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, 2021
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) |
• | 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 |
David S. Spika, CFA |
Index | 1 st Quarter 2021 Return | 2 nd Quarter 2021 Return | YTD Returns as of June 30, 2021 |
U.S. Equities | |||
S&P 500® | 6.17% | 8.55% | 15.25% |
Russell 2000 | 12.70% | 5.47% | 17.54% |
International Equities | |||
MSCI EAFE | 3.48% | 5.17% | 8.83% |
MSCI Emerging Markets | 2.29% | 5.05% | 7.45% |
U.S. Fixed Income | |||
Bloomberg US Aggregate Bond | -3.37% | 1.83% | -1.60% |
Bloomberg US Corporate High Yield | 0.85% | 2.96% | 3.62% |
Global Fixed Income | |||
Bloomberg Global Aggregate Bond | -4.46% | 1.43% | -3.21% |
President - Chief Investment Officer
GuideStone Capital Management, LLC
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/21 | Ending Account Value 06/30/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,042.00 | 0.11% | $0.58 | |||||
Investor | 1,000.00 | 1,040.20 | 0.36 | 1.84 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,058.60 | 0.11 | 0.57 | |||||
Investor | 1,000.00 | 1,056.70 | 0.36 | 1.84 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,086.70 | 0.13 | 0.67 | |||||
Investor | 1,000.00 | 1,084.90 | 0.38 | 1.97 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,109.40 | 0.13 | 0.67 | |||||
Investor | 1,000.00 | 1,106.70 | 0.38 | 1.97 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,114.50 | 0.16 | 0.84 | |||||
Investor | 1,000.00 | 1,112.70 | 0.41 | 2.14 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,030.90 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,029.20 | 0.39 | 1.98 | ||||||
Balanced Allocation | Institutional | 1,000.00 | 1,052.00 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,050.50 | 0.37 | 1.90 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,091.30 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,089.90 | 0.37 | 1.94 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,122.50 | 0.12 | 0.65 | |||||
Investor | 1,000.00 | 1,121.50 | 0.37 | 1.97 | ||||||
Money Market | Institutional | 1,000.00 | 1,000.00 | 0.08 | 0.39 | |||||
Investor | 1,000.00 | 1,000.00 | 0.08 | 0.39 |
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/21 | Ending Account Value 06/30/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Low-Duration Bond | Institutional | $1,000.00 | $1,001.50 | 0.34% | $1.69 | |||||
Investor | 1,000.00 | 1,000.70 | 0.61 | 3.02 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 980.10 | 0.36 | 1.77 | |||||
Investor | 1,000.00 | 978.90 | 0.63 | 3.08 | ||||||
Global Bond | Institutional | 1,000.00 | 990.40 | 0.55 | 2.71 | |||||
Investor | 1,000.00 | 989.60 | 0.83 | 4.12 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,070.70 | 0.66 | 3.38 | |||||
Investor | 1,000.00 | 1,069.40 | 0.92 | 4.73 | ||||||
Global Impact (4) | Institutional | 1,000.00 | 1,059.00 | 0.82 | 3.50 | |||||
Investor | 1,000.00 | 1,058.00 | 1.13 | 4.79 | ||||||
Equity Index | Institutional | 1,000.00 | 1,152.40 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,151.00 | 0.39 | 2.08 | ||||||
Value Equity | Institutional | 1,000.00 | 1,165.20 | 0.64 | 3.46 | |||||
Investor | 1,000.00 | 1,163.50 | 0.90 | 4.83 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,119.40 | 0.68 | 3.59 | |||||
Investor | 1,000.00 | 1,118.10 | 0.94 | 4.94 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,186.40 | 0.90 | 4.88 | |||||
Investor | 1,000.00 | 1,185.00 | 1.16 | 6.29 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,085.00 | 0.22 | 1.14 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,085.00 | 0.88 | 4.54 | |||||
Investor | 1,000.00 | 1,083.70 | 1.14 | 5.91 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,089.20 | 1.00 | 5.19 | |||||
Investor | 1,000.00 | 1,087.90 | 1.29 | 6.66 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,172.90 | 0.81 | 4.35 | |||||
Investor | 1,000.00 | 1,171.90 | 1.09 | 5.85 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,007.00 | 0.99 | 4.93 | |||||
Investor | 1,000.00 | 1,005.00 | 1.32 | 6.56 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/21 | Ending Account Value 06/30/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
MyDestination 2015 | Institutional | $1,000.00 | $1,024.23 | 0.11% | $0.58 | |||||
Investor | 1,000.00 | 1,022.99 | 0.36 | 1.83 | ||||||
MyDestination 2025 | Institutional | 1,000.00 | 1,024.24 | 0.11 | 0.56 | |||||
Investor | 1,000.00 | 1,023.00 | 0.36 | 1.81 | ||||||
MyDestination 2035 | Institutional | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||
MyDestination 2045 | Institutional | 1,000.00 | 1,024.16 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,022.92 | 0.38 | 1.90 | ||||||
MyDestination 2055 | Institutional | 1,000.00 | 1,024.00 | 0.16 | 0.80 | |||||
Investor | 1,000.00 | 1,022.77 | 0.41 | 2.05 | ||||||
Conservation Allocation | Institutional | 1,000.00 | 1,024.09 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,022.84 | 0.39 | 1.98 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/21 | Ending Account Value 06/30/21 | Annualized Expense Ratio (1) | Expenses Paid During Period (2) | |||||
Balanced Allocation | Institutional | $1,000.00 | $1,024.20 | 0.12% | $0.60 | |||||
Investor | 1,000.00 | 1,022.95 | 0.37 | 1.87 | ||||||
Growth Allocation | Institutional | 1,000.00 | 1,024.19 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,022.94 | 0.37 | 1.88 | ||||||
Aggressive Allocation | Institutional | 1,000.00 | 1,024.18 | 0.12 | 0.62 | |||||
Investor | 1,000.00 | 1,022.94 | 0.37 | 1.88 | ||||||
Money Market | Institutional | 1,000.00 | 1,024.40 | 0.08 | 0.39 | |||||
Investor | 1,000.00 | 1,024.40 | 0.08 | 0.40 | ||||||
Low-Duration Bond | Institutional | 1,000.00 | 1,023.10 | 0.34 | 1.71 | |||||
Investor | 1,000.00 | 1,021.78 | 0.61 | 3.05 | ||||||
Medium-Duration Bond | Institutional | 1,000.00 | 1,023.01 | 0.36 | 1.81 | |||||
Investor | 1,000.00 | 1,021.68 | 0.63 | 3.15 | ||||||
Global Bond | Institutional | 1,000.00 | 1,022.07 | 0.55 | 2.76 | |||||
Investor | 1,000.00 | 1,020.66 | 0.83 | 4.18 | ||||||
Defensive Market Strategies® | Institutional | 1,000.00 | 1,021.53 | 0.66 | 3.30 | |||||
Investor | 1,000.00 | 1,020.22 | 0.92 | 4.62 | ||||||
Global Impact Fund (4) | Institutional | 1,000.00 | 1,017.28 | 0.82 | 3.43 | |||||
Investor | 1,000.00 | 1,016.03 | 1.13 | 4.70 | ||||||
Equity Index | Institutional | 1,000.00 | 1,024.16 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,022.86 | 0.39 | 1.95 | ||||||
Value Equity | Institutional | 1,000.00 | 1,021.60 | 0.64 | 3.23 | |||||
Investor | 1,000.00 | 1,020.33 | 0.90 | 4.51 | ||||||
Growth Equity | Institutional | 1,000.00 | 1,021.40 | 0.68 | 3.43 | |||||
Investor | 1,000.00 | 1,020.13 | 0.94 | 4.71 | ||||||
Small Cap Equity | Institutional | 1,000.00 | 1,020.33 | 0.90 | 4.51 | |||||
Investor | 1,000.00 | 1,019.04 | 1.16 | 5.81 | ||||||
International Equity Index | Institutional | 1,000.00 | 1,023.70 | 0.22 | 1.10 | |||||
International Equity (3) | Institutional | 1,000.00 | 1,020.44 | 0.88 | 4.40 | |||||
Investor | 1,000.00 | 1,019.13 | 1.14 | 5.72 | ||||||
Emerging Markets Equity | Institutional | 1,000.00 | 1,019.83 | 1.00 | 5.02 | |||||
Investor | 1,000.00 | 1,018.41 | 1.29 | 6.44 | ||||||
Global Real Estate Securities | Institutional | 1,000.00 | 1,020.79 | 0.81 | 4.05 | |||||
Investor | 1,000.00 | 1,019.40 | 1.09 | 5.44 | ||||||
Strategic Alternatives (3) | Institutional | 1,000.00 | 1,019.89 | 0.99 | 4.96 | |||||
Investor | 1,000.00 | 1,018.25 | 1.32 | 6.61 |
INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
ABS | — | Asset-Backed Security |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
AGM | — | Assured Guarantee Municipal Corporation |
AMT | — | Alternative Minimum Tax |
ARM | — | Adjustable Rate Mortgage |
ASX | — | Australian Securities Exchange |
BAM | — | Build America Mutual |
BBSW | — | Bank Bill Swap Rate |
Bobl | — | Bundesobligation ("federal government bond") |
Bund | — | Bundesanleihe ("federal bond") |
CDI | — | Crest Depository Interest |
CDO | — | Collateralized Debt Obligation |
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 |
COPS | — | Certificates of Participation |
CVA | — | Dutch Certificate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
Fannie Mae | — | Federal National Mortgage Association |
FHLMC | — | Federal Home Loan Mortgage Corporation |
GDR | — | Global Depositary Receipt |
Gtd. | — | Guaranteed |
HIBOR | — | Hong Kong Interbank Offered Rate |
HUD | — | Housing and Urban Development |
HY | — | High Yield |
ICE | — | Intercontinental Exchange |
IG | — | Investment Grade |
IO | — | Interest Only (Principal amount shown is notional) |
JIBAR | — | Johannesburg Interbank Average Rate |
KWCDC | — | Korean Won Certificate of Deposit |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MMY | — | Money Market Yield |
NIBOR | — | Norwegian Interbank Offered Rate |
NVDR | — | Non-Voting Depository Receipt |
OAT | — | Obligations Assimilables du Trésor |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PJSC | — | Public Joint Stock Company |
PLC | — | Public Limited Company |
PSF | — | Permanent School Fund |
Q-SBLF | — | Qualified School Bond Loan Fund |
QSC | — | Qatar Shareholder Company |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SAE | — | Societe Anonyme Egyptienne |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average Rate |
SonyMA | — | State of New York Mortgage Agency |
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STIBOR | — | Stockholm Interbank Offered Rate |
STRIP | — | Stripped Security |
TBA | — | To be announced |
TIIE | — | The Equilibrium Interbank Interest Rate |
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, 2021, 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 | $367,560,621 | 33.79% | ||
Medium-Duration Bond | 383,098,544 | 15.74 | ||
Global Bond | 95,646,323 | 15.45 | ||
Defensive Market Strategies® | 187,588,475 | 13.12 | ||
Global Impact Fund | 3,803,164 | 2.19 | ||
International Equity Index | 15,784,569 | 1.85 | ||
International Equity | 28,470,336 | 2.15 | ||
Emerging Markets Equity | 31,559,337 | 3.68 | ||
Global Real Estate Securities | 1,372,161 | 0.45 | ||
Strategic Alternatives | 21,155,547 | 6.50 |
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. |
* | — | 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 year-end. |
† | — | Variable rate security. Rate shown reflects the rate in effect as of June 30, 2021. |
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, 2021. |
∞ | — | 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 2 in Notes to Financial Statements). |
Ø | — | 7-day current yield as of June 30, 2021 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
~ | — | Century bond maturing in 2121. |
« | — | Century bond maturing in 2110. |
◊ | — | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
τ | — | The initial closing of commitments was held on January 19, 2021. The uncalled capital commitment at June 30, 2021 was $7,500,000. |
€ | — | Rounds to less than 1 share. |
Ψ | — | Security is valued at fair value by the Valuation Committee (see Note 2 in Notes to Financial Statements). As of June 30, 2021, 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 | $365,275 | 0.02% | ||
Global Bond | 27,864 | 0.00 | ||
International Equity | — | 0.00 |
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). |
(M) | — | Par is denominated in Mexican Pesos (MXN). |
(P) | — | Par is denominated in Polish Zloty (PLN). |
(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). |
(Y) | — | Par is denominated in Chinese Yuan (CNY). |
(ZB) | — | Par is denominated in Peruvian Sol (PEN) |
(ZC) | — | Par is denominated in Israeli Shekels (ILS). |
(ZD) | — | Par is demnominated in Swiss Francs (CHF). |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BBH | — | Counterparty to contract is Brown Brothers Harriman. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
CIBC | — | Counterparty to contract is Canadian Imperial Bank of Commerce. |
CITI | — | Counterparty to contract is Citibank NA London. |
CS | — | Counterparty to contract is Credit Suisse International. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
HSBC | — | Counterparty to contract is HSBC Securities. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is Westpac Bank. |
Shares | Value | |||
MUTUAL FUNDS — 91.9% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 8,730,020 | $119,077,475 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 12,328,710 | 187,766,258 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,904,901 | 39,751,893 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 5,442,835 | 80,608,384 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,742,391 | 126,972,687 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 701,953 | 15,555,293 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 5,348,742 | 66,912,763 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,083,595 | 27,982,681 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 636,771 | 6,934,432 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,221,947 | 22,286,126 | ||
Total Mutual Funds (Cost $614,619,631) | 693,847,992 | |||
MONEY MARKET FUNDS — 1.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 9,626,826 | 9,626,826 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 120,481 | 120,481 | ||
Total Money Market Funds (Cost $9,747,307) | 9,747,307 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 6.9% | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.63%, 04/15/23 | $ 3,700,000 | $ 4,207,880 | ||
0.13%, 07/15/24 | 12,100,000 | 14,633,304 | ||
0.13%, 07/15/26 | 5,250,000 | 6,403,902 | ||
0.38%, 07/15/27 | 2,620,000 | 3,189,689 | ||
3.88%, 04/15/29 | 5,490,000 | 12,540,216 | ||
3.38%, 04/15/32 | 1,170,000 | 2,595,778 | ||
0.63%, 02/15/43 | 2,925,000 | 4,056,071 | ||
1.00%, 02/15/48 | 2,810,000 | 4,056,301 | ||
Total U.S. Treasury Obligations (Cost $51,522,921) | 51,683,141 | |||
TOTAL INVESTMENTS — 100.1% (Cost $675,889,859) | 755,278,440 | |||
Liabilities in Excess of Other Assets — (0.1)% | (535,365) | |||
NET ASSETS — 100.0% | $754,743,075 |
% | |
Fixed Income Select Funds | 46.0 |
U.S. Equity Select Funds | 29.5 |
Non-U.S. Equity Select Funds | 12.6 |
U.S. Treasury Obligations | 6.9 |
Alternative Select Funds | 2.9 |
Money Market Funds | 1.3 |
Real Assets Select Funds | 0.9 |
100.1 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 8 | $ 921,640 | $(24,142) | ||||
MSCI Emerging Markets | 09/2021 | 4 | 272,960 | (1,096) | ||||
S&P 500® E-Mini | 09/2021 | 9 | 1,929,870 | 26,833 | ||||
10-Year U.S. Treasury Note | 09/2021 | 28 | 3,710,000 | 8,701 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $6,834,470 | $ 10,296 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 9,747,307 | $ 9,747,307 | $ — | $ — | |||
Mutual Funds | 693,847,992 | 693,847,992 | — | — | |||
U.S. Treasury Obligations | 51,683,141 | — | 51,683,141 | — | |||
Total Assets - Investments in Securities | $755,278,440 | $703,595,299 | $51,683,141 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 35,534 | $ 35,534 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 35,534 | $ 35,534 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (25,238) | $ (25,238) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (25,238) | $ (25,238) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 95.4% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 10,279,716 | $ 140,215,322 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 28,761,417 | 438,036,391 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 9,565,645 | 97,378,267 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 13,386,628 | 198,255,967 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,305,790 | 384,558,066 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,133,910 | 47,287,442 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 15,853,089 | 198,322,149 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,391,755 | 85,841,266 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,771,564 | 19,292,331 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,124,222 | 31,335,945 | ||
Total Mutual Funds (Cost $1,407,802,425) | 1,640,523,146 | |||
MONEY MARKET FUNDS — 1.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 25,814,855 | 25,814,855 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,231,392 | 1,231,392 | ||
Total Money Market Funds (Cost $27,046,247) | 27,046,247 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 3.0% | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.63%, 04/15/23 | $ 3,969,027 | $ 4,196,508 | ||
0.13%, 07/15/24 | 13,608,749 | 14,597,023 | ||
0.13%, 07/15/26 | 5,849,078 | 6,367,309 | ||
0.38%, 07/15/27 | 2,860,306 | 3,177,514 | ||
3.88%, 04/15/29 | 8,918,395 | 12,494,532 | ||
3.38%, 04/15/32 | 1,760,300 | 2,573,592 | ||
0.63%, 02/15/43 | 3,397,534 | 4,056,071 | ||
1.00%, 02/15/48 | 3,043,118 | 4,041,866 | ||
Total U.S. Treasury Obligations (Cost $51,332,318) | 51,504,415 | |||
TOTAL INVESTMENTS — 100.0% (Cost $1,486,180,990) | 1,719,073,808 | |||
Other Assets in Excess of Liabilities — 0.0% | 137,856 | |||
NET ASSETS — 100.0% | $1,719,211,664 |
% | |
Fixed Income Select Funds | 39.4 |
U.S. Equity Select Funds | 36.6 |
Non-U.S. Equity Select Funds | 16.5 |
U.S. Treasury Obligations | 3.0 |
Alternative Select Funds | 1.8 |
Money Market Funds | 1.6 |
Real Assets Select Funds | 1.1 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
10-Year U.S. Treasury Note | 09/2021 | 84 | $11,130,000 | $ 48,752 | ||||
MSCI EAFE Index | 09/2021 | 31 | 3,571,355 | (92,536) | ||||
MSCI Emerging Markets | 09/2021 | 13 | 887,120 | (3,476) | ||||
S&P 500® E-Mini | 09/2021 | 40 | 8,577,200 | 96,931 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $24,165,675 | $ 49,671 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 27,046,247 | $ 27,046,247 | $ — | $ — | |||
Mutual Funds | 1,640,523,146 | 1,640,523,146 | — | — | |||
U.S. Treasury Obligations | 51,504,415 | — | 51,504,415 | — | |||
Total Assets - Investments in Securities | $1,719,073,808 | $1,667,569,393 | $51,504,415 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 145,683 | $ 145,683 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 145,683 | $ 145,683 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (96,012) | $ (96,012) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (96,012) | $ (96,012) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.5% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 17,266,285 | $ 262,965,523 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 6,430,127 | 65,458,695 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 6,471,543 | 95,843,553 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,882,931 | 457,579,702 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,545,564 | 56,409,704 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 18,648,493 | 233,292,649 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,604,773 | 102,132,107 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,882,282 | 20,498,047 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 330,095 | 3,310,848 | ||
Total Mutual Funds (Cost $1,059,995,698) | 1,297,490,828 | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 31,033,731 | 31,033,731 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 509,083 | $ 509,083 | ||
Total Money Market Funds (Cost $31,542,814) | 31,542,814 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,091,538,512) | 1,329,033,642 | |||
Other Assets in Excess of Liabilities — 0.1% | 937,178 | |||
NET ASSETS — 100.0% | $1,329,970,820 |
% | |
U.S. Equity Select Funds | 45.8 |
Non-U.S. Equity Select Funds | 25.2 |
Fixed Income Select Funds | 24.7 |
Money Market Funds | 2.4 |
Real Assets Select Funds | 1.5 |
Alternative Select Funds | 0.3 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 64 | $ 7,373,120 | $(167,913) | ||||
MSCI Emerging Markets | 09/2021 | 26 | 1,774,240 | (7,126) | ||||
S&P 500 ® E-Mini | 09/2021 | 66 | 14,152,380 | 177,241 | ||||
10-Year U.S. Treasury Note | 09/2021 | 68 | 9,010,000 | 52,413 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $32,309,740 | $ 54,615 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 31,542,814 | $ 31,542,814 | $ — | $ — | |||
Mutual Funds | 1,297,490,828 | 1,297,490,828 | — | — | |||
Total Assets - Investments in Securities | $1,329,033,642 | $1,329,033,642 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 229,654 | $ 229,654 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 229,654 | $ 229,654 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (175,039) | $ (175,039) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (175,039) | $ (175,039) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.8% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 6,131,233 | $ 93,378,673 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 2,285,196 | 23,263,297 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 3,341,261 | 49,484,073 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 9,393,676 | 434,927,185 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,439,414 | 54,057,419 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 17,913,234 | 224,094,559 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 7,329,817 | 98,439,435 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,638,349 | 17,841,625 | ||
Total Mutual Funds (Cost $772,675,263) | 995,486,266 | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 20,634,819 | 20,634,819 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 256,457 | $ 256,457 | ||
Total Money Market Funds (Cost $20,891,276) | 20,891,276 | |||
TOTAL INVESTMENTS — 99.9% (Cost $793,566,539) | 1,016,377,542 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,119,691 | |||
NET ASSETS — 100.0% | $1,017,497,233 |
% | |
U.S. Equity Select Funds | 52.9 |
Non-U.S. Equity Select Funds | 31.7 |
Fixed Income Select Funds | 11.5 |
Money Market Funds | 2.1 |
Real Assets Select Funds | 1.7 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 48 | $ 5,529,840 | $(143,477) | ||||
MSCI Emerging Markets | 09/2021 | 23 | 1,569,520 | (6,093) | ||||
S&P 500 ® E-Mini | 09/2021 | 51 | 10,935,930 | 152,056 | ||||
10-Year U.S. Treasury Note | 09/2021 | 21 | 2,782,500 | 17,930 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $20,817,790 | $ 20,416 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 20,891,276 | $ 20,891,276 | $ — | $ — | |||
Mutual Funds | 995,486,266 | 995,486,266 | — | — | |||
Total Assets - Investments in Securities | $1,016,377,542 | $1,016,377,542 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 169,986 | $ 169,986 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 169,986 | $ 169,986 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments | |||||||
Futures Contracts | $ (149,570) | $ (149,570) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (149,570) | $ (149,570) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.9% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 1,452,627 | $ 22,123,516 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 540,528 | 5,502,571 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 1,284,569 | 19,024,463 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 3,801,319 | 176,001,056 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 973,373 | 21,569,954 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 7,193,765 | 89,994,006 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,865,419 | 38,482,582 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 639,591 | 6,965,150 | ||
Total Mutual Funds (Cost $298,248,794) | 379,663,298 | |||
MONEY MARKET FUNDS — 2.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 7,451,026 | 7,451,026 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 260,528 | $ 260,528 | ||
Total Money Market Funds (Cost $7,711,554) | 7,711,554 | |||
TOTAL INVESTMENTS — 99.9% (Cost $305,960,348) | 387,374,852 | |||
Other Assets in Excess of Liabilities — 0.1% | 319,466 | |||
NET ASSETS — 100.0% | $387,694,318 |
% | |
U.S. Equity Select Funds | 55.9 |
Non-U.S. Equity Select Funds | 33.1 |
Fixed Income Select Funds | 7.1 |
Money Market Funds | 2.0 |
Real Assets Select Funds | 1.8 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 18 | $2,073,690 | $(48,545) | ||||
MSCI Emerging Markets | 09/2021 | 10 | 682,400 | (1,407) | ||||
S&P 500 ® E-Mini | 09/2021 | 19 | 4,074,170 | 55,034 | ||||
10-Year U.S. Treasury Note | 09/2021 | 6 | 795,000 | 5,220 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $7,625,260 | $ 10,302 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 7,711,554 | $ 7,711,554 | $ — | $ — | |||
Mutual Funds | 379,663,298 | 379,663,298 | — | — | |||
Total Assets - Investments in Securities | $387,374,852 | $387,374,852 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 60,254 | $ 60,254 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 60,254 | $ 60,254 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (49,952) | $ (49,952) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (49,952) | $ (49,952) | $ — | $ — |
*** | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 51,803,622 | $ 52,735,807 | |
Investments in securities of affiliated issuers, at value | 703,474,818 | 1,666,338,001 | |
Total investments, at value(1) | 755,278,440 | 1,719,073,808 | |
Deposits with broker for futures contracts | 194,000 | 691,009 | |
Receivables: | |||
Interest | 126,002 | 125,518 | |
From advisor | 19,098 | 19,741 | |
Fund shares sold | 345,769 | 724,841 | |
Variation margin on futures contracts | 453 | — | |
Prepaid expenses and other assets | 30,973 | 52,093 | |
Total Assets | 755,994,735 | 1,720,687,010 | |
Liabilities | |||
Payables: | |||
Fund shares redeemed | 1,022,758 | 992,863 | |
Variation margin on futures contracts | — | 5,715 | |
Accrued expenses: | |||
Investment advisory fees | 65,938 | 144,581 | |
Shareholder servicing fees | 113,958 | 250,087 | |
Trustee fees | 4,204 | 7,081 | |
Other expenses | 44,802 | 75,019 | |
Total Liabilities | 1,251,660 | 1,475,346 | |
Net Assets | $754,743,075 | $1,719,211,664 | |
Net Assets Consist of: | |||
Paid-in-capital | $658,302,533 | $1,447,599,213 | |
Distributable earnings (loss) | 96,440,542 | 271,612,451 | |
Net Assets | $754,743,075 | $1,719,211,664 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $197,788,229 | $ 493,169,704 | |
Institutional shares outstanding | 17,335,378 | 41,973,599 | |
Net asset value, offering and redemption price per Institutional share | $ 11.41 | $ 11.75 | |
Net assets applicable to the Investor Class | $556,954,846 | $1,226,041,960 | |
Investor shares outstanding | 48,888,716 | 104,408,495 | |
Net asset value, offering and redemption price per Investor share | $ 11.39 | $ 11.74 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 51,643,402 | $ 52,563,710 | |
Investments in securities of affiliated issuers, at cost | 624,246,457 | 1,433,617,280 | |
Total investments, at cost | $675,889,859 | $1,486,180,990 |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ 509,083 | $ 256,457 | $ 260,528 | ||
1,328,524,559 | 1,016,121,085 | 387,114,324 | ||
1,329,033,642 | 1,016,377,542 | 387,374,852 | ||
1,310,000 | 1,061,000 | 402,006 | ||
— | — | — | ||
— | — | — | ||
296,439 | 458,613 | 109,559 | ||
— | — | — | ||
38,045 | 31,871 | 17,004 | ||
1,330,678,126 | 1,017,929,026 | 387,903,421 | ||
327,615 | 130,759 | 75,632 | ||
25,954 | 32,238 | 13,244 | ||
108,636 | 83,164 | 33,340 | ||
181,377 | 131,234 | 47,596 | ||
5,014 | 4,143 | 2,778 | ||
58,710 | 50,255 | 36,513 | ||
707,306 | 431,793 | 209,103 | ||
$1,329,970,820 | $1,017,497,233 | $387,694,318 | ||
$1,059,836,059 | $ 771,177,024 | $299,262,939 | ||
270,134,761 | 246,320,209 | 88,431,379 | ||
$1,329,970,820 | $1,017,497,233 | $387,694,318 | ||
$ 442,238,257 | $ 374,472,437 | $154,005,975 | ||
36,371,173 | 30,780,898 | 8,991,844 | ||
$ 12.16 | $ 12.17 | $ 17.13 | ||
$ 887,732,563 | $ 643,024,796 | $233,688,343 | ||
73,105,132 | 52,954,538 | 13,683,882 | ||
$ 12.14 | $ 12.14 | $ 17.08 | ||
$ 509,083 | $ 256,457 | $ 260,528 | ||
1,091,029,429 | 793,310,082 | 305,699,820 | ||
$1,091,538,512 | $ 793,566,539 | $305,960,348 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
MyDestination 2015 Fund | |
Investment Income | |
Income distributions received from affiliated funds | $ 2,622,401 |
Interest | 661,715 |
Total Investment Income | 3,284,116 |
Expenses | |
Investment advisory fees | 381,465 |
Transfer agent fees: | |
Institutional shares | 1,999 |
Investor shares | 10,228 |
Custodian fees | 6,725 |
Shareholder servicing fees: | |
Investor shares | 676,836 |
Accounting and administration fees | 15,987 |
Professional fees | 35,099 |
Shareholder reporting fees: | |
Institutional shares | 149 |
Investor shares | 3,354 |
Trustees expenses | 4,120 |
Line of credit facility fees | 1,714 |
Other expenses | 39,336 |
Recoupment of prior expenses reduced by the Advisor | — |
Total Expenses | 1,177,012 |
Expenses waived/reimbursed(1) | (86,245) |
Net Expenses | 1,090,767 |
Net Investment Income | 2,193,349 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 3,092,771 |
Net realized gain on investment securities of affiliated issuers | 6,442,064 |
Net realized gain on investment securities of unaffiliated issuers | 73,368 |
Net realized gain on futures transactions | 323,445 |
Net realized gain | 9,931,648 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 17,215,923 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 12,017 |
Change in unrealized appreciation (depreciation) on futures | (41,359) |
Net change in unrealized appreciation (depreciation) | 17,186,581 |
Net Realized and Unrealized Gain | 27,118,229 |
Net Increase in Net Assets Resulting from Operations | $29,311,578 |
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 6,575,727 | $ 5,230,658 | $ 3,580,553 | $ 1,318,934 | |||
661,178 | — | — | — | |||
7,236,905 | 5,230,658 | 3,580,553 | 1,318,934 | |||
839,281 | 616,717 | 472,632 | 176,325 | |||
2,258 | 2,313 | 2,312 | 2,259 | |||
15,448 | 10,750 | 9,799 | 8,583 | |||
10,757 | 12,581 | 11,461 | 9,425 | |||
1,460,801 | 1,032,373 | 745,776 | 263,748 | |||
36,214 | 26,769 | 20,516 | 7,659 | |||
35,579 | 35,233 | 35,090 | 34,880 | |||
312 | 347 | 354 | 320 | |||
4,671 | 3,632 | 3,029 | 2,269 | |||
6,940 | 4,916 | 4,064 | 2,738 | |||
3,004 | 2,134 | 1,744 | 1,096 | |||
53,265 | 51,771 | 46,146 | 39,614 | |||
— | 34,019 | 3,044 | — | |||
2,468,530 | 1,833,555 | 1,355,967 | 548,916 | |||
(98,554) | — | — | (1,410) | |||
2,369,976 | 1,833,555 | 1,355,967 | 547,506 | |||
4,866,929 | 3,397,103 | 2,224,586 | 771,428 | |||
8,245,170 | 6,802,569 | 5,438,409 | 2,156,140 | |||
12,974,795 | 11,258,903 | 7,487,375 | 2,027,561 | |||
79,518 | — | — | — | |||
1,397,322 | 2,471,676 | 2,266,991 | 878,857 | |||
22,696,805 | 20,533,148 | 15,192,775 | 5,062,558 | |||
64,359,568 | 78,358,565 | 79,663,650 | 32,107,028 | |||
10,544 | — | — | — | |||
(172,972) | (263,518) | (257,739) | (103,918) | |||
64,197,140 | 78,095,047 | 79,405,911 | 32,003,110 | |||
86,893,945 | 98,628,195 | 94,598,686 | 37,065,668 | |||
$91,760,874 | $102,025,298 | $96,823,272 | $37,837,096 |
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 | ||||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 2,193,349 | $ 8,841,489 | $ 4,866,929 | $ 19,606,645 | |||
Net realized gain on investment securities and futures transactions | 9,931,648 | 15,908,913 | 22,696,805 | 41,895,796 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 17,186,581 | 32,809,077 | 64,197,140 | 87,944,530 | |||
Net increase in net assets resulting from operations | 29,311,578 | 57,559,479 | 91,760,874 | 149,446,971 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (6,408,437) | — | (17,903,630) | |||
Investor shares | — | (18,764,203) | — | (42,018,908) | |||
Total distributions | — | (25,172,640) | — | (59,922,538) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 32,494,268 | 41,045,766 | 40,697,936 | 97,587,137 | |||
Investor shares | 42,924,735 | 60,915,701 | 87,630,300 | 106,704,232 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 6,408,437 | — | 17,903,630 | |||
Investor shares | — | 18,759,541 | — | 42,015,796 | |||
Total proceeds from shares sold and reinvested | 75,419,003 | 127,129,445 | 128,328,236 | 264,210,795 | |||
Value of shares redeemed | |||||||
Institutional shares | (12,072,736) | (28,757,117) | (24,218,471) | (53,695,788) | |||
Investor shares | (35,815,088) | (100,454,578) | (44,854,118) | (141,392,507) | |||
Total value of shares redeemed | (47,887,824) | (129,211,695) | (69,072,589) | (195,088,295) | |||
Net increase (decrease) from capital share transactions(1) | 27,531,179 | (2,082,250) | 59,255,647 | 69,122,500 | |||
Total increase in net assets | 56,842,757 | 30,304,589 | 151,016,521 | 158,646,933 | |||
Net Assets: | |||||||
Beginning of Period | 697,900,318 | 667,595,729 | 1,568,195,143 | 1,409,548,210 | |||
End of Period | $754,743,075 | $ 697,900,318 | $1,719,211,664 | $1,568,195,143 |
(1) | See Note 6 in Notes to Financial Statements. |
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 | |||||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 3,397,103 | $ 13,446,206 | $ 2,224,586 | $ 9,964,337 | $ 771,428 | $ 3,486,476 | |||||
20,533,148 | 25,928,586 | 15,192,775 | 14,316,641 | 5,062,558 | 3,630,316 | |||||
78,095,047 | 90,280,776 | 79,405,911 | 84,113,480 | 32,003,110 | 33,501,116 | |||||
102,025,298 | 129,655,568 | 96,823,272 | 108,394,458 | 37,837,096 | 40,617,908 | |||||
— | (12,154,818) | — | (8,196,290) | — | (2,929,834) | |||||
— | (22,913,162) | — | (12,765,470) | — | (3,887,403) | |||||
— | (35,067,980) | — | (20,961,760) | — | (6,817,237) | |||||
40,411,960 | 93,832,021 | 24,715,064 | 69,124,988 | 15,615,627 | 43,068,497 | |||||
66,496,259 | 78,771,395 | 36,877,925 | 52,552,692 | 24,357,848 | 39,537,765 | |||||
— | 12,154,818 | — | 8,196,290 | — | 2,929,834 | |||||
— | 22,911,118 | — | 12,765,324 | — | 3,887,416 | |||||
106,908,219 | 207,669,352 | 61,592,989 | 142,639,294 | 39,973,475 | 89,423,512 | |||||
(12,186,066) | (23,785,558) | (9,936,792) | (17,569,090) | (7,172,797) | (7,189,755) | |||||
(12,636,605) | (61,433,706) | (7,860,694) | (36,714,974) | (2,370,365) | (17,236,823) | |||||
(24,822,671) | (85,219,264) | (17,797,486) | (54,284,064) | (9,543,162) | (24,426,578) | |||||
82,085,548 | 122,450,088 | 43,795,503 | 88,355,230 | 30,430,313 | 64,996,934 | |||||
184,110,846 | 217,037,676 | 140,618,775 | 175,787,928 | 68,267,409 | 98,797,605 | |||||
1,145,859,974 | 928,822,298 | 876,878,458 | 701,090,530 | 319,426,909 | 220,629,304 | |||||
$1,329,970,820 | $1,145,859,974 | $1,017,497,233 | $876,878,458 | $387,694,318 | $319,426,909 |
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 | ||||||||||||||
2021(3) | $10.95 | $0.05 | $ 0.41 | $ 0.46 | $ — | $ — | $ — | $11.41 | 4.20% | $ 197,788 | 0.11% | 0.14% | 0.81% | 9% |
2020 | 10.40 | 0.16 | 0.82 | 0.98 | (0.22) | (0.21) | (0.43) | 10.95 | 9.41 | 169,812 | 0.06 | 0.14 | 1.58 | 23 |
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 | ||||||||||||||
2021(3) | $10.95 | $0.03 | $ 0.41 | $ 0.44 | $ — | $ — | $ — | $11.39 | 4.02% | $ 556,955 | 0.36% | 0.39% | 0.54% | 9% |
2020 | 10.40 | 0.13 | 0.82 | 0.95 | (0.19) | (0.21) | (0.40) | 10.95 | 9.16 | 528,088 | 0.31 | 0.39 | 1.29 | 23 |
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 |
MyDestination 2025 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(3) | $11.10 | $0.04 | $ 0.61 | $ 0.65 | $ — | $ — | $ — | $11.75 | 5.86% | $ 493,170 | 0.11% | 0.12% | 0.77% | 4% |
2020 | 10.42 | 0.17 | 0.97 | 1.14 | (0.22) | (0.24) | (0.46) | 11.10 | 10.95 | 449,798 | 0.08 | 0.12 | 1.60 | 19 |
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 | ||||||||||||||
2021(3) | $11.11 | $0.03 | $ 0.60 | $ 0.63 | $ — | $ — | $ — | $11.74 | 5.67% | $1,226,042 | 0.36% | 0.37% | 0.52% | 4% |
2020 | 10.43 | 0.14 | 0.97 | 1.11 | (0.19) | (0.24) | (0.43) | 11.11 | 10.69 | 1,118,397 | 0.34 | 0.38 | 1.31 | 19 |
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 |
MyDestination 2035 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(3) | $11.19 | $0.04 | $ 0.93 | $ 0.97 | $ — | $ — | $ — | $12.16 | 8.67% | $ 442,238 | 0.13% | 0.13% | 0.73% | 4% |
2020 | 10.22 | 0.16 | 1.18 | 1.34 | (0.19) | (0.18) | (0.37) | 11.19 | 13.15 | 379,986 | 0.14 | 0.14 | 1.61 | 11 |
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 | ||||||||||||||
2021(3) | $11.19 | $0.03 | $ 0.92 | $ 0.95 | $ — | $ — | $ — | $12.14 | 8.49% | $ 887,733 | 0.38% | 0.38% | 0.46% | 4% |
2020 | 10.22 | 0.13 | 1.19 | 1.32 | (0.17) | (0.18) | (0.35) | 11.19 | 12.90 | 765,874 | 0.39 | 0.39 | 1.29 | 11 |
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 |
# | 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. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.39%, 0.39%, 0.36%, 0.34% and 0.34%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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. |
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 | ||||||||||||||
2021(3) | $10.97 | $0.04 | $ 1.16 | $ 1.20 | $ — | $ — | $ — | $12.17 | 10.94% | $374,472 | 0.13% | 0.13% | 0.63% | 3% |
2020 | 9.87 | 0.15 | 1.24 | 1.39 | (0.17) | (0.12) | (0.29) | 10.97 | 14.06 | 323,697 | 0.14 | 0.14 | 1.58 | 7 |
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 | ||||||||||||||
2021(3) | $10.97 | $0.02 | $ 1.15 | $ 1.17 | $ — | $ — | $ — | $12.14 | 10.67% | $643,025 | 0.38% | 0.38% | 0.38% | 3% |
2020 | 9.87 | 0.12 | 1.24 | 1.36 | (0.14) | (0.12) | (0.26) | 10.97 | 13.80 | 553,181 | 0.41 | 0.41 | 1.26 | 7 |
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 |
MyDestination 2055 Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(3) | $15.37 | $0.05 | $ 1.71 | $ 1.76 | $ — | $ — | $ — | $17.13 | 11.45% | $154,006 | 0.16% | 0.16% | 0.58% | 3% |
2020 | 13.77 | 0.21 | 1.74 | 1.95 | (0.22) | (0.13) | (0.35) | 15.37 | 14.23 | 130,214 | 0.16 | 0.18 | 1.58 | 12 |
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 | ||||||||||||||
2021(3) | $15.34 | $0.03 | $ 1.71 | $ 1.74 | $ — | $ — | $ — | $17.08 | 11.27% | $233,688 | 0.41% | 0.41% | 0.34% | 3% |
2020 | 13.76 | 0.17 | 1.73 | 1.90 | (0.19) | (0.13) | (0.32) | 15.34 | 13.85 | 189,213 | 0.42 | 0.44 | 1.27 | 12 |
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 |
# | 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. Acquired fund fees and expenses (i.e., the fees and expenses incurred by the underlying funds) for the MyDestination 2015 Fund, MyDestination 2025 Fund, MyDestination 2035 Fund, MyDestination 2045 Fund and MyDestination 2055 Fund were 0.39%, 0.39%, 0.36%, 0.34% and 0.34%, respectively for 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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. |
Shares | Value | |||
MUTUAL FUNDS — 98.6% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 19,609,034 | $267,467,227 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,760,769 | 72,506,519 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,787,604 | 18,197,804 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 2,878,380 | 42,628,811 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 1,600,000 | 16,944,000 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 1,329,927 | 29,404,685 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 276,964 | 6,137,532 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 948,758 | 31,868,780 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 996,187 | 13,378,790 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 1,897,692 | 30,268,188 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 630,915 | 6,870,663 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,783,565 | 27,919,151 | ||
Total Mutual Funds (Cost $524,040,146) | 563,592,150 | |||
MONEY MARKET FUNDS — 1.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 7,894,143 | 7,894,143 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 11,489 | $ 11,489 | ||
Total Money Market Funds (Cost $7,905,632) | 7,905,632 | |||
TOTAL INVESTMENTS — 100.0% (Cost $531,945,778) | 571,497,782 | |||
Liabilities in Excess of Other Assets — (0.0)% | (87,160) | |||
NET ASSETS — 100.0% | $571,410,622 |
% | |
Fixed Income Select Funds | 62.7 |
U.S. Equity Select Funds | 19.2 |
Non-U.S. Equity Select Funds | 7.6 |
Alternative Select Funds | 4.9 |
Impact Select Funds | 3.0 |
Money Market Funds | 1.4 |
Real Assets Select Funds | 1.2 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 5 | $ 576,025 | $(11,223) | ||||
MSCI Emerging Markets | 09/2021 | 4 | 272,960 | 525 | ||||
S&P 500 ® E-Mini | 09/2021 | 6 | 1,286,580 | 15,594 | ||||
2-Year U.S. Treasury Note | 09/2021 | 37 | 8,151,852 | (8,034) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $10,287,417 | $ (3,138) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 7,905,632 | $ 7,905,632 | $ — | $ — | |||
Mutual Funds | 563,592,150 | 563,592,150 | — | — | |||
Total Assets - Investments in Securities | $571,497,782 | $571,497,782 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 16,119 | $ 16,119 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 16,119 | $ 16,119 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (19,257) | $ (19,257) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (19,257) | $ (19,257) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.7% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 4,998,035 | $ 68,173,200 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 32,262,285 | 491,354,599 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 13,644,664 | 138,902,675 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,343,525 | 182,807,607 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 6,600,000 | 69,894,000 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 7,835,603 | 173,245,176 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,532,662 | 33,963,796 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 5,262,323 | 176,761,413 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,371,149 | 72,134,536 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 10,865,194 | 173,299,841 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,420,275 | 37,246,800 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 6,463,988 | 64,833,798 | ||
Total Mutual Funds (Cost $1,505,988,574) | 1,682,617,441 | |||
MONEY MARKET FUNDS — 2.3% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 38,733,383 | 38,733,383 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 52,337 | $ 52,337 | ||
Total Money Market Funds (Cost $38,785,720) | 38,785,720 | |||
TOTAL INVESTMENTS — 100.0% (Cost $1,544,774,294) | 1,721,403,161 | |||
Other Assets in Excess of Liabilities — 0.0% | 723,713 | |||
NET ASSETS — 100.0% | $1,722,126,874 |
% | |
Fixed Income Select Funds | 40.5 |
U.S. Equity Select Funds | 32.9 |
Non-U.S. Equity Select Funds | 14.3 |
Impact Select Funds | 4.0 |
Alternative Select Funds | 3.8 |
Money Market Funds | 2.3 |
Real Assets Select Funds | 2.2 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 52 | $ 5,990,660 | $(155,254) | ||||
MSCI Emerging Markets | 09/2021 | 35 | 2,388,400 | (9,125) | ||||
S&P 500® E-Mini | 09/2021 | 60 | 12,865,800 | 178,890 | ||||
10-Year U.S. Treasury Note | 09/2021 | 35 | 4,637,500 | 19,824 | ||||
U.S. Treasury Long Bond | 09/2021 | 32 | 5,144,000 | 142,019 | ||||
5-Year U.S. Treasury Note | 09/2021 | 59 | 7,282,352 | (14,341) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $38,308,712 | $ 162,013 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 38,785,720 | $ 38,785,720 | $ — | $ — | |||
Mutual Funds | 1,682,617,441 | 1,682,617,441 | — | — | |||
Total Assets - Investments in Securities | $1,721,403,161 | $1,721,403,161 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 340,733 | $ 340,733 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 340,733 | $ 340,733 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (178,720) | $ (178,720) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (178,720) | $ (178,720) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.5% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 1,727,989 | $ 23,569,771 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 11,236,988 | 171,139,325 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,779,523 | 48,655,543 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,381,619 | 64,891,779 | ||
GuideStone Global Impact Fund (Institutional Class)∞ | 5,261,625 | 55,720,607 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 11,545,678 | 255,274,939 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,242,309 | 49,689,574 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 7,758,148 | 260,596,200 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,292,045 | 111,362,162 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 16,125,582 | 257,203,027 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,832,381 | 41,734,634 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 3,264,944 | 32,747,389 | ||
Total Mutual Funds (Cost $1,186,579,009) | 1,372,584,950 | |||
MONEY MARKET FUNDS — 2.5% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 35,089,313 | 35,089,313 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 73,206 | $ 73,206 | ||
Total Money Market Funds (Cost $35,162,519) | 35,162,519 | |||
TOTAL INVESTMENTS — 100.0% (Cost $1,221,741,528) | 1,407,747,469 | |||
Other Assets in Excess of Liabilities — 0.0% | 527,755 | |||
NET ASSETS — 100.0% | $1,408,275,224 |
% | |
U.S. Equity Select Funds | 44.7 |
Non-U.S. Equity Select Funds | 26.2 |
Fixed Income Select Funds | 17.3 |
Impact Select Funds | 4.0 |
Real Assets Select Funds | 3.0 |
Money Market Funds | 2.5 |
Alternative Select Funds | 2.3 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 68 | $ 7,833,940 | $(189,272) | ||||
MSCI Emerging Markets | 09/2021 | 48 | 3,275,520 | (10,639) | ||||
S&P 500® E-Mini | 09/2021 | 79 | 16,939,970 | 224,531 | ||||
10-Year U.S. Treasury Note | 09/2021 | 15 | 1,987,500 | 10,068 | ||||
U.S. Treasury Long Bond | 09/2021 | 14 | 2,250,500 | 53,576 | ||||
5-Year U.S. Treasury Note | 09/2021 | 25 | 3,085,742 | (6,405) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $35,373,172 | $ 81,859 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 35,162,519 | $ 35,162,519 | $ — | $ — | |||
Mutual Funds | 1,372,584,950 | 1,372,584,950 | — | — | |||
