480,000 | 503,560 | ||
COMM Mortgage Trust, Series 2015-CR25, Class ASB | ||||
3.54%, 08/10/48 | 1,160,000 | 1,227,548 |
Par | Value | |||
COMM Trust, Series 2013-GAM, Class A1 | ||||
1.71%, 02/10/28 144A | $ 131,958 | $ 131,354 | ||
COMM, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 585,000 | 619,842 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%), 0.95%, 10/25/39 144A † | 1,174,008 | 1,174,973 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 01/25/40 144A † | 672,242 | 671,146 | ||
Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.93%, 01/25/40 144A † | 623,856 | 619,876 | ||
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4 | ||||
3.51%, 04/15/50 | 280,000 | 302,696 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
2.06%, 01/15/49† IO γ | 752,071 | 56,011 | ||
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | ||||
2.99%, 03/15/52 | 861,322 | 878,426 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.48% on 08/25/20), 5.87%, 10/25/36 STEP | 161,397 | 152,779 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.48% on 08/25/20), 5.89%, 10/25/36 STEP | 161,398 | 152,777 | ||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 1.02%, 06/15/35 144A † | 25,063 | 25,101 | ||
Federal Home Loan Mortgage Corporation | ||||
5.50%, 05/01/22 | 5,543 | 5,583 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.19% Cap), 4.14%, 07/01/27† | 1,754 | 1,755 | ||
2.50%, 11/01/27 | 949,926 | 1,013,004 | ||
2.50%, 08/01/31 | 3,434,216 | 3,603,511 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.06% Cap), 4.04%, 11/01/31† | 21,163 | 21,279 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.96% Cap), 3.75%, 04/01/32† | 4,939 | 4,974 |
Table of Contents
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.74% Cap), 3.20%, 06/01/33† | $ 325,040 | $ 338,799 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.70% Cap), 3.57%, 08/01/35† | 100,942 | 105,887 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.36% Cap), 3.64%, 09/01/35† | 97,172 | 100,784 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.80% Cap), 3.94%, 10/01/35† | 112,760 | 118,384 | ||
4.50%, 07/01/47 | 84,957 | 95,238 | ||
4.50%, 03/01/49 | 6,624,399 | 7,414,352 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.68%, 10/15/36† | 1,318,003 | 1,321,674 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 79,416 | 85,521 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 220,901 | 243,940 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 263,472 | 280,448 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 452,304 | 484,585 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4493 | ||||
3.00%, 02/15/44 | 372,147 | 394,718 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 405,275 | 422,952 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | 1,820,671 | 1,916,132 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.63%, 06/15/49† | 1,479,640 | 1,481,672 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 2,621,947 | 2,667,199 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4950 | ||||
2.50%, 06/25/34 | 2,619,937 | 2,647,619 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2019-HQA4 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%), 0.95%, 11/25/49 144A † | 129,768 | 129,238 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 1.88%, 01/25/50 144A † | $ 490,000 | $ 473,367 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 2.03%, 02/25/50 144A † | 230,000 | 221,040 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 2.13%, 10/25/49 144A † | 750,610 | 742,563 | ||
Federal National Mortgage Association | ||||
5.00%, 05/01/21 | 22 | 23 | ||
5.00%, 11/01/21 | 69 | 72 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 2.02%, 2.02% Floor, 10.93% Cap), 3.95%, 12/01/24 CONV † | 3,379 | 3,380 | ||
2.50%, 12/01/27 | 605,895 | 636,200 | ||
3.00%, 09/01/30 | 285,571 | 303,697 | ||
3.00%, 02/01/31 | 1,585,321 | 1,672,015 | ||
3.00%, 04/01/31 | 24,913 | 26,478 | ||
2.50%, 07/01/31 | 2,316,972 | 2,430,785 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.69% Cap), 3.90%, 09/01/31† | 33,366 | 33,599 | ||
2.50%, 10/01/31 | 642,017 | 674,239 | ||
2.50%, 11/01/31 | 1,257,623 | 1,335,610 | ||
2.50%, 01/01/32 | 11,589 | 12,166 | ||
3.00%, 03/01/32 | 930,157 | 991,937 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 2.31%, 08/01/32† | 278,473 | 280,516 | ||
3.00%, 11/01/32 | 83,898 | 88,484 | ||
3.00%, 12/01/32 | 1,214,196 | 1,289,797 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 3.88%, 12/01/32† | 262,626 | 264,506 | ||
3.00%, 02/01/33 | 2,931,146 | 3,081,646 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.36% Cap), 3.78%, 06/01/33† | 9,378 | 9,445 | ||
2.50%, 08/01/33 | 1,612,097 | 1,693,634 | ||
4.00%, 09/01/33 | 2,974,674 | 3,150,299 | ||
4.00%, 03/01/34 | 79,845 | 85,334 | ||
4.00%, 05/01/34 | 850,179 | 926,923 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.09% Cap), 3.67%, 02/01/35† | $ 125,324 | $ 131,734 | ||
(Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 3.86%, 09/01/35† | 24,591 | 24,845 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 3.74%, 12/01/35† | 4,693 | 4,730 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.51% Cap), 3.81%, 05/01/38† | 891,902 | 943,603 | ||
2.89%, 08/01/42† | 208,939 | 209,953 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.43% Cap), 3.27%, 09/01/42† | 464,826 | 489,301 | ||
(Floating, ICE LIBOR USD 1Y + 1.70%, 1.70% Floor, 7.71% Cap), 2.71%, 07/01/43† | 759,317 | 785,627 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.49% Cap), 2.89%, 07/01/44† | 107,014 | 107,561 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.53% Cap), 2.89%, 10/01/44† | 71,782 | 72,137 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.67% Cap), 2.67%, 06/01/45† | 953,255 | 985,477 | ||
4.50%, 03/01/47 | 281,544 | 309,356 | ||
4.50%, 05/01/47 | 888,910 | 971,350 | ||
4.50%, 07/01/47 | 99,619 | 110,184 | ||
4.50%, 11/01/47 | 1,039,936 | 1,142,665 | ||
4.50%, 06/01/48 | 114,712 | 130,167 | ||
4.50%, 11/01/48 | 363,252 | 406,534 | ||
4.50%, 02/01/49 | 1,001,472 | 1,150,674 | ||
4.50%, 04/01/49 | 262,529 | 301,645 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 0.61%, 10/25/36† | 175,885 | 176,846 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 0.73%, 10/25/37† | 287,081 | 290,120 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 141,217 | 151,711 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.63%, 07/25/42† | 221,597 | 221,572 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 0.68%, 06/25/55† | $ 257,742 | $ 257,044 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.87%, 03/25/46† | 1,241,221 | 1,241,685 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.82%, 07/25/46† | 1,621,765 | 1,620,419 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 949,099 | 986,240 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.68%, 07/25/49† | 1,454,731 | 1,455,871 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.77%, 09/25/49† | 2,030,556 | 2,031,082 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.77%, 10/25/59† | 1,990,074 | 1,980,869 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 371,344 | 395,182 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 289,855 | 301,477 | ||
FHLMC Structured Pass-Through Certificates, Series T-56 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 1.18%, 05/25/43† | 417,773 | 427,397 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.90%, 07/25/44† | 444,610 | 461,882 |
Table of Contents
Par | Value | |||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.38%, 06/16/70(U) 144A † | $1,200,000 | $1,488,411 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
3.26%, 06/25/34† γ | 123,170 | 120,121 | ||
Flagstar Mortgage Trust, Series 2018-4, Class A4 | ||||
4.00%, 07/25/48 144A | 215,079 | 215,988 | ||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.59%, 08/19/34† | 159,943 | 159,124 | ||
Freddie Mac STACR REMIC Trust 2020-DNA3, Class M1 | ||||
1.67%, 06/25/50 144A | 304,500 | 304,500 | ||
FREMF Mortgage Trust, Series 2012-K18, Class B | ||||
4.39%, 01/25/45 144A † γ | 240,000 | 248,995 | ||
FREMF Mortgage Trust, Series 2012-K19, Class B | ||||
4.16%, 05/25/45 144A † γ | 145,000 | 150,694 | ||
FREMF Mortgage Trust, Series 2012-K20, Class B | ||||
4.00%, 05/25/45 144A † γ | 135,000 | 140,354 | ||
FREMF Mortgage Trust, Series 2013-K27, Class B | ||||
3.62%, 01/25/46 144A † γ | 130,000 | 135,857 | ||
FREMF Mortgage Trust, Series 2013-K31, Class B | ||||
3.74%, 07/25/46 144A † γ | 105,000 | 110,582 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.81%, 08/25/60 144A † | 417,291 | 417,243 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 2.00% Floor, 12.00% Cap), 3.88%, 06/20/21† | 222 | 224 | ||
3.00%, 03/20/22† | 17,706 | 17,928 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.00%, 01/20/23† | 3,917 | 3,958 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.88%, 05/20/24† | 12,779 | 13,158 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.25%, 07/20/25† | 18,403 | 19,015 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 08/20/25† | 5,810 | 5,983 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/25† | $ 20,421 | $ 21,141 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.13%, 12/20/26† | 31,322 | 32,547 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.25%, 07/20/27† | 724 | 753 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 3.13%, 10/20/27† | 11,668 | 12,153 | ||
8.50%, 10/15/29 | 18,566 | 18,935 | ||
8.50%, 04/15/30 | 2,580 | 2,592 | ||
8.50%, 05/15/30 | 51,066 | 53,230 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 3.88%, 05/20/30† | 17,557 | 18,358 | ||
8.50%, 07/15/30 | 33,364 | 35,310 | ||
8.50%, 08/15/30 | 3,482 | 3,545 | ||
8.50%, 11/15/30 | 5,780 | 6,061 | ||
8.50%, 12/15/30 | 16,402 | 17,847 | ||
8.50%, 02/15/31 | 13,736 | 14,331 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.49%, 05/20/37† | 91,347 | 91,183 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 0.90%, 02/20/61† | 741,711 | 743,129 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 740,597 | 757,739 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 0.62%, 05/20/63† | 1,310,885 | 1,300,461 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 1.07%, 02/20/66† | 152,096 | 152,316 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 1.07%, 10/20/66† | 2,055,393 | 2,072,941 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | 2,663,904 | 2,718,989 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.90%, 04/20/67† | $2,986,949 | $3,048,413 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 2,417,559 | 2,475,479 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.09%, 11/21/35 144A † | 314,876 | 312,619 | ||
GRACE Mortgage Trust, Series 2014-GRCE, Class A | ||||
3.37%, 06/10/28 144A | 1,850,000 | 1,855,516 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 0.72%, 11/25/45† | 117,158 | 95,645 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 01/25/37† | 331,230 | 290,077 | ||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | 680,000 | 689,013 | ||
GS Mortgage Securities Corporation Trust, Series 2017-500K, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.88%, 07/15/32 144A † | 1,500,000 | 1,488,766 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.08%, 06/15/36 144A † | 536,000 | 524,118 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class C | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 06/15/36 144A † | 320,000 | 302,895 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A | 410,000 | 419,662 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,342,000 | 1,362,985 | ||
GS Mortgage Securities Trust, Series 2013-GC13, Class AAB | ||||
3.72%, 07/10/46 | 1,552,772 | 1,603,970 | ||
GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | ||||
3.53%, 08/10/46 | 23,018 | 23,010 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 403,468 |
Par | Value | |||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
4.24%, 09/25/34† γ | $ 165,811 | $ 161,176 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.07%, 09/25/35† γ | 64,295 | 63,999 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 05/15/38 144A † | 429,000 | 415,386 | ||
Hawksmoor Mortgage Funding 2019-1 PLC | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) † | 538,739 | 668,475 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) 144A † | 1,257,057 | 1,559,775 | ||
Holmes Master Issuer PLC, Series 2018-2A, Class A2 | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 1.64%, 10/15/54 144A † | 1,992,942 | 1,991,465 | ||
Impac CMB Trust, Series 2003-1, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.40% Floor, 11.95% Cap), 0.98%, 03/25/33† | 3,042 | 3,027 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.37%, 09/25/46† | 422,069 | 370,173 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 0.45%, 06/25/37† | 174,642 | 162,993 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | 1,234,866 | 1,261,301 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 754,117 | 770,260 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.67%, 07/05/32 144A † γ | 610,000 | 608,285 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 774,705 | 787,644 |
Table of Contents
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | $ 190,000 | $ 201,783 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 1.14%, 07/15/36 144A † | 1,710,000 | 1,661,527 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.77%, 02/25/35† γ | 21,418 | 20,186 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.72%, 06/25/46 144A † γ | 562,417 | 581,204 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 543,608 | 553,390 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A5 | ||||
3.50%, 01/25/47 144A | 470,611 | 479,080 | ||
JP Morgan Mortgage Trust, Series 2017-3, Class 1A6 | ||||
3.00%, 08/25/47 144A | 981,601 | 997,271 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A † γ | 1,161,639 | 1,177,646 | ||
JP Morgan Mortgage Trust, Series 2017-6, Class A6 | ||||
3.00%, 12/25/48 144A | 182,668 | 185,279 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 1.17%, 06/25/50 144A † | 441,205 | 439,553 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 308,159 | 322,432 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | 330,862 | 362,344 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,595,026 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.98%, 05/15/36 144A † | 409,000 | 401,349 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.53%, 05/15/36 144A † | 136,000 | 131,511 | ||
Lanark Master Issuer PLC, Series 2018-2A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.42%), 0.78%, 12/22/69† | 767,200 | 767,007 |
Par | Value | |||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 1.13%, 12/22/69 144A † | $1,474,400 | $1,478,805 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 0.35%, 12/25/36† | 400,116 | 359,104 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
3.80%, 12/25/33† γ | 96,193 | 97,898 | ||
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 2A1 | ||||
3.34%, 02/25/36† γ | 173,366 | 166,367 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 3.04%, 07/15/35 144A † | 260,000 | 261,560 | ||
MF1, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.31%, 12/25/34 144A † | 1,900,000 | 1,871,417 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 910,559 | 942,417 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 496,279 | 523,493 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 169,442 | 172,126 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 456,466 | 476,685 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 1,940,183 | 2,011,068 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class ASB | ||||
3.38%, 10/15/48 | 825,000 | 868,488 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.86%, 12/15/49† IO γ | 1,927,257 | 68,661 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | ||||
3.35%, 07/13/29 144A | 815,000 | 830,948 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 297,492 |
Table of Contents
Par | Value | |||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 1.19%, 06/20/44(A) † | $ 95,310 | $ 65,944 | ||
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.53%, 0.53% Floor, 8.00% Cap), 0.70%, 03/09/21† | 413,672 | 413,745 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,328,670 | 1,431,382 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 1,316,267 | 1,422,711 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 1,625,755 | 1,734,722 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,756,431 | 1,845,794 | ||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A † γ | 806,109 | 857,547 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 2,198,274 | 2,320,886 | ||
Permanent Master Issuer PLC, Series 2018-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 1.60%, 07/15/58 144A † | 415,000 | 415,052 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.17%, 04/14/36 144A † | 314,471 | 304,565 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.25%, 04/14/37 144A † | 2,000,000 | 1,936,750 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 4,919 | 5,203 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 822,815 | 1,016,880 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 1,037,412 | 1,104,670 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 494,867 | 535,582 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 373,605 | 383,555 | ||
Sequoia Mortgage Trust, Series 2017-CH2, Class A10 | ||||
4.00%, 12/25/47 144A | 134,562 | 136,814 |
Par | Value | |||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 1.68%, 01/21/70 144A † | $ 161,000 | $ 161,204 | ||
STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.98%, 12/25/30 144A † | 179,966 | 179,623 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 1.83%, 04/25/43 144A † | 1,074,196 | 1,064,759 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 1.43%, 02/25/47 144A † | 1,681,028 | 1,658,980 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 09/25/34† | 59,044 | 53,995 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 0.44%, 07/19/35† | 42,852 | 39,393 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 10.50% Cap), 0.46%, 02/25/36† | 311,846 | 284,460 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.64% on 08/25/20), 6.01%, 07/25/37 STEP | 230,817 | 140,326 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 1.04%, 04/12/44(A) † | 483,787 | 333,122 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.22%, 10/20/51(U) 144A † | 1,586,999 | 1,970,292 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 1.39%, 07/20/45(U) 144A † | 2,449,746 | 3,021,766 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 559,583 | ||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | 540,000 | 599,927 |
Table of Contents
Par | Value | |||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | $ 330,000 | $ 364,649 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 08/01/50 TBA | 5,865,000 | 6,105,213 | ||
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), 2.90%, 06/25/42† | 6,265 | 5,822 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
4.37%, 08/25/33† γ | 123,243 | 121,844 | ||
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), 0.49%, 01/25/45† | 241,675 | 229,483 | ||
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), 2.24%, 01/25/47† | 246,417 | 224,430 | ||
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), 2.48%, 06/25/46† | 524,192 | 494,216 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.50%, 02/25/37† γ | 200,284 | 175,535 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.30%, 05/25/37† γ | 213,465 | 178,420 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 2A1 | ||||
3.35%, 07/25/37† γ | 640,409 | 550,774 | ||
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), 2.34%, 05/25/47† | 41,524 | 4,001 | ||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class ASB | ||||
3.48%, 08/15/50 | 822,086 | 853,052 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 535,303 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 1.74%, 01/15/59 144A † | 2,000,000 | 1,965,032 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | ||||
3.42%, 09/15/50 | $1,096,000 | $ 1,228,945 | ||
Wells Fargo Commercial Mortgage Trust, Series 2020-SOP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.14%, 1.14% Floor), 1.32%, 01/15/35 144A † | 1,500,000 | 1,425,369 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C4, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.64%, 06/15/44 144A † | 2,196,310 | 2,198,303 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4 | ||||
3.67%, 11/15/44 | 981,484 | 1,000,109 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.19%, 08/15/45 144A † | 527,493 | 526,790 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 626,616 | 648,290 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 514,413 | 534,426 | ||
Total Mortgage-Backed Securities (Cost $192,621,746) | 194,047,330 | |||
MUNICIPAL BONDS — 0.4% | ||||
North Texas Higher Education Authority, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor, 15.00% Cap), 1.40%, 04/01/40† | 1,380,258 | 1,347,049 | ||
South Carolina Public Service Authority, Series D | ||||
2.39%, 12/01/23 | 385,000 | 394,202 | ||
South Carolina Public Service Authority, Series E | ||||
3.72%, 12/01/23 | 326,000 | 350,413 | ||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.00%), 0.94%, 04/01/47† | 1,500,000 | 1,497,712 | ||
Total Municipal Bonds (Cost $3,560,382) | 3,589,376 | |||
U.S. TREASURY OBLIGATIONS — 20.3% | ||||
U.S. Treasury Bill | ||||
0.27%, 03/25/21Ω Δ | 5,600,000 | 5,593,562 | ||
U.S. Treasury Inflationary Indexed Bonds | ||||
0.75%, 07/15/28 | 7,149,800 | 8,063,917 | ||
U.S. Treasury Notes | ||||
2.50%, 12/31/20 | 3,000,000 | 3,034,395 | ||
2.50%, 01/31/21‡‡ Δ | 1,000,000 | 1,013,418 | ||
2.63%, 05/15/21 | 3,000,000 | 3,064,043 | ||
2.00%, 05/31/21 | 8,000,000 | 8,133,281 |
Table of Contents
Par | Value | |||
2.13%, 05/31/21 | $13,000,000 | $ 13,232,832 | ||
1.13%, 06/30/21 | 9,500,000 | 9,590,547 | ||
0.38%, 03/31/22‡‡ Δ | 39,400,000 | 39,545,441 | ||
0.13%, 05/31/22 | 46,572,000 | 46,541,073 | ||
0.13%, 06/30/22 | 25,145,000 | 25,131,249 | ||
1.38%, 10/15/22‡‡ | 1,800,000 | 1,849,676 | ||
1.50%, 01/15/23 | 1,300,000 | 1,343,773 | ||
0.13%, 05/15/23Δ | 3,548,000 | 3,543,288 | ||
2.75%, 05/31/23 | 11,481,000 | 12,340,281 | ||
0.25%, 06/15/23‡‡ | 13,340,000 | 13,369,181 | ||
1.50%, 10/31/24 | 650,000 | 685,268 | ||
0.25%, 05/31/25Δ | 2,700,000 | 2,697,047 | ||
0.63%, 05/15/30Δ | 2,100,000 | 2,094,504 | ||
187,209,297 | ||||
Total U.S. Treasury Obligations (Cost $199,357,484) | 200,866,776 |
Shares | |||
MONEY MARKET FUNDS — 4.0% | |||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø ∞ | 32,531,132 | 32,531,132 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 6,123,675 | 6,123,675 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,126,571 | 1,126,571 | |
Total Money Market Funds (Cost $39,781,378) | 39,781,378 | ||
TOTAL INVESTMENTS —101.5% (Cost $993,495,952) | 1,003,494,177 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Put Option — (0.0)% | ||||
FNCL 2.50% expiration date 8/2020, Strike Price $102.09, Expires 08/06/20 (JPM) | (4,300,000) | $(419,250,000) | (1,897) | |
Put Swaptions — (0.0)% | ||||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $2.50, Expires 01/20/21 (GSC) | 1 | (1,200,000) | (1,591) |
Number of Contracts | Notional Amount | Value | |||
Sell Protection on Markit CDX.NA.IG.33 Index; Receive 1.00% (Quarterly): Credit Default Swap Maturing 12/20/2024 USD, Strike Price $2.50, Expires 03/17/21 (GSC) | 1 | $(5,200,000) | $ (11,485) | ||
(13,076) | |||||
Total Written Options (Premiums received $ (21,277)) | (14,973) | ||||
Liabilities in Excess of Other Assets — (1.5)% | (14,509,898) | ||||
NET ASSETS — 100.0% | $988,969,306 |
% | |
Corporate Bonds | 24.4 |
U.S. Treasury Obligations | 20.3 |
Mortgage-Backed Securities | 19.6 |
Asset-Backed Securities | 17.4 |
Foreign Bonds | 12.2 |
Money Market Funds | 4.0 |
Agency Obligations | 2.9 |
Municipal Bonds | 0.4 |
Commercial Paper | 0.3 |
Written Options | — |
101.5 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2020 | (52) | $ (7,885,802) | $ (41,494) | ||||
Euro-Bund | 09/2020 | (1) | (198,320) | (2,316) | ||||
Euro-Schatz | 09/2020 | (27) | (3,401,711) | (3,005) | ||||
10-Year U.S. Treasury Note | 09/2020 | (56) | (7,793,625) | (17,448) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 29 | 4,567,047 | 18,578 | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (20) | (4,363,125) | 32,336 | ||||
Long GILT | 09/2020 | (34) | (5,798,691) | 3,666 | ||||
2-Year U.S. Treasury Note | 09/2020 | 1,523 | 336,321,234 | 81,554 | ||||
5-Year U.S. Treasury Note | 09/2020 | (772) | (97,072,969) | (240,833) | ||||
90-Day Eurodollar | 12/2020 | 61 | 15,205,775 | 6,863 | ||||
90-Day Bank Acceptance | 03/2021 | 154 | 28,208,567 | 277,702 | ||||
90-Day Bank Acceptance | 06/2021 | 345 | 63,184,986 | 74,259 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $320,973,366 | $ 189,862 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/06/20 | Euro | 15,989,000 | U.S. Dollars | 17,948,132 | BNP | $ 18,005 | ||||||
09/16/20 | Australian Dollars | 1,130,000 | New Zealand Dollars | 1,206,620 | WEST | 1,447 | ||||||
07/06/20 | U.S. Dollars | 6,789 | Euro | 6,000 | BOA | 47 | ||||||
Subtotal Appreciation | $ 19,499 | |||||||||||
07/06/20 | U.S. Dollars | 95,261 | Euro | 85,000 | BOA | $ (250) | ||||||
07/06/20 | U.S. Dollars | 223,455 | Euro | 200,000 | HSBC | (1,276) | ||||||
08/04/20 | U.S. Dollars | 3,777,584 | Euro | 3,361,000 | BNP | (1,536) | ||||||
08/04/20 | U.S. Dollars | 512,912 | Canadian Dollars | 702,513 | HSBC | (4,605) | ||||||
09/16/20 | Norwegian Kroner | 7,500,000 | Swedish Kronor | 7,309,118 | MSCS | (5,726) | ||||||
07/02/20 | U.S. Dollars | 676,132 | Euro | 608,000 | BNP | (6,956) | ||||||
07/02/20 | U.S. Dollars | 3,076,868 | Euro | 2,753,000 | GSC | (16,128) | ||||||
08/05/20 | U.S. Dollars | 17,959,916 | Euro | 15,989,000 | BNP | (18,564) | ||||||
08/04/20 | U.S. Dollars | 3,901,167 | Canadian Dollars | 5,328,487 | MSCS | (24,140) | ||||||
08/04/20 | U.S. Dollars | 4,827,209 | Australian Dollars | 7,043,000 | MSCS | (34,128) | ||||||
07/02/20 | U.S. Dollars | 9,458,013 | British Pounds | 7,668,000 | GSC | (43,406) | ||||||
07/02/20 | U.S. Dollars | 4,375,045 | Canadian Dollars | 6,031,000 | UBS | (67,353) | ||||||
08/04/20 | U.S. Dollars | 9,403,483 | British Pounds | 7,668,000 | HSBC | (100,173) | ||||||
07/06/20 | U.S. Dollars | 17,476,675 | Euro | 15,701,000 | UBS | (165,849) | ||||||
07/02/20 | U.S. Dollars | 4,673,312 | Australian Dollars | 7,043,000 | MSCS | (187,062) | ||||||
Subtotal Depreciation | $(677,152) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $(657,653) |
Table of Contents
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 Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/2027 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(40,904) | $(35,993) | $(4,911) | ||||||||
$(40,904) | $(35,993) | $(4,911) |
Reference Obligation | 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—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 10,100,000 | $(117,344) | $(198,363) | $ 81,019 | |||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | (1.00)% | 12/20/2024 | USD | 27,050,000 | (319,693) | (698,526) | 378,833 | |||||||
$(437,037) | $(896,889) | $459,852 |
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-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 25,000,000 | $ (2,491) | $ — | $ (2,491) | |||||||
2.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 12/18/2029 | USD | 12,500,000 | (2,516,358) | (878,595) | (1,637,763) | |||||||
1.63% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/6/2030 | USD | 3,400,000 | (338,929) | (17,827) | (321,102) | |||||||
$(2,857,778) | $(896,422) | $(1,961,356) |
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 | $ 28,496,015 | $ — | $ 28,496,015 | $ — | |||
Asset-Backed Securities | 171,793,524 | — | 171,793,524 | — | |||
Commercial Paper | 2,999,188 | — | 2,999,188 | — | |||
Corporate Bonds | 241,143,433 | — | 241,143,433 | — | |||
Foreign Bonds | 120,777,157 | — | 120,777,157 | — | |||
Money Market Funds | 39,781,378 | 39,781,378 | — | — | |||
Mortgage-Backed Securities | 194,047,330 | — | 194,047,330 | — | |||
Municipal Bonds | 3,589,376 | — | 3,589,376 | — | |||
U.S. Treasury Obligations | 200,866,776 | — | 200,866,776 | — | |||
Total Assets - Investments in Securities | $1,003,494,177 | $39,781,378 | $963,712,799 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 19,499 | $ — | $ 19,499 | $ — | |||
Futures Contracts | 494,958 | 494,958 | — | — | |||
Swap Agreements | 459,852 | — | 459,852 | — | |||
Total Assets - Other Financial Instruments | $ 974,309 | $ 494,958 | $ 479,351 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Put Option | $ (1,897) | $ (1,897) | $ — | $ — | |||
Put Swaptions | (13,076) | — | (13,076) | — | |||
Total Written Options | (14,973) | (1,897) | (13,076) | — | |||
Total Liabilities - Investments in Securities | $ (14,973) | $ (1,897) | $ (13,076) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (677,152) | $ — | $ (677,152) | $ — | |||
Futures Contracts | (305,096) | (305,096) | — | — | |||
Swap Agreements | (1,966,267) | — | (1,966,267) | — | |||
Total Liabilities - Other Financial Instruments | $ (2,948,515) | $ (305,096) | $ (2,643,419) | $ — |
*** | 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 — 0.1% | ||||
Federal National Mortgage Association | ||||
6.25%, 05/15/29Δ | $ 620,000 | $ 899,234 | ||
6.63%, 11/15/30 | 670,000 | 1,039,235 | ||
Total Agency Obligations (Cost $1,677,546) | 1,938,469 | |||
ASSET-BACKED SECURITIES — 4.9% | ||||
Access Group, Inc., Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%), 0.88%, 07/25/56 144A † | 215,720 | 211,160 | ||
Allegro CLO XI, Ltd., Series 2019-2A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.39%, 1.39% Floor), 3.23%, 01/19/33 144A † | 500,000 | 496,890 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.63%, 01/25/36† | 2,900,000 | 2,764,402 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 1.77%, 04/30/31 144A † | 710,000 | 687,108 | ||
Apex Credit CLO, Ltd., Series 2017-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 2.49%, 04/24/29 144A † | 297,783 | 295,777 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 2.82%, 04/15/33 144A † | 1,500,000 | 1,472,956 | ||
Ares XLIII CLO, Ltd., Series 2017-43A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 2.44%, 10/15/29 144A † | 250,000 | 247,311 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 4.29%, 04/20/31 144A † | 750,000 | 665,543 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1B | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 2.13%, 11/20/30 144A † | 500,000 | 499,991 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 991,440 | 706,372 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,079,305 | 1,501,596 |
Par | Value | |||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 2.47%, 07/15/29 144A † | $1,400,000 | $1,384,489 | ||
BlueMountain CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.33%), 2.64%, 04/13/27 144A † | 168,156 | 167,844 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 2.99%, 04/20/27 144A † | 800,000 | 744,021 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.23%, 09/15/35 144A † | 2,600,000 | 2,551,296 | ||
Canyon CLO, Ltd., Series 2020-1A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 2.75% Floor), 3.15%, 07/15/28 144A † | 750,000 | 750,844 | ||
Carlyle Global Market Strategies CLO, Ltd., Series 2014-3RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 2.04%, 07/27/31 144A † | 317,467 | 312,839 | ||
CarMax Auto Owner Trust, Series 2017-2, Class A3 | ||||
1.93%, 03/15/22 | 658,058 | 660,234 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.65% Floor), 1.16%, 05/25/35† | 2,649,236 | 2,617,969 | ||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.84%, 01/27/28 144A † | 1,487,161 | 1,473,121 | ||
Community Funding CLO, Series 2015-1A, Class A | ||||
5.75%, 11/01/27 144A STEP | 846,785 | 855,395 | ||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 07/25/36† | 544,829 | 538,280 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 3.66%, 08/09/24 144A † | 990,000 | 980,753 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.50% Floor), 0.93%, 03/25/34† | 244,056 | 242,366 |
Table of Contents
Par | Value | |||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 0.42%, 12/15/35† | $ 40,906 | $ 38,877 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2006-E, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.14%, 0.14% Floor, 16.00% Cap), 0.32%, 07/15/36† | 131,601 | 125,469 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 2.42%, 07/15/30 144A † | 250,000 | 247,080 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 1.38%, 12/27/66 144A † | 1,439,400 | 1,395,519 | ||
Edsouth Indenture No. 7 LLC, Series 2014-3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%), 0.78%, 02/25/36 144A † | 543,524 | 521,749 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.42%, 04/15/33 144A † | 3,800,000 | 3,743,224 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,722 | 110,248 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 0.59%, 02/27/35 144A † | 475,007 | 430,418 | ||
Flagship Credit Auto Trust, Series 2019-3, Class A | ||||
2.33%, 02/15/24 144A | 1,420,173 | 1,439,412 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 1A1 | ||||
7.00%, 09/25/37† γ | 207 | 207 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 54,093 | 54,400 | ||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.95%, 10/29/29 144A † | 1,000,000 | 987,160 |
Par | Value | |||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 2.86%, 10/20/31 144A † | $ 250,000 | $ 242,494 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 2.07%, 07/25/27 144A † | 430,375 | 425,822 | ||
Halsey Point CLO I, Ltd., Series 2019-1A, Class A1A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.35%, 1.35% Floor), 3.26%, 01/20/33 144A † | 820,000 | 807,697 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.41%, 05/25/34 144A † | 831,402 | 823,858 | ||
Jackson Mill CLO, Ltd., Series 2015-1A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 2.80%, 2.80% Floor), 4.02%, 04/15/27 144A † | 750,000 | 655,170 | ||
KKR CLO, Ltd., Series 21, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.22%, 04/15/31 144A † | 550,000 | 532,481 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.29%, 06/15/36 144A † | 1,450,000 | 1,434,619 | ||
LCM XVIII LP, Series 19A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 2.46%, 07/15/27 144A † | 250,000 | 248,430 | ||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 2.32%, 08/20/24 144A † | 1,274,831 | 1,297,181 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 1.97%, 04/15/29 144A † | 2,750,000 | 2,682,282 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 3.07%, 04/15/31 144A † | 500,000 | 478,871 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
2.90%, 07/25/59 144A † γ | 339,748 | 353,602 |
Table of Contents
Par | Value | |||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.86%, 10/25/35† | $ 427,220 | $ 415,021 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 887,775 | 859,164 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 1.48%, 03/25/66 144A † | 6,000,000 | 5,823,208 | ||
Navient Student Loan Trust, Series 2016-7A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%), 1.33%, 03/25/66 144A † | 405,248 | 400,291 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.23%, 12/27/66 144A † | 1,349,275 | 1,309,889 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 2.19%, 04/15/31 144A † | 700,000 | 684,546 | ||
Octagon Investment Partners 45, Ltd., Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.33%, 1.33% Floor), 2.55%, 10/15/32 144A † | 750,000 | 745,995 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.34%, 1.34% Floor), 1.73%, 11/15/32 144A † | 1,170,000 | 1,155,670 | ||
Orec, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.36%, 06/15/36 144A † | 750,000 | 734,464 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 2.97%, 04/20/32 144A † | 600,000 | 570,650 | ||
Penarth Master Issuer PLC, Series 2018-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 0.64%, 09/18/22 144A † | 1,600,000 | 1,598,885 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 05/25/57 144A † | 545,877 | 526,350 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.33%, 09/25/65 144A † | 504,098 | 494,766 |
Par | Value | |||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 1.13%, 11/25/65 144A † | $1,094,569 | $1,065,069 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.43% Floor, 14.00% Cap), 0.83%, 11/25/35† | 905,297 | 902,222 | ||
Ready Capital Mortgage Financing, Series 2018-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 1.03%, 06/25/35 144A † | 24,952 | 24,796 | ||
Recette CLO, Ltd., Series 2015-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%), 2.06%, 10/20/27 144A † | 167,706 | 165,795 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.53% Floor, 10.28% Cap), 0.98%, 03/25/35† | 207,818 | 199,484 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 176,493 | 190,080 | ||
Scholar Funding Trust, Series 2010-A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 1.64%, 10/28/41 144A † | 211,470 | 208,204 | ||
Shackleton CLO, Ltd., Series 2014-6RA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 2.15%, 07/17/28 144A † | 491,468 | 479,955 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.43%, 06/15/29† | 459,210 | 452,201 | ||
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 | ||||
3.50%, 10/28/29 144A | 20,408 | 20,398 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 0.78%, 12/15/27 144A † | 1,503,352 | 1,491,823 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 1.11%, 01/25/27† | 81,055 | 79,914 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 1.13%, 10/25/28† | 554,210 | 542,529 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 1.08%, 01/26/26† | 1,234,336 | 1,227,141 |
Table of Contents
Par | Value | |||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 2.09%, 07/26/31 144A † | $ 500,000 | $ 490,362 | ||
Soundview Home Loan Trust, Series 2006-OPT2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 05/25/36† | 113,785 | 113,850 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.62% Floor), 1.11%, 07/25/35† | 1,270,169 | 1,246,855 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.52% Floor), 0.96%, 02/25/35 144A † | 2,700,000 | 2,689,142 | ||
TIAA CLO II, Ltd., Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 2.42%, 04/20/29 144A † | 3,950,000 | 3,907,763 | ||
Tralee CLO III, Ltd., Series 2014-3A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.03%), 2.17%, 10/20/27 144A † | 657,498 | 647,910 | ||
Tralee CLO VI, Ltd., Series 2019-6A, Class AS | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 2.29%, 10/25/32 144A † | 620,000 | 620,287 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.11%, 04/15/29 144A † | 2,690,000 | 2,641,139 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 219,325 | 233,773 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 216,631 | 232,882 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.78%, 02/25/43† | 337,925 | 337,050 | ||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 1.59%, 04/15/33 144A † | 2,525,000 | 2,488,967 | ||
Vibrant CLO VI, Ltd., Series 2017-6A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%), 1.55%, 06/20/29 144A † | 2,750,000 | 2,712,757 |
Par | Value | |||
Voya CLO, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 2.04%, 01/18/29 144A † | $ 500,000 | $ 493,432 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 2.37%, 07/20/30 144A † | 4,150,000 | 4,108,022 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 2.37%, 10/15/31 144A † | 1,500,000 | 1,476,299 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 2.28%, 04/15/31 144A † | 1,700,000 | 1,666,363 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A | ||||
2.98%, 01/18/22 144A | 96,249 | 96,350 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 4.87%, 10/15/31 144A † | 750,000 | 679,600 | ||
Zais CLO 13, Ltd., Series 2019-13A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.49%), 2.71%, 07/15/32 144A † | 250,000 | 248,825 | ||
Total Asset-Backed Securities (Cost $93,522,762) | 91,404,965 | |||
CORPORATE BONDS — 31.9% | ||||
3M Co. | ||||
2.38%, 08/26/29 | 210,000 | 227,141 | ||
3.05%, 04/15/30 | 50,000 | 56,677 | ||
3.70%, 04/15/50 | 895,000 | 1,069,110 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 172,338 | ||
4.75%, 11/30/36 | 170,000 | 230,566 | ||
4.90%, 11/30/46 | 210,000 | 301,992 | ||
Acadia Healthcare Co., Inc. | ||||
5.63%, 02/15/23 | 634,000 | 635,873 | ||
Activision Blizzard, Inc. | ||||
3.40%, 09/15/26 | 1,300,000 | 1,478,495 | ||
Adobe, Inc. | ||||
2.30%, 02/01/30 | 650,000 | 702,883 | ||
AEP Transmission Co. LLC | ||||
3.65%, 04/01/50 | 75,000 | 87,123 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 80,000 | 84,407 | ||
AIG Global Funding | ||||
2.30%, 07/01/22 144A | 150,000 | 154,640 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 655,000 | 656,858 | ||
3.75%, 06/01/26 | 875,000 | 883,680 | ||
3.25%, 10/01/29 | 45,000 | 42,920 |
Table of Contents
Par | Value | |||
Air Products and Chemicals, Inc. | ||||
2.80%, 05/15/50 | $ 125,000 | $ 131,729 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A ††† | 1,700,000 | 1,722,423 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26Δ | 900,000 | 1,011,147 | ||
2.75%, 12/15/29 | 1,400,000 | 1,495,893 | ||
3.38%, 08/15/31 | 360,000 | 402,151 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 417,768 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 295,232 | ||
4.25%, 06/15/28 144A | 75,000 | 87,257 | ||
Ally Financial, Inc. | ||||
3.88%, 05/21/24 | 70,000 | 72,442 | ||
Amazon.com, Inc. | ||||
0.80%, 06/03/25Δ | 310,000 | 313,083 | ||
1.20%, 06/03/27 | 390,000 | 396,271 | ||
3.15%, 08/22/27 | 270,000 | 309,204 | ||
1.50%, 06/03/30 | 360,000 | 365,177 | ||
3.88%, 08/22/37 | 160,000 | 198,366 | ||
4.95%, 12/05/44 | 245,000 | 350,437 | ||
4.05%, 08/22/47 | 315,000 | 410,505 | ||
2.50%, 06/03/50 | 310,000 | 319,924 | ||
4.25%, 08/22/57 | 160,000 | 214,009 | ||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 6.00%, 02/12/23 144A † | 1,463,564 | 1,449,828 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,975,000 | 1,959,867 | ||
Ameren Corporation | ||||
3.50%, 01/15/31 | 125,000 | 140,635 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | 845,110 | 648,426 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 539,477 | ||
3.88%, 01/30/31 | 175,000 | 184,066 | ||
American Electric Power Co., Inc. | ||||
2.30%, 03/01/30 | 275,000 | 277,275 | ||
American Express Co. | ||||
2.50%, 07/30/24 | 170,000 | 180,139 | ||
4.05%, 12/03/42 | 30,000 | 36,349 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 345,098 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.84%, 02/15/22† | 3,200,000 | 3,193,639 | ||
American International Group, Inc. | ||||
4.88%, 06/01/22 | 150,000 | 161,948 | ||
4.13%, 02/15/24 | 75,000 | 83,754 | ||
2.50%, 06/30/25 | 150,000 | 158,973 | ||
3.90%, 04/01/26 | 885,000 | 1,000,642 | ||
4.20%, 04/01/28 | 1,850,000 | 2,097,922 | ||
3.40%, 06/30/30 | 625,000 | 677,139 |
Par | Value | |||
6.25%, 03/15/37 | $ 278,000 | $ 270,210 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 896,822 | ||
3.38%, 10/15/26 | 1,500,000 | 1,669,707 | ||
2.10%, 06/15/30 | 525,000 | 527,444 | ||
American Tower Trust #1 REIT | ||||
3.07%, 03/15/23 144A | 940,000 | 963,674 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 50,000 | 54,860 | ||
4.66%, 06/15/51 | 59,000 | 78,800 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 411,331 | ||
3.35%, 12/01/24 | 130,000 | 142,825 | ||
3.65%, 12/01/27 | 250,000 | 285,022 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 23,230 | ||
4.38%, 10/15/28 | 50,000 | 44,183 | ||
4.25%, 01/15/30 | 110,000 | 95,271 | ||
5.10%, 09/01/40 | 180,000 | 148,138 | ||
4.75%, 04/15/43 | 60,000 | 48,397 | ||
4.25%, 01/15/44 | 800,000 | 609,481 | ||
Apple, Inc. | ||||
2.00%, 11/13/20 | 260,000 | 261,662 | ||
1.55%, 08/04/21Δ | 20,000 | 20,298 | ||
1.13%, 05/11/25 | 630,000 | 644,037 | ||
2.45%, 08/04/26 | 595,000 | 646,996 | ||
2.90%, 09/12/27 | 600,000 | 673,066 | ||
4.45%, 05/06/44 | 25,000 | 33,530 | ||
2.95%, 09/11/49 | 30,000 | 32,790 | ||
Applied Materials, Inc. | ||||
1.75%, 06/01/30 | 300,000 | 307,290 | ||
4.35%, 04/01/47 | 50,000 | 64,349 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 680,872 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 262,582 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 170,874 | ||
Ares Capital Corporation | ||||
3.25%, 07/15/25Δ | 75,000 | 72,872 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,275,096 | ||
AT&T, Inc. | ||||
3.00%, 02/15/22 | 170,000 | 177,044 | ||
3.00%, 06/30/22 | 475,000 | 496,226 | ||
3.80%, 03/01/24 | 65,000 | 71,525 | ||
4.45%, 04/01/24 | 725,000 | 814,955 | ||
3.40%, 05/15/25 | 1,915,000 | 2,105,867 | ||
3.60%, 07/15/25 | 325,000 | 361,275 | ||
4.13%, 02/17/26 | 965,000 | 1,100,522 | ||
4.25%, 03/01/27 | 1,400,000 | 1,595,705 | ||
2.30%, 06/01/27 | 1,630,000 | 1,690,129 | ||
2.75%, 06/01/31 | 550,000 | 573,980 | ||
5.25%, 03/01/37 | 225,000 | 278,521 | ||
4.90%, 08/15/37 | 200,000 | 240,934 | ||
4.85%, 03/01/39 | 1,400,000 | 1,690,712 | ||
6.10%, 07/15/40 | 140,000 | 187,128 |
Table of Contents
Par | Value | |||
3.50%, 06/01/41 | $ 400,000 | $ 420,854 | ||
4.35%, 06/15/45 | 360,000 | 405,754 | ||
5.45%, 03/01/47 | 575,000 | 753,567 | ||
4.50%, 03/09/48 | 230,000 | 272,331 | ||
Athene Holding, Ltd. | ||||
4.13%, 01/12/28Δ | 50,000 | 51,613 | ||
AutoNation, Inc. | ||||
4.75%, 06/01/30 | 225,000 | 244,279 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 301,079 | ||
Aviation Capital Group LLC | ||||
3.88%, 05/01/23 144A | 500,000 | 475,425 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 128,120 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 345,750 | ||
(Floating, ICE LIBOR USD 3M + 0.79%), 1.12%, 03/05/24† | 1,500,000 | 1,495,615 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 566,768 | ||
4.00%, 04/01/24 | 420,000 | 466,448 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 2.00%, 07/23/24† | 900,000 | 902,494 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 600,000 | 650,480 | ||
4.20%, 08/26/24 | 1,295,000 | 1,438,536 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 311,124 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | 161,500 | ||
4.00%, 01/22/25 | 440,000 | 486,222 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,381,485 | ||
4.45%, 03/03/26 | 420,000 | 483,892 | ||
3.50%, 04/19/26 | 1,260,000 | 1,419,442 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 60,228 | ||
4.25%, 10/22/26 | 480,000 | 551,050 | ||
3.25%, 10/21/27 | 875,000 | 965,569 | ||
4.18%, 11/25/27 | 825,000 | 945,253 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28^ | 860,000 | 964,521 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 773,527 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 619,650 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | 541,374 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | 78,730 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 610,000 | 646,875 | ||
6.11%, 01/29/37 | 500,000 | 705,584 | ||
5.00%, 01/21/44 | 790,000 | 1,090,847 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49Δ ^ | 270,000 | 327,239 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 220,087 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 2,165,000 | 2,725,566 |
Par | Value | |||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | $ 150,000 | $ 202,183 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 217,240 | ||
Becton, Dickinson and Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.18%, 12/29/20† | 600,000 | 600,049 | ||
3.36%, 06/06/24 | 830,000 | 896,275 | ||
3.73%, 12/15/24 | 171,000 | 188,749 | ||
3.70%, 06/06/27 | 685,000 | 766,088 | ||
2.82%, 05/20/30 | 650,000 | 688,644 | ||
4.69%, 12/15/44 | 270,000 | 333,252 | ||
4.67%, 06/06/47 | 575,000 | 706,207 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 452,986 | ||
3.70%, 07/15/30 144A | 400,000 | 469,937 | ||
4.45%, 01/15/49 | 60,000 | 77,080 | ||
4.25%, 10/15/50 144A | 50,000 | 63,255 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30 | 725,000 | 746,397 | ||
4.25%, 01/15/49 | 460,000 | 590,623 | ||
Blue Racer Midstream LLC | ||||
6.13%, 11/15/22 144A | 100,000 | 99,723 | ||
BMW US Capital LLC | ||||
1.85%, 09/15/21 144A Δ | 60,000 | 60,566 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 850,000 | 927,320 | ||
2.70%, 02/01/27 | 70,000 | 68,435 | ||
2.80%, 03/01/27 | 110,000 | 106,277 | ||
5.15%, 05/01/30 | 580,000 | 647,958 | ||
3.25%, 02/01/35 | 650,000 | 593,343 | ||
6.63%, 02/15/38 | 210,000 | 251,269 | ||
3.55%, 03/01/38 | 70,000 | 63,912 | ||
5.71%, 05/01/40 | 340,000 | 388,243 | ||
3.75%, 02/01/50 | 200,000 | 179,888 | ||
5.81%, 05/01/50 | 1,800,000 | 2,130,641 | ||
5.93%, 05/01/60 | 240,000 | 285,822 | ||
Booking Holdings, Inc. | ||||
4.10%, 04/13/25 | 175,000 | 196,629 | ||
3.60%, 06/01/26 | 65,000 | 71,387 | ||
Boston Properties LP REIT | ||||
4.13%, 05/15/21 | 75,000 | 76,525 | ||
4.50%, 12/01/28 | 930,000 | 1,113,839 | ||
Boston Scientific Corporation | ||||
2.65%, 06/01/30 | 1,900,000 | 1,982,487 | ||
BP Capital Markets America, Inc. | ||||
2.94%, 04/06/23 | 30,000 | 31,741 | ||
3.22%, 11/28/23 | 370,000 | 397,629 | ||
3.79%, 02/06/24 | 50,000 | 54,630 | ||
3.80%, 09/21/25Δ | 5,000 | 5,650 | ||
3.12%, 05/04/26 | 570,000 | 623,485 | ||
3.59%, 04/14/27 | 50,000 | 55,284 | ||
4.23%, 11/06/28 | 1,550,000 | 1,802,268 | ||
3.63%, 04/06/30 | 490,000 | 557,146 | ||
3.00%, 02/24/50 | 620,000 | 611,035 |
Table of Contents
Par | Value | |||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27 | $ 840,000 | $ 857,108 | ||
Bristol-Myers Squibb Co. | ||||
2.25%, 08/15/21 144A | 270,000 | 275,184 | ||
2.60%, 05/16/22 144A | 300,000 | 311,994 | ||
3.55%, 08/15/22 144A | 170,000 | 180,659 | ||
2.90%, 07/26/24 144A | 750,000 | 812,229 | ||
3.88%, 08/15/25 144A | 1,735,000 | 1,975,051 | ||
3.20%, 06/15/26 144A | 120,000 | 134,771 | ||
3.40%, 07/26/29 144A | 500,000 | 582,965 | ||
4.63%, 05/15/44 144A | 50,000 | 66,709 | ||
5.00%, 08/15/45 144A | 110,000 | 153,794 | ||
4.25%, 10/26/49 144A | 100,000 | 132,532 | ||
Brixmor Operating Partnership LP REIT | ||||
4.13%, 05/15/29 | 65,000 | 67,612 | ||
Broadcom Corporation | ||||
3.13%, 01/15/25 | 625,000 | 668,032 | ||
3.88%, 01/15/27 | 1,675,000 | 1,811,554 | ||
3.50%, 01/15/28 | 28,000 | 29,660 | ||
Broadcom, Inc. | ||||
2.25%, 11/15/23 144A | 410,000 | 423,961 | ||
3.63%, 10/15/24 144A | 985,000 | 1,070,505 | ||
4.70%, 04/15/25 144A | 1,985,000 | 2,239,035 | ||
3.15%, 11/15/25 144A | 470,000 | 500,843 | ||
4.25%, 04/15/26 144A | 730,000 | 813,035 | ||
3.46%, 09/15/26 144A Δ | 3,431,000 | 3,684,542 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 12/15/48 | 45,000 | 56,477 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 72,174 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 90,000 | 96,494 | ||
3.30%, 01/15/35 144A | 610,000 | 674,481 | ||
Campbell Soup Co. | ||||
3.95%, 03/15/25 | 65,000 | 73,093 | ||
Capital One Financial Corporation | ||||
3.50%, 06/15/23 | 325,000 | 348,105 | ||
3.90%, 01/29/24 | 65,000 | 70,733 | ||
3.30%, 10/30/24 | 345,000 | 371,435 | ||
Carrier Global Corporation | ||||
1.92%, 02/15/23 144A | 80,000 | 81,599 | ||
2.24%, 02/15/25 144A | 240,000 | 245,645 | ||
2.49%, 02/15/27 144A | 1,265,000 | 1,290,566 | ||
2.72%, 02/15/30 144A | 2,175,000 | 2,188,948 | ||
2.70%, 02/15/31 144A | 120,000 | 119,869 | ||
3.38%, 04/05/40 144A | 130,000 | 127,387 | ||
3.58%, 04/05/50 144A | 140,000 | 138,432 | ||
Catalent Pharma Solutions, Inc. | ||||
5.00%, 07/15/27 144A | 130,000 | 135,177 | ||
Caterpillar, Inc. | ||||
3.25%, 04/09/50 | 200,000 | 224,038 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 814,479 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,711,078 |
Par | Value | |||
Charles Schwab Corporation (The) | ||||
3.25%, 05/22/29 | $ 10,000 | $ 11,265 | ||
Charter Communications Operating LLC | ||||
4.50%, 02/01/24 | 50,000 | 55,357 | ||
4.91%, 07/23/25 | 5,690,000 | 6,525,462 | ||
4.20%, 03/15/28 | 510,000 | 572,428 | ||
5.05%, 03/30/29 | 460,000 | 543,371 | ||
6.38%, 10/23/35 | 40,000 | 52,968 | ||
6.48%, 10/23/45 | 90,000 | 119,418 | ||
4.80%, 03/01/50 | 130,000 | 144,477 | ||
Chevron Corporation | ||||
1.55%, 05/11/25 | 2,210,000 | 2,274,217 | ||
2.95%, 05/16/26 | 350,000 | 387,950 | ||
2.00%, 05/11/27 | 100,000 | 104,810 | ||
3.08%, 05/11/50 | 30,000 | 31,946 | ||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | 1,500,000 | 1,507,342 | ||
Chubb INA Holdings, Inc. | ||||
2.30%, 11/03/20 | 90,000 | 90,437 | ||
3.35%, 05/03/26 | 120,000 | 136,865 | ||
Cigna Corporation | ||||
3.40%, 09/17/21 | 240,000 | 248,031 | ||
3.75%, 07/15/23 | 2,334,000 | 2,534,953 | ||
4.13%, 11/15/25 | 245,000 | 281,768 | ||
4.38%, 10/15/28 | 460,000 | 544,781 | ||
2.40%, 03/15/30 | 550,000 | 571,412 | ||
4.80%, 08/15/38 | 400,000 | 507,803 | ||
3.20%, 03/15/40 | 750,000 | 797,373 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27 | 725,000 | 734,169 | ||
4.38%, 03/15/29 | 300,000 | 308,561 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 187,023 | ||
3.70%, 04/01/27 | 190,000 | 216,104 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 109,498 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 170,200 | ||
3.50%, 05/15/23 | 1,000,000 | 1,065,901 | ||
(Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 2,190,000 | 2,235,195 | ||
(Variable, ICE LIBOR USD 3M + 1.02%), 4.04%, 06/01/24^ | 560,000 | 609,090 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 650,000 | 646,644 | ||
4.40%, 06/10/25 | 450,000 | 504,251 | ||
5.50%, 09/13/25 | 290,000 | 344,284 | ||
(Variable, U.S. SOFR + 2.75%), 3.11%, 04/08/26^ | 190,000 | 204,724 | ||
3.40%, 05/01/26 | 2,075,000 | 2,302,614 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ ^ | 150,000 | 159,256 | ||
3.20%, 10/21/26 | 500,000 | 548,519 | ||
4.30%, 11/20/26 | 1,675,000 | 1,905,072 | ||
4.45%, 09/29/27 | 1,080,000 | 1,233,775 |
Table of Contents
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | $ 150,000 | $ 167,345 | ||
4.13%, 07/25/28 | 1,325,000 | 1,501,900 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 790,000 | 938,491 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 590,000 | 611,015 | ||
6.63%, 06/15/32 | 50,000 | 68,618 | ||
(Variable, ICE LIBOR USD 3M + 1.17%), 3.88%, 01/24/39^ | 30,000 | 34,695 | ||
8.13%, 07/15/39 | 60,000 | 104,034 | ||
6.68%, 09/13/43 | 10,000 | 15,458 | ||
5.30%, 05/06/44 | 24,000 | 31,886 | ||
4.65%, 07/30/45 | 894,000 | 1,154,489 | ||
4.75%, 05/18/46 | 40,000 | 50,963 | ||
4.65%, 07/23/48 | 200,000 | 262,232 | ||
Citizens Bank NA | ||||
3.25%, 02/14/22 | 425,000 | 440,331 | ||
Citizens Financial Group, Inc. | ||||
2.85%, 07/27/26 | 65,000 | 70,439 | ||
CNOOC Finance 2015 USA LLC | ||||
3.50%, 05/05/25 | 1,820,000 | 1,987,322 | ||
Coca-Cola Co. (The) | ||||
2.95%, 03/25/25 | 145,000 | 159,683 | ||
2.88%, 10/27/25 | 65,000 | 72,287 | ||
3.38%, 03/25/27 | 120,000 | 137,741 | ||
1.45%, 06/01/27 | 265,000 | 272,922 | ||
4.13%, 03/25/40 | 110,000 | 139,965 | ||
2.50%, 06/01/40 | 20,000 | 20,729 | ||
4.20%, 03/25/50 | 960,000 | 1,257,161 | ||
2.60%, 06/01/50 | 130,000 | 131,599 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 425,000 | 470,628 | ||
3.10%, 04/01/25 | 245,000 | 270,382 | ||
3.38%, 08/15/25 | 275,000 | 306,546 | ||
3.95%, 10/15/25 | 477,000 | 547,002 | ||
3.15%, 03/01/26 | 130,000 | 145,350 | ||
3.30%, 02/01/27 | 344,000 | 386,301 | ||
3.30%, 04/01/27 | 635,000 | 713,625 | ||
4.15%, 10/15/28 | 970,000 | 1,163,626 | ||
3.40%, 04/01/30 | 150,000 | 171,654 | ||
4.25%, 10/15/30 | 810,000 | 993,411 | ||
5.65%, 06/15/35 | 420,000 | 594,415 | ||
6.50%, 11/15/35 | 30,000 | 45,681 | ||
3.90%, 03/01/38 | 30,000 | 35,669 | ||
3.25%, 11/01/39 | 400,000 | 444,354 | ||
3.75%, 04/01/40 | 165,000 | 193,884 | ||
3.40%, 07/15/46 | 50,000 | 55,644 | ||
4.00%, 03/01/48 | 40,000 | 48,725 | ||
4.70%, 10/15/48 | 200,000 | 269,450 | ||
3.45%, 02/01/50 | 1,220,000 | 1,402,207 | ||
Comerica, Inc. | ||||
3.70%, 07/31/23 | 35,000 | 37,752 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 41,717 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 348,439 |
Par | Value | |||
Conagra Brands, Inc. | ||||
3.25%, 09/15/22 | $1,300,000 | $1,364,859 | ||
4.60%, 11/01/25 | 65,000 | 75,009 | ||
Concho Resources, Inc. | ||||
4.38%, 01/15/25 | 70,000 | 72,258 | ||
3.75%, 10/01/27 | 170,000 | 181,214 | ||
4.30%, 08/15/28 | 480,000 | 527,176 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 306,820 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 147,940 | ||
3.95%, 04/01/50 | 140,000 | 169,302 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 1,855,000 | 1,779,001 | ||
3.80%, 06/01/24 | 210,000 | 196,915 | ||
4.38%, 01/15/28 | 430,000 | 379,264 | ||
4.90%, 06/01/44 | 10,000 | 7,984 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 640,972 | ||
Costco Wholesale Corporation | ||||
1.60%, 04/20/30 | 550,000 | 556,633 | ||
Cox Communications, Inc. | ||||
3.35%, 09/15/26 144A | 45,000 | 49,830 | ||
3.50%, 08/15/27 144A | 35,000 | 38,698 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A | 500,000 | 549,547 | ||
Crown Castle International Corporation REIT | ||||
5.25%, 01/15/23 | 525,000 | 584,409 | ||
3.15%, 07/15/23 | 2,325,000 | 2,482,897 | ||
3.10%, 11/15/29 | 70,000 | 75,189 | ||
3.30%, 07/01/30 | 525,000 | 578,637 | ||
4.15%, 07/01/50 | 50,000 | 58,860 | ||
CSX Corporation | ||||
3.25%, 06/01/27 | 65,000 | 72,742 | ||
3.80%, 04/15/50 | 25,000 | 29,762 | ||
CVS Health Corporation | ||||
3.35%, 03/09/21 | 112,000 | 114,230 | ||
2.75%, 12/01/22 | 210,000 | 219,211 | ||
3.70%, 03/09/23 | 1,300,000 | 1,396,638 | ||
4.00%, 12/05/23 | 830,000 | 910,994 | ||
2.63%, 08/15/24 | 205,000 | 219,016 | ||
4.10%, 03/25/25 | 790,000 | 894,009 | ||
3.88%, 07/20/25 | 848,000 | 953,653 | ||
2.88%, 06/01/26 | 40,000 | 43,367 | ||
3.63%, 04/01/27 | 200,000 | 224,930 | ||
4.30%, 03/25/28 | 2,370,000 | 2,773,682 | ||
3.75%, 04/01/30 | 290,000 | 334,790 | ||
4.13%, 04/01/40 | 80,000 | 94,761 | ||
5.13%, 07/20/45 | 250,000 | 322,617 | ||
5.05%, 03/25/48 | 730,000 | 957,792 | ||
4.25%, 04/01/50 | 330,000 | 396,099 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 551,832 | 632,175 |
Table of Contents
Par | Value | |||
CyrusOne LP REIT | ||||
2.90%, 11/15/24 | $1,500,000 | $1,577,757 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 800,000 | 850,385 | ||
DAE Funding LLC | ||||
5.00%, 08/01/24 144A | 700,000 | 658,430 | ||
Daimler Finance North America LLC | ||||
3.75%, 11/05/21 144A | 1,600,000 | 1,654,815 | ||
3.40%, 02/22/22 144A Δ | 1,700,000 | 1,757,062 | ||
2.70%, 06/14/24 144A | 1,900,000 | 1,965,094 | ||
8.50%, 01/18/31 | 25,000 | 38,120 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 60,000 | 54,258 | ||
Deere & Co. | ||||
3.10%, 04/15/30 | 50,000 | 56,764 | ||
3.75%, 04/15/50 | 890,000 | 1,100,103 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 2,520,000 | 2,590,655 | ||
5.45%, 06/15/23 144A | 2,775,000 | 3,036,515 | ||
4.00%, 07/15/24 144A | 55,000 | 59,353 | ||
6.02%, 06/15/26 144A | 1,055,000 | 1,210,420 | ||
8.10%, 07/15/36 144A | 175,000 | 231,004 | ||
8.35%, 07/15/46 144A | 75,000 | 100,158 | ||
Delta Air Lines Pass-Through Trust, Series 2007-1, Class A | ||||
6.82%, 08/10/22 | 241,838 | 237,539 | ||
Delta Air Lines, Inc. | ||||
7.00%, 05/01/25 144A | 1,780,000 | 1,839,309 | ||
Depository Trust & Clearing Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.17%), 3.48%, 09/15/20 144A † ρ | 750,000 | 667,661 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 552,000 | 609,797 | ||
5.60%, 07/15/41 | 312,000 | 304,956 | ||
4.75%, 05/15/42 | 340,000 | 298,902 | ||
5.00%, 06/15/45 | 910,000 | 810,287 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 675,000 | 709,877 | ||
2.60%, 11/15/29 | 225,000 | 239,936 | ||
3.25%, 11/15/39 | 30,000 | 33,189 | ||
3.40%, 11/15/49 | 35,000 | 39,545 | ||
Diamond Sports Group LLC | ||||
5.38%, 08/15/26 144A | 405,000 | 295,176 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25 | 70,000 | 72,104 | ||
3.25%, 12/01/26 | 90,000 | 90,617 | ||
3.50%, 12/01/29 | 160,000 | 155,279 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 484,965 | ||
Discovery Communications LLC | ||||
4.90%, 03/11/26 | 45,000 | 51,855 | ||
3.63%, 05/15/30 | 1,800,000 | 1,971,072 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 410,000 | 408,653 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 390,000 | 439,438 |
Par | Value | |||
4.20%, 05/15/28 | $ 400,000 | $ 464,629 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 726,511 | ||
3.38%, 04/01/30 | 225,000 | 248,872 | ||
Dow Chemical Co. (The) | ||||
4.38%, 11/15/42 | 40,000 | 44,755 | ||
DTE Energy Co. | ||||
2.25%, 11/01/22 | 343,000 | 354,375 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 219,094 | ||
3.15%, 08/15/27 | 550,000 | 610,004 | ||
2.45%, 06/01/30 | 1,800,000 | 1,901,066 | ||
3.75%, 09/01/46 | 30,000 | 34,037 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 405,061 | ||
Duke Realty LP REIT | ||||
1.75%, 07/01/30 | 300,000 | 298,699 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 385,000 | 422,259 | ||
4.49%, 11/15/25 | 350,000 | 402,761 | ||
4.73%, 11/15/28 | 350,000 | 421,327 | ||
5.42%, 11/15/48 | 25,000 | 32,983 | ||
East Ohio Gas Co. (The) | ||||
1.30%, 06/15/25 144A | 175,000 | 176,031 | ||
2.00%, 06/15/30 144A | 125,000 | 125,157 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 410,000 | 431,442 | ||
4.15%, 11/02/42 | 200,000 | 236,779 | ||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | 68,000 | 85,295 | ||
Elanco Animal Health, Inc. | ||||
5.02%, 08/28/23 | 225,000 | 237,234 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,635,199 | ||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28 | 900,000 | 834,991 | ||
Energizer Holdings, Inc. | ||||
7.75%, 01/15/27 144A | 425,000 | 454,149 | ||
Energy Transfer Operating LP | ||||
4.65%, 06/01/21 | 150,000 | 153,217 | ||
4.20%, 09/15/23 | 625,000 | 664,844 | ||
4.50%, 04/15/24 | 230,000 | 249,644 | ||
4.05%, 03/15/25 | 65,000 | 69,016 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 200,000 | 168,348 | ||
4.75%, 01/15/26 | 40,000 | 43,457 | ||
5.50%, 06/01/27 | 1,175,000 | 1,311,503 | ||
4.95%, 06/15/28 | 110,000 | 118,204 | ||
5.25%, 04/15/29 | 935,000 | 1,025,235 | ||
3.75%, 05/15/30 | 320,000 | 318,492 | ||
5.30%, 04/15/47 | 200,000 | 193,874 | ||
6.00%, 06/15/48 | 50,000 | 51,930 | ||
6.25%, 04/15/49 | 70,000 | 74,309 | ||
Energy Transfer Partners LP | ||||
4.50%, 11/01/23 | 310,000 | 333,141 |
Table of Contents
Par | Value | |||
Entercom Media Corporation | ||||
6.50%, 05/01/27 144A | $ 175,000 | $ 157,686 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,423,315 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 684,858 | ||
3.13%, 07/31/29 | 100,000 | 107,248 | ||
2.80%, 01/31/30 | 570,000 | 594,838 | ||
7.55%, 04/15/38 | 50,000 | 69,442 | ||
5.70%, 02/15/42 | 60,000 | 73,677 | ||
4.85%, 03/15/44 | 50,000 | 58,093 | ||
4.80%, 02/01/49 | 30,000 | 35,902 | ||
4.20%, 01/31/50 | 380,000 | 425,845 | ||
3.70%, 01/31/51 | 150,000 | 157,830 | ||
3.95%, 01/31/60 | 120,000 | 124,923 | ||
(Variable, ICE LIBOR USD 3M + 2.78%), 3.13%, 06/01/67† | 455,000 | 355,694 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 160,000 | 184,292 | ||
4.38%, 04/15/30 | 40,000 | 47,817 | ||
3.90%, 04/01/35 | 260,000 | 303,940 | ||
4.95%, 04/15/50 | 260,000 | 333,069 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,200,000 | 1,147,039 | ||
EQM Midstream Partners LP | ||||
4.75%, 07/15/23 | 475,000 | 479,028 | ||
4.13%, 12/01/26 | 1,800,000 | 1,653,183 | ||
5.50%, 07/15/28Δ | 300,000 | 286,419 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 1,365,000 | 1,535,563 | ||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | 709,000 | 732,012 | ||
Exelon Corporation | ||||
4.05%, 04/15/30 | 325,000 | 376,034 | ||
5.63%, 06/15/35 | 415,000 | 545,828 | ||
4.70%, 04/15/50 | 25,000 | 31,948 | ||
Exelon Generation Co. LLC | ||||
3.25%, 06/01/25 | 1,600,000 | 1,729,465 | ||
Expedia Group, Inc. | ||||
5.00%, 02/15/26 | 65,000 | 66,948 | ||
3.80%, 02/15/28 | 300,000 | 287,536 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 50,000 | 51,351 | ||
2.99%, 03/19/25 | 660,000 | 717,398 | ||
3.04%, 03/01/26 | 280,000 | 307,941 | ||
3.48%, 03/19/30 | 540,000 | 615,811 | ||
4.11%, 03/01/46 | 230,000 | 277,185 | ||
4.33%, 03/19/50 | 190,000 | 238,046 | ||
Federal Realty Investment Trust REIT | ||||
3.50%, 06/01/30 | 1,900,000 | 2,008,242 | ||
Fifth Third Bancorp | ||||
2.38%, 01/28/25 | 375,000 | 396,263 | ||
FirstEnergy Corporation | ||||
4.25%, 03/15/23 | 290,000 | 313,790 | ||
1.60%, 01/15/26 | 100,000 | 101,013 | ||
3.90%, 07/15/27 | 690,000 | 781,756 | ||
2.65%, 03/01/30 | 750,000 | 784,464 | ||
2.25%, 09/01/30 | 325,000 | 327,510 |
Par | Value | |||
7.38%, 11/15/31 | $1,800,000 | $2,632,168 | ||
Fiserv, Inc. | ||||
3.80%, 10/01/23 | 225,000 | 245,983 | ||
2.75%, 07/01/24 | 1,090,000 | 1,162,933 | ||
3.85%, 06/01/25 | 65,000 | 73,459 | ||
3.20%, 07/01/26 | 725,000 | 803,083 | ||
4.20%, 10/01/28 | 375,000 | 440,332 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 513,285 | ||
Ford Motor Credit Co. LLC | ||||
3.16%, 08/04/20 | 225,000 | 224,342 | ||
5.75%, 02/01/21 | 200,000 | 201,510 | ||
3.34%, 03/18/21 | 1,850,000 | 1,836,745 | ||
5.88%, 08/02/21 | 770,000 | 779,024 | ||
2.98%, 08/03/22 | 1,800,000 | 1,731,960 | ||
Fortive Corporation | ||||
3.15%, 06/15/26 | 65,000 | 71,257 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 480,000 | 532,406 | ||
4.71%, 01/25/29 | 470,000 | 565,388 | ||
3.50%, 04/08/30 | 125,000 | 139,872 | ||
5.48%, 01/25/39 | 300,000 | 401,609 | ||
5.58%, 01/25/49 | 80,000 | 111,590 | ||
Freeport-McMoRan, Inc. | ||||
3.55%, 03/01/22 | 20,000 | 20,045 | ||
3.88%, 03/15/23 | 10,000 | 10,020 | ||
4.55%, 11/14/24 | 10,000 | 10,189 | ||
5.45%, 03/15/43 | 192,000 | 188,810 | ||
GE Capital Funding LLC | ||||
4.05%, 05/15/27 144A | 1,900,000 | 2,004,751 | ||
General Dynamics Corporation | ||||
3.50%, 05/15/25 | 40,000 | 44,778 | ||
4.25%, 04/01/40 | 30,000 | 37,455 | ||
4.25%, 04/01/50 | 450,000 | 585,064 | ||
General Electric Co. | ||||
3.15%, 09/07/22 | 230,000 | 240,964 | ||
2.70%, 10/09/22 | 75,000 | 77,989 | ||
3.10%, 01/09/23 | 250,000 | 261,919 | ||
3.45%, 05/01/27 | 195,000 | 199,763 | ||
3.63%, 05/01/30 | 525,000 | 526,675 | ||
6.75%, 03/15/32 | 80,000 | 97,407 | ||
6.88%, 01/10/39 | 500,000 | 614,931 | ||
4.25%, 05/01/40 | 325,000 | 324,047 | ||
4.35%, 05/01/50 | 1,105,000 | 1,094,662 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28 | 600,000 | 710,711 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 535,000 | 578,904 | ||
4.00%, 04/01/25 | 200,000 | 207,806 | ||
6.13%, 10/01/25 | 190,000 | 213,739 | ||
5.15%, 04/01/38 | 50,000 | 47,978 | ||
5.95%, 04/01/49 | 50,000 | 52,636 | ||
General Motors Financial Co., Inc. | ||||
3.20%, 07/13/20 | 1,000,000 | 1,000,475 | ||
2.45%, 11/06/20 | 130,000 | 130,211 | ||
4.38%, 09/25/21 | 400,000 | 410,911 | ||
3.45%, 04/10/22 | 230,000 | 234,576 |
Table of Contents
Par | Value | |||
5.20%, 03/20/23 | $1,900,000 | $2,031,852 | ||
4.15%, 06/19/23 | 65,000 | 67,968 | ||
4.30%, 07/13/25 | 300,000 | 312,970 | ||
4.35%, 01/17/27 | 590,000 | 611,313 | ||
5.65%, 01/17/29 | 100,000 | 112,607 | ||
Genesis Energy LP | ||||
6.50%, 10/01/25 | 400,000 | 343,246 | ||
Gilead Sciences, Inc. | ||||
2.55%, 09/01/20 | 80,000 | 80,291 | ||
3.70%, 04/01/24 | 230,000 | 254,563 | ||
4.50%, 02/01/45 | 300,000 | 390,722 | ||
4.75%, 03/01/46 | 20,000 | 27,074 | ||
Glencore Funding LLC | ||||
3.00%, 10/27/22 144A | 10,000 | 10,330 | ||
4.13%, 05/30/23 144A | 20,000 | 21,398 | ||
4.13%, 03/12/24 144A | 1,185,000 | 1,271,525 | ||
4.63%, 04/29/24 144A | 658,000 | 726,832 | ||
4.00%, 03/27/27 144A | 535,000 | 574,226 | ||
3.88%, 10/27/27 144A | 350,000 | 374,328 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 424,268 | ||
3.20%, 08/15/29 | 225,000 | 241,496 | ||
2.90%, 05/15/30 | 1,600,000 | 1,681,086 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/03/20† ρ | 3,000 | 2,530 | ||
Goldman Sachs Group, Inc. (The) | ||||
5.25%, 07/27/21 | 160,000 | 168,036 | ||
3.20%, 02/23/23 | 250,000 | 265,362 | ||
3.85%, 07/08/24 | 150,000 | 165,474 | ||
3.50%, 01/23/25 | 1,700,000 | 1,852,952 | ||
3.50%, 04/01/25 | 320,000 | 351,263 | ||
4.25%, 10/21/25 | 1,170,000 | 1,318,007 | ||
3.50%, 11/16/26 | 700,000 | 770,401 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 690,000 | 780,546 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 480,000 | 558,853 | ||
6.75%, 10/01/37 | 110,000 | 160,329 | ||
6.25%, 02/01/41 | 750,000 | 1,125,986 | ||
5.15%, 05/22/45 | 330,000 | 435,798 | ||
4.75%, 10/21/45 | 530,000 | 693,360 | ||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 1,082,836 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A Δ | 225,000 | 255,390 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 100,437 | ||
Halliburton Co. | ||||
3.80%, 11/15/25 | 42,000 | 45,397 | ||
5.00%, 11/15/45 | 230,000 | 236,438 | ||
Hartford Financial Services Group, Inc. (The) | ||||
2.80%, 08/19/29Δ | 35,000 | 37,132 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 600,000 | 644,433 | ||
5.25%, 04/15/25 | 120,000 | 137,712 |
Par | Value | |||
5.25%, 06/15/26 | $ 10,000 | $ 11,567 | ||
5.38%, 09/01/26 | 1,600,000 | 1,745,920 | ||
5.50%, 06/15/47 | 50,000 | 61,028 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,515,848 | ||
Healthpeak Properties, Inc. REIT | ||||
3.50%, 07/15/29 | 65,000 | 70,899 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23 | 1,000,000 | 1,030,362 | ||
4.45%, 10/02/23 | 1,350,000 | 1,474,026 | ||
4.65%, 10/01/24 | 550,000 | 618,189 | ||
4.90%, 10/15/25 | 945,000 | 1,091,529 | ||
6.35%, 10/15/45 | 155,000 | 190,331 | ||
Home Depot, Inc. (The) | ||||
2.50%, 04/15/27 | 150,000 | 164,592 | ||
3.90%, 12/06/28 | 270,000 | 323,182 | ||
2.70%, 04/15/30 | 170,000 | 187,072 | ||
3.30%, 04/15/40 | 450,000 | 507,011 | ||
4.50%, 12/06/48 | 25,000 | 33,630 | ||
3.35%, 04/15/50 | 1,160,000 | 1,331,799 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25 | 180,000 | 184,476 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 73,412 | ||
4.50%, 04/01/25 | 40,000 | 45,571 | ||
3.95%, 03/15/27 | 150,000 | 170,316 | ||
4.63%, 12/01/42 | 60,000 | 72,966 | ||
4.95%, 10/01/44 | 70,000 | 92,150 | ||
4.80%, 03/15/47 | 10,000 | 13,078 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25Δ | 550,000 | 623,709 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 330,000 | 347,433 | ||
Hyatt Hotels Corporation | ||||
5.38%, 04/23/25 | 55,000 | 58,342 | ||
Hyundai Capital America | ||||
2.75%, 09/27/26Δ | 70,000 | 69,820 | ||
IHS Markit, Ltd. | ||||
4.00%, 03/01/26 144A | 1,125,000 | 1,237,854 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 80,000 | 90,955 | ||
4.60%, 03/25/40 | 120,000 | 158,941 | ||
3.73%, 12/08/47 | 76,000 | 90,336 | ||
4.75%, 03/25/50 | 800,000 | 1,132,907 | ||
4.95%, 03/25/60 | 230,000 | 339,629 | ||
Intercontinental Exchange, Inc. | ||||
3.00%, 06/15/50 | 1,825,000 | 1,897,211 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 780,120 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 420,000 | 451,409 | ||
Intuit, Inc. | ||||
1.35%, 07/15/27 | 175,000 | 176,094 | ||
1.65%, 07/15/30 | 125,000 | 124,913 |
Table of Contents
Par | Value | |||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | $1,900,000 | $2,027,897 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | 2,074,395 | 1,977,032 | ||
JM Smucker Co. (The) | ||||
2.38%, 03/15/30 | 225,000 | 230,214 | ||
Johnson & Johnson | ||||
2.45%, 03/01/26 | 110,000 | 120,301 | ||
3.63%, 03/03/37 | 390,000 | 466,555 | ||
JPMorgan Chase & Co. | ||||
4.40%, 07/22/20 | 230,000 | 230,490 | ||
(Variable, ICE LIBOR USD 3M + 3.80%), 4.49%, 11/01/20† ρ | 1,260,000 | 1,195,318 | ||
4.35%, 08/15/21 | 70,000 | 73,068 | ||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 1,000,000 | 1,070,944 | ||
(Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 770,000 | 783,186 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,775,000 | 1,926,324 | ||
3.88%, 09/10/24 | 860,000 | 954,102 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 2,900,000 | 3,197,039 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 875,000 | 782,031 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 950,000 | 995,716 | ||
3.30%, 04/01/26 | 65,000 | 72,708 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 478,312 | ||
2.95%, 10/01/26 | 700,000 | 769,452 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 875,000 | 997,424 | ||
4.25%, 10/01/27 | 780,000 | 908,915 | ||
3.63%, 12/01/27 | 900,000 | 996,107 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,520,000 | 1,699,580 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 446,002 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 203,739 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | 91,616 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 1,385,000 | 1,465,896 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 300,000 | 318,859 | ||
4.95%, 06/01/45 | 400,000 | 538,980 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 320,000 | 346,270 | ||
Keurig Dr. Pepper, Inc. | ||||
4.06%, 05/25/23 | 475,000 | 518,077 | ||
4.42%, 05/25/25 | 65,000 | 74,997 | ||
5.09%, 05/25/48 | 475,000 | 631,609 | ||
3.80%, 05/01/50 | 100,000 | 113,518 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 514,520 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 413,445 |
Par | Value | |||
4.75%, 12/15/28 | $1,750,000 | $1,965,111 | ||
Kimberly-Clark Corporation | ||||
2.88%, 02/07/50 | 5,000 | 5,452 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 548,470 | ||
3.50%, 09/01/23 | 2,250,000 | 2,403,949 | ||
4.25%, 09/01/24 | 980,000 | 1,079,657 | ||
Kinder Morgan, Inc. | ||||
4.30%, 06/01/25 | 30,000 | 33,680 | ||
4.30%, 03/01/28 | 60,000 | 68,086 | ||
5.20%, 03/01/48 | 10,000 | 12,064 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 37,006 | ||
Kraft Heinz Foods Co. | ||||
3.95%, 07/15/25 | 57,000 | 60,518 | ||
3.00%, 06/01/26 | 320,000 | 322,772 | ||
4.25%, 03/01/31 144A | 60,000 | 63,752 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 110,000 | 144,964 | ||
Lam Research Corporation | ||||
1.90%, 06/15/30 | 350,000 | 358,228 | ||
4.88%, 03/15/49 | 35,000 | 48,617 | ||
Lear Corporation | ||||
3.80%, 09/15/27 | 15,000 | 15,235 | ||
Legg Mason, Inc. | ||||
5.63%, 01/15/44 | 30,000 | 37,037 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 2,240 | ||
0.00%, 01/24/13# | 2,300,000 | 25,760 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 08/06/20Ψ ††† # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
5.63%, 02/01/23 | 1,050,000 | 1,054,006 | ||
3.40%, 03/01/27 144A | 1,600,000 | 1,695,640 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 982,756 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30 | 20,000 | 21,100 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 42,554 | ||
3.55%, 01/15/26 | 310,000 | 356,651 | ||
4.50%, 05/15/36 | 50,000 | 65,085 | ||
Lowe's Cos., Inc. | ||||
4.50%, 04/15/30 | 110,000 | 135,217 | ||
5.00%, 04/15/40 | 690,000 | 902,670 | ||
5.13%, 04/15/50 | 1,415,000 | 1,939,486 | ||
Marathon Petroleum Corporation | ||||
5.13%, 12/15/26 | 30,000 | 34,547 | ||
3.80%, 04/01/28 | 125,000 | 133,196 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,474,120 | ||
3.13%, 06/15/26 | 70,000 | 68,145 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 428,708 | ||
3.20%, 04/01/30 144A | 475,000 | 541,283 |
Table of Contents
Par | Value | |||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26 | $1,100,000 | $1,248,422 | ||
4.38%, 03/15/29 | 500,000 | 595,788 | ||
Mastercard, Inc. | ||||
3.30%, 03/26/27 | 250,000 | 283,571 | ||
3.85%, 03/26/50 | 310,000 | 387,463 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 170,000 | 189,075 | ||
1.45%, 09/01/25 | 40,000 | 41,058 | ||
3.70%, 01/30/26 | 350,000 | 397,081 | ||
3.50%, 03/01/27 | 360,000 | 407,967 | ||
3.50%, 07/01/27 | 60,000 | 68,234 | ||
3.80%, 04/01/28 | 90,000 | 105,293 | ||
3.60%, 07/01/30 | 160,000 | 184,455 | ||
4.45%, 09/01/48 | 50,000 | 61,879 | ||
3.63%, 09/01/49 | 130,000 | 143,297 | ||
4.20%, 04/01/50 | 1,085,000 | 1,321,442 | ||
McKesson Corporation | ||||
3.80%, 03/15/24 | 65,000 | 71,331 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 14,000 | 15,809 | ||
4.63%, 03/15/45 | 36,000 | 48,563 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 380,569 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 59,143 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 1,700,000 | 1,926,758 | ||
Microchip Technology, Inc. | ||||
3.92%, 06/01/21 | 350,000 | 356,901 | ||
2.67%, 09/01/23 144A | 675,000 | 695,292 | ||
Micron Technology, Inc. | ||||
2.50%, 04/24/23 | 250,000 | 260,035 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 506,880 | ||
2.70%, 02/12/25 | 120,000 | 130,899 | ||
2.40%, 08/08/26 | 1,540,000 | 1,682,224 | ||
3.30%, 02/06/27 | 800,000 | 916,194 | ||
3.45%, 08/08/36 | 10,000 | 12,100 | ||
4.10%, 02/06/37 | 32,000 | 41,364 | ||
2.53%, 06/01/50 | 18,000 | 18,873 | ||
3.95%, 08/08/56 | 108,000 | 139,250 | ||
2.68%, 06/01/60 | 22,000 | 23,029 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 418,031 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 290,000 | 291,450 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25 | 670,000 | 684,212 | ||
Morgan Stanley | ||||
5.50%, 07/24/20 | 550,000 | 551,689 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24Δ ^ | 225,000 | 242,336 | ||
3.70%, 10/23/24 | 1,150,000 | 1,275,989 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 725,000 | 769,649 | ||
4.00%, 07/23/25 | 65,000 | 73,751 |
Par | Value | |||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | $ 750,000 | $ 781,802 | ||
3.63%, 01/20/27 | 1,475,000 | 1,666,809 | ||
3.95%, 04/23/27 | 1,375,000 | 1,548,936 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 220,000 | 250,636 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 570,000 | 679,608 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 650,000 | 689,409 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 1,400,000 | 1,602,662 | ||
4.30%, 01/27/45 | 30,000 | 37,817 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 400,000 | 611,204 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 255,599 | ||
4.88%, 06/01/25 | 100,000 | 111,746 | ||
4.13%, 03/01/27 | 15,000 | 15,992 | ||
4.25%, 12/01/27 | 35,000 | 38,005 | ||
4.00%, 03/15/28 | 50,000 | 52,723 | ||
4.80%, 02/15/29 | 250,000 | 278,312 | ||
4.50%, 04/15/38 | 430,000 | 430,595 | ||
5.20%, 03/01/47 | 15,000 | 15,820 | ||
4.70%, 04/15/48 | 570,000 | 576,272 | ||
5.50%, 02/15/49 | 595,000 | 660,381 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29 | 435,000 | 437,923 | ||
Mylan, Inc. | ||||
5.40%, 11/29/43 | 60,000 | 75,307 | ||
Nasdaq, Inc. | ||||
3.25%, 04/28/50 | 125,000 | 131,468 | ||
National Retail Properties, Inc. REIT | ||||
3.90%, 06/15/24Δ | 255,000 | 271,655 | ||
3.60%, 12/15/26 | 250,000 | 263,442 | ||
2.50%, 04/15/30 | 1,800,000 | 1,723,497 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 409,386 | ||
NetApp, Inc. | ||||
1.88%, 06/22/25Δ | 1,700,000 | 1,726,236 | ||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | 200,000 | 200,633 | ||
New York Life Insurance Co. | ||||
3.75%, 05/15/50 144A | 300,000 | 339,742 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 132,000 | 136,594 | ||
4.70%, 04/01/26 | 150,000 | 157,857 | ||
NextEra Energy Capital Holdings, Inc. | ||||
2.25%, 06/01/30 | 1,900,000 | 1,961,058 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,333,400 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 140,000 | 150,663 | ||
2.75%, 03/27/27 | 220,000 | 242,564 | ||
2.85%, 03/27/30 | 230,000 | 256,097 | ||
3.25%, 03/27/40 | 425,000 | 476,715 |
Table of Contents
Par | Value | |||
3.38%, 03/27/50 | $1,060,000 | $1,228,860 | ||
NiSource, Inc. | ||||
3.65%, 06/15/23 | 400,000 | 432,403 | ||
3.49%, 05/15/27 | 925,000 | 1,047,622 | ||
3.60%, 05/01/30 | 100,000 | 114,777 | ||
3.95%, 03/30/48 | 450,000 | 522,376 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 2.20%, 01/13/22 144A † | 1,900,000 | 1,826,625 | ||
Noble Energy, Inc. | ||||
3.85%, 01/15/28 | 550,000 | 531,727 | ||
6.00%, 03/01/41 | 10,000 | 9,773 | ||
5.25%, 11/15/43 | 5,000 | 4,663 | ||
4.95%, 08/15/47 | 110,000 | 98,446 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 870,000 | 941,575 | ||
3.25%, 01/15/28 | 670,000 | 749,788 | ||
4.75%, 06/01/43 | 200,000 | 259,755 | ||
5.25%, 05/01/50 | 355,000 | 511,454 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 506,772 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 428,225 | ||
3.85%, 09/30/47 144A | 250,000 | 286,862 | ||
Novartis Capital Corporation | ||||
4.40%, 05/06/44 | 30,000 | 40,117 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 663,944 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 225,000 | 266,438 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30 | 120,000 | 133,779 | ||
3.50%, 04/01/40 | 540,000 | 632,128 | ||
3.50%, 04/01/50 | 1,460,000 | 1,677,723 | ||
3.70%, 04/01/60 | 460,000 | 549,848 | ||
Occidental Petroleum Corporation | ||||
4.85%, 03/15/21 | 231,000 | 230,278 | ||
2.60%, 08/13/21 | 360,000 | 352,791 | ||
3.13%, 02/15/22 | 100,000 | 96,270 | ||
2.70%, 08/15/22 | 250,000 | 233,199 | ||
2.70%, 02/15/23 | 20,000 | 18,325 | ||
6.95%, 07/01/24 | 290,000 | 285,650 | ||
2.90%, 08/15/24 | 1,890,000 | 1,618,728 | ||
5.55%, 03/15/26 | 845,000 | 772,960 | ||
3.40%, 04/15/26 | 500,000 | 408,750 | ||
3.20%, 08/15/26 | 260,000 | 212,388 | ||
3.00%, 02/15/27 | 150,000 | 117,030 | ||
7.88%, 09/15/31 | 280,000 | 266,351 | ||
6.45%, 09/15/36 | 280,000 | 238,048 | ||
4.63%, 06/15/45 | 130,000 | 91,650 | ||
6.60%, 03/15/46 | 470,000 | 411,177 | ||
4.40%, 04/15/46 | 60,000 | 41,954 | ||
4.10%, 02/15/47 | 260,000 | 176,475 |
Par | Value | |||
4.20%, 03/15/48 | $ 80,000 | $ 54,276 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,568,781 | ||
Omnicom Group, Inc. | ||||
3.60%, 04/15/26 | 30,000 | 33,503 | ||
ONEOK, Inc. | ||||
6.35%, 01/15/31 | 1,600,000 | 1,876,550 | ||
Oracle Corporation | ||||
3.60%, 04/01/40 | 400,000 | 455,658 | ||
4.00%, 07/15/46 | 375,000 | 443,854 | ||
3.85%, 04/01/60 | 425,000 | 500,162 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 144A | 130,000 | 136,534 | ||
2.29%, 04/05/27 144A | 330,000 | 345,142 | ||
2.57%, 02/15/30 144A | 1,815,000 | 1,910,937 | ||
Pacific Gas and Electric Co. | ||||
1.75%, 06/16/22 | 1,400,000 | 1,405,740 | ||
3.40%, 08/15/24 | 600,000 | 662,187 | ||
2.10%, 08/01/27 | 370,000 | 367,095 | ||
2.50%, 02/01/31Δ | 610,000 | 598,306 | ||
3.30%, 08/01/40Δ | 185,000 | 180,775 | ||
3.50%, 08/01/50 | 375,000 | 363,367 | ||
Pacific Life Global Funding II | ||||
1.20%, 06/24/25 144A | 1,700,000 | 1,710,118 | ||
PayPal Holdings, Inc. | ||||
1.35%, 06/01/23 | 220,000 | 224,453 | ||
1.65%, 06/01/25 | 1,380,000 | 1,428,229 | ||
2.65%, 10/01/26 | 2,775,000 | 3,018,235 | ||
Penske Truck Leasing Co. LP | ||||
3.38%, 02/01/22 144A | 1,000,000 | 1,026,254 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 300,000 | 302,856 | ||
2.25%, 03/19/25 | 20,000 | 21,389 | ||
2.63%, 03/19/27 | 30,000 | 32,825 | ||
1.63%, 05/01/30 | 250,000 | 254,926 | ||
3.45%, 10/06/46 | 30,000 | 34,709 | ||
2.88%, 10/15/49 | 220,000 | 238,677 | ||
3.63%, 03/19/50 | 465,000 | 561,283 | ||
3.88%, 03/19/60 | 170,000 | 216,272 | ||
Phillips 66 | ||||
3.70%, 04/06/23 | 400,000 | 427,880 | ||
3.85%, 04/09/25 | 100,000 | 110,961 | ||
3.90%, 03/15/28 | 475,000 | 538,091 | ||
Phillips 66 Partners LP | ||||
3.75%, 03/01/28 | 40,000 | 42,751 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,450,926 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 204,523 | ||
3.80%, 09/15/30 | 250,000 | 245,458 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 362,533 |
Table of Contents
Par | Value | |||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | $ 90,000 | $ 90,366 | ||
Procter & Gamble Co. (The) | ||||
2.45%, 03/25/25 | 110,000 | 119,463 | ||
2.80%, 03/25/27 | 40,000 | 44,524 | ||
3.00%, 03/25/30 | 130,000 | 149,026 | ||
3.55%, 03/25/40 | 160,000 | 192,793 | ||
3.60%, 03/25/50 | 420,000 | 529,314 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 505,083 | ||
Progressive Corporation (The) | ||||
3.95%, 03/26/50 | 125,000 | 159,325 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 430,000 | 371,139 | ||
4.88%, 05/15/25Δ | 10,000 | 7,581 | ||
Raymond James Financial, Inc. | ||||
4.65%, 04/01/30 | 75,000 | 89,554 | ||
Raytheon Co. | ||||
3.13%, 10/15/20Δ | 200,000 | 201,615 | ||
Raytheon Technologies Corporation | ||||
3.65%, 08/16/23 | 8,000 | 8,674 | ||
3.15%, 12/15/24 144A | 120,000 | 129,749 | ||
3.95%, 08/16/25 | 530,000 | 603,467 | ||
3.50%, 03/15/27 144A | 550,000 | 619,789 | ||
4.13%, 11/16/28 | 665,000 | 783,844 | ||
2.25%, 07/01/30 | 240,000 | 250,509 | ||
4.50%, 06/01/42 | 115,000 | 143,539 | ||
4.05%, 05/04/47 | 175,000 | 209,489 | ||
4.63%, 11/16/48 | 250,000 | 325,127 | ||
Realty Income Corporation REIT | ||||
3.25%, 01/15/31 | 1,800,000 | 1,951,721 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 787,263 | ||
Regions Financial Corporation | ||||
3.80%, 08/14/23 | 138,000 | 150,159 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 70,881 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 1,300,000 | 1,386,820 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 202,222 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 586,738 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 506,407 | ||
5.63%, 04/15/23 | 400,000 | 437,781 | ||
5.63%, 03/01/25 | 480,000 | 548,932 | ||
5.88%, 06/30/26 | 35,000 | 41,155 | ||
5.00%, 03/15/27 | 425,000 | 475,914 | ||
4.20%, 03/15/28 | 300,000 | 322,238 | ||
4.50%, 05/15/30 144A | 1,600,000 | 1,779,766 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,366,620 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 322,537 | ||
Santander Holdings USA, Inc. | ||||
3.50%, 06/07/24 | 65,000 | 68,408 |
Par | Value | |||
4.50%, 07/17/25 | $ 60,000 | $ 64,953 | ||
3.24%, 10/05/26 | 1,100,000 | 1,144,392 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 190,000 | 209,092 | ||
3.90%, 05/17/28 144A | 252,000 | 272,147 | ||
4.30%, 05/01/29 144A | 30,000 | 33,184 | ||
Seagate HDD Cayman | ||||
4.75%, 01/01/25Δ | 45,000 | 48,315 | ||
Sempra Energy | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 1.72%, 01/15/21† | 625,000 | 625,114 | ||
2.90%, 02/01/23 | 1,125,000 | 1,176,353 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.55%), 4.88%, 10/15/25ρ ^ | 385,000 | 388,369 | ||
3.40%, 02/01/28 | 275,000 | 301,249 | ||
Sherwin-Williams Co. (The) | ||||
2.75%, 06/01/22 | 7,000 | 7,233 | ||
3.13%, 06/01/24 | 75,000 | 80,684 | ||
3.45%, 06/01/27 | 350,000 | 392,187 | ||
2.95%, 08/15/29 | 475,000 | 511,646 | ||
Simon Property Group LP REIT | ||||
2.75%, 06/01/23 | 368,000 | 383,816 | ||
3.30%, 01/15/26 | 65,000 | 69,787 | ||
2.45%, 09/13/29Δ | 1,600,000 | 1,582,896 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 1,800,000 | 1,989,717 | ||
4.20%, 03/01/29 | 400,000 | 467,330 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,400,000 | 1,552,711 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 321,309 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,210,000 | 2,626,317 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 581,045 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,275,000 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 1,098,350 | 933,667 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,245,476 | ||
4.00%, 07/15/29 | 750,000 | 739,692 | ||
Springleaf Finance Corporation | ||||
7.75%, 10/01/21 | 1,600,000 | 1,668,360 | ||
Sprint Communications, Inc. | ||||
6.00%, 11/15/22 | 875,000 | 924,101 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 62,500 | 63,359 | ||
5.15%, 03/20/28 144A | 1,100,000 | 1,268,916 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 704,859 | ||
2.55%, 11/15/30 | 1,900,000 | 1,997,460 | ||
State Street Corporation | ||||
(Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29^ | 60,000 | 72,212 |
Table of Contents
Par | Value | |||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31 144A ^ | $ 240,000 | $ 269,918 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 144,352 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 1,996,713 | ||
Stryker Corporation | ||||
1.95%, 06/15/30 | 850,000 | 856,803 | ||
Sunoco Logistics Partners Operations LP | ||||
4.25%, 04/01/24 | 100,000 | 107,049 | ||
5.95%, 12/01/25 | 300,000 | 341,829 | ||
5.30%, 04/01/44 | 20,000 | 19,193 | ||
5.40%, 10/01/47 | 100,000 | 100,192 | ||
Synchrony Financial | ||||
4.25%, 08/15/24 | 70,000 | 73,549 | ||
Sysco Corporation | ||||
6.60%, 04/01/40 | 75,000 | 101,446 | ||
6.60%, 04/01/50 | 250,000 | 347,564 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 350,000 | 347,319 | ||
6.50%, 07/15/27 | 355,000 | 356,775 | ||
5.50%, 03/01/30 144A | 120,000 | 115,987 | ||
TD Ameritrade Holding Corporation | ||||
3.30%, 04/01/27 | 65,000 | 72,899 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 69,330 | ||
4.90%, 09/15/44 144A | 655,000 | 844,170 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A | 860,000 | 883,180 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 370,000 | 376,473 | ||
Thermo Fisher Scientific, Inc. | ||||
3.65%, 12/15/25 | 200,000 | 226,214 | ||
4.50%, 03/25/30 | 225,000 | 279,206 | ||
Time Warner Cable LLC | ||||
4.13%, 02/15/21 | 400,000 | 404,600 | ||
7.30%, 07/01/38 | 620,000 | 855,317 | ||
5.88%, 11/15/40 | 130,000 | 160,922 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,143,325 | ||
8.38%, 07/15/33 | 390,000 | 588,121 | ||
TJX Cos, Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 42,809 | ||
TJX Cos., Inc. (The) | ||||
3.50%, 04/15/25 | 180,000 | 200,587 | ||
3.75%, 04/15/27 | 50,000 | 57,190 | ||
T-Mobile USA, Inc. | ||||
3.50%, 04/15/25 144A | 1,495,000 | 1,629,946 | ||
1.50%, 02/15/26 144A | 400,000 | 400,972 | ||
3.75%, 04/15/27 144A | 1,775,000 | 1,969,220 | ||
2.05%, 02/15/28 144A | 650,000 | 651,930 | ||
3.88%, 04/15/30 144A | 1,735,000 | 1,934,239 | ||
2.55%, 02/15/31 144A | 1,200,000 | 1,207,224 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 350,000 | 456,097 |
Par | Value | |||
3.25%, 05/15/30 144A | $ 200,000 | $ 214,029 | ||
TransDigm, Inc. | ||||
6.50%, 05/15/25 | 50,000 | 46,885 | ||
6.38%, 06/15/26 | 350,000 | 319,984 | ||
7.50%, 03/15/27 | 300,000 | 288,357 | ||
Truist Bank | ||||
2.25%, 03/11/30 | 475,000 | 480,056 | ||
U.S. Bancorp | ||||
3.38%, 02/05/24 | 65,000 | 71,092 | ||
1.45%, 05/12/25 | 2,380,000 | 2,454,202 | ||
U.S. Bank NA | ||||
3.15%, 04/26/21 | 300,000 | 306,237 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30 | 1,200,000 | 1,308,897 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 237,883 | ||
3.95%, 09/10/28 | 530,000 | 630,144 | ||
3.80%, 10/01/51 | 35,000 | 41,716 | ||
3.75%, 02/05/70 | 80,000 | 89,645 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 694,276 | 581,771 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 694,276 | 650,484 | ||
United Parcel Service, Inc. | ||||
5.30%, 04/01/50 | 100,000 | 144,536 | ||
UnitedHealth Group, Inc. | ||||
2.70%, 07/15/20 | 280,000 | 280,245 | ||
2.88%, 12/15/21 | 180,000 | 186,683 | ||
2.38%, 10/15/22 | 40,000 | 41,866 | ||
3.50%, 06/15/23 | 90,000 | 98,099 | ||
3.75%, 07/15/25 | 230,000 | 262,228 | ||
1.25%, 01/15/26 | 90,000 | 91,732 | ||
2.00%, 05/15/30 | 280,000 | 293,535 | ||
4.25%, 06/15/48 | 160,000 | 204,881 | ||
4.45%, 12/15/48 | 50,000 | 65,638 | ||
3.70%, 08/15/49Δ | 170,000 | 201,495 | ||
2.90%, 05/15/50 | 250,000 | 264,535 | ||
3.88%, 08/15/59 | 190,000 | 233,277 | ||
3.13%, 05/15/60 | 80,000 | 85,838 | ||
USAA Capital Corporation | ||||
1.50%, 05/01/23 144A | 150,000 | 153,961 | ||
Valero Energy Corporation | ||||
2.70%, 04/15/23 | 700,000 | 726,757 | ||
2.85%, 04/15/25 | 350,000 | 369,754 | ||
3.40%, 09/15/26 | 45,000 | 49,293 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30 | 1,700,000 | 1,685,692 | ||
VEREIT Operating Partnership LP REIT | ||||
4.63%, 11/01/25 | 600,000 | 649,271 | ||
3.95%, 08/15/27 | 150,000 | 156,197 | ||
3.40%, 01/15/28 | 200,000 | 201,871 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 1,175,000 | 1,301,298 | ||
3.38%, 02/15/25 | 3,005,000 | 3,345,656 |
Table of Contents
Par | Value | |||
2.63%, 08/15/26 | $ 280,000 | $ 304,914 | ||
3.00%, 03/22/27 | 70,000 | 77,770 | ||
4.33%, 09/21/28 | 2,018,000 | 2,430,428 | ||
3.88%, 02/08/29 | 360,000 | 426,103 | ||
3.15%, 03/22/30 | 1,465,000 | 1,646,728 | ||
4.50%, 08/10/33 | 230,000 | 286,795 | ||
5.25%, 03/16/37 | 530,000 | 710,394 | ||
3.85%, 11/01/42 | 40,000 | 48,850 | ||
4.13%, 08/15/46 | 410,000 | 514,186 | ||
4.86%, 08/21/46 | 290,000 | 394,457 | ||
5.50%, 03/16/47 | 40,000 | 59,391 | ||
5.01%, 04/15/49 | 716,000 | 1,001,207 | ||
4.00%, 03/22/50 | 160,000 | 205,611 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 450,000 | 501,641 | ||
2.05%, 04/15/30 | 270,000 | 283,535 | ||
2.70%, 04/15/40 | 270,000 | 289,788 | ||
4.30%, 12/14/45 | 460,000 | 609,425 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,215,000 | 1,254,767 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,100,000 | 1,138,248 | ||
3.90%, 08/21/27 | 535,000 | 568,103 | ||
Volkswagen Group of America Finance LLC | ||||
3.88%, 11/13/20 144A | 2,400,000 | 2,422,906 | ||
(Floating, ICE LIBOR USD 3M + 0.86%), 1.16%, 09/24/21 144A † | 1,600,000 | 1,594,678 | ||
3.13%, 05/12/23 144A | 1,600,000 | 1,683,935 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 221,478 | ||
Wachovia Capital Trust III | ||||
(Variable, ICE LIBOR USD 3M + 0.93%), 5.57%, 08/03/20† ρ | 560,000 | 556,819 | ||
Walgreens Boots Alliance, Inc. | ||||
3.45%, 06/01/26 | 70,000 | 75,882 | ||
4.10%, 04/15/50 | 975,000 | 989,153 | ||
Walmart, Inc. | ||||
3.40%, 06/26/23 | 100,000 | 108,997 | ||
3.55%, 06/26/25 | 70,000 | 79,431 | ||
3.70%, 06/26/28 | 620,000 | 734,680 | ||
4.05%, 06/29/48 | 250,000 | 329,558 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 693,648 | ||
2.20%, 01/13/28 | 1,300,000 | 1,359,599 | ||
2.65%, 01/13/31 | 400,000 | 424,842 | ||
6.65%, 11/15/37 | 150,000 | 225,134 | ||
Washington Prime Group LP REIT | ||||
6.45%, 08/15/24Δ | 1,700,000 | 963,398 | ||
Waste Management, Inc. | ||||
3.50%, 05/15/24 | 140,000 | 152,676 | ||
3.20%, 06/15/26 | 110,000 | 112,800 | ||
3.45%, 06/15/29 | 120,000 | 123,702 | ||
4.00%, 07/15/39 | 30,000 | 30,901 | ||
4.15%, 07/15/49 | 150,000 | 188,423 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 795,230 |
Par | Value | |||
Wells Fargo & Co. | ||||
4.60%, 04/01/21 | $ 70,000 | $ 72,171 | ||
3.45%, 02/13/23 | 200,000 | 212,458 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.99%, 10/31/23† | 600,000 | 604,473 | ||
4.48%, 01/16/24 | 396,000 | 439,902 | ||
3.75%, 01/24/24 | 1,325,000 | 1,448,710 | ||
3.55%, 09/29/25 | 1,500,000 | 1,676,316 | ||
3.00%, 04/22/26 | 900,000 | 983,593 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26Δ ^ | 1,540,000 | 1,594,135 | ||
4.10%, 06/03/26 | 440,000 | 496,590 | ||
3.00%, 10/23/26 | 2,210,000 | 2,410,476 | ||
4.30%, 07/22/27 | 2,240,000 | 2,573,062 | ||
4.15%, 01/24/29 | 645,000 | 759,651 | ||
(Variable, ICE LIBOR USD 3M + 1.17%), 2.88%, 10/30/30^ | 410,000 | 438,975 | ||
(Variable, ICE LIBOR USD 3M + 3.77%), 4.48%, 04/04/31^ | 170,000 | 205,918 | ||
5.95%, 12/15/36 | 140,000 | 168,667 | ||
5.38%, 11/02/43 | 190,000 | 258,217 | ||
4.65%, 11/04/44 | 70,000 | 86,830 | ||
4.90%, 11/17/45 | 370,000 | 475,823 | ||
4.40%, 06/14/46 | 70,000 | 83,605 | ||
4.75%, 12/07/46 | 260,000 | 333,769 | ||
(Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 3,350,000 | 4,670,362 | ||
Wells Fargo Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.62%), 0.99%, 05/27/22† | 2,400,000 | 2,405,784 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 898,000 | 1,007,839 | ||
Western Midstream Operating LP | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 2.16%, 01/13/23† | 80,000 | 73,447 | ||
3.10%, 02/01/25 | 770,000 | 732,316 | ||
3.95%, 06/01/25 | 200,000 | 188,344 | ||
4.50%, 03/01/28 | 60,000 | 56,400 | ||
4.05%, 02/01/30 | 1,355,000 | 1,309,438 | ||
5.45%, 04/01/44 | 75,000 | 62,835 | ||
5.30%, 03/01/48 | 75,000 | 61,219 | ||
5.50%, 08/15/48 | 20,000 | 16,300 | ||
5.25%, 02/01/50 | 130,000 | 113,132 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.95%, 09/15/28 | 30,000 | 33,481 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23 | 30,000 | 32,021 | ||
Weyerhaeuser Co. REIT | ||||
7.38%, 03/15/32 | 50,000 | 69,253 | ||
Williams Cos., Inc. (The) | ||||
3.60%, 03/15/22 | 155,000 | 161,150 | ||
4.30%, 03/04/24 | 65,000 | 70,746 | ||
3.90%, 01/15/25 | 300,000 | 328,842 | ||
7.50%, 01/15/31 | 100,000 | 128,205 | ||
7.75%, 06/15/31 | 585,000 | 757,337 | ||
8.75%, 03/15/32 | 181,000 | 268,726 |
Table of Contents
Par | Value | |||
Willis North America, Inc. | ||||
2.95%, 09/15/29 | $ 245,000 | $ 259,859 | ||
WP Carey, Inc. REIT | ||||
4.60%, 04/01/24 | 160,000 | 170,521 | ||
4.00%, 02/01/25 | 105,000 | 109,737 | ||
3.85%, 07/15/29 | 900,000 | 937,249 | ||
WPX Energy, Inc. | ||||
5.25%, 10/15/27 | 60,000 | 56,153 | ||
4.50%, 01/15/30 | 50,000 | 44,097 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 553,424 | ||
4.00%, 03/15/28 | 1,100,000 | 1,233,503 | ||
Zimmer Biomet Holdings, Inc. | ||||
3.55%, 04/01/25 | 65,000 | 70,672 | ||
3.05%, 01/15/26 | 1,900,000 | 2,044,147 | ||
3.55%, 03/20/30 | 825,000 | 892,802 | ||
Zoetis, Inc. | ||||
2.00%, 05/15/30 | 3,075,000 | 3,168,690 | ||
4.45%, 08/20/48 | 25,000 | 32,342 | ||
Total Corporate Bonds (Cost $553,882,283) | 590,358,646 | |||
FOREIGN BONDS — 12.0% | ||||
Argentina — 0.1% | ||||
Argentina POM Politica Monetaria | ||||
(Floating, Argentina Blended Historical Policy Rate + 0.00%), 38.02%, 06/21/20(ZA) † ††† | 1,110,000 | 16,384 | ||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 13,930,000 | 162,219 | ||
Argentine Republic Government International Bond | ||||
5.63%, 01/26/22 | 1,410,000 | 585,876 | ||
7.13%, 07/06/36 | 720,000 | 283,900 | ||
3.75%, 12/31/38 | 810,000 | 319,379 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 97,752 | ||
7.88%, 06/15/27 144A | 180,000 | 75,152 | ||
1,540,662 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22Δ | 20,000 | 20,718 | ||
5.00%, 09/30/43 | 195,000 | 270,083 | ||
(Variable, USD Swap 5Y + 5.09%), 6.75%, 10/19/75 144A ^ | 880,000 | 1,017,671 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A | 110,000 | 134,982 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 175,000 | 188,359 | ||
Westpac Banking Corporation | ||||
2.60%, 11/23/20 | 310,000 | 312,651 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 194,315 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | $ 550,000 | $ 607,941 | ||
2,746,720 | ||||
Brazil — 0.2% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/21(B) | 2,892,000 | 551,139 | ||
10.00%, 01/01/23(B) | 8,338,000 | 1,743,465 | ||
10.00%, 01/01/27(B) | 1,013,000 | 220,020 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28 | 480,000 | 502,894 | ||
5.63%, 01/07/41 | 340,000 | 355,300 | ||
5.00%, 01/27/45 | 350,000 | 337,503 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 105,000 | 123,664 | ||
6.88%, 11/21/36 | 284,000 | 372,266 | ||
4,206,251 | ||||
Canada — 0.5% | ||||
Alimentation Couche-Tard, Inc. | ||||
2.70%, 07/26/22 144A | 275,000 | 281,725 | ||
3.55%, 07/26/27 144A | 75,000 | 80,656 | ||
Bank of Montreal | ||||
1.85%, 05/01/25 | 500,000 | 518,008 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 107,713 | ||
Bank of Nova Scotia (The) | ||||
1.30%, 06/11/25Δ | 270,000 | 272,003 | ||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | 560,000 | 739,006 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 647,046 | ||
Bombardier, Inc. | ||||
7.50%, 03/15/25 144A | 250,000 | 163,931 | ||
Canadian Imperial Bank of Commerce | ||||
0.95%, 06/23/23Δ | 2,370,000 | 2,379,027 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 2.61%, 07/22/23^ | 65,000 | 67,213 | ||
Royal Bank of Canada | ||||
2.15%, 10/26/20 | 270,000 | 271,578 | ||
3.20%, 04/30/21 | 300,000 | 307,216 | ||
1.60%, 04/17/23 | 430,000 | 441,294 | ||
1.15%, 06/10/25Δ | 260,000 | 260,634 | ||
Suncor Energy, Inc. | ||||
2.80%, 05/15/23Δ | 225,000 | 235,158 | ||
3.10%, 05/15/25 | 475,000 | 507,907 | ||
Teck Resources, Ltd. | ||||
3.90%, 07/15/30 144A Δ | 275,000 | 274,286 | ||
6.00%, 08/15/40 | 10,000 | 10,608 | ||
Toronto-Dominion Bank (The) | ||||
3.25%, 06/11/21 | 370,000 | 380,183 | ||
0.75%, 06/12/23 | 500,000 | 503,093 |
Table of Contents
Par | Value | |||
1.15%, 06/12/25Δ | $ 260,000 | $ 263,306 | ||
8,711,591 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31 | 1,800,000 | 1,869,174 | ||
Latam Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 11/15/27 | 688,653 | 595,685 | ||
2,464,859 | ||||
China — 0.2% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 400,000 | 347,838 | ||
2.88%, 02/15/25 144A | 800,000 | 672,734 | ||
Bluestar Finance Holdings, Ltd. | ||||
(Variable, 6.65% - U.S. Treasury Yield Curve Rate CMT 3Y), 3.88%, 06/24/23ρ ^ | 660,000 | 659,219 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 147,135 | ||
Global Aircraft Leasing Co., Ltd. | ||||
Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 350,000 | 235,375 | ||
Huarong Finance 2019 Co., Ltd. | ||||
3.75%, 05/29/24 | 200,000 | 205,762 | ||
3.38%, 02/24/30 | 200,000 | 196,670 | ||
Huarong Finance II Co., Ltd. | ||||
5.50%, 01/16/25 | 200,000 | 219,969 | ||
4.88%, 11/22/26 | 200,000 | 218,942 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 210,000 | 197,217 | ||
4.50%, 03/15/23 144A | 20,000 | 18,257 | ||
5.50%, 02/15/24 144A | 60,000 | 54,934 | ||
Scenery Journey, Ltd. | ||||
13.00%, 11/06/22 | 200,000 | 195,492 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 430,609 | ||
3,800,153 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 200,000 | 198,477 | ||
5.63%, 02/26/44 | 480,000 | 578,061 | ||
4.13%, 05/15/51 | 440,000 | 443,080 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45 | 1,250,000 | 1,319,119 | ||
2,538,737 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 567,581 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 290,000 | 294,650 | ||
5.38%, 01/12/24 144A | 340,000 | 378,790 |
Par | Value | |||
1.23%, 06/22/24 144A | $ 280,000 | $ 280,967 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 229,003 | ||
1,750,991 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | 540,000 | 496,800 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,530 | ||
Nordea Bank Abp | ||||
4.88%, 05/13/21 144A | 640,000 | 661,676 | ||
671,206 | ||||
France — 0.7% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 979,838 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | 204,750 | ||
3.38%, 01/09/25 144A | 450,000 | 486,993 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 880,000 | 974,949 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,390,000 | 1,425,045 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,546,762 | ||
(Variable, ICE LIBOR USD 3M + 2.57%), 5.20%, 01/10/30 144A ^ | 380,000 | 465,666 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A Δ ^ | 440,000 | 490,847 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 811,487 | ||
4.63%, 09/12/28 144A | 375,000 | 441,139 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ Δ ^ | 300,000 | 309,583 | ||
4.38%, 03/17/25Δ | 275,000 | 304,566 | ||
(Variable, U.S. SOFR Index + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | 2,056,982 | ||
4.13%, 01/10/27 144A Δ | 450,000 | 508,263 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 275,522 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 684,669 | ||
2.95%, 11/02/26 144A | 310,000 | 340,135 | ||
Total Capital International SA | ||||
3.75%, 04/10/24 | 30,000 | 33,199 |
Table of Contents
Par | Value | |||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | $ 349,000 | $ 393,565 | ||
12,733,960 | ||||
Germany — 0.5% | ||||
Deutsche Bank AG | ||||
3.15%, 01/22/21 | 1,600,000 | 1,607,898 | ||
4.25%, 10/14/21 | 1,500,000 | 1,539,692 | ||
5.00%, 02/14/22 | 1,400,000 | 1,462,048 | ||
3.95%, 02/27/23 | 1,900,000 | 1,974,595 | ||
4.10%, 01/13/26Δ | 65,000 | 68,786 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 1,500,000 | 1,727,098 | ||
8,380,117 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 224,690 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.88%, 05/05/21 | 570,000 | 588,525 | ||
3.85%, 07/18/27 144A | 500,000 | 542,604 | ||
3.50%, 01/11/28 | 450,000 | 479,723 | ||
5.25%, 01/08/47 144A | 200,000 | 251,026 | ||
4.35%, 01/11/48 | 500,000 | 565,213 | ||
3.70%, 10/30/49Δ | 580,000 | 605,195 | ||
3,032,286 | ||||
Ireland — 0.4% | ||||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 150,000 | 151,756 | ||
4.63%, 07/01/22 | 550,000 | 556,327 | ||
3.30%, 01/23/23 | 525,000 | 515,733 | ||
4.88%, 01/16/24 | 350,000 | 348,043 | ||
2.88%, 08/14/24 | 1,000,000 | 939,967 | ||
6.50%, 07/15/25 | 290,000 | 304,388 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 1,025,219 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 2,772,000 | 2,910,726 | ||
4.42%, 11/15/35 | 250,000 | 254,471 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 935,110 | ||
7,941,740 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 337,799 | ||
Israel — 0.2% | ||||
Israel Government International Bond | ||||
3.25%, 01/17/28 | 1,500,000 | 1,701,750 | ||
2.75%, 07/03/30 | 2,060,000 | 2,276,794 |
Par | Value | |||
3.88%, 07/03/50 | $ 400,000 | $ 476,544 | ||
4,455,088 | ||||
Italy — 0.4% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 591,248 | ||
3.38%, 01/12/23 144A | 220,000 | 226,438 | ||
5.02%, 06/26/24 144A | 1,310,000 | 1,343,030 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,431,408 | ||
5.71%, 01/15/26 144A | 200,000 | 210,901 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 560,103 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,589,058 | ||
7,952,186 | ||||
Japan — 0.8% | ||||
Aircastle, Ltd. | ||||
5.13%, 03/15/21 | 764,000 | 767,171 | ||
5.50%, 02/15/22 | 1,300,000 | 1,312,727 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,308,695 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.00%, 02/22/22 | 180,000 | 186,549 | ||
3.76%, 07/26/23 | 35,000 | 37,992 | ||
3.74%, 03/07/29 | 65,000 | 74,125 | ||
3.75%, 07/18/39 | 700,000 | 798,236 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | ||||
3.41%, 02/28/22 144A | 1,500,000 | 1,547,917 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | 1,643,284 | ||
Panasonic Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,340,587 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 264,485 | ||
4.44%, 04/02/24 144A | 350,000 | 380,798 | ||
2.45%, 09/27/24 | 1,600,000 | 1,680,319 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
4.40%, 11/26/23 | 1,300,000 | 1,446,426 | ||
2.05%, 03/31/30 | 700,000 | 701,159 | ||
14,490,470 | ||||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 227,025 | ||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 590,000 | 659,732 | ||
3.50%, 03/20/27 | 900,000 | 1,006,370 | ||
1,666,102 |
Table of Contents
Par | Value | |||
Luxembourg — 0.1% | ||||
ArcelorMittal SA | ||||
3.60%, 07/16/24 | $ 300,000 | $ 297,487 | ||
6.13%, 06/01/25 | 410,000 | 445,232 | ||
4.55%, 03/11/26 | 200,000 | 202,836 | ||
7.25%, 10/15/39 | 70,000 | 83,743 | ||
1,029,298 | ||||
Mexico — 0.7% | ||||
Banco Actinver SA | ||||
4.80%, 12/18/32 144A | 1,530,000 | 1,145,587 | ||
Mexican Bonos | ||||
10.00%, 12/05/24(M) | 25,130,000 | 1,316,574 | ||
7.75%, 11/13/42(M) | 40,935,200 | 1,947,033 | ||
8.00%, 11/07/47(M) | 76,370,000 | 3,726,213 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 327,625 | ||
5.50%, 07/31/47 | 200,000 | 177,859 | ||
5.50%, 07/31/47 144A | 270,000 | 240,110 | ||
Mexico Government International Bond | ||||
4.50%, 04/22/29 | 200,000 | 217,675 | ||
4.75%, 04/27/32 | 2,300,000 | 2,541,500 | ||
4.50%, 01/31/50 | 270,000 | 279,180 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 200,000 | 189,019 | ||
6.63%, 06/15/35 | 19,000 | 15,515 | ||
5.50%, 06/27/44 | 170,000 | 120,674 | ||
6.38%, 01/23/45 | 370,000 | 276,704 | ||
12,521,268 | ||||
Netherlands — 1.3% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 221,160 | ||
Cooperatieve Rabobank UA | ||||
4.63%, 12/01/23 | 400,000 | 441,588 | ||
4.38%, 08/04/25 | 670,000 | 754,605 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 310,000 | 310,989 | ||
5.25%, 05/24/41 | 25,000 | 35,546 | ||
5.25%, 08/04/45 | 370,000 | 507,328 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 1,500,000 | 1,633,419 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 550,597 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,877,403 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 1,003,541 | ||
Lukoil Securities BV | ||||
3.88%, 05/06/30 144A | 210,000 | 219,187 | ||
Mylan NV | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,767,996 | ||
3.95%, 06/15/26 | 1,710,000 | 1,913,347 |
Par | Value | |||
NXP BV | ||||
3.88%, 09/01/22 144A | $ 950,000 | $ 1,004,683 | ||
2.70%, 05/01/25 144A | 170,000 | 178,487 | ||
3.88%, 06/18/26 144A | 1,565,000 | 1,754,003 | ||
3.40%, 05/01/30 144A | 250,000 | 269,541 | ||
Petrobras Global Finance BV | ||||
6.13%, 01/17/22 | 51,000 | 53,602 | ||
5.30%, 01/27/25 | 1,036,000 | 1,078,227 | ||
7.38%, 01/17/27 | 120,000 | 133,931 | ||
6.00%, 01/27/28 | 540,000 | 567,054 | ||
5.75%, 02/01/29 | 10,000 | 10,284 | ||
6.90%, 03/19/49 | 40,000 | 42,220 | ||
6.85%, 06/05/15π | 550,000 | 547,085 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 420,000 | 471,874 | ||
3.68%, 01/21/30 144A | 200,000 | 209,917 | ||
Shell International Finance BV | ||||
2.88%, 05/10/26 | 660,000 | 725,156 | ||
2.75%, 04/06/30 | 1,600,000 | 1,738,358 | ||
4.55%, 08/12/43 | 120,000 | 149,627 | ||
4.38%, 05/11/45 | 230,000 | 283,434 | ||
4.00%, 05/10/46 | 190,000 | 222,507 | ||
Syngenta Finance NV | ||||
3.93%, 04/23/21 144A | 2,350,000 | 2,373,254 | ||
4.44%, 04/24/23 144A | 1,075,000 | 1,129,140 | ||
5.18%, 04/24/28 144A | 200,000 | 213,607 | ||
24,392,697 | ||||
Nigeria — 0.0% | ||||
Nigeria Government International Bond | ||||
8.75%, 01/21/31 | 210,000 | 210,977 | ||
Norway — 0.1% | ||||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,266,880 | ||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
4.50%, 04/01/56 | 280,000 | 344,683 | ||
Peru — 0.1% | ||||
Peruvian Government International Bond | ||||
2.78%, 01/23/31Δ | 810,000 | 865,485 | ||
5.63%, 11/18/50 | 330,000 | 521,992 | ||
1,387,477 | ||||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 1,180,000 | 1,312,229 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 600,820 | ||
3.38%, 03/14/24 | 1,700,000 | 1,823,918 | ||
4.00%, 03/14/29 144A | 460,000 | 530,214 | ||
5.10%, 04/23/48 | 1,000,000 | 1,362,832 |
Table of Contents
Par | Value | |||
4.82%, 03/14/49 144A | $ 1,220,000 | $1,608,710 | ||
5,926,494 | ||||
Romania — 0.1% | ||||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) 144A Δ | 510,000 | 619,729 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 73,640 | ||
3.38%, 01/28/50(E) 144A | 140,000 | 153,127 | ||
3.38%, 01/28/50(E) | 160,000 | 175,002 | ||
1,021,498 | ||||
Russia — 0.5% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | 340,000 | 378,233 | ||
7.29%, 08/16/37 | 100,000 | 144,332 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 506,348 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 785,382 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 154,027 | ||
8.15%, 02/03/27(Q) | 63,930,000 | 1,036,431 | ||
7.05%, 01/19/28(Q) | 110,471,000 | 1,695,317 | ||
6.90%, 05/23/29(Q) | 157,060,000 | 2,389,682 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 758,059 | ||
7.70%, 03/16/39(Q) | 78,400,000 | 1,290,192 | ||
9,138,003 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | 1,800,000 | 1,838,513 | ||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 966,285 | ||
Spain — 0.3% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 2.43%, 04/12/23† | 200,000 | 197,093 | ||
3.85%, 04/12/23 | 400,000 | 426,210 | ||
2.75%, 05/28/25 | 2,300,000 | 2,386,260 | ||
4.38%, 04/12/28 | 400,000 | 447,212 | ||
3.31%, 06/27/29 | 400,000 | 432,415 | ||
Telefonica Emisiones SA | ||||
4.57%, 04/27/23 | 500,000 | 549,513 | ||
5.21%, 03/08/47 | 400,000 | 498,994 | ||
4,937,697 | ||||
Sweden — 0.0% | ||||
Svenska Handelsbanken AB | ||||
3.35%, 05/24/21 | 250,000 | 256,371 | ||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 330,000 | 334,204 | ||
590,575 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 246,638 | ||
2.95%, 04/09/25 | 665,000 | 722,519 |
Par | Value | |||
Credit Suisse Group AG | ||||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | $ 250,000 | $ 258,699 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | 411,278 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 618,526 | ||
4.28%, 01/09/28 144A | 1,800,000 | 2,017,174 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 469,541 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 955,000 | 1,091,666 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.45%, 04/16/21 | 800,000 | 819,033 | ||
3.80%, 09/15/22 | 1,300,000 | 1,381,795 | ||
4.55%, 04/17/26 | 2,440,000 | 2,807,832 | ||
UBS AG | ||||
1.75%, 04/21/22 144A | 470,000 | 479,109 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 480,000 | 502,327 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 200,000 | 207,323 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | 873,134 | ||
4.13%, 09/24/25 144A | 440,000 | 499,314 | ||
4.25%, 03/23/28 144A | 1,090,000 | 1,237,710 | ||
14,643,618 | ||||
Turkey — 0.0% | ||||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,105,866 | 825,517 | ||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 610,000 | 631,271 | ||
3.13%, 10/11/27 144A | 500,000 | 547,722 | ||
3.13%, 04/16/30 144A | 1,500,000 | 1,656,471 | ||
3.88%, 04/16/50 144A | 1,700,000 | 2,015,775 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 620,000 | 679,205 | ||
5,530,444 | ||||
United Kingdom — 2.3% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 735,356 | ||
4.00%, 09/11/27 144A | 220,000 | 235,354 | ||
AstraZeneca PLC | ||||
4.38%, 08/17/48 | 25,000 | 33,419 | ||
Barclays Bank PLC | ||||
1.70%, 05/12/22 | 200,000 | 203,645 | ||
7.63%, 11/21/22Δ | 1,700,000 | 1,851,725 |
Table of Contents
Par | Value | |||
Barclays PLC | ||||
(Floating, ICE LIBOR USD 3M + 2.11%), 2.56%, 08/10/21† | $1,600,000 | $1,624,936 | ||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 1,000,500 | ||
(Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 800,000 | 836,838 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,060,000 | 1,242,765 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,250,000 | 1,420,056 | ||
BP Capital Markets PLC | ||||
3.56%, 11/01/21Δ | 30,000 | 31,204 | ||
3.81%, 02/10/24 | 330,000 | 362,764 | ||
3.54%, 11/04/24 | 60,000 | 66,172 | ||
3.51%, 03/17/25 | 330,000 | 365,242 | ||
Gazprom PJSC via Gaz Finance PLC | ||||
3.25%, 02/25/30 144A | 470,000 | 468,825 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 20,000 | 20,873 | ||
5.25%, 12/19/33(U) | 100,000 | 184,452 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 111,043 | ||
HSBC Bank PLC | ||||
4.75%, 01/19/21 144A | 200,000 | 204,923 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 1.80%, 01/05/22† | 400,000 | 405,810 | ||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 300,000 | 310,865 | ||
(Variable, USD ICE Swap Rate 5Y + 3.45%), 6.25%, 03/23/23ρ ^ | 280,000 | 279,409 | ||
4.25%, 03/14/24 | 240,000 | 259,079 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.39%, 05/18/24† | 300,000 | 297,766 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 675,455 | ||
4.25%, 08/18/25 | 220,000 | 240,302 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 374,256 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 300,000 | 331,768 | ||
(Variable, USD ICE Swap Rate 5Y + 3.61%), 6.50%, 03/23/28ρ ^ | 540,000 | 554,615 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 800,000 | 924,884 | ||
4.95%, 03/31/30 | 400,000 | 481,774 | ||
(Variable, ICE LIBOR USD 3M + 1.61%), 3.97%, 05/22/30^ | 400,000 | 444,374 | ||
6.50%, 09/15/37 | 500,000 | 681,847 | ||
Lloyds Bank PLC | ||||
(Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | 2,000,000 | 1,653,047 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | 1,957,931 | ||
3.90%, 03/12/24 | 210,000 | 230,129 | ||
4.38%, 03/22/28 | 800,000 | 928,888 |
Par | Value | |||
4.55%, 08/16/28 | $ 230,000 | $ 269,910 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.57%, 11/07/28^ | 200,000 | 217,514 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | 2,109,254 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,407,610 | ||
(Variable, ICE LIBOR USD 3M + 1.86%), 3.96%, 07/18/30 144A ^ | 375,000 | 422,357 | ||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 638,369 | ||
Royal Bank of Scotland Group PLC | ||||
2.50%, 03/22/23(E) | 1,400,000 | 1,639,443 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.86%, 05/15/23† | 1,300,000 | 1,301,045 | ||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | 429,000 | 445,511 | ||
3.88%, 09/12/23 | 579,000 | 624,623 | ||
6.00%, 12/19/23 | 110,000 | 123,294 | ||
5.13%, 05/28/24 | 280,000 | 306,616 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,396,470 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,322,246 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 207,135 | ||
Santander UK PLC | ||||
2.88%, 06/18/24 | 925,000 | 986,871 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 176,167 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 130,186 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,038,967 | ||
Vodafone Group PLC | ||||
3.75%, 01/16/24 | 4,535,000 | 4,956,049 | ||
4.38%, 05/30/28 | 480,000 | 571,256 | ||
6.15%, 02/27/37 | 10,000 | 14,032 | ||
43,337,216 | ||||
Total Foreign Bonds (Cost $216,274,394) | 221,590,802 | |||
LOAN AGREEMENTS — 0.6% | ||||
1011778 B.C. Unlimited Liability Company Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 11/19/26† | 119,400 | 113,445 | ||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.25%), 4.43%, 07/10/26† | 198,972 | 193,693 |
Table of Contents
Par | Value | |||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.50%), 2.68%, 10/01/26† | $ 228,850 | $ 221,173 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 11/03/24† | 266,552 | 258,112 | ||
athenahealth, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 3M+ 4.50%), 4.82%, 02/11/26† | 784,005 | 762,445 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 12/06/25† | 88,650 | 83,774 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 04/30/25† | 156,094 | 150,988 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.00%), 4.18%, 10/16/26† | 438,900 | 425,915 | ||
Delta Air Lines, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 4.75%), 5.51%, 04/29/23† | 500,000 | 492,033 | ||
Diamond Sports Group LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.25%), 3.43%, 08/24/26† | 9,426 | 7,718 | ||
Elanco Animal Health, Inc. Term Loan B | ||||
0.00%, 02/04/27† Σ | 520,000 | 497,250 | ||
EyeCare Partners LLC Initial Delayed Draw Term Loan | ||||
0.00%, 02/18/27† Σ | 77,568 | 70,490 | ||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 3.75%), 4.82%, 02/18/27† | 331,601 | 301,343 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.00%), 2.18%, 07/03/24† | 337,594 | 324,512 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M+ 2.00%), 2.18%, 11/30/23† | 49,614 | 47,149 | ||
Froneri International, Ltd. Facility B2 | ||||
(Floating, ICE LIBOR USD 1M+ 2.25%), 2.43%, 01/29/27† | 270,000 | 254,645 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 2.00%), 2.31%, 12/30/26† | 59,850 | 57,788 | ||
Global Medical Response, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 3.25%, 1.00% Floor), 4.25%, 04/28/22† | 455,940 | 440,099 | ||
HCA, Inc. Tranche B-12 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 03/13/25† | 1,053,004 | 1,034,577 |
Par | Value | |||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 06/22/26† | $768,355 | $727,740 | ||
iHeartCommunications, Inc. New Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 05/01/26† | 187,895 | 173,960 | ||
Jane Street Group LLC New Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 01/31/25† | 295,355 | 288,525 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.98%, 03/01/27† | 107,945 | 102,432 | ||
LifePoint Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 11/16/25† | 158,845 | 149,388 | ||
McAfee LLC Term B USD Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.75%), 3.93%, 09/30/24† | 633,657 | 618,959 | ||
Michaels Stores, Inc. 2018 New Replacement Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.50%, 1.00% Floor), 3.50%, 01/30/23† | 314,176 | 288,779 | ||
(Floating, ICE LIBOR USD 3M+ 2.50%, 1.00% Floor), 3.56%, 01/30/23† | 187,351 | 172,206 | ||
(Floating, ICE LIBOR USD 3M+ 2.50%, 1.00% Floor), 3.57%, 01/30/23† | 182,222 | 167,492 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M+ 2.75%, 1.00% Floor), 3.75%, 06/07/23† | 606,397 | 578,266 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.75%), 2.92%, 09/18/26† | 721,071 | 688,496 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M+ 4.50%), 4.68%, 08/06/26† | 268,650 | 261,709 | ||
Panther BF Aggregator 2 L P Initial Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.50%), 3.68%, 04/30/26† | 367,225 | 351,159 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 02/04/27† | 568,575 | 549,485 | ||
RPI 2019 Intermediate Finance Trust Term Loan B | ||||
(Floating, ICE LIBOR USD 1M+ 1.75%), 1.93%, 02/11/27† | 626,850 | 612,486 | ||
T-Mobile USA, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 3.18%, 04/01/27† | 290,000 | 289,868 |
Table of Contents
Par | Value | |||
Univision Communications, Inc. 2017 Replacement Repriced Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.75%, 1.00% Floor), 3.75%, 03/15/24† | $ 112,000 | $ 104,944 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 3.00%), 3.19%, 03/01/26† | 157,922 | 154,238 | ||
Total Loan Agreements (Cost $12,503,181) | 12,017,281 | |||
MORTGAGE-BACKED SECURITIES — 39.0% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 1.06%, 09/15/34 144A † | 1,200,000 | 1,193,570 | ||
Aggregator of Loans Backed by Assets PLC, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR GBP 1M + 1.88%), 1.97%, 04/24/49(U) † | 494,845 | 616,625 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.34%, 03/17/39(U) † | 648,824 | 759,464 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.37%, 09/25/46† | 300,691 | 274,382 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 2.02%, 09/25/45† | 229,527 | 227,761 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,404,594 | ||
AREIT Trust, Series 2020-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.62%, 2.62% Floor), 2.80%, 04/14/37 144A † | 1,300,000 | 1,305,324 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
4.01%, 05/25/35† γ | 346,221 | 342,504 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
3.09%, 07/25/34† γ | 41,281 | 39,825 | ||
Bancorp Commercial Mortgage, Series 2018-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.95% Floor), 1.08%, 09/15/35 144A † | 370,028 | 356,871 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.95%, 11/15/54† IO γ | 9,874,969 | 450,890 | ||
BANK, Series 2018-BN10, Class D | ||||
2.60%, 02/15/61 144A | 200,000 | 136,813 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,727,948 |
Par | Value | |||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.71%, 08/10/33 144A † γ | $ 390,000 | $ 362,202 | ||
BBCMS Mortgage Trust, Series 2017-C1, Class D | ||||
3.67%, 02/15/50 144A † γ | 200,000 | 134,396 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 2,018,734 | ||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | 1,800,000 | 1,947,003 | ||
BBCMS Trust, Series 2015-STP, Class A | ||||
3.32%, 09/10/28 144A | 877,190 | 877,287 | ||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.37%, 01/26/38 144A † | 549,995 | 537,698 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
3.77%, 05/25/35† γ | 124,874 | 121,973 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
3.97%, 02/25/33† γ | 6,575 | 6,352 | ||
Bear Stearns ARM Trust, Series 2004-2, Class 24A | ||||
2.75%, 05/25/34 | 18,108 | 16,005 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
3.63%, 01/26/36† γ | 357,124 | 304,207 | ||
Brunel Residential Mortgage Securitisation No. 1 PLC, Series 2007-1X, Class A4B | ||||
(Floating, ICE LIBOR GBP 3M + 0.22%), 0.89%, 01/13/39(U) † | 231,657 | 287,237 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.18%, 10/15/36 144A † | 1,404,439 | 1,357,706 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | ||||
2.50%, 11/15/52 144A | 550,000 | 375,131 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
4.11%, 02/19/34† γ | 194,647 | 192,785 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
4.12%, 04/20/35† γ | 200,887 | 192,418 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.11%, 11/15/36 144A † | 310,000 | 297,660 | ||
CIM Trust, Series 2017-6, Class A1 | ||||
3.02%, 06/25/57 144A | 1,916,122 | 1,944,956 |
Table of Contents
Par | Value | |||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | $1,450,000 | �� | $1,598,005 | |
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class D | ||||
2.60%, 01/15/53 144A | 650,000 | 460,993 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 52,948 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 41,824 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.24%, 10/10/46† γ | 20,000 | 19,003 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 393,134 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.73%, 08/10/49 144A † γ | 160,000 | 172,025 | ||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | 2,400,000 | 2,603,835 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.45%, 02/10/48† γ | 80,000 | 73,744 | ||
COMM Mortgage Trust, Series 2017-COR2, Class C | ||||
4.71%, 09/10/50† γ | 500,000 | 457,185 | ||
COMM Mortgage Trust, Series 2019-GC44, Class D | ||||
2.50%, 08/15/57 144A | 450,000 | 305,163 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 2.58%, 04/25/31 144A † | 394,234 | 393,125 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 2.48%, 08/25/31 144A † | 490,130 | 486,891 | ||
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | ||||
5.05%, 11/15/51 144A † γ | 300,000 | 254,841 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.57%, 06/25/50 144A † γ | 2,129,982 | 1,692,845 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 3,218,628 | 3,351,746 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 515,779 | ||
DBJPM Mortgage Trust, Series 2016-C1, Class D | ||||
3.50%, 05/10/49 144A † γ | 500,000 | 359,851 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
3.65%, 02/25/36† γ | 659,568 | 634,849 |
Par | Value | |||
Exantas Capital Corporation, Ltd., Series 2018-RSO6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.83%, 0.83% Floor), 1.02%, 06/15/35 144A † | $ 81,601 | $ 81,723 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.43%, 07/25/30† | 190,683 | 187,796 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 2.33%, 10/25/30† | 178,628 | 177,132 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 385 | 416 | ||
5.50%, 02/01/27 | 18,227 | 20,057 | ||
4.50%, 10/01/29 | 1,538 | 1,674 | ||
7.50%, 11/01/29 | 2,659 | 3,121 | ||
7.50%, 12/01/29 | 2,854 | 3,318 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 4.61%, 07/01/31† | 2,619 | 2,631 | ||
7.50%, 11/01/31 | 7,337 | 7,368 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.50% Cap), 3.73%, 04/01/32† | 978 | 985 | ||
3.50%, 08/01/33 | 607,075 | 647,068 | ||
5.00%, 08/01/33 | 3,199 | 3,670 | ||
5.00%, 09/01/33 | 655 | 750 | ||
5.00%, 10/01/33 | 1,781 | 2,040 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.18% Cap), 3.87%, 03/01/34† | 726 | 734 | ||
5.00%, 12/01/34 | 54,307 | 62,268 | ||
5.50%, 05/01/35 | 172,388 | 191,919 | ||
5.00%, 07/01/35 | 2,791 | 3,205 | ||
5.00%, 11/01/35 | 81,001 | 92,881 | ||
5.50%, 11/01/35 | 21,702 | 24,878 | ||
5.00%, 12/01/35 | 7,841 | 9,023 | ||
6.00%, 02/01/36 | 184,900 | 205,646 | ||
5.00%, 02/01/37 | 7,863 | 9,015 | ||
5.50%, 07/01/37 | 21,058 | 24,230 | ||
3.00%, 02/01/38 | 208,881 | 220,326 | ||
3.00%, 04/01/38 | 139,801 | 147,495 | ||
5.50%, 04/01/38 | 5,168 | 5,938 | ||
7.00%, 03/01/39 | 12,321 | 14,419 | ||
4.50%, 06/01/39 | 60,932 | 67,757 | ||
6.50%, 09/01/39 | 26,213 | 30,503 | ||
4.00%, 02/01/41 | 44,580 | 48,919 | ||
5.00%, 06/01/41 | 2,320 | 2,619 | ||
3.50%, 10/01/42 | 96,155 | 103,978 | ||
4.00%, 10/01/42 | 38,831 | 42,423 | ||
3.50%, 11/01/42 | 209,665 | 226,887 | ||
3.50%, 12/01/42 | 57,387 | 62,065 |
Table of Contents
Par | Value | |||
3.50%, 01/01/43 | $ 301,768 | $ 326,344 | ||
3.50%, 02/01/43 | 184,360 | 199,199 | ||
3.50%, 03/01/43 | 481,375 | 520,551 | ||
4.00%, 04/01/43 | 97,486 | 106,518 | ||
3.50%, 05/01/43 | 335,625 | 367,356 | ||
4.00%, 05/01/43 | 43,609 | 49,372 | ||
4.00%, 06/01/43 | 51,803 | 58,650 | ||
4.00%, 07/01/43 | 169,679 | 191,260 | ||
4.00%, 08/01/43 | 91,942 | 100,356 | ||
4.50%, 12/01/43 | 649,487 | 721,908 | ||
3.50%, 02/01/44 | 50,374 | 54,478 | ||
4.50%, 02/01/44 | 533,128 | 592,824 | ||
4.50%, 03/01/44 | 157,544 | 175,117 | ||
3.50%, 03/01/45 | 539,380 | 583,462 | ||
4.00%, 12/01/45 | 341,104 | 369,209 | ||
3.50%, 06/01/46 | 61,216 | 66,608 | ||
4.00%, 09/01/46 | 1,085,387 | 1,151,017 | ||
4.50%, 01/01/47 | 499,984 | 543,599 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%, 1.29% Floor, 7.21% Cap), 2.54%, 03/01/47† | 975,217 | 1,006,374 | ||
3.50%, 04/01/47 | 9,340,864 | 10,156,501 | ||
3.50%, 06/01/47 | 63,811 | 68,365 | ||
4.00%, 07/01/47 | 474,372 | 505,924 | ||
5.00%, 07/01/47 | 306,602 | 336,105 | ||
4.00%, 08/01/47 | 120,083 | 130,055 | ||
3.00%, 09/01/47 | 983,929 | 1,060,500 | ||
3.50%, 09/01/47 | 991,610 | 1,046,903 | ||
3.50%, 02/01/48 | 15,642 | 16,481 | ||
4.00%, 03/01/48 | 1,418,751 | 1,512,708 | ||
3.50%, 04/01/48 | 1,471,602 | 1,557,457 | ||
4.00%, 04/01/48 | 1,813,662 | 1,930,575 | ||
4.50%, 04/01/48 | 327,077 | 358,015 | ||
4.00%, 05/01/48 | 101,682 | 107,962 | ||
3.50%, 06/01/48 | 438,700 | 476,090 | ||
4.50%, 06/01/48 | 107,666 | 115,897 | ||
4.50%, 07/01/48 | 481,804 | 517,850 | ||
4.50%, 08/01/48 | 1,583,348 | 1,772,280 | ||
5.00%, 08/01/48 | 270,556 | 296,069 | ||
3.00%, 09/01/48 | 165,134 | 178,570 | ||
4.00%, 09/01/48 | 314,822 | 333,433 | ||
4.50%, 09/01/48 | 57,363 | 61,712 | ||
5.00%, 10/01/48 | 25,571 | 27,987 | ||
4.00%, 11/01/48 | 60,215 | 63,915 | ||
4.50%, 11/01/48 | 271,665 | 295,785 | ||
5.00%, 11/01/48 | 162,533 | 177,797 | ||
4.50%, 01/01/49 | 755,194 | 821,369 | ||
5.00%, 01/01/49 | 42,650 | 46,603 | ||
4.50%, 04/01/49 | 205,854 | 225,442 | ||
4.00%, 05/01/49 | 72,561 | 76,899 | ||
3.00%, 07/01/49 | 356,809 | 376,833 | ||
3.00%, 09/01/49 | 836,378 | 900,898 | ||
5.00%, 10/01/49 | 14,532,702 | 15,886,546 | ||
3.00%, 01/01/50 | 196,523 | 210,403 | ||
3.50%, 02/01/50 | 196,177 | 211,097 | ||
4.00%, 02/01/50 | 190,777 | 204,485 |
Par | Value | |||
4.50%, 02/01/50 | $ 278,558 | $ 301,574 | ||
3.00%, 03/01/50 | 1,574,121 | 1,664,635 | ||
3.50%, 03/01/50 | 294,242 | 311,498 | ||
4.00%, 03/01/50 | 188,887 | 201,432 | ||
4.50%, 03/01/50 | 99,639 | 107,450 | ||
5.00%, 03/01/50 | 52,659 | 57,538 | ||
4.50%, 04/01/50 | 394,447 | 425,491 | ||
2.00%, 07/01/50 | 1,399,861 | 1,431,422 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 127,902 | 152,894 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 0.68%, 06/15/37† | 87,066 | 87,802 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 6.05%, 01/15/40† IO | 174,078 | 40,373 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 10/15/41† IO | 108,599 | 18,919 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 6.31%, 12/15/41† IO | 226,821 | 51,923 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 08/15/42† IO | 182,076 | 32,546 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 283,045 | 28,614 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 363,241 | 381,204 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 202,239 | 13,420 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 163,317 | 8,973 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 02/15/44† IO | 88,483 | 14,924 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 05/15/44† IO | 91,304 | 17,886 |
Table of Contents
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
3.37%, 04/15/41† IO γ | $ 107,604 | $ 6,534 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%, 9999.00% Cap), 0.81%, 07/15/40† | 279,426 | 281,335 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 811,510 | 851,982 | ||
3.00%, 06/15/48 | 600,507 | 627,960 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 543,246 | 562,940 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.54%, 08/15/40† | 1,100,000 | 1,094,672 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.54%, 10/15/40† | 1,000,000 | 995,156 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 12/15/46† IO | 339,097 | 71,601 | ||
Federal National Mortgage Association | ||||
9.50%, 05/01/22 | 26 | 26 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 2.23%, 07/01/22† | 601 | 600 | ||
5.50%, 09/01/23 | 9,047 | 9,420 | ||
5.50%, 10/01/23 | 2,228 | 2,320 | ||
5.00%, 06/01/24 | 61,236 | 66,833 | ||
9.50%, 07/01/24 | 15 | 15 | ||
2.81%, 04/01/25 | 50,000 | 54,168 | ||
5.50%, 05/01/25 | 1,688 | 1,733 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 2.13%, 07/01/27† | 6,664 | 6,623 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.81% Cap), 3.49%, 08/01/27† | 9,758 | 9,835 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.62% Cap), 2.13%, 11/01/27 CONV † | 7,754 | 7,692 | ||
2.84%, 01/01/28 | 420,000 | 468,018 | ||
3.08%, 01/01/28 | 140,000 | 155,782 | ||
3.07%, 01/01/29 | 100,000 | 113,757 | ||
3.16%, 05/01/29 | 147,961 | 169,550 | ||
3.26%, 05/01/29 | 110,000 | 127,338 | ||
3.16%, 06/01/29 | 5,900,000 | 6,784,048 | ||
2.79%, 08/01/29 | 500,000 | 562,145 | ||
2.26%, 02/01/30 | 100,000 | 108,690 | ||
2.06%, 03/01/30 | 199,645 | 215,416 | ||
2.14%, 04/01/30 | 100,000 | 107,829 |
Par | Value | |||
2.26%, 04/01/30 | $398,705 | $432,675 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 4.41%, 06/01/30 CONV † | 10,399 | 10,445 | ||
8.00%, 10/01/30 | 7,597 | 9,190 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 4.38%, 12/01/30 CONV † | 3,128 | 3,146 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 2.13%, 01/01/31† | 4,419 | 4,362 | ||
4.50%, 04/01/31 | 35,188 | 38,428 | ||
4.50%, 05/01/31 | 123,512 | 134,855 | ||
4.50%, 06/01/31 | 38,212 | 41,731 | ||
2.87%, 07/01/31 | 100,000 | 113,805 | ||
2.77%, 08/01/31 | 400,000 | 449,889 | ||
2.77%, 08/01/31 | 200,000 | 225,039 | ||
2.85%, 08/01/31 | 100,000 | 113,326 | ||
2.87%, 08/01/31 | 200,000 | 226,842 | ||
2.24%, 10/01/31 | 100,000 | 108,633 | ||
4.50%, 11/01/31 | 57,548 | 63,132 | ||
6.00%, 11/01/31 | 1,634 | 1,887 | ||
4.50%, 12/01/31 | 86,258 | 94,628 | ||
6.00%, 01/01/32 | 49,868 | 55,589 | ||
2.32%, 02/01/32 | 100,000 | 109,606 | ||
6.00%, 03/01/32 | 2,157 | 2,408 | ||
1.85%, 04/01/32 | 100,000 | 105,835 | ||
1.95%, 04/01/32 | 100,000 | 105,802 | ||
6.00%, 04/01/32 | 95,076 | 106,210 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 2.13%, 06/01/32† | 6,107 | 6,023 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 2.23%, 08/01/32† | 6,206 | 6,125 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 3.63%, 02/01/33† | 841 | 845 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.95% Cap), 2.23%, 05/01/33† | 9,039 | 8,949 | ||
5.00%, 07/01/33 | 16,667 | 19,101 | ||
5.00%, 09/01/33 | 20,207 | 23,150 | ||
3.50%, 05/01/34 | 107,391 | 115,687 | ||
6.00%, 10/01/34 | 24,878 | 27,671 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 3.55%, 12/01/34† | 12,347 | 12,530 | ||
6.00%, 05/01/35 | 302,205 | 350,218 | ||
6.00%, 07/01/35 | 62,016 | 70,533 | ||
5.50%, 09/01/35 | 27,009 | 29,714 | ||
5.00%, 10/01/35 | 56,524 | 64,887 | ||
6.00%, 10/01/35 | 13,500 | 15,642 |
Table of Contents
Par | Value | |||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 2.13%, 11/01/35† | $ 2,850 | $ 2,855 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.96%, 1.96% Floor, 8.99% Cap), 3.67%, 11/01/35† | 26,810 | 27,722 | ||
6.00%, 11/01/35 | 189,735 | 212,675 | ||
5.50%, 04/01/36 | 3,154 | 3,492 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.92% Floor, 12.91% Cap), 4.10%, 05/01/36† | 22,825 | 23,641 | ||
5.50%, 11/01/36 | 46,359 | 53,305 | ||
5.50%, 03/01/37 | 2,821 | 3,245 | ||
6.00%, 07/01/37 | 470,873 | 548,719 | ||
6.50%, 10/01/37 | 40,563 | 46,621 | ||
7.00%, 10/01/37 | 1,278 | 1,491 | ||
7.00%, 11/01/37 | 4,833 | 5,478 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.65% Cap), 2.13%, 12/01/37† | 17,917 | 17,759 | ||
3.00%, 12/01/37 | 134,045 | 141,846 | ||
7.00%, 12/01/37 | 3,164 | 3,845 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.53% Cap), 2.13%, 01/01/38† | 10,786 | 10,730 | ||
7.00%, 02/01/38 | 1,673 | 1,927 | ||
4.50%, 03/01/38 | 3,373 | 3,668 | ||
4.50%, 04/01/38 | 48,091 | 52,741 | ||
5.00%, 04/01/38 | 56,066 | 64,249 | ||
5.00%, 06/01/38 | 61,389 | 70,162 | ||
5.50%, 08/01/38 | 32,192 | 36,897 | ||
7.00%, 11/01/38 | 13,089 | 15,294 | ||
7.00%, 02/01/39 | 5,435 | 6,302 | ||
6.00%, 12/01/39 | 195,744 | 228,383 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.69% Cap), 3.09%, 06/01/40† | 23,309 | 23,575 | ||
3.09%, 10/01/40† | 80,171 | 80,025 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 2.13%, 11/01/40† | 7,010 | 6,936 | ||
4.50%, 04/01/41 | 84,958 | 94,604 | ||
4.50%, 08/01/41 | 44,292 | 49,338 | ||
4.50%, 11/01/41 | 206,138 | 226,439 | ||
4.00%, 06/01/42 | 21,419 | 22,830 | ||
3.50%, 09/01/42 | 39,696 | 42,904 | ||
4.00%, 10/01/42 | 138,276 | 150,859 | ||
2.50%, 11/01/42 | 18,768 | 19,893 | ||
4.00%, 11/01/42 | 1,315,730 | 1,465,111 | ||
2.50%, 12/01/42 | 13,689 | 14,510 | ||
3.00%, 12/01/42 | 13,398 | 14,620 | ||
3.50%, 12/01/42 | 63,873 | 69,151 | ||
4.00%, 12/01/42 | 94,304 | 103,654 | ||
2.50%, 01/01/43 | 13,808 | 14,636 |
Par | Value | |||
3.00%, 01/01/43 | $ 256,695 | $ 276,031 | ||
3.50%, 01/01/43 | 1,240,272 | 1,340,577 | ||
2.50%, 02/01/43 | 18,603 | 19,715 | ||
2.50%, 03/01/43 | 1,292,765 | 1,370,007 | ||
3.00%, 03/01/43 | 161,351 | 175,931 | ||
3.50%, 03/01/43 | 538,695 | 582,886 | ||
2.50%, 04/01/43 | 1,083,520 | 1,148,257 | ||
3.00%, 04/01/43 | 240,618 | 262,584 | ||
4.00%, 04/01/43 | 46,151 | 51,757 | ||
2.50%, 05/01/43 | 22,927 | 24,297 | ||
3.00%, 05/01/43 | 153,026 | 166,996 | ||
2.50%, 06/01/43 | 21,052 | 22,310 | ||
3.00%, 06/01/43 | 48,093 | 52,483 | ||
4.00%, 06/01/43 | 406,437 | 452,458 | ||
3.00%, 07/01/43 | 411,038 | 448,566 | ||
4.00%, 07/01/43 | 422,972 | 469,271 | ||
2.50%, 08/01/43 | 801,058 | 848,926 | ||
4.00%, 08/01/43 | 136,710 | 149,199 | ||
4.50%, 09/01/43 | 419,434 | 466,740 | ||
2.50%, 10/01/43 | 25,572 | 27,075 | ||
4.50%, 10/01/43 | 139,936 | 155,398 | ||
4.50%, 11/01/43 | 93,288 | 103,652 | ||
4.50%, 12/01/43 | 138,527 | 153,930 | ||
4.50%, 01/01/44 | 84,871 | 94,316 | ||
4.50%, 02/01/44 | 567,248 | 631,666 | ||
4.50%, 10/01/44 | 321,722 | 360,818 | ||
4.00%, 01/01/45 | 128,259 | 141,924 | ||
4.50%, 02/01/45 | 878,563 | 1,011,192 | ||
3.50%, 04/01/45 | 1,061,873 | 1,142,308 | ||
4.50%, 04/01/45 | 475,402 | 533,725 | ||
4.50%, 05/01/45 | 52,892 | 60,101 | ||
3.50%, 06/01/45 | 448,984 | 478,886 | ||
4.50%, 06/01/45 | 578,231 | 640,012 | ||
3.00%, 11/01/45 | 1,214,671 | 1,288,954 | ||
3.50%, 12/01/45 | 179,934 | 195,701 | ||
3.50%, 01/01/46 | 352,722 | 384,757 | ||
3.00%, 05/01/46 | 469,012 | 505,637 | ||
3.00%, 07/01/46 | 534,078 | 571,220 | ||
3.00%, 08/01/46 | 1,028,399 | 1,102,535 | ||
3.00%, 09/01/46 | 449,659 | 476,316 | ||
3.00%, 10/01/46 | 69,740 | 74,122 | ||
3.00%, 11/01/46 | 2,340,862 | 2,494,555 | ||
3.50%, 11/01/46 | 53,230 | 56,959 | ||
4.50%, 11/01/46 | 521,747 | 566,876 | ||
5.00%, 11/01/46 | 778,896 | 882,191 | ||
3.50%, 12/01/46 | 714,943 | 767,358 | ||
3.50%, 02/01/47 | 4,207,191 | 4,471,798 | ||
4.50%, 03/01/47 | 684,508 | 753,783 | ||
4.00%, 04/01/47 | 531,073 | 576,419 | ||
4.00%, 05/01/47 | 123,895 | 134,567 | ||
4.50%, 06/01/47 | 692,774 | 779,167 | ||
4.50%, 07/01/47 | 1,117,889 | 1,225,614 | ||
3.00%, 09/01/47 | 1,188,304 | 1,270,367 | ||
3.50%, 09/01/47 | 17,543,874 | 19,164,322 | ||
3.50%, 10/01/47 | 17,456,315 | 19,083,794 | ||
3.50%, 11/01/47 | 22,550,402 | 24,652,797 | ||
4.50%, 11/01/47 | 263,691 | 289,740 |
Table of Contents
Par | Value | |||
3.50%, 12/01/47 | $22,924,128 | $25,046,560 | ||
4.00%, 12/01/47 | 462,613 | 505,283 | ||
3.50%, 01/01/48 | 395,195 | 418,648 | ||
4.00%, 01/01/48 | 474,204 | 517,944 | ||
3.50%, 02/01/48 | 1,788,131 | 1,892,263 | ||
4.00%, 02/01/48 | 1,599,896 | 1,753,537 | ||
3.50%, 03/01/48 | 70,661 | 74,619 | ||
4.00%, 03/01/48 | 1,312,564 | 1,433,560 | ||
4.50%, 04/01/48 | 474,682 | 511,086 | ||
4.50%, 05/01/48 | 599,181 | 644,617 | ||
5.00%, 05/01/48 | 258,452 | 282,871 | ||
4.00%, 06/01/48 | 789,293 | 863,236 | ||
3.50%, 07/01/48 | 1,197,136 | 1,269,263 | ||
4.00%, 07/01/48 | 1,507,402 | 1,642,968 | ||
4.50%, 07/01/48 | 578,776 | 632,091 | ||
3.50%, 08/01/48 | 9,271,051 | 10,060,697 | ||
4.00%, 08/01/48 | 4,482,927 | 4,871,519 | ||
4.50%, 08/01/48 | 786,785 | 868,719 | ||
5.00%, 08/01/48 | 148,149 | 162,035 | ||
4.00%, 09/01/48 | 1,328,363 | 1,410,065 | ||
4.50%, 09/01/48 | 978,163 | 1,075,331 | ||
4.00%, 10/01/48 | 388,452 | 414,254 | ||
4.50%, 10/01/48 | 1,026,224 | 1,119,458 | ||
5.00%, 10/01/48 | 685,321 | 749,105 | ||
4.00%, 11/01/48 | 30,491 | 32,328 | ||
4.50%, 11/01/48 | 380,537 | 420,764 | ||
5.00%, 11/01/48 | 5,332,919 | 5,975,720 | ||
4.50%, 12/01/48 | 1,056,725 | 1,137,923 | ||
5.00%, 12/01/48 | 31,100 | 33,983 | ||
3.50%, 02/01/49 | 81,863 | 88,976 | ||
4.50%, 02/01/49 | 112,539 | 122,320 | ||
4.50%, 05/01/49 | 426,764 | 459,586 | ||
3.50%, 06/01/49 | 260,166 | 277,165 | ||
3.00%, 07/01/49 | 90,022 | 95,598 | ||
3.00%, 09/01/49 | 2,676,104 | 2,858,207 | ||
3.50%, 10/01/49 | 834,615 | 897,320 | ||
3.00%, 11/01/49 | 477,720 | 504,528 | ||
3.00%, 12/01/49 | 771,387 | 818,791 | ||
3.50%, 12/01/49 | 287,358 | 308,944 | ||
4.00%, 12/01/49 | 465,590 | 493,419 | ||
5.00%, 12/01/49 | 8,166 | 8,916 | ||
3.00%, 01/01/50 | 306,766 | 327,694 | ||
3.00%, 02/01/50 | 2,055,036 | 2,194,922 | ||
3.50%, 02/01/50 | 1,057,407 | 1,123,765 | ||
3.00%, 03/01/50 | 398,009 | 429,264 | ||
4.50%, 03/01/50 | 271,283 | 292,743 | ||
3.50%, 04/01/50 | 582,228 | 620,297 | ||
3.00%, 06/01/50 | 1,205,387 | 1,279,200 | ||
4.00%, 02/01/56 | 451,169 | 499,387 | ||
4.50%, 04/01/56 | 700,433 | 781,987 | ||
5.50%, 09/01/56 | 653,547 | 729,869 | ||
4.00%, 01/01/57 | 281,537 | 311,627 | ||
3.50%, 03/01/57 | 2,048,857 | 2,231,334 | ||
4.00%, 06/01/57 | 490,543 | 541,421 |
Par | Value | |||
4.50%, 09/01/57 | $ 773,747 | $866,363 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.62%, 09/25/24† IO γ | 3,325,890 | 87,296 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 130,812 | 135,056 | ||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | 100,000 | 112,248 | ||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | 299,956 | 326,712 | ||
Federal National Mortgage Association ACES, Series 2019-M27 | ||||
2.70%, 11/25/40 | 200,000 | 239,818 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 98,159 | 104,912 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 175,101 | 10,162 | ||
4.50%, 11/25/39 IO | 33,113 | 5,019 | ||
3.50%, 11/25/41 IO | 130,217 | 15,594 | ||
4.00%, 11/25/41 IO | 162,332 | 22,319 | ||
4.00%, 04/25/42 IO | 303,585 | 43,052 | ||
Federal National Mortgage Association REMIC, Series 1991-137 | ||||
868.32%, 10/25/21 IO | 8 | 38 | ||
Federal National Mortgage Association REMIC, Series 1991-97 | ||||
1,009.25%, 08/25/21 IO | 4 | 22 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 0.64%, 10/18/30† | 5,471 | 5,469 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 325,259 | 390,297 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 6.57%, 03/25/37† IO | 409,871 | 87,108 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | $237,174 | $273,947 | ||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | 741,309 | 873,445 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 6.37%, 10/25/41† IO | 295,165 | 62,013 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 92,134 | 5,779 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 18,851 | 22,709 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 143,438 | 5,077 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 12/25/42† IO | 103,146 | 19,843 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 67,225 | 82,538 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 5,707 | 6,260 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.32%, 04/25/42† IO | 95,994 | 20,046 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 98,686 | 116,096 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.47%, 02/25/41† IO | 14,089 | 1,177 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.47%, 03/25/42† IO | 121,605 | 23,865 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 6.42%, 07/25/42† IO | $ 33,562 | $ 6,929 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.77%, 12/25/43† IO | 394,236 | 84,297 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 140,533 | 16,991 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 686,239 | 47,637 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 368,600 | 42,961 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 06/25/43† IO | 173,778 | 42,554 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 429,741 | 496,817 | ||
6.50%, 07/25/42 | 175,372 | 213,317 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
3.14%, 08/25/44† IO γ | 305,119 | 20,821 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
2.83%, 08/25/55† IO γ | 108,326 | 5,452 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 08/25/45† IO | 53,673 | 13,769 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/57† IO | 736,353 | 138,564 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 11/25/47† IO | 245,272 | 46,455 |
Table of Contents
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | $ 300,000 | $298,313 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | ||||
1.63%, 10/25/21† IO γ | 170,172 | 2,618 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.57%, 08/25/27† IO γ | 2,417,528 | 66,760 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.70%, 03/25/29† IO γ | 1,416,207 | 62,258 | ||
3.51%, 03/25/29 | 230,000 | 273,480 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
1.09%, 05/25/29† IO γ | 1,996,434 | 143,417 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
1.02%, 06/25/29† IO γ | 999,337 | 67,527 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K095 | ||||
1.08%, 06/25/29† IO γ | 1,197,928 | 86,507 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K099 | ||||
1.01%, 09/25/29† IO γ | 1,088,799 | 75,595 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-1513 | ||||
2.80%, 08/25/34 | 100,000 | 115,320 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
1.07%, 08/25/23† IO γ | 3,224,464 | 75,375 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K735 | ||||
1.10%, 05/25/26† IO γ | 899,203 | 44,080 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.44%, 07/25/26† IO γ | 1,999,528 | 132,528 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 5.55%), 5.72%, 07/25/28† | 275,224 | 290,038 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 3.98%, 03/25/29† | 250,000 | 254,889 |
Par | Value | |||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 2.90%, 07/25/44† | $ 448,580 | $ 466,006 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.38%, 06/16/70(U) 144A † | 1,400,000 | 1,736,480 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
3.26%, 06/25/34† γ | 164,226 | 160,162 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 5,022,922 | 15,267 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 2,181 | 2,375 | ||
7.00%, 07/15/27 | 18,766 | 21,245 | ||
7.00%, 01/15/28 | 10,417 | 10,578 | ||
7.00%, 03/15/28 | 24,335 | 28,200 | ||
7.00%, 07/15/28 | 3,233 | 3,568 | ||
7.50%, 07/15/28 | 9,130 | 9,309 | ||
6.50%, 08/15/28 | 1,811 | 2,016 | ||
7.00%, 08/15/28 | 4,967 | 5,509 | ||
7.50%, 08/15/28 | 5,926 | 6,737 | ||
6.50%, 09/15/28 | 3,343 | 3,801 | ||
7.00%, 10/15/28 | 10,495 | 10,596 | ||
7.50%, 03/15/29 | 9,105 | 10,792 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 3.13%, 11/20/29† | 16,570 | 17,333 | ||
8.50%, 08/15/30 | 415 | 430 | ||
8.50%, 11/20/30 | 4,839 | 5,785 | ||
6.50%, 08/15/31 | 27,928 | 32,455 | ||
7.50%, 08/15/31 | 6,367 | 7,038 | ||
6.50%, 10/15/31 | 31,643 | 36,250 | ||
6.00%, 11/15/31 | 83,405 | 95,805 | ||
6.50%, 11/15/31 | 50,472 | 55,584 | ||
6.00%, 12/15/31 | 15,854 | 18,794 | ||
6.00%, 01/15/32 | 58,262 | 65,720 | ||
6.00%, 02/15/32 | 73,890 | 82,493 | ||
6.50%, 02/15/32 | 31,123 | 35,502 | ||
6.00%, 04/15/32 | 36,106 | 40,179 | ||
7.50%, 04/15/32 | 7,805 | 8,443 | ||
6.50%, 06/15/32 | 49,916 | 57,216 | ||
6.50%, 08/15/32 | 65,092 | 72,861 | ||
6.50%, 09/15/32 | 74,423 | 86,186 | ||
6.00%, 10/15/32 | 64,132 | 76,472 | ||
5.50%, 11/15/32 | 8,608 | 9,637 | ||
6.00%, 11/15/32 | 51,326 | 57,753 | ||
6.00%, 12/15/32 | 24,916 | 28,327 |
Table of Contents
Par | Value | |||
6.50%, 12/15/32 | $ 8,046 | $ 9,167 | ||
5.50%, 01/15/33 | 5,479 | 6,108 | ||
6.00%, 01/15/33 | 23,684 | 27,214 | ||
5.50%, 02/15/33 | 10,883 | 12,709 | ||
6.00%, 02/15/33 | 21,447 | 25,580 | ||
5.50%, 03/15/33 | 12,004 | 13,838 | ||
6.50%, 04/15/33 | 134,545 | 162,887 | ||
6.00%, 06/15/33 | 17,382 | 19,338 | ||
5.50%, 07/15/33 | 12,393 | 14,063 | ||
5.50%, 08/15/33 | 4,730 | 5,295 | ||
5.50%, 09/15/33 | 2,780 | 3,111 | ||
6.00%, 10/15/33 | 33,082 | 36,848 | ||
6.50%, 10/15/33 | 63,793 | 73,982 | ||
5.50%, 04/15/34 | 6,090 | 6,731 | ||
5.50%, 05/15/34 | 2,471 | 2,717 | ||
6.50%, 08/15/34 | 89,399 | 104,690 | ||
5.50%, 09/15/34 | 53,454 | 62,383 | ||
5.50%, 12/15/34 | 52,126 | 60,878 | ||
5.50%, 01/15/35 | 38,587 | 45,066 | ||
6.00%, 09/20/38 | 119,368 | 137,238 | ||
5.00%, 07/20/40 | 9,835 | 11,108 | ||
5.00%, 09/20/40 | 44,314 | 50,036 | ||
4.00%, 10/20/40 | 5,661 | 6,244 | ||
6.00%, 10/20/40 | 17,974 | 20,658 | ||
6.00%, 01/20/41 | 14,633 | 16,809 | ||
4.50%, 04/20/41 | 190,915 | 209,835 | ||
3.00%, 09/15/42 | 452,744 | 481,833 | ||
3.00%, 10/15/42 | 196,290 | 208,629 | ||
3.00%, 11/15/42 | 87,616 | 93,123 | ||
4.00%, 08/20/43 | 327,672 | 360,506 | ||
3.50%, 06/20/44 | 130,037 | 139,548 | ||
4.00%, 10/20/44 | 159,939 | 174,334 | ||
3.00%, 01/15/45 | 3,154,032 | 3,342,869 | ||
4.00%, 01/20/45 | 254,323 | 277,088 | ||
3.50%, 03/20/45 | 59,245 | 63,466 | ||
3.50%, 04/15/45 | 461,904 | 488,250 | ||
4.00%, 05/20/45 | 28,836 | 31,287 | ||
4.00%, 10/20/45 | 239,802 | 260,335 | ||
3.50%, 09/20/46 | 1,963,762 | 2,048,107 | ||
3.00%, 11/20/46 | 116,969 | 124,400 | ||
4.00%, 06/20/47 | 2,940,498 | 3,160,664 | ||
3.00%, 09/20/47 | 33,961 | 36,055 | ||
4.00%, 09/20/47 | 1,157,052 | 1,241,045 | ||
3.50%, 10/20/47 | 889,070 | 951,366 | ||
4.00%, 11/20/47 | 705,272 | 758,090 | ||
4.00%, 12/20/47 | 320,331 | 343,341 | ||
3.00%, 02/20/48 | 171,272 | 181,835 | ||
4.00%, 02/20/48 | 218,810 | 236,001 | ||
4.00%, 03/20/48 | 365,402 | 391,018 | ||
4.00%, 04/20/48 | 250,471 | 266,940 | ||
4.50%, 05/20/48 | 3,070,012 | 3,315,194 | ||
3.50%, 06/15/48 | 222,878 | 237,601 | ||
4.50%, 06/20/48 | 677,013 | 730,569 | ||
4.50%, 07/20/48 | 45,451 | 48,968 | ||
4.50%, 08/20/48 | 5,464,372 | 5,852,178 | ||
5.00%, 08/20/48 | 613,908 | 669,384 |
Par | Value | |||
4.50%, 09/20/48 | $ 3,105,136 | $ 3,347,592 | ||
5.00%, 09/20/48 | 485,079 | 528,858 | ||
4.50%, 10/20/48 | 612,039 | 659,444 | ||
5.00%, 10/20/48 | 3,627,043 | 3,969,886 | ||
5.00%, 11/20/48 | 4,806,298 | 5,242,237 | ||
4.50%, 12/20/48 | 256,232 | 275,409 | ||
5.00%, 12/20/48 | 3,322,880 | 3,612,415 | ||
4.50%, 01/20/49 | 9,525,275 | 10,184,399 | ||
5.00%, 01/20/49 | 8,795,071 | 9,567,076 | ||
4.00%, 02/20/49 | 4,495,278 | 4,776,508 | ||
4.50%, 02/20/49 | 944,829 | 1,010,043 | ||
5.00%, 02/20/49 | 200,713 | 218,319 | ||
4.00%, 03/20/49 | 3,651,768 | 3,875,492 | ||
4.50%, 03/20/49 | 684,455 | 733,263 | ||
5.00%, 03/20/49 | 1,233,891 | 1,341,104 | ||
4.00%, 05/20/49 | 2,972,782 | 3,153,886 | ||
4.50%, 05/20/49 | 796,348 | 851,602 | ||
5.00%, 05/20/49 | 2,280,189 | 2,478,710 | ||
5.00%, 08/20/49 | 12,620,143 | 13,719,962 | ||
3.50%, 10/20/49 | 470,668 | 486,309 | ||
4.00%, 10/20/49 | 98,878 | 106,489 | ||
5.00%, 10/20/49 | 999,900 | 1,088,113 | ||
4.00%, 11/20/49 | 99,029 | 107,191 | ||
3.50%, 12/20/49 | 8,367,247 | 8,842,728 | ||
3.00%, 01/20/50 | 297,936 | 316,233 | ||
4.00%, 01/20/50 | 99,308 | 106,861 | ||
3.50%, 02/20/50 | 198,780 | 211,602 | ||
4.00%, 02/20/50 | 99,434 | 107,922 | ||
4.00%, 03/20/50 | 99,595 | 109,055 | ||
4.00%, 04/20/50 | 398,887 | 432,726 | ||
3.50%, 05/15/50 | 199,703 | 214,956 | ||
2.50%, 07/01/50 TBA | 20,200,000 | 21,265,234 | ||
3.00%, 07/01/50 TBA | 2,000,000 | 2,119,141 | ||
4.50%, 07/01/50 TBA | 21,300,000 | 22,752,726 | ||
5.00%, 07/01/50 TBA | 1,000,000 | 1,086,250 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.49%, 05/20/37† | 94,294 | 94,124 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 6.39%, 08/20/37† IO | 854,558 | 146,042 | ||
Government National Mortgage Association, Series 2010-31 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.31%, 03/20/39† IO | 5,199 | 106 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.46%, 01/20/40† IO | 25,141 | 2,330 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.70%, 12/20/60† | $ 184,622 | $184,140 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 0.78%, 03/20/61† | 238,239 | 238,080 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 0.80%, 03/20/61† | 168,089 | 168,059 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.42%, 01/16/53† IO γ | 6,552,538 | 146,197 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 03/20/42† IO | 31,619 | 7,543 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 83,548 | 2,796 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.73%, 10/20/62† IO γ | 576,040 | 30,098 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 0.65%, 12/20/62† | 846,635 | 843,768 | ||
Government National Mortgage Association, Series 2013-107 | ||||
2.69%, 11/16/47† γ | 281,252 | 297,707 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 91,142 | 9,418 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.41%, 08/20/44† IO | 65,023 | 12,637 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 08/20/44† IO | 184,563 | 44,091 | ||
Government National Mortgage Association, Series 2014-17 | ||||
2.58%, 06/16/48† γ | 34,794 | 36,459 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.61%, 11/16/55† IO γ | 2,652,654 | 89,059 |
Par | Value | |||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | $ 95,850 | $ 15,254 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 0.85%, 05/20/65† | 2,132,274 | 2,132,284 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 0.73%, 05/20/65† | 2,197,050 | 2,192,830 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 0.87%, 06/20/65† | 3,637,815 | 3,640,385 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 0.88%, 06/20/65† | 1,386,775 | 1,388,361 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 06/20/65† | 3,457,354 | 3,463,629 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.90%, 07/20/65† | 3,400,076 | 3,406,502 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 1.48%, 06/20/65† | 513,483 | 512,836 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 07/20/65† | 494,682 | 495,573 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.90%, 08/20/65† | 555,501 | 556,501 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.90%, 09/20/65† | 564,436 | 565,508 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 0.92%, 09/20/65† | 634,933 | 636,568 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 0.82%, 10/20/65† | $1,209,493 | $1,209,953 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.98%, 08/20/61† | 4,502 | 4,527 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.87%, 08/15/58† IO γ | 4,752,827 | 293,936 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.66%, 03/16/60† IO γ | 6,627,446 | 352,781 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
2.35%, 07/20/67† IO γ | 556,767 | 68,827 | ||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.31%, 07/20/67† | 1,746,061 | 1,782,766 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.76%, 09/20/67† IO γ | 4,306,511 | 358,967 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.22%, 10/20/67† IO γ | 187,484 | 19,140 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.41%, 11/20/67† IO γ | 1,479,283 | 152,789 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 0.60%, 05/20/68† | 931,598 | 926,367 | ||
Government National Mortgage Association, Series 2019-123 | ||||
3.00%, 10/20/49 | 266,584 | 286,651 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 221,225 | 232,041 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 497,117 | 85,439 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 1.44%, 04/20/70† | 196,325 | 201,800 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.34%, 05/20/70† | 500,338 | 522,488 | ||
GPMT, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 1.09%, 11/21/35 144A † | 577,273 | 573,135 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.36%, 01/25/37† | 419,558 | 367,431 |
Par | Value | |||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.48%, 09/15/31 144A † | $1,530,000 | $1,466,966 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 139,322 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 391,876 | ||
GS Mortgage Securities Trust, Series 2019-GC42, Class D | ||||
2.80%, 09/01/52 144A | 450,000 | 327,345 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.07%, 09/25/35† γ | 310,127 | 308,700 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 498,473 | 617,373 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.29%, 05/25/53(U) 144A † | 6,554,656 | 8,133,112 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.36% Floor, 11.00% Cap), 0.90%, 10/25/34† | 28,673 | 27,960 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
3.70%, 01/25/32† γ | 5,268 | 4,839 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.32%, 05/15/45† γ | 280,000 | 225,043 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.77%, 02/25/35† γ | 28,111 | 26,494 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 1,979,305 | 2,033,249 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 734,854 | 754,830 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
5.05%, 01/15/47† γ | 50,000 | 52,519 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 734,893 | 765,678 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 773,226 | 812,042 |
Table of Contents
Par | Value | |||
Kensington Mortgage Securities PLC, Series 2007-1X, Class A3C | ||||
(Floating, ICE LIBOR USD 3M + 0.17%), 0.48%, 06/14/40† | $ 771,795 | $ 742,756 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 1.14%, 11/15/49(U) † | 463,774 | 570,045 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.73%, 01/01/61(U) † | 672,661 | 783,079 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 1.17%, 01/01/61(U) † | 542,984 | 646,594 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.85%, 04/15/47(U) † | 668,665 | 785,828 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
4.09%, 11/21/34† γ | 151,429 | 151,604 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
3.59%, 05/25/34† γ | 77,417 | 76,486 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 144,236 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 385,462 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 503,183 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,520,854 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 800,000 | 846,026 | ||
Morgan Stanley Capital I Trust, Series 2014-CPT, Class B | ||||
3.56%, 07/13/29 144A † γ | 800,000 | 816,533 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.58%, 05/15/36 144A † | 1,050,000 | 936,023 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.51%, 04/05/42 144A † γ | 1,600,000 | 1,630,072 |
Par | Value | |||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor, 11.50% Cap), 0.46%, 10/25/35† | $ 210,706 | $ 207,385 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.58%, 06/07/35 144A † γ | 580,000 | 572,983 | ||
MSCG Trust, Series 2016-SNR, Class C | ||||
5.21%, 11/15/34 144A | 331,500 | 325,586 | ||
Nomura Resecuritization Trust, Series 2014-7R, Class 2A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.37%, 12/26/35 144A † | 111,101 | 110,565 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 0.83%, 06/25/57 144A † | 499,495 | 494,383 | ||
ResLoc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 945,161 | 1,007,273 | ||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.35%, 12/15/43(U) † | 236,290 | 274,429 | ||
Ripon Mortgages PLC, Series 1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) 144A † | 1,988,469 | 2,457,459 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 143,993 | 177,954 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 1.06%, 08/20/56(U) † | 2,591,867 | 3,203,171 | ||
Rosslyn Portfolio Trust, Series 2017-ROSS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 1.94% Floor), 1.94%, 06/15/33 144A † | 450,000 | 442,170 | ||
Sequoia Mortgage Trust, Series 2003-4, Class 1A2 | ||||
(Floating, ICE LIBOR USD 6M + 0.66%, 0.33% Floor, 11.50% Cap), 2.37%, 07/20/33† | 52,361 | 49,200 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.00% Cap), 0.83%, 04/19/27† | 192,275 | 184,695 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 325,278 |
Table of Contents
Par | Value | |||
Stratton Mortgage Funding PLC, Series 2019-1, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.20%), 1.44%, 05/25/51(U) † | $ 1,538,687 | $ 1,897,430 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.48%, 10/25/35† | 407,723 | 401,747 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.25%, 0.25% Floor, 11.00% Cap), 0.44%, 07/19/35† | 56,243 | 51,703 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.32% Floor, 11.50% Cap), 0.82%, 09/25/43† | 4,990 | 4,864 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
3.65%, 04/25/45† γ | 34,721 | 33,070 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.22%, 10/20/51(U) 144A † | 1,586,999 | 1,970,292 | ||
Tower Bridge Funding No. 1 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.00%), 1.18%, 03/20/56(U) † | 272,526 | 338,815 | ||
Tower Bridge Funding No. 2 PLC, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.90%), 1.08%, 03/20/56(U) † | 729,086 | 901,412 | ||
Trinity Square PLC, Series 2015-1A, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 1.15%), 1.82%, 07/15/51(U) 144A † | 176,096 | 218,499 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.62%, 12/10/45 144A † γ | 320,000 | 178,483 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/35 TBA | 5,800,000 | 6,000,734 | ||
2.00%, 07/01/50 TBA | 20,300,000 | 20,707,277 | ||
2.50%, 07/01/50 TBA | 34,000,000 | 35,447,656 | ||
3.00%, 07/01/50 TBA | 13,000,000 | 13,692,656 | ||
3.50%, 07/01/50 TBA | 18,000,000 | 18,933,047 | ||
2.00%, 08/01/50 TBA | 3,000,000 | 3,064,512 | ||
2.50%, 08/01/50 TBA | 22,000,000 | 22,901,053 | ||
2.50%, 09/01/50 TBA | 22,000,000 | 22,852,837 | ||
3.00%, 09/01/50 TBA | 40,100,000 | 42,109,722 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 103,010 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
3.77%, 02/25/33† γ | $ 2,755 | $ 2,663 | ||
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), 2.90%, 06/25/42† | 7,440 | 6,914 | ||
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), 0.96%, 01/25/45† | 952,138 | 939,274 | ||
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), 0.47%, 10/25/45† | 662,527 | 643,314 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.50%, 02/25/37† γ | 201,315 | 176,438 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.61%, 02/25/37† γ | 128,336 | 120,100 | ||
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), 2.26%, 04/25/47† | 459,946 | 414,845 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.27% Floor, 10.50% Cap), 0.72%, 07/25/45† | 475,433 | 430,010 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.29% Floor, 10.50% Cap), 0.76%, 07/25/45† | 96,558 | 90,235 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 122,556 | 120,911 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
4.39%, 12/28/37† γ | 339,689 | 320,206 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.41%, 07/15/46† γ | 20,000 | 18,285 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 101,176 |
Table of Contents
Par | Value | |||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | $ 299,342 | $ 308,949 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.48%, 06/15/45 144A † IO γ | 260,109 | 4,587 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.33%, 05/15/45 144A † IO γ | 2,252,108 | 61,760 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.19%, 03/15/47† IO γ | 893,771 | 23,667 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.19%, 08/15/47† IO γ | 2,884,493 | 94,680 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 307,232 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 165,475 | ||
Total Mortgage-Backed Securities (Cost $700,925,455) | 720,008,047 | |||
MUNICIPAL BONDS — 0.6% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,086,207 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 250,000 | 350,993 | ||
Chicago Transit Authority, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 965,828 | ||
Chicago Transit Authority, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 413,926 | ||
City of Chicago IL, General Obligation | ||||
7.75%, 01/01/42 | 2,177,000 | 2,856,257 | ||
Health & Educational Facilities Authority of the State of Missouri, Revenue Bond, Series A | ||||
3.23%, 05/15/50 | 460,000 | 526,166 | ||
Metropolitan Transportation Authority, Revenue Bond | ||||
5.18%, 11/15/49 | 825,000 | 965,440 | ||
Northstar Education Finance, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.10%), 0.99%, 04/28/30† | 19,430 | 19,418 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 413,043 | ||
State of California, General Obligation | ||||
7.95%, 03/01/36 | 28 | 27 | ||
7.55%, 04/01/39 | 410,000 | 731,889 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 1,115,000 | 1,132,768 |
Par | Value | |||
6.63%, 02/01/35 | $495,000 | $ 546,505 | ||
7.35%, 07/01/35 | 465,000 | 528,198 | ||
Total Municipal Bonds (Cost $9,320,404) | 10,536,665 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $138.00, Expires 07/24/20 (GSC) | 63 | $ 8,760,150 | 83,672 | |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $138.50, Expires 07/24/20 (GSC) | 2 | 278,100 | 1,875 | |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $139.00, Expires 07/24/20 (GSC) | 130 | 18,076,500 | 77,188 | |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $139.25, Expires 07/24/20 (GSC) | 32 | 4,449,600 | 15,000 | |
10-Year U.S. Treasury Note Future expiration date 9/2020, Strike Price $138.50, Expires 08/21/20 (GSC) | 22 | 3,059,100 | 25,781 | |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $178.00, Expires 07/24/20 (GSC) | 72 | 12,828,960 | 140,625 | |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $180.00, Expires 07/24/20 (GSC) | 31 | 5,523,580 | 32,938 | |
377,079 | ||||
Put Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $136.50, Expires 07/24/20 (GSC) | 96 | 13,348,800 | 4,500 |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $137.00, Expires 07/24/20 (GSC) | 63 | $8,760,150 | $ 3,937 | ||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $138.50, Expires 07/24/20 (GSC) | 33 | 4,588,650 | 8,766 | ||
10-Year U.S. Treasury Note Future expiration date 9/2020, Strike Price $138.50, Expires 08/21/20 (GSC) | 22 | 3,059,100 | 11,000 | ||
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $176.00, Expires 07/24/20 (GSC) | 40 | 7,127,200 | 27,500 | ||
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $179.00, Expires 07/24/20 (GSC) | 17 | 3,029,060 | 32,141 | ||
87,844 | |||||
Total Purchased Options (Premiums paid $579,580) | 464,923 |
Par | |||
U.S. TREASURY OBLIGATIONS — 12.8% | |||
U.S. Treasury Bills | |||
0.12%, 08/18/20Ω Δ | $4,410,000 | 4,409,250 | |
0.15%, 10/22/20Ω | 9,210,000 | 9,205,664 | |
13,614,914 | |||
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | 10,000 | 15,551 | |
4.25%, 05/15/39 | 4,300,000 | 6,646,859 | |
4.38%, 11/15/39 | 200,000 | 314,637 | |
2.75%, 08/15/42 | 600,000 | 769,687 | |
2.75%, 11/15/42 | 700,000 | 897,094 | |
2.88%, 05/15/43Δ | 3,200,000 | 4,182,812 | |
3.63%, 02/15/44 | 6,460,000 | 9,460,872 | |
3.38%, 05/15/44‡‡ | 3,200,000 | 4,528,125 | |
3.13%, 08/15/44Δ | 4,800,000 | 6,548,156 | |
3.00%, 11/15/44‡‡ | 3,100,000 | 4,152,426 | |
2.50%, 02/15/45Δ | 950,000 | 1,172,452 | |
2.88%, 08/15/45 | 4,340,000 | 5,722,442 | |
2.75%, 08/15/47 | 7,940,000 | 10,377,673 | |
3.00%, 02/15/48 | 6,170,000 | 8,449,044 | |
3.13%, 05/15/48 | 5,380,000 | 7,542,193 | |
3.00%, 02/15/49 | 80,000 | 110,483 | |
2.88%, 05/15/49Δ | 6,200,000 | 8,390,586 |
Par | Value | |||
2.25%, 08/15/49Δ | $ 3,400,000 | $ 4,090,293 | ||
2.00%, 02/15/50Δ | 19,780,000 | 22,659,690 | ||
1.25%, 05/15/50Δ | 6,930,000 | 6,660,380 | ||
112,691,455 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
2.13%, 02/15/40 | 1,091,322 | 1,609,139 | ||
0.75%, 02/15/42 | 238,279 | 285,397 | ||
1.38%, 02/15/44‡‡ Δ | 2,618,238 | 3,573,136 | ||
1.00%, 02/15/46 | 1,201,087 | 1,555,624 | ||
1.00%, 02/15/48 | 1,642,742 | 2,172,182 | ||
1.00%, 02/15/49 | 6,632,974 | 8,850,729 | ||
0.25%, 02/15/50Δ | 4,308,120 | 4,839,020 | ||
22,885,227 | ||||
U.S. Treasury Notes | ||||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,541,133 | ||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,956,629 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 3,115,430 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,815,224 | ||
1.75%, 06/30/24 | 3,900,000 | 4,137,580 | ||
2.25%, 11/15/24 | 260,000 | 282,719 | ||
0.38%, 04/30/25Δ | 500,000 | 502,344 | ||
0.25%, 05/31/25Δ | 5,220,000 | 5,214,291 | ||
0.25%, 06/30/25 | 60,000 | 59,890 | ||
2.88%, 07/31/25 | 2,330,000 | 2,631,762 | ||
2.25%, 11/15/25Δ | 1,480,000 | 1,630,862 | ||
2.63%, 01/31/26 | 3,120,000 | 3,510,853 | ||
2.25%, 03/31/26 | 1,500,000 | 1,660,137 | ||
2.13%, 05/31/26Δ | 6,320,000 | 6,960,887 | ||
2.25%, 02/15/27Δ | 6,618,000 | 7,394,322 | ||
0.50%, 04/30/27 | 8,610,000 | 8,624,126 | ||
0.50%, 06/30/27 | 12,510,000 | 12,521,728 | ||
2.25%, 08/15/27Δ | 4,000,000 | 4,493,516 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,633,406 | ||
2.88%, 05/15/28‡‡ | 800,000 | 944,297 | ||
3.13%, 11/15/28 | 8,180,000 | 9,891,729 | ||
2.63%, 02/15/29 | 1,000,000 | 1,172,012 | ||
0.63%, 05/15/30Δ | 650,000 | 648,299 | ||
83,343,176 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 4,060,000 | 3,134,328 | ||
2.18%, 08/15/41Ω ‡‡ | 1,080,000 | 803,540 | ||
3,937,868 | ||||
Total U.S. Treasury Obligations (Cost $216,346,735) | 236,472,640 |
Shares | |||
MONEY MARKET FUNDS — 6.6% | |||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø ∞ | 108,109,877 | 108,109,877 |
Table of Contents
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 11,871,155 | $ 11,871,155 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,812,034 | 1,812,034 | ||
Total Money Market Funds (Cost $121,793,066) | 121,793,066 |
Par | |||
REPURCHASE AGREEMENTS — 6.4% | |||
Citigroup Global Markets, Inc. | |||
0.12% (dated 06/30/20, due 07/01/20, repurchase price $59,614,012, collateralized by U.S. Treasury Bond, 3.00%, due 11/15/44, total market value $44,376,000) | $58,600,000 | 58,600,000 | |
0.12% (dated 06/30/20, due 07/02/20, repurchase price $60,069,363, collateralized by U.S. Treasury Note, 2.75%, due 06/30/25, total market value $53,603,000) | 58,900,000 | 58,900,000 | |
Total Repurchase Agreements (Cost $117,500,000) | 117,500,000 | ||
TOTAL INVESTMENTS —114.9% (Cost $2,044,325,406) | 2,124,085,504 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $139.50, Expires 07/24/20 (GSC) | (158) | $(21,969,900) | (56,782) | |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $139.75, Expires 07/24/20 (GSC) | (64) | (8,899,200) | (17,000) | |
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $140.00, Expires 07/24/20 (GSC) | (24) | (3,337,200) | (4,875) | |
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $182.00, Expires 07/24/20 (GSC) | (48) | (8,552,640) | (26,251) |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $183.00, Expires 07/24/20 (GSC) | (35) | $ (6,236,300) | $ (13,672) | ||
Long U.S. Treasury Bond Future expiration date 9/2020, Strike Price $186.00, Expires 08/21/20 (GSC) | (16) | (2,850,880) | (10,000) | ||
(128,580) | |||||
Call Swaptions — (0.0)% | |||||
Pay (.053)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.05), Expires 12/11/20 (JPM) | 1 | (1,580,000) | (15,082) | ||
Pay (.053)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.05), Expires 12/11/20 (CITI) | 1 | (2,280,000) | (21,764) | ||
Pay (.15)% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 9/30/2025 EUR, Strike Price $(0.15), Expires 09/28/20 (JPM) | 2 | (17,460,000) | (11,286) | ||
Pay .02% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 4/7/2031 EUR, Strike Price $0.02, Expires 04/01/21 (JPM) | 1 | (2,380,000) | (28,836) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay .05% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price $0.05, Expires 10/22/21 (DEUT) | 1 | $(2,330,000) | $(45,433) | ||
Pay .408% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price $0.41, Expires 11/23/20 (BOA) | 1 | (3,300,000) | (14,831) | ||
Pay .41% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price $0.41, Expires 11/23/20 (JPM) | 1 | (4,500,000) | (20,038) | ||
Pay .448% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 5/14/2026 USD, Strike Price $0.45, Expires 05/12/21 (DEUT) | 1 | (4,400,000) | (35,253) | ||
Pay .48% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 5/21/2026 USD, Strike Price $0.48, Expires 05/19/21 (JPM) | 1 | (4,600,000) | (34,466) | ||
Pay .5% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price $0.50, Expires 04/06/21 (JPM) | 1 | (5,100,000) | (30,968) |
Number of Contracts | Notional Amount | Value | |||
Pay .506% (Semiannually); Receive 3-Month LIBOR (Quarterly): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price $0.51, Expires 04/06/21 (DEUT) | 1 | $ (3,300,000) | $ (19,665) | ||
(277,622) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $135.50, Expires 07/24/20 (GSC) | (158) | (7,786,800) | (4,938) | ||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $135.50, Expires 07/24/20 (MSCS) | (56) | (7,786,800) | (1,750) | ||
10-Year U.S. Treasury Note Future expiration date 8/2020, Strike Price $138.00, Expires 07/24/20 (GSC) | (68) | (9,455,400) | (10,625) | ||
Euro Bund expiration date 8/2020, Strike Price $171.50, Expires 07/24/20 (MSCS) | (37) | (6,531,240) | (1,247) | ||
Euro Bund expiration date 8/2020, Strike Price $172.50, Expires 07/24/20 (MSCS) | (39) | (6,884,280) | (2,629) | ||
FNCL 2.00% expiration date 8/2020, Strike Price $100.64, Expires 08/06/20 (JPM) | (9,300,000) | (911,400,000) | (10,789) | ||
FNCL 2.50% expiration date 8/2020, Strike Price $102.09, Expires 08/06/20 (JPM) | (3,400,000) | (331,500,000) | (1,499) | ||
FNCL 2.50% expiration date 8/2020, Strike Price $102.56, Expires 08/06/20 (JPM) | (2,700,000) | (263,250,000) | (2,309) | ||
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $173.00, Expires 07/24/20 (GSC) | (34) | (6,058,120) | (6,906) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 8/2020, Strike Price $177.00, Expires 07/24/20 (GSC) | (34) | $(6,058,120) | $(33,469) | ||
(76,161) | |||||
Put Swaptions — (0.1)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive .408% (Semiannually): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price $0.41, Expires 11/23/20 (BOA) | 1 | (3,300,000) | (23,077) | ||
Pay 3-Month LIBOR (Quarterly); Receive .41% (Semiannually): Interest Rate Swap Maturing 11/25/2025 USD, Strike Price $0.41, Expires 11/23/20 (JPM) | 1 | (4,500,000) | (31,732) | ||
Pay 3-Month LIBOR (Quarterly); Receive .448% (Semiannually): Interest Rate Swap Maturing 5/14/2026 USD, Strike Price $0.45, Expires 05/12/21 (DEUT) | 1 | (4,400,000) | (43,659) | ||
Pay 3-Month LIBOR (Quarterly); Receive .48% (Semiannually): Interest Rate Swap Maturing 5/21/2026 USD, Strike Price $0.48, Expires 05/19/21 (JPM) | 1 | (4,600,000) | (49,893) | ||
Pay 3-Month LIBOR (Quarterly); Receive .5% (Semiannually): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price $0.50, Expires 04/06/21 (JPM) | 1 | (5,100,000) | (57,128) | ||
Pay 3-Month LIBOR (Quarterly); Receive .506% (Semiannually): Interest Rate Swap Maturing 4/8/2026 USD, Strike Price $0.51, Expires 04/06/21 (DEUT) | 1 | (3,300,000) | (37,580) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.05), Expires 12/11/20 (CITI) | 1 | $ (2,280,000) | $(46,104) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Monthly): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.05), Expires 12/11/20 (JPM) | 1 | (1,580,000) | (31,930) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 8/17/2025 EUR, Strike Price $(0.35), Expires 08/13/20 (JPM) | 1 | (15,489,999) | (34,740) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 8/17/2025 EUR, Strike Price $(0.35), Expires 08/13/20 (BOA) | 1 | (15,490,000) | (34,740) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 9/30/2025 EUR, Strike Price $(0.35), Expires 09/28/20 (JPM) | 2 | (17,460,000) | (58,838) | ||
Pay 6-Month EURIBOR (Semiannually); Receive .02% (Annually): Interest Rate Swap Maturing 4/7/2031 EUR, Strike Price $0.02, Expires 04/01/21 (JPM) | 1 | (2,380,000) | (68,707) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive .05% (Annually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price $0.05, Expires 10/22/21 (DEUT) | 1 | $ (2,330,000) | $ (81,823) | ||
Pay 6-Month LIBOR (Semiannually); Receive .34% (Semiannually): Interest Rate Swap Maturing 8/13/2030 GBP, Strike Price $0.34, Expires 08/13/20 (JPM) | 2 | (7,740,000) | (61,958) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/2/2030 GBP, Strike Price $0.35, Expires 10/02/20 (CITI) | 1 | (2,910,000) | (37,769) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/2/2030 GBP, Strike Price $0.35, Expires 10/02/20 (JPM) | 2 | (11,890,000) | (154,322) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/21/2030 GBP, Strike Price $0.35, Expires 10/21/20 (BOA) | 1 | (7,660,000) | (109,607) | ||
(963,607) | |||||
Total Written Options (Premiums received $ (1,704,883)) | (1,445,970) |
Par | |||
TBA SALE COMMITMENTS — (4.2)% | |||
Uniform Mortgage Backed Securities 3.50%, 08/01/50 TBA | $(53,200,000) | (55,938,064) |
Par | Value | |||
Uniform Mortgage Backed Securities 4.00%, 08/01/50 TBA | $(4,000,000) | $ (4,241,328) | ||
Uniform Mortgage Backed Securities 4.50%, 08/01/50 TBA | (4,000,000) | (4,300,202) | ||
Uniform Mortgage Backed Securities 5.00%, 07/01/50 TBA | (4,000,000) | (4,371,875) | ||
Government National Mortgage Association 3.00%, 07/01/50 TBA | (1,000,000) | (1,057,215) | ||
Government National Mortgage Association 4.00%, 07/01/50 TBA | (4,000,000) | (4,241,016) | ||
Uniform Mortgage Backed Securities 4.50%, 07/01/50 TBA | (1,000,000) | (1,074,609) | ||
Uniform Mortgage Backed Securities 2.00%, 07/01/50 TBA | (1,400,000) | (1,432,813) | ||
Government National Mortgage Association 5.00%, 07/01/50 TBA | (1,000,000) | (1,086,250) | ||
Total TBA Sale Commitments (Proceeds $(77,693,759)) | (77,743,372) | |||
Liabilities in Excess of Other Assets — (10.6)% | (196,485,429) | |||
NET ASSETS — 100.0% | $1,848,410,733 |
% | |
Mortgage-Backed Securities | 39.0 |
Corporate Bonds | 31.9 |
U.S. Treasury Obligations | 12.8 |
Foreign Bonds | 12.0 |
Money Market Funds | 6.6 |
Repurchase Agreements | 6.4 |
Asset-Backed Securities | 4.9 |
Loan Agreements | 0.6 |
Municipal Bonds | 0.6 |
Agency Obligations | 0.1 |
Purchased Options | —** |
Written Options | (0.1) |
TBA Sale Commitments | (4.2) |
110.6 | |
**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) | ||||
30-Year Euro Buxl | 09/2020 | (10) | $ (2,471,251) | $ (48,287) | ||||
Euro-BTP | 09/2020 | 141 | 22,792,536 | 501,475 | ||||
Euro-Bund | 09/2020 | (230) | (45,613,654) | (318,259) | ||||
Euro-OAT | 09/2020 | 39 | 7,345,837 | 79,787 | ||||
10-Year Japanese Treasury Bond | 09/2020 | (9) | (12,665,432) | 23,925 | ||||
10-Year U.S. Treasury Note | 09/2020 | 530 | 73,761,093 | 275,835 | ||||
U.S. Treasury Long Bond | 09/2020 | (444) | (79,281,750) | (524,315) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 74 | 11,653,844 | 55,725 | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | 320 | 69,810,000 | 490,330 | ||||
Long GILT | 09/2020 | (131) | (22,342,015) | 7,749 | ||||
2-Year U.S. Treasury Note | 09/2020 | 239 | 52,777,922 | 9,951 | ||||
5-Year U.S. Treasury Note | 09/2020 | 2,206 | 277,387,266 | 703,295 | ||||
90-Day Eurodollar | 12/2020 | 235 | 58,579,625 | 707,865 | ||||
90-Day Eurodollar | 03/2021 | (224) | (55,888,000) | (82,350) | ||||
90-Day Eurodollar | 06/2021 | (91) | (22,709,050) | (260,475) | ||||
90-Day Eurodollar | 12/2021 | (407) | (101,546,500) | (661,850) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $ 231,590,471 | $ 960,401 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Indonesian Rupiahs | 53,935,795,049 | U.S. Dollars | 3,262,904 | CITI | $ 468,752 | ||||||
07/16/20 | Mexican Pesos | 60,934,538 | U.S. Dollars | 2,424,966 | CITI | 220,091 | ||||||
07/22/20 | U.S. Dollars | 19,208,540 | Japanese Yen | 2,055,778,228 | CITI | 163,601 | ||||||
07/16/20 | Philippine Pesos | 238,833,000 | U.S. Dollars | 4,681,164 | CITI | 112,273 | ||||||
07/16/20 | Canadian Dollars | 3,789,664 | U.S. Dollars | 2,699,383 | CITI | 92,192 | ||||||
07/16/20 | Australian Dollars | 935,862 | U.S. Dollars | 583,192 | CITI | 62,711 | ||||||
07/17/20 | Russian Rubles | 73,578,434 | U.S. Dollars | 981,000 | GSC | 50,389 | ||||||
09/16/20 | U.S. Dollars | 1,853,298 | British Pounds | 1,463,542 | RBC | 38,980 | ||||||
07/15/20 | U.S. Dollars | 6,595,838 | British Pounds | 5,296,828 | SS | 31,849 | ||||||
07/17/20 | U.S. Dollars | 1,584,927 | Russian Rubles | 110,921,306 | BNP | 30,083 | ||||||
07/17/20 | Russian Rubles | 37,964,029 | U.S. Dollars | 504,500 | HSBC | 27,663 | ||||||
07/16/20 | Euro | 745,000 | U.S. Dollars | 809,718 | CITI | 27,599 | ||||||
09/16/20 | U.S. Dollars | 1,836,701 | Canadian Dollars | 2,461,133 | SS | 23,556 | ||||||
09/16/20 | Swiss Francs | 705,164 | U.S. Dollars | 738,822 | UBS | 7,219 | ||||||
08/12/20 | U.S. Dollars | 345,278 | Euro | 302,926 | WEST | 4,608 | ||||||
07/22/20 | Japanese Yen | 71,971,000 | U.S. Dollars | 662,448 | CITI | 4,299 | ||||||
09/16/20 | U.S. Dollars | 317,124 | Swedish Kronor | 2,932,052 | JPM | 2,158 | ||||||
07/16/20 | U.S. Dollars | 472,960 | Euro | 420,000 | CITI | 915 | ||||||
09/16/20 | U.S. Dollars | 292,519 | Australian Dollars | 423,000 | JPM | 530 | ||||||
07/16/20 | U.S. Dollars | 74,428 | Japanese Yen | 7,978,000 | GSC | 525 | ||||||
07/16/20 | U.S. Dollars | 418,476 | Chinese Offshore Yuan | 2,958,374 | GSC | 443 | ||||||
07/16/20 | U.S. Dollars | 233,942 | British Pounds | 188,429 | CITI | 434 | ||||||
07/02/20 | Euro | 1,056,000 | U.S. Dollars | 1,186,332 | GSC | 84 | ||||||
Subtotal Appreciation | $ 1,370,954 | |||||||||||
09/16/20 | Japanese Yen | 50,548,982 | U.S. Dollars | 468,866 | JPM | $ (206) | ||||||
07/02/20 | Brazilian Reals | 127,153 | U.S. Dollars | 23,730 | BNP | (348) | ||||||
07/02/20 | U.S. Dollars | 33,707 | Australian Dollars | 50,000 | JPM | (798) | ||||||
09/16/20 | Canadian Dollars | 1,612,843 | U.S. Dollars | 1,189,000 | CITI | (801) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | U.S. Dollars | 210,940 | Japanese Yen | 22,887,237 | CITI | $ (1,073) | ||||||
08/04/20 | U.S. Dollars | 5,872,621 | Euro | 5,225,000 | BNP | (2,387) | ||||||
07/02/20 | U.S. Dollars | 272,886 | Canadian Dollars | 374,000 | UBS | (2,600) | ||||||
07/16/20 | U.S. Dollars | 5,017,785 | Chinese Yuan Renminbi | 35,528,427 | CITI | (2,761) | ||||||
09/16/20 | Swedish Kronor | 5,804,775 | Euro | 557,000 | CITI | (3,335) | ||||||
09/16/20 | Canadian Dollars | 846,440 | U.S. Dollars | 630,000 | SS | (6,418) | ||||||
07/16/20 | Euro | 570,000 | U.S. Dollars | 647,188 | GSC | (6,556) | ||||||
09/16/20 | Euro | 684,576 | U.S. Dollars | 778,033 | CITI | (7,555) | ||||||
09/16/20 | Euro | 557,000 | Swiss Francs | 600,702 | JPM | (8,631) | ||||||
08/12/20 | U.S. Dollars | 418,167 | Euro | 380,000 | WEST | (9,181) | ||||||
07/16/20 | Chinese Yuan Renminbi | 35,528,427 | U.S. Dollars | 5,030,218 | CITI | (9,671) | ||||||
09/16/20 | British Pounds | 319,088 | U.S. Dollars | 406,841 | UBS | (11,275) | ||||||
09/16/20 | Australian Dollars | 1,636,193 | U.S. Dollars | 1,143,406 | UBS | (13,971) | ||||||
07/16/20 | Euro | 1,325,000 | U.S. Dollars | 1,506,414 | CITI | (17,225) | ||||||
07/16/20 | U.S. Dollars | 486,123 | Euro | 450,000 | GSC | (19,639) | ||||||
09/16/20 | Norwegian Kroner | 5,376,517 | U.S. Dollars | 579,678 | SS | (20,929) | ||||||
07/16/20 | Mexican Pesos | 30,000,000 | U.S. Dollars | 1,342,138 | GSC | (39,893) | ||||||
07/02/20 | U.S. Dollars | 7,581,399 | Euro | 6,826,000 | BNP | (87,612) | ||||||
07/02/20 | U.S. Dollars | 19,508,078 | British Pounds | 15,816,000 | GSC | (89,530) | ||||||
07/16/20 | Brazilian Reals | 14,592,110 | U.S. Dollars | 2,778,349 | CITI | (97,337) | ||||||
07/16/20 | U.S. Dollars | 4,664,707 | Philippine Pesos | 238,833,000 | CITI | (128,730) | ||||||
08/04/20 | U.S. Dollars | 19,395,604 | British Pounds | 15,816,000 | HSBC | (206,617) | ||||||
07/22/20 | Japanese Yen | 1,994,637,562 | U.S. Dollars | 18,729,923 | SS | (251,398) | ||||||
07/16/20 | U.S. Dollars | 4,471,776 | Russian Rubles | 346,272,014 | CITI | (382,796) | ||||||
07/16/20 | U.S. Dollars | 25,898,656 | Euro | 23,761,215 | CITI | (806,956) | ||||||
Subtotal Depreciation | $(2,236,229) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (865,275) |
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 Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | $(1,179) | $(1,226) | $ 47 | ||||||||
Subtotal Appreciation | $(1,179) | $(1,226) | $ 47 | |||||||||||||
Credit Suisse (USA), Inc. 6.5% due 1/15/2018 (Pay Quarterly) | (1.00)% | 9/20/2020 | GSC | USD | 300,000 | $ (663) | $ 6,900 | $ (7,563) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | JPM | USD | 590,000 | (2,630) | 2,495 | (5,125) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | CITI | USD | 330,000 | (1,470) | 2,663 | (4,133) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2020 | BOA | USD | 300,000 | (1,338) | 1,691 | (3,029) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | (8,117) | 6,695 | (14,812) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 460,000 | (4,059) | 5,499 | (9,558) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (3,175) | 2,602 | (5,777) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 320,000 | (2,823) | 1,224 | (4,047) |
Table of Contents
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Peoples Republic of China, 4.25% due 10/28/14 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | $ (5,522) | $ 1,639 | $ (7,161) | ||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | (10,606) | (6,835) | (3,771) | ||||||||
Subtotal Depreciation | $(40,403) | $24,573 | $(64,976) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at June 30, 2020 | $(41,582) | $23,347 | $(64,929) |
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 and Sovereign Issuers—Sell Protection | ||||||||||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.48% | 1.00% | 12/20/2023 | USD | 600,000 | $ (9,497) | $ (25,420) | $ 15,923 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/2024 (Receive Quarterly) | 0.44% | 1.00% | 6/20/2024 | USD | 1,075,000 | 24,320 | 18,590 | 5,730 | ||||||||
Rolls-Royce Holdings PLC (Receive Quarterly) | 4.24% | 1.00% | 6/20/2025 | EUR | 900,000 | (141,451) | (142,606) | 1,155 | ||||||||
Subtotal Appreciation | $(126,628) | $(149,436) | $ 22,808 | |||||||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.56% | 1.00% | 6/20/2024 | USD | 2,150,000 | $ (45,407) | $ (34,866) | $ (10,541) | ||||||||
Republic of Colombia, 10.38% due 1/28/2033 (Receive Quarterly) | 1.32% | 1.00% | 6/20/2024 | USD | 1,000,000 | (12,102) | 5,985 | (18,087) | ||||||||
Republic of Indonesia, 5.88% due 3/13/2020 (Receive Quarterly) | 1.06% | 1.00% | 6/20/2024 | USD | 3,470,000 | (7,349) | 4,023 | (11,372) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 2.44% | 1.00% | 6/20/2024 | USD | 475,000 | (25,151) | 11,979 | (37,130) | ||||||||
General Electric Co., 2.70% due 10/9/2022 (Receive Quarterly) | 1.68% | 1.00% | 12/20/2024 | USD | 600,000 | (17,376) | (9,660) | (7,716) | ||||||||
Republic of Peru, 8.75% 11/21/2033 (Receive Quarterly) | 0.84% | 1.00% | 12/20/2024 | USD | 1,000,000 | 7,316 | 21,212 | (13,896) | ||||||||
Russian Federation, 1.00% due 12/20/2024 (Receive Quarterly) | 1.02% | 1.00% | 12/20/2024 | USD | 1,950,000 | (1,327) | 33,333 | (34,660) | ||||||||
Subtotal Depreciation | $(101,396) | $ 32,006 | $(133,402) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at June 30, 2020 | $(228,024) | $(117,430) | $(110,594) |
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.NA.IG.34 Index (Receive Quarterly) | 0.76% | 1.00% | 6/20/2025 | USD | 60,490,000 | $707,002 | $ 77,287 | $ 629,715 | ||||||||
Subtotal Appreciation | $707,002 | $ 77,287 | $ 629,715 | |||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.64% | 1.00% | 6/20/2023 | USD | 12,425,000 | $135,984 | $161,786 | $ (25,802) | ||||||||
Markit CDX.NA.HY.33 Index (Receive Quarterly) | 5.16% | 5.00% | 12/20/2024 | USD | 552,000 | (2,617) | 41,262 | (43,879) | ||||||||
Markit CDX.NA.IG.33 Index (Receive Quarterly) | 0.74% | 1.00% | 12/20/2024 | USD | 10,025,000 | 118,482 | 190,390 | (71,908) | ||||||||
Subtotal Depreciation | $251,849 | $393,438 | $(141,589) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at June 30, 2020 | $958,851 | $470,725 | $ 488,126 |
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) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,748 | $338,644 | $10,600 | $328,044 | ||||||||
$338,644 | $10,600 | $328,044 |
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 (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 6,759,765 | $ 25,525 | $ 5,227 | $ 20,298 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.44% (Upon termination) | 1/3/2022 | BRL | 1,421,123 | 12,849 | 3,590 | 9,259 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.81% (Upon termination) | 1/3/2022 | BRL | 1,357,562 | 8,221 | — | 8,221 | |||||||
3-Month LIBOR (Quarterly) | 0.60% (Semiannually) | 3/23/2022 | USD | 23,834,000 | 191,103 | 3,724 | 187,379 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.50% (Lunar) | 9/15/2022 | MXN | 39,720,000 | 5,402 | (1,052) | 6,454 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 3,416,710 | 35,772 | 6,179 | 29,593 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 2,430,906 | 41,647 | 6,512 | 35,135 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.37% (Upon termination) | 1/2/2023 | BRL | 864,223 | 11,027 | — | 11,027 | |||||||