Total Assets - Investments in Securities | $1,407,747,469 | $1,407,747,469 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 288,175 | $ 288,175 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 288,175 | $ 288,175 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (206,316) | $ (206,316) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (206,316) | $ (206,316) | $ — | $ — |
*** | 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. |
Shares | Value | |||
MUTUAL FUNDS — 97.5% | ||||
GuideStone Value Equity Fund (Institutional Class)∞ | 14,979,952 | $ 331,206,738 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,903,802 | 64,348,257 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 10,035,921 | 337,106,596 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 10,646,939 | 142,988,383 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 20,990,943 | 334,805,538 | ||
Total Mutual Funds (Cost $1,009,586,308) | 1,210,455,512 | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 29,745,982 | 29,745,982 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 43,325 | 43,325 | ||
Total Money Market Funds (Cost $29,789,307) | 29,789,307 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,039,375,615) | 1,240,244,819 | |||
Other Assets in Excess of Liabilities — 0.1% | 1,182,069 | |||
NET ASSETS — 100.0% | $1,241,426,888 |
% | |
U.S. Equity Select Funds | 59.0 |
Non-U.S. Equity Select Funds | 38.5 |
Money Market Funds | 2.4 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 75 | $ 8,640,375 | $(199,811) | ||||
MSCI Emerging Markets | 09/2021 | 55 | 3,753,200 | (11,265) | ||||
S&P 500 ® E-Mini | 09/2021 | 88 | 18,869,840 | 238,981 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $31,263,415 | $ 27,905 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 29,789,307 | $ 29,789,307 | $ — | $ — | |||
Mutual Funds | 1,210,455,512 | 1,210,455,512 | — | — | |||
Total Assets - Investments in Securities | $1,240,244,819 | $1,240,244,819 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 238,981 | $ 238,981 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 238,981 | $ 238,981 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (211,076) | $ (211,076) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (211,076) | $ (211,076) | $ — | $ — |
*** | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $ 11,489 | $ 52,337 | $ 73,206 | $ 43,325 | |||
Investments in securities of affiliated issuers, at value | 571,486,293 | 1,721,350,824 | 1,407,674,263 | 1,240,201,494 | |||
Total investments, at value(1) | 571,497,782 | 1,721,403,161 | 1,407,747,469 | 1,240,244,819 | |||
Deposits with broker for futures contracts | 126,000 | 1,352,000 | 1,661,000 | 1,864,000 | |||
Receivables: | |||||||
Fund shares sold | 151,752 | 43,315 | 51,628 | 10,159 | |||
Prepaid expenses and other assets | 41,578 | 64,051 | 50,599 | 42,431 | |||
Total Assets | 571,817,112 | 1,722,862,527 | 1,409,510,696 | 1,242,161,409 | |||
Liabilities | |||||||
Payables: | |||||||
Fund shares redeemed | 216,064 | 235,607 | 802,462 | 311,998 | |||
Variation margin on futures contracts | 3,563 | 10,739 | 43,704 | 64,660 | |||
Accrued expenses: | |||||||
Investment advisory fees | 46,900 | 141,523 | 115,647 | 101,918 | |||
Shareholder servicing fees | 88,177 | 257,757 | 201,095 | 189,340 | |||
Trustee fees | 6,202 | 10,300 | 7,785 | 6,620 | |||
Other expenses | 45,584 | 79,727 | 64,779 | 59,985 | |||
Total Liabilities | 406,490 | 735,653 | 1,235,472 | 734,521 | |||
Net Assets | $571,410,622 | $1,722,126,874 | $1,408,275,224 | $1,241,426,888 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $525,435,037 | $1,521,223,763 | $1,188,533,163 | $1,008,462,132 | |||
Distributable earnings (loss) | 45,975,585 | 200,903,111 | 219,742,061 | 232,964,756 | |||
Net Assets | $571,410,622 | $1,722,126,874 | $1,408,275,224 | $1,241,426,888 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $142,614,002 | $ 466,117,331 | $ 428,973,058 | $ 318,642,755 | |||
Institutional shares outstanding | 11,555,675 | 34,407,425 | 29,664,515 | 21,733,682 | |||
Net asset value, offering and redemption price per Institutional share | $ 12.34 | $ 13.55 | $ 14.46 | $ 14.66 | |||
Net assets applicable to the Investor Class | $428,796,620 | $1,256,009,543 | $ 979,302,166 | $ 922,784,133 | |||
Investor shares outstanding | 34,797,444 | 92,871,224 | 67,868,791 | 63,303,341 | |||
Net asset value, offering and redemption price per Investor share | $ 12.32 | $ 13.52 | $ 14.43 | $ 14.58 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $ 11,489 | $ 52,337 | $ 73,206 | $ 43,325 | |||
Investments in securities of affiliated issuers, at cost | 531,934,289 | 1,544,721,957 | 1,221,668,322 | 1,039,332,290 | |||
Total investments, at cost | $531,945,778 | $1,544,774,294 | $1,221,741,528 | $1,039,375,615 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Income distributions received from affiliated funds | $ 1,181,724 | $ 7,300,836 | $ 5,119,355 | $ 3,420,877 | |||
Interest | 87 | 98 | 119 | 119 | |||
Total Investment Income | 1,181,811 | 7,300,934 | 5,119,474 | 3,420,996 | |||
Expenses | |||||||
Investment advisory fees | 281,192 | 838,980 | 679,729 | 592,244 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,926 | 2,000 | 1,914 | 1,865 | |||
Investor shares | 14,926 | 24,482 | 18,415 | 16,067 | |||
Custodian fees | 5,947 | 13,742 | 11,087 | 8,792 | |||
Shareholder servicing fees: | |||||||
Investor shares | 529,354 | 1,529,805 | 1,181,156 | 1,100,759 | |||
Accounting and administration fees | 12,184 | 36,338 | 29,466 | 25,684 | |||
Professional fees | 35,798 | 36,481 | 35,983 | 35,887 | |||
Shareholder reporting fees: | |||||||
Institutional shares | 108 | 125 | 84 | 59 | |||
Investor shares | 4,636 | 6,740 | 5,603 | 4,853 | |||
Trustees expenses | 6,068 | 10,083 | 7,625 | 6,492 | |||
Line of credit facility fees | 2,378 | 4,178 | 3,178 | 2,711 | |||
Other expenses | 40,576 | 53,331 | 51,028 | 45,923 | |||
Total Expenses | 935,093 | 2,556,285 | 2,025,268 | 1,841,336 | |||
Net Investment Income | 246,718 | 4,744,649 | 3,094,206 | 1,579,660 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 1,762,537 | 9,154,410 | 8,799,042 | 9,450,624 | |||
Net realized gain on investment securities of affiliated issuers | 3,491,684 | 13,783,632 | 5,513,427 | 3,022,844 | |||
Net realized gain on futures transactions | 309,487 | 1,126,433 | 2,327,319 | 3,420,334 | |||
Net realized gain | 5,563,708 | 24,064,475 | 16,639,788 | 15,893,802 | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 10,983,179 | 55,832,421 | 98,858,400 | 119,250,311 | |||
Change in unrealized appreciation (depreciation) on futures | (43,607) | (193,823) | (293,911) | (304,339) | |||
Net change in unrealized appreciation (depreciation) | 10,939,572 | 55,638,598 | 98,564,489 | 118,945,972 | |||
Net Realized and Unrealized Gain | 16,503,280 | 79,703,073 | 115,204,277 | 134,839,774 | |||
Net Increase in Net Assets Resulting from Operations | $16,749,998 | $84,447,722 | $118,298,483 | $136,419,434 |
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 | ||||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 246,718 | $ 5,934,526 | $ 4,744,649 | $ 15,563,615 | |||
Net realized gain on investment securities and futures transactions | 5,563,708 | 6,610,683 | 24,064,475 | 33,903,584 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 10,939,572 | 21,981,171 | 55,638,598 | 108,766,612 | |||
Net increase in net assets resulting from operations | 16,749,998 | 34,526,380 | 84,447,722 | 158,233,811 | |||
Distributions to Shareholders: | |||||||
Institutional shares | — | (4,154,503) | — | (21,700,422) | |||
Investor shares | — | (11,680,125) | — | (56,015,985) | |||
Total distributions | — | (15,834,628) | — | (77,716,407) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 10,115,808 | 35,450,549 | 13,233,356 | 70,877,243 | |||
Investor shares | 30,652,733 | 69,843,790 | 24,867,186 | 45,976,253 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 4,141,914 | — | 21,623,071 | |||
Investor shares | — | 11,659,641 | — | 55,973,918 | |||
Total proceeds from shares sold and reinvested | 40,768,541 | 121,095,894 | 38,100,542 | 194,450,485 | |||
Value of shares redeemed | |||||||
Institutional shares | (7,446,710) | (20,798,028) | (20,491,561) | (45,174,857) | |||
Investor shares | (29,515,726) | (95,489,389) | (49,672,773) | (175,636,915) | |||
Total value of shares redeemed | (36,962,436) | (116,287,417) | (70,164,334) | (220,811,772) | |||
Net increase (decrease) from capital share transactions(1) | 3,806,105 | 4,808,477 | (32,063,792) | (26,361,287) | |||
Total increase in net assets | 20,556,103 | 23,500,229 | 52,383,930 | 54,156,117 | |||
Net Assets: | |||||||
Beginning of Period | 550,854,519 | 527,354,290 | 1,669,742,944 | 1,615,586,827 | |||
End of Period | $571,410,622 | $ 550,854,519 | $1,722,126,874 | $1,669,742,944 |
(1) | See Note 6 in Notes to Financial Statements. |
Growth Allocation Fund | Aggressive Allocation Fund | |||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | |||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | |||
(Unaudited) | (Unaudited) | |||||
$ 3,094,206 | $ 8,233,085 | $ 1,579,660 | $ 3,702,495 | |||
16,639,788 | 32,621,376 | 15,893,802 | 28,183,804 | |||
98,564,489 | 107,653,899 | 118,945,972 | 118,311,745 | |||
118,298,483 | 148,508,360 | 136,419,434 | 150,198,044 | |||
— | (20,043,664) | — | (17,131,829) | |||
— | (43,626,556) | — | (48,458,271) | |||
— | (63,670,220) | — | (65,590,100) | |||
4,211,632 | 80,608,445 | 4,961,271 | 39,151,104 | |||
17,953,878 | 30,062,722 | 13,166,222 | 22,528,095 | |||
— | 20,021,280 | — | 17,124,877 | |||
— | 43,613,649 | — | 48,453,699 | |||
22,165,510 | 174,306,096 | 18,127,493 | 127,257,775 | |||
(16,190,628) | (39,461,439) | (12,561,514) | (31,600,752) | |||
(40,303,183) | (142,809,402) | (41,449,886) | (119,347,827) | |||
(56,493,811) | (182,270,841) | (54,011,400) | (150,948,579) | |||
(34,328,301) | (7,964,745) | (35,883,907) | (23,690,804) | |||
83,970,182 | 76,873,395 | 100,535,527 | 60,917,140 | |||
1,324,305,042 | 1,247,431,647 | 1,140,891,361 | 1,079,974,221 | |||
$1,408,275,224 | $1,324,305,042 | $1,241,426,888 | $1,140,891,361 |
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 | ||||||||||||||
2021(3) | $11.97 | $0.02 | $ 0.35 | $ 0.37 | $ — | $ — | $ — | $12.34 | 3.09% | $ 142,614 | 0.14% | 0.14% | 0.28% | 5% |
2020 | 11.52 | 0.16 | 0.67 | 0.83 | (0.20) | (0.18) | (0.38) | 11.97 | 7.17 | 135,681 | 0.15 | 0.15 | 1.35 | 15 |
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 |
Investor Class | ||||||||||||||
2021(3) | $11.97 | $ — | $ 0.35 | $ 0.35 | $ — | $ — | $ — | $12.32 | 2.92% | $ 428,797 | 0.39% | 0.39% | 0.03% | 5% |
2020 | 11.52 | 0.13 | 0.67 | 0.80 | (0.17) | (0.18) | (0.35) | 11.97 | 6.92 | 415,174 | 0.40 | 0.40 | 1.09 | 15 |
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 |
Balanced Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(3) | $12.88 | $0.05 | $ 0.62 | $ 0.67 | $ — | $ — | $ — | $13.55 | 5.20% | $ 466,117 | 0.12% | 0.12% | 0.75% | 15% |
2020 | 12.19 | 0.15 | 1.18 | 1.33 | (0.23) | (0.41) | (0.64) | 12.88 | 11.00 | 450,122 | 0.12 | 0.12 | 1.21 | 15 |
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 |
Investor Class | ||||||||||||||
2021(3) | $12.87 | $0.03 | $ 0.62 | $ 0.65 | $ — | $ — | $ — | $13.52 | 5.05% | $1,256,010 | 0.37% | 0.37% | 0.50% | 15% |
2020 | 12.19 | 0.11 | 1.18 | 1.29 | (0.20) | (0.41) | (0.61) | 12.87 | 10.66 | 1,219,621 | 0.37 | 0.37 | 0.93 | 15 |
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 |
# | 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. Acquired fund fees and expenses (i.e., the fees and expenses incurred 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 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
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 | ||||||||||||||
2021(3) | $13.25 | $0.04 | $ 1.17 | $ 1.21 | $ — | $ — | $ — | $14.46 | 9.13% | $428,973 | 0.12% | 0.12% | 0.63% | 11% |
2020 | 12.31 | 0.11 | 1.51 | 1.62 | (0.18) | (0.50) | (0.68) | 13.25 | 13.30 | 404,479 | 0.13 | 0.13 | 0.90 | 15 |
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 |
Investor Class | ||||||||||||||
2021(3) | $13.24 | $0.03 | $ 1.16 | $ 1.19 | $ — | $ — | $ — | $14.43 | 8.99% | $979,302 | 0.37% | 0.37% | 0.38% | 11% |
2020 | 12.31 | 0.07 | 1.51 | 1.58 | (0.15) | (0.50) | (0.65) | 13.24 | 12.96 | 919,826 | 0.38 | 0.38 | 0.61 | 15 |
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 |
Aggressive Allocation Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(3) | $13.06 | $0.03 | $ 1.57 | $ 1.60 | $ — | $ — | $ — | $14.66 | 12.25% | $318,643 | 0.12% | 0.12% | 0.45% | 5% |
2020 | 12.00 | 0.07 | 1.80 | 1.87 | (0.11) | (0.70) | (0.81) | 13.06 | 15.75 | 290,969 | 0.13 | 0.13 | 0.59 | 13 |
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 |
Investor Class | ||||||||||||||
2021(3) | $13.00 | $0.01 | $ 1.57 | $ 1.58 | $ — | $ — | $ — | $14.58 | 12.15% | $922,784 | 0.37% | 0.37% | 0.20% | 5% |
2020 | 11.95 | 0.03 | 1.80 | 1.83 | (0.08) | (0.70) | (0.78) | 13.00 | 15.49 | 849,922 | 0.38 | 0.38 | 0.30 | 13 |
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 |
# | 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. Acquired fund fees and expenses (i.e., the fees and expenses incurred 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 2021. These acquired fund fees and expenses impact the net asset value of the underlying funds in which each Fund invests, and therefore the effect of the acquired fund fees and expenses are reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Par | Value | |||
AGENCY OBLIGATIONS — 28.2% | ||||
Federal Farm Credit Bank Discount Notes | ||||
0.15%, 07/01/21 | $15,865,000 | $15,865,000 | ||
0.14%, 07/21/21 | 3,855,000 | 3,854,700 | ||
0.09%, 08/31/21 | 4,660,000 | 4,659,289 | ||
0.09%, 09/22/21 | 10,195,000 | 10,192,885 | ||
0.10%, 10/28/21 | 1,870,000 | 1,869,382 | ||
0.08%, 11/16/21 | 11,555,000 | 11,551,456 | ||
0.09%, 11/17/21 | 13,190,000 | 13,185,417 | ||
0.10%, 12/02/21 | 4,475,000 | 4,473,086 | ||
0.08%, 12/28/21 | 1,990,000 | 1,989,204 | ||
0.08%, 01/19/22 | 5,300,000 | 5,297,621 | ||
0.08%, 01/28/22 | 4,640,000 | 4,637,824 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, ICE LIBOR USD 1M + 0.16%), 0.25%, 07/01/21† | 4,705,000 | 4,705,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.23%), 0.27%, 07/08/21† | 3,240,000 | 3,240,000 | ||
(Floating, ICE LIBOR USD 1M + 0.10%), 0.17%, 07/16/21† | 5,000,000 | 5,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.09%), 0.19%, 08/30/21† | 8,000,000 | 8,000,000 | ||
(Floating, ICE LIBOR USD 1M + 0.11%), 0.18%, 11/12/21† | 1,600,000 | 1,600,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.24%, 11/18/21† | 2,680,000 | 2,680,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.15%), 0.20%, 12/13/21† | 3,470,000 | 3,468,439 | ||
(Floating, ICE LIBOR USD 1M + 0.01%), 0.10%, 12/28/21† | 3,425,000 | 3,424,863 | ||
(Floating, U.S. SOFR + 0.18%), 0.23%, 01/14/22† | 6,170,000 | 6,170,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.12%), 0.17%, 05/02/22† | 2,100,000 | 2,099,893 | ||
(Floating, U.S. SOFR + 0.19%), 0.24%, 07/14/22† | 4,580,000 | 4,580,000 | ||
(Floating, U.S. Federal Funds + 0.18%), 0.28%, 07/20/22† | 16,000,000 | 15,998,333 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 09/08/22† | 9,530,000 | 9,531,719 | ||
(Floating, U.S. SOFR + 0.06%), 0.11%, 10/21/22† | 13,335,000 | 13,335,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.13%, 11/03/22† | 7,810,000 | 7,810,000 | ||
(Floating, U.S. SOFR + 0.03%), 0.08%, 01/12/23† | 15,770,000 | 15,768,776 | ||
(Floating, U.S. SOFR + 0.05%), 0.10%, 02/17/23† | 7,350,000 | 7,350,000 | ||
Federal Home Loan Bank | ||||
(Floating, U.S. SOFR + 0.08%), 0.13%, 07/08/21† | 4,720,000 | 4,720,000 | ||
(Floating, U.S. SOFR + 0.08%), 0.13%, 07/23/21† | 3,035,000 | 3,035,000 | ||
(Floating, U.S. SOFR + 0.02%), 0.07%, 08/23/21† | 30,000,000 | 30,000,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.09%), 0.14%, 09/10/21† | $ 5,880,000 | $ 5,880,000 | ||
0.04%, 10/15/21 | 3,600,000 | 3,599,993 | ||
0.05%, 12/23/21 | 4,315,000 | 4,314,930 | ||
(Floating, U.S. SOFR + 0.02%), 0.07%, 01/12/22† | 40,000,000 | 40,000,000 | ||
(Floating, U.S. SOFR + 0.12%), 0.17%, 02/28/22† | 8,240,000 | 8,240,000 | ||
(Floating, U.S. SOFR + 0.01%), 0.06%, 03/28/22† | 1,310,000 | 1,310,000 | ||
(Floating, U.S. SOFR + 0.01%), 0.06%, 03/30/22† | 2,090,000 | 2,090,000 | ||
(Floating, U.S. SOFR + 0.07%), 0.12%, 04/28/22† | 2,565,000 | 2,565,000 | ||
(Floating, U.S. SOFR + 0.02%), 0.07%, 12/16/22† | 19,240,000 | 19,240,000 | ||
Federal Home Loan Bank Discount Notes | ||||
0.00%, 07/14/21õ | 2,855,000 | 2,854,997 | ||
0.01%, 07/28/21 | 4,910,000 | 4,909,971 | ||
0.01%, 08/11/21 | 4,495,000 | 4,494,923 | ||
0.01%, 08/12/21 | 2,700,000 | 2,699,953 | ||
0.05%, 09/17/21 | 25,140,000 | 25,137,385 | ||
0.04%, 09/23/21 | 8,795,000 | 8,794,077 | ||
0.04%, 09/29/21 | 43,240,000 | 43,235,135 | ||
0.05%, 11/05/21 | 5,340,000 | 5,339,058 | ||
0.05%, 12/22/21 | 2,305,000 | 2,304,454 | ||
Federal Home Loan Mortgage Corporation | ||||
1.13%, 08/12/21 | 2,535,000 | 2,537,877 | ||
(Floating, U.S. SOFR + 0.32%), 0.37%, 09/23/21† | 9,540,000 | 9,540,000 | ||
(Floating, U.S. SOFR + 0.18%), 0.23%, 12/13/21† | 9,870,000 | 9,870,000 | ||
(Floating, U.S. SOFR + 0.20%), 0.25%, 03/11/22† | 5,330,000 | 5,330,000 | ||
(Floating, U.S. SOFR + 0.19%), 0.24%, 06/02/22† | 8,900,000 | 8,900,000 | ||
(Floating, U.S. SOFR + 0.07%), 0.12%, 11/10/22† | 5,065,000 | 5,065,000 | ||
Federal National Mortgage Association | ||||
1.38%, 10/07/21 | 3,675,000 | 3,687,163 | ||
(Floating, U.S. SOFR + 0.35%), 0.40%, 04/07/22† | 7,655,000 | 7,655,000 | ||
(Floating, U.S. SOFR + 0.39%), 0.44%, 04/15/22† | 8,775,000 | 8,775,000 | ||
Total Agency Obligations (Cost $478,462,803) | 478,462,803 | |||
U.S. TREASURY OBLIGATIONS — 47.7% | ||||
U.S. Cash Management Bills | ||||
0.02%, 09/14/21 | 4,500,000 | 4,499,812 | ||
0.03%, 10/05/21 | 30,000,000 | 29,997,600 | ||
0.03%, 10/19/21 | 3,715,000 | 3,714,603 | ||
0.05%, 11/02/21 | 6,446,000 | 6,444,935 | ||
44,656,950 |
Par | Value | |||
U.S. Treasury Bills | ||||
0.00%, 07/01/21õ Ω | $ 2,815,000 | $ 2,815,000 | ||
0.00%, 07/06/21Ω | 37,727,600 | 37,727,600 | ||
0.01%, 07/08/21Ω | 36,705,000 | 36,704,857 | ||
0.00%, 07/13/21õ Ω | 72,955,000 | 72,954,870 | ||
0.01%, 07/22/21Ω | 17,004,900 | 17,004,801 | ||
0.03%, 07/27/21Ω | 28,640,000 | 28,639,379 | ||
0.04%, 08/05/21Ω | 50,000,000 | 49,998,055 | ||
0.02%, 08/10/21Ω | 6,715,000 | 6,714,815 | ||
0.01%, 08/12/21Ω | 106,195,000 | 106,188,155 | ||
0.01%, 08/24/21Ω | 100,000,000 | 99,992,500 | ||
0.05%, 09/30/21Ω | 25,000,000 | 24,996,840 | ||
0.13%, 11/04/21Ω | 10,102,100 | 10,097,327 | ||
0.04%, 11/12/21Ω | 52,760,000 | 52,752,954 | ||
0.11%, 12/02/21Ω | 41,893,400 | 41,873,669 | ||
0.04%, 12/09/21Ω | 30,942,400 | 30,936,865 | ||
0.04%, 12/16/21Ω | 34,357,800 | 34,351,387 | ||
0.06%, 12/23/21Ω | 4,465,000 | 4,463,752 | ||
0.01%, 12/30/21Ω | 22,645,000 | 22,632,407 | ||
0.09%, 01/27/22Ω | 26,202,300 | 26,188,544 | ||
707,033,777 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY + 0.22%), 0.27%, 07/31/21† | 12,000,000 | 12,000,000 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.30%), 0.35%, 10/31/21† | 4,215,000 | 4,215,837 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.06%), 0.11%, 07/31/22† | 19,672,100 | 19,672,100 | ||
(Floating, U.S. Treasury 3M Bill MMY + 0.05%), 0.10%, 01/31/23† | 17,000,000 | 17,001,776 | ||
52,889,713 | ||||
U.S. Treasury Notes | ||||
2.50%, 02/15/22 | 410,000 | 416,183 | ||
1.75%, 02/28/22 | 420,000 | 424,616 | ||
0.38%, 03/31/22 | 420,000 | 420,884 | ||
2.13%, 05/15/22 | 3,040,000 | 3,094,395 | ||
1.75%, 06/15/22 | 360,000 | 365,777 | ||
0.13%, 06/30/22 | 1,350,000 | 1,350,728 | ||
6,072,583 | ||||
Total U.S. Treasury Obligations (Cost $810,653,023) | 810,653,023 |
Shares | |||
MONEY MARKET FUNDS — 0.0% | |||
Northern Institutional Funds - U.S. Government Select Portfolio (Shares), 0.03%Ø (Cost $12,369) | 12,369 | 12,369 |
Par | Value | |||
REPURCHASE AGREEMENTS — 32.4% | ||||
Bank of Nova Scotia | ||||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $80,000,111, collateralized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 4.750%, due 08/31/21 to 08/15/49, total market value $81,600,192) | $80,000,000 | $80,000,000 | ||
BNP Paribas | ||||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $7,000,010, collateralized by U.S. Treasury Bonds, 0.000%, due 02/15/37 to 02/15/50, total market value $7,140,000) | 7,000,000 | 7,000,000 | ||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $45,000,063, collateralized by Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 5.000%, due 09/09/21 to 07/01/51, total market value $46,125,511) | 45,000,000 | 45,000,000 | ||
Citigroup Global Markets, Inc. | ||||
0.06% (dated 06/30/21, due 07/01/21, repurchase price $80,000,133, collateralized by Government National Mortgage Association and U.S. Treasury Notes, 0.125% to 5.500%, due 09/15/23 to 07/20/50, total market value $81,600,100) | 80,000,000 | 80,000,000 | ||
Goldman Sachs & Co. | ||||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $80,000,111, collateralized by Government National Mortgage Association and U.S. Treasury Bonds, 0.000% to 8.500%, due 01/20/24 to 01/15/60, total market value $81,600,000) | 80,000,000 | 80,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $30,000,042, collateralized by Government National Mortgage Association, 2.500% to 5.500%, due 12/20/35 to 6/20/51, total market value $30,600,001) | 30,000,000 | 30,000,000 |
Par | Value | |||
Mizuho Securities USA, Inc. | ||||
0.06% (dated 06/30/21, due 07/01/21, repurchase price $80,000,122, collateralized by U.S. Treasury Notes, 0.125% to 2.375%, due 02/28/23 to 05/31/28, total market value $81,600,079) | $80,000,000 | $ 80,000,000 | ||
Natixis S.A. | ||||
0.05% (dated 06/30/21, due 07/01/21, repurchase price $69,000,096, collateralized by U.S. Treasury Notes, 0.125%, due 06/30/23, total market value $70,380,079) | 69,000,000 | 69,000,000 | ||
TD Securities USA LLC | ||||
0.06% (dated 06/30/21, due 07/01/21, repurchase price $80,000,133, collateralized by Federal Home Loan Mortgage Corporation, 2.500%, due 07/01/51, total market value $82,400,000) | 80,000,000 | 80,000,000 | ||
Total Repurchase Agreements (Cost $551,000,000) | 551,000,000 | |||
TOTAL INVESTMENTS —108.3% (Cost $1,840,128,195) | 1,840,128,195 | |||
Liabilities in Excess of Other Assets — (8.3)% | (140,607,859) | |||
NET ASSETS — 100.0% | $1,699,520,336 |
% | |
U.S. Treasury Obligations | 47.7 |
Repurchase Agreements | 32.4 |
Agency Obligations | 28.2 |
Money Market Funds | —** |
108.3 | |
**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: | |||||||
Agency Obligations | $ 478,462,803 | $ — | $ 478,462,803 | $ — | |||
Money Market Funds | 12,369 | 12,369 | — | — | |||
Repurchase Agreements | 551,000,000 | — | 551,000,000 | — | |||
U.S. Treasury Obligations | 810,653,023 | — | 810,653,023 | — | |||
Total Assets - Investments in Securities | $1,840,128,195 | $12,369 | $1,840,115,826 | $ — |
Par | Value | |||
AGENCY OBLIGATIONS — 2.6% | ||||
Federal Home Loan Bank | ||||
0.90%, 02/26/27 | $3,300,000 | $ 3,271,089 | ||
0.92%, 02/26/27 | 3,300,000 | 3,258,776 | ||
Federal Home Loan Mortgage Corporation | ||||
0.80%, 10/27/26 | 3,000,000 | 2,966,884 | ||
0.80%, 10/28/26 | 4,000,000 | 3,977,967 | ||
Federal National Mortgage Association | ||||
0.70%, 07/30/25 | 6,000,000 | 5,985,305 | ||
0.88%, 12/18/26 | 8,700,000 | 8,650,996 | ||
Total Agency Obligations (Cost $28,297,052) | 28,111,017 | |||
ASSET-BACKED SECURITIES — 15.7% | ||||
Adams Mill CLO, Ltd., Series 2014-1A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.28%, 07/15/26 144A † | 131,036 | 131,047 | ||
AIMCO CLO, Series 2017-AA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.24%, 04/20/34 144A † | 1,000,000 | 1,001,430 | ||
Ally Auto Receivables Trust, Series 2019-3, Class A3 | ||||
1.93%, 05/15/24 | 829,992 | 838,867 | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B | ||||
0.97%, 02/18/26 | 180,000 | 181,304 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.23%, 07/24/29 144A † | 2,000,000 | 2,001,362 | ||
AMSR Trust, Series 2020-SFR5, Class A | ||||
1.38%, 11/17/37 144A | 1,350,000 | 1,346,773 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 2.38%, 01/28/31 144A † | 450,000 | 449,905 | ||
Apidos CLO XXI, Series 2015-21A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 1.12%, 07/18/27 144A † | 2,147,288 | 2,147,985 | ||
Apidos CLO XXII, Series 2015-22A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 1.69%, 04/20/31 144A † | 250,000 | 249,752 | ||
Arbor Realty Collateralized Loan Obligation, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.20%, 05/15/36 144A † | 2,350,000 | 2,357,144 |
Par | Value | |||
Ballyrock CLO, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%), 1.89%, 07/20/30 144A † | $2,540,000 | $2,543,657 | ||
Barings CLO, Ltd., Series 2013-IA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 0.99%, 01/20/28 144A † | 1,070,580 | 1,066,662 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.27%, 02/16/37 144A † | 750,000 | 753,648 | ||
BDS, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.07%, 1.07% Floor), 1.14%, 06/16/36 144A † | 1,450,000 | 1,456,897 | ||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.09%, 10/25/37† | 115,772 | 115,837 | ||
Bear Stearns Asset Backed Securities Trust, Series 2004-SD1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor, 11.00% Cap), 0.99%, 12/25/42† | 16,954 | 16,876 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 1.63%, 07/15/29 144A † | 300,000 | 299,999 | ||
BMW Canada Auto Trust, Series 2021-1A, Class A2 | ||||
0.50%, 07/20/24(C) 144A | 1,500,000 | 1,203,558 | ||
BSPRT Issuer, Ltd., Series 2018-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.12%, 03/15/28 144A † | 185,985 | 186,360 | ||
BSPRT Issuer, Ltd., Series 2018-FL4 , Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.37%, 09/15/35 144A † | 1,520,000 | 1,521,807 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 321,861 | 333,134 | ||
Cedar Funding VI CLO, Ltd., Series 2016-6A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.24%, 04/20/34 144A † | 1,490,000 | 1,490,062 | ||
Chesapeake Funding II LLC, Series 2018-1A, Class A1 | ||||
3.04%, 04/15/30 144A | 185,523 | 185,774 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class B | ||||
3.11%, 04/15/31 144A | 240,000 | 244,984 | ||
Chesapeake Funding II LLC, Series 2019-1A, Class C | ||||
3.36%, 04/15/31 144A | 230,000 | 235,084 |
Par | Value | |||
Chesapeake Funding II LLC, Series 2019-1A, Class D | ||||
3.80%, 04/15/31 144A | $ 370,000 | $ 379,378 | ||
Chesapeake Funding II LLC, Series 2020-1A, Class B | ||||
1.24%, 08/16/32 144A | 100,000 | 101,057 | ||
CIFC Funding 2015-II, Ltd., Series 2015-2A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%, 1.01% Floor), 1.19%, 04/15/30 144A † | 1,000,000 | 998,841 | ||
CIFC Funding, Ltd., Series 2014-4RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.32%, 10/17/30 144A † | 345,000 | 345,140 | ||
CIFC Funding, Ltd., Series 2018-3A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.29%, 07/18/31 144A † | 500,000 | 500,526 | ||
CIFC Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 1.88%, 07/15/32 144A † | 2,660,000 | 2,664,545 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.37%, 08/20/35 144A † | 1,290,000 | 1,297,839 | ||
CNH Capital Canada Receivables Trust, Series 2021-1A, Class A1 | ||||
0.39%, 03/15/24(C) 144A | 1,463,230 | 1,180,104 | ||
CNH Equipment Trust, Series 2018-B, Class A3 | ||||
3.19%, 11/15/23 | 408,747 | 414,245 | ||
CNH Equipment Trust, Series 2019-A, Class A3 | ||||
3.01%, 04/15/24 | 832,196 | 845,847 | ||
College Avenue Student Loans LLC, Series 2021-B, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.90%, 06/25/52 144A † | 260,000 | 261,064 | ||
Credit Acceptance Auto Loan Trust, Series 2019-1A, Class A | ||||
3.33%, 02/15/28 144A | 577,234 | 581,753 | ||
Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A | ||||
2.38%, 11/15/28 144A | 580,000 | 591,307 | ||
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A | ||||
2.01%, 02/15/29 144A | 1,290,000 | 1,312,755 | ||
Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A | ||||
1.37%, 07/16/29 144A | 300,000 | 303,736 |
Par | Value | |||
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A | ||||
0.96%, 02/15/30 144A | $ 800,000 | $ 801,176 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.20% on 02/25/36), 6.22%, 09/25/36 STEP | 270,443 | 122,901 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 0.63%, 12/25/34† | 714,635 | 697,453 | ||
DataBank Issuer, Series 2021-1A, Class A2 | ||||
2.06%, 02/27/51 144A | 650,000 | 660,717 | ||
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A | ||||
1.76%, 04/15/49 144A | 1,650,000 | 1,649,725 | ||
Drive Auto Receivables Trust, Series 2020-1, Class A3 | ||||
2.02%, 11/15/23 | 153,817 | 154,073 | ||
Drive Auto Receivables Trust, Series 2020-1, Class B | ||||
2.08%, 07/15/24 | 1,150,000 | 1,157,936 | ||
Drive Auto Receivables Trust, Series 2020-1, Class C | ||||
2.36%, 03/16/26 | 850,000 | 865,733 | ||
Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
1.42%, 03/17/25 | 400,000 | 404,071 | ||
Drive Auto Receivables Trust, Series 2021-1, Class B | ||||
0.65%, 07/15/25 | 1,650,000 | 1,657,298 | ||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.23%, 04/20/34 144A † | 1,000,000 | 998,296 | ||
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.08%, 10/15/27 144A † | 1,235,038 | 1,234,174 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.08%, 04/15/29 144A † | 1,000,000 | 999,182 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 296,477 | 307,862 | ||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A | ||||
1.80%, 11/25/45 144A | 94,806 | 95,165 |
Par | Value | |||
Elevation CLO, Ltd., Series 2017-7A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 1.40%, 07/15/30 144A † | $1,500,000 | $1,501,256 | ||
Elmwood CLO II, Ltd., Series 2019-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.34%, 04/20/34 144A † | 1,700,000 | 1,703,083 | ||
Enterprise Fleet Financing LLC, Series 2018-2, Class A2 | ||||
3.14%, 02/20/24 144A | 119,614 | 119,919 | ||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class A | ||||
2.51%, 10/20/39(C) 144A | 460,000 | 373,700 | ||
FHLMC Structured Pass-Through Certificates, Series T-32, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.26%, 0.26% Floor), 0.35%, 08/25/31† | 199,855 | 195,291 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class A | ||||
1.27%, 10/19/37 144A | 4,689,627 | 4,687,038 | ||
Ford Auto Securitization Trust, Series 2020-AA, Class A2 | ||||
0.89%, 08/15/24(C) 144A | 3,200,000 | 2,589,635 | ||
Ford Credit Auto Lease Trust, Series 2020-A, Class B | ||||
2.05%, 06/15/23 | 1,010,000 | 1,025,940 | ||
Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class A1 | ||||
0.70%, 09/15/25 | 2,080,000 | 2,091,001 | ||
FS RIALTO, Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.22%, 1.22% Floor), 1.29%, 04/16/28 144A † | 270,000 | 270,544 | ||
GM Financial Automobile Leasing Trust, Series 2020-1, Class A3 | ||||
1.67%, 12/20/22 | 3,800,000 | 3,823,295 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | 390,000 | 400,990 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 309,022 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A2 | ||||
0.91%, 07/20/23(C) 144A | 3,120,000 | 2,523,749 | ||
GMF Canada Leasing Trust, Series 2020-1A, Class A3 | ||||
1.05%, 11/20/25(C) 144A | 1,690,000 | 1,368,987 | ||
GMF Canada Leasing Trust, Series 2021-1A, Class A2 | ||||
0.64%, 03/20/24(C) 144A | 2,000,000 | 1,611,770 | ||
GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A | ||||
0.68%, 08/15/25 144A | 1,460,000 | 1,466,044 |
Par | Value | |||
Goldentree Loan Management US CLO 1, Ltd., Series 2017-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 1.22%, 04/20/34 144A † | $ 348,000 | $ 348,807 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2019-1, Class A3 | ||||
3.05%, 09/15/22 144A | 583,960 | 589,452 | ||
GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A3 | ||||
0.34%, 08/15/24 144A | 1,100,000 | 1,097,699 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 1.25%, 09/15/37 144A † | 1,770,000 | 1,775,211 | ||
Gulf Stream Meridian 4, Ltd., Series 2021-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.31%, 07/15/34 144A † | 900,000 | 898,385 | ||
Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3 | ||||
1.87%, 10/15/24 | 700,000 | 707,259 | ||
Healthpeak Properties, Inc. | ||||
1.35%, 02/01/27 | 145,000 | 144,822 | ||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A | ||||
1.21%, 12/26/25 144A | 1,700,000 | 1,706,658 | ||
KKR CLO, Ltd., Series 16, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.80%, 1.80% Floor), 1.99%, 01/20/29 144A † | 480,000 | 481,319 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.18%, 06/15/36 144A † | 1,252,203 | 1,255,046 | ||
Kubota Credit Owner Trust, Series 2020-2A, Class A3 | ||||
0.59%, 10/15/24 144A | 1,520,000 | 1,524,795 | ||
LA Arena Funding LLC, Series 1, Class A | ||||
7.66%, 12/15/26 144A | 37,977 | 37,958 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 1.23%, 10/20/27 144A † | 842,430 | 842,445 | ||
Lendmark Funding Trust, Series 2019-2A, Class A | ||||
2.78%, 04/20/28 144A | 350,000 | 359,779 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 280,000 | 283,277 | ||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.20%, 05/15/28 144A † | 218,084 | 218,460 |
Par | Value | |||
LoanCore Issuer, Ltd., Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.37%, 07/15/36 144A † | $2,490,000 | $2,499,466 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 2.09%, 04/19/30 144A † | 400,000 | 398,893 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 1.68%, 01/22/28 144A † | 600,000 | 596,490 | ||
Madison Park Funding XVII, Ltd., Series 2015-17A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.19%, 07/21/30 144A † | 4,300,000 | 4,297,804 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 0.98%, 01/15/28 144A † | 2,869,373 | 2,872,200 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 1.16%, 04/15/31 144A † | 530,000 | 530,579 | ||
Marathon CRE, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.23%, 06/15/28 144A † | 84,092 | 84,219 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 308,000 | 315,923 | ||
Mariner Finance Issuance Trust, Series 2020-AA, Class A | ||||
2.19%, 08/21/34 144A | 140,000 | 142,492 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 110,000 | 110,708 | ||
MBarc Credit Canada, Inc., Series 2021-AA, Class A2 | ||||
0.63%, 05/15/24(C) 144A | 1,700,000 | 1,368,496 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.20%, 07/16/36 144A † | 1,300,000 | 1,303,428 | ||
Mill City Mortgage Loan Trust, Series 2016-1, Class A1 | ||||
2.50%, 04/25/57 144A | 187,364 | 188,443 | ||
MMAF Equipment Finance LLC, Series 2020-A, Class A3 | ||||
0.97%, 04/09/27 144A | 1,500,000 | 1,513,548 | ||
MMAF Equipment Finance LLC, Series 2020-BA, Class A3 | ||||
0.49%, 08/14/25 144A | 1,360,000 | 1,360,393 |
Par | Value | |||
Navient Private Education Loan Trust, Series 2020-IA, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.07%, 04/15/69 144A † | $2,147,112 | $2,163,818 | ||
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 337,260 | 344,873 | ||
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 0.99%, 05/15/68 144A † | 606,807 | 611,032 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 600,000 | 620,319 | ||
Navient Private Education Refi Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 0.97%, 11/15/68 144A † | 100,000 | 100,744 | ||
Navient Private Education Refi Loan Trust, Series 2020-FA, Class A | ||||
1.22%, 07/15/69 144A | 535,645 | 539,205 | ||
Navient Private Education Refi Loan Trust, Series 2020-HA, Class A | ||||
1.31%, 01/15/69 144A | 1,899,110 | 1,913,356 | ||
Navient Private Education Refi Loan Trust, Series 2021-A, Class A | ||||
0.84%, 05/15/69 144A | 770,106 | 769,378 | ||
Navient Private Education Refi Loan Trust, Series 2021-CA, Class A | ||||
1.06%, 10/15/69 144A | 1,850,000 | 1,859,351 | ||
Navient Private Education Refi Loan Trust, Series 2021-DA, Class A | ||||
(Floating, Prime Rate U.S. - 1.99%), 1.26%, 04/15/60 144A † | 660,000 | 658,867 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 1,178,717 | 1,191,146 | ||
Navient Student Loan Trust, Series 2016-6A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%), 0.84%, 03/25/66 144A † | 649,735 | 651,492 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.14%, 12/27/66 144A † | 859,060 | 874,362 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.89%, 07/26/66 144A † | 891,565 | 900,873 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 93,526 | 96,315 |
Par | Value | |||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | $ 356,833 | $ 373,172 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.89%, 09/25/65 144A † | 877,101 | 876,882 | ||
Nelnet Student Loan Trust, Series 2021-A, Class APT2 | ||||
1.36%, 04/20/62 144A | 940,000 | 940,958 | ||
Nelnet Student Loan Trust, Series 2021-BA, Class AFX | ||||
1.42%, 04/20/62 144A | 860,000 | 863,053 | ||
Neuberger Berman CLO XVI-S, Ltd., Series 2017-16SA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.24%, 04/15/34 144A † | 1,145,000 | 1,143,704 | ||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.37%, 02/15/36 144A † | 238,459 | 238,979 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 1.15%, 04/15/31 144A † | 500,000 | 500,353 | ||
OHA Credit Funding 2, Ltd., Series 2019-2A , Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.34%, 04/21/34 144A † | 750,000 | 751,291 | ||
OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A | ||||
3.43%, 12/16/24 144A | 313,462 | 314,804 | ||
Onemain Financial Issuance Trust, Series 2018-1A, Class A | ||||
3.30%, 03/14/29 144A | 156,358 | 156,896 | ||
OZLM Funding IV, Ltd., Series 2013-4A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 1.43%, 10/22/30 144A † | 981,167 | 981,992 | ||
Palmer Square CLO, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.03%, 1.03% Floor), 1.22%, 04/18/31 144A † | 1,550,000 | 1,551,694 | ||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 0.96%, 02/20/28 144A † | 775,353 | 776,071 | ||
PFS Financing Corp, Series 2019-B, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.62%, 09/15/23 144A † | 1,400,000 | 1,401,150 |
Par | Value | |||
PFS Financing Corp, Series 2020-B, Class A | ||||
1.21%, 06/15/24 144A | $1,500,000 | $1,512,664 | ||
PFS Financing Corporation, Series 2019-A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.62%, 04/15/24 144A † | 390,000 | 391,214 | ||
PFS Financing Corporation, Series 2019-A, Class A2 | ||||
2.86%, 04/15/24 144A | 1,500,000 | 1,530,508 | ||
PFS Financing Corporation, Series 2020-F, Class A | ||||
0.93%, 08/15/24 144A | 684,000 | 687,522 | ||
PFS Financing Corporation, Series 2020-G, Class A | ||||
0.97%, 02/15/26 144A | 1,030,000 | 1,037,758 | ||
PFS Financing Corporation, Series 2021-A, Class A | ||||
0.71%, 04/15/26 144A | 1,480,000 | 1,479,940 | ||
Regional Management Issuance Trust, Series 2020-1, Class A | ||||
2.34%, 10/15/30 144A | 110,000 | 112,141 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class B | ||||
0.96%, 11/15/24 | 130,000 | 130,665 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class C | ||||
1.46%, 09/15/25 | 440,000 | 445,188 | ||
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A3 | ||||
2.99%, 02/27/23 144A | 241,320 | 243,614 | ||
Signal Peak CLO 5, Ltd., Series 2018-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.29%, 04/25/31 144A † | 400,000 | 400,377 | ||
Sixth Street CLO XIX, Ltd., Series 2021-19A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 1.23%, 07/20/34 144A † | 1,300,000 | 1,300,000 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 0.52%, 06/15/33† | 316,689 | 313,994 | ||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 0.36%, 12/16/41† | 231,211 | 225,633 | ||
SLM Student Loan Trust, Series 2003-5, Class A5 | ||||
(Floating, 0.27% - Euribor 3M), 0.00%, 06/17/24(E) † | 8,298 | 9,848 | ||
SLM Student Loan Trust, Series 2005-8, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.55%), 0.73%, 01/25/28† | 206,683 | 206,726 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2015-C, Class A2A | ||||
2.75%, 07/15/27 144A | $ 106,320 | $ 107,425 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 1.60%, 05/15/31 144A † | 508,215 | 512,756 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 0.82%, 01/15/37 144A † | 467,781 | 469,686 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 1,000,000 | 1,029,274 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 0.93%, 09/15/37 144A † | 100,000 | 100,771 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 0.94%, 09/15/54 144A † | 3,000,000 | 3,031,911 | ||
SMB Private Education Loan Trust, Series 2021-A, Class APL | ||||
0.00%, 01/15/53 144A | 1,003,590 | 1,006,547 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 160,000 | 162,491 | ||
SMB Private Education Loan Trust, Series 2021-B, Class A | ||||
1.31%, 07/17/51 144A | 680,000 | 680,933 | ||
SoFi Professional Loan Program LLC, Series 2015-D, Class A2 | ||||
2.72%, 10/27/36 144A | 329,772 | 333,532 | ||
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 | ||||
2.76%, 12/26/36 144A | 105,305 | 106,465 | ||
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B | ||||
2.36%, 12/27/32 144A | 34,801 | 35,137 | ||
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B | ||||
2.34%, 04/25/33 144A | 49,039 | 49,905 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 464,985 | 479,569 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 169,106 | 173,387 | ||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 176,122 | 181,775 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 490,000 | 506,639 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 505,836 | 518,852 |
Par | Value | |||
Springleaf Funding Trust, Series 2015-BA, Class A | ||||
3.48%, 05/15/28 144A | $ 115,783 | $ 115,932 | ||
Springleaf Funding Trust, Series 2017-AA, Class A | ||||
2.68%, 07/15/30 144A | 112,199 | 112,458 | ||
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2 | ||||
1.88%, 03/26/46 144A | 1,600,000 | 1,624,685 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 1.59%, 04/25/35† | 140,214 | 141,048 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.20%, 07/15/38 144A † | 1,330,000 | 1,336,157 | ||
Taco Bell Funding LLC, Series 2018-1A, Class A2I | ||||
4.32%, 11/25/48 144A | 809,250 | 814,343 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.30%, 01/15/34 144A † | 1,000,000 | 1,000,032 | ||
Towd Point Mortgage Trust, Series 2016-3, Class A1 | ||||
2.25%, 04/25/56 144A | 105,193 | 105,682 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 472,592 | 481,591 | ||
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1 | ||||
3.00%, 11/25/59 144A | 746,733 | 751,867 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A † γ | 874,719 | 900,252 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 2,473,419 | 2,498,850 | ||
Transportation Finance Equipment Trust, Series 2019-1, Class A3 | ||||
1.85%, 04/24/23 144A | 610,000 | 615,814 | ||
TRESTLES CLO, Ltd., Series 2017-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.99%, 0.99% Floor), 1.93%, 04/25/32 144A † | 550,000 | 550,649 | ||
Trillium Credit Card Trust II, Series 2020-1A, Class B | ||||
2.33%, 12/26/24 144A | 215,000 | 217,079 | ||
TRP - TRIP Rail Master Funding LLC, Series 2021-2, Class A | ||||
2.15%, 06/19/51 144A | 1,750,000 | 1,758,214 | ||
TRTX Issuer, Ltd., Series 2019-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.27%, 10/15/34 144A † | 1,870,000 | 1,876,174 |
Par | Value | |||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.07%, 04/15/29 144A † | $3,070,000 | $ 3,071,720 | ||
USQ Rail II LLC, Series 2021-3, Class A | ||||
2.21%, 06/28/51 144A | 1,600,000 | 1,615,406 | ||
VB-S1 Issuer LLC, Series 2020-1A, Class C2 | ||||
3.03%, 06/15/50 144A | 670,000 | 701,039 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.06%, 04/15/27 144A † | 305,048 | 305,185 | ||
Verizon Owner Trust, Series 2020-A, Class A1A | ||||
1.85%, 07/22/24 | 420,000 | 427,290 | ||
Volvo Financial Equipment LLC, Series 2019-1A, Class A3 | ||||
3.00%, 03/15/23 144A | 749,640 | 756,352 | ||
Westlake Automobile Receivables Trust, Series 2018-3A, Class D | ||||
4.00%, 10/16/23 144A | 300,000 | 305,088 | ||
Westlake Automobile Receivables Trust, Series 2019-3A, Class A2 | ||||
2.15%, 02/15/23 144A | 55,024 | 55,200 | ||
Westlake Automobile Receivables Trust, Series 2020-1A, Class C | ||||
2.52%, 04/15/25 144A | 620,000 | 635,669 | ||
Westlake Automobile Receivables Trust, Series 2020-2A, Class B | ||||
1.32%, 07/15/25 144A | 910,000 | 918,055 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,047,375 | 1,091,567 | ||
World Omni Select Auto Trust, Series 2020-A, Class A3 | ||||
0.55%, 07/15/25 | 810,000 | 812,178 | ||
Total Asset-Backed Securities (Cost $169,881,294) | 171,136,078 | |||
CORPORATE BONDS — 20.6% | ||||
3M Co. | ||||
2.65%, 04/15/25 | 80,000 | 85,285 | ||
7-Eleven, Inc. | ||||
0.80%, 02/10/24 144A | 865,000 | 863,186 | ||
0.95%, 02/10/26 144A | 1,710,000 | 1,680,228 | ||
ADT Security Corporation (The) | ||||
4.13%, 06/15/23 | 180,000 | 189,675 | ||
AES Corporation (The) | ||||
1.38%, 01/15/26 144A | 1,700,000 | 1,684,132 | ||
Air Lease Corporation | ||||
2.63%, 07/01/22 | 150,000 | 152,891 | ||
2.25%, 01/15/23 | 1,355,000 | 1,391,598 | ||
2.75%, 01/15/23Δ | 175,000 | 180,605 | ||
1.88%, 08/15/26Δ | 200,000 | 200,311 | ||
Alexander Funding Trust | ||||
1.84%, 11/15/23 144A | 1,355,000 | 1,380,753 |
Par | Value | |||
Ally Financial, Inc. | ||||
4.13%, 02/13/22 | $1,700,000 | $1,739,046 | ||
1.45%, 10/02/23 | 2,135,000 | 2,167,837 | ||
3.88%, 05/21/24 | 400,000 | 431,207 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 642,184 | ||
American Electric Power Co., Inc. | ||||
0.75%, 11/01/23 | 180,000 | 180,116 | ||
American Tower Corporation REIT | ||||
0.60%, 01/15/24Δ | 1,300,000 | 1,298,902 | ||
2.40%, 03/15/25 | 215,000 | 224,844 | ||
1.30%, 09/15/25 | 190,000 | 190,605 | ||
0.45%, 01/15/27(E) | 205,000 | 243,384 | ||
Apache Corporation | ||||
4.88%, 11/15/27 | 315,000 | 341,584 | ||
Ares Capital Corporation | ||||
3.63%, 01/19/22 | 1,240,000 | 1,257,625 | ||
Astrazeneca Finance LLC | ||||
0.70%, 05/28/24 | 1,400,000 | 1,398,284 | ||
AT&T, Inc. | ||||
1.05%, 09/05/23(E) | 290,000 | 352,386 | ||
(Floating, Australian BBSW 3M + 1.25%), 1.28%, 09/19/23(A) † | 1,240,000 | 941,186 | ||
0.90%, 03/25/24 | 1,295,000 | 1,297,949 | ||
1.70%, 03/25/26Δ | 700,000 | 707,522 | ||
Athene Global Funding | ||||
2.80%, 05/26/23 144A | 820,000 | 854,732 | ||
1.20%, 10/13/23 144A | 725,000 | 733,445 | ||
Atmos Energy Corporation | ||||
0.63%, 03/09/23 | 470,000 | 470,159 | ||
Aviation Capital Group LLC | ||||
2.88%, 01/20/22 144A | 1,000,000 | 1,010,292 | ||
4.38%, 01/30/24 144A | 1,000,000 | 1,073,095 | ||
1.95%, 01/30/26 144A | 285,000 | 285,213 | ||
Bank of America Corporation | ||||
(Variable, CAD Offered Rate 3M + 0.82%), 3.30%, 04/24/24(C) ^ | 2,000,000 | 1,681,542 | ||
(Variable, U.S. SOFR + 0.74%), 0.81%, 10/24/24^ | 1,850,000 | 1,858,178 | ||
(Variable, U.S. SOFR + 0.69%), 0.98%, 04/22/25Δ ^ | 1,555,000 | 1,560,500 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 600,000 | 601,566 | ||
(Variable, U.S. SOFR + 1.01%), 1.20%, 10/24/26^ | 445,000 | 441,243 | ||
(Variable, U.S. SOFR + 0.91%), 1.66%, 03/11/27^ | 1,000,000 | 1,008,427 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
0.63%, 06/04/23(E) | 900,000 | 1,082,272 | ||
1.21%, 06/04/26(E) | 120,000 | 148,955 | ||
Berry Global, Inc. | ||||
0.95%, 02/15/24 144A | 1,035,000 | 1,037,194 | ||
1.57%, 01/15/26 144A | 1,600,000 | 1,602,560 | ||
Boeing Co. (The) | ||||
4.51%, 05/01/23 | 3,000,000 | 3,199,261 | ||
1.43%, 02/04/24 | 1,970,000 | 1,975,375 |
Par | Value | |||
2.20%, 02/04/26Δ | $ 200,000 | $ 201,943 | ||
Booking Holdings, Inc. | ||||
0.10%, 03/08/25(E) | 160,000 | 190,388 | ||
Brighthouse Financial Global Funding | ||||
1.00%, 04/12/24 144A | 330,000 | 330,780 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 | 690,000 | 777,780 | ||
3.15%, 11/15/25 | 750,000 | 804,332 | ||
Calpine Corporation | ||||
5.25%, 06/01/26 144A | 135,000 | 139,248 | ||
Cantor Fitzgerald LP | ||||
6.50%, 06/17/22 144A | 750,000 | 791,143 | ||
Capital One Financial Corporation | ||||
0.80%, 06/12/24(E) | 900,000 | 1,091,400 | ||
Carrier Global Corporation | ||||
2.24%, 02/15/25 | 50,000 | 52,019 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 400,000 | 420,060 | ||
CDK Global, Inc. | ||||
4.88%, 06/01/27 | 125,000 | 132,542 | ||
CDW LLC | ||||
5.50%, 12/01/24 | 275,000 | 306,895 | ||
Centene Corporation | ||||
5.38%, 08/15/26 144A | 500,000 | 523,197 | ||
CenterPoint Energy Resources Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.63%, 03/02/23† | 300,000 | 300,078 | ||
0.70%, 03/02/23 | 805,000 | 805,096 | ||
Charter Communications Operating LLC | ||||
4.50%, 02/01/24Δ | 2,700,000 | 2,942,471 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 722,470 | ||
Cigna Corporation | ||||
0.61%, 03/15/24 | 460,000 | 460,005 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25Δ ^ | 440,000 | 461,718 | ||
CIT Group, Inc. | ||||
5.00%, 08/15/22 | 750,000 | 784,717 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.72%), 3.14%, 01/24/23^ | 1,850,000 | 1,878,212 | ||
(Floating, ICE LIBOR USD 3M + 1.02%), 1.16%, 06/01/24† | 1,000,000 | 1,015,767 | ||
(Variable, U.S. SOFR + 0.69%), 0.78%, 10/30/24^ | 1,775,000 | 1,780,017 | ||
(Variable, U.S. SOFR + 0.67%), 0.98%, 05/01/25^ | 1,980,000 | 1,985,351 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26Δ ^ | 525,000 | 562,139 | ||
(Variable, U.S. SOFR + 0.77%), 1.46%, 06/09/27^ | 465,000 | 463,548 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 600,000 | 592,934 | ||
CNH Industrial Capital LLC | ||||
3.88%, 10/15/21 | 145,000 | 146,373 |
Par | Value | |||
1.95%, 07/02/23 | $ 590,000 | $ 605,030 | ||
CommonSpirit Health | ||||
1.55%, 10/01/25 | 800,000 | 807,265 | ||
Crown Americas LLC | ||||
4.75%, 02/01/26Δ | 150,000 | 155,851 | ||
Crown Castle International Corporation REIT | ||||
1.35%, 07/15/25 | 335,000 | 337,585 | ||
Crown Castle Towers LLC | ||||
3.22%, 05/15/22 144A | 1,500,000 | 1,503,544 | ||
CrownRock LP | ||||
5.63%, 10/15/25 144A | 500,000 | 518,923 | ||
Daimler Finance North America LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 1.06%, 02/15/22 144A † | 1,000,000 | 1,005,434 | ||
2.55%, 08/15/22 144A Δ | 1,000,000 | 1,023,778 | ||
0.75%, 03/01/24 144A | 1,790,000 | 1,794,368 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 1,200,000 | 1,302,179 | ||
Diamondback Energy, Inc. | ||||
0.90%, 03/24/23 | 775,000 | 775,200 | ||
4.75%, 05/31/25 | 700,000 | 788,914 | ||
Discover Bank | ||||
3.35%, 02/06/23 | 1,590,000 | 1,656,975 | ||
Dollar Tree, Inc. | ||||
3.70%, 05/15/23 | 1,100,000 | 1,162,781 | ||
Elanco Animal Health, Inc. | ||||
4.91%, 08/27/21 | 245,000 | 246,754 | ||
Endeavor Energy Resources LP | ||||
6.63%, 07/15/25 144A | 150,000 | 160,952 | ||
Energy Transfer LP | ||||
3.60%, 02/01/23 | 105,000 | 108,981 | ||
4.25%, 03/15/23 | 1,880,000 | 1,973,418 | ||
2.90%, 05/15/25 | 260,000 | 273,761 | ||
Enstar Group, Ltd. | ||||
4.50%, 03/10/22 | 275,000 | 280,692 | ||
EQM Midstream Partners LP | ||||
6.50%, 07/01/27 144A | 330,000 | 368,914 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 985,000 | 1,036,835 | ||
Equitable Financial Life Global Funding | ||||
1.00%, 01/09/26 144A | 1,600,000 | 1,575,218 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 1,068,930 | ||
F&G Global Funding | ||||
1.75%, 06/30/26 144A | 1,840,000 | 1,848,893 | ||
Fidelity National Information Services, Inc. | ||||
0.13%, 12/03/22(E) | 300,000 | 357,544 | ||
0.75%, 05/21/23(E) | 1,050,000 | 1,265,638 | ||
0.60%, 03/01/24Δ | 445,000 | 444,628 | ||
FirstEnergy Corporation | ||||
3.35%, 07/15/22 | 2,357,000 | 2,396,609 | ||
4.75%, 03/15/23 | 570,000 | 601,877 |
Par | Value | |||
Fiserv, Inc. | ||||
1.13%, 07/01/27(E) | $ 180,000 | $ 223,189 | ||
Ford Motor Credit Co. LLC | ||||
5.88%, 08/02/21 | 600,000 | 603,810 | ||
(Floating, ICE LIBOR USD 3M + 0.88%), 1.07%, 10/12/21† | 1,200,000 | 1,198,529 | ||
5.60%, 01/07/22 | 1,800,000 | 1,839,186 | ||
4.14%, 02/15/23 | 345,000 | 357,938 | ||
3.37%, 11/17/23 | 750,000 | 778,449 | ||
5.58%, 03/18/24 | 300,000 | 328,935 | ||
5.13%, 06/16/25 | 640,000 | 705,600 | ||
FS KKR Capital Corporation | ||||
4.75%, 05/15/22 | 1,000,000 | 1,029,741 | ||
4.25%, 02/14/25 144A | 880,000 | 926,475 | ||
GA Global Funding Trust | ||||
1.63%, 01/15/26 144A Δ | 400,000 | 405,271 | ||
GATX Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.72%), 0.90%, 11/05/21† | 500,000 | 500,966 | ||
General Mills, Inc. | ||||
0.45%, 01/15/26(E) | 100,000 | 120,634 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 230,000 | 253,402 | ||
General Motors Financial Co., Inc. | ||||
4.20%, 11/06/21 | 395,000 | 400,194 | ||
(Floating, ICE LIBOR USD 3M + 1.55%), 1.74%, 01/14/22† | 590,000 | 594,066 | ||
(Floating, ICE LIBOR USD 3M + 1.31%), 1.46%, 06/30/22† Δ | 344,000 | 347,440 | ||
5.20%, 03/20/23 | 1,095,000 | 1,179,382 | ||
1.05%, 03/08/24 | 675,000 | 679,069 | ||
Glencore Funding LLC | ||||
4.63%, 04/29/24 144A | 1,800,000 | 1,974,191 | ||
Global Payments, Inc. | ||||
1.20%, 03/01/26 | 1,000,000 | 991,253 | ||
Goldman Sachs Group, Inc. (The) | ||||
1.38%, 07/26/22(E) | 220,000 | 265,622 | ||
(Floating, 0.55% - Euribor 3M), 0.01%, 04/21/23(E) † | 210,000 | 249,565 | ||
(Floating, Australian BBSW 3M + 1.20%), 1.24%, 05/16/23(A) † | 2,000,000 | 1,518,964 | ||
(Variable, ICE LIBOR USD 3M + 1.05%), 2.91%, 06/05/23^ | 920,000 | 940,587 | ||
(Variable, U.S. SOFR + 0.54%), 0.63%, 11/17/23^ | 1,250,000 | 1,250,688 | ||
(Variable, U.S. SOFR + 0.57%), 0.67%, 03/08/24^ | 1,830,000 | 1,833,610 | ||
3.50%, 04/01/25 | 380,000 | 412,453 | ||
(Variable, U.S. SOFR + 0.61%), 0.86%, 02/12/26^ | 810,000 | 804,472 | ||
Graphic Packaging International LLC | ||||
0.82%, 04/15/24 144A | 735,000 | 730,132 | ||
Gray Oak Pipeline LLC | ||||
2.00%, 09/15/23 144A | 445,000 | 454,154 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 525,000 | 592,856 | ||
Hilton Domestic Operating Co., Inc. | ||||
5.38%, 05/01/25 144A | 500,000 | 527,760 |
Par | Value | |||
Hughes Satellite Systems Corporation | ||||
5.25%, 08/01/26 | $ 250,000 | $ 280,545 | ||
Humana, Inc. | ||||
2.90%, 12/15/22 | 1,700,000 | 1,756,125 | ||
Hyundai Capital America | ||||
1.15%, 11/10/22 144A Δ | 3,840,000 | 3,867,204 | ||
1.25%, 09/18/23 144A | 900,000 | 908,805 | ||
Illinois Tool Works, Inc. | ||||
0.25%, 12/05/24(E) | 180,000 | 216,240 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 369,379 | ||
Intercontinental Exchange, Inc. | ||||
0.70%, 06/15/23 | 325,000 | 326,578 | ||
International Flavors & Fragrances, Inc. | ||||
0.70%, 09/15/22 144A Δ | 315,000 | 315,290 | ||
1.23%, 10/01/25 144A | 1,500,000 | 1,492,858 | ||
International Lease Finance Corporation | ||||
8.63%, 01/15/22 | 1,200,000 | 1,251,352 | ||
5.88%, 08/15/22 | 500,000 | 529,271 | ||
IQVIA, Inc. | ||||
5.00%, 05/15/27 144A Δ | 200,000 | 210,092 | ||
iStar, Inc. REIT | ||||
4.75%, 10/01/24Δ | 150,000 | 158,070 | ||
JPMorgan Chase & Co. | ||||
(Variable, U.S. SOFR + 0.58%), 0.70%, 03/16/24^ | 1,825,000 | 1,831,100 | ||
(Variable, U.S. SOFR + 0.60%), 0.65%, 09/16/24^ | 975,000 | 976,016 | ||
1.50%, 01/27/25(E) | 120,000 | 150,111 | ||
(Variable, U.S. SOFR + 0.42%), 0.56%, 02/16/25^ | 790,000 | 786,080 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25Δ ^ | 290,000 | 302,236 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 620,000 | 641,364 | ||
(Variable, U.S. SOFR + 0.89%), 1.58%, 04/22/27^ | 600,000 | 603,388 | ||
Kinder Morgan, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 1.28%), 1.46%, 01/15/23† | 660,000 | 669,226 | ||
Kraft Heinz Foods Co. | ||||
(Floating, ICE LIBOR USD 3M + 0.82%), 0.98%, 08/10/22† | 400,000 | 399,462 | ||
3.88%, 05/15/27 | 650,000 | 714,680 | ||
Lehman Brothers Holdings, Inc. | ||||
6.63%, 01/18/12# | 600,000 | 4,200 | ||
Lennar Corporation | ||||
4.13%, 01/15/22 | 1,250,000 | 1,265,581 | ||
4.50%, 04/30/24 | 1,000,000 | 1,095,000 | ||
Level 3 Financing, Inc. | ||||
5.25%, 03/15/26 | 250,000 | 258,338 | ||
Live Nation Entertainment, Inc. | ||||
6.50%, 05/15/27 144A | 125,000 | 139,097 | ||
Lumen Technologies, Inc. | ||||
5.13%, 12/15/26 144A | 450,000 | 468,529 | ||
4.00%, 02/15/27 144A | 300,000 | 306,375 |
Par | Value | |||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | $ 130,000 | $ 146,718 | ||
Marsh & McLennan Cos., Inc. | ||||
1.35%, 09/21/26(E) | 145,000 | 181,898 | ||
McCormick & Co., Inc. | ||||
2.70%, 08/15/22 | 200,000 | 204,814 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 155,000 | 168,495 | ||
Medtronic Global Holdings SCA | ||||
0.00%, 12/02/22(E) | 255,000 | 304,019 | ||
0.00%, 10/15/25(E) | 100,000 | 118,901 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 745,000 | 776,342 | ||
0.97%, 02/15/24 144A | 1,380,000 | 1,379,890 | ||
0.98%, 09/01/24 144A | 370,000 | 368,415 | ||
4.25%, 09/01/25 | 250,000 | 262,541 | ||
MMS USA Holdings, Inc. | ||||
0.63%, 06/13/25(E) | 100,000 | 120,844 | ||
Morgan Stanley | ||||
(Floating, CAD Offered Rate 3M + 0.30%), 0.74%, 02/03/23(C) † | 1,500,000 | 1,211,720 | ||
(Variable, U.S. SOFR + 0.47%), 0.56%, 11/10/23Δ ^ | 1,000,000 | 1,001,430 | ||
(Variable, U.S. SOFR + 0.46%), 0.53%, 01/25/24^ | 1,320,000 | 1,319,594 | ||
1.75%, 03/11/24(E) | 205,000 | 255,393 | ||
(Variable, U.S. SOFR + 0.62%), 0.73%, 04/05/24Δ ^ | 2,000,000 | 2,004,661 | ||
(Variable, ICE LIBOR USD 3M + 0.85%), 3.74%, 04/24/24^ | 750,000 | 793,356 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 831,351 | ||
(Variable, U.S. SOFR + 0.75%), 0.86%, 10/21/25^ | 525,000 | 524,981 | ||
MPLX LP | ||||
3.50%, 12/01/22 | 265,000 | 275,372 | ||
MUFG Union Bank NA | ||||
2.10%, 12/09/22 | 1,000,000 | 1,023,412 | ||
Mylan, Inc. | ||||
3.13%, 01/15/23 144A | 1,700,000 | 1,762,186 | ||
Netflix, Inc. | ||||
5.88%, 02/15/25 | 200,000 | 231,555 | ||
NextEra Energy Capital Holdings, Inc. | ||||
0.65%, 03/01/23 | 915,000 | 918,957 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 427,824 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 105,000 | 111,126 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.69%), 0.84%, 09/28/22 144A † | 300,000 | 300,406 | ||
3.45%, 03/15/23 144A | 1,350,000 | 1,406,090 | ||
Nordstrom, Inc. | ||||
2.30%, 04/08/24 144A Δ | 250,000 | 250,823 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 172,000 | 183,461 |
Par | Value | |||
Northwest Airlines Pass-Through Trust, Series 2002-1, Class G2 | ||||
6.26%, 11/20/21 | $ 18,080 | $ 18,623 | ||
NRG Energy, Inc. | ||||
6.63%, 01/15/27 | 150,000 | 155,471 | ||
Nuance Communications, Inc. | ||||
5.63%, 12/15/26 | 125,000 | 130,581 | ||
Nucor Corporation | ||||
2.00%, 06/01/25 | 60,000 | 62,133 | ||
Occidental Petroleum Corporation | ||||
(Floating, ICE LIBOR USD 3M + 1.45%), 1.61%, 08/15/22† | 1,000,000 | 995,314 | ||
2.90%, 08/15/24 | 725,000 | 742,219 | ||
OGE Energy Corporation | ||||
0.70%, 05/26/23 | 380,000 | 380,140 | ||
Oklahoma Gas and Electric Co. | ||||
0.55%, 05/26/23Δ | 550,000 | 550,051 | ||
ONE Gas, Inc. | ||||
0.85%, 03/11/23Δ | 780,000 | 780,408 | ||
1.10%, 03/11/24 | 3,500,000 | 3,502,542 | ||
OneMain Finance Corporation | ||||
5.63%, 03/15/23Δ | 435,000 | 465,139 | ||
Oracle Corporation | ||||
1.65%, 03/25/26 | 2,600,000 | 2,636,816 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 510,000 | 551,582 | ||
Owl Rock Technology Finance Corporation | ||||
3.75%, 06/17/26 144A Δ | 345,000 | 363,115 | ||
Pacific Gas and Electric Co. | ||||
(Floating, ICE LIBOR USD 3M + 1.38%), 1.53%, 11/15/21† | 910,000 | 911,916 | ||
(Floating, ICE LIBOR USD 3M + 1.48%), 1.60%, 06/16/22† | 200,000 | 200,107 | ||
1.75%, 06/16/22 | 3,000,000 | 2,998,938 | ||
1.37%, 03/10/23 | 1,835,000 | 1,835,130 | ||
3.25%, 06/15/23 | 100,000 | 103,380 | ||
4.25%, 08/01/23 | 200,000 | 212,042 | ||
3.85%, 11/15/23 | 100,000 | 104,880 | ||
3.75%, 02/15/24 | 200,000 | 209,842 | ||
3.45%, 07/01/25 | 511,000 | 535,933 | ||
2.10%, 08/01/27 | 600,000 | 583,359 | ||
Pacific Life Global Funding II | ||||
(Floating, U.S. SOFR + 0.62%), 0.66%, 06/04/26 144A † | 3,400,000 | 3,405,857 | ||
PBF Holding Co. LLC | ||||
9.25%, 05/15/25 144A | 125,000 | 126,087 | ||
PeaceHealth Obligated Group | ||||
1.38%, 11/15/25 | 104,000 | 105,102 | ||
Penske Truck Leasing Co. LP | ||||
4.25%, 01/17/23 144A | 165,000 | 174,072 | ||
3.45%, 07/01/24 144A | 1,500,000 | 1,609,541 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,163,354 | ||
1.20%, 11/15/25 144A | 295,000 | 292,406 | ||
1.70%, 06/15/26 144A | 430,000 | 433,246 | ||
Phillips 66 | ||||
0.90%, 02/15/24 | 585,000 | 585,805 |
Par | Value | |||
Pioneer Natural Resources Co. | ||||
0.55%, 05/15/23 | $ 385,000 | $ 385,512 | ||
0.75%, 01/15/24 | 455,000 | 454,797 | ||
1.13%, 01/15/26 | 280,000 | 277,376 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 250,000 | 268,195 | ||
PulteGroup, Inc. | ||||
5.00%, 01/15/27Δ | 64,000 | 75,019 | ||
Reliance Standard Life Global Funding II | ||||
2.63%, 07/22/22 144A | 995,000 | 1,019,296 | ||
2.15%, 01/21/23 144A | 465,000 | 475,950 | ||
Ryder System, Inc. | ||||
2.88%, 06/01/22 | 350,000 | 357,469 | ||
2.50%, 09/01/22 | 700,000 | 715,791 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 1,100,000 | 1,128,444 | ||
5.75%, 05/15/24 | 1,333,000 | 1,496,643 | ||
Santander Holdings USA, Inc. | ||||
3.70%, 03/28/22 | 510,000 | 520,589 | ||
SBA Tower Trust REIT | ||||
1.88%, 01/15/26 144A | 680,000 | 689,436 | ||
1.63%, 11/15/26 144A | 800,000 | 801,043 | ||
Simon International Finance SCA REIT | ||||
1.38%, 11/18/22(E) | 105,000 | 126,769 | ||
Sirius XM Radio, Inc. | ||||
3.88%, 08/01/22 144A | 900,000 | 902,745 | ||
Skyworks Solutions, Inc. | ||||
0.90%, 06/01/23 | 125,000 | 125,390 | ||
SLM Corporation | ||||
5.13%, 04/05/22 | 404,000 | 412,874 | ||
Smithfield Foods, Inc. | ||||
2.65%, 10/03/21 144A Δ | 495,000 | 497,546 | ||
Sodexo, Inc. | ||||
1.63%, 04/16/26 144A Δ | 400,000 | 403,200 | ||
Southern California Edison Co. | ||||
1.85%, 02/01/22 | 214,286 | 214,407 | ||
Southern Co. (The) | ||||
0.60%, 02/26/24Δ | 1,725,000 | 1,721,044 | ||
Southern Co. Gas Capital Corporation | ||||
2.45%, 10/01/23 | 1,715,000 | 1,783,574 | ||
Southwest Airlines Co. | ||||
4.75%, 05/04/23 | 675,000 | 724,330 | ||
Sprint Corporation | ||||
7.25%, 09/15/21 | 1,200,000 | 1,220,238 | ||
7.88%, 09/15/23 | 665,000 | 756,322 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 116,875 | 117,593 | ||
4.74%, 03/20/25 144A | 417,187 | 448,685 | ||
Starbucks Corporation | ||||
1.30%, 05/07/22Δ | 170,000 | 171,562 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 35,000 | 36,639 |
Par | Value | |||
Stryker Corporation | ||||
0.60%, 12/01/23Δ | $ 265,000 | $ 264,919 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 382,000 | 391,096 | ||
4.50%, 07/23/25 | 410,000 | 458,886 | ||
Target Corporation | ||||
2.25%, 04/15/25 | 135,000 | 141,886 | ||
TerraForm Power Operating LLC | ||||
4.25%, 01/31/23 144A | 150,000 | 154,147 | ||
T-Mobile USA, Inc. | ||||
1.50%, 02/15/26 | 2,206,000 | 2,229,174 | ||
2.25%, 02/15/26Δ | 205,000 | 206,794 | ||
2.63%, 04/15/26 | 84,000 | 86,099 | ||
Toll Brothers Finance Corporation | ||||
4.38%, 04/15/23 | 200,000 | 208,967 | ||
Truist Financial Corporation | ||||
2.20%, 03/16/23 | 1,185,000 | 1,220,116 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 223,638 | 248,612 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class B | ||||
4.88%, 01/15/26 | 43,673 | 46,396 | ||
Valero Energy Corporation | ||||
2.70%, 04/15/23Δ | 1,000,000 | 1,037,187 | ||
(Floating, ICE LIBOR USD 3M + 1.15%), 1.27%, 09/15/23† | 1,900,000 | 1,903,437 | ||
Ventas Realty LP REIT | ||||
2.65%, 01/15/25 | 695,000 | 731,949 | ||
Verizon Communications, Inc. | ||||
0.75%, 03/22/24 | 730,000 | 733,361 | ||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.26%, 05/15/25† | 1,000,000 | 1,031,890 | ||
1.45%, 03/20/26 | 255,000 | 257,281 | ||
1.75%, 01/20/31 | 220,000 | 210,991 | ||
Viasat, Inc. | ||||
5.63%, 04/15/27 144A | 475,000 | 497,164 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 900,000 | 950,873 | ||
5.63%, 02/15/27 144A Δ | 250,000 | 259,688 | ||
Volkswagen Group of America Finance LLC | ||||
2.90%, 05/13/22 144A | 1,330,000 | 1,358,460 | ||
2.70%, 09/26/22 144A | 2,000,000 | 2,056,097 | ||
0.88%, 11/22/23 144A | 1,305,000 | 1,308,986 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 1.60%), 1.65%, 06/02/24^ | 1,700,000 | 1,736,832 | ||
(Variable, U.S. SOFR + 0.51%), 0.81%, 05/19/25Δ ^ | 405,000 | 404,295 | ||
WESCO Distribution, Inc. | ||||
7.13%, 06/15/25 144A | 520,000 | 562,614 | ||
Western Midstream Operating LP | ||||
4.65%, 07/01/26Δ | 325,000 | 347,901 |
Par | Value | |||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | $ 800,000 | $ 867,408 | ||
3.20%, 06/15/25 | 325,000 | 345,902 | ||
Williams Cos., Inc. (The) | ||||
4.00%, 11/15/21 | 175,000 | 175,673 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 115,000 | 125,584 | ||
Yum! Brands, Inc. | ||||
7.75%, 04/01/25 144A | 430,000 | 468,911 | ||
Total Corporate Bonds (Cost $221,461,413) | 224,418,363 | |||
FOREIGN BONDS — 15.7% | ||||
Australia — 0.2% | ||||
Westpac Banking Corporation | ||||
3.15%, 01/16/24 144A | 1,275,000 | 1,359,072 | ||
Woodside Finance, Ltd. | ||||
3.70%, 09/15/26 144A | 400,000 | 432,932 | ||
1,792,004 | ||||
Austria — 0.0% | ||||
Klabin Austria GmbH | ||||
3.20%, 01/12/31 144A | 200,000 | 196,844 | ||
Suzano Austria GmbH | ||||
3.13%, 01/15/32 | 45,000 | 44,623 | ||
241,467 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
1.13%, 01/25/24(E) | 200,000 | 245,145 | ||
Brazil — 0.3% | ||||
Banco Bradesco SA | ||||
2.85%, 01/27/23 144A | 1,495,000 | 1,529,774 | ||
Brazilian Government International Bond | ||||
3.88%, 06/12/30Δ | 288,000 | 290,923 | ||
Itau Unibanco Holding SA | ||||
2.90%, 01/24/23 144A | 920,000 | 942,181 | ||
Nexa Resources SA | ||||
5.38%, 05/04/27 144A | 200,000 | 215,346 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 80,000 | 96,340 | ||
3,074,564 | ||||
Canada — 1.4% | ||||
1011778 BC ULC | ||||
5.75%, 04/15/25 144A | 200,000 | 212,344 | ||
Canadian Treasury Bills | ||||
0.10%, 08/05/21(C) Ω | 6,000,000 | 4,839,472 | ||
CDP Financial, Inc. | ||||
1.00%, 05/26/26 144A | 520,000 | 520,158 | ||
CPPIB Capital, Inc. | ||||
0.50%, 09/16/24 144A | 1,265,000 | 1,261,049 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A Δ | 315,000 | 320,279 | ||
Enbridge, Inc. | ||||
2.50%, 01/15/25Δ | 90,000 | 94,377 |
Par | Value | |||
GFL Environmental, Inc. | ||||
5.13%, 12/15/26 144A | $ 400,000 | $ 424,392 | ||
OMERS Finance Trust | ||||
1.13%, 04/14/23 144A | 1,770,000 | 1,793,994 | ||
1.10%, 03/26/26 144A | 675,000 | 677,734 | ||
Province of Ontario Canada | ||||
0.63%, 01/21/26Δ | 1,700,000 | 1,677,666 | ||
Royal Bank of Canada | ||||
(Floating, U.S. SOFR + 0.53%), 0.55%, 01/20/26† | 2,000,000 | 2,002,600 | ||
SIG Combibloc PurchaseCo S.a.r.l. | ||||
1.88%, 06/18/23(E) | 300,000 | 368,229 | ||
2.13%, 06/18/25(E) | 100,000 | 125,557 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 366,980 | ||
14,684,831 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31 | 237,000 | 241,776 | ||
GNL Quintero SA | ||||
4.63%, 07/31/29 | 316,000 | 345,032 | ||
586,808 | ||||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
5.50%, 01/15/23 144A | 900,000 | 956,145 | ||
Baidu, Inc. | ||||
2.88%, 07/06/22 | 235,000 | 240,117 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 700,000 | 732,649 | ||
4.50%, 03/15/23 144A | 1,000,000 | 1,051,382 | ||
2,980,293 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
3.88%, 04/25/27 | 270,000 | 287,234 | ||
4.50%, 03/15/29 | 259,000 | 283,206 | ||
Ecopetrol SA | ||||
5.38%, 06/26/26 | 200,000 | 220,770 | ||
Millicom International Cellular SA | ||||
4.50%, 04/27/31 144A | 200,000 | 207,275 | ||
SURA Asset Management SA | ||||
4.88%, 04/17/24 144A | 100,000 | 108,250 | ||
1,106,735 | ||||
Denmark — 0.4% | ||||
Danske Bank A/S | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 745,000 | 748,695 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.03%), 1.17%, 12/08/23 144A ^ | 2,400,000 | 2,412,755 | ||
5.38%, 01/12/24 144A | 600,000 | 665,646 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | $ 540,000 | $ 541,047 | ||
4,368,143 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
4.88%, 09/23/32 144A | 150,000 | 154,875 | ||
6.40%, 06/05/49 | 150,000 | 161,625 | ||
316,500 | ||||
Finland — 0.0% | ||||
CRH Finland Services OYJ | ||||
0.88%, 11/05/23(E) | 180,000 | 218,604 | ||
France — 0.6% | ||||
Banque Federative du Credit Mutuel | ||||
0.13%, 02/05/24(E) | 200,000 | 239,240 | ||
0.65%, 02/27/24 144A | 1,140,000 | 1,137,481 | ||
Banque Federative du Credit Mutuel SA | ||||
0.75%, 06/15/23(E) | 100,000 | 121,138 | ||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 800,000 | 839,453 | ||
(Variable, U.S. SOFR + 1.00%), 1.32%, 01/13/27 144A ^ | 540,000 | 533,852 | ||
(Variable, 0.70% - Euribor 3M), 0.25%, 04/13/27(E) ^ | 300,000 | 353,511 | ||
BPCE SA | ||||
0.63%, 04/28/25(E) | 100,000 | 121,576 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 243,171 | ||
Credit Agricole SA | ||||
(Variable, U.S. SOFR + 0.89%), 1.25%, 01/26/27 144A ^ | 780,000 | 768,345 | ||
Engie SA | ||||
0.38%, 02/28/23(E) | 200,000 | 239,468 | ||
PSA Banque France SA | ||||
0.00%, 01/22/25(E) | 100,000 | 118,348 | ||
RCI Banque SA | ||||
0.75%, 04/10/23(E) | 425,000 | 510,593 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 200,000 | 198,326 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.79%, 06/09/27 144A ^ | 410,000 | 409,485 | ||
Veolia Environnement SA | ||||
0.67%, 03/30/22(E) | 200,000 | 238,407 | ||
6,072,394 | ||||
Germany — 0.3% | ||||
Amphenol Technologies Holding GmbH | ||||
0.75%, 05/04/26(E) | 120,000 | 146,953 |
Par | Value | |||
Commerzbank AG | ||||
(Variable, 1.30% - Euribor 3M), 0.75%, 03/24/26(E) ^ | $ 100,000 | $ 120,824 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 1.13%), 1.45%, 04/01/25^ | 150,000 | 150,955 | ||
(Variable, 1.60% - Euribor 3M), 1.00%, 11/19/25(E) ^ | 100,000 | 121,102 | ||
E.ON SE | ||||
0.00%, 10/24/22(E) | 240,000 | 285,756 | ||
KION Group AG | ||||
1.63%, 09/24/25(E) | 100,000 | 123,630 | ||
Traton Finance Luxembourg SA | ||||
0.00%, 06/14/24(E) | 100,000 | 118,692 | ||
0.13%, 03/24/25(E) | 200,000 | 237,796 | ||
Volkswagen Bank GmbH | ||||
0.38%, 07/05/22(E) | 300,000 | 358,151 | ||
1.88%, 01/31/24(E) | 300,000 | 373,218 | ||
Volkswagen Leasing GmbH | ||||
(Floating, 0.45% - Euribor 3M), 0.00%, 08/02/21(E) † | 300,000 | 355,853 | ||
1.00%, 02/16/23(E) | 260,000 | 314,037 | ||
0.38%, 07/20/26(E) | 60,000 | 71,409 | ||
Vonovia SE | ||||
0.00%, 09/16/24(E) | 100,000 | 118,913 | ||
2,897,289 | ||||
Guatemala — 0.0% | ||||
Central American Bottling Corporation | ||||
5.75%, 01/31/27 144A | 200,000 | 209,480 | ||
India — 0.0% | ||||
Shriram Transport Finance Co., Ltd. | ||||
5.10%, 07/16/23 144A | 275,000 | 279,950 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
4.75%, 02/11/29 | 246,000 | 289,482 | ||
Pelabuhan Indonesia III Persero PT | ||||
4.50%, 05/02/23 144A | 1,175,000 | 1,250,511 | ||
Pertamina Persero PT | ||||
3.10%, 08/27/30 | 200,000 | 206,060 | ||
1,746,053 | ||||
Ireland — 0.4% | ||||
Abbott Ireland Financing DAC | ||||
0.88%, 09/27/23(E) | 200,000 | 243,153 | ||
0.10%, 11/19/24(E) | 170,000 | 203,320 | ||
AerCap Ireland Capital DAC | ||||
5.00%, 10/01/21 | 900,000 | 909,844 | ||
3.50%, 05/26/22 | 400,000 | 409,662 | ||
3.30%, 01/23/23 | 155,000 | 160,841 | ||
2.88%, 08/14/24 | 150,000 | 156,980 | ||
3.50%, 01/15/25Δ | 350,000 | 371,097 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 04/30/25 144A Δ | 250,000 | 263,125 |
Par | Value | |||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | $ 100,000 | $ 129,328 | ||
Fresenius Finance Ireland PLC | ||||
0.00%, 10/01/25(E) | 100,000 | 118,354 | ||
SMBC Aviation Capital Finance DAC | ||||
2.65%, 07/15/21 144A | 390,000 | 390,294 | ||
3.00%, 07/15/22 144A | 540,000 | 552,497 | ||
3.55%, 04/15/24 144A | 800,000 | 850,341 | ||
4,758,836 | ||||
Italy — 0.2% | ||||
ACEA SpA | ||||
0.00%, 09/28/25(E) | 100,000 | 118,589 | ||
FCA Bank SpA | ||||
0.50%, 09/18/23(E) | 1,010,000 | 1,210,858 | ||
0.00%, 04/16/24(E) | 100,000 | 118,588 | ||
Snam SpA | ||||
0.00%, 08/15/25(E) | 100,000 | 118,495 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 200,000 | 219,415 | ||
UniCredit SpA | ||||
6.95%, 10/31/22(E) | 225,000 | 290,941 | ||
2,076,886 | ||||
Japan — 3.5% | ||||
Central Nippon Expressway Co., Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 0.97%, 09/14/21† | 1,000,000 | 1,001,495 | ||
(Floating, ICE LIBOR USD 3M + 0.56%), 0.74%, 11/02/21† | 1,000,000 | 1,001,545 | ||
2.85%, 03/03/22 | 2,000,000 | 2,030,120 | ||
Japan Treasury Discount Bills | ||||
(0.10)%, 08/10/21(J) Ω | 1,485,000,000 | 13,368,435 | ||
Mitsubishi HC Capital, Inc. | ||||
2.25%, 09/07/21 | 500,000 | 501,525 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.54%, 07/26/21 | 65,000 | 65,146 | ||
2.67%, 07/25/22 | 2,000,000 | 2,050,028 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.68%), 0.85%, 09/15/24^ | 1,745,000 | 1,755,075 | ||
1.41%, 07/17/25 | 265,000 | 267,641 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 0.84%), 2.72%, 07/16/23^ | 640,000 | 655,367 | ||
0.52%, 06/10/24(E) | 100,000 | 120,721 | ||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.18%, 07/10/24† | 1,000,000 | 1,014,455 | ||
(Variable, 1.25% - U.S. SOFR), 1.24%, 07/10/24^ | 520,000 | 527,345 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 3,485,000 | 3,636,331 | ||
3.52%, 09/17/25 144A | 600,000 | 641,119 | ||
2.65%, 03/17/26(E) | 110,000 | 142,255 | ||
4.35%, 09/17/27 144A Δ | 215,000 | 236,524 | ||
Nomura Holdings, Inc. | ||||
2.65%, 01/16/25 | 600,000 | 630,995 | ||
1.85%, 07/16/25 | 2,700,000 | 2,762,211 | ||
NTT Finance Corporation | ||||
0.58%, 03/01/24 144A | 800,000 | 799,234 |
Par | Value | |||
ORIX Corporation | ||||
3.20%, 01/19/22 | $ 700,000 | $ 710,140 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
0.51%, 01/12/24 | 1,600,000 | 1,594,228 | ||
1.47%, 07/08/25 | 1,100,000 | 1,111,626 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
0.80%, 09/12/23 144A | 750,000 | 754,921 | ||
0.85%, 03/25/24 144A | 960,000 | 961,766 | ||
38,340,248 | ||||
Jersey — 0.0% | ||||
Heathrow Funding, Ltd. | ||||
1.50%, 10/12/25(E) | 185,000 | 228,971 | ||
Mexico — 0.2% | ||||
Cemex SAB de CV | ||||
5.20%, 09/17/30 144A | 200,000 | 220,512 | ||
Industrias Penoles SAB de CV | ||||
4.75%, 08/06/50 144A | 200,000 | 215,986 | ||
Mexico City Airport Trust | ||||
4.25%, 10/31/26 144A | 200,000 | 217,648 | ||
Mexico Government International Bond | ||||
4.75%, 04/27/32 | 295,000 | 338,512 | ||
Operadora de Servicios Mega SA de CV Sofom ER | ||||
8.25%, 02/11/25 144A | 200,000 | 201,500 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 119,000 | 130,204 | ||
6.84%, 01/23/30 | 126,000 | 130,001 | ||
5.95%, 01/28/31 | 133,000 | 129,376 | ||
1,583,739 | ||||
Morocco & Antilles — 0.0% | ||||
Morocco Government International Bond | ||||
3.00%, 12/15/32 144A | 200,000 | 193,670 | ||
4.00%, 12/15/50 144A | 200,000 | 186,000 | ||
379,670 | ||||
Netherlands — 1.0% | ||||
BMW Finance NV | ||||
0.00%, 04/14/23(E) | 290,000 | 345,988 | ||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 134,830 | ||
Daimler International Finance BV | ||||
0.25%, 08/09/21(E) | 25,000 | 29,666 | ||
0.25%, 11/06/23(E) | 90,000 | 107,688 | ||
Digital Dutch Finco BV REIT | ||||
0.63%, 07/15/25(E) | 300,000 | 362,918 | ||
E.ON International Finance BV | ||||
0.75%, 11/30/22(E) | 50,000 | 60,019 | ||
Enel Finance International NV | ||||
2.88%, 05/25/22 144A | 1,715,000 | 1,752,903 | ||
4.25%, 09/14/23 144A | 400,000 | 431,264 | ||
0.00%, 06/17/24(E) | 200,000 | 238,694 | ||
2.65%, 09/10/24 | 500,000 | 525,920 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 200,000 | 222,636 |
Par | Value | |||
ING Bank NV | ||||
(Floating, 0.40% - Euribor 3M), 0.00%, 04/08/22(E) † | $ 200,000 | $ 238,089 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 243,788 | ||
(Variable, 0.60% - Euribor 3M), 0.10%, 09/03/25(E) ^ | 100,000 | 118,861 | ||
(Variable, U.S. SOFR + 1.01%), 1.73%, 04/01/27^ | 200,000 | 201,826 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 1,996,984 | ||
NXP BV | ||||
2.70%, 05/01/25 144A | 50,000 | 52,780 | ||
3.88%, 06/18/26 144A | 300,000 | 332,578 | ||
PACCAR Financial Europe BV | ||||
0.00%, 03/01/26(E) | 300,000 | 356,639 | ||
Petrobras Global Finance BV | ||||
5.30%, 01/27/25 | 81,000 | 91,328 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) | 100,000 | 125,789 | ||
Sensata Technologies BV | ||||
5.00%, 10/01/25 144A | 200,000 | 223,356 | ||
Siemens Financieringsmaatschappij NV | ||||
0.00%, 09/05/21(E) Δ | 376,000 | 446,243 | ||
0.38%, 09/06/23(E) | 235,000 | 283,103 | ||
Stellantis NV | ||||
5.25%, 04/15/23 | 1,000,000 | 1,079,530 | ||
3.38%, 07/07/23(E) | 145,000 | 182,512 | ||
Upjohn Finance BV | ||||
0.82%, 06/23/22(E) | 220,000 | 263,414 | ||
VEON Holdings BV | ||||
3.38%, 11/25/27 144A | 200,000 | 201,780 | ||
Vonovia Finance BV | ||||
0.13%, 04/06/23(E) | 200,000 | 238,381 | ||
1.63%, 04/07/24(E) | 100,000 | 123,727 | ||
11,013,234 | ||||
Norway — 0.1% | ||||
Aker BP ASA | ||||
2.88%, 01/15/26 144A | 895,000 | 943,547 | ||
Panama — 0.0% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32 | 225,000 | 216,236 | ||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
2.74%, 01/29/33 144A | 344,000 | 336,260 | ||
Peru — 0.1% | ||||
Fondo MIVIVIENDA SA | ||||
3.50%, 01/31/23 144A | 690,000 | 713,222 | ||
Kallpa Generacion SA | ||||
4.88%, 05/24/26 | 200,000 | 211,054 | ||
Peruvian Government International Bond | ||||
1.86%, 12/01/32Δ | 197,000 | 183,278 | ||
1,107,554 |
Par | Value | |||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
3.75%, 01/14/29 | $ 200,000 | $ 227,033 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
4.50%, 04/23/28 | 200,000 | 236,410 | ||
4.00%, 03/14/29 144A | 200,000 | 230,582 | ||
QNB Finance, Ltd. | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.18%, 05/02/22† | 3,000,000 | 3,015,110 | ||
3,482,102 | ||||
Romania — 0.0% | ||||
Romanian Government International Bond | ||||
3.00%, 02/14/31 144A | 138,000 | 143,284 | ||
Russia — 0.1% | ||||
Russian Foreign Bond - Eurobond | ||||
4.75%, 05/27/26 | 200,000 | 227,528 | ||
4.25%, 06/23/27 | 200,000 | 223,626 | ||
451,154 | ||||
Saudi Arabia — 0.3% | ||||
Saudi Arabian Oil Co. | ||||
1.25%, 11/24/23 144A | 490,000 | 495,407 | ||
Saudi Government International Bond | ||||
2.38%, 10/26/21 | 2,700,000 | 2,717,604 | ||
3.63%, 03/04/28 | 200,000 | 221,396 | ||
4.38%, 04/16/29 144A | 200,000 | 231,966 | ||
3,666,373 | ||||
Singapore — 0.3% | ||||
BOC Aviation, Ltd. | ||||
3.00%, 05/23/22 | 700,000 | 710,672 | ||
2.75%, 12/02/23 | 1,800,000 | 1,861,952 | ||
Continuum Energy Levanter Pte., Ltd. | ||||
4.50%, 02/09/27 144A | 200,000 | 205,051 | ||
2,777,675 | ||||
South Korea — 0.8% | ||||
Export-Import Bank of Korea | ||||
(Floating, Australian BBSW 3M + 0.95%), 0.99%, 10/30/23(A) † | 2,000,000 | 1,522,158 | ||
Hana Bank | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 0.99%, 09/14/22† | 1,000,000 | 1,004,770 | ||
Industrial Bank of Korea | ||||
2.13%, 10/23/24 144A | 3,100,000 | 3,248,084 | ||
Kia Corporation | ||||
3.00%, 04/25/23 | 510,000 | 531,109 | ||
Kookmin Bank | ||||
3.63%, 10/23/21 | 1,000,000 | 1,009,395 | ||
SK Telecom Co., Ltd. | ||||
3.75%, 04/16/23 | 900,000 | 948,500 | ||
8,264,016 |
Par | Value | |||
Spain — 0.3% | ||||
Amadeus Capital Markets SA | ||||
1.63%, 11/17/21(E) | $ 100,000 | $ 118,857 | ||
Amadeus IT Group SA | ||||
(Floating, 0.65% - Euribor 3M), 0.12%, 02/09/23(E) † | 700,000 | 831,028 | ||
2.50%, 05/20/24(E) | 200,000 | 252,882 | ||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 119,610 | ||
(Variable, 1.55% - EUR Swap Rate 1Y), 1.13%, 03/11/27(E) ^ | 100,000 | 121,952 | ||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 1,200,000 | 1,202,753 | ||
2.75%, 05/28/25 | 400,000 | 421,705 | ||
1.85%, 03/25/26 | 400,000 | 404,472 | ||
3,473,259 | ||||
Sweden — 0.3% | ||||
Akelius Residential Property AB | ||||
1.13%, 03/14/24(E) | 1,100,000 | 1,341,059 | ||
Stadshypotek AB | ||||
2.50%, 04/05/22 144A Δ | 1,000,000 | 1,017,216 | ||
Svenska Handelsbanken AB | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.63%), 1.42%, 06/11/27 144A Δ ^ | 250,000 | 249,328 | ||
Volvo Treasury AB | ||||
(Floating, 0.65% - Euribor 3M), 0.11%, 09/13/21(E) † | 200,000 | 237,380 | ||
2,844,983 | ||||
Switzerland — 0.8% | ||||
Credit Suisse Group AG | ||||
3.57%, 01/09/23 144A | 750,000 | 761,967 | ||
(Variable, U.S. SOFR + 0.98%), 1.31%, 02/02/27 144A ^ | 700,000 | 686,315 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,650,000 | 1,717,398 | ||
UBS AG | ||||
(Floating, U.S. SOFR + 0.36%), 0.39%, 02/09/24 144A † | 3,000,000 | 3,013,215 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 1,800,000 | 1,849,178 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.83%), 1.01%, 07/30/24 144A ^ | 690,000 | 695,256 | ||
(Variable, 0.55% - EUR Swap Rate 1Y), 0.25%, 01/29/26(E) ^ | 200,000 | 238,210 | ||
8,961,539 | ||||
United Arab Emirates — 0.2% | ||||
First Abu Dhabi Bank PJSC | ||||
1.38%, 02/19/23(U) | 1,666,000 | 2,332,019 |
Par | Value | |||
United Kingdom — 2.9% | ||||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | $ 600,000 | $ 615,427 | ||
(Floating, Australian BBSW 3M + 1.80%), 1.82%, 06/15/23(A) † | 1,000,000 | 766,558 | ||
(Variable, ICE LIBOR USD 3M + 1.36%), 4.34%, 05/16/24^ | 900,000 | 959,778 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.80%), 1.01%, 12/10/24^ | 1,970,000 | 1,977,911 | ||
(Variable, 3.70% - EUR Swap Rate 1Y), 3.38%, 04/02/25(E) ^ | 100,000 | 129,222 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 1,000,000 | 1,057,033 | ||
BG Energy Capital PLC | ||||
4.00%, 10/15/21 144A | 1,000,000 | 1,010,441 | ||
HSBC Holdings PLC | ||||
(Floating, Australian BBSW 3M + 1.10%), 1.14%, 02/16/24(A) † | 1,300,000 | 983,329 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.35%, 03/11/25† | 3,000,000 | 3,062,197 | ||
(Variable, U.S. SOFR + 1.40%), 2.63%, 11/07/25^ | 300,000 | 315,025 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) | 200,000 | 244,285 | ||
2.13%, 10/06/25(E) | 485,000 | 613,085 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 2,500,000 | 2,542,994 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 200,000 | 201,627 | ||
LSEGA Financing PLC | ||||
0.65%, 04/06/24 144A | 200,000 | 199,876 | ||
1.38%, 04/06/26 144A | 400,000 | 400,935 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 119,491 | ||
Nationwide Building Society | ||||
2.00%, 01/27/23 144A | 900,000 | 923,589 | ||
1.70%, 02/13/23 144A | 2,900,000 | 2,964,372 | ||
(Variable, ICE LIBOR USD 3M + 1.18%), 3.62%, 04/26/23 144A ^ | 1,500,000 | 1,538,312 | ||
0.55%, 01/22/24 144A | 1,845,000 | 1,838,380 | ||
Natwest Group PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.63%, 05/15/23† | 1,000,000 | 1,010,701 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.15%), 2.36%, 05/22/24^ | 375,000 | 386,557 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.64%, 06/14/27^ | 515,000 | 515,546 | ||
NatWest Markets PLC | ||||
2.38%, 05/21/23 144A | 1,800,000 | 1,863,487 | ||
Royalty Pharma PLC | ||||
0.75%, 09/02/23 144A | 920,000 | 923,144 |
Par | Value | |||
Santander UK Group Holdings PLC | ||||
3.57%, 01/10/23 | $ 350,000 | $ 355,637 | ||
(Variable, ICE LIBOR USD 3M + 1.08%), 3.37%, 01/05/24^ | 215,000 | 223,794 | ||
Santander UK PLC | ||||
1.63%, 02/12/23 144A | 2,100,000 | 2,142,651 | ||
Sky, Ltd. | ||||
1.50%, 09/15/21(E) | 100,000 | 119,040 | ||
Standard Chartered PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.17%), 1.32%, 10/14/23 144A ^ | 200,000 | 201,972 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.78%), 0.99%, 01/12/25 144A ^ | 440,000 | 439,078 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.88%), 1.21%, 03/23/25 144A ^ | 210,000 | 211,048 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.46%, 01/14/27 144A Δ ^ | 275,000 | 272,812 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 220,000 | 227,315 | ||
Virgin Money UK PLC | ||||
(Variable, 0.85% - EUR Swap Rate 1Y), 0.38%, 05/27/24(E) ^ | 110,000 | 131,351 | ||
WPP Finance 2013 | ||||
3.00%, 11/20/23(E) | 200,000 | 255,313 | ||
31,743,313 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 10/27/27 | 84,713 | 97,495 | ||
Total Foreign Bonds (Cost $168,578,373) | 170,269,686 | |||
MORTGAGE-BACKED SECURITIES — 17.0% | ||||
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 | ||||
3.90%, 08/10/35 144A | 447,000 | 490,042 | ||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.54%, 1.54% Floor), 1.61%, 09/15/34 144A † | 315,000 | 315,062 | ||
Alen Mortgage Trust, Series 2021-ACEN, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.22%, 04/15/34 144A † | 350,000 | 350,706 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 1.04%, 11/25/46† | 590,545 | 253,914 |
Par | Value | |||
AOA Mortgage Trust, Series 2015-1177, Class A | ||||
2.96%, 12/13/29 144A | $1,330,000 | $1,331,452 | ||
Avon Finance No. 2 PLC, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.95%, 09/20/48(U) 144A † | 1,357,086 | 1,883,001 | ||
Banc of America Funding Trust, Series 2006-J, Class 4A1 | ||||
3.35%, 01/20/47† γ | 129,992 | 124,810 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
2.37%, 01/25/34† γ | 23,589 | 23,162 | ||
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.17%, 09/15/36 144A † | 121,863 | 121,906 | ||
BANK, Series 2019-BNK18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 648,806 | ||
BBCMS Trust, Series 2013-TYSN, Class E | ||||
3.71%, 09/05/32 144A | 200,000 | 199,046 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
2.74%, 01/25/34† γ | 73,826 | 76,440 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
2.94%, 07/25/34† γ | 71,878 | 74,350 | ||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class AM | ||||
5.51%, 01/12/45† γ | 117,384 | 116,834 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 0.86%, 11/16/66 144A † | 132,142 | 132,829 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.92%, 0.92% Floor), 0.99%, 10/15/36 144A † | 1,620,425 | 1,624,386 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.15%, 10/15/36 144A † | 606,528 | 608,213 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.45%, 1.45% Floor), 1.52%, 10/15/36 144A † | 710,633 | 712,267 | ||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 12/15/36 144A † | 839,472 | 841,529 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2020-BXLP, Class E | ||||
(Floating, ICE LIBOR USD 1M + 1.60%, 1.60% Floor), 1.67%, 12/15/36 144A † | $ 339,671 | $ 340,172 | ||
BX Commercial Mortgage Trust, Series 2020-VKNG, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.20%, 10/15/37 144A † | 1,420,000 | 1,422,187 | ||
BX Commercial Mortgage Trust, Series 2021-VINO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%, 0.65% Floor), 0.73%, 05/15/38 144A † | 280,000 | 280,334 | ||
BX Trust, Series 2021-LBA, Class AJV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 02/15/36 144A † | 240,000 | 240,915 | ||
BX Trust, Series 2021-LBA, Class AV | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 02/15/36 144A † | 330,000 | 331,259 | ||
BX Trust, Series 2021-SOAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.67%, 0.67% Floor), 0.77%, 06/15/38 144A † | 2,310,000 | 2,314,320 | ||
BX Trust, Series 2021-VIEW, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.28%, 1.28% Floor), 1.43%, 06/15/23 144A † | 150,000 | 150,280 | ||
Canterbury Finance PLC, No. 1, Class A2 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.35%), 1.40%, 05/16/56(U) † | 1,000,000 | 1,399,425 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,500,000 | 1,608,634 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 0.99%, 07/25/49 144A † | 75,826 | 76,347 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 154,904 | 159,524 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.12%, 06/15/34 144A † | 2,124,493 | 2,083,292 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 11.50% Cap), 0.63%, 02/25/35† | 47,798 | 46,931 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 | ||||
2.90%, 07/10/49 | 641,000 | 684,706 |
Par | Value | |||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | $1,010,000 | $1,061,848 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 0.97%, 11/15/37 144A † | 4,865,803 | 4,898,261 | ||
COMM Mortgage Trust, Series 2012-CR4, Class ASB | ||||
2.44%, 10/15/45 | 244,900 | 248,010 | ||
COMM Mortgage Trust, Series 2013-300P, Class A1 | ||||
4.35%, 08/10/30 144A | 515,000 | 545,912 | ||
COMM Mortgage Trust, Series 2013-CR8, Class A5 | ||||
3.61%, 06/10/46 | 750,000 | 788,585 | ||
COMM Mortgage Trust, Series 2013-SFS, Class A1 | ||||
1.87%, 04/12/35 144A | 160,993 | 161,807 | ||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | 566,500 | 603,662 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 242,232 | 252,279 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 141,302 | 148,600 | ||
COMM Mortgage Trust, Series 2021-LBA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.69%, 0.69% Floor), 0.76%, 03/15/38 144A † | 1,800,000 | 1,804,309 | ||
COMM, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 450,342 | 462,884 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
2.06%, 01/15/49† IO γ | 634,602 | 47,010 | ||
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A1 | ||||
2.99%, 03/15/52 | 680,094 | 696,736 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 315,000 | 325,576 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.46% on 08/25/21), 6.37%, 10/25/36 STEP | 128,373 | 126,950 | ||
Deutsche Alt-B Securities Mortgage Loan Trust Series, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.46% on 08/25/21), 6.39%, 10/25/36 STEP | 128,373 | 126,948 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.16%, 07/15/38 144A † | 2,250,000 | 2,259,190 |
Par | Value | |||
Federal Home Loan Mortgage Corporation | ||||
5.50%, 05/01/22 | $ 2 | $ 2 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.19% Cap), 2.65%, 07/01/27† | 1,479 | 1,482 | ||
2.50%, 01/01/29 | 1,042,083 | 1,088,568 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.15% Cap), 2.40%, 11/01/31† | 10,643 | 10,728 | ||
3.00%, 12/01/31 | 2,885,397 | 3,075,399 | ||
3.00%, 01/01/32 | 2,886,285 | 3,073,488 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.86% Cap), 2.38%, 04/01/32† | 3,057 | 3,084 | ||
3.50%, 02/01/33 | 3,071,971 | 3,339,032 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.69% Cap), 2.16%, 06/01/33† | 242,891 | 258,876 | ||
3.00%, 07/01/33 | 3,048,099 | 3,231,316 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.84% Cap), 2.22%, 08/01/35† | 64,709 | 67,088 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.33% Cap), 1.97%, 09/01/35† | 74,200 | 77,701 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.81% Cap), 2.19%, 10/01/35† | 105,334 | 111,449 | ||
3.00%, 02/01/36 | 64,010 | 67,390 | ||
4.00%, 11/01/36 | 7,780 | 8,456 | ||
4.00%, 06/01/37 | 95,480 | 103,763 | ||
4.50%, 07/01/47 | 57,584 | 63,782 | ||
4.50%, 03/01/49 | 2,563,895 | 2,853,783 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.57%, 10/15/36† | 968,805 | 980,750 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 51,315 | 55,323 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 165,587 | 182,412 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 141,852 | 149,184 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | 327,514 | 349,535 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 230,921 | 239,144 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | $1,010,891 | $1,056,202 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.52%, 06/15/49† | 809,963 | 816,059 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 196,258 | 203,149 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5047 | ||||
0.75%, 10/15/28 | 3,540,115 | 3,550,425 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5057 | ||||
1.00%, 04/15/54 | 2,654,190 | 2,687,319 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5115 | ||||