3-Month CDOR (Semiannually) | 0.50% (Semiannually) | 9/16/2023 | CAD | 56,840,000 | (194,561) | (244,145) | 49,584 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 615,665 | 244 | (309) | 553 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 25,000,000 | 4,400 | 406 | 3,994 | |||||||
3-Month LIBOR (Quarterly) | 0.38% (Semiannually) | 8/31/2024 | USD | 36,067,000 | 163,999 | 12,879 | 151,120 | |||||||
1-Day US Federal Fund Effective Rate (Annually) | 0.10% (Annually) | 11/30/2024 | USD | 18,156,000 | 37,401 | 11,402 | 25,999 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.26% (Upon termination) | 1/2/2025 | BRL | 2,861,086 | 25,374 | 8,171 | 17,203 | |||||||
3-Month LIBOR (Quarterly) | 0.70% (Semiannually) | 3/23/2025 | USD | 13,880,000 | 284,070 | (11,207) | 295,277 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 23,660,000 | 9,261 | (14,714) | 23,975 | |||||||
1-Day SONIA (Annually) | 0.27% (Annually) | 6/17/2025 | GBP | 18,440,000 | 310,203 | 110,512 | 199,691 | |||||||
1-Day SONIA (Annually) | 0.03% (Annually) | 6/17/2025 | GBP | 14,820,000 | 30,561 | (35,497) | 66,058 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 6/17/2025 | CNY | 31,460,000 | 35,846 | 30,652 | 5,194 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.40% (Lunar) | 9/11/2025 | MXN | 61,500,000 | 65,167 | 8,101 | 57,066 | |||||||
3-Month LIBOR (Quarterly) | 0.77% (Semiannually) | 3/24/2027 | USD | 18,910,000 | 456,634 | 139,777 | 316,857 | |||||||
6-Month ASX BBSW (Semiannually) | 0.96% (Semiannually) | 4/21/2027 | AUD | 5,410,000 | 18,283 | 948 | 17,335 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 19,541,000 | (43,634) | (65,594) | 21,960 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2027 | EUR | 8,930,000 | (200,231) | (207,264) | 7,033 | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 4/26/2028 | AUD | 11,940,000 | 24,227 | (25,838) | 50,065 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 1,031,000 | 68,836 | 962,164 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 4,610,000 | 69,486 | 46,572 | 22,914 | |||||||
3-Month LIBOR (Quarterly) | 0.98% (Semiannually) | 5/21/2030 | USD | 9,810,000 | 15,550 | (12,505) | 28,055 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 7,130,000 | 22,065 | (3,972) | 26,037 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 5,970,000 | 232,058 | 161,206 | 70,852 | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 9/16/2030 | AUD | 6,290,000 | 252,251 | 177,094 | 75,157 |
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) | |||||||
0.10% (Annually) | 6-Month LIBOR (Semiannually) | 9/17/2030 | CHF | 2,080,000 | $ 4,492 | $ (2,731) | $ 7,223 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 12/15/2030 | EUR | 1,160,000 | 12,383 | 11,802 | 581 | |||||||
6-Month EURIBOR (Semiannually) | 0.02% (Annually) | 4/7/2031 | EUR | 690,000 | 11,560 | 10,296 | 1,264 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 10/26/2031 | EUR | 320,000 | 4,998 | 2,717 | 2,281 | |||||||
1.36% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 4/21/2040 | AUD | 1,560,000 | 17,815 | (709) | 18,524 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 3,400,000 | 25,030 | 13,963 | 11,067 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 1,650,000 | (80,441) | (83,555) | 3,114 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/19/2040 | GBP | 790,000 | (91,570) | (95,698) | 4,128 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 1,470,000 | 82,351 | 73,045 | 9,306 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2040 | EUR | 270,000 | 26,004 | 17,381 | 8,623 | |||||||
0.86% (Semiannually) | 3-Month LIBOR (Quarterly) | 4/9/2045 | USD | 6,690,000 | 58,004 | — | 58,004 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 6,009 | (64) | 6,073 | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 6/17/2050 | CAD | 2,260,000 | 165,525 | 91,081 | 74,444 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | GBP | 710,000 | (51,480) | (56,231) | 4,751 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 310,000 | 19,471 | 14,942 | 4,529 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 12/16/2050 | GBP | 1,300,000 | (32,330) | (49,739) | 17,409 | |||||||
Subtotal Appreciation | $ 3,159,021 | $ 126,191 | $ 3,032,830 | |||||||||||
6.24% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 4,179,369 | $ (51,195) | $ — | $ (51,195) | |||||||
7.22% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,702,329 | (64,828) | — | (64,828) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2023 | USD | 24,910,000 | (199,575) | (149,329) | (50,246) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 40,517 | 42,931 | (2,414) | |||||||
0.31% (Annually) | 6-Month EURIBOR (Semiannually) | 5/18/2025 | EUR | 17,420,000 | (17,867) | 15,870 | (33,737) | |||||||
3-Month LIBOR (Quarterly) | 0.50% (Semiannually) | 9/16/2025 | USD | 6,580,000 | 53,020 | 53,570 | (550) | |||||||
1.55% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/30/2026 | USD | 40,547,000 | (2,815,165) | 142,909 | (2,958,074) | |||||||
1.52% (Semiannually) | 3-Month LIBOR (Quarterly) | 7/31/2026 | USD | 19,790,000 | (1,442,170) | 70,621 | (1,512,791) | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2026 | USD | 12,122,000 | (929,287) | 4,777 | (934,064) | |||||||
1.65% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2026 | USD | 4,469,000 | (357,096) | (13,064) | (344,032) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Annually) | 9/16/2027 | CHF | 9,040,000 | (52,759) | (50,963) | (1,796) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/10/2030 | GBP | 5,920,000 | (6,307) | 76,577 | (82,884) | |||||||
0.57% (Annually) | 1-Day SONIA (Annually) | 3/18/2030 | GBP | 5,420,000 | (311,592) | 23,302 | (334,894) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 123,890,000 | 8,776 | 8,776 | — | |||||||
0.31% (Annually) | 1-Day SONIA (Annually) | 6/17/2030 | GBP | 6,090,000 | (148,172) | (44,089) | (104,083) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,040,000 | (100,642) | (50,430) | (50,212) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 3,300,000 | (102,680) | (79,512) | (23,168) | |||||||
1.16% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/21/2035 | USD | 9,850,000 | (7,420) | 23,513 | (30,933) | |||||||
2.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 2,100,000 | (380,079) | (28,177) | (351,902) | |||||||
2.05% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/1/2037 | GBP | 3,300,000 | (601,292) | (55,813) | (545,479) | |||||||
6-Month LIBOR (Semiannually) | 0.04% (Semiannually) | 3/10/2038 | JPY | 344,000,000 | (101,569) | — | (101,569) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,469,200,000 | (1,299,103) | 13,013 | (1,312,116) | |||||||
0.40% (Annually) | 1-Day SONIA (Annually) | 6/17/2040 | GBP | 4,680,000 | (241,677) | (237,020) | (4,657) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2040 | JPY | 210,700,000 | 8,128 | 21,959 | (13,831) | |||||||
1.81% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 1,544,000 | (319,283) | 2,066 | (321,349) | |||||||
1.85% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2044 | USD | 18,289,000 | (3,949,684) | 31,208 | (3,980,892) | |||||||
3-Month LIBOR (Quarterly) | 0.85% (Semiannually) | 4/10/2050 | USD | 6,930,000 | (31,430) | — | (31,430) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 250,000 | (15,496) | (14,464) | (1,032) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2050 | JPY | 219,280,000 | (3,878) | 21,202 | (25,080) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2050 | EUR | 360,000 | (57,304) | (54,121) | (3,183) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2050 | GBP | 1,900,000 | (47,414) | (40,509) | (6,905) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2050 | USD | 1,000,000 | 46,694 | 89,552 | (42,858) | |||||||
Subtotal Depreciation | $(13,497,829) | $(175,645) | $(13,322,184) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | $(10,338,808) | $ (49,454) | $(10,289,354) |
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 | $ 1,938,469 | $ — | $ 1,938,469 | $ — | |||
Asset-Backed Securities | 91,404,965 | — | 91,404,965 | — | |||
Corporate Bonds | 590,358,646 | — | 588,636,223 | 1,722,423 | |||
Foreign Bonds | |||||||
Argentina | 1,540,662 | — | 1,524,278 | 16,384 | |||
Other ^^ | 220,050,140 | — | 220,050,140 | — | |||
Total Foreign Bonds | 221,590,802 | — | 221,574,418 | 16,384 | |||
Loan Agreements | 12,017,281 | — | 12,017,281 | — | |||
Money Market Funds | 121,793,066 | 121,793,066 | — | — | |||
Mortgage-Backed Securities | 720,008,047 | — | 720,008,047 | — | |||
Municipal Bonds | 10,536,665 | — | 10,536,665 | — | |||
Purchased Options: | |||||||
Call Options | 377,079 | 377,079 | — | — | |||
Put Options | 87,844 | 87,844 | — | — | |||
Total Purchased Options | 464,923 | 464,923 | — | — | |||
Repurchase Agreements | 117,500,000 | — | 117,500,000 | — | |||
U.S. Treasury Obligations | 236,472,640 | — | 236,472,640 | — | |||
Total Assets - Investments in Securities | $2,124,085,504 | $122,257,989 | $2,000,088,708 | $1,738,807 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,370,954 | $ — | $ 1,370,954 | $ — | |||
Futures Contracts | 2,855,937 | 2,855,937 | — | — | |||
Swap Agreements | 4,013,444 | — | 4,013,444 | — | |||
Total Assets - Other Financial Instruments | $ 8,240,335 | $ 2,855,937 | $ 5,384,398 | $ — | |||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(77,743,372) | $ — | $(77,743,372) | $ — | |||
Written Options: | |||||||
Call Options | (128,580) | (128,580) | — | — | |||
Call Swaptions | (277,622) | — | (277,622) | — | |||
Put Options | (76,161) | (76,161) | — | — | |||
Put Swaptions | (963,607) | — | (963,607) | — | |||
Total Written Options | (1,445,970) | (204,741) | (1,241,229) | — | |||
Total Liabilities - Investments in Securities | $(79,189,342) | $ (204,741) | $(78,984,601) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,236,229) | $ — | $ (2,236,229) | $ — | |||
Futures Contracts | (1,895,536) | (1,895,536) | — | — | |||
Swap Agreements | (13,662,151) | — | (13,662,151) | — | |||
Total Liabilities - Other Financial Instruments | $(17,793,916) | $(1,895,536) | $(15,898,380) | $ — |
^^ | 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
Par | Value | |||
ASSET-BACKED SECURITY — 0.1% | ||||
Towd Point Mortgage Trust, Series 2016-4, Class A1 | ||||
2.25%, 07/25/56 144A (Cost $343,713) | $ 346,122 | $ 350,101 | ||
CORPORATE BONDS — 48.5% | ||||
3M Co. | ||||
3.05%, 04/15/30 | 280,000 | 317,393 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 1,507,000 | 1,754,825 | ||
1.40%, 06/30/30 | 690,000 | 687,548 | ||
4.90%, 11/30/46 | 407,000 | 585,289 | ||
Aflac, Inc. | ||||
6.45%, 08/15/40 | 328,000 | 462,196 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 85,000 | 84,665 | ||
Ally Financial, Inc. | ||||
8.00%, 11/01/31 | 177,000 | 228,843 | ||
Alta Wind Holdings LLC | ||||
7.00%, 06/30/35 144A | 292,990 | 355,302 | ||
Amazon.com, Inc. | ||||
1.50%, 06/03/30 | 2,680,000 | 2,718,537 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 305,000 | 177,827 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 480,558 | 319,442 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 218,131 | 155,178 | ||
American Airlines Pass-Through Trust, Series 2017-1, Class B | ||||
4.95%, 02/15/25 | 100,136 | 75,888 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 79,779 | 55,513 | ||
American International Group, Inc. | ||||
3.90%, 04/01/26 | 1,682,000 | 1,901,786 | ||
American Tower Corporation REIT | ||||
2.40%, 03/15/25 | 537,000 | 567,542 | ||
Antares Holdings LP | ||||
6.00%, 08/15/23 144A | 255,000 | 244,866 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21Δ | 125,000 | 116,040 | ||
5.13%, 12/01/22 | 35,000 | 25,365 | ||
Apple, Inc. | ||||
3.00%, 06/20/27 | 449,000 | 503,104 | ||
1.65%, 05/11/30Δ | 2,135,000 | 2,187,125 | ||
Arch Capital Group, Ltd. | ||||
3.64%, 06/30/50 | 1,120,000 | 1,179,425 | ||
AT&T, Inc. | ||||
4.30%, 02/15/30 | 1,869,000 | 2,192,096 | ||
2.75%, 06/01/31 | 1,169,000 | 1,219,969 | ||
4.50%, 05/15/35 | 495,000 | 588,059 | ||
4.30%, 12/15/42 | 1,242,000 | 1,392,054 |
Par | Value | |||
4.50%, 03/09/48 | $ 105,000 | $ 124,326 | ||
4.55%, 03/09/49 | 115,000 | 135,816 | ||
Bank of America Corporation | ||||
3.50%, 04/19/26 | 901,000 | 1,015,013 | ||
6.11%, 01/29/37 | 900,000 | 1,270,051 | ||
Bank of America NA | ||||
6.00%, 10/15/36 | 1,315,000 | 1,866,923 | ||
Berkshire Hathaway Energy Co. | ||||
3.70%, 07/15/30 144A | 437,000 | 513,406 | ||
Boeing Co. (The) | ||||
3.10%, 05/01/26 | 20,000 | 20,395 | ||
3.25%, 02/01/35 | 5,000 | 4,564 | ||
3.55%, 03/01/38 | 25,000 | 22,826 | ||
3.63%, 03/01/48 | 5,000 | 4,408 | ||
3.85%, 11/01/48 | 85,000 | 76,256 | ||
3.75%, 02/01/50 | 15,000 | 13,492 | ||
3.95%, 08/01/59 | 90,000 | 79,015 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV | 110,000 | 117,149 | ||
Boston Properties LP REIT | ||||
3.40%, 06/21/29 | 1,138,000 | 1,257,008 | ||
Boston Scientific Corporation | ||||
4.70%, 03/01/49 | 360,000 | 460,067 | ||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30 | 265,000 | 294,704 | ||
4.70%, 06/22/47 | 40,000 | 36,438 | ||
Bristol-Myers Squibb Co. | ||||
4.25%, 10/26/49 144A | 822,000 | 1,089,411 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 144A | 2,145,000 | 2,419,511 | ||
Burlington Northern Santa Fe LLC | ||||
4.15%, 04/01/45 | 821,000 | 1,013,656 | ||
Campbell Soup Co. | ||||
4.80%, 03/15/48 | 400,000 | 526,869 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22# | 70,000 | 2,450 | ||
5.75%, 03/15/23# | 20,000 | 700 | ||
5.50%, 09/15/26 CONV # | 5,000 | 200 | ||
8.00%, 06/15/27# | 665,000 | 21,613 | ||
Cigna Corporation | ||||
4.90%, 12/15/48 | 408,000 | 538,701 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 20,000 | 20,948 | ||
Citigroup, Inc. | ||||
8.13%, 07/15/39 | 802,000 | 1,390,586 | ||
(Variable, ICE LIBOR USD 3M + 1.84%), 4.28%, 04/24/48^ | 498,000 | 618,231 | ||
Comcast Corporation | ||||
3.70%, 04/15/24 | 929,000 | 1,028,738 | ||
2.65%, 02/01/30 | 1,225,000 | 1,333,367 | ||
3.97%, 11/01/47 | 221,000 | 262,490 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 40,000 | 38,361 | ||
3.80%, 06/01/24 | 125,000 | 117,211 |
Table of Contents
Par | Value | |||
Cox Communications, Inc. | ||||
4.60%, 08/15/47 144A | $ 238,000 | $ 301,932 | ||
Crown Castle International Corporation REIT | ||||
3.20%, 09/01/24 | 483,000 | 524,712 | ||
CSC Holdings LLC | ||||
5.38%, 02/01/28 144A | 200,000 | 209,581 | ||
CSX Corporation | ||||
3.80%, 04/15/50 | 220,000 | 261,903 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 1,620,000 | 1,920,720 | ||
CVS Health Corporation | ||||
5.13%, 07/20/45 | 83,000 | 107,109 | ||
5.05%, 03/25/48 | 474,000 | 621,909 | ||
4.25%, 04/01/50 | 402,000 | 482,521 | ||
DCP Midstream Operating LP | ||||
6.45%, 11/03/36 144A | 490,000 | 443,105 | ||
Deere & Co. | ||||
3.10%, 04/15/30 | 601,000 | 682,298 | ||
Dell International LLC | ||||
6.02%, 06/15/26 144A | 140,000 | 160,624 | ||
8.10%, 07/15/36 144A | 180,000 | 237,604 | ||
8.35%, 07/15/46 144A | 130,000 | 173,607 | ||
Dillard's, Inc. | ||||
7.00%, 12/01/28 | 500,000 | 499,742 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 833,000 | 912,169 | ||
DISH DBS Corporation | ||||
7.75%, 07/01/26 | 105,000 | 111,496 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV Δ | 1,080,000 | 970,484 | ||
Dow Chemical Co. (The) | ||||
9.40%, 05/15/39 | 349,000 | 582,973 | ||
Edison International | ||||
4.95%, 04/15/25 | 20,000 | 21,954 | ||
Eli Lilly and Co. | ||||
2.25%, 05/15/50Δ | 5,269,000 | 5,069,091 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 445,000 | 357,111 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 305,000 | 437,894 | ||
Energy Transfer Operating LP | ||||
5.25%, 04/15/29 | 628,000 | 688,607 | ||
5.15%, 03/15/45 | 446,000 | 426,498 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 556,000 | 663,398 | ||
4.20%, 01/31/50 | 612,000 | 685,834 | ||
Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 577,000 | 661,189 | ||
ERP Operating LP REIT | ||||
3.00%, 07/01/29 | 970,000 | 1,073,898 | ||
Ford Motor Co. | ||||
6.38%, 02/01/29Δ | 1,255,000 | 1,231,532 | ||
4.75%, 01/15/43 | 400,000 | 316,898 | ||
GE Capital Funding LLC | ||||
4.55%, 05/15/32 144A | 980,000 | 1,013,191 | ||
General Electric Co. | ||||
3.10%, 01/09/23 | 248,000 | 259,824 |
Par | Value | |||
5.88%, 01/14/38 | $ 150,000 | $ 169,495 | ||
General Motors Co. | ||||
6.25%, 10/02/43 | 55,000 | 58,520 | ||
5.20%, 04/01/45 | 1,175,000 | 1,139,637 | ||
General Motors Financial Co., Inc. | ||||
5.25%, 03/01/26 | 250,000 | 272,652 | ||
3.60%, 06/21/30 | 155,000 | 151,169 | ||
Gilead Sciences, Inc. | ||||
4.15%, 03/01/47 | 895,000 | 1,140,332 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.50%, 11/16/26 | 1,704,000 | 1,875,377 | ||
6.75%, 10/01/37 | 225,000 | 327,946 | ||
4.75%, 10/21/45 | 421,000 | 550,764 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27 | 355,000 | 326,733 | ||
HCA, Inc. | ||||
5.38%, 09/01/26 | 140,000 | 152,768 | ||
7.05%, 12/01/27 | 500,000 | 560,783 | ||
3.50%, 09/01/30 | 995,000 | 959,571 | ||
Healthpeak Properties, Inc. REIT | ||||
3.25%, 07/15/26 | 281,000 | 307,508 | ||
Hewlett Packard Enterprise Co. | ||||
6.35%, 10/15/45 | 135,000 | 165,773 | ||
Home Depot, Inc. (The) | ||||
5.88%, 12/16/36 | 187,000 | 279,600 | ||
Intel Corporation | ||||
3.90%, 03/25/30 | 2,008,000 | 2,430,612 | ||
Iron Mountain, Inc. REIT | ||||
4.88%, 09/15/29 144A | 265,000 | 257,978 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 175,000 | 188,016 | ||
Jefferies Group LLC | ||||
6.45%, 06/08/27 | 50,000 | 58,707 | ||
6.25%, 01/15/36 | 185,000 | 212,170 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 255,000 | 245,708 | ||
JPMorgan Chase & Co. | ||||
5.60%, 07/15/41 | 1,694,000 | 2,449,139 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 2,525,000 | 2,732,287 | ||
Kinder Morgan Energy Partners LP | ||||
5.80%, 03/15/35 | 280,000 | 324,191 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 355,000 | 349,533 | ||
Liberty Mutual Group, Inc. | ||||
3.95%, 10/15/50 144A | 1,400,000 | 1,484,595 | ||
Lincoln National Corporation | ||||
4.38%, 06/15/50 | 1,325,000 | 1,483,689 | ||
Lockheed Martin Corporation | ||||
4.70%, 05/15/46 | 844,000 | 1,154,448 | ||
Marathon Petroleum Corporation | ||||
3.63%, 09/15/24 | 2,048,000 | 2,186,106 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 129,000 | 165,650 | ||
6.50%, 08/15/32 | 15,000 | 18,267 | ||
Mastercard, Inc. | ||||
3.85%, 03/26/50 | 306,000 | 382,463 |
Table of Contents
Par | Value | |||
McDonald’s Corporation | ||||
4.88%, 12/09/45 | $ 584,000 | $ 749,688 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 310,000 | 366,685 | ||
5.88%, 02/06/41 | 300,000 | 429,032 | ||
Metropolitan Life Global Funding I | ||||
2.95%, 04/09/30 144A | 2,185,000 | 2,397,576 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A Δ | 45,000 | 39,226 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/25 CONV | 85,000 | 189,823 | ||
Microsoft Corporation | ||||
3.70%, 08/08/46 | 555,000 | 692,350 | ||
2.53%, 06/01/50 | 556,000 | 582,961 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 265,000 | 266,325 | ||
Mondelez International, Inc. | ||||
2.75%, 04/13/30 | 190,000 | 204,955 | ||
Morgan Stanley | ||||
3.63%, 01/20/27 | 1,401,000 | 1,583,186 | ||
4.30%, 01/27/45 | 373,000 | 470,188 | ||
MPLX LP | ||||
4.00%, 03/15/28 | 200,000 | 210,894 | ||
4.50%, 04/15/38 | 1,038,000 | 1,039,436 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 100,000 | 127,443 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 175,000 | 185,226 | ||
Nationwide Mutual Insurance Co. | ||||
4.35%, 04/30/50 144A | 675,000 | 721,735 | ||
Navient Corporation | ||||
5.88%, 10/25/24 | 10,000 | 9,425 | ||
6.75%, 06/15/26 | 10,000 | 9,273 | ||
5.63%, 08/01/33 | 1,475,000 | 1,140,035 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 100,000 | 83,312 | ||
6.13%, 03/01/25 | 220,000 | 166,902 | ||
Northern Trust Corporation | ||||
1.95%, 05/01/30 | 3,544,000 | 3,665,261 | ||
Northrop Grumman Corporation | ||||
3.25%, 01/15/28 | 934,000 | 1,045,227 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 50,000 | 69,963 | ||
1.00%, 12/15/35 CONV | 80,000 | 94,679 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 230,000 | 249,028 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 85,000 | 99,230 | ||
ONEOK Partners LP | ||||
6.20%, 09/15/43 | 5,000 | 5,381 | ||
Oracle Corporation | ||||
3.60%, 04/01/40 | 2,762,000 | 3,146,318 | ||
3.60%, 04/01/50 | 1,527,000 | 1,707,342 | ||
Owens Corning | ||||
4.40%, 01/30/48 | 210,000 | 219,324 |
Par | Value | |||
Owens-Brockway Glass Container, Inc. | ||||
6.63%, 05/13/27 144A | $ 85,000 | $ 88,559 | ||
Pacific Gas and Electric Co. | ||||
2.50%, 02/01/31 | 2,105,000 | 2,064,647 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 440,000 | 635,818 | ||
Penske Truck Leasing Co. LP | ||||
4.00%, 07/15/25 144A | 185,000 | 202,482 | ||
PepsiCo, Inc. | ||||
2.63%, 07/29/29 | 1,121,000 | 1,240,321 | ||
Procter & Gamble Co. (The) | ||||
3.00%, 03/25/30 | 1,215,000 | 1,392,818 | ||
Prudential Financial, Inc. | ||||
6.63%, 06/21/40 | 548,000 | 830,472 | ||
3.70%, 03/13/51 | 150,000 | 164,792 | ||
PulteGroup, Inc. | ||||
6.38%, 05/15/33 | 1,000,000 | 1,174,025 | ||
Quicken Loans LLC | ||||
5.75%, 05/01/25 144A | 60,000 | 61,494 | ||
5.25%, 01/15/28 144A | 70,000 | 72,435 | ||
Qwest Corporation | ||||
7.25%, 09/15/25 | 410,000 | 465,625 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 55,000 | 53,275 | ||
6.63%, 03/15/25 | 485,000 | 498,034 | ||
4.88%, 03/15/27 | 35,000 | 33,003 | ||
Raytheon Technologies Corporation | ||||
3.95%, 08/16/25 | 374,000 | 425,843 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 51,000 | 55,390 | ||
4.09%, 06/01/29 144A | 53,000 | 55,659 | ||
Service Properties Trust REIT | ||||
4.50%, 06/15/23 | 15,000 | 14,367 | ||
4.65%, 03/15/24Δ | 10,000 | 9,043 | ||
4.35%, 10/01/24 | 55,000 | 49,600 | ||
4.75%, 10/01/26 | 5,000 | 4,427 | ||
4.95%, 02/15/27 | 25,000 | 21,958 | ||
3.95%, 01/15/28 | 10,000 | 8,065 | ||
SM Energy Co. | ||||
10.00%, 01/15/25 144A Δ | 123,000 | 117,081 | ||
Southern Co. (The) | ||||
4.40%, 07/01/46 | 1,267,000 | 1,508,435 | ||
Springleaf Finance Corporation | ||||
6.88%, 03/15/25 | 170,000 | 174,803 | ||
State Street Corporation | ||||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31 144A ^ | 357,000 | 401,503 | ||
Tenet Healthcare Corporation | ||||
5.13%, 05/01/25 | 615,000 | 594,219 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 25,000 | 30,253 | ||
4.50%, 09/15/42 | 45,000 | 47,979 | ||
T-Mobile USA, Inc. | ||||
3.88%, 04/15/30 144A | 3,101,000 | 3,457,103 |
Table of Contents
Par | Value | |||
Toro Co. (The) | ||||
6.63%, 05/01/37 | $ 300,000 | $ 348,295 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 455,000 | 592,926 | ||
TransDigm, Inc. | ||||
8.00%, 12/15/25 144A | 350,000 | 369,378 | ||
7.50%, 03/15/27 | 5,000 | 4,806 | ||
5.50%, 11/15/27 | 85,000 | 74,415 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 205,000 | 111,725 | ||
6.80%, 03/15/38Δ | 20,000 | 6,049 | ||
Tyson Foods, Inc. | ||||
4.55%, 06/02/47 | 333,000 | 409,955 | ||
5.10%, 09/28/48 | 269,000 | 346,554 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 83,236 | 76,560 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 66,800 | 49,686 | ||
United Rentals North America, Inc. | ||||
6.50%, 12/15/26 | 85,000 | 89,412 | ||
4.88%, 01/15/28 | 30,000 | 30,797 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37Δ | 75,000 | 49,072 | ||
Verizon Communications, Inc. | ||||
4.27%, 01/15/36 | 1,588,000 | 1,966,190 | ||
5.25%, 03/16/37 | 933,000 | 1,250,562 | ||
5.50%, 03/16/47 | 934,000 | 1,386,775 | ||
ViacomCBS, Inc. | ||||
4.95%, 05/19/50 | 220,000 | 246,038 | ||
Visa, Inc. | ||||
4.30%, 12/14/45 | 654,000 | 866,444 | ||
Walmart, Inc. | ||||
3.63%, 12/15/47 | 356,000 | 439,006 | ||
Walt Disney Co. (The) | ||||
4.75%, 09/15/44 | 582,000 | 746,573 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 4,150,000 | 4,345,017 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 140,000 | 132,305 | ||
WestRock MWV LLC | ||||
7.55%, 03/01/47 | 335,000 | 483,940 | ||
Weyerhaeuser Co. REIT | ||||
6.88%, 12/15/33 | 580,000 | 763,867 | ||
Whirlpool Corporation | ||||
4.60%, 05/15/50 | 200,000 | 228,663 | ||
Xylem, Inc. | ||||
1.95%, 01/30/28 | 405,000 | 409,318 | ||
Total Corporate Bonds (Cost $122,692,843) | 138,249,657 | |||
FOREIGN BONDS — 11.7% | ||||
Australia — 0.2% | ||||
Barrick PD Australia Finance Proprietary, Ltd. | ||||
5.95%, 10/15/39 | 533,000 | 717,338 |
Par | Value | |||
Brazil — 0.2% | ||||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | $ 2,525,000 | $ 549,054 | ||
Canada — 3.2% | ||||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A | 515,000 | 364,337 | ||
7.88%, 04/15/27 144A Δ | 50,000 | 32,834 | ||
Canadian Government Bond Residual STRIP | ||||
3.48%, 06/01/25(C) Ω | 3,685,000 | 2,667,065 | ||
Enbridge, Inc. | ||||
5.50%, 12/01/46 | 512,000 | 662,352 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A Δ | 204,000 | 175,461 | ||
Province of Ontario Generic Residual STRIP | ||||
2.98%, 03/08/29(C) Ω | 4,600,000 | 2,997,183 | ||
Province of Saskatchewan Residual STRIP | ||||
3.50%, 02/04/22(C) Ω | 3,000,000 | 2,187,419 | ||
9,086,651 | ||||
Ireland — 0.4% | ||||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 975,000 | 1,023,794 | ||
Johnson Controls International PLC | ||||
4.50%, 02/15/47 | 149,000 | 170,348 | ||
1,194,142 | ||||
Italy — 0.3% | ||||
Telecom Italia Capital SA | ||||
6.00%, 09/30/34 | 785,000 | 855,575 | ||
Luxembourg — 0.4% | ||||
ArcelorMittal SA | ||||
7.00%, 03/01/41 | 975,000 | 1,141,637 | ||
Mexico — 0.8% | ||||
America Movil SAB de CV | ||||
6.45%, 12/05/22(M) | 2,600,000 | 114,639 | ||
8.46%, 12/18/36(M) | 12,000,000 | 534,894 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 150,000 | 164,441 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 21,300,000 | 1,021,801 | ||
10.00%, 12/05/24(M) | 3,500,000 | 183,367 | ||
7.50%, 06/03/27(M) | 3,500,000 | 169,755 | ||
8.50%, 05/31/29(M) | 500,000 | 25,771 | ||
7.75%, 05/29/31(M) | 1,000,000 | 49,209 | ||
2,263,877 | ||||
Netherlands — 1.2% | ||||
Cooperatieve Rabobank UA | ||||
3.75%, 07/21/26 | 493,000 | 543,923 | ||
5.25%, 05/24/41 | 590,000 | 838,892 |
Table of Contents
Par | Value | |||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | $ 80,000 | $ 71,085 | ||
Enel Finance International NV | ||||
6.00%, 10/07/39 144A | 500,000 | 667,437 | ||
Shell International Finance BV | ||||
4.00%, 05/10/46 | 1,060,000 | 1,241,355 | ||
3,362,692 | ||||
Norway — 0.3% | ||||
Equinor ASA | ||||
2.38%, 05/22/30 | 935,000 | 972,654 | ||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 196,000 | 21,032 | ||
993,686 | ||||
Spain — 0.3% | ||||
Telefonica Emisiones SA | ||||
7.05%, 06/20/36 | 524,000 | 762,237 | ||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 1,188,000 | 1,312,506 | ||
United Kingdom — 3.8% | ||||
Barclays PLC | ||||
4.38%, 01/12/26 | 865,000 | 977,684 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.14%), 2.63%, 11/07/25^ | 1,208,000 | 1,253,730 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 1,804,000 | 1,824,749 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 645,000 | 745,688 | ||
4.95%, 03/31/30 | 270,000 | 325,197 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 2.44%, 02/05/26^ | 945,000 | 976,674 | ||
4.34%, 01/09/48 | 1,056,000 | 1,237,597 | ||
Prudential PLC | ||||
3.13%, 04/14/30 | 900,000 | 969,002 | ||
Royal Bank of Scotland Group PLC | ||||
3.88%, 09/12/23 | 1,553,000 | 1,675,371 | ||
Vodafone Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 2.17%, 01/16/24† | 962,000 | 958,022 | ||
10,943,714 | ||||
United States — 0.1% | ||||
Morgan Stanley | ||||
3.13%, 08/05/21(C) | 235,000 | 176,885 | ||
Total Foreign Bonds (Cost $32,806,095) | 33,359,994 | |||
MORTGAGE-BACKED SECURITIES — 1.9% | ||||
Federal National Mortgage Association | ||||
4.50%, 12/01/47 | 724,434 | 779,846 |
Par | Value | |||
4.50%, 11/01/48 | $ 801,134 | $ 861,640 | ||
Government National Mortgage Association | ||||
4.50%, 10/20/48 | 910,251 | 980,754 | ||
JP Morgan Mortgage Trust, Series 2017-1, Class A4 | ||||
3.50%, 01/25/47 144A | 1,366,424 | 1,391,013 | ||
JP Morgan Trust, Series 2015-6, Class A5 | ||||
3.50%, 10/25/45 144A † γ | 1,503,769 | 1,522,689 | ||
Total Mortgage-Backed Securities (Cost $5,403,213) | 5,535,942 | |||
MUNICIPAL BONDS — 1.2% | ||||
Commonwealth of Massachusetts, General Obligation, Series C | ||||
2.51%, 07/01/41 | 1,304,000 | 1,311,179 | ||
State of Connecticut, General Obligation, Series A | ||||
2.63%, 07/01/29 | 125,000 | 132,824 | ||
2.68%, 07/01/30 | 115,000 | 122,423 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 235,000 | 238,745 | ||
Texas Transportation Commission, General Obligation | ||||
2.56%, 04/01/42 | 1,435,000 | 1,459,216 | ||
Total Municipal Bonds (Cost $3,170,856) | 3,264,387 | |||
U.S. TREASURY OBLIGATIONS — 32.3% | ||||
U.S. Treasury Bill | ||||
0.16%, 11/12/20Ω Δ | 570,000 | 569,687 | ||
U.S. Treasury Bonds | ||||
4.50%, 02/15/36Δ | 449,200 | 687,890 | ||
2.88%, 05/15/43Δ | 5,208,300 | 6,807,920 | ||
2.50%, 05/15/46Δ | 4,500,000 | 5,582,988 | ||
2.75%, 08/15/47 | 14,560,200 | 19,030,352 | ||
2.25%, 08/15/49Δ | 2,060,700 | 2,479,078 | ||
1.25%, 05/15/50Δ | 5,675,000 | 5,454,207 | ||
40,042,435 | ||||
U.S. Treasury Notes | ||||
1.50%, 11/30/21 | 11,600,000 | 11,819,086 | ||
2.00%, 11/30/22 | 7,421,000 | 7,749,003 | ||
0.50%, 03/15/23 | 3,064,000 | 3,091,109 | ||
2.88%, 11/30/23 | 1,000,000 | 1,091,074 | ||
2.63%, 12/31/23 | 2,132,000 | 2,312,554 | ||
2.25%, 04/30/24 | 4,291,000 | 4,624,977 | ||
1.50%, 11/30/24 | 4,738,600 | 4,999,778 | ||
1.13%, 02/28/25Δ | 6,489,000 | 6,749,954 | ||
1.63%, 11/30/26 | 1,717,400 | 1,846,138 | ||
1.13%, 02/28/27Δ | 897,200 | 936,207 | ||
0.63%, 03/31/27 | 446,100 | 450,683 | ||
2.75%, 02/15/28 | 339,900 | 396,568 | ||
1.50%, 02/15/30Δ | 317,600 | 343,393 |
Table of Contents
Par | Value | |||
0.63%, 05/15/30Δ | $4,940,700 | $ 4,927,769 | ||
51,338,293 | ||||
Total U.S. Treasury Obligations (Cost $82,879,695) | 91,950,415 |
Shares | |||
PREFERRED STOCKS — 0.1% | |||
Chesapeake Energy Corporation | |||
5.00%, CONV Δ * | 620 | 1,190 | |
5.75%, 144A CONV * | 80 | 40 | |
El Paso Energy Capital Trust I | |||
4.75%, CONV Δ | 5,350 | 237,861 | |
Total Preferred Stocks (Cost $354,717) | 239,091 | ||
MONEY MARKET FUNDS — 5.5% | |||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø ∞ | 14,237,531 | 14,237,531 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 1,177,971 | 1,177,971 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 379,925 | 379,925 | |
Total Money Market Funds (Cost $15,795,427) | 15,795,427 | ||
TOTAL INVESTMENTS —101.3% (Cost $263,446,559) | 288,745,014 | ||
Liabilities in Excess of Other Assets — (1.3)% | (3,834,564) | ||
NET ASSETS — 100.0% | $284,910,450 |
% | |
Corporate Bonds | 48.5 |
U.S. Treasury Obligations | 32.3 |
Foreign Bonds | 11.7 |
Money Market Funds | 5.5 |
Mortgage-Backed Securities | 1.9 |
Municipal Bonds | 1.2 |
Asset-Backed Security | 0.1 |
Energy | 0.1 |
101.3 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Security | $ 350,101 | $ — | $ 350,101 | $ — | |||
Corporate Bonds | 138,249,657 | — | 138,249,657 | — | |||
Foreign Bonds | 33,359,994 | — | 33,359,994 | — | |||
Money Market Funds | 15,795,427 | 15,795,427 | — | — | |||
Mortgage-Backed Securities | 5,535,942 | — | 5,535,942 | — | |||
Municipal Bonds | 3,264,387 | — | 3,264,387 | — | |||
Preferred Stocks | 239,091 | 239,051 | 40 | — | |||
U.S. Treasury Obligations | 91,950,415 | — | 91,950,415 | — | |||
Total Assets - Investments in Securities | $288,745,014 | $16,034,478 | $272,710,536 | $ — |
Table of Contents
Par | Value | |||
ASSET-BACKED SECURITIES — 0.4% | ||||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.58%, 07/25/36 144A † | $630,000 | $ 547,934 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 583,961 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.20%, 01/22/35 144A † γ | 541,342 | 555,718 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 1.06%, 03/15/33 144A † | 207,967 | 197,014 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 1.14%, 03/25/44† | 480,000 | 448,744 | ||
Total Asset-Backed Securities (Cost $2,384,348) | 2,333,371 | |||
CORPORATE BONDS — 25.0% | ||||
3M Co. | ||||
3.70%, 04/15/50 | 710,000 | 848,120 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 280,000 | 326,046 | ||
Air Lease Corporation | ||||
2.30%, 02/01/25 | 255,000 | 244,397 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 300,000 | 300,183 | ||
4.75%, 10/01/27 144A | 110,000 | 109,567 | ||
Ally Financial, Inc. | ||||
5.13%, 09/30/24 | 465,000 | 502,628 | ||
8.00%, 11/01/31 | 175,000 | 226,257 | ||
Amazon.com, Inc. | ||||
3.88%, 08/22/37 | 620,000 | 768,670 | ||
4.25%, 08/22/57 | 190,000 | 254,136 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A | 440,000 | 256,538 | ||
3.75%, 03/01/25 144A Δ | 5,000 | 2,333 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class B | ||||
5.63%, 01/15/21 144A | 93,695 | 84,691 | ||
American Airlines Pass-Through Trust, Series 2016-1, Class B | ||||
5.25%, 01/15/24 | 609,811 | 405,361 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 268,769 | 191,201 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 95,734 | 66,616 | ||
Antero Resources Corporation | ||||
5.38%, 11/01/21Δ | 185,000 | 171,739 | ||
5.13%, 12/01/22 | 235,000 | 170,310 | ||
5.63%, 06/01/23Δ | 75,000 | 48,234 | ||
Apple, Inc. | ||||
4.65%, 02/23/46 | 325,000 | 448,312 |
Par | Value | |||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25 | $429,000 | $ 458,863 | ||
Ardagh Packaging Finance PLC | ||||
6.00%, 02/15/25 144A | 500,000 | 513,210 | ||
4.75%, 07/15/27 | 460,000 | 555,993 | ||
5.25%, 08/15/27 144A | 300,000 | 295,221 | ||
Ashtead Capital, Inc. | ||||
4.13%, 08/15/25 144A | 274,000 | 280,165 | ||
AT&T, Inc. | ||||
4.00%, 01/15/22 | 40,000 | 42,044 | ||
0.25%, 03/04/26 | 650,000 | 704,620 | ||
5.35%, 09/01/40 | 85,000 | 107,004 | ||
5.45%, 03/01/47 | 125,000 | 163,819 | ||
4.50%, 03/09/48 | 115,000 | 136,165 | ||
4.55%, 03/09/49 | 275,000 | 324,778 | ||
3.65%, 06/01/51 | 885,000 | 930,946 | ||
Avantor, Inc. | ||||
4.75%, 10/01/24 | 103,000 | 119,675 | ||
Avon Products, Inc. | ||||
8.95%, 03/15/43 | 60,000 | 68,106 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25 | 595,000 | 697,920 | ||
4.25%, 10/22/26 | 55,000 | 63,141 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 350,000 | 395,869 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 484,848 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 275,000 | 315,484 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | 162,709 | ||
6.11%, 01/29/37 | 655,000 | 924,315 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 240,000 | 302,141 | ||
Barrick North America Finance LLC | ||||
5.75%, 05/01/43 | 505,000 | 715,477 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 460,000 | 499,652 | ||
8.50%, 01/31/27 144A | 50,000 | 53,161 | ||
Belden, Inc. | ||||
3.38%, 07/15/27 | 950,000 | 1,032,701 | ||
Berkshire Hathaway Energy Co. | ||||
4.25%, 10/15/50 144A | 115,000 | 145,486 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 752,766 | ||
3.10%, 05/01/26 | 30,000 | 30,593 | ||
3.25%, 02/01/35 | 5,000 | 4,564 | ||
3.55%, 03/01/38 | 35,000 | 31,956 | ||
3.63%, 03/01/48 | 5,000 | 4,408 | ||
3.85%, 11/01/48 | 130,000 | 116,627 | ||
3.75%, 02/01/50 | 200,000 | 179,888 | ||
5.81%, 05/01/50 | 475,000 | 562,252 | ||
3.95%, 08/01/59 | 130,000 | 114,133 | ||
Booking Holdings, Inc. | ||||
0.90%, 09/15/21 CONV | 290,000 | 308,846 | ||
BP Capital Markets America, Inc. | ||||
3.63%, 04/06/30 | 510,000 | 579,887 |
Table of Contents
Par | Value | |||
Braskem America Finance Co. | ||||
7.13%, 07/22/41Δ | $1,640,000 | $1,685,428 | ||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30 | 375,000 | 417,034 | ||
4.70%, 06/22/47 | 65,000 | 59,212 | ||
Bristol-Myers Squibb Co. | ||||
5.00%, 08/15/45 144A | 1,120,000 | 1,565,902 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 144A | 220,000 | 248,155 | ||
4.15%, 11/15/30 144A | 380,000 | 413,800 | ||
California Resources Corporation | ||||
8.00%, 12/15/22 144A | 695,000 | 26,066 | ||
CCO Holdings LLC | ||||
5.38%, 05/01/25 144A | 270,000 | 277,453 | ||
Centene Corporation | ||||
4.75%, 01/15/25 | 30,000 | 30,752 | ||
4.63%, 12/15/29 | 700,000 | 740,250 | ||
CenturyLink, Inc. | ||||
5.63%, 04/01/25Δ | 50,000 | 51,830 | ||
Charter Communications Operating LLC | ||||
6.48%, 10/23/45 | 210,000 | 278,643 | ||
5.75%, 04/01/48 | 720,000 | 897,648 | ||
4.80%, 03/01/50 | 475,000 | 527,897 | ||
Chesapeake Energy Corporation | ||||
4.88%, 04/15/22# | 1,285,000 | 44,975 | ||
5.75%, 03/15/23# | 125,000 | 4,375 | ||
5.50%, 09/15/26 CONV # | 25,000 | 1,000 | ||
Cigna Corporation | ||||
2.40%, 03/15/30 | 310,000 | 322,069 | ||
4.80%, 08/15/38 | 280,000 | 355,462 | ||
3.20%, 03/15/40 | 150,000 | 159,475 | ||
Cincinnati Bell, Inc. | ||||
8.00%, 10/15/25 144A | 155,000 | 162,346 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 540,000 | 560,868 | ||
Citigroup, Inc. | ||||
3.50%, 05/15/23 | 655,000 | 698,165 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | 691,680 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 180,000 | 179,071 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 485,000 | 547,012 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 220,553 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | 223,667 | ||
Clarios Global LP | ||||
4.38%, 05/15/26Δ | 441,000 | 491,369 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 620,000 | 910,418 | ||
Coca-Cola Co. (The) | ||||
4.20%, 03/25/50 | 700,000 | 916,680 | ||
Colfax Corporation | ||||
3.25%, 05/15/25 | 208,000 | 232,880 | ||
Comcast Corporation | ||||
3.15%, 03/01/26 | 720,000 | 805,016 |
Par | Value | |||
3.40%, 04/01/30 | $ 130,000 | $ 148,767 | ||
4.70%, 10/15/48 | 900,000 | 1,212,524 | ||
4.95%, 10/15/58 | 210,000 | 299,590 | ||
Comstock Resources, Inc. | ||||
7.50%, 05/15/25 144A | 270,000 | 246,713 | ||
Concho Resources, Inc. | ||||
4.88%, 10/01/47 | 190,000 | 213,776 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 10,000 | 14,578 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.95%, 04/01/50 | 105,000 | 126,977 | ||
Continental Airlines Pass-Through Trust, Series 2007-1, Class A | ||||
5.98%, 04/19/22 | 163,927 | 155,389 | ||
Continental Resources, Inc. | ||||
5.00%, 09/15/22 | 27,000 | 26,565 | ||
4.50%, 04/15/23 | 265,000 | 254,143 | ||
3.80%, 06/01/24 | 160,000 | 150,030 | ||
4.90%, 06/01/44 | 270,000 | 215,572 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 551,000 | 558,518 | ||
Cummins, Inc. | ||||
5.65%, 03/01/98 | 435,000 | 515,749 | ||
CVS Health Corporation | ||||
4.10%, 03/25/25 | 1,290,000 | 1,459,837 | ||
4.13%, 04/01/40 | 105,000 | 124,374 | ||
5.05%, 03/25/48 | 345,000 | 452,655 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22 | 705,000 | 749,402 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 8,000 | 7,645 | ||
DCP Midstream Operating LP | ||||
6.75%, 09/15/37 144A Δ | 500,000 | 450,793 | ||
Deere & Co. | ||||
3.75%, 04/15/50 | 580,000 | 716,921 | ||
Dell International LLC | ||||
4.42%, 06/15/21 144A | 440,000 | 452,337 | ||
5.45%, 06/15/23 144A | 525,000 | 574,476 | ||
7.13%, 06/15/24 144A | 270,000 | 279,973 | ||
6.02%, 06/15/26 144A | 260,000 | 298,303 | ||
8.10%, 07/15/36 144A | 225,000 | 297,005 | ||
8.35%, 07/15/46 144A | 125,000 | 166,930 | ||
Delta Air Lines Pass-Through Trust, Series 2007-1, Class B | ||||
8.02%, 08/10/22 | 26,670 | 25,082 | ||
Delta Air Lines, Inc. | ||||
7.38%, 01/15/26 | 420,000 | 406,760 | ||
Diamondback Energy, Inc. | ||||
5.38%, 05/31/25 | 320,000 | 329,620 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 479,069 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 190,000 | 208,058 | ||
DISH DBS Corporation | ||||
5.00%, 03/15/23 | 490,000 | 489,517 | ||
5.88%, 11/15/24 | 575,000 | 573,111 |
Table of Contents
Par | Value | |||
7.75%, 07/01/26Δ | $1,545,000 | $1,640,589 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 900,000 | 808,737 | ||
3.38%, 08/15/26 CONV | 565,000 | 520,430 | ||
DTE Energy Co. | ||||
2.25%, 11/01/22 | 505,000 | 521,747 | ||
3.40%, 06/15/29 | 445,000 | 482,538 | ||
Edison International | ||||
4.95%, 04/15/25 | 35,000 | 38,419 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 60,000 | 65,950 | ||
8.38%, 06/15/32 | 50,000 | 66,910 | ||
Enable Midstream Partners LP | ||||
5.00%, 05/15/44 | 130,000 | 104,324 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 90,000 | 129,215 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 230,000 | 221,332 | ||
Energy Transfer Operating LP | ||||
4.95%, 06/15/28 | 200,000 | 214,917 | ||
6.25%, 04/15/49 | 250,000 | 265,390 | ||
Energy Transfer Partners LP | ||||
5.88%, 03/01/22 | 240,000 | 253,345 | ||
5.00%, 10/01/22 | 60,000 | 63,918 | ||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25 | 235,000 | 181,562 | ||
Enterprise Products Operating LLC | ||||
4.25%, 02/15/48 | 300,000 | 331,971 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30 | 100,000 | 119,542 | ||
Equitable Holdings, Inc. | ||||
5.00%, 04/20/48 | 300,000 | 343,773 | ||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 686,482 | ||
Essential Utilities, Inc. | ||||
3.35%, 04/15/50 | 150,000 | 157,111 | ||
Evergy, Inc. | ||||
2.90%, 09/15/29 | 400,000 | 427,932 | ||
Evolent Health, Inc. | ||||
2.00%, 12/01/21 CONV | 50,000 | 43,781 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 370,000 | 463,564 | ||
3.45%, 04/15/51 | 240,000 | 267,077 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 465,739 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28 | 635,000 | 706,617 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 630,000 | 921,259 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 430,000 | 434,588 | ||
4.75%, 01/15/43 | 615,000 | 487,231 | ||
Ford Motor Credit Co. LLC | ||||
1.51%, 02/17/23 | 485,000 | 513,111 | ||
(Floating, 0.70% - Euribor 3M), 0.41%, 12/01/24† | 163,000 | 154,535 |
Par | Value | |||
4.39%, 01/08/26 | $1,550,000 | $1,478,065 | ||
2.39%, 02/17/26 | 366,000 | 363,507 | ||
Fox Corporation | ||||
5.58%, 01/25/49 | 860,000 | 1,199,594 | ||
Freeport-McMoRan, Inc. | ||||
5.45%, 03/15/43 | 210,000 | 206,511 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 540,000 | 573,405 | ||
GE Capital Funding LLC | ||||
4.55%, 05/15/32 144A | 1,390,000 | 1,437,077 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 237,213 | ||
4.25%, 04/01/50 | 460,000 | 598,065 | ||
General Electric Co. | ||||
3.15%, 09/07/22 | 70,000 | 73,337 | ||
6.75%, 03/15/32 | 20,000 | 24,352 | ||
5.88%, 01/14/38 | 300,000 | 338,990 | ||
6.88%, 01/10/39 | 120,000 | 147,583 | ||
4.25%, 05/01/40 | 170,000 | 169,501 | ||
4.50%, 03/11/44 | 70,000 | 70,104 | ||
4.35%, 05/01/50 | 380,000 | 376,445 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 360,000 | 389,543 | ||
6.13%, 10/01/25 | 380,000 | 427,478 | ||
6.25%, 10/02/43 | 85,000 | 90,440 | ||
5.20%, 04/01/45 | 265,000 | 257,024 | ||
General Motors Financial Co., Inc. | ||||
(Floating, 0.68% - Euribor 3M), 0.42%, 05/10/21† | 218,000 | 240,827 | ||
3.45%, 04/10/22 | 155,000 | 158,084 | ||
0.96%, 09/07/23 | 415,000 | 446,774 | ||
5.10%, 01/17/24 | 150,000 | 160,436 | ||
5.25%, 03/01/26 | 315,000 | 343,542 | ||
3.60%, 06/21/30 | 810,000 | 789,979 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24Δ | 290,000 | 228,910 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31 | 305,000 | 489,121 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 838,596 | ||
Global Marine, Inc. | ||||
7.00%, 06/01/28 | 25,000 | 11,578 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/03/20† ρ | 40,000 | 33,730 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 325,000 | 364,293 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 340,000 | 384,617 | ||
6.75%, 10/01/37 | 180,000 | 262,357 | ||
5.15%, 05/22/45 | 810,000 | 1,069,687 | ||
Goodyear Tire & Rubber Co. (The) | ||||
4.88%, 03/15/27 | 420,000 | 386,558 | ||
7.00%, 03/15/28 | 350,000 | 348,859 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 109,737 |
Table of Contents
Par | Value | |||
4.88%, 05/15/26 144A Δ | $560,000 | $565,496 | ||
HCA, Inc. | ||||
5.00%, 03/15/24 | 40,000 | 44,483 | ||
5.38%, 02/01/25 | 20,000 | 21,481 | ||
5.25%, 06/15/26 | 360,000 | 416,417 | ||
5.38%, 09/01/26 | 28,000 | 30,554 | ||
4.50%, 02/15/27 | 320,000 | 357,080 | ||
7.05%, 12/01/27 | 15,000 | 16,823 | ||
3.50%, 09/01/30 | 250,000 | 241,098 | ||
7.50%, 11/06/33 | 105,000 | 127,949 | ||
7.75%, 07/15/36 | 65,000 | 76,700 | ||
5.25%, 06/15/49 | 295,000 | 354,275 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 275,000 | 277,906 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 128,050 | ||
Hilton Worldwide Finance LLC | ||||
4.63%, 04/01/25 | 180,000 | 176,644 | ||
4.88%, 04/01/27 | 520,000 | 508,854 | ||
Home Depot, Inc. (The) | ||||
3.30%, 04/15/40 | 150,000 | 169,004 | ||
3.35%, 04/15/50 | 560,000 | 642,937 | ||
Intel Corporation | ||||
4.75%, 03/25/50 | 560,000 | 793,035 | ||
4.95%, 03/25/60 | 160,000 | 236,263 | ||
International Business Machines Corporation | ||||
4.25%, 05/15/49 | 160,000 | 204,083 | ||
International Lease Finance Corporation | ||||
4.63%, 04/15/21 | 155,000 | 156,674 | ||
IQVIA, Inc. | ||||
2.25%, 01/15/28 | 800,000 | 865,685 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 220,000 | 236,363 | ||
J.C. Penney Corporation, Inc. | ||||
6.38%, 10/15/36# | 240,000 | 2,400 | ||
7.63%, 03/01/97# | 405,000 | 8,100 | ||
Jefferies Group LLC | ||||
5.13%, 01/20/23 | 155,000 | 168,331 | ||
6.45%, 06/08/27 | 20,000 | 23,483 | ||
6.25%, 01/15/36 | 570,000 | 653,714 | ||
6.50%, 01/20/43 | 260,000 | 302,914 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 380,000 | 366,153 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | 190,000 | 194,292 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28^ | 250,000 | 297,161 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 105,000 | 128,262 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 210,000 | 222,266 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | 302,916 | ||
(Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | 271,037 |
Par | Value | |||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | $ 460,000 | $ 497,763 | ||
Kinder Morgan Energy Partners LP | ||||
4.15%, 02/01/24 | 375,000 | 407,021 | ||
6.50%, 02/01/37 | 40,000 | 50,211 | ||
6.95%, 01/15/38 | 50,000 | 67,158 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 95,000 | 107,803 | ||
7.75%, 01/15/32 | 560,000 | 783,665 | ||
5.55%, 06/01/45 | 400,000 | 488,984 | ||
Kraft Heinz Foods Co. | ||||
3.75%, 04/01/30 144A | 350,000 | 361,687 | ||
4.38%, 06/01/46 | 515,000 | 507,070 | ||
4.88%, 10/01/49 144A | 385,000 | 392,661 | ||
Kroger Co. (The) | ||||
5.40%, 01/15/49 | 75,000 | 105,274 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 620,000 | 817,071 | ||
Lamb Weston Holdings, Inc. | ||||
4.88%, 11/01/26 144A | 1,020,000 | 1,058,061 | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 720,000 | 782,784 | ||
LifePoint Health, Inc. | ||||
4.38%, 02/15/27 144A | 230,000 | 217,925 | ||
Lions Gate Capital Holdings LLC | ||||
5.88%, 11/01/24 144A | 360,000 | 345,112 | ||
Lockheed Martin Corporation | ||||
3.80%, 03/01/45 | 780,000 | 948,712 | ||
Lowe's Cos., Inc. | ||||
5.00%, 04/15/40 | 230,000 | 300,890 | ||
5.13%, 04/15/50 | 100,000 | 137,066 | ||
Marathon Oil Corporation | ||||
4.40%, 07/15/27 | 340,000 | 334,714 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 380,000 | 425,852 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 79,615 | ||
6.50%, 08/15/32 | 27,000 | 32,881 | ||
Mastercard, Inc. | ||||
3.85%, 03/26/50 | 850,000 | 1,062,398 | ||
Match Group, Inc. | ||||
5.00%, 12/15/27 144A | 560,000 | 584,702 | ||
Mauser Packaging Solutions Holding Co. | ||||
4.75%, 04/15/24 | 1,085,000 | 1,191,103 | ||
MBIA Insurance Corporation | ||||
12.48%, 01/15/33 144A | 215,000 | 88,150 | ||
McDonald’s Corporation | ||||
3.60%, 07/01/30 | 155,000 | 178,691 | ||
3.63%, 09/01/49 | 50,000 | 55,114 | ||
4.20%, 04/01/50 | 490,000 | 596,780 | ||
Michaels Stores, Inc. | ||||
8.00%, 07/15/27 144A Δ | 70,000 | 61,018 | ||
Microchip Technology, Inc. | ||||
4.33%, 06/01/23 | 375,000 | 404,861 | ||
1.63%, 02/15/25 CONV | 145,000 | 323,815 |
Table of Contents
Par | Value | |||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | $ 375,000 | $ 376,875 | ||
MMS USA Investments, Inc. | ||||
1.75%, 06/13/31 | 600,000 | 645,781 | ||
Morgan Stanley | ||||
5.75%, 01/25/21 | 105,000 | 108,148 | ||
3.13%, 08/05/21 | 535,000 | 402,696 | ||
4.10%, 05/22/23 | 190,000 | 205,421 | ||
6.25%, 08/09/26 | 205,000 | 262,564 | ||
4.35%, 09/08/26 | 475,000 | 548,165 | ||
3.95%, 04/23/27 | 65,000 | 73,222 | ||
(Variable, ICE LIBOR USD 3M + 1.34%), 3.59%, 07/22/28^ | 625,000 | 703,685 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 105,000 | 120,200 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 120,000 | 183,361 | ||
MPLX LP | ||||
4.50%, 07/15/23 | 15,000 | 16,132 | ||
6.38%, 05/01/24 | 140,000 | 144,582 | ||
4.88%, 06/01/25 | 40,000 | 44,698 | ||
4.70%, 04/15/48 | 350,000 | 353,851 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23 | 350,000 | 433,052 | ||
5.00%, 10/15/27 | 1,000,000 | 1,030,655 | ||
4.63%, 08/01/29 | 240,000 | 241,613 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 771,033 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28 | 225,000 | 258,678 | ||
Nationstar Mortgage Holdings, Inc. | ||||
9.13%, 07/15/26 144A | 210,000 | 222,271 | ||
Nationwide Mutual Insurance Co. | ||||
4.35%, 04/30/50 144A | 940,000 | 1,005,083 | ||
Navient Corporation | ||||
5.50%, 01/25/23 | 865,000 | 832,022 | ||
6.13%, 03/25/24 | 750,000 | 714,836 | ||
5.88%, 10/25/24 | 70,000 | 65,975 | ||
6.75%, 06/15/26 | 190,000 | 176,190 | ||
5.00%, 03/15/27 | 5,000 | 4,211 | ||
5.63%, 08/01/33 | 20,000 | 15,458 | ||
Netflix, Inc. | ||||
3.63%, 05/15/27 | 417,000 | 489,118 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 320,000 | 331,136 | ||
Newfield Exploration Co. | ||||
5.63%, 07/01/24 | 480,000 | 459,065 | ||
Newmont Corporation | ||||
4.88%, 03/15/42 | 290,000 | 374,807 | ||
NGL Energy Partners LP | ||||
7.50%, 11/01/23 | 165,000 | 137,464 | ||
6.13%, 03/01/25 | 375,000 | 284,492 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 430,000 | 443,813 | ||
7.77%, 12/15/37 144A | 200,000 | 244,729 | ||
NIKE, Inc. | ||||
3.38%, 03/27/50 | 120,000 | 139,116 |
Par | Value | |||
Noble Holding International, Ltd. | ||||
7.88%, 02/01/26 144A | $ 105,000 | $ 27,674 | ||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | 160,000 | 169,170 | ||
Nuance Communications, Inc. | ||||
1.25%, 04/01/25 CONV | 70,000 | 97,948 | ||
1.00%, 12/15/35 CONV | 695,000 | 822,528 | ||
NVIDIA Corporation | ||||
3.50%, 04/01/50 | 920,000 | 1,057,195 | ||
3.70%, 04/01/60 | 280,000 | 334,690 | ||
Oasis Petroleum, Inc. | ||||
6.88%, 01/15/23Δ | 50,000 | 8,500 | ||
Occidental Petroleum Corporation | ||||
3.20%, 08/15/26 | 375,000 | 306,328 | ||
3.50%, 08/15/29 | 665,000 | 487,578 | ||
4.50%, 07/15/44 | 215,000 | 149,291 | ||
Old Republic International Corporation | ||||
4.88%, 10/01/24 | 265,000 | 286,924 | ||
ON Semiconductor Corporation | ||||
1.00%, 12/01/20 CONV | 325,000 | 379,408 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 35,000 | 38,020 | ||
6.20%, 09/15/43 | 15,000 | 16,143 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 295,454 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 85,000 | 100,607 | ||
3.60%, 04/01/50 | 220,000 | 245,983 | ||
3.85%, 04/01/60 | 115,000 | 135,338 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 669,681 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A | 755,000 | 765,302 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 498,539 | ||
Penske Truck Leasing Co. LP | ||||
4.00%, 07/15/25 144A | 290,000 | 317,405 | ||
PepsiCo, Inc. | ||||
3.63%, 03/19/50 | 190,000 | 229,341 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 110,000 | 117,564 | ||
3.55%, 12/15/29 | 1,030,000 | 1,005,479 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 610,000 | 625,314 | ||
Procter & Gamble Co. (The) | ||||
3.00%, 03/25/30 | 80,000 | 91,708 | ||
3.55%, 03/25/40 | 170,000 | 204,842 | ||
3.60%, 03/25/50 | 170,000 | 214,246 | ||
Prudential Financial, Inc. | ||||
3.70%, 03/13/51 | 225,000 | 247,188 | ||
PulteGroup, Inc. | ||||
6.00%, 02/15/35 | 95,000 | 109,829 | ||
QEP Resources, Inc. | ||||
5.38%, 10/01/22 | 160,000 | 122,162 |
Table of Contents
Par | Value | |||
5.25%, 05/01/23 | $755,000 | $ 500,659 | ||
Quicken Loans LLC | ||||
5.75%, 05/01/25 144A | 835,000 | 855,787 | ||
5.25%, 01/15/28 144A | 90,000 | 93,131 | ||
Radian Group, Inc. | ||||
4.50%, 10/01/24 | 75,000 | 72,648 | ||
4.88%, 03/15/27 | 45,000 | 42,432 | ||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A Δ | 440,000 | 415,800 | ||
Range Resources Corporation | ||||
5.00%, 08/15/22 | 265,000 | 241,978 | ||
5.00%, 03/15/23 | 795,000 | 686,176 | ||
4.88%, 05/15/25Δ | 120,000 | 90,975 | ||
Reliance Holding USA, Inc. | ||||
4.50%, 10/19/20 144A | 540,000 | 544,328 | ||
Seagate HDD Cayman | ||||
4.88%, 06/01/27 | 63,000 | 68,423 | ||
4.09%, 06/01/29 144A | 68,057 | 71,472 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 714,622 | ||
Service Properties Trust REIT | ||||
4.50%, 06/15/23 | 20,000 | 19,156 | ||
4.65%, 03/15/24Δ | 15,000 | 13,565 | ||
4.35%, 10/01/24 | 80,000 | 72,145 | ||
4.75%, 10/01/26 | 10,000 | 8,854 | ||
4.95%, 02/15/27 | 40,000 | 35,133 | ||
3.95%, 01/15/28 | 10,000 | 8,065 | ||
ServiceMaster Co. LLC (The) | ||||
7.45%, 08/15/27 | 600,000 | 651,456 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 120,000 | 111,947 | ||
5.00%, 01/15/24 | 25,000 | 13,591 | ||
6.75%, 09/15/26 | 40,000 | 20,258 | ||
6.63%, 01/15/27 | 135,000 | 66,542 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 1,033,889 | ||
Southwestern Energy Co. | ||||
6.20%, 01/23/25 | 145,000 | 124,607 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 570,000 | 586,749 | ||
5.00%, 10/01/29 144A | 90,000 | 89,195 | ||
Springleaf Finance Corporation | ||||
6.13%, 05/15/22 | 585,000 | 597,580 | ||
8.25%, 10/01/23 | 30,000 | 32,209 | ||
6.88%, 03/15/25 | 265,000 | 272,487 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 550,000 | 787,738 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 552,473 | ||
Standard Industries, Inc. | ||||
2.25%, 11/21/26 | 500,000 | 532,255 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 640,000 | 651,184 | ||
Targa Resources Partners LP | ||||
6.75%, 03/15/24 | 530,000 | 530,326 | ||
5.13%, 02/01/25Δ | 40,000 | 38,625 | ||
5.88%, 04/15/26 | 620,000 | 615,251 |
Par | Value | |||
5.38%, 02/01/27 | $ 40,000 | $ 38,693 | ||
5.50%, 03/01/30 144A | 280,000 | 270,637 | ||
Tenet Healthcare Corporation | ||||
6.75%, 06/15/23 | 145,000 | 144,058 | ||
5.13%, 05/01/25 | 410,000 | 396,146 | ||
6.88%, 11/15/31 | 160,000 | 142,170 | ||
Tenneco, Inc. | ||||
4.88%, 04/15/22 | 400,000 | 428,871 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 140,000 | 142,449 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 42,354 | ||
4.50%, 09/15/42 | 55,000 | 58,641 | ||
T-Mobile USA, Inc. | ||||
3.88%, 04/15/30 144A | 420,000 | 468,231 | ||
4.38%, 04/15/40 144A | 100,000 | 116,110 | ||
4.50%, 04/15/50 144A | 360,000 | 429,383 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 144A | 320,000 | 342,446 | ||
TransDigm, Inc. | ||||
6.50%, 07/15/24 | 104,000 | 99,569 | ||
6.50%, 05/15/25 | 100,000 | 93,770 | ||
Transocean Proteus, Ltd. | ||||
6.25%, 12/01/24 144A | 520,000 | 481,000 | ||
Transocean, Inc. | ||||
5.80%, 10/15/22Δ | 220,000 | 119,900 | ||
7.50%, 04/15/31 | 30,000 | 8,850 | ||
6.80%, 03/15/38Δ | 215,000 | 65,025 | ||
UAL Pass-Through Trust, Series 2007-1 | ||||
6.64%, 07/02/22 | 60,289 | 52,194 | ||
UGI International LLC | ||||
3.25%, 11/01/25 | 228,000 | 253,596 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 90,474 | 83,217 | ||
United Airlines Pass-Through Trust, Series 2014-2, Class B | ||||
4.63%, 09/03/22 | 52,279 | 46,142 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 78,588 | 58,454 | ||
United Rentals North America, Inc. | ||||
4.63%, 10/15/25 | 110,000 | 110,767 | ||
6.50%, 12/15/26 | 110,000 | 115,709 | ||
4.88%, 01/15/28 | 50,000 | 51,328 | ||
5.25%, 01/15/30 | 410,000 | 424,274 | ||
United States Steel Corporation | ||||
6.65%, 06/01/37 | 280,000 | 183,203 | ||
UnitedHealth Group, Inc. | ||||
4.25%, 06/15/48 | 70,000 | 89,635 | ||
4.45%, 12/15/48 | 30,000 | 39,383 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 90,969 | 83,857 |
Table of Contents
Par | Value | |||
US Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | $ 75,353 | $ 63,989 | ||
Verizon Communications, Inc. | ||||
4.00%, 03/22/50 | 610,000 | 783,893 | ||
ViacomCBS, Inc. | ||||
4.95%, 05/19/50 | 815,000 | 911,457 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 90,000 | 53,792 | ||
Vine Oil & Gas LP | ||||
9.75%, 04/15/23 144A | 30,000 | 18,450 | ||
Visa, Inc. | ||||
2.05%, 04/15/30 | 140,000 | 147,018 | ||
2.70%, 04/15/40 | 720,000 | 772,767 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 208,548 | ||
Volkswagen Group of America Finance LLC | ||||
3.35%, 05/13/25 144A | 625,000 | 667,774 | ||
Walt Disney Co. (The) | ||||
4.70%, 03/23/50 | 295,000 | 381,977 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24 | 90,000 | 99,978 | ||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | 177,030 | ||
1.00%, 02/02/27 | 400,000 | 453,518 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 2.57%, 02/11/31^ | 455,000 | 476,697 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 230,338 | ||
(Variable, ICE LIBOR USD 3M + 4.24%), 5.01%, 04/04/51^ | 665,000 | 927,102 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 170,000 | 160,656 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 106,191 | ||
7.95%, 02/15/31 | 25,000 | 35,618 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 205,000 | 259,340 | ||
6.95%, 10/01/27 | 30,000 | 36,342 | ||
7.38%, 03/15/32 | 190,000 | 263,162 | ||
6.88%, 12/15/33 | 250,000 | 329,253 | ||
Whirlpool Corporation | ||||
4.60%, 05/15/50 | 280,000 | 320,128 | ||
Whiting Petroleum Corporation | ||||
5.75%, 03/15/21# | 215,000 | 41,656 | ||
6.25%, 04/01/23# | 370,000 | 65,444 | ||
6.63%, 01/15/26# | 165,000 | 29,580 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 51,282 | ||
5.75%, 06/24/44 | 320,000 | 371,107 | ||
WMG Acquisition Corporation | ||||
3.63%, 10/15/26 | 635,000 | 738,952 | ||
WPX Energy, Inc. | ||||
4.50%, 01/15/30 | 590,000 | 520,348 |
Par | Value | |||
XPO Logistics, Inc. | ||||
6.50%, 06/15/22 144A | $ 10,000 | $ 10,035 | ||
6.13%, 09/01/23 144A | 350,000 | 355,287 | ||
Total Corporate Bonds (Cost $141,787,032) | 147,101,791 | |||
FOREIGN BONDS — 37.4% | ||||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
9.50%, 11/12/25Δ | 200,000 | 180,919 | ||
9.38%, 05/08/48 | 200,000 | 163,572 | ||
344,491 | ||||
Argentina — 0.4% | ||||
Argentine Bonos del Tesoro | ||||
18.20%, 10/03/21(ZA) | 65,390,000 | 761,486 | ||
Argentine Republic Government International Bond | ||||
6.88%, 04/22/21 | 310,000 | 129,774 | ||
7.50%, 04/22/26 | 610,000 | 248,081 | ||
5.88%, 01/11/28 | 930,000 | 372,521 | ||
7.63%, 04/22/46 | 680,000 | 266,087 | ||
Bonos del Tesoro Nacional en Pesos Badlar | ||||
(Floating, Argentina Deposit Rates Badlar Private Banks 30-35 Days + 2.00%), 31.59%, 04/03/22(ZA) † | 22,940,000 | 333,318 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 560,000 | 233,806 | ||
YPF SA | ||||
16.50%, 05/09/22(ZA) | 450,000 | 4,279 | ||
2,349,352 | ||||
Armenia — 0.0% | ||||
Republic of Armenia International Bond | ||||
3.95%, 09/26/29 | 200,000 | 193,986 | ||
Australia — 0.2% | ||||
Westfield America Management, Ltd. REIT | ||||
2.63%, 03/30/29(U) | 730,000 | 882,041 | ||
Austria — 0.2% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 405,542 | ||
5.00%, 01/15/30 | 730,000 | 740,629 | ||
1,146,171 | ||||
Azerbaijan — 0.2% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 587,840 | ||
State Oil Co. of the Azerbaijan Republic | ||||
4.75%, 03/13/23 | 400,000 | 417,281 | ||
1,005,121 |
Table of Contents
Par | Value | |||
Belgium — 0.2% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) | $ 500,000 | $ 574,535 | ||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 250,000 | 247,827 | ||
Solvay SA | ||||
(Variable, EUR Swap Rate 5Y + 3.92%), 4.25%, 12/04/23(E) ρ ^ | 200,000 | 232,446 | ||
1,054,808 | ||||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27 | 200,000 | 214,000 | ||
4.75%, 02/15/29Δ | 200,000 | 225,912 | ||
439,912 | ||||
Brazil — 1.0% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 160,000 | 161,571 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 12,283,000 | 2,568,360 | ||
10.00%, 01/01/27(B) | 927,000 | 201,341 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 571,886 | ||
5.63%, 01/07/41 | 100,000 | 104,500 | ||
CSN Resources SA | ||||
7.63%, 04/17/26Δ | 200,000 | 174,250 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 709,175 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A Δ | 420,000 | 435,150 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 200,000 | 262,159 | ||
Vale SA | ||||
3.75%, 01/10/23(E) | 750,000 | 873,603 | ||
6,061,995 | ||||
Canada — 1.6% | ||||
1011778 BC ULC | ||||
5.00%, 10/15/25 144A | 20,000 | 19,916 | ||
3.88%, 01/15/28 144A | 720,000 | 699,739 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 40,000 | 43,136 | ||
Baytex Energy Corporation | ||||
5.63%, 06/01/24 144A | 60,000 | 36,819 | ||
Bombardier, Inc. | ||||
6.00%, 10/15/22 144A | 605,000 | 428,007 | ||
7.88%, 04/15/27 144A Δ | 230,000 | 151,038 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 5,000,000 | 3,832,462 |
Par | Value | |||
Canadian Natural Resources, Ltd. | ||||
4.95%, 06/01/47 | $ 115,000 | $ 127,335 | ||
First Quantum Minerals, Ltd. | ||||
7.50%, 04/01/25 144A | 350,000 | 335,690 | ||
6.88%, 03/01/26 144A Δ | 300,000 | 284,945 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 382,338 | ||
MEG Energy Corporation | ||||
7.00%, 03/31/24 144A Δ | 172,000 | 147,938 | ||
7.13%, 02/01/27 144A | 1,310,000 | 1,092,213 | ||
Open Text Corporation | ||||
3.88%, 02/15/28 144A | 190,000 | 183,261 | ||
Province of Ontario Generic Residual STRIP | ||||
2.97%, 07/13/22(C) Ω | 1,300,000 | 945,200 | ||
2.91%, 03/08/29(C) Ω | 1,200,000 | 781,874 | ||
9,491,911 | ||||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 235,956 | ||
China — 0.4% | ||||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 252,487 | ||
Chinalco Capital Holdings, Ltd. | ||||
(Variable, 5.79% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.10%, 09/11/24ρ ^ | 200,000 | 201,970 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 204,500 | ||
Huarong Finance 2017 Co., Ltd. | ||||
(Variable, 7.77% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.50%, 01/24/22ρ ^ | 200,000 | 201,495 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 220,000 | 206,609 | ||
4.50%, 03/15/23 144A | 190,000 | 173,443 | ||
5.50%, 02/15/24 144A | 830,000 | 759,922 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 269,822 | ||
2,270,248 | ||||
Colombia — 0.9% | ||||
Colombia Government International Bond | ||||
4.50%, 03/15/29 | 300,000 | 330,618 | ||
3.00%, 01/30/30 | 215,000 | 213,363 | ||
5.63%, 02/26/44 | 3,170,000 | 3,817,615 | ||
5.00%, 06/15/45 | 200,000 | 227,359 | ||
Colombian TES | ||||
10.00%, 07/24/24(X) | 23,100,000 | 7,573 |
Table of Contents
Par | Value | |||
Ecopetrol SA | ||||
5.88%, 09/18/23Δ | $140,000 | $ 150,310 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 600,000 | 605,256 | ||
5,352,094 | ||||
Costa Rica — 0.1% | ||||
Costa Rica Government International Bond | ||||
7.16%, 03/12/45Δ | 340,000 | 285,175 | ||
Croatia — 0.1% | ||||
Croatia Government International Bond | ||||
1.13%, 06/19/29(E) | 200,000 | 223,234 | ||
1.50%, 06/17/31(E) | 200,000 | 225,163 | ||
448,397 | ||||
Denmark — 0.2% | ||||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) | 530,000 | 594,493 | ||
Orsted A/S | ||||
(Variable, EUR Swap Rate 5Y + 4.75%), 6.25%, 06/26/13(E) α ^ | 315,000 | 402,672 | ||
997,165 | ||||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
6.00%, 07/19/28 | 150,000 | 151,434 | ||
6.85%, 01/27/45Δ | 220,000 | 211,970 | ||
363,404 | ||||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
8.88%, 10/23/27 | 260,000 | 110,175 | ||
Egypt — 0.2% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 | 600,000 | 613,170 | ||
6.38%, 04/11/31(E) | 350,000 | 365,206 | ||
7.90%, 02/21/48 | 200,000 | 185,621 | ||
1,163,997 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | 150,000 | 122,775 | ||
France — 2.3% | ||||
3AB Optique Developpement SAS | ||||
4.00%, 10/01/23(E) 144A | 100,000 | 108,939 | ||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 200,000 | 184,910 |
Par | Value | |||
Altice France SA | ||||
7.38%, 05/01/26 144A | $ 790,000 | $ 824,641 | ||
3.38%, 01/15/28(E) | 1,700,000 | 1,812,592 | ||
Arkema SA | ||||
(Variable, 2.87% - EUR Swap Rate 5Y), 2.75%, 06/17/24(E) ρ ^ | 400,000 | 450,921 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 482,000 | 487,617 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ ^ | 1,070,000 | 1,173,731 | ||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 600,000 | 722,366 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 325,931 | ||
(Variable, U.S. SOFR + 1.51%), 3.05%, 01/13/31 144A ^ | 625,000 | 659,127 | ||
Burger King France SAS | ||||
(Floating, 5.25% - Euribor 3M), 5.25%, 05/01/23(E) 144A † | 130,000 | 140,328 | ||
6.00%, 05/01/24(E) 144A | 120,000 | 135,324 | ||
Casino Guichard Perrachon SA | ||||
5.98%, 05/26/21(E) Δ | 500,000 | 569,661 | ||
4.56%, 01/25/23(E) | 200,000 | 215,899 | ||
4.05%, 08/05/26(E) | 700,000 | 669,466 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 430,000 | 475,955 | ||
Credit Agricole SA | ||||
(Variable, EUR Swap Rate 5Y + 5.12%), 6.50%, 06/23/21(E) ρ ^ | 300,000 | 344,033 | ||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 3.96%), 6.00%, 01/29/26(U) ρ ^ | 300,000 | 393,641 | ||
Elis SA | ||||
2.88%, 02/15/26(E) | 100,000 | 111,432 | ||
1.63%, 04/03/28(E) | 400,000 | 409,721 | ||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | 300,000 | 301,660 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) | 575,000 | 488,457 | ||
Loxam SAS | ||||
5.75%, 07/15/27(E) Δ | 795,000 | 709,773 | ||
Novafives SAS | ||||
5.00%, 06/15/25(E) | 640,000 | 501,111 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 700,000 | 754,010 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) | 385,000 | 392,645 |
Table of Contents
Par | Value | |||
Picard Groupe SAS | ||||
(Floating, 3.00% - Euribor 3M), 3.00%, 11/30/23(E) † | $ 394,000 | $ 426,861 | ||
13,790,752 | ||||
Germany — 1.6% | ||||
Bertelsmann SE & Co. KGaA | ||||
(Variable, EUR Swap Rate 5Y + 3.21%), 3.50%, 04/23/75(E) ^ | 200,000 | 224,058 | ||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 939,615 | ||
CeramTec BondCo GmbH | ||||
5.25%, 12/15/25(E) | 860,000 | 945,938 | ||
EnBW Energie Baden-Wuerttemberg AG | ||||
(Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) Δ ^ | 135,000 | 156,385 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 325,000 | 360,391 | ||
Infineon Technologies AG | ||||
(Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ Δ ^ | 500,000 | 561,343 | ||
K+S AG | ||||
4.13%, 12/06/21(E) | 200,000 | 222,273 | ||
KME SE | ||||
6.75%, 02/01/23(E) 144A | 480,000 | 365,637 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 357,810 | ||
5.38%, 06/15/23(E) | 800,000 | 841,906 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 725,000 | 653,085 | ||
Techem Verwaltungsgesellschaft 674 mbH | ||||
6.00%, 07/30/26(E) | 1,035,000 | 1,193,347 | ||
thyssenkrupp AG | ||||
1.38%, 03/03/22(E) | 224,000 | 245,339 | ||
Vertical Holdco GmbH | ||||
6.63%, 07/15/28(E) 144A | 270,000 | 270,000 | ||
Vertical Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 350,000 | ||
Volkswagen Bank GmbH | ||||
1.25%, 06/10/24(E) | 100,000 | 112,422 | ||
1.25%, 12/15/25(E) | 1,660,000 | 1,853,288 | ||
9,652,837 | ||||
Ghana — 0.2% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | 640,000 | 606,848 | ||
10.75%, 10/14/30 | 200,000 | 241,078 | ||
10.75%, 10/14/30 144A | 340,000 | 409,833 | ||
7.88%, 02/11/35 | 200,000 | 182,000 | ||
1,439,759 | ||||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 21,063 |
Par | Value | |||
Indonesia — 2.4% | ||||
Indonesia Government International Bond | ||||
0.90%, 02/14/27(E) | $ 100,000 | $ 107,013 | ||
4.75%, 02/11/29 | 200,000 | 232,271 | ||
5.25%, 01/17/42 144A | 1,940,000 | 2,406,141 | ||
5.25%, 01/17/42 | 630,000 | 781,376 | ||
4.20%, 10/15/50 | 2,730,000 | 3,057,980 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 21,835,000,000 | 1,533,112 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,683,148 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28 | 200,000 | 230,719 | ||
14,031,760 | ||||
Ireland — 0.3% | ||||
AerCap Ireland Capital DAC | ||||
3.50%, 05/26/22 | 150,000 | 148,533 | ||
4.50%, 09/15/23 | 220,000 | 220,188 | ||
4.45%, 10/01/25 | 400,000 | 384,583 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 258,311 | ||
4.42%, 11/15/35 | 369,000 | 375,600 | ||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) | 500,000 | 499,848 | ||
1,887,063 | ||||
Israel — 0.3% | ||||
Israel Government International Bond | ||||
3.38%, 01/15/50 | 200,000 | 219,920 | ||
3.88%, 07/03/50 | 510,000 | 607,593 | ||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 800,000 | 828,692 | ||
1,656,205 | ||||
Italy — 3.8% | ||||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 504,000 | 513,390 | ||
Intesa Sanpaolo SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.88%), 7.00%, 01/19/21(E) ρ ^ | 550,000 | 616,646 | ||
Italy Buoni Poliennali Del Tesoro | ||||
0.35%, 02/01/25(E) | 5,343,000 | 5,937,615 | ||
2.05%, 08/01/27(E) | 2,870,000 | 3,460,791 | ||
1.35%, 04/01/30(E) | 780,000 | 887,258 | ||
3.45%, 03/01/48(E) 144A | 3,700,000 | 5,254,177 | ||
Rossini S.a.r.l. | ||||
6.75%, 10/30/25(E) | 705,000 | 847,417 | ||
Sisal Pay SpA | ||||
(Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 455,000 | 496,879 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 360,000 | 406,733 | ||
6.00%, 09/30/34 | 105,000 | 114,440 | ||
Telecom Italia Finance SA | ||||
7.75%, 01/24/33(E) | 650,000 | 1,023,862 |
Table of Contents
Par | Value | |||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | $ 340,000 | $ 355,873 | ||
3.63%, 05/25/26(E) | 385,000 | 452,830 | ||
UniCredit SpA | ||||
(Variable, EUR Swap Rate 5Y + 6.39%), 6.63%, 06/03/23(E) ρ Δ ^ | 1,120,000 | 1,237,340 | ||
(Variable, USD ICE Swap Rate 5Y + 4.75%), 5.46%, 06/30/35 144A ^ | 740,000 | 747,436 | ||
22,352,687 | ||||
Ivory Coast — 0.2% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | 150,000 | 157,493 | ||
5.75%, 12/31/32 STEP | 166,000 | 164,107 | ||
5.75%, 12/31/32 144A STEP | 406,700 | 402,062 | ||
6.13%, 06/15/33Δ | 200,000 | 200,092 | ||
923,754 | ||||
Japan — 0.7% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 214,000,000 | 2,005,817 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 45,000,000 | 430,690 | ||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) Δ | 805,000 | 941,634 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
3.38%, 07/09/60 | 540,000 | 542,159 | ||
3,920,300 | ||||
Jersey — 0.3% | ||||
Avis Budget Finance Plc | ||||
4.75%, 01/30/26(E) | 200,000 | 175,027 | ||
Delphi Technologies PLC | ||||
5.00%, 10/01/25 144A | 210,000 | 225,918 | ||
Glencore Finance Europe, Ltd. | ||||
2.75%, 04/01/21(E) | 505,000 | 571,720 | ||
LHC3 PLC | ||||
Cash Coupon 4.13% or PIK 4.88%, 4.13%, 08/15/24(E) | 540,000 | 610,027 | ||
1,582,692 | ||||
Kazakhstan — 0.3% | ||||
Kazakhstan Government International Bond | ||||
6.50%, 07/21/45 | 200,000 | 296,947 | ||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 567,562 | ||
5.38%, 04/24/30 | 300,000 | 340,538 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 680,589 | ||
1,885,636 | ||||
Kenya — 0.0% | ||||
Kenya Government International Bond | ||||
8.00%, 05/22/32Δ | 200,000 | 198,064 |
Par | Value | |||
Luxembourg — 0.8% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | $ 679,000 | $ 699,085 | ||
Altice France Holding SA | ||||
8.00%, 05/15/27(E) | 1,115,000 | 1,325,591 | ||
ArcelorMittal SA | ||||
7.25%, 10/15/39 | 260,000 | 311,046 | ||
7.00%, 03/01/41 | 350,000 | 409,819 | ||
ARD Finance SA | ||||
Cash Coupon 5.00% or PIK 5.75%, 5.00%, 06/30/27(E) | 400,000 | 433,449 | ||
Eurofins Scientific SE | ||||
(Variable, 7.01% - Euribor 3M), 4.88%, 04/29/23(E) ρ ^ | 560,000 | 656,222 | ||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) | 700,000 | 724,179 | ||
4,559,391 | ||||
Mexico — 2.5% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.04%), 6.88%, 07/06/22 144A ρ ^ | 260,000 | 248,117 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 325,000 | 305,968 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 635,840 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 588,322 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 20,808,900 | 998,242 | ||
10.00%, 12/05/24(M) | 15,794,700 | 827,493 | ||
7.50%, 06/03/27(M) | 139,360,700 | 6,759,186 | ||
8.50%, 05/31/29(M) | 1,002,900 | 51,692 | ||
7.75%, 05/29/31(M) | 1,504,300 | 74,025 | ||
7.75%, 11/13/42(M) | 45,250,000 | 2,152,262 | ||
Mexico City Airport Trust | ||||
5.50%, 07/31/47 | 200,000 | 177,859 | ||
Mexico Government International Bond | ||||
5.75%, 10/12/10« | 360,000 | 401,146 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 1,214,736 | ||
Petroleos Mexicanos | ||||
5.95%, 01/28/31 144A | 40,000 | 33,058 | ||
7.69%, 01/23/50 | 390,000 | 326,217 | ||
14,794,163 |
Table of Contents
Par | Value | |||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24Δ | $ 200,000 | $ 215,992 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A Δ | 350,000 | 378,283 | ||
4.50%, 10/22/25 144A | 320,000 | 334,360 | ||
712,643 | ||||
Netherlands — 3.2% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 540,000 | 684,364 | ||
CBR Fashion Finance BV | ||||
5.13%, 10/01/22(E) | 640,000 | 623,319 | ||
Cooperatieve Rabobank UA | ||||
(Variable, 6.70% - EUR Swap Rate 5Y), 6.63%, 06/29/21(E) ρ ^ | 600,000 | 694,798 | ||
5.75%, 12/01/43 | 630,000 | 908,802 | ||
Diamond BC BV | ||||
5.63%, 08/15/25(E) | 124,000 | 132,731 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) Δ | 362,000 | 318,163 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 287,417 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 115,513 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 380,000 | 402,360 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 325,000 | 335,810 | ||
(Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | 122,983 | ||
LKQ European Holdings BV | ||||
4.13%, 04/01/28(E) | 700,000 | 824,046 | ||
LYB International Finance II BV | ||||
0.88%, 09/17/26(E) | 395,000 | 426,381 | ||
Maxeda DIY Holding BV | ||||
6.13%, 07/15/22(E) | 470,000 | 486,197 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 2,110,000 | 2,260,337 | ||
4.75%, 01/14/25(E) | 1,000,000 | 1,183,776 | ||
6.88%, 01/20/40Δ | 80,000 | 84,584 | ||
6.90%, 03/19/49 | 380,000 | 401,090 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 1,200,000 | 1,348,212 | ||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 800,000 | 937,011 | ||
Starfruit Finco BV | ||||
6.50%, 10/01/26(E) | 425,000 | 484,650 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.75%, 11/15/25(E) | 672,249 | 714,282 | ||
Sunshine Mid BV | ||||
6.50%, 05/15/26(E) | 430,000 | 479,776 |
Par | Value | |||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | $ 660,000 | $ 693,240 | ||
Telefonica Europe BV | ||||
(Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ Δ ^ | 1,000,000 | 1,126,417 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
1.88%, 03/31/27(E) | 300,000 | 285,725 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 298,432 | ||
3.88%, 06/15/29(E) | 600,000 | 629,744 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) Δ | 700,000 | 708,320 | ||
Ziggo BV | ||||
4.25%, 01/15/27(E) | 855,000 | 993,445 | ||
18,991,925 | ||||
Nigeria — 0.3% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 412,478 | ||
7.63%, 11/28/47 144A | 1,310,000 | 1,173,983 | ||
1,586,461 | ||||
Norway — 0.0% | ||||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | 150,000 | 141,440 | ||
Norway Government Bond | ||||
3.75%, 05/25/21(K) 144A | 64,000 | 6,868 | ||
148,308 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 173,850 | ||
Panama — 0.4% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 933,225 | ||
6.70%, 01/26/36 | 202,000 | 291,497 | ||
4.50%, 04/01/56 | 1,140,000 | 1,403,351 | ||
2,628,073 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 246,859 | ||
Peru — 0.8% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,427,540 | ||
3.75%, 03/01/30(E) | 150,000 | 206,003 | ||
6.55%, 03/14/37 | 640,000 | 976,355 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,803,300 | ||
4,413,198 |
Table of Contents
Par | Value | |||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
4.00%, 01/15/21 | $ 100,000 | $ 101,472 | ||
Poland — 0.3% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,508,899 | ||
Qatar — 0.5% | ||||
Ooredoo International Finance, Ltd. | ||||
4.75%, 02/16/21 144A | 200,000 | 204,500 | ||
Qatar Government International Bond | ||||
3.40%, 04/16/25 144A | 1,320,000 | 1,438,805 | ||
4.00%, 03/14/29 | 200,000 | 230,528 | ||
4.82%, 03/14/49 | 200,000 | 263,723 | ||
4.40%, 04/16/50 144A | 630,000 | 781,314 | ||
2,918,870 | ||||
Romania — 0.1% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | 500,000 | 529,724 | ||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) | 32,000 | 38,885 | ||
2.00%, 01/28/32(E) | 28,000 | 29,456 | ||
3.88%, 10/29/35(E) | 100,000 | 121,545 | ||
3.38%, 01/28/50(E) | 84,000 | 91,876 | ||
811,486 | ||||
Russia — 1.5% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 | 250,000 | 278,113 | ||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) | 240,798,000 | 3,695,349 | ||
7.25%, 05/10/34(Q) | 262,547,000 | 4,097,714 | ||
Russian Foreign Bond - Eurobond | ||||
4.75%, 05/27/26 | 200,000 | 228,250 | ||
5.10%, 03/28/35 | 200,000 | 247,512 | ||
8,546,938 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
4.25%, 04/16/39 | 410,000 | 457,616 | ||
Senegal — 0.0% | ||||
Senegal Government International Bond | ||||
6.75%, 03/13/48 | 200,000 | 193,875 | ||
Serbia — 0.1% | ||||
Serbia International Bond | ||||
7.25%, 09/28/21 | 200,000 | 213,309 | ||
1.50%, 06/26/29(E) | 200,000 | 211,146 | ||
424,455 | ||||
South Africa — 1.1% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) | 2,140,000 | 82,043 |
Par | Value | |||
6.50%, 02/28/41(S) Δ | $56,790,000 | $2,087,018 | ||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26 | 400,000 | 401,264 | ||
5.88%, 06/22/30Δ | 2,270,000 | 2,314,989 | ||
5.75%, 09/30/49 | 1,520,000 | 1,325,910 | ||
6,211,224 | ||||
South Korea — 0.0% | ||||
Hanwha Life Insurance Co., Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.70%, 04/23/23ρ ^ | 200,000 | 198,989 | ||
Spain — 0.9% | ||||
Banco Santander SA | ||||
2.75%, 05/28/25 | 200,000 | 207,501 | ||
Gestamp Automocion SA | ||||
3.25%, 04/30/26(E) | 230,000 | 247,828 | ||
Grifols SA | ||||
3.20%, 05/01/25(E) | 432,000 | 485,675 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 151,845 | ||
Spain Government Bond | ||||
1.95%, 07/30/30(E) 144A | 2,830,000 | 3,659,232 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 510,000 | 501,108 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | 156,661 | ||
5,409,850 | ||||
Sri Lanka — 0.2% | ||||
Sri Lanka Government International Bond | ||||
5.88%, 07/25/22 | 640,000 | 499,200 | ||
6.85%, 11/03/25 | 200,000 | 135,005 | ||
6.75%, 04/18/28 | 500,000 | 328,781 | ||
962,986 | ||||
Supranational — 0.0% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27Δ | 200,000 | 209,170 | ||
Sweden — 0.2% | ||||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ ^ | 486,000 | 505,100 | ||
Unilabs Subholding AB | ||||
5.75%, 05/15/25(E) | 449,000 | 501,072 | ||
1,006,172 | ||||
Switzerland — 0.5% | ||||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 343,070 |
Table of Contents
Par | Value | |||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) ^ | $ 500,000 | $ 573,523 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 250,000 | 285,776 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | 1,476,012 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 461,432 | ||
3,139,813 | ||||
Tunisia — 0.0% | ||||
Banque Centrale de Tunisie International Bond | ||||
6.38%, 07/15/26(E) | 150,000 | 152,094 | ||
Turkey — 0.6% | ||||
Turk Telekomunikasyon AS | ||||
4.88%, 06/19/24 144A | 940,000 | 931,450 | ||
Turkey Government International Bond | ||||
4.88%, 10/09/26 | 300,000 | 279,146 | ||
6.00%, 03/25/27 | 1,570,000 | 1,536,488 | ||
4.88%, 04/16/43 | 500,000 | 387,375 | ||
Turkiye Ihracat Kredi Bankasi AS | ||||
5.38%, 10/24/23 | 200,000 | 193,836 | ||
3,328,295 | ||||
Ukraine — 0.1% | ||||
Ukraine Government International Bond | ||||
6.75%, 06/20/26(E) | 200,000 | 229,025 | ||
9.75%, 11/01/28Δ | 550,000 | 628,418 | ||
857,443 | ||||
United Arab Emirates — 0.7% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 400,000 | 474,550 | ||
Abu Dhabi Government International Bond | ||||
2.50%, 04/16/25 144A | 1,340,000 | 1,414,785 | ||
3.88%, 04/16/50 144A | 670,000 | 794,453 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 196,650 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 970,000 | 1,062,628 | ||
3,943,066 | ||||
United Kingdom — 4.0% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 222,929 | ||
3.38%, 03/11/29(U) | 250,000 | 329,131 | ||
Aviva PLC | ||||
(Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 1,040,000 | 1,379,381 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 1,190,000 | 1,296,207 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 5Y + 2.45%), 2.63%, 11/11/25(E) ^ | 200,000 | 224,905 |
Par | Value | |||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | $ 300,000 | $ 340,018 | ||
(Variable, ICE LIBOR USD 3M + 2.45%), 2.85%, 05/07/26^ | 380,000 | 397,498 | ||
British Telecommunications PLC | ||||
3.25%, 11/08/29 144A | 475,000 | 518,948 | ||
EC Finance PLC | ||||
2.38%, 11/15/22(E) | 810,000 | 832,318 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) | 660,000 | 686,241 | ||
FCE Bank PLC | ||||
1.53%, 11/09/20(E) | 100,000 | 111,701 | ||
1.66%, 02/11/21(E) | 100,000 | 111,058 | ||
1.88%, 06/24/21(E) | 100,000 | 110,212 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | 400,000 | 410,919 | ||
(Variable, GBP Swap Rate 1Y + 1.04%), 2.26%, 11/13/26(U) ^ | 300,000 | 377,930 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ ^ | 400,000 | 397,834 | ||
Iceland Bondco PLC | ||||
4.63%, 03/15/25(U) | 250,000 | 279,074 | ||
INEOS Group Holdings SA | ||||
5.38%, 08/01/24(E) | 213,000 | 235,210 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) | 704,000 | 778,446 | ||
Iron Mountain UK PLC REIT | ||||
3.88%, 11/15/25(U) Δ | 570,000 | 676,395 | ||
ITV PLC | ||||
1.38%, 09/26/26(E) | 200,000 | 216,953 | ||
Jerrold Finco PLC | ||||
6.13%, 01/15/24(U) 144A | 270,000 | 323,588 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 510,000 | 513,166 | ||
4.34%, 01/09/48 | 796,000 | 932,885 | ||
Marks & Spencer PLC | ||||
3.25%, 07/10/27(U) | 100,000 | 121,937 | ||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) Δ | 1,530,000 | 1,932,796 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 315,000 | 355,024 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 400,000 | 556,975 | ||
Pinnacle Bidco PLC | ||||
6.38%, 02/15/25(U) 144A | 580,000 | 612,579 | ||
Premier Foods Finance PLC | ||||
6.25%, 10/15/23(U) | 460,000 | 590,784 | ||
Principality Building Society | ||||
2.38%, 11/23/23(U) | 100,000 | 126,738 | ||
RAC Bond Co. PLC | ||||
5.00%, 11/06/22(U) | 127,000 | 148,687 |
Table of Contents
Par | Value | |||
Rio Tinto Finance USA PLC | ||||
4.13%, 08/21/42 | $ 75,000 | $ 94,273 | ||
Royal Bank of Scotland Group PLC | ||||
6.10%, 06/10/23 | 945,000 | 1,046,597 | ||
6.00%, 12/19/23 | 140,000 | 156,920 | ||
(Variable, Euribor 3M + 1.74%), 2.00%, 03/04/25(E) ^ | 100,000 | 116,009 | ||
(Variable, Euribor 3M + 1.08%), 1.75%, 03/02/26(E) ^ | 460,000 | 530,123 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 545,000 | 574,495 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | 1,041,591 | ||
Southern Gas Networks PLC | ||||
4.88%, 12/21/20(U) | 190,000 | 239,606 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) | 750,000 | 883,136 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 388,742 | 638,349 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 426,840 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 200,000 | 205,169 | ||
5.25%, 05/15/29(U) | 890,000 | 1,156,849 | ||
23,258,424 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31 | 200,000 | 234,315 | ||
Uzbekistan — 0.0% | ||||
Republic of Uzbekistan Bond | ||||
5.38%, 02/20/29Δ | 200,000 | 219,042 | ||
Total Foreign Bonds (Cost $231,155,637) | 220,227,103 | |||
LOAN AGREEMENTS — 1.4% | ||||
Allied Universal Holdco LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.43%, 07/10/26† | 497,500 | 484,301 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.18%, 11/03/24† | 525,975 | 509,320 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.19%, 06/02/25† | 274,616 | 267,683 | ||
Berry Global, Inc. Term W Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.18%, 10/01/22† | 122,322 | 119,577 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.75%, 08/01/25† | 277,709 | 269,030 |
Par | Value | |||
Entercom Media Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 1.00% Floor), 2.68%, 11/18/24† | $181,015 | $169,891 | ||
Equinox Holdings, Inc. Incremental Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.00%, 1.00% Floor), 4.07%, 03/08/24† | 506,097 | 394,710 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 1.00% Floor), 2.18%, 07/03/24† | 277,873 | 267,106 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 1.00% Floor), 2.18%, 11/30/23† | 228,226 | 216,887 | ||
Froneri International Limited Facility B1 | ||||
(Floating, Euribor 6M + 2.63%), 2.63%, 01/29/27† | 380,000 | 412,468 | ||
Garda World Security Corporation Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.75%, 1.00% Floor), 4.93%, 10/30/26† | 405,368 | 399,085 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.31%, 12/30/26† | 179,550 | 173,363 | ||
Global Medical Response, Inc. 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 04/28/22† | 288,068 | 278,059 | ||
Jaguar Holding Co. I LLC 2018 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 3.50%, 08/18/22† | 243,711 | 241,274 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.98%, 03/01/27† | 74,212 | 70,422 | ||
McAfee LLC Term B USD Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.93%, 09/30/24† | 327,500 | 319,904 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.92%, 09/18/26† | 115,275 | 110,067 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.50%), 4.68%, 08/06/26† | 587,050 | 571,884 | ||
Party City Holdings, Inc. 2018 Replacement Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 08/19/22† | 4,378 | 2,122 |
Table of Contents
Par | Value | |||
(Floating, ICE LIBOR USD 3M + 2.50%, 0.75% Floor), 4.10%, 08/19/22† | $126,976 | $ 61,539 | ||
Petco Animal Supplies, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 01/26/23† | 394,548 | 323,803 | ||
Prime Security Services Borrower LLC 2019 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 4.25%, 09/23/26† | 451,959 | 435,717 | ||
Radnet Management, Inc. Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 1.00% Floor), 4.75%, 06/30/23† | 573,529 | 547,451 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.93%, 02/04/27† | 82,536 | 79,764 | ||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.93%, 02/05/23† | 161,488 | 154,694 | ||
Sedgwick Claims Management Services, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.43%, 12/31/25† | 258,035 | 244,397 | ||
Trans Union LLC 2019 Replacement Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.93%, 11/16/26† | 84,934 | 81,484 | ||
UFC Holdings LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 4.25%, 04/29/26† | 119,072 | 114,210 | ||
Univision Communications, Inc. 2017 Replacement Repriced First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 3.75%, 03/15/24† | 542,356 | 503,713 | ||
Virgin Media Bristol LLC N Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.68%, 01/31/28† | 370,000 | 354,321 | ||
Total Loan Agreements (Cost $8,701,788) | 8,178,246 | |||
MORTGAGE-BACKED SECURITIES — 7.6% | ||||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 2.28%, 10/25/39 144A † | 700,000 | 685,573 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2006-C5, Class AJ | ||||
5.37%, 12/15/39 | 92,328 | 42,513 |
Par | Value | |||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.87%, 09/15/40 | $ 15,400 | $ 7,375 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,209,159 | ||
Credit Suisse Commercial Mortgage Trust Series, Series 2019-RIO | ||||
8.74%, 12/15/21 | 1,120,000 | 1,020,702 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02 | ||||
(Floating, ICE LIBOR USD 1M + 3.65%), 3.83%, 09/25/29† | 1,544,232 | 1,558,402 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 3.03%, 11/25/29† | 1,626,494 | 1,613,073 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C06 | ||||
(Floating, ICE LIBOR USD 1M + 2.65%, 2.65% Floor), 2.83%, 02/25/30† | 1,405,084 | 1,405,195 | ||
(Floating, ICE LIBOR USD 1M + 2.80%, 2.80% Floor), 2.98%, 02/25/30† | 1,249,445 | 1,239,054 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.43%, 07/25/30† | 705,528 | 694,843 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05 | ||||
(Floating, ICE LIBOR USD 1M + 2.35%, 2.35% Floor), 2.53%, 01/25/31† | 1,557,934 | 1,537,528 | ||
Federal National Mortgage Association | ||||
3.00%, 12/01/47 | 639,667 | 676,490 | ||
4.00%, 10/01/48 | 405,000 | 429,021 | ||
3.00%, 07/01/49 | 416,393 | 439,107 | ||
3.00%, 08/01/49 | 435,289 | 459,033 | ||
3.50%, 08/01/49 | 541,805 | 569,853 | ||
4.00%, 08/01/49 | 549,334 | 582,178 | ||
3.00%, 09/01/49 | 443,564 | 467,760 | ||
3.50%, 09/01/49 | 874,859 | 920,033 | ||
3.00%, 10/01/49 | 461,462 | 486,634 | ||
3.50%, 10/01/49 | 673,181 | 708,100 | ||
4.00%, 10/01/49 | 580,920 | 615,647 | ||
3.00%, 11/01/49 | 484,770 | 511,213 | ||
3.50%, 12/01/49 | 404,215 | 425,189 | ||
3.00%, 01/01/50 | 198,860 | 209,708 | ||
3.00%, 03/01/50 | 348,055 | 367,045 |
Table of Contents
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 5.13%, 07/25/29† | $ 760,000 | $ 802,084 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA3 | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.68%, 03/25/30† | 1,650,000 | 1,673,366 | ||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | 283,550 | 303,674 | ||
5.00%, 01/20/49 | 209,505 | 227,894 | ||
3.00%, 11/20/49 | 389,438 | 413,454 | ||
2.50%, 07/01/50 TBA | 500,000 | 526,367 | ||
3.00%, 07/01/50 TBA | 310,000 | 328,467 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 3.93%, 09/15/31 144A † | 2,220,000 | 2,122,945 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor, 11.50% Cap), 1.28%, 08/25/36† | 373,301 | 331,457 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.71%, 02/15/51† γ | 2,658 | 2,523 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 8.39%, 06/15/35 144A † | 1,500,000 | 1,133,500 | ||
Lone Star Portfolio Trust, Series 2015-LSMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 7.22%, 7.22% Floor), 7.40%, 09/15/20 144A † | 185,356 | 185,452 | ||
Lone Star Portfolio Trust, Series 2015-LSP, Class F | ||||
(Floating, ICE LIBOR USD 1M + 7.15%, 6.90% Floor), 7.33%, 09/15/28 144A † | 588,724 | 547,579 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 440,000 | 434,685 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 517,940 | ||
STACR Trust, Series 2018-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%), 2.33%, 12/25/30 144A † | 1,650,000 | 1,600,932 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/35 TBA | 555,000 | 574,208 | ||
2.50%, 07/01/35 TBA | 1,590,000 | 1,664,780 | ||
2.00%, 07/01/50 TBA | 480,000 | 491,250 |
Par | Value | |||
2.50%, 07/01/50 TBA | $ 7,365,000 | $ 7,678,588 | ||
3.00%, 07/01/50 TBA | 3,825,000 | 4,028,801 | ||
Total Mortgage-Backed Securities (Cost $45,481,576) | 44,470,374 | |||
MUNICIPAL BOND — 0.0% | ||||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 (Cost $69,393) | 85,000 | 86,354 | ||
U.S. TREASURY OBLIGATIONS — 21.2% | ||||
U.S. Treasury Bills | ||||
1.51%, 07/30/20Ω Δ | 1,835,000 | 1,834,822 | ||
1.51%, 08/13/20Ω Δ | 2,760,000 | 2,759,588 | ||
0.13%, 10/22/20Ω | 1,625,000 | 1,624,235 | ||
0.13%, 11/05/20Ω Δ | 1,635,000 | 1,634,135 | ||
0.12%, 01/28/21Ω Δ | 1,625,000 | 1,623,524 | ||
9,476,304 | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39Δ | 860,000 | 1,217,353 | ||
4.25%, 05/15/39 | 30,000 | 46,373 | ||
3.88%, 08/15/40 | 20,000 | 29,820 | ||
2.75%, 08/15/42 | 90,000 | 115,453 | ||
2.88%, 05/15/43Δ | 2,045,000 | 2,673,079 | ||
3.00%, 05/15/45 | 250,000 | 335,830 | ||
3.00%, 11/15/45 | 920,000 | 1,240,437 | ||
2.50%, 05/15/46Δ | 820,000 | 1,017,345 | ||
2.25%, 08/15/46 | 960,000 | 1,139,006 | ||
2.88%, 11/15/46 | 1,520,000 | 2,021,956 | ||
3.00%, 05/15/47 | 60,000 | 81,809 | ||
2.75%, 08/15/47 | 90,000 | 117,631 | ||
3.13%, 05/15/48 | 40,000 | 56,076 | ||
3.00%, 08/15/48Δ | 2,365,000 | 3,253,399 | ||
3.38%, 11/15/48‡‡ Δ | 770,000 | 1,131,810 | ||
1.25%, 05/15/50Δ | 7,995,000 | 7,683,945 | ||
22,161,322 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 04/15/22 | 14,750,000 | 15,777,598 | ||
2.13%, 02/15/40 | 1,790,000 | 3,130,825 | ||
1.38%, 02/15/44Δ | 2,500,000 | 3,753,294 | ||
0.25%, 02/15/50Δ | 195,000 | 218,428 | ||
22,880,145 | ||||
U.S. Treasury Notes | ||||
1.50%, 09/30/21 | 2,500,000 | 2,541,504 | ||
1.50%, 10/31/21Δ | 1,000,000 | 1,017,793 | ||
1.50%, 11/30/21 | 3,630,000 | 3,698,559 | ||
1.88%, 01/31/22 | 710,000 | 729,123 | ||
2.00%, 02/15/22 | 90,000 | 92,679 | ||
1.75%, 03/31/22Δ | 7,100,000 | 7,296,637 | ||
1.63%, 08/15/22 | 12,590,000 | 12,981,470 | ||
2.88%, 10/31/23 | 2,975,000 | 3,240,426 | ||
2.75%, 02/15/24Δ | 6,050,000 | 6,607,025 | ||
2.38%, 02/29/24 | 10,000 | 10,793 | ||
1.50%, 10/31/24 | 570,000 | 600,927 | ||
2.25%, 11/15/24 | 20,520,000 | 22,313,095 |
Table of Contents
Par | Value | |||
2.00%, 02/15/25 | $ 70,000 | $ 75,601 | ||
2.88%, 05/31/25 | 315,000 | 354,787 | ||
1.63%, 02/15/26 | 6,460,000 | 6,912,074 | ||
1.63%, 05/15/26 | 470,000 | 503,790 | ||
2.00%, 11/15/26 | 870,000 | 955,539 | ||
69,931,822 | ||||
Total U.S. Treasury Obligations (Cost $114,997,757) | 124,449,593 |
Shares | |||
COMMON STOCKS — 0.6% | |||
Communication Services — 0.2% | |||
AT&T, Inc. | 39,385 | 1,190,608 | |
Consumer Discretionary — 0.1% | |||
Ford Motor Co. | 48,562 | 295,257 | |
Energy — 0.0% | |||
Berry CorporationΔ | 2,492 | 12,036 | |
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 40,330 | |
Montage Resources CorporationΔ * | 7,129 | 28,160 | |
80,526 | |||
Health Care — 0.1% | |||
Bristol-Myers Squibb Co. | 11,549 | 679,081 | |
Information Technology — 0.2% | |||
Corning, Inc. | 42,221 | 1,093,524 | |
Total Common Stocks (Cost $5,733,547) | 3,338,996 | ||
PREFERRED STOCKS — 0.1% | |||
Bank of America Corporation | |||
7.25%, CONV | 302 | 405,344 | |
Chesapeake Energy Corporation | |||
0.00%, CONV * | 16 | 40 | |
0.00%, CONV * | 392 | 1,568 | |
0.00%, 144A CONV * | 27 | 14 | |
0.00%, CONV Δ * | 2,119 | 4,068 | |
0.00%, CONV Δ * | 617 | 648 | |
El Paso Energy Capital Trust I | |||
4.75%, CONV | 5,674 | 252,266 | |