1.00%, 02/25/42 | 3,106,996 | 3,096,656 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 1.79%, 01/25/50 144A † | 353,448 | 355,471 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 0.84%, 02/25/50 144A † | 1,015,712 | 1,015,832 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 1.94%, 02/25/50 144A † | 230,000 | 232,133 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.30%), 1.32%, 10/25/50 144A † | 190,550 | 190,574 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA1, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.65%), 0.67%, 01/25/51 144A † | 1,051,271 | 1,051,621 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA1, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.70%), 0.72%, 08/25/33 144A † | $3,100,000 | $3,101,376 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2018-DNA2, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 0.89%, 12/25/30 144A † | 179,966 | 179,994 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 2.04%, 10/25/49 144A † | 392,135 | 394,537 | ||
Federal National Mortgage Association | ||||
5.00%, 11/01/21 | 5 | 5 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 2.01%, 2.01% Floor, 10.85% Cap), 2.38%, 12/01/24 CONV † | 2,281 | 2,272 | ||
2.50%, 12/01/27 | 412,051 | 431,865 | ||
3.00%, 09/01/30 | 203,424 | 215,410 | ||
3.00%, 02/01/31 | 1,143,725 | 1,208,677 | ||
3.00%, 04/01/31 | 18,486 | 19,596 | ||
2.50%, 08/01/31 | 753,409 | 789,266 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.65% Cap), 2.37%, 09/01/31† | 27,722 | 27,807 | ||
2.50%, 10/01/31 | 451,002 | 472,485 | ||
2.50%, 11/01/31 | 978,337 | 1,028,760 | ||
2.50%, 01/01/32 | 7,749 | 8,134 | ||
2.00%, 02/01/32 | 2,551,852 | 2,643,099 | ||
3.00%, 03/01/32 | 662,044 | 702,046 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 1.43%, 08/01/32† | 169,016 | 169,895 | ||
3.00%, 11/01/32 | 63,730 | 67,433 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.24%, 2.24% Floor, 9.73% Cap), 2.37%, 12/01/32† | 242,792 | 243,247 | ||
3.00%, 12/01/32 | 859,374 | 910,419 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.35% Cap), 2.66%, 06/01/33† | 8,501 | 8,546 | ||
4.00%, 09/01/33 | 1,545,102 | 1,647,057 | ||
4.00%, 03/01/34 | 47,966 | 51,258 | ||
4.00%, 05/01/34 | 652,511 | 715,382 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.08% Cap), 2.04%, 02/01/35† | 92,756 | 98,007 | ||
(Floating, ICE LIBOR USD 1Y + 1.61%, 1.61% Floor, 11.11% Cap), 2.23%, 09/01/35† | 23,304 | 23,514 |
Par | Value | |||
3.00%, 09/01/35 | $107,894 | $114,389 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 11.11% Cap), 2.11%, 12/01/35† | 4,460 | 4,468 | ||
4.00%, 07/01/37 | 39,458 | 42,803 | ||
4.00%, 09/01/37 | 46,909 | 50,350 | ||
4.00%, 03/01/38 | 36,305 | 39,136 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.50% Cap), 2.26%, 05/01/38† | 686,573 | 726,715 | ||
1.33%, 08/01/42† | 174,174 | 179,144 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 8.41% Cap), 2.82%, 09/01/42† | 303,589 | 322,099 | ||
(Floating, ICE LIBOR USD 1Y + 1.69%, 1.69% Floor, 7.73% Cap), 2.71%, 07/01/43† | 427,686 | 454,352 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.52% Cap), 1.33%, 07/01/44† | 69,507 | 71,612 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.30% Cap), 1.33%, 10/01/44† | 49,876 | 50,960 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.79% Cap), 2.79%, 06/01/45† | 392,121 | 411,476 | ||
4.50%, 03/01/47 | 169,514 | 185,397 | ||
4.50%, 05/01/47 | 533,356 | 580,662 | ||
4.50%, 07/01/47 | 67,052 | 73,792 | ||
4.50%, 11/01/47 | 608,515 | 668,285 | ||
4.50%, 06/01/48 | 82,335 | 92,003 | ||
4.50%, 11/01/48 | 261,955 | 289,538 | ||
4.50%, 02/01/49 | 792,678 | 892,339 | ||
4.50%, 04/01/49 | 215,498 | 242,595 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 0.52%, 10/25/36† | 148,096 | 150,537 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 0.64%, 10/25/37† | 204,114 | 208,100 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 90,740 | 97,844 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 0.54%, 07/25/42† | 161,697 | 163,071 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 0.42%, 06/25/55† | $ 194,073 | $ 194,840 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 0.61%, 03/25/46† | 928,381 | 928,781 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 0.56%, 07/25/46† | 1,146,032 | 1,145,163 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 402,751 | 413,562 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 0.59%, 07/25/49† | 777,867 | 782,736 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.51%, 09/25/49† | 1,386,158 | 1,386,745 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.51%, 10/25/59† | 1,442,488 | 1,442,309 | ||
Federal National Mortgage Association REMIC, Series 2019-9 | ||||
3.50%, 06/25/48 | 1,402,447 | 1,475,572 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K121 | ||||
1.12%, 11/25/53† IO γ | 599,440 | 48,954 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K727 | ||||
2.95%, 07/25/24 | 3,750,000 | 3,960,577 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | 322,398 | 342,022 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KJ18 | ||||
3.07%, 08/25/22 | 166,032 | 169,242 |
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.10%), 1.12%, 11/25/50 144A † | $1,333,884 | $1,334,651 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.80%), 0.82%, 08/25/33 144A † | 2,150,000 | 2,157,457 | ||
FHLMC Structured Pass-Through Certificates, Series T-56, Class 3AF | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 1.09%, 05/25/43† | 382,659 | 395,395 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 1.52%, 07/25/44† | 351,842 | 363,267 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.35%, 06/16/70(U) 144A † | 1,063,142 | 1,487,703 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.18%, 06/25/34† γ | 105,378 | 107,697 | ||
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.50% Cap), 0.89%, 08/19/34† | 20,348 | 20,368 | ||
FREMF Mortgage Trust, Series 2012-K18, Class B | ||||
4.32%, 01/25/45 144A † γ | 240,000 | 244,401 | ||
FREMF Mortgage Trust, Series 2012-K19, Class B | ||||
4.16%, 05/25/45 144A † γ | 145,000 | 148,442 | ||
FREMF Mortgage Trust, Series 2012-K20, Class B | ||||
4.00%, 05/25/45 144A † γ | 135,000 | 138,711 | ||
FREMF Mortgage Trust, Series 2013-K27, Class B | ||||
3.62%, 01/25/46 144A † γ | 130,000 | 135,620 | ||
FREMF Mortgage Trust, Series 2013-K31, Class B | ||||
3.75%, 07/25/46 144A † γ | 105,000 | 110,391 | ||
FREMF Mortgage Trust, Series 2015-K720, Class B | ||||
3.51%, 07/25/22 144A † γ | 285,000 | 292,511 |
Par | Value | |||
Gemgarto PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.59%), 0.64%, 12/16/67(U) 144A † | $1,942,676 | $2,700,418 | ||
Gosforth Funding PLC, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.45%), 0.60%, 08/25/60 144A † | 215,645 | 216,075 | ||
Government National Mortgage Association | ||||
2.00%, 03/20/22† | 5,363 | 5,391 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.00%, 01/20/23† | 1,910 | 1,926 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.88%, 05/20/24† | 8,052 | 8,210 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.25%, 07/20/25† | 14,001 | 14,413 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.25%, 08/20/25† | 4,157 | 4,283 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.13%, 11/20/25† | 14,387 | 14,753 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.13%, 12/20/26† | 23,632 | 24,491 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.25%, 07/20/27† | 548 | 565 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.13%, 10/20/27† | 9,405 | 9,715 | ||
8.50%, 10/15/29 | 17,170 | 17,466 | ||
8.50%, 04/15/30 | 2,150 | 2,160 | ||
8.50%, 05/15/30 | 47,718 | 49,663 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.88%, 05/20/30† | 13,621 | 14,180 | ||
8.50%, 07/15/30 | 20,672 | 21,334 | ||
8.50%, 08/15/30 | 3,151 | 3,199 | ||
8.50%, 11/15/30 | 3,261 | 3,265 | ||
8.50%, 12/15/30 | 10,258 | 10,686 | ||
8.50%, 02/15/31 | 12,907 | 13,447 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.39%, 05/20/37† | 69,851 | 70,063 |
Par | Value | |||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 0.71%, 02/20/61† | $ 561,739 | $ 565,451 | ||
Government National Mortgage Association, Series 2012-102 | ||||
3.50%, 08/20/39 | 119,688 | 120,439 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 0.50%, 05/20/63† | 1,108,400 | 1,099,973 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 0.88%, 02/20/66† | 20,024 | 20,128 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 0.88%, 10/20/66† | 1,728,490 | 1,758,585 | ||
Government National Mortgage Association, Series 2017-136 | ||||
3.00%, 03/20/47 | 238,369 | 244,724 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.03%, 04/20/67† | 2,259,273 | 2,293,915 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 1.03%, 04/20/67† | 2,522,266 | 2,561,827 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 150,910 | 157,985 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.63%, 11/25/45† | 91,630 | 83,447 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.27%, 01/25/37† | 284,941 | 275,484 | ||
GS Mortgage Securities Corporation Trust, Series 2012-ALOH, Class A | ||||
3.55%, 04/10/34 144A | 680,000 | 687,723 | ||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 0.97%, 06/15/36 144A † | 536,000 | 536,561 |
Par | Value | |||
GS Mortgage Securities Corporation Trust, Series 2019-SOHO, Class C | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.37%, 06/15/36 144A † | $ 320,000 | $ 319,796 | ||
GS Mortgage Securities Corporation Trust, Series 2020-TWN3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.07%, 11/15/37 144A † | 560,000 | 563,950 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A | 369,139 | 368,987 | ||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | ||||
2.86%, 06/10/46 | 1,342,000 | 1,379,172 | ||
GS Mortgage Securities Trust, Series 2013-GC14, Class A3 | ||||
3.53%, 08/10/46 | 23,018 | 23,014 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 397,245 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2020-PJ4, Class A2 | ||||
3.00%, 01/25/51 144A † γ | 303,950 | 309,528 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
2.81%, 09/25/34† γ | 112,947 | 115,836 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.92%, 09/25/35† γ | 51,627 | 52,728 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.22%, 05/15/38 144A † | 429,000 | 431,737 | ||
Hawksmoor Mortgage Funding PLC, Series 2019-1X, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) † | 864,679 | 1,202,245 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) 144A † | 1,100,501 | 1,530,130 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 0.28%, 09/25/46† | 349,020 | 327,418 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.27%, 0.27% Floor), 0.36%, 06/25/37† | 135,792 | 171,709 | ||
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 04/15/38 144A † | 141,735 | 142,265 |
Par | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4 | ||||
3.48%, 06/15/45 | $ 688,297 | $ 695,441 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A4FX | ||||
3.48%, 06/15/45 144A | 420,334 | 424,697 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class D | ||||
4.67%, 07/05/32 144A † γ | 610,000 | 627,505 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class ASB | ||||
2.55%, 04/15/46 | 532,597 | 542,722 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 200,308 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 1.03%, 07/15/36 144A † | 1,710,000 | 1,711,796 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.45%, 02/25/35† γ | 10,709 | 10,894 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
2.46%, 06/25/46 144A † γ | 364,807 | 364,537 | ||
JP Morgan Mortgage Trust, Series 2017-5, Class A1A | ||||
3.00%, 10/26/48 144A | 262,815 | 264,329 | ||
JP Morgan Mortgage Trust, Series 2020-7, Class A3 | ||||
3.00%, 01/25/51 144A † γ | 247,154 | 251,189 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 1.09%, 06/25/50 144A † | 178,789 | 179,898 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 235,486 | 247,449 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | 325,618 | 350,665 | ||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | 1,500,000 | 1,579,591 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 05/15/36 144A † | 409,000 | 409,662 |
Par | Value | |||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 1.42%, 05/15/36 144A † | $ 136,000 | $ 136,198 | ||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.77%), 0.92%, 12/22/69 144A † | 970,000 | 971,245 | ||
Life Mortgage Trust, Series 2021-BMR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.77%, 03/15/38 144A † | 1,000,000 | 1,002,676 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.17%, 0.17% Floor, 10.50% Cap), 0.26%, 12/25/36† | 340,990 | 319,980 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
2.39%, 12/25/33† γ | 54,525 | 56,784 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2020-FL3, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 2.85%, 2.85% Floor), 2.97%, 07/15/35 144A † | 260,000 | 264,645 | ||
MF1, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.13%, 1.13% Floor), 1.26%, 12/25/34 144A † | 672,703 | 674,385 | ||
MFA Trust, Series 2021-RPL1, Class A1 | ||||
1.13%, 07/25/60 144A | 1,273,944 | 1,282,872 | ||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 0.87%, 04/15/38 144A † | 480,000 | 481,238 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class ASB | ||||
3.82%, 10/15/46 | 617,796 | 637,028 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 484,630 | 512,698 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AAB | ||||
2.66%, 05/15/46 | 106,061 | 107,805 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | 315,353 | 328,806 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 1,571,432 | 1,638,817 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | $ 955,000 | $1,045,940 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5 | ||||
3.64%, 10/15/48 | 535,000 | 584,788 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.83%, 12/15/49† IO γ | 1,900,552 | 59,071 | ||
Morgan Stanley Capital I Trust, Series 2018-H4, Class A4 | ||||
4.31%, 12/15/51 | 249,000 | 287,467 | ||
National Rmbs Trust, Series 2012-2, Class A1 | ||||
(Floating, Australian BBSW 1M + 1.10%), 1.11%, 06/20/44(A) † | 70,914 | 53,234 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,016,432 | 1,090,911 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A | 934,808 | 997,875 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 1,286,309 | 1,381,481 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 1,452,453 | 1,515,690 | ||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A † γ | 627,140 | 663,342 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 1,805,179 | 1,869,310 | ||
ONE Mortgage Trust, Series 2021-PARK, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.77%, 03/15/36 144A † | 1,900,000 | 1,903,449 | ||
One New York Plaza Trust, Series 2020-1NYP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 1.02%, 01/15/26 144A † | 240,000 | 241,879 | ||
PFP, Ltd., Series 2019-5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.04%, 04/14/36 144A † | 113,756 | 114,084 | ||
PFP, Ltd., Series 2019-6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.12%, 04/14/37 144A † | 1,136,000 | 1,137,000 |
Par | Value | |||
Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1 | ||||
(Step to 4.99% on 07/25/24), 1.99%, 02/25/61 144A STEP | $ 800,000 | $ 805,220 | ||
Residential Mortgage Securities 32 PLC, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.25%), 1.30%, 06/20/70(U) 144A † | 881,452 | 1,234,044 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 4,618 | 4,800 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.88%, 08/20/56(U) † | 731,946 | 1,015,834 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 831,535 | 873,709 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 358,699 | 376,244 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA | ||||
3.50%, 08/25/57 | 407,581 | 428,412 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 144,747 | 146,334 | ||
Silverstone Master Issuer PLC, Series 2019-1A, Class 1A | ||||
(Floating, ICE LIBOR USD 3M + 0.57%), 0.76%, 01/21/70 144A † | 127,000 | 127,211 | ||
STACR Trust, Series 2018-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%), 1.74%, 04/25/43 144A † | 1,074,196 | 1,076,059 | ||
STACR Trust, Series 2018-HRP2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%), 1.34%, 02/25/47 144A † | 1,465,014 | 1,465,407 | ||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1 | ||||
1.03%, 11/25/55 144A | 324,150 | 324,432 | ||
Stratton Mortgage Funding, Series 2021-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.95%, 07/20/60(U) 144A † | 291,731 | 404,974 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.39%, 09/25/34† | 48,448 | 46,315 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.59%, 07/19/35† | 30,356 | 29,538 |
Par | Value | |||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 10.50% Cap), 0.65%, 02/25/36† | $ 266,994 | $ 256,961 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.47% on 08/25/21), 6.01%, 07/25/37 STEP | 201,769 | 116,856 | ||
TORRENS Trust, Series 2013-1, Class A | ||||
(Floating, Australian BBSW 1M + 0.95%), 0.96%, 04/12/44(A) † | 392,869 | 295,948 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.11%, 10/20/51(U) 144A † | 1,292,540 | 1,802,153 | ||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.90%), 0.95%, 07/20/45(U) 144A † | 2,242,994 | 3,116,324 | ||
TPGI Trust, Series 2021-DGWD, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 0.80%, 06/15/26 144A † | 450,000 | 450,849 | ||
Trinity Square PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 0.85%), 0.90%, 07/15/59(U) 144A † | 1,400,000 | 1,944,250 | ||
TTAN, Series 2021-MHC, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 0.92%, 03/15/38 144A † | 300,000 | 300,762 | ||
UBS Commercial Mortgage Trust, Series 2017-C1, Class A4 | ||||
3.46%, 06/15/50 | 500,000 | 543,880 | ||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | 540,000 | 593,460 | ||
UBS Commercial Mortgage Trust, Series 2019-C18, Class A4 | ||||
3.04%, 12/15/52 | 330,000 | 354,635 | ||
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), 1.52%, 06/25/42† | 4,070 | 4,034 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
2.91%, 08/25/33† γ | 90,399 | 93,488 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 10.50% Cap), 0.71%, 01/25/45† | 184,055 | 183,586 |
Par | Value | |||
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), 0.86%, 01/25/47† | $ 207,473 | $ 200,482 | ||
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), 1.10%, 06/25/46† | 417,080 | 420,987 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.94%, 02/25/37† γ | 153,835 | 145,772 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.26%, 05/25/37† γ | 180,064 | 161,090 | ||
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), 0.96%, 05/25/47† | 31,154 | 2,926 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 535,194 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 1.63%, 01/15/59 144A † | 2,000,000 | 2,056,896 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class A5 | ||||
3.42%, 09/15/50 | 1,096,000 | 1,207,375 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A1 | ||||
3.00%, 05/25/50 144A † γ | 157,028 | 158,777 | ||
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4 | ||||
3.67%, 11/15/44 | 559,668 | 560,720 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C8, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 1.08%, 08/15/45 144A † | 515,266 | 515,572 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 450,718 | 466,755 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 366,053 | 377,582 | ||
Total Mortgage-Backed Securities (Cost $182,083,448) | 185,166,628 | |||
MUNICIPAL BONDS — 0.4% | ||||
California State Earthquake Authority, Revenue Bond, Series B | ||||
1.48%, 07/01/23 | 315,000 | 321,138 |
Par | Value | |||
Hawaii State, General Obligation, Series GB | ||||
0.80%, 10/01/24 | $ 1,000,000 | $ 1,003,184 | ||
North Texas Higher Education Authority, Inc., Revenue Bond | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 15.00% Cap), 1.30%, 04/01/40† | 1,214,303 | 1,223,805 | ||
State of California, General Obligation, Series C | ||||
(Floating, ICE LIBOR USD 1M + 0.78%), 0.87%, 04/01/47† | 1,500,000 | 1,501,748 | ||
Total Municipal Bonds (Cost $4,021,881) | 4,049,875 | |||
U.S. TREASURY OBLIGATIONS — 22.6% | ||||
U.S. Treasury Bills | ||||
0.01%, 07/22/21Ω | 110,000 | 109,997 | ||
0.02%, 08/10/21Ω | 29,000 | 28,999 | ||
0.01%, 08/24/21Ω | 142,000 | 141,991 | ||
0.00%, 08/26/21Ω | 100,000 | 99,994 | ||
0.01%, 09/16/21Ω | 300,000 | 299,974 | ||
0.05%, 09/23/21Ω | 7,800,000 | 7,799,181 | ||
0.07%, 02/24/22Ω | 195,000 | 194,936 | ||
0.05%, 03/24/22Ω Δ | 150,000 | 149,952 | ||
8,825,024 | ||||
U.S. Treasury Bonds | ||||
1.88%, 02/15/41‡‡ | 2,050,000 | 2,007,398 | ||
U.S. Treasury Notes | ||||
0.13%, 04/30/22 | 10,500,000 | 10,503,718 | ||
1.75%, 04/30/22 | 10,400,000 | 10,544,250 | ||
0.13%, 05/31/22 | 4,190,000 | 4,191,501 | ||
0.13%, 10/31/22Δ | 1,500,000 | 1,499,648 | ||
0.13%, 01/31/23 | 46,330,000 | 46,290,185 | ||
0.13%, 02/28/23 | 3,125,000 | 3,121,460 | ||
0.13%, 03/31/23 | 4,465,000 | 4,458,634 | ||
0.13%, 04/30/23Δ | 23,360,000 | 23,318,938 | ||
0.13%, 06/30/23 | 3,000,000 | 2,992,910 | ||
0.13%, 09/15/23 | 3,000,000 | 2,989,570 | ||
0.13%, 10/15/23 | 1,000,000 | 995,898 | ||
0.25%, 11/15/23 | 6,000,000 | 5,991,094 | ||
0.13%, 12/15/23 | 19,800,000 | 19,699,453 | ||
0.13%, 01/15/24 | 7,100,000 | 7,058,121 | ||
0.13%, 02/15/24Δ | 23,515,000 | 23,367,113 | ||
0.25%, 03/15/24Δ | 21,060,000 | 20,979,380 | ||
0.38%, 04/15/24 | 8,470,000 | 8,460,736 | ||
0.25%, 05/15/24Δ | 6,300,000 | 6,266,039 | ||
0.25%, 06/15/24 | 32,843,000 | 32,644,146 | ||
235,372,794 | ||||
Total U.S. Treasury Obligations (Cost $246,511,900) | 246,205,216 |
Shares | |||
MONEY MARKET FUNDS — 2.6% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 21,666,713 | 21,666,713 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%Ø § | 6,224,173 | $ 6,224,173 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 498,760 | 498,760 | ||
Total Money Market Funds (Cost $28,389,646) | 28,389,646 |
Par | |||
REPURCHASE AGREEMENTS — 7.1% | |||
Deutsche Bank Securities, Inc. | |||
0.04% (dated 07/01/21, due 07/02/21, repurchase price $38,408,533, collateralized by U.S. Treasury Inflationary Index Note, 0.13%, due 4/15/22, total market value $39,557,577) | $38,400,000 | 38,400,000 | |
JP Morgan Securities LLC | |||
0.04% (dated 06/30/21, due 07/01/21, repurchase price $38,306,383, collateralized by U.S. Treasury Bond, 2.50%, due 5/15/46, total market value $39,328,179) | 38,300,000 | 38,300,000 | |
Total Repurchase Agreements (Cost $76,700,000) | 76,700,000 | ||
TOTAL INVESTMENTS —104.3% (Cost $1,125,925,007) | 1,134,446,509 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Options — (0.0)% | ||||
FNCL 2% expiration date 09/2021, Strike Price $101.31, Expires 09/07/21 (JPM Chase) | 1 | $(1,500,000) | (6,547) | |
FNCL 2.5% expiration date 08/2021, Strike Price $103.98, Expires 08/05/21 (JPM Chase) | 1 | (400,000) | (476) | |
(7,023) |
Number of Contracts | Notional Amount | Value | |||
Call Swaptions — (0.0)% | |||||
Sell Protection on Markit CDX.NA.IG.36 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 6/20/2026 USD, Strike Price $0.75, Expires 08/18/21 (CITI) | 1 | $(19,400,000) | $ (3,663) | ||
Sell Protection on Markit CDX.NA.IG.36 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 6/20/2026 USD, Strike Price $0.80, Expires 10/20/21 (BOA) | 1 | (4,000,000) | (2,625) | ||
Sell Protection on Markit CDX.NA.IG.36 Index; Receive 1.00% (Quarterly); Credit Default Swap Maturing 6/20/2026 USD, Strike Price $0.85, Expires 10/20/21 (CITI) | 1 | (16,000,000) | (9,072) | ||
(15,360) | |||||
Put Options — (0.0)% | |||||
FNCL 2.5% expiration date 08/2021, Strike Price $101.98, Expires 08/05/21 (JPM Chase) | 1 | (400,000) | (242) | ||
FNCL 3% expiration date 08/2021, Strike Price $104.14, Expires 08/05/21 (JPM Chase) | 1 | (1,000,000) | (2,395) |
Number of Contracts | Notional Amount | Value | |||
FNCL 3% expiration date 09/2021, Strike Price $103.70, Expires 09/07/21 (JPM Chase) | 1 | $(2,900,000) | $ (6,424) | ||
(9,061) | |||||
Total Written Options (Premiums received $ (58,144)) | (31,444) | ||||
Liabilities in Excess of Other Assets — (4.3)% | (46,664,372) | ||||
NET ASSETS — 100.0% | $1,087,750,693 |
% | |
U.S. Treasury Obligations | 22.6 |
Corporate Bonds | 20.6 |
Mortgage-Backed Securities | 17.0 |
Asset-Backed Securities | 15.7 |
Foreign Bonds | 15.7 |
Repurchase Agreements | 7.1 |
Money Market Funds | 2.6 |
Agency Obligations | 2.6 |
Municipal Bonds | 0.4 |
Written Options | (—) ** |
104.3 | |
**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 | 09/2021 | (51) | $ (8,112,487) | $ (6,346) | ||||
Euro-Bund | 09/2021 | (1) | (204,672) | (1,341) | ||||
Euro-Schatz | 09/2021 | (45) | (5,983,651) | 571 | ||||
10-Year U.S. Treasury Note | 09/2021 | (139) | (18,417,500) | (47,593) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2021 | (116) | (17,075,563) | (237,107) | ||||
Ultra Long U.S. Treasury Bond | 09/2021 | (8) | (1,541,500) | (58,701) | ||||
2-Year U.S. Treasury Note | 09/2021 | 1,685 | 371,239,727 | (625,354) | ||||
5-Year U.S. Treasury Note | 09/2021 | (776) | (95,781,438) | 229,499 | ||||
90-Day Bank Acceptance | 12/2022 | 302 | 60,172,818 | (155,485) | ||||
90-Day Eurodollar | 12/2022 | 37 | 9,201,900 | (463) | ||||
90-Day Bank Acceptance | 03/2023 | 216 | 42,952,565 | (313,761) | ||||
90-Day Eurodollar | 12/2024 | (37) | (9,107,088) | (925) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $327,343,111 | $(1,217,006) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/02/21 | U.S. Dollars | 22,599,837 | British Pounds | 15,986,000 | GSC | $ 486,400 | ||||||
09/15/21 | U.S. Dollars | 19,570,131 | Euro | 16,144,000 | BNP | 396,170 | ||||||
07/02/21 | U.S. Dollars | 13,710,970 | Canadian Dollars | 16,565,152 | BNP | 347,666 | ||||||
08/10/21 | U.S. Dollars | 13,617,132 | Japanese Yen | 1,485,000,000 | BAR | 245,552 | ||||||
07/02/21 | U.S. Dollars | 7,128,477 | Euro | 5,827,000 | BNP | 219,111 | ||||||
07/02/21 | U.S. Dollars | 4,397,394 | Australian Dollars | 5,658,472 | BNP | 153,823 | ||||||
08/05/21 | U.S. Dollars | 4,954,435 | Canadian Dollars | 5,995,000 | UBS | 118,283 | ||||||
07/02/21 | U.S. Dollars | 1,508,875 | Australian Dollars | 1,951,000 | HSBC | 45,723 | ||||||
08/03/21 | U.S. Dollars | 3,887,526 | Australian Dollars | 5,124,255 | UBS | 43,922 | ||||||
09/21/21 | U.S. Dollars | 5,916,418 | Euro | 4,965,000 | HSBC | 18,775 | ||||||
08/03/21 | U.S. Dollars | 13,377,011 | Canadian Dollars | 16,565,152 | BNP | 13,936 | ||||||
08/03/21 | U.S. Dollars | 22,127,581 | British Pounds | 15,986,000 | HSBC | 11,961 | ||||||
09/15/21 | U.S. Dollars | 357,293 | Australian Dollars | 462,000 | CIBC | 10,700 | ||||||
09/15/21 | U.S. Dollars | 320,607 | Canadian Dollars | 388,000 | BOA | 7,612 | ||||||
09/21/21 | U.S. Dollars | 2,039,406 | Canadian Dollars | 2,524,000 | HSBC | 3,328 | ||||||
Subtotal Appreciation | $2,122,962 | |||||||||||
08/03/21 | Japanese Yen | 376,500,000 | U.S. Dollars | 3,393,136 | BNP | $ (3,167) | ||||||
07/02/21 | Japanese Yen | 189,400,000 | U.S. Dollars | 1,720,000 | BNP | (15,153) | ||||||
07/02/21 | Japanese Yen | 187,100,000 | U.S. Dollars | 1,706,918 | MSCS | (22,774) | ||||||
Subtotal Depreciation | $ (41,094) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $2,081,868 |
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, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2024 | MSCS | USD | 1,600,000 | $(39,469) | $(35,992) | $(3,477) | ||||||||
$(39,469) | $(35,992) | $(3,477) |
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) | 6/20/2024 | USD | 10,100,000 | $(192,778) | $ (198,363) | $ 5,585 | ||||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | 12/20/2024 | USD | 24,450,000 | (493,687) | (631,181) | 137,494 | ||||||||
Subtotal Appreciation | $(686,465) | $ (829,544) | $143,079 | |||||||||||
Markit CDX.NA.IG.35 Index (Pay Quarterly) | 12/20/2025 | USD | 500,000 | $ (12,686) | $ (11,909) | $ (777) | ||||||||
Markit CDX.NA.IG.36 Index (Pay Quarterly) | 6/20/2026 | USD | 7,800,000 | (199,394) | (176,126) | (23,268) | ||||||||
Subtotal Depreciation | $(212,080) | $ (188,035) | $ (24,045) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at June 30, 2021 | $(898,545) | $(1,017,579) | $119,034 |
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 | ||||||||||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 1/3/2022 | USD | 5,100,000 | $ 31 | $ (388) | $ 419 | |||||||
Subtotal Appreciation | $ 31 | $ (388) | $ 419 | |||||||||||
1-Month LIBOR + 0.10% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/3/2022 | USD | 25,000,000 | $(10,925) | $ — | $(10,925) | |||||||
3-Month CDOR (Semiannually) | 0.64% (Semiannually) | 1/3/2022 | CAD | 6,430,000 | (9,381) | — | (9,381) | |||||||
Subtotal Depreciation | $(20,306) | $ — | $(20,306) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2021 | $(20,275) | $ (388) | $(19,887) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 28,111,017 | $ — | $ 28,111,017 | $ — | |||
Asset-Backed Securities | 171,136,078 | — | 171,136,078 | — | |||
Corporate Bonds | 224,418,363 | — | 224,418,363 | — | |||
Foreign Bonds | 170,269,686 | — | 170,269,686 | — | |||
Money Market Funds | 28,389,646 | 28,389,646 | — | — | |||
Mortgage-Backed Securities | 185,166,628 | — | 185,166,628 | — | |||
Municipal Bonds | 4,049,875 | — | 4,049,875 | — | |||
Repurchase Agreements | 76,700,000 | — | 76,700,000 | — | |||
U.S. Treasury Obligations | 246,205,216 | — | 246,205,216 | — | |||
Total Assets - Investments in Securities | $1,134,446,509 | $28,389,646 | $1,106,056,863 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 2,122,962 | $ — | $ 2,122,962 | $ — | |||
Futures Contracts | 230,070 | 230,070 | — | — | |||
Swap Agreements | 143,498 | — | 143,498 | — | |||
Total Assets - Other Financial Instruments | $ 2,496,530 | $ 230,070 | $ 2,266,460 | $ — |
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 | $ (7,023) | $ (7,023) | $ — | $ — | |||
Call Swaptions | (15,360) | (15,360) | — | — | |||
Put Options | (9,061) | (9,061) | — | — | |||
Total Written Options | (31,444) | (31,444) | — | — | |||
Total Liabilities - Investments in Securities | $ (31,444) | $ (31,444) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (41,094) | $ — | $(41,094) | $ — | |||
Futures Contracts | (1,447,076) | (1,447,076) | — | — | |||
Swap Agreements | (47,828) | — | (47,828) | — | |||
Total Liabilities - Other Financial Instruments | $(1,535,998) | $(1,447,076) | $(88,922) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Par | Value | |||
AGENCY OBLIGATIONS — 1.1% | ||||
Federal Farm Credit Banks Funding Corporation | ||||
1.70%, 04/23/35 | $3,800,000 | $ 3,741,772 | ||
Federal Home Loan Mortgage Corporation | ||||
0.65%, 10/22/25 | 7,100,000 | 7,045,142 | ||
0.65%, 10/27/25 | 7,200,000 | 7,138,792 | ||
0.80%, 10/28/26 | 7,200,000 | 7,160,340 | ||
Federal National Mortgage Association | ||||
6.63%, 11/15/30Δ | 670,000 | 970,090 | ||
Total Agency Obligations (Cost $25,933,901) | 26,056,136 | |||
ASSET-BACKED SECURITIES — 4.7% | ||||
A10 Bridge Asset Financing LLC, Series 2020-C, Class A | ||||
2.02%, 08/15/40 144A | 1,324,645 | 1,331,781 | ||
ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.95%, 1.95% Floor), 2.14%, 01/20/32 144A † | 970,000 | 970,882 | ||
AGL Core CLO 8, Ltd., Series 2020-8A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 1.69%, 10/20/31 144A † | 390,000 | 390,903 | ||
Allegro CLO XI, Ltd., Series 2019-2A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.39%, 1.39% Floor), 1.58%, 01/19/33 144A † | 500,000 | 501,291 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.77%, 01/25/36† | 2,900,000 | 2,886,622 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 1.20%, 04/30/31 144A † | 710,000 | 711,041 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 1.40%, 04/15/33 144A † | 1,500,000 | 1,505,919 | ||
Apidos CLO XXXV, Series 2021-35A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 1.25%, 04/20/34 144A † | 540,000 | 542,164 |
Par | Value | |||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 3.34%, 04/20/31 144A † | $ 750,000 | $ 747,296 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1BR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.36%, 11/20/30 144A † | 490,000 | 491,030 | ||
Basswood Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 1.21%, 04/20/34 144A † | 1,500,000 | 1,495,568 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 881,043 | 598,285 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,078,143 | 1,418,273 | ||
BlueMountain CLO XXVIII, Ltd., Series 2021-28A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.26%, 1.26% Floor), 1.42%, 04/15/34 144A † | 400,000 | 401,506 | ||
BlueMountain CLO, Ltd., Series 2013-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 1.36%, 10/22/30 144A † | 490,193 | 490,656 | ||
BlueMountain CLO, Ltd., Series 2016-1A, Class CR | ||||
(Floating, ICE LIBOR USD 3M + 1.85%), 2.04%, 04/20/27 144A † | 800,000 | 801,112 | ||
BSPRT Issuer, Ltd., Series 2018-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.12%, 09/15/35 144A † | 1,544,680 | 1,546,124 | ||
Carlyle Global Market Strategies CLO, Ltd., Series 2014-3RA, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.23%, 07/27/31 144A † | 317,386 | 317,498 | ||
Carrington Mortgage Loan Trust, Series 2005-OPT2, Class M4 | ||||
(Floating, ICE LIBOR USD 1M + 0.98%, 0.98% Floor), 1.07%, 05/25/35† | 1,543,438 | 1,545,390 | ||
Catamaran CLO, Ltd., Series 2013-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.85%), 1.03%, 01/27/28 144A † | 744,512 | 744,369 |
Par | Value | |||
Cayuga Park CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.25%, 07/17/34 144A † | $ 790,000 | $ 790,000 | ||
Cedar Funding V CLO, Ltd., Series 2016-5A, Class AFRR | ||||
1.94%, 07/17/31 144A | 560,000 | 561,288 | ||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AV3 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.69%, 07/25/36† | 168,256 | 168,283 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 3.09%, 08/09/24 144A † | 970,000 | 935,835 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 0.84%, 03/25/34† | 119,465 | 119,257 | ||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 0.31%, 12/15/35† | 30,105 | 29,071 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 1.24%, 04/15/34 144A † | 250,000 | 250,096 | ||
Dryden 77 CLO, Ltd., Series 2020-77A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 1.25%, 05/20/34 144A † | 6,500,000 | 6,512,356 | ||
Dryden Senior Loan Fund, Series 2021-87A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 1.22%, 05/20/34 144A † | 1,440,000 | 1,440,000 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 1.29%, 12/27/66 144A † | 812,021 | 835,283 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.42%, 04/15/33 144A † | 3,800,000 | 3,811,237 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,608 | 108,489 |
Par | Value | |||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 0.51%, 02/27/35 144A † | $ 409,628 | $ 379,940 | ||
Flagship Credit Auto Trust, Series 2019-3, Class A | ||||
2.33%, 02/15/24 144A | 546,127 | 549,936 | ||
GMACM Home Equity Loan Trust, Series 2007-HE3, Class 2A1 | ||||
7.00%, 09/25/37 | 39,478 | 38,955 | ||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 1.29%, 10/29/29 144A † | 1,000,000 | 1,000,578 | ||
Golub Capital Partners CLO 45M, Ltd., Series 2019-45A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.72%, 1.72% Floor), 1.91%, 10/20/31 144A † | 250,000 | 250,980 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A | ||||
2.10%, 05/20/48 144A | 2,400,000 | 2,401,270 | ||
Greywolf CLO V, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 1.34%, 01/27/31 144A † | 500,000 | 500,940 | ||
Halcyon Loan Advisors Funding, Ltd., Series 2015-2A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.26%, 07/25/27 144A † | 137,794 | 137,811 | ||
HalseyPoint CLO, Ltd., Series 2020-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 1.64%, 11/30/32 144A † | 530,000 | 532,490 | ||
Higher Education Funding I, Series 2014-1, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 1.20%, 05/25/34 144A † | 594,051 | 597,014 | ||
Hildene Community Funding CDO, Ltd., Series 2015-1A, Class AR | ||||
3.25%, 11/01/35 144A | 750,000 | 742,978 | ||
ICG US CLO, Ltd., Series 2017-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 1.27%, 07/28/34 144A † | 1,500,000 | 1,500,000 | ||
InStar Leasing III LLC, Series 2021-1A, Class A | ||||
2.30%, 02/15/54 144A | 992,108 | 998,607 |
Par | Value | |||
KKR CLO, Ltd., Series 32A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 1.50%, 01/15/32 144A † | $ 340,000 | $ 340,404 | ||
KREF, Ltd., Series 2018-FL1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.18%, 06/15/36 144A † | 1,335,069 | 1,338,101 | ||
LCM XVIII LP, Series 19A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 1.42%, 07/15/27 144A † | 162,480 | 162,543 | ||
Loanpal Solar Loan, Ltd., Series 2021-1GS, Class A | ||||
2.29%, 01/20/48 144A | 801,263 | 815,228 | ||
LP Credit Card ABS Master Trust, Series 2018-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.55%), 1.66%, 08/20/24 144A † | 1,113,509 | 1,115,130 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 0.93%, 04/15/29 144A † | 2,750,000 | 2,750,004 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 2.03%, 04/15/31 144A † | 500,000 | 498,272 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 1.20%, 07/16/36 144A † | 900,000 | 902,373 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
2.97%, 07/25/59 144A † γ | 233,661 | 242,864 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.77%, 10/25/35† | 376,021 | 374,657 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 883,325 | 909,014 | ||
Navient Student Loan Trust, Series 2016-3A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.35%), 1.44%, 06/25/65 144A † | 1,382,235 | 1,415,972 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 1.39%, 03/25/66 144A † | 3,176,000 | 3,294,641 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 1.14%, 12/27/66 144A † | 1,288,590 | 1,311,543 |
Par | Value | |||
Navient Student Loan Trust, Series 2020-1A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 1.14%, 06/25/69 144A † | $2,126,194 | $2,182,864 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2018-29A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 1.32%, 10/19/31 144A † | 750,000 | 751,140 | ||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||
1.85%, 11/20/50 144A | 673,083 | 683,719 | ||
Ocean Trails CLO IX, Series 2020-9A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.87%, 1.87% Floor), 2.05%, 10/15/29 144A † | 1,080,000 | 1,082,912 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 1.15%, 04/15/31 144A † | 700,000 | 700,495 | ||
Octagon Investment Partners 45, Ltd., Series 2019-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.33%, 1.33% Floor), 1.51%, 10/15/32 144A † | 750,000 | 751,416 | ||
Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class AAR3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 1.15%, 02/14/31 144A † | 530,000 | 528,571 | ||
OHA Credit Funding 7, Ltd., Series 2020-7A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.25%, 1.25% Floor), 1.44%, 10/19/32 144A † | 270,000 | 270,398 | ||
OHA Loan Funding, Ltd., Series 2015-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.34%, 1.34% Floor), 1.50%, 11/15/32 144A † | 1,170,000 | 1,172,918 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 1.99%, 04/20/32 144A † | 600,000 | 601,649 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 0.64%, 05/25/57 144A † | 454,268 | 454,681 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.24%, 09/25/65 144A † | 420,289 | 426,621 |
Par | Value | |||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 1.04%, 11/25/65 144A † | $ 383,426 | $ 386,408 | ||
Point Au Roche Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 1.26%, 07/20/34 144A † | 1,170,000 | 1,170,000 | ||
RAMP Trust, Series 2005-EFC6, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.65% Floor, 14.00% Cap), 0.52%, 11/25/35† | 495,713 | 495,741 | ||
Recette CLO, Ltd., Series 2015-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 1.27%, 04/20/34 144A † | 340,000 | 341,135 | ||
Santander Drive Auto Receivables Trust, Series 2020-2, Class A2A | ||||
0.62%, 05/15/23 | 136,730 | 136,756 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.28% Cap), 0.89%, 03/25/35† | 133,868 | 131,253 | ||
SBA Small Business Investment Cos., Series 2018-10B, Class 1 | ||||
3.55%, 09/10/28 | 151,780 | 164,305 | ||
Shackleton CLO, Ltd., Series 2014-6RA, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 1.21%, 07/17/28 144A † | 424,841 | 424,784 | ||
Shackleton CLO, Ltd., Series 2019-14A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 1.33%, 07/20/34 144A † | 8,700,000 | 8,700,000 | ||
SLC Student Loan Trust, Series 2005-3, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.24%, 06/15/29† | 306,391 | 305,461 | ||
SLM Student Loan Trust, Series 2003-10A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.47%), 0.59%, 12/15/27 144A † | 700,401 | 700,653 | ||
SLM Student Loan Trust, Series 2005-4, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.12%), 0.30%, 01/25/27† | 56,961 | 56,832 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 0.32%, 10/25/28† | 408,671 | 406,860 | ||
SLM Student Loan Trust, Series 2007-1, Class A5 | ||||
(Floating, ICE LIBOR USD 3M + 0.09%), 0.27%, 01/26/26† | 315,812 | 315,784 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2020-B, Class A1A | ||||
1.29%, 07/15/53 144A | $ 509,507 | $ 511,796 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 1,530,000 | 1,528,943 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 660,000 | 670,275 | ||
SMB Private Education Loan Trust, Series 2021-A, Class C | ||||
2.99%, 01/15/53 144A | 430,000 | 436,497 | ||
SMB Private Education Loan Trust, Series 2021-C, Class B | ||||
2.30%, 01/15/53 144A | 580,000 | 579,298 | ||
Sonic Capital LLC, Series 2020-1A, Class A2I | ||||
3.85%, 01/20/50 144A | 662,742 | 702,530 | ||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 1.28%, 07/26/31 144A † | 500,000 | 499,654 | ||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC3, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.02%, 07/25/35† | 951,768 | 953,089 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor), 0.87%, 02/25/35 144A † | 2,700,000 | 2,728,160 | ||
Tralee CLO VI, Ltd., Series 2019-6A, Class AS | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 1.48%, 10/25/32 144A † | 620,000 | 622,495 | ||
Tryon Park CLO, Ltd., Series 2013-1A, Class A1SR | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.07%, 04/15/29 144A † | 2,440,000 | 2,441,367 | ||
Trysail CLO, Ltd., Series 2021-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%), 1.46%, 07/20/32 144A † | 2,900,000 | 2,900,000 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 115,759 | 125,656 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 205,018 | 220,863 | ||
Utah State Board of Regents, Series 2015-1, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.69%, 02/25/43† | 295,811 | 294,901 |
Par | Value | |||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 1.46%, 04/15/33 144A † | $2,525,000 | $ 2,532,163 | ||
Voya CLO, Ltd., Series 2016-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 1.38%, 10/18/31 144A † | 500,000 | 500,672 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 1.23%, 04/20/34 144A † | 490,000 | 492,152 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 1.33%, 10/15/31 144A † | 1,250,000 | 1,251,522 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 1.24%, 04/15/31 144A † | 1,700,000 | 1,701,885 | ||
Wellfleet CLO X, Ltd., Series 2019-XA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.17%), 1.34%, 07/20/32 144A † | 6,900,000 | 6,906,386 | ||
Wellfleet CLO, Ltd., Series 2020-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 2.03%, 07/15/31 144A † | 510,000 | 511,504 | ||
Whitebox CLO II, Ltd., Series 2020-2A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 1.93%, 10/24/31 144A † | 620,000 | 622,350 | ||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 3.83%, 10/15/31 144A † | 750,000 | 741,984 | ||
Total Asset-Backed Securities (Cost $114,155,416) | 113,920,648 | |||
COMMERCIAL PAPER — 0.8% | ||||
Duke Energy Corporation | ||||
0.09%, 07/08/21Ω | 1,500,000 | 1,499,974 | ||
Eaton Capital Unlimited Co. | ||||
0.15%, 07/08/21Ω | 3,000,000 | 2,999,912 | ||
National Bank of Canada | ||||
0.15%, 07/20/21Ω | 3,000,000 | 2,999,762 | ||
Suncor Energy, Inc. | ||||
0.21%, 09/07/21Ω | 5,800,000 | 5,797,988 | ||
VW Credit, Inc. | ||||
0.15%, 07/21/21Ω | 5,800,000 | 5,799,517 | ||
Total Commercial Paper (Cost $19,096,865) | 19,097,153 |
Par | Value | |||
CORPORATE BONDS — 26.7% | ||||
3M Co. | ||||
2.38%, 08/26/29 | $ 210,000 | $ 220,783 | ||
3.05%, 04/15/30Δ | 50,000 | 54,986 | ||
3.70%, 04/15/50 | 790,000 | 932,837 | ||
7-Eleven, Inc. | ||||
1.30%, 02/10/28 144A | 725,000 | 700,857 | ||
Abbott Laboratories | ||||
3.75%, 11/30/26 | 148,000 | 167,223 | ||
4.75%, 11/30/36 | 200,000 | 257,909 | ||
4.90%, 11/30/46 | 210,000 | 287,973 | ||
Adobe, Inc. | ||||
3.25%, 02/01/25 | 65,000 | 70,446 | ||
2.30%, 02/01/30 | 650,000 | 677,613 | ||
Adventist Health System | ||||
2.95%, 03/01/29 | 160,000 | 168,888 | ||
Aetna, Inc. | ||||
2.80%, 06/15/23 | 50,000 | 52,057 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 1,430,000 | 1,537,225 | ||
2.88%, 01/15/26 | 475,000 | 499,461 | ||
3.75%, 06/01/26 | 875,000 | 958,181 | ||
3.25%, 10/01/29 | 45,000 | 47,065 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A | 1,633,370 | 1,811,474 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
3.80%, 04/15/26Δ | 900,000 | 1,003,169 | ||
2.75%, 12/15/29 | 1,400,000 | 1,462,591 | ||
3.38%, 08/15/31 | 325,000 | 357,605 | ||
Allegion US Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 425,737 | ||
Alliant Energy Finance LLC | ||||
3.75%, 06/15/23 144A | 275,000 | 291,475 | ||
4.25%, 06/15/28 144A | 75,000 | 85,418 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 250,000 | 253,845 | ||
5.80%, 05/01/25 | 50,000 | 58,136 | ||
Alphabet, Inc. | ||||