Total Preferred Stocks (Cost $921,634) | 663,948 |
Shares | Value | |||
MONEY MARKET FUNDS — 8.9% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø ∞ | 39,283,588 | $ 39,283,588 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%Ø § | 13,104,295 | 13,104,295 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 132,367 | 132,367 | ||
Total Money Market Funds (Cost $52,520,250) | 52,520,250 | |||
TOTAL INVESTMENTS —102.6% (Cost $603,752,962) | 603,370,026 | |||
Liabilities in Excess of Other Assets — (2.6)% | (15,416,162) | |||
NET ASSETS — 100.0% | $587,953,864 |
% | |
Foreign Bonds | 37.4 |
Corporate Bonds | 25.0 |
U.S. Treasury Obligations | 21.2 |
Money Market Funds | 8.9 |
Mortgage-Backed Securities | 7.6 |
Loan Agreements | 1.4 |
Asset-Backed Securities | 0.4 |
Communication Services | 0.2 |
Information Technology | 0.2 |
Health Care | 0.1 |
Financials | 0.1 |
Consumer Discretionary | 0.1 |
Energy | —** |
Municipal Bond | —** |
102.6 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2020 | (66) | $(10,008,903) | $ (41,596) | ||||
Euro-Bund | 09/2020 | (42) | (8,329,450) | (66,971) | ||||
10-Year Japanese E-Mini | 09/2020 | 248 | 34,884,223 | 55,665 | ||||
10-Year Commonwealth Treasury Bond | 09/2020 | 62 | 6,366,087 | 11,405 | ||||
10-Year Canadian Bond | 09/2020 | 16 | 1,812,846 | (3,960) | ||||
10-Year U.S. Treasury Note | 09/2020 | (45) | (6,262,734) | (15,778) | ||||
U.S. Treasury Long Bond | 09/2020 | (33) | (5,892,563) | (22,101) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | (222) | (34,961,531) | (128,344) | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (63) | (13,743,844) | (91,939) |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Long GILT | 09/2020 | 33 | $ 5,628,141 | $ 6,307 | ||||
2-Year U.S. Treasury Note | 09/2020 | 614 | 135,588,469 | 214 | ||||
5-Year U.S. Treasury Note | 09/2020 | (71) | (8,927,695) | (37,453) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $ 96,153,046 | $(334,551) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Euro | 26,775,940 | U.S. Dollars | 29,253,531 | CITI | $ 840,378 | ||||||
07/22/20 | Australian Dollars | 6,577,111 | U.S. Dollars | 4,220,512 | CITI | 318,979 | ||||||
07/22/20 | Norwegian Kroner | 40,728,334 | U.S. Dollars | 3,949,612 | RBC | 282,167 | ||||||
07/22/20 | U.S. Dollars | 3,607,289 | Brazilian Reals | 18,409,400 | SC | 226,013 | ||||||
07/22/20 | Swedish Kronor | 42,037,426 | U.S. Dollars | 4,293,281 | CITI | 219,339 | ||||||
07/22/20 | U.S. Dollars | 11,009,952 | British Pounds | 8,744,151 | CITI | 173,406 | ||||||
07/16/20 | Japanese Yen | 3,537,306,000 | U.S. Dollars | 32,601,598 | CITI | 165,762 | ||||||
07/22/20 | Euro | 4,862,714 | U.S. Dollars | 5,324,568 | SS | 141,473 | ||||||
07/16/20 | Russian Rubles | 218,380,000 | U.S. Dollars | 2,921,862 | CITI | 139,724 | ||||||
07/22/20 | Euro | 4,198,627 | U.S. Dollars | 4,598,110 | CITI | 121,450 | ||||||
07/22/20 | Swiss Francs | 6,921,622 | U.S. Dollars | 7,189,929 | SC | 120,636 | ||||||
07/22/20 | Euro | 3,268,390 | U.S. Dollars | 3,561,645 | SC | 112,261 | ||||||
07/22/20 | Australian Dollars | 1,860,922 | U.S. Dollars | 1,173,395 | SS | 111,005 | ||||||
07/22/20 | Canadian Dollars | 5,090,255 | U.S. Dollars | 3,641,829 | SC | 107,865 | ||||||
07/22/20 | Norwegian Kroner | 22,451,883 | U.S. Dollars | 2,233,821 | CITI | 98,989 | ||||||
07/22/20 | Polish Zloty | 8,009,569 | U.S. Dollars | 1,930,421 | RBC | 94,239 | ||||||
07/16/20 | Indian Rupees | 189,201,535 | U.S. Dollars | 2,424,417 | CITI | 76,584 | ||||||
07/22/20 | Swedish Kronor | 11,079,243 | U.S. Dollars | 1,114,705 | SS | 74,626 | ||||||
07/22/20 | Russian Rubles | 130,946,120 | U.S. Dollars | 1,761,271 | CITI | 72,970 | ||||||
07/22/20 | New Zealand Dollars | 2,115,202 | U.S. Dollars | 1,295,412 | CITI | 69,605 | ||||||
07/22/20 | Swedish Kronor | 8,506,184 | U.S. Dollars | 855,606 | RBC | 57,514 | ||||||
07/22/20 | U.S. Dollars | 5,608,546 | Japanese Yen | 599,741,723 | CITI | 52,477 | ||||||
07/22/20 | Mexican Pesos | 30,174,015 | U.S. Dollars | 1,259,891 | SC | 48,783 | ||||||
07/22/20 | Swiss Francs | 1,562,827 | U.S. Dollars | 1,609,622 | CITI | 41,024 | ||||||
07/22/20 | U.S. Dollars | 747,705 | Chilean Pesos | 580,293,801 | CITI | 40,923 | ||||||
07/22/20 | New Zealand Dollars | 940,936 | U.S. Dollars | 570,042 | SC | 37,179 | ||||||
07/22/20 | Canadian Dollars | 2,209,000 | U.S. Dollars | 1,591,415 | RBC | 35,827 | ||||||
07/22/20 | U.S. Dollars | 2,091,831 | British Pounds | 1,660,568 | RBC | 33,905 | ||||||
07/22/20 | Swedish Kronor | 6,491,441 | U.S. Dollars | 667,602 | SC | 29,240 | ||||||
07/22/20 | U.S. Dollars | 5,339,256 | Euro | 4,724,902 | SC | 28,126 | ||||||
07/22/20 | Brazilian Reals | 3,594,140 | U.S. Dollars | 634,336 | CITI | 25,803 | ||||||
07/22/20 | U.S. Dollars | 762,118 | Mexican Pesos | 17,014,590 | CITI | 24,180 | ||||||
07/22/20 | New Zealand Dollars | 554,440 | U.S. Dollars | 335,869 | SS | 21,932 | ||||||
07/22/20 | Chilean Pesos | 580,284,121 | U.S. Dollars | 685,558 | RBC | 21,211 | ||||||
07/22/20 | Mexican Pesos | 9,379,338 | U.S. Dollars | 392,416 | RBC | 14,374 | ||||||
07/16/20 | Australian Dollars | 187,959 | U.S. Dollars | 117,128 | CITI | 12,595 | ||||||
07/22/20 | Canadian Dollars | 1,820,696 | U.S. Dollars | 1,331,632 | CITI | 9,568 | ||||||
07/22/20 | U.S. Dollars | 1,010,142 | British Pounds | 807,539 | SC | 9,366 | ||||||
07/22/20 | Euro | 239,409 | U.S. Dollars | 259,990 | RBC | 9,124 | ||||||
07/22/20 | U.S. Dollars | 984,371 | New Zealand Dollars | 1,512,711 | SC | 8,163 | ||||||
07/22/20 | U.S. Dollars | 1,979,265 | Canadian Dollars | 2,676,174 | SC | 7,883 | ||||||
07/22/20 | U.S. Dollars | 1,630,061 | Australian Dollars | 2,351,751 | SC | 6,893 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Australian Dollars | 622,260 | U.S. Dollars | 423,278 | SC | $ 6,203 | ||||||
07/22/20 | British Pounds | 1,310,487 | U.S. Dollars | 1,619,565 | SC | 4,509 | ||||||
07/22/20 | South Korean Won | 406,027,835 | U.S. Dollars | 334,317 | CITI | 3,981 | ||||||
07/22/20 | U.S. Dollars | 5,663,303 | Euro | 5,034,672 | CITI | 3,970 | ||||||
07/22/20 | South Korean Won | 888,781,256 | U.S. Dollars | 736,630 | SC | 3,893 | ||||||
07/22/20 | Canadian Dollars | 137,708 | U.S. Dollars | 97,673 | SS | 3,768 | ||||||
07/16/20 | Canadian Dollars | 118,964 | U.S. Dollars | 84,739 | CITI | 2,894 | ||||||
07/22/20 | Japanese Yen | 16,499,494 | U.S. Dollars | 150,525 | SC | 2,328 | ||||||
07/22/20 | U.S. Dollars | 678,038 | Czech Republic Koruna | 16,038,094 | SC | 1,892 | ||||||
07/22/20 | Norwegian Kroner | 17,470,857 | U.S. Dollars | 1,813,455 | SC | 1,813 | ||||||
07/22/20 | U.S. Dollars | 492,570 | Swiss Francs | 464,871 | SC | 1,576 | ||||||
07/22/20 | U.S. Dollars | 243,076 | Japanese Yen | 26,133,632 | SC | 972 | ||||||
07/22/20 | Brazilian Reals | 517,849 | U.S. Dollars | 94,395 | SC | 719 | ||||||
07/22/20 | Japanese Yen | 18,378,815 | U.S. Dollars | 169,608 | CITI | 655 | ||||||
07/22/20 | U.S. Dollars | 100,651 | Japanese Yen | 10,799,055 | SS | 607 | ||||||
07/22/20 | U.S. Dollars | 92,737 | British Pounds | 74,447 | SS | 476 | ||||||
07/16/20 | South African Rand | 14,380,000 | U.S. Dollars | 826,712 | CITI | 428 | ||||||
07/22/20 | Japanese Yen | 24,554,696 | U.S. Dollars | 227,219 | SS | 258 | ||||||
07/22/20 | U.S. Dollars | 248,863 | Australian Dollars | 360,467 | CITI | 70 | ||||||
07/22/20 | South African Rand | 3,581 | U.S. Dollars | 194 | RBC | 12 | ||||||
07/22/20 | U.S. Dollars | 8 | Czech Republic Koruna | 207 | RBC | — | ||||||
Subtotal Appreciation | $ 4,184,585 | |||||||||||
07/22/20 | U.S. Dollars | 121,541 | Chinese Yuan Renminbi | 860,444 | CITI | $ (33) | ||||||
07/22/20 | U.S. Dollars | 99,620 | Swedish Kronor | 929,506 | CITI | (160) | ||||||
10/16/20 | U.S. Dollars | 819,331 | South African Rand | 14,380,000 | CITI | (262) | ||||||
07/22/20 | U.S. Dollars | 1,027,259 | Chinese Yuan Renminbi | 7,275,666 | SC | (734) | ||||||
07/22/20 | Swedish Kronor | 2,288,185 | U.S. Dollars | 246,716 | SC | (1,085) | ||||||
07/22/20 | U.S. Dollars | 306,560 | New Zealand Dollars | 476,801 | SC | (1,137) | ||||||
07/22/20 | Australian Dollars | 187,229 | U.S. Dollars | 130,601 | SC | (1,376) | ||||||
07/22/20 | Euro | 143,620 | U.S. Dollars | 163,066 | CITI | (1,627) | ||||||
07/22/20 | U.S. Dollars | 124,406 | British Pounds | 101,736 | SC | (1,675) | ||||||
07/22/20 | Euro | 124,967 | U.S. Dollars | 142,296 | RBC | (1,824) | ||||||
07/22/20 | U.S. Dollars | 1,698,100 | Japanese Yen | 183,506,871 | SS | (1,926) | ||||||
07/22/20 | Japanese Yen | 12,318,763 | U.S. Dollars | 116,319 | SS | (2,196) | ||||||
07/16/20 | British Pounds | 1,016,249 | U.S. Dollars | 1,261,714 | CITI | (2,339) | ||||||
07/22/20 | British Pounds | 389,127 | U.S. Dollars | 484,729 | SS | (2,488) | ||||||
07/22/20 | U.S. Dollars | 86,309 | Mexican Pesos | 2,065,352 | CITI | (3,268) | ||||||
07/22/20 | Euro | 802,458 | U.S. Dollars | 905,768 | SC | (3,748) | ||||||
07/22/20 | British Pounds | 200,000 | U.S. Dollars | 251,869 | RBC | (4,011) | ||||||
07/22/20 | Brazilian Reals | 613,414 | U.S. Dollars | 117,675 | RBC | (5,008) | ||||||
07/22/20 | U.S. Dollars | 5,967,026 | Swiss Francs | 5,654,308 | SC | (5,011) | ||||||
07/22/20 | Norwegian Kroner | 4,548,541 | U.S. Dollars | 478,121 | SC | (5,517) | ||||||
07/22/20 | U.S. Dollars | 330,421 | South Korean Won | 403,370,331 | CITI | (5,663) | ||||||
07/16/20 | U.S. Dollars | 1,109,620 | British Pounds | 900,000 | CITI | (5,694) | ||||||
07/22/20 | Chinese Yuan Renminbi | 14,748,521 | U.S. Dollars | 2,089,647 | RBC | (5,801) | ||||||
07/22/20 | U.S. Dollars | 6,020,308 | Japanese Yen | 650,667,105 | SC | (7,538) | ||||||
07/22/20 | Canadian Dollars | 2,137,941 | U.S. Dollars | 1,583,155 | SC | (8,259) | ||||||
07/22/20 | U.S. Dollars | 731,806 | South Korean Won | 888,704,795 | RBC | (8,653) | ||||||
07/22/20 | U.S. Dollars | 215,286 | Mexican Pesos | 5,170,512 | SS | (8,964) | ||||||
07/22/20 | South African Rand | 6,350,244 | U.S. Dollars | 373,977 | RBC | (8,968) | ||||||
07/22/20 | U.S. Dollars | 528,159 | Swiss Francs | 508,816 | SS | (9,248) | ||||||
07/22/20 | British Pounds | 966,980 | Euro | 1,075,921 | SC | (11,044) | ||||||
07/22/20 | Brazilian Reals | 1,145,976 | U.S. Dollars | 224,953 | SS | (14,470) | ||||||
07/22/20 | U.S. Dollars | 158,458 | Australian Dollars | 251,304 | SS | (14,990) | ||||||
07/22/20 | Mexican Pesos | 7,155,203 | U.S. Dollars | 328,559 | CITI | (18,232) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/16/20 | Euro | 2,625,000 | U.S. Dollars | 2,968,515 | GSC | $ (18,235) | ||||||
07/22/20 | U.S. Dollars | 314,034 | New Zealand Dollars | 516,418 | RBC | (19,230) | ||||||
07/16/20 | Euro | 795,639 | Polish Zloty | 3,620,000 | CITI | (20,814) | ||||||
07/22/20 | Brazilian Reals | 1,810,615 | U.S. Dollars | 354,876 | SC | (22,319) | ||||||
07/22/20 | U.S. Dollars | 994,069 | Turkish Lira | 7,035,095 | RBC | (26,486) | ||||||
07/22/20 | U.S. Dollars | 876,761 | Canadian Dollars | 1,229,316 | SC | (28,805) | ||||||
07/22/20 | U.S. Dollars | 1,363,314 | Canadian Dollars | 1,891,142 | RBC | (29,780) | ||||||
07/22/20 | U.S. Dollars | 2,804,587 | Swiss Francs | 2,685,266 | CITI | (31,570) | ||||||
07/22/20 | U.S. Dollars | 332,736 | South African Rand | 6,352,422 | RBC | (32,399) | ||||||
07/16/20 | U.S. Dollars | 791,153 | South African Rand | 14,380,000 | CITI | (35,988) | ||||||
07/22/20 | British Pounds | 3,211,524 | U.S. Dollars | 4,017,520 | SC | (37,508) | ||||||
07/22/20 | U.S. Dollars | 1,284,961 | Canadian Dollars | 1,796,864 | SS | (38,683) | ||||||
07/22/20 | U.S. Dollars | 821,775 | Russian Rubles | 61,444,124 | SC | (38,910) | ||||||
07/22/20 | U.S. Dollars | 662,251 | Czech Republic Koruna | 16,642,360 | SC | (39,371) | ||||||
07/22/20 | Japanese Yen | 554,900,217 | U.S. Dollars | 5,181,776 | CITI | (41,124) | ||||||
07/16/20 | Japanese Yen | 1,013,430,000 | U.S. Dollars | 9,432,257 | CITI | (44,484) | ||||||
07/22/20 | U.S. Dollars | 912,357 | Polish Zloty | 3,800,948 | SC | (48,447) | ||||||
07/22/20 | British Pounds | 2,335,114 | U.S. Dollars | 2,943,160 | CITI | (49,275) | ||||||
07/22/20 | U.S. Dollars | 995,931 | Brazilian Reals | 5,731,358 | CITI | (56,754) | ||||||
07/16/20 | Brazilian Reals | 8,682,000 | U.S. Dollars | 1,653,059 | CITI | (57,914) | ||||||
07/16/20 | U.S. Dollars | 1,345,966 | Mexican Pesos | 32,410,393 | CITI | (60,909) | ||||||
07/22/20 | Japanese Yen | 1,140,794,971 | U.S. Dollars | 10,633,253 | SC | (64,810) | ||||||
07/16/20 | British Pounds | 1,750,000 | Euro | 1,989,899 | CITI | (67,812) | ||||||
07/22/20 | U.S. Dollars | 5,984,403 | Swiss Francs | 5,730,736 | RBC | (68,357) | ||||||
07/22/20 | Japanese Yen | 931,362,839 | U.S. Dollars | 8,710,426 | RBC | (82,185) | ||||||
07/22/20 | U.S. Dollars | 5,854,673 | Euro | 5,284,813 | SC | (85,839) | ||||||
07/16/20 | U.S. Dollars | 3,036,914 | Euro | 2,790,000 | CITI | (98,811) | ||||||
07/22/20 | U.S. Dollars | 1,772,193 | Norwegian Kroner | 18,076,046 | SC | (105,955) | ||||||
07/22/20 | U.S. Dollars | 3,518,446 | Euro | 3,231,996 | SS | (114,550) | ||||||
07/22/20 | U.S. Dollars | 2,757,575 | Australian Dollars | 4,165,097 | SC | (117,156) | ||||||
07/22/20 | U.S. Dollars | 5,411,304 | Euro | 4,932,137 | RBC | (132,773) | ||||||
07/22/20 | U.S. Dollars | 2,051,888 | Swedish Kronor | 20,429,177 | SC | (141,138) | ||||||
07/22/20 | U.S. Dollars | 2,352,143 | Norwegian Kroner | 24,080,673 | SS | (149,902) | ||||||
07/22/20 | U.S. Dollars | 8,507,271 | Canadian Dollars | 11,807,782 | CITI | (190,834) | ||||||
07/22/20 | Brazilian Reals | 24,293,283 | U.S. Dollars | 4,660,834 | CITI | (198,860) | ||||||
07/22/20 | U.S. Dollars | 2,675,691 | Australian Dollars | 4,179,608 | RBC | (209,055) | ||||||
07/16/20 | U.S. Dollars | 2,820,172 | Russian Rubles | 218,380,000 | CITI | (241,414) | ||||||
07/22/20 | U.S. Dollars | 3,747,065 | Australian Dollars | 5,791,701 | CITI | (250,339) | ||||||
07/22/20 | U.S. Dollars | 4,270,318 | New Zealand Dollars | 7,021,505 | CITI | (260,917) | ||||||
07/16/20 | U.S. Dollars | 3,622,396 | Indonesian Rupiahs | 59,878,206,000 | CITI | (520,397) | ||||||
07/22/20 | U.S. Dollars | 67,142,608 | Euro | 61,017,606 | CITI | (1,445,576) | ||||||
Subtotal Depreciation | $(5,498,634) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $(1,314,049) |
Table of Contents
Reference Obligation | 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—Buy Protection | ||||||||||||||
Markit CDX.EM.33 Index (Pay Quarterly) | (5.00%) | 6/20/2025 | EUR | 12,994,000 | $(772,107) | $ 121,399 | $ (893,506) | |||||||
Markit ITRAXX.XO.33 Index (Pay Quarterly) | (1.00%) | 6/20/2025 | USD | 20,349,950 | 949,478 | 2,216,110 | (1,266,632) | |||||||
$ 177,371 | $2,337,509 | $(2,160,138) |
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.NA.HY.33 Index (Receive Quarterly) | 5.16% | 5.00% | 12/20/2024 | USD | 9,485,200 | $(44,971) | $(848,922) | $803,951 | ||||||||
$(44,971) | $(848,922) | $803,951 |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 2,333,371 | $ — | $ 2,333,371 | $ — | |||
Common Stocks: | |||||||
Energy | 80,526 | 40,196 | — | 40,330 | |||
Other ^^ | 3,258,470 | 3,258,470 | — | — | |||
Total Common Stocks | 3,338,996 | 3,298,666 | — | 40,330 | |||
Corporate Bonds | 147,101,791 | — | 147,101,791 | — | |||
Foreign Bonds | 220,227,103 | — | 220,227,103 | — | |||
Loan Agreements | 8,178,246 | — | 8,178,246 | — | |||
Money Market Funds | 52,520,250 | 52,520,250 | — | — | |||
Mortgage-Backed Securities | 44,470,374 | — | 44,470,374 | — | |||
Municipal Bond | 86,354 | — | 86,354 | — | |||
Preferred Stocks: | |||||||
Energy | 258,604 | 258,590 | 14 | — | |||
Financials | 405,344 | 405,344 | — | — | |||
Total Preferred Stocks | 663,948 | 663,934 | 14 | — | |||
U.S. Treasury Obligations | 124,449,593 | — | 124,449,593 | — | |||
Total Assets - Investments in Securities | $603,370,026 | $56,482,850 | $546,846,846 | $ 40,330 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 4,184,585 | $ — | $ 4,184,585 | $ — | |||
Futures Contracts | 73,591 | 73,591 | — | — | |||
Swap Agreements | 803,951 | — | 803,951 | — | |||
Total Assets - Other Financial Instruments | $ 5,062,127 | $ 73,591 | $ 4,988,536 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (5,498,634) | $ — | $ (5,498,634) | $ — | |||
Futures Contracts | (408,142) | (408,142) | — | — | |||
Swap Agreements | (2,160,138) | — | (2,160,138) | — | |||
Total Liabilities - Other Financial Instruments | $ (8,066,914) | $ (408,142) | $ (7,658,772) | $ — |
^^ | 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, 2020 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,070,039,757 | $ 970,963,045 | |
Investments in repurchase agreements, at value | 453,000,000 | — | |
Investments in securities of affiliated issuers, at value | — | 32,531,132 | |
Total investments, at value(1), (2) | 1,523,039,757 | 1,003,494,177 | |
Cash collateral for derivatives | — | 4,815,071 | |
Deposits with broker for futures contracts | — | 1,492,508 | |
Foreign currency(3) | — | 364,507 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends and reclaims | — | 16,327 | |
Interest | 324,413 | 3,379,823 | |
Securities lending | — | 8,604 | |
From advisor | 32,532 | — | |
Investment securities sold | — | 40,456,850 | |
Fund shares sold | 14,881,406 | 1,013,000 | |
Variation margin on centrally cleared swaps | — | 18,108 | |
Variation margin on futures contracts | — | 77,773 | |
Unrealized appreciation on foreign currency exchange contracts | — | 19,499 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 74,124 | 47,162 | |
Total Assets | 1,538,352,232 | 1,055,203,409 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 14,973 | |
Upfront premiums received from swap agreements | — | 1,829,304 | |
Unrealized depreciation on foreign currency exchange contracts | — | 677,152 | |
Unrealized depreciation on swap agreements | — | 4,911 | |
Collateral held for securities on loan, at value | — | 6,123,675 | |
Collateral from counterparty | — | 2,071,356 | |
Payables: | |||
Investment securities purchased | — | 54,910,949 | |
Fund shares redeemed | 5,916,490 | 110,372 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | — | |
Distributions | 172,135 | — | |
Accrued expenses: | |||
Investment advisory fees | 148,065 | 235,214 | |
Shareholder servicing fees | 93,637 | 48,292 | |
Trustee fees | 571 | 1,462 | |
Other expenses | 164,312 | 206,443 | |
Total Liabilities | 6,495,210 | 66,234,103 | |
Net Assets | $1,531,857,022 | $ 988,969,306 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,531,822,596 | $ 983,505,304 | |
Distributable earnings (loss) | 34,426 | 5,464,002 | |
Net Assets | $1,531,857,022 | $ 988,969,306 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,085,836,019 | $ 750,822,947 | |
Institutional shares outstanding | 1,085,818,307 | 55,354,289 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 13.56 | |
Net assets applicable to the Investor Class | $ 446,021,003 | $ 238,146,359 | |
Investor shares outstanding | 445,969,852 | 17,550,942 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 13.57 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,070,039,757 | $ 960,964,820 | |
Investments in repurchase agreements, at cost | 453,000,000 | — | |
Investments in securities of affiliated issuers, at cost | — | 32,531,132 | |
Total investments, at cost | $1,523,039,757 | $ 993,495,952 | |
(2)Includes securities loaned of: | $ — | $ 64,248,308 | |
(3)Foreign currency, at cost | $ — | $ 361,256 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 21,277 |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$1,898,475,627 | $274,507,483 | $564,086,438 | ||
117,500,000 | — | — | ||
108,109,877 | 14,237,531 | 39,283,588 | ||
2,124,085,504 | 288,745,014 | 603,370,026 | ||
26,720,251 | — | 4,415,951 | ||
2,816,621 | — | 2,523,604 | ||
4,367,914 | — | 3,362,538 | ||
2,286,966 | — | 2,337,509 | ||
163,446 | 1,459 | 45,546 | ||
10,177,959 | 1,795,430 | 4,957,380 | ||
12,228 | 5,917 | 5,475 | ||
— | — | — | ||
357,565,694 | 787 | 2,299,199 | ||
868,843 | 439,582 | 245,157 | ||
578,970 | — | — | ||
— | — | 111,847 | ||
1,370,954 | — | 4,184,585 | ||
328,092 | — | — | ||
72,647 | 39,526 | 38,708 | ||
2,531,416,089 | 291,027,715 | 627,897,525 | ||
775,928 | 788 | — | ||
77,743,372 | — | — | ||
1,445,970 | — | — | ||
1,949,179 | — | 848,922 | ||
2,236,229 | — | 5,498,634 | ||
64,977 | — | — | ||
11,871,155 | 1,177,971 | 13,104,295 | ||
17,030,942 | — | 2,990,780 | ||
568,655,747 | 4,562,168 | 17,051,927 | ||
129,234 | 174,013 | 20,320 | ||
— | — | 71,784 | ||
121,237 | — | — | ||
— | — | — | ||
473,943 | 104,506 | 229,697 | ||
71,002 | 30,363 | 22,202 | ||
3,822 | 232 | 858 | ||
432,619 | 67,224 | 104,242 | ||
683,005,356 | 6,117,265 | 39,943,661 | ||
$1,848,410,733 | $284,910,450 | $587,953,864 | ||
$1,726,743,958 | $251,170,405 | $600,150,600 | ||
121,666,775 | 33,740,045 | (12,196,736) | ||
$1,848,410,733 | $284,910,450 | $587,953,864 | ||
$1,491,292,711 | $133,898,290 | $479,622,763 | ||
94,437,059 | 6,881,886 | 49,220,364 | ||
$ 15.79 | $ 19.46 | $ 9.74 | ||
$ 357,118,022 | $151,012,160 | $108,331,101 | ||
22,610,790 | 7,759,856 | 11,142,010 | ||
$ 15.79 | $ 19.46 | $ 9.72 | ||
$1,818,715,529 | $249,209,028 | $564,469,374 | ||
117,500,000 | — | — | ||
108,109,877 | 14,237,531 | 39,283,588 | ||
$2,044,325,406 | $263,446,559 | $603,752,962 | ||
$ 105,268,187 | $ 35,547,117 | $ 58,625,661 | ||
$ 4,360,242 | $ — | $ 3,344,821 | ||
$ 77,693,759 | $ — | $ — | ||
$ 1,704,883 | $ — | $ — |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ 5,244 | |
Income distributions received from affiliated funds | — | 102,919 | |
Interest | 6,852,748 | 10,175,320 | |
Securities lending, net | — | 43,078 | |
Less foreign taxes withheld | — | — | |
Total Investment Income | 6,852,748 | 10,326,561 | |
Expenses | |||
Investment advisory fees | 819,887 | 1,426,813 | |
Transfer agent fees: | |||
Institutional shares | 2,328 | 2,406 | |
Investor shares | 18,544 | 8,688 | |
Custodian fees | 8,484 | 79,288 | |
Shareholder servicing fees: | |||
Investor shares | 553,612 | 287,718 | |
Accounting and administration fees | 142,946 | 103,124 | |
Professional fees | 43,572 | 60,670 | |
Shareholder reporting fees: | |||
Institutional shares | — | 650 | |
Investor shares | — | 5,024 | |
Trustees expenses | 4,914 | 2,141 | |
Line of credit facility fees | 1,677 | 537 | |
Other expenses | 69,238 | 30,140 | |
Total Expenses | 1,665,202 | 2,007,199 | |
Expenses waived/reimbursed(1) | (36,536) | — | |
Net Expenses | 1,628,666 | 2,007,199 | |
Net Investment Income | 5,224,082 | 8,319,362 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 6,827 | 6,127,811 | |
Investment securities sold short | — | (33,281) | |
Futures transactions | — | 1,255,437 | |
Swap agreements | — | (293,044) | |
Option contracts written | — | 10,091 | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 1,740,263 | |
Foreign currency | — | (7,177) | |
Net realized gain (loss) | 6,827 | 8,800,100 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 3,286,914 | |
Investment securities sold short | — | 9,140 | |
Futures | — | 171,318 | |
Swap agreements | — | (990,937) | |
Option contracts written | — | 24,988 | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 372,505 | |
Foreign currency | — | 157,475 | |
Net change in unrealized appreciation (depreciation) | — | 3,031,403 | |
Net Realized and Unrealized Gain (Loss) | 6,827 | 11,831,503 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $5,230,909 | $20,150,865 |
(1) | See Note 3c in Notes to Financial Statements. |
Table of Contents
Medium-Duration Bond Fund | Extended-Duration Bond Fund | Global Bond Fund | ||
$ 17,818 | $ 11,419 | $ 207,167 | ||
286,699 | 46,262 | 121,478 | ||
23,793,630 | 3,950,566 | 10,397,928 | ||
57,251 | 28,878 | 64,428 | ||
41,329 | — | (55,458) | ||
24,196,727 | 4,037,125 | 10,735,543 | ||
2,813,994 | 613,409 | 1,390,652 | ||
2,457 | 2,105 | 2,321 | ||
11,779 | 8,934 | 9,782 | ||
279,098 | 12,274 | 54,371 | ||
410,153 | 179,231 | 140,281 | ||
188,008 | 28,796 | 62,008 | ||
59,206 | 57,469 | 61,743 | ||
526 | 1,357 | 1,348 | ||
3,834 | 3,339 | 3,169 | ||
2,801 | 1,132 | 1,250 | ||
625 | 538 | 324 | ||
55,623 | 21,686 | 24,259 | ||
3,828,104 | 930,270 | 1,751,508 | ||
— | — | — | ||
3,828,104 | 930,270 | 1,751,508 | ||
20,368,623 | 3,106,855 | 8,984,035 | ||
37,542,735 | 8,372,032 | (3,340,198) | ||
(1,649,215) | — | — | ||
33,276,526 | (71,493) | (6,166,991) | ||
(4,202,458) | — | 3,288,241 | ||
2,877,627 | — | — | ||
(1,578,211) | — | (61,810) | ||
179,754 | — | (2,101,317) | ||
(1,849,381) | (6,198) | 20,785 | ||
64,597,377 | 8,294,341 | (8,361,290) | ||
30,550,127 | 9,813,508 | (9,886,115) | ||
96,600 | — | — | ||
4,380,262 | — | (1,060,278) | ||
(13,535,749) | — | (1,361,409) | ||
(26,347) | — | — | ||
(104,887) | — | — | ||
443,865 | — | 389,336 | ||
41,229 | (3,411) | (106,866) | ||
21,845,100 | 9,810,097 | (12,025,332) | ||
86,442,477 | 18,104,438 | (20,386,622) | ||
$106,811,100 | $21,211,293 | $(11,402,587) |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 5,224,082 | $ 27,768,702 | |
Net realized gain on investment securities, foreign currency and derivatives | 6,827 | 22,056 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase in net assets resulting from operations | 5,230,909 | 27,790,758 | |
Distributions to Shareholders: | |||
Institutional shares | (4,070,241) | (20,503,404) | |
Investor shares | (1,153,842) | (7,265,298) | |
Total distributions | (5,224,083) | (27,768,702) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 3,490,437,439 | 4,301,371,522 | |
Investor shares | 350,134,954 | 372,222,654 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 902,143 | 4,362,064 | |
Investor shares | 1,146,594 | 7,235,378 | |
Total proceeds from shares sold and reinvested | 3,842,621,130 | 4,685,191,618 | |
Value of shares redeemed | |||
Institutional shares | (3,309,708,062) | (4,243,079,203) | |
Investor shares | (297,231,340) | (395,729,388) | |
Total value of shares redeemed | (3,606,939,402) | (4,638,808,591) | |
Net increase (decrease) from capital share transactions(1) | 235,681,728 | 46,383,027 | |
Total increase (decrease) in net assets | 235,688,554 | 46,405,083 | |
Net Assets: | |||
Beginning of Period | 1,296,168,468 | 1,249,763,385 | |
End of Period | $ 1,531,857,022 | $ 1,296,168,468 |
(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 | |||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||
(Unaudited) | (Unaudited) | |||||
$ 8,319,362 | $ 22,321,038 | $ 20,368,623 | $ 46,984,801 | |||
8,800,100 | 3,952,380 | 64,597,377 | 40,474,870 | |||
3,031,403 | 10,370,747 | 21,845,100 | 65,182,378 | |||
20,150,865 | 36,644,165 | 106,811,100 | 152,642,049 | |||
(6,611,364) | (17,790,895) | (17,011,026) | (56,907,805) | |||
(1,784,508) | (5,457,648) | (3,497,244) | (11,258,355) | |||
(8,395,872) | (23,248,543) | (20,508,270) | (68,166,160) | |||
72,174,633 | 167,454,014 | 124,343,253 | 201,720,715 | |||
44,505,337 | 33,889,114 | 82,281,227 | 70,098,535 | |||
6,563,236 | 17,570,330 | 16,947,133 | 56,765,981 | |||
1,781,783 | 5,450,732 | 3,400,730 | 11,047,637 | |||
125,024,989 | 224,364,190 | 226,972,343 | 339,632,868 | |||
(98,689,148) | (35,643,763) | (197,597,012) | (93,164,235) | |||
(43,825,290) | (115,855,201) | (51,465,522) | (57,821,223) | |||
(142,514,438) | (151,498,964) | (249,062,534) | (150,985,458) | |||
(17,489,449) | 72,865,226 | (22,090,191) | 188,647,410 | |||
(5,734,456) | 86,260,848 | 64,212,639 | 273,123,299 | |||
994,703,762 | 908,442,914 | 1,784,198,094 | 1,511,074,795 | |||
$ 988,969,306 | $ 994,703,762 | $1,848,410,733 | $1,784,198,094 |
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 | ||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,106,855 | $ 6,785,891 | $ 8,984,035 | $ 23,941,182 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 8,294,341 | 4,754,284 | (8,361,290) | (3,994,830) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 9,810,097 | 18,229,682 | (12,025,332) | 39,095,675 | |||
Net increase (decrease) in net assets resulting from operations | 21,211,293 | 29,769,857 | (11,402,587) | 59,042,027 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (2,048,939) | (4,926,054) | (3,871,804) | (16,524,236) | |||
Investor shares | (2,194,420) | (4,865,967) | (927,516) | (3,697,240) | |||
Total distributions | (4,243,359) | (9,792,021) | (4,799,320) | (20,221,476) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 25,838,160 | 20,612,237 | 23,263,997 | 70,146,932 | |||
Investor shares | 57,417,917 | 38,819,908 | 17,658,187 | 39,444,364 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 2,045,666 | 4,921,573 | 3,869,821 | 16,514,524 | |||
Investor shares | 2,190,007 | 4,851,622 | 914,831 | 3,666,832 | |||
Total proceeds from shares sold and reinvested | 87,491,750 | 69,205,340 | 45,706,836 | 129,772,652 | |||
Value of shares redeemed | |||||||
Institutional shares | (30,677,808) | (15,737,574) | (22,081,361) | (40,079,129) | |||
Investor shares | (45,556,281) | (37,177,678) | (29,559,429) | (42,099,782) | |||
Total value of shares redeemed | (76,234,089) | (52,915,252) | (51,640,790) | (82,178,911) | |||
Net increase (decrease) from capital share transactions(1) | 11,257,661 | 16,290,088 | (5,933,954) | 47,593,741 | |||
Total increase (decrease) in net assets | 28,225,595 | 36,267,924 | (22,135,861) | 86,414,292 | |||
Net Assets: | |||||||
Beginning of Period | 256,684,855 | 220,416,931 | 610,089,725 | 523,675,433 | |||
End of Period | $284,910,450 | $256,684,855 | $587,953,864 | $610,089,725 |
(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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Money Market Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.41% | $1,085,836 | 0.14% | 0.14% | 0.75% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 2.13 | 904,202 | 0.14 | 0.14 | 2.10 | 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 | (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 |
Investor Class | ||||||||||||||
2020(1) | $ 1.00 | $ —† | $ —† | $ — | $ —† | $ — | $ — | $ 1.00 | 0.28% | $ 446,021 | 0.39% | 0.41% | 0.52% | N/A |
2019 | 1.00 | 0.02 | —† | 0.02 | (0.02) | — | (0.02) | 1.00 | 1.85 | 391,966 | 0.42 | 0.42 | 1.83 | 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 |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.40 | $0.12 | $ 0.16 | $ 0.28 | $(0.12) | $ — | $(0.12) | $13.56 | 2.10% | $ 750,823 | 0.35% | 0.35% | 1.78% | 147% |
2019 | 13.21 | 0.32 | 0.20 | 0.52 | (0.33) | — | (0.33) | 13.40 | 3.99 | 761,737 | 0.35 | 0.35 | 2.39 | 525 |
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(2) | 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)(2) | 0.11 | (0.22) | — | (0.22) | 13.30 | 0.79 | 617,698 | 0.37 | 0.38 | 1.52 | 746 |
Investor Class | ||||||||||||||
2020(1) | $13.40 | $0.10 | $ 0.17 | $ 0.27 | $(0.10) | $ — | $(0.10) | $13.57 | 2.05% | $ 238,146 | 0.62% | 0.62% | 1.51% | 147% |
2019 | 13.21 | 0.29 | 0.20 | 0.49 | (0.30) | — | (0.30) | 13.40 | 3.71 | 232,967 | 0.62 | 0.62 | 2.16 | 525 |
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(2) | 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)(2) | 0.07 | (0.11) | — | (0.11) | 13.27 | 0.49 | 242,325 | 0.60 | 0.65 | 1.17 | 746 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $15.05 | $0.18 | $ 0.74 | $ 0.92 | $(0.18) | $ — | $(0.18) | $15.79 | 6.16% | $1,491,293 | 0.38% | 0.38% | 2.36% | 255% |
2019 | 14.28 | 0.43 | 0.96 | 1.39 | (0.42) | (0.20) | (0.62) | 15.05 | 9.81 | 1,476,286 | 0.39 | 0.39 | 2.90 | 433 |
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(2) | 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)(2) | 0.02 | (0.54) | (0.22) | (0.76) | 14.44 | 0.03 | 706,760 | 0.45 | 0.47 | 2.46 | 346 |
Investor Class | ||||||||||||||
2020(1) | $15.06 | $0.16 | $ 0.73 | $ 0.89 | $(0.16) | $ — | $(0.16) | $15.79 | 5.96% | $ 357,118 | 0.65% | 0.65% | 2.08% | 255% |
2019 | 14.28 | 0.39 | 0.97 | 1.36 | (0.38) | (0.20) | (0.58) | 15.06 | 9.58 | 307,912 | 0.65 | 0.65 | 2.63 | 433 |
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(2) | 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)(2) | (0.03) | (0.21) | (0.10) | (0.31) | 14.31 | (0.22) | 187,863 | 0.66 | 0.75 | 1.92 | 346 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | 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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Extended-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $18.23 | $0.23 | $ 1.31 | $ 1.54 | $(0.22) | $(0.09) | $(0.31) | $19.46 | 8.49% | $133,898 | 0.55% | 0.55% | 2.44% | 44% |
2019 | 16.73 | 0.52 | 1.72 | 2.24 | (0.51) | (0.23) | (0.74) | 18.23 | 13.51 | 127,884 | 0.57 | 0.57 | 2.93 | 39 |
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(2) | 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)(2) | (0.96) | (1.42) | (1.51) | (2.93) | 17.37 | (5.01) | 148,920 | 0.60 | 0.60 | 4.09 | 42 |
Investor Class | ||||||||||||||
2020(1) | $18.23 | $0.20 | $ 1.32 | $ 1.52 | $(0.20) | $(0.09) | $(0.29) | $19.46 | 8.42% | $151,012 | 0.81% | 0.81% | 2.17% | 44% |
2019 | 16.74 | 0.48 | 1.70 | 2.18 | (0.46) | (0.23) | (0.69) | 18.23 | 13.14 | 128,801 | 0.83 | 0.83 | 2.66 | 39 |
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(2) | 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)(2) | (0.94) | (0.27) | (0.33) | (0.60) | 16.76 | (5.30) | 106,918 | 0.82 | 0.85 | 3.65 | 42 |
Global Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.01 | $0.15 | $(0.34) | $(0.19) | $(0.01) | $(0.07) | $(0.08) | $ 9.74 | (1.72)% | $479,623 | 0.55% | 0.55% | 3.14% | 40% |
2019 | 9.32 | 0.42 | 0.62 | 1.04 | (0.35) | — | (0.35) | 10.01 | 11.31 | 486,865 | 0.54 | 0.54 | 4.30 | 59 |
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(2) | 1.01 | (0.41) | — | (0.41) | 9.68 | 11.24 | 338,475 | 0.59 | 0.60 | 4.73 | 28 |
2015(3) | 10.09 | 0.27 | (1.02)(2) | (0.75) | (0.26) | — | (0.26) | 9.08 | (7.54) | 311,374 | 0.59 | 0.62 | 4.15 | 30 |
Investor Class | ||||||||||||||
2020(1) | $10.00 | $0.14 | $(0.34) | $(0.20) | $(0.01) | $(0.07) | $(0.08) | $ 9.72 | (1.93)% | $108,331 | 0.83% | 0.83% | 2.87% | 40% |
2019 | 9.31 | 0.40 | 0.62 | 1.02 | (0.33) | — | (0.33) | 10.00 | 11.03 | 123,225 | 0.82 | 0.82 | 4.02 | 59 |
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(2) | 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)(2) | (0.59) | (0.36) | — | (0.36) | 9.08 | (6.00) | 78,636 | 0.82 | 0.84 | 3.35 | 30 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | 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. |
(3) | 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 — 40.2% | ||||
Communication Services — 2.6% | ||||
Activision Blizzard, Inc. | 3,154 | $ 239,389 | ||
Alphabet, Inc. Class A* | 2,860 | 4,055,623 | ||
Alphabet, Inc. Class C* | 500 | 706,805 | ||
AT&T, Inc. | 20,216 | 611,130 | ||
CenturyLink, Inc. | 1,651 | 16,560 | ||
Charter Communications, Inc. Class A* | 271 | 138,221 | ||
Comcast Corporation Class A | 7,843 | 305,720 | ||
Discovery, Inc. Class C* | 631 | 12,153 | ||
Electronic Arts, Inc.* | 520 | 68,666 | ||
Facebook, Inc. Class A* | 18,987 | 4,311,378 | ||
Fox Corporation Class A | 620 | 16,628 | ||
Interpublic Group of Cos., Inc. (The) | 1,178 | 20,214 | ||
Netflix, Inc.* | 5,493 | 2,499,535 | ||
Omnicom Group, Inc. | 595 | 32,487 | ||
Take-Two Interactive Software, Inc.* | 254 | 35,451 | ||
T-Mobile US, Inc.Δ* | 33,536 | 3,492,774 | ||
Twitter, Inc.* | 1,198 | 35,688 | ||
Verizon Communications, Inc. | 245,076 | 13,511,040 | ||
ViacomCBS, Inc. Class B | 1,128 | 26,305 | ||
Walt Disney Co. (The) | 10,543 | 1,175,650 | ||
31,311,417 | ||||
Consumer Discretionary — 1.6% | ||||
Advance Auto Parts, Inc. | 122 | 17,379 | ||
Amazon.com, Inc.* | 2,012 | 5,550,746 | ||
AutoZone, Inc.* | 38 | 42,868 | ||
Best Buy Co., Inc. | 2,007 | 175,151 | ||
Booking Holdings, Inc.* | 618 | 984,066 | ||
BorgWarner, Inc. | 232 | 8,190 | ||
CarMax, Inc.* | 194 | 17,373 | ||
Carnival Corporation | 785 | 12,890 | ||
Chipotle Mexican Grill, Inc.* | 41 | 43,147 | ||
D.R. Horton, Inc. | 708 | 39,259 | ||
Darden Restaurants, Inc. | 223 | 16,897 | ||
Dollar General Corporation | 446 | 84,967 | ||
Dollar Tree, Inc.* | 447 | 41,428 | ||
eBay, Inc. | 1,311 | 68,762 | ||
Expedia Group, Inc. | 208 | 17,098 | ||
Ford Motor Co. | 5,961 | 36,243 | ||
General Motors Co. | 1,694 | 42,858 | ||
Genuine Parts Co. | 300 | 26,088 | ||
H&R Block, Inc. | 737 | 10,524 | ||
Hanesbrands, Inc. | 827 | 9,337 | ||
Hasbro, Inc. | 196 | 14,690 | ||
Hilton Worldwide Holdings, Inc. | 512 | 37,606 | ||
Home Depot, Inc. (The) | 14,502 | 3,632,896 | ||
Kohl’s Corporation | 641 | 13,314 | ||
Leggett & Platt, Inc. | 362 | 12,724 | ||
Lennar Corporation Class A | 374 | 23,046 | ||
LKQ Corporation* | 551 | 14,436 | ||
Lowe’s Cos., Inc. | 7,364 | 995,024 | ||
Lululemon Athletica, Inc.Δ* | 5,326 | 1,661,765 | ||
Marriott International, Inc. Class A | 579 | 49,638 | ||
McDonald’s Corporation | 1,444 | 266,375 | ||
Newell Brands, Inc. | 1,034 | 16,420 |
Shares | Value | |||
NIKE, Inc. Class B | 18,086 | $ 1,773,332 | ||
Norwegian Cruise Line Holdings, Ltd.* | 381 | 6,260 | ||
NVR, Inc.* | 4 | 13,035 | ||
O’Reilly Automotive, Inc.* | 106 | 44,697 | ||
PulteGroup, Inc. | 555 | 18,887 | ||
Ralph Lauren Corporation | 137 | 9,935 | ||
Ross Stores, Inc. | 3,338 | 284,531 | ||
Royal Caribbean Cruises, Ltd. | 441 | 22,182 | ||
Starbucks Corporation | 2,041 | 150,197 | ||
Target Corporation | 21,713 | 2,604,040 | ||
Tiffany & Co. | 210 | 25,607 | ||
TJX Cos., Inc. (The) | 2,117 | 107,035 | ||
Tractor Supply Co. | 240 | 31,630 | ||
Ulta Beauty, Inc.* | 77 | 15,663 | ||
VF Corporation | 646 | 39,367 | ||
Whirlpool Corporation | 122 | 15,803 | ||
Yum! Brands, Inc. | 520 | 45,193 | ||
19,190,599 | ||||
Consumer Staples — 5.8% | ||||
Archer-Daniels-Midland Co. | 503 | 20,070 | ||
Campbell Soup Co. | 310 | 15,385 | ||
Casey’s General Stores, Inc. | 8,888 | 1,328,934 | ||
Church & Dwight Co., Inc. | 5,382 | 416,029 | ||
Clorox Co. (The) | 12,451 | 2,731,376 | ||
Coca-Cola Co. (The) | 70,878 | 3,166,829 | ||
Colgate-Palmolive Co. | 96,632 | 7,079,260 | ||
Conagra Brands, Inc. | 599 | 21,067 | ||
Costco Wholesale Corporation | 11,807 | 3,580,000 | ||
Coty, Inc. Class A | 1,852 | 8,278 | ||
Estee Lauder Cos., Inc. (The) Class A | 10,581 | 1,996,423 | ||
General Mills, Inc. | 1,134 | 69,911 | ||
Hershey Co. (The) | 41,970 | 5,440,151 | ||
Hormel Foods CorporationΔ | 71,319 | 3,442,568 | ||
Ingredion, Inc. | 9,811 | 814,313 | ||
J.M. Smucker Co. (The) | 250 | 26,453 | ||
Kellogg Co. | 581 | 38,381 | ||
Kimberly-Clark Corporation | 72,217 | 10,207,873 | ||
Kraft Heinz Co. (The) | 1,212 | 38,651 | ||
Kroger Co. (The) | 41,864 | 1,417,096 | ||
Lamb Weston Holdings, Inc. | 14,238 | 910,235 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 9,412 | 1,688,607 | ||
Mondelez International, Inc. Class A | 7,903 | 404,080 | ||
Monster Beverage Corporation* | 23,508 | 1,629,575 | ||
PepsiCo, Inc. | 28,305 | 3,743,619 | ||
Procter & Gamble Co. (The) | 65,666 | 7,851,684 | ||
Sprouts Farmers Market, Inc.* | 9,702 | 248,274 | ||
Sysco Corporation | 4,975 | 271,933 | ||
Tyson Foods, Inc. Class A | 450 | 26,870 | ||
Walgreens Boots Alliance, Inc. | 1,543 | 65,408 | ||
Walmart, Inc. | 92,787 | 11,114,027 | ||
69,813,360 | ||||
Energy — 0.4% | ||||
Apache Corporation | 581 | 7,844 | ||
Baker Hughes Co. | 1,062 | 16,344 |
Table of Contents
Shares | Value | |||
Cabot Oil & Gas Corporation | 765 | $ 13,143 | ||
Chevron Corporation | 45,366 | 4,048,008 | ||
Concho Resources, Inc. | 317 | 16,325 | ||
ConocoPhillips | 1,969 | 82,737 | ||
Devon Energy Corporation | 701 | 7,949 | ||
Diamondback Energy, Inc. | 209 | 8,740 | ||
EOG Resources, Inc. | 1,122 | 56,841 | ||
Exxon Mobil Corporation | 7,775 | 347,698 | ||
Halliburton Co. | 1,147 | 14,888 | ||
Hess Corporation | 364 | 18,859 | ||
Kinder Morgan, Inc. | 3,804 | 57,707 | ||
Marathon Oil Corporation | 1,211 | 7,411 | ||
Marathon Petroleum Corporation | 1,299 | 48,557 | ||
Noble Energy, Inc. | 607 | 5,439 | ||
Occidental Petroleum Corporation | 1,733 | 31,714 | ||
ONEOK, Inc. | 883 | 29,333 | ||
Phillips 66 | 752 | 54,069 | ||
Pioneer Natural Resources Co. | 180 | 17,586 | ||
Valero Energy Corporation | 667 | 39,233 | ||
Williams Cos., Inc. (The) | 2,719 | 51,715 | ||
4,982,140 | ||||
Financials — 5.6% | ||||
Aflac, Inc. | 56,918 | 2,050,756 | ||
Alleghany Corporation | 891 | 435,824 | ||
Allstate Corporation (The) | 27,491 | 2,666,352 | ||
American Express Co. | 4,735 | 450,772 | ||
American International Group, Inc. | 1,388 | 43,278 | ||
Ameriprise Financial, Inc. | 17,771 | 2,666,361 | ||
Arthur J. Gallagher & Co. | 390 | 38,021 | ||
Assurant, Inc. | 75 | 7,747 | ||
Bank of America Corporation | 13,985 | 332,144 | ||
Bank of Hawaii Corporation | 7,533 | 462,602 | ||
Bank of New York Mellon Corporation (The) | 117,930 | 4,557,994 | ||
Berkshire Hathaway, Inc. Class B* | 3,137 | 559,986 | ||
BlackRock, Inc. | 10,097 | 5,493,677 | ||
Capital One Financial Corporation | 592 | 37,053 | ||
Capitol Federal Financial, Inc. | 334,100 | 3,678,441 | ||
Cboe Global Markets, Inc. | 177 | 16,511 | ||
Charles Schwab Corporation (The) | 2,052 | 69,234 | ||
Cincinnati Financial Corporation | 358 | 22,923 | ||
Citigroup, Inc. | 3,771 | 192,698 | ||
Citizens Financial Group, Inc. | 836 | 21,101 | ||
CME Group, Inc. | 16,196 | 2,632,498 | ||
Comerica, Inc. | 302 | 11,506 | ||
Commerce Bancshares, Inc. | 13,418 | 797,968 | ||
Credit Acceptance CorporationΔ* | 962 | 403,088 | ||
Discover Financial Services | 702 | 35,163 | ||
E*TRADE Financial Corporation | 326 | 16,212 | ||
East West Bancorp, Inc. | 13,129 | 475,795 | ||
Erie Indemnity Co. Class A | 861 | 165,226 | ||
Everest Re Group, Ltd. | 3,806 | 784,797 | ||
Fidelity National Financial, Inc. | 25,344 | 777,047 | ||
Fifth Third Bancorp | 1,381 | 26,626 | ||
First Citizens BancShares, Inc. Class A | 249 | 100,850 | ||
First Republic Bank | 165 | 17,488 |
Shares | Value | |||
Franklin Resources, Inc. | 699 | $ 14,658 | ||
Goldman Sachs Group, Inc. (The) | 545 | 107,703 | ||
Hartford Financial Services Group, Inc. (The) | 633 | 24,402 | ||
Huntington Bancshares, Inc. | 1,877 | 16,959 | ||
Intercontinental Exchange, Inc. | 14,483 | 1,326,643 | ||
Invesco, Ltd. | 1,559 | 16,775 | ||
JPMorgan Chase & Co. | 31,617 | 2,973,895 | ||
KeyCorp | 1,880 | 22,898 | ||
Lincoln National Corporation | 388 | 14,275 | ||
M&T Bank Corporation | 6,802 | 707,204 | ||
Markel Corporation* | 1,365 | 1,260,127 | ||
MarketAxess Holdings, Inc. | 74 | 37,068 | ||
Marsh & McLennan Cos., Inc. | 79,967 | 8,586,057 | ||
MetLife, Inc. | 1,466 | 53,538 | ||
Moody’s Corporation | 198 | 54,397 | ||
Morgan Stanley | 1,975 | 95,393 | ||
MSCI, Inc. | 128 | 42,729 | ||
Nasdaq, Inc. | 149 | 17,801 | ||
Northern Trust Corporation | 61,971 | 4,916,779 | ||
People’s United Financial, Inc. | 674 | 7,798 | ||
PNC Financial Services Group, Inc. (The) | 30,183 | 3,175,553 | ||
Principal Financial Group, Inc. | 556 | 23,096 | ||
Progressive Corporation (The) | 39,465 | 3,161,541 | ||
Prudential Financial, Inc. | 758 | 46,162 | ||
Raymond James Financial, Inc. | 240 | 16,519 | ||
Regions Financial Corporation | 1,185 | 13,177 | ||
Reinsurance Group of America, Inc. | 13,420 | 1,052,665 | ||
RenaissanceRe Holdings, Ltd. | 2,135 | 365,149 | ||
S&P Global, Inc. | 991 | 326,515 | ||
SEI Investments Co. | 5,739 | 315,530 | ||
State Street Corporation | 9,379 | 596,035 | ||
SVB Financial Group* | 3,993 | 860,611 | ||
Synchrony Financial | 757 | 16,775 | ||
T. Rowe Price Group, Inc. | 24,245 | 2,994,257 | ||
TFS Financial Corporation | 6,505 | 93,087 | ||
Travelers Cos., Inc. (The) | 17,942 | 2,046,285 | ||
Truist Financial Corporation | 2,408 | 90,420 | ||
U.S. Bancorp | 12,436 | 457,894 | ||
Unum Group | 295 | 4,894 | ||
W.R. Berkley Corporation | 6,254 | 358,292 | ||
Wells Fargo & Co. | 31,309 | 801,510 | ||
Zions Bancorp NA | 159 | 5,406 | ||
67,166,211 | ||||
Health Care — 5.3% | ||||
Abbott Laboratories | 15,091 | 1,379,770 | ||
ABIOMED, Inc.* | 2,308 | 557,520 | ||
Agilent Technologies, Inc. | 6,618 | 584,833 | ||
Alexion Pharmaceuticals, Inc.* | 526 | 59,038 | ||
Align Technology, Inc.* | 3,541 | 971,792 | ||
Amgen, Inc. | 4,214 | 993,914 | ||
Anthem, Inc. | 1,697 | 446,277 | ||
Baxter International, Inc. | 1,831 | 157,649 | ||
Becton, Dickinson and Co. | 21,684 | 5,188,331 | ||
Biogen, Inc.* | 8,412 | 2,250,631 | ||
Bio-Rad Laboratories, Inc. Class A* | 99 | 44,698 |
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Shares | Value | |||
Boston Scientific Corporation* | 2,122 | $ 74,503 | ||
Bristol-Myers Squibb Co. | 6,392 | 375,850 | ||
Cardinal Health, Inc. | 670 | 34,967 | ||
Centene Corporation* | 1,047 | 66,537 | ||
Cerner Corporation | 20,727 | 1,420,836 | ||
Chemed Corporation | 2,596 | 1,170,978 | ||
Cigna Corporation | 643 | 120,659 | ||
CVS Health Corporation | 2,552 | 165,803 | ||
Danaher Corporation | 11,254 | 1,990,045 | ||
DaVita, Inc.* | 199 | 15,749 | ||
DENTSPLY SIRONA, Inc. | 352 | 15,509 | ||
DexCom, Inc.* | 33 | 13,378 | ||
Edwards Lifesciences Corporation* | 16,185 | 1,118,545 | ||
Eli Lilly and Co. | 23,196 | 3,808,319 | ||
Gilead Sciences, Inc. | 2,481 | 190,888 | ||
HCA Healthcare, Inc. | 518 | 50,277 | ||
Henry Schein, Inc.* | 29,656 | 1,731,614 | ||
Hologic, Inc.* | 508 | 28,956 | ||
Humana, Inc. | 232 | 89,958 | ||
IDEXX Laboratories, Inc.* | 111 | 36,648 | ||
Illumina, Inc.* | 2,511 | 929,949 | ||
Incyte Corporation* | 414 | 43,044 | ||
Intuitive Surgical, Inc.* | 5,791 | 3,299,886 | ||
IQVIA Holdings, Inc.* | 930 | 131,948 | ||
Johnson & Johnson | 137,193 | 19,293,452 | ||
Laboratory Corporation of America Holdings* | 195 | 32,391 | ||
McKesson Corporation | 281 | 43,111 | ||
Mettler-Toledo International, Inc.* | 2,059 | 1,658,627 | ||
PerkinElmer, Inc. | 318 | 31,193 | ||
Quest Diagnostics, Inc. | 14,321 | 1,632,021 | ||
Regeneron Pharmaceuticals, Inc.* | 545 | 339,889 | ||
ResMed, Inc. | 252 | 48,384 | ||
Stryker Corporation | 8,775 | 1,581,167 | ||
Teleflex, Inc. | 72 | 26,207 | ||
Thermo Fisher Scientific, Inc. | 7,957 | 2,883,139 | ||
UnitedHealth Group, Inc. | 13,018 | 3,839,659 | ||
Universal Health Services, Inc. Class B | 174 | 16,163 | ||
Varian Medical Systems, Inc.* | 3,848 | 471,457 | ||
Vertex Pharmaceuticals, Inc.* | 687 | 199,443 | ||
Waters Corporation* | 639 | 115,276 | ||
West Pharmaceutical Services, Inc. | 3,639 | 826,672 | ||
Zimmer Biomet Holdings, Inc. | 334 | 39,866 | ||
Zoetis, Inc. | 11,928 | 1,634,613 | ||
64,272,029 | ||||
Industrials — 5.4% | ||||
3M Co. | 15,887 | 2,478,213 | ||
A.O. Smith Corporation | 278 | 13,099 | ||
Alaska Air Group, Inc. | 219 | 7,941 | ||
American Airlines Group, Inc. | 534 | 6,979 | ||
AMETEK, Inc. | 278 | 24,845 | ||
Boeing Co. (The) | 924 | 169,369 | ||
C.H. Robinson Worldwide, Inc. | 11,401 | 901,363 | ||
Carrier Global Corporation | 1,485 | 32,997 | ||
Caterpillar, Inc. | 11,231 | 1,420,721 | ||
Cintas Corporation | 4,629 | 1,232,980 |
Shares | Value | |||
Copart, Inc.* | 6,132 | $ 510,612 | ||
CoStar Group, Inc.* | 830 | 589,856 | ||
CSX Corporation | 1,343 | 93,661 | ||
Cummins, Inc. | 1,096 | 189,893 | ||
Deere & Co. | 531 | 83,447 | ||
Delta Air Lines, Inc. | 1,297 | 36,381 | ||
Dover Corporation | 192 | 18,540 | ||
Emerson Electric Co. | 172,844 | 10,721,513 | ||
Equifax, Inc. | 203 | 34,892 | ||
Expeditors International of Washington, Inc. | 24,038 | 1,827,850 | ||
Fastenal Co. | 1,061 | 45,453 | ||
FedEx Corporation | 5,053 | 708,532 | ||
Flowserve Corporation | 291 | 8,299 | ||
Fortive CorporationΔ | 3,752 | 253,860 | ||
Fortune Brands Home & Security, Inc. | 191 | 12,211 | ||
General Dynamics Corporation | 433 | 64,716 | ||
General Electric Co. | 15,358 | 104,895 | ||
Honeywell International, Inc. | 15,533 | 2,245,916 | ||
Hubbell, Inc. | 53,889 | 6,755,525 | ||
Huntington Ingalls Industries, Inc. | 90 | 15,704 | ||
IDEX Corporation | 1,433 | 226,471 | ||
IHS Markit, Ltd. | 500 | 37,750 | ||
Illinois ToolWorks, Inc. | 20,463 | 3,577,956 | ||
Ingersoll Rand, Inc.* | 380 | 10,686 | ||
J.B. Hunt Transport Services, Inc. | 166 | 19,976 | ||
Jacobs Engineering Group, Inc. | 178 | 15,094 | ||
Kansas City Southern | 154 | 22,991 | ||
L3Harris Technologies, Inc. | 371 | 62,948 | ||
Landstar System, Inc. | 10,051 | 1,128,828 | ||
Lockheed Martin Corporation | 2,462 | 898,433 | ||
Masco Corporation | 401 | 20,134 | ||
Norfolk Southern Corporation | 38,454 | 6,751,369 | ||
Northrop Grumman Corporation | 281 | 86,391 | ||
Old Dominion Freight Line, Inc. | 11,409 | 1,934,852 | ||
Otis Worldwide Corporation | 742 | 42,190 | ||
PACCAR, Inc. | 31,613 | 2,366,233 | ||
Parker-Hannifin Corporation | 215 | 39,403 | ||
Raytheon Technologies Corporation | 31,730 | 1,955,203 | ||
Republic Services, Inc. | 53,328 | 4,375,562 | ||
Robert Half International, Inc. | 7,566 | 399,712 | ||
Rockwell Automation, Inc. | 3,263 | 695,019 | ||
Rollins, Inc. | 37,238 | 1,578,519 | ||
Roper Technologies, Inc. | 128 | 49,697 | ||
Snap-on, Inc. | 112 | 15,513 | ||
Southwest Airlines Co. | 955 | 32,642 | ||
Stanley Black & Decker, Inc. | 256 | 35,681 | ||
Teledyne Technologies, Inc.* | 2,442 | 759,340 | ||
Textron, Inc. | 272 | 8,952 | ||
TransDigm Group, Inc. | 70 | 30,943 | ||
Union Pacific Corporation | 7,123 | 1,204,286 | ||
United Airlines Holdings, Inc.* | 286 | 9,898 | ||
United Parcel Service, Inc. Class B | 25,323 | 2,815,411 | ||
United Rentals, Inc.* | 123 | 18,332 | ||
Verisk Analytics, Inc. | 1,169 | 198,964 | ||
W.W. Grainger, Inc. | 55 | 17,279 | ||
Waste Management, Inc. | 29,980 | 3,175,182 |
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Shares | Value | |||
Westinghouse Air Brake Technologies Corporation | 214 | $ 12,320 | ||
Xylem, Inc. | 293 | 19,033 | ||
65,259,456 | ||||
Information Technology — 7.9% | ||||
Adobe, Inc.* | 9,409 | 4,095,832 | ||
Advanced Micro Devices, Inc.* | 2,002 | 105,325 | ||
Akamai Technologies, Inc.* | 15,782 | 1,690,094 | ||
Amphenol Corporation Class A | 6,566 | 629,088 | ||
Analog Devices, Inc. | 634 | 77,754 | ||
ANSYS, Inc.* | 1,329 | 387,709 | ||
Apple, Inc. | 15,068 | 5,496,806 | ||
Applied Materials, Inc. | 17,868 | 1,080,121 | ||
Arista Networks, Inc.* | 84 | 17,643 | ||
Autodesk, Inc.* | 1,085 | 259,521 | ||
Automatic Data Processing, Inc. | 43,953 | 6,544,162 | ||
Broadcom, Inc. | 1,644 | 518,863 | ||
Broadridge Financial Solutions, Inc. | 168 | 21,200 | ||
Cadence Design Systems, Inc.* | 408 | 39,152 | ||
CDW Corporation | 267 | 31,020 | ||
Cisco Systems, Inc. | 174,810 | 8,153,138 | ||
Citrix Systems, Inc. | 233 | 34,463 | ||
Cognex Corporation | 16,412 | 980,125 | ||
Cognizant Technology Solutions Corporation Class A | 12,370 | 702,863 | ||
Corning, Inc. | 1,462 | 37,866 | ||
DocuSign, Inc.* | 6,395 | 1,101,283 | ||
Dropbox, Inc. Class A* | 18,164 | 395,430 | ||
DXC Technology Co. | 631 | 10,412 | ||
F5 Networks, Inc.* | 4,816 | 671,736 | ||
Fidelity National Information Services, Inc. | 926 | 124,167 | ||
Fiserv, Inc.* | 988 | 96,449 | ||
FleetCor Technologies, Inc.* | 152 | 38,233 | ||
FLIR Systems, Inc. | 145 | 5,883 | ||
Fortinet, Inc.* | 272 | 37,337 | ||
Gartner, Inc.* | 125 | 15,166 | ||
Global Payments, Inc. | 519 | 88,033 | ||
Hewlett Packard Enterprise Co. | 2,988 | 29,073 | ||
HP, Inc. | 2,404 | 41,902 | ||
Intel Corporation | 63,390 | 3,792,624 | ||
International Business Machines Corporation | 8,121 | 980,773 | ||
Intuit, Inc. | 12,350 | 3,657,946 | ||
Jack Henry & Associates, Inc. | 7,048 | 1,297,043 | ||
Juniper Networks, Inc. | 751 | 17,168 | ||
Keysight Technologies, Inc.* | 264 | 26,606 | ||
KLA Corporation | 325 | 63,206 | ||
Lam Research Corporation | 260 | 84,100 | ||
Leidos Holdings, Inc. | 268 | 25,104 | ||
Mastercard, Inc. Class A | 12,855 | 3,801,223 | ||
Maxim Integrated Products, Inc. | 80,243 | 4,863,528 | ||
Microchip Technology, Inc. | 397 | 41,808 | ||
Micron Technology, Inc.* | 1,913 | 98,558 | ||
Microsoft Corporation | 74,278 | 15,116,316 | ||
Motorola Solutions, Inc. | 293 | 41,058 | ||
National Instruments Corporation | 4,818 | 186,505 | ||
NetApp, Inc. | 760 | 33,721 |
Shares | Value | |||
NortonLifeLock, Inc. | 1,116 | $ 22,130 | ||
NVIDIA Corporation | 5,435 | 2,064,811 | ||
Oracle Corporation | 19,407 | 1,072,625 | ||
Paychex, Inc. | 16,138 | 1,222,453 | ||
Paycom Software, Inc.* | 108 | 33,451 | ||
PayPal Holdings, Inc.* | 3,961 | 690,125 | ||
Qorvo, Inc.* | 113 | 12,490 | ||
QUALCOMM, Inc. | 1,972 | 179,866 | ||
salesforce.com, Inc.* | 20,745 | 3,886,161 | ||
ServiceNow, Inc.* | 324 | 131,239 | ||
Skyworks Solutions, Inc. | 3,766 | 481,521 | ||
Synopsys, Inc.* | 220 | 42,900 | ||
Texas Instruments, Inc. | 94,054 | 11,942,036 | ||
VeriSign, Inc.* | 180 | 37,229 | ||
Visa, Inc. Class AΔ | 20,535 | 3,966,746 | ||
Western Digital Corporation | 357 | 15,762 | ||
Western Union Co. (The) | 1,340 | 28,971 | ||
Workday, Inc. Class A* | 6,057 | 1,134,840 | ||
Xilinx, Inc. | 6,280 | 617,889 | ||
Zebra Technologies Corporation Class A* | 42 | 10,750 | ||
Zscaler, Inc.* | 3,607 | 394,966 | ||
95,674,097 | ||||
Materials — 1.0% | ||||
Air Products and Chemicals, Inc. | 4,747 | 1,146,211 | ||
Albemarle Corporation | 215 | 16,600 | ||
Ball Corporation | 503 | 34,953 | ||
Celanese Corporation | 213 | 18,390 | ||
CF Industries Holdings, Inc. | 450 | 12,663 | ||
Corteva, Inc. | 1,360 | 36,434 | ||
Dow, Inc. | 1,521 | 61,996 | ||
DuPont de Nemours, Inc. | 1,360 | 72,257 | ||
Eastman Chemical Co. | 225 | 15,669 | ||
Ecolab, Inc. | 16,549 | 3,292,424 | ||
FMC Corporation | 156 | 15,541 | ||
Freeport-McMoRan, Inc. | 1,705 | 19,727 | ||
International Flavors & Fragrances, Inc. | 140 | 17,144 | ||
International Paper Co. | 998 | 35,140 | ||
Martin Marietta Materials, Inc. | 6,080 | 1,255,946 | ||
Newmont Corporation | 12,712 | 784,839 | ||
Nucor Corporation | 652 | 26,999 | ||
Packaging Corporation of America | 26,267 | 2,621,447 | ||
PPG Industries, Inc. | 6,306 | 668,814 | ||
Royal Gold, Inc. | 1,162 | 144,460 | ||
Sealed Air Corporation | 385 | 12,647 | ||
Sherwin-Williams Co. (The) | 1,986 | 1,147,610 | ||
Vulcan Materials Co. | 148 | 17,146 | ||
11,475,057 | ||||
Real Estate — 0.1% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 27,907 | ||
American Tower Corporation REIT | 766 | 198,042 | ||
Apartment Investment and Management Co. Class A REIT | 480 | 18,067 | ||
AvalonBay Communities, Inc. REIT | 239 | 36,959 | ||
Boston Properties, Inc. REIT | 257 | 23,228 |
Table of Contents
Shares | Value | |||
CBRE Group, Inc. Class A* | 366 | $ 16,550 | ||
Crown Castle International Corporation REIT | 714 | 119,488 | ||
Digital Realty Trust, Inc. REIT | 362 | 51,444 | ||
Equinix, Inc. REIT | 151 | 106,047 | ||
Equity Residential REIT | 647 | 38,057 | ||
Essex Property Trust, Inc. REIT | 71 | 16,271 | ||
Extra Space Storage, Inc. REIT | 205 | 18,936 | ||
Federal Realty Investment Trust REIT | 105 | 8,947 | ||
Healthpeak Properties, Inc. REIT | 1,300 | 35,828 | ||
Host Hotels & Resorts, Inc. REIT | 1,318 | 14,221 | ||
Iron Mountain, Inc. REIT | 1,187 | 30,981 | ||
Kimco Realty Corporation REIT | 1,153 | 14,804 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 23,163 | ||
Prologis, Inc. REIT | 1,241 | 115,823 | ||
Public Storage REIT | 316 | 60,637 | ||
Realty Income Corporation REIT | 702 | 41,769 | ||
Regency Centers Corporation REIT | 353 | 16,199 | ||
SBA Communications Corporation REIT | 150 | 44,688 | ||
Simon Property Group, Inc. REIT | 737 | 50,396 | ||
SL Green Realty Corporation REIT | 174 | 8,576 | ||
UDR, Inc. REIT | 300 | 11,214 | ||
Ventas, Inc. REIT | 882 | 32,299 | ||
Vornado Realty Trust REIT | 299 | 11,425 | ||
Welltower, Inc. REIT | 697 | 36,070 | ||
Weyerhaeuser Co. REIT | 1,607 | 36,093 | ||
1,264,129 | ||||
Utilities — 4.5% | ||||
AES Corporation (The) | 1,420 | 20,576 | ||
Alliant Energy Corporation | 300 | 14,352 | ||
Ameren Corporation | 30,573 | 2,151,116 | ||
American Electric Power Co., Inc. | 12,026 | 957,751 | ||
American Water Works Co., Inc. | 12,926 | 1,663,059 | ||
Atmos Energy Corporation | 78,566 | 7,823,602 | ||
CenterPoint Energy, Inc. | 792 | 14,787 | ||
CMS Energy Corporation | 355 | 20,739 | ||
Consolidated Edison, Inc. | 18,667 | 1,342,717 | ||
Dominion Energy, Inc. | 26,559 | 2,156,060 | ||
DTE Energy Co. | 13,361 | 1,436,308 | ||
Duke Energy CorporationΔ | 39,123 | 3,125,536 | ||
Edison International | 661 | 35,899 | ||
Entergy Corporation | 334 | 31,333 | ||
Evergy, Inc. | 103,033 | 6,108,827 | ||
Eversource Energy | 46,121 | 3,840,496 | ||
Exelon Corporation | 6,281 | 227,937 | ||
FirstEnergy Corporation | 986 | 38,237 | ||
IDACORP, Inc. | 4,963 | 433,617 | ||
NextEra Energy, Inc. | 13,993 | 3,360,699 | ||
NiSource, Inc. | 539 | 12,257 | ||
NRG Energy, Inc. | 488 | 15,889 | ||
ONE Gas, Inc. | 88,002 | 6,780,554 | ||
Pinnacle West Capital Corporation | 19,630 | 1,438,683 | ||
PPL Corporation | 5,186 | 134,006 | ||
Public Service Enterprise Group, Inc. | 25,776 | 1,267,148 |
Shares | Value | |||
Sempra Energy | 13,622 | $ 1,596,907 | ||
Southern Co. (The) | 2,193 | 113,707 | ||
Spire, Inc. | 92,940 | 6,107,087 | ||
WEC Energy Group, Inc. | 11,514 | 1,009,202 | ||
Xcel Energy, Inc. | 10,724 | 670,250 | ||
53,949,338 | ||||
Total Common Stocks (Cost $387,017,440) | 484,357,833 | |||
FOREIGN COMMON STOCKS — 4.9% | ||||
Curacao — 0.0% | ||||
Schlumberger, Ltd. | 2,511 | 46,177 | ||
France — 0.3% | ||||
TOTAL SAΔ | 106,423 | 4,103,504 | ||
Ireland — 1.6% | ||||
Accenture PLC Class A | 17,833 | 3,829,102 | ||
Alkermes PLCΔ* | 8,775 | 170,279 | ||
Allegion PLC | 156 | 15,946 | ||
Aon PLC Class A | 5,570 | 1,072,782 | ||
Eaton Corporation PLC | 837 | 73,221 | ||
Johnson Controls International PLC | 1,787 | 61,008 | ||
Linde PLC | 13,313 | 2,823,821 | ||
Medtronic PLC | 121,852 | 11,173,828 | ||
Pentair PLC | 294 | 11,169 | ||
Seagate Technology PLC | 674 | 32,628 | ||
Trane Technologies PLC | 431 | 38,350 | ||
Willis Towers Watson PLC | 205 | 40,375 | ||
19,342,509 | ||||
Jersey — 0.0% | ||||
Amcor PLC | 5,182 | 52,908 | ||
Aptiv PLC | 496 | 38,648 | ||
91,556 | ||||
Netherlands — 0.8% | ||||
Akzo Nobel NV | 27,200 | 2,443,666 | ||
Koninklijke Ahold Delhaize NV | 157,753 | 4,299,411 | ||
LyondellBasell Industries NV Class A | 522 | 34,306 | ||
Mylan NV* | 3,199 | 51,440 | ||
Unilever NV | 45,000 | 2,399,300 | ||
9,228,123 | ||||
Switzerland — 1.9% | ||||
ABB, Ltd. | 41,900 | 950,415 | ||
Chubb, Ltd. | 61,083 | 7,734,329 | ||
Garmin, Ltd. | 2,465 | 240,338 | ||
Nestle SA | 50,900 | 5,643,315 | ||
Roche Holding AG | 24,600 | 8,522,659 | ||
TE Connectivity, Ltd. | 617 | 50,316 | ||
23,141,372 | ||||
United Kingdom — 0.3% | ||||
GlaxoSmithKline PLC ADR | 85,700 | 3,495,703 | ||
Nielsen Holdings PLC | 758 | 11,264 |
Table of Contents
Shares | Value | |||
TechnipFMC PLC | 1,083 | $ 7,408 | ||
3,514,375 | ||||
Total Foreign Common Stocks (Cost $55,625,304) | 59,467,616 | |||
PREFERRED STOCKS — 0.7% | ||||
Becton Dickinson and Co. | ||||
0.00% 06/01/23 CONV* | 65,971 | 3,509,657 | ||
Stanley Black & Decker, Inc. | ||||
(Step to 10.00% on 05/15/23), 5.00% CONV STEP* | 3,635 | 4,140,300 | ||
Wells Fargo & Co. | ||||
7.50% 02/27/20 CONV | 992 | 1,286,624 | ||
Total Preferred Stocks (Cost $8,493,896) | 8,936,581 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Aptiv PLC | ||||
0.00% 06/15/23 CONVΔ* (Cost $598,187) | 5,940 | 610,513 | ||
MUTUAL FUNDS — 1.0% | ||||
iShares Russell 1000 Value ETFΔ (Cost $12,434,078) | 111,161 | 12,518,952 |
Par | |||
CORPORATE BONDS — 27.1% | |||
1Life Healthcare, Inc. | |||
3.00%, 06/15/25 144A CONV | $1,713,000 | 1,839,024 | |
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | 4,029,000 | 5,037,468 | |
0.38%, 09/01/27 144A CONV | 1,170,000 | 1,274,921 | |
Allscripts Healthcare Solutions, Inc. | |||
0.88%, 01/01/27 144A CONV | 2,374,000 | 1,832,739 | |
Altair Engineering, Inc. | |||
0.25%, 06/01/24 CONV | 625,000 | 658,164 | |
Alteryx, Inc. | |||
0.50%, 08/01/24 144A CONV | 2,445,000 | 2,769,848 | |
1.00%, 08/01/26 144A CONV | 706,000 | 808,488 | |
American Airlines Group, Inc. | |||
6.50%, 07/01/25 CONVΔ | 4,217,000 | 3,985,714 | |
American Eagle Outfitters, Inc. | |||
3.75%, 04/15/25 144A CONV | 1,041,000 | 1,485,677 | |
Ares Capital Corporation | |||
3.75%, 02/01/22 CONVΔ | 2,830,000 | 2,791,613 | |
4.63%, 03/01/24 CONV | 503,000 | 492,311 | |
Atlassian, Inc. | |||
0.63%, 05/01/23 CONV | 359,000 | 799,615 | |
Bank of America Corporation | |||
(Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 01/28/25ρΔ^ | 2,160,000 | 1,941,084 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | $3,011,000 | $3,081,870 | ||
Bank of New York Mellon Corporation (The) | ||||
(Floating, ICE LIBOR USD 3M + 3.42%), 3.73%, 06/20/20†ρ | 798,000 | 757,134 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 12/31/49^ | 268,000 | 279,390 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 5,126,000 | 6,277,089 | ||
Blackline, Inc. | ||||
0.13%, 08/01/24 144A CONV | 2,520,000 | 3,219,888 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 5,718,000 | 5,285,576 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,496,000 | 1,455,017 | ||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 144A CONVΔ | 3,658,000 | 4,537,080 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 144A CONV | 3,021,000 | 3,448,320 | ||
Charles Schwab Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρΔ^ | 1,119,000 | 1,103,227 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 12/31/49^ | 974,000 | 1,042,979 | ||
Chegg, Inc. | ||||
0.13%, 03/15/25 CONV | 1,944,000 | 2,758,828 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 2,231,000 | 2,233,630 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 144A CONV | 1,260,000 | 1,410,697 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 CONV | 1,491,000 | 1,567,908 | ||
Coupa Software, Inc. | ||||
0.38%, 06/15/26 144A CONV | 1,797,000 | 2,084,090 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 144A CONV | 2,601,000 | 3,083,624 | ||
DexCom, Inc. | ||||
0.75%, 12/01/23 CONV | 555,000 | 1,378,166 | ||
0.25%, 11/15/25 144A CONVΔ | 3,231,000 | 3,323,856 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 6,474,000 | 5,963,296 | ||
DocuSign, Inc. | ||||
0.50%, 09/15/23 CONV | 323,000 | 786,765 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 2,196,000 | 2,152,261 |
Table of Contents
Par | Value | |||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρ^ | $2,800,000 | $2,800,609 | ||
Enphase Energy, Inc. | ||||
0.25%, 03/01/25 144A CONV | 1,624,000 | 1,482,339 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 1,357,000 | 1,676,057 | ||
Envista Holdings Corporation | ||||
2.38%, 06/01/25 144A CONV | 823,000 | 1,003,810 | ||
Etsy, Inc. | ||||
0.13%, 10/01/26 144A CONV | 3,570,000 | 4,885,672 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 CONV | 2,040,000 | 1,982,625 | ||
Exact Sciences Corporation | ||||
1.00%, 01/15/25 CONV | 1,713,000 | 2,346,709 | ||
0.38%, 03/15/27 CONVΔ | 2,352,000 | 2,448,319 | ||
Extra Space Storage LP REIT | ||||
3.13%, 10/01/35 144A CONV | 2,629,000 | 2,810,351 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 CONV | 2,642,000 | 2,403,000 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 144A CONV | 2,107,000 | 2,266,342 | ||
Fortive Corporation | ||||
0.88%, 02/15/22 CONV | 2,703,000 | 2,668,391 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,617,000 | 2,051,713 | ||
Glaukos Corporation | ||||
2.75%, 06/15/27 144A CONV | 849,000 | 817,886 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 02/01/24 CONV | 1,416,000 | 1,170,638 | ||
Guess?, Inc. | ||||
2.00%, 04/15/24 CONV | 1,639,000 | 1,108,374 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 2,089,000 | 2,062,888 | ||
HubSpot, Inc. | ||||
0.38%, 06/01/25 144A CONV | 1,211,000 | 1,298,798 | ||
IAC Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 2,375,000 | 3,083,972 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 1,587,000 | 2,048,222 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22 CONV | 560,000 | 665,189 | ||
Illumina, Inc. | ||||
0.50%, 06/15/21 CONV | 620,000 | 925,362 | ||
0.00%, 08/15/23Ω CONV | 2,981,000 | 3,267,058 | ||
Inphi Corporation | ||||
0.75%, 04/15/25 144A CONVΔ | 1,086,000 | 1,308,710 |
Par | Value | |||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 144A CONV | $2,749,000 | $2,601,624 | ||
Insulet Corporation | ||||
1.38%, 11/15/24 CONV | 2,000 | 4,243 | ||
0.38%, 09/01/26 144A CONV | 3,103,000 | 3,403,784 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 144A CONV | 1,738,000 | 1,588,654 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 144A CONV | 1,042,000 | 1,036,113 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 144A CONV | 1,179,000 | 1,154,757 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 144A CONV | 771,000 | 798,729 | ||
1.50%, 06/15/26 144A CONV | 746,000 | 772,769 | ||
J2 Global, Inc. | ||||
1.75%, 11/01/26 144A CONV | 3,387,000 | 2,865,375 | ||
3.25%, 06/15/29 CONV | 983,000 | 1,075,056 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONV | 282,000 | 258,898 | ||
2.00%, 06/15/26 144A CONV | 3,996,000 | 4,047,532 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 4.23%, 07/30/20†ρ | 1,397,000 | 1,274,402 | ||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | 4,279,000 | 4,096,572 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ^ | 2,505,000 | 2,238,844 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 CONVΔ | 2,298,000 | 2,592,730 | ||
Liberty Interactive LLC | ||||
1.75%, 09/30/46 144A CONV | 1,877,000 | 2,842,414 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,231,000 | 1,340,976 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 636,000 | 670,598 | ||
2.13%, 03/31/48 144A CONV | 4,651,000 | 4,542,580 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 CONV | 3,657,000 | 3,718,712 | ||
2.00%, 02/15/25 144A CONV | 1,676,000 | 1,442,408 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 144A CONV | 2,325,000 | 2,777,617 | ||
Lumentum Holdings, Inc. | ||||
0.25%, 03/15/24 CONV | 596,000 | 870,160 | ||
0.50%, 12/15/26 144A CONV | 3,147,000 | 3,320,085 |
Table of Contents
Par | Value | |||
Macquarie Infrastructure Corporation | ||||
2.00%, 10/01/23 CONV | $2,384,000 | $2,067,962 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 4,328,000 | 4,006,650 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONVΔ | 2,514,000 | 2,510,621 | ||
Microchip Technology, Inc. | ||||
1.63%, 02/15/27 CONV | 5,976,000 | 8,829,821 | ||
National Vision Holdings, Inc. | ||||
2.50%, 05/15/25 144A CONV | 1,331,000 | 1,594,622 | ||
NCL Corporation, Ltd. | ||||
6.00%, 05/15/24 144A CONV | 683,000 | 912,746 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 838,000 | 1,401,745 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 4,051,000 | 3,924,387 | ||
NextEra Energy Partners LP | ||||
1.50%, 09/15/20 144A CONV | 2,707,000 | 2,784,718 | ||
Nuance Communications, Inc. | ||||
1.00%, 12/15/35 CONV | 1,647,000 | 1,949,214 | ||
NuVasive, Inc. | ||||
1.00%, 06/01/23 144A CONV | 4,071,000 | 3,959,967 | ||
Okta, Inc. | ||||
0.38%, 06/15/26 144A CONV | 4,005,000 | 4,343,338 | ||
ON Semiconductor Corporation | ||||
1.63%, 10/15/23 CONV | 4,114,000 | 5,002,665 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22 CONV | 882,000 | 848,374 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 4,325,000 | 4,634,138 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,378,000 | 1,564,225 | ||
Pegasystems, Inc. | ||||
0.75%, 03/01/25 144A CONV | 3,041,000 | 3,120,254 | ||
Pioneer Natural Resources Co. | ||||
0.25%, 05/15/25 144A CONV | 2,264,000 | 2,682,357 | ||
Plains All American Pipeline LP | ||||
(Variable, ICE LIBOR USD 3M + 4.11%), 6.13%, 11/15/22ρ^ | 1,386,000 | 990,688 | ||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | 603,000 | 597,266 | ||
Proofpoint, Inc. | ||||
0.25%, 08/15/24 144A CONV | 2,444,000 | 2,405,837 |
Par | Value | |||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | $3,012,000 | $2,968,627 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26 CONV | 1,069,000 | 1,219,223 | ||
Rapid7, Inc. | ||||
2.25%, 05/01/25 144A CONV | 2,507,000 | 2,714,393 | ||
RealPage, Inc. | ||||
1.50%, 05/15/25 CONV | 1,718,000 | 1,855,821 | ||
Repligen Corporation | ||||
0.38%, 07/15/24 CONV | 473,000 | 595,081 | ||
RH | ||||
1.14%, 06/15/23Ω CONV | 1,277,000 | 1,789,791 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25 144AΩ CONVΔ | 4,154,000 | 4,468,420 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25 144A CONV | 652,000 | 834,497 | ||
Sailpoint Technologies Holdings, Inc. | ||||
0.13%, 09/15/24 144A CONVΔ | 2,550,000 | 2,877,273 | ||
Silicon Laboratories, Inc. | ||||
0.63%, 06/15/25 144A CONV | 4,183,000 | 4,512,068 | ||
Slack Technologies, Inc. | ||||
0.50%, 04/15/25 144A CONV | 1,793,000 | 2,216,596 | ||
Snap, Inc. | ||||
0.75%, 08/01/26 144A CONV | 2,943,000 | 3,687,947 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 2,219,000 | 2,676,183 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | 775,000 | 1,118,887 | ||
1.13%, 06/15/27 144A CONV | 3,389,000 | 3,627,432 | ||
Square, Inc. | ||||
0.50%, 05/15/23 CONV | 1,040,000 | 1,549,399 | ||
0.13%, 03/01/25 144A CONV | 2,152,000 | 2,448,615 | ||
Starwood Property Trust, Inc. REIT | ||||
4.38%, 04/01/23 CONV | 4,485,000 | 4,308,291 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONV | 1,007,000 | 891,262 | ||
Tabula Rasa HealthCare, Inc. | ||||
1.75%, 02/15/26 144A CONV | 891,000 | 916,271 | ||
Tandem Diabetes Care, Inc. | ||||
1.50%, 05/01/25 144A CONV | 1,209,000 | 1,414,374 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 144A CONV | 1,705,000 | 1,892,314 | ||
Twilio, Inc. | ||||
0.25%, 06/01/23 CONV | 244,000 | 758,296 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 3,088,000 | 2,916,749 | ||
U.S. Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 3,536,000 | 3,573,527 |
Table of Contents
Par | Value | |||
Varonis Systems, Inc. | ||||
1.25%, 08/15/25 144A CONV | $2,064,000 | $ 2,413,178 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 755,000 | 707,993 | ||
Wayfair, Inc. | ||||
1.00%, 08/15/26 144A CONV | 1,611,000 | 2,352,137 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 1,381,000 | 1,305,092 | ||
Workday, Inc. | ||||
0.25%, 10/01/22 CONV | 2,219,000 | 3,061,080 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 144A CONV | 1,370,000 | 1,259,852 | ||
Zendesk, Inc. | ||||
0.63%, 06/15/25 144A CONV | 3,416,000 | 3,661,008 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 4,121,000 | 4,812,133 | ||
Zscaler, Inc. | ||||
0.13%, 07/01/25 144A CONV | 1,358,000 | 1,393,865 | ||
Zynga, Inc. | ||||
0.25%, 06/01/24 CONV | 3,224,000 | 4,182,276 | ||
Total Corporate Bonds (Cost $306,273,633) | 325,977,569 | |||
FOREIGN BONDS — 1.3% | ||||
France — 0.8% | ||||
Cie Generale des Etablissements Michelin SCA | ||||
0.62%, 01/10/22Ω CONV | 1,400,000 | 1,374,681 | ||
TOTAL SA | ||||
0.50%, 12/02/22 CONV | 3,000,000 | 2,966,085 | ||
Valeo SA | ||||
1.34%, 06/16/21Ω CONV | 1,200,000 | 1,175,640 | ||
Vinci SA | ||||
0.38%, 02/16/22 CONVΔ | 3,200,000 | 3,724,768 | ||
9,241,174 | ||||
Israel — 0.2% | ||||
CyberArk Software, Ltd. | ||||
0.02%, 11/15/24 144AΩ CONV | 2,292,000 | 2,142,951 | ||
Wix.com, Ltd. | ||||
0.00%, 07/01/23Ω CONVΔ | 540,000 | 1,004,738 | ||
3,147,689 | ||||
Netherlands — 0.3% | ||||
STMicroelectronics NV | ||||
0.25%, 07/03/24 CONV | 2,200,000 | 3,240,380 | ||
Total Foreign Bonds (Cost $14,487,932) | 15,629,243 |
Shares | |||
EQUITY-LINKED SECURITIES — 1.1% | |||
Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 08/21/20 144A††† | 8,900 | 1,570,672 |
Shares | Value | |||
Berkshire Hathaway, Inc., Issued by Wells Fargo Bank, Maturity Date 07/09/20 144A CONV††† | 6,800 | $ 1,224,272 | ||
Berkshire Hathaway, Inc., Issued by Wells Fargo Bank, Maturity Date 07/30/20 144A CONV††† | 7,900 | 1,402,013 | ||
Cerner Corporation, Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 12/18/20 144A††† | 16,400 | 1,117,988 | ||
Cerner Corporation, Issued by Merrill Lynch International & Co. CV, Maturity Date 12/03/20 144A††† | 8,700 | 604,998 | ||
Charles Schwab Corporation (The), Issued by UBS AG, Maturity Date 10/20/20 144A††† | 27,900 | 981,801 | ||
Emerson Electric Co., Issued by Credit Suisse AG, Maturity Date 11/02/20 144A††† | 19,600 | 1,116,063 | ||
Hologic, Inc., Issued by Morgan Stanley BV, Maturity Date 07/16/20 144A††† | 6,200 | 340,690 | ||
Hologic, Inc., Issued by Royal Bank of Canada, Maturity Date 08/04/20 144A CONV††† | 23,100 | 1,262,184 | ||
Martin Marietta Minerals, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 09/01/20 144A††† | 4,005 | 817,200 | ||
Martin Marietta Minerals, Inc., Issued by Credit Suisse AG, Maturity Date 10/08/2020 144A††† | 2,800 | 571,371 | ||
Martin Marietta Minerals, Inc., Issued by Morgan Stanley BV, Maturity Date 09/14/20 144A††† | 800 | 159,804 | ||
Martin Marietta Minerals, Inc., Issued by Morgan Stanley BV, Maturity Date 11/10/20 144A††† | 2,800 | 534,030 | ||
Martin Marietta Minerals, Inc., Issued by Royal Bank of Canada, Maturity Date 08/21/20 144A CONV††† | 3,400 | 708,730 | ||
Raytheon Co., Issued by Goldman Sachs International, Maturity Date 08/31/20 144A††† | 3,400 | 495,397 | ||
Total Equity-Linked Securities (Cost $13,927,952) | 12,907,213 | |||
RIGHTS — 0.0% | ||||
T-Mobile US, Inc.* (Cost $—) | 7,153 | 1,202 | ||
MONEY MARKET FUNDS — 8.5% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 62,758,246 | 62,758,246 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 35,669,941 | 35,669,941 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 3,480,269 | 3,480,269 | ||
Total Money Market Funds (Cost $101,908,456) | 101,908,456 |
Table of Contents
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 18.0% | ||||
U.S. Treasury Bills | ||||
1.87%, 07/16/20Ω | $41,639,000 | $ 41,636,961 | ||
0.21%, 09/24/20Ω | 850,000 | 849,729 | ||
1.58%, 10/08/20Ω | 37,970,000 | 37,954,860 | ||
0.17%, 12/17/20Ω | 3,300,000 | 3,297,812 | ||
0.21%, 12/31/20Ω | 825,000 | 824,308 | ||
0.19%, 02/25/21Ω | 825,000 | 824,178 | ||
0.18%, 03/25/21Ω | 15,000,000 | 14,982,756 | ||
0.16%, 04/22/21Ω | 28,225,000 | 28,189,151 | ||
0.17%, 05/20/21Ω | 9,065,000 | 9,052,190 | ||
U.S. Treasury Notes | ||||
1.38%, 08/31/20 | 34,300,000 | 34,368,448 | ||
1.38%, 10/31/20 | 30,957,300 | 31,079,827 | ||
2.00%, 11/30/20 | 13,314,000 | 13,412,295 | ||
Total U.S. Treasury Obligations (Cost $215,966,951) | 216,472,515 | |||
TOTAL INVESTMENTS — 102.8% (Cost $1,116,733,829) | 1,238,787,693 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.1)% | |||||
Call Options — (0.0)% | |||||
S&P 500®, Strike Price $3,200.00, Expires 07/10/20 (MSCS) | (11) | $(3,410,319) | (9,724) | ||
S&P 500®, Strike Price $3,200.00, Expires 07/13/20 (MSCS) | (12) | (3,720,348) | (13,584) | ||
S&P 500®, Strike Price $3,200.00, Expires 07/24/20 (MSCS) | (22) | (6,820,638) | (57,090) | ||
S&P 500®, Strike Price $3,200.00, Expires 07/27/20 (MSCS) | (11) | (3,410,319) | (30,690) | ||
S&P 500®, Strike Price $3,225.00, Expires 07/22/20 (MSCS) | (11) | (3,410,319) | (17,930) | ||
S&P 500®, Strike Price $3,225.00, Expires 07/29/20 (MSCS) | (11) | (3,410,319) | (25,795) | ||
S&P 500®, Strike Price $3,275.00, Expires 07/20/20 (MSCS) | (11) | (3,410,319) | (7,535) | ||
S&P 500®, Strike Price $3,295.00, Expires 07/17/20 (MSCS) | (11) | (3,410,319) | (5,060) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,300.00, Expires 07/15/20 (MSCS) | (11) | $ (3,410,319) | $ (3,465) | ||
(170,873) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $2,750.00, Expires 07/13/20 (MSCS) | (67) | (20,771,943) | (29,145) | ||
S&P 500®, Strike Price $2,755.00, Expires 07/10/20 (MSCS) | (65) | (20,151,885) | (22,425) | ||
S&P 500®, Strike Price $2,780.00, Expires 07/24/20 (MSCS) | (63) | (19,531,827) | (100,170) | ||
S&P 500®, Strike Price $2,790.00, Expires 07/27/20 (MSCS) | (63) | (19,531,827) | (114,660) | ||
S&P 500®, Strike Price $2,825.00, Expires 07/22/20 (MSCS) | (63) | (19,531,827) | (108,990) | ||
S&P 500®, Strike Price $2,850.00, Expires 07/29/20 (MSCS) | (63) | (19,531,827) | (174,825) | ||
S&P 500®, Strike Price $2,870.00, Expires 07/15/20 (MSCS) | (63) | (19,531,827) | (86,310) | ||
S&P 500®, Strike Price $2,880.00, Expires 07/20/20 (MSCS) | (63) | (19,531,827) | (130,410) | ||
S&P 500®, Strike Price $2,895.00, Expires 07/17/20 (MSCS) | (57) | (17,671,653) | (116,280) | ||
S&P 500®, Strike Price $2,980.00, Expires 07/08/20 (MSCS) | (57) | (17,671,653) | (81,225) | ||
S&P 500®, Strike Price $3,020.00, Expires 07/02/20 (MSCS) | (66) | (20,461,914) | (46,200) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,030.00, Expires 07/06/20 (MSCS) | (57) | $(17,671,653) | $ (90,345) | ||
(1,100,985) | |||||
Total Written Options (Premiums received $(2,780,078)) | (1,271,858) | ||||
Liabilities in Excess of Other Assets — (2.7)% | (32,975,914) | ||||
NET ASSETS — 100.0% | $1,204,539,921 |
% | |
Corporate Bonds | 27.1 |
U.S. Treasury Obligations | 18.0 |
Money Market Funds | 8.5 |
Information Technology | 8.2 |
Health Care | 7.5 |
Consumer Staples | 6.9 |
Financials | 6.4 |
Industrials | 5.8 |
Utilities | 4.5 |
Communication Services | 2.6 |
Consumer Discretionary | 1.6 |
Materials | 1.5 |
Foreign Bonds | 1.3 |
Equity-Linked Securities | 1.1 |
Mutual Funds | 1.0 |
Energy | 0.7 |
Real Estate | 0.1 |
Rights | —** |
Written Options | (0.1) |
102.7 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | (155) | $(23,949,050) | $(704,814) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/20 | U.S. Dollars | 10,883,209 | Euro | 9,643,277 | CS | $26,309 | ||||||
09/30/20 | U.S. Dollars | 2,845,521 | British Pounds | 2,280,248 | JPM | 18,519 | ||||||
09/30/20 | U.S. Dollars | 14,081,355 | Swiss Francs | 13,303,571 | UBS | 379 | ||||||
09/30/20 | Swiss Francs | 363,947 | U.S. Dollars | 384,855 | UBS | 359 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $45,566 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 484,357,833 | $484,357,833 | $ — | $ — | |||
Corporate Bonds | 325,977,569 | — | 325,977,569 | — | |||
Equity-Linked Securities | 12,907,213 | — | 3,372,927 | 9,534,286 | |||
Foreign Bonds | 15,629,243 | — | 15,629,243 | — | |||
Foreign Common Stocks: | |||||||
France | 4,103,504 | — | 4,103,504 | — | |||
Netherlands | 9,228,123 | 85,746 | 9,142,377 | — | |||
Switzerland | 23,141,372 | 8,024,983 | 15,116,389 | — | |||
Other ^^ | 22,994,617 | 22,994,617 | — | — | |||
Total Foreign Common Stocks | 59,467,616 | 31,105,346 | 28,362,270 | — | |||
Foreign Preferred Stock | 610,513 | 610,513 | — | — | |||
Money Market Funds | 101,908,456 | 101,908,456 | — | — | |||
Mutual Funds | 12,518,952 | 12,518,952 | — | — | |||
Preferred Stocks | 8,936,581 | 8,936,581 | — | — | |||
Rights | 1,202 | — | 1,202 | — | |||
U.S. Treasury Obligations | 216,472,515 | — | 216,472,515 | — | |||
Total Assets - Investments in Securities | $1,238,787,693 | $639,437,681 | $589,815,726 | $9,534,286 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 45,566 | $ — | $ 45,566 | $ — | |||
Total Assets - Other Financial Instruments | $ 45,566 | $ — | $ 45,566 | $ — |
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 | $ (170,873) | $ (170,873) | $ — | $ — | |||
Put Options | (1,100,985) | (1,100,985) | — | — | |||
Total Written Options | (1,271,858) | (1,271,858) | — | — | |||
Total Liabilities - Investments in Securities | $ (1,271,858) | $ (1,271,858) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (704,814) | $ (704,814) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (704,814) | $ (704,814) | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | 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 — 93.5% | ||||
Communication Services — 10.4% | ||||
Activision Blizzard, Inc. | 58,450 | $ 4,436,355 | ||
Alphabet, Inc. Class A* | 22,635 | 32,097,562 | ||
Alphabet, Inc. Class C* | 24,147 | 34,134,441 | ||
AT&T, Inc. | 580,816 | 17,558,068 | ||
CenturyLink, Inc.Δ | 121,774 | 1,221,393 | ||
Charter Communications, Inc. Class A* | 13,277 | 6,771,801 | ||
Comcast Corporation Class A | 365,905 | 14,262,977 | ||
Discovery, Inc. Class AΔ* | 27,796 | 586,496 | ||
Discovery, Inc. Class C* | 15,921 | 306,638 | ||
DISH Network Corporation Class A* | 18,408 | 635,260 | ||
Electronic Arts, Inc.* | 25,211 | 3,329,112 | ||
Facebook, Inc. Class A* | 187,870 | 42,659,641 | ||
Fox Corporation Class AΔ | 31,129 | 834,880 | ||
Fox Corporation Class B | 9,099 | 244,217 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 808,905 | ||
Live Nation Entertainment, Inc.* | 10,940 | 484,970 | ||
Netflix, Inc.* | 34,494 | 15,696,150 | ||
News Corporation Class A | 13,865 | 164,439 | ||
News Corporation Class BΔ | 13,984 | 167,109 | ||
Omnicom Group, Inc. | 24,095 | 1,315,587 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,409,936 | ||
T-Mobile US, Inc.Δ* | 23,800 | 2,478,770 | ||
Twitter, Inc.* | 52,713 | 1,570,320 | ||
Verizon Communications, Inc. | 331,314 | 18,265,341 | ||
ViacomCBS, Inc. Class BΔ | 34,540 | 805,473 | ||
Walt Disney Co. (The) | 142,641 | 15,905,898 | ||
218,151,739 | ||||
Consumer Discretionary — 10.2% | ||||
Advance Auto Parts, Inc. | 6,948 | 989,743 | ||
Amazon.com, Inc.* | 32,591 | 89,912,703 | ||
AutoZone, Inc.* | 2,011 | 2,268,649 | ||
Best Buy Co., Inc. | 15,833 | 1,381,746 | ||
Booking Holdings, Inc.* | 3,419 | 5,444,210 | ||
BorgWarner, Inc. | 6,279 | 221,649 | ||
CarMax, Inc.* | 16,274 | 1,457,337 | ||
Carnival CorporationΔ | 37,542 | 616,440 | ||
Chipotle Mexican Grill, Inc.* | 1,816 | 1,911,086 | ||
D.R. Horton, Inc. | 20,166 | 1,118,205 | ||
Darden Restaurants, Inc. | 9,727 | 737,015 | ||
Dollar General Corporation | 23,558 | 4,488,035 | ||
Dollar Tree, Inc.* | 18,243 | 1,690,761 | ||
Domino’s Pizza, Inc.Δ | 3,030 | 1,119,403 | ||
eBay, Inc. | 59,500 | 3,120,775 | ||
Expedia Group, Inc. | 10,462 | 859,976 | ||
Ford Motor Co. | 395,246 | 2,403,096 | ||
Gap, Inc. (The) | 36,887 | 465,514 | ||
General Motors Co. | 106,950 | 2,705,835 | ||
Genuine Parts Co. | 12,313 | 1,070,738 | ||
H&R Block, Inc.Δ | 32,961 | 470,683 | ||
Hanesbrands, Inc. | 14,216 | 160,499 | ||
Hasbro, Inc. | 10,784 | 808,261 | ||
Hilton Worldwide Holdings, Inc. | 25,822 | 1,896,626 | ||
Home Depot, Inc. (The) | 82,780 | 20,737,218 | ||
Kohl’s Corporation | 15,822 | 328,623 |
Shares | Value | |||
L Brands, Inc.Δ | 34,382 | $ 514,698 | ||
Leggett & Platt, Inc. | 4,991 | 175,434 | ||
Lennar Corporation Class A | 21,185 | 1,305,420 | ||
LKQ Corporation* | 18,658 | 488,840 | ||
Lowe’s Cos., Inc. | 58,190 | 7,862,633 | ||
Marriott International, Inc. Class A | 24,143 | 2,069,779 | ||
McDonald’s Corporation | 61,562 | 11,356,342 | ||
Mohawk Industries, Inc.* | 2,387 | 242,901 | ||
Newell Brands, Inc. | 39,118 | 621,194 | ||
NIKE, Inc. Class B | 94,490 | 9,264,744 | ||
Norwegian Cruise Line Holdings, Ltd.Δ* | 15,478 | 254,304 | ||
NVR, Inc.* | 266 | 866,827 | ||
O’Reilly Automotive, Inc.* | 5,716 | 2,410,266 | ||
PulteGroup, Inc. | 11,415 | 388,452 | ||
PVH Corporation | 2,959 | 142,180 | ||
Ralph Lauren Corporation | 2,058 | 149,246 | ||
Ross Stores, Inc. | 25,592 | 2,181,462 | ||
Royal Caribbean Cruises, Ltd.Δ | 15,182 | 763,655 | ||
Starbucks Corporation | 94,517 | 6,955,506 | ||
Tapestry, Inc. | 24,199 | 321,363 | ||
Target Corporation | 41,380 | 4,962,703 | ||
Tiffany & Co. | 9,641 | 1,175,623 | ||
TJX Cos., Inc. (The) | 90,590 | 4,580,230 | ||
Tractor Supply Co. | 7,490 | 987,107 | ||
Ulta Beauty, Inc.* | 3,840 | 781,133 | ||
Under Armour, Inc. Class AΔ* | 20,379 | 198,491 | ||
Under Armour, Inc. Class C* | 9,410 | 83,184 | ||
VF Corporation | 27,573 | 1,680,299 | ||
Whirlpool Corporation | 2,806 | 363,461 | ||
Yum! Brands, Inc. | 25,974 | 2,257,400 | ||
213,789,703 | ||||
Consumer Staples — 6.8% | ||||
Archer-Daniels-Midland Co. | 58,262 | 2,324,654 | ||
Campbell Soup Co. | 28,952 | 1,436,888 | ||
Church & Dwight Co., Inc. | 27,416 | 2,119,257 | ||
Clorox Co. (The) | 12,213 | 2,679,166 | ||
Coca-Cola Co. (The) | 369,705 | 16,518,419 | ||
Colgate-Palmolive Co. | 85,113 | 6,235,378 | ||
Conagra Brands, Inc. | 41,499 | 1,459,520 | ||
Costco Wholesale Corporation | 33,471 | 10,148,742 | ||
Coty, Inc. Class A | 45,699 | 204,274 | ||
Estee Lauder Cos., Inc. (The) Class A | 18,085 | 3,412,278 | ||
General Mills, Inc. | 62,909 | 3,878,340 | ||
Hershey Co. (The) | 15,496 | 2,008,591 | ||
Hormel Foods CorporationΔ | 43,964 | 2,122,142 | ||
J.M. Smucker Co. (The) | 15,075 | 1,595,086 | ||
Kellogg Co. | 29,100 | 1,922,346 | ||
Kimberly-Clark Corporation | 31,736 | 4,485,883 | ||
Kraft Heinz Co. (The) | 75,933 | 2,421,503 | ||
Kroger Co. (The) | 64,489 | 2,182,953 | ||
Lamb Weston Holdings, Inc. | 17,029 | 1,088,664 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 12,700 | 2,278,507 | ||
Mondelez International, Inc. Class A | 133,352 | 6,818,288 | ||
Monster Beverage Corporation* | 46,680 | 3,235,858 | ||
PepsiCo, Inc. | 130,365 | 17,242,075 |
Table of Contents
Shares | Value | |||
Procter & Gamble Co. (The) | 206,021 | $ 24,633,931 | ||
Sysco Corporation | 37,870 | 2,069,974 | ||
Tyson Foods, Inc. Class A | 35,391 | 2,113,197 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 2,595,921 | ||
Walmart, Inc. | 111,926 | 13,406,496 | ||
142,638,331 | ||||
Energy — 2.6% | ||||
Apache Corporation | 23,559 | 318,047 | ||
Archrock, Inc. | 13 | 84 | ||
Baker Hughes Co. | 33,215 | 511,179 | ||
Cabot Oil & Gas Corporation | 29,892 | 513,545 | ||
Chevron Corporation | 148,265 | 13,229,686 | ||
Concho Resources, Inc. | 15,869 | 817,253 | ||
ConocoPhillips | 89,387 | 3,756,042 | ||
Devon Energy Corporation | 38,557 | 437,236 | ||
Diamondback Energy, Inc. | 10,890 | 455,420 | ||
EOG Resources, Inc. | 40,407 | 2,047,019 | ||
Exterran Corporation* | 6 | 32 | ||
Exxon Mobil Corporation | 332,330 | 14,861,798 | ||
Halliburton Co. | 74,621 | 968,581 | ||
Hess Corporation | 18,891 | 978,743 | ||
HollyFrontier Corporation | 10,771 | 314,513 | ||
Kinder Morgan, Inc. | 146,006 | 2,214,911 | ||
Marathon Oil Corporation | 69,854 | 427,506 | ||
Marathon Petroleum Corporation | 50,234 | 1,877,747 | ||
National Oilwell Varco, Inc. | 32,684 | 400,379 | ||
Noble Energy, Inc. | 40,915 | 366,598 | ||
Occidental Petroleum CorporationΔ | 79,090 | 1,447,347 | ||
ONEOK, Inc.Δ | 35,809 | 1,189,575 | ||
Phillips 66 | 31,961 | 2,297,996 | ||
Pioneer Natural Resources Co. | 11,479 | 1,121,498 | ||
Valero Energy Corporation | 31,110 | 1,829,890 | ||
Williams Cos., Inc. (The) | 96,309 | 1,831,797 | ||
54,214,422 | ||||
Financials — 9.4% | ||||
Aflac, Inc. | 66,659 | 2,401,724 | ||
Allstate Corporation (The) | 28,840 | 2,797,192 | ||
American Express Co. | 47,721 | 4,543,039 | ||
American International Group, Inc. | 67,569 | 2,106,801 | ||
Ameriprise Financial, Inc. | 10,894 | 1,634,536 | ||
Arthur J. Gallagher & Co. | 15,093 | 1,471,417 | ||
Assurant, Inc. | 2,341 | 241,802 | ||
Bank of America Corporation | 683,906 | 16,242,767 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 2,820,175 | ||
Berkshire Hathaway, Inc. Class B* | 156,738 | 27,979,300 | ||
BlackRock, Inc. | 12,151 | 6,611,238 | ||
Capital One Financial Corporation | 34,907 | 2,184,829 | ||
Cboe Global Markets, Inc. | 8,664 | 808,178 | ||
Charles Schwab Corporation (The)Δ | 92,054 | 3,105,902 | ||
Cincinnati Financial Corporation | 10,988 | 703,562 | ||
Citigroup, Inc. | 179,525 | 9,173,727 | ||
Citizens Financial Group, Inc. | 37,570 | 948,267 | ||
CME Group, Inc. | 28,081 | 4,564,286 | ||
Comerica, Inc. | 10,547 | 401,841 | ||
Discover Financial Services | 17,665 | 884,840 | ||
E*TRADE Financial Corporation | 10,478 | 521,071 |
Shares | Value | |||
Everest Re Group, Ltd. | 3,173 | $ 654,273 | ||
Fifth Third Bancorp | 52,084 | 1,004,179 | ||
First Republic Bank | 11,885 | 1,259,691 | ||
Franklin Resources, Inc.Δ | 23,495 | 492,690 | ||
Globe Life, Inc. | 4,186 | 310,727 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 5,400,955 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,108,197 | ||
Huntington Bancshares, Inc. | 83,830 | 757,404 | ||
Intercontinental Exchange, Inc. | 43,068 | 3,945,029 | ||
Invesco, Ltd. | 43,478 | 467,823 | ||
JPMorgan Chase & Co. | 250,114 | 23,525,723 | ||
KeyCorp | 64,549 | 786,207 | ||
Lincoln National Corporation | 19,455 | 715,749 | ||
Loews Corporation | 12,502 | 428,694 | ||
M&T Bank Corporation | 10,059 | 1,045,834 | ||
MarketAxess Holdings, Inc. | 2,840 | 1,422,613 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 4,285,673 | ||
MetLife, Inc. | 79,589 | 2,906,590 | ||
Moody’s Corporation | 11,483 | 3,154,725 | ||
Morgan Stanley | 104,741 | 5,058,990 | ||
MSCI, Inc. | 5,076 | 1,694,470 | ||
Nasdaq, Inc. | 9,140 | 1,091,956 | ||
Northern Trust Corporation | 16,617 | 1,318,393 | ||
People’s United Financial, Inc. | 11,480 | 132,824 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 3,591,554 | ||
Principal Financial Group, Inc. | 22,421 | 931,368 | ||
Progressive Corporation (The) | 45,104 | 3,613,281 | ||
Prudential Financial, Inc. | 36,128 | 2,200,195 | ||
Raymond James Financial, Inc. | 9,228 | 635,163 | ||
Regions Financial Corporation | 83,579 | 929,398 | ||
S&P Global, Inc. | 17,423 | 5,740,530 | ||
State Street Corporation | 30,870 | 1,961,788 | ||
SVB Financial Group* | 2,215 | 477,399 | ||
Synchrony Financial | 55,655 | 1,233,315 | ||
T. Rowe Price Group, Inc. | 15,490 | 1,913,015 | ||
Travelers Cos., Inc. (The) | 21,004 | 2,395,506 | ||
Truist Financial Corporation | 104,234 | 3,913,987 | ||
U.S. Bancorp | 117,801 | 4,337,433 | ||
Unum Group | 8,642 | 143,371 | ||
W.R. Berkley Corporation | 11,267 | 645,486 | ||
Wells Fargo & Co. | 318,305 | 8,148,608 | ||
Zions Bancorp NA | 7,446 | 253,164 | ||
198,180,464 | ||||
Health Care — 13.5% | ||||
Abbott Laboratories | 143,145 | 13,087,747 | ||
ABIOMED, Inc.* | 6,766 | 1,634,395 | ||
Agilent Technologies, Inc. | 32,843 | 2,902,336 | ||
Alexion Pharmaceuticals, Inc.* | 24,651 | 2,766,828 | ||
Align Technology, Inc.* | 8,080 | 2,217,475 | ||
Amgen, Inc. | 55,832 | 13,168,536 | ||
Anthem, Inc. | 21,194 | 5,573,598 | ||
Baxter International, Inc. | 41,154 | 3,543,359 | ||
Becton, Dickinson and Co. | 21,279 | 5,091,426 | ||
Biogen, Inc.* | 18,945 | 5,068,735 | ||
Bio-Rad Laboratories, Inc. Class A* | 1,690 | 763,018 |
Table of Contents
Shares | Value | |||
Boston Scientific Corporation* | 120,221 | $ 4,220,959 | ||
Bristol-Myers Squibb Co. | 237,755 | 13,979,994 | ||
Cardinal Health, Inc. | 27,527 | 1,436,634 | ||
Centene Corporation* | 58,326 | 3,706,617 | ||
Cerner Corporation | 28,126 | 1,928,037 | ||
Cigna Corporation | 29,323 | 5,502,461 | ||
CVS Health Corporation | 104,298 | 6,776,241 | ||
Danaher Corporation | 49,319 | 8,721,079 | ||
DaVita, Inc.* | 13,768 | 1,089,600 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,156,178 | ||
DexCom, Inc.* | 7,150 | 2,898,610 | ||
Edwards Lifesciences Corporation* | 57,327 | 3,961,869 | ||
Eli Lilly and Co. | 106,010 | 17,404,722 | ||
Gilead Sciences, Inc. | 142,431 | 10,958,641 | ||
HCA Healthcare, Inc. | 23,088 | 2,240,921 | ||
Henry Schein, Inc.* | 11,738 | 685,382 | ||
Hologic, Inc.* | 29,305 | 1,670,385 | ||
Humana, Inc. | 11,904 | 4,615,776 | ||
IDEXX Laboratories, Inc.* | 8,626 | 2,847,960 | ||
Illumina, Inc.* | 12,688 | 4,699,001 | ||
Incyte Corporation* | 27,837 | 2,894,213 | ||
Intuitive Surgical, Inc.* | 9,533 | 5,432,189 | ||
IQVIA Holdings, Inc.* | 15,811 | 2,243,265 | ||
Johnson & Johnson | 236,810 | 33,302,590 | ||
Laboratory Corporation of America Holdings* | 7,436 | 1,235,194 | ||
McKesson Corporation | 16,930 | 2,597,401 | ||
Mettler-Toledo International, Inc.* | 2,501 | 2,014,681 | ||
PerkinElmer, Inc. | 11,320 | 1,110,379 | ||
Quest Diagnostics, Inc. | 16,017 | 1,825,297 | ||
Regeneron Pharmaceuticals, Inc.* | 9,873 | 6,157,296 | ||
ResMed, Inc. | 11,820 | 2,269,440 | ||
Stryker Corporation | 26,037 | 4,691,607 | ||
Teleflex, Inc. | 4,060 | 1,477,759 | ||
Thermo Fisher Scientific, Inc. | 34,174 | 12,382,607 | ||
UnitedHealth Group, Inc. | 74,142 | 21,868,183 | ||
Universal Health Services, Inc. Class B | 9,989 | 927,878 | ||
Varian Medical Systems, Inc.Δ* | 9,565 | 1,171,904 | ||
Vertex Pharmaceuticals, Inc.* | 29,389 | 8,531,921 | ||
Waters Corporation* | 6,921 | 1,248,548 | ||
West Pharmaceutical Services, Inc. | 5,815 | 1,320,994 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 2,547,262 | ||
Zoetis, Inc. | 78,966 | 10,821,501 | ||
284,390,629 | ||||
Industrials — 7.2% | ||||
3M Co. | 48,160 | 7,512,478 | ||
A.O. Smith Corporation | 16,217 | 764,145 | ||
Alaska Air Group, Inc. | 10,021 | 363,361 | ||
American Airlines Group, Inc.Δ | 38,478 | 502,907 | ||
AMETEK, Inc. | 16,745 | 1,496,501 | ||
Boeing Co. (The) | 41,191 | 7,550,310 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 985,009 | ||
Carrier Global Corporation | 63,362 | 1,407,904 | ||
Caterpillar, Inc. | 44,540 | 5,634,310 | ||
Cintas Corporation | 6,438 | 1,714,826 |
Shares | Value | |||
Copart, Inc.* | 11,178 | $ 930,792 | ||
CSX Corporation | 65,253 | 4,550,744 | ||
Cummins, Inc. | 10,680 | 1,850,417 | ||
Deere & Co. | 24,563 | 3,860,075 | ||
Delta Air Lines, Inc. | 56,365 | 1,581,038 | ||
Dover Corporation | 13,712 | 1,324,031 | ||
Emerson Electric Co. | 55,944 | 3,470,206 | ||
Equifax, Inc. | 8,312 | 1,428,667 | ||
Expeditors International of Washington, Inc. | 6,818 | 518,441 | ||
Fastenal Co. | 36,004 | 1,542,411 | ||
FedEx Corporation | 21,581 | 3,026,088 | ||
Flowserve Corporation | 4,858 | 138,550 | ||
Fortive CorporationΔ | 28,093 | 1,900,772 | ||
Fortune Brands Home & Security, Inc. | 18,870 | 1,206,359 | ||
General Dynamics Corporation | 20,407 | 3,050,030 | ||
General Electric Co. | 659,185 | 4,502,234 | ||
Honeywell International, Inc. | 55,553 | 8,032,408 | ||
Howmet Aerospace, Inc. | 16,474 | 261,113 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 489,444 | ||
IDEX Corporation | 5,716 | 903,357 | ||
IHS Markit, Ltd. | 29,494 | 2,226,797 | ||
Illinois ToolWorks, Inc. | 22,337 | 3,905,624 | ||
Ingersoll Rand, Inc.* | 14,300 | 402,116 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 393,391 | ||
Jacobs Engineering Group, Inc. | 4,647 | 394,066 | ||
Kansas City Southern | 10,006 | 1,493,796 | ||
L3Harris Technologies, Inc. | 16,801 | 2,850,626 | ||
Lockheed Martin Corporation | 19,185 | 7,000,990 | ||
Masco Corporation | 31,887 | 1,601,046 | ||
Norfolk Southern Corporation | 19,839 | 3,483,133 | ||
Northrop Grumman Corporation | 12,728 | 3,913,096 | ||
Old Dominion Freight Line, Inc. | 7,428 | 1,259,715 | ||
Otis Worldwide Corporation | 31,681 | 1,801,382 | ||
PACCAR, Inc. | 22,794 | 1,706,131 | ||
Parker-Hannifin Corporation | 8,815 | 1,615,525 | ||
Quanta Services, Inc. | 5,431 | 213,058 | ||
Raytheon Technologies Corporation | 117,008 | 7,210,033 | ||
Republic Services, Inc. | 19,655 | 1,612,693 | ||
Robert Half International, Inc. | 4,920 | 259,924 | ||
Rockwell Automation, Inc. | 8,494 | 1,809,222 | ||
Rollins, Inc. | 14,250 | 604,058 | ||
Roper Technologies, Inc. | 6,043 | 2,346,255 | ||
Snap-on, Inc. | 5,899 | 817,070 | ||
Southwest Airlines Co. | 36,781 | 1,257,175 | ||
Stanley Black & Decker, Inc. | 10,352 | 1,442,862 | ||
Teledyne Technologies, Inc.* | 2,897 | 900,822 | ||
Textron, Inc. | 19,700 | 648,327 | ||
TransDigm Group, Inc. | 3,870 | 1,710,734 | ||
Union Pacific Corporation | 55,813 | 9,436,304 | ||
United Airlines Holdings, Inc.Δ* | 19,397 | 671,330 | ||
United Parcel Service, Inc. Class BΔ | 50,421 | 5,605,807 | ||
United Rentals, Inc.* | 7,513 | 1,119,738 | ||
Verisk Analytics, Inc. | 12,729 | 2,166,476 | ||
W.W. Grainger, Inc. | 3,321 | 1,043,325 | ||
Waste Management, Inc. | 33,085 | 3,504,032 |
Table of Contents
Shares | Value | |||
Westinghouse Air Brake Technologies Corporation | 11,295 | $ 650,253 | ||
Xylem, Inc. | 9,669 | 628,098 | ||
152,203,958 | ||||
Information Technology — 25.8% | ||||
Adobe, Inc.* | 36,755 | 15,999,819 | ||
Advanced Micro Devices, Inc.* | 82,934 | 4,363,158 | ||
Akamai Technologies, Inc.* | 6,606 | 707,437 | ||
Amphenol Corporation Class A | 18,535 | 1,775,838 | ||
Analog Devices, Inc.Δ | 29,267 | 3,589,305 | ||
ANSYS, Inc.* | 9,168 | 2,674,581 | ||