0.45%, 08/15/25Δ | 60,000 | 59,443 | ||
0.80%, 08/15/27Δ | 130,000 | 126,478 | ||
1.10%, 08/15/30 | 150,000 | 142,395 | ||
2.05%, 08/15/50 | 230,000 | 203,416 | ||
Amazon.com, Inc. | ||||
0.80%, 06/03/25Δ | 310,000 | 310,742 | ||
1.20%, 06/03/27 | 390,000 | 389,047 | ||
3.15%, 08/22/27 | 270,000 | 298,489 | ||
1.50%, 06/03/30Δ | 190,000 | 185,893 | ||
2.10%, 05/12/31 | 170,000 | 172,970 | ||
4.80%, 12/05/34 | 75,000 | 96,843 | ||
3.88%, 08/22/37 | 160,000 | 191,116 | ||
4.95%, 12/05/44 | 220,000 | 298,814 | ||
4.05%, 08/22/47 | 290,000 | 354,423 | ||
2.50%, 06/03/50 | 310,000 | 293,602 | ||
4.25%, 08/22/57 | 160,000 | 205,371 |
Par | Value | |||
Ambac LSNI LLC | ||||
(Floating, ICE LIBOR USD 3M + 5.00%), 6.00%, 02/12/23 144A † | $1,433,598 | $1,434,495 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,975,000 | 1,977,246 | ||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | 789,556 | 769,642 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class AA | ||||
3.35%, 10/15/29Δ | 1,759,030 | 1,793,426 | ||
American Campus Communities Operating Partnership LP REIT | ||||
3.75%, 04/15/23 | 525,000 | 550,419 | ||
2.85%, 02/01/30 | 40,000 | 41,216 | ||
American Express Co. | ||||
2.50%, 07/30/24 | 1,995,000 | 2,102,838 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 359,553 | ||
2.38%, 07/15/31 | 205,000 | 201,952 | ||
American International Group, Inc. | ||||
4.13%, 02/15/24 | 75,000 | 81,716 | ||
2.50%, 06/30/25 | 150,000 | 158,408 | ||
3.90%, 04/01/26 | 825,000 | 921,054 | ||
4.20%, 04/01/28Δ | 1,850,000 | 2,130,776 | ||
3.40%, 06/30/30 | 250,000 | 274,383 | ||
6.25%, 03/15/37 | 278,000 | 324,399 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 883,003 | ||
3.38%, 10/15/26 | 1,500,000 | 1,635,955 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 50,000 | 53,843 | ||
3.13%, 05/01/25 | 60,000 | 64,659 | ||
4.66%, 06/15/51 | 34,000 | 43,937 | ||
Anthem, Inc. | ||||
2.95%, 12/01/22 | 390,000 | 403,336 | ||
3.35%, 12/01/24 | 130,000 | 140,336 | ||
2.38%, 01/15/25 | 35,000 | 36,669 | ||
3.65%, 12/01/27 | 250,000 | 280,065 | ||
2.55%, 03/15/31 | 2,100,000 | 2,166,027 | ||
Apache Corporation | ||||
3.25%, 04/15/22 | 24,000 | 24,333 | ||
4.38%, 10/15/28 | 20,000 | 21,318 | ||
4.25%, 01/15/30 | 60,000 | 63,383 | ||
5.10%, 09/01/40 | 180,000 | 188,775 | ||
4.75%, 04/15/43Δ | 40,000 | 41,676 | ||
4.25%, 01/15/44 | 300,000 | 294,318 | ||
Appalachian Power Co. | ||||
2.70%, 04/01/31 | 2,200,000 | 2,276,776 | ||
Apple, Inc. | ||||
1.55%, 08/04/21 | 20,000 | 20,002 | ||
2.50%, 02/09/25 | 65,000 | 69,004 | ||
1.13%, 05/11/25 | 630,000 | 637,672 | ||
2.45%, 08/04/26 | 595,000 | 633,530 | ||
4.50%, 02/23/36 | 10,000 | 12,637 | ||
Applied Materials, Inc. | ||||
1.75%, 06/01/30 | 300,000 | 297,031 |
Par | Value | |||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | $ 600,000 | $ 677,875 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 258,483 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 166,266 | ||
Arrow Electronics, Inc. | ||||
4.50%, 03/01/23 | 1,200,000 | 1,262,784 | ||
AT&T, Inc. | ||||
4.45%, 04/01/24 | 725,000 | 792,115 | ||
4.25%, 03/01/27 | 60,000 | 68,124 | ||
2.30%, 06/01/27 | 1,930,000 | 1,997,811 | ||
1.65%, 02/01/28 | 540,000 | 536,328 | ||
2.75%, 06/01/31 | 175,000 | 182,092 | ||
2.25%, 02/01/32 | 1,700,000 | 1,670,340 | ||
2.55%, 12/01/33 144A | 2,839,000 | 2,815,483 | ||
5.25%, 03/01/37 | 245,000 | 309,040 | ||
4.90%, 08/15/37 | 200,000 | 247,067 | ||
6.38%, 03/01/41 | 325,000 | 467,492 | ||
3.50%, 06/01/41 | 400,000 | 416,248 | ||
3.10%, 02/01/43 | 1,110,000 | 1,089,842 | ||
4.35%, 06/15/45 | 94,000 | 108,180 | ||
5.15%, 11/15/46 | 125,000 | 160,551 | ||
5.45%, 03/01/47 | 575,000 | 758,524 | ||
4.50%, 03/09/48 | 197,000 | 232,764 | ||
5.15%, 02/15/50 | 200,000 | 257,335 | ||
3.65%, 06/01/51 | 325,000 | 338,264 | ||
3.50%, 09/15/53 144A | 1,913,000 | 1,924,840 | ||
3.55%, 09/15/55 144A | 301,000 | 302,448 | ||
3.80%, 12/01/57 144A | 60,000 | 62,627 | ||
3.65%, 09/15/59 144A | 37,000 | 37,578 | ||
AutoNation, Inc. | ||||
4.75%, 06/01/30 | 225,000 | 266,405 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 295,566 | ||
Aviation Capital Group LLC | ||||
5.50%, 12/15/24 144A | 2,000,000 | 2,262,464 | ||
1.95%, 01/30/26 144A | 400,000 | 400,299 | ||
Baker Hughes a GE Co. LLC | ||||
4.08%, 12/15/47 | 40,000 | 45,784 | ||
Bank of America Corporation | ||||
3.30%, 01/11/23 | 120,000 | 125,273 | ||
(Variable, ICE LIBOR USD 3M + 0.79%), 3.00%, 12/20/23^ | 329,000 | 341,026 | ||
(Variable, ICE LIBOR USD 3M + 0.78%), 3.55%, 03/05/24^ | 530,000 | 556,971 | ||
4.00%, 04/01/24 | 420,000 | 458,427 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 1.13%, 07/23/24† | 900,000 | 912,834 | ||
(Variable, ICE LIBOR USD 3M + 0.94%), 3.86%, 07/23/24^ | 260,000 | 277,286 | ||
4.20%, 08/26/24 | 1,295,000 | 1,420,142 | ||
(Variable, ICE LIBOR USD 3M + 3.71%), 6.25%, 09/05/24ρ ^ | 300,000 | 332,063 | ||
(Variable, ICE LIBOR USD 3M + 4.17%), 6.50%, 10/23/24ρ ^ | 150,000 | 170,250 | ||
(Variable, U.S. SOFR + 0.74%), 0.81%, 10/24/24^ | 70,000 | 70,309 |
Par | Value | |||
4.00%, 01/22/25 | $ 440,000 | $ 483,092 | ||
(Variable, ICE LIBOR USD 3M + 0.97%), 3.46%, 03/15/25^ | 65,000 | 69,506 | ||
(Variable, ICE LIBOR USD 3M + 1.09%), 3.09%, 10/01/25^ | 2,200,000 | 2,344,939 | ||
4.45%, 03/03/26 | 420,000 | 477,247 | ||
3.50%, 04/19/26 | 1,260,000 | 1,388,788 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 60,157 | ||
4.25%, 10/22/26 | 480,000 | 542,345 | ||
(Variable, U.S. SOFR + 1.01%), 1.20%, 10/24/26^ | 2,200,000 | 2,181,428 | ||
3.25%, 10/21/27 | 875,000 | 949,894 | ||
4.18%, 11/25/27 | 825,000 | 924,797 | ||
(Variable, ICE LIBOR USD 3M + 1.37%), 3.59%, 07/21/28Δ ^ | 860,000 | �� | 947,678 | |
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 694,000 | 756,347 | ||
(Variable, ICE LIBOR USD 3M + 1.07%), 3.97%, 03/05/29^ | 300,000 | 338,538 | ||
(Variable, ICE LIBOR USD 3M + 1.31%), 4.27%, 07/23/29^ | 525,000 | 603,594 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 2.88%, 10/22/30^ | 500,000 | 527,112 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 75,000 | 76,656 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 1,010,000 | 1,041,977 | ||
(Variable, U.S. SOFR + 1.53%), 1.90%, 07/23/31^ | 400,000 | 389,232 | ||
6.11%, 01/29/37 | 500,000 | 684,821 | ||
(Variable, ICE LIBOR USD 3M + 1.81%), 4.24%, 04/24/38^ | 30,000 | 35,727 | ||
5.00%, 01/21/44 | 790,000 | 1,053,408 | ||
(Variable, ICE LIBOR USD 3M + 1.19%), 3.95%, 01/23/49Δ ^ | 270,000 | 314,427 | ||
(Variable, ICE LIBOR USD 3M + 1.52%), 4.33%, 03/15/50^ | 170,000 | 209,657 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 990,000 | 1,185,381 | ||
(Variable, U.S. SOFR + 1.88%), 2.83%, 10/24/51^ | 750,000 | 733,042 | ||
Banner Health | ||||
2.34%, 01/01/30 | 865,000 | 881,720 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41 | 150,000 | 206,515 | ||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | 200,000 | 217,790 | ||
Baylor Scott & White Holdings | ||||
1.78%, 11/15/30 | 305,000 | 298,813 | ||
Becton, Dickinson and Co. | ||||
3.36%, 06/06/24 | 830,000 | 889,556 | ||
3.73%, 12/15/24 | 171,000 | 186,335 | ||
3.70%, 06/06/27 | 685,000 | 761,556 | ||
2.82%, 05/20/30 | 650,000 | 681,381 | ||
4.69%, 12/15/44 | 94,000 | 117,178 | ||
Berkshire Hathaway Energy Co. | ||||
3.25%, 04/15/28 | 400,000 | 440,215 |
Par | Value | |||
3.70%, 07/15/30 | $ 400,000 | $ 454,063 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30Δ | 725,000 | 734,491 | ||
4.25%, 01/15/49 | 460,000 | 572,559 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 144A | 2,475,000 | 2,478,960 | ||
Biogen, Inc. | ||||
3.15%, 05/01/50 | 65,000 | 63,975 | ||
Block Financial LLC | ||||
3.88%, 08/15/30 | 1,600,000 | 1,731,269 | ||
BMW US Capital LLC | ||||
1.85%, 09/15/21 144A | 60,000 | 60,121 | ||
Boeing Co. (The) | ||||
1.17%, 02/04/23 | 2,000,000 | 2,008,458 | ||
1.43%, 02/04/24 | 2,920,000 | 2,927,968 | ||
4.88%, 05/01/25 | 850,000 | 952,838 | ||
2.20%, 02/04/26 | 430,000 | 434,178 | ||
2.70%, 02/01/27 | 70,000 | 72,421 | ||
2.80%, 03/01/27 | 110,000 | 114,466 | ||
5.15%, 05/01/30 | 1,200,000 | 1,422,126 | ||
3.25%, 02/01/35 | 925,000 | 938,303 | ||
6.63%, 02/15/38 | 210,000 | 281,064 | ||
3.55%, 03/01/38 | 70,000 | 72,004 | ||
5.71%, 05/01/40 | 340,000 | 438,522 | ||
3.85%, 11/01/48 | 25,000 | 25,741 | ||
3.75%, 02/01/50 | 200,000 | 206,664 | ||
5.81%, 05/01/50 | 1,400,000 | 1,888,381 | ||
5.93%, 05/01/60Δ | 10,000 | 13,835 | ||
BorgWarner, Inc. | ||||
5.00%, 10/01/25 144A | 35,000 | 40,197 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28Δ | 930,000 | 1,085,415 | ||
2.55%, 04/01/32Δ | 2,200,000 | 2,215,952 | ||
Boston Scientific Corporation | ||||
2.65%, 06/01/30 | 1,900,000 | 1,967,035 | ||
BP Capital Markets America, Inc. | ||||
3.22%, 11/28/23 | 370,000 | 391,900 | ||
3.79%, 02/06/24 | 50,000 | 53,962 | ||
3.12%, 05/04/26 | 570,000 | 618,649 | ||
3.54%, 04/06/27 | 50,000 | 55,214 | ||
4.23%, 11/06/28 | 1,550,000 | 1,798,540 | ||
3.63%, 04/06/30 | 490,000 | 549,793 | ||
3.00%, 02/24/50 | 520,000 | 503,722 | ||
Brighthouse Financial, Inc. | ||||
3.70%, 06/22/27Δ | 449,000 | 488,713 | ||
Bristol-Myers Squibb Co. | ||||
2.25%, 08/15/21 | 270,000 | 270,666 | ||
2.60%, 05/16/22 | 300,000 | 306,460 | ||
3.55%, 08/15/22 | 170,000 | 176,105 | ||
2.90%, 07/26/24 | 479,000 | 511,150 | ||
3.88%, 08/15/25 | 818,000 | 911,254 | ||
3.20%, 06/15/26 | 120,000 | 131,810 | ||
3.40%, 07/26/29 | 720,000 | 807,721 | ||
5.00%, 08/15/45 | 84,000 | 115,075 |
Par | Value | |||
Broadcom Corporation | ||||
3.88%, 01/15/27 | $2,153,000 | $2,380,266 | ||
3.50%, 01/15/28 | 28,000 | 30,736 | ||
Broadcom, Inc. | ||||
4.70%, 04/15/25 | 760,000 | 856,685 | ||
3.15%, 11/15/25 | 470,000 | 504,048 | ||
3.46%, 09/15/26 | 3,431,000 | 3,738,912 | ||
5.00%, 04/15/30 | 60,000 | 70,859 | ||
2.45%, 02/15/31 144A | 2,000,000 | 1,966,937 | ||
4.30%, 11/15/32 | 2,000,000 | 2,279,931 | ||
3.42%, 04/15/33 144A | 900,000 | 946,182 | ||
3.47%, 04/15/34 144A | 2,090,000 | 2,212,851 | ||
Calpine Corporation | ||||
4.50%, 02/15/28 144A | 495,000 | 505,519 | ||
Camden Property Trust REIT | ||||
3.15%, 07/01/29 | 65,000 | 70,720 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 70,000 | 74,692 | ||
3.30%, 01/15/35 144A | 460,000 | 494,479 | ||
Capital One Financial Corporation | ||||
3.50%, 06/15/23 | 325,000 | 343,850 | ||
3.30%, 10/30/24 | 345,000 | 371,821 | ||
Carrier Global Corporation | ||||
2.24%, 02/15/25 | 70,000 | 72,827 | ||
2.49%, 02/15/27 | 1,225,000 | 1,283,104 | ||
2.72%, 02/15/30 | 650,000 | 674,461 | ||
3.58%, 04/05/50 | 20,000 | 21,257 | ||
CenterPoint Energy Resources Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.50%), 0.63%, 03/02/23† | 2,100,000 | 2,100,548 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 700,000 | 805,660 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,714,850 | ||
Charles Schwab Corporation (The) | ||||
4.20%, 03/24/25 | 60,000 | 67,071 | ||
3.25%, 05/22/29 | 10,000 | 11,042 | ||
Charter Communications Operating LLC | ||||
4.46%, 07/23/22 | 1,700,000 | 1,760,217 | ||
4.91%, 07/23/25 | 7,190,000 | 8,150,273 | ||
4.20%, 03/15/28 | 510,000 | 577,924 | ||
5.05%, 03/30/29 | 460,000 | 544,056 | ||
6.38%, 10/23/35 | 490,000 | 656,017 | ||
5.38%, 04/01/38 | 300,000 | 369,179 | ||
6.48%, 10/23/45 | 90,000 | 124,157 | ||
5.38%, 05/01/47 | 30,000 | 36,824 | ||
5.13%, 07/01/49 | 30,000 | 35,793 | ||
4.80%, 03/01/50 | 360,000 | 414,250 | ||
Chevron Corporation | ||||
1.55%, 05/11/25 | 310,000 | 317,759 | ||
2.95%, 05/16/26 | 350,000 | 379,582 | ||
2.00%, 05/11/27 | 100,000 | 103,281 | ||
Chevron USA, Inc. | ||||
3.85%, 01/15/28Δ | 550,000 | 627,275 | ||
6.00%, 03/01/41 | 10,000 | 14,652 | ||
4.95%, 08/15/47 | 110,000 | 148,556 |
Par | Value | |||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | $1,500,000 | $1,629,630 | ||
Chubb INA Holdings, Inc. | ||||
3.35%, 05/03/26 | 120,000 | 131,854 | ||
Cigna Corporation | ||||
3.75%, 07/15/23 | 293,000 | 312,122 | ||
4.13%, 11/15/25 | 180,000 | 201,830 | ||
3.40%, 03/01/27 | 65,000 | 71,353 | ||
4.38%, 10/15/28 | 460,000 | 535,400 | ||
2.40%, 03/15/30 | 1,250,000 | 1,276,394 | ||
4.80%, 08/15/38 | 640,000 | 797,992 | ||
3.20%, 03/15/40 | 675,000 | 701,722 | ||
4.90%, 12/15/48 | 1,000,000 | 1,290,269 | ||
Cimarex Energy Co. | ||||
3.90%, 05/15/27 | 660,000 | 728,278 | ||
4.38%, 03/15/29 | 650,000 | 739,660 | ||
Cintas Corporation No. 2 | ||||
2.90%, 04/01/22 | 180,000 | 183,245 | ||
3.70%, 04/01/27 | 190,000 | 213,116 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 105,934 | ||
CIT Bank NA | ||||
(Variable, U.S. SOFR + 1.72%), 2.97%, 09/27/25^ | 550,000 | 577,148 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ ^ | 170,000 | 178,837 | ||
3.50%, 05/15/23 | 220,000 | 232,011 | ||
(Variable, U.S. SOFR + 1.67%), 1.68%, 05/15/24^ | 2,190,000 | 2,236,814 | ||
(Variable, U.S. SOFR + 0.69%), 0.78%, 10/30/24^ | 35,000 | 35,099 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 65,000 | 69,296 | ||
(Variable, U.S. SOFR + 0.67%), 0.98%, 05/01/25^ | 65,000 | 65,176 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 430,000 | 471,689 | ||
4.40%, 06/10/25 | 450,000 | 502,940 | ||
5.50%, 09/13/25 | 490,000 | 571,067 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26Δ ^ | 190,000 | 203,441 | ||
3.40%, 05/01/26 | 2,075,000 | 2,266,781 | ||
(Variable, ICE LIBOR USD 3M + 4.52%), 6.25%, 08/15/26ρ ^ | 150,000 | 175,646 | ||
3.20%, 10/21/26 | 500,000 | 542,144 | ||
4.30%, 11/20/26 | 1,675,000 | 1,893,432 | ||
4.45%, 09/29/27 | 2,305,000 | 2,635,410 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 3.67%, 07/24/28^ | 150,000 | 165,586 | ||
4.13%, 07/25/28Δ | 325,000 | 366,429 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 340,000 | 397,399 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 790,000 | 812,936 | ||
6.63%, 06/15/32 | 50,000 | 68,240 | ||
8.13%, 07/15/39 | 260,000 | 450,270 | ||
6.68%, 09/13/43 | 10,000 | 15,400 | ||
5.30%, 05/06/44 | 24,000 | 32,474 |
Par | Value | |||
4.65%, 07/30/45 | $ 894,000 | $1,152,886 | ||
4.75%, 05/18/46 | 40,000 | 51,000 | ||
4.65%, 07/23/48 | 160,000 | 209,953 | ||
Citizens Financial Group, Inc. | ||||
2.85%, 07/27/26 | 65,000 | 69,366 | ||
Citrix Systems, Inc. | ||||
1.25%, 03/01/26 | 2,100,000 | 2,075,270 | ||
Coca-Cola Co. (The) | ||||
3.38%, 03/25/27 | 120,000 | 133,744 | ||
1.45%, 06/01/27Δ | 265,000 | 267,849 | ||
2.50%, 06/01/40 | 20,000 | 19,852 | ||
2.60%, 06/01/50 | 130,000 | 125,646 | ||
Comcast Corporation | ||||
3.10%, 04/01/25 | 245,000 | 264,881 | ||
3.38%, 08/15/25 | 275,000 | 300,091 | ||
3.95%, 10/15/25 | 477,000 | 534,764 | ||
3.15%, 03/01/26 | 130,000 | 141,552 | ||
3.30%, 02/01/27 | 344,000 | 378,453 | ||
3.30%, 04/01/27 | 1,710,000 | 1,885,758 | ||
4.15%, 10/15/28 | 1,180,000 | 1,366,840 | ||
3.40%, 04/01/30 | 150,000 | 165,724 | ||
4.25%, 10/15/30 | 810,000 | 954,022 | ||
5.65%, 06/15/35 | 420,000 | 569,462 | ||
6.50%, 11/15/35 | 30,000 | 43,770 | ||
3.90%, 03/01/38 | 30,000 | 34,572 | ||
3.25%, 11/01/39 | 400,000 | 426,132 | ||
3.75%, 04/01/40 | 165,000 | 186,293 | ||
3.40%, 07/15/46 | 50,000 | 53,431 | ||
4.00%, 03/01/48 | 40,000 | 46,987 | ||
4.70%, 10/15/48 | 200,000 | 258,304 | ||
3.45%, 02/01/50 | 950,000 | 1,027,574 | ||
2.80%, 01/15/51 | 270,000 | 260,239 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 46,968 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 345,930 | ||
ConocoPhillips | ||||
3.75%, 10/01/27 144A | 170,000 | 191,227 | ||
4.30%, 08/15/28 144A | 480,000 | 557,654 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 300,069 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 143,056 | ||
3.95%, 04/01/50 | 140,000 | 159,300 | ||
Continental Resources, Inc. | ||||
4.50%, 04/15/23 | 506,000 | 527,963 | ||
4.38%, 01/15/28Δ | 320,000 | 354,909 | ||
4.90%, 06/01/44 | 10,000 | 11,338 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 635,939 | ||
Costco Wholesale Corporation | ||||
1.60%, 04/20/30 | 550,000 | 543,310 | ||
Cox Communications, Inc. | ||||
3.35%, 09/15/26 144A | 45,000 | 48,941 | ||
CRH America Finance, Inc. | ||||
3.95%, 04/04/28 144A | 500,000 | 564,624 |
Par | Value | |||
Crown Castle International Corporation REIT | ||||
3.15%, 07/15/23 | $2,325,000 | $2,442,114 | ||
3.10%, 11/15/29 | 70,000 | 74,442 | ||
CSC Holdings LLC | ||||
3.38%, 02/15/31 144A | 780,000 | 738,067 | ||
CSX Corporation | ||||
3.25%, 06/01/27 | 65,000 | 71,369 | ||
3.80%, 04/15/50 | 300,000 | 343,731 | ||
CVS Health Corporation | ||||
2.75%, 12/01/22 | 210,000 | 215,827 | ||
3.70%, 03/09/23 | 99,000 | 104,284 | ||
2.63%, 08/15/24 | 205,000 | 216,458 | ||
3.88%, 07/20/25 | 788,000 | 870,339 | ||
3.63%, 04/01/27 | 200,000 | 221,759 | ||
4.30%, 03/25/28 | 1,961,000 | 2,254,622 | ||
3.75%, 04/01/30 | 1,090,000 | 1,221,367 | ||
4.13%, 04/01/40 | 80,000 | 93,030 | ||
2.70%, 08/21/40 | 360,000 | 349,610 | ||
5.13%, 07/20/45 | 775,000 | 1,009,664 | ||
5.05%, 03/25/48 | 1,030,000 | 1,340,331 | ||
4.25%, 04/01/50 | 80,000 | 95,023 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 509,751 | 620,308 | ||
CyrusOne LP REIT | ||||
2.90%, 11/15/24 | 1,500,000 | 1,585,920 | ||
D.R. Horton, Inc. | ||||
4.38%, 09/15/22Δ | 800,000 | 829,485 | ||
DAE Funding LLC | ||||
5.00%, 08/01/24 144A | 700,000 | 720,639 | ||
Daimler Finance North America LLC | ||||
3.75%, 11/05/21 144A | 1,600,000 | 1,618,617 | ||
2.55%, 08/15/22 144A | 1,700,000 | 1,740,422 | ||
2.70%, 06/14/24 144A | 1,900,000 | 2,001,572 | ||
8.50%, 01/18/31 | 25,000 | 37,942 | ||
Deere & Co. | ||||
3.10%, 04/15/30 | 50,000 | 55,247 | ||
3.75%, 04/15/50 | 760,000 | 920,858 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 2,775,000 | 3,011,289 | ||
5.85%, 07/15/25 | 25,000 | 29,353 | ||
6.02%, 06/15/26 | 1,075,000 | 1,291,150 | ||
8.35%, 07/15/46 | 75,000 | 122,859 | ||
Delta Air Lines, Inc. | ||||
7.00%, 05/01/25 144A | 2,250,000 | 2,627,266 | ||
4.50%, 10/20/25 144A | 700,000 | 752,565 | ||
4.75%, 10/20/28 144A | 350,000 | 389,398 | ||
Deutsche Bank AG | ||||
4.25%, 10/14/21 | 1,500,000 | 1,516,320 | ||
3.95%, 02/27/23 | 1,900,000 | 1,995,887 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 792,000 | 930,472 | ||
5.25%, 10/15/27 144A | 38,000 | 40,972 | ||
4.50%, 01/15/30 144A | 32,000 | 35,210 | ||
5.60%, 07/15/41 | 332,000 | 411,187 | ||
4.75%, 05/15/42 | 710,000 | 803,888 | ||
5.00%, 06/15/45 | 1,240,000 | 1,459,340 |
Par | Value | |||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | $2,275,000 | $2,375,535 | ||
2.60%, 11/15/29 | 225,000 | 235,609 | ||
Diamondback Energy, Inc. | ||||
3.25%, 12/01/26 | 90,000 | 96,543 | ||
3.50%, 12/01/29 | 160,000 | 171,428 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 492,359 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 1,800,000 | 1,965,594 | ||
5.20%, 09/20/47 | 45,000 | 56,022 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 170,000 | 182,750 | ||
7.75%, 07/01/26 | 150,000 | 170,063 | ||
5.13%, 06/01/29 144A | 140,000 | 138,415 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 359,047 | ||
4.20%, 05/15/28 | 400,000 | 456,576 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 716,132 | ||
3.38%, 04/01/30 | 225,000 | 245,246 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 215,444 | ||
3.15%, 08/15/27 | 550,000 | 594,436 | ||
2.45%, 06/01/30 | 1,800,000 | 1,822,071 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 350,000 | 390,272 | ||
DuPont de Nemours, Inc. | ||||
4.21%, 11/15/23 | 175,000 | 189,627 | ||
4.49%, 11/15/25 | 350,000 | 398,167 | ||
4.73%, 11/15/28 | 350,000 | 417,647 | ||
5.32%, 11/15/38 | 55,000 | 72,839 | ||
East Ohio Gas Co. (The) | ||||
2.00%, 06/15/30 144A | 125,000 | 123,798 | ||
3.00%, 06/15/50 144A | 35,000 | 34,799 | ||
Eaton Corporation | ||||
2.75%, 11/02/22 | 410,000 | 423,356 | ||
4.15%, 11/02/42 | 200,000 | 239,050 | ||
Ecolab, Inc. | ||||
3.95%, 12/01/47 | 68,000 | 82,684 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,638,801 | ||
2.14%, 09/01/30 | 1,170,000 | 1,196,237 | ||
Enable Midstream Partners LP | ||||
4.95%, 05/15/28 | 900,000 | 1,031,086 | ||
Energy Transfer LP | ||||
4.20%, 09/15/23 | 625,000 | 669,005 | ||
4.50%, 11/01/23 | 310,000 | 332,890 | ||
4.25%, 04/01/24 | 100,000 | 107,890 | ||
4.50%, 04/15/24 | 230,000 | 250,530 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ ^ | 200,000 | 202,050 | ||
5.95%, 12/01/25 | 300,000 | 351,556 | ||
5.50%, 06/01/27 | 1,175,000 | 1,379,262 | ||
4.95%, 06/15/28 | 110,000 | 127,340 | ||
5.25%, 04/15/29 | 1,410,000 | 1,666,784 | ||
3.75%, 05/15/30Δ | 860,000 | 935,032 |
Par | Value | |||
5.30%, 04/01/44 | $ 20,000 | $ 23,134 | ||
5.30%, 04/15/47 | 125,000 | 146,481 | ||
5.40%, 10/01/47 | 50,000 | 59,381 | ||
6.00%, 06/15/48 | 50,000 | 63,306 | ||
6.25%, 04/15/49 | 390,000 | 512,639 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,377,376 | ||
2.35%, 06/15/32 | 2,200,000 | 2,229,633 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 690,502 | ||
3.13%, 07/31/29 | 100,000 | 107,974 | ||
2.80%, 01/31/30Δ | 890,000 | 940,976 | ||
7.55%, 04/15/38 | 50,000 | 76,928 | ||
5.70%, 02/15/42 | 60,000 | 80,804 | ||
4.85%, 03/15/44 | 50,000 | 61,236 | ||
4.80%, 02/01/49 | 30,000 | 37,034 | ||
4.20%, 01/31/50 | 680,000 | 785,665 | ||
3.70%, 01/31/51 | 740,000 | 795,383 | ||
3.95%, 01/31/60 | 120,000 | 134,091 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 160,000 | 180,260 | ||
4.38%, 04/15/30Δ | 40,000 | 47,400 | ||
3.90%, 04/01/35 | 260,000 | 301,245 | ||
4.95%, 04/15/50 | 490,000 | 653,652 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,200,000 | 1,302,391 | ||
EQM Midstream Partners LP | ||||
4.13%, 12/01/26 | 1,800,000 | 1,847,340 | ||
EQT Corporation | ||||
3.00%, 10/01/22Δ | 20,000 | 20,450 | ||
7.63%, 02/01/25 | 20,000 | 23,356 | ||
3.90%, 10/01/27 | 60,000 | 64,350 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,700,000 | 1,789,461 | ||
1.55%, 03/15/28Δ | 2,200,000 | 2,162,976 | ||
3.00%, 07/15/50 | 70,000 | 67,339 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 600,000 | 688,768 | ||
ERAC USA Finance LLC | ||||
4.50%, 08/16/21 144A | 709,000 | 712,673 | ||
Exelon Corporation | ||||
4.05%, 04/15/30 | 325,000 | 370,542 | ||
5.63%, 06/15/35 | 415,000 | 547,322 | ||
4.70%, 04/15/50 | 25,000 | 31,651 | ||
Exelon Generation Co. LLC | ||||
3.25%, 06/01/25Δ | 1,665,000 | 1,796,818 | ||
Expedia Group, Inc. | ||||
3.60%, 12/15/23 | 300,000 | 319,088 | ||
6.25%, 05/01/25 144A | 1,114,000 | 1,296,743 | ||
4.63%, 08/01/27 | 150,000 | 169,741 | ||
3.80%, 02/15/28 | 300,000 | 326,472 | ||
2.95%, 03/15/31 | 2,350,000 | 2,386,189 | ||
Exxon Mobil Corporation | ||||
1.57%, 04/15/23 | 30,000 | 30,675 | ||
2.71%, 03/06/25 | 55,000 | 58,521 | ||
2.99%, 03/19/25 | 700,000 | 751,240 | ||
3.04%, 03/01/26 | 500,000 | 543,063 |
Par | Value | |||
3.48%, 03/19/30Δ | $ 540,000 | $ 606,849 | ||
4.11%, 03/01/46 | 230,000 | 271,780 | ||
4.33%, 03/19/50 | 190,000 | 236,221 | ||
3.45%, 04/15/51 | 250,000 | 272,662 | ||
Federal Realty Investment Trust REIT | ||||
3.50%, 06/01/30 | 1,900,000 | 2,088,660 | ||
FedEx Corporation | ||||
4.05%, 02/15/48 | 375,000 | 431,480 | ||
Fidelity National Information Services, Inc. | ||||
1.15%, 03/01/26 | 2,200,000 | 2,183,774 | ||
Fifth Third Bancorp | ||||
2.38%, 01/28/25 | 375,000 | 393,383 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 1,350,000 | 1,851,000 | ||
Fiserv, Inc. | ||||
2.75%, 07/01/24 | 1,075,000 | 1,134,484 | ||
3.85%, 06/01/25 | 65,000 | 71,566 | ||
3.20%, 07/01/26 | 725,000 | 785,251 | ||
4.20%, 10/01/28 | 375,000 | 431,381 | ||
Florida Power & Light Co. | ||||
2.85%, 04/01/25 | 65,000 | 69,541 | ||
3.80%, 12/15/42 | 425,000 | 503,789 | ||
Ford Motor Credit Co. LLC | ||||
5.88%, 08/02/21 | 320,000 | 322,032 | ||
2.98%, 08/03/22 | 1,800,000 | 1,829,466 | ||
(Floating, ICE LIBOR USD 3M + 1.24%), 1.39%, 02/15/23† | 2,200,000 | 2,192,454 | ||
3.37%, 11/17/23 | 1,900,000 | 1,972,071 | ||
2.90%, 02/16/28 | 380,000 | 378,676 | ||
4.00%, 11/13/30 | 940,000 | 985,825 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 480,000 | 520,190 | ||
4.71%, 01/25/29 | 250,000 | 293,742 | ||
3.50%, 04/08/30 | 125,000 | 137,961 | ||
5.48%, 01/25/39 | 525,000 | 680,058 | ||
5.58%, 01/25/49 | 30,000 | 40,604 | ||
Freeport-McMoRan, Inc. | ||||
3.88%, 03/15/23 | 10,000 | 10,440 | ||
4.55%, 11/14/24Δ | 10,000 | 10,888 | ||
5.45%, 03/15/43 | 192,000 | 234,943 | ||
GE Capital Funding LLC | ||||
4.05%, 05/15/27 | 1,900,000 | 2,151,652 | ||
General Dynamics Corporation | ||||
3.25%, 04/01/25 | 40,000 | 43,368 | ||
3.50%, 05/15/25 | 40,000 | 43,876 | ||
4.25%, 04/01/40 | 60,000 | 73,548 | ||
4.25%, 04/01/50 | 180,000 | 231,526 | ||
General Electric Co. | ||||
2.70%, 10/09/22 | 75,000 | 77,087 | ||
3.45%, 05/01/27 | 195,000 | 214,476 | ||
3.63%, 05/01/30Δ | 525,000 | 585,953 | ||
6.75%, 03/15/32 | 80,000 | 110,974 | ||
6.88%, 01/10/39 | 85,000 | 127,475 | ||
4.25%, 05/01/40 | 175,000 | 204,846 | ||
General Mills, Inc. | ||||
4.20%, 04/17/28 | 600,000 | 692,376 |
Par | Value | |||
General Motors Co. | ||||
5.40%, 10/02/23 | $ 535,000 | $ 589,436 | ||
4.00%, 04/01/25 | 200,000 | 218,813 | ||
6.13%, 10/01/25 | 190,000 | 225,055 | ||
5.15%, 04/01/38 | 110,000 | 134,479 | ||
5.95%, 04/01/49 | 300,000 | 409,066 | ||
General Motors Financial Co., Inc. | ||||
4.38%, 09/25/21 | 400,000 | 403,742 | ||
3.45%, 04/10/22 | 230,000 | 234,261 | ||
5.20%, 03/20/23 | 1,900,000 | 2,046,417 | ||
4.35%, 04/09/25 | 40,000 | 44,232 | ||
4.30%, 07/13/25 | 300,000 | 331,728 | ||
4.35%, 01/17/27 | 560,000 | 630,131 | ||
5.65%, 01/17/29 | 100,000 | 121,839 | ||
Gilead Sciences, Inc. | ||||
3.70%, 04/01/24 | 230,000 | 247,305 | ||
4.50%, 02/01/45 | 275,000 | 337,024 | ||
4.75%, 03/01/46 | 20,000 | 25,408 | ||
GlaxoSmithKline Capital, Inc. | ||||
6.38%, 05/15/38 | 45,000 | 67,523 | ||
Glencore Funding LLC | ||||
3.00%, 10/27/22 144A Δ | 10,000 | 10,290 | ||
4.13%, 05/30/23 144A | 20,000 | 21,285 | ||
4.13%, 03/12/24 144A | 1,155,000 | 1,245,886 | ||
4.63%, 04/29/24 144A | 658,000 | 721,677 | ||
1.63%, 04/27/26 144A | 525,000 | 527,151 | ||
4.00%, 03/27/27 144A | 480,000 | 532,559 | ||
3.88%, 10/27/27 144A | 520,000 | 573,468 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 421,791 | ||
3.20%, 08/15/29 | 225,000 | 241,159 | ||
2.90%, 05/15/30 | 1,600,000 | 1,669,090 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/02/21† ρ | 3,000 | 2,981 | ||
Goldman Sachs Group, Inc. (The) | ||||
5.25%, 07/27/21 | 160,000 | 160,558 | ||
3.20%, 02/23/23 | 250,000 | 260,906 | ||
3.85%, 07/08/24 | 150,000 | 162,297 | ||
3.50%, 01/23/25 | 1,700,000 | 1,838,666 | ||
3.50%, 04/01/25 | 320,000 | 347,329 | ||
4.25%, 10/21/25 | 1,170,000 | 1,308,837 | ||
3.50%, 11/16/26 | 700,000 | 761,795 | ||
(Floating, ICE LIBOR USD 3M + 1.75%), 1.93%, 10/28/27† | 1,800,000 | 1,907,997 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 1,140,000 | 1,276,334 | ||
(Variable, ICE LIBOR USD 3M + 1.30%), 4.22%, 05/01/29^ | 990,000 | 1,129,851 | ||
6.75%, 10/01/37 | 110,000 | 160,427 | ||
6.25%, 02/01/41 | 750,000 | 1,118,451 | ||
(Variable, U.S. SOFR + 1.51%), 3.21%, 04/22/42^ | 30,000 | 31,426 | ||
5.15%, 05/22/45 | 550,000 | 737,403 | ||
4.75%, 10/21/45 | 390,000 | 510,797 |
Par | Value | |||
Goodman US Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | $1,000,000 | $1,084,953 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A Δ | 175,000 | 200,374 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 100,397 | ||
1.25%, 11/19/27 144A | 1,800,000 | 1,757,472 | ||
H&E Equipment Services, Inc. | ||||
3.88%, 12/15/28 144A | 325,000 | 320,206 | ||
Halliburton Co. | ||||
3.80%, 11/15/25Δ | 40,000 | 44,245 | ||
6.70%, 09/15/38 | 50,000 | 69,113 | ||
5.00%, 11/15/45Δ | 190,000 | 231,879 | ||
HCA, Inc. | ||||
5.25%, 04/15/25 | 120,000 | 137,399 | ||
5.25%, 06/15/26 | 10,000 | 11,584 | ||
5.38%, 09/01/26 | 1,600,000 | 1,843,200 | ||
5.50%, 06/15/47 | 80,000 | 104,370 | ||
Healthcare Realty Trust, Inc. REIT | ||||
2.05%, 03/15/31 | 175,000 | 169,550 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,595,136 | ||
Healthpeak Properties, Inc. REIT | ||||
3.50%, 07/15/29 | 65,000 | 71,936 | ||
Hewlett Packard Enterprise Co. | ||||
2.25%, 04/01/23 | 1,000,000 | 1,029,877 | ||
4.45%, 10/02/23 | 1,350,000 | 1,460,650 | ||
4.65%, 10/01/24 | 580,000 | 645,097 | ||
4.90%, 10/15/25 | 955,000 | 1,087,772 | ||
6.35%, 10/15/45 | 155,000 | 208,591 | ||
Hilton Domestic Operating Co., Inc. | ||||
4.00%, 05/01/31 144A Δ | 986,000 | 996,057 | ||
3.63%, 02/15/32 144A | 407,000 | 402,458 | ||
Home Depot, Inc. (The) | ||||
2.50%, 04/15/27Δ | 150,000 | 159,941 | ||
3.90%, 12/06/28 | 270,000 | 314,764 | ||
2.70%, 04/15/30 | 170,000 | 181,977 | ||
3.30%, 04/15/40 | 450,000 | 493,924 | ||
3.35%, 04/15/50 | 830,000 | 919,249 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25 | 180,000 | 183,418 | ||
Host Hotels & Resorts LP REIT | ||||
3.38%, 12/15/29 | 20,000 | 20,996 | ||
Humana, Inc. | ||||
3.15%, 12/01/22 | 70,000 | 72,201 | ||
4.50%, 04/01/25 | 40,000 | 44,817 | ||
3.95%, 03/15/27 | 150,000 | 168,485 | ||
4.63%, 12/01/42 | 60,000 | 74,070 | ||
4.95%, 10/01/44 | 70,000 | 90,734 | ||
4.80%, 03/15/47 | 10,000 | 12,653 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25 | 550,000 | 610,385 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 369,948 | ||
2.95%, 06/15/31 | 250,000 | 253,890 |
Par | Value | |||
Hyundai Capital America | ||||
2.75%, 09/27/26 | $ 70,000 | $ 73,310 | ||
IHS Markit, Ltd. | ||||
4.00%, 03/01/26 144A | 631,000 | 701,577 | ||
Intel Corporation | ||||
3.40%, 03/25/25 | 65,000 | 71,059 | ||
3.70%, 07/29/25 | 80,000 | 88,478 | ||
4.60%, 03/25/40 | 15,000 | 19,033 | ||
3.73%, 12/08/47 | 76,000 | 87,055 | ||
4.75%, 03/25/50 | 210,000 | 279,507 | ||
Intercontinental Exchange, Inc. | ||||
3.00%, 06/15/50Δ | 1,500,000 | 1,480,083 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 767,645 | ||
International Flavors & Fragrances, Inc. | ||||
1.83%, 10/15/27 144A | 650,000 | 648,769 | ||
4.38%, 06/01/47 | 1,000,000 | 1,183,550 | ||
Intuit, Inc. | ||||
1.35%, 07/15/27 | 175,000 | 174,839 | ||
1.65%, 07/15/30 | 125,000 | 122,996 | ||
IPALCO Enterprises, Inc. | ||||
4.25%, 05/01/30 | 1,800,000 | 2,026,771 | ||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | 1,900,000 | 2,003,040 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | 1,971,975 | 2,033,192 | ||
JM Smucker Co. (The) | ||||
2.38%, 03/15/30 | 225,000 | 229,475 | ||
Johnson & Johnson | ||||
0.55%, 09/01/25 | 180,000 | 178,457 | ||
2.45%, 03/01/26 | 110,000 | 117,318 | ||
0.95%, 09/01/27Δ | 350,000 | 343,790 | ||
3.63%, 03/03/37 | 390,000 | 455,845 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.80%), 3.98%, 11/01/21† ρ Δ | 1,260,000 | 1,263,421 | ||
(Variable, ICE LIBOR USD 3M + 0.73%), 3.56%, 04/23/24^ | 800,000 | 843,743 | ||
(Variable, U.S. SOFR + 1.46%), 1.51%, 06/01/24^ | 770,000 | 785,354 | ||
(Variable, ICE LIBOR USD 3M + 0.89%), 3.80%, 07/23/24^ | 1,790,000 | 1,907,696 | ||
3.88%, 09/10/24 | 860,000 | 937,882 | ||
(Variable, ICE LIBOR USD 3M + 1.00%), 4.02%, 12/05/24^ | 1,480,000 | 1,598,114 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ ^ | 875,000 | 907,856 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.22%, 03/01/25^ | 45,000 | 47,819 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25Δ ^ | 685,000 | 713,903 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 475,851 | ||
2.95%, 10/01/26 | 700,000 | 753,996 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.96%, 01/29/27^ | 920,000 | 1,025,287 |
Par | Value | |||
4.25%, 10/01/27 | $ 780,000 | $ 889,796 | ||
3.63%, 12/01/27 | 900,000 | 989,614 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 3.51%, 01/23/29^ | 1,720,000 | 1,897,150 | ||
(Variable, ICE LIBOR USD 3M + 1.26%), 4.20%, 07/23/29^ | 380,000 | 437,032 | ||
(Variable, ICE LIBOR USD 3M + 1.33%), 4.45%, 12/05/29^ | 170,000 | 198,950 | ||
(Variable, U.S. SOFR + 3.79%), 4.49%, 03/24/31^ | 75,000 | 88,900 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 575,000 | 592,180 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 300,000 | 315,478 | ||
4.95%, 06/01/45 | 400,000 | 531,043 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 320,000 | 330,756 | ||
Keysight Technologies, Inc. | ||||
3.00%, 10/30/29 | 475,000 | 502,665 | ||
Kilroy Realty LP REIT | ||||
3.80%, 01/15/23 | 400,000 | 416,486 | ||
4.75%, 12/15/28 | 1,750,000 | 2,034,692 | ||
Kimberly-Clark Corporation | ||||
2.88%, 02/07/50 | 5,000 | 5,163 | ||
Kinder Morgan Energy Partners LP | ||||
3.95%, 09/01/22 | 520,000 | 536,721 | ||
3.50%, 09/01/23 | 2,250,000 | 2,375,038 | ||
4.25%, 09/01/24 | 980,000 | 1,078,073 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 60,000 | 68,529 | ||
5.20%, 03/01/48 | 10,000 | 12,628 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 40,066 | ||
Kraft Heinz Foods Co. | ||||
3.00%, 06/01/26 | 158,000 | 168,342 | ||
4.25%, 03/01/31 | 60,000 | 68,225 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 110,000 | 145,199 | ||
Laboratory Corporation of America Holdings | ||||
3.60%, 02/01/25 | 65,000 | 70,371 | ||
Lear Corporation | ||||
5.25%, 05/15/49Δ | 35,000 | 44,262 | ||
Lehman Escrow Bonds | ||||
0.00%, 01/18/12# | 200,000 | 1,400 | ||
0.00%, 01/24/13# | 2,300,000 | 16,100 | ||
0.00%, 07/19/17Ψ ††† # | 150,000 | — | ||
0.00%, 12/28/17Ψ ††† # | 3,340,000 | — | ||
0.00%, 08/16/21Ψ ††† ρ # | 2,330,000 | — | ||
Level 3 Financing, Inc. | ||||
3.40%, 03/01/27 144A | 1,600,000 | 1,701,200 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27Δ | 900,000 | 1,005,385 | ||
Lincoln National Corporation | ||||
3.05%, 01/15/30 | 20,000 | 21,366 | ||
Lockheed Martin Corporation | ||||
3.10%, 01/15/23 | 40,000 | 41,518 | ||
3.55%, 01/15/26 | 310,000 | 342,785 | ||
4.50%, 05/15/36 | 50,000 | 62,630 |
Par | Value | |||
Louisville Gas and Electric Co. | ||||
4.25%, 04/01/49 | $ 50,000 | $ 61,743 | ||
Lowe's Cos., Inc. | ||||
4.00%, 04/15/25Δ | 60,000 | 66,437 | ||
4.50%, 04/15/30 | 110,000 | 130,284 | ||
1.70%, 10/15/30 | 675,000 | 647,647 | ||
3.00%, 10/15/50 | 150,000 | 148,160 | ||
Marathon Oil Corporation | ||||
3.85%, 06/01/25 | 35,000 | 38,138 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 125,000 | 139,482 | ||
6.50%, 03/01/41 | 45,000 | 62,544 | ||
Marriott International, Inc. | ||||
2.13%, 10/03/22 | 1,500,000 | 1,522,020 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 425,021 | ||
3.20%, 04/01/30 144A | 475,000 | 520,200 | ||
2.38%, 07/16/40 144A | 150,000 | 144,792 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26Δ | 1,100,000 | 1,224,555 | ||
4.38%, 03/15/29 | 500,000 | 586,484 | ||
Martin Marietta Materials, Inc. | ||||
3.20%, 07/15/51 | 1,225,000 | 1,228,090 | ||
Masco Corporation | ||||
1.50%, 02/15/28 | 2,575,000 | 2,516,088 | ||
Mastercard, Inc. | ||||
3.30%, 03/26/27 | 250,000 | 276,712 | ||
3.85%, 03/26/50 | 310,000 | 375,159 | ||
McDonald’s Corporation | ||||
3.30%, 07/01/25 | 170,000 | 184,801 | ||
1.45%, 09/01/25 | 40,000 | 40,824 | ||
3.70%, 01/30/26 | 250,000 | 277,927 | ||
3.50%, 03/01/27 | 360,000 | 397,913 | ||
3.50%, 07/01/27 | 160,000 | 177,473 | ||
3.80%, 04/01/28 | 90,000 | 101,959 | ||
3.60%, 07/01/30 | 160,000 | 180,079 | ||
4.45%, 09/01/48 | 575,000 | 716,806 | ||
3.63%, 09/01/49 | 130,000 | 144,333 | ||
4.20%, 04/01/50 | 1,230,000 | 1,486,824 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 10,000 | 10,983 | ||
4.63%, 03/15/45 | 36,000 | 47,311 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 418,500 | ||
MetLife, Inc. | ||||
6.40%, 12/15/36 | 50,000 | 64,384 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 1,700,000 | 1,886,568 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 675,000 | 703,397 | ||
Micron Technology, Inc. | ||||
2.50%, 04/24/23 | 250,000 | 258,624 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24 | 470,000 | 497,181 | ||
2.70%, 02/12/25 | 120,000 | 128,601 | ||
2.40%, 08/08/26 | 1,540,000 | 1,642,696 | ||
3.30%, 02/06/27 | 800,000 | 890,540 |
Par | Value | |||
3.45%, 08/08/36 | $ 5,000 | $ 5,798 | ||
2.53%, 06/01/50 | 18,000 | 17,726 | ||
2.92%, 03/17/52 | 37,000 | 39,337 | ||
2.68%, 06/01/60 | 22,000 | 21,851 | ||
3.04%, 03/17/62 | 108,000 | 115,486 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 396,078 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 290,000 | 319,653 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25 | 670,000 | 682,433 | ||
Morgan Stanley | ||||
3.70%, 10/23/24 | 1,150,000 | 1,255,140 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 795,000 | 836,613 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 750,000 | 779,079 | ||
3.63%, 01/20/27 | 1,475,000 | 1,636,866 | ||
3.95%, 04/23/27 | 1,375,000 | 1,537,327 | ||
(Variable, ICE LIBOR USD 3M + 1.14%), 3.77%, 01/24/29^ | 265,000 | 297,618 | ||
(Variable, ICE LIBOR USD 3M + 1.63%), 4.43%, 01/23/30^ | 195,000 | 228,498 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 1,895,000 | 1,985,215 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31Δ ^ | 1,000,000 | 1,117,291 | ||
(Variable, U.S. SOFR + 1.03%), 1.79%, 02/13/32^ | 725,000 | 697,248 | ||
(Variable, ICE LIBOR USD 3M + 1.43%), 4.46%, 04/22/39^ | 30,000 | 37,155 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 257,640 | ||
4.88%, 06/01/25 | 100,000 | 112,962 | ||
4.25%, 12/01/27 | 35,000 | 39,698 | ||
4.00%, 03/15/28 | 50,000 | 55,922 | ||
4.80%, 02/15/29 | 250,000 | 293,594 | ||
4.50%, 04/15/38 | 470,000 | 540,006 | ||
4.70%, 04/15/48 | 880,000 | 1,025,010 | ||
5.50%, 02/15/49Δ | 595,000 | 771,872 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29Δ | 435,000 | 466,925 | ||
Mylan, Inc. | ||||
5.40%, 11/29/43 | 60,000 | 74,336 | ||
National Retail Properties, Inc. REIT | ||||
3.90%, 06/15/24Δ | 255,000 | 275,580 | ||
3.60%, 12/15/26 | 250,000 | 273,347 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 408,375 | ||
Nature Conservancy (The) | ||||
0.94%, 07/01/26 | 25,000 | 24,582 | ||
1.30%, 07/01/28 | 25,000 | 24,444 | ||
Navient Corporation | ||||
7.25%, 01/25/22 | 490,000 | 508,841 | ||
NBCUniversal Media LLC | ||||
5.95%, 04/01/41 | 25,000 | 36,080 | ||
NetApp, Inc. | ||||
1.88%, 06/22/25 | 1,700,000 | 1,749,107 |
Par | Value | |||
2.38%, 06/22/27 | $ 45,000 | $ 47,229 | ||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | 200,000 | 200,380 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 132,000 | 138,644 | ||
4.70%, 04/01/26 | 150,000 | 167,456 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.90%, 06/15/28 | 590,000 | 597,285 | ||
2.25%, 06/01/30 | 1,900,000 | 1,916,427 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A | 2,000,000 | 2,284,581 | ||
Nielsen Finance LLC | ||||
5.88%, 10/01/30 144A | 83,000 | 90,551 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25 | 180,000 | 190,502 | ||
2.75%, 03/27/27 | 220,000 | 237,355 | ||
2.85%, 03/27/30 | 230,000 | 250,255 | ||
3.25%, 03/27/40 | 110,000 | 120,952 | ||
3.38%, 03/27/50 | 960,000 | 1,083,482 | ||
NiSource, Inc. | ||||
3.49%, 05/15/27 | 925,000 | 1,018,382 | ||
3.60%, 05/01/30 | 100,000 | 110,861 | ||
3.95%, 03/30/48Δ | 450,000 | 515,821 | ||
Nissan Motor Acceptance Corporation | ||||
(Floating, ICE LIBOR USD 3M + 0.89%), 1.08%, 01/13/22 144A † | 1,900,000 | 1,904,708 | ||
2.75%, 03/09/28 144A | 2,200,000 | 2,222,222 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 935,000 | 997,300 | ||
3.25%, 01/15/28 | 670,000 | 732,534 | ||
5.25%, 05/01/50 | 355,000 | 499,430 | ||
Northwell Healthcare, Inc. | ||||
6.15%, 11/01/43 | 375,000 | 553,436 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 421,102 | ||
3.85%, 09/30/47 144A | 250,000 | 287,390 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 666,295 | ||
3.38%, 02/15/29 144A | 318,000 | 312,279 | ||
3.63%, 02/15/31 144A | 850,000 | 836,357 | ||
Nuveen LLC | ||||
4.00%, 11/01/28 144A | 225,000 | 259,772 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30 | 350,000 | 379,237 | ||
3.50%, 04/01/40 | 540,000 | 613,655 | ||
3.50%, 04/01/50 | 1,120,000 | 1,267,046 | ||
3.70%, 04/01/60 | 460,000 | 544,656 | ||
Occidental Petroleum Corporation | ||||
2.70%, 02/15/23 | 10,000 | 10,246 | ||
6.95%, 07/01/24 | 290,000 | 327,690 | ||
2.90%, 08/15/24 | 1,090,000 | 1,115,887 | ||
5.55%, 03/15/26Δ | 435,000 | 481,908 | ||
3.40%, 04/15/26 | 500,000 | 512,653 | ||
3.20%, 08/15/26 | 260,000 | 262,698 | ||
3.00%, 02/15/27 | 150,000 | 149,087 |
Par | Value | |||
7.88%, 09/15/31 | $ 280,000 | $ 360,637 | ||
6.45%, 09/15/36 | 205,000 | 245,367 | ||
4.63%, 06/15/45 | 130,000 | 127,207 | ||
6.60%, 03/15/46 | 220,000 | 261,967 | ||
4.40%, 04/15/46Δ | 60,000 | 57,705 | ||
4.10%, 02/15/47 | 260,000 | 242,451 | ||
4.20%, 03/15/48 | 80,000 | 74,904 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,716,149 | ||
ONEOK, Inc. | ||||
6.35%, 01/15/31 | 1,600,000 | 2,071,031 | ||
Oracle Corporation | ||||
2.88%, 03/25/31 | 925,000 | 962,839 | ||
3.60%, 04/01/40 | 400,000 | 422,566 | ||
4.00%, 07/15/46 | 375,000 | 407,342 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25 | 130,000 | 135,138 | ||
2.29%, 04/05/27 | 200,000 | 207,352 | ||
2.57%, 02/15/30 | 1,425,000 | 1,476,987 | ||
Pacific Gas and Electric Co. | ||||
1.75%, 06/16/22 | 2,900,000 | 2,898,973 | ||
3.40%, 08/15/24 | 600,000 | 630,150 | ||
3.15%, 01/01/26 | 1,300,000 | 1,341,779 | ||
2.95%, 03/01/26 | 800,000 | 819,385 | ||
2.10%, 08/01/27 | 370,000 | 359,738 | ||
4.55%, 07/01/30Δ | 1,865,000 | 1,996,492 | ||
2.50%, 02/01/31 | 610,000 | 572,601 | ||
3.30%, 08/01/40 | 165,000 | 149,362 | ||
3.50%, 08/01/50 | 345,000 | 307,941 | ||
Pacific Life Global Funding II | ||||
1.20%, 06/24/25 144A | 1,700,000 | 1,706,137 | ||
Parsley Energy LLC | ||||
4.13%, 02/15/28 144A | 30,000 | 31,634 | ||
PayPal Holdings, Inc. | ||||
1.35%, 06/01/23 | 220,000 | 223,974 | ||
1.65%, 06/01/25 | 1,380,000 | 1,417,338 | ||
2.65%, 10/01/26 | 2,775,000 | 2,983,148 | ||
2.30%, 06/01/30Δ | 300,000 | 310,738 | ||
PepsiCo, Inc. | ||||
0.75%, 05/01/23 | 300,000 | 302,684 | ||
2.25%, 03/19/25 | 20,000 | 21,028 | ||
2.63%, 03/19/27Δ | 30,000 | 32,258 | ||
1.63%, 05/01/30 | 250,000 | 246,185 | ||
2.88%, 10/15/49 | 100,000 | 103,541 | ||
3.63%, 03/19/50 | 40,000 | 46,910 | ||
3.88%, 03/19/60Δ | 170,000 | 210,190 | ||
Phillips 66 | ||||
3.70%, 04/06/23 | 400,000 | 422,569 | ||
3.85%, 04/09/25 | 100,000 | 110,126 | ||
1.30%, 02/15/26 | 175,000 | 175,033 | ||
4.65%, 11/15/34 | 60,000 | 72,161 | ||
Phillips 66 Partners LP | ||||
3.61%, 02/15/25 | 65,000 | 70,081 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,638,190 | ||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | 70,000 | 69,344 |
Par | Value | |||
2.15%, 01/15/31 | $ 290,000 | $ 284,575 | ||
Plains All American Pipeline LP | ||||
3.65%, 06/01/22 | 200,000 | 204,167 | ||
3.85%, 10/15/23 | 725,000 | 768,865 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A Δ | 350,000 | 376,140 | ||
Prime Security Services Borrower LLC | ||||
3.38%, 08/31/27 144A | 770,000 | 747,862 | ||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | 90,000 | 90,638 | ||
Procter & Gamble Co. (The) | ||||
2.80%, 03/25/27 | 75,000 | 81,341 | ||
3.00%, 03/25/30 | 130,000 | 143,550 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 499,914 | ||
QUALCOMM, Inc. | ||||
4.80%, 05/20/45 | 10,000 | 13,335 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 322,000 | 334,102 | ||
4.88%, 05/15/25 | 10,000 | 10,363 | ||
Raymond James Financial, Inc. | ||||
4.65%, 04/01/30 | 75,000 | 89,810 | ||
Raytheon Technologies Corporation | ||||
3.15%, 12/15/24 | 120,000 | 128,941 | ||
3.95%, 08/16/25 | 530,000 | 589,686 | ||
3.50%, 03/15/27 | 550,000 | 607,043 | ||
4.13%, 11/16/28 | 665,000 | 765,647 | ||
2.25%, 07/01/30 | 540,000 | 549,190 | ||
5.70%, 04/15/40 | 15,000 | 20,998 | ||
4.50%, 06/01/42 | 90,000 | 112,212 | ||
4.63%, 11/16/48 | 375,000 | 483,413 | ||
Realty Income Corporation REIT | ||||
3.25%, 01/15/31Δ | 1,800,000 | 1,964,031 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 817,001 | ||
Regeneron Pharmaceuticals, Inc. | ||||
1.75%, 09/15/30 | 1,500,000 | 1,423,217 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29 | 65,000 | 72,753 | ||
RELX Capital, Inc. | ||||
3.50%, 03/16/23 | 300,000 | 314,729 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 199,529 | ||
1.75%, 02/15/32Δ | 650,000 | 619,053 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 575,688 | ||
Ross Stores, Inc. | ||||
4.60%, 04/15/25 | 65,000 | 73,405 | ||
Rush Obligated Group | ||||
3.92%, 11/15/29 | 400,000 | 454,202 | ||
Sabine Pass Liquefaction LLC | ||||
6.25%, 03/15/22 | 475,000 | 487,283 | ||
5.63%, 04/15/23 | 400,000 | 429,874 | ||
5.63%, 03/01/25 | 450,000 | 514,692 | ||
5.00%, 03/15/27 | 425,000 | 491,287 | ||
4.20%, 03/15/28 | 300,000 | 338,996 | ||
4.50%, 05/15/30 | 1,600,000 | 1,848,383 |
Par | Value | |||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | $1,500,000 | $1,588,030 | ||
salesforce.com, Inc. | ||||
3.25%, 04/11/23 | 300,000 | 314,812 | ||
Santander Holdings USA, Inc. | ||||
4.50%, 07/17/25 | 60,000 | 66,630 | ||
3.24%, 10/05/26 | 1,100,000 | 1,176,824 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 144A | 598,000 | 577,959 | ||
Schlumberger Holdings Corporation | ||||
4.00%, 12/21/25 144A | 190,000 | 211,011 | ||
3.90%, 05/17/28 144A | 252,000 | 281,745 | ||
4.30%, 05/01/29 144A | 30,000 | 34,328 | ||
Sempra Energy | ||||
3.40%, 02/01/28 | 275,000 | 302,518 | ||
3.80%, 02/01/38 | 30,000 | 33,394 | ||
ServiceNow, Inc. | ||||
1.40%, 09/01/30 | 1,000,000 | 939,392 | ||
Sherwin-Williams Co. (The) | ||||
3.13%, 06/01/24 | 75,000 | 80,142 | ||
3.45%, 06/01/27 | 350,000 | 386,391 | ||
2.95%, 08/15/29 | 475,000 | 509,753 | ||
Simon Property Group LP REIT | ||||
2.45%, 09/13/29 | 1,600,000 | 1,647,526 | ||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26 | 2,200,000 | 2,229,110 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 1,800,000 | 1,962,165 | ||
4.20%, 03/01/29 | 400,000 | 451,743 | ||
4.88%, 03/01/49 | 55,000 | 65,289 | ||
Southern Co. (The) | ||||
3.25%, 07/01/26 | 1,430,000 | 1,552,855 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 325,583 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 2,710,000 | 3,477,418 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 571,733 | ||
Southern Power Co. | ||||
4.95%, 12/15/46Δ | 50,000 | 60,274 | ||
Southwestern Electric Power Co. | ||||
2.75%, 10/01/26 | 65,000 | 69,024 | ||
Spectra Energy Partners LP | ||||
3.50%, 03/15/25 | 65,000 | 70,017 | ||
Spirit AeroSystems, Inc. | ||||
3.95%, 06/15/23 | 1,500,000 | 1,511,250 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 1,025,922 | 1,074,673 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,339,760 | ||