Apple, Inc. | 334,672 | 122,088,346 | ||
Applied Materials, Inc. | 77,376 | 4,677,379 | ||
Arista Networks, Inc.* | 4,638 | 974,119 | ||
Autodesk, Inc.* | 15,847 | 3,790,444 | ||
Automatic Data Processing, Inc. | 33,997 | 5,061,813 | ||
Broadcom, Inc. | 31,170 | 9,837,564 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 858,975 | ||
Cadence Design Systems, Inc.* | 14,000 | 1,343,440 | ||
CDW Corporation | 11,000 | 1,277,980 | ||
Cisco Systems, Inc. | 338,843 | 15,803,637 | ||
Citrix Systems, Inc. | 9,508 | 1,406,328 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 2,475,022 | ||
Corning, Inc. | 59,799 | 1,548,794 | ||
DXC Technology Co. | 18,725 | 308,962 | ||
F5 Networks, Inc.* | 2,480 | 345,910 | ||
Fidelity National Information Services, Inc. | 47,995 | 6,435,650 | ||
Fiserv, Inc.* | 43,328 | 4,229,679 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,573,069 | ||
FLIR Systems, Inc. | 5,180 | 210,153 | ||
Fortinet, Inc.* | 9,885 | 1,356,914 | ||
Gartner, Inc.* | 5,295 | 642,442 | ||
Global Payments, Inc. | 22,769 | 3,862,078 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,107,313 | ||
HP, Inc. | 132,336 | 2,306,616 | ||
Intel Corporation | 342,984 | 20,520,733 | ||
International Business Machines Corporation | 72,240 | 8,724,425 | ||
Intuit, Inc. | 19,008 | 5,629,979 | ||
IPG Photonics Corporation* | 2,807 | 450,215 | ||
Jack Henry & Associates, Inc. | 5,530 | 1,017,686 | ||
Juniper Networks, Inc. | 15,019 | 343,334 | ||
Keysight Technologies, Inc.* | 13,420 | 1,352,468 | ||
KLA Corporation | 11,211 | 2,180,315 | ||
Lam Research Corporation | 10,705 | 3,462,639 | ||
Leidos Holdings, Inc. | 10,893 | 1,020,347 | ||
Mastercard, Inc. Class A | 68,771 | 20,335,585 | ||
Maxim Integrated Products, Inc. | 19,970 | 1,210,382 | ||
Microchip Technology, Inc.Δ | 16,977 | 1,787,848 | ||
Micron Technology, Inc.* | 84,017 | 4,328,556 | ||
Microsoft Corporation | 599,094 | 121,921,620 | ||
Motorola Solutions, Inc. | 13,048 | 1,828,416 | ||
NetApp, Inc. | 21,788 | 966,734 | ||
NortonLifeLock, Inc. | 47,298 | 937,919 | ||
NVIDIA Corporation | 46,907 | 17,820,438 | ||
Oracle Corporation | 205,823 | 11,375,837 |
Shares | Value | |||
Paychex, Inc. | 27,668 | $ 2,095,851 | ||
Paycom Software, Inc.* | 3,850 | 1,192,460 | ||
PayPal Holdings, Inc.* | 89,390 | 15,574,420 | ||
Qorvo, Inc.* | 4,807 | 531,318 | ||
QUALCOMM, Inc. | 91,816 | 8,374,537 | ||
salesforce.com, Inc.* | 68,199 | 12,775,719 | ||
ServiceNow, Inc.Δ* | 14,510 | 5,877,421 | ||
Skyworks Solutions, Inc. | 15,074 | 1,927,362 | ||
Synopsys, Inc.Δ* | 15,492 | 3,020,940 | ||
Texas Instruments, Inc. | 69,952 | 8,881,805 | ||
Tyler Technologies, Inc.* | 3,141 | 1,089,550 | ||
VeriSign, Inc.* | 7,867 | 1,627,132 | ||
Visa, Inc. Class AΔ | 132,519 | 25,598,695 | ||
Western Digital Corporation | 24,973 | 1,102,558 | ||
Western Union Co. (The) | 39,393 | 851,677 | ||
Xerox Holdings Corporation | 11,464 | 175,285 | ||
Xilinx, Inc. | 18,364 | 1,806,834 | ||
Zebra Technologies Corporation Class AΔ* | 4,187 | 1,071,663 | ||
543,423,468 | ||||
Materials — 1.9% | ||||
Air Products and Chemicals, Inc. | 16,602 | 4,008,719 | ||
Albemarle CorporationΔ | 5,038 | 388,984 | ||
Avery Dennison Corporation | 3,272 | 373,302 | ||
Ball Corporation | 26,240 | 1,823,418 | ||
Celanese Corporation | 9,582 | 827,310 | ||
CF Industries Holdings, Inc. | 17,082 | 480,687 | ||
Corteva, Inc. | 55,219 | 1,479,317 | ||
Dow, Inc. | 55,219 | 2,250,726 | ||
DuPont de Nemours, Inc. | 62,802 | 3,336,670 | ||
Eastman Chemical Co. | 14,389 | 1,002,050 | ||
Ecolab, Inc. | 18,944 | 3,768,909 | ||
FMC Corporation | 5,397 | 537,649 | ||
Freeport-McMoRan, Inc. | 112,863 | 1,305,825 | ||
International Flavors & Fragrances, Inc.Δ | 8,221 | 1,006,744 | ||
International Paper Co. | 43,581 | 1,534,487 | ||
Martin Marietta Materials, Inc. | 5,969 | 1,233,016 | ||
Mosaic Co. (The) | 26,057 | 325,973 | ||
Newmont Corporation | 67,991 | 4,197,764 | ||
Nucor Corporation | 32,443 | 1,343,465 | ||
Packaging Corporation of America | 6,567 | 655,387 | ||
PPG Industries, Inc. | 18,443 | 1,956,065 | ||
Sealed Air Corporation | 10,710 | 351,823 | ||
Sherwin-Williams Co. (The) | 6,348 | 3,668,192 | ||
Vulcan Materials Co. | 11,222 | 1,300,069 | ||
Westrock Co. | 21,818 | 616,577 | ||
39,773,128 | ||||
Real Estate — 2.6% | ||||
Alexandria Real Estate Equities, Inc. REITΔ | 4,819 | 781,883 | ||
American Tower Corporation REITΔ | 34,001 | 8,790,619 | ||
Apartment Investment and Management Co. Class A REITΔ | 5,953 | 224,071 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 1,813,927 | ||
Boston Properties, Inc. REIT | 11,272 | 1,018,763 | ||
CBRE Group, Inc. Class A* | 26,915 | 1,217,096 |
Table of Contents
Shares | Value | |||
Crown Castle International Corporation REIT | 32,487 | $ 5,436,699 | ||
Digital Realty Trust, Inc. REITΔ | 16,030 | 2,278,023 | ||
Duke Realty Corporation REIT | 32,547 | 1,151,838 | ||
Equinix, Inc. REIT | 6,095 | 4,280,518 | ||
Equity Residential REIT | 36,341 | 2,137,578 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,289,540 | ||
Extra Space Storage, Inc. REIT | 8,534 | 788,286 | ||
Federal Realty Investment Trust REIT | 2,600 | 221,546 | ||
Healthpeak Properties, Inc. REIT | 46,597 | 1,284,213 | ||
Host Hotels & Resorts, Inc. REIT | 47,435 | 511,824 | ||
Iron Mountain, Inc. REITΔ | 32,755 | 854,906 | ||
Kimco Realty Corporation REIT | 56,971 | 731,508 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 872,295 | ||
Prologis, Inc. REIT | 48,593 | 4,535,185 | ||
Public Storage REIT | 13,141 | 2,521,627 | ||
Realty Income Corporation REIT | 28,647 | 1,704,496 | ||
Regency Centers Corporation REIT | 15,104 | 693,123 | ||
SBA Communications Corporation REIT | 9,082 | 2,705,709 | ||
Simon Property Group, Inc. REIT | 28,493 | 1,948,351 | ||
SL Green Realty Corporation REIT | 7,249 | 357,303 | ||
UDR, Inc. REIT | 16,995 | 635,273 | ||
Ventas, Inc. REITΔ | 33,547 | 1,228,491 | ||
Vornado Realty Trust REIT | 15,993 | 611,093 | ||
Welltower, Inc. REIT | 31,626 | 1,636,645 | ||
Weyerhaeuser Co. REIT | 66,786 | 1,500,014 | ||
55,762,443 | ||||
Utilities — 3.1% | ||||
AES Corporation (The) | 56,201 | 814,353 | ||
Alliant Energy Corporation | 6,500 | 310,960 | ||
Ameren Corporation | 19,884 | 1,399,038 | ||
American Electric Power Co., Inc. | 43,060 | 3,429,298 | ||
American Water Works Co., Inc. | 20,418 | 2,626,980 | ||
Atmos Energy Corporation | 8,640 | 860,371 | ||
CenterPoint Energy, Inc. | 50,231 | 937,813 | ||
CMS Energy Corporation | 24,417 | 1,426,441 | ||
Consolidated Edison, Inc. | 33,879 | 2,436,917 | ||
Dominion Energy, Inc. | 82,303 | 6,681,358 | ||
DTE Energy Co. | 20,230 | 2,174,725 | ||
Duke Energy CorporationΔ | 63,450 | 5,069,021 | ||
Edison International | 25,039 | 1,359,868 | ||
Entergy Corporation | 11,610 | 1,089,134 | ||
Evergy, Inc. | 17,247 | 1,022,575 | ||
Eversource Energy | 22,827 | 1,900,804 | ||
Exelon Corporation | 79,694 | 2,892,095 | ||
FirstEnergy Corporation | 37,260 | 1,444,943 | ||
NextEra Energy, Inc. | 39,437 | 9,471,584 | ||
NiSource, Inc. | 23,079 | 524,816 | ||
NRG Energy, Inc. | 19,377 | 630,915 | ||
Pinnacle West Capital Corporation | 4,108 | 301,075 | ||
PPL Corporation | 73,784 | 1,906,579 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,298,279 | ||
Sempra Energy | 20,984 | 2,459,954 |
Shares | Value | |||
Southern Co. (The) | 81,308 | $ 4,215,820 | ||
WEC Energy Group, Inc.Δ | 32,075 | 2,811,374 | ||
Xcel Energy, Inc. | 35,982 | 2,248,875 | ||
64,745,965 | ||||
Total Common Stocks (Cost $1,401,415,242) | 1,967,274,250 | |||
FOREIGN COMMON STOCKS — 2.9% | ||||
Curacao — 0.1% | ||||
Schlumberger, Ltd. | 121,737 | 2,238,743 | ||
Ireland — 2.1% | ||||
Accenture PLC Class A | 48,630 | 10,441,834 | ||
Allegion PLCΔ | 11,277 | 1,152,735 | ||
Aon PLC Class A | 19,060 | 3,670,956 | ||
Eaton Corporation PLC | 34,612 | 3,027,858 | ||
Johnson Controls International PLC | 75,803 | 2,587,914 | ||
Linde PLC | 42,397 | 8,992,828 | ||
Medtronic PLC | 104,997 | 9,628,225 | ||
Pentair PLC | 6,692 | 254,229 | ||
Seagate Technology PLCΔ | 24,342 | 1,178,396 | ||
STERIS PLC | 6,583 | 1,010,095 | ||
Trane Technologies PLC | 16,206 | 1,442,010 | ||
Willis Towers Watson PLCΔ | 8,889 | 1,750,689 | ||
45,137,769 | ||||
Jersey — 0.1% | ||||
Amcor PLC | 120,129 | 1,226,517 | ||
Aptiv PLC | 15,022 | 1,170,514 | ||
2,397,031 | ||||
Netherlands — 0.2% | ||||
LyondellBasell Industries NV Class A | 27,312 | 1,794,945 | ||
Mylan NV* | 84,301 | 1,355,560 | ||
3,150,505 | ||||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 4,505,519 | ||
Garmin, Ltd. | 8,253 | 804,668 | ||
TE Connectivity, Ltd. | 28,610 | 2,333,145 | ||
7,643,332 | ||||
United Kingdom — 0.0% | ||||
Nielsen Holdings PLC | 40,749 | 605,530 | ||
TechnipFMC PLC | 23,072 | 157,813 | ||
763,343 | ||||
Total Foreign Common Stocks (Cost $58,631,710) | 61,330,723 | |||
RIGHTS — 0.0% | ||||
T-Mobile US, Inc.* (Cost $—) | 23,800 | 3,998 | ||
MONEY MARKET FUNDS — 3.5% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 70,028,319 | 70,028,319 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 4,262,211 | 4,262,211 |
Table of Contents
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø∞ | 11,173 | $ 11,173 | ||
Total Money Market Funds (Cost $74,301,703) | 74,301,703 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,534,348,655) | 2,102,910,674 | |||
Other Assets in Excess of Liabilities — 0.1% | 2,115,727 | |||
NET ASSETS — 100.0% | $2,105,026,401 |
% | |
Information Technology | 26.5 |
Health Care | 14.1 |
Communication Services | 10.4 |
Consumer Discretionary | 10.3 |
Financials | 9.9 |
Industrials | 7.5 |
Consumer Staples | 6.8 |
Money Market Funds | 3.5 |
Utilities | 3.1 |
Energy | 2.7 |
Real Estate | 2.6 |
Materials | 2.5 |
Rights | —** |
99.9 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | 443 | $68,447,930 | $1,712,117 |
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 | $1,967,274,250 | $1,967,274,250 | $ — | $ — | |||
Foreign Common Stocks | 61,330,723 | 61,330,723 | — | — | |||
Money Market Funds | 74,301,703 | 74,301,703 | — | — | |||
Rights | 3,998 | — | 3,998 | — | |||
Total Assets - Investments in Securities | $2,102,910,674 | $2,102,906,676 | $ 3,998 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,712,117 | $ 1,712,117 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,712,117 | $ 1,712,117 | $ — | $ — |
*** | 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 — 83.6% | ||||
Communication Services — 5.4% | ||||
Activision Blizzard, Inc. | 3,553 | $ 269,673 | ||
Alphabet, Inc. Class A* | 560 | 794,108 | ||
Alphabet, Inc. Class C* | 560 | 791,622 | ||
AT&T, Inc. | 236,547 | 7,150,816 | ||
Charter Communications, Inc. Class A* | 140 | 71,406 | ||
Comcast Corporation Class A | 401,002 | 15,631,058 | ||
Discovery, Inc. Class AΔ* | 177,022 | 3,735,164 | ||
Electronic Arts, Inc.* | 2,002 | 264,364 | ||
Fox Corporation Class A | 71,904 | 1,928,465 | ||
T-Mobile US, Inc.* | 4,452 | 463,676 | ||
Verizon Communications, Inc. | 287,266 | 15,836,975 | ||
ViacomCBS, Inc. Class BΔ | 155,664 | 3,630,084 | ||
Walt Disney Co. (The) | 54,303 | 6,055,327 | ||
56,622,738 | ||||
Consumer Discretionary — 6.8% | ||||
Advance Auto Parts, Inc. | 89,150 | 12,699,417 | ||
Aramark | 388,310 | 8,764,157 | ||
Darden Restaurants, Inc. | 19,100 | 1,447,207 | ||
Dollar General Corporation | 17,063 | 3,250,672 | ||
eBay, Inc. | 36,737 | 1,926,856 | ||
General Motors Co. | 11,710 | 296,263 | ||
Home Depot, Inc. (The) | 4,511 | 1,130,051 | ||
Lennar Corporation Class A | 239,739 | 14,772,717 | ||
Lowe’s Cos., Inc. | 124,070 | 16,764,338 | ||
Marriott International, Inc. Class A | 2,309 | 197,951 | ||
McDonald’s Corporation | 5,483 | 1,011,449 | ||
Ross Stores, Inc. | 565 | 48,161 | ||
Starbucks Corporation | 4,266 | 313,935 | ||
Target Corporation | 75,938 | 9,107,244 | ||
TJX Cos., Inc. (The) | 1,846 | 93,334 | ||
Yum! Brands, Inc. | 2,509 | 218,057 | ||
72,041,809 | ||||
Consumer Staples — 5.4% | ||||
Coca-Cola Co. (The) | 101,979 | 4,556,422 | ||
Colgate-Palmolive Co. | 67,732 | 4,962,046 | ||
Conagra Brands, Inc. | 118,400 | 4,164,128 | ||
Costco Wholesale Corporation | 516 | 156,456 | ||
Estee Lauder Cos., Inc. (The) Class A | 300 | 56,604 | ||
General Mills, Inc. | 7,096 | 437,468 | ||
Keurig Dr. Pepper, Inc.Δ | 5,015 | 142,426 | ||
Kimberly-Clark Corporation | 53,694 | 7,589,647 | ||
Kraft Heinz Co. (The) | 8,982 | 286,436 | ||
Lamb Weston Holdings, Inc. | 50,582 | 3,233,707 | ||
Mondelez International, Inc. Class A | 132,009 | 6,749,620 | ||
PepsiCo, Inc. | 63,475 | 8,395,204 | ||
Post Holdings, Inc.* | 39,620 | 3,471,504 | ||
Procter & Gamble Co. (The) | 34,013 | 4,066,935 | ||
Sysco Corporation | 1,424 | 77,836 | ||
Walgreens Boots Alliance, Inc. | 6,927 | 293,636 | ||
Walmart, Inc. | 67,067 | 8,033,285 | ||
56,673,360 | ||||
Energy — 4.6% | ||||
Baker Hughes Co. | 225,425 | 3,469,291 |
Shares | Value | |||
Chevron Corporation | 231,881 | $ 20,690,742 | ||
ConocoPhillips | 8,984 | 377,508 | ||
EOG Resources, Inc. | 4,839 | 245,144 | ||
Exxon Mobil Corporation | 36,355 | 1,625,796 | ||
Hess Corporation | 80,458 | 4,168,529 | ||
Kinder Morgan, Inc. | 17,120 | 259,710 | ||
Marathon Petroleum Corporation | 54,393 | 2,033,210 | ||
Phillips 66 | 155,408 | 11,173,835 | ||
Valero Energy Corporation | 70,576 | 4,151,280 | ||
48,195,045 | ||||
Financials — 18.2% | ||||
Aflac, Inc. | 6,929 | 249,652 | ||
Allstate Corporation (The) | 2,605 | 252,659 | ||
American Express Co. | 46,756 | 4,451,171 | ||
American International Group, Inc. | 468,868 | 14,619,304 | ||
Ameriprise Financial, Inc. | 21,159 | 3,174,696 | ||
Bank of America Corporation | 64,095 | 1,522,256 | ||
Bank of New York Mellon Corporation (The) | 255,878 | 9,889,685 | ||
Berkshire Hathaway, Inc. Class B* | 176,190 | 31,451,677 | ||
BlackRock, Inc. | 11,533 | 6,274,990 | ||
Blackstone Group, Inc. (The) Class A | 43,100 | 2,442,046 | ||
Capital One Financial Corporation | 3,737 | 233,899 | ||
Charles Schwab Corporation (The) | 9,782 | 330,045 | ||
Cincinnati Financial Corporation | 36,830 | 2,358,225 | ||
Citigroup, Inc. | 277,111 | 14,160,372 | ||
CME Group, Inc. | 3,046 | 495,097 | ||
Franklin Resources, Inc. | 82,440 | 1,728,767 | ||
Goldman Sachs Group, Inc. (The) | 45,071 | 8,906,931 | ||
Intercontinental Exchange, Inc. | 71,143 | 6,516,699 | ||
JPMorgan Chase & Co. | 211,043 | 19,850,704 | ||
Marsh & McLennan Cos., Inc. | 65,854 | 7,070,744 | ||
MetLife, Inc. | 97,415 | 3,557,596 | ||
Morgan Stanley | 9,279 | 448,176 | ||
New York Community Bancorp, Inc. | 579,740 | 5,913,348 | ||
Northern Trust Corporation | 45,758 | 3,630,440 | ||
PNC Financial Services Group, Inc. (The) | 31,698 | 3,334,946 | ||
Progressive Corporation (The) | 3,458 | 277,020 | ||
Reinsurance Group of America, Inc. | 60,690 | 4,760,524 | ||
S&P Global, Inc. | 733 | 241,509 | ||
Travelers Cos., Inc. (The) | 2,523 | 287,748 | ||
Truist Financial Corporation | 126,415 | 4,746,883 | ||
U.S. Bancorp | 281,842 | 10,377,422 | ||
Wells Fargo & Co. | 593,216 | 15,186,330 | ||
Zions Bancorp NA | 69,626 | 2,367,284 | ||
191,108,845 | ||||
Health Care — 10.2% | ||||
Abbott Laboratories | 9,356 | 855,419 | ||
Anthem, Inc. | 29,795 | 7,835,489 | ||
Baxter International, Inc. | 2,946 | 253,651 | ||
Becton, Dickinson and Co. | 29,562 | 7,073,300 | ||
Biogen, Inc.* | 1,241 | 332,030 | ||
Boston Scientific Corporation* | 12,687 | 445,441 | ||
Bristol-Myers Squibb Co. | 81,273 | 4,778,852 | ||
Centene Corporation* | 87,055 | 5,532,345 |
Table of Contents
Shares | Value | |||
Cerner Corporation | 71,215 | $ 4,881,788 | ||
Cigna Corporation | 2,323 | 435,911 | ||
CVS Health Corporation | 150,148 | 9,755,116 | ||
Danaher Corporation | 5,391 | 953,290 | ||
Gilead Sciences, Inc. | 79,911 | 6,148,352 | ||
HCA Healthcare, Inc. | 1,511 | 146,658 | ||
Hologic, Inc.* | 77,914 | 4,441,098 | ||
Humana, Inc. | 707 | 274,139 | ||
Johnson & Johnson | 184,724 | 25,977,736 | ||
McKesson Corporation | 31,195 | 4,785,937 | ||
Molina Healthcare, Inc.* | 33,526 | 5,966,957 | ||
Stryker Corporation | 2,096 | 377,678 | ||
Thermo Fisher Scientific, Inc. | 1,491 | 540,249 | ||
UnitedHealth Group, Inc. | 25,578 | 7,544,231 | ||
Zimmer Biomet Holdings, Inc. | 65,374 | 7,803,041 | ||
Zoetis, Inc. | 1,798 | 246,398 | ||
107,385,106 | ||||
Industrials — 11.9% | ||||
3M Co. | 1,765 | 275,322 | ||
AECOM* | 140,595 | 5,283,560 | ||
Boeing Co. (The) | 4,505 | 825,766 | ||
Caterpillar, Inc. | 4,625 | 585,063 | ||
CSX Corporation | 6,730 | 469,350 | ||
Deere & Co. | 60,110 | 9,446,286 | ||
Emerson Electric Co. | 115,396 | 7,158,014 | ||
Fastenal Co. | 142,803 | 6,117,681 | ||
FedEx Corporation | 2,156 | 302,314 | ||
General Dynamics Corporation | 35,911 | 5,367,258 | ||
General Electric Co. | 635,755 | 4,342,207 | ||
Honeywell International, Inc. | 6,116 | 884,312 | ||
Hubbell, Inc. | 47,963 | 6,012,642 | ||
Illinois ToolWorks, Inc. | 1,407 | 246,014 | ||
J.B. Hunt Transport Services, Inc. | 87,375 | 10,514,707 | ||
Jacobs Engineering Group, Inc. | 27,712 | 2,349,978 | ||
L3Harris Technologies, Inc. | 13,153 | 2,231,670 | ||
Norfolk Southern Corporation | 30,316 | 5,322,580 | ||
Northrop Grumman Corporation | 88 | 27,055 | ||
Quanta Services, Inc. | 94,690 | 3,714,689 | ||
Raytheon Technologies Corporation | 226,257 | 13,941,957 | ||
Republic Services, Inc. | 53,300 | 4,373,265 | ||
Roper Technologies, Inc. | 752 | 291,972 | ||
Stanley Black & Decker, Inc. | 46,970 | 6,546,679 | ||
Textron, Inc. | 104,807 | 3,449,198 | ||
Uber Technologies, Inc.* | 2,524 | 78,446 | ||
Union Pacific Corporation | 24,203 | 4,092,001 | ||
United Parcel Service, Inc. Class B | 129,668 | 14,416,488 | ||
Waste Management, Inc. | 3,420 | 362,212 | ||
Westinghouse Air Brake Technologies Corporation | 116,685 | 6,717,555 | ||
125,746,241 | ||||
Information Technology — 11.8% | ||||
Advanced Micro Devices, Inc.* | 60 | 3,157 | ||
Analog Devices, Inc. | 2,852 | 349,769 | ||
Apple, Inc. | 30,688 | 11,194,982 | ||
Autodesk, Inc.* | 567 | 135,621 | ||
Automatic Data Processing, Inc. | 599 | 89,185 |
Shares | Value | |||
Broadcom, Inc. | 38,725 | $ 12,221,997 | ||
Cisco Systems, Inc. | 472,105 | 22,018,977 | ||
Cognizant Technology Solutions Corporation Class A | 177,968 | 10,112,142 | ||
Corning, Inc. | 148,110 | 3,836,049 | ||
Dell Technologies, Inc. Class C* | 1,261 | 69,279 | ||
Fidelity National Information Services, Inc. | 5,092 | 682,786 | ||
Fiserv, Inc.* | 33,084 | 3,229,660 | ||
Global Payments, Inc. | 2,345 | 397,759 | ||
Intel Corporation | 125,627 | 7,516,263 | ||
International Business Machines Corporation | 47,726 | 5,763,869 | ||
Maxim Integrated Products, Inc. | 125,064 | 7,580,129 | ||
Micron Technology, Inc.* | 33,074 | 1,703,973 | ||
Microsoft Corporation | 31,222 | 6,353,989 | ||
ON Semiconductor Corporation* | 134,917 | 2,674,055 | ||
Oracle Corporation | 70,597 | 3,901,896 | ||
Paychex, Inc. | 46,102 | 3,492,227 | ||
QUALCOMM, Inc. | 37,365 | 3,408,062 | ||
salesforce.com, Inc.* | 439 | 82,238 | ||
Texas Instruments, Inc. | 136,356 | 17,313,121 | ||
124,131,185 | ||||
Materials — 4.4% | ||||
Air Products and Chemicals, Inc. | 52,566 | 12,692,587 | ||
Corteva, Inc. | 431,088 | 11,548,848 | ||
Dow, Inc. | 6,712 | 273,581 | ||
DuPont de Nemours, Inc. | 221,986 | 11,794,116 | ||
Ecolab, Inc. | 1,565 | 311,357 | ||
Freeport-McMoRan, Inc. | 432,555 | 5,004,661 | ||
Martin Marietta Materials, Inc. | 20,100 | 4,152,057 | ||
Newmont Corporation | 6,549 | 404,335 | ||
Southern Copper Corporation | 1,569 | 62,399 | ||
46,243,941 | ||||
Real Estate — 1.0% | ||||
Cousins Properties, Inc. REITΔ | 70,180 | 2,093,469 | ||
Crown Castle International Corporation REIT | 33,131 | 5,544,473 | ||
Digital Realty Trust, Inc. REIT | 2,273 | 323,016 | ||
Jones Lang LaSalle, Inc. | 18,974 | 1,963,050 | ||
Prologis, Inc. REIT | 6,128 | 571,926 | ||
Public Storage REIT | 744 | 142,766 | ||
SBA Communications Corporation REIT | 794 | 236,549 | ||
10,875,249 | ||||
Utilities — 3.9% | ||||
AES Corporation (The) | 330,310 | 4,786,192 | ||
American Electric Power Co., Inc. | 4,460 | 355,194 | ||
Atmos Energy Corporation | 61,100 | 6,084,338 | ||
Dominion Energy, Inc. | 66,699 | 5,414,625 | ||
Duke Energy CorporationΔ | 6,693 | 534,704 | ||
Edison International | 52,651 | 2,859,476 | ||
Evergy, Inc. | 77,200 | 4,577,188 | ||
Exelon Corporation | 165,270 | 5,997,648 | ||
NextEra Energy, Inc. | 3,857 | 926,336 | ||
Pinnacle West Capital Corporation | 93,084 | 6,822,126 |
Table of Contents
Shares | Value | |||
Sempra Energy | 19,771 | $ 2,317,754 | ||
Southern Co. (The) | 8,887 | 460,791 | ||
41,136,372 | ||||
Total Common Stocks (Cost $866,164,279) | 880,159,891 | |||
FOREIGN COMMON STOCKS — 11.9% | ||||
Curacao — 0.0% | ||||
Schlumberger, Ltd. | 11,737 | 215,843 | ||
France — 0.7% | ||||
TOTAL SA ADR | 182,398 | 7,015,027 | ||
Germany — 0.8% | ||||
Siemens AG | 69,310 | 8,174,229 | ||
Ireland — 4.7% | ||||
Eaton Corporation PLC | 3,363 | 294,195 | ||
Johnson Controls International PLC | 349,958 | 11,947,566 | ||
Linde PLC | 4,322 | 916,740 | ||
Medtronic PLC | 276,541 | 25,358,810 | ||
nVent Electric PLC | 62,018 | 1,161,597 | ||
Willis Towers Watson PLC | 50,019 | 9,851,242 | ||
49,530,150 | ||||
Netherlands — 1.1% | ||||
Koninklijke Philips NVΔ | 70,917 | 3,321,752 | ||
Unilever NV | 156,361 | 8,329,351 | ||
11,651,103 | ||||
Singapore — 0.2% | ||||
Flex, Ltd.* | 239,791 | 2,457,858 | ||
Switzerland — 4.4% | ||||
Chubb, Ltd. | 167,380 | 21,193,656 | ||
Nestle SA | 46,242 | 5,126,879 | ||
Nestle SA ADR | 52,629 | 5,812,347 | ||
Novartis AG ADR | 114,837 | 10,029,863 | ||
TE Connectivity, Ltd. | 54,491 | 4,443,741 | ||
46,606,486 | ||||
Total Foreign Common Stocks (Cost $125,032,026) | 125,650,696 | |||
RIGHTS — 0.0% | ||||
T-Mobile US, Inc.* (Cost $—) | 1,652 | 278 |
Shares | Value | |||
MONEY MARKET FUNDS — 4.9% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 43,849,516 | $ 43,849,516 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 7,181,521 | 7,181,521 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 40,538 | 40,538 | ||
Total Money Market Funds (Cost $51,071,575) | 51,071,575 | |||
TOTAL INVESTMENTS — 100.4% (Cost $1,042,267,880) | 1,056,882,440 | |||
Liabilities in Excess of Other Assets — (0.4)% | (3,828,510) | |||
NET ASSETS — 100.0% | $1,053,053,930 |
% | |
Financials | 21.2 |
Industrials | 13.9 |
Health Care | 13.9 |
Information Technology | 12.4 |
Consumer Staples | 7.2 |
Consumer Discretionary | 6.8 |
Communication Services | 5.4 |
Energy | 5.3 |
Money Market Funds | 4.9 |
Materials | 4.5 |
Utilities | 3.9 |
Real Estate | 1.0 |
Rights | —** |
100.4 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Micro S&P 500® E-Mini | 09/2020 | 48 | $ 741,648 | $ 14,008 | ||||
S&P 500® E-Mini | 09/2020 | 130 | 20,086,300 | 180,699 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $20,827,948 | $194,707 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/20 | U.S. Dollars | 24,461,187 | Euro | 21,674,305 | CS | $59,132 | ||||||
09/30/20 | Swiss Francs | 387,456 | U.S. Dollars | 408,190 | UBS | 1,907 | ||||||
09/30/20 | U.S. Dollars | 15,129,995 | Swiss Francs | 14,294,290 | UBS | 407 | ||||||
09/30/20 | Euro | 1,357,546 | U.S. Dollars | 1,528,135 | CS | 260 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $61,706 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 880,159,891 | $ 880,159,891 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 8,174,229 | — | 8,174,229 | — | |||
Switzerland | 46,606,486 | 41,479,607 | 5,126,879 | — | |||
Other ^^ | 70,869,981 | 70,869,981 | — | — | |||
Total Foreign Common Stocks | 125,650,696 | 112,349,588 | 13,301,108 | — | |||
Money Market Funds | 51,071,575 | 51,071,575 | — | — | |||
Rights | 278 | — | 278 | — | |||
Total Assets - Investments in Securities | $1,056,882,440 | $1,043,581,054 | $13,301,386 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 61,706 | $ — | $ 61,706 | $ — | |||
Futures Contracts | 194,707 | 194,707 | — | — | |||
Total Assets - Other Financial Instruments | $ 256,413 | $ 194,707 | $ 61,706 | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | 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 — 90.9% | ||||
Communication Services — 13.3% | ||||
Alphabet, Inc. Class A* | 14,269 | $ 20,234,156 | ||
Alphabet, Inc. Class C* | 30,636 | 43,307,356 | ||
Charter Communications, Inc. Class A* | 9,000 | 4,590,360 | ||
Comcast Corporation Class A | 268,028 | 10,447,731 | ||
Electronic Arts, Inc.* | 103,059 | 13,608,941 | ||
Facebook, Inc. Class A* | 302,712 | 68,736,814 | ||
Match Group, Inc.Δ* | 117,200 | 12,546,260 | ||
Netflix, Inc.* | 38,204 | 17,384,348 | ||
Sea, Ltd. ADRΔ* | 126,900 | 13,608,756 | ||
Walt Disney Co. (The) | 173,435 | 19,339,737 | ||
Warner Music Group Corporation Class AΔ* | 135,616 | 4,000,672 | ||
Zillow Group, Inc. Class CΔ* | 41,300 | 2,379,293 | ||
230,184,424 | ||||
Consumer Discretionary — 11.4% | ||||
Advance Auto Parts, Inc. | 60,107 | 8,562,242 | ||
Amazon.com, Inc.* | 46,868 | 129,300,376 | ||
Booking Holdings, Inc.* | 4,401 | 7,007,888 | ||
Floor & Decor Holdings, Inc. Class A* | 72,430 | 4,175,590 | ||
Home Depot, Inc. (The) | 43,342 | 10,857,605 | ||
Lululemon Athletica, Inc.Δ* | 28,326 | 8,837,995 | ||
Starbucks Corporation | 119,010 | 8,757,946 | ||
Ulta Beauty, Inc.* | 35,355 | 7,191,914 | ||
Yum China Holdings, Inc. | 107,118 | 5,149,162 | ||
Yum! Brands, Inc. | 85,152 | 7,400,560 | ||
197,241,278 | ||||
Consumer Staples — 4.3% | ||||
Colgate-Palmolive Co. | 223,906 | 16,403,354 | ||
Costco Wholesale Corporation | 56,554 | 17,147,738 | ||
Estee Lauder Cos., Inc. (The) Class A | 45,070 | 8,503,808 | ||
Grocery Outlet Holding Corporation* | 90,000 | 3,672,000 | ||
Monster Beverage Corporation* | 426,267 | 29,548,828 | ||
75,275,728 | ||||
Financials — 1.6% | ||||
American Express Co. | 85,796 | 8,167,779 | ||
FactSet Research Systems, Inc. | 31,685 | 10,407,572 | ||
SEI Investments Co. | 174,400 | 9,588,512 | ||
28,163,863 | ||||
Health Care — 14.0% | ||||
Alexion Pharmaceuticals, Inc.* | 75,052 | 8,423,838 | ||
Align Technology, Inc.* | 18,650 | 5,118,306 | ||
Amgen, Inc. | 56,220 | 13,260,049 | ||
BioMarin Pharmaceutical, Inc.* | 66,633 | 8,218,514 | ||
Cerner Corporation | 139,057 | 9,532,357 | ||
Danaher Corporation | 64,412 | 11,389,974 | ||
DexCom, Inc.* | 37,477 | 15,193,176 | ||
Edwards Lifesciences Corporation* | 169,772 | 11,732,943 | ||
Illumina, Inc.* | 65,425 | 24,230,149 | ||
Intuitive Surgical, Inc.* | 30,880 | 17,596,350 | ||
Mirati Therapeutics, Inc.* | 22,153 | 2,529,208 | ||
Regeneron Pharmaceuticals, Inc.* | 36,491 | 22,757,612 |
Shares | Value | |||
Sarepta Therapeutics, Inc.* | 20,314 | $ 3,257,147 | ||
Thermo Fisher Scientific, Inc. | 79,912 | 28,955,314 | ||
UnitedHealth Group, Inc. | 68,607 | 20,235,635 | ||
Varian Medical Systems, Inc.* | 36,035 | 4,415,008 | ||
Zoetis, Inc. | 254,004 | 34,808,708 | ||
241,654,288 | ||||
Industrials — 8.6% | ||||
Boeing Co. (The) | 103,457 | 18,963,668 | ||
C.H. Robinson Worldwide, Inc. | 70,972 | 5,611,046 | ||
Cintas Corporation | 36,085 | 9,611,601 | ||
CoStar Group, Inc.* | 9,241 | 6,567,301 | ||
Deere & Co. | 100,580 | 15,806,147 | ||
Expeditors International of Washington, Inc. | 177,233 | 13,476,797 | ||
Fortive CorporationΔ | 140,276 | 9,491,074 | ||
IHS Markit, Ltd. | 132,523 | 10,005,487 | ||
L3Harris Technologies, Inc. | 46,555 | 7,898,987 | ||
Raytheon Technologies Corporation | 141,634 | 8,727,487 | ||
Roper Technologies, Inc. | 28,995 | 11,257,599 | ||
Uber Technologies, Inc.* | 340,708 | 10,589,205 | ||
United Parcel Service, Inc. Class B | 110,997 | 12,340,646 | ||
W.W. Grainger, Inc. | 29,847 | 9,376,734 | ||
149,723,779 | ||||
Information Technology — 35.1% | ||||
Adobe, Inc.* | 87,392 | 38,042,612 | ||
Akamai Technologies, Inc.* | 116,280 | 12,452,425 | ||
Amphenol Corporation Class A | 80,672 | 7,729,184 | ||
Apple, Inc. | 180,114 | 65,705,587 | ||
Autodesk, Inc.* | 162,142 | 38,782,745 | ||
Automatic Data Processing, Inc. | 30,434 | 4,531,318 | ||
Cisco Systems, Inc. | 237,366 | 11,070,750 | ||
Coupa Software, Inc.* | 10,800 | 2,992,032 | ||
Fidelity National Information Services, Inc. | 73,789 | 9,894,367 | ||
Genpact, Ltd. | 263,828 | 9,634,999 | ||
Intuit, Inc. | 69,110 | 20,469,691 | ||
Mastercard, Inc. Class A | 42,694 | 12,624,616 | ||
Microsoft Corporation | 412,843 | 84,017,679 | ||
Nutanix, Inc. Class A* | 144,526 | 3,425,989 | ||
NVIDIA Corporation | 97,168 | 36,915,095 | ||
Oracle Corporation | 385,421 | 21,302,219 | ||
Palo Alto Networks, Inc.* | 37,533 | 8,620,204 | ||
PayPal Holdings, Inc.* | 84,626 | 14,744,388 | ||
QUALCOMM, Inc. | 267,575 | 24,405,516 | ||
salesforce.com, Inc.* | 236,664 | 44,334,267 | ||
ServiceNow, Inc.* | 34,350 | 13,913,811 | ||
Splunk, Inc.Δ* | 62,858 | 12,489,885 | ||
Square, Inc. Class A* | 66,800 | 7,009,992 | ||
Texas Instruments, Inc. | 57,854 | 7,345,722 | ||
Twilio, Inc. Class A* | 30,200 | 6,626,484 | ||
Visa, Inc. Class AΔ | 366,992 | 70,891,845 | ||
VMware, Inc. Class AΔ* | 60,184 | 9,320,094 | ||
Workday, Inc. Class A* | 42,575 | 7,976,852 | ||
Xperi Holding Corporation | 3 | 44 | ||
607,270,412 |
Table of Contents
Shares | Value | |||
Materials — 1.2% | ||||
Ecolab, Inc. | 46,192 | $ 9,189,898 | ||
Sherwin-Williams Co. (The) | 18,600 | 10,748,010 | ||
19,937,908 | ||||
Real Estate — 1.4% | ||||
Equinix, Inc. REIT | 16,253 | 11,414,482 | ||
SBA Communications Corporation REIT | 43,473 | 12,951,476 | ||
24,365,958 | ||||
Total Common Stocks (Cost $1,036,170,339) | 1,573,817,638 | |||
FOREIGN COMMON STOCKS — 5.7% | ||||
China — 2.5% | ||||
Alibaba Group Holding, Ltd. ADR* | 203,077 | 43,803,709 | ||
Curacao — 0.3% | ||||
Schlumberger, Ltd. | 227,905 | 4,191,173 | ||
Jersey — 0.4% | ||||
Aptiv PLC | 76,947 | 5,995,710 | ||
Netherlands — 0.4% | ||||
NXP Semiconductors NV | 61,108 | 6,968,756 | ||
Switzerland — 1.9% | ||||
Alcon, Inc.Δ* | 81,480 | 4,670,434 | ||
Novartis AG ADR | 123,300 | 10,769,022 | ||
Roche Holding AG ADR | 417,606 | 18,115,748 | ||
33,555,204 | ||||
United Kingdom — 0.2% | ||||
Atlassian Corporation PLC Class A* | 22,500 | 4,056,075 | ||
Total Foreign Common Stocks (Cost $81,939,690) | 98,570,627 | |||
MONEY MARKET FUNDS — 4.0% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 56,752,647 | 56,752,647 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 11,621,953 | $ 11,621,953 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 8 | 8 | ||
Total Money Market Funds (Cost $68,374,608) | 68,374,608 | |||
TOTAL INVESTMENTS — 100.6% (Cost $1,186,484,637) | 1,740,762,873 | |||
Liabilities in Excess of Other Assets — (0.6)% | (9,980,933) | |||
NET ASSETS — 100.0% | $1,730,781,940 |
% | |
Information Technology | 35.7 |
Health Care | 15.9 |
Consumer Discretionary | 14.3 |
Communication Services | 13.3 |
Industrials | 8.6 |
Consumer Staples | 4.3 |
Money Market Funds | 4.0 |
Financials | 1.6 |
Real Estate | 1.4 |
Materials | 1.2 |
Energy | 0.3 |
100.6 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2020 | 150 | $23,176,500 | $22,586 |
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 | $1,573,817,638 | $1,573,817,638 | $ — | $ — | |||
Foreign Common Stocks | 98,570,627 | 98,570,627 | — | — | |||
Money Market Funds | 68,374,608 | 68,374,608 | — | — | |||
Total Assets - Investments in Securities | $1,740,762,873 | $1,740,762,873 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 22,586 | $ 22,586 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 22,586 | $ 22,586 | $ — | $ — |
*** | 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 — 90.8% | ||||
Communication Services — 2.7% | ||||
ATN International, Inc. | 17,492 | $ 1,059,490 | ||
Bandwidth, Inc. Class AΔ* | 20,377 | 2,587,879 | ||
Cogent Communications Holdings, Inc. | 19,400 | 1,500,784 | ||
comScore, Inc.* | 87,980 | 272,738 | ||
Gogo, Inc.Δ* | 29,504 | 93,233 | ||
Liberty Latin America, Ltd. Class C* | 69,652 | 657,515 | ||
Madison Square Garden Entertainment Corporation* | 1,502 | 112,650 | ||
Madison Square Garden Sports Corporation* | 1,502 | 220,629 | ||
Marchex, Inc. Class B* | 8,831 | 13,953 | ||
Nexstar Media Group, Inc. Class A | 7,838 | 655,962 | ||
ORBCOMM, Inc.* | 77,384 | 297,928 | ||
Scholastic CorporationΔ | 25,034 | 749,518 | ||
Shenandoah Telecommunications Co. | 40,000 | 1,971,600 | ||
Tribune Publishing Co. | 18,333 | 183,147 | ||
TrueCar, Inc.* | 104,182 | 268,790 | ||
Vonage Holdings Corporation* | 159,000 | 1,599,540 | ||
Yelp, Inc.* | 99,465 | 2,300,625 | ||
14,545,981 | ||||
Consumer Discretionary — 9.0% | ||||
1-800-Flowers.com, Inc. Class A* | 46,200 | 924,924 | ||
American Axle & Manufacturing Holdings, Inc.* | 207,438 | 1,576,529 | ||
American Eagle Outfitters, Inc.Δ | 80,627 | 878,834 | ||
American Public Education, Inc.* | 18,045 | 534,132 | ||
Callaway Golf Co.Δ | 91,100 | 1,595,161 | ||
Chegg, Inc.Δ* | 20,737 | 1,394,771 | ||
Children's Place, Inc. (The)Δ | 5,963 | 223,135 | ||
Chuy's Holdings, Inc.* | 20,706 | 308,105 | ||
Cooper Tire & Rubber Co. | 20,240 | 558,826 | ||
Cooper-Standard Holdings, Inc.* | 49,289 | 653,079 | ||
Dana, Inc. | 34,950 | 426,041 | ||
Del Taco Restaurants, Inc.Δ* | 49,022 | 290,700 | ||
Floor & Decor Holdings, Inc. Class A* | 17,600 | 1,014,640 | ||
Fossil Group, Inc.Δ* | 80,857 | 375,985 | ||
GameStop Corporation Class AΔ* | 76,898 | 333,737 | ||
Garrett Motion, Inc.* | 91,488 | 506,844 | ||
Goodyear Tire & Rubber Co. (The) | 135,365 | 1,210,840 | ||
GoPro, Inc. Class AΔ* | 217,665 | 1,036,085 | ||
Haverty Furniture Cos., Inc.Δ | 10,102 | 161,632 | ||
Hilton Grand Vacations, Inc.* | 60,100 | 1,174,955 | ||
Hooker Furniture Corporation | 14,137 | 274,965 | ||
Houghton Mifflin Harcourt Co.Δ* | 1,975 | 3,575 | ||
Jack in the Box, Inc. | 14,137 | 1,047,410 | ||
K12, Inc.* | 44,563 | 1,213,896 | ||
KB Home | 47,484 | 1,456,809 | ||
Malibu Boats, Inc. Class A* | 49,879 | 2,591,214 | ||
Modine Manufacturing Co.* | 82,961 | 457,945 | ||
Monro, Inc.Δ | 31,950 | 1,755,333 | ||
National Vision Holdings, Inc.Δ* | 98,500 | 3,006,220 | ||
Office Depot, Inc. | 365,400 | 858,690 |
Shares | Value | |||
Ollie's Bargain Outlet Holdings, Inc.Δ* | 19,600 | $ 1,913,940 | ||
OneSpaWorld Holdings, Ltd.Δ | 128,600 | 613,422 | ||
Planet Fitness, Inc. Class A* | 28,700 | 1,738,359 | ||
Quotient Technology, Inc.* | 73,965 | 541,424 | ||
Rocky Brands, Inc. | 5,344 | 109,873 | ||
Steven Madden, Ltd. | 87,564 | 2,161,955 | ||
Strategic Education, Inc. | 15,100 | 2,320,115 | ||
Sturm Ruger & Co., Inc. | 5,004 | 380,304 | ||
Taylor Morrison Home Corporation Class AΔ* | 76,949 | 1,484,346 | ||
Tenneco, Inc. Class AΔ* | 153,109 | 1,157,504 | ||
Texas Roadhouse, Inc. | 24,967 | 1,312,515 | ||
Tupperware Brands CorporationΔ | 17,458 | 82,926 | ||
Unifi, Inc.* | 26,561 | 342,106 | ||
Universal Technical Institute, Inc.* | 21,699 | 150,808 | ||
Vera Bradley, Inc.* | 27,624 | 122,651 | ||
Vista Outdoor, Inc.* | 131,674 | 1,902,689 | ||
Wendy's Co. (The) | 79,654 | 1,734,864 | ||
Wingstop, Inc. | 2,000 | 277,940 | ||
YETI Holdings, Inc.Δ* | 48,900 | 2,089,497 | ||
ZAGG, Inc.Δ* | 51,004 | 160,153 | ||
48,442,403 | ||||
Consumer Staples — 2.0% | ||||
BJ's Wholesale Club Holdings, Inc.* | 125,614 | 4,681,634 | ||
Central Garden & Pet Co. Class A* | 18,136 | 612,815 | ||
Farmer Bros. Co.Δ* | 19,035 | 139,717 | ||
J&J Snack Foods Corporation | 11,819 | 1,502,549 | ||
Post Holdings, Inc.* | 1,306 | 114,432 | ||
Revlon, Inc. Class AΔ* | 3,164 | 31,324 | ||
Rite Aid CorporationΔ* | 37,734 | 643,742 | ||
Simply Good Foods Co. (The)Δ* | 91,300 | 1,696,354 | ||
SpartanNash Co. | 55,978 | 1,189,532 | ||
10,612,099 | ||||
Energy — 1.8% | ||||
Arch Resources, Inc.Δ | 38,526 | 1,094,524 | ||
Bonanza Creek Energy, Inc.* | 40,745 | 603,841 | ||
CONSOL Energy, Inc.Δ* | 10,174 | 51,582 | ||
Dorian LPG, Ltd.* | 97,447 | 754,240 | ||
Exterran Corporation* | 44,144 | 237,936 | ||
Green Plains, Inc.Δ* | 128,598 | 1,313,629 | ||
International Seaways, Inc. | 54,781 | 895,122 | ||
Matrix Service Co.* | 42,316 | 411,312 | ||
Nabors Industries, Ltd.Δ | 8,525 | 315,595 | ||
Par Pacific Holdings, Inc.* | 55,256 | 496,751 | ||
Patterson-UTI Energy, Inc.Δ | 7,818 | 27,128 | ||
PDC Energy, Inc.* | 45,126 | 561,367 | ||
ProPetro Holding Corporation* | 18,279 | 93,954 | ||
REX American Resources Corporation* | 8,339 | 578,476 | ||
SEACOR Holdings, Inc.Δ* | 693 | 19,626 | ||
SFL Corporation, Ltd.Δ | 74,027 | 687,711 | ||
World Fuel Services Corporation | 61,752 | 1,590,732 | ||
9,733,526 |
Table of Contents
Shares | Value | |||
Financials — 14.7% | ||||
1st Source Corporation | 4,960 | $ 176,477 | ||
Amalgamated Bank Class A | 15,628 | 197,538 | ||
American Equity Investment Life Holding Co. | 89,140 | 2,202,649 | ||
American National Bankshares, Inc. | 1,935 | 48,452 | ||
Assurant, Inc. | 3,300 | 340,857 | ||
Atlantic Capital Bancshares, Inc.* | 8,357 | 101,621 | ||
BancFirst Corporation | 15,203 | 616,786 | ||
Bancorp, Inc. (The)* | 63,577 | 623,055 | ||
Bank of Commerce Holdings | 4,987 | 37,801 | ||
Bank of Marin Bancorp | 5,470 | 182,315 | ||
BankFinancial Corporation | 3,229 | 27,124 | ||
Bankwell Financial Group, Inc.Δ | 1,000 | 15,900 | ||
Banner Corporation | 24,526 | 931,988 | ||
Baycom CorporationΔ* | 3,779 | 48,787 | ||
Bridgewater Bancshares, Inc.* | 16,290 | 166,973 | ||
Brighthouse Financial, Inc.* | 20,835 | 579,630 | ||
Bryn Mawr Bank Corporation | 27,755 | 767,703 | ||
Business First Bancshares, Inc.Δ | 1,842 | 28,275 | ||
Cadence BanCorp | 190,673 | 1,689,363 | ||
Cambridge BancorpΔ | 672 | 39,809 | ||
Capital City Bank Group, Inc. | 9,348 | 195,841 | ||
Capstar Financial Holdings, Inc. | 8,327 | 99,924 | ||
Carter Bank & Trust | 9,021 | 72,799 | ||
CBTX, Inc. | 13,249 | 278,229 | ||
Central Pacific Financial Corporation | 39,867 | 639,068 | ||
Central Valley Community Bancorp | 8,418 | 129,553 | ||
Chemung Financial Corporation | 1,633 | 44,581 | ||
City Holding Co.Δ | 17,648 | 1,150,120 | ||
Coastal Financial Corporation* | 2,936 | 42,631 | ||
Community Trust Bancorp, Inc. | 9,644 | 315,937 | ||
Cowen, Inc. Class AΔ | 36,374 | 589,623 | ||
Donegal Group, Inc. Class A | 5,137 | 73,048 | ||
Donnelley Financial Solutions, Inc.* | 45,700 | 383,880 | ||
Eagle Bancorp, Inc. | 44,175 | 1,446,731 | ||
Employers Holdings, Inc. | 17,257 | 520,299 | ||
Enova International, Inc.* | 4,270 | 63,495 | ||
Enterprise Financial Services Corporation | 33,671 | 1,047,842 | ||
Equity Bancshares, Inc. Class A* | 116 | 2,023 | ||
Esquire Financial Holdings, Inc.* | 3,339 | 56,429 | ||
Essent Group, Ltd. | 49,448 | 1,793,479 | ||
Evans Bancorp, Inc. | 1,000 | 23,260 | ||
Evercore, Inc. Class A | 25,000 | 1,473,000 | ||
FB Financial CorporationΔ | 12,364 | 306,256 | ||
FedNat Holding Co. | 9,844 | 108,973 | ||
Financial Institutions, Inc. | 9,539 | 177,521 | ||
First Bancorp | 59,741 | 1,498,304 | ||
First BanCorp | 193,022 | 1,078,993 | ||
First Business Financial Services, Inc. | 4,273 | 70,291 | ||
First Commonwealth Financial Corporation | 37,815 | 313,108 | ||
First Financial BancorpΔ | 74,560 | 1,035,638 | ||
First Financial Corporation | 6,199 | 228,371 | ||
First Foundation, Inc. | 14,010 | 228,923 |
Shares | Value | |||
First Internet Bancorp | 2,416 | $ 40,154 | ||
First Interstate BancSystem, Inc. Class A | 43,013 | 1,331,683 | ||
First Merchants Corporation | 6,213 | 171,292 | ||
Focus Financial Partners, Inc. Class AΔ* | 65,300 | 2,158,165 | ||
Great Southern Bancorp, Inc. | 6,017 | 242,846 | ||
Great Western Bancorp, Inc. | 38,015 | 523,086 | ||
Green Dot Corporation Class A* | 42,362 | 2,079,127 | ||
Guaranty Bancshares, Inc. | 3,134 | 81,077 | ||
Hallmark Financial Services, Inc.* | 7,688 | 26,831 | ||
Hamilton Lane, Inc. Class A | 48,197 | 3,247,032 | ||
Hanmi Financial Corporation | 37,009 | 359,357 | ||
HBT Financial, Inc. | 10,205 | 136,033 | ||
HCI Group, Inc.Δ | 8,262 | 381,539 | ||
Heartland Financial USA, Inc. | 8,176 | 273,405 | ||
Heritage Commerce Corporation | 47,673 | 357,786 | ||
Heritage Financial CorporationΔ | 8,485 | 169,700 | ||
Heritage Insurance Holdings, Inc. | 23,550 | 308,270 | ||
Home Bancorp, Inc.Δ | 1,552 | 41,516 | ||
HomeStreet, Inc. | 32,929 | 810,383 | ||
HomeTrust Bancshares, Inc.Δ | 11,524 | 184,384 | ||
Houlihan Lokey, Inc. | 32,000 | 1,780,480 | ||
IBERIABANK Corporation | 12,492 | 568,886 | ||
Independent Bank Corporation | 38,991 | 1,821,858 | ||
Independent Bank Group, Inc. | 26,012 | 1,054,006 | ||
James River Group Holdings, Ltd. | 26,684 | 1,200,780 | ||
Kearny Financial CorporationΔ | 10,492 | 85,825 | ||
Kemper Corporation | 10,034 | 727,666 | ||
Lakeland Bancorp, Inc. | 19,752 | 225,765 | ||
Lakeland Financial Corporation | 3,812 | 177,601 | ||
LendingClub CorporationΔ* | 121,005 | 550,573 | ||
LendingTree, Inc.Δ* | 8,687 | 2,515,147 | ||
Live Oak Bancshares, Inc.Δ | 29,634 | 429,989 | ||
Macatawa Bank Corporation | 11,560 | 90,399 | ||
Marlin Business Services Corporation | 4,174 | 35,312 | ||
Mercantile Bank Corporation | 190 | 4,294 | ||
Merchants Bancorp | 6,349 | 117,393 | ||
Meridian Bancorp, Inc. | 17,936 | 208,058 | ||
Metropolitan Bank Holding Corporation* | 4,954 | 158,924 | ||
MidWestOne Financial Group, Inc. | 1,045 | 20,900 | ||
National Bankshares, Inc. | 200 | 5,720 | ||
National General Holdings Corporation | 44,899 | 970,267 | ||
Nicolet Bankshares, Inc.Δ* | 5,591 | 306,387 | ||
NMI Holdings, Inc. Class A* | 40,518 | 651,529 | ||
Northeast Bank | 4,497 | 78,922 | ||
Northrim BanCorp, Inc. | 4,037 | 101,490 | ||
OFG Bancorp | 61,063 | 816,412 | ||
Old National BancorpΔ | 107,600 | 1,480,576 | ||
Old Second Bancorp, Inc. | 4,514 | 35,119 | ||
OP Bancorp | 6,502 | 44,864 | ||
Origin Bancorp, Inc.Δ | 3,050 | 67,100 | ||
Pacific Premier Bancorp, Inc. | 47,544 | 1,030,754 | ||
Park National Corporation | 5,848 | 411,582 |
Table of Contents
Shares | Value | |||
PCSB Financial Corporation | 10,789 | $ 136,805 | ||
Peapack-Gladstone Financial Corporation | 17,299 | 324,010 | ||
Peoples Bancorp, Inc.Δ | 3,945 | 83,950 | ||
People's Utah BancorpΔ* | 5,425 | 121,900 | ||
Preferred Bank | 14,340 | 614,469 | ||
Primerica, Inc. | 4,659 | 543,239 | ||
Professional Holding Corporation Class A* | 2,396 | 33,257 | ||
ProSight Global, Inc.* | 4,127 | 36,730 | ||
Protective Insurance Corporation Class B | 3,760 | 56,663 | ||
QCR Holdings, Inc. | 10,316 | 321,653 | ||
RBB BancorpΔ | 11,664 | 159,214 | ||
Reinsurance Group of America, Inc. | 6,528 | 512,056 | ||
Republic First Bancorp, Inc.* | 19,263 | 47,002 | ||
Riverview Bancorp, Inc. | 7,988 | 45,132 | ||
RLI Corporation | 10,629 | 872,641 | ||
Select Bancorp, Inc.* | 3,278 | 26,683 | ||
Selective Insurance Group, Inc. | 65,039 | 3,430,157 | ||
Shore Bancshares, Inc.Δ | 5,005 | 55,505 | ||
Sierra Bancorp | 6,326 | 119,435 | ||
SmartFinancial, Inc. | 5,811 | 94,022 | ||
South Plains Financial, Inc.Δ | 984 | 14,012 | ||
South State Corporation | 27,972 | 1,333,151 | ||
Southern First Bancshares, Inc.* | 4,399 | 121,896 | ||
Southern Missouri Bancorp, Inc. | 1,139 | 27,678 | ||
Spirit of Texas Bancshares, Inc.* | 4,049 | 49,843 | ||
Stewart Information Services Corporation | 23,422 | 761,449 | ||
Stifel Financial Corporation | 35,345 | 1,676,413 | ||
Third Point Reinsurance, Ltd.* | 80,178 | 602,137 | ||
TriCo Bancshares | 13,295 | 404,833 | ||
TriState Capital Holdings, Inc.* | 8,229 | 129,278 | ||
TrustCo Bank Corporation | 89,740 | 568,054 | ||
UMB Financial Corporation | 21,323 | 1,099,201 | ||
Umpqua Holdings Corporation | 92,046 | 979,369 | ||
United Community Banks, Inc. | 61,144 | 1,230,217 | ||
United Insurance Holdings Corporation | 15,041 | 117,621 | ||
Universal Insurance Holdings, Inc. | 24,922 | 442,366 | ||
Valley National Bancorp | 146,884 | 1,148,633 | ||
Voya Financial, Inc. | 7,877 | 367,462 | ||
Waddell & Reed Financial, Inc. Class AΔ | 124,202 | 1,926,373 | ||
Washington Federal, Inc. | 34,367 | 922,410 | ||
WesBanco, Inc. | 48,766 | 990,437 | ||
WisdomTree Investments, Inc. | 200,200 | 694,694 | ||
WSFS Financial Corporation | 38,574 | 1,107,074 | ||
79,358,641 | ||||
Health Care — 16.5% | ||||
Acceleron Pharma, Inc.* | 34,900 | 3,324,923 | ||
Adaptive Biotechnologies CorporationΔ* | 57,900 | 2,801,202 | ||
Addus HomeCare CorporationΔ* | 31,700 | 2,934,152 | ||
Aduro Biotech, Inc.Δ* | 25,651 | 59,254 | ||
Agios Pharmaceuticals, Inc.Δ* | 33,779 | 1,806,501 | ||
Aldeyra Therapeutics, Inc.* | 15,028 | 62,667 |
Shares | Value | |||
Allscripts Healthcare Solutions, Inc.* | 217,982 | $1,475,738 | ||
AMAG Pharmaceuticals, Inc.Δ* | 74,019 | 566,245 | ||
AnaptysBio, Inc.Δ* | 4,804 | 107,321 | ||
Aptinyx, Inc.Δ* | 11,096 | 46,270 | ||
Arcus Biosciences, Inc.* | 45,000 | 1,113,300 | ||
AtriCure, Inc.* | 38,600 | 1,735,070 | ||
Beyondspring, Inc.* | 7,892 | 119,011 | ||
Blueprint Medicines Corporation* | 31,726 | 2,474,628 | ||
Bridgebio Pharma, Inc.Δ* | 36,100 | 1,177,221 | ||
Calithera Biosciences, Inc.* | 11,891 | 62,785 | ||
Catalyst Biosciences, Inc.Δ* | 9,826 | 57,679 | ||
ChemoCentryx, Inc.* | 14,403 | 828,749 | ||
Chimerix, Inc.Δ* | 85,046 | 263,643 | ||
Computer Programs and Systems, Inc. | 12,546 | 285,923 | ||
Concert Pharmaceuticals, Inc.Δ* | 36,376 | 361,941 | ||
CONMED Corporation | 21,092 | 1,518,413 | ||
Cross Country Healthcare, Inc.* | 38,486 | 237,074 | ||
CryoLife, Inc.* | 60,676 | 1,163,159 | ||
CryoPort, Inc.Δ* | 38,200 | 1,155,550 | ||
Cymabay Therapeutics, Inc.* | 13,983 | 48,801 | ||
Deciphera Pharmaceuticals, Inc.* | 20,400 | 1,218,288 | ||
Enanta Pharmaceuticals, Inc.* | 7,854 | 394,349 | ||
Five Prime Therapeutics, Inc.* | 35,434 | 216,147 | ||
GenMark Diagnostics, Inc.* | 39,360 | 578,986 | ||
Global Blood Therapeutics, Inc.* | 26,400 | 1,666,632 | ||
GlycoMimetics, Inc.* | 17,602 | 66,184 | ||
Gossamer Bio, Inc.* | 9,430 | 122,590 | ||
Harpoon Therapeutics, Inc.Δ* | 3,656 | 60,690 | ||
Harvard Bioscience, Inc.Δ* | 15,890 | 49,259 | ||
HealthEquity, Inc.* | 30,000 | 1,760,100 | ||
HMS Holdings Corporation* | 36,200 | 1,172,518 | ||
ICU Medical, Inc.* | 794 | 146,342 | ||
ImmunoGen, Inc.* | 17,849 | 82,105 | ||
Inspire Medical Systems, Inc.* | 24,300 | 2,114,586 | ||
Intercept Pharmaceuticals, Inc.Δ* | 20,200 | 967,782 | ||
iRhythm Technologies, Inc.Δ* | 21,800 | 2,526,402 | ||
Jounce Therapeutics, Inc.Δ* | 9,821 | 67,765 | ||
Lannett Co., Inc.Δ* | 17,272 | 125,395 | ||
Legend Biotech Corporation ADR* | 6,900 | 293,664 | ||
LHC Group, Inc.* | 16,100 | 2,806,552 | ||
Ligand Pharmaceuticals, Inc.Δ* | 21,185 | 2,369,542 | ||
Magellan Health, Inc.* | 27,373 | 1,997,682 | ||
Menlo Therapeutics, Inc.Δ* | 1,199 | 2,074 | ||
Merit Medical Systems, Inc.* | 54,395 | 2,483,132 | ||
Molina Healthcare, Inc.* | 2,787 | 496,030 | ||
Myriad Genetics, Inc.* | 56,189 | 637,183 | ||
NanoString Technologies, Inc.Δ* | 42,900 | 1,259,115 | ||
Natera, Inc.* | 66,735 | 3,327,407 | ||
NuVasive, Inc.* | 31,780 | 1,768,875 | ||
Orthofix Medical, Inc.* | 11,138 | 356,416 | ||
Owens & Minor, Inc.Δ | 75,468 | 575,066 | ||
Pacific Biosciences of California, Inc.Δ* | 6,573 | 22,677 | ||
Phreesia, Inc.Δ* | 80,400 | 2,273,712 | ||
Prestige Consumer Healthcare, Inc.* | 54,075 | 2,031,057 | ||
PTC Therapeutics, Inc.* | 61,683 | 3,129,795 | ||
Quidel Corporation* | 7,847 | 1,755,688 |
Table of Contents
Shares | Value | |||
Repligen Corporation* | 14,255 | $ 1,762,061 | ||
Retrophin, Inc.* | 111,079 | 2,267,122 | ||
Rubius Therapeutics, Inc.* | 11,842 | 70,815 | ||
Savara, Inc.* | 8,018 | 19,965 | ||
Shockwave Medical, Inc.Δ* | 16,611 | 786,863 | ||
Silk Road Medical, Inc.* | 35,400 | 1,482,906 | ||
Spectrum Pharmaceuticals, Inc.Δ* | 101,497 | 343,060 | ||
Spero Therapeutics, Inc.Δ* | 14,508 | 196,293 | ||
STAAR Surgical Co.* | 32,700 | 2,012,358 | ||
Supernus Pharmaceuticals, Inc.* | 52,156 | 1,238,705 | ||
Sutro Biopharma, Inc.* | 5,845 | 45,357 | ||
Tabula Rasa HealthCare, Inc.Δ* | 36,184 | 1,980,350 | ||
Tandem Diabetes Care, Inc.Δ* | 27,900 | 2,759,868 | ||
Teladoc Health, Inc.Δ* | 7,638 | 1,457,636 | ||
TransMedics Group, Inc.Δ* | 11,382 | 203,965 | ||
Triple-S Management Corporation Class B* | 1,854 | 35,263 | ||
Ultragenyx Pharmaceutical, Inc.* | 39,974 | 3,126,766 | ||
United Therapeutics Corporation* | 5,829 | 705,309 | ||
Vanda Pharmaceuticals, Inc.* | 92,642 | 1,059,825 | ||
Varex Imaging Corporation* | 46,678 | 707,172 | ||
88,970,666 | ||||
Industrials — 15.2% | ||||
ABM Industries, Inc. | 54,075 | 1,962,922 | ||
AGCO Corporation | 14,122 | 783,206 | ||
Albany International Corporation Class A | 29,000 | 1,702,590 | ||
Ameresco, Inc. Class A* | 12,453 | 345,944 | ||
Apogee Enterprises, Inc. | 34,516 | 795,249 | ||
Applied Industrial Technologies, Inc.Δ | 36,991 | 2,307,868 | ||
ArcBest Corporation | 40,417 | 1,071,455 | ||
Arcosa, Inc. | 34,585 | 1,459,487 | ||
Armstrong Flooring, Inc.* | 3,287 | 9,828 | ||
ASGN, Inc.Δ* | 63,087 | 4,206,641 | ||
Astec Industries, Inc. | 18,245 | 844,926 | ||
Astronics Corporation* | 50,281 | 530,967 | ||
Axon Enterprise, Inc.* | 18,100 | 1,776,153 | ||
AZEK Co., Inc. (The)* | 42,100 | 1,341,306 | ||
Barnes Group, Inc. | 23,860 | 943,902 | ||
BMC Stock Holdings, Inc.* | 64,971 | 1,633,371 | ||
Briggs & Stratton CorporationΔ | 145,873 | 191,094 | ||
BrightView Holdings, Inc.Δ* | 80,438 | 900,906 | ||
CAI International, Inc.* | 4,766 | 79,402 | ||
Casella Waste Systems, Inc. Class A* | 70,397 | 3,669,092 | ||
CIRCOR International, Inc.Δ* | 34,200 | 871,416 | ||
Clean Harbors, Inc.* | 47,700 | 2,861,046 | ||
Columbus McKinnon Corporation | 53,559 | 1,791,549 | ||
Commercial Vehicle Group, Inc.* | 38,978 | 112,646 | ||
DXP Enterprises, Inc.* | 8,964 | 178,473 | ||
Echo Global Logistics, Inc.* | 40,031 | 865,470 | ||
EMCOR Group, Inc. | 41,718 | 2,759,228 | ||
ESCO Technologies, Inc.Δ | 15,988 | 1,351,466 | ||
Exponent, Inc. | 27,200 | 2,201,296 | ||
Federal Signal Corporation | 68,674 | 2,041,678 | ||
Foundation Building Materials, Inc.* | 10,947 | 170,883 | ||
Graham Corporation | 4,531 | 57,725 | ||
Herc Holdings, Inc.* | 28,728 | 882,811 |
Shares | Value | |||
Hub Group, Inc. Class A* | 31,384 | $ 1,502,038 | ||
Hyster-Yale Materials Handling, Inc.Δ | 9,030 | 349,100 | ||
Insteel Industries, Inc. | 1,620 | 30,893 | ||
Kadant, Inc.Δ | 16,652 | 1,659,538 | ||
Kelly Services, Inc. Class A | 27,444 | 434,027 | ||
L.B. Foster Co. Class A* | 6,890 | 87,985 | ||
LSI Industries, Inc.Δ | 15,938 | 103,119 | ||
Lydall, Inc.* | 18,821 | 255,213 | ||
Manitowoc Co., Inc. (The)* | 47,670 | 518,650 | ||
ManpowerGroup, Inc. | 7,720 | 530,750 | ||
MasTec, Inc.* | 35,322 | 1,584,898 | ||
Meritor, Inc.Δ* | 7,555 | 149,589 | ||
Mobile Mini, Inc. | 43,099 | 1,271,420 | ||
MRC Global, Inc.* | 146,484 | 865,720 | ||
MYR Group, Inc.* | 51,928 | 1,657,022 | ||
Orion Group Holdings, Inc.* | 6,763 | 21,236 | ||
Park-Ohio Holdings CorporationΔ | 8,734 | 144,897 | ||
Parsons CorporationΔ* | 57,500 | 2,083,800 | ||
Patrick Industries, Inc.Δ | 15,400 | 943,250 | ||
Pitney Bowes, Inc.Δ | 380,112 | 988,291 | ||
Powell Industries, Inc. | 10,164 | 278,392 | ||
Primoris Services Corporation | 38,084 | 676,372 | ||
Proto Labs, Inc.Δ* | 6,600 | 742,302 | ||
Quanex Building Products Corporation | 23,885 | 331,524 | ||
Resideo Technologies, Inc.Δ* | 54,201 | 635,236 | ||
REV Group, Inc. | 45,998 | 280,588 | ||
Rexnord Corporation | 157,136 | 4,580,514 | ||
Rush Enterprises, Inc. Class A | 18,200 | 754,572 | ||
Terex Corporation | 67,106 | 1,259,580 | ||
Tetra Tech, Inc. | 26,435 | 2,091,537 | ||
TriNet Group, Inc.* | 42,600 | 2,596,044 | ||
Triumph Group, Inc. | 103,429 | 931,895 | ||
TrueBlue, Inc.* | 64,345 | 982,548 | ||
Tutor Perini Corporation* | 75,209 | 916,046 | ||
US Ecology, Inc. | 37,111 | 1,257,321 | ||
Vectrus, Inc.* | 14,753 | 724,815 | ||
Veritiv Corporation* | 22,005 | 373,205 | ||
Wabash National CorporationΔ | 53,374 | 566,832 | ||
Werner Enterprises, Inc. | 27,311 | 1,188,848 | ||
WESCO International, Inc.* | 22,061 | 774,545 | ||
WillScot CorporationΔ* | 151,800 | 1,865,622 | ||
81,691,770 | ||||
Information Technology — 17.4% | ||||
2U, Inc.Δ* | 40,800 | 1,548,768 | ||
ACI Worldwide, Inc.* | 54,900 | 1,481,751 | ||
ADTRAN, Inc. | 29,913 | 326,949 | ||
Alpha & Omega Semiconductor, Ltd.* | 23,688 | 257,725 | ||
Ambarella, Inc.* | 19,144 | 876,795 | ||
Arlo Technologies, Inc.* | 134,349 | 346,620 | ||
Arrow Electronics, Inc.* | 1,320 | 90,671 | ||
Avaya Holdings CorporationΔ* | 76,574 | 946,455 | ||
Avnet, Inc. | 14,308 | 398,979 | ||
Bel Fuse, Inc. Class B | 11,103 | 119,135 | ||
Belden, Inc. | 33,170 | 1,079,684 | ||
Benchmark Electronics, Inc. | 56,760 | 1,226,016 |
Table of Contents
Shares | Value | |||
Bill.com Holdings, Inc.* | 44,500 | $4,014,345 | ||
Blackbaud, Inc. | 10,971 | 626,225 | ||
Bottomline Technologies de, Inc.* | 37,100 | 1,883,567 | ||
Box, Inc. Class A* | 28,267 | 586,823 | ||
Brooks Automation, Inc.Δ | 74,659 | 3,302,914 | ||
Cabot Microelectronics CorporationΔ | 12,300 | 1,716,342 | ||
Calix, Inc.* | 1,324 | 19,728 | ||
Casa Systems, Inc.Δ* | 7,414 | 30,842 | ||
Cirrus Logic, Inc.* | 32,548 | 2,010,815 | ||
Conduent, Inc.* | 386,885 | 924,655 | ||
Daktronics, Inc. | 35,414 | 154,051 | ||
DASAN Zhone Solutions, Inc.Δ* | 7,017 | 62,662 | ||
Diebold Nixdorf, Inc.* | 21,251 | 128,781 | ||
EMCORE CorporationΔ* | 17,294 | 54,995 | ||
Envestnet, Inc.* | 32,300 | 2,375,342 | ||
Evo Payments, Inc. Class A* | 54,900 | 1,253,367 | ||
ExlService Holdings, Inc.* | 68,064 | 4,315,258 | ||
I3 Verticals, Inc. Class AΔ* | 62,600 | 1,893,650 | ||
II-VI, Inc.* | 42,104 | 1,988,151 | ||
Infinera CorporationΔ* | 152,787 | 904,499 | ||
J2 Global, Inc.* | 52,365 | 3,309,992 | ||
KBR, Inc. | 60,544 | 1,365,267 | ||
KVH Industries, Inc.* | 900 | 8,037 | ||
Limelight Networks, Inc.* | 37,179 | 273,637 | ||
Littelfuse, Inc. | 15,800 | 2,695,954 | ||
MACOM Technology Solutions Holdings, Inc.* | 11,338 | 389,460 | ||
MaxLinear, Inc.* | 76,555 | 1,642,870 | ||
Medallia, Inc.Δ* | 72,100 | 1,819,804 | ||
MKS Instruments, Inc. | 15,500 | 1,755,220 | ||
NeoPhotonics Corporation* | 67,019 | 595,129 | ||
NETGEAR, Inc.* | 88,457 | 2,290,152 | ||
NetScout Systems, Inc.* | 58,193 | 1,487,413 | ||
New Relic, Inc.* | 41,700 | 2,873,130 | ||
NIC, Inc. | 110,800 | 2,543,968 | ||
nLight, Inc.Δ* | 48,000 | 1,068,480 | ||
Onto Innovation, Inc.* | 58,400 | 1,987,936 | ||
Paylocity Holding Corporation* | 16,300 | 2,378,007 | ||
PCTEL, Inc.* | 4,453 | 29,746 | ||
Plantronics, Inc.Δ | 39,314 | 577,130 | ||
Pluralsight, Inc. Class AΔ* | 72,700 | 1,312,235 | ||
Priority Technology Holdings, Inc.Δ* | 122,900 | 318,311 | ||
Q2 Holdings, Inc.Δ* | 73,997 | 6,348,203 | ||
Rapid7, Inc.* | 46,881 | 2,391,869 | ||
RealPage, Inc.* | 26,500 | 1,722,765 | ||
Repay Holdings CorporationΔ* | 81,800 | 2,014,734 | ||
Ribbon Communications, Inc.* | 83,266 | 327,235 | ||
Rosetta Stone, Inc.* | 85,635 | 1,443,806 | ||
Sailpoint Technologies Holdings, Inc.Δ* | 73,600 | 1,948,192 | ||
ScanSource, Inc.* | 6,621 | 159,500 | ||
SeaChange International, Inc.* | 50,096 | 75,645 | ||
Semtech Corporation* | 43,415 | 2,267,131 | ||
Silicon Laboratories, Inc.* | 13,824 | 1,386,133 | ||
SMART Global Holdings, Inc.* | 11,023 | 299,605 | ||
Smartsheet, Inc. Class A* | 35,500 | 1,807,660 | ||
Super Micro Computer, Inc.Δ* | 9,535 | 270,699 |
Shares | Value | |||
Synaptics, Inc.* | 27,011 | $ 1,623,901 | ||
Synchronoss Technologies, Inc.Δ* | 74,136 | 261,700 | ||
Telenav, Inc.Δ* | 36,205 | 198,765 | ||
Veeco Instruments, Inc.* | 42,423 | 572,286 | ||
Xperi Holding Corporation | 74,016 | 1,092,476 | ||
93,880,743 | ||||
Materials — 4.6% | ||||
AdvanSix, Inc.* | 36,165 | 424,577 | ||
Ashland Global Holdings, Inc. | 9,775 | 675,453 | ||
Balchem Corporation | 14,539 | 1,379,170 | ||
Boise Cascade Co. | 114,516 | 4,306,947 | ||
Coeur Mining, Inc.* | 106,555 | 541,299 | ||
Element Solutions, Inc.* | 18,719 | 203,101 | ||
Ferro CorporationΔ* | 73,442 | 876,897 | ||
Intrepid Potash, Inc.* | 7,125 | 7,054 | ||
Kaiser Aluminum Corporation | 23,981 | 1,765,481 | ||
Kraton Corporation* | 37,634 | 650,316 | ||
Minerals Technologies, Inc. | 41,687 | 1,956,371 | ||
Neenah, Inc. | 36,465 | 1,803,559 | ||
O-I Glass, Inc. | 39,495 | 354,665 | ||
Olympic Steel, Inc. | 15,057 | 176,920 | ||
PolyOne Corporation | 90,200 | 2,365,946 | ||
Quaker Chemical CorporationΔ | 10,730 | 1,992,024 | ||
Rayonier Advanced Materials, Inc.Δ* | 12,383 | 34,796 | ||
Ryerson Holding Corporation* | 18,175 | 102,325 | ||
Schnitzer Steel Industries, Inc. Class A | 48,508 | 855,681 | ||
Stepan Co. | 15,767 | 1,530,976 | ||
TimkenSteel CorporationΔ* | 61,251 | 238,266 | ||
Trinseo SA | 39,027 | 864,838 | ||
Verso Corporation Class A | 7,061 | 84,450 | ||
Worthington Industries, Inc. | 45,255 | 1,688,012 | ||
24,879,124 | ||||
Real Estate — 4.6% | ||||
Altisource Portfolio Solutions SAΔ* | 715 | 10,539 | ||
American Assets Trust, Inc. REIT | 37,680 | 1,049,011 | ||
Armada Hoffler Properties, Inc. REIT | 117,322 | 1,167,354 | ||
Camden Property Trust REIT | 6,149 | 560,912 | ||
CorEnergy Infrastructure Trust, Inc. REITΔ | 26,108 | 238,888 | ||
CorePoint Lodging, Inc. REIT | 48,817 | 205,520 | ||
Cousins Properties, Inc. REIT | 20,732 | 618,436 | ||
CTO Realty Growth, Inc.Δ | 5,637 | 222,661 | ||
EastGroup Properties, Inc. REIT | 17,242 | 2,045,074 | ||
Equity Commonwealth REIT | 10,972 | 353,298 | ||
First Industrial Realty Trust, Inc. REIT | 47,294 | 1,817,981 | ||
Franklin Street Properties Corporation REITΔ | 29,590 | 150,613 | ||
Front Yard Residential Corporation REIT | 115,116 | 1,001,509 | ||
Investors Real Estate Trust REIT | 17,267 | 1,217,151 | ||
Kennedy-Wilson Holdings, Inc. | 170,225 | 2,590,824 | ||
Kite Realty Group Trust REIT | 72,707 | 839,039 | ||
Lexington Realty Trust REIT | 113,648 | 1,198,986 | ||
Mack-Cali Realty Corporation REITΔ | 5,959 | 91,113 |
Table of Contents
Shares | Value | |||
National Health Investors, Inc. REIT | 8,418 | $ 511,141 | ||
National Storage Affiliates Trust REIT | 15,399 | 441,335 | ||
New Senior Investment Group, Inc. REIT | 41,989 | 152,000 | ||
Paramount Group, Inc. REIT | 23,173 | 178,664 | ||
Pebblebrook Hotel Trust REIT | 52,058 | 711,112 | ||
Physicians Realty Trust REIT | 155,210 | 2,719,279 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 96,060 | 1,595,557 | ||
Retail Opportunity Investments Corporation REIT | 16,208 | 183,637 | ||
Retail Value, Inc. REIT | 20,785 | 256,903 | ||
RPT Realty REIT | 105,133 | 731,726 | ||
SITE Centers Corporation REIT | 48,199 | 390,412 | ||
Spirit Realty Capital, Inc. REIT | 14,630 | 510,002 | ||
Sunstone Hotel Investors, Inc. REIT | 157,459 | 1,283,291 | ||
25,043,968 | ||||
Utilities — 2.3% | ||||
ALLETE, Inc. | 1,785 | 97,479 | ||
Black Hills CorporationΔ | 20,328 | 1,151,784 | ||
Genie Energy, Ltd. Class BΔ | 5,353 | 39,398 | ||
Hawaiian Electric Industries, Inc. | 9,243 | 333,303 | ||
NorthWestern Corporation | 38,346 | 2,090,624 | ||
PNM Resources, Inc.Δ | 11,825 | 454,553 | ||
Portland General Electric Co. | 44,552 | 1,862,719 | ||
South Jersey Industries, Inc.Δ | 96,356 | 2,407,936 | ||
Southwest Gas Holdings, Inc.Δ | 19,233 | 1,328,039 | ||
Spire, Inc. | 35,875 | 2,357,346 | ||
12,123,181 | ||||
Total Common Stocks (Cost $485,611,096) | 489,282,102 | |||
FOREIGN COMMON STOCKS — 2.8% | ||||
France — 0.1% | ||||
Talend SA ADRΔ* | 21,800 | 755,588 | ||
Germany — 0.3% | ||||
MorphoSys AG ADR* | 52,000 | 1,646,840 | ||
Ireland — 0.2% | ||||
Adient PLC* | 49,834 | 818,274 | ||
Prothena Corporation PLC* | 38,289 | 400,503 | ||
Strongbridge Biopharma PLC* | 29,449 | 111,317 | ||
1,330,094 | ||||
Israel — 0.2% | ||||
Tufin Software Technologies, Ltd.Δ* | 85,700 | 818,435 | ||
Jersey — 1.3% | ||||
Mimecast, Ltd.Δ* | 25,153 | 1,047,874 | ||
Quotient, Ltd.Δ* | 146,400 | 1,083,360 | ||
WNS Holdings, Ltd. ADR* | 87,134 | 4,790,627 | ||
6,921,861 | ||||
Netherlands — 0.2% | ||||
Wright Medical Group NVΔ* | 41,041 | 1,219,739 | ||
Switzerland — 0.2% | ||||
CRISPR Therapeutics AG* | 17,800 | 1,308,122 |
Shares | Value | |||
United Kingdom — 0.3% | ||||
LivaNova PLC* | 28,056 | $ 1,350,335 | ||
Total Foreign Common Stocks (Cost $15,619,856) | 15,351,014 | |||
PREFERRED STOCK — 0.4% | ||||
CuriosityStream LLC | ||||
0.00 CONVΨ†††* (Cost $1,956,000) | 195,600 | 1,956,000 | ||
Total Preferred Stocks (Cost $1,956,000) | 1,956,000 | |||
MONEY MARKET FUNDS — 8.9% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 31,307,543 | 31,307,543 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 16,503,541 | 16,503,541 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 1,889 | 1,889 | ||
Total Money Market Funds (Cost $47,812,973) | 47,812,973 | |||
TOTAL INVESTMENTS — 102.9% (Cost $550,999,925) | 554,402,089 | |||
Liabilities in Excess of Other Assets — (2.9)% | (15,749,289) | |||
NET ASSETS — 100.0% | $538,652,800 |
% | |
Information Technology | 18.8 |
Health Care | 17.8 |
Industrials | 15.2 |
Financials | 14.7 |
Consumer Discretionary | 9.1 |
Money Market Funds | 8.9 |
Real Estate | 4.6 |
Materials | 4.6 |
Communication Services | 3.1 |
Utilities | 2.3 |
Consumer Staples | 2.0 |
Energy | 1.8 |
102.9 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 09/2020 | 269 | $19,335,720 | $663,913 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $489,282,102 | $489,282,102 | $ — | $ — | |||
Foreign Common Stocks | 15,351,014 | 15,351,014 | — | — | |||
Money Market Funds | 47,812,973 | 47,812,973 | — | — | |||
Preferred Stock | 1,956,000 | — | — | 1,956,000 | |||
Total Assets - Investments in Securities | $554,402,089 | $552,446,089 | $ — | $1,956,000 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 663,913 | $ 663,913 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 663,913 | $ 663,913 | $ — | $ — |
*** | 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 — 0.1% | ||||
Health Care — 0.1% | ||||
BeiGene, Ltd. ADRΔ* (Cost $279,659) | 1,805 | $ 340,062 | ||
FOREIGN COMMON STOCKS — 95.5% | ||||
Australia — 6.6% | ||||
Afterpay, Ltd.* | 13,840 | 597,718 | ||
AGL Energy, Ltd. | 36,482 | 431,588 | ||
AMP, Ltd.* | 113,756 | 147,192 | ||
Ampol, Ltd. | 11,404 | 232,372 | ||
APA Group | 53,822 | 416,169 | ||
ASX, Ltd. | 12,087 | 718,431 | ||
Aurizon Holdings, Ltd. | 137,275 | 467,130 | ||
AusNet Services | 180,811 | 208,904 | ||
Australia & New Zealand Banking Group, Ltd. | 146,614 | 1,902,338 | ||
BHP Group, Ltd. | 150,276 | 3,741,556 | ||
BlueScope Steel, Ltd. | 20,263 | 166,924 | ||
Brambles, Ltd. | 90,382 | 685,312 | ||
CIMIC Group, Ltd. | 2,882 | 48,431 | ||
Coca-Cola Amatil, Ltd. | 71,598 | 431,268 | ||
Cochlear, Ltd. | 3,288 | 431,678 | ||
Coles Group, Ltd. | 75,057 | 892,230 | ||
Commonwealth Bank of Australia | 86,026 | 4,154,570 | ||
Computershare, Ltd. | 44,623 | 413,185 | ||
CSL, Ltd. | 22,218 | 4,418,916 | ||
Dexus REIT | 62,896 | 403,687 | ||
Evolution Mining, Ltd. | 116,983 | 464,714 | ||
Fortescue Metals Group, Ltd. | 82,232 | 799,433 | ||
Goodman Group REIT | 95,455 | 984,927 | ||
GPT Group (The) REIT | 130,876 | 380,210 | ||
Insurance Australia Group, Ltd. | 151,186 | 606,764 | ||
Lendlease Group | 34,784 | 300,647 | ||
Macquarie Group, Ltd. | 19,417 | 1,611,458 | ||
Magellan Financial Group, Ltd. | 5,400 | 220,512 | ||
Medibank Pvt., Ltd. | 222,639 | 461,587 | ||
Mirvac Group REIT | 247,355 | 373,655 | ||
National Australia Bank, Ltd. | 162,373 | 2,057,650 | ||
Newcrest Mining, Ltd. | 36,206 | 802,835 | ||
Northern Star Resources, Ltd. | 45,766 | 431,620 | ||
Orica, Ltd. | 36,339 | 420,247 | ||
Origin Energy, Ltd. | 62,971 | 256,244 | ||
Qantas Airways, Ltd. | 66,392 | 175,932 | ||
QBE Insurance Group, Ltd. | 71,406 | 440,654 | ||
REA Group, Ltd. | 5,388 | 406,004 | ||
Rio Tinto, Ltd. | 19,363 | 1,325,854 | ||
Santos, Ltd. | 107,596 | 399,889 | ||
Scentre Group REIT | 252,947 | 384,010 | ||
SEEK, Ltd. | 15,462 | 236,551 | ||
Sonic Healthcare, Ltd. | 25,549 | 539,513 | ||
South32, Ltd. | 201,814 | 285,713 | ||
Stockland REIT | 85,681 | 198,677 | ||
Suncorp Group, Ltd. | 85,021 | 546,337 | ||
Sydney Airport | 85,801 | 338,621 | ||
Telstra Corporation, Ltd. | 295,063 | 640,473 | ||
TPG Telecom, Ltd.* | 15,539 | 95,439 | ||
Transurban Group | 151,919 | 1,489,828 | ||
Tuas, Ltd.* | 7,769 | 3,659 |
Shares | Value | |||
Unibail-Rodamco-WestfieldΔ | 10,140 | $ 28,899 | ||
Vicinity Centres REITΔ | 137,781 | 138,099 | ||
Washington H Soul Pattinson & Co., Ltd.Δ | 1,395 | 18,948 | ||
Wesfarmers, Ltd. | 75,932 | 2,360,893 | ||
Westpac Banking Corporation | 190,666 | 2,389,691 | ||
Woodside Petroleum, Ltd. | 59,487 | 899,007 | ||
44,424,793 | ||||
Austria — 0.2% | ||||
ANDRITZ AG* | 5,278 | 192,441 | ||
Erste Group Bank AG* | 12,654 | 298,859 | ||
OMV AG* | 10,806 | 364,637 | ||
Raiffeisen Bank International AG | 17,854 | 319,110 | ||
Verbund AG | 1,978 | 88,836 | ||
voestalpine AGΔ | 4,506 | 97,309 | ||
1,361,192 | ||||
Belgium — 0.8% | ||||
Ageas SA/NV | 8,844 | 313,429 | ||
Colruyt SA | 5,111 | 280,898 | ||
Elia Group SA/NVΔ | 3,556 | 386,861 | ||
Galapagos NV* | 1,973 | 389,426 | ||
Groupe Bruxelles Lambert SA | 5,551 | 464,952 | ||
KBC Group NV | 13,105 | 752,899 | ||
Proximus SADP | 7,723 | 157,372 | ||
Sofina SA | 1,614 | 426,182 | ||
Solvay SA | 4,910 | 393,909 | ||
Telenet Group Holding NV | 6,213 | 255,996 | ||
UCB SA | 7,331 | 850,737 | ||
Umicore SAΔ | 9,507 | 448,769 | ||
5,121,430 | ||||
Denmark — 2.0% | ||||
Ambu A/S Class B | 12,493 | 394,932 | ||
AP Moeller - Maersk A/S Class A | 725 | 792,756 | ||
AP Moeller - Maersk A/S Class B | 60 | 70,320 | ||
Chr. Hansen Holding A/S | 9,414 | 971,011 | ||
Coloplast A/S Class B | 7,502 | 1,169,322 | ||
Danske Bank A/SΔ* | 52,273 | 698,809 | ||
Demant A/S* | 13,113 | 347,509 | ||
DSV Panalpina A/S | 11,994 | 1,473,283 | ||
Genmab A/S* | 4,030 | 1,358,888 | ||
GN Store Nord A/S | 11,286 | 604,144 | ||
H Lundbeck A/S | 15,592 | 589,135 | ||
Novozymes A/S, B Shares | 12,803 | 742,266 | ||
Orsted A/S 144A | 13,824 | 1,595,309 | ||
Pandora A/S | 15,048 | 821,839 | ||
Tryg A/S | 14,443 | 419,632 | ||
Vestas Wind Systems A/S | 12,338 | 1,263,446 | ||
13,312,601 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 439,896 | ||
Fortum OYJ | 22,487 | 429,010 | ||
Kone OYJ Class B | 17,299 | 1,193,102 | ||
Metso OYJΔ | 1,554 | 51,070 | ||
Neste OYJ | 23,301 | 915,172 | ||
Nokia OYJ | 282,487 | 1,234,431 |
Table of Contents
Shares | Value | |||
Nordea Bank Abp* | 165,319 | $1,146,504 | ||
Orion OYJ Class B | 7,634 | 370,206 | ||
Sampo OYJ, A Shares | 22,968 | 791,702 | ||
Stora Enso OYJ, R Shares | 39,220 | 469,438 | ||
UPM-Kymmene OYJ | 27,891 | 807,855 | ||
Wartsila OYJ Abp | 14,669 | 121,680 | ||
7,970,066 | ||||
France — 9.8% | ||||
Accor SA* | 16,778 | 457,899 | ||
Aeroports de Paris | 2,564 | 264,709 | ||
Air Liquide SA | 24,987 | 3,612,792 | ||
Alstom SA | 8,266 | 385,203 | ||
Amundi SA 144A* | 3,229 | 253,843 | ||
Arkema SA | 2,715 | 260,977 | ||
Atos SE* | 4,922 | 421,979 | ||
AXA SAΔ* | 94,288 | 1,984,096 | ||
BioMerieux | 2,764 | 379,592 | ||
BNP Paribas SA* | 56,855 | 2,271,586 | ||
Bollore SA | 53,876 | 169,999 | ||
Bouygues SA* | 11,283 | 386,494 | ||
Bureau Veritas SA* | 15,449 | 327,665 | ||
Capgemini SE | 7,893 | 910,864 | ||
Carrefour SAΔ | 29,587 | 458,837 | ||
Casino Guichard Perrachon SAΔ* | 6,135 | 227,291 | ||
Cie de St-Gobain* | 30,007 | 1,082,682 | ||
Cie Generale des Etablissements Michelin SCAΔ | 9,675 | 1,008,455 | ||
CNP Assurances* | 6,718 | 77,918 | ||
Covivio REIT | 3,117 | 226,087 | ||
Credit Agricole SA* | 64,703 | 614,400 | ||
Danone SA* | 35,410 | 2,457,921 | ||
Dassault Aviation SA* | 92 | 84,410 | ||
Dassault Systemes SA | 7,719 | 1,339,964 | ||
Edenred | 13,509 | 592,480 | ||
Eiffage SA* | 4,139 | 379,408 | ||
Electricite de France SA | 30,955 | 287,791 | ||
Engie SA* | 92,715 | 1,149,846 | ||
EssilorLuxottica SA* | 16,549 | 2,128,342 | ||
Eurazeo SE* | 3,083 | 158,423 | ||
Eurofins Scientific SE Millicom International Cellular SA SDRΔ | 602 | 379,703 | ||
Faurecia SE* | 3,831 | 150,515 | ||
Gecina SA REIT | 2,894 | 357,430 | ||
Getlink SE* | 33,090 | 478,506 | ||
Hermes International | 2,203 | 1,849,656 | ||
ICADE REIT | 2,606 | 181,972 | ||
Iliad SA | 1,222 | 238,547 | ||
Ingenico Group* | 2,895 | 465,152 | ||
Ipsen SA | 3,144 | 266,711 | ||
JCDecaux SAΔ* | 12,986 | 242,583 | ||
Kering SAΔ | 4,371 | 2,389,710 | ||
Klepierre REITΔ | 14,221 | 284,261 | ||
L’Oreal SAΔ* | 13,107 | 4,230,242 | ||
La Francaise des Jeux SAEM 144A | 13,590 | 420,042 | ||
Legrand SA | 14,953 | 1,136,166 | ||
Natixis SA* | 54,091 | 142,667 | ||
Orange SAΔ | 111,352 | 1,331,544 |
Shares | Value | |||
Orpea | 3,616 | $ 417,660 | ||
Peugeot SA* | 23,149 | 379,624 | ||
Publicis Groupe SA | 10,125 | 328,911 | ||
Renault SA* | 7,966 | 203,879 | ||
Safran SA* | 17,283 | 1,738,520 | ||
Sanofi | 59,791 | 6,097,767 | ||
Sartorius Stedim Biotech | 1,344 | 340,754 | ||
Schneider Electric SE | 28,797 | 3,203,285 | ||
SCOR SE* | 5,564 | 153,668 | ||
SEB SAΔ | 1,701 | 282,161 | ||
SES SA | 12,769 | 87,249 | ||
Societe Generale SA* | 43,102 | 720,652 | ||
Sodexo SA | 8,013 | 543,345 | ||
Suez SA | 19,394 | 227,949 | ||
Teleperformance | 3,439 | 875,851 | ||
Thales SA | 5,883 | 476,144 | ||
TOTAL SAΔ | 125,180 | 4,826,744 | ||
Ubisoft Entertainment SA* | 5,285 | 437,654 | ||
Valeo SAΔ | 12,169 | 320,962 | ||
Veolia Environnement SA | 34,427 | 777,402 | ||
Vinci SA | 26,567 | 2,463,380 | ||
Vivendi SA | 43,305 | 1,118,988 | ||
Wendel SE* | 1,720 | 164,153 | ||
Worldline SA 144A* | 8,642 | 753,492 | ||
65,847,554 | ||||
Germany — 8.3% | ||||
adidas AG* | 10,242 | 2,700,322 | ||
Allianz SE | 20,639 | 4,217,425 | ||
Aroundtown SA* | 56,832 | 325,750 | ||
BASF SE | 49,207 | 2,763,925 | ||
Bayerische Motoren Werke AG | 20,141 | 1,285,816 | ||
Beiersdorf AG | 7,547 | 858,202 | ||
Brenntag AG | 7,869 | 417,215 | ||
Carl Zeiss Meditec AG* | 3,097 | 301,562 | ||
Commerzbank AG* | 39,511 | 176,095 | ||
Continental AG* | 6,871 | 675,497 | ||
Covestro AG 144A* | 8,920 | 339,747 | ||
Daimler AG* | 40,518 | 1,648,429 | ||
Delivery Hero SE 144A* | 7,307 | 750,921 | ||
Deutsche Bank AG* | 106,092 | 1,012,128 | ||
Deutsche Boerse AG | 10,390 | 1,880,349 | ||
Deutsche Lufthansa AG* | 24,903 | 249,840 | ||
Deutsche Post AG* | 55,483 | 2,037,329 | ||
Deutsche Telekom AG | 179,835 | 3,017,495 | ||
Deutsche Wohnen SE | 19,733 | 886,715 | ||
E.ON SE | 119,749 | 1,351,688 | ||
Evonik Industries AG | 13,302 | 338,802 | ||
Fraport AG Frankfurt Airport ServicesWorldwide* | 2,669 | 116,915 | ||
Fresenius Medical Care AG & Co. KGaA* | 12,487 | 1,074,255 | ||
Fresenius SE & Co. KGaA* | 22,478 | 1,117,222 | ||
GEA Group AG | 7,555 | 239,783 | ||
Hannover Rueck SE | 3,483 | 601,947 | ||
HeidelbergCement AG | 7,836 | 419,475 | ||
Henkel AG & Co. KGaA | 8,135 | 680,577 | ||
HOCHTIEF AG | 586 | 52,142 |
Table of Contents
Shares | Value | |||
Infineon Technologies AG | 66,670 | $ 1,562,224 | ||
KION Group AG* | 3,162 | 194,684 | ||
Knorr-Bremse AG | 2,858 | 290,046 | ||
LANXESS AG* | 3,845 | 203,330 | ||
LEG Immobilien AG* | 4,785 | 606,909 | ||
MTU Aero Engines AG* | 2,932 | 510,463 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,780 | 1,765,479 | ||
Nemetschek SE | 5,616 | 385,888 | ||
Puma SE* | 6,431 | 498,628 | ||
RWE AG | 34,335 | 1,201,968 | ||
SAP SE | 51,335 | 7,176,095 | ||
Scout24 AG 144A | 6,998 | 541,420 | ||
Siemens AG | 37,926 | 4,472,887 | ||
Siemens Healthineers AG 144A | 9,703 | 466,405 | ||
Symrise AG | 6,729 | 786,261 | ||
TeamViewer AG* | 8,356 | 456,255 | ||
Telefonica Deutschland Holding AG | 56,298 | 166,034 | ||
Uniper SE | 8,857 | 285,808 | ||
United Internet AG | 5,566 | 236,483 | ||
Vonovia SE | 26,223 | 1,602,831 | ||
Zalando SE 144A* | 8,326 | 590,651 | ||
55,538,317 | ||||
Hong Kong — 3.2% | ||||
AIA Group, Ltd. | 608,600 | 5,695,038 | ||
Bank of East Asia, Ltd. (The) | 70,050 | 160,575 | ||
BOC Hong Kong Holdings, Ltd. | 203,500 | 651,586 | ||
CK Asset Holdings, Ltd. | 142,500 | 854,543 | ||
CK Hutchison Holdings, Ltd. | 149,000 | 964,862 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 180,924 | ||
CLP Holdings, Ltd. | 91,000 | 893,733 | ||
Hang Lung Properties, Ltd. | 117,000 | 278,142 | ||
Hang Seng Bank, Ltd. | 44,300 | 746,113 | ||
Henderson Land Development Co., Ltd. | 142,275 | 542,594 | ||
HK Electric Investments & HK Electric Investments, Ltd. 144A | 233,000 | 242,015 | ||
HKT Trust & HKT, Ltd. | 253,000 | 371,270 | ||
Hong Kong & China Gas Co., Ltd. | 637,275 | 990,433 | ||
Hong Kong Exchanges and Clearing, Ltd. | 61,597 | 2,623,523 | ||
Kerry Properties, Ltd. | 66,000 | 171,444 | ||
Link REIT | 120,200 | 986,862 | ||
MTR Corporation, Ltd. | 143,227 | 744,888 | ||
New World Development Co., Ltd. | 135,466 | 643,204 | ||
NWS Holdings, Ltd. | 21,399 | 18,614 | ||
PCCW, Ltd. | 439,000 | 251,004 | ||
Power Assets Holdings, Ltd. | 77,000 | 420,733 | ||
Sino Land Co., Ltd. | 280,604 | 355,020 | ||
Sun Hung Kai Properties, Ltd. | 83,000 | 1,060,345 | ||
Swire Pacific, Ltd. Class A | 22,500 | 119,582 | ||
Swire Properties, Ltd. | 63,800 | 162,892 | ||
Techtronic Industries Co., Ltd. | 56,000 | 554,095 | ||
WH Group, Ltd. 144A | 557,000 | 481,356 | ||
Wharf Real Estate Investment Co., Ltd. | 38,000 | 182,423 |
Shares | Value | |||
Wheelock & Co., Ltd. | 19,000 | $ 150,185 | ||
21,497,998 | ||||
Ireland — 0.7% | ||||
CRH PLC | 45,968 | 1,582,231 | ||
DCC PLC | 5,616 | 468,620 | ||
James Hardie Industries PLC CDI | 16,895 | 325,543 | ||
Kerry Group PLC Class A | 8,753 | 1,087,362 | ||
Kingspan Group PLC | 10,626 | 685,976 | ||
Smurfit Kappa Group PLC | 17,166 | 576,876 | ||
4,726,608 | ||||
Israel — 0.6% | ||||
Azrieli Group, Ltd. | 1,239 | 56,470 | ||
Bank Hapoalim BM | 48,532 | 290,132 | ||
Bank Leumi Le-Israel BM | 65,831 | 330,993 | ||
Check Point Software Technologies, Ltd.* | 5,794 | 622,449 | ||
Elbit Systems, Ltd. | 1,618 | 222,350 | ||
ICL Group, Ltd. | 44,785 | 133,401 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 161,506 | ||
Nice, Ltd.* | 2,756 | 519,512 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 65,101 | 802,695 | ||
Wix.com, Ltd.* | 2,346 | 601,092 | ||
3,740,600 | ||||
Italy — 1.9% | ||||
Assicurazioni Generali SpA | 54,200 | 823,313 | ||
Atlantia SpA* | 29,878 | 483,287 | ||
DiaSorin SpAΔ | 1,915 | 367,767 | ||
Enel SpA | 393,766 | 3,405,465 | ||
Eni SpA | 112,690 | 1,080,248 | ||
FinecoBank Banca Fineco SpA* | 27,715 | 375,097 | ||
Intesa Sanpaolo SpA* | 710,538 | 1,365,435 | ||
Leonardo SpA | 20,334 | 135,553 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 154,196 | ||
Moncler SpA* | 14,899 | 572,920 | ||
Nexi SpA 144A* | 24,702 | 428,346 | ||
Pirelli & C SpA 144A* | 23,808 | 101,287 | ||
Poste Italiane SpA 144A | 25,999 | 227,108 | ||
Prysmian SpA | 8,844 | 205,166 | ||
Recordati SpA | 12,235 | 612,223 | ||
Snam SpAΔ | 106,584 | 519,613 | ||
Telecom Italia SpA | 623,814 | 245,992 | ||
Tenaris SA | 20,917 | 135,932 | ||
Terna Rete Elettrica Nazionale SpAΔ | 90,920 | 627,126 | ||
UniCredit SpA* | 99,177 | 915,326 | ||
12,781,400 | ||||
Japan — 24.4% | ||||
ABC-Mart, Inc. | 100 | 5,866 | ||
Acom Co., Ltd. | 3,200 | 12,246 | ||
Advantest Corporation | 10,700 | 610,654 | ||
Aeon Co., Ltd. | 41,800 | 972,457 | ||
Aeon Mall Co., Ltd. | 900 | 11,960 | ||
AGC, Inc. | 7,200 | 206,421 |
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Shares | Value | |||
Aisin Seiki Co., Ltd. | 5,800 | $ 170,009 | ||
Ajinomoto Co., Inc. | 31,600 | 524,401 | ||
Alfresa Holdings Corporation | 12,100 | 253,632 | ||
ANA Holdings, Inc.* | 7,400 | 169,112 | ||
Aozora Bank, Ltd. | 500 | 8,719 | ||
Asahi Intecc Co., Ltd. | 7,400 | 211,199 | ||
Asahi Kasei Corporation | 73,700 | 603,293 | ||
Astellas Pharma, Inc. | 106,900 | 1,785,183 | ||
Bandai Namco Holdings, Inc. | 11,900 | 626,393 | ||
Bank of Kyoto, Ltd. (The)Δ | 600 | 21,318 | ||
Benesse Holdings, Inc. | 7,600 | 203,829 | ||
Bridgestone Corporation | 31,300 | 1,010,222 | ||
Brother Industries, Ltd. | 11,600 | 209,578 | ||
Calbee, Inc. | 7,900 | 218,353 | ||
Canon, Inc.Δ | 61,400 | 1,224,809 | ||
Casio Computer Co., Ltd. | 2,100 | 36,636 | ||
Central Japan Railway Co. | 7,300 | 1,129,005 | ||
Chubu Electric Power Co., Inc. | 38,800 | 486,627 | ||
Chugai Pharmaceutical Co., Ltd. | 34,200 | 1,831,068 | ||
Chugoku Electric Power Co., Inc. (The) | 14,200 | 189,315 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 26,600 | 482,431 | ||
Concordia Financial Group, Ltd. | 55,000 | 176,828 | ||
CyberAgent, Inc. | 5,700 | 280,176 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 241,399 | ||
Daicel Corporation | 3,100 | 24,026 | ||
Daifuku Co., Ltd. | 5,500 | 481,977 | ||
Dai-ichi Life Holdings, Inc. | 59,800 | 715,806 | ||
Daiichi Sankyo Co., Ltd. | 31,200 | 2,551,898 | ||
Daikin Industries, Ltd. | 13,000 | 2,103,400 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 322,565 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 580,927 | ||
Daiwa House REIT Investment Corporation | 101 | 237,613 | ||
Daiwa Securities Group, Inc. | 49,000 | 205,844 | ||
Denso Corporation | 23,900 | 937,288 | ||
Dentsu Group, Inc. | 10,700 | 253,821 | ||
Disco Corporation | 1,500 | 365,833 | ||
East Japan Railway Co. | 17,000 | 1,178,020 | ||
Eisai Co., Ltd. | 13,800 | 1,096,395 | ||
Electric Power Development Co., Ltd. | 8,700 | 164,921 | ||
ENEOS Holdings, Inc. | 137,150 | 488,880 | ||
FamilyMart Co., Ltd. | 15,400 | 264,386 | ||
FANUC Corporation | 9,700 | 1,738,919 | ||
Fast Retailing Co., Ltd. | 2,900 | 1,666,839 | ||
Fuji Electric Co., Ltd.Δ | 2,700 | 74,315 | ||
FUJIFILM Holdings Corporation | 21,200 | 907,396 | ||
Fujitsu, Ltd. | 10,600 | 1,241,084 | ||
Fukuoka Financial Group, Inc. | 5,700 | 90,122 | ||
GLP J-REIT | 117 | 169,071 | ||
GMO Payment Gateway, Inc. | 300 | 31,378 | ||
Hakuhodo DY Holdings, Inc. | 25,700 | 306,728 | ||
Hamamatsu Photonics KK | 6,400 | 278,686 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 442,495 | ||
Hikari Tsushin, Inc. | 1,200 | 274,378 | ||
Hino Motors, Ltd. | 2,100 | 14,248 | ||
Hirose Electric Co., Ltd. | 605 | 66,434 |
Shares | Value | |||
Hisamitsu Pharmaceutical Co., Inc. | 3,300 | $ 178,384 | ||
Hitachi Metals, Ltd. | 2,000 | 23,972 | ||
Hitachi, Ltd. | 45,600 | 1,449,388 | ||
Honda Motor Co., Ltd. | 77,400 | 1,980,950 | ||
Hoshizaki Corporation | 2,100 | 179,992 | ||
Hoya Corporation | 18,800 | 1,800,269 | ||
Hulic Co., Ltd. | 26,200 | 247,355 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 186,444 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 38,421 | ||
Inpex Corporation | 43,600 | 272,250 | ||
Isetan Mitsukoshi Holdings, Ltd.Δ | 12,100 | 69,636 | ||
Isuzu Motors, Ltd. | 18,100 | 164,481 | ||
Ito En, Ltd. | 10,900 | 615,292 | ||
ITOCHU Corporation | 68,300 | 1,477,863 | ||
Japan Airlines Co., Ltd. | 6,100 | 110,078 | ||
Japan Airport Terminal Co., Ltd. | 400 | 17,069 | ||
Japan Exchange Group, Inc. | 24,800 | 574,367 | ||
Japan Post Holdings Co., Ltd. | 91,500 | 653,006 | ||
Japan Post Insurance Co., Ltd. | 12,400 | 163,387 | ||
Japan Prime Realty Investment Corporation REIT | 9 | 26,403 | ||
Japan Real Estate Investment Corporation REITΔ | 46 | 236,077 | ||
Japan Retail Fund Investment Corporation REIT | 40 | 50,031 | ||
JFE Holdings, Inc. | 23,900 | 172,785 | ||
JGC Holdings Corporation | 11,500 | 121,267 | ||
JSR Corporation | 2,200 | 42,680 | ||
JTEKT CorporationΔ | 2,600 | 20,301 | ||
Kajima Corporation | 17,500 | 209,245 | ||
Kakaku.com, Inc. | 3,900 | 99,350 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 332,366 | ||
Kansai Paint Co., Ltd. | 12,800 | 270,486 | ||
Kao Corporation | 24,200 | 1,920,459 | ||
KDDI Corporation | 80,200 | 2,392,939 | ||
Keihan Holdings Co., Ltd. | 4,100 | 183,103 | ||
Keikyu CorporationΔ | 14,200 | 217,290 | ||
Keio Corporation | 7,300 | 417,780 | ||
Keisei Electric Railway Co., Ltd. | 1,500 | 47,011 | ||
Keyence Corporation | 9,300 | 3,897,272 | ||
Kikkoman Corporation | 13,800 | 666,507 | ||
Kintetsu Group Holdings Co., Ltd. | 11,300 | 507,025 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 202,226 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 173,976 | ||
Komatsu, Ltd. | 38,400 | 786,452 | ||
Konami Holdings Corporation | 5,500 | 183,529 | ||
Kose Corporation | 1,400 | 169,466 | ||
Kubota Corporation | 43,300 | 647,714 | ||
Kuraray Co., Ltd. | 7,300 | 76,393 | ||
KuritaWater Industries, Ltd. | 900 | 25,036 | ||
Kyocera Corporation | 16,300 | 889,729 | ||
Kyowa Kirin Co., Ltd. | 13,300 | 350,119 | ||
Kyushu Electric Power Co., Inc. | 24,000 | 201,148 | ||
Kyushu Railway Co. | 11,000 | 285,821 | ||
Lasertec Corporation | 2,400 | 226,873 | ||
Lawson, Inc. | 3,900 | 196,172 | ||
LINE Corporation* | 5,200 | 261,712 | ||
Lion Corporation | 11,600 | 278,999 |
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Shares | Value | |||
LIXIL Group Corporation | 11,900 | $ 167,127 | ||
M3, Inc. | 21,500 | 913,344 | ||
Makita Corporation | 7,900 | 287,279 | ||
Marubeni Corporation | 64,200 | 291,622 | ||
Marui Group Co., Ltd. | 6,200 | 112,154 | ||
Maruichi Steel Tube, Ltd. | 400 | 9,970 | ||
Mazda Motor Corporation | 20,700 | 125,067 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | 475,619 | ||
Medipal Holdings Corporation | 4,500 | 86,853 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 636,609 | ||
MINEBEA MITSUMI, Inc. | 13,700 | 249,719 | ||
MISUMI Group, Inc. | 9,900 | 248,573 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 351,066 | ||
Mitsubishi Corporation | 77,900 | 1,646,161 | ||
Mitsubishi Electric Corporation | 91,900 | 1,200,331 | ||
Mitsubishi Estate Co., Ltd. | 63,800 | 950,736 | ||
Mitsubishi Gas Chemical Co., Inc. | 5,500 | 83,652 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 323,458 | ||
Mitsubishi UFJ Financial Group, Inc. | 620,000 | 2,440,026 | ||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 38,900 | 185,625 | ||
Mitsui & Co., Ltd. | 81,900 | 1,213,481 | ||
Mitsui Chemicals, Inc. | 9,400 | 196,611 | ||
Mitsui Fudosan Co., Ltd. | 49,800 | 884,684 | ||
Mizuho Financial Group, Inc. | 1,187,900 | 1,461,170 | ||
MonotaRO Co., Ltd. | 4,000 | 160,714 | ||
MS&AD Insurance Group Holdings, Inc. | 24,300 | 669,191 | ||
Murata Manufacturing Co., Ltd. | 27,700 | 1,632,874 | ||
Nabtesco Corporation | 3,800 | 117,599 | ||
Nagoya Railroad Co., Ltd. | 9,600 | 270,580 | ||
NEC Corporation | 15,600 | 749,513 | ||
Nexon Co., Ltd. | 18,700 | 421,805 | ||
NGK Spark Plug Co., Ltd. | 4,500 | 64,678 | ||
NH Foods, Ltd. | 6,500 | 261,564 | ||
Nidec Corporation | 20,800 | 1,401,271 | ||
Nihon M&A Center, Inc. | 5,400 | 245,581 | ||
Nikon Corporation | 13,200 | 110,858 | ||
Nintendo Co., Ltd. | 5,800 | 2,592,999 | ||
Nippon Building Fund, Inc. REIT | 69 | 392,967 | ||
Nippon Express Co., Ltd. | 4,000 | 207,414 | ||
Nippon Paint Holdings Co., Ltd.Δ | 7,300 | 532,439 | ||
Nippon Prologis REIT, Inc. | 121 | 367,675 | ||
Nippon Shinyaku Co., Ltd. | 3,000 | 244,868 | ||
Nippon Steel Corporation | 49,400 | 466,803 | ||
Nippon Telegraph & Telephone Corporation | 61,300 | 1,428,256 | ||
Nissan Chemical Corporation | 5,900 | 303,548 | ||
Nissan Motor Co., Ltd. | 82,800 | 307,059 | ||
Nisshin Seifun Group, Inc. | 15,300 | 228,453 | ||
Nissin Foods Holdings Co., Ltd. | 4,300 | 380,979 | ||
Nitori Holdings Co., Ltd. | 5,200 | 1,019,559 | ||
Nitto Denko Corporation | 7,100 | 402,500 | ||
Nomura Holdings, Inc. | 160,800 | 722,569 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 220,376 | ||
Nomura Research Institute, Ltd. | 17,157 | 468,605 |
Shares | Value | |||
NTT Data Corporation | 29,300 | $ 327,585 | ||
NTT DOCOMO, Inc. | 52,900 | 1,404,390 | ||
Obayashi Corporation | 26,400 | 248,199 | ||
Obic Co., Ltd. | 3,600 | 634,460 | ||
Odakyu Electric Railway Co., Ltd. | 15,900 | 390,469 | ||
Oji Holdings Corporation | 31,000 | 144,626 | ||
Olympus Corporation | 54,000 | 1,039,635 | ||
Omron Corporation | 8,300 | 555,919 | ||
Ono Pharmaceutical Co., Ltd. | 33,900 | 989,423 | ||
Oracle Corporation | 700 | 83,029 | ||
Oriental Land Co., Ltd. | 11,700 | 1,546,110 | ||
ORIX Corporation | 76,900 | 954,887 | ||
Orix JREIT, Inc.Δ | 119 | 156,858 | ||
Osaka Gas Co., Ltd. | 14,000 | 276,738 | ||
Otsuka Corporation | 6,900 | 364,428 | ||
Otsuka Holdings Co., Ltd. | 26,100 | 1,137,489 | ||
Pan Pacific International Holdings Corporation | 26,100 | 574,636 | ||
Panasonic Corporation | 112,600 | 987,395 | ||
Park24 Co., Ltd.Δ | 7,600 | 130,302 | ||
PeptiDream, Inc.Δ* | 5,900 | 271,845 | ||
Persol Holdings Co., Ltd. | 9,400 | 129,597 | ||
Pigeon CorporationΔ | 6,500 | 251,583 | ||
Pola Orbis Holdings, Inc. | 7,300 | 127,447 | ||
Rakuten, Inc. | 35,400 | 312,688 | ||
Recruit Holdings Co., Ltd. | 62,200 | 2,139,071 | ||
Renesas Electronics Corporation* | 45,200 | 232,346 | ||
Resona Holdings, Inc. | 92,600 | 316,867 | ||
Ricoh Co., Ltd. | 52,300 | 375,283 | ||
Rinnai Corporation | 2,600 | 217,732 | ||
Rohm Co., Ltd. | 3,100 | 206,123 | ||
Ryohin Keikaku Co., Ltd. | 11,000 | 156,459 | ||
Santen Pharmaceutical Co., Ltd. | 34,300 | 631,444 | ||
SBI Holdings, Inc. | 9,400 | 203,985 | ||
Secom Co., Ltd. | 11,500 | 1,009,041 | ||
Seibu Holdings, Inc. | 13,200 | 143,777 | ||
Seiko Epson Corporation | 17,200 | 197,038 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 240,706 | ||
Sekisui House, Ltd. | 31,600 | 603,312 | ||
Seven & i Holdings Co., Ltd. | 40,100 | 1,311,812 | ||
SG Holdings Co., Ltd. | 7,100 | 231,699 | ||
Sharp Corporation | 9,500 | 101,883 | ||
Shimadzu Corporation | 15,100 | 403,128 | ||
Shimamura Co., Ltd. | 200 | 13,546 | ||
Shimano, Inc. | 3,200 | 615,324 | ||
Shimizu Corporation | 26,800 | 220,781 | ||
Shin-Etsu Chemical Co., Ltd. | 17,900 | 2,100,771 | ||
Shinsei Bank, Ltd. | 400 | 4,838 | ||
Shionogi & Co., Ltd. | 15,100 | 947,274 | ||
Shiseido Co., Ltd. | 23,000 | 1,465,575 | ||
Showa Denko KK | 5,600 | 126,400 | ||
SMC Corporation | 3,000 | 1,541,763 | ||
Softbank Corporation | 88,600 | 1,129,316 | ||
SoftBank Group CorporationΔ | 76,500 | 3,857,717 | ||
Sohgo Security Services Co., Ltd. | 600 | 28,016 | ||
Sompo Holdings, Inc. | 18,400 | 633,427 | ||
Sony Corporation | 65,400 | 4,514,574 | ||
Sony Financial Holdings, Inc. | 4,600 | 111,067 |
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Shares | Value | |||
Square Enix Holdings Co., Ltd. | 4,200 | $ 212,789 | ||
Subaru Corporation | 30,200 | 632,378 | ||
SUMCO Corporation | 14,200 | 218,313 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 153,449 | ||
Sumitomo Corporation | 71,400 | 821,203 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 173,220 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 392,214 | ||
Sumitomo Metal Mining Co., Ltd. | 9,900 | 278,881 | ||
Sumitomo Mitsui Financial Group, Inc. | 65,400 | 1,845,706 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 388,889 | ||
Sumitomo Realty & Development Co., Ltd. | 18,000 | 496,848 | ||
Sumitomo Rubber Industries, Ltd. | 15,700 | 155,501 | ||
Sundrug Co., Ltd. | 6,600 | 218,432 | ||
Suntory Beverage & Food, Ltd. | 26,800 | 1,045,689 | ||
Suzuken Co., Ltd. | 1,900 | 70,983 | ||
Suzuki Motor Corporation | 19,400 | 662,435 | ||
Sysmex Corporation | 7,300 | 560,360 | ||
T&D Holdings, Inc. | 22,500 | 193,257 | ||
Taiheiyo Cement Corporation | 7,100 | 164,962 | ||
Taisei Corporation | 11,000 | 400,907 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | 331,382 | ||
Taiyo Nippon Sanso Corporation | 1,200 | 20,067 | ||
Takeda Pharmaceutical Co., Ltd. | 84,536 | 3,037,207 | ||
TDK Corporation | 7,200 | 716,770 | ||
Teijin, Ltd. | 2,600 | 41,396 | ||
Terumo Corporation | 35,700 | 1,358,841 | ||
TIS, Inc. | 19,500 | 412,866 | ||
Tobu Railway Co., Ltd. | 10,900 | 360,130 | ||
Toho Co., Ltd. | 2,900 | 104,751 | ||
Toho Gas Co., Ltd.Δ | 3,400 | 169,941 | ||
Tohoku Electric Power Co., Inc. | 19,200 | 182,392 | ||
Tokio Marine Holdings, Inc. | 32,100 | 1,405,114 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 172,574 | ||
Tokyo Electron, Ltd. | 7,700 | 1,899,927 | ||
Tokyo Gas Co., Ltd. | 20,300 | 486,076 | ||
Tokyu Corporation | 36,400 | 512,452 | ||
Tokyu Fudosan Holdings Corporation | 34,600 | 162,775 | ||
Toppan Printing Co., Ltd. | 14,000 | 234,065 | ||
Toray Industries, Inc. | 85,700 | 404,506 | ||
Toshiba Corporation | 16,900 | 542,148 | ||
Tosoh Corporation | 16,800 | 230,780 | ||
TOTO, Ltd. | 6,700 | 257,605 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 234,670 | ||
Toyoda Gosei Co., Ltd. | 500 | 10,447 | ||
Toyota Industries Corporation | 5,300 | 281,709 | ||
Toyota Motor Corporation | 104,116 | 6,547,240 | ||
Toyota Tsusho Corporation | 7,800 | 198,910 | ||
Trend Micro, Inc. | 4,300 | 240,303 | ||
Tsuruha Holdings, Inc. | 1,900 | 262,415 | ||
Unicharm Corporation | 24,000 | 984,300 | ||
United Urban Investment Corporation REIT | 156 | 168,020 | ||
USS Co., Ltd. | 15,500 | 248,471 |
Shares | Value | |||
Welcia Holdings Co., Ltd. | 2,300 | $ 185,810 | ||
West Japan Railway Co. | 7,800 | 437,494 | ||
Yakult Honsha Co., Ltd. | 4,900 | 288,287 | ||
Yamada Denki Co., Ltd. | 39,400 | 195,440 | ||
Yamaha Corporation | 5,400 | 254,691 | ||
Yamato Holdings Co., Ltd. | 10,600 | 230,099 | ||
Yamazaki Baking Co., Ltd. | 7,200 | 123,676 | ||
Yaskawa Electric Corporation | 9,000 | 312,868 | ||
Yokogawa Electric Corporation | 2,500 | 39,172 | ||
Yokohama Rubber Co., Ltd. (The) | 1,000 | 14,140 | ||
Z Holdings Corporation | 146,400 | 718,491 | ||
ZOZO, Inc. | 5,700 | 127,065 | ||
164,417,144 | ||||
Jersey — 0.6% | ||||
Experian PLC | 47,391 | 1,663,370 | ||
Ferguson PLC | 10,029 | 820,037 | ||
Glencore PLC* | 516,891 | 1,101,084 | ||
WPP PLC | 75,700 | 590,181 | ||
4,174,672 | ||||
Netherlands — 5.0% | ||||
ABN AMRO Bank NV CVA 144A | 19,173 | 164,996 | ||
Adyen NV 144A* | 879 | 1,279,380 | ||
Aegon NV | 91,686 | 271,021 | ||
AerCap Holdings NV* | 7,106 | 218,865 | ||
Airbus SE* | 30,567 | 2,190,243 | ||
Akzo Nobel NVΔ | 11,693 | 1,050,507 | ||
Altice Europe NV* | 41,822 | 161,748 | ||
ArcelorMittal SA* | 27,312 | 289,285 | ||
ASML Holding NV | 20,949 | 7,663,421 | ||
CNH Industrial NVΔ* | 43,467 | 305,382 | ||
EXOR NV | 7,115 | 408,382 | ||
Ferrari NV | 5,605 | 960,111 | ||
Fiat Chrysler Automobiles NV* | 57,382 | 580,597 | ||
ING Groep NV | 182,403 | 1,271,515 | ||
Just Eat Takeaway.com NV 144AΔ* | 6,944 | 725,822 | ||
Koninklijke Ahold Delhaize NV | 58,297 | 1,588,830 | ||
Koninklijke DSM NV | 8,978 | 1,246,308 | ||
Koninklijke KPN NV | 232,251 | 617,768 | ||
Koninklijke Philips NV* | 48,889 | 2,280,560 | ||
Koninklijke Vopak NV | 4,650 | 245,959 | ||
NN Group NV | 12,223 | 410,788 | ||
Prosus NV* | 26,477 | 2,461,259 | ||
QIAGEN NV* | 14,497 | 624,458 | ||
Randstad NV | 7,963 | 356,066 | ||
STMicroelectronics NV | 37,806 | 1,030,527 | ||
Unibail-Rodamco-Westfield REITΔ | 6,095 | 343,556 | ||
Unilever NV | 75,394 | 4,019,841 | ||
Wolters Kluwer NV | 14,668 | 1,145,655 | ||
33,912,850 | ||||
New Zealand — 0.3% | ||||
a2 Milk Co., Ltd.* | 45,565 | 596,434 | ||
Auckland International Airport, Ltd. | 67,484 | 286,994 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 33,637 | 774,889 | ||
Meridian Energy, Ltd. | 83,938 | 261,661 |
Table of Contents
Shares | Value | |||
Ryman Healthcare, Ltd. | 22,949 | $ 194,699 | ||
Spark New Zealand, Ltd. | 86,942 | 257,232 | ||
2,371,909 | ||||
Norway — 0.6% | ||||
DNB ASA* | 42,506 | 567,349 | ||
Equinor ASA | 57,972 | 835,126 | ||
Gjensidige Forsikring ASA* | 19,578 | 361,727 | ||
Mowi ASA | 26,051 | 496,576 | ||
Norsk Hydro ASA* | 56,215 | 156,833 | ||
Orkla ASA | 60,619 | 532,210 | ||
Schibsted ASA, B Shares* | 13,134 | 310,233 | ||
Telenor ASA | 45,524 | 664,690 | ||
Yara International ASA | 10,434 | 363,753 | ||
4,288,497 | ||||
Papua New Guinea — 0.0% | ||||
Oil Search, Ltd. | 96,983 | 214,930 | ||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 143,115 | 683,126 | ||
Galp Energia SGPS SA | 27,004 | 313,246 | ||
Jeronimo Martins SGPS SA* | 14,871 | 260,242 | ||
1,256,614 | ||||
Singapore — 1.2% | ||||
Ascendas REIT | 144,607 | 331,788 | ||
CapitaLand Commercial Trust REIT | 41,879 | 51,254 | ||
CapitaLand Mall Trust REIT | 117,500 | 166,724 | ||
CapitaLand, Ltd.* | 199,700 | 421,895 | ||
Dairy Farm International Holdings, Ltd. | 17,300 | 80,838 | ||
DBS Group Holdings, Ltd. | 87,612 | 1,318,283 | ||
Hongkong Land Holdings, Ltd. | 79,400 | 330,266 | ||
Jardine Cycle & Carriage, Ltd. | 8,811 | 128,584 | ||
Jardine Matheson Holdings, Ltd. | 12,200 | 510,092 | ||
Jardine Strategic Holdings, Ltd. | 7,400 | 159,626 | ||
Keppel Corporation, Ltd. | 93,500 | 402,697 | ||
Oversea-Chinese Banking Corporation, Ltd. | 132,443 | 863,236 | ||
Singapore Airlines, Ltd. | 234,750 | 633,643 | ||
Singapore Exchange, Ltd. | 32,300 | 194,371 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 38,427 | ||
Singapore Telecommunications, Ltd. | 431,500 | 767,594 | ||
Suntec REIT | 26,900 | 27,480 | ||
United Overseas Bank, Ltd. | 53,959 | 788,442 | ||
UOL Group, Ltd. | 7,561 | 37,175 | ||
Venture Corporation, Ltd. | 10,300 | 120,373 | ||
Wilmar International, Ltd. | 188,000 | 556,061 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 88,700 | 59,712 | ||
7,988,561 | ||||
Spain — 2.4% | ||||
ACS Actividades de Construccion y Servicios SA | 16,162 | 415,346 | ||
Aena SME SA 144A* | 3,930 | 525,605 | ||
Amadeus IT Group SA | 22,411 | 1,176,626 | ||
Banco Bilbao Vizcaya Argentaria SA | 291,811 | 1,004,696 | ||
Banco Santander SA | 811,780 | 1,985,989 |
Shares | Value | |||
Bankinter SA | 24,002 | $ 115,045 | ||
CaixaBank SA | 130,072 | 278,261 | ||
Cellnex Telecom SA 144AΔ* | 11,970 | 731,101 | ||
Enagas SAΔ | 17,674 | 432,369 | ||
Endesa SAΔ | 13,556 | 336,273 | ||
Ferrovial SA | 27,777 | 742,479 | ||
Grifols SAΔ | 15,393 | 468,071 | ||
Iberdrola SA | 293,592 | 3,427,594 | ||
Industria de Diseno Textil SA | 64,732 | 1,717,564 | ||
Mapfre SA | 10,729 | 19,159 | ||
Naturgy Energy Group SAΔ | 20,649 | 385,495 | ||
Red Electrica Corporation SAΔ | 23,715 | 443,697 | ||
Repsol SA | 79,833 | 705,403 | ||
Siemens Gamesa Renewable Energy SAΔ* | 6,866 | 122,249 | ||
Telefonica SA | 228,227 | 1,091,559 | ||
16,124,581 | ||||
Sweden — 2.7% | ||||
Alfa Laval AB* | 9,705 | 214,094 | ||
Assa Abloy AB, B Shares | 55,581 | 1,137,604 | ||
Atlas Copco AB, A Shares | 35,615 | 1,516,681 | ||
Boliden ABΔ | 9,794 | 224,639 | ||
Electrolux AB, Series B | 13,970 | 235,044 | ||
Epiroc AB, A Shares | 8,156 | 102,198 | ||
Epiroc AB, B Shares | 46,082 | 565,939 | ||
Essity AB, B Shares* | 44,371 | 1,438,570 | ||
Hennes & Mauritz AB, B SharesΔ | 49,643 | 724,604 | ||
Hexagon AB, B Shares* | 13,938 | 818,517 | ||
Husqvarna AB, B Shares | 23,565 | 193,941 | ||
ICA Gruppen AB | 5,526 | 262,676 | ||
Industrivarden AB, C Shares* | 8,930 | 203,550 | ||
Investor AB, B Shares | 26,115 | 1,385,346 | ||
Kinnevik AB Class B | 16,349 | 431,570 | ||
L E Lundbergforetagen AB, B Shares* | 5,888 | 268,397 | ||
Lundin Energy AB | 8,084 | 197,295 | ||
Nibe Industrier AB, B Shares* | 13,025 | 288,892 | ||
Sandvik AB* | 58,653 | 1,104,187 | ||
Securitas AB, B Shares* | 14,981 | 202,576 | ||
Skandinaviska Enskilda Banken AB, A Shares* | 83,522 | 725,017 | ||
Skanska AB, B Shares* | 13,311 | 271,748 | ||
SKF AB, B Shares | 13,321 | 249,016 | ||
Svenska Cellulosa AB SCA, B Shares* | 42,349 | 506,544 | ||
Svenska Handelsbanken AB, A Shares* | 65,615 | 623,036 | ||
Swedbank AB, A Shares* | 47,217 | 606,308 | ||
Tele2 AB, B Shares | 19,177 | 255,281 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 152,650 | 1,414,998 | ||
Telia Co. AB | 126,527 | 473,363 | ||
Volvo AB, B Shares* | 76,978 | 1,211,241 | ||
17,852,872 | ||||
Switzerland — 10.2% | ||||
ABB, Ltd. | 91,674 | 2,079,435 | ||
Adecco Group AG | 8,557 | 403,339 |
Table of Contents
Shares | Value | |||
Alcon, Inc.* | 19,678 | $ 1,130,683 | ||
Baloise Holding AG | 2,117 | 318,927 | ||
Banque Cantonale Vaudoise | 1,540 | 149,969 | ||
Barry Callebaut AG | 352 | 671,911 | ||
Chocoladefabriken Lindt & Spruengli AG | 7 | 603,797 | ||
Cie Financiere Richemont SA | 30,211 | 1,948,619 | ||
Coca-Cola HBC AG* | 19,942 | 499,210 | ||
Credit Suisse Group AG | 124,795 | 1,298,476 | ||
EMS-Chemie Holding AG | 485 | 376,798 | ||
Geberit AG | 1,994 | 1,000,462 | ||
Givaudan SA | 437 | 1,633,493 | ||
Julius Baer Group, Ltd. | 11,052 | 464,157 | ||
Kuehne + Nagel International AG* | 1,638 | 272,839 | ||
LafargeHolcim, Ltd.* | 1,494 | 64,876 | ||
LafargeHolcim, Ltd. (Swiss Exchange)* | 19,045 | 839,047 | ||
Logitech International SA | 9,497 | 622,333 | ||