4.00%, 07/15/29 | 750,000 | 833,713 | ||
Sprint Spectrum Co. LLC | ||||
3.36%, 09/20/21 144A | 12,500 | 12,577 | ||
5.15%, 03/20/28 144A | 1,100,000 | 1,267,585 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 692,057 |
Par | Value | |||
2.55%, 11/15/30 | $1,900,000 | $1,970,441 | ||
State Street Corporation | ||||
(Variable, ICE LIBOR USD 3M + 1.03%), 4.14%, 12/03/29^ | 60,000 | 70,238 | ||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31Δ ^ | 240,000 | 262,816 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 146,555 | ||
1.65%, 10/15/27 | 275,000 | 274,710 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 2,110,526 | ||
Sutter Health | ||||
2.29%, 08/15/30 | 215,000 | 217,198 | ||
Sysco Corporation | ||||
6.60%, 04/01/40 | 675,000 | 997,340 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 350,000 | 368,573 | ||
6.50%, 07/15/27 | 355,000 | 385,835 | ||
5.50%, 03/01/30 | 120,000 | 132,122 | ||
4.88%, 02/01/31 144A | 50,000 | 54,193 | ||
4.00%, 01/15/32 144A | 30,000 | 30,900 | ||
Target Corporation | ||||
3.50%, 07/01/24 | 45,000 | 48,838 | ||
TD Ameritrade Holding Corporation | ||||
3.30%, 04/01/27 | 65,000 | 71,350 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 69,855 | ||
4.90%, 09/15/44 144A | 520,000 | 677,605 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A Δ | 1,190,000 | 1,235,714 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 370,000 | 368,425 | ||
Textron, Inc. | ||||
2.45%, 03/15/31 | 1,700,000 | 1,704,627 | ||
Time Warner Cable LLC | ||||
7.30%, 07/01/38 | 880,000 | 1,286,800 | ||
5.88%, 11/15/40 | 330,000 | 428,110 | ||
Time Warner Entertainment Co. LP | ||||
8.38%, 03/15/23 | 975,000 | 1,102,260 | ||
8.38%, 07/15/33 | 390,000 | 591,651 | ||
TJX Cos., Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 42,091 | ||
T-Mobile USA, Inc. | ||||
3.50%, 04/15/25 | 1,495,000 | 1,624,407 | ||
1.50%, 02/15/26 | 400,000 | 404,202 | ||
2.25%, 02/15/26 | 70,000 | 70,613 | ||
3.75%, 04/15/27 | 2,325,000 | 2,574,670 | ||
2.05%, 02/15/28 | 1,260,000 | 1,282,598 | ||
2.63%, 02/15/29 | 320,000 | 316,400 | ||
3.88%, 04/15/30 | 1,835,000 | 2,057,494 | ||
2.55%, 02/15/31 | 1,570,000 | 1,591,980 | ||
2.88%, 02/15/31 | 160,000 | 159,000 | ||
3.50%, 04/15/31 | 260,000 | 269,308 | ||
3.50%, 04/15/31 144A | 190,000 | 196,802 | ||
3.00%, 02/15/41 | 365,000 | 361,412 | ||
Toyota Motor Credit Corporation | ||||
3.00%, 04/01/25 | 55,000 | 59,088 |
Par | Value | |||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | $ 880,000 | $1,118,682 | ||
3.25%, 05/15/30 | 640,000 | 693,526 | ||
TransDigm, Inc. | ||||
6.38%, 06/15/26 | 350,000 | 363,027 | ||
7.50%, 03/15/27 | 300,000 | 319,530 | ||
4.63%, 01/15/29 144A | 130,000 | 130,428 | ||
Tronox, Inc. | ||||
4.63%, 03/15/29 144A | 1,225,000 | 1,238,769 | ||
Truist Bank | ||||
2.25%, 03/11/30 | 475,000 | 482,561 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30Δ | 1,200,000 | 1,298,722 | ||
2.10%, 08/01/32 | 150,000 | 144,224 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 232,933 | ||
2.89%, 04/06/36 144A | 670,000 | 697,130 | ||
3.84%, 03/20/60 | 480,000 | 548,009 | ||
3.75%, 02/05/70 | 80,000 | 88,410 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 651,987 | 659,983 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 651,987 | 667,494 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 2,093,630 | 2,327,428 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A Δ | 20,000 | 20,729 | ||
4.63%, 04/15/29 144A | 250,000 | 259,063 | ||
United Parcel Service, Inc. | ||||
3.90%, 04/01/25 | 65,000 | 71,968 | ||
5.30%, 04/01/50 | 100,000 | 146,647 | ||
UnitedHealth Group, Inc. | ||||
2.88%, 12/15/21 | 180,000 | 182,241 | ||
2.38%, 10/15/22 | 40,000 | 41,079 | ||
3.50%, 06/15/23 | 90,000 | 95,486 | ||
3.75%, 07/15/25 | 230,000 | 255,372 | ||
1.25%, 01/15/26 | 90,000 | 90,933 | ||
2.00%, 05/15/30Δ | 280,000 | 282,504 | ||
2.75%, 05/15/40 | 700,000 | 710,089 | ||
4.25%, 06/15/48 | 160,000 | 198,954 | ||
4.45%, 12/15/48 | 50,000 | 64,007 | ||
3.70%, 08/15/49 | 170,000 | 195,080 | ||
2.90%, 05/15/50 | 250,000 | 252,972 | ||
3.88%, 08/15/59 | 190,000 | 225,867 | ||
3.13%, 05/15/60 | 30,000 | 31,034 | ||
University of Chicago (The) | ||||
5.42%, 10/01/30 | 100,000 | 124,125 | ||
US Bancorp | ||||
1.45%, 05/12/25 | 2,380,000 | 2,435,146 | ||
Utah Acquisition Sub, Inc. | ||||
2.25%, 11/22/24(E) | 1,500,000 | 1,900,778 | ||
3.95%, 06/15/26 | 1,700,000 | 1,873,932 | ||
Valero Energy Corporation | ||||
2.70%, 04/15/23 | 700,000 | 726,031 |
Par | Value | |||
2.85%, 04/15/25 | $ 620,000 | $ 657,846 | ||
6.63%, 06/15/37 | 45,000 | 61,762 | ||
Vanguard Group, Inc. (The) | ||||
3.05%, 08/22/50Ψ ††† | 390,000 | 365,275 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30 | 1,700,000 | 1,779,210 | ||
VEREIT Operating Partnership LP REIT | ||||
4.63%, 11/01/25 | 600,000 | 679,863 | ||
3.95%, 08/15/27 | 150,000 | 169,092 | ||
3.40%, 01/15/28 | 200,000 | 217,741 | ||
2.85%, 12/15/32 | 800,000 | 836,931 | ||
Verizon Communications, Inc. | ||||
3.50%, 11/01/24 | 150,000 | 162,366 | ||
3.38%, 02/15/25 | 3,005,000 | 3,266,686 | ||
0.85%, 11/20/25Δ | 70,000 | 69,271 | ||
1.45%, 03/20/26 | 190,000 | 191,699 | ||
2.63%, 08/15/26 | 1,905,000 | 2,026,024 | ||
3.00%, 03/22/27 | 70,000 | 75,421 | ||
2.10%, 03/22/28 | 405,000 | 413,767 | ||
4.33%, 09/21/28 | 2,018,000 | 2,349,446 | ||
3.88%, 02/08/29 | 360,000 | 411,611 | ||
3.15%, 03/22/30 | 1,465,000 | 1,583,130 | ||
1.75%, 01/20/31 | 250,000 | 239,762 | ||
2.55%, 03/21/31 | 4,360,000 | 4,459,796 | ||
4.50%, 08/10/33 | 430,000 | 514,464 | ||
5.25%, 03/16/37 | 530,000 | 696,754 | ||
2.65%, 11/20/40 | 570,000 | 549,550 | ||
3.85%, 11/01/42 | 40,000 | 45,500 | ||
4.13%, 08/15/46 | 380,000 | 449,515 | ||
4.86%, 08/21/46 | 290,000 | 375,842 | ||
5.50%, 03/16/47 | 40,000 | 56,089 | ||
5.01%, 04/15/49 | 70,000 | 92,616 | ||
4.00%, 03/22/50 | 190,000 | 218,764 | ||
2.88%, 11/20/50 | 1,250,000 | 1,190,409 | ||
2.99%, 10/30/56 | 746,000 | 702,471 | ||
ViacomCBS, Inc. | ||||
6.88%, 04/30/36 | 30,000 | 43,171 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 450,000 | 492,579 | ||
2.05%, 04/15/30 | 270,000 | 277,784 | ||
4.15%, 12/14/35 | 55,000 | 67,729 | ||
2.70%, 04/15/40 | 270,000 | 279,537 | ||
4.30%, 12/14/45 | 460,000 | 591,393 | ||
Vistra Operations Co. LLC | ||||
3.55%, 07/15/24 144A | 1,150,000 | 1,215,005 | ||
VMware, Inc. | ||||
2.95%, 08/21/22 | 1,800,000 | 1,846,988 | ||
4.65%, 05/15/27 | 700,000 | 804,215 | ||
3.90%, 08/21/27 | 500,000 | 556,084 | ||
Volkswagen Group of America Finance LLC | ||||
(Floating, ICE LIBOR USD 3M + 0.86%), 0.99%, 09/24/21 144A † | 1,600,000 | 1,603,017 | ||
3.13%, 05/12/23 144A | 1,600,000 | 1,671,697 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 234,117 |
Par | Value | |||
W.R. Grace & Co-Conn | ||||
4.88%, 06/15/27 144A | $ 730,000 | $ 774,931 | ||
Walmart, Inc. | ||||
3.40%, 06/26/23 | 100,000 | 105,972 | ||
3.55%, 06/26/25 | 70,000 | 77,225 | ||
3.70%, 06/26/28 | 620,000 | 706,227 | ||
4.05%, 06/29/48 | 250,000 | 314,505 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 680,263 | ||
2.20%, 01/13/28 | 1,300,000 | 1,348,470 | ||
2.65%, 01/13/31 | 400,000 | 420,246 | ||
6.65%, 11/15/37 | 150,000 | 226,312 | ||
Waste Management, Inc. | ||||
1.15%, 03/15/28Δ | 250,000 | 242,612 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 824,432 | ||
Wells Fargo & Co. | ||||
3.45%, 02/13/23 | 200,000 | 209,702 | ||
(Floating, ICE LIBOR USD 3M + 1.23%), 1.42%, 10/31/23† | 600,000 | 608,580 | ||
4.48%, 01/16/24 | 396,000 | 433,329 | ||
3.75%, 01/24/24 | 1,325,000 | 1,425,447 | ||
3.55%, 09/29/25 | 2,000,000 | 2,199,131 | ||
(Variable, U.S. SOFR + 1.09%), 2.41%, 10/30/25^ | 60,000 | 62,805 | ||
(Variable, ICE LIBOR USD 3M + 0.75%), 2.16%, 02/11/26^ | 35,000 | 36,349 | ||
3.00%, 04/22/26Δ | 900,000 | 968,293 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26^ | 1,610,000 | 1,672,167 | ||
4.10%, 06/03/26 | 440,000 | 494,576 | ||
3.00%, 10/23/26 | 2,210,000 | 2,385,505 | ||
4.30%, 07/22/27 | 1,780,000 | 2,030,599 | ||
4.15%, 01/24/29 | 645,000 | 743,601 | ||
(Variable, U.S. SOFR + 1.43%), 2.88%, 10/30/30^ | 410,000 | 434,528 | ||
(Variable, U.S. SOFR + 4.03%), 4.48%, 04/04/31Δ ^ | 460,000 | 544,271 | ||
5.38%, 11/02/43 | 190,000 | 253,811 | ||
4.65%, 11/04/44Δ | 70,000 | 86,512 | ||
4.90%, 11/17/45 | 370,000 | 476,032 | ||
4.40%, 06/14/46 | 370,000 | 447,346 | ||
4.75%, 12/07/46 | 260,000 | 329,695 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 3,360,000 | 4,612,083 | ||
Welltower, Inc. REIT | ||||
4.25%, 04/01/26 | 898,000 | 1,014,010 | ||
Western Midstream Operating LP | ||||
(Floating, ICE LIBOR USD 3M + 2.10%), 2.29%, 01/13/23† | 80,000 | 79,619 | ||
4.35%, 02/01/25 | 620,000 | 655,920 | ||
3.95%, 06/01/25 | 100,000 | 104,030 | ||
4.50%, 03/01/28 | 60,000 | 64,278 | ||
5.30%, 02/01/30 | 780,000 | 875,839 | ||
5.45%, 04/01/44 | 75,000 | 81,174 | ||
5.30%, 03/01/48 | 45,000 | 48,110 |
Par | Value | |||
5.50%, 08/15/48 | $ 20,000 | $ 21,852 | ||
6.50%, 02/01/50 | 130,000 | 150,881 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.95%, 09/15/28 | 60,000 | 69,690 | ||
WestRock RKT LLC | ||||
4.00%, 03/01/23 | 30,000 | 31,468 | ||
Weyerhaeuser Co. REIT | ||||
7.38%, 03/15/32 | 50,000 | 72,217 | ||
Williams Cos., Inc. (The) | ||||
3.90%, 01/15/25 | 300,000 | 328,230 | ||
7.50%, 01/15/31 | 100,000 | 138,689 | ||
7.75%, 06/15/31 | 585,000 | 814,141 | ||
8.75%, 03/15/32 | 181,000 | 278,450 | ||
6.30%, 04/15/40 | 45,000 | 61,767 | ||
Willis North America, Inc. | ||||
2.95%, 09/15/29 | 175,000 | 183,914 | ||
WP Carey, Inc. REIT | ||||
4.60%, 04/01/24 | 160,000 | 174,852 | ||
4.00%, 02/01/25 | 105,000 | 114,657 | ||
3.85%, 07/15/29 | 900,000 | 997,584 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 546,015 | ||
4.00%, 03/15/28Δ | 1,100,000 | 1,243,181 | ||
Xerox Holdings Corporation | ||||
5.00%, 08/15/25 144A | 1,240,000 | 1,310,519 | ||
Zimmer Biomet Holdings, Inc. | ||||
3.55%, 04/01/25 | 65,000 | 70,553 | ||
3.05%, 01/15/26 | 1,900,000 | 2,049,049 | ||
3.55%, 03/20/30 | 825,000 | 903,749 | ||
Zoetis, Inc. | ||||
2.00%, 05/15/30 | 1,900,000 | 1,894,241 | ||
Total Corporate Bonds (Cost $612,738,265) | 649,695,224 | |||
FOREIGN BONDS — 11.8% | ||||
Argentina — 0.1% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 93,932 | 35,805 | ||
(Step to 0.50% on 07/09/21), 0.13%, 07/09/30 STEP | 1,614,303 | 582,295 | ||
(Step to 1.13% on 07/09/21), 0.13%, 07/09/35 STEP | 451,796 | 144,128 | ||
(Step to 2.50% on 07/09/21), 0.13%, 07/09/41 STEP | 810,000 | 290,385 | ||
Provincia de Buenos Aires | ||||
6.50%, 02/15/23 144A | 230,000 | 102,352 | ||
7.88%, 06/15/27 144A | 180,000 | 81,452 | ||
1,236,417 | ||||
Australia — 0.1% | ||||
BHP Billiton Finance (USA), Ltd. | ||||
2.88%, 02/24/22 | 20,000 | 20,347 | ||
5.00%, 09/30/43 | 170,000 | 231,749 |
Par | Value | |||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A Δ | $ 110,000 | $ 131,663 | ||
Macquarie Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.70%), 3.05%, 03/03/36 144A ^ | 750,000 | 746,807 | ||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 1.07%), 1.34%, 01/12/27 144A ^ | 500,000 | 496,155 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 175,000 | 188,284 | ||
Westpac Banking Corporation | ||||
2.35%, 02/19/25 | 70,000 | 73,663 | ||
(Variable, USD ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 194,409 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | 275,000 | 302,538 | ||
2,385,615 | ||||
Austria — 0.1% | ||||
Erste Group Bank AG | ||||
(Variable, EUR Swap Rate 5Y + 6.20%), 6.50%, 04/15/24(E) ρ ^ | 400,000 | 533,272 | ||
Suzano Austria GmbH | ||||
3.75%, 01/15/31 | 660,000 | 693,000 | ||
3.13%, 01/15/32 | 320,000 | 317,319 | ||
1,543,591 | ||||
Brazil — 0.2% | ||||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 8,338,000 | 1,736,527 | ||
10.00%, 01/01/27(B) | 1,013,000 | 215,661 | ||
Brazilian Government International Bond | ||||
4.63%, 01/13/28Δ | 480,000 | 519,559 | ||
5.63%, 01/07/41 | 340,000 | 370,814 | ||
5.00%, 01/27/45 | 1,350,000 | 1,369,946 | ||
BRF SA | ||||
4.88%, 01/24/30 | 820,000 | 862,136 | ||
Vale Overseas, Ltd. | ||||
6.25%, 08/10/26 | 105,000 | 126,446 | ||
6.88%, 11/21/36 | 484,000 | 664,029 | ||
5,865,118 | ||||
Canada — 0.5% | ||||
1011778 BC ULC | ||||
4.00%, 10/15/30 144A | 446,000 | 432,063 | ||
Alimentation Couche-Tard, Inc. | ||||
3.55%, 07/26/27 144A | 75,000 | 82,530 | ||
Bank of Montreal | ||||
1.85%, 05/01/25 | 500,000 | 516,152 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 110,369 | ||
Bank of Nova Scotia (The) | ||||
2.20%, 02/03/25 | 70,000 | 73,015 | ||
1.30%, 06/11/25 | 270,000 | 272,903 |
Par | Value | |||
Barrick Gold Corporation | ||||
5.25%, 04/01/42 | $ 560,000 | $ 736,153 | ||
Bausch Health Cos., Inc. | ||||
9.00%, 12/15/25 144A | 600,000 | 644,130 | ||
Bell Telephone Co. of Canada | ||||
4.46%, 04/01/48 | 40,000 | 49,852 | ||
Canadian Imperial Bank of Commerce | ||||
0.95%, 06/23/23 | 270,000 | 272,498 | ||
Enbridge, Inc. | ||||
(Floating, U.S. SOFR + 0.40%), 0.43%, 02/17/23† | 1,800,000 | 1,804,059 | ||
2.50%, 08/01/33 | 850,000 | 852,291 | ||
Ford Credit Canada Co. | ||||
(Floating, CAD Offered Rate 3M + 3.03%), 3.47%, 01/10/22(C) † | 2,400,000 | 1,945,828 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 1,025,000 | 1,054,469 | ||
MEG Energy Corporation | ||||
5.88%, 02/01/29 144A | 50,000 | 52,196 | ||
Royal Bank of Canada | ||||
1.60%, 04/17/23Δ | 430,000 | 439,463 | ||
1.15%, 06/10/25 | 260,000 | 261,527 | ||
Suncor Energy, Inc. | ||||
2.80%, 05/15/23 | 225,000 | 234,113 | ||
3.10%, 05/15/25 | 475,000 | 507,947 | ||
Teck Resources, Ltd. | ||||
3.90%, 07/15/30Δ | 275,000 | 296,713 | ||
6.00%, 08/15/40 | 10,000 | 12,812 | ||
Toronto-Dominion Bank (The) | ||||
0.75%, 06/12/23 | 500,000 | 503,658 | ||
1.15%, 06/12/25 | 260,000 | 262,013 | ||
TransCanada PipeLines, Ltd. | ||||
7.63%, 01/15/39 | 35,000 | 54,344 | ||
11,471,098 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31 | 1,800,000 | 1,836,270 | ||
China — 0.3% | ||||
Avolon Holdings Funding, Ltd. | ||||
3.95%, 07/01/24 144A | 400,000 | 426,820 | ||
2.88%, 02/15/25 144A Δ | 800,000 | 824,216 | ||
2.13%, 02/21/26 144A | 2,500,000 | 2,491,770 | ||
4.25%, 04/15/26 144A | 125,000 | 135,566 | ||
Baidu, Inc. | ||||
3.43%, 04/07/30 | 400,000 | 433,749 | ||
China Government Bond | ||||
3.31%, 11/30/25(Y) | 1,000,000 | 159,468 | ||
Huarong Finance 2019 Co., Ltd. | ||||
3.38%, 02/24/30 | 220,000 | 151,413 | ||
Huarong Finance II Co., Ltd. | ||||
4.88%, 11/22/26 | 200,000 | 141,000 | ||
iQIYI, Inc. | ||||
3.75%, 12/01/23 CONV | 130,000 | 130,520 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,699 | ||
4.50%, 03/15/23 144A | 20,000 | 21,028 |
Par | Value | |||
5.50%, 02/15/24 144A | $ 60,000 | $ 65,994 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 426,228 | ||
Tencent Holdings, Ltd. | ||||
3.68%, 04/22/41 144A | 420,000 | 451,108 | ||
3.84%, 04/22/51 144A | 910,000 | 982,377 | ||
Yuzhou Group Holdings Co., Ltd. | ||||
6.00%, 10/25/23 | 200,000 | 176,017 | ||
7,032,973 | ||||
Colombia — 0.2% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 200,000 | 196,303 | ||
3.13%, 04/15/31 | 460,000 | 450,933 | ||
3.25%, 04/22/32 | 450,000 | 441,882 | ||
4.13%, 02/22/42 | 450,000 | 439,425 | ||
5.63%, 02/26/44 | 1,080,000 | 1,226,664 | ||
4.13%, 05/15/51Δ | 240,000 | 228,202 | ||
3.88%, 02/15/61 | 200,000 | 179,700 | ||
Ecopetrol SA | ||||
5.88%, 05/28/45 | 1,360,000 | 1,458,940 | ||
4,622,049 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
5.00%, 01/12/22 144A | 540,000 | 552,573 | ||
(Variable, ICE LIBOR USD 3M + 1.25%), 3.00%, 09/20/22 144A ^ | 290,000 | 291,438 | ||
5.38%, 01/12/24 144A | 340,000 | 377,200 | ||
1.23%, 06/22/24 144A | 280,000 | 283,035 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 234,299 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,800,000 | 1,803,491 | ||
3,542,036 | ||||
Dominican Republic — 0.0% | ||||
Dominican Republic International Bond | ||||
6.40%, 06/05/49 144A | 170,000 | 183,175 | ||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 9,968 | ||
France — 0.8% | ||||
BNP Paribas SA | ||||
3.50%, 03/01/23 144A | 925,000 | 970,617 | ||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | 219,844 | ||
3.38%, 01/09/25 144A | 450,000 | 483,024 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 450,000 | 491,302 |
Par | Value | |||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | $1,790,000 | $ 1,846,052 | ||
(Variable, U.S. SOFR + 1.00%), 1.32%, 01/13/27 144A ^ | 775,000 | 766,176 | ||
4.40%, 08/14/28 144A | 1,340,000 | 1,546,215 | ||
(Variable, U.S. SOFR + 1.61%), 1.90%, 09/30/28 144A ^ | 1,800,000 | 1,789,705 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 440,000 | 486,750 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 804,715 | ||
4.63%, 09/12/28 144A | 375,000 | 440,412 | ||
(Variable, U.S. SOFR + 1.31%), 2.28%, 01/20/32 144A ^ | 375,000 | 368,349 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 336,209 | ||
4.38%, 03/17/25 | 275,000 | 302,980 | ||
(Variable, U.S. SOFR + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | 2,065,651 | ||
4.13%, 01/10/27 144A | 450,000 | 507,187 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 271,729 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 2,350,000 | 2,451,458 | ||
2.95%, 11/02/26 144A | 310,000 | 332,459 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 1,700,000 | 1,685,769 | ||
XLIT, Ltd. | ||||
4.45%, 03/31/25 | 349,000 | 391,940 | ||
18,558,543 | ||||
Germany — 0.5% | ||||
Commerzbank AG | ||||
(Variable, 6.36% - EUR Swap Rate 5Y), 6.13%, 10/09/25(E) ρ ^ | 400,000 | 524,077 | ||
Deutsche Bank AG | ||||
5.00%, 02/14/22 | 1,400,000 | 1,438,434 | ||
(Variable, U.S. SOFR + 2.16%), 2.22%, 09/18/24^ | 2,100,000 | 2,157,534 | ||
4.10%, 01/13/26 | 65,000 | 71,345 | ||
(Variable, 1.85% - Euribor 3M), 1.38%, 09/03/26(E) ^ | 1,500,000 | 1,844,223 | ||
(Variable, U.S. SOFR + 1.87%), 2.13%, 11/24/26^ | 450,000 | 456,934 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 1,700,000 | 2,132,394 | ||
(Variable, U.S. SOFR + 3.04%), 3.55%, 09/18/31^ | 1,900,000 | 2,024,666 | ||
(Variable, U.S. SOFR + 1.72%), 3.04%, 05/28/32^ | 560,000 | 570,651 |
Par | Value | |||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | $1,500,000 | $ 1,866,092 | ||
13,086,350 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A | 200,000 | 224,987 | ||
Indonesia — 0.2% | ||||
Indonesia Government International Bond | ||||
3.85%, 07/18/27 144A | 500,000 | 558,090 | ||
3.50%, 01/11/28 | 450,000 | 492,301 | ||
5.25%, 01/08/47 144A | 200,000 | 255,039 | ||
4.35%, 01/11/48 | 1,000,000 | 1,138,027 | ||
3.70%, 10/30/49Δ | 1,180,000 | 1,240,865 | ||
3.05%, 03/12/51 | 200,000 | 198,992 | ||
3.35%, 03/12/71Δ | 240,000 | 241,003 | ||
Perusahaan Penerbit SBSN Indonesia III | ||||
2.55%, 06/09/31 144A | 590,000 | 591,623 | ||
4,715,940 | ||||
Ireland — 0.3% | ||||
AerCap Ireland Capital DAC | ||||
4.63%, 07/01/22 | 550,000 | 572,061 | ||
3.30%, 01/23/23 | 525,000 | 544,785 | ||
4.88%, 01/16/24 | 350,000 | 381,246 | ||
3.15%, 02/15/24 | 330,000 | 346,581 | ||
6.50%, 07/15/25 | 290,000 | 340,357 | ||
AIB Group PLC | ||||
4.75%, 10/12/23 144A | 950,000 | 1,032,228 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 2,772,000 | 3,025,969 | ||
4.42%, 11/15/35 | 250,000 | 300,061 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 957,541 | ||
STERIS Irish FinCo Unlimited Co. | ||||
2.70%, 03/15/31 | 625,000 | 637,228 | ||
8,138,057 | ||||
Isle of Man — 0.0% | ||||
Sasol Financing International, Ltd. | ||||
4.50%, 11/14/22 | 370,000 | 380,027 | ||
Israel — 0.4% | ||||
Bank of Israel Bill - Makam | ||||
0.01%, 04/06/22(ZC) Ω | 7,000,000 | 2,157,662 | ||
Israel Government Bond - Fixed | ||||
5.50%, 01/31/22(ZC) | 6,900,000 | 2,184,716 | ||
Israel Government International Bond | ||||
3.25%, 01/17/28 | 1,500,000 | 1,655,423 | ||
2.75%, 07/03/30 | 2,060,000 | 2,201,499 | ||
3.38%, 01/15/50 | 430,000 | 460,349 | ||
8,659,649 | ||||
Italy — 0.3% | ||||
Intesa Sanpaolo SpA | ||||
3.13%, 07/14/22 144A | 580,000 | 595,215 | ||
3.38%, 01/12/23 144A | 220,000 | 229,142 |
Par | Value | |||
5.02%, 06/26/24 144A | $1,310,000 | $ 1,426,066 | ||
3.25%, 09/23/24 144A | 1,400,000 | 1,490,055 | ||
5.71%, 01/15/26 144A | 200,000 | 226,368 | ||
UniCredit SpA | ||||
6.57%, 01/14/22 144A | 530,000 | 546,421 | ||
7.83%, 12/04/23 144A | 3,100,000 | 3,593,706 | ||
8,106,973 | ||||
Japan — 1.1% | ||||
Aircastle, Ltd. | ||||
5.50%, 02/15/22 | 1,300,000 | 1,338,809 | ||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,279,977 | ||
Mitsubishi HC Capital, Inc. | ||||
3.41%, 02/28/22 144A | 1,500,000 | 1,525,493 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.00%, 02/22/22 | 180,000 | 183,215 | ||
1.41%, 07/17/25 | 2,100,000 | 2,120,925 | ||
3.74%, 03/07/29 | 35,000 | 39,506 | ||
4.29%, 07/26/38 | 30,000 | 36,730 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, ICE LIBOR USD 3M + 0.99%), 1.18%, 07/10/24† | 1,700,000 | 1,724,573 | ||
(Variable, ICE LIBOR USD 3M + 0.83%), 2.23%, 05/25/26^ | 1,600,000 | 1,656,941 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 330,000 | 344,330 | ||
3.52%, 09/17/25 144A | 3,210,000 | 3,429,985 | ||
4.35%, 09/17/27 144A Δ | 770,000 | 847,086 | ||
4.81%, 09/17/30 144A | 1,800,000 | 2,034,058 | ||
NTT Finance Corporation | ||||
1.16%, 04/03/26 144A | 2,600,000 | 2,595,331 | ||
Panasonic Corporation | ||||
2.54%, 07/19/22 144A | 1,302,000 | 1,328,025 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
2.06%, 07/14/21 | 260,000 | 260,176 | ||
4.44%, 04/02/24 144A | 1,450,000 | 1,578,864 | ||
2.45%, 09/27/24 | 1,600,000 | 1,679,481 | ||
Takeda Pharmaceutical Co., Ltd. | ||||
2.05%, 03/31/30 | 700,000 | 695,014 | ||
25,698,519 | ||||
Jersey — 0.0% | ||||
Galaxy Pipeline Assets Bidco, Ltd. | ||||
2.63%, 03/31/36 144A | 200,000 | 196,699 | ||
2.94%, 09/30/40 | 940,000 | 935,992 | ||
1,132,691 | ||||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 239,540 | ||
Kuwait — 0.1% | ||||
Kuwait International Government Bond | ||||
3.50%, 03/20/27 144A | 990,000 | 1,105,919 | ||
3.50%, 03/20/27 | 900,000 | 1,005,381 | ||
2,111,300 |
Par | Value | |||
Luxembourg — 0.0% | ||||
ArcelorMittal SA | ||||
7.25%, 10/15/39 | $ 70,000 | $ 98,997 | ||
Mexico — 1.0% | ||||
Banco Actinver SA | ||||
4.80%, 12/18/32 144A | 1,530,000 | 1,170,450 | ||
Mexican Bonos | ||||
10.00%, 12/05/24(M) | 25,130,000 | 1,408,739 | ||
7.75%, 11/13/42(M) | 210,665,200 | 10,873,199 | ||
8.00%, 11/07/47(M) | 78,860,000 | 4,176,619 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 376,709 | ||
5.50%, 07/31/47 | 200,000 | 203,010 | ||
5.50%, 07/31/47 144A | 270,000 | 274,064 | ||
Mexico Government International Bond | ||||
4.50%, 04/22/29 | 200,000 | 226,363 | ||
2.66%, 05/24/31 | 760,000 | 744,336 | ||
4.75%, 04/27/32 | 2,300,000 | 2,639,250 | ||
6.05%, 01/11/40 | 330,000 | 415,039 | ||
3.77%, 05/24/61 | 702,000 | 654,703 | ||
Orbia Advance Corporation SAB de CV | ||||
1.88%, 05/11/26 144A | 550,000 | 557,763 | ||
2.88%, 05/11/31 144A | 520,000 | 523,921 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 200,000 | 218,830 | ||
6.63%, 06/15/35 | 19,000 | 18,373 | ||
5.50%, 06/27/44 | 170,000 | 138,967 | ||
6.38%, 01/23/45 | 370,000 | 318,663 | ||
24,938,998 | ||||
Morocco & Antilles — 0.0% | ||||
OCP SA | ||||
5.13%, 06/23/51 144A | 200,000 | 202,460 | ||
Netherlands — 1.0% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 224,514 | ||
(Variable, 4.67% - EUR Swap Rate 5Y), 4.38%, 09/22/25(E) ρ ^ | 400,000 | 513,994 | ||
Cooperatieve Rabobank UA | ||||
4.63%, 12/01/23 | 400,000 | 437,511 | ||
4.38%, 08/04/25 | 670,000 | 748,658 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 810,000 | 813,907 | ||
Enel Finance International NV | ||||
4.25%, 09/14/23 144A | 2,300,000 | 2,479,766 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 520,000 | 578,855 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,826,723 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 1,003,254 |
Par | Value | |||
JAB Holdings BV | ||||
2.20%, 11/23/30 144A | $ 550,000 | $ 535,094 | ||
Lukoil Securities BV | ||||
3.88%, 05/06/30 144A | 210,000 | 222,266 | ||
3.88%, 05/06/30 | 1,240,000 | 1,312,428 | ||
Lundin Energy Finance BV | ||||
2.00%, 07/15/26 144A | 650,000 | 651,805 | ||
NXP BV | ||||
3.88%, 09/01/22 144A | 950,000 | 985,383 | ||
2.70%, 05/01/25 144A | 1,870,000 | 1,973,962 | ||
3.88%, 06/18/26 144A | 1,500,000 | 1,662,892 | ||
3.40%, 05/01/30 144A | 250,000 | 273,256 | ||
2.50%, 05/11/31 144A | 900,000 | 910,840 | ||
Petrobras Global Finance BV | ||||
5.30%, 01/27/25 | 356,000 | 401,390 | ||
7.38%, 01/17/27 | 120,000 | 148,053 | ||
6.00%, 01/27/28 | 990,000 | 1,138,535 | ||
6.85%, 06/05/15π | 550,000 | 629,393 | ||
Prosus NV | ||||
4.85%, 07/06/27 144A | 420,000 | 479,321 | ||
3.68%, 01/21/30 144A | 200,000 | 213,911 | ||
4.03%, 08/03/50 144A | 220,000 | 212,394 | ||
4.03%, 08/03/50 | 200,000 | 193,085 | ||
3.83%, 02/08/51 144A | 420,000 | 392,396 | ||
Shell International Finance BV | ||||
3.25%, 05/11/25 | 35,000 | 38,004 | ||
2.88%, 05/10/26 | 660,000 | 713,468 | ||
2.75%, 04/06/30Δ | 1,600,000 | 1,706,894 | ||
4.55%, 08/12/43 | 120,000 | 149,784 | ||
4.38%, 05/11/45 | 660,000 | 810,616 | ||
4.00%, 05/10/46 | 190,000 | 222,859 | ||
3.25%, 04/06/50 | 310,000 | 330,304 | ||
Syngenta Finance NV | ||||
5.18%, 04/24/28 144A | 200,000 | 228,749 | ||
25,164,264 | ||||
Nigeria — 0.0% | ||||
Nigeria Government International Bond | ||||
8.75%, 01/21/31 | 210,000 | 239,068 | ||
7.88%, 02/16/32 | 320,000 | 345,621 | ||
584,689 | ||||
Norway — 0.1% | ||||
Yara International ASA | ||||
4.75%, 06/01/28 144A | 1,100,000 | 1,297,443 | ||
Panama — 0.1% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32 | 590,000 | 567,019 | ||
4.50%, 04/16/50 | 250,000 | 284,538 | ||
4.50%, 04/01/56 | 280,000 | 317,517 | ||
1,169,074 |
Par | Value | |||
Peru — 0.2% | ||||
Peruvian Government International Bond | ||||
8.20%, 08/12/26 | $ 7,000,000 | $ 2,262,961 | ||
6.35%, 08/12/28(ZB) | 6,100,000 | 1,775,807 | ||
2.78%, 01/23/31 | 1,130,000 | 1,154,024 | ||
5.63%, 11/18/50Δ | 330,000 | 455,199 | ||
2.78%, 12/01/60 | 10,000 | 8,945 | ||
3.23%, 07/28/21~ Δ | 50,000 | 44,053 | ||
5,700,989 | ||||
Poland — 0.1% | ||||
Republic of Poland Government International Bond | ||||
4.00%, 01/22/24 | 1,380,000 | 1,503,071 | ||
Qatar — 0.3% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 601,451 | ||
3.38%, 03/14/24 | 1,700,000 | 1,825,834 | ||
4.00%, 03/14/29 144A | 460,000 | 530,339 | ||
5.10%, 04/23/48 | 1,000,000 | 1,330,082 | ||
4.82%, 03/14/49 144A | 1,920,000 | 2,476,952 | ||
Qatar Petroleum | ||||
2.25%, 07/12/31 144A | 680,000 | 672,771 | ||
3.13%, 07/12/41 144A | 430,000 | 428,413 | ||
3.30%, 07/12/51 144A | 440,000 | 440,000 | ||
8,305,842 | ||||
Romania — 0.1% | ||||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) 144A | 510,000 | 700,481 | ||
3.00%, 02/14/31 144A | 130,000 | 134,978 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 84,082 | ||
3.38%, 01/28/50(E) 144A | 60,000 | 76,059 | ||
3.38%, 01/28/50(E) | 70,000 | 88,735 | ||
4.00%, 02/14/51 144A | 280,000 | 294,613 | ||
1,378,948 | ||||
Russia — 0.5% | ||||
Gazprom PJSC Via Gaz Capital SA | ||||
5.15%, 02/11/26 144A | 340,000 | 383,260 | ||
7.29%, 08/16/37 | 100,000 | 139,621 | ||
Russian Federal Bond - OFZ | ||||
7.00%, 01/25/23(Q) | 34,070,000 | 468,431 | ||
7.00%, 08/16/23(Q) | 52,440,000 | 721,309 | ||
7.75%, 09/16/26(Q) | 9,710,000 | 137,925 | ||
8.15%, 02/03/27(Q) | 87,410,000 | 1,264,042 | ||
7.05%, 01/19/28(Q) | 110,471,000 | 1,521,818 | ||
6.90%, 05/23/29(Q) | 355,837,000 | 4,848,094 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 673,670 | ||
7.70%, 03/16/39(Q) | 135,260,000 | 1,957,954 | ||
12,116,124 | ||||
Saudi Arabia — 0.1% | ||||
Saudi Arabian Oil Co. | ||||
2.75%, 04/16/22 144A | 1,800,000 | 1,833,714 |
Par | Value | |||
South Africa — 0.0% | ||||
Republic of South Africa Government International Bond | ||||
4.30%, 10/12/28 | $ 280,000 | $ 289,814 | ||
South Korea — 0.0% | ||||
Export-Import Bank of Korea | ||||
5.00%, 04/11/22 | 900,000 | 932,252 | ||
Spain — 0.3% | ||||
Banco Santander SA | ||||
(Floating, ICE LIBOR USD 3M + 1.12%), 1.31%, 04/12/23† | 200,000 | 202,787 | ||
3.85%, 04/12/23 | 400,000 | 423,440 | ||
2.75%, 05/28/25 | 4,500,000 | 4,744,179 | ||
3.31%, 06/27/29 | 400,000 | 435,872 | ||
2.75%, 12/03/30 | 200,000 | 198,303 | ||
Telefonica Emisiones SA | ||||
4.57%, 04/27/23 | 500,000 | 535,933 | ||
5.21%, 03/08/47 | 400,000 | 500,329 | ||
7,040,843 | ||||
Supranational — 0.0% | ||||
African Export-Import Bank (The) | ||||
2.63%, 05/17/26 144A Δ | 280,000 | 284,103 | ||
3.80%, 05/17/31 144A | 250,000 | 257,090 | ||
541,193 | ||||
Sweden — 0.0% | ||||
Swedbank AB | ||||
1.30%, 06/02/23 144A | 330,000 | 335,116 | ||
Switzerland — 0.7% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 249,086 | ||
2.95%, 04/09/25 | 665,000 | 712,493 | ||
Credit Suisse Group AG | ||||
(Variable, ICE LIBOR USD 3M + 1.24%), 4.21%, 06/12/24 144A ^ | 2,100,000 | 2,237,499 | ||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | 250,000 | 260,239 | ||
(Variable, USD ICE Swap Rate 5Y + 4.33%), 7.25%, 09/12/25 144A ρ ^ | 400,000 | 452,478 | ||
4.55%, 04/17/26 | 1,140,000 | 1,291,878 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 624,912 | ||
4.28%, 01/09/28 144A | 1,800,000 | 2,003,707 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 468,419 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 955,000 | 1,074,211 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 755,000 | 779,494 | ||
Credit Suisse Group Funding Guernsey, Ltd. | ||||
3.80%, 09/15/22 | 1,300,000 | 1,353,101 |
Par | Value | |||
UBS AG | ||||
1.75%, 04/21/22 144A | $ 470,000 | $ 475,312 | ||
UBS Group AG | ||||
3.49%, 05/23/23 144A | 2,480,000 | 2,547,756 | ||
(Variable, ICE LIBOR USD 3M + 0.95%), 2.86%, 08/15/23 144A ^ | 200,000 | 205,285 | ||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 840,000 | 925,634 | ||
4.13%, 09/24/25 144A | 440,000 | 491,226 | ||
4.25%, 03/23/28 144A | 760,000 | 860,887 | ||
17,013,617 | ||||
Taiwan — 0.0% | ||||
TSMC Global, Ltd. | ||||
2.25%, 04/23/31 144A | 200,000 | 201,527 | ||
Turkey — 0.1% | ||||
Turkey Government International Bond | ||||
5.25%, 03/13/30 | 200,000 | 190,388 | ||
5.95%, 01/15/31 | 200,000 | 196,539 | ||
5.88%, 06/26/31 | 200,000 | 194,800 | ||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 1,018,135 | 955,450 | ||
Turkiye Vakiflar Bankasi TAO | ||||
8.13%, 03/28/24 | 200,000 | 217,768 | ||
6.50%, 01/08/26 144A | 200,000 | 205,409 | ||
1,960,354 | ||||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Government International Bond | ||||
2.50%, 10/11/22 144A | 810,000 | 833,069 | ||
3.13%, 10/11/27 144A | 500,000 | 549,705 | ||
3.13%, 04/16/30 144A | 1,500,000 | 1,633,372 | ||
3.88%, 04/16/50 144A | 2,300,000 | 2,655,872 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 620,000 | 777,297 | ||
6,449,315 | ||||
United Kingdom — 1.5% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 755,106 | ||
4.00%, 09/11/27 144A | 220,000 | 244,182 | ||
AstraZeneca PLC | ||||
6.45%, 09/15/37 | 45,000 | 67,353 | ||
Barclays Bank PLC | ||||
1.70%, 05/12/22 | 200,000 | 202,319 | ||
7.63%, 11/21/22 | 415,000 | 452,785 | ||
Barclays PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.40%), 4.61%, 02/15/23^ | 950,000 | 974,426 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 800,000 | 845,626 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29^ | 1,760,000 | 2,062,649 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | $1,450,000 | $1,692,317 | ||
BP Capital Markets PLC | ||||
3.81%, 02/10/24 | 330,000 | 357,133 | ||
3.54%, 11/04/24 | 60,000 | 65,397 | ||
3.51%, 03/17/25 | 330,000 | 361,258 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 25,000 | 38,759 | ||
CK Hutchison International 21, Ltd. | ||||
2.50%, 04/15/31 144A | 200,000 | 204,281 | ||
Gazprom PJSC via Gaz Finance PLC | ||||
3.25%, 02/25/30 144A | 470,000 | 469,018 | ||
GlaxoSmithKline Capital PLC | ||||
2.85%, 05/08/22 | 20,000 | 20,451 | ||
5.25%, 12/19/33(U) | 100,000 | 194,779 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 145,887 | ||
HSBC Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.26%, 03/13/23^ | 300,000 | 306,096 | ||
(Floating, ICE LIBOR USD 3M + 1.00%), 1.16%, 05/18/24† | 300,000 | 304,056 | ||
(Variable, ICE LIBOR USD 3M + 1.21%), 3.80%, 03/11/25^ | 625,000 | 672,343 | ||
4.25%, 08/18/25 | 220,000 | 243,851 | ||
(Variable, U.S. SOFR + 1.54%), 1.65%, 04/18/26^ | 1,050,000 | 1,064,592 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 380,507 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.04%, 03/13/28^ | 300,000 | 332,910 | ||
(Variable, ICE LIBOR USD 3M + 1.53%), 4.58%, 06/19/29^ | 310,000 | 358,526 | ||
4.95%, 03/31/30 | 400,000 | 483,217 | ||
6.50%, 09/15/37 | 120,000 | 167,199 | ||
Lloyds Bank PLC | ||||
(Step to 0.00% on 04/02/22), 7.50%, 04/02/32 STEP | 2,000,000 | 1,578,689 | ||
Lloyds Banking Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.25%), 2.86%, 03/17/23^ | 1,900,000 | 1,932,676 | ||
3.90%, 03/12/24 | 210,000 | 227,771 | ||
4.38%, 03/22/28 | 800,000 | 919,792 | ||
4.55%, 08/16/28 | 230,000 | 268,448 | ||
Nationwide Building Society | ||||
(Variable, ICE LIBOR USD 3M + 1.06%), 3.77%, 03/08/24 144A ^ | 2,000,000 | 2,101,133 | ||
(Variable, ICE LIBOR USD 3M + 1.39%), 4.36%, 08/01/24 144A ^ | 1,300,000 | 1,395,342 | ||
(Variable, ICE LIBOR USD 3M + 1.86%), 3.96%, 07/18/30 144A ^ | 375,000 | 421,317 | ||
Natwest Group PLC | ||||
2.50%, 03/22/23(E) | 1,400,000 | 1,735,003 | ||
(Floating, ICE LIBOR USD 3M + 1.47%), 1.63%, 05/15/23† | 1,300,000 | 1,313,911 |
Par | Value | |||
(Variable, ICE LIBOR USD 3M + 1.48%), 3.50%, 05/15/23^ | $ 429,000 | $ 440,221 | ||
3.88%, 09/12/23 | 579,000 | 618,688 | ||
(Variable, ICE LIBOR USD 3M + 1.55%), 4.52%, 06/25/24^ | 2,205,000 | 2,368,358 | ||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,318,603 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 212,750 | ||
Reckitt Benckiser Treasury Services PLC | ||||
2.75%, 06/26/24 144A | 600,000 | 633,913 | ||
Royalty Pharma PLC | ||||
1.20%, 09/02/25 144A | 1,700,000 | 1,686,011 | ||
Severn Trent Utilities Finance PLC | ||||
6.25%, 06/07/29(U) | 100,000 | 187,979 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 153,418 | ||
Standard Chartered PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.15%), 4.25%, 01/20/23 144A ^ | 1,000,000 | 1,020,458 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.78%), 0.99%, 01/12/25 144A ^ | 1,900,000 | 1,896,017 | ||
Vedanta Resources Finance II PLC | ||||
8.95%, 03/11/25 144A | 200,000 | 196,739 | ||
Vodafone Group PLC | ||||
4.38%, 05/30/28 | 340,000 | 395,831 | ||
6.15%, 02/27/37 | 10,000 | 13,855 | ||
5.00%, 05/30/38 | 10,000 | 12,623 | ||
36,516,569 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31 | 410,000 | 478,064 | ||
Total Foreign Bonds (Cost $280,155,285) | 286,834,163 | |||
LOAN AGREEMENTS — 0.4% | ||||
1011778 B.C. Unlimited Liability Co. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 11/19/26† | 118,200 | 116,778 | ||
AECOM Incremental Term B Facility | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 04/13/28† | 90,000 | 90,085 | ||
Allied Universal Holdco LLC Initial U.S. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 05/12/28† | 197,472 | 198,269 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 10/01/26† | 218,500 | 218,501 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 11/03/24† | 263,832 | 261,359 |
Par | Value | |||
Asurion LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 07/31/27† | $239,400 | $236,956 | ||
athenahealth, Inc. Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.25%), 4.41%, 02/11/26† | 81,608 | 81,940 | ||
Atlantic Aviation FBO, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.86%, 12/06/25† | 87,750 | 87,827 | ||
Avolon TLB Borrower 1 LLC Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 12/01/27† | 179,100 | 179,275 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 08/01/25† | 139,300 | 138,129 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 04/30/25† | 153,093 | 152,988 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 02/01/27† | 129,015 | 128,182 | ||
Clarios Global LP Amendment No. 1 Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 04/30/26† | 653,997 | 649,298 | ||
CSC Holdings LLC October 2018 Incremental Term Loan | ||||
0.00%, 01/15/26† Σ | 129,668 | 128,104 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 4.10%, 10/16/26† | 434,500 | 435,586 | ||
Dell International LLC Refinancing Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%, 0.25% Floor), 2.00%, 09/19/25† | 6,684 | 6,690 | ||
Delta Topco, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.75% Floor), 4.50%, 12/01/27† | 500,000 | 501,772 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 12/22/27† | 139,300 | 139,196 | ||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.85%, 02/18/27† | 405,469 | 402,505 | ||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 07/03/24† | 86,067 | 85,327 |
Par | Value | |||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 11/30/23† | $ 98,840 | $ 98,641 | ||
Froneri International, Ltd. Facility B2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.35%, 01/29/27† | 267,300 | 263,675 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.15%, 12/30/26† | 59,250 | 58,917 | ||
Global Medical Response, Inc. 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%, 1.00% Floor), 5.75%, 10/02/25† | 602,911 | 606,302 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.84%, 06/22/26† | 68,355 | 67,879 | ||
Hudson River Trading LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 03/20/28† | 329,175 | 328,558 | ||
iHeartCommunications, Inc. New Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 05/01/26† | 186,007 | 184,651 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 01/29/26† | 160,000 | 159,800 | ||
Jane Street Group LLC Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.85%, 01/26/28† | 44,278 | 44,127 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 03/01/27† | 227,945 | 224,704 | ||
LifePoint Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.85%, 11/16/25† | 137,463 | 137,305 | ||
MPH Acquisition Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 1.00% Floor), 3.75%, 06/07/23† | 23,829 | 23,790 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.59%, 09/18/26† | 427,600 | 427,153 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.85%, 08/06/26† | 265,950 | 266,449 | ||
PPD, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 01/13/28† | 698,250 | 698,306 |
Par | Value | |||
Rackspace Technology Global, Inc. 2021 Term B Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 3.50%, 02/15/28† | $ 179,550 | $ 178,799 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 02/04/27† | 19,984 | 19,856 | ||
TransDigm, Inc. Tranche F Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%), 2.35%, 12/09/25† | 39,798 | 39,256 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.00%, 0.75% Floor), 3.75%, 04/29/26† | 350,118 | 350,118 | ||
Univision Communications, Inc. 2020 Replacement First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 4.75%, 03/15/26† | 109,973 | 110,350 | ||
Verscend Holding Corporation Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.00%), 4.10%, 08/27/25† | 208,929 | 209,750 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.09%, 03/01/26† | 268,130 | 267,398 | ||
Western Digital Corporation U.S. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.84%, 04/29/23† | 148,771 | 148,943 | ||
Total Loan Agreements (Cost $9,149,364) | 9,153,494 | |||
MORTGAGE-BACKED SECURITIES — 24.3% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 0.95%, 09/15/34 144A † | 1,200,000 | 1,201,332 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, ICE LIBOR GBP 3M + 0.17%), 0.25%, 03/17/39(U) † | 587,554 | 786,204 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 0.47%, 09/25/46† | 237,949 | 230,841 | ||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | ||||
(Floating, ICE LIBOR USD 6M + 1.50%, 1.50% Floor, 11.00% Cap), 1.67%, 09/25/45† | 97,012 | 97,405 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,382,260 |
Par | Value | |||
AREIT Trust, Series 2020-CRE4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.62%, 2.62% Floor), 2.74%, 04/15/37 144A † | $ 875,612 | $ 896,677 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
2.85%, 05/25/35† γ | 281,317 | 285,103 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
2.48%, 07/25/34† γ | 28,905 | 29,534 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.94%, 11/15/54† IO γ | 9,787,909 | 408,071 | ||
BANK, Series 2018-BNK10, Class D | ||||
2.60%, 02/15/61 144A | 200,000 | 180,698 | ||
BANK, Series 2018-BNK14, Class D | ||||
3.00%, 09/15/60 144A | 250,000 | 225,590 | ||
BANK, Series 2019-BNK19, Class D | ||||
3.00%, 08/15/61 144A | 100,000 | 94,773 | ||
BANK, Series 2021-BN32, Class A5 | ||||
2.64%, 04/15/54 | 1,200,000 | 1,265,298 | ||
BANK, Series 2021-BN32, Class C | ||||
3.37%, 04/15/54 | 300,000 | 313,719 | ||
BANK, Series 2021-BN34, Class A5 | ||||
2.44%, 06/15/63 | 1,500,000 | 1,553,992 | ||
Barclays Commercial Mortgage Trust, Series 2019-C4, Class D | ||||
3.25%, 08/15/52 144A | 250,000 | 236,680 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,743,994 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.71%, 08/10/33 144A † γ | 390,000 | 390,028 | ||
BBCMS Mortgage Trust, Series 2017-C1, Class D | ||||
3.66%, 02/15/50 144A † γ | 200,000 | 189,032 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 1,979,215 | ||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | 1,800,000 | 1,912,569 | ||
BBCMS Mortgage Trust, Series 2021-C9, Class A5 | ||||
2.30%, 02/15/54 | 600,000 | 615,772 | ||
BBCMS Mortgage Trust, Series 2021-C9, Class C | ||||
3.19%, 02/15/54 | 300,000 | 309,520 | ||
BCAP LLC, Series 2014-RR2, Class 7A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.20%, 0.20% Floor), 0.29%, 01/26/38 144A † | 142,247 | 141,586 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
2.62%, 05/25/35† γ | 95,949 | 98,449 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
2.51%, 02/25/33† γ | 4,387 | 4,544 |
Par | Value | |||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
3.23%, 01/26/36† γ | $ 293,812 | $ 240,663 | ||
Bellemeade Re, Ltd., Series 2021-2A, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%, 1.50% Floor), 1.51%, 06/25/31 144A † | 310,000 | 310,882 | ||
Benchmark Mortgage Trust, Series 2019-B9, Class A5 | ||||
4.02%, 03/15/52 | 1,800,000 | 2,066,008 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 2.07%, 10/15/36 144A † | 1,330,740 | 1,333,694 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class E | ||||
2.50%, 11/15/52 144A | 550,000 | 473,134 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
2.58%, 02/19/34† γ | 158,012 | 163,668 | ||
CHL Mortgage Pass-Through Trust, Series 2004-HYB5, Class 2A1 | ||||
2.92%, 04/20/35† γ | 73,628 | 74,238 | ||
CHT Mortgage Trust, Series 2017-CSMO, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.93%, 0.93% Floor), 1.00%, 11/15/36 144A † | 310,000 | 310,649 | ||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B | ||||
4.18%, 07/10/47 | 370,000 | 396,815 | ||
Citigroup Commercial Mortgage Trust, Series 2017-P7, Class D | ||||
3.25%, 04/14/50 144A | 150,000 | 132,780 | ||
Citigroup Commercial Mortgage Trust, Series 2019-C7, Class E | ||||
2.75%, 12/15/72 144A | 330,000 | 295,501 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,554,414 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 0.97%, 11/15/37 144A † | 648,774 | 653,102 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 52,683 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 42,344 | ||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.24%, 10/10/46† γ | 20,000 | 20,059 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 390,000 | 400,176 |
Par | Value | |||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.73%, 08/10/49 144A † γ | $ 160,000 | $ 170,711 | ||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | 2,400,000 | 2,594,797 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.45%, 02/10/48† γ | 80,000 | 83,034 | ||
COMM Mortgage Trust, Series 2017-COR2, Class C | ||||
4.71%, 09/10/50† γ | 500,000 | 546,955 | ||
COMM Mortgage Trust, Series 2019-GC44, Class D | ||||
2.50%, 08/15/57 144A | 450,000 | 402,188 | ||
COMM Mortgage Trust, Series 2020-CX, Class B | ||||
2.45%, 11/10/46 144A | 1,060,000 | 1,078,998 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 2.49%, 04/25/31 144A † | 197,309 | 198,545 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%, 2.30% Floor), 2.39%, 08/25/31 144A † | 223,542 | 225,245 | ||
CRSNT Trust, Series 2021-MOON, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 0.90%, 04/15/36 144A † | 2,500,000 | 2,511,454 | ||
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class D | ||||
5.05%, 11/15/51 144A † γ | 300,000 | 315,277 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 | ||||
2.80%, 03/15/54 | 800,000 | 848,497 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class C | ||||
3.85%, 03/15/54† γ | 300,000 | 321,770 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.31%, 06/25/50 144A † γ | 2,123,618 | 1,812,774 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 1,585,266 | 1,625,914 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 547,045 | ||
CSMC, Series 2020-FACT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 3.71%, 3.71% Floor), 3.78%, 10/15/37 144A † | 670,000 | 680,587 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 2,000,000 | 2,067,150 | ||
CSMC, Series 2020-NET, Class B | ||||
2.82%, 08/15/37 144A | 650,000 | 676,595 | ||
CSWF, Series 2021-SOP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 1.04%, 06/15/34 144A † | 2,300,000 | 2,296,157 |
Par | Value | |||
DBJPM Mortgage Trust, Series 2016-C1, Class D | ||||
3.48%, 05/10/49 144A † γ | $ 500,000 | $ 388,747 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series, Series 2006-AR1, Class 3A1 | ||||
3.14%, 02/25/36† γ | 582,869 | 504,404 | ||
DOLP Trust, Series 2021-NYC, Class A | ||||
2.96%, 05/10/41 144A | 3,400,000 | 3,635,306 | ||