Lonza Group AG | 3,814 | 2,020,267 | ||
Nestle SA | 152,984 | 16,961,432 | ||
Novartis AG | 103,647 | 9,029,837 | ||
Partners Group Holding AG | 915 | 833,284 | ||
Roche Holding AG | 36,301 | 12,576,465 | ||
Schindler Holding AG | 3,024 | 716,002 | ||
SGS SA | 333 | 815,732 | ||
Sika AG | 6,515 | 1,255,913 | ||
Sonova Holding AG* | 2,443 | 489,028 | ||
Straumann Holding AG | 601 | 519,557 | ||
Swatch Group AG (The) | 15,046 | 591,693 | ||
Swiss Life Holding AG | 1,166 | 433,774 | ||
Swiss Prime Site AG | 4,727 | 438,502 | ||
Swiss Re AG | 14,300 | 1,108,744 | ||
Swisscom AG | 1,391 | 729,442 | ||
Temenos AG | 3,832 | 595,585 | ||
UBS Group AG | 188,589 | 2,178,026 | ||
Vifor Pharma AG | 2,839 | 429,504 | ||
Zurich Insurance Group AG | 7,246 | 2,567,479 | ||
68,668,637 | ||||
United Kingdom — 12.6% | ||||
3i Group PLC | 54,344 | 559,580 | ||
Admiral Group PLC | 7,823 | 221,852 | ||
Anglo American PLC | 60,164 | 1,386,974 | ||
Antofagasta PLC | 23,560 | 272,692 | ||
Ashtead Group PLC | 21,261 | 717,198 | ||
Associated British Foods PLC | 28,326 | 669,745 | ||
AstraZeneca PLC | 68,160 | 7,093,711 | ||
Auto Trader Group PLC 144A | 39,162 | 254,974 | ||
AVEVA Group PLC | 4,634 | 234,959 | ||
Aviva PLC | 252,843 | 856,980 | ||
BAE Systems PLC | 180,364 | 1,078,480 | ||
Barclays PLC | 927,489 | 1,308,500 | ||
Barratt Developments PLC | 50,118 | 308,032 | ||
Berkeley Group Holdings PLC | 6,733 | 346,751 | ||
BHP Group PLC | 110,955 | 2,270,480 | ||
BP PLC | 990,374 | 3,794,166 | ||
British Land Co. PLC (The) REIT | 31,612 | 151,215 | ||
BT Group PLC | 453,308 | 641,091 |
Shares | Value | |||
Bunzl PLC | 13,047 | $ 349,961 | ||
Burberry Group PLC | 40,520 | 800,679 | ||
Coca-Cola European Partners PLC | 15,904 | 600,535 | ||
Compass Group PLC | 98,923 | 1,361,028 | ||
Croda International PLC | 8,758 | 568,840 | ||
Direct Line Insurance Group PLC | 64,437 | 216,061 | ||
GlaxoSmithKline PLC | 278,527 | 5,626,160 | ||
Halma PLC | 23,059 | 656,956 | ||
Hargreaves Lansdown PLC | 13,678 | 275,832 | ||
Hikma Pharmaceuticals PLC | 18,236 | 500,416 | ||
HSBC Holdings PLC | 1,018,435 | 4,733,267 | ||
Informa PLC | 87,112 | 503,659 | ||
InterContinental Hotels Group PLC | 14,742 | 650,788 | ||
Intertek Group PLC | 8,134 | 547,834 | ||
ITV PLC | 231,678 | 214,123 | ||
J Sainsbury PLC | 118,172 | 305,824 | ||
JD Sports Fashion PLC | 19,923 | 153,341 | ||
Johnson Matthey PLC | 13,222 | 344,353 | ||
Kingfisher PLC | 173,177 | 476,442 | ||
Land Securities Group PLC REIT | 42,490 | 290,318 | ||
Legal & General Group PLC | 311,903 | 850,324 | ||
Lloyds Banking Group PLC | 3,505,062 | 1,352,115 | ||
London Stock Exchange Group PLC | 17,333 | 1,802,549 | ||
M&G PLC | 116,852 | 242,637 | ||
Melrose Industries PLC | 264,795 | 373,240 | ||
Mondi PLC | 41,985 | 785,328 | ||
National Grid PLC | 197,949 | 2,415,056 | ||
Next PLC | 7,706 | 466,560 | ||
Ocado Group PLC* | 22,804 | 573,073 | ||
Pearson PLCΔ | 41,042 | 292,170 | ||
Persimmon PLC* | 22,094 | 625,295 | ||
Prudential PLC | 126,748 | 1,909,847 | ||
Reckitt Benckiser Group PLC | 37,981 | 3,494,193 | ||
RELX PLC | 105,410 | 2,439,795 | ||
Rentokil Initial PLC | 101,023 | 638,786 | ||
Rio Tinto PLC | 58,556 | 3,295,330 | ||
Rolls-Royce Holdings PLC* | 96,721 | 341,484 | ||
Royal Bank of Scotland Group PLC | 286,152 | 429,584 | ||
Royal Dutch Shell PLC, A Shares | 196,480 | 3,145,893 | ||
Royal Dutch Shell PLC, B Shares | 190,228 | 2,883,912 | ||
RSA Insurance Group PLC | 43,200 | 218,784 | ||
Sage Group PLC (The) | 68,811 | 571,196 | ||
Schroders PLC | 6,913 | 252,309 | ||
Segro PLC REIT | 71,796 | 794,062 | ||
Severn Trent PLC | 9,681 | 296,275 | ||
Smith & Nephew PLC | 46,538 | 867,172 | ||
Smiths Group PLC | 26,226 | 458,481 | ||
Spirax-Sarco Engineering PLC | 4,987 | 613,949 | ||
SSE PLC | 57,080 | 966,543 | ||
St. James’s Place PLC | 34,873 | 410,053 | ||
Standard Chartered PLC | 155,394 | 842,359 | ||
Standard Life Aberdeen PLC | 114,480 | 379,352 | ||
Taylor Wimpey PLC | 203,676 | 359,490 | ||
Tesco PLC | 572,351 | 1,609,831 | ||
Unilever PLC | 62,851 | 3,390,250 | ||
United Utilities Group PLC | 27,605 | 310,190 | ||
Vodafone Group PLC | 1,401,802 | 2,228,529 |
Table of Contents
Shares | Value | |||
Whitbread PLCΔ | 15,331 | $ 421,794 | ||
Wm Morrison Supermarkets PLC | 146,161 | 344,317 | ||
85,035,904 | ||||
Total Foreign Common Stocks (Cost $672,473,837) | 642,629,730 | |||
FOREIGN PREFERRED STOCKS — 0.6% | ||||
Germany — 0.6% | ||||
FUCHS PETROLUB SE | ||||
2.66%◊ | 3,828 | 153,862 | ||
Henkel AG & Co. KGaA | ||||
2.20%◊ | 11,912 | 1,111,315 | ||
Porsche Automobil Holding SE | ||||
5.86%◊ | 9,371 | 542,756 | ||
Sartorius AG | ||||
0.12%◊ | 1,809 | 597,057 | ||
Volkswagen AG | ||||
4.79%◊* | 12,052 | 1,831,906 | ||
4,236,896 | ||||
Total Foreign Preferred Stocks (Cost $4,286,734) | 4,236,896 | |||
RIGHTS — 0.0% | ||||
ACS Actividades de Construccion y Servicios SA* | 16,162 | 25,212 | ||
Repsol SAΔ* | 79,833 | 38,864 | ||
Telefonica SAΔ* | 228,227 | 44,898 | ||
Total Rights (Cost $118,926) | 108,974 | |||
MONEY MARKET FUNDS — 5.4% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 18,393,235 | 18,393,235 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 18,029,669 | $ 18,029,669 | ||
Total Money Market Funds (Cost $36,422,904) | 36,422,904 | |||
TOTAL INVESTMENTS — 101.6% (Cost $713,582,060) | 683,738,566 | |||
Liabilities in Excess of Other Assets — (1.6)% | (10,842,767) | |||
NET ASSETS — 100.0% | $672,895,799 |
% | |
Financials | 15.5 |
Industrials | 14.5 |
Health Care | 14.3 |
Consumer Discretionary | 10.5 |
Consumer Staples | 9.8 |
Information Technology | 8.7 |
Materials | 7.2 |
Communication Services | 5.3 |
Money Market Funds | 5.4 |
Utilities | 4.1 |
Energy | 3.2 |
Real Estate | 3.1 |
Rights | —** |
101.6 | |
**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 | 09/2020 | 234 | $20,807,280 | $(111,957) |
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 | $ 340,062 | $ 340,062 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Australia | 44,424,793 | 99,098 | 44,325,695 | — | |||
Denmark | 13,312,601 | 1,595,309 | 11,717,292 | — | |||
Germany | 55,538,317 | 456,255 | 55,082,062 | — | |||
Hong Kong | 21,497,998 | 643,204 | 20,854,794 | — | |||
Israel | 3,740,600 | 2,026,236 | 1,714,364 | — | |||
Netherlands | 33,912,850 | 8,256,136 | 25,656,714 | — | |||
United Kingdom | 85,035,904 | 600,535 | 84,435,369 | — | |||
Other ^^ | 385,166,667 | — | 385,166,667 | — | |||
Total Foreign Common Stocks | 642,629,730 | 13,676,773 | 628,952,957 | — | |||
Foreign Preferred Stocks | 4,236,896 | — | 4,236,896 | — | |||
Money Market Funds | 36,422,904 | 36,422,904 | — | — | |||
Rights | 108,974 | — | 108,974 | — | |||
Total Assets - Investments in Securities | $683,738,566 | $50,439,739 | $633,298,827 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (111,957) | $ (111,957) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (111,957) | $ (111,957) | $ — | $ — |
^^ | 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 — 2.8% | ||||
Consumer Discretionary — 1.7% | ||||
Alibaba Group Holding, Ltd.* | 27,240 | $ 735,039 | ||
Lululemon Athletica, Inc.* | 32,016 | 9,989,312 | ||
MercadoLibre, Inc.Δ* | 8,326 | 8,207,521 | ||
Trip.com Group, Ltd. ADR* | 41,600 | 1,078,272 | ||
20,010,144 | ||||
Health Care — 1.1% | ||||
Mettler-Toledo International, Inc.* | 5,722 | 4,609,357 | ||
ResMed, Inc. | 41,745 | 8,015,040 | ||
12,624,397 | ||||
Materials — 0.0% | ||||
APERAM SA | 2,609 | 73,142 | ||
Total Common Stocks (Cost $21,958,734) | 32,707,683 | |||
FOREIGN COMMON STOCKS — 92.8% | ||||
Australia — 3.0% | ||||
Afterpay, Ltd.* | 8,651 | 373,617 | ||
AMP, Ltd.* | 1,401,511 | 1,813,451 | ||
Ampol, Ltd. | 5,172 | 105,386 | ||
Ansell, Ltd. | 11,290 | 286,991 | ||
ASX, Ltd.‡‡ | 2,303 | 136,886 | ||
Aurizon Holdings, Ltd. | 162,210 | 551,981 | ||
Australia & New Zealand Banking Group, Ltd. | 12,329 | 159,971 | ||
Beach Energy, Ltd. | 166,142 | 177,493 | ||
BHP Group, Ltd.‡‡ | 35,868 | 893,038 | ||
BlueScope Steel, Ltd.‡‡ | 287,237 | 2,366,215 | ||
Brambles, Ltd. | 238,272 | 1,806,672 | ||
Challenger, Ltd. | 45,483 | 140,850 | ||
CIMIC Group, Ltd.‡‡ | 61,828 | 1,038,995 | ||
Cochlear, Ltd. | 624 | 81,924 | ||
Coles Group, Ltd. | 36,690 | 436,148 | ||
CSL, Ltd. | 45,272 | 9,004,102 | ||
Dexus REIT‡‡ | 55,775 | 357,982 | ||
Evolution Mining, Ltd.‡‡ | 148,430 | 589,637 | ||
Flight Centre Travel Group, Ltd. | 9,448 | 73,856 | ||
Fortescue Metals Group, Ltd.‡‡ | 314,367 | 3,056,174 | ||
Goodman Group REIT‡‡ | 50,048 | 516,407 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 104,984 | 304,991 | ||
Harvey Norman Holdings, Ltd. | 34,638 | 85,150 | ||
JB Hi-Fi, Ltd. | 2,235 | 66,870 | ||
Lendlease Group | 50,133 | 433,312 | ||
Mirvac Group REIT‡‡ | 355,598 | 537,168 | ||
Newcrest Mining, Ltd.‡‡ | 17,409 | 386,029 | ||
Northern Star Resources, Ltd. | 16,133 | 152,151 | ||
Orica, Ltd. | 179,617 | 2,077,203 | ||
Origin Energy, Ltd. | 73,982 | 301,051 | ||
Qantas Airways, Ltd. | 173,670 | 460,207 | ||
QBE Insurance Group, Ltd. | 490,313 | 3,025,774 | ||
Rio Tinto, Ltd.‡‡ | 4,796 | 328,399 | ||
Scentre Group REIT‡‡ | 186,809 | 283,603 | ||
South32, Ltd. | 860,486 | 1,218,212 | ||
Stockland REIT‡‡ | 206,720 | 479,343 |
Shares | Value | |||
Telstra Corporation, Ltd. | 38,132 | $ 82,770 | ||
Vicinity Centres REIT‡‡ | 336,787 | 337,563 | ||
Wesfarmers, Ltd. | 2,560 | 79,596 | ||
WiseTech Global, Ltd. | 24,901 | 336,860 | ||
34,944,028 | ||||
Austria — 0.1% | ||||
ams AG* | 65,468 | 976,033 | ||
Belgium — 0.8% | ||||
Ageas SA/NV‡‡ | 9,844 | 348,869 | ||
Galapagos NV* | 2,907 | 573,777 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 34,760 | ||
KBC Group NV | 115,909 | 6,659,118 | ||
UCB SA | 9,931 | 1,152,458 | ||
8,768,982 | ||||
Canada — 2.7% | ||||
Canadian National Railway Co. | 94,252 | 8,347,900 | ||
Canadian Pacific Railway, Ltd. | 28,976 | 7,398,732 | ||
Cenovus Energy, Inc. | 424,599 | 1,986,007 | ||
Open Text Corporation | 32,700 | 1,388,594 | ||
Shopify, Inc. Class A* | 12,183 | 11,564,103 | ||
30,685,336 | ||||
China — 1.4% | ||||
Alibaba Group Holding, Ltd. ADR* | 945 | 203,836 | ||
Baidu, Inc. ADR* | 12,120 | 1,453,067 | ||
Tencent Holdings, Ltd. | 224,200 | 14,366,268 | ||
16,023,171 | ||||
Denmark — 1.6% | ||||
AP Moeller - Maersk A/S Class B | 119 | 139,469 | ||
Danske Bank A/S* | 12,095 | 161,692 | ||
DSV Panalpina A/SΔ | 54,597 | 6,706,421 | ||
FLSmidth & Co. A/S* | 11,921 | 346,745 | ||
Genmab A/S‡‡* | 4,883 | 1,646,514 | ||
GN Store Nord A/S‡‡ | 28,346 | 1,517,373 | ||
H Lundbeck A/S | 7,970 | 301,142 | ||
ISS A/S* | 236,283 | 3,751,819 | ||
Pandora A/S‡‡ | 41,886 | 2,287,583 | ||
ROCKWOOL International A/S, B Shares‡‡ | 4,507 | 1,226,599 | ||
18,085,357 | ||||
Finland — 0.4% | ||||
Huhtamaki OYJ* | 5,212 | 206,191 | ||
Kone OYJ Class B | 6,859 | 473,062 | ||
Nokia OYJ | 111,104 | 485,510 | ||
Orion OYJ Class B‡‡ | 20,733 | 1,005,434 | ||
Stora Enso OYJ, R Shares | 9,029 | 108,071 | ||
UPM-Kymmene OYJ‡‡ | 64,775 | 1,876,189 | ||
Valmet OYJ | 2,101 | 55,067 | ||
Wartsila OYJ Abp | 11,180 | 92,739 | ||
4,302,263 | ||||
France — 10.2% | ||||
Accor SA* | 106,700 | 2,912,017 | ||
Air Liquide SA | 66,347 | 9,592,905 | ||
Alstom SA | 2,814 | 131,135 |
Table of Contents
Shares | Value | |||
Amundi SA 144A* | 1,133 | $ 89,069 | ||
Arkema SA | 1,395 | 134,093 | ||
Atos SE‡‡* | 20,873 | 1,789,508 | ||
AXA SA* | 12,947 | 272,443 | ||
BNP Paribas SA‡‡* | 181,248 | 7,241,585 | ||
Bouygues SA* | 7,974 | 273,145 | ||
Bureau Veritas SA* | 56,885 | 1,206,500 | ||
Capgemini SE‡‡ | 12,541 | 1,447,251 | ||
Carrefour SA | 16,769 | 260,055 | ||
Cie de St-Gobain‡‡* | 328,483 | 11,851,987 | ||
Cie Generale des Etablissements Michelin SCA‡‡ | 3,446 | 359,187 | ||
Credit Agricole SA* | 18,152 | 172,366 | ||
Danone SA* | 1,134 | 78,715 | ||
Dassault Aviation SA* | 93 | 85,327 | ||
Engie SA‡‡* | 322,239 | 3,996,388 | ||
EssilorLuxottica SA* | 34,067 | 4,381,305 | ||
Eutelsat Communications SA | 43,573 | 403,065 | ||
Faurecia SE* | 2,273 | 89,303 | ||
Gecina SA REIT | 674 | 83,244 | ||
Hermes International | 11,641 | 9,773,876 | ||
Ingenico Group* | 964 | 154,890 | ||
Ipsen SA | 1,738 | 147,437 | ||
L’Oreal SAΔ* | 40,086 | 12,937,628 | ||
Orange SA‡‡ | 70,885 | 847,641 | ||
Peugeot SA‡‡* | 205,337 | 3,367,350 | ||
Publicis Groupe SA‡‡ | 113,782 | 3,696,211 | ||
Rexel SA | 32,808 | 376,017 | ||
Sanofi‡‡ | 125,597 | 12,808,972 | ||
Schneider Electric SE‡‡ | 156,520 | 17,410,776 | ||
Societe BIC SA | 6,478 | 329,853 | ||
Societe Generale SA* | 223,072 | 3,729,696 | ||
Sodexo SA | 2,161 | 146,533 | ||
Sopra Steria Group | 1,107 | 136,947 | ||
TOTAL SA‡‡ | 41,808 | 1,612,051 | ||
Valeo SA | 101,361 | 2,673,434 | ||
116,999,905 | ||||
Germany — 8.8% | ||||
Allianz SE | 64,054 | 13,088,954 | ||
Aurubis AG | 15,014 | 928,149 | ||
BASF SE | 2,604 | 146,265 | ||
Bayerische Motoren Werke AG | 81,698 | 5,215,658 | ||
Beiersdorf AG | 90,254 | 10,263,168 | ||
Brenntag AG | 3,610 | 191,403 | ||
Continental AG* | 146,962 | 14,448,031 | ||
Covestro AG 144A* | 11,209 | 426,931 | ||
Daimler AG* | 145,553 | 5,921,661 | ||
Deutsche Boerse AG | 43,680 | 7,905,066 | ||
Deutsche Post AG* | 2,631 | 96,610 | ||
Deutsche Telekom AG | 201,246 | 3,376,755 | ||
Deutsche Wohnen SE | 6,238 | 280,309 | ||
Evonik Industries AG | 217,652 | 5,543,601 | ||
Fresenius Medical Care AG & Co. KGaA‡‡* | 37,720 | 3,245,047 | ||
Fresenius SE & Co. KGaA‡‡* | 5,433 | 270,036 | ||
HeidelbergCement AG‡‡ | 17,615 | 942,962 | ||
HelloFresh SE* | 15,626 | 835,912 |
Shares | Value | |||
Henkel AG & Co. KGaA | 8,400 | $ 702,747 | ||
HOCHTIEF AG | 8,038 | 715,216 | ||
HUGO BOSS AG | 22,989 | 696,701 | ||
Infineon Technologies AG‡‡ | 14,193 | 332,573 | ||
KION Group AG* | 5,202 | 320,287 | ||
MorphoSys AG* | 752 | 95,344 | ||
ProSiebenSat.1 Media SE‡‡* | 13,252 | 158,364 | ||
Rheinmetall AG‡‡ | 15,774 | 1,370,718 | ||
SAP SE | 121,583 | 16,996,030 | ||
Siemens AG | 6,546 | 772,017 | ||
Siemens Healthineers AG 144A | 10,881 | 523,030 | ||
Software AG‡‡ | 49,388 | 1,994,795 | ||
thyssenkrupp AG* | 290,088 | 2,069,569 | ||
Uniper SE | 2,606 | 84,093 | ||
Vonovia SE | 8,154 | 498,398 | ||
Wirecard AG | 5,959 | 44,216 | ||
100,500,616 | ||||
Hong Kong — 4.1% | ||||
AIA Group, Ltd. | 1,837,000 | 17,189,921 | ||
ASM Pacific Technology, Ltd. | 6,100 | 64,465 | ||
China Mobile, Ltd. | 997,500 | 6,735,180 | ||
CK Asset Holdings, Ltd. | 176,500 | 1,058,434 | ||
CK Hutchison Holdings, Ltd. | 1,620,500 | 10,493,689 | ||
CK Infrastructure Holdings, Ltd.‡‡ | 11,000 | 56,862 | ||
Hong Kong Exchanges and Clearing, Ltd.‡‡ | 14,700 | 626,098 | ||
Kerry Properties, Ltd. | 444,500 | 1,154,648 | ||
Link REIT‡‡ | 41,000 | 336,617 | ||
PCCW, Ltd.‡‡ | 62,000 | 35,449 | ||
Sun Hung Kai Properties, Ltd. | 9,000 | 114,977 | ||
WH Group, Ltd. 144A | 10,739,825 | 9,281,298 | ||
Yue Yuen Industrial Holdings, Ltd. | 204,500 | 311,713 | ||
47,459,351 | ||||
India — 1.4% | ||||
Axis Bank, Ltd. | 300,518 | 1,625,733 | ||
HDFC Bank, Ltd. ADR | 93,585 | 4,254,374 | ||
Tata Consultancy Services, Ltd. | 359,596 | 9,898,788 | ||
15,778,895 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 3,905,400 | 1,356,072 | ||
Ireland — 1.6% | ||||
Accenture PLC Class A | 36,422 | 7,820,532 | ||
ICON PLC* | 18,678 | 3,146,496 | ||
Ryanair Holdings PLC ADR* | 45,210 | 2,999,231 | ||
STERIS PLC | 27,476 | 4,215,918 | ||
18,182,177 | ||||
Italy — 2.2% | ||||
A2A SpA‡‡ | 1,133,163 | 1,610,719 | ||
Banca Generali SpA‡‡* | 21,610 | 649,784 | ||
Banco BPM SpA* | 1,161,574 | 1,739,823 | ||
BPER Banca‡‡* | 88,914 | 222,277 | ||
Buzzi Unicem SpA | 6,357 | 137,360 | ||
DiaSorin SpA | 833 | 159,974 | ||
Enel SpA‡‡ | 1,049,304 | 9,074,851 |
Table of Contents
Shares | Value | |||
Eni SpA‡‡ | 586,261 | $ 5,619,907 | ||
Intesa Sanpaolo SpA* | 3,148,437 | 6,050,323 | ||
Leonardo SpA‡‡ | 46,335 | 308,885 | ||
Unipol Gruppo SpA‡‡* | 47,464 | 185,418 | ||
25,759,321 | ||||
Japan — 16.9% | ||||
ABC-Mart, Inc. | 1,300 | 76,262 | ||
AEON Financial Service Co., Ltd. | 18,500 | 202,905 | ||
Aisin Seiki Co., Ltd. | 5,500 | 161,216 | ||
Alfresa Holdings Corporation | 23,300 | 488,400 | ||
Alps Alpine Co., Ltd. | 41,100 | 529,748 | ||
Amada Co., Ltd. | 10,800 | 88,429 | ||
Aozora Bank, Ltd. | 3,000 | 52,311 | ||
Astellas Pharma, Inc. | 107,400 | 1,793,533 | ||
Azbil Corporation | 4,700 | 143,653 | ||
Brother Industries, Ltd.‡‡ | 70,500 | 1,273,730 | ||
Calbee, Inc. | 16,600 | 458,818 | ||
Capcom Co., Ltd. | 1,600 | 58,566 | ||
Casio Computer Co., Ltd. | 5,400 | 94,206 | ||
Coca-Cola Bottlers Japan Holdings, Inc. | 283,300 | 5,138,075 | ||
Credit Saison Co., Ltd. | 7,500 | 86,176 | ||
Dai Nippon Printing Co., Ltd. | 2,700 | 62,074 | ||
Daicel Corporation | 11,700 | 90,679 | ||
Daikin Industries, Ltd. | 83,800 | 13,558,842 | ||
Daito Trust Construction Co., Ltd.‡‡ | 1,000 | 92,161 | ||
Daiwa House Industry Co., Ltd.‡‡ | 9,100 | 214,896 | ||
Disco Corporation | 400 | 97,556 | ||
Electric Power Development Co., Ltd. | 2,800 | 53,078 | ||
FUJIFILM Holdings Corporation | 183,700 | 7,862,675 | ||
Fujitsu, Ltd.‡‡ | 59,100 | 6,919,626 | ||
GMO Payment Gateway, Inc. | 500 | 52,297 | ||
GungHo Online Entertainment, Inc. | 18,450 | 329,873 | ||
Hakuhodo DY Holdings, Inc. | 4,700 | 56,094 | ||
Haseko Corporation‡‡ | 76,600 | 967,173 | ||
Hitachi, Ltd.‡‡ | 38,700 | 1,230,073 | ||
Honda Motor Co., Ltd. | 322,100 | 8,243,721 | ||
Hoshizaki Corporation | 1,000 | 85,711 | ||
Hoya Corporation‡‡ | 180,000 | 17,236,619 | ||
Isuzu Motors, Ltd. | 306,200 | 2,782,545 | ||
Izumi Co., Ltd. | 2,900 | 91,929 | ||
Japan Post Insurance Co., Ltd. | 46,100 | 607,431 | ||
Japan Real Estate Investment Corporation REIT | 18 | 92,378 | ||
Japan Retail Fund Investment Corporation REIT | 50 | 62,539 | ||
JGC Holdings Corporation | 33,400 | 352,201 | ||
Kajima Corporation | 20,000 | 239,137 | ||
Kaken Pharmaceutical Co., Ltd. | 3,700 | 189,481 | ||
Kamigumi Co., Ltd. | 27,200 | 534,929 | ||
KDDI Corporation | 19,400 | 578,841 | ||
Keyence Corporation | 14,900 | 6,244,017 | ||
Kinden Corporation | 24,600 | 406,562 | ||
Koito Manufacturing Co., Ltd. | 15,600 | 631,170 | ||
Komatsu, Ltd. | 103,500 | 2,119,735 | ||
K's Holdings Corporation | 10,700 | 146,163 | ||
Kyocera Corporation | 158,900 | 8,673,489 |
Shares | Value | |||
Kyushu Railway Co. | 9,800 | $ 254,641 | ||
Lion Corporation | 4,200 | 101,017 | ||
Mabuchi Motor Co., Ltd. | 25,200 | 804,173 | ||
Marubeni Corporation | 126,900 | 576,431 | ||
Mebuki Financial Group, Inc. | 136,200 | 317,272 | ||
Medipal Holdings Corporation | 5,500 | 106,153 | ||
MINEBEA MITSUMI, Inc. | 22,000 | 401,008 | ||
Mitsubishi Electric Corporation | 452,400 | 5,908,918 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 22,000 | 327,840 | ||
Mitsubishi Gas Chemical Co., Inc. | 26,300 | 400,008 | ||
Mitsubishi Heavy Industries, Ltd. | 6,000 | 141,661 | ||
Mitsubishi UFJ Financial Group, Inc. | 15,400 | 60,607 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 16,000 | 284,236 | ||
MS&AD Insurance Group Holdings, Inc. | 13,000 | 358,003 | ||
Murata Manufacturing Co., Ltd. | 12,500 | 736,856 | ||
Nabtesco Corporation | 1,900 | 58,800 | ||
Nexon Co., Ltd. | 2,900 | 65,414 | ||
NGK Spark Plug Co., Ltd. | 5,900 | 84,800 | ||
NH Foods, Ltd. | 1,500 | 60,361 | ||
Nifco, Inc. | 8,000 | 171,146 | ||
Nikon Corporation | 92,500 | 776,845 | ||
Nintendo Co., Ltd.‡‡ | 5,200 | 2,324,758 | ||
Nippon Building Fund, Inc. REIT | 16 | 91,123 | ||
Nippon Express Co., Ltd. | 11,100 | 575,574 | ||
Nippon Telegraph & Telephone Corporation | 226,500 | 5,277,326 | ||
Nitto Denko Corporation‡‡ | 20,400 | 1,156,479 | ||
Nomura Holdings, Inc. | 79,200 | 355,892 | ||
Nomura Research Institute, Ltd. | 2,400 | 65,551 | ||
NS Solutions Corporation | 7,000 | 191,490 | ||
NTT DOCOMO, Inc. | 18,100 | 480,519 | ||
Obayashi Corporation | 111,000 | 1,043,563 | ||
Olympus Corporation | 724,200 | 13,942,657 | ||
Ono Pharmaceutical Co., Ltd. | 3,900 | 113,827 | ||
ORIX Corporation‡‡ | 87,200 | 1,082,785 | ||
Otsuka Corporation | 6,600 | 348,583 | ||
Otsuka Holdings Co., Ltd.Δ | 164,900 | 7,186,664 | ||
Panasonic Corporation | 58,700 | 514,743 | ||
Pola Orbis Holdings, Inc. | 34,700 | 605,812 | ||
Resona Holdings, Inc.‡‡ | 318,800 | 1,090,900 | ||
Ricoh Co., Ltd. | 47,700 | 342,275 | ||
Rohm Co., Ltd. | 7,900 | 525,282 | ||
Rohto Pharmaceutical Co., Ltd. | 8,200 | 260,475 | ||
Ryohin Keikaku Co., Ltd. | 33,500 | 476,489 | ||
Sankyu, Inc. | 7,100 | 267,604 | ||
SCSK Corporation | 3,200 | 156,559 | ||
Sekisui Chemical Co., Ltd. | 370,200 | 5,304,127 | ||
Shimamura Co., Ltd. | 8,300 | 562,176 | ||
Shimizu Corporation | 86,700 | 714,242 | ||
Shinsei Bank, Ltd. | 68,200 | 824,893 | ||
Shionogi & Co., Ltd.‡‡ | 20,400 | 1,279,761 | ||
Showa Denko KK | 23,100 | 521,400 | ||
Sojitz Corporation‡‡ | 390,700 | 853,946 | ||
Sony Corporation‡‡ | 78,700 | 5,432,675 | ||
Square Enix Holdings Co., Ltd. | 3,000 | 151,992 | ||
SUMCO Corporation | 22,700 | 348,993 |
Table of Contents
Shares | Value | |||
Sumitomo Corporation | 41,600 | $ 478,460 | ||
Sumitomo Dainippon Pharma Co., Ltd.‡‡ | 55,200 | 764,940 | ||
Sumitomo Electric Industries, Ltd. | 12,000 | 138,428 | ||
Sumitomo Mitsui Financial Group, Inc. | 12,400 | 349,950 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 2,000 | 56,361 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 165,616 | ||
Sundrug Co., Ltd. | 12,800 | 423,625 | ||
Suzuken Co., Ltd. | 13,600 | 508,092 | ||
Sysmex Corporation | 6,600 | 506,627 | ||
Taiheiyo Cement Corporation | 29,600 | 687,731 | ||
Taisei Corporation | 13,000 | 473,799 | ||
Takeda Pharmaceutical Co., Ltd. | 235,500 | 8,461,036 | ||
TDK Corporation | 1,200 | 119,462 | ||
Teijin, Ltd. | 17,000 | 270,668 | ||
Terumo Corporation | 189,000 | 7,193,865 | ||
TIS, Inc. | 6,100 | 129,153 | ||
Tokio Marine Holdings, Inc. | 130,400 | 5,708,003 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 37,700 | 115,972 | ||
Tokyo Electron, Ltd.‡‡ | 5,100 | 1,258,393 | ||
Toshiba Corporation | 20,100 | 644,804 | ||
Tosoh Corporation | 20,700 | 284,354 | ||
Toyo Seikan Group Holdings, Ltd. | 17,500 | 197,352 | ||
Toyoda Gosei Co., Ltd. | 2,800 | 58,502 | ||
Toyota Boshoku Corporation | 17,100 | 230,594 | ||
Toyota Industries Corporation | 88,300 | 4,693,382 | ||
Toyota Motor Corporation | 24,500 | 1,540,660 | ||
Yamaguchi Financial Group, Inc. | 46,600 | 286,365 | ||
Yokohama Rubber Co., Ltd. (The) | 7,000 | 98,980 | ||
193,864,222 | ||||
Jersey — 3.3% | ||||
boohoo Group PLC* | 101,205 | 518,263 | ||
Experian PLC | 621,158 | 21,801,936 | ||
Ferguson PLC | 15,747 | 1,287,578 | ||
Glencore PLC* | 3,164,986 | 6,742,071 | ||
Man Group PLC‡‡ | 580,501 | 939,817 | ||
WPP PLC | 891,840 | 6,953,068 | ||
38,242,733 | ||||
Mexico — 0.3% | ||||
Grupo Televisa SAB SA ADR* | 192,300 | 1,007,652 | ||
Wal-Mart de Mexico SAB de CV | 1,248,200 | 2,985,210 | ||
3,992,862 | ||||
Netherlands — 2.9% | ||||
Aegon NV | 20,722 | 61,254 | ||
ASM International NV | 16,414 | 2,526,881 | ||
ASML Holding NV | 6,084 | 2,225,608 | ||
ASML Holding NV (NASDAQ Exchange) | 17,323 | 6,375,384 | ||
ASR Nederland NV | 30,284 | 931,759 | ||
CNH Industrial NV* | 678,747 | 4,768,611 | ||
EXOR NV | 56,423 | 3,238,526 | ||
Ferrari NV | 20,751 | 3,554,551 | ||
Fiat Chrysler Automobiles NV* | 17,836 | 180,467 |
Shares | Value | |||
ING Groep NV‡‡ | 66,977 | $ 466,891 | ||
Koninklijke Ahold Delhaize NV | 189,849 | 5,174,158 | ||
NN Group NV | 1,714 | 57,604 | ||
Randstad NV | 27,356 | 1,223,224 | ||
Signify NV 144A* | 39,228 | 1,008,551 | ||
STMicroelectronics NV | 7,075 | 192,852 | ||
Wolters Kluwer NV | 12,269 | 958,279 | ||
32,944,600 | ||||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ†††* | 364,373 | — | ||
Norway — 0.2% | ||||
DNB ASA* | 15,435 | 206,019 | ||
Leroy Seafood Group ASA | 123,404 | 744,761 | ||
Salmar ASA* | 20,859 | 999,259 | ||
Yara International ASA | 25,369 | 884,422 | ||
2,834,461 | ||||
Portugal — 0.5% | ||||
EDP - Energias de Portugal SA | 40,870 | 195,083 | ||
Galp Energia SGPS SA | 459,690 | 5,332,403 | ||
5,527,486 | ||||
Singapore — 2.2% | ||||
Ascendas REIT‡‡ | 158,700 | 364,123 | ||
CapitaLand Commercial Trust REIT | 69,500 | 85,058 | ||
CapitaLand Mall Trust REIT‡‡ | 183,600 | 260,516 | ||
DBS Group Holdings, Ltd. | 401,600 | 6,042,808 | ||
Jardine Matheson Holdings, Ltd. | 88,145 | 3,685,416 | ||
Mapletree Commercial Trust REIT | 136,500 | 190,992 | ||
Singapore Exchange, Ltd.‡‡ | 13,600 | 81,840 | ||
Singapore Telecommunications, Ltd. | 1,912,700 | 3,402,498 | ||
Suntec REIT | 260,300 | 265,909 | ||
United Overseas Bank, Ltd. | 580,177 | 8,477,470 | ||
Venture Corporation, Ltd. | 35,000 | 409,035 | ||
Wilmar International, Ltd. | 61,200 | 181,016 | ||
Yangzijiang Shipbuilding Holdings, Ltd. | 2,274,000 | 1,530,842 | ||
24,977,523 | ||||
South Africa — 0.3% | ||||
Naspers, Ltd. N Shares | 16,652 | 3,060,311 | ||
South Korea — 0.3% | ||||
NAVER Corporation | 9,835 | 2,212,710 | ||
Samsung Electronics Co., Ltd. | 20,300 | 898,633 | ||
3,111,343 | ||||
Spain — 2.0% | ||||
Amadeus IT Group SA | 231,142 | 12,135,456 | ||
Banco Bilbao Vizcaya Argentaria SA | 57,365 | 197,506 | ||
Banco Santander SA | 2,509,723 | 6,139,941 | ||
Bankia SA | 346,844 | 370,820 | ||
CaixaBank SA | 38,192 | 81,704 | ||
Enagas SA | 34,317 | 839,516 | ||
Endesa SA‡‡ | 68,487 | 1,698,905 | ||
Iberdrola SA | 66,003 | 770,564 | ||
Naturgy Energy Group SA | 24,216 | 452,087 |
Table of Contents
Shares | Value | |||
Repsol SA | 19,399 | $ 171,409 | ||
22,857,908 | ||||
Sweden — 2.6% | ||||
Alfa Laval AB* | 4,102 | 90,491 | ||
Assa Abloy AB, B Shares | 7,588 | 155,307 | ||
Atlas Copco AB, A Shares | 109,496 | 4,662,936 | ||
Atlas Copco AB, B Shares | 6,930 | 257,505 | ||
Essity AB, B Shares* | 38,595 | 1,251,304 | ||
Getinge AB, B Shares | 127,617 | 2,378,063 | ||
Hennes & Mauritz AB, B SharesΔ | 218,788 | 3,193,494 | ||
Investor AB, B Shares‡‡ | 8,150 | 432,340 | ||
Sandvik AB* | 28,332 | 533,371 | ||
SKF AB, B Shares | 129,031 | 2,412,045 | ||
Swedbank AB, A Shares* | 40,550 | 520,698 | ||
Swedish Orphan Biovitrum AB* | 44,286 | 1,026,844 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 161,875 | 1,500,510 | ||
Telia Co. AB | 2,134,260 | 7,984,696 | ||
Trelleborg AB, B Shares* | 28,467 | 417,661 | ||
Volvo AB, B Shares* | 183,984 | 2,894,969 | ||
29,712,234 | ||||
Switzerland — 9.6% | ||||
ABB, Ltd.Δ | 343,278 | 7,786,553 | ||
Adecco Group AG‡‡ | 31,116 | 1,466,671 | ||
Alcon, Inc.* | 90,681 | 5,210,460 | ||
BKW AG | 583 | 52,342 | ||
Cie Financiere Richemont SA | 28,617 | 1,845,806 | ||
Coca-Cola HBC AG* | 18,769 | 469,846 | ||
Credit Suisse Group AG | 624,042 | 6,493,077 | ||
dormakaba Holding AG* | 161 | 87,923 | ||
Geberit AG | 382 | 191,663 | ||
Helvetia Holding AG | 1,546 | 144,814 | ||
Kuehne + Nagel International AG* | 2,745 | 457,231 | ||
LafargeHolcim, Ltd. (Swiss Exchange)* | 43,311 | 1,908,111 | ||
Logitech International SA | 15,794 | 1,034,972 | ||
Nestle SA‡‡ | 212,644 | 23,575,973 | ||
Novartis AG‡‡ | 207,278 | 18,058,281 | ||
OC Oerlikon Corporation AG | 20,297 | 166,501 | ||
Roche Holding AG | 58,890 | 20,402,413 | ||
Schindler Holding AG | 380 | 89,930 | ||
Sika AG | 54,551 | 10,515,931 | ||
Sonova Holding AG‡‡* | 6,094 | 1,219,940 | ||
Sulzer AG | 1,757 | 140,910 | ||
Swatch Group AG (The) | 9,277 | 1,862,003 | ||
UBS Group AG | 420,980 | 4,861,925 | ||
Zurich Insurance Group AG | 6,977 | 2,472,164 | ||
110,515,440 | ||||
Taiwan — 2.2% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 28,000 | 299,027 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 433,741 | 24,623,476 | ||
24,922,503 | ||||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS* | 1 | — |
Shares | Value | |||
United Kingdom — 11.1% | ||||
3i Group PLC‡‡ | 15,222 | $ 156,741 | ||
Aggreko PLC | 128,307 | 705,619 | ||
Anglo American PLC | 35,087 | 808,868 | ||
Ashmore Group PLC | 11,929 | 61,595 | ||
Ashtead Group PLC | 71,026 | 2,395,924 | ||
Associated British Foods PLC | 2,401 | 56,770 | ||
Avast PLC 144A | 31,162 | 203,671 | ||
Aviva PLC‡‡ | 758,717 | 2,571,578 | ||
Babcock International Group PLC | 16,936 | 64,908 | ||
BAE Systems PLC | 68,341 | 408,642 | ||
Barclays PLC‡‡ | 988,412 | 1,394,450 | ||
Barratt Developments PLC | 37,331 | 229,442 | ||
Bellway PLC | 28,163 | 887,029 | ||
Berkeley Group Holdings PLC | 14,216 | 732,127 | ||
BHP Group PLC‡‡ | 40,614 | 831,087 | ||
BP PLC | 1,659,476 | 6,357,525 | ||
Britvic PLC | 12,806 | 121,951 | ||
BT Group PLC‡‡ | 1,962,390 | 2,775,311 | ||
Bunzl PLC | 56,200 | 1,507,458 | ||
Carnival PLC | 39,983 | 489,089 | ||
Centrica PLC | 106,605 | 50,653 | ||
Compass Group PLC | 543,291 | 7,474,846 | ||
ConvaTec Group PLC 144A | 44,048 | 106,380 | ||
Dialog Semiconductor PLC‡‡* | 31,972 | 1,461,397 | ||
Dunelm Group PLC | 34,157 | 503,215 | ||
Evraz PLC | 133,471 | 472,899 | ||
G4S PLCΔ | 1,159,999 | 1,641,057 | ||
GlaxoSmithKline PLC | 486,433 | 9,825,797 | ||
Hays PLC | 152,882 | 226,387 | ||
Hikma Pharmaceuticals PLC | 12,579 | 345,182 | ||
Howden Joinery Group PLC | 20,017 | 137,040 | ||
Inchcape PLC‡‡ | 126,888 | 771,124 | ||
Investec PLC | 150,655 | 302,301 | ||
JD Sports Fashion PLC | 20,763 | 159,806 | ||
Jupiter Fund Management PLC | 3,968 | 12,582 | ||
Kingfisher PLC | 2,738,029 | 7,532,831 | ||
Liberty Global PLC Class A* | 111,800 | 2,443,948 | ||
Lloyds Banking Group PLC‡‡ | 32,299,578 | 12,459,902 | ||
London Stock Exchange Group PLC | 3,641 | 378,647 | ||
M&G PLC | 493,538 | 1,024,804 | ||
Marks & Spencer Group PLC | 717,391 | 879,714 | ||
Meggitt PLC | 59,046 | 215,067 | ||
Micro Focus International PLC | 124,744 | 665,515 | ||
Moneysupermarket.com Group PLC | 328,599 | 1,318,142 | ||
National Grid PLC | 33,812 | 412,520 | ||
Next PLC | 4,845 | 293,340 | ||
Ninety One PLC* | 31,780 | 81,626 | ||
Persimmon PLC* | 22,147 | 626,795 | ||
Prudential PLC | 172,500 | 2,599,242 | ||
Reckitt Benckiser Group PLC | 3,010 | 276,915 | ||
Rio Tinto PLC‡‡ | 26,481 | 1,490,259 | ||
Rolls-Royce Holdings PLC* | 1,214,287 | 4,287,178 | ||
Royal Bank of Scotland Group PLC | 1,342,650 | 2,015,646 | ||
Royal Dutch Shell PLC, A Shares‡‡ | 40,284 | 644,998 | ||
Royal Dutch Shell PLC, B Shares‡‡ | 580,954 | 8,807,433 | ||
Royal Mail PLC | 523,193 | 1,179,181 |
Table of Contents
Shares | Value | |||
RSA Insurance Group PLC | 17,082 | $ 86,511 | ||
Sage Group PLC (The) | 14,651 | 121,617 | ||
Schroders PLC | 52,418 | 1,913,136 | ||
Smith & Nephew PLC‡‡ | 283,234 | 5,277,680 | ||
Smiths Group PLC | 74,596 | 1,304,081 | ||
SSE PLC | 579,517 | 9,813,031 | ||
Standard Chartered PLC | 46,029 | 249,514 | ||
Tate & Lyle PLC | 117,171 | 968,621 | ||
Taylor Wimpey PLC | 273,132 | 482,080 | ||
Tesco PLC | 2,769,151 | 7,788,692 | ||
Travis Perkins PLC | 150,525 | 2,098,618 | ||
Unilever PLC | 9,197 | 496,096 | ||
WH Smith PLC | 13,712 | 186,680 | ||
Wm Morrison Supermarkets PLC | 56,918 | 134,084 | ||
126,804,595 | ||||
Total Foreign Common Stocks (Cost $1,084,600,438) | 1,063,189,728 | |||
FOREIGN PREFERRED STOCKS — 0.2% | ||||
Germany — 0.2% | ||||
Bayerische MotorenWerke AG | ||||
5.66%◊ | 6,212 | 301,761 | ||
Henkel AG & Co. KGaA | ||||
2.20%◊ | 5,950 | 555,098 | ||
Porsche Automobil Holding SE | ||||
5.86%‡‡◊ | 2,638 | 152,790 | ||
Volkswagen AG | ||||
4.79%‡‡◊* | 9,018 | 1,370,737 | ||
2,380,386 | ||||
Total Foreign Preferred Stocks (Cost $2,989,068) | 2,380,386 | |||
MONEY MARKET FUNDS — 7.1% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 72,442,108 | 72,442,108 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 8,859,040 | 8,859,040 | ||
Total Money Market Funds (Cost $81,301,148) | 81,301,148 | |||
TOTAL INVESTMENTS — 102.9% (Cost $1,190,849,388) | 1,179,578,945 | |||
FOREIGN COMMON STOCKS SOLD SHORT — (4.3)% | ||||
Australia — (0.3)% | ||||
Alumina, Ltd. | (326,697) | (372,366) | ||
APA Group | (10,967) | (84,800) | ||
Domino’s Pizza Enterprises, Ltd. | (16,984) | (814,195) | ||
Qube Holdings, Ltd. | (300,116) | (608,824) | ||
SEEK, Ltd. | (26,873) | (411,127) | ||
Seven Group Holdings, Ltd. | (65,809) | (791,538) | ||
Sydney Airport | (33,064) | (130,490) | ||
TPG Corporation, Ltd. | (7,799) | (48,486) | ||
Transurban Group | (5,749) | (56,379) | ||
Tuas, Ltd.* | (3,899) | (1,837) | ||
(3,320,042) |
Shares | Value | |||
Denmark — (0.3)% | ||||
Ambu A/S Class B | (11,726) | $ (370,686) | ||
Chr. Hansen Holding A/S | (5,531) | (570,497) | ||
Demant A/S* | (2,005) | (53,135) | ||
DSV Panalpina A/S | (18,926) | (2,324,775) | ||
ISS A/S* | (11,117) | (176,521) | ||
Orsted A/S 144A | (1,125) | (129,827) | ||
Vestas Wind Systems A/S | (1,316) | (134,762) | ||
(3,760,203) | ||||
Finland — (0.0)% | ||||
Nokian Renkaat OYJ | (11,921) | (262,040) | ||
France — (0.1)% | ||||
Air France-KLM* | (11,858) | (53,860) | ||
Renault SA* | (27,243) | (697,247) | ||
(751,107) | ||||
Germany — (0.4)% | ||||
CTS Eventim AG & Co. KGaA* | (13,339) | (556,984) | ||
Delivery Hero SE 144A* | (3,402) | (349,614) | ||
Deutsche Bank AG* | (195,708) | (1,867,074) | ||
Evotec SE* | (12,705) | (346,774) | ||
MTU Aero Engines AG* | (1,357) | (236,254) | ||
United Internet AG | (15,830) | (672,570) | ||
Zalando SE 144A* | (4,905) | (347,964) | ||
(4,377,234) | ||||
Ireland — (0.2)% | ||||
James Hardie Industries PLC CDI | (117,818) | (2,270,189) | ||
Italy — (0.0)% | ||||
Atlantia SpA* | (7,255) | (117,352) | ||
Mediobanca Banca di Credito Finanziario SpA | (38,418) | (277,428) | ||
Tenaris SA | (18,779) | (122,037) | ||
(516,817) | ||||
Japan — (0.7)% | ||||
ANA Holdings, Inc.* | (6,000) | (137,118) | ||
Coca-Cola Bottlers Japan Holdings, Inc. | (11,200) | (203,129) | ||
CyberAgent, Inc. | (15,900) | (781,543) | ||
Japan Airport Terminal Co., Ltd. | (27,600) | (1,177,747) | ||
JFE Holdings, Inc. | (12,000) | (86,754) | ||
Keio Corporation | (1,100) | (62,953) | ||
Kobe Bussan Co., Ltd. | (1,600) | (90,857) | ||
M3, Inc. | (16,400) | (696,691) | ||
Mercari, Inc.* | (17,800) | (552,711) | ||
MonotaRO Co., Ltd. | (10,500) | (421,873) | ||
Nippon Paint Holdings Co., Ltd. | (28,400) | (2,071,406) | ||
Odakyu Electric Railway Co., Ltd. | (4,200) | (103,143) | ||
Rakuten, Inc. | (9,600) | (84,797) | ||
Suzuki Motor Corporation | (24,200) | (826,336) | ||
Yaskawa Electric Corporation | (9,400) | (326,773) | ||
(7,623,831) | ||||
Netherlands — (0.6)% | ||||
Airbus SE* | (17,815) | (1,276,513) | ||
Altice Europe NV* | (226,760) | (877,002) |
Table of Contents
Shares | Value | |||
Boskalis Westminster* | (31,652) | $ (625,026) | ||
Just Eat Takeaway.com NV 144A* | (2,650) | (276,991) | ||
Koninklijke Vopak NV | (1,335) | (70,614) | ||
OCI NV* | (75,120) | (789,094) | ||
SBM Offshore NV | (73,024) | (1,076,047) | ||
Unibail-Rodamco-Westfield REIT | (33,054) | (1,863,149) | ||
(6,854,436) | ||||
Norway — (0.0)% | ||||
Equinor ASA | (3,978) | (57,306) | ||
Norsk Hydro ASA* | (18,881) | (52,676) | ||
Subsea 7 SA* | (16,025) | (102,190) | ||
(212,172) | ||||
Papua New Guinea — (0.1)% | ||||
Oil Search, Ltd. | (458,745) | (1,016,653) | ||
Singapore — (0.0)% | ||||
Keppel Corporation, Ltd. | (15,600) | (67,188) | ||
Spain — (0.1)% | ||||
Amadeus IT Group SA | (1,600) | (84,003) | ||
Cellnex Telecom SA 144A* | (19,917) | (1,216,486) | ||
(1,300,489) | ||||
Sweden — (0.2)% | ||||
Elekta AB, B Shares | (14,549) | (135,529) | ||
Millicom International Cellular SA SDR* | (58,794) | (1,547,773) | ||
Saab AB, B Shares* | (20,259) | (509,196) | ||
SSAB AB, A Shares* | (72,244) | (200,074) | ||
(2,392,572) | ||||
Switzerland — (0.4)% | ||||
Dufry AG* | (48,299) | (1,446,725) | ||
Idorsia, Ltd.* | (2,846) | (91,475) | ||
Sika AG | (1,832) | (353,159) | ||
Swiss Re AG | (6,430) | (498,547) | ||
Temenos AG | (10,458) | (1,625,424) | ||
(4,015,330) | ||||
United Kingdom — (0.9)% | ||||
ASOS PLC* | (6,281) | (266,958) | ||
Burberry Group PLC | (29,212) | (577,232) | ||
Capita PLC* | (489,207) | (267,609) | ||
Croda International PLC | (2,812) | (182,642) | ||
DS Smith PLC | (29,904) | (121,394) | ||
easyJet PLC | (29,190) | (246,431) | ||
Hargreaves Lansdown PLC | (12,732) | (256,755) | ||
Hiscox, Ltd. | (15,953) | (155,713) | ||
InterContinental Hotels Group PLC | (16,230) | (716,476) | ||
Intermediate Capital Group PLC | (16,573) | (264,403) | ||
John Wood Group PLC | (190,197) | (456,051) | ||
Johnson Matthey PLC | (7,381) | (192,230) | ||
Ocado Group PLC* | (107,944) | (2,712,672) | ||
Prudential PLC | (13,373) | (201,505) | ||
Rolls-Royce Holdings PLC* | (332,036) | (1,172,291) | ||
Severn Trent PLC | (5,086) | (155,651) | ||
Spirax-Sarco Engineering PLC | (2,484) | (305,805) | ||
St. James’s Place PLC | (85,168) | (1,001,445) | ||
Tesco PLC | (25,722) | (72,347) |
Shares | Value | |||
Virgin Money UK PLC* | (362,101) | $ (411,480) | ||
Weir Group PLC (The) | (37,555) | (493,520) | ||
Whitbread PLC | (3,644) | (100,256) | ||
(10,330,866) | ||||
Total Foreign Common Stocks Sold Short (Proceeds $(45,759,296)) | (49,071,169) | |||
FOREIGN PREFERRED STOCKS SOLD SHORT — (0.0)% | ||||
Germany — (0.0)% | ||||
Sartorius AG 0.12%, ◊ (Proceeds $(71,197)) | (369) | (121,788) | ||
TOTAL SECURITIES SOLD SHORT — (4.3)% (Proceeds $(45,830,493)) | (49,192,957) | |||
Other Assets in Excess of Liabilities — 1.4% | 15,825,399 | |||
NET ASSETS — 100.0% | $1,146,211,387 |
% | |
Industrials | 15.9 |
Health Care | 15.6 |
Financials | 13.4 |
Information Technology | 13.1 |
Consumer Discretionary | 13.0 |
Consumer Staples | 7.5 |
Money Market Funds | 7.1 |
Communication Services | 5.9 |
Materials | 5.4 |
Energy | 2.9 |
Utilities | 2.6 |
Real Estate | 0.5 |
Foreign Preferred Stocks Sold Short | — |
Foreign Common Stocks Sold Short | (4.3) |
98.6 |
Table of Contents
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 07/2020 | 55 | $ 6,915,199 | $ (25,479) | ||||
CAC40 10 Euro | 07/2020 | 29 | 1,600,892 | 2,608 | ||||
IBEX 35 Index | 07/2020 | 10 | 810,021 | (19,511) | ||||
OMX 30 Index | 07/2020 | (45) | (804,675) | (3,288) | ||||
MSCI Singapore Index | 07/2020 | (39) | (827,938) | 6,339 | ||||
Hang Seng Index | 07/2020 | 25 | 3,910,554 | (56,038) | ||||
MSCI EAFE Index E-Mini | 09/2020 | 342 | 30,410,640 | (55,253) | ||||
Topix Index® | 09/2020 | 138 | 19,918,778 | (427,945) | ||||
ASX SPI 200 Index | 09/2020 | (95) | (9,656,915) | (110,133) | ||||
S&P/TSX 60 Index | 09/2020 | (45) | (6,155,348) | (102,638) | ||||
DAX Index | 09/2020 | 32 | 11,078,160 | 27,110 | ||||
FTSE/MIB Index | 09/2020 | 94 | 10,185,461 | (87,323) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $67,384,829 | $(851,551) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | New Zealand Dollars | 28,331,000 | U.S. Dollars | 17,563,733 | CITI | $ 716,845 | ||||||
09/16/20 | Australian Dollars | 25,196,749 | U.S. Dollars | 16,909,876 | CITI | 482,986 | ||||||
09/16/20 | U.S. Dollars | 13,902,934 | British Pounds | 11,054,001 | CITI | 199,555 | ||||||
09/16/20 | Swiss Francs | 8,837,000 | U.S. Dollars | 9,193,979 | CITI | 155,288 | ||||||
09/16/20 | U.S. Dollars | 17,084,072 | Canadian Dollars | 23,011,875 | CITI | 130,966 | ||||||
09/16/20 | Japanese Yen | 2,135,120,000 | U.S. Dollars | 19,671,399 | CITI | 124,131 | ||||||
09/16/20 | U.S. Dollars | 11,646,960 | Euro | 10,255,000 | CITI | 105,141 | ||||||
09/16/20 | U.S. Dollars | 14,595,320 | Japanese Yen | 1,563,668,000 | CITI | 97,944 | ||||||
09/16/20 | U.S. Dollars | 8,326,981 | Norwegian Kroner | 79,254,000 | CITI | 90,576 | ||||||
09/16/20 | Euro | 6,788,000 | U.S. Dollars | 7,600,394 | CITI | 39,376 | ||||||
09/16/20 | Danish Kroner | 13,329,000 | U.S. Dollars | 1,980,901 | CITI | 32,244 | ||||||
09/16/20 | British Pounds | 1,814,000 | U.S. Dollars | 2,227,746 | CITI | 21,026 | ||||||
09/16/20 | Israeli Shekels | 4,484,000 | U.S. Dollars | 1,281,639 | CITI | 15,613 | ||||||
09/16/20 | U.S. Dollars | 4,897,971 | Swiss Francs | 4,621,000 | CITI | 9,099 | ||||||
09/16/20 | U.S. Dollars | 611,901 | Swedish Kronor | 5,639,000 | CITI | 6,151 | ||||||
09/16/20 | Norwegian Kroner | 5,394,000 | U.S. Dollars | 557,175 | CITI | 3,392 | ||||||
09/16/20 | U.S. Dollars | 328,330 | Danish Kroner | 2,160,000 | CITI | 2,095 | ||||||
09/16/20 | U.S. Dollars | 134,345 | Australian Dollars | 193,000 | CITI | 1,121 | ||||||
09/16/20 | U.S. Dollars | 618,274 | Singapore Dollars | 860,500 | CITI | 665 | ||||||
09/16/20 | Hong Kong Dollars | 2,821,000 | U.S. Dollars | 363,168 | CITI | 630 | ||||||
09/16/20 | Singapore Dollars | 292,000 | U.S. Dollars | 209,375 | CITI | 203 | ||||||
09/16/20 | Swedish Kronor | 188,000 | U.S. Dollars | 20,090 | CITI | 106 | ||||||
09/16/20 | U.S. Dollars | 13,640 | Israeli Shekels | 47,000 | CITI | 43 | ||||||
09/16/20 | U.S. Dollars | 55,196 | Hong Kong Dollars | 428,000 | CITI | — | ||||||
Subtotal Appreciation | $ 2,235,196 | |||||||||||
09/16/20 | Hong Kong Dollars | 6,072,000 | U.S. Dollars | 783,078 | CITI | $ (26) | ||||||
09/16/20 | U.S. Dollars | 13,846 | Israeli Shekels | 48,000 | CITI | (41) | ||||||
09/16/20 | U.S. Dollars | 11,086 | Euro | 10,000 | CITI | (168) | ||||||
09/16/20 | U.S. Dollars | 3,320,131 | Japanese Yen | 358,134,000 | CITI | (269) | ||||||
09/16/20 | Singapore Dollars | 459,000 | U.S. Dollars | 330,124 | CITI | (684) | ||||||
09/16/20 | Swiss Francs | 188,000 | U.S. Dollars | 199,856 | CITI | (958) | ||||||
09/16/20 | Israeli Shekels | 463,000 | U.S. Dollars | 135,055 | CITI | (1,106) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
12/16/20 | U.S. Dollars | 1,107,450 | Swiss Francs | 1,045,000 | NT | $ (1,750) | ||||||
09/16/20 | Norwegian Kroner | 2,842,000 | U.S. Dollars | 297,134 | CITI | (1,781) | ||||||
09/16/20 | U.S. Dollars | 1,095,650 | Hong Kong Dollars | 8,510,013 | CITI | (1,811) | ||||||
09/16/20 | Danish Kroner | 5,188,000 | U.S. Dollars | 789,722 | CITI | (6,153) | ||||||
09/16/20 | U.S. Dollars | 151,337 | Australian Dollars | 230,000 | CITI | (7,428) | ||||||
09/16/20 | U.S. Dollars | 1,166,747 | British Pounds | 948,999 | CITI | (9,705) | ||||||
09/16/20 | U.S. Dollars | 737,887 | Singapore Dollars | 1,043,500 | CITI | (11,067) | ||||||
09/16/20 | Swedish Kronor | 31,442,000 | U.S. Dollars | 3,392,076 | CITI | (14,526) | ||||||
09/16/20 | Canadian Dollars | 8,567,000 | U.S. Dollars | 6,326,209 | CITI | (14,803) | ||||||
09/16/20 | U.S. Dollars | 1,019,496 | Danish Kroner | 6,858,000 | CITI | (16,302) | ||||||
09/16/20 | U.S. Dollars | 2,194,765 | Swiss Francs | 2,097,000 | CITI | (23,795) | ||||||
09/16/20 | British Pounds | 1,632,000 | U.S. Dollars | 2,049,975 | CITI | (26,824) | ||||||
09/16/20 | Euro | 8,915,000 | U.S. Dollars | 10,079,202 | CITI | (45,529) | ||||||
09/16/20 | Australian Dollars | 10,645,251 | U.S. Dollars | 7,406,017 | CITI | (57,792) | ||||||
09/16/20 | U.S. Dollars | 3,398,007 | New Zealand Dollars | 5,380,000 | CITI | (73,438) | ||||||
09/16/20 | U.S. Dollars | 12,927,976 | Canadian Dollars | 17,758,125 | CITI | (154,633) | ||||||
09/16/20 | U.S. Dollars | 5,692,100 | Swedish Kronor | 54,574,000 | CITI | (170,324) | ||||||
09/16/20 | U.S. Dollars | 7,824,140 | Norwegian Kroner | 77,206,000 | CITI | (199,428) | ||||||
09/16/20 | Japanese Yen | 5,790,814,000 | U.S. Dollars | 53,955,448 | CITI | (266,554) | ||||||
Subtotal Depreciation | $(1,106,895) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ 1,128,301 |
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) | ||||||||
Total Return Swaps | ||||||||||||||||
Financing Index: 1-Month EURIBOR - 0.10% (Monthly) | MSCI Netherlands Net Return EUR Index | 9/16/2020 | GSC | EUR | 706,401 | $ 648 | $ — | $ 648 | ||||||||
MSCI Sweden Net Return SEK Index | Financing Index: 1-Month STIBOR - 0.28% (Monthly) | 9/16/2020 | GSC | SEK | 6,892,007 | 29,110 | — | 29,110 | ||||||||
Decreases in total return of Swiss Market Index (At Termination) | Increases in total return of Swiss Market Index (At Termination) | 9/18/2020 | CITI | CHF | 3,202,560 | 2,380 | — | 2,380 | ||||||||
Subtotal Appreciation | $ 32,138 | $ — | $ 32,138 | |||||||||||||
Decreases in total return of Hang Seng Index (At Termination) | Increases in total return of Hang Seng Index (At Termination) | 7/30/2020 | JPM | HKD | 19,397,600 | $ (33,765) | $ — | $ (33,765) | ||||||||
Financing Index: 1-Month EURIBOR - 0.50% (Monthly) | MSCI Italy Net Return EUR Index | 9/16/2020 | GSC | EUR | 2,967,281 | (114,934) | — | (114,934) | ||||||||
Financing Index: 1-Month EURIBOR - 0.66% (Monthly) | MSCI Germany Net Return EUR Index | 9/16/2020 | GSC | EUR | 273,193 | (12,584) | — | (12,584) | ||||||||
Financing Index: 1-Month HIBOR - 0.10% (Monthly) | MSCI Hong Kong Net Return HKD Index | 9/16/2020 | GSC | HKD | 1,656,400 | (489) | — | (489) | ||||||||
Financing Index: 1-Month ICE LIBOR JPY - 0.20% (Monthly) | MSCI Japan Net Return JPY Index | 9/16/2020 | GSC | JPY | 41,573,329 | (12,283) | — | (12,283) | ||||||||
Subtotal Depreciation | $(174,055) | $ — | $(174,055) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $(141,917) | $ — | $(141,917) |
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: | |||||||
Consumer Discretionary | $ 20,010,144 | $ 19,275,105 | $ 735,039 | $ — | |||
Health Care | 12,624,397 | 12,624,397 | — | — | |||
Materials | 73,142 | — | 73,142 | — | |||
Total Common Stocks | 32,707,683 | 31,899,502 | 808,181 | — | |||
Foreign Common Stocks: | |||||||
Canada | 30,685,336 | 30,685,336 | — | — | |||
China | 16,023,171 | 1,656,903 | 14,366,268 | — | |||
India | 15,778,895 | 4,254,374 | 11,524,521 | — | |||
Ireland | 18,182,177 | 18,182,177 | — | — | |||
Mexico | 3,992,862 | 3,992,862 | — | — | |||
Netherlands | 32,944,600 | 7,333,663 | 25,610,937 | — | |||
Taiwan | 24,922,503 | 24,623,476 | 299,027 | — | |||
United Kingdom | 126,804,595 | 2,443,948 | 124,360,647 | — | |||
Other ^^ | 793,855,589 | — | 793,855,589 | —** | |||
Total Foreign Common Stocks | 1,063,189,728 | 93,172,739 | 970,016,989 | — | |||
Foreign Preferred Stocks | 2,380,386 | — | 2,380,386 | — | |||
Money Market Funds | 81,301,148 | 81,301,148 | — | — | |||
Total Assets - Investments in Securities | $1,179,578,945 | $206,373,389 | $973,205,556 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 2,235,196 | $ — | $ 2,235,196 | $ — | |||
Futures Contracts | 36,057 | 36,057 | — | — | |||
Swap Agreements | 32,138 | — | 32,138 | — | |||
Total Assets - Other Financial Instruments | $ 2,303,391 | $ 36,057 | $ 2,267,334 | $ — |
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks Sold Short: | |||||||
Australia | $ (3,320,042) | $ (1,837) | $ (3,318,205) | $ — | |||
Denmark | (3,760,203) | (129,827) | (3,630,376) | — | |||
Netherlands | (6,854,436) | (70,614) | (6,783,822) | — | |||
Other ^^ | (35,136,488) | — | (35,136,488) | — | |||
Total Foreign Common Stocks Sold Short | (49,071,169) | (202,278) | (48,868,891) | — | |||
Foreign Preferred Stocks Sold Short | (121,788) | — | (121,788) | — | |||
Total Liabilities - Investments in Securities | $ (49,192,957) | $ (202,278) | $ (48,990,679) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (1,106,895) | $ — | $ (1,106,895) | $ — | |||
Futures Contracts | (887,608) | (887,608) | — | — | |||
Swap Agreements | (174,055) | — | (174,055) | — | |||
Total Liabilities - Other Financial Instruments | $ (2,168,558) | $ (887,608) | $ (1,280,950) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has 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 — 4.9% | ||||
Communication Services — 0.2% | ||||
Autohome, Inc. ADR | 1,273 | $ 96,112 | ||
JOYY, Inc. ADR* | 1,059 | 93,774 | ||
Momo, Inc. ADR | 2,542 | 44,434 | ||
Sea, Ltd. ADRΔ* | 5,780 | 619,847 | ||
Tencent Music Entertainment Group ADR* | 22,721 | 305,825 | ||
1,159,992 | ||||
Consumer Discretionary — 2.3% | ||||
Huazhu Group, Ltd. ADR | 3,029 | 106,167 | ||
MercadoLibre, Inc.Δ* | 6,536 | 6,442,993 | ||
NIO, Inc. ADRΔ* | 24,427 | 188,576 | ||
Pinduoduo, Inc. ADRΔ* | 5,417 | 464,995 | ||
Trip.com Group, Ltd. ADR* | 97,032 | 2,515,069 | ||
Yum China Holdings, Inc. | 69,594 | 3,345,384 | ||
13,063,184 | ||||
Financials — 0.1% | ||||
Intercorp Financial Services, Inc. | 14,942 | 395,067 | ||
LexinFintech Holdings, Ltd. ADRΔ* | 39,846 | 423,961 | ||
819,028 | ||||
Health Care — 1.3% | ||||
3SBio, Inc. 144A* | 1,210,000 | 1,540,080 | ||
Alibaba Health Information Technology, Ltd.* | 576,000 | 1,693,833 | ||
Hutchison China MediTech, Ltd. ADR* | 40,346 | 1,112,742 | ||
Wuxi Biologics Cayman, Inc. 144A* | 61,500 | 1,128,870 | ||
Zai Lab, Ltd. ADR* | 21,076 | 1,730,972 | ||
7,206,497 | ||||
Industrials — 0.3% | ||||
Copa Holdings SA Class AΔ | 24,771 | 1,252,422 | ||
ZTO Express Cayman, Inc. ADR | 8,419 | 309,061 | ||
1,561,483 | ||||
Information Technology — 0.6% | ||||
GDS Holdings, Ltd. ADRΔ* | 2,167 | 172,623 | ||
Globant SA* | 4,457 | 667,882 | ||
Huami Corporation ADRΔ* | 25,272 | 312,362 | ||
Kingboard Holdings, Ltd. | 26,000 | 67,865 | ||
Pagseguro Digital, Ltd. Class AΔ* | 14,186 | 501,333 | ||
Semiconductor Manufacturing International Corporation* | 347,000 | 1,217,260 | ||
Xiaomi Corporation Class B 144A* | 249,800 | 415,106 | ||
3,354,431 | ||||
Materials — 0.1% | ||||
China Hongqiao Group, Ltd. | 541,000 | 240,895 | ||
Southern Copper Corporation | 2,441 | 97,079 | ||
337,974 | ||||
Total Common Stocks (Cost $23,893,406) | 27,502,589 | |||
FOREIGN COMMON STOCKS — 87.1% | ||||
Brazil — 4.2% | ||||
Atacadao SA* | 159,500 | 586,895 | ||
B2W Cia Digital* | 13,700 | 273,088 |
Shares | Value | |||
B3 SA - Brasil Bolsa Balcao | 590,600 | $ 6,048,163 | ||
Banco BTG Pactual SA* | 108,500 | 1,540,281 | ||
Banco do Brasil SA* | 424,700 | 2,518,632 | ||
BB Seguridade Participacoes SA | 57,700 | 292,527 | ||
BRF SA* | 141,900 | 562,058 | ||
CCR SA | 83,000 | 221,767 | ||
Cia Brasileira de Distribuicao | 10,400 | 136,720 | ||
Cielo SA | 99,300 | 84,727 | ||
Fleury SA | 102,600 | 469,408 | ||
Iochpe Maxion SA | 89,987 | 224,219 | ||
JBS SA | 142,600 | 560,373 | ||
Lojas Renner SA | 31,200 | 241,827 | ||
Magazine Luiza SA* | 71,100 | 938,743 | ||
Minerva SA* | 380,900 | 917,561 | ||
Notre Dame Intermedica Participacoes SA | 11,400 | 143,493 | ||
Petrobras Distribuidora SA* | 285,500 | 1,127,699 | ||
Raia Drogasil SA | 132,700 | 2,724,717 | ||
Sao Martinho SA | 134,900 | 524,408 | ||
TIM Participacoes SA ADRΔ* | 42,680 | 552,279 | ||
TOTVS SA | 80,800 | 347,680 | ||
Ultrapar Participacoes SA | 134,000 | 454,626 | ||
Vale SA ADR* | 129,516 | 1,335,310 | ||
Wiz Solucoes e Corretagem de Seguros SA | 158,660 | 313,054 | ||
YDUQS Participacoes SA | 143,555 | 897,004 | ||
24,037,259 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc.* | 103,067 | 1,242,027 | ||
Chile — 0.7% | ||||
Aguas Andinas SA Class A | 414,479 | 140,380 | ||
Banco de Chile ADRΔ | 7,668 | 135,340 | ||
Banco de Credito e Inversiones SA | 1,824 | 61,957 | ||
Banco Santander Chile ADRΔ | 3,609 | 59,188 | ||
Cencosud SA | 608,764 | 852,299 | ||
Enel Chile SA ADR | 18,640 | 70,273 | ||
Falabella SA | 880,396 | 2,790,814 | ||
4,110,251 | ||||
China — 23.3% | ||||
58.com, Inc. ADR* | 1,633 | 88,084 | ||
Agricultural Bank of China, Ltd. Class A | 571,300 | 273,622 | ||
Agricultural Bank of China, Ltd. Class H | 490,000 | 198,325 | ||
Alibaba Group Holding, Ltd. ADR* | 168,678 | 36,383,845 | ||
Anhui Conch Cement Co., Ltd. Class A | 23,400 | 176,098 | ||
Anhui Conch Cement Co., Ltd. Class H | 308,500 | 2,090,442 | ||
BAIC Motor Corporation, Ltd. Class H 144A | 1,477,500 | 646,598 | ||
Baidu, Inc. ADR* | 7,509 | 900,254 | ||
Bank of Beijing Co., Ltd. Class A | 89,700 | 62,286 | ||
Bank of China, Ltd. Class A | 203,500 | 100,345 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 80,078 | ||
Bank of Ningbo Co., Ltd. Class A | 27,000 | 100,662 |
Table of Contents
Shares | Value | |||
Bank of Shanghai Co., Ltd. Class A | 49,180 | $ 57,890 | ||
Baoshan Iron & Steel Co., Ltd. Class A | 60,900 | 39,444 | ||
BOE Technology Group Co., Ltd. Class A* | 350,300 | 233,059 | ||
BYD Co., Ltd. Class A | 6,200 | 63,456 | ||
China CITIC Bank Corporation, Ltd. Class H | 2,976,000 | 1,304,108 | ||
China Communications Services Corporation, Ltd. Class H | 832,000 | 521,402 | ||
China Construction Bank Corporation Class H | 463,000 | 376,596 | ||
China Everbright Bank Co., Ltd. Class A | 131,700 | 66,829 | ||
China Evergrande GroupΔ | 224,785 | 584,923 | ||
China Fortune Land Development Co., Ltd. Class A | 18,753 | 60,911 | ||
China Life Insurance Co., Ltd. Class H | 1,147,000 | 2,314,375 | ||
China Longyuan Power Group Corporation, Ltd. Class H | 331,000 | 186,620 | ||
China Medical System Holdings, Ltd. | 1,092,000 | 1,291,410 | ||
China Mengniu Dairy Co., Ltd.* | 150,000 | 575,187 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 180,845 | ||
China Merchants Bank Co., Ltd. Class H | 388,500 | 1,800,365 | ||
China Merchants Securities Co., Ltd. Class A | 30,100 | 93,749 | ||
China Minsheng Banking Corporation, Ltd. Class A | 83,400 | 67,020 | ||
China National Building Material Co., Ltd. Class H | 1,782,000 | 1,911,380 | ||
China Oilfield Services, Ltd. Class H | 1,797,792 | 1,638,323 | ||
China Pacific Insurance Group Co., Ltd. Class A | 21,100 | 81,744 | ||
China Petroleum & Chemical Corporation Class A | 100,700 | 55,902 | ||
China Railway Construction Corporation, Ltd. Class A | 75,200 | 89,497 | ||
China Shenhua Energy Co., Ltd. Class H | 97,500 | 151,318 | ||
China Shipbuilding Industry Co., Ltd. Class A | 102,700 | 58,324 | ||
China State Construction Engineering Corporation, Ltd. Class A | 128,500 | 87,006 | ||
China Telecom Corporation, Ltd. Class H | 584,000 | 164,044 | ||
China Tourism Group Duty Free Corporation, Ltd. Class A | 94,012 | 2,061,403 | ||
China United Network Communications, Ltd. Class A | 133,600 | 91,897 | ||
China Vanke Co., Ltd. Class H | 52,150 | 166,445 | ||
China Yangtze Power Co., Ltd. Class A | 265,350 | 712,836 | ||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 123,000 | 48,644 | ||
CITIC Securities Co., Ltd. Class A | 48,700 | 166,746 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 40,699 | 1,014,882 | ||
Country Garden Holdings Co., Ltd. | 207,632 | 257,526 | ||
CRRC Corporation, Ltd. Class A | 92,300 | 72,980 |
Shares | Value | |||
CRRC Corporation, Ltd. Class H | 503,000 | $ 213,545 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 16,440 | 289,717 | ||
Gree Electric Appliances, Inc. of Zhuhai Class A | 173,300 | 1,392,546 | ||
Guotai Junan Securities Co., Ltd. Class A | 45,900 | 112,460 | ||
Haier Smart Home Co., Ltd. Class A | 42,600 | 107,045 | ||
Haitong Securities Co., Ltd. Class A | 60,600 | 108,251 | ||
Haitong Securities Co., Ltd. Class H | 335,200 | 272,332 | ||
Hangzhou Hikvision Digital Technology Co., Ltd. Class A | 55,700 | 240,780 | ||
Hangzhou Robam Appliances Co., Ltd. Class A | 80,300 | 354,892 | ||
Huatai Securities Co., Ltd. Class A | 39,636 | 105,802 | ||
Huaxia Bank Co., Ltd. Class A | 66,807 | 57,966 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 119,734 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 91,381 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 26,909 | 118,875 | ||
JD.com, Inc. ADR* | 23,453 | 1,411,402 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 21,513 | 281,291 | ||
Jiangxi Copper Co., Ltd. Class H | 84,000 | 85,587 | ||
Luxshare Precision Industry Co., Ltd. Class A | 53,513 | 391,446 | ||
Midea Group Co., Ltd. Class A | 155,800 | 1,321,459 | ||
NARI Technology Co., Ltd. Class A | 190,851 | 550,248 | ||
NetEase, Inc. ADR | 6,723 | 2,886,722 | ||
New China Life Insurance Co., Ltd. Class A | 10,500 | 66,045 | ||
New Oriental Education & Technology Group, Inc. ADR* | 7,589 | 988,316 | ||
PetroChina Co., Ltd. Class A | 88,200 | 52,423 | ||
PICC Property & Casualty Co., Ltd. Class H | 1,439,803 | 1,196,571 | ||
Ping An Bank Co., Ltd. Class A | 50,900 | 92,507 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 203,531 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 833,496 | 8,309,115 | ||
SAIC Motor Corporation, Ltd. Class A | 24,600 | 59,391 | ||
Sany Heavy Industry Co., Ltd. Class A | 70,500 | 188,137 | ||
Shanghai International Airport Co., Ltd. Class A | 128,100 | 1,308,616 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 90,281 | ||
Shenwan Hongyuan Group Co., Ltd. Class A* | 160,100 | 114,743 | ||
Shenzhen Kangtai Biological Products Co., Ltd. Class A | 42,000 | 963,580 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 24,500 | 1,059,338 | ||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 202,000 | 48,639 | ||
Sinopharm Group Co., Ltd. Class H | 672,800 | 1,729,741 | ||
Sunac China Holdings, Ltd. | 75,859 | 321,034 | ||
Suning.com Co., Ltd. Class A | 70,175 | 87,364 |
Table of Contents
Shares | Value | |||
Sunny Optical Technology Group Co., Ltd. | 162,300 | $ 2,612,135 | ||
TAL Education Group ADR* | 26,342 | 1,801,266 | ||
Tencent Holdings, Ltd. | 539,530 | 34,571,956 | ||
Vipshop Holdings, Ltd. ADR* | 8,678 | 172,779 | ||
Will Semiconductor, Ltd. Class A | 25,758 | 741,653 | ||
Wuhan Raycus Fiber Laser Technologies Co., Ltd. Class A | 70,645 | 1,091,079 | ||
WuXi AppTec Co., Ltd. Class H 144A | 72,768 | 950,326 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 132,658 | 1,711,986 | ||
Yonghui Superstores Co., Ltd. Class A | 87,700 | 116,646 | ||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 198,530 | 618,030 | ||
ZTE Corporation Class H | 58,600 | 180,868 | ||
131,711,302 | ||||
Czech Republic — 0.1% | ||||
Moneta Money Bank AS 144A | 206,572 | 467,858 | ||
Egypt — 0.1% | ||||
Commercial International Bank Egypt SAE GDR | 75,617 | 293,074 | ||
Greece — 0.2% | ||||
Hellenic Exchanges - Athens Stock Exchange SA | 51,221 | 182,744 | ||
JUMBO SA | 28,017 | 503,634 | ||
Sarantis SA | 54,515 | 502,230 | ||
1,188,608 | ||||
Hong Kong — 8.0% | ||||
AIA Group, Ltd. | 851,425 | 7,967,299 | ||
ANTA Sports Products, Ltd. | 75,000 | 667,281 | ||
BYD Electronic International Co., Ltd. | 226,000 | 522,106 | ||
China Jinmao Holdings Group, Ltd. | 168,000 | 119,559 | ||
China Lesso Group Holdings, Ltd. | 36,000 | 47,253 | ||
China Mobile, Ltd. | 459,996 | 3,105,921 | ||
China Overseas Land & Investment, Ltd. | 648,633 | 1,980,560 | ||
China Resources Cement Holdings, Ltd. | 680,398 | 839,151 | ||
China Resources Land, Ltd. | 1,011,987 | 3,868,012 | ||
China Resources Power Holdings Co., Ltd. | 216,000 | 254,792 | ||
China Traditional Chinese Medicine Holdings Co., Ltd. | 376,000 | 181,892 | ||
China Unicom Hong Kong, Ltd. | 1,438,000 | 782,410 | ||
CITIC, Ltd. | 1,050,000 | 991,500 | ||
CSPC Pharmaceutical Group, Ltd. | 1,267,325 | 2,400,171 | ||
Dali Foods Group Co., Ltd. 144A | 225,000 | 137,130 | ||
ENN Energy Holdings, Ltd. | 100,500 | 1,135,699 | ||
FIT Hon Teng, Ltd. 144A* | 752,000 | 293,112 | ||
Haier Electronics Group Co., Ltd. | 231,000 | 703,279 | ||
Hengan International Group Co., Ltd. | 158,600 | 1,248,374 | ||
Hong Kong Exchanges and Clearing, Ltd. | 44,834 | 1,909,558 | ||
Innovent Biologics, Inc. 144A* | 133,500 | 993,600 | ||
Kingboard Laminates Holdings, Ltd. | 819,074 | 827,750 | ||
Kingdee International Software Group Co., Ltd.* | 336,000 | 786,201 |
Shares | Value | |||
Kunlun Energy Co., Ltd. | 1,760,000 | $ 1,152,672 | ||
Lenovo Group, Ltd. | 504,000 | 281,203 | ||
Li Ning Co., Ltd. | 35,500 | 113,687 | ||
Longfor Group Holdings, Ltd. | 48,384 | 231,606 | ||
Meituan Dianping Class B* | 199,400 | 4,455,867 | ||
Minth Group, Ltd.Δ | 190,000 | 545,396 | ||
Nexteer Automotive Group, Ltd. | 292,000 | 202,354 | ||
Shimao Group Holdings, Ltd. | 33,000 | 141,084 | ||
Sino Biopharmaceutical, Ltd. | 466,000 | 878,315 | ||
Sinotruk Hong Kong, Ltd. | 405,000 | 1,056,949 | ||
Techtronic Industries Co., Ltd. | 65,000 | 643,146 | ||
Topsports International Holdings, Ltd. 144A | 367,000 | 472,169 | ||
Uni-President China Holdings, Ltd. | 648,000 | 648,198 | ||
Vitasoy International Holdings, Ltd. | 548,000 | 2,106,351 | ||
Xinyi Solar Holdings, Ltd. | 640,000 | 615,445 | ||
45,307,052 | ||||
Hungary — 0.3% | ||||
OTP Bank Nyrt PLC* | 54,744 | 1,924,543 | ||
India — 8.0% | ||||
Abbott India, Ltd. | 1,136 | 237,000 | ||
AIA Engineering, Ltd. | 20,582 | 436,863 | ||
Amber Enterprises India, Ltd. | 22,971 | 437,704 | ||
Ambuja Cements, Ltd. | 91,621 | 234,892 | ||
Atul, Ltd. | 4,856 | 293,393 | ||
Avenue Supermarts, Ltd. 144A* | 22,467 | 689,517 | ||
Bharti Airtel, Ltd.* | 340,999 | 2,532,591 | ||
Coal India, Ltd. | 626,344 | 1,106,472 | ||
Colgate-Palmolive India, Ltd. | 5,631 | 105,041 | ||
Crompton Greaves Consumer Electricals, Ltd. | 99,554 | 314,884 | ||
Divi's Laboratories, Ltd. | 37,074 | 1,119,771 | ||
Dr. Reddy's Laboratories, Ltd. | 31,248 | 1,636,764 | ||
GAIL India, Ltd. | 1,185,879 | 1,614,472 | ||
Grasim Industries, Ltd. | 14,183 | 116,504 | ||
HCL Technologies, Ltd. | 288,616 | 2,129,960 | ||
Hindalco Industries, Ltd. | 198,309 | 388,344 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 81,380 | ||
Housing Development Finance Corporation, Ltd. | 185,982 | 4,324,476 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 36,932 | 620,389 | ||
Info Edge India, Ltd. | 19,302 | 704,873 | ||
Infosys, Ltd. | 79,828 | 775,985 | ||
Infosys, Ltd. ADR | 102,161 | 986,875 | ||
Kotak Mahindra Bank, Ltd. | 62,939 | 1,136,050 | ||
Larsen & Toubro Infotech, Ltd. 144A | 15,174 | 393,901 | ||
LIC Housing Finance, Ltd. | 366,971 | 1,291,699 | ||
Mahindra & Mahindra, Ltd. | 601,816 | 4,084,955 | ||
Marico, Ltd. | 993,472 | 4,632,007 | ||
Maruti Suzuki India, Ltd. | 10,154 | 786,042 | ||
Motherson Sumi Systems, Ltd. | 220,870 | 277,925 | ||
Navin Fluorine International, Ltd. | 31,465 | 677,698 | ||
Oil & Natural Gas Corporation, Ltd. | 829,659 | 900,873 | ||
Power Grid Corporation of India, Ltd. | 688,728 | 1,597,427 | ||
Prestige Estates Projects, Ltd. | 119,093 | 330,723 |
Table of Contents
Shares | Value | |||
SBI Life Insurance Co., Ltd. 144A* | 40,024 | $ 427,336 | ||
Shriram Transport Finance Co., Ltd. | 37,506 | 342,276 | ||
Tata Consultancy Services, Ltd. | 212,139 | 5,839,662 | ||
Tata Motors, Ltd.* | 179,580 | 235,525 | ||
TeamLease Services, Ltd.* | 15,018 | 334,028 | ||
Tech Mahindra, Ltd. | 25,210 | 181,390 | ||
Wipro, Ltd. | 103,700 | 302,713 | ||
Zee Entertainment Enterprises, Ltd. | 370,256 | 841,125 | ||
45,501,505 | ||||
Indonesia — 1.3% | ||||
PT Adaro Energy Tbk | 7,399,100 | 520,549 | ||
PT Bank Central Asia Tbk | 2,048,116 | 4,097,873 | ||
PT Bank Negara Indonesia Persero Tbk | 757,431 | 244,729 | ||
PT BFI Finance Indonesia Tbk | 7,300,300 | 144,756 | ||
PT Indofood CBP Sukses Makmur Tbk | 159,800 | 104,876 | ||
PT Indofood Sukses Makmur Tbk | 1,232,536 | 565,981 | ||
PT Link Net Tbk | 2,617,800 | 412,538 | ||
PT Map Aktif Adiperkasa* | 684,700 | 121,993 | ||
PT Pakuwon Jati Tbk | 9,829,000 | 288,035 | ||
PT Perusahaan Gas Negara Tbk | 247,900 | 19,871 | ||
PT Semen Indonesia Persero Tbk | 630,200 | 426,977 | ||
PT United Tractors Tbk | 438,660 | 510,432 | ||
7,458,610 | ||||
Malaysia — 0.7% | ||||
DiGi.Com Bhd | 195,300 | 197,052 | ||
Hartalega Holdings Bhd | 71,100 | 216,876 | ||
IHH Healthcare Bhd | 62,600 | 80,697 | ||
Malayan Banking Bhd | 389,816 | 684,946 | ||
Malaysia Airports Holdings | 120,600 | 154,023 | ||
MISC Bhd | 131,100 | 234,861 | ||
Petronas Chemicals Group Bhd | 78,100 | 113,795 | ||
Petronas Gas Bhd | 61,100 | 241,841 | ||
RHB Bank Bhd | 424,300 | 475,598 | ||
Sime Darby Bhd | 608,600 | 306,851 | ||
Telekom Malaysia Bhd | 178,500 | 173,391 | ||
Tenaga Nasional Bhd | 187,500 | 509,834 | ||
Top Glove Corporation Bhd | 80,900 | 305,310 | ||
3,695,075 | ||||
Mexico — 1.7% | ||||
Alfa SAB de CV Series A | 487,400 | 273,764 | ||
Alpek SAB de CV | 1,177,800 | 896,756 | ||
America Movil SAB de CV, Series L | 1,701,500 | 1,093,396 | ||
Arca Continental SAB de CV | 124,522 | 546,641 | ||
Bolsa Mexicana de Valores SAB de CV | 191,600 | 359,034 | ||
Fomento Economico Mexicano SAB de CV ADR | 48,000 | 2,976,480 | ||
Gruma SAB de CV Series B | 44,625 | 483,712 | ||
Grupo Financiero Banorte SAB de CV Series O | 69,310 | 239,824 | ||
Grupo Televisa SAB SA ADR* | 14,514 | 76,053 | ||
Kimberly-Clark de Mexico SAB de CV Series A | 534,901 | 833,845 | ||
Orbia Advance Corporation SAB de CV | 32,700 | 48,329 |
Shares | Value | |||
Wal-Mart de Mexico SAB de CV | 856,713 | $2,048,925 | ||
9,876,759 | ||||
Netherlands — 1.4% | ||||
Prosus NV* | 60,187 | 5,594,887 | ||
Yandex NV Class A* | 41,130 | 2,057,323 | ||
7,652,210 | ||||
Peru — 1.0% | ||||
Alicorp SAA Class C* | 138,338 | 313,659 | ||
Banco BBVA Peru SA | 331,654 | 252,842 | ||
Credicorp, Ltd. | 35,845 | 4,791,401 | ||
Intercorp Financial Services, Inc. | 7,526 | 199,063 | ||
5,556,965 | ||||
Philippines — 0.5% | ||||
Ayala Land, Inc. | 2,380,700 | 1,623,741 | ||
BDO Unibank, Inc. | 34,770 | 68,611 | ||
International Container Terminal Services, Inc. | 133,280 | 274,257 | ||
JG Summit Holdings, Inc. | 34,530 | 45,071 | ||
Jollibee Foods Corporation | 136,680 | 385,896 | ||
Metro Pacific Investments Corporation | 1,647,000 | 123,127 | ||
PLDT, Inc. | 4,180 | 104,078 | ||
SM Prime Holdings, Inc. | 381,000 | 245,042 | ||
2,869,823 | ||||
Poland — 1.1% | ||||
Bank Polska Kasa Opieki SA | 154,280 | 2,113,943 | ||
CD Projekt SA* | 11,843 | 1,193,461 | ||
Cyfrowy Polsat SA | 46,774 | 312,527 | ||
Dino Polska SA 144A* | 17,144 | 873,284 | ||
Grupa Lotos SA | 19,933 | 303,842 | ||
Orange Polska SA* | 31,220 | 49,375 | ||
Polski Koncern Naftowy ORLEN SA | 63,902 | 1,015,501 | ||
Powszechna Kasa Oszczednosci Bank Polski SA | 82,239 | 478,900 | ||
6,340,833 | ||||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 37,158 | ||
Qatar Islamic Bank SAQ | 6,620 | 28,698 | ||
Qatar National Bank QPSC | 108,220 | 518,889 | ||
584,745 | ||||
Russia — 1.7% | ||||
Gazprom PJSC ADR | 170,565 | 921,039 | ||
LUKOIL PJSC ADR | 36,547 | 2,716,691 | ||
LUKOIL PJSC ADR (OTC Exchange) | 17,105 | 1,269,533 | ||
Magnit PJSC GDR | 4,887 | 63,551 | ||
MMC Norilsk Nickel PJSC ADR | 24,681 | 645,126 | ||
Novatek PJSC GDR | 1,991 | 282,209 | ||
PhosAgro PJSC GDR | 10,672 | 131,799 | ||
Polyus PJSC GDR | 4,973 | 418,470 | ||
Rosneft Oil Co. PJSC GDR | 16,843 | 84,648 | ||
Sberbank of Russia PJSC ADR | 199,835 | 2,271,674 | ||
Sberbank of Russia PJSC ADR (OTC Exchange) | 14,170 | 160,688 | ||
Severstal PAO GDRΔ | 20,309 | 245,771 |
Table of Contents
Shares | Value | |||
Surgutneftegas PJSC ADR | 19,506 | $ 105,126 | ||
9,316,325 | ||||
Saudi Arabia — 0.8% | ||||
Advanced Petrochemical Co. | 7,684 | 109,561 | ||
Alinma Bank* | 204,675 | 795,210 | ||
Almarai Co. JSC | 2,951 | 40,902 | ||
Arab National Bank | 50,894 | 259,144 | ||
Bank Al | 167,874 | 506,907 | ||
Bank AlBilad | 17,350 | 102,755 | ||
Banque Saudi Fransi | 21,140 | 161,502 | ||
Bupa Arabia for Cooperative Insurance Co. | 2,224 | 64,776 | ||
Etihad Etisalat Co.* | 47,122 | 334,987 | ||
Jarir Marketing Co. | 3,684 | 144,414 | ||
National Commercial Bank | 8,208 | 81,854 | ||
National Industrialization Co.* | 43,515 | 121,717 | ||
Riyad Bank | 71,861 | 324,015 | ||
Samba Financial Group | 57,158 | 410,993 | ||
Saudi Arabian Oil Co. 144A | 24,146 | 209,606 | ||
Saudi Basic Industries Corporation | 17,785 | 418,847 | ||
Saudi Industrial Investment Group | 8,440 | 45,641 | ||
Yanbu National Petrochemical Co. | 6,926 | 94,895 | ||
4,227,726 | ||||
Slovenia — 0.1% | ||||
Nova Ljubljanska Banka dd GDR | 74,232 | 639,360 | ||
South Africa — 4.5% | ||||
Anglo American Platinum, Ltd. | 21,004 | 1,528,623 | ||
AngloGold Ashanti, Ltd. ADR | 52,412 | 1,545,630 | ||
Aspen Pharmacare Holdings, Ltd.* | 52,020 | 432,093 | ||
Bid Corporation, Ltd. | 25,634 | 420,931 | ||
Clicks Group, Ltd. | 111,726 | 1,354,426 | ||
Discovery, Ltd.Δ | 290,163 | 1,752,853 | ||
FirstRand, Ltd. | 6,237 | 13,715 | ||
Gold Fields, Ltd. ADR | 210,152 | 1,975,429 | ||
Harmony Gold Mining Co., Ltd. ADR* | 355,516 | 1,482,502 | ||
Impala Platinum Holdings, Ltd. | 31,714 | 213,580 | ||
JSE, Ltd. | 282,329 | 1,984,967 | ||
Kumba Iron Ore, Ltd. | 1,759 | 47,037 | ||
Momentum Metropolitan Holdings | 118,151 | 120,237 | ||
Mr Price Group, Ltd. | 25,676 | 212,317 | ||
Naspers, Ltd. N Shares | 47,376 | 8,706,779 | ||
Northam Platinum, Ltd.* | 35,346 | 238,393 | ||
Old Mutual, Ltd. | 662,346 | 461,651 | ||
Pick n Pay Stores, Ltd.Δ | 138,211 | 406,210 | ||
Remgro, Ltd. | 6,798 | 39,248 | ||
RMB Holdings, Ltd. | 4,754 | 451 | ||
Santam, Ltd. | 18,437 | 284,750 | ||
Sasol, Ltd.* | 39,103 | 300,264 | ||
Shoprite Holdings, Ltd. | 46,281 | 284,447 | ||
Sibanye Stillwater, Ltd.Δ* | 131,157 | 284,778 | ||
Standard Bank Group, Ltd. | 115,936 | 699,816 | ||
Transaction Capital, Ltd. | 333,945 | 359,097 | ||
Woolworths Holdings, Ltd. | 179,627 | 343,303 | ||
25,493,527 |
Shares | Value | |||
South Korea — 11.2% | ||||
BGF retail Co., Ltd. | 6,529 | $ 756,827 | ||
BNK Financial Group, Inc. | 34,020 | 142,899 | ||
CJ Corporation | 2,391 | 172,760 | ||
CJ ENM Co., Ltd. | 1,022 | 94,723 | ||
Daelim Industrial Co., Ltd. | 7,854 | 540,264 | ||
Doosan Bobcat, Inc. | 38,836 | 863,802 | ||
Fila Holdings Corporation | 10,251 | 302,506 | ||
GS Retail Co., Ltd. | 1,875 | 57,295 | ||
Hana Financial Group, Inc. | 12,262 | 278,867 | ||
Hankook Tire & Technology Co., Ltd. | 18,122 | 375,058 | ||
Hanwha Corporation | 5,932 | 110,783 | ||
HLB, Inc.* | 4,249 | 328,321 | ||
Hyundai Engineering & Construction Co., Ltd. | 22,548 | 624,606 | ||
Hyundai Glovis Co., Ltd. | 727 | 61,808 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 2,464 | 47,300 | ||
Hyundai Mobis Co., Ltd. | 2,770 | 444,638 | ||
Kia Motors Corporation | 158,725 | 4,289,158 | ||
KMW Co., Ltd.* | 9,894 | 528,455 | ||
Korea Investment Holdings Co., Ltd. | 21,626 | 810,783 | ||
Korea Zinc Co., Ltd. | 3,455 | 968,076 | ||
Kumho Petrochemical Co., Ltd. | 5,609 | 350,782 | ||
LG Chem, Ltd. | 5,069 | 2,091,870 | ||
LG Electronic, Inc. | 40,184 | 2,129,580 | ||
LG Household & Health Care, Ltd. | 1,137 | 1,274,361 | ||
LG Innotek Co., Ltd. | 7,126 | 1,045,059 | ||
LG Uplus Corporation | 13,101 | 133,882 | ||
Lotte Corporation | 2,543 | 67,254 | ||
Meritz Securities Co., Ltd. | 32,535 | 82,740 | ||
NAVER Corporation | 6,847 | 1,540,460 | ||
NCSoft Corporation | 8,199 | 6,099,460 | ||
Orion Corporation | 7,819 | 875,336 | ||
Pearl Abyss Corporation* | 4,984 | 906,782 | ||
POSCO | 4,261 | 620,643 | ||
Posco International Corporation | 41,673 | 486,261 | ||
Samsung Electro-Mechanics Co., Ltd. | 17,275 | 1,874,167 | ||
Samsung Electronics Co., Ltd. | 370,220 | 16,388,763 | ||
Samsung Engineering Co., Ltd.* | 35,053 | 361,266 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 19,189 | 2,821,253 | ||
Samsung SDS Co., Ltd. | 1,762 | 249,229 | ||
Samsung Securities Co., Ltd. | 2,582 | 57,081 | ||
SK Biopharmaceuticals Co., Ltd.* | 1,595 | 64,975 | ||
SK Hynix, Inc. | 169,396 | 12,094,623 | ||
63,414,756 | ||||
Taiwan — 12.2% | ||||
Accton Technology Corporation | 200,000 | 1,553,121 | ||
Advantech Co., Ltd. | 91,000 | 915,801 | ||
Airtac International Group | 75,000 | 1,324,889 | ||
ASE Technology Holding Co., Ltd. | 33,000 | 75,999 | ||
Catcher Technology Co., Ltd. | 45,000 | 341,018 | ||
Chailease Holding Co., Ltd. | 132,360 | 564,265 | ||
China Life Insurance Co., Ltd.* | 647,249 | 480,861 | ||
Chroma ATE, Inc. | 182,000 | 941,885 |
Table of Contents
Shares | Value | |||
Chunghwa Telecom Co., Ltd. | 21,000 | $ 83,401 | ||
Foxconn Technology Co., Ltd. | 88,000 | 169,454 | ||
Globalwafers Co., Ltd. | 125,000 | 1,721,648 | ||
Hon Hai Precision Industry Co., Ltd. | 747,000 | 2,193,308 | ||
Largan Precision Co., Ltd. | 45,500 | 6,326,321 | ||
Lite-On Technology Corporation | 206,000 | 324,379 | ||
MediaTek, Inc. | 370,396 | 7,322,962 | ||
Nanya Technology Corporation | 409,000 | 853,335 | ||
Nien Made Enterprise Co., Ltd. | 43,000 | 421,450 | ||
Novatek Microelectronics Corporation | 90,000 | 699,455 | ||
Pegatron Corporation | 301,000 | 656,522 | ||
Phison Electronics Corporation | 33,000 | 332,082 | ||
Powertech Technology, Inc. | 169,763 | 619,685 | ||
President Chain Store Corporation | 636,000 | 6,397,952 | ||
Silergy Corporation | 48,000 | 3,144,398 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,508,978 | 16,115,161 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 189,097 | 10,735,037 | ||
Taiwan Union Technology Corporation | 64,000 | 314,225 | ||
Tong Hsing Electronic Industries, Ltd. | 60,577 | 289,673 | ||
United Microelectronics Corporation | 3,339,000 | 1,805,199 | ||
Win Semiconductors Corporation | 52,000 | 530,924 | ||
Wistron Corporation | 1,084,000 | 1,323,326 | ||
Zhen Ding Technology Holding, Ltd. | 105,000 | 460,791 | ||
69,038,527 | ||||
Thailand — 1.2% | ||||
Advanced Info Service PCL NVDR | 263,100 | 1,583,406 | ||
Airports of Thailand PCL | 312,000 | 611,452 | ||
B Grimm Power PCL NVDR | 273,600 | 476,518 | ||
Bangkok Bank PCL NVDR | 350,170 | 1,221,454 | ||
Bangkok Dusit Medical Services PCL NVDR | 154,600 | 112,676 | ||
Berli Jucker PCL NVDR | 94,800 | 121,728 | ||
Bumrungrad Hospital PCL NVDR | 33,000 | 124,624 | ||
Central Pattana PCL NVDR | 99,700 | 158,481 | ||
Charoen Pokphand Foods PCL NVDR | 177,200 | 182,753 | ||
Indorama Ventures PCL NVDR | 678,300 | 614,067 | ||
Krung Thai Bank PCL NVDR | 579,900 | 193,837 | ||
Muangthai Capital PCL NVDR | 35,000 | 59,450 | ||
PTT Exploration & Production PCL | 270,900 | 821,123 | ||
Ratch Group PCL NVDR | 24,100 | 48,826 | ||
Thai Union Group PCL NVDR | 999,000 | 420,526 | ||
6,750,921 | ||||
Turkey — 0.2% | ||||
Eregli Demir ve Celik Fabrikalari TAS* | 446,000 | 558,354 |
Shares | Value | |||
Mavi Giyim Sanayi Ve Ticaret AS Class B 144A* | 42,760 | $ 297,030 | ||
Sok Marketler Ticaret AS* | 181,923 | 356,704 | ||
Turkcell Iletisim Hizmetleri AS | 24,156 | 57,591 | ||
Türkiye Is Bankasi AS Class C* | 42,265 | 34,520 | ||
1,304,199 | ||||
United Kingdom — 2.3% | ||||
Anglo American PLC | 105,584 | 2,434,050 | ||
Antofagasta PLC | 339,920 | 3,934,357 | ||
TCS Group Holding PLC GDR | 62,276 | 1,264,203 | ||
Unilever PLC | 102,662 | 5,537,698 | ||
13,170,308 | ||||
Total Foreign Common Stocks (Cost $465,700,487) | 493,174,148 | |||
FOREIGN PREFERRED STOCKS — 0.5% | ||||
Brazil — 0.5% | ||||
Banco Bradesco SA | ||||
8.14%◊ | 237,092 | 913,385 | ||
Banco Pan SA | ||||
0.03%◊ | 49,740 | 81,404 | ||
Cia Energetica de Minas Gerais | ||||
0.00%* | 183,500 | 374,214 | ||
Lojas Americanas SA | ||||
0.00%* | 235,300 | 1,397,582 | ||
Petroleo Brasileiro SA | ||||
0.00%* | 23,400 | 93,719 | ||
2,860,304 | ||||
Colombia — 0.0% | ||||
Banco Davivienda SA | ||||
3.34%◊ | 28,352 | 211,245 | ||
Total Foreign Preferred Stocks (Cost $3,428,668) | 3,071,549 | |||
MONEY MARKET FUNDS — 6.9% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ | 21,353,454 | 21,353,454 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.33%ا | 1,104,610 | 1,104,610 |
Table of Contents
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 16,680,009 | $ 16,680,009 | ||
Total Money Market Funds (Cost $39,138,073) | 39,138,073 | |||
TOTAL INVESTMENTS — 99.4% (Cost $532,160,634) | 562,886,359 | |||
Other Assets in Excess of Liabilities — 0.6% | 3,653,320 | |||
NET ASSETS — 100.0% | $566,539,679 |
% | |
Information Technology | 20.6 |
Consumer Discretionary | 18.6 |
Financials | 14.9 |
Communication Services | 11.4 |
Consumer Staples | 8.2 |
Money Market Funds | 6.9 |
Materials | 5.8 |
Health Care | 4.1 |
Industrials | 2.9 |
Energy | 2.6 |
Real Estate | 1.9 |
Utilities | 1.5 |
99.4 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI Singapore Index | 07/2020 | (170) | $ (3,608,962) | $ 38,154 | ||||
Euro-BTP | 07/2020 | (7) | (122,112) | (1,005) | ||||
HSCEI | 07/2020 | 22 | 1,369,305 | (19,331) | ||||
MSCI Taiwan Index | 07/2020 | 204 | 8,827,080 | (15,674) | ||||
SGX Nifty 50 Index | 07/2020 | (95) | (1,952,250) | 21,371 | ||||
KOSPI 200 Index | 09/2020 | 78 | 4,552,188 | (118,644) | ||||
FTSE/JSE Top 40 Index | 09/2020 | (138) | (3,999,594) | (92,764) | ||||
Mexican Bolsa Index | 09/2020 | 29 | 481,195 | 1,769 | ||||
MSCI Emerging Markets E-Mini | 09/2020 | 914 | 45,046,490 | (330,536) | ||||
SET50 Index | 09/2020 | (23) | (130,466) | (895) | ||||
Total Futures Contracts outstanding at June 30, 2020 | $50,462,874 | $(517,555) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | U.S. Dollars | 9,422,711 | Brazilian Reals | 49,347,000 | CITI | $ 379,033 | ||||||
09/17/20 | U.S. Dollars | 6,124,654 | Mexican Pesos | 136,100,000 | CITI | 265,795 | ||||||
09/16/20 | Taiwan Dollars | 182,100,000 | U.S. Dollars | 6,140,106 | CITI | 120,309 | ||||||
09/16/20 | South Korean Won | 5,850,548,000 | U.S. Dollars | 4,781,496 | CITI | 98,371 | ||||||
09/16/20 | U.S. Dollars | 5,117,053 | Chilean Pesos | 4,123,080,000 | CITI | 91,417 | ||||||
09/16/20 | Philippine Pesos | 255,045,000 | U.S. Dollars | 5,057,607 | CITI | 47,685 | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | 38,125 | ||||||
09/16/20 | U.S. Dollars | 1,700,277 | South African Rand | 29,200,000 | CITI | 31,256 | ||||||
09/16/20 | Singapore Dollars | 4,235,000 | U.S. Dollars | 3,009,140 | CITI | 30,458 | ||||||
09/16/20 | U.S. Dollars | 2,799,838 | Polish Zloty | 10,980,000 | CITI | 23,833 | ||||||
09/16/20 | Chinese Offshore Yuan | 29,974,000 | U.S. Dollars | 4,198,115 | CITI | 22,645 | ||||||
09/16/20 | South African Rand | 36,704,500 | U.S. Dollars | 2,082,365 | CITI | 15,600 | ||||||
09/16/20 | Thai Baht | 19,072,000 | U.S. Dollars | 602,050 | CITI | 14,929 | ||||||
09/16/20 | U.S. Dollars | 459,687 | Russian Rubles | 32,000,000 | CITI | 14,102 | ||||||
09/16/20 | Indian Rupees | 358,307,000 | U.S. Dollars | 4,689,222 | CITI | 13,416 | ||||||
09/16/20 | U.S. Dollars | 700,730 | Colombian Pesos | 2,600,000,000 | CITI | 13,407 | ||||||
09/16/20 | Hong Kong Dollars | 62,083,000 | U.S. Dollars | 7,994,969 | CITI | 11,330 | ||||||
09/16/20 | U.S. Dollars | 1,841,997 | Hungarian Forint | 577,672,000 | CITI | 9,995 | ||||||
09/16/20 | U.S. Dollars | 311,992 | Indonesian Rupiahs | 4,484,978,606 | CITI | 7,871 | ||||||
09/16/20 | U.S. Dollars | 585,629 | Czech Republic Koruna | 13,700,000 | CITI | 7,821 | ||||||
09/16/20 | Polish Zloty | 3,590,000 | U.S. Dollars | 903,195 | CITI | 4,443 | ||||||
09/16/20 | Czech Republic Koruna | 10,600,000 | U.S. Dollars | 443,460 | CITI | 3,603 | ||||||
09/16/20 | Euro | 181,500 | U.S. Dollars | 202,850 | CITI | 1,424 | ||||||
09/16/20 | Colombian Pesos | 3,100,000,000 | U.S. Dollars | 818,340 | CITI | 1,160 | ||||||
09/16/20 | Hungarian Forint | 53,000,000 | U.S. Dollars | 167,216 | CITI | 866 | ||||||
09/16/20 | U.S. Dollars | 14,678 | Peruvian Nuevo Soles | 50,000 | CITI | 581 | ||||||
09/16/20 | U.S. Dollars | 229,913 | Saudi Riyals | 862,500 | CITI | 167 | ||||||
09/16/20 | U.S. Dollars | 22,618 | Euro | 20,000 | CITI | 109 | ||||||
09/16/20 | Saudi Riyals | 1,200,000 | U.S. Dollars | 319,541 | CITI | 106 | ||||||
09/16/20 | Russian Rubles | 1,006,000 | U.S. Dollars | 13,953 | CITI | 54 | ||||||
09/16/20 | U.S. Dollars | 14,753 | South Korean Won | 17,635,000 | CITI | 44 | ||||||
09/16/20 | U.S. Dollars | 28,370 | Thai Baht | 876,000 | CITI | 32 | ||||||
09/16/20 | U.S. Dollars | 64,483 | Hong Kong Dollars | 500,000 | CITI | 2 | ||||||
Subtotal Appreciation | $ 1,269,989 | |||||||||||
09/16/20 | Saudi Riyals | 3,400,000 | U.S. Dollars | 905,694 | CITI | $ (28) | ||||||
07/09/20 | U.S. Dollars | 103,415 | Turkish Lira | 709,164 | CITI | (59) | ||||||
09/16/20 | U.S. Dollars | 874,406 | South African Rand | 15,300,000 | CITI | (115) | ||||||
09/16/20 | Hong Kong Dollars | 15,500,000 | U.S. Dollars | 1,999,026 | CITI | (128) | ||||||
09/16/20 | U.S. Dollars | 362,519 | Saudi Riyals | 1,361,500 | CITI | (147) | ||||||
09/16/20 | Thai Baht | 3,000,000 | U.S. Dollars | 97,234 | CITI | (184) | ||||||
09/16/20 | U.S. Dollars | 89,828 | Euro | 80,000 | CITI | (211) | ||||||
09/16/20 | Chinese Offshore Yuan | 812,000 | U.S. Dollars | 114,669 | CITI | (328) | ||||||
09/16/20 | Euro | 141,500 | U.S. Dollars | 159,758 | CITI | (501) | ||||||
09/16/20 | Polish Zloty | 422,000 | U.S. Dollars | 107,234 | CITI | (543) | ||||||
09/16/20 | U.S. Dollars | 1,701,282 | Philippine Pesos | 85,044,000 | CITI | (1,063) | ||||||
09/16/20 | Taiwan Dollars | 95,000,000 | U.S. Dollars | 3,267,132 | CITI | (1,127) | ||||||
09/16/20 | Singapore Dollars | 2,455,000 | U.S. Dollars | 1,763,247 | CITI | (1,212) | ||||||
09/17/20 | U.S. Dollars | 592,770 | Mexican Pesos | 13,800,000 | CITI | (1,295) | ||||||
09/16/20 | Czech Republic Koruna | 8,900,000 | U.S. Dollars | 377,643 | CITI | (2,278) | ||||||
09/16/20 | Peruvian Nuevo Soles | 579,874 | U.S. Dollars | 166,001 | CITI | (2,512) | ||||||
09/16/20 | U.S. Dollars | 3,721,981 | Hong Kong Dollars | 28,884,000 | CITI | (2,935) | ||||||
09/16/20 | Hungarian Forint | 62,000,000 | U.S. Dollars | 199,863 | CITI | (3,239) | ||||||
09/16/20 | Colombian Pesos | 3,000,000,000 | U.S. Dollars | 796,932 | CITI | (3,866) | ||||||
09/16/20 | U.S. Dollars | 1,471,969 | Thai Baht | 45,644,000 | CITI | (4,614) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/16/20 | South Korean Won | 2,499,312,000 | U.S. Dollars | 2,089,506 | CITI | $ (4,863) | ||||||
09/16/20 | U.S. Dollars | 258,505 | Indonesian Rupiahs | 3,899,492,606 | CITI | (5,916) | ||||||
09/16/20 | Indian Rupees | 521,402,000 | U.S. Dollars | 6,852,479 | CITI | (9,285) | ||||||
09/16/20 | Israeli Shekels | 4,200,000 | U.S. Dollars | 1,228,206 | CITI | (13,118) | ||||||
09/16/20 | U.S. Dollars | 1,818,625 | Hungarian Forint | 577,672,000 | CITI | (13,378) | ||||||
09/16/20 | U.S. Dollars | 5,122,750 | Brazilian Reals | 28,049,000 | CITI | (17,707) | ||||||
09/16/20 | Chilean Pesos | 1,080,000,000 | U.S. Dollars | 1,336,185 | CITI | (19,769) | ||||||
09/16/20 | U.S. Dollars | 3,361,102 | Polish Zloty | 13,380,000 | CITI | (21,682) | ||||||
09/16/20 | South African Rand | 36,506,500 | U.S. Dollars | 2,122,537 | CITI | (35,889) | ||||||
09/16/20 | U.S. Dollars | 2,746,459 | South Korean Won | 3,350,064,000 | CITI | (47,783) | ||||||
09/16/20 | U.S. Dollars | 2,849,450 | Singapore Dollars | 4,040,000 | CITI | (50,192) | ||||||
09/16/20 | U.S. Dollars | 6,407,238 | Israeli Shekels | 22,400,000 | CITI | (73,238) | ||||||
09/16/20 | U.S. Dollars | 8,761,698 | Chinese Offshore Yuan | 62,765,415 | CITI | (76,554) | ||||||
09/16/20 | U.S. Dollars | 4,606,986 | Czech Republic Koruna | 111,200,000 | CITI | (82,960) | ||||||
09/16/20 | Russian Rubles | 426,986,000 | U.S. Dollars | 6,062,972 | CITI | (117,366) | ||||||
09/17/20 | Mexican Pesos | 177,941,000 | U.S. Dollars | 7,967,076 | CITI | (307,042) | ||||||
09/16/20 | Brazilian Reals | 37,628,000 | U.S. Dollars | 7,369,756 | CITI | (473,785) | ||||||
Subtotal Depreciation | $(1,396,912) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (126,923) |
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) | ||||||||
Total Return Swaps | ||||||||||||||||
Decreases in total return of TAIEX (At Termination) | Increases in total return of TAIEX (At Termination) | 7/15/2020 | GSC | TWD | 68,820,000 | $ 27,624 | $ — | $ 27,624 | ||||||||
Increases in total return of SGX Nifty 50 Index (At Termination) | Decreases in total return of SGX Nifty 50 Index (At Termination) | 7/30/2020 | CITI | USD | 863,100 | 3,243 | — | 3,243 | ||||||||
Decreases in total return of BIST 30 Index (At Termination) | Increases in total return of BIST 30 Index (At Termination) | 8/31/2020 | CITI | TRY | 9,095,580 | 2,482 | — | 2,482 | ||||||||
Financing Index: 1-Month HIBOR - 0.30% (Monthly) | MSCI China Net Return HKD Index | 9/16/2020 | GSC | HKD | 444,680 | 1,391 | — | 1,391 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index | Financing Index: 1-Month ICE LIBOR USD + 0.15% (Monthly) | 9/16/2020 | GSC | USD | 335,700 | 22,423 | — | 22,423 | ||||||||
MSCI Poland Net Return PLN Index | Financing Index: 1-Month WIBOR + 0.18% (Monthly) | 9/16/2020 | GSC | PLN | 1,050,828 | 14,302 | — | 14,302 | ||||||||
MSCI Singapore Net Return SGD Index | Financing Index: SORF1M Index + 0.20% (Monthly) | 9/16/2020 | GSC | SGD | 3,449,990 | 145,443 | — | 145,443 | ||||||||
Increases in total return of WIG20 Index (At Termination) | Decreases in total return of WIG20 Index (At Termination) | 9/18/2020 | CITI | PLN | 35,080 | 172 | — | 172 | ||||||||
Subtotal Appreciation | $ 217,080 | $ — | $ 217,080 | |||||||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 7/30/2020 | GSC | HKD | 62,229,600 | $(138,572) | $ — | $(138,572) | ||||||||
Decreases in total return of HSCEI Index (At Termination) | Increases in total return of HSCEI Index (At Termination) | 7/30/2020 | CITI | HKD | 6,753,600 | (14,439) | — | (14,439) |
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) | ||||||||
Decreases in total return of Tel Aviv 35 Index (At Termination) | Increases in total return of Tel Aviv 35 Index (At Termination) | 7/31/2020 | GSC | ILS | 805,440 | $ (10,865) | $ — | $ (10,865) | ||||||||
Increases in total return of Bovespa Index (At Termination) | Decreases in total return of Bovespa Index (At Termination) | 8/12/2020 | CITI | BRL | 10,476,400 | (46,416) | — | (46,416) | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 9/10/2020 | GSC | KRW | 4,071,600,000 | (112,578) | — | (112,578) | ||||||||
Decreases in total return of KOSPI 200 Index (At Termination) | Increases in total return of KOSPI 200 Index (At Termination) | 9/10/2020 | CITI | KRW | 2,808,000,000 | (80,966) | — | (80,966) | ||||||||
Financing Index: 1-Month ICE LIBOR USD - 0.05% (Monthly) | MSCI Emerging Markets Korea Net Total Return USD Index | 9/16/2020 | GSC | USD | 241,867 | (7,396) | — | (7,396) | ||||||||
MSCI Brazil Net Return BRL Index | Financing Index: Brazil Cetip DI Interbank Deposit Rate - 0.45% (Monthly) | 9/16/2020 | GSC | BRL | 745,301 | (806) | — | (806) | ||||||||
MSCI South Africa Net Return ZAR Index | Financing Index: 1-Month SAFE South Africa JIBAR + 0.02% (Monthly) | 9/16/2020 | GSC | ZAR | 65,731,975 | (12,959) | — | (12,959) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% (Monthly) | MSCI Mexico Net MXN Index | 9/17/2020 | GSC | MXN | 3,241,008 | (460) | — | (460) | ||||||||
Increases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decreases in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 9/17/2020 | GSC | ZAR | 8,056,620 | (8,235) | — | (8,235) | ||||||||
Subtotal Depreciation | $(433,692) | $ — | $(433,692) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $(216,612) | $ — | $(216,612) |
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: | |||||||
Health Care | $ 7,206,497 | $ 2,843,714 | $ 4,362,783 | $ — | |||
Information Technology | 3,354,431 | 1,654,200 | 1,700,231 | — | |||
Materials | 337,974 | 97,079 | 240,895 | — | |||
Other ^^ | 16,603,687 | 16,603,687 | — | — | |||
Total Common Stocks | 27,502,589 | 21,198,680 | 6,303,909 | — | |||
Foreign Common Stocks: | |||||||
Brazil | 24,037,259 | 24,037,259 | — | — | |||
Canada | 1,242,027 | 1,242,027 | — | — | |||
Chile | 4,110,251 | 4,110,251 | — | — | |||
China | 131,711,302 | 44,632,668 | 87,078,634 | — | |||
Greece | 1,188,608 | 1,005,864 | 182,744 | — | |||
India | 45,501,505 | 986,875 | 44,514,630 | — | |||
Mexico | 9,876,759 | 9,876,759 | — | — | |||
Netherlands | 7,652,210 | 7,652,210 | — | — | |||
Peru | 5,556,965 | 5,556,965 | — | — | |||
Russia | 9,316,325 | 1,430,221 | 7,886,104 | — | |||
South Africa | 25,493,527 | 9,318,361 | 16,175,166 | — | |||
Taiwan | 69,038,527 | 10,735,037 | 58,303,490 | — | |||
Turkey | 1,304,199 | 558,354 | 745,845 | — | |||
United Kingdom | 13,170,308 | 1,264,203 | 11,906,105 | — | |||
Other ^^ | 143,974,376 | — | 143,974,376 | — | |||
Total Foreign Common Stocks | 493,174,148 | 122,407,054 | 370,767,094 | — | |||
Foreign Preferred Stocks | 3,071,549 | 3,071,549 | — | — | |||
Money Market Funds | 39,138,073 | 39,138,073 | — | — | |||
Total Assets - Investments in Securities | $562,886,359 | $185,815,356 | $377,071,003 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 1,269,989 | $ — | $ 1,269,989 | $ — | |||
Futures Contracts | 61,294 | 61,294 | — | — | |||
Swap Agreements | 217,080 | — | 217,080 | — | |||
Total Assets - Other Financial Instruments | $ 1,548,363 | $ 61,294 | $ 1,487,069 | $ — | |||
Table of Contents
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(1,396,912) | $ — | $(1,396,912) | $ — | |||
Futures Contracts | (578,849) | (578,849) | — | — | |||
Swap Agreements | (433,692) | — | (433,692) | — | |||
Total Liabilities - Other Financial Instruments | $(2,409,453) | $(578,849) | $(1,830,604) | $ — |
^^ | 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, 2020 (Unaudited) |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,176,029,447 | $2,032,882,355 | |
Investments in securities of affiliated issuers, at value | 62,758,246 | 70,028,319 | |
Total investments, at value(1), (2) | 1,238,787,693 | 2,102,910,674 | |
Cash | 2,013,859 | — | |
Cash collateral for derivatives | — | — | |
Deposits with broker for futures contracts | — | 5,476,000 | |
Foreign currency(3) | 1 | — | |
Receivables: | |||
Dividends and reclaims | 841,329 | 1,258,750 | |
Interest | 1,553,880 | — | |
Securities lending | 10,513 | 23,291 | |
Investment securities sold | 2,755,086 | — | |
Fund shares sold | 263,865 | 396,229 | |
Variation margin on futures contracts | — | 941,375 | |
Unrealized appreciation on foreign currency exchange contracts | 45,566 | — | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 48,743 | 61,837 | |
Total Assets | 1,246,320,535 | 2,111,068,156 | |
Liabilities | |||
Cash Overdraft | — | 4,234 | |
Securities sold short, at value(4) | — | — | |
Options written, at value(5) | 1,271,858 | — | |
Unrealized depreciation on foreign currency exchange contracts | — | — | |
Unrealized depreciation on swap agreements | — | — | |
Collateral held for securities on loan, at value | 35,669,941 | 4,262,211 | |
Collateral from counterparty | — | — | |
Payables: | |||
Investment securities purchased | 1,710,847 | — | |
Dividends on short sales | — | — | |
Fund shares redeemed | 1,858,144 | 1,166,681 | |
Variation margin on futures contracts | 329,375 | — | |
Foreign capital gains taxes | — | — | |
Accrued expenses: | |||
Investment advisory fees | 606,522 | 150,528 | |
Shareholder servicing fees | 81,071 | 124,758 | |
Trustee fees | 1,609 | 2,517 | |
Other expenses | 251,247 | 330,826 | |
Total Liabilities | 41,780,614 | 6,041,755 | |
Net Assets | $1,204,539,921 | $2,105,026,401 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,100,540,310 | $1,545,635,751 | |
Distributable earnings (loss) | 103,999,611 | 559,390,650 | |
Net Assets | $1,204,539,921 | $2,105,026,401 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $ 809,944,847 | $1,494,352,399 | |
Institutional shares outstanding | 64,489,908 | 43,953,609 | |
Net asset value, offering and redemption price per Institutional share | $ 12.56 | $ 34.00 | |
Net assets applicable to the Investor Class | $ 394,595,074 | $ 610,674,002 | |
Investor shares outstanding | 31,412,596 | 17,952,636 | |
Net asset value, offering and redemption price per Investor share | $ 12.56 | $ 34.02 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,053,975,583 | $1,464,320,336 | |
Investments in securities of affiliated issuers, at cost | 62,758,246 | 70,028,319 | |
Total investments, at cost | $1,116,733,829 | $1,534,348,655 | |
(2)Includes securities loaned of: | $ 50,519,523 | $ 50,987,760 | |
(3)Foreign currency, at cost | $ 1 | $ — | |
(4)Proceeds from securities sold short | $ — | $ — | |
(5)Premiums received on options written | $ 2,780,078 | $ — | |
(6)Net of $(448,548) accrued foreign capital gains taxed on appreciated securities for International Equity Fund. |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,013,032,924 | $1,684,010,226 | $523,094,546 | $665,345,331 | $1,107,136,837 | $541,532,905 | |||||
43,849,516 | 56,752,647 | 31,307,543 | 18,393,235 | 72,442,108 | 21,353,454 | |||||
1,056,882,440 | 1,740,762,873 | 554,402,089 | 683,738,566 | 1,179,578,945 | 562,886,359 | |||||
— | 2,023,028 | — | 1,509,989 | — | — | |||||
— | — | — | — | 683,458 | 1,160,054 | |||||
1,759,856 | — | 1,800,000 | 616,000 | 10,424,714 | 10,865,573 | |||||
— | — | — | 2,618,607 | 18,574,181 | 12,217,638 | |||||
1,346,450 | 605,342 | 377,025 | 2,656,409 | 6,140,835 | 1,180,961 | |||||
— | — | — | — | — | 253,387 | |||||
1,360 | 113,222 | 25,546 | 17,617 | 846 | 424 | |||||
1,126,211 | — | 1,770,056 | 2,325 | 260,851 | 2,861,638 | |||||
227,341 | 234,553 | 340,107 | 58,107 | 534,289 | 529,795 | |||||
286,450 | 318,750 | 193,680 | — | — | — | |||||
61,706 | — | — | — | 2,235,196 | 1,269,989 | |||||
— | — | — | — | 32,138 | 217,080 | |||||
48,302 | 63,517 | 38,195 | 22,676 | 41,081 | 26,952 | |||||
1,061,740,116 | 1,744,121,285 | 558,946,698 | 691,240,296 | 1,218,506,534 | 593,469,850 | |||||
— | — | 286,519 | — | 15,759 | — | |||||
— | — | — | — | 49,192,957 | — | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 1,106,895 | 1,396,912 | |||||
— | — | — | — | 174,055 | 433,692 | |||||
7,181,521 | 11,621,953 | 16,503,541 | 18,029,669 | 8,859,040 | 1,104,610 | |||||
— | — | — | — | 1,430,000 | 302,254 | |||||
609,186 | — | 2,810,394 | — | 9,523,899 | 22,809,513 | |||||
— | — | — | — | 32,857 | — | |||||
122,781 | 412,537 | 120,709 | 2,187 | 68,551 | 8,082 | |||||
— | — | — | 37,958 | 105,757 | 70,023 | |||||
— | — | — | — | 448,548 | — | |||||
510,237 | 894,192 | 393,813 | 65,982 | 737,858 | 358,223 | |||||
62,782 | 163,928 | 44,170 | — | 61,541 | 13,137 | |||||
1,407 | 1,145 | 566 | 2,135 | 1,378 | 377 | |||||
198,272 | 245,590 | 134,186 | 206,566 | 536,052 | 433,348 | |||||
8,686,186 | 13,339,345 | 20,293,898 | 18,344,497 | 72,295,147 | 26,930,171 | |||||
$1,053,053,930 | $1,730,781,940 | $538,652,800 | $672,895,799 | $1,146,211,387 | $566,539,679 | |||||
$1,103,939,830 | $1,023,460,098 | $563,158,643 | $712,030,956 | $1,226,843,339 | $570,373,845 | |||||
(50,885,900) | 707,321,842 | (24,505,843) | (39,135,157) | (80,631,952) (6) | (3,834,166) | |||||
$1,053,053,930 | $1,730,781,940 | $538,652,800 | $672,895,799 | $1,146,211,387 | $566,539,679 | |||||
$ 751,939,316 | $ 919,283,087 | $322,850,870 | $672,895,799 | $ 845,294,674 | $500,039,484 | |||||
47,741,945 | 32,422,747 | 22,935,472 | 69,262,562 | 70,130,884 | 53,050,183 | |||||
$ 15.75 | $ 28.35 | $ 14.08 | $ 9.72 | $ 12.05 | $ 9.43 | |||||
$ 301,114,614 | $ 811,498,853 | $215,801,930 | N/A | $ 300,916,713 | $ 66,500,195 | |||||
19,102,770 | 28,861,175 | 15,412,516 | N/A | 24,946,713 | 7,064,420 | |||||
$ 15.76 | $ 28.12 | $ 14.00 | N/A | $ 12.06 | $ 9.41 | |||||
$ 998,418,364 | $1,129,731,990 | $519,692,382 | $695,188,825 | $1,118,407,280 | $510,807,180 | |||||
43,849,516 | 56,752,647 | 31,307,543 | 18,393,235 | 72,442,108 | 21,353,454 | |||||
$1,042,267,880 | $1,186,484,637 | $550,999,925 | $713,582,060 | $1,190,849,388 | $532,160,634 | |||||
$ 8,052,712 | $ 135,710,430 | $ 56,559,508 | $ 31,001,437 | $ 22,036,899 | $ 6,758,615 | |||||
$ — | $ — | $ — | $ 2,625,497 | $ 18,560,694 | $ 12,235,012 | |||||
$ — | $ — | $ — | $ — | $ 45,830,493 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Defensive Market Strategies® Fund | Equity Index Fund | ||
Investment Income | |||
Dividends | $ 7,381,323 | $ 19,293,515 | |
Income distributions received from affiliated funds | 283,728 | 226,661 | |
Interest | 2,518,585 | 5,302 | |
Securities lending, net | 77,368 | 112,433 | |
Less foreign taxes withheld | (103,870) | (44,796) | |
Total Investment Income | 10,157,134 | 19,593,115 | |
Expenses | |||
Investment advisory fees | 3,638,358 | 881,363 | |
Transfer agent fees: | |||
Institutional shares | 2,422 | 2,683 | |
Investor shares | 15,770 | 19,928 | |
Custodian fees | 42,555 | 21,094 | |
Shareholder servicing fees: | |||
Investor shares | 513,017 | 734,419 | |
Accounting and administration fees | 126,199 | 214,061 | |
Professional fees | 100,531 | 49,610 | |
Shareholder reporting fees: | |||
Institutional shares | 656 | 1,005 | |
Investor shares | 3,850 | 8,142 | |
Trustees expenses | 2,617 | 4,626 | |
Line of credit facility fees | 772 | 1,480 | |
S&P license fees | — | 102,174 | |
Interest expense | — | — | |
Dividends on securities sold short | — | — | |
Other expenses | 74,233 | 78,844 | |
Recoupment of prior expenses reduced by the Advisor | — | — | |
Total Expenses | 4,520,980 | 2,119,429 | |
Fees paid indirectly | — | — | |