Eurohome UK Mortgages PLC, Series 2007-1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.15%), 0.23%, 06/15/44(U) † | 1,416,450 | 1,921,396 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 1.16%, 07/15/38 144A † | 7,450,000 | 7,480,430 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.34%, 07/25/30† | 143,272 | 145,407 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%, 2.15% Floor), 2.24%, 10/25/30† | 138,101 | 139,931 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 265 | 283 | ||
5.50%, 02/01/27 | 13,396 | 14,928 | ||
4.50%, 10/01/29 | 1,112 | 1,208 | ||
7.50%, 11/01/29 | 2,072 | 2,423 | ||
7.50%, 12/01/29 | 2,287 | 2,690 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 2.61%, 07/01/31† | 2,414 | 2,417 | ||
7.50%, 11/01/31 | 6,915 | 6,944 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.60% Cap), 2.23%, 04/01/32† | 601 | 603 | ||
3.00%, 10/01/32 | 75,148 | 79,397 | ||
3.50%, 04/01/33 | 242,889 | 261,922 | ||
3.50%, 08/01/33 | 384,681 | 406,277 | ||
5.00%, 08/01/33 | 2,627 | 2,996 | ||
5.00%, 09/01/33 | 442 | 505 | ||
5.00%, 10/01/33 | 1,433 | 1,640 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.23% Cap), 2.49%, 03/01/34† | 618 | 624 | ||
5.00%, 12/01/34 | 39,288 | 44,888 | ||
5.50%, 05/01/35 | 164,171 | 185,716 | ||
5.00%, 07/01/35 | 2,126 | 2,437 | ||
5.00%, 11/01/35 | 70,381 | 80,714 | ||
5.50%, 11/01/35 | 17,885 | 20,747 | ||
5.00%, 12/01/35 | 6,210 | 7,000 |
Par | Value | |||
6.00%, 02/01/36 | $ 177,884 | $ 199,813 | ||
5.00%, 02/01/37 | 5,647 | 6,476 | ||
5.50%, 07/01/37 | 16,167 | 18,816 | ||
3.50%, 01/01/38 | 349,000 | 375,768 | ||
3.00%, 02/01/38 | 107,375 | 111,992 | ||
3.00%, 04/01/38 | 69,686 | 72,678 | ||
5.50%, 04/01/38 | 3,899 | 4,541 | ||
7.00%, 03/01/39 | 9,872 | 11,562 | ||
6.50%, 09/01/39 | 18,730 | 21,565 | ||
4.00%, 02/01/41 | 24,404 | 26,640 | ||
2.50%, 04/01/41 | 98,965 | 103,298 | ||
5.00%, 06/01/41 | 1,588 | 1,816 | ||
3.50%, 10/01/42 | 71,269 | 77,031 | ||
4.00%, 10/01/42 | 25,546 | 27,966 | ||
3.50%, 11/01/42 | 154,438 | 166,878 | ||
3.50%, 12/01/42 | 14,060 | 15,088 | ||
3.50%, 01/01/43 | 32,055 | 34,652 | ||
3.50%, 02/01/43 | 139,092 | 150,002 | ||
3.50%, 03/01/43 | 10,710 | 11,558 | ||
4.00%, 04/01/43 | 76,595 | 84,377 | ||
3.50%, 05/01/43 | 240,757 | 261,560 | ||
4.00%, 05/01/43 | 29,899 | 32,922 | ||
4.00%, 06/01/43 | 39,564 | 44,152 | ||
4.00%, 07/01/43 | 135,156 | 150,715 | ||
4.00%, 08/01/43 | 67,832 | 74,727 | ||
4.50%, 12/01/43 | 480,879 | 533,478 | ||
3.50%, 02/01/44 | 36,163 | 39,086 | ||
4.50%, 02/01/44 | 397,004 | 440,243 | ||
4.50%, 03/01/44 | 102,317 | 112,761 | ||
3.50%, 03/01/45 | 363,639 | 393,039 | ||
4.00%, 12/01/45 | 205,646 | 223,262 | ||
3.50%, 06/01/46 | 39,804 | 43,028 | ||
4.00%, 09/01/46 | 219,428 | 233,797 | ||
3.00%, 01/01/47 | 78,484 | 83,015 | ||
4.50%, 01/01/47 | 51,664 | 55,598 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.28%, 1.28% Floor, 7.20% Cap), 2.08%, 03/01/47† | 581,405 | 602,995 | ||
3.50%, 04/01/47 | 5,634,290 | 6,082,051 | ||
3.50%, 06/01/47 | 37,165 | 39,803 | ||
4.00%, 07/01/47 | 294,190 | 316,367 | ||
5.00%, 07/01/47 | 183,899 | 203,563 | ||
4.00%, 08/01/47 | 69,495 | 74,566 | ||
3.00%, 09/01/47 | 769,009 | 822,228 | ||
3.50%, 09/01/47 | 449,942 | 474,818 | ||
3.50%, 03/01/48 | 75,955 | 80,305 | ||
4.00%, 03/01/48 | 384,561 | 418,354 | ||
3.50%, 06/01/48 | 234,376 | 251,174 | ||
4.00%, 06/01/48 | 1,793,116 | 1,954,743 | ||
4.50%, 08/01/48 | 886,887 | 971,219 | ||
5.00%, 08/01/48 | 163,532 | 179,666 | ||
3.00%, 09/01/48 | 116,539 | 124,164 | ||
5.00%, 11/01/48 | 95,967 | 105,139 | ||
4.00%, 04/01/49 | 263,422 | 286,143 | ||
3.00%, 07/01/49 | 206,213 | 217,487 |
Par | Value | |||
3.00%, 09/01/49 | $3,164,426 | $3,363,289 | ||
5.00%, 10/01/49 | 7,058 | 7,752 | ||
3.50%, 12/01/49 | 431,141 | 453,822 | ||
4.50%, 12/01/49 | 935,269 | 1,005,983 | ||
3.00%, 01/01/50 | 69,387 | 73,580 | ||
3.00%, 02/01/50 | 6,694 | 6,983 | ||
4.00%, 03/01/50 | 95,681 | 101,889 | ||
4.50%, 03/01/50 | 57,714 | 62,429 | ||
3.00%, 07/01/50 | 490,789 | 520,218 | ||
2.00%, 11/01/50 | 484,595 | 490,613 | ||
2.50%, 12/01/50 | 678,759 | 707,619 | ||
3.00%, 12/01/50 | 3,644,238 | 3,881,311 | ||
2.50%, 01/01/51 | 581,195 | 604,696 | ||
2.00%, 02/01/51 | 1,378,638 | 1,395,503 | ||
2.50%, 02/01/51 | 194,458 | 202,057 | ||
1.50%, 03/01/51 | 985,422 | 955,415 | ||
2.00%, 03/01/51 | 1,717,383 | 1,737,774 | ||
2.00%, 04/01/51 | 795,048 | 804,703 | ||
2.00%, 05/01/51 | 2,677,586 | 2,711,252 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 100,041 | 118,031 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 0.57%, 06/15/37† | 63,363 | 64,459 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 6.16%, 01/15/40† IO | 139,453 | 27,594 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.88%, 10/15/41† IO | 67,630 | 10,773 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 6.42%, 12/15/41† IO | 171,621 | 37,540 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 08/15/42† IO | 123,634 | 24,485 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 158,898 | 20,516 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 186,224 | 195,592 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 136,595 | 8,001 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | $ 68,967 | $ 3,048 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.88%, 02/15/44† IO | 62,607 | 11,100 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 05/15/44† IO | 62,673 | 11,720 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
1.93%, 04/15/41† IO γ | 73,921 | 4,229 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 0.55%, 07/15/40† | 212,243 | 214,898 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 418,952 | 435,734 | ||
3.00%, 06/15/48 | 291,341 | 302,490 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 185,146 | 192,054 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.46%, 08/15/40† | 830,820 | 834,557 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 0.46%, 10/15/40† | 753,490 | 756,878 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5010 | ||||
2.50%, 09/25/50 IO | 649,173 | 96,296 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5013 | ||||
2.50%, 09/25/50 IO | 192,306 | 30,287 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5018 | ||||
2.00%, 10/25/50 IO | 385,571 | 50,335 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5040 | ||||
2.50%, 11/25/50 IO | 95,388 | 12,671 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5059 | ||||
2.50%, 01/25/51 IO | 393,425 | 66,950 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.10%), 5.19%, 06/25/50 144A † | 170,000 | 178,469 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 6.00%), 6.09%, 08/25/50 144A † | 176,000 | 189,267 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 4.80%), 4.82%, 10/25/50 144A † | $720,000 | $766,739 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA1, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.00%), 3.02%, 08/25/33 144A † | 970,000 | 972,507 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 12/15/46† IO | 265,284 | 55,571 | ||
Federal National Mortgage Association | ||||
9.50%, 05/01/22 | 2 | 2 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.75% Cap), 1.71%, 07/01/22† | 203 | 203 | ||
5.50%, 09/01/23 | 3,387 | 3,461 | ||
5.50%, 10/01/23 | 881 | 902 | ||
9.50%, 07/01/24 | 1 | 1 | ||
2.81%, 04/01/25 | 50,000 | 53,619 | ||
5.50%, 05/01/25 | 219 | 221 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.05% Cap), 1.63%, 07/01/27† | 5,634 | 5,609 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.84% Cap), 2.26%, 08/01/27† | 7,382 | 7,403 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.61% Cap), 1.63%, 11/01/27 CONV † | 6,605 | 6,554 | ||
3.08%, 01/01/28 | 140,000 | 154,181 | ||
3.16%, 05/01/29 | 145,971 | 162,893 | ||
2.79%, 08/01/29 | 500,000 | 546,948 | ||
2.26%, 04/01/30 | 390,751 | 412,870 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.38%, 2.38% Floor, 10.65% Cap), 2.64%, 06/01/30 CONV † | 9,282 | 9,309 | ||
8.00%, 10/01/30 | 6,295 | 7,457 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 2.63%, 12/01/30 CONV † | 2,856 | 2,862 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.55% Cap), 1.63%, 01/01/31† | 3,795 | 3,746 | ||
4.50%, 04/01/31 | 24,497 | 26,733 | ||
4.50%, 05/01/31 | 91,247 | 99,575 |
Par | Value | |||
4.50%, 06/01/31 | $ 27,940 | $ 30,490 | ||
4.50%, 11/01/31 | 41,393 | 45,174 | ||
6.00%, 11/01/31 | 1,523 | 1,796 | ||
4.50%, 12/01/31 | 58,997 | 64,309 | ||
6.00%, 01/01/32 | 46,686 | 52,417 | ||
6.00%, 03/01/32 | 1,776 | 1,994 | ||
6.00%, 04/01/32 | 86,563 | 97,417 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.95% Cap), 1.63%, 06/01/32† | 5,659 | 5,583 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 12.22% Cap), 1.71%, 08/01/32† | 5,754 | 5,679 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 2.25%, 02/01/33† | 788 | 787 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 11.95% Cap), 1.71%, 05/01/33† | 7,752 | 7,685 | ||
5.00%, 07/01/33 | 12,449 | 14,183 | ||
5.00%, 09/01/33 | 15,592 | 17,743 | ||
3.50%, 05/01/34 | 84,436 | 90,630 | ||
6.00%, 10/01/34 | 23,549 | 26,415 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 1.92%, 12/01/34† | 11,678 | 11,788 | ||
3.50%, 12/01/34 | 22,459 | 24,088 | ||
3.50%, 01/01/35 | 23,351 | 24,988 | ||
6.00%, 05/01/35 | 214,909 | 249,248 | ||
3.00%, 07/01/35 | 30,209 | 31,992 | ||
6.00%, 07/01/35 | 53,275 | 61,036 | ||
5.50%, 09/01/35 | 24,282 | 27,038 | ||
5.00%, 10/01/35 | 43,170 | 49,205 | ||
6.00%, 10/01/35 | 12,788 | 15,054 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 1.63%, 11/01/35† | 2,475 | 2,477 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.88%, 1.88% Floor, 8.97% Cap), 2.00%, 11/01/35† | 15,523 | 16,420 | ||
6.00%, 11/01/35 | 178,452 | 202,290 | ||
1.50%, 12/01/35 | 95,301 | 96,628 | ||
3.00%, 02/01/36 | 434,302 | 457,143 | ||
3.00%, 04/01/36 | 361,576 | 381,475 | ||
5.50%, 04/01/36 | 1,795 | 1,940 | ||
(Floating, COF 11th District San Francisco + 1.25%, 3.94% Floor, 12.89% Cap), 4.02%, 05/01/36† | 17,825 | 19,212 | ||
3.00%, 07/01/36 | 695,391 | 732,008 | ||
3.00%, 08/01/36 | 267,023 | 281,383 | ||
2.50%, 09/01/36 | 157,864 | 163,894 | ||
3.00%, 10/01/36 | 1,344,199 | 1,418,161 | ||
5.50%, 11/01/36 | 36,126 | 41,871 | ||
3.00%, 12/01/36 | 579,499 | 610,535 | ||
3.50%, 02/01/37 | 98,034 | 104,406 |
Par | Value | |||
3.50%, 03/01/37 | $ 84,531 | $ 90,459 | ||
5.50%, 03/01/37 | 2,136 | 2,435 | ||
6.00%, 07/01/37 | 388,730 | 460,938 | ||
6.50%, 10/01/37 | 38,545 | 43,483 | ||
7.00%, 10/01/37 | 554 | 569 | ||
7.00%, 11/01/37 | 3,276 | 3,535 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.69% Cap), 1.63%, 12/01/37† | 12,547 | 12,492 | ||
3.00%, 12/01/37 | 78,163 | 81,902 | ||
3.50%, 12/01/37 | 111,987 | 120,747 | ||
7.00%, 12/01/37 | 2,991 | 3,546 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.54% Cap), 1.63%, 01/01/38† | 4,810 | 4,838 | ||
2.50%, 03/01/38 | 554,883 | 576,029 | ||
4.50%, 03/01/38 | 3,252 | 3,547 | ||
4.50%, 04/01/38 | 30,002 | 33,465 | ||
5.00%, 04/01/38 | 41,611 | 47,685 | ||
3.00%, 06/01/38 | 321,427 | 338,134 | ||
5.00%, 06/01/38 | 42,361 | 48,450 | ||
5.50%, 08/01/38 | 24,740 | 28,690 | ||
7.00%, 11/01/38 | 10,926 | 12,769 | ||
7.00%, 02/01/39 | 4,253 | 5,014 | ||
3.50%, 08/01/39 | 82,850 | 88,523 | ||
6.00%, 12/01/39 | 167,060 | 198,074 | ||
3.50%, 02/01/40 | 206,605 | 221,572 | ||
3.00%, 03/01/40 | 326,470 | 341,998 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.73% Cap), 1.53%, 06/01/40† | 16,862 | 17,526 | ||
1.53%, 10/01/40† | 46,851 | 47,396 | ||
(Floating, COF 11th District San Francisco + 1.25%, 1.25% Floor, 10.25% Cap), 1.63%, 11/01/40† | 6,266 | 6,200 | ||
2.50%, 03/01/41 | 98,646 | 103,452 | ||
2.50%, 04/01/41 | 692,351 | 725,466 | ||
4.50%, 04/01/41 | 59,871 | 66,806 | ||
2.50%, 05/01/41 | 794,501 | 829,281 | ||
6.00%, 07/01/41 | 136,455 | 162,024 | ||
4.50%, 08/01/41 | 28,979 | 32,365 | ||
4.50%, 11/01/41 | 110,584 | 121,930 | ||
4.00%, 06/01/42 | 20,737 | 22,297 | ||
3.50%, 09/01/42 | 26,814 | 28,969 | ||
4.00%, 10/01/42 | 98,528 | 108,494 | ||
2.50%, 11/01/42 | 13,503 | 14,102 | ||
4.00%, 11/01/42 | 1,005,975 | 1,115,530 | ||
2.50%, 12/01/42 | 8,247 | 8,596 | ||
3.00%, 12/01/42 | 11,680 | 12,553 | ||
3.50%, 12/01/42 | 47,398 | 51,368 | ||
4.00%, 12/01/42 | 65,422 | 71,968 | ||
2.50%, 01/01/43 | 10,019 | 10,468 | ||
3.00%, 01/01/43 | 204,943 | 219,094 | ||
3.50%, 01/01/43 | 827,240 | 893,737 | ||
2.50%, 02/01/43 | 15,606 | 16,271 | ||
2.50%, 03/01/43 | 886,167 | 925,028 |
Par | Value | |||
3.00%, 03/01/43 | $ 137,028 | $ 147,160 | ||
3.50%, 03/01/43 | 372,138 | 401,955 | ||
2.50%, 04/01/43 | 926,175 | 963,597 | ||
3.00%, 04/01/43 | 204,912 | 220,223 | ||
4.00%, 04/01/43 | 35,561 | 39,602 | ||
2.50%, 05/01/43 | 15,992 | 16,591 | ||
3.00%, 05/01/43 | 126,286 | 135,722 | ||
2.50%, 06/01/43 | 19,652 | 20,508 | ||
3.00%, 06/01/43 | 40,274 | 43,284 | ||
4.00%, 06/01/43 | 297,589 | 329,134 | ||
3.00%, 07/01/43 | 336,270 | 361,399 | ||
4.00%, 07/01/43 | 329,155 | 363,646 | ||
2.50%, 08/01/43 | 456,889 | 474,351 | ||
4.00%, 08/01/43 | 97,875 | 107,776 | ||
4.50%, 09/01/43 | 308,334 | 342,788 | ||
2.50%, 10/01/43 | 24,453 | 25,539 | ||
4.50%, 10/01/43 | 99,412 | 110,511 | ||
4.50%, 11/01/43 | 65,598 | 72,710 | ||
4.50%, 12/01/43 | 102,952 | 114,467 | ||
4.50%, 01/01/44 | 59,806 | 66,495 | ||
4.50%, 02/01/44 | 260,856 | 287,105 | ||
4.50%, 10/01/44 | 221,427 | 246,182 | ||
4.00%, 01/01/45 | 88,192 | 97,018 | ||
4.50%, 02/01/45 | 696,945 | 783,603 | ||
4.50%, 04/01/45 | 367,482 | 410,065 | ||
4.50%, 05/01/45 | 43,360 | 48,384 | ||
4.50%, 06/01/45 | 366,222 | 401,768 | ||
3.00%, 11/01/45 | 742,300 | 782,817 | ||
3.50%, 12/01/45 | 123,829 | 134,000 | ||
3.50%, 01/01/46 | 237,734 | 257,417 | ||
3.00%, 05/01/46 | 337,929 | 361,245 | ||
3.00%, 07/01/46 | 364,139 | 386,939 | ||
3.00%, 08/01/46 | 822,306 | 875,876 | ||
3.00%, 09/01/46 | 238,285 | 250,380 | ||
3.00%, 10/01/46 | 47,766 | 50,523 | ||
3.00%, 11/01/46 | 1,601,539 | 1,695,422 | ||
3.50%, 11/01/46 | 33,655 | 36,370 | ||
4.50%, 11/01/46 | 367,679 | 400,677 | ||
5.00%, 11/01/46 | 581,704 | 646,047 | ||
3.50%, 12/01/46 | 14,054 | 15,053 | ||
4.00%, 01/01/47 | 768,595 | 832,962 | ||
3.50%, 02/01/47 | 2,236,899 | 2,376,663 | ||
4.50%, 03/01/47 | 429,843 | 467,443 | ||
4.00%, 04/01/47 | 66,586 | 72,148 | ||
3.50%, 05/01/47 | 318,916 | 339,799 | ||
4.00%, 05/01/47 | 69,959 | 75,272 | ||
4.50%, 06/01/47 | 1,242,307 | 1,361,505 | ||
3.50%, 07/01/47 | 575,037 | 608,179 | ||
4.50%, 07/01/47 | 698,153 | 763,436 | ||
4.00%, 08/01/47 | 584,411 | 633,175 | ||
3.00%, 09/01/47 | 872,284 | 926,541 | ||
3.50%, 09/01/47 | 11,740,754 | 12,676,933 | ||
3.50%, 10/01/47 | 12,585,697 | 13,632,887 | ||
3.50%, 11/01/47 | 16,550,784 | 17,927,870 | ||
4.50%, 11/01/47 | 175,229 | 192,173 | ||
3.50%, 12/01/47 | 16,609,391 | 17,981,348 | ||
4.00%, 12/01/47 | 331,860 | 362,723 | ||
4.00%, 01/01/48 | 400,486 | 434,978 |
Par | Value | |||
3.50%, 02/01/48 | $ 950,462 | $1,004,290 | ||
4.00%, 02/01/48 | 1,091,465 | 1,188,988 | ||
4.00%, 03/01/48 | 797,757 | 864,733 | ||
5.00%, 05/01/48 | 155,729 | 172,179 | ||
4.00%, 06/01/48 | 514,326 | 561,131 | ||
4.00%, 07/01/48 | 915,380 | 998,210 | ||
4.50%, 07/01/48 | 251,585 | 276,634 | ||
3.50%, 08/01/48 | 4,464,879 | 4,785,085 | ||
4.00%, 08/01/48 | 2,584,143 | 2,811,139 | ||
4.50%, 08/01/48 | 437,010 | 480,452 | ||
5.00%, 08/01/48 | 75,783 | 83,194 | ||
4.00%, 09/01/48 | 80,364 | 87,244 | ||
4.50%, 09/01/48 | 484,578 | 535,766 | ||
5.00%, 09/01/48 | 1,025,794 | 1,140,351 | ||
4.00%, 10/01/48 | 175,167 | 187,746 | ||
4.50%, 10/01/48 | 669,055 | 731,775 | ||
5.00%, 10/01/48 | 336,767 | 370,181 | ||
3.50%, 11/01/48 | 433,680 | 462,041 | ||
4.00%, 11/01/48 | 119,237 | 129,487 | ||
4.50%, 11/01/48 | 1,646,808 | 1,774,479 | ||
5.00%, 11/01/48 | 3,309,868 | 3,682,282 | ||
3.00%, 12/01/48 | 149,400 | 157,028 | ||
4.50%, 12/01/48 | 352,464 | 383,921 | ||
4.50%, 01/01/49 | 3,866,134 | 4,158,718 | ||
3.00%, 02/01/49 | 753,504 | 794,485 | ||
4.00%, 05/01/49 | 60,622 | 65,516 | ||
3.00%, 07/01/49 | 54,230 | 57,259 | ||
3.00%, 09/01/49 | 1,817,644 | 1,925,663 | ||
4.50%, 09/01/49 | 729,257 | 798,147 | ||
5.00%, 09/01/49 | 812,798 | 904,594 | ||
4.00%, 10/01/49 | 55,378 | 59,861 | ||
3.00%, 11/01/49 | 517,646 | 546,408 | ||
3.00%, 12/01/49 | 1,446,846 | 1,532,047 | ||
4.00%, 12/01/49 | 447,280 | 480,496 | ||
3.00%, 01/01/50 | 118,140 | 124,231 | ||
3.00%, 02/01/50 | 1,201,881 | 1,260,358 | ||
3.50%, 02/01/50 | 254,643 | 268,870 | ||
3.00%, 03/01/50 | 336,546 | 361,289 | ||
5.00%, 03/01/50 | 240,473 | 263,715 | ||
3.00%, 06/01/50 | 922,566 | 974,238 | ||
4.50%, 07/01/50 | 64,731 | 69,496 | ||
2.00%, 08/01/50 | 88,685 | 89,758 | ||
3.00%, 08/01/50 | 149,472 | 156,580 | ||
2.00%, 09/01/50 | 93,466 | 94,596 | ||
3.00%, 09/01/50 | 420,785 | 446,003 | ||
2.50%, 11/01/50 | 96,894 | 101,373 | ||
3.00%, 11/01/50 | 166,750 | 176,910 | ||
4.50%, 12/01/50 | 1,000,099 | 1,073,704 | ||
2.00%, 01/01/51 | 486,599 | 492,158 | ||
2.50%, 01/01/51 | 405,172 | 420,254 | ||
2.00%, 02/01/51 | 1,771,966 | 1,792,400 | ||
2.50%, 02/01/51 | 880,413 | 915,954 | ||
2.00%, 03/01/51 | 5,238,766 | 5,302,184 | ||
2.50%, 03/01/51 | 197,978 | 205,864 | ||
2.00%, 04/01/51 | 1,389,190 | 1,405,131 | ||
2.50%, 04/01/51 | 197,521 | 206,001 | ||
2.50%, 05/01/51 | 298,442 | 310,266 | ||
3.50%, 05/01/51 | 299,341 | 317,840 |
Par | Value | |||
2.50%, 06/01/51 | $ 697,196 | $726,745 | ||
4.00%, 02/01/56 | 372,690 | 415,127 | ||
5.50%, 09/01/56 | 542,721 | 641,737 | ||
4.00%, 01/01/57 | 240,102 | 267,442 | ||
4.00%, 06/01/57 | 386,983 | 430,380 | ||
4.50%, 09/01/57 | 629,039 | 699,039 | ||
4.50%, 08/01/58 | 181,701 | 203,614 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.59%, 09/25/24† IO γ | 2,873,787 | 51,163 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 70,508 | 75,477 | ||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | 100,000 | 109,862 | ||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31 | 299,793 | 328,047 | ||
Federal National Mortgage Association ACES, Series 2020-M33 | ||||
2.36%, 01/25/31† IO γ | 7,100,000 | 990,914 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 94,167 | 96,972 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 118,443 | 6,765 | ||
4.50%, 11/25/39 IO | 22,147 | 4,066 | ||
3.50%, 11/25/41 IO | 77,640 | 7,285 | ||
4.00%, 11/25/41 IO | 102,086 | 15,090 | ||
4.00%, 04/25/42 IO | 192,150 | 26,123 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 0.53%, 10/18/30† | 4,774 | 4,796 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 274,752 | 315,270 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 6.66%, 03/25/37† IO | 302,620 | 64,568 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 176,539 | 201,763 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | $577,400 | $652,141 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 6.46%, 10/25/41† IO | 238,554 | 46,277 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 54,157 | 2,742 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 15,618 | 18,887 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.50%, 12/25/39 IO | 33,664 | 647 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 12/25/42† IO | 70,472 | 14,582 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 51,481 | 62,693 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 3,499 | 3,830 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 6.41%, 04/25/42† IO | 69,217 | 13,887 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 76,930 | 90,432 | ||
Federal National Mortgage Association REMIC, Series 2012-70 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.56%, 02/25/41† IO | 4,871 | 216 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.56%, 03/25/42† IO | 95,126 | 15,894 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 6.51%, 07/25/42† IO | $ 20,324 | $ 3,723 | ||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 5.86%, 12/25/43† IO | 290,979 | 56,025 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 68,954 | 7,315 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 483,658 | 32,411 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 208,079 | 24,095 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 06/25/43† IO | 124,294 | 26,567 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 335,337 | 384,898 | ||
6.50%, 07/25/42 | 141,529 | 169,437 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
1.82%, 08/25/44† IO γ | 230,874 | 13,220 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
1.53%, 08/25/55† IO γ | 84,816 | 3,627 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 08/25/45† IO | 43,463 | 10,442 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 10/25/57† IO | 552,662 | 112,870 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.11%, 11/25/47† IO | 190,405 | 34,513 | ||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | 306,055 | 283,036 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2020-56 | ||||
2.50%, 08/25/50 IO | $ 370,359 | $ 57,725 | ||
Federal National Mortgage Association REMIC, Series 2020-74 | ||||
2.50%, 10/25/50 IO | 186,228 | 28,618 | ||
Federal National Mortgage Association REMIC, Series 2020-89 | ||||
2.50%, 12/25/50 IO | 928,798 | 127,179 | ||
Federal National Mortgage Association REMIC, Series 2021-1 | ||||
2.50%, 02/25/51 IO | 688,147 | 104,506 | ||
Federal National Mortgage Association REMIC, Series 2021-3 | ||||
2.50%, 02/25/51 IO | 877,559 | 123,537 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K016 | ||||
1.65%, 10/25/21† IO γ | 92,124 | 4 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.56%, 08/25/27† IO γ | 2,394,380 | 59,473 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.70%, 03/25/29† IO γ | 1,414,005 | 57,473 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
1.09%, 05/25/29† IO γ | 1,992,642 | 132,552 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
1.02%, 06/25/29† IO γ | 998,057 | 62,924 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-1519 | ||||
0.71%, 12/25/35† IO γ | 6,061,250 | 409,279 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
1.07%, 08/25/23† IO γ | 3,043,009 | 47,680 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.44%, 07/25/26† IO γ | 1,039,311 | 57,573 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K741 | ||||
0.66%, 12/25/27† IO γ | 2,999,621 | 101,302 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%, 3.80% Floor), 3.89%, 03/25/29† | 234,161 | 242,747 |
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), 1.52%, 07/25/44† | $ 354,984 | $ 366,510 | ||
Finsbury Square PLC, Series 2020-2A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.30%), 1.35%, 06/16/70(U) 144A † | 1,240,332 | 1,735,653 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
2.18%, 06/25/34† γ | 140,504 | 143,596 | ||
FREMF Mortgage Trust, Series 2012-K20, Class X2A | ||||
0.20%, 05/25/45 144A IO | 4,842,261 | 5,957 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 1,807 | 1,944 | ||
7.00%, 07/15/27 | 13,296 | 14,793 | ||
7.00%, 01/15/28 | 9,331 | 9,452 | ||
7.00%, 03/15/28 | 18,422 | 20,871 | ||
7.00%, 07/15/28 | 1,669 | 1,715 | ||
7.50%, 07/15/28 | 8,292 | 8,425 | ||
6.50%, 08/15/28 | 1,306 | 1,457 | ||
7.00%, 08/15/28 | 2,726 | 2,967 | ||
7.50%, 08/15/28 | 5,304 | 5,917 | ||
6.50%, 09/15/28 | 2,717 | 3,040 | ||
7.00%, 10/15/28 | 9,539 | 9,578 | ||
7.50%, 03/15/29 | 6,859 | 7,937 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.13%, 11/20/29† | 13,499 | 14,022 | ||
8.50%, 08/15/30 | 282 | 286 | ||
8.50%, 11/20/30 | 4,469 | 5,214 | ||
6.50%, 08/15/31 | 22,761 | 25,865 | ||
7.50%, 08/15/31 | 5,818 | 6,339 | ||
6.50%, 10/15/31 | 20,989 | 23,681 | ||
6.00%, 11/15/31 | 70,359 | 81,765 | ||
6.50%, 11/15/31 | 38,770 | 43,217 | ||
6.00%, 12/15/31 | 12,203 | 14,328 | ||
6.00%, 01/15/32 | 50,239 | 56,936 | ||
6.00%, 02/15/32 | 59,840 | 67,239 | ||
6.50%, 02/15/32 | 23,179 | 25,945 | ||
6.00%, 04/15/32 | 33,220 | 37,273 | ||
6.50%, 06/15/32 | 37,832 | 42,303 | ||
6.50%, 08/15/32 | 49,839 | 55,908 | ||
6.50%, 09/15/32 | 47,242 | 54,326 | ||
6.00%, 10/15/32 | 51,579 | 61,438 | ||
5.50%, 11/15/32 | 7,347 | 8,348 | ||
6.00%, 11/15/32 | 37,433 | 42,262 | ||
6.00%, 12/15/32 | 22,823 | 26,174 | ||
6.50%, 12/15/32 | 4,514 | 5,033 | ||
5.50%, 01/15/33 | 3,544 | 3,971 | ||
6.00%, 01/15/33 | 14,003 | 15,808 | ||
5.50%, 02/15/33 | 9,204 | 10,515 | ||
6.00%, 02/15/33 | 16,943 | 20,179 |
Par | Value | |||
5.50%, 03/15/33 | $ 9,660 | $ 11,158 | ||
6.50%, 04/15/33 | 102,153 | 119,617 | ||
6.00%, 06/15/33 | 16,467 | 18,467 | ||
5.50%, 07/15/33 | 10,087 | 11,572 | ||
5.50%, 08/15/33 | 2,975 | 3,324 | ||
5.50%, 09/15/33 | 2,336 | 2,624 | ||
6.00%, 10/15/33 | 30,924 | 34,737 | ||
6.50%, 10/15/33 | 60,033 | 68,409 | ||
5.50%, 04/15/34 | 5,698 | 6,446 | ||
5.50%, 05/15/34 | 2,354 | 2,631 | ||
6.50%, 08/15/34 | 62,587 | 72,152 | ||
5.50%, 09/15/34 | 40,717 | 47,488 | ||
5.50%, 12/15/34 | 41,129 | 47,962 | ||
5.50%, 01/15/35 | 28,391 | 33,318 | ||
6.00%, 09/20/38 | 86,996 | 99,282 | ||
5.00%, 07/20/40 | 6,567 | 7,418 | ||
5.00%, 09/20/40 | 30,874 | 34,990 | ||
4.00%, 10/20/40 | 3,639 | 3,983 | ||
6.00%, 10/20/40 | 12,532 | 14,675 | ||
6.00%, 01/20/41 | 11,652 | 13,658 | ||
4.50%, 04/20/41 | 123,913 | 137,118 | ||
3.00%, 09/15/42 | 289,321 | 305,674 | ||
3.00%, 10/15/42 | 127,864 | 134,820 | ||
3.00%, 11/15/42 | 58,762 | 61,932 | ||
4.00%, 08/20/43 | 215,917 | 236,355 | ||
3.50%, 06/20/44 | 78,191 | 83,937 | ||
3.00%, 01/15/45 | 1,705,450 | 1,788,720 | ||
3.00%, 03/20/45 | 195,282 | 207,469 | ||
3.50%, 03/20/45 | 34,529 | 36,818 | ||
3.50%, 04/15/45 | 354,455 | 381,107 | ||
4.00%, 05/20/45 | 18,716 | 20,305 | ||
4.00%, 10/20/45 | 144,262 | 156,011 | ||
3.50%, 01/20/46 | 92,215 | 98,337 | ||
3.50%, 04/20/46 | 202,265 | 214,807 | ||
3.50%, 05/20/46 | 103,959 | 110,834 | ||
3.50%, 06/20/46 | 216,061 | 229,971 | ||
3.50%, 07/20/46 | 109,006 | 116,044 | ||
3.00%, 08/20/46 | 270,793 | 285,682 | ||
3.50%, 09/20/46 | 1,071,792 | 1,135,841 | ||
3.00%, 11/20/46 | 65,297 | 68,968 | ||
3.50%, 04/20/47 | 2,312,590 | 2,436,025 | ||
3.50%, 05/20/47 | 495,202 | 525,616 | ||
4.00%, 06/20/47 | 964,783 | 1,034,089 | ||
4.50%, 08/20/47 | 45,305 | 48,956 | ||
3.00%, 09/20/47 | 18,410 | 19,410 | ||
4.00%, 09/20/47 | 622,013 | 663,704 | ||
3.50%, 10/20/47 | 578,161 | 615,465 | ||
4.00%, 11/20/47 | 379,034 | 405,085 | ||
3.50%, 12/20/47 | 2,274,705 | 2,406,384 | ||
4.00%, 12/20/47 | 173,115 | 184,896 | ||
3.00%, 02/20/48 | 88,371 | 92,416 | ||
4.00%, 02/20/48 | 112,511 | 119,947 | ||
4.00%, 03/20/48 | 181,311 | 193,220 | ||
4.00%, 04/20/48 | 116,646 | 124,204 | ||
4.50%, 04/20/48 | 310,644 | 333,390 | ||
4.50%, 05/20/48 | 1,477,468 | 1,575,952 | ||
3.50%, 06/15/48 | 150,646 | 161,481 |
Par | Value | |||
4.50%, 06/20/48 | $ 323,776 | $ 348,086 | ||
4.50%, 07/20/48 | 22,030 | 23,735 | ||
5.00%, 07/20/48 | 259,162 | 280,888 | ||
4.50%, 08/20/48 | 2,679,593 | 2,884,839 | ||
5.00%, 08/20/48 | 309,482 | 334,625 | ||
3.50%, 09/20/48 | 530,821 | 561,527 | ||
4.50%, 09/20/48 | 2,683,864 | 2,885,456 | ||
4.50%, 10/20/48 | 300,115 | 320,121 | ||
5.00%, 10/20/48 | 1,784,804 | 1,929,505 | ||
5.00%, 11/20/48 | 2,381,503 | 2,569,611 | ||
4.50%, 12/20/48 | 1,189,791 | 1,271,639 | ||
5.00%, 12/20/48 | 1,330,380 | 1,434,750 | ||
4.50%, 01/20/49 | 4,803,382 | 5,144,236 | ||
5.00%, 01/20/49 | 4,758,824 | 5,137,866 | ||
4.00%, 02/20/49 | 2,115,353 | 2,239,977 | ||
4.50%, 02/20/49 | 450,140 | 480,415 | ||
5.00%, 02/20/49 | 98,882 | 106,806 | ||
4.00%, 03/20/49 | 2,264,252 | 2,400,696 | ||
4.50%, 03/20/49 | 327,250 | 349,241 | ||
5.00%, 03/20/49 | 411,867 | 444,443 | ||
4.00%, 05/20/49 | 1,310,672 | 1,388,890 | ||
3.50%, 07/20/49 | 388,137 | 407,820 | ||
3.00%, 08/20/49 | 400,000 | 417,529 | ||
5.00%, 08/20/49 | 7,047,430 | 7,616,841 | ||
3.50%, 10/20/49 | 154,854 | 160,155 | ||
4.00%, 10/20/49 | 74,161 | 79,656 | ||
4.50%, 10/20/49 | 409,958 | 437,624 | ||
4.00%, 11/20/49 | 78,011 | 84,319 | ||
5.00%, 11/20/49 | 520,270 | 561,121 | ||
3.00%, 12/20/49 | 428,157 | 447,042 | ||
3.00%, 01/20/50 | 246,382 | 257,472 | ||
4.00%, 01/20/50 | 79,663 | 86,571 | ||
3.50%, 02/20/50 | 141,891 | 149,906 | ||
4.00%, 02/20/50 | 72,949 | 78,863 | ||
3.00%, 03/20/50 | 532,704 | 556,822 | ||
4.00%, 03/20/50 | 73,924 | 80,637 | ||
4.00%, 04/20/50 | 318,335 | 344,302 | ||
3.50%, 05/15/50 | 178,768 | 190,454 | ||
3.00%, 05/20/50 | 188,113 | 196,435 | ||
4.50%, 05/20/50 | 876,344 | 933,078 | ||
3.50%, 07/20/50 | 141,808 | 148,988 | ||
3.00%, 08/20/50 | 50,081 | 52,519 | ||
3.50%, 10/20/50 | 174,376 | 183,190 | ||
3.50%, 11/20/50 | 277,704 | 291,729 | ||
2.00%, 12/20/50 | 1,365,761 | 1,393,030 | ||
2.50%, 12/20/50 | 294,519 | 306,586 | ||
3.00%, 12/20/50 | 1,587,827 | 1,662,215 | ||
2.00%, 03/20/51 | 296,763 | 302,631 | ||
2.50%, 07/01/51 TBA | 42,100,000 | 43,570,211 | ||
3.00%, 07/01/51 TBA | 17,200,000 | 17,947,461 | ||
3.50%, 07/01/51 TBA | 4,000,000 | 4,199,297 | ||
4.50%, 07/01/51 TBA | 1,000,000 | 1,065,781 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 0.39%, 05/20/37† | 72,105 | 72,323 |
Par | Value | |||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 6.49%, 08/20/37† IO | $ 660,646 | $ 98,830 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 6.56%, 01/20/40† IO | 12,248 | 849 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 0.51%, 12/20/60† | 153,370 | 153,885 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 0.59%, 03/20/61† | 177,531 | 178,447 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 0.61%, 03/20/61† | 128,964 | 129,614 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.41%, 01/16/53† IO γ | 3,729,651 | 53,501 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 03/20/42† IO | 23,848 | 5,314 | ||
Government National Mortgage Association, Series 2012-66 | ||||
3.50%, 02/20/38 IO | 23,060 | 257 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.74%, 10/20/62† IO γ | 442,673 | 21,069 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 0.46%, 12/20/62† | 684,528 | 685,767 | ||
Government National Mortgage Association, Series 2013-107 | ||||
2.76%, 11/16/47† γ | 166,919 | 174,424 | ||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | 61,939 | 6,339 | ||
Government National Mortgage Association, Series 2014-117 | ||||
(Floating, 5.60% - ICE LIBOR USD 1M, 5.60% Cap), 5.51%, 08/20/44† IO | 85,507 | 15,512 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.11%, 08/20/44† IO | 132,447 | 29,817 |
Par | Value | |||
Government National Mortgage Association, Series 2014-17 | ||||
3.13%, 06/16/48† γ | $ 9,585 | $ 10,241 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.50%, 11/16/55† IO γ | 1,597,451 | 48,391 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 67,486 | 10,369 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 0.66%, 05/20/65† | 1,864,344 | 1,875,323 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 0.54%, 05/20/65† | 1,835,079 | 1,841,691 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 0.68%, 06/20/65† | 3,212,055 | 3,242,565 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 0.69%, 06/20/65† | 1,246,169 | 1,259,616 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.71%, 06/20/65† | 3,012,404 | 3,044,824 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.71%, 07/20/65† | 2,908,657 | 2,942,183 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 0.57%, 06/20/65† | 448,176 | 450,139 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.71%, 07/20/65† | 443,747 | 448,454 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 0.71%, 08/20/65† | 478,319 | 483,418 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 0.71%, 09/20/65† | 495,170 | 500,855 | ||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 0.73%, 09/20/65† | 523,258 | 529,657 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 0.63%, 10/20/65† | $1,102,755 | $1,112,920 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 0.79%, 08/20/61† | 3,886 | 3,939 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.78%, 08/15/58† IO γ | 3,533,248 | 185,835 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.57%, 03/16/60† IO γ | 4,448,729 | 210,876 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 1.44%, 07/20/67† | 1,506,473 | 1,534,063 | ||
2.30%, 07/20/67† IO γ | 475,906 | 51,138 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
1.69%, 09/20/67† IO γ | 3,574,999 | 221,055 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
2.07%, 10/20/67† IO γ | 159,229 | 14,214 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
2.43%, 11/20/67† IO γ | 1,270,889 | 113,574 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 0.41%, 05/20/68† | 771,325 | 772,187 | ||
Government National Mortgage Association, Series 2019-123 | ||||
3.00%, 10/20/49 | 42,167 | 43,257 | ||
Government National Mortgage Association, Series 2019-28 | ||||
3.15%, 06/16/60 | 89,886 | 92,357 | ||
Government National Mortgage Association, Series 2020-123 | ||||
2.50%, 08/20/50 IO | 680,263 | 93,145 | ||
Government National Mortgage Association, Series 2020-127 | ||||
2.50%, 08/20/50 IO | 194,122 | 26,900 | ||
Government National Mortgage Association, Series 2020-129 | ||||
2.50%, 09/20/50 IO | 194,335 | 26,790 | ||
Government National Mortgage Association, Series 2020-160 | ||||
2.50%, 10/20/50 IO | 878,308 | 119,931 | ||
Government National Mortgage Association, Series 2020-179 | ||||
1.00%, 09/16/62† IO γ | 7,673,548 | 664,990 |
Par | Value | |||
Government National Mortgage Association, Series 2020-181 | ||||
2.00%, 12/20/50 IO | $1,557,977 | $ 173,306 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 460,630 | 69,918 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 1.34%, 04/20/70† | 167,685 | 173,347 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 1.24%, 05/20/70† | 473,073 | 498,737 | ||
Government National Mortgage Association, Series 2020-H13 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 7.50% Cap), 0.54%, 07/20/70† | 188,900 | 191,458 | ||
Government National Mortgage Association, Series 2021-22 | ||||
0.99%, 05/16/63† IO γ | 1,089,535 | 96,645 | ||
Government National Mortgage Association, Series 2021-29 | ||||
2.50%, 02/20/51 IO | 496,083 | 96,787 | ||
GPMT, Ltd., Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 1.33%, 07/16/35 144A † | 2,100,000 | 2,105,469 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 0.27%, 01/25/37† | 360,925 | 348,946 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 1.62%, 09/15/31 144A † | 1,530,000 | 1,421,869 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 139,226 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 398,807 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
2.92%, 09/25/35† γ | 249,023 | 254,334 | ||
Harben Finance PLC, Series 2017-1X, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.88%, 08/20/56(U) † | 442,162 | 612,572 | ||
Hawksmoor Mortgages, Series 2019-1A, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.05%), 1.10%, 05/25/53(U) 144A † | 5,738,326 | 7,978,537 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 11.00% Cap), 0.81%, 10/25/34† | 14,782 | 14,501 |
Par | Value | |||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
1.81%, 01/25/32† γ | $ 4,872 | $ 4,750 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.31%, 05/15/45† γ | 280,000 | 266,783 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
2.45%, 02/25/35† γ | 14,055 | 14,299 | ||
JP Morgan Mortgage Trust, Series 2018-3, Class A1 | ||||
3.50%, 09/25/48 144A † γ | 714,940 | 728,234 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 261,563 | 266,014 | ||
JP Morgan Mortgage Trust, Series 2021-6, Class A3 | ||||
2.50%, 10/25/51 144A † γ | 861,465 | 877,430 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
5.05%, 01/15/47† γ | 50,000 | 53,402 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 573,511 | 600,410 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 624,405 | 658,080 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class B | ||||
4.01%, 03/15/50 | 630,000 | 672,853 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class D | ||||
3.00%, 10/15/50 144A | 300,000 | 283,291 | ||
London Wall Mortgage Capital PLC, Series 2017-FL1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.85%), 0.94%, 11/15/49(U) † | 339,854 | 471,618 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.25%, 01/01/61(U) † | 624,399 | 835,185 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 0.69%, 01/01/61(U) † | 491,277 | 674,637 | ||
Manhattan West Mortgage Trust, Series 2020-1MW, Class A | ||||
2.13%, 09/10/39 144A | 1,700,000 | 1,741,731 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.18%), 0.26%, 04/15/47(U) † | 605,515 | 811,468 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
2.88%, 11/21/34† γ | 121,959 | 123,301 |
Par | Value | |||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
2.71%, 05/25/34† γ | $ 61,027 | $ 62,549 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.85%, 0.85% Floor), 0.97%, 07/15/36 144A † | 2,100,000 | 2,105,382 | ||
Mill City Mortgage Loan Trust, Series 2019-GS2, Class M1 | ||||
3.00%, 08/25/59 144A | 870,000 | 914,121 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 140,000 | 145,453 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 395,112 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 04/15/48 | 480,000 | 506,746 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 850,000 | 930,941 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,499,706 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 703,579 | 741,839 | ||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 1.47%, 05/15/36 144A † | 1,050,000 | 1,027,329 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.51%, 04/05/42 144A † γ | 1,600,000 | 1,651,381 | ||
Morgan Stanley Capital I, Series 2017-HR2, Class A4 | ||||
3.59%, 12/15/50 | 550,000 | 611,855 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 11.50% Cap), 0.65%, 10/25/35† | 130,058 | 130,309 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.58%, 06/07/35 144A † γ | 580,000 | 600,253 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 0.74%, 06/25/57 144A † | 1,445,217 | 1,448,140 | ||
ResLoc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, 0.16% - Euribor 3M), 0.00%, 12/15/43(E) † | 851,898 | 982,550 |
Par | Value | |||
(Floating, ICE LIBOR GBP 3M + 0.16%), 0.24%, 12/15/43(U) † | $ 212,975 | $ 285,474 | ||
Ripon Mortgages PLC, Series 1A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.88%, 08/20/56(U) 144A † | 1,768,868 | 2,452,748 | ||
Ripon Mortgages PLC, Series 1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.88%, 08/20/56(U) † | 128,090 | 177,613 | ||
Ripon Mortgages PLC, Series 1X, Class A2 | ||||
(Floating, ICE LIBOR GBP 3M + 0.80%), 0.88%, 08/20/56(U) † | 2,305,628 | 3,199,876 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.00% Cap), 0.73%, 04/19/27† | 140,780 | 139,850 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 2.47%, 05/15/38 144A † | 970,000 | 976,154 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 357,857 | ||
SLG Office Trust, Series 2021-OVA, Class A | ||||
2.59%, 07/15/41 144A | 430,000 | 449,194 | ||
Stratton Mortgage Funding PLC, Series 2019-1, Class A | ||||
(Floating, SONIA Deposit Rates Swap 3M + 1.20%), 1.25%, 05/25/51(U) † | 1,384,262 | 1,925,113 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 0.39%, 10/25/35† | 232,721 | 234,497 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 0.59%, 07/19/35† | 39,843 | 38,769 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.50% Cap), 0.73%, 09/25/43† | 4,097 | 4,178 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
2.18%, 04/25/45† γ | 24,231 | 24,681 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 1.03%), 1.11%, 10/20/51(U) 144A † | 1,292,540 | 1,802,153 |
Par | Value | |||
Towd Point Mortgage Funding PLC, Series 2020-A14X, Class A | ||||
(Floating, 0.90% - SONIA Deposit Rates Swap 3M), 0.05%, 05/20/45(U) † | $ 3,533,620 | $ 4,911,891 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class D | ||||
4.62%, 12/10/45 144A † γ | 320,000 | 236,570 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/36 TBA | 2,500,000 | 2,578,760 | ||
2.50%, 07/01/51 TBA | 17,800,000 | 18,411,875 | ||
3.00%, 07/01/51 TBA | 2,000,000 | 2,084,883 | ||
2.00%, 08/01/51 TBA | 71,400,000 | 71,957,813 | ||
2.50%, 08/01/51 TBA | 6,000,000 | 6,194,531 | ||
4.50%, 08/01/51 TBA | 3,000,000 | 3,230,625 | ||
VASA Trust, Series 2021-VASA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 0.97%, 07/15/39 144A † | 390,000 | 390,752 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class A | ||||
2.13%, 10/10/42 144A | 1,610,000 | 1,618,102 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class B | ||||
2.45%, 10/10/42 144A | 1,610,000 | 1,634,854 | ||
VNDO Mortgage Trust, Series 2012-6AVE, Class A | ||||
3.00%, 11/15/30 144A | 100,000 | 102,769 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
2.57%, 02/25/33† γ | 2,338 | 2,457 | ||
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), 1.52%, 06/25/42† | 4,833 | 4,790 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor, 10.50% Cap), 0.87%, 01/25/45† | 704,173 | 692,288 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.67%, 10/25/45† | 480,248 | 480,487 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
2.94%, 02/25/37† γ | 154,013 | 145,941 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.00%, 02/25/37† γ | 98,734 | 99,878 |
Par | Value | |||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA3, Class 2A1A | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.76%, 0.76% Floor), 0.88%, 04/25/47† | $ 362,389 | $ 348,449 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 0.63%, 07/25/45† | 379,587 | 374,370 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 0.67%, 07/25/45† | 81,273 | 80,094 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 09/14/22 144A | 91,535 | 93,255 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
3.02%, 12/28/37† γ | 246,209 | 243,186 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.43%, 07/15/46† γ | 20,000 | 20,117 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class D | ||||
3.26%, 12/15/59 144A † γ | 532,000 | 493,236 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 139,877 | ||
Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class ASB | ||||
3.16%, 06/15/52 | 300,000 | 325,909 | ||
Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A5 | ||||
2.63%, 04/15/54 | 950,000 | 1,001,078 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | 90,944 | 92,015 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class XA | ||||
1.45%, 06/15/45 144A † IO γ | 249,769 | 1,330 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C13, Class XA | ||||
1.32%, 05/15/45 144A † IO γ | 2,187,564 | 37,179 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.18%, 03/15/47† IO γ | 847,970 | 16,446 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.18%, 08/15/47† IO γ | 2,720,768 | 69,259 |
Par | Value | |||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | $ 290,000 | $ 306,592 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 280,737 | ||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||
3.53%, 11/10/36 144A | 1,900,000 | 2,077,995 | ||
Total Mortgage-Backed Securities (Cost $579,655,785) | 592,730,718 | |||
MUNICIPAL BONDS — 0.5% | ||||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 1,129,390 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 245,000 | 345,761 | ||
Bay Area Toll Authority, Revenue Bond, Series F-1 | ||||
1.63%, 04/01/28 | 300,000 | 302,110 | ||
California Statewide Communities Development Authority, Revenue Bond | ||||
1.81%, 02/01/30 | 25,000 | 25,014 | ||
1.88%, 02/01/31 | 150,000 | 149,676 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 700,000 | 996,621 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 300,000 | 426,736 | ||
City of Houston Texas Airport System Revenue, Revenue Bond, Subseries C | ||||
2.24%, 07/01/29 | 110,000 | 112,937 | ||
City of New Orleans Louisiana Sewerage Service Revenue, Revenue Bond (AGM Insured) | ||||
0.96%, 06/01/26 | 25,000 | 24,537 | ||
1.41%, 06/01/28 | 65,000 | 63,662 | ||
City of New Orleans Louisiana Water System Revenue, Revenue Bond (AGM Insured) | ||||
1.01%, 12/01/26 | 30,000 | 29,441 | ||
1.46%, 12/01/28 | 65,000 | 63,436 | ||
City of Tucson Arizona COPS, Series A (AGM Insured) | ||||
1.93%, 07/01/31 | 205,000 | 202,544 | ||
Commonwealth Financing Authority, Revenue Bond, Series C | ||||
2.76%, 06/01/30 | 50,000 | 52,864 | ||
Louisiana State Transportation Authority, Revenue Bond, Series A | ||||
2.00%, 02/15/30 | 50,000 | 49,313 |
Par | Value | |||
Metropolitan Transportation Authority, Revenue Bond, Series A-2 | ||||
5.99%, 11/15/30 | $ 115,000 | $ 147,489 | ||
Metropolitan Transportation Authority, Revenue Bond, Series C-2 | ||||
5.18%, 11/15/49 | 825,000 | 1,119,249 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series A | ||||
1.65%, 11/01/28 | 225,000 | 222,078 | ||
2.07%, 11/01/30 | 670,000 | 668,125 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series C | ||||
1.83%, 11/01/29 | 70,000 | 69,036 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 411,093 | ||
Port of Oakland, Senior Lien Revenue Bond, Series R | ||||
1.95%, 05/01/28 | 90,000 | 91,646 | ||
2.10%, 05/01/30 | 25,000 | 25,431 | ||
2.20%, 05/01/31 | 135,000 | 137,681 | ||
San Francisco Municipal Transportation Agency, Revenue Bond, Series A | ||||
1.30%, 03/01/28 | 155,000 | 152,570 | ||
San Jose Financing Authority, Revenue Bond | ||||
1.81%, 06/01/29 | 100,000 | 99,307 | ||
1.86%, 06/01/30 | 55,000 | 54,199 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 235,000 | 239,784 | ||
State of California, General Obligation | ||||
7.55%, 04/01/39 | 410,000 | 699,873 | ||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | 405,000 | 476,543 | ||
6.63%, 02/01/35 | 495,000 | 618,606 | ||
7.35%, 07/01/35 | 465,000 | 601,067 | ||
State of Louisiana, Revenue Bond, I-49 North Project | ||||
1.06%, 09/01/26 | 15,000 | 14,777 | ||
State of Louisiana, Revenue Bond, I-49 South Project | ||||
1.54%, 09/01/28 | 70,000 | 68,664 | ||
University of California, Revenue Bond, Series BG | ||||
1.61%, 05/15/30 | 1,600,000 | 1,586,261 |
Par | Value | |||
University of North Carolina at Charlotte (The), Revenue Bond | ||||
1.71%, 04/01/28 | $5,000 | $ 5,056 | ||
Total Municipal Bonds (Cost $10,202,667) | 11,482,577 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $132.00, Expires 07/23/21 (GSC) | 34 | $4,505,000 | 28,156 | |
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $132.20, Expires 07/23/21 (GSC) | 51 | 6,757,500 | 34,266 | |