Net Expenses | 4,520,980 | 2,119,429 | |
Net Investment Income | 5,636,154 | 17,473,686 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities (net of capital gains taxes of $(30,690) for International Equity Fund) | 13,223,139 | (3,555,911) | |
Investment securities sold short | — | — | |
Futures transactions | 1,148,355 | (2,285,844) | |
Swap agreements | — | — | |
Option contracts written | (28,721,738) | — | |
Forward foreign currency contracts | (268,642) | — | |
Foreign currency | 17,162 | — | |
Net realized gain (loss) | (14,601,724) | (5,841,755) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities (net of estimated capital gains taxes of $(448,548) for International Equity Fund) | (51,913,117) | (77,155,428) | |
Investment securities sold short | — | — | |
Futures | (238,312) | 975,644 | |
Swap agreements | — | — | |
Option contracts written | 1,283,962 | — | |
Forward foreign currency contracts | 235,062 | — | |
Foreign currency | 4,250 | — | |
Net change in unrealized appreciation (depreciation) | (50,628,155) | (76,179,784) | |
Net Realized and Unrealized Gain (Loss) | (65,229,879) | (82,021,539) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $(59,593,725) | $(64,547,853) |
Table of Contents
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$ 14,184,033 | $ 7,229,565 | $ 2,823,637 | $ 10,474,975 | $ 16,834,100 | $ 5,063,679 | |||||
167,413 | 206,900 | 83,389 | 151,696 | 248,224 | 63,753 | |||||
— | 7,826 | 3,442 | 2,085 | — | — | |||||
37,586 | 403,316 | 110,500 | 76,635 | 43,196 | 22,974 | |||||
(445,972) | (126,456) | (5,643) | (690,589) | (1,250,400) | (421,660) | |||||
13,943,060 | 7,721,151 | 3,015,325 | 10,014,802 | 15,875,120 | 4,728,746 | |||||
3,061,578 | 5,198,919 | 2,317,563 | 378,460 | 4,418,417 | 2,075,170 | |||||
2,289 | 2,406 | 2,397 | 1,971 | 2,700 | 2,302 | |||||
10,438 | 16,828 | 10,278 | — | 11,301 | 6,766 | |||||
39,916 | 20,291 | 57,806 | 78,478 | 295,935 | 522,708 | |||||
396,770 | 929,644 | 265,350 | — | 371,704 | 79,666 | |||||
112,755 | 171,916 | 54,510 | 71,547 | 122,092 | 50,761 | |||||
55,389 | 53,446 | 56,699 | 62,070 | 63,340 | 55,398 | |||||
496 | 498 | 596 | — | 700 | 338 | |||||
4,684 | 9,203 | 5,760 | — | 4,871 | 785 | |||||
2,555 | 4,207 | 1,922 | 478 | 2,632 | 1,155 | |||||
721 | 1,449 | 954 | 45 | 625 | 281 | |||||
— | — | — | — | — | — | |||||
293 | — | — | — | — | 6,513 | |||||
— | — | — | — | 673,243 | — | |||||
60,271 | 72,508 | 46,649 | 131,538 | 211,310 | 56,625 | |||||
— | — | — | 14,193 | — | 39,200 | |||||
3,748,155 | 6,481,315 | 2,820,484 | 738,780 | 6,178,870 | 2,897,668 | |||||
(6,331) | (15,912) | (26,593) | — | — | (89) | |||||
3,741,824 | 6,465,403 | 2,793,891 | 738,780 | 6,178,870 | 2,897,579 | |||||
10,201,236 | 1,255,748 | 221,434 | 9,276,022 | 9,696,250 | 1,831,167 | |||||
(50,940,159) | 156,886,272 | (34,124,913) | (6,251,044) | (61,257,723) | (21,841,175) | |||||
— | — | — | — | 5,630,888 | — | |||||
7,407,763 | 3,497,171 | 2,471,451 | (7,394,495) | 1,477,664 | 2,383,505 | |||||
— | — | — | — | 1,723,825 | 524,212 | |||||
— | — | — | — | — | — | |||||
(1,022,505) | — | — | — | (1,966,547) | (224,790) | |||||
19,619 | — | — | 33,544 | (54,033) | (534,725) | |||||
(44,535,282) | 160,383,443 | (31,653,462) | (13,611,995) | (54,445,926) | (19,692,973) | |||||
(150,411,797) | (9,412,205) | (33,127,176) | (73,165,508) | (120,321,661) | (19,567,198) | |||||
— | — | — | — | 3,488,876 | — | |||||
(133,134) | (587,335) | 577,952 | (235,534) | (1,039,556) | (1,013,749) | |||||
— | — | — | — | 65,815 | (1,076,888) | |||||
— | — | — | — | — | — | |||||
550,838 | — | — | — | 1,136,685 | 277,612 | |||||
— | — | — | (17,730) | 41,702 | (50,720) | |||||
(149,994,093) | (9,999,540) | (32,549,224) | (73,418,772) | (116,628,139) | (21,430,943) | |||||
(194,529,375) | 150,383,903 | (64,202,686) | (87,030,767) | (171,074,065) | (41,123,916) | |||||
$(184,328,139) | $151,639,651 | $(63,981,252) | $(77,754,745) | $(161,377,815) | $(39,292,749) |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 5,636,154 | $ 13,769,126 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (14,601,724) | 54,096,958 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (50,628,155) | 133,603,773 | |
Net increase (decrease) in net assets resulting from operations | (59,593,725) | 201,469,857 | |
Distributions to Shareholders: | |||
Institutional shares | (9,296,003) | (44,168,777) | |
Investor shares | (4,070,888) | (24,120,475) | |
Total distributions | (13,366,891) | (68,289,252) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 75,099,370 | 76,644,154 | |
Investor shares | 70,472,605 | 133,164,309 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 9,285,390 | 44,116,263 | |
Investor shares | 3,959,021 | 23,830,888 | |
Total proceeds from shares sold and reinvested | 158,816,386 | 277,755,614 | |
Value of shares redeemed | |||
Institutional shares | (35,793,289) | (56,912,886) | |
Investor shares | (108,043,432) | (103,760,712) | |
Total value of shares redeemed | (143,836,721) | (160,673,598) | |
Net increase (decrease) from capital share transactions(1) | 14,979,665 | 117,082,016 | |
Total increase (decrease) in net assets | (57,980,951) | 250,262,621 | |
Net Assets: | |||
Beginning of Period | 1,262,520,872 | 1,012,258,251 | |
End of Period | $1,204,539,921 | $1,262,520,872 |
(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 | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 17,473,686 | $ 32,898,674 | $ 10,201,236 | $ 19,896,239 | $ 1,255,748 | $ 141,021 | |||||
(5,841,755) | 16,892,045 | (44,535,282) | 128,696,083 | 160,383,443 | 163,335,695 | |||||
(76,179,784) | 458,673,507 | (149,994,093) | 123,681,091 | (9,999,540) | 298,497,744 | |||||
(64,547,853) | 508,464,226 | (184,328,139) | 272,273,413 | 151,639,651 | 461,974,460 | |||||
(16,814,201) | (32,906,901) | (17,764,971) | (91,183,177) | (16,061,402) | (86,626,597) | |||||
(6,209,701) | (12,882,091) | (6,799,021) | (40,942,447) | (13,472,004) | (70,501,782) | |||||
(23,023,902) | (45,788,992) | (24,563,992) | (132,125,624) | (29,533,406) | (157,128,379) | |||||
140,563,187 | 171,099,288 | 76,749,639 | 34,148,825 | 50,748,926 | 68,743,901 | |||||
72,893,363 | 90,260,475 | 16,374,248 | 29,718,622 | 84,224,200 | 70,435,756 | |||||
16,437,535 | 32,447,882 | 17,755,900 | 91,139,115 | 16,055,181 | 86,582,221 | |||||
6,183,292 | 12,851,729 | 6,781,641 | 40,832,597 | 13,445,046 | 70,461,720 | |||||
236,077,377 | 306,659,374 | 117,661,428 | 195,839,159 | 164,473,353 | 296,223,598 | |||||
(104,632,060) | (132,040,161) | (30,650,921) | (91,784,085) | (148,315,021) | (155,258,516) | |||||
(74,501,089) | (100,097,652) | (39,960,060) | (68,010,299) | (105,632,189) | (135,778,291) | |||||
(179,133,149) | (232,137,813) | (70,610,981) | (159,794,384) | (253,947,210) | (291,036,807) | |||||
56,944,228 | 74,521,561 | 47,050,447 | 36,044,775 | (89,473,857) | 5,186,791 | |||||
(30,627,527) | 537,196,795 | (161,841,684) | 176,192,564 | 32,632,388 | 310,032,872 | |||||
2,135,653,928 | 1,598,457,133 | 1,214,895,614 | 1,038,703,050 | 1,698,149,552 | 1,388,116,680 | |||||
$2,105,026,401 | $2,135,653,928 | $1,053,053,930 | $1,214,895,614 | $1,730,781,940 | $1,698,149,552 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Small Cap Equity Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 221,434 | $ 447,076 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (31,653,462) | 26,632,218 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (32,549,224) | 95,496,405 | |
Net increase (decrease) in net assets resulting from operations | (63,981,252) | 122,575,699 | |
Distributions to Shareholders: | |||
Institutional shares | — | (12,633,420) | |
Investor shares | — | (9,433,184) | |
Total distributions | — | (22,066,604) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 39,646,889 | 42,279,164 | |
Investor shares | 12,560,938 | 27,788,978 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 12,609,876 | |
Investor shares | — | 9,422,258 | |
Total proceeds from shares sold and reinvested | 52,207,827 | 92,100,276 | |
Value of shares redeemed | |||
Institutional shares | (18,780,610) | (26,618,910) | |
Investor shares | (27,250,970) | (57,230,474) | |
Total value of shares redeemed | (46,031,580) | (83,849,384) | |
Net increase (decrease) from capital share transactions(1) | 6,176,247 | 8,250,892 | |
Total increase (decrease) in net assets | (57,805,005) | 108,759,987 | |
Net Assets: | |||
Beginning of Period | 596,457,805 | 487,697,818 | |
End of Period | $538,652,800 | $596,457,805 |
(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 | |||||
06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | 06/30/20 | 12/31/19 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 9,276,022 | $ 19,347,299 | $ 9,696,250 | $ 27,314,506 | $ 1,831,167 | $ 8,850,162 | |||||
(13,611,995) | 1,316,780 | (54,445,926) | 40,301,646 | (19,692,973) | 1,991,770 | |||||
(73,418,772) | 100,183,811 | (116,628,139) | 185,919,521 | (21,430,943) | 77,153,785 | |||||
(77,754,745) | 120,847,890 | (161,377,815) | 253,535,673 | (39,292,749) | 87,995,717 | |||||
— | (20,799,847) | — | (47,643,999) | — | (11,628,885) | |||||
— | — | — | (16,556,051) | — | (1,621,711) | |||||
— | (20,799,847) | — | (64,200,050) | — | (13,250,596) | |||||
98,744,296 | 76,342,779 | 64,654,481 | 60,770,646 | 86,045,807 | 42,650,660 | |||||
— | — | 34,919,106 | 49,956,440 | 12,702,179 | 20,347,806 | |||||
— | 20,640,274 | — | 47,413,821 | — | 11,623,106 | |||||
— | — | 414 | 16,496,111 | — | 1,620,358 | |||||
98,744,296 | 96,983,053 | 99,574,001 | 174,637,018 | 98,747,986 | 76,241,930 | |||||
(61,957,711) | (28,593,664) | (63,364,214) | (80,087,916) | (9,808,350) | (21,076,236) | |||||
— | — | (42,790,323) | (50,451,367) | (16,046,823) | (22,140,113) | |||||
(61,957,711) | (28,593,664) | (106,154,537) | (130,539,283) | (25,855,173) | (43,216,349) | |||||
36,786,585 | 68,389,389 | (6,580,536) | 44,097,735 | 72,892,813 | 33,025,581 | |||||
(40,968,160) | 168,437,432 | (167,958,351) | 233,433,358 | 33,600,064 | 107,770,702 | |||||
713,863,959 | 545,426,527 | 1,314,169,738 | 1,080,736,380 | 532,939,615 | 425,168,913 | |||||
$672,895,799 | $713,863,959 | $1,146,211,387 | $1,314,169,738 | $566,539,679 | $532,939,615 |
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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Defensive Market Strategies® Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.27 | $0.06 | $(0.62) | $(0.56) | $(0.09) | $(0.06) | $(0.15) | $12.56 | (4.25)% | $ 809,945 | 0.67% | 0.67% | 1.04% | 47% |
2019 | 11.73 | 0.17 | 2.13 | 2.30 | (0.17) | (0.59) | (0.76) | 13.27 | 19.78 | 803,696 | 0.67 | 0.67 | 1.29 | 55 |
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(2) | 0.68 | 0.70 | 60 |
2016 | 11.21 | 0.17 | 1.15(3) | 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(3) | 0.28 | (0.17) | (0.51) | (0.68) | 11.21 | 2.43 | 443,499 | 0.72(2) | 0.73 | 1.46 | 55 |
Investor Class | ||||||||||||||
2020(1) | $13.27 | $0.05 | $(0.63) | $(0.58) | $(0.07) | $(0.06) | $(0.13) | $12.56 | (4.37)% | $ 394,595 | 0.94% | 0.94% | 0.78% | 47% |
2019 | 11.74 | 0.13 | 2.13 | 2.26 | (0.14) | (0.59) | (0.73) | 13.27 | 19.38 | 458,825 | 0.93 | 0.93 | 1.02 | 55 |
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(2) | 0.96 | 0.43 | 60 |
2016 | 11.22 | 0.14 | 1.15(3) | 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(3) | 0.25 | (0.12) | (0.51) | (0.63) | 11.22 | 2.16 | 167,117 | 0.99(2) | 1.00 | 1.12 | 55 |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $35.45 | $0.30 | $(1.36) | $(1.06) | $(0.29) | $(0.10) | $(0.39) | $34.00 | (2.99)% | $1,494,352 | 0.13% | 0.13% | 1.81% | —%(4) |
2019 | 27.56 | 0.59 | 8.11 | 8.70 | (0.58) | (0.23) | (0.81) | 35.45 | 31.68 | 1,501,076 | 0.13 | 0.13 | 1.82 | 2 |
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(3) | 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)(3) | 0.22 | (0.61) | (0.79) | (1.40) | 22.81 | 0.92 | 276,599 | 0.17 | 0.18 | 1.94 | 6 |
Investor Class | ||||||||||||||
2020(1) | $35.47 | $0.26 | $(1.36) | $(1.10) | $(0.25) | $(0.10) | $(0.35) | $34.02 | (3.10)% | $ 610,674 | 0.41% | 0.41% | 1.55% | —%(4) |
2019 | 27.58 | 0.50 | 8.11 | 8.61 | (0.49) | (0.23) | (0.72) | 35.47 | 31.33 | 634,578 | 0.39 | 0.39 | 1.56 | 2 |
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(3) | 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)(3) | 0.16 | (0.18) | (0.30) | (0.48) | 22.58 | 0.70 | 332,005 | 0.41 | 0.44 | 1.62 | 6 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Defensive Market Strategies Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015 and 2017. |
(3) | 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. |
(4) | 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 | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Value Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $19.02 | $ 0.16 | $(3.04) | $(2.88) | $(0.15) | $(0.24) | $(0.39) | $15.75 | (15.19)% | $ 751,939 | 0.63%(2) | 0.63% | 2.00% | 112% |
2019 | 16.79 | 0.35 | 4.16 | 4.51 | (0.34) | (1.94) | (2.28) | 19.02 | 27.14 | 831,854 | 0.62(2) | 0.62 | 1.81 | 92 |
2018 | 22.76 | 0.39 | (2.75) | (2.36) | (0.40) | (3.21) | (3.61) | 16.79 | (10.97) | 703,135 | 0.56(2) | 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(2) | 0.58 | 1.78 | 38 |
2016 | 19.75 | 0.41 | 2.30(3) | 2.71 | (0.46) | (0.82) | (1.28) | 21.18 | 14.11 | 920,433 | 0.59(2) | 0.60 | 2.05 | 36 |
2015 | 23.56 | 0.39 | (1.20)(3) | (0.81) | (0.44) | (2.56) | (3.00) | 19.75 | (3.44) | 917,208 | 0.61(2) | 0.62 | 1.73 | 32 |
Investor Class | ||||||||||||||
2020(1) | $19.04 | $ 0.14 | $(3.06) | $(2.92) | $(0.12) | $(0.24) | $(0.36) | $15.76 | (15.34)% | $ 301,115 | 0.89%(2) | 0.89% | 1.74% | 112% |
2019 | 16.81 | 0.30 | 4.16 | 4.46 | (0.29) | (1.94) | (2.23) | 19.04 | 26.80 | 383,041 | 0.89(2) | 0.89 | 1.55 | 92 |
2018 | 22.78 | 0.34 | (2.75) | (2.41) | (0.35) | (3.21) | (3.56) | 16.81 | (11.19) | 335,568 | 0.83(2) | 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(2) | 0.84 | 1.52 | 38 |
2016 | 19.46 | 0.35 | 2.33(3) | 2.68 | (0.26) | (0.68) | (0.94) | 21.20 | 13.84 | 370,589 | 0.86(2) | 0.87 | 1.78 | 36 |
2015 | 21.31 | 0.27 | (1.06)(3) | (0.79) | (0.08) | (0.98) | (1.06) | 19.46 | (3.70) | 324,440 | 0.89(2) | 0.89 | 1.26 | 32 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $26.23 | $ 0.04 | $ 2.59 | $ 2.63 | $(0.05) | $(0.46) | $(0.51) | $28.35 | 10.01% | $ 919,283 | 0.68%(4) | 0.68% | 0.27% | 39% |
2019 | 21.47 | 0.03 | 7.36 | 7.39 | (0.03) | (2.60) | (2.63) | 26.23 | 34.79 | 934,297 | 0.71(4) | 0.71 | 0.13 | 21 |
2018 | 25.18 | 0.05 | 0.41 | 0.46 | (0.01) | (4.16) | (4.17) | 21.47 | 1.22 | 765,738 | 0.70(4) | 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(4) | 0.73 | 0.12 | 41 |
2016 | 22.25 | —† | (0.22)(3) | (0.22) | — | (0.95) | (0.95) | 21.08 | (0.98) | 890,530 | 0.75(4) | 0.76 | 0.01 | 24 |
2015 | 25.80 | 0.02 | 1.38(3) | 1.40 | — | (4.95) | (4.95) | 22.25 | 5.67 | 932,232 | 0.77(4) | 0.78 | 0.09 | 79 |
Investor Class | ||||||||||||||
2020(1) | $26.02 | $ —† | $ 2.58 | $ 2.58 | $(0.02) | $(0.46) | $(0.48) | $28.12 | 9.90% | $ 811,499 | 0.94%(4) | 0.94% | 0.02% | 39% |
2019 | 21.35 | (0.03) | 7.30 | 7.27 | — | (2.60) | (2.60) | 26.02 | 34.42 | 763,853 | 0.96(4) | 0.96 | (0.13) | 21 |
2018 | 25.11 | (0.02) | 0.42 | 0.40 | — | (4.16) | (4.16) | 21.35 | 0.99 | 622,379 | 0.96(4) | 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(4) | 0.99 | (0.14) | 41 |
2016 | 22.02 | (0.05) | (0.24)(3) | (0.29) | — | (0.66) | (0.66) | 21.07 | (1.30) | 424,210 | 1.01(4) | 1.02 | (0.26) | 24 |
2015 | 22.92 | (0.05) | 1.27(3) | 1.22 | — | (2.12) | (2.12) | 22.02 | 5.44 | 483,385 | 1.04(4) | 1.06 | (0.21) | 79 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
(3) | 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. |
(4) | The ratio for the Growth Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016, 2017, 2018, 2019 and for the six months ended June 30, 2020. |
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 | Expenses, Gross | Investment Income/ (Loss), Net | Portfolio Turnover Rate | |
Small Cap Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $15.72 | $ 0.01 | $(1.65) | $(1.64) | $ — | $ — | $ — | $14.08 | (10.43)% | $322,851 | 0.98%(2) | 0.99% | 0.20% | 63% |
2019 | 13.04 | 0.03 | 3.26 | 3.29 | (0.02) | (0.59) | (0.61) | 15.72 | 25.29 | 338,440 | 1.00(2) | 1.01 | 0.20 | 84 |
2018 | 18.36 | 0.04 | (2.13)(3) | (2.09) | — | (3.23)(4) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(2) | 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(2) | 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(2) | 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(2) | 1.03 | 0.45 | 74 |
Investor Class | ||||||||||||||
2020(1) | $15.66 | $(0.01) | $(1.65) | $(1.66) | $ — | $ — | $ — | $14.00 | (10.60)% | $215,802 | 1.25%(2) | 1.26% | (0.08)% | 63% |
2019 | 13.01 | (0.01) | 3.25 | 3.24 | — | (0.59) | (0.59) | 15.66 | 24.97 | 258,018 | 1.26(2) | 1.27 | (0.06) | 84 |
2018 | 18.37 | (0.01) | (2.12)(3) | (2.13) | — | (3.23)(4) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(2) | 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(2) | 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(2) | 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(2) | 1.27 | 0.13 | 74 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.87 | $ 0.13 | $(1.28) | $(1.15) | $ — | $ — | $ — | $ 9.72 | (10.58)% | $672,896 | 0.22% | 0.22% | 2.76% | 7% |
2019 | 9.24 | 0.31 | 1.65 | 1.96 | (0.33) | — | (0.33) | 10.87 | 21.21 | 713,864 | 0.22 | 0.23 | 3.05 | 5 |
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) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the Small Cap Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.02%, 0.01%, 0.01%, and 0.01% for the years 2015, 2016, 2017, and 2019. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for Institutional and Investor Class, respectively. For the six months ended June 30, 2020, the effect of fees paid indirectly decreased the ratio by 0.01%. |
(3) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $(8.59) and $(8.58) for the Institutional and Investor Class, respectively. |
(4) | The amount previously reported in the Funds’ 2018 Annual Report has been revised due to a misstatement. The misstatement was not considered material to the prior period Annual Report. In the Funds’ 2018 Annual Report, the Small Cap Equity Fund reported amounts of $3.23 for both the Institutional and Investor Class. |
(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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
International Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $13.78 | $0.10 | $(1.83) | $(1.73) | $ — | $ — | $ — | $12.05 | (12.55)% | $ 845,294 | 1.01%(2) | 1.01%(2) | 1.76% | 45% |
2019 | 11.74 | 0.31(3) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(3) | 54 |
2018 | 15.72 | 0.32 | (2.65) | (2.33) | (0.32) | (1.33) | (1.65) | 11.74 | (14.90) | 795,484 | 1.07(2) | 1.08(2) | 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(2)(4) | 0.93(2) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(5) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(4) | 1.01(2) | 2.09 | 33 |
2015 | 14.25 | 0.22 | (0.50)(5) | (0.28) | (0.26) | (0.57) | (0.83) | 13.14 | (1.93) | 1,030,729 | 1.03(2)(4) | 1.05(2) | 1.49 | 43 |
Investor Class | ||||||||||||||
2020(1) | $13.81 | $0.09 | $(1.84) | $(1.75) | $ — | $ — | $ — | $12.06 | (12.67)% | $ 300,917 | 1.27%(2) | 1.27%(2) | 1.49% | 45% |
2019 | 11.77 | 0.27(3) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(3) | 54 |
2018 | 15.74 | 0.27 | (2.63) | (2.36) | (0.28) | (1.33) | (1.61) | 11.77 | (15.06) | 285,252 | 1.33(2) | 1.35(2) | 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(2)(4) | 1.19(2) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(5) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(4) | 1.28(2) | 1.81 | 33 |
2015 | 14.03 | 0.24 | (0.55)(5) | (0.31) | (0.12) | (0.42) | (0.54) | 13.18 | (2.16) | 245,976 | 1.35(2)(4) | 1.39(2) | 1.68 | 43 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.19 | $0.04 | $(0.80) | $(0.76) | $ — | $ — | $ — | $ 9.43 | (7.46)% | $ 500,040 | 1.16%(6) | 1.16% | 0.83% | 38% |
2019 | 8.71 | 0.18(7) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(6) | 1.19 | 1.92(7) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(6) | 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(6) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(5) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(6) | 1.48 | 0.98 | 54 |
2015 | 9.09 | 0.11 | (1.83)(5) | (1.72) | (0.03) | — | (0.03) | 7.34 | (18.93) | 272,123 | 1.28(6) | 1.50 | 1.36 | 39 |
Investor Class | ||||||||||||||
2020(1) | $10.20 | $0.02 | $(0.81) | $(0.79) | $ — | $ — | $ — | $ 9.41 | (7.75)% | $ 66,500 | 1.57%(6) | 1.45% | 0.38% | 38% |
2019 | 8.72 | 0.14(7) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(6) | 1.57 | 1.48(7) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(6) | 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(6) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(5) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(6) | 1.87 | 0.73 | 54 |
2015 | 9.09 | 0.05 | (1.79)(5) | (1.74) | — | — | — | 7.35 | (19.14) | 25,659 | 1.51(6) | 1.83 | 0.58 | 39 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | The ratio for the International Equity Fund includes the effect of dividend expense on securities sold short which increased the ratio by 0.17%, 0.14% and 0.08% for the years 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 year ended December 31, 2019, the effect of dividend expense on securities sold short increased the ratio by 0.19%. For the six months ended June 30, 2020, the effect of dividend expense on securities sold short increased the ratio by 0.12%. |
(3) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 and 0.09% for the Institutional Class and $0.01 and 0.09% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
(4) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2015, 2016 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 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, 2019 and for the six months ended June 30, 2020. |
(7) | Net investment income per share and the ratio of net investment income to average net assets include $0.06 and 0.68% for the Institutional Class and $0.06 and 0.62% for the Investor Class, respectively, resulting from a special dividend from Naspers Ltd. in September 2019. |
Table of Contents
Shares | Value | |||
COMMON STOCKS — 53.8% | ||||
Consumer Discretionary — 0.3% | ||||
Hyatt Hotels Corporation Class A | 11,769 | $ 591,863 | ||
Real Estate — 53.5% | ||||
Agree Realty Corporation REIT | 46,467 | 3,053,347 | ||
Alexandria Real Estate Equities, Inc. REIT | 27,526 | 4,466,093 | ||
American Assets Trust, Inc. REIT | 28,683 | 798,535 | ||
American Campus Communities, Inc. REIT | 20,297 | 709,583 | ||
American Homes 4 Rent Class A REIT | 52,415 | 1,409,964 | ||
American Tower Corporation REIT | 9,865 | 2,550,497 | ||
Apartment Investment and Management Co. Class A REIT | 30,160 | 1,135,222 | ||
Apple Hospitality REIT, Inc. | 117,366 | 1,133,756 | ||
Boston Properties, Inc. REIT | 16,169 | 1,461,354 | ||
Brixmor Property Group, Inc. REIT | 33,866 | 434,162 | ||
Cousins Properties, Inc. REIT | 74,698 | 2,228,241 | ||
CyrusOne, Inc. REITΔ | 36,664 | 2,667,306 | ||
DiamondRock Hospitality Co. REIT | 145,792 | 806,230 | ||
Digital Realty Trust, Inc. REITΔ | 19,286 | 2,740,733 | ||
Duke Realty Corporation REIT | 56,917 | 2,014,293 | ||
EastGroup Properties, Inc. REIT | 20,990 | 2,489,624 | ||
Equinix, Inc. REIT | 3,036 | 2,132,183 | ||
Equity LifeStyle Properties, Inc. REIT | 64,051 | 4,001,906 | ||
Equity Residential REIT | 17,940 | 1,055,231 | ||
Essential Properties Realty Trust, Inc. REIT | 173,285 | 2,571,549 | ||
Essex Property Trust, Inc. REIT | 10,925 | 2,503,682 | ||
Extra Space Storage, Inc. REIT | 33,563 | 3,100,214 | ||
First Industrial Realty Trust, Inc. REIT | 31,130 | 1,196,637 | ||
Healthcare Trust of America, Inc. Class A REITΔ | 38,139 | 1,011,446 | ||
Healthpeak Properties, Inc. REIT | 72,969 | 2,011,026 | ||
Highwoods Properties, Inc. REIT | 95,056 | 3,548,440 | ||
Hudson Pacific Properties, Inc. REIT | 25,517 | 642,008 | ||
Invitation Homes, Inc. REIT | 194,435 | 5,352,796 | ||
Kimco Realty Corporation REIT | 177,390 | 2,277,688 | ||
Life Storage, Inc. REIT | 33,259 | 3,157,942 | ||
Medical Properties Trust, Inc. REIT | 53,199 | 1,000,141 | ||
Mid-America Apartment Communities, Inc. REIT | 44,944 | 5,153,728 | ||
New Senior Investment Group, Inc. REIT | 46,606 | 168,714 | ||
Omega Healthcare Investors, Inc. REIT | 70,719 | 2,102,476 | ||
Pebblebrook Hotel Trust REIT | 27,563 | 376,511 | ||
Physicians Realty Trust REIT | 63,162 | 1,106,598 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 49,775 | 826,763 | ||
Prologis, Inc. REIT | 130,319 | 12,162,672 | ||
QTS Realty Trust, Inc. Class A REIT | 10,000 | 640,900 | ||
Realty Income Corporation REIT | 76,433 | 4,547,763 | ||
Regency Centers Corporation REIT | 48,471 | 2,224,334 | ||
Rexford Industrial Realty, Inc. REIT | 49,625 | 2,055,964 | ||
Sabra Health Care REIT, Inc. | 69,442 | 1,002,048 | ||
SBA Communications Corporation REIT | 8,109 | 2,415,833 |
Shares | Value | |||
Simon Property Group, Inc. REIT | 32,955 | $ 2,253,463 | ||
SITE Centers Corporation REIT | 47,810 | 387,261 | ||
STORE Capital Corporation REIT | 18,170 | 432,628 | ||
Summit Hotel Properties, Inc. REIT | 99,248 | 588,541 | ||
Sun Communities, Inc. REIT | 15,795 | 2,143,066 | ||
Sunstone Hotel Investors, Inc. REIT | 72,548 | 591,266 | ||
UDR, Inc. REIT | 103,004 | 3,850,290 | ||
Weingarten Realty Investors REIT | 46,442 | 879,147 | ||
Welltower, Inc. REIT | 136,475 | 7,062,581 | ||
118,634,376 | ||||
Total Common Stocks (Cost $120,182,452) | 119,226,239 | |||
FOREIGN COMMON STOCKS — 43.0% | ||||
Australia — 3.3% | ||||
Dexus REIT | 117,006 | 750,982 | ||
Goodman Group REIT | 40,006 | 412,791 | ||
GPT Group (The) REIT (Athens Exchange) | 522,023 | 1,516,537 | ||
Growthpoint Properties Australia, Ltd. REIT | 172,777 | 384,287 | ||
Ingenia Communities Group REIT | 102,483 | 320,364 | ||
Mirvac Group REIT | 1,097,732 | 1,658,238 | ||
Scentre Group REIT | 502,991 | 763,612 | ||
Shopping Centres Australasia Property Group REIT | 306,360 | 461,869 | ||
Stockland REIT | 340,125 | 788,683 | ||
Waypoint REIT | 147,895 | 267,104 | ||
7,324,467 | ||||
Austria — 0.2% | ||||
CA Immobilien Anlagen AGΔ* | 10,820 | 361,761 | ||
Belgium — 1.2% | ||||
Aedifica SA REIT | 9,508 | 1,041,220 | ||
VGP NV | 2,489 | 318,448 | ||
Warehouses De Pauw CVA REIT | 33,218 | 912,600 | ||
Xior Student Housing NV REIT | 8,750 | 470,314 | ||
2,742,582 | ||||
Canada — 2.8% | ||||
Canadian Apartment Properties REIT | 35,401 | 1,267,041 | ||
Dream Office REIT | 44,183 | 667,822 | ||
Granite REIT | 26,150 | 1,349,491 | ||
InterRent REIT | 77,161 | 814,464 | ||
Minto Apartment REIT | 45,210 | 662,698 | ||
RioCan REIT | 81,784 | 925,311 | ||
Summit Industrial Income REIT | 68,790 | 580,175 | ||
6,267,002 | ||||
France — 1.2% | ||||
Covivio REIT | 4,622 | 335,251 | ||
Gecina SA REIT | 15,890 | 1,962,529 | ||
Klepierre REIT | 12,494 | 249,740 | ||
2,547,520 | ||||
Germany — 5.3% | ||||
alstria office REIT-AG* | 43,832 | 652,361 | ||
Aroundtown SA* | 129,895 | 744,534 | ||
Deutsche Wohnen SE | 83,323 | 3,744,171 | ||
TAG Immobilien AG* | 20,670 | 493,682 |
Table of Contents
Shares | Value | |||
Vonovia SE | 100,233 | $ 6,126,549 | ||
11,761,297 | ||||
Hong Kong — 5.5% | ||||
CK Asset Holdings, Ltd. | 178,174 | 1,068,473 | ||
ESR Cayman, Ltd. 144A* | 87,800 | 208,467 | ||
Hysan Development Co., Ltd. | 156,486 | 505,174 | ||
Link REIT | 351,518 | 2,886,021 | ||
New World Development Co., Ltd. | 638,217 | 3,030,306 | ||
Sun Hung Kai Properties, Ltd. | 172,467 | 2,204,100 | ||
Swire Properties, Ltd. | 766,671 | 1,957,441 | ||
Wharf Holdings, Ltd. (The)Δ | 149,979 | 306,883 | ||
12,166,865 | ||||
Japan — 10.8% | ||||
Activia Properties, Inc. REIT | 432 | 1,496,934 | ||
Daibiru Corporation | 70,200 | 643,287 | ||
Daiwa House REIT Investment Corporation | 202 | 475,226 | ||
Daiwa Securities Living Investments Corporation REIT | 1,296 | 1,206,995 | ||
Global One Real Estate Investment Corporation REIT | 1,268 | 1,176,974 | ||
GLP J-REIT | 609 | 880,036 | ||
Hulic Reit, Inc. | 1,124 | 1,397,088 | ||
Japan Real Estate Investment Corporation REITΔ | 185 | 949,441 | ||
Japan Retail Fund Investment Corporation REIT | 383 | 479,048 | ||
Kenedix Office Investment Corporation REIT | 70 | 391,133 | ||
Kenedix Residential Next Investment Corporation REIT | 307 | 530,506 | ||
Kenedix Retail REIT Corporation | 685 | 1,282,528 | ||
Mitsubishi Estate Co., Ltd. | 241,309 | 3,595,943 | ||
Mitsubishi Estate Logistics REIT Investment Corporation | 75 | 275,929 | ||
Mitsui Fudosan Co., Ltd. | 129,727 | 2,304,565 | ||
Mori Hills Investment Corporation REIT | 366 | 461,037 | ||
Mori Trust Hotel Reit, Inc. | 778 | 709,830 | ||
Mori Trust Sogo REIT, Inc. | 613 | 756,154 | ||
Nomura Real Estate Master Fund, Inc. REIT | 743 | 889,889 | ||
Orix JREIT, Inc.Δ | 420 | 553,616 | ||
Sumitomo Realty & Development Co., Ltd. | 98,589 | 2,721,321 | ||
United Urban Investment Corporation REIT | 422 | 454,515 | ||
XYMAX REIT Investment Corporation | 356 | 300,866 | ||
23,932,861 | ||||
Netherlands — 0.9% | ||||
Unibail-Rodamco-Westfield REITΔ | 35,785 | 2,017,087 | ||
Singapore — 3.5% | ||||
Ascendas India Trust | 218,600 | 211,973 | ||
Ascendas REIT | 285,522 | 655,105 |
Shares | Value | |||
CapitaLand Mall Trust REIT | 794,900 | $ 1,127,908 | ||
CapitaLand, Ltd.* | 666,500 | 1,408,078 | ||
City Developments, Ltd. | 93,226 | 569,711 | ||
Frasers Centrepoint Trust REITΔ | 195,417 | 327,458 | ||
Keppel DC REIT | 292,899 | 536,394 | ||
Mapletree Industrial Trust REIT | 1,275,070 | 2,652,428 | ||
Mapletree Logistics Trust REIT | 143,400 | 201,320 | ||
7,690,375 | ||||
Spain — 0.7% | ||||
Arima Real Estate SOCIMI SA REIT* | 45,187 | 446,755 | ||
Inmobiliaria Colonial Socimi SA REIT | 122,538 | 1,083,472 | ||
1,530,227 | ||||
Sweden — 2.3% | ||||
Castellum AB | 53,426 | 1,001,093 | ||
Fabege AB | 152,679 | 1,795,595 | ||
Fastighets AB Balder, B Shares* | 35,954 | 1,375,643 | ||
Nyfosa AB* | 51,266 | 351,851 | ||
Pandox AB* | 54,452 | 632,054 | ||
5,156,236 | ||||
Switzerland — 0.3% | ||||
PSP Swiss Property AG | 6,189 | 697,103 | ||
United Kingdom — 5.0% | ||||
Assura PLC REIT | 661,517 | 641,913 | ||
Big Yellow Group PLC REIT | 46,262 | 575,843 | ||
British Land Co. PLC (The) REIT | 160,072 | 765,699 | ||
Derwent London PLC REIT | 34,911 | 1,200,897 | ||
Grainger PLC | 228,030 | 809,147 | ||
Great Portland Estates PLC REIT | 71,404 | 559,403 | ||
Helical PLC | 129,365 | 498,164 | ||
Primary Health Properties PLC REIT | 157,815 | 305,839 | ||
PRS REIT PLC (The) | 417,645 | 385,232 | ||
Safestore Holdings PLC REIT | 34,375 | 309,842 | ||
Segro PLC REIT | 225,240 | 2,491,150 | ||
Supermarket Income REIT PLC | 103,458 | 142,617 | ||
Tritax Big Box REIT PLC | 93,768 | 168,458 | ||
Tritax EuroBox PLC 144A | 225,362 | 269,756 | ||
UNITE Group PLC (The) REIT | 134,630 | 1,567,698 | ||
Urban & Civic PLC | 99,401 | 286,981 | ||
10,978,639 | ||||
Total Foreign Common Stocks (Cost $100,210,460) | 95,174,022 |
Table of Contents
Shares | Value | |||
MONEY MARKET FUNDS — 3.0% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø∞ (Cost $6,656,766) | 6,656,766 | $ 6,656,766 | ||
TOTAL INVESTMENTS — 99.8% (Cost $227,049,678) | 221,057,027 | |||
Other Assets in Excess of Liabilities — 0.2% | 508,212 | |||
NET ASSETS — 100.0% | $221,565,239 |
% | |
Real Estate | 96.2 |
Money Market Funds | 3.0 |
Consumer Discretionary | 0.6 |
99.8 |
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 | 09/2020 | 12 | $2,134,920 | $30,857 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $119,226,239 | $119,226,239 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Canada | 6,267,002 | 6,267,002 | — | — | |||
Hong Kong | 12,166,865 | 3,030,306 | 9,136,559 | — | |||
Spain | 1,530,227 | 446,755 | 1,083,472 | — | |||
United Kingdom | 10,978,639 | 429,598 | 10,549,041 | — | |||
Other ^^ | 64,231,289 | — | 64,231,289 | — | |||
Total Foreign Common Stocks | 95,174,022 | 10,173,661 | 85,000,361 | — | |||
Money Market Funds | 6,656,766 | 6,656,766 | — | — | |||
Total Assets - Investments in Securities | $221,057,027 | $136,056,666 | $85,000,361 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 30,857 | $ 30,857 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 30,857 | $ 30,857 | $ — | $ — |
^^ | 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, 2020 (Unaudited) |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $214,400,261 |
Investments in securities of affiliated issuers, at value | 6,656,766 |
Total investments, at value(1), (2) | 221,057,027 |
Cash | 190,514 |
Foreign currency(3) | 320,896 |
Receivables: | |
Dividends and reclaims | 928,578 |
Securities lending | 1,358 |
Investment securities sold | 563,090 |
Fund shares sold | 86,905 |
Variation margin on futures contracts | 27,840 |
Prepaid expenses and other assets | 44,142 |
Total Assets | 223,220,350 |
Liabilities | |
Payables: | |
Investment securities purchased | 1,363,527 |
Fund shares redeemed | 22,058 |
Accrued expenses: | |
Investment advisory fees | 125,899 |
Shareholder servicing fees | 17,262 |
Trustee fees | 450 |
Other expenses | 125,915 |
Total Liabilities | 1,655,111 |
Net Assets | $221,565,239 |
Net Assets Consist of: | |
Paid-in-capital | $259,684,930 |
Distributable earnings (loss) | (38,119,691) |
Net Assets | $221,565,239 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $139,082,990 |
Institutional shares outstanding | 16,811,544 |
Net asset value, offering and redemption price per Institutional share | $ 8.27 |
Net assets applicable to the Investor Class | $ 82,482,249 |
Investor shares outstanding | 9,930,249 |
Net asset value, offering and redemption price per Investor share | $ 8.31 |
(1)Investments in securities of unaffiliated issuers, at cost | $220,392,912 |
Investments in securities of affiliated issuers, at cost | 6,656,766 |
Total investments, at cost | $227,049,678 |
(2)Includes securities loaned of: | $ 10,480,026 |
(3)Foreign currency, at cost | $ 320,922 |
Table of Contents
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 3,616,696 |
Income distributions received from affiliated funds | 29,395 |
Interest | 197 |
Securities lending, net | 11,476 |
Less foreign taxes withheld | (97,516) |
Total Investment Income | 3,560,248 |
Expenses | |
Investment advisory fees | 778,128 |
Transfer agent fees: | |
Institutional shares | 2,234 |
Investor shares | 8,387 |
Custodian fees | 81,921 |
Shareholder servicing fees: | |
Investor shares | 111,136 |
Accounting and administration fees | 24,412 |
Professional fees | 49,667 |
Shareholder reporting fees: | |
Institutional shares | 532 |
Investor shares | 1,486 |
Trustees expenses | 903 |
Line of credit facility fees | 470 |
Other expenses | 36,061 |
Total Expenses | 1,095,337 |
Fees paid indirectly | (7,979) |
Net Expenses | 1,087,358 |
Net Investment Income | 2,472,890 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (20,761,432) |
Futures transactions | 733,502 |
Foreign currency | 8,719 |
Net realized loss | (20,019,211) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (28,204,992) |
Futures | (65,723) |
Foreign currency | (4,308) |
Net change in unrealized appreciation (depreciation) | (28,275,023) |
Net Realized and Unrealized Loss | (48,294,234) |
Net Decrease in Net Assets Resulting from Operations | $(45,821,344) |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 2,472,890 | $ 4,994,544 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (20,019,211) | 16,506,863 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (28,275,023) | 31,091,570 | |
Net increase (decrease) in net assets resulting from operations | (45,821,344) | 52,592,977 | |
Distributions to Shareholders: | |||
Institutional shares | (3,050,974) | (11,663,016) | |
Investor shares | (1,693,815) | (7,460,096) | |
Total distributions | (4,744,789) | (19,123,112) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 13,090,130 | 21,320,503 | |
Investor shares | 11,853,041 | 30,357,678 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 3,031,486 | 11,610,021 | |
Investor shares | 1,682,591 | 7,408,256 | |
Total proceeds from shares sold and reinvested | 29,657,248 | 70,696,458 | |
Value of shares redeemed | |||
Institutional shares | (6,151,222) | (26,971,710) | |
Investor shares | (15,210,150) | (28,833,472) | |
Total value of shares redeemed | (21,361,372) | (55,805,182) | |
Net increase from capital share transactions(1) | 8,295,876 | 14,891,276 | |
Total increase (decrease) in net assets | (42,270,257) | 48,361,141 | |
Net Assets: | |||
Beginning of Period | 263,835,496 | 215,474,355 | |
End of Period | $221,565,239 | $263,835,496 |
(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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Global Real Estate Securities Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.21 | $0.10 | $(1.85) | $(1.75) | $(0.12) | $(0.07) | $(0.19) | $ 8.27 | (17.21)% | $139,083 | 0.84%(2) | 0.85% | 2.27% | 90% |
2019 | 8.83 | 0.22 | 1.95 | 2.17 | (0.61) | (0.18) | (0.79) | 10.21 | 24.87 | 159,523 | 0.82(2) | 0.83 | 2.13 | 118 |
2018 | 9.69 | 0.21 | (0.65) | (0.44) | (0.42) | — | (0.42) | 8.83 | (4.70) | 133,341 | 0.86(2) | 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(2) | 0.88 | 2.86 | 138 |
2016 | 9.46 | 0.20 | 0.18(3) | 0.38 | (0.50) | (0.24) | (0.74) | 9.10 | 4.07 | 123,574 | 0.88(2) | 0.90 | 2.07 | 130 |
2015(4) | 10.50 | 0.12 | (0.33) | (0.21) | (0.27) | (0.56) | (0.83) | 9.46 | (1.89) | 159,196 | 0.93(2) | 0.94 | 1.83 | 137 |
Investor Class | ||||||||||||||
2020(1) | $10.25 | $0.09 | $(1.86) | $(1.77) | $(0.10) | $(0.07) | $(0.17) | $ 8.31 | (17.25)% | $ 82,482 | 1.11%(2) | 1.12% | 1.97% | 90% |
2019 | 8.87 | 0.19 | 1.95 | 2.14 | (0.58) | (0.18) | (0.76) | 10.25 | 24.42 | 104,312 | 1.09(2) | 1.10 | 1.87 | 118 |
2018 | 9.72 | 0.19 | (0.65) | (0.46) | (0.39) | — | (0.39) | 8.87 | (4.86) | 82,133 | 1.14(2) | 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(2) | 1.13 | 2.56 | 138 |
2016 | 9.49 | 0.16 | 0.19(3) | 0.35 | (0.47) | (0.24) | (0.71) | 9.13 | 3.78 | 100,810 | 1.14(2) | 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(2) | 1.17 | 1.50 | 137 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | 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, 2019 and 0.00% for the six months ended June 30, 2020. |
(3) | 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. |
(4) | 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 — 3.8% | ||||
American Express Credit Account Master Trust, Series 2017-2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 0.63%, 09/16/24† | $1,165,000 | $1,170,124 | ||
American Express Credit Account Master Trust, Series 2019-4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 04/15/24† | 500,000 | 501,323 | ||
Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7 | ||||
(Floating, ICE LIBOR USD 1M + 0.51%), 0.69%, 09/16/24† | 791,000 | 795,384 | ||
Capital One Prime Auto Receivables Trust, Series 2019-1, Class A2 | ||||
2.58%, 04/15/22 | 555,717 | 559,772 | ||
CARDS II Trust, Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.39%), 0.57%, 05/15/24 144A † | 370,000 | 370,535 | ||
Chase Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.73%, 06/15/23† | 500,000 | 501,940 | ||
Chase Issuance Trust, Series 2017-A2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.40%), 0.58%, 03/15/24† | 1,125,000 | 1,129,929 | ||
Citibank Credit Card Issuance Trust, Series 2016-A3, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.49%), 0.67%, 12/07/23† | 1,125,000 | 1,131,012 | ||
Evergreen Credit Card Trust, Series 2019-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.48%), 0.66%, 01/15/23 144A † | 1,080,000 | 1,082,114 | ||
Ford Credit Auto Lease Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.26%), 0.44%, 02/15/22† | 390,806 | 390,861 | ||
Ford Credit Auto Owner Trust, Series 2019-A, Class A2A | ||||
2.78%, 02/15/22 | 186,569 | 187,818 | ||
Ford Credit Auto Owner Trust, Series 2019-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 02/15/22† | 173,148 | 173,253 | ||
Ford Credit Auto Owner Trust, Series 2020-A, Class A2 | ||||
1.03%, 10/15/22 | 100,000 | 100,457 | ||
Golden Credit Card Trust, Series 2017-4A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor), 0.70%, 07/15/24 144A † | 500,000 | 502,559 | ||
Golden Credit Card Trust, Series 2019-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor), 0.53%, 10/15/23 144A † | 380,000 | 379,235 |
Par | Value | |||
Hyundai Auto Lease Securitization Trust, Series 2020-A, Class A2 | ||||
1.90%, 05/16/22 144A | $ 750,000 | $ 757,591 | ||
Navient Student Loan Trust, Series 2019-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 0.51%, 12/27/67 144A † | 176,739 | 176,757 | ||
Navient Student Loan Trust, Series 2019-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%), 0.46%, 07/25/68 144A † | 446,655 | 444,076 | ||
Navient Student Loan Trust, Series 2019-7A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.68%, 01/25/68 144A † | 549,493 | 546,194 | ||
Nissan Auto Receivables Owners Trust, Series 2019-C, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.24%), 0.42%, 09/15/22† | 461,892 | 462,432 | ||
USAA Auto Owner Trust, Series 2019-1, Class A2 | ||||
2.26%, 02/15/22 | 255,096 | 256,219 | ||
Verizon Owner Trust, Series 2017-3A, Class A1A | ||||
2.06%, 04/20/22 144A | 168,688 | 169,459 | ||
Verizon Owner Trust, Series 2019-A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.33%), 0.52%, 09/20/23† | 605,000 | 605,747 | ||
Verizon Owner Trust, Series 2019-B, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.45%), 0.64%, 12/20/23† | 525,000 | 526,700 | ||
Volkswagen Auto Loan Enhanced Trust, Series 2020-1, Class A2A | ||||
0.93%, 12/20/22 | 1,000,000 | 1,004,058 | ||
Total Asset-Backed Securities (Cost $13,895,218) | 13,925,549 | |||
CERTIFICATES OF DEPOSIT — 0.3% | ||||
US Bank NA | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.71%, 12/09/22† (Cost $1,100,000) | 1,100,000 | 1,100,600 | ||
CORPORATE BONDS — 22.5% | ||||
AES Corporation (The) | ||||
5.50%, 04/15/25 | 300,000 | 308,825 | ||
Alliance Data Systems Corporation | ||||
4.75%, 12/15/24 144A | 2,100,000 | 1,896,562 | ||
Allison Transmission, Inc. | ||||
5.00%, 10/01/24 144A | 250,000 | 250,153 | ||
AMC Networks, Inc. | ||||
5.00%, 04/01/24 | 1,500,000 | 1,489,687 | ||
American Express Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.62%), 1.00%, 05/20/22† | 1,000,000 | 1,001,938 | ||
American Honda Finance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 0.89%, 11/05/21† | 1,379,000 | 1,374,842 |
Table of Contents
Par | Value | |||
AmeriGas Partners LP | ||||
5.63%, 05/20/24 | $ 750,000 | $ 780,232 | ||
5.50%, 05/20/25 | 1,250,000 | 1,291,394 | ||
APX Group, Inc. | ||||
7.88%, 12/01/22 | 552,000 | 550,959 | ||
8.50%, 11/01/24 | 1,500,000 | 1,467,967 | ||
Aramark Services, Inc. | ||||
6.38%, 05/01/25 144A | 250,000 | 258,626 | ||
AT&T, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 2.17%, 07/15/21† | 1,400,000 | 1,411,628 | ||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.31%, 02/15/23† | 40,000 | 39,813 | ||
Bank of America Corporation | ||||
(Floating, ICE LIBOR USD 3M + 1.16%), 2.30%, 01/20/23† | 195,000 | 196,828 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.02%, 04/24/23† | 1,000,000 | 1,005,440 | ||
Berry Global, Inc. | ||||
5.50%, 05/15/22 | 162,000 | 162,748 | ||
BMW US Capital LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.41%), 1.72%, 04/12/21 144A † | 245,000 | 244,273 | ||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.93%, 08/13/21 144A † | 500,000 | 497,494 | ||
Brink's Co. (The) | ||||
5.50%, 07/15/25 144A | 400,000 | 408,412 | ||
Bristol-Myers Squibb Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.38%), 0.77%, 05/16/22 144A † | 1,000,000 | 1,002,738 | ||
Capital One Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.95%), 1.26%, 03/09/22† | 405,000 | 404,544 | ||
Caterpillar Financial Services Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.28%), 0.60%, 09/07/21† | 1,250,000 | 1,251,045 | ||
Cedar Fair LP | ||||
5.38%, 06/01/24 | 250,000 | 237,631 | ||
Cheniere Energy Partners LP | ||||
5.25%, 10/01/25 | 1,000,000 | 997,700 | ||
Choice Hotels International, Inc. | ||||
5.75%, 07/01/22 | 595,000 | 634,904 | ||
Cigna Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 09/17/21† | 295,000 | 295,014 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 500,000 | 512,183 | ||
Citigroup, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 1.95%, 04/25/22† | 1,182,000 | 1,188,784 | ||
CNH Industrial Capital LLC | ||||
4.38%, 04/05/22 | 750,000 | 784,567 | ||
Colfax Corporation | ||||
6.00%, 02/15/24 144A | 500,000 | 516,928 | ||
Credit Acceptance Corporation | ||||
5.13%, 12/31/24 144A | 250,000 | 242,050 |
Par | Value | |||
Crown Americas LLC | ||||
4.50%, 01/15/23 | $ 450,000 | $ 462,652 | ||
CVR Energy, Inc. | ||||
5.25%, 02/15/25 144A | 1,950,000 | 1,800,094 | ||
CVS Health Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 1.03%, 03/09/21† | 1,320,000 | 1,325,153 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.29%, 02/15/22 144A † | 1,240,000 | 1,225,570 | ||
Dell International LLC | ||||
5.88%, 06/15/21 144A | 330,000 | 330,615 | ||
7.13%, 06/15/24 144A | 1,250,000 | 1,296,172 | ||
Dominion Energy Gas Holdings LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.60%), 0.91%, 06/15/21† | 985,000 | 983,682 | ||
Duke Energy Florida LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.25%), 0.61%, 11/26/21† | 205,000 | 204,942 | ||
EQM Midstream Partners LP | ||||
6.00%, 07/01/25 144A | 500,000 | 507,710 | ||
ESH Hospitality, Inc. REIT | ||||
5.25%, 05/01/25 144A | 850,000 | 817,254 | ||
Exxon Mobil Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.33%), 0.72%, 08/16/22† | 945,000 | 947,473 | ||
Ford Motor Co. | ||||
8.50%, 04/21/23 | 1,500,000 | 1,589,062 | ||
9.00%, 04/22/25 | 700,000 | 758,852 | ||
Ford Motor Credit Co. LLC | ||||
5.13%, 06/16/25 | 250,000 | 250,725 | ||
Fresenius US Finance II, Inc. | ||||
4.50%, 01/15/23 144A | 1,000,000 | 1,056,967 | ||
GameStop Corporation | ||||
6.75%, 03/15/21 144A | 300,000 | 239,438 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 1.11%, 02/23/23† | 1,410,000 | 1,403,782 | ||
Goodyear Tire & Rubber Co. (The) | ||||
9.50%, 05/31/25 | 1,500,000 | 1,607,812 | ||
Group 1 Automotive, Inc. | ||||
5.00%, 06/01/22 | 1,000,000 | 996,885 | ||
Hillenbrand, Inc. | ||||
5.75%, 06/15/25 | 500,000 | 518,125 | ||
Hughes Satellite Systems Corporation | ||||
7.63%, 06/15/21 | 1,000,000 | 1,032,275 | ||
International Business Machines Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.83%, 05/13/21† | 1,012,000 | 1,015,541 | ||
John Deere Capital Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.48%), 0.80%, 09/08/22† | 250,000 | 251,159 | ||
JPMorgan Chase & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 2.22%, 01/15/23† | 1,390,000 | 1,398,205 | ||
KGA Escrow LLC | ||||
7.50%, 08/15/23 144A | 1,500,000 | 1,503,592 |
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Par | Value | |||
Kinder Morgan, Inc. | ||||
3.15%, 01/15/23 | $1,000,000 | $1,047,791 | ||
Lennar Corporation | ||||
4.75%, 04/01/21 | 500,000 | 507,178 | ||
Level 3 Financing, Inc. | ||||
5.38%, 08/15/22 | 210,000 | 210,254 | ||
5.38%, 01/15/24 | 750,000 | 758,359 | ||
LPL Holdings, Inc. | ||||
5.75%, 09/15/25 144A | 600,000 | 609,369 | ||
LSB Industries, Inc. | ||||
9.63%, 05/01/23 144A | 750,000 | 724,766 | ||
Marriott International, Inc. | ||||
5.75%, 05/01/25 | 250,000 | 271,873 | ||
Marsh & McLennan Cos., Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.20%), 1.51%, 12/29/21† | 500,000 | 500,256 | ||
Meritor, Inc. | ||||
6.25%, 02/15/24 | 500,000 | 505,573 | ||
6.25%, 06/01/25 144A | 200,000 | 202,750 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 800,000 | 804,000 | ||
Morgan Stanley | ||||
(Floating, U.S. SOFR + 0.70%), 0.77%, 01/20/23† | 1,515,000 | 1,510,997 | ||
MPLX LP | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.21%, 09/09/21† | 925,000 | 917,873 | ||
NCR Corporation | ||||
6.38%, 12/15/23 | 1,100,000 | 1,120,740 | ||
8.13%, 04/15/25 144A | 250,000 | 266,094 | ||
New York Life Global Funding | ||||
(Floating, ICE LIBOR USD 3M + 0.44%), 1.75%, 07/12/22 144A † | 815,000 | 818,854 | ||
Newmark Group, Inc. | ||||
6.13%, 11/15/23 | 500,000 | 497,673 | ||
NGPL PipeCo LLC | ||||
4.38%, 08/15/22 144A | 779,000 | 804,024 | ||
Nielsen Co Luxembourg S.a.r.l. (The) | ||||
5.50%, 10/01/21 144A | 921,000 | 924,237 | ||
Otis Worldwide Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.75%, 04/05/23 144A † | 295,000 | 291,877 | ||
Outfront Media Capital LLC | ||||
6.25%, 06/15/25 144A | 250,000 | 252,731 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.00%, 01/15/22 144A | 80,000 | 80,274 | ||
PBF Holding Co. LLC | ||||
9.25%, 05/15/25 144A | 750,000 | 802,031 | ||
7.25%, 06/15/25 | 2,100,000 | 1,911,220 | ||
PBF Logistics LP | ||||
6.88%, 05/15/23 | 550,000 | 525,585 | ||
Penske Automotive Group, Inc. | ||||
5.38%, 12/01/24 | 400,000 | 400,458 |
Par | Value | |||
Picasso Finance Sub, Inc. | ||||
6.13%, 06/15/25 144A | $ 250,000 | $ 256,250 | ||
PowerTeam Services LLC | ||||
9.03%, 12/04/25 144A | 400,000 | 409,750 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 500,000 | 512,553 | ||
PulteGroup, Inc. | ||||
4.25%, 03/01/21 | 1,000,000 | 1,013,625 | ||
Realogy Group LLC | ||||
4.88%, 06/01/23 144A | 500,000 | 469,063 | ||
7.63%, 06/15/25 144A | 500,000 | 501,350 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 250,000 | 257,346 | ||
Spirit AeroSystems, Inc. | ||||
7.50%, 04/15/25 144A | 1,000,000 | 990,625 | ||
Starwood Property Trust, Inc. REIT | ||||
3.63%, 02/01/21 | 1,250,000 | 1,232,656 | ||
Suburban Propane Partners LP | ||||
5.50%, 06/01/24 | 546,000 | 542,241 | ||
Sunoco LP | ||||
4.88%, 01/15/23 | 1,000,000 | 988,645 | ||
Targa Resources Partners LP | ||||
5.25%, 05/01/23 | 1,750,000 | 1,710,809 | ||
T-Mobile USA, Inc. | ||||
6.50%, 01/15/24 | 500,000 | 512,408 | ||
Toyota Motor Credit Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.54%), 1.89%, 01/08/21† | 1,350,000 | 1,352,530 | ||
Truist Financial Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.65%), 0.95%, 04/01/22† | 795,000 | 798,621 | ||
TWDC Enterprises 18 Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.39%), 0.72%, 03/04/22† | 655,000 | 652,898 | ||
UnitedHealth Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.26%), 0.57%, 06/15/21† | 1,000,000 | 1,000,444 | ||
Verizon Communications, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.32%, 03/16/22† | 1,400,000 | 1,419,053 | ||
Wells Fargo & Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.11%), 2.13%, 01/24/23† | 1,310,000 | 1,317,340 | ||
Wolverine Escrow LLC | ||||
8.50%, 11/15/24 144A | 1,350,000 | 1,032,750 | ||
9.00%, 11/15/26 144A | 750,000 | 543,750 | ||
XPO Logistics, Inc. | ||||
6.75%, 08/15/24 144A | 500,000 | 525,102 | ||
6.25%, 05/01/25 144A | 500,000 | 524,688 | ||
Total Corporate Bonds (Cost $81,841,989) | 82,060,980 |
Table of Contents
Par | Value | |||
FOREIGN BONDS — 4.4% | ||||
Australia — 0.1% | ||||
Westpac Banking Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.39%), 1.70%, 01/13/23† | $ 210,000 | $ 209,943 | ||
Austria — 0.1% | ||||
ams AG | ||||
7.00%, 07/31/25 144A | 500,000 | 495,000 | ||
Canada — 1.0% | ||||
1011778 BC ULC | ||||
4.25%, 05/15/24 144A | 750,000 | 752,078 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 03/15/24 144A | 500,000 | 519,785 | ||
Clarios Global LP | ||||
6.75%, 05/15/25 144A | 250,000 | 260,781 | ||
Quebecor Media, Inc. | ||||
5.75%, 01/15/23 | 250,000 | 262,526 | ||
Royal Bank of Canada | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 1.31%, 04/29/22† | 1,095,000 | 1,098,220 | ||
Toronto-Dominion Bank (The) | ||||
(Floating, U.S. SOFR + 0.48%), 0.55%, 01/27/23† | 720,000 | 715,640 | ||
3,609,030 | ||||
China — 0.3% | ||||
Global Aircraft Leasing Co., Ltd. | ||||
Cash coupon 6.50% or PIK 7.25%, 09/15/24 144A | 1,500,000 | 1,008,750 | ||
France — 0.3% | ||||
Banijay Entertainment SASU | ||||
5.38%, 03/01/25 144A | 1,250,000 | 1,225,781 | ||
Ireland — 0.7% | ||||
AerCap Ireland Capital DAC | ||||
6.50%, 07/15/25 | 750,000 | 787,209 | ||
Fly Leasing, Ltd. | ||||
6.38%, 10/15/21 | 1,500,000 | 1,368,517 | ||
5.25%, 10/15/24 | 500,000 | 406,823 | ||
2,562,549 | ||||
Japan — 0.2% | ||||
Aircastle, Ltd. | ||||
5.00%, 04/01/23 | 500,000 | 487,531 | ||
4.40%, 09/25/23 | 250,000 | 242,666 | ||
730,197 | ||||
Netherlands — 0.2% | ||||
OCI NV | ||||
5.25%, 11/01/24 144A | 750,000 | 722,813 | ||
United Kingdom — 1.5% | ||||
AstraZeneca PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.62%), 0.93%, 06/10/22† | 995,000 | 999,705 | ||
Connect Finco S.a.r.l. | ||||
6.75%, 10/01/26 144A | 2,500,000 | 2,373,500 |
Par | Value | |||
eG Global Finance PLC | ||||
8.50%, 10/30/25 144A | $1,500,000 | $ 1,540,470 | ||
GlaxoSmithKline Capital PLC | ||||
(Floating, ICE LIBOR USD 3M + 0.35%), 0.77%, 05/14/21† | 580,000 | 581,020 | ||
5,494,695 | ||||
Total Foreign Bonds (Cost $16,794,948) | 16,058,758 | |||
LOAN AGREEMENTS — 1.7% | ||||
APX Group, Inc. Initial Loan | ||||
(Floating, ICE LIBOR USD 1M+ 5.00%), 5.18%, 12/31/25† | 984,382 | 921,780 | ||
(Floating, ICE PRIME USD 3M+ 4.00%), 7.25%, 12/31/25† | 650 | 608 | ||
Asurion LLC Replacement B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 6.50%), 6.68%, 08/04/25† | 3,000,000 | 2,992,500 | ||
Banijay Group SAS Cov-Lite Term Loan | ||||
0.00%, 03/04/25Σ | 200,000 | 190,000 | ||
PetSmart, Inc. Amended Loan | ||||
(Floating, ICE LIBOR USD 3M+ 4.00%, 1.00% Floor), 5.00%, 03/11/22† | 621,556 | 615,058 | ||
PG&E Corporation Loan | ||||
0.00%, 06/23/25Σ | 1,000,000 | 984,000 | ||
Whatabrands LLC 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M+ 2.75%), 2.93%, 07/31/26† | 496,256 | 478,190 | ||
Total Loan Agreements (Cost $6,275,373) | 6,182,136 | |||
MORTGAGE-BACKED SECURITIES — 7.8% | ||||
DBUBS, Series 2011-LC1A, Class A3 | ||||
5.00%, 11/10/46 144A | 269,485 | 271,015 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 09/15/43† IO | 519,240 | 90,550 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 12/15/43† IO | 309,604 | 49,370 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4320 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 07/15/39† IO | 1,528,551 | 313,888 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 05/15/45† IO | 535,546 | 108,070 |
Table of Contents
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.82%, 05/15/46† IO | $1,285,159 | $232,036 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4792 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 05/15/48† IO | 1,214,699 | 130,805 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4936 | ||||
5.82%, 12/25/49† IO | 1,387,435 | 219,285 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4980 | ||||
4.50%, 06/25/50 IO | 1,528,444 | 198,228 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5002 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.91%, 07/25/50† IO | 1,089,000 | 207,041 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/42† IO | 582,092 | 124,198 | ||
Federal National Mortgage Association REMIC, Series 2015-34 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 06/25/45† IO | 1,272,291 | 238,348 | ||
Federal National Mortgage Association REMIC, Series 2016-69 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 10/25/46† IO | 687,244 | 134,256 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.92%, 05/25/47† IO | 690,537 | 137,720 | ||
Federal National Mortgage Association REMIC, Series 2017-86 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 11/25/47† IO | 986,307 | 184,826 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 2.50% - ICE LIBOR USD 1M, 2.50% Cap), 2.50%, 03/25/48† IO | 5,825,320 | 363,953 | ||
Federal National Mortgage Association REMIC, Series 2018-38 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.02%, 06/25/48† IO | 638,320 | 73,980 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 02/25/48† IO | $ 589,010 | $ 74,039 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 4.87%, 10/25/40† IO | 1,365,776 | 226,669 | ||
Government National Mortgage Association, Series 2010-101 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.81%, 08/20/40† IO | 259,832 | 50,529 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 5.94% - ICE LIBOR USD 1M, 5.94% Cap), 5.75%, 07/20/40† IO | 220,998 | 46,337 | ||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.51%, 08/20/45† IO | 297,403 | 48,633 | ||
(Floating, 5.71% - ICE LIBOR USD 1M, 5.71% Cap), 5.52%, 08/20/45† IO | 2,140,953 | 341,160 | ||
Government National Mortgage Association, Series 2015-57 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.41%, 04/20/45† IO | 1,295,425 | 205,301 | ||
Government National Mortgage Association, Series 2016-109 | ||||
4.00%, 10/20/45 IO | 251,809 | 29,468 | ||
Government National Mortgage Association, Series 2018-105 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 08/20/48† IO | 352,265 | 49,869 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.01%, 09/20/48† IO | 818,429 | 150,113 | ||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.96%, 10/20/48† IO | 479,807 | 66,746 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.51%, 01/20/48† IO | 755,021 | 111,657 | ||
Government National Mortgage Association, Series 2018-72 | ||||
4.00%, 04/20/46 IO | 1,214,943 | 142,172 |
Table of Contents
Par | Value | |||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | $ 491,045 | $ 67,933 | ||
Government National Mortgage Association, Series 2019-110 | ||||
5.91%, 09/20/49† IO | 1,473,449 | 223,751 | ||
Government National Mortgage Association, Series 2019-128 | ||||
4.00%, 10/20/49 IO | 1,188,516 | 128,919 | ||
Government National Mortgage Association, Series 2019-129 | ||||
3.50%, 10/20/49 IO | 1,719,478 | 206,198 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 2,130,074 | 206,800 | ||
3.50%, 12/20/49 IO | 1,128,036 | 137,138 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 3.60%, 02/20/49† IO | 1,262,310 | 86,726 | ||
Government National Mortgage Association, Series 2019-4 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | 688,109 | 99,531 | ||
Government National Mortgage Association, Series 2019-52 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 04/20/49† IO | 429,071 | 56,495 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 01/20/49† IO | 394,440 | 52,466 | ||
Government National Mortgage Association, Series 2019-69 | ||||
(Floating, 3.27% - ICE LIBOR USD 1M, 3.27% Cap), 3.08%, 06/20/49† IO | 436,630 | 36,683 | ||
Government National Mortgage Association, Series 2019-97 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 5.91%, 08/20/49† IO | 668,224 | 81,348 | ||
Government National Mortgage Association, Series 2019-98 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.86%, 08/20/49† IO | 1,110,839 | 152,958 | ||
Government National Mortgage Association, Series 2020-78 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 5.97%, 06/20/50† IO | 1,039,000 | 174,033 | ||
UBS Commercial Mortgage Trust, Series 2012-C1, Class AAB | �� | |||
3.00%, 05/10/45 | 516,752 | 522,355 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 07/01/50 TBA | 10,000,000 | 10,425,781 |
Par | Value | |||
3.00%, 07/01/50 TBA | $5,000,000 | $ 5,266,406 | ||
2.50%, 08/01/50 TBA | 5,000,000 | 5,204,785 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 1.39%, 06/15/45 144A † | 700,000 | 692,256 | ||
Total Mortgage-Backed Securities (Cost $28,007,539) | 28,442,824 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Options — 0.0% | ||||
Apple, Inc., Strike Price $365.00, Expires 07/17/20 (CITI) | 20 | $20 | 18,400 | |
Freeport-McMoRan, Inc., Strike Price $11.00, Expires 07/17/20 (CITI) | 79 | 79 | 7,110 | |
Total Purchased Options (Premiums paid $21,997) | 25,510 |
Par | |||
U.S. TREASURY OBLIGATIONS — 19.3% | |||
U.S. Treasury Bills | |||
1.83%, 07/16/20Ω | $13,524,000 | 13,523,338 | |
0.21%, 09/24/20Ω | 34,000 | 33,989 | |
1.60%, 10/08/20Ω | 4,294,000 | 4,292,288 | |
1.48%, 12/03/20Ω | 10,718,000 | 10,711,309 | |
0.35%, 12/31/20Ω | 10,453,000 | 10,444,232 | |
0.20%, 02/25/21Ω | 33,000 | 32,967 | |
0.16%, 04/22/21Ω | 14,708,000 | 14,689,319 | |
53,727,442 | |||
U.S. Treasury Notes | |||
2.00%, 11/30/20 | 14,434,000 | 14,540,564 | |
1.38%, 04/30/21 | 2,080,000 | 2,100,637 | |
16,641,201 | |||
Total U.S. Treasury Obligations (Cost $70,186,992) | 70,368,643 |
Shares | |||
COMMON STOCKS — 6.0% | |||
Communication Services — 0.2% | |||
AT&T, Inc. | 6,601 | 199,548 | |
Comcast Corporation Class A | 1,666 | 64,941 | |
Escrow NII Holdings, Inc.* | 76,167 | 165,282 | |
T-Mobile US, Inc.* | 3,766 | 392,229 | |
Verizon Communications, Inc. | 1,354 | 74,646 | |
896,646 | |||
Consumer Discretionary — 0.9% | |||
Amazon.com, Inc.* | 39 | 107,594 | |
Best Buy Co., Inc.‡ | 7,038 | 614,206 | |
D.R. Horton, Inc. | 5,909 | 327,654 |
Table of Contents
Shares | Value | |||
Dollar General Corporation | 317 | $ 60,392 | ||
Hilton Worldwide Holdings, Inc. | 294 | 21,594 | ||
KB Home | 4,535 | 139,134 | ||
Lennar Corporation Class A | 222 | 13,680 | ||
Lowe’s Cos., Inc. | 2,488 | 336,179 | ||
NIKE, Inc. Class B‡ | 6,787 | 665,465 | ||
O’Reilly Automotive, Inc.* | 1,001 | 422,092 | ||
Tiffany & Co. | 4,693 | 572,264 | ||
Yum China Holdings, Inc. | 329 | 15,815 | ||
3,296,069 | ||||
Consumer Staples — 0.0% | ||||
Colgate-Palmolive Co. | 268 | 19,634 | ||
Kimberly-Clark Corporation | 125 | 17,669 | ||
Kroger Co. (The) | 481 | 16,282 | ||
Mondelez International, Inc. Class A | 530 | 27,099 | ||
Walgreens Boots Alliance, Inc. | 378 | 16,023 | ||
96,707 | ||||
Energy — 0.1% | ||||
Marathon Petroleum Corporation | 6,965 | 260,352 | ||
Phillips 66 | 177 | 12,726 | ||
273,078 | ||||
Financials — 2.0% | ||||
Aflac, Inc. | 342 | 12,322 | ||
American Express Co. | 327 | 31,130 | ||
Bank of America Corporation | 8,155 | 193,681 | ||
Churchill Capital Corporation III* | 15,467 | 174,932 | ||
CITIC Capital Acquisition Corporation* | 1,413 | 14,201 | ||
Citigroup, Inc.‡‡ | 4,504 | 230,154 | ||
dMY Technology Group, Inc.* | 885 | 9,363 | ||
E*TRADE Financial Corporation | 57,998 | 2,884,241 | ||
Far Point Acquisition Corporation Class A* | 13,191 | 135,076 | ||
Foley Trasimene Acquisition Corporation* | 2,288 | 24,413 | ||
GAIN Capital Holdings, Inc. | 30,609 | 184,266 | ||
Genworth Financial, Inc. Class A* | 13,686 | 31,615 | ||
GS Acquisition Holdings Corporation II* | 4,710 | 49,502 | ||
Kensington Capital Acquisition Corporation* | 1,570 | 15,731 | ||
Legg Mason, Inc. | 39,572 | 1,968,707 | ||
Social Capital Hedosophia Holdings Corporation II* | 1,896 | 23,814 | ||
Social Capital Hedosophia Holdings Corporation III* | 4,920 | 58,400 | ||
Sustainable Opportunities Acquisition Corporation* | 4,897 | 49,460 | ||
TD Ameritrade Holding Corporation | 35,530 | 1,292,582 | ||
7,383,590 | ||||
Health Care — 0.5% | ||||
Boston Scientific Corporation* | 623 | 21,874 | ||
Cigna Corporation | 1,220 | 228,933 | ||
CVS Health Corporation | 6,154 | 399,825 | ||
Danaher Corporation | 3,291 | 581,947 |
Shares | Value | |||
DexCom, Inc.* | 165 | $ 66,891 | ||
Johnson & Johnson‡‡ | 2,770 | 389,545 | ||
1,689,015 | ||||
Industrials — 0.8% | ||||
Carrier Global Corporation | 12,794 | 284,283 | ||
CSX Corporation | 4,896 | 341,447 | ||
Cummins, Inc. | 1,433 | 248,282 | ||
Dover Corporation | 1,938 | 187,133 | ||
Honeywell International, Inc. | 414 | 59,860 | ||
Illinois ToolWorks, Inc. | 87 | 15,212 | ||
Kansas City Southern | 844 | 126,001 | ||
Kratos Defense & Security Solutions, Inc.* | 1,312 | 20,506 | ||
L3Harris Technologies, Inc. | 783 | 132,852 | ||
Norfolk Southern Corporation | 884 | 155,204 | ||
Otis Worldwide Corporation | 4,384 | 249,274 | ||
Parker-Hannifin Corporation | 3,709 | 679,748 | ||
Southwest Airlines Co. | 4,105 | 140,309 | ||
Union Pacific Corporation | 199 | 33,645 | ||
Waste Management, Inc. | 169 | 17,899 | ||
WESCO International, Inc.* | 5,083 | 178,464 | ||
2,870,119 | ||||
Information Technology — 1.0% | ||||
Analog Devices, Inc. | 1,479 | 181,384 | ||
Apple, Inc.‡ | 860 | 313,728 | ||
Cisco Systems, Inc. | 2,323 | 108,345 | ||
Cognizant Technology Solutions Corporation Class A | 224 | 12,728 | ||
Corning, Inc. | 521 | 13,494 | ||
Dell Technologies, Inc. Class C‡ * | 8,602 | 472,594 | ||
Fidelity National Information Services, Inc. | 216 | 28,963 | ||
Fiserv, Inc.* | 783 | 76,436 | ||
Global Payments, Inc. | 1,368 | 232,040 | ||
HP, Inc. | 1,955 | 34,076 | ||
Intel Corporation | 1,683 | 100,694 | ||
International Business Machines Corporation | 393 | 47,463 | ||
Lam Research Corporation | 158 | 51,107 | ||
Leidos Holdings, Inc. | 3,730 | 349,389 | ||
Mastercard, Inc. Class A‡ | 966 | 285,646 | ||
Micron Technology, Inc.* | 5,117 | 263,628 | ||
Microsoft Corporation | 2,350 | 478,248 | ||
Motorola Solutions, Inc. | 132 | 18,497 | ||
NortonLifeLock, Inc. | 19,013 | 377,028 | ||
Skyworks Solutions, Inc. | 101 | 12,914 | ||
3,458,402 | ||||
Materials — 0.1% | ||||
Air Products and Chemicals, Inc. | 53 | 12,797 | ||
Albemarle Corporation | 1,414 | 109,175 | ||
DuPont de Nemours, Inc. | 1,072 | 56,955 | ||
Freeport-McMoRan, Inc.‡ | 19,768 | 228,716 | ||
Newmont Corporation | 1,937 | 119,591 |
Table of Contents
Shares | Value | |||
Vulcan Materials Co. | 126 | $ 14,597 | ||
541,831 | ||||
Real Estate — 0.3% | ||||
Agree Realty Corporation REIT | 78 | 5,125 | ||
Crown Castle International Corporation REIT | 1,499 | 250,858 | ||
CyrusOne, Inc. REIT | 2,897 | 210,757 | ||
Digital Realty Trust, Inc. REIT | 1,281 | 182,043 | ||
Realty Income Corporation REIT | 1,765 | 105,017 | ||
SBA Communications Corporation REIT | 392 | 116,785 | ||
Weyerhaeuser Co. REIT | 10,224 | 229,631 | ||
WP Carey, Inc. REIT | 1,100 | 74,415 | ||
1,174,631 | ||||
Utilities — 0.1% | ||||
Atmos Energy Corporation | 267 | 26,588 | ||
Evergy, Inc. | 3,327 | 197,258 | ||
223,846 | ||||
Total Common Stocks (Cost $21,494,393) | 21,903,934 | |||
FOREIGN COMMON STOCKS — 1.7% | ||||
Canada — 0.1% | ||||
Barrick Gold Corporation | 8,362 | 225,272 | ||
Ireland — 0.5% | ||||
Linde PLC | 251 | 53,240 | ||
Medtronic PLC | 452 | 41,448 | ||
Trane Technologies PLC | 235 | 20,910 | ||
Willis Towers Watson PLC | 9,652 | 1,900,962 | ||
2,016,560 | ||||
Netherlands — 1.1% | ||||
Fiat Chrysler Automobiles NV* | 25,686 | 259,894 | ||
Fiat Chrysler Automobiles NV (New York Exchange)* | 21,982 | 225,096 | ||
NXP Semiconductor NV‡‡ | 4,343 | 495,276 | ||
QIAGEN NV* | 46,540 | 1,992,377 | ||
Wright Medical Group NV* | 32,550 | 967,386 | ||
3,940,029 | ||||
United Kingdom — 0.0% | ||||
Atlassian Corporation PLC Class A* | 111 | 20,010 | ||
Total Foreign Common Stocks (Cost $5,987,707) | 6,201,871 | |||
RIGHTS — 0.0% | ||||
Alder Biopharmaceuticals, Inc.††† * | 3,505 | 7,010 | ||
Pan American Silver Corporation* | 16,022 | 10,991 | ||
Total Rights (Cost $13,526) | 18,001 | |||
MUTUAL FUNDS — 1.1% | ||||
Escrow Altaba, Inc.Ψ ††† * | 67,544 | 1,411,670 | ||
iShares Russell 2000 ETF | 16,608 | 2,377,933 | ||
SPDR S&P Homebuilders ETF | 6,097 | 267,658 | ||
Total Mutual Funds (Cost $3,858,246) | 4,057,261 |
Shares | Value | |||
MONEY MARKET FUNDS — 34.2% | ||||
GuideStone Money Market Fund, 0.16% (Institutional Class)Ø ∞ | 50,439,481 | $ 50,439,481 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.07%Ø | 74,000,746 | 74,000,746 | ||
Total Money Market Funds (Cost $124,440,227) | 124,440,227 | |||
TOTAL INVESTMENTS —102.8% (Cost $373,918,155) | 374,786,294 | |||
COMMON STOCKS SOLD SHORT — (2.4)% | ||||
Communication Services — (0.1)% | ||||
Alphabet, Inc. Class A * | (117) | (165,912) | ||
Bandwidth, Inc. Class A * | (132) | (16,764) | ||
Cable One, Inc. | (10) | (17,748) | ||
Cardlytics, Inc. * | (436) | (30,511) | ||
Cargurus, Inc. * | (508) | (12,878) | ||
Eventbrite, Inc. Class A * | (1,023) | (8,767) | ||
EverQuote, Inc. Class A * | (200) | (11,632) | ||
iHeartMedia, Inc. Class A * | (2,182) | (18,220) | ||
Iridium Communications, Inc. * | (722) | (18,368) | ||
(300,800) | ||||
Consumer Discretionary — (0.1)% | ||||
Aspen Group, Inc. * | (718) | (6,498) | ||
eBay, Inc. | (1,100) | (57,695) | ||
Franchise Group, Inc. | (704) | (15,404) | ||
LGI Homes, Inc. * | (107) | (9,419) | ||
McDonald’s Corporation | (783) | (144,440) | ||
Nautilus, Inc. * | (1,080) | (10,012) | ||
Papa John's International, Inc. | (758) | (60,193) | ||
Strategic Education, Inc. | (50) | (7,682) | ||
Universal Technical Institute, Inc. * | (1,113) | (7,735) | ||
VF Corporation | (281) | (17,124) | ||
Vivint Smart Home, Inc. * | (2,576) | (44,642) | ||
(380,844) | ||||
Consumer Staples — (0.1)% | ||||
BJ's Wholesale Club Holdings, Inc. * | (1,055) | (39,320) | ||
Freshpet, Inc. * | (200) | (16,732) | ||
Walmart, Inc. | (2,201) | (263,636) | ||
(319,688) | ||||
Energy — (0.0)% | ||||
Chevron Corporation | (325) | (29,000) | ||
Contango Oil & Gas Co. * | (3,304) | (7,566) | ||
Exxon Mobil Corporation | (1,564) | (69,942) | ||
Frontline, Ltd. | (4,301) | (30,021) | ||
Ovintiv, Inc. | (9,546) | (91,164) | ||
(227,693) | ||||
Financials — (1.3)% | ||||
Arbor Realty Trust, Inc. REIT | (3,760) | (34,742) | ||
Broadmark Realty Capital, Inc. | (4,691) | (44,424) | ||
Charles Schwab Corporation (The) | (39,366) | (1,328,209) | ||
eHealth, Inc. * | (127) | (12,477) |
Table of Contents
Shares | Value | |||
Glacier Bancorp, Inc. | (288) | $ (10,164) | ||
HarborOne Bancorp, Inc. * | (913) | (7,797) | ||
Houlihan Lokey, Inc. | (132) | (7,344) | ||
Moelis & Co. Class A | (254) | (7,915) | ||
Morgan Stanley | (63,728) | (3,078,062) | ||
MSCI, Inc. | (50) | (16,691) | ||
PennyMac Financial Services, Inc. | (741) | (30,966) | ||
Piper Sandler Cos. | (138) | (8,164) | ||
Prudential Financial, Inc. | (208) | (12,667) | ||
Sandy Spring Bancorp, Inc. | (383) | (9,491) | ||
(4,609,113) | ||||
Health Care — (0.3)% | ||||
Adverum Biotechnologies, Inc. * | (419) | (8,749) | ||
Agile Therapeutics, Inc. * | (2,618) | (7,278) | ||
Alector, Inc. * | (470) | (11,487) | ||
Allakos, Inc. * | (201) | (14,444) | ||
Applied Therapeutics, Inc. * | (198) | (7,158) | ||
Arcturus Therapeutics Holdings, Inc. * | (496) | (23,183) | ||
Arvinas, Inc. * | (318) | (10,666) | ||
Axonics Modulation Technologies, Inc. * | (454) | (15,940) | ||
Biohaven Pharmaceutical Holding Co., Ltd. * | (214) | (15,646) | ||
BrainStorm Cell Therapeutics, Inc. * | (1,199) | (13,441) | ||
ChemoCentryx, Inc. * | (187) | (10,760) | ||
Constellation Pharmaceuticals, Inc. * | (318) | (9,556) | ||
Cortexyme, Inc. * | (170) | (7,871) | ||
Crinetics Pharmaceuticals, Inc. * | (593) | (10,389) | ||
Cue Biopharma, Inc. * | (306) | (7,500) | ||
Deciphera Pharmaceuticals, Inc. * | (622) | (37,146) | ||
Denali Therapeutics, Inc. * | (456) | (11,026) | ||
Dicerna Pharmaceuticals, Inc. * | (486) | (12,344) | ||
Durect Corporation * | (7,656) | (17,762) | ||
Epizyme, Inc. * | (462) | (7,420) | ||
FibroGen, Inc. * | (245) | (9,930) | ||
Frequency Therapeutics, Inc. * | (816) | (18,972) | ||
Health Catalyst, Inc. * | (505) | (14,731) | ||
iCAD, Inc. * | (778) | (7,772) | ||
IMARA, Inc. * | (635) | (17,545) | ||
Immunovant, Inc. * | (740) | (18,019) | ||
Insmed, Inc. * | (555) | (15,285) | ||
Inspire Medical Systems, Inc. * | (477) | (41,508) | ||
Invitae Corporation * | (1,152) | (34,894) | ||
Kala Pharmaceuticals, Inc. * | (603) | (6,337) | ||
Karuna Therapeutics, Inc. * | (194) | (21,623) | ||
Karyopharm Therapeutics, Inc. * | (458) | (8,674) | ||
Keros Therapeutics, Inc. * | (268) | (10,053) | ||
Kura Oncology, Inc. * | (721) | (11,752) | ||
McKesson Corporation | (113) | (17,336) | ||
Mirati Therapeutics, Inc. * | (292) | (33,338) | ||
Momenta Pharmaceuticals, Inc. * | (295) | (9,815) | ||
Natera, Inc. * | (342) | (17,052) | ||
Neogen Corporation * | (99) | (7,682) | ||
NeoGenomics, Inc. * | (421) | (13,043) | ||
Neoleukin Therapeutics, Inc. * | (1,335) | (22,161) | ||
Nevro Corporation * | (171) | (20,429) | ||
ORIC Pharmaceuticals, Inc. * | (335) | (11,300) |
Shares | Value | |||
Ovid therapeutics, Inc. * | (1,657) | $ (12,212) | ||
Passage Bio, Inc. * | (514) | (14,048) | ||
Principia Biopharma, Inc. * | (417) | (24,932) | ||
Provention Bio, Inc. * | (1,640) | (23,140) | ||
RAPT Therapeutics, Inc. * | (334) | (9,693) | ||
Relmada Therapeutics, Inc. * | (544) | (24,344) | ||
Repro-Med Systems, Inc. * | (1,215) | (10,911) | ||
Selecta Biosciences, Inc. * | (2,544) | (7,225) | ||
Silk Road Medical, Inc. * | (588) | (24,631) | ||
SpringWorks Therapeutics, Inc. * | (402) | (16,884) | ||
Translate Bio, Inc. * | (622) | (11,146) | ||
Ultragenyx Pharmaceutical, Inc. * | (145) | (11,342) | ||
Viela Bio, Inc. * | (533) | (23,090) | ||
Vir Biotechnology, Inc. * | (1,423) | (58,300) | ||
Xencor, Inc. * | (350) | (11,336) | ||
Y-mAbs Therapeutics, Inc. * | (258) | (11,146) | ||
Zentalis Pharmaceuticals, Inc. * | (398) | (19,112) | ||
Zogenix, Inc. * | (522) | (14,099) | ||
(976,608) | ||||
Industrials — (0.3)% | ||||
Advanced Drainage Systems, Inc. | (275) | (13,585) | ||
AGCO Corporation | (798) | (44,257) | ||
Bloom Energy Corporation Class A * | (1,141) | (12,414) | ||
Cintas Corporation | (61) | (16,248) | ||
Copart, Inc. * | (130) | (10,825) | ||
CoStar Group, Inc. * | (21) | (14,924) | ||
Deere & Co. | (1,042) | (163,750) | ||
Evoqua Water Technologies Corporation * | (452) | (8,407) | ||
FuelCell Energy, Inc. * | (8,080) | (18,261) | ||
General Dynamics Corporation | (1,361) | (203,415) | ||
Kratos Defense & Security Solutions, Inc. * | (684) | (10,691) | ||
Lennox International, Inc. | (932) | (217,147) | ||
Old Dominion Freight Line, Inc. | (69) | (11,702) | ||
PAE, Inc. * | (2,598) | (24,837) | ||
SiteOne Landscape Supply, Inc. * | (86) | (9,802) | ||
Uber Technologies, Inc. * | (7,542) | (234,405) | ||
Upwork, Inc. * | (1,353) | (19,537) | ||
US Ecology, Inc. | (234) | (7,928) | ||
Verisk Analytics, Inc. | (80) | (13,616) | ||
(1,055,751) | ||||
Information Technology — (0.2)% | ||||
Anaplan, Inc. * | (493) | (22,338) | ||
ANSYS, Inc. * | (64) | (18,671) | ||
Avalara, Inc. * | (332) | (44,186) | ||
Blackline, Inc. * | (306) | (25,370) | ||
Cadence Design Systems, Inc. * | (134) | (12,859) | ||
Ceridian HCM Holding, Inc. * | (143) | (11,336) | ||
Cornerstone OnDemand, Inc. * | (205) | (7,905) | ||
CyberOptics Corporation * | (272) | (8,761) | ||
Domo, Inc. Class B * | (299) | (9,619) | ||
Envestnet, Inc. * | (236) | (17,355) | ||
GreenSky, Inc. Class A * | (2,405) | (11,785) | ||
Grid Dynamics Holdings, Inc. * | (840) | (5,796) | ||
Intuit, Inc. | (80) | (23,695) | ||
Itron, Inc. * | (254) | (16,827) |
Table of Contents
Shares | Value | |||
Lattice Semiconductor Corporation * | (462) | $ (13,116) | ||
Power Integrations, Inc. | (78) | (9,214) | ||
PROS Holdings, Inc. * | (257) | (11,419) | ||
Q2 Holdings, Inc. * | (140) | (12,011) | ||
Repay Holdings Corporation * | (1,416) | (34,876) | ||
Sapiens International Corporation NV | (330) | (9,233) | ||
Super Micro Computer, Inc. * | (1,650) | (46,843) | ||
SVMK, Inc. * | (1,284) | (30,225) | ||
Synopsys, Inc. * | (496) | (96,720) | ||
Tenable Holdings, Inc. * | (888) | (26,471) | ||
Texas Instruments, Inc. | (605) | (76,817) | ||
Varonis Systems, Inc. * | (81) | (7,167) | ||
Veritone, Inc. * | (888) | (13,196) | ||
Zoom Video Communications, Inc. Class A * | (274) | (69,470) | ||
(693,281) | ||||
Materials — (0.0)% | ||||
Dow, Inc. | (2,597) | (105,854) | ||
PPG Industries, Inc. | (116) | (12,303) | ||
Ranpak Holdings Corporation * | (1,056) | (7,856) | ||
(126,013) | ||||
Real Estate — (0.0)% | ||||
Prologis, Inc. REIT | (73) | (6,813) | ||
Redfin Corporation * | (348) | (14,585) | ||
Safehold, Inc. REIT | (168) | (9,658) | ||
(31,056) | ||||
Total Common Stocks Sold Short (Proceeds $(8,744,739)) | (8,720,847) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.6)% | ||||
Canada — (0.0)% | ||||
Brookfield Infrastructure Corporation Class A | (1,222) | (55,650) | ||
Primo Water Corporation | (5,697) | (78,333) | ||
Viemed Healthcare, Inc. * | (1,330) | (12,768) | ||
(146,751) | ||||
Ireland — (0.6)% | ||||
Accenture PLC Class A | (392) | (84,170) | ||
Aon PLC Class A | (10,421) | (2,007,085) | ||
(2,091,255) | ||||
Jersey — (0.0)% | ||||
Mimecast, Ltd. * | (2,185) | (91,027) | ||
Quotient, Ltd. * | (2,764) | (20,454) | ||
(111,481) | ||||
Total Foreign Common Stocks Sold Short (Proceeds $(2,059,485)) | (2,349,487) | |||
MUTUAL FUNDS SOLD SHORT — (2.7)% | ||||
Consumer Discretionary Select SPDR Fund | (2,643) | (337,538) | ||
Consumer Staples Select SPDR Fund | (11,527) | (675,943) | ||
iShares Russell 2000 ETF | (16,294) | (2,332,975) | ||
iShares U.S. Real Estate ETF | (2,356) | (185,676) |
Shares | Value | |||
SPDR S&P Retail ETF | (5,871) | $ (251,748) | ||
SPDR S&P500 ETF Trust | (19,782) | (6,099,978) | ||
Total Mutual Funds Sold Short (Proceeds $(9,745,229)) | (9,883,858) | |||
TOTAL SECURITIES SOLD SHORT —(5.7)% (Proceeds $(20,549,453)) | (20,954,192) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.3)% | ||||
Call Options — (0.0)% | ||||
Apple, Inc., Strike Price $385.00, Expires 07/17/20 (CITI) | (39) | $ (39) | (9,399) | |
Best Buy Co., Inc., Strike Price $85.00, Expires 07/17/20 (CITI) | (36) | (36) | (16,830) | |
Dell Technologies, Inc., Strike Price $55.00, Expires 08/21/20 (CITI) | (29) | (29) | (9,570) | |
Dell Technologies, Inc., Strike Price $57.50, Expires 08/21/20 (CITI) | (57) | (57) | (13,167) | |
Freeport-McMoRan, Inc., Strike Price $12.00, Expires 07/17/20 (CITI) | (79) | (79) | (3,002) | |
Mastercard, Inc., Strike Price $310.00, Expires 07/17/20 (CITI) | (9) | (9) | (1,589) | |
NIKE, Inc., Strike Price $100.00, Expires 07/17/20 (CITI) | (47) | (47) | (7,896) | |
(61,453) | ||||
Call Swaptions — (0.1)% | ||||
Pay .05% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price $0.05, Expires 10/22/21 (DEUT) | 1 | (5,200,000) | (101,396) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (CITI) | 1 | $(4,450,000) | $ (42,479) | ||
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (MSCS) | 1 | (2,480,000) | (23,673) | ||
Pay -.053% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (MSCS) | 1 | (1,980,000) | (18,901) | ||
Pay -.15% (Annually); Receive 6-Month EURIBOR (Semiannually): Interest Rate Swap Maturing 09/30/2025 EUR, Strike Price $(0.15), Expires 09/28/20 (CITI) | 1 | (7,810,000) | (5,048) | ||
(191,497) | |||||
Put Options — (0.1)% | |||||
S&P 500®, Strike Price $2,750.00, Expires 07/13/20 (MSCS) | (21) | (6,510,609) | (9,135) | ||
S&P 500®, Strike Price $2,755.00, Expires 07/10/20 (MSCS) | (21) | (6,510,609) | (7,245) | ||
S&P 500®, Strike Price $2,780.00, Expires 07/24/20 (MSCS) | (20) | (6,200,580) | (31,800) | ||
S&P 500®, Strike Price $2,790.00, Expires 07/27/20 (MSCS) | (21) | (6,510,609) | (38,220) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $2,825.00, Expires 07/22/20 (MSCS) | (20) | $(6,200,580) | $ (34,600) | ||
S&P 500®, Strike Price $2,850.00, Expires 07/29/20 (MSCS) | (21) | (6,510,609) | (58,275) | ||
S&P 500®, Strike Price $2,870.00, Expires 07/15/20 (MSCS) | (20) | (6,200,580) | (27,400) | ||
S&P 500®, Strike Price $2,880.00, Expires 07/20/20 (MSCS) | (20) | (6,200,580) | (41,400) | ||
S&P 500®, Strike Price $2,895.00, Expires 07/17/20 (MSCS) | (18) | (5,580,522) | (36,720) | ||
S&P 500®, Strike Price $2,980.00, Expires 07/08/20 (MSCS) | (18) | (5,580,522) | (25,650) | ||
S&P 500®, Strike Price $3,020.00, Expires 07/02/20 (MSCS) | (21) | (6,510,609) | (14,700) | ||
S&P 500®, Strike Price $3,030.00, Expires 07/06/20 (MSCS) | (18) | (5,580,522) | (28,530) | ||
(353,675) | |||||
Put Swaptions — (0.1)% | |||||
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (MSCS) | 1 | (2,480,000) | (50,148) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (CITI) | 1 | (4,450,000) | (89,984) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive (.053)% (Annually): Interest Rate Swap Maturing 12/15/2030 EUR, Strike Price $(0.53), Expires 12/11/20 (MSCS) | 1 | $(1,980,000) | $(40,038) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 08/17/2025 EUR, Strike Price $(0.35), Expires 08/13/20 (BNP) | 1 | (5,940,000) | (13,322) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 08/17/2025 EUR, Strike Price $(0.35), Expires 08/13/20 (BNP) | 1 | (5,940,000) | (13,322) | ||
Pay 6-Month EURIBOR (Semiannually); Receive (.35)% (Annually): Interest Rate Swap Maturing 09/30/2025 EUR, Strike Price $(0.35), Expires 09/28/20 (CITI) | 1 | (7,810,000) | (26,318) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Seminnually); Receive .05% (Annually): Interest Rate Swap Maturing 10/26/2031 EUR, Strike Price $0.05, Expires 10/22/21 (DEUT) | 1 | $(5,200,000) | $(182,610) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price $0.35, Expires 10/02/20 (MSCS) | 1 | (1,740,000) | (22,584) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price $0.35, Expires 10/02/20 (MSCS) | 1 | (1,640,000) | (21,286) | ||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/02/2030 GBP, Strike Price $0.35, Expires 10/02/20 (MSCS) | 1 | (3,380,000) | (43,869) |
Table of Contents
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month LIBOR (Semiannually); Receive .35% (Semiannually): Interest Rate Swap Maturing 10/21/2030 GBP, Strike Price $0.35, Expires 10/21/20 (MSCS) | 1 | $(3,430,000) | $ (49,080) | ||
(552,561) | |||||
Total Written Options (Premiums received $ (1,639,255)) | (1,159,186) | ||||
Other Assets in Excess of Liabilities — 3.2% | 11,780,721 | ||||
NET ASSETS — 100.0% | $364,453,637 |
% | |
Money Market Funds | 34.2 |
Corporate Bonds | 22.5 |
U.S. Treasury Obligations | 19.3 |
Mortgage-Backed Securities | 7.8 |
Foreign Bonds | 4.4 |
Asset-Backed Securities | 3.8 |
Financials | 2.5 |
Loan Agreements | 1.7 |
Health Care | 1.3 |
Mutual Funds | 1.1 |
Information Technology | 1.1 |
Consumer Discretionary | 1.1 |
Industrials | 0.8 |
Real Estate | 0.3 |
Certificates Of Deposit | 0.3 |
Communication Services | 0.2 |
Materials | 0.2 |
Energy | 0.1 |
Utilities | 0.1 |
Consumer Staples | —** |
Purchased Options | —** |
Rights | —** |
Written Options | (0.3) |
Foreign Common Stocks Sold Short | (0.6) |
Common Stocks Sold Short | (2.4) |
Mutual Funds Sold Short | (2.7) |
96.8 | |
**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) | ||||
10-Year U.S. Treasury Note | 09/2020 | (6) | $ (835,031) | $ 5 | ||||
U.S. Treasury Long Bond | 09/2020 | 23 | 4,106,937 | 15,768 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2020 | 1 | 157,484 | — | ||||
Ultra Long U.S. Treasury Bond | 09/2020 | (4) | (872,625) | 2,034 | ||||
2-Year U.S. Treasury Note | 09/2020 | (130) | (28,707,656) | (10,673) | ||||
5-Year U.S. Treasury Note | 09/2020 | (22) | (2,766,328) | 502 | ||||
Total Futures Contracts outstanding at June 30, 2020 | $(28,917,219) | $ 7,636 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Australian Dollars | 34,139,943 | U.S. Dollars | 21,538,139 | JPM | $ 2,025,091 | ||||||
07/22/20 | Norwegian Kroner | 174,301,464 | U.S. Dollars | 17,128,924 | GSC | 981,449 | ||||||
07/22/20 | Euro | 29,291,208 | U.S. Dollars | 32,104,775 | JPM | 820,653 | ||||||
07/22/20 | New Zealand Dollars | 20,869,632 | U.S. Dollars | 12,707,235 | CITI | 760,704 | ||||||
07/22/20 | Swedish Kronor | 100,239,643 | U.S. Dollars | 10,082,736 | RBC | 677,760 | ||||||
07/22/20 | Norwegian Kroner | 59,701,605 | U.S. Dollars | 5,793,587 | CITI | 409,564 | ||||||
07/22/20 | U.S. Dollars | 16,456,979 | British Pounds | 13,054,847 | RBC | 278,228 | ||||||
07/22/20 | Euro | 7,903,039 | U.S. Dollars | 8,660,861 | SC | 222,724 | ||||||
07/22/20 | Mexican Pesos | 109,988,874 | U.S. Dollars | 4,589,841 | GSC | 180,474 | ||||||
07/22/20 | Swiss Francs | 11,297,238 | U.S. Dollars | 11,774,475 | CITI | 157,583 | ||||||
07/22/20 | U.S. Dollars | 2,468,564 | Brazilian Reals | 12,601,625 | SC | 154,009 | ||||||
07/22/20 | Canadian Dollars | 7,015,343 | U.S. Dollars | 5,023,137 | GSC | 144,657 | ||||||
09/16/20 | U.S. Dollars | 7,522,343 | British Pounds | 5,951,436 | MSCS | 144,489 | ||||||
07/22/20 | New Zealand Dollars | 3,238,664 | U.S. Dollars | 1,961,575 | JPM | 128,454 | ||||||
07/09/20 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,415,996 | MSCS | 117,206 | ||||||
07/22/20 | Canadian Dollars | 4,931,194 | U.S. Dollars | 3,527,625 | SC | 104,898 | ||||||
08/12/20 | Euro | 3,283,295 | U.S. Dollars | 3,587,695 | MSCS | 104,701 | ||||||
07/22/20 | U.S. Dollars | 9,892,093 | Japanese Yen | 1,057,675,428 | RBC | 93,680 | ||||||
07/22/20 | Euro | 2,947,445 | U.S. Dollars | 3,222,714 | CITI | 90,427 | ||||||
07/02/20 | U.S. Dollars | 2,384,051 | Brazilian Reals | 12,479,474 | MSCS | 89,231 | ||||||
07/22/20 | Euro | 2,194,667 | U.S. Dollars | 2,381,280 | GSC | 85,684 | ||||||
07/22/20 | U.S. Dollars | 4,449,612 | British Pounds | 3,525,657 | CITI | 80,297 | ||||||
08/17/20 | Russian Rubles | 123,220,250 | U.S. Dollars | 1,646,128 | MSCS | 74,980 | ||||||
07/22/20 | Swiss Francs | 4,164,318 | U.S. Dollars | 4,325,742 | SC | 72,579 | ||||||
07/22/20 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,589,064 | CITI | 72,519 | ||||||
07/22/20 | Swedish Kronor | 28,278,555 | U.S. Dollars | 2,967,394 | SS | 68,243 | ||||||
07/22/20 | Swedish Kronor | 11,440,721 | U.S. Dollars | 1,161,353 | GSC | 66,782 | ||||||
07/22/20 | U.S. Dollars | 1,138,715 | Chilean Pesos | 883,756,986 | CITI | 62,324 | ||||||
07/22/20 | South African Rand | 16,957,298 | U.S. Dollars | 916,348 | CITI | 58,350 | ||||||
07/22/20 | South African Rand | 16,953,523 | U.S. Dollars | 918,492 | RBC | 55,989 | ||||||
07/03/20 | U.S. Dollars | 2,451,011 | Chilean Pesos | 1,969,292,513 | MSCS | 53,383 | ||||||
07/22/20 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,115,672 | GSC | 52,962 | ||||||
07/22/20 | Swiss Francs | 2,477,357 | U.S. Dollars | 2,564,297 | GSC | 52,269 | ||||||
07/15/20 | Australian Dollars | 877,581 | U.S. Dollars | 559,320 | MSCS | 46,356 | ||||||
07/09/20 | Norwegian Kroner | 7,293,901 | U.S. Dollars | 712,377 | MSCS | 45,439 | ||||||
07/22/20 | Swedish Kronor | 11,279,482 | U.S. Dollars | 1,165,629 | SC | 45,197 | ||||||
08/17/20 | U.S. Dollars | 1,878,113 | Russian Rubles | 131,276,734 | MSCS | 44,474 | ||||||
07/22/20 | U.S. Dollars | 1,374,736 | Mexican Pesos | 30,737,037 | GSC | 41,644 | ||||||
07/22/20 | Brazilian Reals | 5,077,898 | U.S. Dollars | 897,885 | CITI | 34,778 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 3,596,769 | Japanese Yen | 384,589,844 | CITI | $ 33,889 | ||||||
07/22/20 | Chilean Pesos | 883,735,613 | U.S. Dollars | 1,044,062 | RBC | 32,304 | ||||||
07/22/20 | Czech Republic Koruna | 27,372,394 | U.S. Dollars | 1,121,806 | CITI | 32,180 | ||||||
08/04/20 | U.S. Dollars | 644,299 | Brazilian Reals | 3,339,194 | MSCS | 31,371 | ||||||
07/23/20 | Polish Zloty | 2,039,000 | U.S. Dollars | 490,748 | MSCS | 24,673 | ||||||
07/22/20 | South Korean Won | 3,418,524,543 | U.S. Dollars | 2,823,777 | CITI | 24,500 | ||||||
07/22/20 | Czech Republic Koruna | 14,165,640 | U.S. Dollars | 573,162 | SS | 24,044 | ||||||
09/16/20 | U.S. Dollars | 1,768,144 | Canadian Dollars | 2,370,851 | MSCS | 21,512 | ||||||
07/06/20 | Colombian Pesos | 2,712,086,698 | U.S. Dollars | 700,264 | MSCS | 21,034 | ||||||
07/15/20 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 279,462 | MSCS | 19,472 | ||||||
09/17/20 | U.S. Dollars | 601,650 | Mexican Pesos | 13,542,495 | MSCS | 18,670 | ||||||
07/22/20 | U.S. Dollars | 3,393,899 | British Pounds | 2,724,155 | SC | 17,879 | ||||||
07/22/20 | Euro | 563,237 | U.S. Dollars | 615,719 | SS | 17,400 | ||||||
07/22/20 | U.S. Dollars | 1,979,935 | New Zealand Dollars | 3,042,623 | SC | 16,419 | ||||||
07/22/20 | Norwegian Kroner | 16,134,214 | U.S. Dollars | 1,660,113 | SS | 16,274 | ||||||
07/22/20 | U.S. Dollars | 1,223,617 | Japanese Yen | 130,328,714 | GSC | 16,239 | ||||||
07/22/20 | Mexican Pesos | 10,427,263 | U.S. Dollars | 436,653 | SC | 15,587 | ||||||
07/22/20 | New Zealand Dollars | 526,421 | U.S. Dollars | 324,443 | MSCS | 15,276 | ||||||
07/16/20 | Canadian Dollars | 412,451 | U.S. Dollars | 289,795 | MSCS | 14,028 | ||||||
09/16/20 | Chinese Offshore Yuan | 36,753,873 | U.S. Dollars | 5,163,051 | MSCS | 12,410 | ||||||
07/13/20 | Turkish Lira | 1,402,621 | U.S. Dollars | 191,665 | MSCS | 12,293 | ||||||
09/16/20 | U.S. Dollars | 1,672,496 | Japanese Yen | 179,068,170 | MSCS | 12,285 | ||||||
07/22/20 | U.S. Dollars | 3,066,571 | Canadian Dollars | 4,146,326 | SC | 12,214 | ||||||
09/16/20 | U.S. Dollars | 1,992,444 | Euro | 1,760,127 | MSCS | 11,454 | ||||||
07/02/20 | Brazilian Reals | 3,484,909 | U.S. Dollars | 629,518 | MSCS | 11,313 | ||||||
07/22/20 | Canadian Dollars | 2,795,460 | U.S. Dollars | 2,048,269 | CITI | 10,984 | ||||||
07/06/20 | U.S. Dollars | 541,355 | Colombian Pesos | 1,998,004,589 | MSCS | 9,971 | ||||||
07/22/20 | U.S. Dollars | 1,576,721 | Australian Dollars | 2,270,470 | SC | 9,653 | ||||||
08/27/20 | U.S. Dollars | 867,773 | Chilean Pesos | 704,609,072 | MSCS | 9,221 | ||||||
07/09/20 | U.S. Dollars | 663,335 | Norwegian Kroner | 6,296,124 | MSCS | 9,185 | ||||||
07/22/20 | British Pounds | 2,305,684 | U.S. Dollars | 2,849,480 | SC | 7,933 | ||||||
07/20/20 | U.S. Dollars | 615,814 | Indonesian Rupiahs | 8,815,894,359 | MSCS | 7,667 | ||||||
09/16/20 | U.S. Dollars | 794,314 | Polish Zloty | 3,111,823 | MSCS | 7,571 | ||||||
07/20/20 | Taiwan Dollars | 12,638,216 | U.S. Dollars | 424,696 | MSCS | 6,162 | ||||||
07/15/20 | South Korean Won | 1,020,480,099 | U.S. Dollars | 843,529 | MSCS | 6,130 | ||||||
09/16/20 | Swedish Kronor | 7,893,598 | Euro | 748,108 | MSCS | 5,960 | ||||||
07/22/20 | South Korean Won | 1,351,645,495 | U.S. Dollars | 1,120,257 | SC | 5,920 | ||||||
07/22/20 | U.S. Dollars | 454,579 | Swedish Kronor | 4,179,587 | SC | 5,910 | ||||||
07/01/20 | South African Rand | 2,257,059 | U.S. Dollars | 124,166 | MSCS | 5,905 | ||||||
07/20/20 | Indonesian Rupiahs | 4,842,832,029 | U.S. Dollars | 328,440 | MSCS | 5,633 | ||||||
07/09/20 | Swiss Francs | 245,631 | U.S. Dollars | 253,798 | MSCS | 5,530 | ||||||
09/16/20 | Australian Dollars | 1,541,039 | U.S. Dollars | 1,058,435 | MSCS | 5,316 | ||||||
07/06/20 | Taiwan Dollars | 12,349,256 | U.S. Dollars | 414,405 | MSCS | 4,886 | ||||||
07/15/20 | U.S. Dollars | 701,293 | British Pounds | 562,132 | MSCS | 4,682 | ||||||
07/22/20 | Japanese Yen | 428,659,329 | U.S. Dollars | 3,966,644 | SS | 4,500 | ||||||
07/22/20 | Japanese Yen | 372,008,304 | U.S. Dollars | 3,442,179 | GSC | 4,144 | ||||||
07/15/20 | Indian Rupees | 32,365,783 | U.S. Dollars | 423,941 | MSCS | 3,946 | ||||||
09/16/20 | Canadian Dollars | 1,328,286 | Euro | 866,294 | MSCS | 3,566 | ||||||
07/22/20 | U.S. Dollars | 1,137,153 | Czech Republic Koruna | 26,897,860 | SC | 3,173 | ||||||
07/22/20 | Norwegian Kroner | 30,171,336 | U.S. Dollars | 3,131,749 | SC | 3,131 | ||||||
07/15/20 | Hungarian Forint | 37,186,149 | U.S. Dollars | 114,867 | MSCS | 3,096 | ||||||
07/13/20 | U.S. Dollars | 418,907 | Turkish Lira | 2,860,776 | MSCS | 2,917 | ||||||
08/12/20 | U.S. Dollars | 415,052 | Euro | 366,600 | MSCS | 2,774 | ||||||
07/22/20 | U.S. Dollars | 834,635 | Swiss Francs | 787,701 | SC | 2,671 | ||||||
09/02/20 | South Korean Won | 440,076,580 | U.S. Dollars | 364,435 | MSCS | 2,489 | ||||||
09/16/20 | British Pounds | 330,083 | Euro | 361,373 | MSCS | 2,477 |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 1,734,450 | Euro | 1,540,829 | SC | $ 2,447 | ||||||
09/18/20 | U.S. Dollars | 345,586 | South African Rand | 6,009,000 | MSCS | 2,186 | ||||||
09/16/20 | U.S. Dollars | 208,857 | Norwegian Kroner | 1,989,068 | MSCS | 2,145 | ||||||
09/16/20 | U.S. Dollars | 237,467 | Australian Dollars | 340,986 | MSCS | 2,091 | ||||||
09/16/20 | U.S. Dollars | 199,110 | Chilean Pesos | 161,756,819 | MSCS | 1,944 | ||||||
07/27/20 | U.S. Dollars | 209,815 | Colombian Pesos | 783,070,311 | MSCS | 1,940 | ||||||
09/16/20 | Israeli Shekels | 725,243 | U.S. Dollars | 208,006 | MSCS | 1,812 | ||||||
09/16/20 | U.S. Dollars | 209,052 | Israeli Shekels | 716,453 | MSCS | 1,777 | ||||||
09/16/20 | Swiss Francs | 375,573 | Euro | 351,529 | MSCS | 1,705 | ||||||
09/16/20 | Turkish Lira | 2,530,264 | U.S. Dollars | 359,419 | MSCS | 1,703 | ||||||
07/22/20 | U.S. Dollars | 1,543,392 | Australian Dollars | 2,233,854 | GSC | 1,596 | ||||||
09/16/20 | Canadian Dollars | 846,844 | U.S. Dollars | 622,295 | MSCS | 1,585 | ||||||
07/01/20 | Singapore Dollars | 103,302 | U.S. Dollars | 72,615 | MSCS | 1,510 | ||||||
07/23/20 | U.S. Dollars | 174,808 | Polish Zloty | 686,142 | MSCS | 1,364 | ||||||
09/16/20 | Euro | 185,722 | Norwegian Kroner | 1,998,774 | MSCS | 1,306 | ||||||
09/16/20 | U.S. Dollars | 415,876 | South African Rand | 7,253,417 | MSCS | 1,283 | ||||||
07/22/20 | Chilean Pesos | 41,327,274 | U.S. Dollars | 49,054 | CITI | 1,281 | ||||||
07/22/20 | Australian Dollars | 906,410 | U.S. Dollars | 624,322 | SC | 1,278 | ||||||
07/22/20 | U.S. Dollars | 143,563 | Japanese Yen | 15,367,257 | MSCS | 1,199 | ||||||
09/16/20 | U.S. Dollars | 208,790 | Swedish Kronor | 1,934,398 | MSCS | 994 | ||||||
09/16/20 | Swedish Kronor | 1,879,157 | U.S. Dollars | 200,984 | MSCS | 878 | ||||||
09/16/20 | Norwegian Kroner | 1,887,636 | Euro | 173,579 | MSCS | 811 | ||||||
09/16/20 | Swiss Francs | 375,869 | U.S. Dollars | 396,907 | MSCS | 750 | ||||||
09/16/20 | Euro | 503,301 | U.S. Dollars | 565,784 | MSCS | 672 | ||||||
09/16/20 | U.S. Dollars | 208,739 | Turkish Lira | 1,457,917 | MSCS | 664 | ||||||
07/27/20 | U.S. Dollars | 205,933 | Turkish Lira | 1,418,753 | MSCS | 392 | ||||||
09/16/20 | Euro | 184,792 | Canadian Dollars | 281,889 | MSCS | 309 | ||||||
07/28/20 | Indian Rupees | 3,061,728 | U.S. Dollars | 40,122 | MSCS | 291 | ||||||
09/16/20 | Euro | 177,498 | Swiss Francs | 188,658 | MSCS | 176 | ||||||
07/09/20 | U.S. Dollars | 57,926 | Swedish Kronor | 538,334 | MSCS | 147 | ||||||
07/29/20 | U.S. Dollars | 209,023 | Turkish Lira | 1,443,032 | MSCS | 76 | ||||||
09/16/20 | Euro | 171,402 | British Pounds | 155,571 | MSCS | 52 | ||||||
Subtotal Appreciation | $ 9,496,418 | |||||||||||
09/18/20 | Singapore Dollars | 103,302 | U.S. Dollars | 74,195 | MSCS | $ (52) | ||||||
09/16/20 | U.S. Dollars | 202,831 | Canadian Dollars | 275,427 | MSCS | (79) | ||||||
07/15/20 | U.S. Dollars | 88,562 | Hong Kong Dollars | 687,101 | MSCS | (84) | ||||||
07/22/20 | Turkish Lira | 3,231,531 | U.S. Dollars | 468,881 | SS | (96) | ||||||
07/15/20 | South Korean Won | 251,115,203 | U.S. Dollars | 209,299 | MSCS | (219) | ||||||
07/15/20 | Israeli Shekels | 143,082 | U.S. Dollars | 41,707 | MSCS | (385) | ||||||
09/16/20 | Israeli Shekels | 439,035 | U.S. Dollars | 127,516 | MSCS | (500) | ||||||
07/22/20 | U.S. Dollars | 79,309 | Japanese Yen | 8,616,241 | MSCS | (513) | ||||||
09/16/20 | Euro | 175,141 | British Pounds | 159,449 | MSCS | (546) | ||||||
08/03/20 | Indonesian Rupiahs | 3,043,017,501 | U.S. Dollars | 208,819 | MSCS | (637) | ||||||
08/27/20 | U.S. Dollars | 294,476 | Chilean Pesos | 242,221,165 | MSCS | (666) | ||||||
08/27/20 | Chilean Pesos | 1,173,838,416 | U.S. Dollars | 1,430,987 | MSCS | (688) | ||||||
09/16/20 | U.S. Dollars | 455,474 | Euro | 405,325 | MSCS | (712) | ||||||
09/16/20 | New Zealand Dollars | 99,344 | U.S. Dollars | 64,855 | MSCS | (754) | ||||||
09/16/20 | Japanese Yen | 22,664,544 | British Pounds | 170,143 | MSCS | (790) | ||||||
09/17/20 | U.S. Dollars | 209,251 | Mexican Pesos | 4,879,535 | MSCS | (805) | ||||||
08/12/20 | Euro | 246,411 | U.S. Dollars | 277,929 | MSCS | (815) | ||||||
07/27/20 | U.S. Dollars | 594,589 | Colombian Pesos | 2,243,057,963 | MSCS | (855) | ||||||
07/22/20 | U.S. Dollars | 49,450 | Chilean Pesos | 41,320,643 | GSC | (877) | ||||||
07/22/20 | Japanese Yen | 11,440,110 | U.S. Dollars | 106,875 | MSCS | (893) | ||||||
09/16/20 | Chinese Offshore Yuan | 5,945,190 | U.S. Dollars | 838,113 | MSCS | (947) | ||||||
09/16/20 | Polish Zloty | 2,469,882 | Euro | 555,693 | MSCS | (978) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/27/20 | U.S. Dollars | 210,000 | Turkish Lira | 1,457,566 | MSCS | $ (1,164) | ||||||
07/15/20 | Australian Dollars | 367,227 | U.S. Dollars | 254,718 | MSCS | (1,271) | ||||||
09/16/20 | U.S. Dollars | 209,218 | Norwegian Kroner | 2,025,794 | MSCS | (1,310) | ||||||
07/28/20 | Indian Rupees | 20,374,092 | U.S. Dollars | 270,285 | MSCS | (1,358) | ||||||
09/16/20 | Hungarian Forint | 15,973,037 | U.S. Dollars | 52,213 | MSCS | (1,557) | ||||||
09/16/20 | U.S. Dollars | 231,374 | Taiwan Dollars | 6,775,552 | MSCS | (1,563) | ||||||
07/15/20 | U.S. Dollars | 432,084 | South Korean Won | 521,337,842 | MSCS | (1,985) | ||||||
07/22/20 | Turkish Lira | 3,309,827 | U.S. Dollars | 482,131 | GSC | (1,987) | ||||||
07/22/20 | U.S. Dollars | 1,609,412 | Japanese Yen | 173,943,144 | SC | (2,015) | ||||||
09/16/20 | U.S. Dollars | 214,346 | New Zealand Dollars | 335,547 | MSCS | (2,166) | ||||||
09/18/20 | South African Rand | 6,300,532 | U.S. Dollars | 362,352 | MSCS | (2,292) | ||||||
09/16/20 | Euro | 548,287 | Polish Zloty | 2,449,867 | MSCS | (2,297) | ||||||
08/17/20 | U.S. Dollars | 209,239 | Russian Rubles | 15,150,201 | MSCS | (2,375) | ||||||
07/22/20 | U.S. Dollars | 3,094,526 | Swiss Francs | 2,932,141 | GSC | (2,379) | ||||||
09/16/20 | Euro | 367,392 | Swiss Francs | 393,128 | MSCS | (2,424) | ||||||
09/16/20 | Euro | 287,804 | Canadian Dollars | 443,359 | MSCS | (2,709) | ||||||
07/15/20 | British Pounds | 454,583 | U.S. Dollars | 566,066 | MSCS | (2,734) | ||||||
09/16/20 | Swedish Kronor | 5,236,167 | U.S. Dollars | 565,475 | MSCS | (2,997) | ||||||
07/15/20 | U.S. Dollars | 209,844 | Israeli Shekels | 737,000 | MSCS | (3,002) | ||||||
08/25/20 | U.S. Dollars | 55,280 | Colombian Pesos | 220,154,122 | MSCS | (3,013) | ||||||
07/16/20 | Canadian Dollars | 1,297,036 | U.S. Dollars | 958,670 | MSCS | (3,236) | ||||||
07/15/20 | U.S. Dollars | 642,972 | Taiwan Dollars | 18,987,338 | MSCS | (3,395) | ||||||
07/22/20 | U.S. Dollars | 3,468,541 | Euro | 3,088,776 | SC | (3,466) | ||||||
09/16/20 | Euro | 740,366 | Swedish Kronor | 7,789,919 | MSCS | (3,535) | ||||||
07/22/20 | U.S. Dollars | 565,006 | South Korean Won | 682,482,511 | SS | (3,631) | ||||||
09/16/20 | Norwegian Kroner | 1,988,912 | Swedish Kronor | 1,962,201 | MSCS | (4,087) | ||||||
09/16/20 | U.S. Dollars | 319,551 | Thai Baht | 10,008,408 | MSCS | (4,221) | ||||||
09/16/20 | Turkish Lira | 3,504,996 | U.S. Dollars | 504,512 | MSCS | (4,275) | ||||||
07/15/20 | U.S. Dollars | 167,472 | Hungarian Forint | 54,216,000 | MSCS | (4,514) | ||||||
07/09/20 | U.S. Dollars | 220,082 | Swiss Francs | 213,000 | MSCS | (4,795) | ||||||
09/16/20 | Norwegian Kroner | 2,033,909 | Euro | 192,399 | MSCS | (5,170) | ||||||
07/01/20 | South African Rand | 4,043,466 | U.S. Dollars | 238,322 | MSCS | (5,303) | ||||||
09/16/20 | British Pounds | 336,352 | U.S. Dollars | 422,295 | MSCS | (5,328) | ||||||
07/22/20 | U.S. Dollars | 4,875,425 | Japanese Yen | 526,901,776 | JPM | (5,847) | ||||||
07/22/20 | Canadian Dollars | 1,811,293 | U.S. Dollars | 1,340,192 | GSC | (5,918) | ||||||
07/22/20 | U.S. Dollars | 468,058 | Brazilian Reals | 2,582,745 | CITI | (6,318) | ||||||
09/16/20 | Swiss Francs | 1,689,554 | U.S. Dollars | 1,793,881 | MSCS | (6,386) | ||||||
07/01/20 | U.S. Dollars | 135,551 | South African Rand | 2,464,000 | MSCS | (6,446) | ||||||
09/16/20 | South African Rand | 4,850,763 | U.S. Dollars | 284,626 | MSCS | (7,364) | ||||||
09/16/20 | U.S. Dollars | 614,509 | Australian Dollars | 901,006 | MSCS | (7,440) | ||||||
07/22/20 | U.S. Dollars | 95,818 | New Zealand Dollars | 160,167 | MSCS | (7,544) | ||||||
09/16/20 | U.S. Dollars | 663,398 | Turkish Lira | 4,701,136 | MSCS | (7,553) | ||||||
08/06/20 | U.S. Dollars | 1,249,686 | Taiwan Dollars | 36,742,806 | MSCS | (7,627) | ||||||
09/16/20 | Japanese Yen | 45,493,648 | Australian Dollars | 622,172 | MSCS | (7,685) | ||||||
07/15/20 | U.S. Dollars | 835,775 | Indian Rupees | 63,821,061 | MSCS | (7,960) | ||||||
07/22/20 | Canadian Dollars | 1,607,457 | U.S. Dollars | 1,192,252 | SC | (8,132) | ||||||
09/16/20 | U.S. Dollars | 839,164 | Israeli Shekels | 2,928,834 | MSCS | (8,168) | ||||||
07/22/20 | U.S. Dollars | 7,197,752 | Swiss Francs | 6,822,608 | SC | (8,235) | ||||||
09/16/20 | U.S. Dollars | 2,822,825 | Chinese Offshore Yuan | 20,105,649 | MSCS | (8,333) | ||||||
07/22/20 | South African Rand | 11,323,533 | U.S. Dollars | 660,804 | GSC | (9,932) | ||||||
07/22/20 | U.S. Dollars | 585,079 | South Korean Won | 714,264,721 | CITI | (10,038) | ||||||
07/06/20 | Colombian Pesos | 2,329,316,921 | U.S. Dollars | 629,675 | MSCS | (10,177) | ||||||
07/20/20 | U.S. Dollars | 1,085,612 | Taiwan Dollars | 32,151,085 | MSCS | (10,473) | ||||||
07/20/20 | U.S. Dollars | 337,200 | Turkish Lira | 2,397,053 | MSCS | (10,716) | ||||||
08/04/20 | Brazilian Reals | 2,277,510 | U.S. Dollars | 428,857 | MSCS | (10,808) | ||||||
09/02/20 | U.S. Dollars | 448,830 | South Korean Won | 551,625,660 | MSCS | (11,101) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | Norwegian Kroner | 7,515,391 | U.S. Dollars | 792,892 | SC | $ (12,023) | ||||||
07/28/20 | U.S. Dollars | 1,429,870 | Indian Rupees | 109,249,527 | MSCS | (12,166) | ||||||
07/22/20 | U.S. Dollars | 535,929 | Hungarian Forint | 173,640,910 | SS | (14,861) | ||||||
07/09/20 | Mexican Pesos | 5,880,673 | U.S. Dollars | 270,617 | MSCS | (15,092) | ||||||
09/16/20 | U.S. Dollars | 1,623,418 | Swiss Francs | 1,549,570 | MSCS | (15,978) | ||||||
09/16/20 | British Pounds | 1,404,576 | Euro | 1,561,646 | MSCS | (16,385) | ||||||
07/09/20 | U.S. Dollars | 154,411 | Norwegian Kroner | 1,649,270 | MSCS | (16,944) | ||||||
07/20/20 | Indonesian Rupiahs | 11,764,670,266 | U.S. Dollars | 828,954 | MSCS | (17,392) | ||||||
07/09/20 | U.S. Dollars | 371,546 | Mexican Pesos | 8,954,199 | MSCS | (17,529) | ||||||
07/15/20 | U.S. Dollars | 257,499 | Czech Republic Koruna | 6,533,726 | MSCS | (17,942) | ||||||
09/16/20 | Canadian Dollars | 2,514,279 | U.S. Dollars | 1,871,297 | MSCS | (19,000) | ||||||
07/22/20 | U.S. Dollars | 2,787,399 | South Korean Won | 3,368,571,519 | GSC | (19,258) | ||||||
07/20/20 | U.S. Dollars | 415,442 | Indonesian Rupiahs | 6,312,461,404 | MSCS | (20,009) | ||||||
09/16/20 | Japanese Yen | 231,815,584 | U.S. Dollars | 2,169,634 | MSCS | (20,381) | ||||||
07/23/20 | U.S. Dollars | 424,320 | Polish Zloty | 1,763,000 | MSCS | (21,333) | ||||||
07/22/20 | U.S. Dollars | 857,484 | Canadian Dollars | 1,196,561 | CITI | (23,952) | ||||||
07/22/20 | British Pounds | 3,873,890 | U.S. Dollars | 4,825,643 | SS | (24,767) | ||||||
07/22/20 | U.S. Dollars | 457,069 | South African Rand | 8,384,475 | SS | (24,867) | ||||||
07/22/20 | U.S. Dollars | 1,592,781 | Hungarian Forint | 510,055,302 | CITI | (25,117) | ||||||
08/17/20 | Russian Rubles | 85,535,428 | U.S. Dollars | 1,224,925 | MSCS | (30,190) | ||||||
09/16/20 | Australian Dollars | 3,853,096 | U.S. Dollars | 2,690,334 | MSCS | (30,611) | ||||||
07/22/20 | U.S. Dollars | 849,572 | Mexican Pesos | 20,306,049 | RBC | (31,119) | ||||||
07/22/20 | Mexican Pesos | 12,299,311 | U.S. Dollars | 564,771 | CITI | (31,339) | ||||||
07/02/20 | U.S. Dollars | 1,114,875 | Brazilian Reals | 6,234,726 | MSCS | (31,614) | ||||||
07/15/20 | U.S. Dollars | 389,252 | Australian Dollars | 610,743 | MSCS | (32,261) | ||||||
07/13/20 | U.S. Dollars | 610,918 | Turkish Lira | 4,430,262 | MSCS | (33,294) | ||||||
07/22/20 | U.S. Dollars | 1,825,027 | Canadian Dollars | 2,531,613 | RBC | (39,865) | ||||||
07/22/20 | Brazilian Reals | 3,306,483 | U.S. Dollars | 648,063 | SC | (40,758) | ||||||
07/22/20 | U.S. Dollars | 1,111,379 | Canadian Dollars | 1,567,734 | SC | (43,479) | ||||||
07/16/20 | U.S. Dollars | 1,057,380 | Canadian Dollars | 1,495,053 | MSCS | (43,918) | ||||||
07/22/20 | U.S. Dollars | 553,228 | Brazilian Reals | 3,261,832 | GSC | (45,876) | ||||||
07/06/20 | U.S. Dollars | 1,359,899 | Colombian Pesos | 5,286,456,993 | MSCS | (46,071) | ||||||
07/22/20 | U.S. Dollars | 4,502,000 | Swiss Francs | 4,311,169 | RBC | (51,424) | ||||||
07/22/20 | U.S. Dollars | 570,357 | Brazilian Reals | 3,386,211 | SC | (51,592) | ||||||
07/22/20 | British Pounds | 3,962,987 | U.S. Dollars | 4,963,003 | SC | (51,710) | ||||||
07/22/20 | Japanese Yen | 739,326,353 | U.S. Dollars | 6,901,677 | GSC | (52,483) | ||||||
07/22/20 | U.S. Dollars | 597,483 | South African Rand | 11,326,477 | CITI | (53,559) | ||||||
07/22/20 | U.S. Dollars | 1,408,197 | South African Rand | 25,520,900 | GSC | (58,733) | ||||||
07/22/20 | U.S. Dollars | 2,668,888 | Euro | 2,426,860 | RBC | (59,077) | ||||||
07/22/20 | Japanese Yen | 1,344,143,111 | U.S. Dollars | 12,516,198 | SC | (63,919) | ||||||
07/22/20 | U.S. Dollars | 1,778,249 | Mexican Pesos | 42,708,195 | SS | (74,044) | ||||||
09/16/20 | Euro | 6,876,693 | U.S. Dollars | 7,813,691 | MSCS | (74,099) | ||||||
07/22/20 | U.S. Dollars | 1,101,638 | Swedish Kronor | 10,954,941 | JPM | (74,349) | ||||||
07/22/20 | U.S. Dollars | 2,663,276 | Turkish Lira | 18,883,805 | RBC | (76,126) | ||||||
07/22/20 | U.S. Dollars | 4,522,848 | Swiss Francs | 4,354,462 | JPM | (76,302) | ||||||
09/17/20 | Mexican Pesos | 40,829,400 | U.S. Dollars | 1,836,142 | MSCS | (78,510) | ||||||
07/22/20 | U.S. Dollars | 1,577,930 | Polish Zloty | 6,572,869 | GSC | (83,560) | ||||||
07/03/20 | Chilean Pesos | 1,969,292,513 | U.S. Dollars | 2,486,985 | MSCS | (89,359) | ||||||
09/16/20 | Norwegian Kroner | 27,519,457 | U.S. Dollars | 2,954,047 | MSCS | (94,110) | ||||||
08/12/20 | U.S. Dollars | 2,746,035 | Euro | 2,526,968 | MSCS | (95,797) | ||||||
07/22/20 | British Pounds | 16,018,571 | U.S. Dollars | 19,964,474 | JPM | (112,807) | ||||||
07/09/20 | U.S. Dollars | 1,420,088 | Swedish Kronor | 14,326,284 | MSCS | (117,545) | ||||||
07/22/20 | U.S. Dollars | 4,015,492 | Australian Dollars | 6,012,737 | GSC | (134,471) | ||||||
07/22/20 | U.S. Dollars | 2,859,146 | Czech Republic Koruna | 71,049,761 | GSC | (136,223) | ||||||
07/02/20 | Brazilian Reals | 15,229,291 | U.S. Dollars | 2,949,856 | MSCS | (149,374) | ||||||
07/22/20 | Japanese Yen | 1,939,676,077 | U.S. Dollars | 18,136,114 | CITI | (166,757) |
Table of Contents
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/22/20 | U.S. Dollars | 10,436,454 | Swiss Francs | 10,054,229 | SS | $ (182,747) | ||||||
07/22/20 | U.S. Dollars | 9,783,431 | Euro | 8,875,447 | CITI | (193,210) | ||||||
07/22/20 | Brazilian Reals | 18,525,377 | U.S. Dollars | 3,635,992 | GSC | (233,415) | ||||||
07/22/20 | U.S. Dollars | 8,821,188 | Canadian Dollars | 12,315,693 | JPM | (251,065) | ||||||
07/22/20 | U.S. Dollars | 3,291,695 | Australian Dollars | 5,220,396 | SS | (311,398) | ||||||
07/22/20 | U.S. Dollars | 5,588,928 | Norwegian Kroner | 56,895,728 | JPM | (322,685) | ||||||
07/22/20 | U.S. Dollars | 5,170,848 | Swedish Kronor | 51,482,436 | SC | (355,673) | ||||||
07/22/20 | U.S. Dollars | 15,556,040 | Euro | 14,183,166 | GSC | (386,861) | ||||||
07/22/20 | U.S. Dollars | 4,570,049 | Australian Dollars | 7,204,226 | SC | (402,275) | ||||||
07/22/20 | U.S. Dollars | 7,236,655 | Norwegian Kroner | 74,087,132 | SS | (461,190) | ||||||
07/22/20 | U.S. Dollars | 7,281,380 | New Zealand Dollars | 12,019,842 | SS | (475,465) | ||||||
07/22/20 | U.S. Dollars | 8,092,993 | Norwegian Kroner | 82,547,076 | SC | (483,861) | ||||||
07/22/20 | U.S. Dollars | 20,093,430 | Euro | 18,311,497 | SS | (490,012) | ||||||
07/22/20 | U.S. Dollars | 7,584,558 | Australian Dollars | 11,772,729 | CITI | (540,925) | ||||||
07/22/20 | U.S. Dollars | 8,775,912 | Australian Dollars | 13,663,239 | RBC | (654,392) | ||||||
07/22/20 | U.S. Dollars | 11,477,444 | New Zealand Dollars | 18,945,178 | SC | (748,575) | ||||||
Subtotal Depreciation | $(9,705,716) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2020 | $ (209,298) |
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 | ||||||||||||||||
3-Month KLIBOR (Quarterly) | 2.25% (Quarterly) | 6/17/2022 | BOA | MYR | 46,220,000 | $ 54,750 | $30,760 | $ 23,990 | ||||||||
3-Month TELBOR (Quarterly) | 1.41% (Annually) | 12/18/2029 | DEUT | ILS | 3,165,000 | 78,836 | — | 78,836 | ||||||||
3-Month TELBOR (Quarterly) | 1.02% (Annually) | 3/18/2030 | BOA | ILS | 1,575,000 | 20,601 | 219 | 20,382 | ||||||||
$154,187 | $30,979 | $123,208 |
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 (Upon termination) | 4.81% (Upon termination) | 1/3/2022 | BRL | 10,828,285 | $ 65,570 | $ — | $ 65,570 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 10,279,504 | 38,815 | 7,126 | 31,689 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 4.50% (Lunar) | 9/15/2022 | MXN | 93,100,000 | 12,661 | (2,466) | 15,127 | |||||||
1-Day MIBOR (Semiannually) | 3.75% (Semiannually) | 9/16/2022 | INR | 678,440,000 | 12,069 | (5,164) | 17,233 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.66% (Upon termination) | 1/2/2023 | BRL | 8,165,533 | 139,894 | 34,332 | 105,562 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.75% (Upon termination) | 1/2/2023 | BRL | 2,772,127 | 29,023 | 15,060 | 13,963 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.37% (Upon termination) | 1/2/2023 | BRL | 2,150,019 | 27,434 | — | 27,434 | |||||||
3-Month CDOR (Semiannually) | 0.50% (Semiannually) | 9/16/2023 | CAD | 45,850,000 | (156,942) | (193,240) | 36,298 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 5.33% (Upon termination) | 1/2/2024 | BRL | 3,814,615 | 15,134 | (2,627) | 17,761 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 1,374,705 | 544 | (691) | 1,235 | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 40,700,000 | 7,164 | 651 | 6,513 |
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) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 6.26% (Upon termination) | 1/2/2025 | BRL | 5,858,239 | $ 51,956 | $ 18,866 | $ 33,090 | |||||||
6-Month ASX BBSW (Semiannually) | 0.55% (Semiannually) | 5/16/2025 | AUD | 24,590,000 | 9,626 | (15,682) | 25,308 | |||||||
1-Day SONIA (Annually) | 0.27% (Annually) | 6/17/2025 | GBP | 8,880,000 | 149,382 | 66,042 | 83,340 | |||||||
1-Day SONIA (Annually) | 0.03% (Annually) | 6/17/2025 | GBP | 6,610,000 | 13,631 | (15,806) | 29,437 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.40% (Lunar) | 9/11/2025 | MXN | 130,650,000 | 138,442 | 23,272 | 115,170 | |||||||
1-Day CLP-TNA (Semiannually) | 1.60% (Semiannually) | 9/16/2025 | CLP | 3,184,065,000 | 63,525 | 37,130 | 26,395 | |||||||
6-Month NIBOR (Semiannually) | 0.50% (Annually) | 9/16/2025 | NOK | 16,780,000 | (15,349) | (16,420) | 1,071 | |||||||
6-Month ASX BBSW (Semiannually) | 0.96% (Semiannually) | 4/21/2027 | AUD | 9,040,000 | 30,550 | 1,583 | 28,967 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2027 | EUR | 8,860,000 | (198,661) | (206,744) | 8,083 | |||||||
6-Month ASX BBSW (Semiannually) | 1.25% (Semiannually) | 9/16/2027 | AUD | 9,480,000 | 270,242 | 255,415 | 14,827 | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 4/26/2028 | AUD | 12,030,000 | 24,410 | (24,704) | 49,114 | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 2,790,000 | 42,054 | 22,298 | 19,756 | |||||||
3-Month LIBOR (Quarterly) | 0.98% (Semiannually) | 5/21/2030 | USD | 15,550,000 | 24,647 | (15,885) | 40,532 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 11,940,000 | 36,951 | (6,067) | 43,018 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/18/2030 | USD | 4,370,000 | 169,865 | 120,614 | 49,251 | |||||||
1.14% (Semiannually) | 3-Month CDOR (Semiannually) | 6/24/2030 | CAD | 16,250,000 | (4,345) | (16,791) | 12,446 | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 9/16/2030 | AUD | 6,810,000 | 273,104 | 191,734 | 81,370 | |||||||
0.10% (Annually) | 6-Month LIBOR (Semiannually) | 9/17/2030 | CHF | 1,290,000 | 2,786 | (1,694) | 4,480 | |||||||
6-Month EURIBOR (Semiannually) | (0.05)% (Annually) | 12/15/2030 | EUR | 1,340,000 | 14,305 | 7,661 | 6,644 | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 10/26/2031 | EUR | 720,000 | 11,245 | 6,113 | 5,132 | |||||||
1.36% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 4/21/2040 | AUD | 2,620,000 | 29,919 | (1,185) | 31,104 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 5,680,000 | 41,815 | 22,407 | 19,408 | |||||||
0.75% (Annually) | 6-Month EURIBOR (Semiannually) | 6/19/2040 | EUR | 1,680,000 | (81,904) | (83,530) | 1,626 | |||||||
1.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/19/2040 | GBP | 810,000 | (93,888) | (98,130) | 4,242 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/19/2040 | USD | 1,480,000 | 82,912 | 73,684 | 9,228 | |||||||
0.86% (Semiannually) | 3-Month LIBOR (Quarterly) | 4/9/2045 | USD | 10,120,000 | 87,742 | — | 87,742 | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 6/17/2050 | CAD | 2,260,000 | 165,525 | 92,485 | 73,040 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/20/2050 | GBP | 710,000 | (51,480) | (56,146) | 4,666 | |||||||
3-Month LIBOR (Quarterly) | 1.75% (Semiannually) | 6/20/2050 | USD | 290,000 | 18,216 | 13,825 | 4,391 | |||||||
Subtotal Appreciation | $ 1,498,589 | $ 247,326 | $ 1,251,263 | |||||||||||
6.24% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 5,678,032 | $ (69,552) | $ — | $ (69,552) | |||||||
6.94% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,750,231 | (60,007) | — | (60,007) | |||||||
7.22% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 3,969,719 | (69,510) | — | (69,510) | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2023 | USD | 25,620,000 | (205,263) | (153,795) | (51,468) | |||||||
6.84% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 3,348,486 | (49,328) | — | (49,328) | |||||||
3-Month CDOR (Semiannually) | 0.84% (Semiannually) | 6/24/2024 | CAD | 75,630,000 | (5,546) | 30,866 | (36,412) | |||||||
(0.31)% (Annually) | 6-Month EURIBOR (Semiannually) | 5/18/2025 | EUR | 18,220,000 | (18,687) | 16,984 | (35,671) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (16) | — | (16) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 6/17/2025 | CNY | 67,610,000 | 77,035 | 90,825 | (13,790) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2025 | GBP | 1,500,000 | (70,749) | (70,061) | (688) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2027 | GBP | 5,700,000 | (348,289) | (280,561) | (67,728) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 9/16/2027 | CHF | 9,660,000 | (56,377) | (54,453) | (1,924) | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/10/2030 | GBP | 6,730,000 | (7,170) | 83,177 | (90,347) | |||||||
0.57% (Annually) | 1-Day SONIA (Annually) | 3/18/2030 | GBP | 2,580,000 | (148,322) | 6,359 | (154,681) | |||||||
6-Month LIBOR (Semiannually) | 0.25% (Semiannually) | 3/19/2030 | JPY | 116,490,000 | 8,252 | 8,252 | — | |||||||
0.31% (Annually) | 1-Day SONIA (Annually) | 6/17/2030 | GBP | 5,260,000 | (127,978) | (38,063) | (89,915) | |||||||
6-Month LIBOR (Semiannually) | (0.50)% (Annually) | 6/17/2030 | CHF | 7,120,000 | (155,656) | (85,957) | (69,699) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 5,480,000 | (78,341) | (52,089) | (26,252) |
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Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/18/2030 | GBP | 3,200,000 | $ (99,567) | $ (77,547) | $ (22,020) | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2030 | EUR | 6,990,000 | (329,781) | (306,453) | (23,328) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2030 | USD | 360,000 | (3,406) | (2,822) | (584) | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/16/2030 | GBP | 1,450,000 | (112,522) | (102,541) | (9,981) | |||||||
6-Month NIBOR (Semiannually) | 0.75% (Annually) | 9/16/2030 | NOK | 19,450,000 | (33,241) | (22,803) | (10,438) | |||||||
6-Month EURIBOR (Semiannually) | (0.05)% (Annually) | 12/15/2030 | EUR | 1,370,000 | 14,625 | 16,366 | (1,741) | |||||||
1.16% (Semiannually) | 3-Month LIBOR (Quarterly) | 5/21/2035 | USD | 15,970,000 | (12,030) | 30,869 | (42,899) | |||||||
0.40% (Annually) | 1-Day SONIA (Annually) | 6/17/2040 | GBP | 2,140,000 | (110,511) | (109,187) | (1,324) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2040 | JPY | 212,860,000 | 8,210 | 24,053 | (15,843) | |||||||
3-Month LIBOR (Quarterly) | 0.85% (Semiannually) | 4/10/2050 | USD | 10,490,000 | (47,576) | — | (47,576) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 6/20/2050 | EUR | 270,000 | (16,736) | (15,621) | (1,115) | |||||||
6-Month LIBOR (Semiannually) | 0.50% (Semiannually) | 6/20/2050 | JPY | 223,490,000 | (3,952) | 22,109 | (26,061) | |||||||
0.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/16/2050 | EUR | 360,000 | (57,304) | (54,737) | (2,567) | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/16/2050 | USD | 1,120,000 | 52,297 | 100,298 | (48,001) | |||||||
Subtotal Depreciation | $(2,136,998) | $(996,532) | $(1,140,466) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2020 | $ (638,409) | $(749,206) | $ 110,797 |
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) | ||||||||
Total Return Swaps | ||||||||||||||||
Faurecia | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 75,347 | $ 20,937 | $ — | $ 20,937 | ||||||||
Financing Index: 1-Month EURIBOR + .45% (Monthly) | Ingenico Group | 11/5/2020 | CITI | EUR | 1,294,898 | 69,049 | — | 69,049 | ||||||||
Peugeot Citroen SA | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 383,879 | 129,908 | — | 129,908 | ||||||||
Subtotal Appreciation | $219,894 | $ — | $219,894 | |||||||||||||
Worldline SA | Financing Index: 1-Month EURIBOR - .45% (Monthly) | 11/5/2020 | CITI | EUR | 1,114,962 | $ (63,514) | $ — | $ (63,514) | ||||||||
Subtotal Depreciation | $ (63,514) | $ — | $ (63,514) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2020 | $156,380 | $ — | $156,380 |
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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 | $ 13,925,549 | $ — | $ 13,925,549 | $ — | |||
Certificates Of Deposit | 1,100,600 | — | 1,100,600 | — | |||
Common Stocks | 21,903,934 | 21,903,934 | — | — | |||
Corporate Bonds | 82,060,980 | — | 82,060,980 | — | |||
Foreign Bonds | 16,058,758 | — | 16,058,758 | — | |||
Foreign Common Stocks: | |||||||
Netherlands | 3,940,029 | 3,680,135 | 259,894 | — | |||
Other ^^ | 2,261,842 | 2,261,842 | — | — | |||
Total Foreign Common Stocks | 6,201,871 | 5,941,977 | 259,894 | — | |||
Loan Agreements | 6,182,136 | — | 6,182,136 | — | |||
Money Market Funds | 124,440,227 | 124,440,227 | — | — | |||
Mortgage-Backed Securities | 28,442,824 | — | 28,442,824 | — | |||
Mutual Funds | 4,057,261 | 2,645,591 | — | 1,411,670 | |||
Purchased Options: | |||||||
Call Options | 25,510 | 25,510 | — | — | |||
Rights | 18,001 | — | 10,991 | 7,010 | |||
U.S. Treasury Obligations | 70,368,643 | — | 70,368,643 | — | |||
Total Assets - Investments in Securities | $374,786,294 | $154,957,239 | $218,410,375 | $1,418,680 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 9,496,418 | $ — | $ 9,496,418 | $ — | |||
Futures Contracts | 18,309 | 18,309 | — | — | |||
Swap Agreements | 1,594,365 | — | 1,594,365 | — | |||
Total Assets - Other Financial Instruments | $ 11,109,092 | $ 18,309 | $ 11,090,783 | $ — |
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Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $ (8,720,847) | $ (8,720,847) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (2,349,487) | (2,349,487) | — | — | |||
Mutual Funds Sold Short | (9,883,858) | (9,883,858) | — | — | |||
Written Options: | |||||||
Call Options | (61,453) | (61,453) | — | — | |||
Call Swaptions | (191,497) | — | (191,497) | — | |||
Put Options | (353,675) | (353,675) | — | — | |||
Put Swaptions | (552,561) | — | (552,561) | — | |||
Total Written Options | (1,159,186) | (415,128) | (744,058) | — | |||
Total Liabilities - Investments in Securities | $ (22,113,378) | $ (21,369,320) | $ (744,058) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (9,705,716) | $ — | $ (9,705,716) | $ — | |||
Futures Contracts | (10,673) | (10,673) | — | — | |||
Swap Agreements | (1,203,980) | — | (1,203,980) | — | |||
Total Liabilities - Other Financial Instruments | $ (10,920,369) | $ (10,673) | $ (10,909,696) | $ — |
^^ | 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. |
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STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2020 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $324,346,813 |
Investments in securities of affiliated issuers, at value | 50,439,481 |
Total investments, at value(1) | 374,786,294 |
Cash | 33,688,032 |
Cash collateral for derivatives | 8,321,368 |
Deposits with broker for futures contracts | 188,792 |
Upfront premiums paid from swap agreements | 1,471,434 |
Receivables: | |
Dividends and reclaims | 54,408 |
Interest | 1,040,372 |
Investment securities sold | 10,353,530 |
Fund shares sold | 30,961 |
Unrealized appreciation on foreign currency exchange contracts | 9,496,418 |
Unrealized appreciation on swap agreements | 343,102 |
Prepaid expenses and other assets | 21,599 |
Total Assets | 439,796,310 |
Liabilities | |
Foreign currency overdraft(2) | 827,460 |
Securities sold short, at value(3) | 20,954,192 |
Options written, at value(4) | 1,159,186 |
Upfront premiums received from swap agreements | 2,189,661 |
Unrealized depreciation on foreign currency exchange contracts | 9,705,716 |
Unrealized depreciation on swap agreements | 63,514 |
Collateral from counterparty | 4,580,466 |
Payables: | |
Investment securities purchased | 35,317,719 |
Dividends on short sales | 24,906 |
Fund shares redeemed | 18,728 |
Variation margin on centrally cleared swaps | 10,998 |
Variation margin on futures contracts | 15,846 |
Accrued expenses: | |
Investment advisory fees | 253,553 |
Shareholder servicing fees | 9,963 |
Trustee fees | 486 |
Other expenses | 210,279 |
Total Liabilities | 75,342,673 |
Net Assets | $364,453,637 |
Net Assets Consist of: | |
Paid-in-capital | $374,980,035 |
Distributable earnings (loss) | (10,526,398) |
Net Assets | $364,453,637 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $315,847,953 |
Institutional shares outstanding | 32,303,558 |
Net asset value, offering and redemption price per Institutional share | $ 9.78 |
Net assets applicable to the Investor Class | $ 48,605,684 |
Investor shares outstanding | 4,981,192 |
Net asset value, offering and redemption price per Investor share | $ 9.76 |
(1)Investments in securities of unaffiliated issuers, at cost | $323,478,674 |
Investments in securities of affiliated issuers, at cost | 50,439,481 |
Total investments, at cost | $373,918,155 |
(2)Foreign currency overdraft, at cost | $ 817,095 |
(3)Proceeds from securities sold short | $ 20,549,453 |
(4)Premiums received on options written | $ 1,639,255 |
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STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2020 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 602,230 |
Income distributions received from affiliated funds | 209,146 |
Interest | 3,248,071 |
Less foreign taxes withheld | (8,184) |
Total Investment Income | 4,051,263 |
Expenses | |
Investment advisory fees | 1,566,512 |
Transfer agent fees: | |
Institutional shares | 1,193 |
Investor shares | 7,269 |
Custodian fees | 138,543 |
Shareholder servicing fees: | |
Investor shares | 64,575 |
Accounting and administration fees | 35,804 |
Professional fees | 53,109 |
Shareholder reporting fees: | |
Trustees expenses | 879 |
Line of credit facility fees | 256 |
Dividends on securities sold short | 156,349 |
Other expenses | 21,856 |
Total Expenses | 2,046,345 |
Net Investment Income | 2,004,918 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (6,979,863) |
Investment securities sold short | 2,484,953 |
Futures transactions | 1,898,542 |
Swap agreements | 258,070 |
Option contracts written | (8,638,325) |
Option contracts purchased | (195,560) |
Forward foreign currency contracts | (161,302) |
Foreign currency | (1,888,094) |
Net realized loss | (13,221,579) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (2,395,728) |
Investment securities sold short | 77,951 |
Futures | 209,667 |
Swap agreements | (832,914) |
Option contracts written | 342,627 |
Option contracts purchased | 11,598 |
Forward foreign currency contracts | 237,932 |
Foreign currency | (67,146) |
Net change in unrealized appreciation (depreciation) | (2,416,013) |
Net Realized and Unrealized Loss | (15,637,592) |
Net Decrease in Net Assets Resulting from Operations | $(13,632,674) |
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STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/20 | 12/31/19 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 2,004,918 | $ 5,017,446 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (13,221,579) | 6,709,143 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (2,416,013) | 7,255,961 | |
Net increase (decrease) in net assets resulting from operations | (13,632,674) | 18,982,550 | |
Distributions to Shareholders: | |||
Institutional shares | — | (7,274,105) | |
Investor shares | — | (1,068,756) | |
Total distributions | — | (8,342,861) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 12,976,610 | 34,914,160 | |
Investor shares | 6,475,834 | 12,428,155 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 7,273,111 | |
Investor shares | — | 1,068,187 | |
Total proceeds from shares sold and reinvested | 19,452,444 | 55,683,613 | |
Value of shares redeemed | |||
Institutional shares | (15,721,922) | (41,587,776) | |
Investor shares | (11,736,859) | (25,699,257) | |
Total value of shares redeemed | (27,458,781) | (67,287,033) | |
Net decrease from capital share transactions(1) | (8,006,337) | (11,603,420) | |
Total decrease in net assets | (21,639,011) | (963,731) | |
Net Assets: | �� | ||
Beginning of Period | 386,092,648 | 387,056,379 | |
End of Period | $364,453,637 | $386,092,648 |
(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 | Expenses, Gross | Investment Income, Net | Portfolio Turnover Rate | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2020(1) | $10.13 | $0.06 | $(0.41) | $(0.35) | $ — | $ — | $ — | $ 9.78 | (3.45)% | $315,848 | 1.08%(2) | 1.08%(2) | 1.14% | 227% |
2019 | 9.87 | 0.13 | 0.36 | 0.49 | (0.19) | (0.04) | (0.23) | 10.13 | 4.93 | 330,017 | 1.12(2) | 1.12(2) | 1.32 | 364 |
2018 | 10.07 | 0.20 | (0.19) | 0.01 | (0.18) | (0.03) | (0.21) | 9.87 | 0.15 | 320,404 | 1.01(2) | 1.02(2) | 1.96 | 172 |
2017(3) | 10.00 | 0.04 | 0.10 | 0.14 | (0.05) | (0.02) | (0.07) | 10.07 | 1.40 | 302,592 | 1.26(2) | 1.28(2) | 0.69 | 88 |
Investor Class | ||||||||||||||
2020(1) | $10.13 | $0.04 | $(0.41) | $(0.37) | $ — | $ — | $ — | $ 9.76 | (3.65)% | $ 48,606 | 1.36%(2) | 1.36%(2) | 0.88% | 227% |
2019 | 9.87 | 0.10 | 0.36 | 0.46 | (0.16) | (0.04) | (0.20) | 10.13 | 4.62 | 56,076 | 1.46(2) | 1.46(2) | 0.99 | 364 |
2018 | 10.07 | 0.17 | (0.19) | (0.02) | (0.15) | (0.03) | (0.18) | 9.87 | (0.17) | 66,652 | 1.36(2) | 1.37(2) | 1.65 | 172 |
2017(3) | 10.00 | 0.01 | 0.12 | 0.13 | (0.04) | (0.02) | (0.06) | 10.07 | 1.31 | 58,599 | 1.63(2) | 1.65(2) | 0.25 | 88 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2020. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
(2) | 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%, 0.10% and 0.09% for the period ended December 31, 2017, for the years 2018 and 2019 and for the six months ended June 30, 2020. |
(3) | 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 | $ 30,000,000 | $ (30,000,000) | $ — | $ — | ||||
BNP Paribas | 105,000,000 | (105,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 38,000,000 | (38,000,000) | — | — | ||||
Goldman Sachs & Co. | 81,000,000 | (81,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 50,000,000 | (50,000,000) | — | — | ||||
Natixis S.A. | 74,000,000 | (74,000,000) | — | — | ||||
TD Securities USA LLC | 45,000,000 | (45,000,000) | — | — | ||||
Total Repurchase Agreements | $ 453,000,000 | $ (453,000,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $ 117,500,000 | $ (117,500,000) | $ — | $ — |
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Fund | Assets | Liabilities | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 7,311 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,311 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 7,311 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 1,969 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,969 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,969 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
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Fund | Assets | Liabilities | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 41,643 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 41,643 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,643 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 77,773 | $ — | ||
Forward foreign currency contracts | 19,499 | 677,152 | ||
Options | — | 14,973 | ||
Centrally cleared swaps | 18,108 | — | ||
Swap agreements | — | 4,911 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 115,380 | 697,036 | ||
Derivatives not subject to an ISDA MA or similar agreement | 95,881 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 19,499 | $ 697,036 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 121,237 | ||
Forward foreign currency contracts | 1,370,954 | 2,236,229 | ||
Options | 464,923 | 1,445,970 | ||
Centrally cleared swaps | 578,970 | — | ||
Swap agreements | 328,092 | 64,977 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,742,939 | 3,868,413 | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,043,894 | 309,632 | ||
Total assets and liabilities subject to an ISDA MA | $ 1,699,045 | $ 3,558,781 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 111,847 | $ — | ||
Forward foreign currency contracts | 4,184,585 | 5,498,634 | ||
Centrally cleared swaps | — | 71,784 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,296,432 | 5,570,418 | ||
Derivatives not subject to an ISDA MA or similar agreement | 111,847 | 71,784 | ||
Total assets and liabilities subject to an ISDA MA | $ 4,184,585 | $ 5,498,634 | ||
Defensive Market Strategies | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 329,375 | ||
Forward foreign currency contracts | 45,566 | — | ||
Options | — | 1,271,858 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 45,566 | 1,601,233 | ||
Derivatives not subject to an ISDA MA or similar agreement | 45,566 | 1,601,233 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
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Fund | Assets | Liabilities | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 941,375 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 941,375 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 941,375 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 286,450 | $ — | ||
Forward foreign currency contracts | 61,706 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 348,156 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 348,156 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 318,750 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 318,750 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 318,750 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 193,680 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 193,680 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 193,680 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 37,958 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 37,958 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 37,958 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 105,757 | ||
Forward foreign currency contracts | 2,235,196 | 1,106,895 | ||
Swap agreements | 32,138 | 174,055 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,267,334 | 1,386,707 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 105,757 | ||
Total assets and liabilities subject to an ISDA MA | $ 2,267,334 | $ 1,280,950 |
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Fund | Assets | Liabilities | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 70,023 | ||
Forward foreign currency contracts | 1,269,989 | 1,396,912 | ||
Swap agreements | 217,080 | 433,692 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 1,487,069 | 1,900,627 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 70,023 | ||
Total assets and liabilities subject to an ISDA MA | $ 1,487,069 | $ 1,830,604 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 27,840 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 27,840 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 27,840 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 15,846 | ||
Forward foreign currency contracts | 9,496,418 | 9,705,716 | ||
Options | 25,510 | 1,159,186 | ||
Centrally cleared swaps | — | 10,998 | ||
Swap agreements | 343,102 | 63,514 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 9,865,030 | 10,955,260 | ||
Derivatives not subject to an ISDA MA or similar agreement | 25,510 | 441,972 | ||
Total assets and liabilities subject to an ISDA MA | $ 9,839,520 | $10,513,288 |
Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Low-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $19,499 | $(196,576) | $(177,077) | $10,637 | $(166,440) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (500,460) | (500,460) | — | (500,460) | |||||
Total Derivatives | $19,499 | $(697,036) | $(677,537) | $10,637 | $(666,900) |
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Fund/Sub-adviser/Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 276,847 | $ (1,632,341) | $(1,355,494) | $ 659,874 | $ (695,620) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 108,219 | (413,803) | (305,584) | 1,750 | (303,834) | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,313,979 | (1,512,637) | (198,658) | 65,120 | (133,538) | |||||
Total Derivatives | $1,699,045 | $ (3,558,781) | $(1,859,736) | $ 726,744 | $(1,132,992) | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $1,238,365 | $ (1,175,073) | $ 63,292 | $ — | $ 63,292 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 2,946,220 | (4,323,561) | (1,377,341) | 1,276,839 | (100,502) | |||||
Total Derivatives | $4,184,585 | $ (5,498,634) | $(1,314,049) | $ 1,276,839 | $ (37,210) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $2,267,334 | $ (1,279,200) | $ 988,134 | $(1,048,666) | $ (60,532) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (1,750) | (1,750) | — | (1,750) | |||||
Total Derivatives | $2,267,334 | $ (1,280,950) | $ 986,384 | $(1,048,666) | $ (62,282) | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $1,448,944 | $ (1,830,604) | $ (381,660) | $ 381,660 | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 38,125 | — | 38,125 | — | 38,125 | |||||
Total Derivatives | $1,487,069 | $ (1,830,604) | $ (343,535) | $ 381,660 | $ 38,125 | |||||
Strategic Alternatives | ||||||||||
Sub-adviser A | ||||||||||
SC | $ 703,622 | $ (2,275,713) | $(1,572,091) | $ 1,310,000 | $ (262,091) | |||||
JPM | 2,974,198 | (843,055) | 2,131,143 | (1,640,000) | 491,143 | |||||
Other Counterparties* | 4,725,702 | (5,198,269) | (472,567) | 299,953 | (172,614) | |||||
8,403,522 | (8,317,037) | 86,485 | (30,047) | 56,438 | ||||||
Sub-adviser B | ||||||||||
MSCS | 1,092,896 | (1,658,258) | (565,362) | 270,000 | (295,362) | |||||
DEUT | 78,836 | (284,006) | (205,170) | — | (205,170) | |||||
Other Counterparties* | 44,372 | (190,473) | (146,101) | (44,372) | (190,473) | |||||
1,216,104 | (2,132,737) | (916,633) | 225,628 | (691,005) | ||||||
Sub-adviser D | ||||||||||
Other Counterparties* | 219,894 | (63,514) | 156,380 | — | 156,380 | |||||
Total Derivatives | $9,839,520 | $(10,513,288) | $ (673,768) | $ 195,581 | $ (478,187) |
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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 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2035 | ||||||||||
Futures | $ 21,867 | $ 1,167 | $ — | $ — | $ 20,700 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 4,263 | $ 389 | $ — | $ — | $ 3,874 | |||||
Growth Allocation | ||||||||||
Futures | $ 97,761 | $ 3,084 | $ — | $ — | $ 94,677 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 19,499 | $ — | $ 19,499 | $ — | $ — | |||||
Futures | 494,958 | 494,958 | — | — | — | |||||
Swaps | 459,852 | — | — | 459,852 | — | |||||
Totals | $ 974,309 | $ 494,958 | $ 19,499 | $ 459,852 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 1,370,954 | $ — | $ 1,370,954 | $ — | $ — | |||||
Futures | 2,855,937 | 2,855,937 | — | — | — | |||||
Purchased Options | 464,923 | 464,923 | — | — | — | |||||
Swaps | 4,013,444 | 3,360,874 | — | 652,570 | — | |||||
Totals | $ 8,705,258 | $ 6,681,734 | $ 1,370,954 | $ 652,570 | $ — |
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Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Global Bond | ||||||||||
Forwards | $ 4,184,585 | $ — | $ 4,184,585 | $ — | $ — | |||||
Futures | 73,591 | 73,591 | — | — | — | |||||
Swaps | 803,951 | — | — | 803,951 | — | |||||
Totals | $ 5,062,127 | $ 73,591 | $ 4,184,585 | $ 803,951 | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ 45,566 | $ — | $ 45,566 | $ — | $ — | |||||
Equity Index | ||||||||||
Futures | $ 1,712,117 | $ — | $ — | $ — | $ 1,712,117 | |||||
Value Equity | ||||||||||
Forwards | $ 61,706 | $ — | $ 61,706 | $ — | $ — | |||||
Futures | 194,707 | — | — | — | 194,707 | |||||
Totals | $ 256,413 | $ — | $ 61,706 | $ — | $ 194,707 | |||||
Growth Equity | ||||||||||
Futures | $ 22,586 | $ — | $ — | $ — | $ 22,586 | |||||
Small Cap Equity | ||||||||||
Futures | $ 663,913 | $ — | $ — | $ — | $ 663,913 | |||||
International Equity | ||||||||||
Forwards | $ 2,235,196 | $ — | $ 2,235,196 | $ — | $ — | |||||
Futures | 36,057 | — | — | — | 36,057 | |||||
Swaps | 32,138 | — | — | — | 32,138 | |||||
Totals | $ 2,303,391 | $ — | $ 2,235,196 | $ — | $ 68,195 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,269,989 | $ — | $ 1,269,989 | $ — | $ — | |||||
Futures | 61,294 | — | — | — | 61,294 | |||||
Swaps | 217,080 | — | — | — | 217,080 | |||||
Totals | $ 1,548,363 | $ — | $ 1,269,989 | $ — | $ 278,374 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 30,857 | $ — | $ — | $ — | $ 30,857 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 9,496,418 | $ — | $ 9,496,418 | $ — | $ — | |||||
Futures | 18,309 | 18,309 | — | — | — | |||||
Purchased Options | 25,510 | — | — | — | 25,510 | |||||
Swaps | 1,594,365 | 1,374,471 | — | — | 219,894 | |||||
Totals | $ 11,134,602 | $ 1,392,780 | $ 9,496,418 | $ — | $ 245,404 |
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Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 677,152 | $ — | $ 677,152 | $ — | $ — | |||||
Futures | 305,096 | 305,096 | — | — | — | |||||
Written Options | 14,973 | — | — | 14,973 | — | |||||
Swaps | 1,966,267 | 1,961,356 | — | 4,911 | — | |||||
Totals | $ 2,963,488 | $ 2,266,452 | $ 677,152 | $ 19,884 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,236,229 | $ — | $ 2,236,229 | $ — | $ — | |||||
Futures | 1,895,536 | 1,895,536 | — | — | — | |||||
Written Options | 1,445,970 | 1,445,970 | — | — | — | |||||
Swaps | 13,662,151 | 13,322,184 | — | 339,967 | — | |||||
Totals | $ 19,239,886 | $ 16,663,690 | $ 2,236,229 | $ 339,967 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 5,498,634 | $ — | $ 5,498,634 | $ — | $ — | |||||
Futures | 408,142 | 408,142 | — | — | — | |||||
Swaps | 2,160,138 | 2,160,138 | — | — | — | |||||
Totals | $ 8,066,914 | $ 2,568,280 | $ 5,498,634 | $ — | $ — | |||||
Defensive Market Strategies | ||||||||||
Futures | $ 704,814 | $ — | $ — | $ — | $ 704,814 | |||||
Written Options | 1,271,858 | — | — | — | 1,271,858 | |||||
Totals | $ 1,976,672 | $ — | $ — | $ — | $ 1,976,672 | |||||
International Equity Index | ||||||||||
Futures | $ 111,957 | $ — | $ — | $ — | $ 111,957 | |||||
International Equity | ||||||||||
Forwards | $ 1,106,895 | $ — | $ 1,106,895 | $ — | $ — | |||||
Futures | 887,608 | — | — | — | 887,608 | |||||
Swaps | 174,055 | — | — | — | 174,055 | |||||
Totals | $ 2,168,558 | $ — | $ 1,106,895 | $ — | $ 1,061,663 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,396,912 | $ — | $ 1,396,912 | $ — | $ — | |||||
Futures | 578,849 | — | — | — | 578,849 | |||||
Swaps | 433,692 | — | — | — | 433,692 | |||||
Totals | $ 2,409,453 | $ — | $ 1,396,912 | $ — | $ 1,012,541 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 9,705,716 | $ — | $ 9,705,716 | $ — | $ — | |||||
Futures | 10,673 | 10,673 | — | — | — | |||||
Written Options | 1,159,186 | 744,058 | — | — | 415,128 | |||||
Swaps | 1,203,980 | 1,140,466 | — | — | 63,514 | |||||
Totals | $ 12,079,555 | $ 1,895,197 | $ 9,705,716 | $ — | $ 478,642 |
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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: 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: 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 | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 61,281 | $ 214,611 | $ — | $ — | $ (153,330) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (335,478) | $ 486,409 | $ — | $ — | $ (821,887) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (481,090) | $ 264,994 | $ — | $ — | $ (746,084) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (676,225) | $ 92,776 | $ — | $ — | $ (769,001) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (253,663) | $ 26,380 | $ — | $ — | $ (280,043) | |||||
Conservative Allocation | ||||||||||
Futures | $ 49,971 | $ 114,549 | $ — | $ — | $ (64,578) | |||||
Balanced Allocation | ||||||||||
Futures | $ 21,988 | $ 693,977 | $ — | $ — | $ (671,989) | |||||
Growth Allocation | ||||||||||
Futures | $ (985,539) | $ 282,766 | $ — | $ — | $ (1,268,305) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (970,077) | $ — | $ — | $ — | $ (970,077) |
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Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 1,740,263 | $ — | $ 1,740,263 | $ — | $ — | |||||
Futures | 1,255,437 | 1,255,437 | — | — | — | |||||
Swaps | (293,044) | (213,829) | — | (79,215) | — | |||||
Written Options | 10,091 | — | — | 10,091 | — | |||||
Totals | $ 2,712,747 | $ 1,041,608 | $ 1,740,263 | $ (69,124) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 179,754 | $ — | $ 179,754 | $ — | $ — | |||||
Futures | 33,276,526 | 33,276,526 | — | — | — | |||||
Purchased Options | (1,578,211) | (1,663,643) | 85,432 | — | — | |||||
Swaps | (4,202,458) | (3,971,023) | — | (231,435) | — | |||||
Written Options | 2,877,627 | 2,725,589 | 152,038 | — | — | |||||
Totals | $ 30,553,238 | $ 30,367,449 | $ 417,224 | $ (231,435) | $ — | |||||
Extended-Duration Bond | ||||||||||
Futures | $ (71,493) | $ — | $ — | $ — | $ (71,493) | |||||
Global Bond | ||||||||||
Forwards | $ (2,101,317) | $ — | $ (2,101,317) | $ — | $ — | |||||
Futures | (6,166,991) | (6,166,991) | — | — | — | |||||
Purchased Options | (61,810) | — | (61,810) | — | — | |||||
Swaps | 3,288,241 | — | — | 3,288,241 | — | |||||
Totals | $ (5,041,877) | $ (6,166,991) | $ (2,163,127) | $ 3,288,241 | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ (268,642) | $ — | $ (268,642) | $ — | $ — | |||||
Futures | 1,148,355 | — | — | — | 1,148,355 | |||||
Written Options | (28,721,738) | — | — | — | (28,721,738) | |||||
Totals | $ (27,842,025) | $ — | $ (268,642) | $ — | $ (27,573,383) | |||||
Equity Index | ||||||||||
Futures | $ (2,285,844) | $ — | $ — | $ — | $ (2,285,844) | |||||
Value Equity | ||||||||||
Forwards | $ (1,022,505) | $ — | $ (1,022,505) | $ — | $ — | |||||
Futures | 7,407,763 | — | — | — | 7,407,763 | |||||
Totals | $ 6,385,258 | $ — | $ (1,022,505) | $ — | $ 7,407,763 | |||||
Growth Equity | ||||||||||
Futures | $ 3,497,171 | $ — | $ — | $ — | $ 3,497,171 | |||||
Small Cap Equity | ||||||||||
Futures | $ 2,471,451 | $ — | $ — | $ — | $ 2,471,451 | |||||
International Equity Index | ||||||||||
Futures | $ (7,394,495) | $ — | $ — | $ — | $ (7,394,495) |
Table of Contents
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ (1,966,547) | $ — | $ (1,966,547) | $ — | $ — | |||||
Futures | 1,477,664 | — | — | — | 1,477,664 | |||||
Swaps | 1,723,825 | — | — | — | 1,723,825 | |||||
Totals | $ 1,234,942 | $ — | $ (1,966,547) | $ — | $ 3,201,489 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ (224,790) | $ — | $ (224,790) | $ — | $ — | |||||
Futures | 2,383,505 | — | — | — | 2,383,505 | |||||
Swaps | 524,212 | — | — | — | 524,212 | |||||
Totals | $ 2,682,927 | $ — | $ (224,790) | $ — | $ 2,907,717 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 733,502 | $ — | $ — | $ — | $ 733,502 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ (161,302) | $ — | $ (161,302) | $ — | $ — | |||||
Futures | 1,898,542 | 1,898,542 | — | — | — | |||||
Purchased Options | (195,560) | — | — | — | (195,560) | |||||
Swaps | 258,070 | 265,978 | (18,041) | 508 | 9,625 | |||||
Written Options | (8,638,325) | (318,933) | — | — | (8,319,392) | |||||
Totals | $ (6,838,575) | $ 1,845,587 | $ (179,343) | $ 508 | $ (8,505,327) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ (17,466) | $ 27,930 | $ — | $ — | $ (45,396) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (105,146) | $ 67,919 | $ — | $ — | $ (173,065) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (131,960) | $ 24,382 | $ — | $ — | $ (156,342) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (124,823) | $ 11,238 | $ — | $ — | $ (136,061) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (41,910) | $ 1,115 | $ — | $ — | $ (43,025) | |||||
Conservative Allocation | ||||||||||
Futures | $ (22,813) | $ (474) | $ — | $ — | $ (22,339) | |||||
Balanced Allocation | ||||||||||
Futures | $ (138,773) | $ 108,381 | $ — | $ — | $ (247,154) | |||||
Growth Allocation | ||||||||||
Futures | $ (138,549) | $ 39,043 | $ — | $ — | $ (177,592) |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Aggressive Allocation | ||||||||||
Futures | $ (276,413) | $ — | $ — | $ — | $ (276,413) | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 372,505 | $ — | $ 372,505 | $ — | $ — | |||||
Futures | 171,318 | 171,318 | — | — | — | |||||
Swaps | (990,937) | (1,577,133) | — | 586,196 | — | |||||
Written Options | 24,988 | — | — | 24,988 | — | |||||
Totals | $ (422,126) | $ (1,405,815) | $ 372,505 | $ 611,184 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 443,865 | $ — | $ 443,865 | $ — | $ — | |||||
Futures | 4,380,262 | 4,380,262 | — | — | — | |||||
Purchased Options | (104,887) | (104,887) | — | — | — | |||||
Swaps | (13,535,749) | (12,914,003) | — | (621,746) | — | |||||
Written Options | (26,347) | (26,347) | — | — | — | |||||
Totals | $ (8,842,856) | $ (8,664,975) | $ 443,865 | $ (621,746) | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 389,336 | $ — | $ 389,336 | $ — | $ — | |||||
Futures | (1,060,278) | (1,060,278) | — | — | — | |||||
Swaps | (1,361,409) | — | — | (1,361,409) | — | |||||
Totals | $ (2,032,351) | $ (1,060,278) | $ 389,336 | $ (1,361,409) | $ — | |||||
Defensive Market Strategies | ||||||||||
Forwards | $ 235,062 | $ — | $ 235,062 | $ — | $ — | |||||
Futures | (238,312) | — | — | — | (238,312) | |||||
Written Options | 1,283,962 | — | — | — | 1,283,962 | |||||
Totals | $ 1,280,712 | $ — | $ 235,062 | $ — | $ 1,045,650 | |||||
Equity Index | ||||||||||
Futures | $ 975,644 | $ — | $ — | $ — | $ 975,644 | |||||
Value Equity | ||||||||||
Forwards | $ 550,838 | $ — | $ 550,838 | $ — | $ — | |||||
Futures | (133,134) | — | — | — | (133,134) | |||||
Totals | $ 417,704 | $ — | $ 550,838 | $ — | $ (133,134) | |||||
Growth Equity | ||||||||||
Futures | $ (587,335) | $ — | $ — | $ — | $ (587,335) | |||||
Small Cap Equity | ||||||||||
Futures | $ 577,952 | $ — | $ — | $ — | $ 577,952 | |||||
International Equity Index | ||||||||||
Futures | $ (235,534) | $ — | $ — | $ — | $ (235,534) |
Table of Contents
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/20 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ 1,136,685 | $ — | $ 1,136,685 | $ — | $ — | |||||
Futures | (1,039,556) | — | — | — | (1,039,556) | |||||
Swaps | 65,815 | — | — | — | 65,815 | |||||
Totals | $ 162,944 | $ — | $ 1,136,685 | $ — | $ (973,741) | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 277,612 | $ — | $ 277,612 | $ — | $ — | |||||
Futures | (1,013,749) | — | — | — | (1,013,749) | |||||
Swaps | (1,076,888) | — | — | — | (1,076,888) | |||||
Totals | $ (1,813,025) | $ — | $ 277,612 | $ — | $ (2,090,637) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ (65,723) | $ — | $ — | $ — | $ (65,723) | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 237,932 | $ — | $ 237,932 | $ — | $ — | |||||
Futures | 209,667 | 209,667 | — | — | — | |||||
Purchased Options | 11,598 | — | — | — | 11,598 | |||||
Swaps | (832,914) | (903,559) | (4,988) | — | 75,633 | |||||
Written Options | 342,627 | 11,254 | — | — | 331,373 | |||||
Totals | $ (31,090) | $ (682,638) | $ 232,944 | $ — | $ 418,604 |
Long Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | ||||
MyDestination 2015 | $ — | $ 7,665,850 | $ — | $ — | ||||
MyDestination 2025 | — | 19,213,976 | — | — | ||||
MyDestination 2035 | — | 10,394,747 | — | — | ||||
MyDestination 2045 | — | 7,236,695 | — | — | ||||
MyDestination 2055 | — | 4,422,561 | — | — | ||||
Conservative Allocation | — | 9,188,985 | — | — | ||||
Balanced Allocation | — | 27,546,688 | — | — | ||||
Growth Allocation | — | 15,368,793 | — | — | ||||
Aggressive Allocation | — | 19,477,770 | — | — | ||||
Low-Duration Bond | 89,763,036 | 333,575,005 | — | 35,000,000 | ||||
Medium-Duration Bond | 149,704,513 | 947,609,186 | 492,402 | 388,886,089 | ||||
Global Bond | 194,668,542 | 149,862,240 | 61,810 | 14,796,420 | ||||
Defensive Market Strategies | 26,415,984 | — | — | — | ||||
Equity Index | — | 70,674,563 | — | — | ||||
Value Equity | 42,609,366 | 24,225,762 | — | — | ||||
Growth Equity | — | 28,066,860 | — | — |
Table of Contents
Long Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Purchased Option Contracts | Swap Contracts | ||||
Small Cap Equity | $ — | $13,139,630 | $ — | $ — | ||||
International Equity Index | — | 35,084,488 | — | — | ||||
International Equity | 122,652,186 | 77,944,608 | — | 7,549,317 | ||||
Emerging Markets Equity | 121,038,777 | 30,475,179 | — | 24,501,542 | ||||
Global Real Estate Securities | — | 4,635,847 | — | — | ||||
Strategic Alternatives | 429,758,912 | 33,699,632 | 18,122 | 173,556,270 |
Short Derivative Volume | ||||||||
Fund | Forward Foreign Currency Contracts | Financial Futures Contracts | Written Option Contracts | Swap Contracts | ||||
Low-Duration Bond | $ 22,298,105 | $ 92,978,862 | $ 28,581 | $ 42,340,140 | ||||
Medium-Duration Bond | 81,803,567 | 423,302,514 | 1,628,368 | 218,338,657 | ||||
Global Bond | 178,581,286 | 89,887,114 | — | 30,772,277 | ||||
Defensive Market Strategies | 1,658,914 | 22,968,417 | 3,016,292 | — | ||||
Value Equity | 1,692,399 | — | — | — | ||||
International Equity | 149,273,996 | 21,502,547 | — | 9,733,503 | ||||
Emerging Markets Equity | 131,578,646 | 9,136,626 | — | 5,612,765 | ||||
Strategic Alternatives | 434,615,978 | 52,724,132 | 1,245,241 | 196,733,833 |
Table of Contents
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | N/A | ||
MyDestination 2025 | 0.10% | N/A | ||
MyDestination 2035 | 0.10% | N/A | ||
MyDestination 2045 | 0.10% | N/A | ||
MyDestination 2055 | 0.10% | N/A | ||
Conservative Allocation | 0.10% | N/A | ||
Balanced Allocation | 0.10% | N/A | ||
Growth Allocation | 0.10% | N/A | ||
Aggressive Allocation | 0.10% | N/A | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.18% | ||
Medium-Duration Bond | 0.13% | 0.19% | ||
Extended-Duration Bond | 0.25% | 0.20% | ||
Global Bond | 0.25% | 0.23% | ||
Defensive Market Strategies | 0.33% | 0.28% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.25% | ||
Growth Equity | 0.33% | 0.31% | ||
Small Cap Equity | 0.33% | 0.57% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.44% | ||
Emerging Markets Equity | 0.33% | 0.54% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.46% |
Table of Contents
For the Period January 1, 2020 to April 30, 2020 | For the Period May 1, 2020 to June 30, 2020 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | ||||
Equity Index | 0.15% | N/A | N/A | N/A | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | 1.32% | 1.57% | N/A | 1.57% |
Institutional Class | Investor Class | |||||||||||||||
Fund | 2020 | 2021 | 2022 | 2023 | 2020 | 2021 | 2022 | 2023 | ||||||||
MyDestination 2015 | $ — | $23,338 | $ 85,750 | $51,615 | $ 30,368 | $106,157 | $356,439 | $175,044 | ||||||||
MyDestination 2025 | — | 34,998 | 107,568 | 65,133 | — | 139,632 | 352,126 | 181,951 | ||||||||
MyDestination 2035 | — | — | 2,787 | — | — | 31,324 | — | — | ||||||||
MyDestination 2045 | — | — | — | — | 10,508 | 26,433 | — | — | ||||||||
MyDestination 2055 | 28,120 | 27,146 | 22,333 | 7,173 | 110,489 | 90,006 | 40,211 | 7,064 | ||||||||
Equity Index | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||
International Equity Index | — | — | 65,639 | — | N/A | N/A | N/A | N/A | ||||||||
Emerging Markets Equity | — | — | — | — | 38,511 | — | — | — |
Table of Contents
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $ 6,331 | |
Growth Equity | 15,912 | |
Small Cap Equity | 26,593 | |
Emerging Markets Equity | 89 | |
Global Real Estate Securities | 7,979 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.67% | 1.37% | 1.40% | 0.95% | 0.32% | |||||||
Low-Duration Bond | 10.19 | 9.18 | — | — | — | |||||||
Medium-Duration Bond | 9.09 | 19.47 | 9.45 | 3.30 | 0.74 | |||||||
Global Bond | 11.17 | 18.74 | 7.27 | 2.57 | 0.58 | |||||||
Defensive Market Strategies | 5.67 | 13.14 | 5.00 | 2.91 | 1.00 | |||||||
Equity Index | 5.06 | 15.49 | 16.21 | 14.80 | 5.32 | |||||||
Small Cap Equity | 1.95 | 6.06 | 6.68 | 5.76 | 2.07 | |||||||
International Equity Index | 8.54 | 26.28 | 27.79 | 24.78 | 8.90 | |||||||
Emerging Markets Equity | 3.58 | 10.93 | 11.50 | 10.46 | 3.76 | |||||||
Global Real Estate Securities | 2.16 | 6.08 | 5.88 | 5.56 | 1.99 | |||||||
Strategic Alternatives | 8.55 | 10.40 | — | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.47% | 1.95% | 1.98% | 1.25% | ||||||
Low-Duration Bond | 24.41 | 9.45 | 3.14 | — | ||||||
Medium-Duration Bond | 3.49 | 19.27 | 6.53 | — |
Table of Contents
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Extended-Duration Bond | —% | 22.74% | 7.87% | —% | ||||||
Global Bond | 2.83 | 22.39 | 7.19 | — | ||||||
Defensive Market Strategies | 3.14 | 13.33 | 4.56 | — | ||||||
Value Equity | 2.76 | 15.14 | 20.26 | 24.01 | ||||||
Growth Equity | 1.78 | 9.96 | 12.98 | 15.08 | ||||||
Small Cap Equity | 0.54 | 5.49 | 8.27 | 9.84 | ||||||
International Equity | 2.77 | 15.29 | 20.43 | 24.31 | ||||||
Emerging Markets Equity | 1.91 | 10.87 | 14.53 | 17.27 | ||||||
Global Real Estate Securities | 2.49 | 12.72 | 14.21 | — | ||||||
Strategic Alternatives | 6.74 | 16.28 | 7.91 | — |
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/20 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 7,928 | $ 43,838 | $ 41,563 | $ — | $ — | $ 10,203 | $ 36 | $ — | |||||||
Low-Duration Bond | 101,492 | 13,449 | 15,400 | (78) | 1,262 | 100,725 | 870 | — | |||||||
Medium-Duration Bond | 168,838 | 8,418 | 17,250 | 346 | 7,656 | 168,008 | 1,918 | — | |||||||
Global Bond | 67,577 | 833 | 1,000 | (9) | (1,676) | 65,725 | 84 | 449 | |||||||
Defensive Market Strategies | 73,293 | 1,787 | 3,250 | 375 | (3,925) | 68,280 | 465 | 322 | |||||||
Equity Index | 113,490 | 14,680 | 17,080 | 1,428 | (5,980) | 106,538 | 881 | 299 | |||||||
Small Cap Equity | 11,423 | 1,600 | 1,000 | (770) | (739) | 10,514 | — | — | |||||||
International Equity Index | 64,455 | 8,000 | 7,600 | (708) | (6,665) | 57,482 | — | — | |||||||
Emerging Markets Equity | 20,054 | 2,600 | 1,100 | 48 | (1,334) | 20,268 | — | — | |||||||
Global Real Estate Securities | 5,771 | 105 | — | — | (1,098) | 4,778 | 65 | 40 | |||||||
Strategic Alternatives | 31,789 | 1,000 | 500 | 4 | (1,124) | 31,169 | — | — | |||||||
$ 666,110 | $ 96,310 | $105,743 | $ 636 | $(13,623) | $ 643,690 | $4,319 | $1,110 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 23,192 | $ 83,374 | $ 85,553 | $ — | $ — | $ 21,013 | $ 93 | $ — | |||||||
Low-Duration Bond | 80,258 | 16,129 | 6,650 | (42) | 1,023 | 90,718 | 758 | — | |||||||
Medium-Duration Bond | 358,573 | 27,120 | 43,000 | 1,230 | 15,992 | 359,915 | 4,120 | — | |||||||
Global Bond | 109,204 | 6,887 | 3,000 | (4) | (2,780) | 110,307 | 140 | 747 | |||||||
Defensive Market Strategies | 156,262 | 10,423 | — | — | (8,377) | 158,308 | 1,078 | 746 | |||||||
Equity Index | 343,997 | 30,531 | 35,000 | 9,669 | (23,252) | 325,945 | 2,748 | 934 | |||||||
Small Cap Equity | 34,241 | 2,050 | — | — | (3,581) | 32,710 | — | — | |||||||
International Equity Index | 193,149 | 26,900 | 21,700 | (2,223) | (19,215) | 176,911 | — | — | |||||||
Emerging Markets Equity | 57,681 | 8,600 | — | — | (4,311) | 61,970 | — | — | |||||||
Global Real Estate Securities | 15,837 | 695 | — | — | (3,076) | 13,456 | 184 | 112 | |||||||
Strategic Alternatives | 36,524 | 2,701 | — | — | (1,294) | 37,931 | — | — | |||||||
$1,408,918 | $215,410 | $194,903 | $ 8,630 | $(48,871) | $1,389,184 | $9,121 | $2,539 |
Table of Contents
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/20 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 23,191 | $ 57,519 | $ 59,232 | $ — | $ — | $ 21,478 | $ 84 | $ — | |||||||
Medium-Duration Bond | 165,821 | 21,659 | 21,179 | 805 | 7,457 | 174,563 | 1,959 | — | |||||||
Global Bond | 41,450 | 4,030 | 1,706 | (3) | (994) | 42,777 | 52 | 279 | |||||||
Defensive Market Strategies | 55,874 | 7,195 | — | — | (2,866) | 60,203 | 389 | 269 | |||||||
Equity Index | 344,040 | 26,454 | 15,417 | 3,654 | (17,505) | 341,226 | 2,877 | 977 | |||||||
Small Cap Equity | 33,726 | 5,611 | — | — | (3,285) | 36,052 | — | — | |||||||
International Equity Index | 195,856 | 24,254 | 11,900 | (457) | (20,685) | 187,068 | — | — | |||||||
Emerging Markets Equity | 57,631 | 11,757 | — | — | (4,212) | 65,176 | — | — | |||||||
Global Real Estate Securities | 13,993 | 1,673 | — | — | (2,665) | 13,001 | 178 | 108 | |||||||
$ 931,582 | $160,152 | $109,434 | $ 3,999 | $(44,755) | $ 941,544 | $5,539 | $1,633 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 17,536 | $ 42,536 | $ 45,519 | $ — | $ — | $ 14,553 | $ 62 | $ — | |||||||
Medium-Duration Bond | 57,282 | 7,663 | 6,910 | 276 | 2,618 | 60,929 | 678 | — | |||||||
Global Bond | 14,340 | 1,341 | 198 | 1 | (363) | 15,121 | 18 | 98 | |||||||
Defensive Market Strategies | 34,431 | 2,711 | 278 | 7 | (1,853) | 35,018 | 231 | 160 | |||||||
Equity Index | 310,665 | 20,873 | 7,539 | 1,665 | (14,162) | 311,502 | 2,604 | 885 | |||||||
Small Cap Equity | 30,688 | 4,141 | 823 | (286) | (2,645) | 31,075 | — | — | |||||||
International Equity Index | 176,653 | 20,547 | 12,078 | (413) | (17,867) | 166,842 | — | — | |||||||
Emerging Markets Equity | 49,817 | 13,008 | 131 | 9 | (3,425) | 59,278 | — | — | |||||||
Global Real Estate Securities | 12,338 | 2,487 | 277 | (4) | (2,255) | 12,289 | 165 | 100 | |||||||
$ 703,750 | $115,307 | $ 73,753 | $ 1,255 | $(39,952) | $ 706,607 | $3,758 | $1,243 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 5,503 | $ 33,207 | $ 33,826 | $ — | $ — | $ 4,884 | $ 21 | $ — | |||||||
Medium-Duration Bond | 12,056 | 4,989 | 4,028 | 221 | 402 | 13,640 | 146 | — | |||||||
Global Bond | 3,018 | 1,234 | 812 | (17) | (38) | 3,385 | 4 | 18 | |||||||
Defensive Market Strategies | 10,851 | 2,521 | 742 | (38) | (557) | 12,035 | 81 | 56 | |||||||
Equity Index | 101,682 | 18,082 | 3,687 | 754 | (4,914) | 111,917 | 929 | 316 | |||||||
Small Cap Equity | 10,044 | 3,226 | 1,127 | (418) | (571) | 11,154 | — | — | |||||||
International Equity Index | 57,819 | 14,873 | 6,575 | (711) | (5,458) | 59,948 | — | — | |||||||
Emerging Markets Equity | 16,306 | 6,791 | 778 | 176 | (1,196) | 21,299 | — | — | |||||||
Global Real Estate Securities | 4,030 | 1,576 | 449 | (4) | (742) | 4,411 | 58 | 35 | |||||||
$ 221,309 | $ 86,499 | $ 52,024 | $ (37) | $(13,074) | $ 242,673 | $1,239 | $ 425 |
Table of Contents
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 7,508 | $ 40,265 | $ 40,603 | $ — | $ — | $ 7,170 | $ 26 | $ — | |||||||
Low-Duration Bond | 253,148 | 6,739 | 21,495 | (8) | 2,906 | 241,290 | 2,175 | — | |||||||
Medium-Duration Bond | 67,538 | 819 | 7,064 | 156 | 3,046 | 64,495 | 769 | — | |||||||
Global Bond | 16,919 | 482 | 340 | (1) | (387) | 16,673 | 21 | 114 | |||||||
Defensive Market Strategies | 39,041 | 3,736 | 2,910 | 161 | (2,208) | 37,820 | 257 | 178 | |||||||
Value Equity | 30,317 | 5,680 | 1,632 | (689) | (4,603) | 29,073 | 262 | 429 | |||||||
Growth Equity | 30,387 | 5,261 | 7,137 | 1,419 | 1,064 | 30,994 | 49 | 492 | |||||||
Small Cap Equity | 5,968 | 1,793 | 3,076 | (2,034) | 238 | 2,889 | — | — | |||||||
International Equity | 34,607 | 7,551 | 6,411 | (2,099) | (1,901) | 31,747 | — | — | |||||||
Emerging Markets Equity | 9,811 | 2,001 | 373 | 22 | (614) | 10,847 | — | — | |||||||
Global Real Estate Securities | 6,342 | 772 | 388 | 1 | (1,217) | 5,510 | 75 | 46 | |||||||
Strategic Alternatives | 25,945 | 112 | 556 | (24) | (888) | 24,589 | — | — | |||||||
$ 527,531 | $ 75,211 | $ 91,985 | $ (3,096) | $ (4,564) | $ 503,097 | $3,634 | $1,259 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 32,553 | $ 58,353 | $ 60,985 | $ — | $ — | $ 29,921 | $ 128 | $ — | |||||||
Low-Duration Bond | 100,938 | 3,864 | 12,500 | (8) | 1,148 | 93,442 | 864 | — | |||||||
Medium-Duration Bond | 373,501 | 16,091 | 51,190 | 1,235 | 16,560 | 356,197 | 4,191 | — | |||||||
Extended-Duration Bond | 67,709 | 7,028 | 14,520 | (773) | 5,324 | 64,768 | — | 288 | |||||||
Global Bond | 137,204 | 2,080 | 4,000 | (148) | (3,344) | 131,792 | 171 | — | |||||||
Defensive Market Strategies | 166,321 | 4,449 | 1,900 | 244 | (8,576) | 160,538 | — | 757 | |||||||
Value Equity | 173,338 | 29,546 | 13,000 | (7,659) | (22,828) | 159,397 | — | 2,352 | |||||||
Growth Equity | 178,384 | 10,615 | 29,250 | (4) | 13,284 | 173,029 | — | 2,746 | |||||||
Small Cap Equity | 34,666 | 4,040 | 4,000 | (3,352) | (1,696) | 29,658 | — | — | |||||||
International Equity | 198,435 | 14,005 | 12,000 | (4,095) | (21,147) | 175,198 | — | — | |||||||
Emerging Markets Equity | 57,342 | 9,500 | 1,000 | 58 | (4,274) | 61,626 | — | — | |||||||
Global Real Estate Securities | 32,989 | 1,569 | — | — | (6,424) | 28,134 | 385 | 909 | |||||||
Strategic Alternatives | 61,490 | 2,000 | 1,900 | (92) | (2,118) | 59,380 | — | 233 | |||||||
$1,614,870 | $163,140 | $206,245 | $(14,594) | $(34,091) | $1,523,080 | $5,739 | $7,285 |
Table of Contents
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 24,106 | $ 73,964 | $ 67,813 | $ — | $ — | $ 30,257 | $ 110 | $ — | |||||||
Low-Duration Bond | 34,812 | 1,928 | 6,000 | (40) | 390 | 31,090 | 294 | — | |||||||
Medium-Duration Bond | 127,032 | 13,192 | 25,700 | 709 | 5,452 | 120,685 | 1,437 | — | |||||||
Extended-Duration Bond | 23,027 | 5,220 | 7,466 | (242) | 1,876 | 22,415 | 252 | 96 | |||||||
Global Bond | 46,303 | 2,199 | 4,900 | (212) | (1,046) | 42,344 | 60 | 304 | |||||||
Defensive Market Strategies | 57,242 | 1,223 | 500 | 9 | (3,074) | 54,900 | 374 | 259 | |||||||
Value Equity | 235,802 | 24,493 | 6,000 | (2,364) | (38,662) | 213,269 | 1,882 | 3,087 | |||||||
Growth Equity | 237,349 | 4,774 | 32,099 | (1,616) | 17,065 | 225,473 | 358 | 3,578 | |||||||
Small Cap Equity | 46,542 | 3,850 | 1,000 | (304) | (4,461) | 44,627 | — | — | |||||||
International Equity | 270,756 | 13,099 | 16,000 | (4,662) | (29,176) | 234,017 | — | — | |||||||
Emerging Markets Equity | 76,979 | 12,050 | 1,042 | 55 | (5,654) | 82,388 | — | — | |||||||
Global Real Estate Securities | 37,573 | 1,813 | 750 | (6) | (7,200) | 31,430 | 430 | 260 | |||||||
Strategic Alternatives | 28,937 | 1,951 | 1,000 | (11) | (1,032) | 28,845 | — | — | |||||||
$1,246,460 | $159,756 | $170,270 | $ (8,684) | $(65,522) | $1,161,740 | $5,197 | $7,584 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 18,929 | $ 45,614 | $ 45,333 | $ — | $ — | $ 19,210 | $ 76 | $ — | |||||||
Value Equity | 287,664 | 15,504 | 1,063 | (500) | (48,821) | 252,784 | 2,274 | 3,730 | |||||||
Growth Equity | 292,984 | 4,574 | 54,050 | (1,456) | 20,004 | 262,056 | 416 | 4,158 | |||||||
Small Cap Equity | 57,440 | 2,000 | 811 | (229) | (5,279) | 53,121 | — | — | |||||||
International Equity | 328,298 | 12,000 | 21,000 | (5,970) | (34,831) | 278,497 | — | — | |||||||
Emerging Markets Equity | 94,172 | 15,000 | 3,828 | (567) | (6,887) | 97,890 | — | — | |||||||
$1,079,487 | $ 94,692 | $126,085 | $ (8,722) | $(75,814) | $ 963,558 | $2,766 | $7,888 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 21,272 | $335,362 | $324,103 | $ — | $ — | $ 32,531 | $ 103 | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 56,397 | $820,379 | $768,666 | $ — | $ — | $ 108,110 | $ 287 | $ — | |||||||
Extended-Duration Bond | |||||||||||||||
Money Market | $ 7,809 | $165,287 | $158,858 | $ — | $ — | $ 14,238 | $ 46 | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 28,765 | $145,572 | $135,053 | $ — | $ — | $ 39,284 | $ 121 | $ — | |||||||
Defensive Market Strategies | |||||||||||||||
Money Market | $ 68,295 | $257,789 | $263,326 | $ — | $ — | $ 62,758 | $ 284 | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 53,884 | $215,475 | $199,331 | $ — | $ — | $ 70,028 | $ 227 | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 28,845 | $398,256 | $383,251 | $ — | $ — | $ 43,850 | $ 167 | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 52,530 | $606,789 | $602,566 | $ — | $ — | $ 56,753 | $ 207 | $ — |
Table of Contents
Total Value at 12/31/19 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/20 | Dividend Income | Distributions of Realized Gains | ||||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 14,895 | $140,898 | $124,485 | $ — | $ — | $ 31,308 | $ 83 | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 30,770 | $256,581 | $268,958 | $ — | $ — | $ 18,393 | $ 152 | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 56,058 | $469,709 | $453,325 | $ — | $ — | $ 72,442 | $ 248 | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 14,969 | $135,029 | $128,645 | $ — | $ — | $ 21,353 | $ 64 | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 7,061 | $ 50,127 | $ 50,531 | $ — | $ — | $ 6,657 | $ 29 | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 48,154 | $139,460 | $137,175 | $ — | $ — | $ 50,439 | $ 209 | $ — |
Table of Contents
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $ 64,248,308 | $ 59,586,523 | $ 6,123,675 | $ 65,710,198 | ||||
Medium-Duration Bond | 105,268,187 | 95,715,997 | 11,871,155 | 107,587,152 | ||||
Extended-Duration Bond | 35,547,117 | 35,140,329 | 1,177,971 | 36,318,300 | ||||
Global Bond | 58,625,661 | 47,087,816 | 13,104,295 | 60,192,111 | ||||
Defensive Market Strategies | 50,519,523 | 16,215,098 | 35,669,941 | 51,885,039 | ||||
Equity Index | 50,987,760 | 47,810,228 | 4,262,211 | 52,072,439 | ||||
Value Equity | 8,052,712 | 1,093,282 | 7,181,521 | 8,274,803 | ||||
Growth Equity | 135,710,430 | 127,022,929 | 11,621,953 | 138,644,882 | ||||
Small Cap Equity | 56,559,508 | 41,655,814 | 16,503,541 | 58,159,355 | ||||
International Equity Index | 31,001,437 | 14,973,558 | 18,029,669 | 33,003,227 | ||||
International Equity | 22,036,899 | 14,128,427 | 8,859,040 | 22,987,467 | ||||
Emerging Markets Equity | 6,758,615 | 6,642,360 | 1,104,610 | 7,746,970 | ||||
Global Real Estate Securities | 10,480,026 | 10,963,476 | — | 10,963,476 |
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 | $ 52,473,023 | $ 64,180,000 | $ — | $ — | ||||
MyDestination 2025 | 132,037,655 | 109,350,000 | — | — | ||||
MyDestination 2035 | 102,633,763 | 50,200,762 | — | — | ||||
MyDestination 2045 | 72,770,926 | 29,549,281 | — | — | ||||
MyDestination 2055 | 53,292,230 | 18,266,705 | — | — | ||||
Conservative Allocation | 34,947,767 | 51,383,076 | — | — | ||||
Balanced Allocation | 104,787,039 | 145,260,000 | — | — | ||||
Growth Allocation | 85,792,560 | 102,454,906 | — | — | ||||
Aggressive Allocation | 49,078,006 | 80,750,000 | — | — | ||||
Money Market | — | — | — | — |
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 | ||||
Low-Duration Bond | $ 228,930,064 | $ 207,524,352 | $1,164,542,878 | $1,229,328,346 | ||||
Medium-Duration Bond | 365,193,836 | 260,418,548 | 4,606,177,463 | 4,806,646,997 | ||||
Extended-Duration Bond | 64,772,770 | 18,133,841 | 55,817,058 | 95,869,918 | ||||
Global Bond | 89,306,407 | 77,449,792 | 134,246,787 | 133,915,380 | ||||
Defensive Market Strategies | 420,861,068 | 423,775,926 | — | — | ||||
Equity Index | 29,228,776 | 1,953,496 | — | — | ||||
Value Equity | 1,168,312,025 | 1,145,713,993 | — | — | ||||
Growth Equity | 616,503,413 | 734,933,338 | — | — | ||||
Small Cap Equity | 312,634,826 | 319,264,290 | — | — | ||||
International Equity Index | 97,111,513 | 45,151,073 | — | — | ||||
International Equity | 533,283,635 | 550,641,258 | — | — | ||||
Emerging Markets Equity | 239,290,453 | 173,478,761 | — | — | ||||
Global Real Estate Securities | 208,304,475 | 199,859,347 | — | — | ||||
Strategic Alternatives | 322,568,769 | 342,226,806 | 114,803,647 | 98,456,511 |
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 1,771,989 | 3,066,302 | 5,158,213 | 4,844,500 | ||||
Shares reinvested | — | — | 559,684 | 1,952,980 | ||||
Shares redeemed | (1,533,522) | (4,973,657) | (3,068,691) | (9,086,967) | ||||
Net increase (decrease) | 238,467 | (1,907,355) | 2,649,206 | (2,289,487) | ||||
MyDestination 2025 | ||||||||
Shares sold | 5,781,227 | 5,125,693 | 10,994,862 | 10,950,754 | ||||
Shares reinvested | — | — | 1,334,327 | 3,668,881 | ||||
Shares redeemed | (3,004,120) | (7,221,360) | (4,977,012) | (11,030,457) | ||||
Net increase (decrease) | 2,777,107 | (2,095,667) | 7,352,177 | 3,589,178 | ||||
MyDestination 2035 | ||||||||
Shares sold | 5,078,073 | 3,949,557 | 8,627,301 | 9,078,117 | ||||
Shares reinvested | — | — | 915,016 | 2,121,864 | ||||
Shares redeemed | (1,460,761) | (2,778,030) | (3,590,511) | (5,865,794) | ||||
Net increase (decrease) | 3,617,312 | 1,171,527 | 5,951,806 | 5,334,187 | ||||
MyDestination 2045 | ||||||||
Shares sold | 4,104,966 | 3,013,009 | 6,343,932 | 6,961,249 | ||||
Shares reinvested | — | (8) | 810,936 | 1,540,878 | ||||
Shares redeemed | (960,862) | (1,720,974) | (3,384,656) | (4,302,572) | ||||
Net increase (decrease) | 3,144,104 | 1,292,027 | 3,770,212 | 4,199,555 |
Table of Contents
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2055 | ||||||||
Shares sold | 1,968,672 | 1,687,615 | 2,254,239 | 2,980,112 | ||||
Shares reinvested | — | (8) | 231,456 | 410,459 | ||||
Shares redeemed | (312,344) | (686,777) | (1,614,674) | (1,187,683) | ||||
Net increase (decrease) | 1,656,328 | 1,000,830 | 871,021 | 2,202,888 | ||||
Conservative Allocation | ||||||||
Shares sold | 1,832,552 | 2,423,849 | 2,236,774 | 4,113,153 | ||||
Shares reinvested | — | — | 436,752 | 1,552,451 | ||||
Shares redeemed | (925,341) | (5,195,685) | (1,024,764) | (6,872,227) | ||||
Net increase (decrease) | 907,211 | (2,771,836) | 1,648,762 | (1,206,623) | ||||
Balanced Allocation | ||||||||
Shares sold | 4,385,766 | 2,038,829 | 6,029,393 | 4,653,123 | ||||
Shares reinvested | — | (2) | 1,971,376 | 6,248,266 | ||||
Shares redeemed | (1,992,255) | (9,659,823) | (3,789,186) | (14,563,358) | ||||
Net increase (decrease) | 2,393,511 | (7,620,996) | 4,211,583 | (3,661,969) | ||||
Growth Allocation | ||||||||
Shares sold | 5,669,817 | 1,577,119 | 3,334,747 | 3,143,548 | ||||
Shares reinvested | — | (8) | 2,260,314 | 6,601,445 | ||||
Shares redeemed | (1,838,490) | (7,601,219) | (2,451,859) | (11,164,910) | ||||
Net increase (decrease) | 3,831,327 | (6,024,108) | 3,143,202 | (1,419,917) | ||||
Aggressive Allocation | ||||||||
Shares sold | 2,685,195 | 1,266,204 | 3,720,629 | 2,481,588 | ||||
Shares reinvested | — | (2) | 2,225,911 | 7,719,037 | ||||
Shares redeemed | (1,313,458) | (6,391,507) | (1,717,716) | (10,063,469) | ||||
Net increase (decrease) | 1,371,737 | (5,125,305) | 4,228,824 | 137,156 | ||||
Money Market | ||||||||
Shares sold | 3,490,437,438 | 350,134,954 | 4,301,371,523 | 372,222,653 | ||||
Shares reinvested | 902,142 | 1,146,594 | 4,362,064 | 7,235,378 | ||||
Shares redeemed | (3,309,708,062) | (297,231,339) | (4,243,079,202) | (395,729,389) | ||||
Net increase (decrease) | 181,631,518 | 54,050,209 | 62,654,385 | (16,271,358) | ||||
Low-Duration Bond | ||||||||
Shares sold | 5,368,744 | 3,311,449 | 12,551,013 | 2,530,141 | ||||
Shares reinvested | 490,896 | 133,227 | 1,315,187 | 408,076 | ||||
Shares redeemed | (7,361,910) | (3,274,621) | (2,665,469) | (8,680,164) | ||||
Net increase (decrease) | (1,502,270) | 170,055 | 11,200,731 | (5,741,947) | ||||
Medium-Duration Bond | ||||||||
Shares sold | 8,040,735 | 5,328,566 | 13,540,278 | 4,682,843 | ||||
Shares reinvested | 1,109,432 | 222,616 | 3,796,051 | 738,258 | ||||
Shares redeemed | (12,777,741) | (3,388,468) | (6,207,432) | (3,889,971) | ||||
Net increase (decrease) | (3,627,574) | 2,162,714 | 11,128,897 | 1,531,130 |
Table of Contents
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Extended-Duration Bond | ||||||||
Shares sold | 1,371,648 | 3,025,665 | 1,144,874 | 2,164,773 | ||||
Shares reinvested | 111,372 | 119,541 | 273,186 | 268,885 | ||||
Shares redeemed | (1,617,413) | (2,449,725) | (869,183) | (2,073,902) | ||||
Net increase (decrease) | (134,393) | 695,481 | 548,877 | 359,756 | ||||
Global Bond | ||||||||
Shares sold | 2,384,980 | 1,813,590 | 7,165,911 | 3,993,143 | ||||
Shares reinvested | 436,758 | 103,536 | 1,668,672 | 370,923 | ||||
Shares redeemed | (2,253,365) | (3,099,946) | (4,101,504) | (4,325,191) | ||||
Net increase (decrease) | 568,373 | (1,182,820) | 4,733,079 | 38,875 | ||||
Defensive Market Strategies | ||||||||
Shares sold | 5,991,280 | 5,712,017 | 5,887,780 | 10,224,002 | ||||
Shares reinvested | 740,462 | 315,711 | 3,346,366 | 1,808,567 | ||||
Shares redeemed | (2,820,688) | (9,190,670) | (4,354,794) | (8,025,323) | ||||
Net increase (decrease) | 3,911,054 | (3,162,942) | 4,879,352 | 4,007,246 | ||||
Equity Index | ||||||||
Shares sold | 4,333,488 | 2,228,509 | 5,273,559 | 2,798,001 | ||||
Shares reinvested | 484,312 | 182,076 | 950,842 | 376,640 | ||||
Shares redeemed | (3,210,952) | (2,348,076) | (4,085,318) | (3,070,984) | ||||
Net increase (decrease) | 1,606,848 | 62,509 | 2,139,083 | 103,657 | ||||
Value Equity | ||||||||
Shares sold | 4,826,674 | 1,049,074 | 1,776,842 | 1,533,095 | ||||
Shares reinvested | 1,118,804 | 427,101 | 4,805,181 | 2,153,966 | ||||
Shares redeemed | (1,931,878) | (2,492,064) | (4,726,326) | (3,533,365) | ||||
Net increase (decrease) | 4,013,600 | (1,015,889) | 1,855,697 | 153,696 | ||||
Growth Equity | ||||||||
Shares sold | 1,958,736 | 3,252,331 | 2,648,920 | 2,755,516 | ||||
Shares reinvested | 569,535 | 480,894 | 3,361,800 | 2,756,872 | ||||
Shares redeemed | (5,726,604) | (4,228,303) | (6,050,380) | (5,306,239) | ||||
Net increase (decrease) | (3,198,333) | (495,078) | (39,660) | 206,149 | ||||
Small Cap Equity | ||||||||
Shares sold | 2,997,407 | 966,762 | 2,806,216 | 1,842,795 | ||||
Shares reinvested | — | 20 | 813,704 | 611,340 | ||||
Shares redeemed | (1,591,823) | (2,033,768) | (1,738,011) | (3,764,720) | ||||
Net increase (decrease) | 1,405,584 | (1,066,986) | 1,881,909 | (1,310,585) | ||||
International Equity Index | ||||||||
Shares sold | 10,380,958 | 7,423,012 | ||||||
Shares reinvested | — | 1,904,082 | ||||||
Shares redeemed | (6,769,510) | (2,703,988) | ||||||
Net increase (decrease) | 3,611,448 | 6,623,106 |
Table of Contents
Six Months Ended 6/30/20 | Year Ended 12/31/19 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
International Equity | ||||||||
Shares sold | 5,574,457 | 3,071,513 | 4,636,440 | 3,794,260 | ||||
Shares reinvested | — | 30 | 3,415,346 | 1,187,097 | ||||
Shares redeemed | (5,319,138) | (3,548,093) | (5,939,356) | (3,802,408) | ||||
Net increase (decrease) | 255,319 | (476,550) | 2,112,430 | 1,178,949 | ||||
Emerging Markets Equity | ||||||||
Shares sold | 9,242,467 | 1,414,482 | 4,547,780 | 2,102,847 | ||||
Shares reinvested | — | — | 1,150,802 | 160,273 | ||||
Shares redeemed | (1,058,493) | (1,790,793) | (2,152,678) | (2,318,633) | ||||
Net increase (decrease) | 8,183,974 | (376,311) | 3,545,904 | (55,513) | ||||
Global Real Estate Securities | ||||||||
Shares sold | 1,506,850 | 1,308,185 | 2,054,553 | 2,974,207 | ||||
Shares reinvested | 361,321 | 199,596 | 1,142,558 | 726,106 | ||||
Shares redeemed | (673,912) | (1,749,966) | (2,674,346) | (2,791,652) | ||||
Net increase (decrease) | 1,194,259 | (242,185) | 522,765 | 908,661 | ||||
Strategic Alternatives | ||||||||
Shares sold | 1,311,042 | 658,215 | 3,452,292 | 1,225,099 | ||||
Shares reinvested | — | — | 716,595 | 105,265 | ||||
Shares redeemed | (1,574,943) | (1,214,597) | (4,070,510) | (2,549,140) | ||||
Net increase (decrease) | (263,901) | (556,382) | 98,377 | (1,218,776) |
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Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2019 | $16,670,062 | $ 9,643,245 | $— | $ 26,313,307 | |||||
2018 | 22,803,959 | 14,085,921 | — | 36,889,880 | ||||||
MyDestination 2025 | 2019 | 33,763,974 | 18,708,958 | — | 52,472,932 | |||||
2018 | 33,986,791 | 38,055,961 | — | 72,042,752 | ||||||
MyDestination 2035 | 2019 | 20,667,946 | 10,532,737 | — | 31,200,683 | |||||
2018 | 22,165,480 | 25,579,129 | — | 47,744,609 | ||||||
MyDestination 2045 | 2019 | 14,714,829 | 8,586,521 | — | 23,301,350 | |||||
2018 | 15,798,135 | 23,490,194 | — | 39,288,329 | ||||||
MyDestination 2055 | 2019 | 4,672,156 | 4,193,333 | — | 8,865,489 | |||||
2018 | 4,222,783 | 6,934,772 | — | 11,157,555 | ||||||
Conservative Allocation | 2019 | 10,900,966 | 12,236,121 | — | 23,137,087 | |||||
2018 | 15,397,717 | 437,488 | — | 15,835,205 | ||||||
Balanced Allocation | 2019 | 34,502,761 | 66,794,786 | — | 101,297,547 | |||||
2018 | 59,404,751 | 3,908,455 | — | 63,313,206 | ||||||
Growth Allocation | 2019 | 19,999,040 | 89,559,476 | — | 109,558,516 | |||||
2018 | 41,898,996 | 3,525,774 | — | 45,424,770 | ||||||
Aggressive Allocation | 2019 | 11,003,181 | 107,448,362 | — | 118,451,543 | |||||
2018 | 31,324,625 | 3,691,707 | — | 35,016,332 | ||||||
Money Market | 2019 | 27,768,702 | — | — | 27,768,702 | |||||
2018 | 18,097,193 | — | — | 18,097,193 | ||||||
Low-Duration Bond | 2019 | 23,248,543 | — | — | 23,248,543 | |||||
2018 | 21,597,150 | — | — | 21,597,150 | ||||||
Medium-Duration Bond | 2019 | 59,270,742 | 8,895,418 | — | 68,166,160 | |||||
2018 | 41,568,447 | — | — | 41,568,447 | ||||||
Extended-Duration Bond | 2019 | 7,545,607 | 2,246,414 | — | 9,792,021 | |||||
2018 | 6,878,837 | 1,763,567 | — | 8,642,404 | ||||||
Global Bond | 2019 | 20,221,476 | — | — | 20,221,476 | |||||
2018 | 17,233,962 | — | — | 17,233,962 | ||||||
Defensive Market Strategies | 2019 | 29,152,022 | 39,137,230 | — | 68,289,252 | |||||
2018 | 23,181,404 | 39,872,400 | — | 63,053,804 | ||||||
Equity Index | 2019 | 36,174,047 | 9,614,945 | — | 45,788,992 | |||||
2018 | 21,300,972 | 6,035,838 | — | 27,336,810 | ||||||
Value Equity | 2019 | 20,124,546 | 112,001,078 | — | 132,125,624 | |||||
2018 | 38,627,518 | 153,636,772 | — | 192,264,290 |
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Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
Growth Equity | 2019 | $ 5,232,310 | $151,896,069 | $— | $157,128,379 | |||||
2018 | 5,401,351 | 221,388,439 | — | 226,789,790 | ||||||
Small Cap Equity | 2019 | 746,585 | 21,320,019 | — | 22,066,604 | |||||
2018 | 16,705,821 | 80,730,527 | — | 97,436,348 | ||||||
International Equity Index | 2019 | 20,799,847 | — | — | 20,799,847 | |||||
2018 | 7,738,165 | — | — | 7,738,165 | ||||||
International Equity | 2019 | 28,005,024 | 36,195,026 | — | 64,200,050 | |||||
2018 | 27,909,942 | 107,935,276 | — | 135,845,218 | ||||||
Emerging Markets Equity | 2019 | 13,250,595 | — | — | 13,250,595 | |||||
2018 | 2,656,034 | — | — | 2,656,034 | ||||||
Global Real Estate Securities | 2019 | 19,123,112 | — | — | 19,123,112 | |||||
2018 | 9,704,770 | — | — | 9,704,770 | ||||||
Strategic Alternatives | 2019 | 6,848,636 | 1,494,225 | — | 8,342,861 | |||||
2018 | 7,693,005 | 367,373 | — | 8,060,378 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain/ (Capital Loss Carryforward) | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $ 197,110 | $ 6,052,434 | $ — | $ 28,492,581 | ||||
MyDestination 2025 | 516,652 | 10,983,516 | — | 78,826,976 | ||||
MyDestination 2035 | 446,256 | 5,652,789 | — | 67,422,830 | ||||
MyDestination 2045 | 373,477 | 3,968,517 | — | 57,722,245 | ||||
MyDestination 2055 | 181,517 | 1,318,807 | — | 15,293,288 | ||||
Conservative Allocation | 391,964 | 7,759,497 | — | 2,382,374 | ||||
Balanced Allocation | 2,582,277 | 41,308,540 | — | (7,952,832) | ||||
Growth Allocation | 3,670,726 | 46,298,051 | — | (33,363,339) | ||||
Aggressive Allocation | 3,405,012 | 56,670,525 | — | (48,138,159) | ||||
Money Market | 27,605 | — | — | — | ||||
Low-Duration Bond | 574,297 | (11,833,764) | — | 5,018,412 | ||||
Medium-Duration Bond | 965,559 | — | (15,200,232) | 49,607,755 | ||||
Extended-Duration Bond | 201,269 | 1,233,111 | — | 15,337,731 | ||||
Global Bond | 595,912 | 3,452,155 | (7,368,945) | 7,326,049 | ||||
Defensive Market Strategies | 3,272,758 | 3,028,972 | — | 170,706,701 | ||||
Equity Index | 1,915,955 | 5,047,222 | — | 639,999,229 | ||||
Value Equity | 10,359,660 | 5,328,149 | — | 142,318,422 | ||||
Growth Equity | 1,828,089 | 26,326,334 | — | 557,061,174 | ||||
Small Cap Equity | 137,676 | 7,359,532 | — | 31,978,201 | ||||
International Equity Index | 521,207 | (2,197,388) | — | 40,295,769 | ||||
International Equity | 959,069 | 1,905,316 | — | 77,881,477 | ||||
Emerging Markets Equity | 1,986,484 | (9,186,630) | — | 42,658,732 | ||||
Global Real Estate Securities | 3,177,936 | — | — | 9,268,507 | ||||
Strategic Alternatives | 433,684 | 39,191 | — | 2,709,205 |
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Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Securities | Depreciated Securities | ||||
MyDestination 2015 | $ 628,913,750 | $ 14,869,217 | $ 22,193,992 | $ (7,324,775) | ||||
MyDestination 2025 | 1,359,300,844 | 29,955,792 | 49,463,999 | (19,508,207) | ||||
MyDestination 2035 | 918,893,714 | 22,689,308 | 40,991,924 | (18,302,616) | ||||
MyDestination 2045 | 688,872,214 | 17,774,600 | 33,610,885 | (15,836,285) | ||||
MyDestination 2055 | 240,514,041 | 2,218,752 | 7,135,911 | (4,917,159) | ||||
Conservative Allocation | 505,871,933 | (2,181,405) | 8,821,174 | (11,002,579) | ||||
Balanced Allocation | 1,565,123,410 | (42,043,401) | 61,065,547 | (103,108,948) | ||||
Growth Allocation | 1,260,661,405 | (98,787,805) | 44,112,927 | (142,900,732) | ||||
Aggressive Allocation | 1,087,509,664 | (123,951,980) | 39,480,664 | (163,432,644) | ||||
Money Market | 1,523,039,757 | — | — | — | ||||
Low-Duration Bond | 994,648,691 | 6,856,307 | 14,328,897 | (7,472,590) | ||||
Medium-Duration Bond | 1,967,877,194 | 67,465,387 | 105,613,413 | (38,148,026) | ||||
Extended-Duration Bond | 263,594,597 | 25,150,417 | 29,852,346 | (4,701,929) | ||||
Global Bond | 605,702,734 | (5,337,495) | 34,100,375 | (39,437,870) | ||||
Defensive Market Strategies | 1,117,216,259 | 119,640,328 | 143,744,493 | (24,104,165) | ||||
Equity Index | 1,540,066,875 | 564,555,916 | 682,816,058 | (118,260,142) | ||||
Value Equity | 1,064,975,814 | (7,836,961) | 55,774,300 | (63,611,261) | ||||
Growth Equity | 1,193,113,904 | 547,671,555 | 567,449,085 | (19,777,530) | ||||
Small Cap Equity | 555,551,063 | (485,061) | 57,112,365 | (57,597,426) | ||||
International Equity Index | 716,661,236 | (33,034,627) | 70,901,881 | (103,936,508) | ||||
International Equity | 1,168,868,423 | (38,347,602) | 145,075,391 | (183,422,993) | ||||
Emerging Markets Equity | 540,758,464 | 21,266,805 | 57,595,541 | (36,328,736) | ||||
Global Real Estate Securities | 240,000,717 | (18,912,833) | 10,270,812 | (29,183,645) | ||||
Strategic Alternatives | 352,991,109 | (129,470) | 14,694,106 | (14,823,576) |
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• | the process for categorizing each Fund’s portfolio holdings into one of four liquidity categories, as defined in the Rule and the role of the Funds’ third-party liquidity classification data provider in the classification process, noting that no operational or compliance issues were detected; |
• | a review of the Funds’ liquidity factors, as enumerated in the Rule; |
• | the Funds remained primarily highly liquid, as the term is defined in the Rule; |
• | due to the highly liquid nature of the Funds, a highly liquid investment minimum had not been established; |
• | there were no liquidity events that materially affected the ability of the Funds to sell portfolio securities without significantly affecting their market value in order to timely meet redemptions without dilution to ongoing shareholders; |
• | at no time during the Review Period did any Fund approach the 15% Limit or 15% Threshold on illiquid investments, as those terms are defined in the Program; |
• | there were no material changes to the Program during the Review Period; |
• | the Program is reasonably designed and is operating effectively to assess and manage the liquidity risk for each Fund; |
• | the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to developments with the potential to impact the Funds’ liquidity. |
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Name, (Year 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 Trustee2 |
INDEPENDENT TRUSTEES | ||||
Thomas G. Evans (1961) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | Owner, Encompass Financial Services, Inc., 1985-present. | 24 | None |
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 | None |
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 | None |
David B. McMillan (1957) 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 | None |
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 |
Ronald D. Murff (1953) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2019 | President, JKL Group, LLC, 2010 – present; Principal, Dalcor Companies, 2012 – present. | 24 | None |
INTERESTED TRUSTEES3 | ||||
David Cox, Sr. (1972) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 20204 | LLP Manager, Penske Logistics, Inc., 2004 – present. | 24 | None |
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 | None |
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Name, (Year 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 Trustee2 |
OFFICERS WHO ARE NOT TRUSTEES5 | ||||
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. | 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 |
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 Investment Strategist, GuideStone Financial Resources, 2015 – 2016; Investment Strategist, Westwood Holdings Group, 2003 – 2015. | N/A | N/A |
Brandon Waldeck (1977) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 AML Compliance Officer | Since 2020 | Senior Manager – Fraud Risk, GuideStone Financial Resources, 2019 – present; Director of Ethics Office Trade Monitoring, Fidelity Investments, 2001 – 2019. | N/A | N/A |
Matthew A. Wolfe (1982) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Chief Compliance Officer, Chief Legal Officer and Secretary | Since 2017 | Managing Director, Compliance and Legal, GuideStone Financial Resources, 2020 – present; Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – 2020; 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 | $ 7.3Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1994 | $ 7.3Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.9Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Payden & Rygel | 1983 | $127.7B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.9Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Western Asset Management Company, LLC and | ||||||
Western Asset Management Company Limited | 1971 | $468.5B | ||||
Extended-Duration Bond | Loomis, Sayles & Company, L.P. | 1926 | $310.9B | |||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Schroder Investment Management North America Inc. | 1977 | $127.1B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $310.9B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $357.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Western Asset Management Company, LLC and | ||||||
Western Asset Management Company Limited | 1971 | $468.5B | ||||
Defensive Market Strategies | American Century Investment Management, Inc. | 1958 | $178.4B | |||
AQR Capital Management, LLC | 1998 | $141.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Shenkman Capital Management, Inc. | 1985 | $ 26.1B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $212.9B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $178.4B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ 44.1B | ||||
Legal & General Investment Management America, Inc. | 2006 | $212.9B | ||||
The London Company of Virginia, LLC | 1994 | $ 10.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
TCW Investment Management Company LLC | 1971 | $225.0B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $ 46.4B | |||
ClearBridge Investments, LLC | 2005 | $149.4B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $310.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Sands Capital Management, LLC | 1992 | $ 51.4B | ||||
Small Cap Equity | Delaware Investments Fund Advisers | 1929 | $241.2B | |||
Jacobs Levy Equity Management, Inc. | 1986 | $ 11.6B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
TimesSquare Capital Management, LLC | 2000 | $ 13.7B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $212.9B | |||
International Equity | AQR Capital Management, LLC | 1998 | $141.0B | |||
Harris Associates L.P. | 1976 | $ 86.5B | ||||
MFS Institutional Advisors, Inc. | 1924 | $507.2B | ||||
Mondrian Investment Partners Ltd. | 1990 | $ 45.8B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
WCM Investment Management, LLC | 1976 | $ 58.9B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $141.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | ||||
RBC Global Asset Management (UK) Limited | 2013 | $ 39.1B | ||||
Wellington Management Company LLP | 1928 | $ 1.1Tr | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC and | |||||
Heitman International Real Estate Securities HK Limited | 1989 | $ 42.6B | ||||
RREEF America L.L.C., | ||||||
DWS Investments Australia Limited and |
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Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
DWS Alternatives Global Limited | 1975 | $ 70.5B | ||||
Strategic Alternatives | Allianz Global Investors U.S. LLC | 1895 | $106.2B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 1.9Tr | ||||
Neuberger Berman Investment Advisers LLC | 2002 | $357.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $299.7B | ||||
Weiss Multi-Strategy Advisers LLC | 1978 | $ 2.8B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ 9.3Tr | |||
Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | Parametric Portfolio Associates LLC | 1987 | $299.7B |
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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) |
(b) |
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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 3, 2020 |
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 3, 2020 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | September 3, 2020 |
* | Print the name and title of each signing officer under his or her signature. |