Euro vs. U.S. Dollar, Strike Price $1.21, Expires 07/21/21 (GSC) | 1 | 3,222,867 | 2,535 | |
Euro vs. U.S. Dollar, Strike Price $1.23, Expires 08/20/21 (GSC) | 1 | 8,541,565 | 7,795 | |
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $160.00, Expires 07/23/21 (GSC) | 34 | 5,465,500 | 58,969 | |
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $161.00, Expires 07/23/21 (GSC) | 26 | 4,179,500 | 31,281 | |
Long U.S. Treasury Bond Future expiration date 08/2021, Strike Price $162.00, Expires 08/27/21 (GSC) | 26 | 4,179,500 | 41,844 | |
204,846 | ||||
Put Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $132.00, Expires 07/23/21 (GSC) | 68 | 9,010,000 | 22,313 |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $132.20, Expires 07/23/21 (GSC) | 26 | $3,445,000 | $ 10,969 | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $123.00, Expires 08/27/21 (GSC) | 62 | 7,652,641 | 19,375 | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $132.00, Expires 08/27/21 (GSC) | 39 | 5,167,500 | 26,203 | ||
Japanese Yen vs. U.S. Dollar, Strike Price $107.45, Expires 07/09/21 (CITI) | 1 | 7,700,000 | 68 | ||
Norwegian Krone vs. U.S. Dollar, Strike Price $8.13, Expires 08/06/21 (GSC) | 1 | 2,670,000 | 1,238 | ||
Norwegian Krone vs. U.S. Dollar, Strike Price $8.14, Expires 08/10/21 (CITI) | 1 | 2,530,000 | 1,554 | ||
Norwegian Krone vs. U.S. Dollar, Strike Price $8.21, Expires 08/13/21 (CITI) | 1 | 2,530,000 | 3,354 | ||
85,074 | |||||
Total Purchased Options (Premiums paid $542,729) | 289,920 |
Par | |||
U.S. TREASURY OBLIGATIONS — 18.5% | |||
U.S. Treasury Bill | |||
0.05%, 09/23/21Ω | $11,200,000 | 11,198,824 | |
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | 10,000 | 13,768 | |
4.25%, 05/15/39 | 4,300,000 | 5,885,793 | |
4.38%, 11/15/39 | 200,000 | 278,289 | |
1.13%, 08/15/40 | 6,750,000 | 5,809,219 | |
1.38%, 11/15/40‡‡ | 45,370,000 | 40,772,743 | |
1.88%, 02/15/41 | 14,190,000 | 13,895,114 | |
2.25%, 05/15/41Δ | 1,980,000 | 2,060,747 | |
2.75%, 08/15/42 | 600,000 | 676,336 | |
2.75%, 11/15/42 | 700,000 | 788,512 |
Par | Value | |||
2.88%, 05/15/43Δ | $ 3,200,000 | $ 3,681,250 | ||
3.63%, 02/15/44 | 6,460,000 | 8,351,821 | ||
3.38%, 05/15/44‡‡ | 3,200,000 | 3,991,125 | ||
3.13%, 08/15/44 | 4,800,000 | 5,762,062 | ||
3.00%, 11/15/44 | 3,100,000 | 3,650,492 | ||
2.50%, 02/15/45‡‡ | 950,000 | 1,028,152 | ||
2.88%, 08/15/45 | 4,340,000 | 5,018,464 | ||
2.75%, 08/15/47 | 7,940,000 | 9,034,231 | ||
3.00%, 02/15/48 | 6,170,000 | 7,356,761 | ||
3.13%, 05/15/48 | 5,380,000 | 6,562,970 | ||
3.00%, 02/15/49 | 80,000 | 95,803 | ||
2.88%, 05/15/49Δ | 6,200,000 | 7,261,992 | ||
2.25%, 08/15/49Δ | 3,400,000 | 3,523,250 | ||
2.00%, 02/15/50 | 19,840,000 | 19,497,450 | ||
1.25%, 05/15/50Δ | 22,340,000 | 18,248,115 | ||
1.38%, 08/15/50Δ | 37,060,000 | 31,253,451 | ||
1.63%, 11/15/50‡‡ Δ | 16,570,000 | 14,887,109 | ||
1.88%, 02/15/51Δ | 11,470,000 | 10,950,266 | ||
2.38%, 05/15/51 | 3,330,000 | 3,556,076 | ||
233,891,361 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
2.13%, 02/15/40 | 2,718,232 | 4,056,946 | ||
1.38%, 02/15/44‡‡ | 1,684,414 | 2,327,879 | ||
6,384,825 | ||||
U.S. Treasury Notes | ||||
2.00%, 12/31/21‡‡ | 1,500,000 | 1,514,452 | ||
1.88%, 03/31/22‡‡ | 1,900,000 | 1,925,603 | ||
1.88%, 09/30/22‡‡ | 3,000,000 | 3,065,391 | ||
2.00%, 10/31/22‡‡ | 2,700,000 | 2,766,920 | ||
0.25%, 11/15/23 | 60,000 | 59,911 | ||
0.38%, 04/30/25 | 500,000 | 494,727 | ||
0.25%, 05/31/25 | 6,170,000 | 6,067,568 | ||
2.88%, 07/31/25 | 2,330,000 | 2,533,602 | ||
0.25%, 08/31/25 | 170,000 | 166,620 | ||
0.25%, 09/30/25Δ | 2,800,000 | 2,741,594 | ||
0.25%, 10/31/25 | 500,000 | 488,945 | ||
2.25%, 11/15/25 | 1,480,000 | 1,574,986 | ||
0.38%, 11/30/25 | 20,000 | 19,643 | ||
0.38%, 01/31/26Δ | 180,000 | 176,421 | ||
2.63%, 01/31/26 | 3,120,000 | 3,375,694 | ||
0.50%, 02/28/26‡‡ | 80,000 | 78,802 | ||
0.75%, 03/31/26‡‡ Δ | 15,950,000 | 15,880,842 | ||
2.25%, 03/31/26 | 1,500,000 | 1,599,023 | ||
2.13%, 05/31/26 | 6,320,000 | 6,704,137 | ||
2.25%, 02/15/27 | 3,518,000 | 3,760,962 | ||
0.63%, 12/31/27 | 10,250,000 | 9,911,670 | ||
0.75%, 01/31/28Δ | 33,530,000 | 32,651,147 | ||
2.75%, 02/15/28‡‡ | 1,400,000 | 1,542,953 | ||
1.25%, 03/31/28‡‡ | 25,060,000 | 25,162,785 | ||
1.25%, 04/30/28 | 34,790,000 | 34,904,155 |
Par | Value | |||
2.88%, 05/15/28 | $ 800,000 | $ 888,906 | ||
1.25%, 05/31/28 | 6,590,000 | 6,607,505 | ||
1.25%, 06/30/28 | 11,270,000 | 11,288,490 | ||
3.13%, 11/15/28 | 8,180,000 | 9,255,542 | ||
2.63%, 02/15/29 | 1,000,000 | 1,096,758 | ||
0.63%, 05/15/30 | 510,000 | 476,790 | ||
1.63%, 05/15/31Δ | 9,040,000 | 9,179,837 | ||
197,962,381 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 2,790,000 | 1,886,539 | ||
2.18%, 08/15/41Ω | 1,080,000 | 700,387 | ||
2,586,926 | ||||
Total U.S. Treasury Obligations (Cost $461,605,723) | 452,024,317 |
Shares | |||
MONEY MARKET FUNDS — 11.6% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 274,047,701 | 274,047,701 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%Ø § | 6,892,790 | 6,892,790 | |
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,237,356 | 1,237,356 | |
Total Money Market Funds (Cost $282,177,847) | 282,177,847 |
Par | |||
REPURCHASE AGREEMENTS — 13.0% | |||
Citigroup Global Markets, Inc. | |||
0.03% (dated 06/30/21, due 07/01/21, repurchase price $158,026,333, collateralized by U.S. Treasury Bond, 2.50%, due 02/15/45, total market value $163,525,737) | $158,000,000 | 158,000,000 | |
Deutsche Bank Securities, Inc. | |||
0.04% (dated 07/01/21, due 07/02/21, repurchase price $77,517,222, collateralized by U.S. Treasury Bond, 3.13%, due 08/15/44, total market value $79,649,257) | 77,500,000 | 77,500,000 |
Par | Value | |||
JP Morgan Securities LLC | ||||
0.04% (dated 07/01/21, due 07/02/21, repurchase price $80,517,889, collateralized by U.S. Treasury Inflationary Index Bond, 0.63%, due 02/15/24, total market value $82,137,656) | $80,500,000 | $ 80,500,000 | ||
Total Repurchase Agreements (Cost $316,000,000) | 316,000,000 | |||
TOTAL INVESTMENTS —113.4% (Cost $2,711,413,847) | 2,759,462,197 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.0)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $132.50, Expires 07/23/21 (GSC) | (86) | $(11,395,000) | (45,687) | |
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $133.00, Expires 07/23/21 (GSC) | (153) | (20,272,500) | (47,812) | |
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $133.50, Expires 07/23/21 (GSC) | (74) | (9,805,000) | (12,719) | |
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $133.50, Expires 08/27/21 (GSC) | (37) | (4,902,500) | (16,766) | |
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $134.00, Expires 08/27/21 (GSC) | (178) | (23,585,000) | (55,625) | |
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $159.00, Expires 07/23/21 (GSC) | (26) | (4,179,500) | (61,750) | |
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $162.00, Expires 07/23/21 (GSC) | (33) | (5,304,750) | (26,813) |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $162.50, Expires 07/23/21 (GSC) | (26) | $ (4,179,500) | $ (17,063) | ||
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $164.00, Expires 07/23/21 (GSC) | (86) | (13,824,500) | (29,562) | ||
Long U.S. Treasury Bond Future expiration date 08/2021, Strike Price $165.00, Expires 08/27/21 (GSC) | (52) | (8,359,000) | (39,000) | ||
(352,797) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $130.50, Expires 07/23/21 (GSC) | (57) | (7,552,500) | (3,563) | ||
10-Year U.S. Treasury Note Future expiration date 07/2021, Strike Price $131.50, Expires 07/23/21 (GSC) | (38) | (5,035,000) | (7,125) | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $122.00, Expires 08/27/21 (GSC) | (124) | (15,305,283) | (11,625) | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $122.50, Expires 08/27/21 (GSC) | (76) | (9,380,657) | (13,656) | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $122.70, Expires 08/27/21 (GSC) | (80) | (9,874,376) | (18,750) | ||
10-Year U.S. Treasury Note Future expiration date 08/2021, Strike Price $130.50, Expires 08/27/21 (GSC) | (78) | (10,335,000) | (19,500) |
Number of Contracts | Notional Amount | Value | |||
Long U.S. Treasury Bond Future expiration date 07/2021, Strike Price $158.00, Expires 07/23/21 (GSC) | (29) | $(4,661,750) | $ (10,875) | ||
(85,094) | |||||
Total Written Options (Premiums received $ (416,666)) | (437,891) |
Par | |||
TBA SALE COMMITMENTS — (3.2)% | |||
Uniform Mortgage Backed Securities 3.50%, 07/01/51 TBA | $(60,700,000) | (63,897,420) | |
Uniform Mortgage Backed Securities 4.00%, 07/01/51 TBA | (2,000,000) | (2,129,844) | |
Uniform Mortgage Backed Securities 4.00%, 08/01/51 TBA | (1,000,000) | (1,065,781) | |
Uniform Mortgage Backed Securities 4.50%, 07/01/51 TBA | (3,000,000) | (3,227,812) | |
Government National Mortgage Association 3.00%, 07/01/51 TBA | (2,200,000) | (2,291,758) | |
Government National Mortgage Association 4.00%, 07/01/51 TBA | (4,000,000) | (4,224,219) | |
Total TBA Sale Commitments (Proceeds $(77,060,511)) | (76,836,834) | ||
Liabilities in Excess of Other Assets — (10.2)% | (247,838,073) | ||
NET ASSETS — 100.0% | $2,434,349,399 |
% | |
Corporate Bonds | 26.7 |
Mortgage-Backed Securities | 24.3 |
U.S. Treasury Obligations | 18.5 |
Repurchase Agreements | 13.0 |
Foreign Bonds | 11.8 |
Money Market Funds | 11.6 |
Asset-Backed Securities | 4.7 |
Agency Obligations | 1.1 |
Commercial Paper | 0.8 |
Municipal Bonds | 0.5 |
Loan Agreements | 0.4 |
Purchased Options | —** |
Written Options | (—) ** |
TBA Sale Commitments | (3.2) |
110.2 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 09/2021 | (20) | $ (4,819,837) | $ (100,521) | ||||
Euro-Bobl | 09/2021 | (8) | (1,272,547) | (23) | ||||
Euro-Bund | 09/2021 | (185) | (37,864,381) | (336,885) | ||||
Euro-OAT | 09/2021 | 44 | 8,297,595 | 96,324 | ||||
10-Year Japanese Treasury Bond | 09/2021 | (9) | (12,288,672) | (12,467) | ||||
10-Year Commonwealth Treasury Bond | 09/2021 | 79 | 8,364,891 | 23,318 | ||||
10-Year U.S. Treasury Note | 09/2021 | 1,050 | 139,125,000 | 361,504 | ||||
U.S. Treasury Long Bond | 09/2021 | (204) | (32,793,000) | (934,378) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2021 | (94) | (13,837,094) | (248,998) | ||||
Ultra Long U.S. Treasury Bond | 09/2021 | 376 | 72,450,500 | 2,310,236 | ||||
Long GILT | 09/2021 | (67) | (11,872,450) | (85,597) | ||||
2-Year U.S. Treasury Note | 09/2021 | 912 | 200,932,125 | (277,479) | ||||
5-Year U.S. Treasury Note | 09/2021 | 1,873 | 231,183,805 | (407,316) | ||||
90-Day Eurodollar | 12/2021 | (760) | (189,610,500) | (193,498) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,157,500 | (7,625) | ||||
90-Day Eurodollar | 12/2023 | 950 | 234,828,125 | (90,900) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $ 599,981,060 | $ 95,695 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/02/21 | U.S. Dollars | 28,441,356 | British Pounds | 20,118,000 | GSC | $ 612,123 | ||||||
07/19/21 | Brazilian Reals | 15,244,857 | U.S. Dollars | 2,685,585 | CITI | 373,126 | ||||||
07/02/21 | U.S. Dollars | 11,351,491 | Euro | 9,279,000 | BNP | 348,915 | ||||||
07/02/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,428,641 | MSCS | 338,444 | ||||||
07/19/21 | Russian Rubles | 278,160,000 | U.S. Dollars | 3,557,989 | CITI | 233,128 | ||||||
07/19/21 | Russian Rubles | 234,044,702 | U.S. Dollars | 2,986,431 | GSC | 203,427 | ||||||
09/15/21 | U.S. Dollars | 4,134,952 | Swedish Kronor | 34,162,829 | DEUT | 140,126 | ||||||
09/15/21 | U.S. Dollars | 3,412,280 | Norwegian Kroner | 28,183,935 | CITI | 137,913 | ||||||
08/05/21 | U.S. Dollars | 5,999,726 | British Pounds | 4,252,067 | SS | 117,246 | ||||||
07/19/21 | U.S. Dollars | 18,112,367 | Euro | 15,179,071 | CITI | 106,476 | ||||||
07/19/21 | Mexican Pesos | 95,453,689 | U.S. Dollars | 4,680,456 | CITI | 96,550 | ||||||
09/15/21 | U.S. Dollars | 3,704,260 | Canadian Dollars | 4,474,021 | JPM | 95,119 | ||||||
09/15/21 | U.S. Dollars | 2,857,638 | Australian Dollars | 3,685,962 | JPM | 92,425 | ||||||
09/15/21 | U.S. Dollars | 2,812,539 | New Zealand Dollars | 3,898,831 | DEUT | 87,922 | ||||||
10/12/21 | U.S. Dollars | 1,908,393 | Peruvian Nuevo Soles | 7,052,466 | HSBC | 71,231 | ||||||
07/02/21 | U.S. Dollars | 1,998,840 | Canadian Dollars | 2,408,000 | GSC | 56,278 | ||||||
08/03/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,692,738 | GSC | 56,175 | ||||||
07/19/21 | Canadian Dollars | 3,995,065 | U.S. Dollars | 3,191,213 | CITI | 31,620 | ||||||
11/12/21 | U.S. Dollars | 1,229,754 | Peruvian Nuevo Soles | 4,609,488 | GSC | 29,460 | ||||||
07/19/21 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 3,878,171 | CITI | 24,860 | ||||||
07/19/21 | U.S. Dollars | 2,255,748 | Mexican Pesos | 44,657,043 | CITI | 20,874 | ||||||
09/10/21 | U.S. Dollars | 2,364,354 | Euro | 1,974,169 | SS | 19,929 | ||||||
09/15/21 | U.S. Dollars | 679,239 | Canadian Dollars | 821,540 | CITI | 16,512 | ||||||
08/04/21 | U.S. Dollars | 426,000 | Peruvian Nuevo Soles | 1,573,218 | BNP | 16,261 | ||||||
08/03/21 | U.S. Dollars | 27,847,034 | British Pounds | 20,118,000 | HSBC | 15,053 | ||||||
07/19/21 | U.S. Dollars | 1,569,235 | Mexican Pesos | 31,065,146 | GSC | 14,571 | ||||||
09/15/21 | U.S. Dollars | 814,434 | Japanese Yen | 88,871,209 | CITI | 13,938 | ||||||
09/15/21 | U.S. Dollars | 1,950,586 | Euro | 1,632,000 | CITI | 12,287 | ||||||
08/20/21 | U.S. Dollars | 425,978 | Canadian Dollars | 515,436 | WEST | 10,179 | ||||||
07/19/21 | U.S. Dollars | 651,183 | Russian Rubles | 47,040,000 | GSC | 10,062 | ||||||
09/15/21 | U.S. Dollars | 4,217,930 | Japanese Yen | 467,355,923 | SS | 8,281 | ||||||
08/17/21 | U.S. Dollars | 298,195 | Japanese Yen | 32,400,000 | HSBC | 6,434 | ||||||
07/19/21 | U.S. Dollars | 417,684 | Russian Rubles | 30,190,000 | CITI | 6,217 | ||||||
08/03/21 | U.S. Dollars | 1,944,555 | Canadian Dollars | 2,408,000 | BNP | 2,026 | ||||||
07/13/21 | U.S. Dollars | 169,210 | Peruvian Nuevo Soles | 645,453 | BAR | 1,374 | ||||||
09/03/21 | U.S. Dollars | 678,967 | Peruvian Nuevo Soles | 2,604,516 | JPM | 261 | ||||||
08/20/21 | Australian Dollars | 690,991 | U.S. Dollars | 518,283 | UBS | 48 | ||||||
Subtotal Appreciation | $3,426,871 | |||||||||||
09/15/21 | British Pounds | 19,080 | U.S. Dollars | 27,046 | CITI | $ (648) | ||||||
09/15/21 | British Pounds | 140,000 | U.S. Dollars | 195,159 | JPM | (1,463) | ||||||
07/19/21 | U.S. Dollars | 258,919 | British Pounds | 188,429 | GSC | (1,750) | ||||||
07/19/21 | U.S. Dollars | 1,274,751 | Mexican Pesos | 25,540,355 | CITI | (3,423) | ||||||
09/15/21 | British Pounds | 138,000 | U.S. Dollars | 194,576 | SS | (3,647) | ||||||
09/15/21 | Norwegian Kroner | 1,615,380 | U.S. Dollars | 194,000 | SS | (6,328) | ||||||
08/05/21 | British Pounds | 610,049 | U.S. Dollars | 852,182 | SS | (8,217) | ||||||
07/19/21 | U.S. Dollars | 448,436 | Chinese Offshore Yuan | 2,958,374 | GSC | (8,304) | ||||||
09/15/21 | New Zealand Dollars | 474,102 | U.S. Dollars | 342,750 | UBS | (11,433) | ||||||
09/15/21 | Swedish Kronor | 32,147,208 | Euro | 3,174,945 | BOA | (11,700) | ||||||
08/05/21 | British Pounds | 325,932 | U.S. Dollars | 462,961 | RBC | (12,053) | ||||||
07/19/21 | U.S. Dollars | 2,621,098 | Mexican Pesos | 52,637,964 | GSC | (13,183) | ||||||
09/15/21 | Norwegian Kroner | 28,533,201 | Euro | 2,802,767 | JPM | (13,855) | ||||||
09/15/21 | New Zealand Dollars | 4,108,661 | U.S. Dollars | 2,885,952 | DEUT | (14,701) | ||||||
09/15/21 | Australian Dollars | 3,824,266 | U.S. Dollars | 2,883,741 | CITI | (14,773) | ||||||
09/15/21 | Swedish Kronor | 3,829,711 | U.S. Dollars | 464,125 | UBS | (16,298) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/20/21 | Australian Dollars | 790,941 | U.S. Dollars | 613,449 | CITI | $ (20,144) | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | (21,558) | ||||||
09/15/21 | Australian Dollars | 860,000 | U.S. Dollars | 667,907 | DEUT | (22,734) | ||||||
04/06/22 | U.S. Dollars | 2,131,981 | Israeli Shekels | 6,999,294 | GSC | (24,912) | ||||||
09/15/21 | Canadian Dollars | 4,371,257 | U.S. Dollars | 3,551,941 | RBC | (25,698) | ||||||
07/19/21 | Australian Dollars | 2,211,180 | U.S. Dollars | 1,692,517 | CITI | (34,074) | ||||||
09/15/21 | Euro | 1,123,000 | U.S. Dollars | 1,372,035 | UBS | (38,267) | ||||||
09/15/21 | Japanese Yen | 384,403,934 | U.S. Dollars | 3,515,952 | JPM | (53,483) | ||||||
07/02/21 | U.S. Dollars | 4,707,739 | Brazilian Reals | 23,710,527 | GSC | (59,346) | ||||||
09/08/21 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,632,654 | MSCS | (62,518) | ||||||
07/19/21 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,409,214 | CITI | (152,069) | ||||||
07/19/21 | Euro | 7,901,923 | U.S. Dollars | 9,531,672 | CITI | (158,161) | ||||||
09/15/21 | Euro | 6,128,628 | U.S. Dollars | 7,468,910 | BOA | (190,040) | ||||||
Subtotal Depreciation | $(1,004,780) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $ 2,422,091 |
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, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 630,000 | $(5,913) | $(6,835) | $ 922 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (657) | (1,226) | 569 | ||||||||
Subtotal Appreciation | $(6,570) | $(8,061) | $ 1,491 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | $(2,037) | $ 1,639 | $(3,676) | ||||||||
Subtotal Depreciation | $(2,037) | $ 1,639 | $(3,676) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at June 30, 2021 | $(8,607) | $(6,422) | $(2,185) |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive 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 10/9/22 (Receive Quarterly) | 0.38% | 1.00% | 12/20/2023 | USD | 600,000 | $ 9,329 | $ (25,420) | $ 34,749 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.42% | 1.00% | 6/20/2024 | USD | 1,000,000 | 17,515 | (20,253) | 37,768 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.28% | 1.00% | 6/20/2024 | USD | 1,075,000 | 23,490 | 19,844 | 3,646 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.38% | 1.00% | 6/20/2024 | USD | 3,470,000 | 65,159 | 13,562 | 51,597 | ||||||||
Rolls-Royce Holdings PLC, 2.13% due 6/18/21 (Receive Quarterly) | 2.01% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (77,899) | (263,901) | 186,002 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.72% | 1.00% | 6/20/2026 | USD | 2,400,000 | 33,674 | 12,332 | 21,342 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.83% | 1.00% | 6/20/2026 | USD | 320,000 | $ 2,711 | $ 2,099 | $ 612 | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.07% | 1.00% | 6/20/2028 | EUR | 1,800,000 | (9,784) | (10,409) | 625 | ||||||||
Subtotal Appreciation | $ 64,195 | $(272,146) | $336,341 | |||||||||||||
Republic of Colombia, 10.38% due 1/28/33 (Receive Quarterly) | 0.87% | 1.00% | 6/20/2024 | USD | 860,000 | $ 3,498 | $ 6,126 | $ (2,628) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.86% | 1.00% | 6/20/2024 | USD | 475,000 | 2,026 | 11,966 | (9,940) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.57% | 1.00% | 12/20/2024 | USD | 290,000 | 4,449 | 6,740 | (2,291) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.58% | 1.00% | 12/20/2024 | USD | 950,000 | 14,140 | 17,427 | (3,287) | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.72% | 1.00% | 6/20/2026 | USD | 1,100,000 | 15,464 | 17,601 | (2,137) | ||||||||
Subtotal Depreciation | $ 39,577 | $ 59,860 | $ (20,283) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at June 30, 2021 | $103,772 | $(212,286) | $316,058 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive 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) | 0.25% | 1.00% | 6/20/2023 | USD | 7,550,000 | $ 114,731 | $ 114,038 | $ 693 | ||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2025 | USD | 22,475,000 | 464,674 | 232,086 | 232,588 | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.32% | 5.00% | 6/20/2026 | EUR | 5,100,000 | 759,063 | 676,522 | 82,541 | ||||||||
Markit CDX.NA.HY.36 Index (Receive Quarterly) | 2.74% | 5.00% | 6/20/2026 | USD | 780,000 | 80,469 | 69,867 | 10,602 | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2026 | USD | 101,410,000 | 2,589,907 | 2,347,577 | 242,330 | ||||||||
$4,008,844 | $3,440,090 | $568,754 |
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 | 4,583,799 | $ 3,665 | $ — | $ 3,665 | ||||||||
Subtotal Appreciation | $ 3,665 | $ — | $ 3,665 | |||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 11,160,948 | $ 8,923 | $ 10,600 | $(1,677) | ||||||||
Subtotal Depreciation | $ 8,923 | $ 10,600 | $(1,677) | |||||||||||||
Net Interest Rate Swaps outstanding at June 30, 2021 | $12,588 | $ 10,600 | $ 1,988 |
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 | 5,804,074 | $ 15,271 | $ — | $ 15,271 | |||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | 32,622 | (83) | 32,705 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,363 | 57,264 | (495) | 57,759 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 4,558 | (96) | 4,654 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,470 | 17,976 | — | 17,976 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 88,220,000 | 41,436 | — | 41,436 | |||||||
5.60% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/13/2023 | MXN | 87,690,000 | 57,560 | — | 57,560 | |||||||
0.84% (Annually) | 6-Month WIBOR (Semiannually) | 9/15/2023 | PLN | 23,200,000 | 14,114 | — | 14,114 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 11,784,730,000 | 35,389 | — | 35,389 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.37% (Upon termination) | 1/2/2024 | BRL | 10,777,565 | 2,518 | — | 2,518 | |||||||
0.40% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 9/15/2024 | AUD | 13,340,000 | 48,245 | — | 48,245 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 5,365,429 | 40,282 | — | 40,282 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 9/15/2026 | EUR | 9,430,000 | 76,509 | — | 76,509 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/15/2026 | USD | 3,740,000 | 94,187 | — | 94,187 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2026 | KRW | 891,692,115 | 7,360 | — | 7,360 | |||||||
3-Month STIBOR (Quarterly) | 0.50% (Annually) | 9/15/2026 | SEK | 127,600,000 | 58,476 | — | 58,476 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 13,194,000 | 468,442 | (42,548) | 510,990 | |||||||
0.78% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2027 | USD | 9,184,000 | 202,072 | 22,994 | 179,078 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 306,121 | 68,836 | 237,285 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 44,840,000 | 150,310 | — | 150,310 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 7,140,000 | 38,167 | — | 38,167 | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 5,350,000 | 46,933 | — | 46,933 | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 15,300,000 | 217,670 | — | 217,670 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 30,840,000 | 20,975 | — | 20,975 | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/15/2031 | JPY | 565,000,000 | 48,191 | — | 48,191 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 9/15/2031 | GBP | 17,860,000 | 1,145,304 | — | 1,145,304 | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 9/15/2031 | SEK | 25,110,000 | 58,409 | — | 58,409 | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 9/15/2031 | AUD | 2,730,000 | 72,914 | — | 72,914 | |||||||
6-Month EURIBOR (Semiannually) | (0.25)% (Annually) | 9/15/2031 | EUR | 700,000 | (31,960) | (32,910) | 950 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 1,210,000 | 19,833 | — | 19,833 | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 7,360,000 | 5,341 | 3,428 | 1,913 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 11,820,000 | 822,824 | — | 822,824 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/15/2041 | EUR | 140,000 | 16,082 | — | 16,082 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 977,715 | 70,079 | 907,636 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 527,406 | — | 527,406 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 334,105 | 76,382 | 257,723 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 1,321,078 | 97,887 | 1,223,191 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 193,672 | 8,929 | 184,743 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 103,260 | 1,039 | 102,221 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 59,193 | 9,710 | 49,483 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 433,041 | (64) | 433,105 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 152,206 | (487) | 152,693 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/15/2051 | EUR | 170,000 | 28,185 | — | 28,185 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/15/2051 | JPY | 200,930,000 | 134,278 | — | 134,278 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/15/2051 | USD | 2,630,000 | $ 327,649 | $ — | $ 327,649 | |||||||
Subtotal Appreciation | $ 8,803,183 | $282,601 | $ 8,520,582 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $ (6,348) | $ — | $ (6,348) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | (260,483) | 102,156 | (362,639) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (164,281) | 287 | (164,568) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (126,528) | (17,065) | (109,463) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (34,378) | — | (34,378) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 14,546,447 | (27,008) | — | (27,008) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 3,551,131 | (19,014) | — | (19,014) | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 101,420,000 | (57,485) | — | (57,485) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 124,610,000 | (77,644) | — | (77,644) | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 103,880,000 | (110,994) | — | (110,994) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 29,420,000 | (2,589) | (583) | (2,006) | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 36,750,000 | (1,533) | 988 | (2,521) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 9/15/2023 | EUR | 2,960,000 | (4,342) | — | (4,342) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 9,384,201 | (1,963) | — | (1,963) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 31,750,000 | (175,416) | — | (175,416) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,419 | (17,395) | — | (17,395) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 46,680,000 | (77,416) | — | (77,416) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 23,170,000 | (5,866) | — | (5,866) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 27,776 | 42,931 | (15,155) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 9,720,000 | (1,694) | 307 | (2,001) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | (2,540) | — | (2,540) | |||||||
3-Month LIBOR (Quarterly) | 0.25% (Semiannually) | 9/15/2024 | USD | 10,490,000 | (120,301) | — | (120,301) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | (22,304) | — | (22,304) | |||||||
3-Month LIBOR (Quarterly) | 1.10% (Semiannually) | 12/18/2025 | USD | 39,304,000 | (182,987) | — | (182,987) | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 5,500,000 | (11,477) | — | (11,477) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.30% (Lunar) | 9/9/2026 | MXN | 760,000 | (691) | — | (691) | |||||||
(0.50)% (Annually) | 6-Month EURIBOR (Semiannually) | 9/15/2026 | EUR | 3,520,000 | 57,689 | 61,538 | (3,849) | |||||||
1.75% (Annually) | 6-Month WIBOR (Semiannually) | 9/15/2026 | PLN | 4,125,000 | (12,631) | (2,772) | (9,859) | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 9/15/2026 | GBP | 29,460,000 | (1,007,092) | — | (1,007,092) | |||||||
3-Month JIBAR (Quarterly) | 5.80% (Quarterly) | 9/15/2026 | ZAR | 9,980,000 | (11,182) | — | (11,182) | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 5,028,649 | (19,823) | — | (19,823) | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 19,865,000 | (98,769) | 27,321 | (126,090) | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 30,090,000 | (344,539) | 26,354 | (370,893) | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 580,143,944 | (36,452) | — | (36,452) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 21,890,000 | (343,310) | — | (343,310) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 5,330,000 | (173,973) | — | (173,973) | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 9,450,000 | (166,989) | — | (166,989) | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 1/26/2031 | GBP | 5,800,000 | (26,565) | — | (26,565) | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,580,000 | (24,059) | — | (24,059) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,750,000 | (37,459) | — | (37,459) | |||||||
1.93% (Annually) | 6-Month NIBOR (Semiannually) | 6/29/2031 | NOK | 8,950,000 | (2,013) | — | (2,013) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.86% (Lunar) | 9/3/2031 | MXN | 15,305,000 | (12,674) | — | (12,674) | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/15/2031 | GBP | 6,200,000 | (17,919) | (5,183) | (12,736) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 9/15/2031 | NOK | 28,480,000 | $ (92,672) | $ — | $ (92,672) | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 9/15/2031 | CAD | 4,780,000 | (227,597) | — | (227,597) | |||||||
3-Month LIBOR (Quarterly) | 1.00% (Semiannually) | 9/15/2031 | USD | 1,130,000 | (49,366) | — | (49,366) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 7,180,000 | (185,070) | (143,858) | (41,212) | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 18,840,000 | (282,928) | — | (282,928) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 489,200,000 | (365,610) | 34,429 | (400,039) | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 1,700,000 | (24,500) | — | (24,500) | |||||||
1.73% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,706,000 | (149,750) | — | (149,750) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 6,273,000 | (307,361) | 19,314 | (326,675) | |||||||
0.54% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 138,000,000 | (15,737) | (3,301) | (12,436) | |||||||
0.56% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 222,000,000 | (35,988) | (712) | (35,276) | |||||||
0.35% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2051 | JPY | 111,000,000 | 41,465 | 60,944 | (19,479) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (21,035) | — | (21,035) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 4/7/2051 | JPY | 48,000,000 | (9,521) | — | (9,521) | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | (64,841) | 10,953 | (75,794) | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/15/2051 | GBP | 8,200,000 | 238,047 | 386,170 | (148,123) | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 9/15/2051 | CAD | 3,770,000 | (342,153) | — | (342,153) | |||||||
Subtotal Depreciation | $(5,657,278) | $ 600,218 | $(6,257,496) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2021 | $ 3,145,905 | $ 882,819 | $ 2,263,086 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 26,056,136 | $ — | $ 26,056,136 | $ — | |||
Asset-Backed Securities | 113,920,648 | — | 113,920,648 | — | |||
Commercial Paper | 19,097,153 | — | 19,097,153 | — | |||
Corporate Bonds | 649,695,224 | — | 649,329,949 | 365,275 | |||
Foreign Bonds | 286,834,163 | — | 286,834,163 | — | |||
Loan Agreements | 9,153,494 | — | 9,153,494 | — | |||
Money Market Funds | 282,177,847 | 282,177,847 | — | — | |||
Mortgage-Backed Securities | 592,730,718 | — | 592,730,718 | — | |||
Municipal Bonds | 11,482,577 | — | 11,482,577 | — | |||
Purchased Options: | |||||||
Call Options | 204,846 | 194,516 | 10,330 | — | |||
Put Options | 85,074 | 78,860 | 6,214 | — | |||
Total Purchased Options | 289,920 | 273,376 | 16,544 | — | |||
Repurchase Agreements | 316,000,000 | — | 316,000,000 | — | |||
U.S. Treasury Obligations | 452,024,317 | — | 452,024,317 | — | |||
Total Assets - Investments in Securities | $2,759,462,197 | $282,451,223 | $2,476,645,699 | $365,275 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,426,871 | $ — | $ 3,426,871 | $ — | |||
Futures Contracts | 2,791,382 | 2,791,382 | — | — | |||
Swap Agreements | 9,430,833 | — | 9,430,833 | — | |||
Total Assets - Other Financial Instruments | $ 15,649,086 | $ 2,791,382 | $ 12,857,704 | $ — | |||
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(76,836,834) | $ — | $(76,836,834) | $ — | |||
Written Options: | |||||||
Call Options | (352,797) | (352,797) | — | — | |||
Put Options | (85,094) | (85,094) | — | — | |||
Total Written Options | (437,891) | (437,891) | — | — | |||
Total Liabilities - Investments in Securities | $(77,274,725) | $ (437,891) | $(76,836,834) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (1,004,780) | $ — | $ (1,004,780) | $ — | |||
Futures Contracts | (2,695,687) | (2,695,687) | — | — | |||
Swap Agreements | (6,283,132) | — | (6,283,132) | — | |||
Total Liabilities - Other Financial Instruments | $ (9,983,599) | $(2,695,687) | $ (7,287,912) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Par | Value | |||
ASSET-BACKED SECURITIES — 1.9% | ||||
AIMCO CLO 10, Ltd., Series 2019-10A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.55%, 3.55% Floor), 3.73%, 07/22/32 144A † | $1,000,000 | $1,005,287 | ||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D | ||||
1.21%, 12/18/26 | 55,000 | 54,906 | ||
Annisa CLO, Ltd., Series 2016-2A, Class DR | ||||
(Floating, ICE LIBOR USD 3M + 3.00%), 3.19%, 07/20/31 144A † | 500,000 | 501,776 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A | ||||
2.36%, 03/20/26 144A | 145,000 | 151,926 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A | ||||
1.38%, 08/20/27 144A | 770,000 | 770,674 | ||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 0.49%, 07/25/36 144A † | 630,000 | 592,614 | ||
CIFC Funding, Ltd., Series 2018-1A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 2.65%), 2.84%, 04/18/31 144A † | 1,050,000 | 1,038,236 | ||
CIFC Funding, Ltd., Series 2018-2A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 2.85%), 3.04%, 04/20/31 144A † | 250,000 | 249,306 | ||
CLI Funding VIII LLC, Series 2021-1A, Class A | ||||
1.64%, 02/18/46 144A | 120,860 | 120,099 | ||
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I | ||||
2.66%, 04/25/51 144A | 140,000 | 144,212 | ||
DT Auto Owner Trust, Series 2021-2A, Class D | ||||
1.50%, 02/16/27 144A | 25,000 | 25,157 | ||
Exeter Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.08%, 11/16/26 | 70,000 | 69,676 | ||
Flagship Credit Auto Trust, Series 2021-2, Class D | ||||
1.59%, 06/15/27 144A | 40,000 | 40,219 | ||
Ford Credit Auto Owner Trust, Series 2021-A, Class A3 | ||||
0.30%, 08/15/25 | 260,000 | 259,847 | ||
GLS Auto Receivables Issuer Trust, Series 2021-1A, Class D | ||||
1.68%, 01/15/27 144A | 175,000 | 175,584 | ||
GLS Auto Receivables Trust, Series 2021-2A, Class D | ||||
1.42%, 04/15/27 144A | 65,000 | 64,964 |
Par | Value | |||
GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3 | ||||
0.35%, 10/16/25 | $ 95,000 | $ 95,069 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3 | ||||
0.51%, 04/16/26 | 195,000 | 195,350 | ||
Honda Auto Receivables Owner Trust, Series 2021-1, Class A3 | ||||
0.27%, 04/21/25 | 155,000 | 154,930 | ||
Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1 | ||||
(Step to 6.44% on 06/27/22), 3.44%, 05/25/59 144A STEP | 75,318 | 75,543 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 588,490 | ||
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor, 12.50% Cap), 1.17%, 01/25/34† | 289,884 | 290,093 | ||
Octagon Investment Partners 35, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 2.60%, 2.60% Floor), 2.79%, 01/20/31 144A † | 250,000 | 246,992 | ||
PFCA Home Equity Investment Trust, Series 2003-IFC5, Class A | ||||
4.26%, 01/22/35 144A γ | 424,512 | 438,776 | ||
Progress Residential, Series 2021-SFR3, Class E1 | ||||
2.54%, 05/17/26 144A | 20,000 | 20,216 | ||
Santander Drive Auto Receivables Trust, Series 2021-1, Class D | ||||
1.13%, 11/16/26 | 70,000 | 70,182 | ||
Santander Drive Auto Receivables Trust, Series 2021-2, Class D | ||||
1.35%, 07/15/27 | 85,000 | 85,304 | ||
Saxon Asset Securities Trust, Series 2006-3, Class A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 12.25% Cap), 0.33%, 10/25/46† | 560,000 | 502,288 | ||
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C | ||||
3.12%, 05/20/36 144A | 39,040 | 40,009 | ||
S-Jets, Ltd., Series 2017-1, Class A | ||||
3.97%, 08/15/42 144A | 184,233 | 182,606 | ||
SLM Student Loan Trust, Series 2003-10A, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.67%), 0.79%, 12/17/68 144A † | 640,000 | 641,942 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 0.87%, 03/15/33 144A † | 185,098 | 182,346 |
Par | Value | |||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 0.33%, 03/25/44† | $ 127,918 | $ 125,720 | ||
SMB Private Education Loan Trust, Seres 2021-A, Class A2A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.73%), 0.83%, 01/15/53 144A † | 100,000 | 100,928 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 240,000 | 239,834 | ||
Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A | ||||
1.68%, 02/20/46 144A | 97,333 | 96,533 | ||
TIF Funding II LLC, Series 2021-1A, Class A | ||||
1.65%, 02/20/46 144A | 96,771 | 95,537 | ||
Towd Point Mortgage Trust, Series 2019-4, Class A1 | ||||
2.90%, 10/25/59 144A | 93,525 | 96,939 | ||
Toyota Auto Receivables Owner Trust, Series 2021-A, Class A2 | ||||
0.16%, 07/17/23 | 90,000 | 90,005 | ||
Trinitas CLO XII, Ltd., Series 2020-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 4.00%, 4.00% Floor), 4.18%, 04/25/33 144A † | 1,250,000 | 1,264,236 | ||
Triton Container Finance VIII LLC, Series 2021-1A, Class A | ||||
1.86%, 03/20/46 144A | 127,237 | 126,787 | ||
Wendy's Funding LLC, Series 2021-1A, Class A2I | ||||
2.37%, 06/15/51 144A | 60,000 | 60,761 | ||
Westlake Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.23%, 04/15/26 144A | 140,000 | 140,296 | ||
Westlake Automobile Receivables Trust, Series 2021-2A, Class D | ||||
1.23%, 12/15/26 144A | 65,000 | 65,209 | ||
Total Asset-Backed Securities (Cost $11,523,505) | 11,577,404 | |||
CORPORATE BONDS — 20.8% | ||||
Air Lease Corporation | ||||
2.30%, 02/01/25Δ | 305,000 | 315,574 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.08%), 4.65%, 06/15/26ρ Δ ^ | 120,000 | 124,650 | ||
4.63%, 10/01/28 | 50,000 | 56,424 | ||
3.00%, 02/01/30 | 30,000 | 30,461 | ||
3.13%, 12/01/30 | 25,000 | 25,432 | ||
Allied Universal Holdco LLC | ||||
6.00%, 06/01/29 144A | 270,000 | 274,080 | ||
Ally Financial, Inc. | ||||
5.13%, 09/30/24 | 465,000 | 524,262 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.87%), 4.70%, 05/15/26Δ ^ | 140,000 | 145,348 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 7Y + 3.48%), 4.70%, 05/15/28^ | $ 125,000 | $ 126,912 | ||
8.00%, 11/01/31 | 175,000 | 251,699 | ||
Amazon.com, Inc. | ||||
0.45%, 05/12/24 | 595,000 | 593,854 | ||
3.88%, 08/22/37 | 620,000 | 740,574 | ||
4.25%, 08/22/57 | 190,000 | 243,878 | ||
AMC Networks, Inc. | ||||
4.25%, 02/15/29 | 55,000 | 55,550 | ||
American Airlines Group, Inc. | ||||
5.00%, 06/01/22 144A Δ | 440,000 | 441,109 | ||
3.75%, 03/01/25 144A Δ | 5,000 | 4,613 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 207,197 | 200,469 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 83,602 | 81,240 | ||
American Airlines, Inc. | ||||
5.50%, 04/20/26 144A | 810,000 | 858,600 | ||
5.75%, 04/20/29 144A | 780,000 | 844,350 | ||
American Homes 4 Rent LP REIT | ||||
2.38%, 07/15/31 | 20,000 | 19,703 | ||
Apple, Inc. | ||||
4.65%, 02/23/46 | 145,000 | 192,770 | ||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25(E) | 284,000 | 341,569 | ||
Ares Capital Corporation | ||||
2.88%, 06/15/28 | 225,000 | 228,731 | ||
Ashtead Capital, Inc. | ||||
4.13%, 08/15/25 144A | 274,000 | 281,021 | ||
AT&T, Inc. | ||||
0.25%, 03/04/26(E) | 650,000 | 775,658 | ||
3.65%, 06/01/51 | 985,000 | 1,025,201 | ||
3.50%, 09/15/53 144A | 305,000 | 306,888 | ||
Athene Global Funding | ||||
1.61%, 06/29/26 144A | 110,000 | 110,091 | ||
Aviation Capital Group LLC | ||||
1.95%, 01/30/26 144A | 50,000 | 50,037 | ||
Avon Products, Inc. | ||||
8.45%, 03/15/43 | 60,000 | 78,111 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25(E) | 595,000 | 742,551 | ||
4.25%, 10/22/26 | 55,000 | 62,144 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.71%, 04/24/28^ | 250,000 | 276,599 | ||
(Variable, ICE LIBOR USD 3M + 1.04%), 3.42%, 12/20/28^ | 435,000 | 474,079 | ||
(Variable, ICE LIBOR USD 3M + 0.99%), 2.50%, 02/13/31^ | 155,000 | 158,422 | ||
(Variable, U.S. SOFR + 1.37%), 1.92%, 10/24/31^ | 360,000 | 351,201 | ||
(Variable, U.S. SOFR + 1.58%), 3.31%, 04/22/42^ | 1,860,000 | 1,970,114 | ||
(Variable, ICE LIBOR USD 3M + 3.15%), 4.08%, 03/20/51^ | 170,000 | 203,550 |
Par | Value | |||
Bausch Health Americas, Inc. | ||||
9.25%, 04/01/26 144A | $ 500,000 | $ 544,475 | ||
8.50%, 01/31/27 144A | 50,000 | 54,470 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV Δ | 80,000 | 83,104 | ||
1.25%, 05/15/27 CONV | 235,000 | 236,628 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 773,481 | ||
2.20%, 02/04/26 | 280,000 | 282,721 | ||
3.10%, 05/01/26 | 30,000 | 31,743 | ||
3.63%, 03/01/48 | 5,000 | 5,026 | ||
3.85%, 11/01/48 | 130,000 | 133,855 | ||
3.90%, 05/01/49 | 270,000 | 285,334 | ||
3.75%, 02/01/50 | 425,000 | 439,160 | ||
5.81%, 05/01/50 | 680,000 | 917,214 | ||
3.83%, 03/01/59 | 185,000 | 189,149 | ||
3.95%, 08/01/59 | 90,000 | 94,422 | ||
BP Capital Markets America, Inc. | ||||
3.63%, 04/06/30 | 510,000 | 572,234 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41 | 2,440,000 | 3,043,461 | ||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30 | 375,000 | 456,784 | ||
4.70%, 06/22/47 | 65,000 | 72,317 | ||
Bristol-Myers Squibb Co. | ||||
5.00%, 08/15/45 | 274,000 | 375,363 | ||
4.25%, 10/26/49 | 180,000 | 227,742 | ||
Brixmor Operating Partnership LP REIT | ||||
2.25%, 04/01/28 | 15,000 | 14,997 | ||
Broadcom, Inc. | ||||
4.15%, 11/15/30 | 380,000 | 426,559 | ||
2.60%, 02/15/33 144A Δ | 385,000 | 376,920 | ||
3.50%, 02/15/41 144A | 200,000 | 204,860 | ||
Carnival Corporation | ||||
1.88%, 11/07/22(E) | 150,000 | 176,421 | ||
5.75%, 03/01/27 144A | 120,000 | 125,850 | ||
Carvana Co. | ||||
5.63%, 10/01/25 144A | 35,000 | 36,479 | ||
5.50%, 04/15/27 144A | 50,000 | 51,773 | ||
5.88%, 10/01/28 144A Δ | 55,000 | 57,947 | ||
Caterpillar Financial Services Corporation | ||||
0.45%, 05/17/24 | 595,000 | 593,214 | ||
CCO Holdings LLC | ||||
4.50%, 08/15/30 144A | 650,000 | 677,602 | ||
Centene Corporation | ||||
4.63%, 12/15/29 | 700,000 | 770,714 | ||
3.00%, 10/15/30 | 25,000 | 25,713 | ||
2.50%, 03/01/31 | 215,000 | 212,312 | ||
Charter Communications Operating LLC | ||||
3.50%, 06/01/41 | 370,000 | 373,115 | ||
6.48%, 10/23/45 | 210,000 | 289,700 | ||
5.75%, 04/01/48 | 890,000 | 1,134,735 | ||
4.80%, 03/01/50 | 500,000 | 575,347 | ||
3.70%, 04/01/51 | 150,000 | 148,715 | ||
3.90%, 06/01/52 | 135,000 | 137,854 |
Par | Value | |||
3.85%, 04/01/61 | $270,000 | $265,661 | ||
4.40%, 12/01/61 | 260,000 | 279,911 | ||
Cigna Corporation | ||||
4.80%, 08/15/38 | 280,000 | 349,122 | ||
3.20%, 03/15/40 | 150,000 | 155,938 | ||
3.40%, 03/15/50 | 260,000 | 271,361 | ||
CIT Group, Inc. | ||||
5.25%, 03/07/25 | 540,000 | 609,066 | ||
Citigroup, Inc. | ||||
3.50%, 05/15/23 | 655,000 | 690,761 | ||
(Variable, ICE LIBOR USD 3M + 3.42%), 6.30%, 05/15/24ρ ^ | 690,000 | 743,958 | ||
(Variable, ICE LIBOR USD 3M + 0.90%), 3.35%, 04/24/25^ | 225,000 | 239,872 | ||
(Variable, ICE LIBOR USD 3M + 3.91%), 5.95%, 05/15/25ρ ^ | 100,000 | 109,695 | ||
(Variable, ICE LIBOR USD 3M + 1.56%), 3.89%, 01/10/28^ | 135,000 | 150,368 | ||
(Variable, ICE LIBOR USD 3M + 1.15%), 3.52%, 10/27/28^ | 200,000 | 219,145 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 210,000 | 222,732 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 620,000 | 896,620 | ||
Comcast Corporation | ||||
4.70%, 10/15/48Δ | 590,000 | 761,997 | ||
4.95%, 10/15/58 | 210,000 | 291,374 | ||
Comstock Resources, Inc. | ||||
7.50%, 05/15/25 144A | 93,000 | 96,743 | ||
ConocoPhillips | ||||
6.50%, 02/01/39 | 10,000 | 14,803 | ||
Continental Resources, Inc. | ||||
5.75%, 01/15/31 144A | 100,000 | 119,875 | ||
4.90%, 06/01/44 | 270,000 | 306,121 | ||
Corporate Office Properties LP REIT | ||||
2.75%, 04/15/31Δ | 20,000 | 20,177 | ||
Crown Castle International Corporation REIT | ||||
2.50%, 07/15/31 | 185,000 | 186,559 | ||
CTR Partnership LP REIT | ||||
5.25%, 06/01/25 | 551,000 | 565,464 | ||
CVS Health Corporation | ||||
4.13%, 04/01/40 | 105,000 | 122,102 | ||
5.05%, 03/25/48 | 405,000 | 527,023 | ||
4.25%, 04/01/50 | 210,000 | 249,435 | ||
DAE Funding LLC | ||||
4.50%, 08/01/22 144A | 8,000 | 8,036 | ||
DCP Midstream Operating LP | ||||
6.75%, 09/15/37 144A | 500,000 | 603,750 | ||
Dell International LLC | ||||
5.45%, 06/15/23 | 575,000 | 623,961 | ||
7.13%, 06/15/24 144A | 270,000 | 277,582 | ||
8.10%, 07/15/36 | 225,000 | 343,417 | ||
8.35%, 07/15/46 | 125,000 | 204,765 | ||
Delta Air Lines, Inc. | ||||
2.90%, 10/28/24 | 30,000 | 30,543 | ||
7.00%, 05/01/25 144A | 50,000 | 58,384 | ||
4.50%, 10/20/25 144A | 350,000 | 376,283 |
Par | Value | |||
7.38%, 01/15/26 | $ 330,000 | $ 387,462 | ||
4.75%, 10/20/28 144A | 1,300,000 | 1,446,336 | ||
Devon Energy Corporation | ||||
5.88%, 06/15/28 144A | 384,000 | 427,650 | ||
Diamondback Energy, Inc. | ||||
3.13%, 03/24/31 | 45,000 | 46,685 | ||
Digital Euro Finco LLC REIT | ||||
1.13%, 04/09/28(E) | 305,000 | 374,301 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 546,392 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30 | 190,000 | 207,479 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 1,065,000 | 1,144,875 | ||
7.75%, 07/01/26 | 1,545,000 | 1,751,644 | ||
5.13%, 06/01/29 144A | 90,000 | 88,981 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 900,000 | 875,812 | ||
3.38%, 08/15/26 CONV | 565,000 | 577,995 | ||
DTE Energy Co. | ||||
3.40%, 06/15/29 | 345,000 | 377,835 | ||
Edison International | ||||
4.95%, 04/15/25 | 35,000 | 38,784 | ||
El Paso Natural Gas Co. LLC | ||||
8.63%, 01/15/22 | 60,000 | 62,567 | ||
8.38%, 06/15/32 | 50,000 | 73,691 | ||
Enbridge Energy Partners LP | ||||
7.38%, 10/15/45 | 90,000 | 141,749 | ||
Encore Capital Group, Inc. | ||||
4.88%, 10/15/25(E) | 500,000 | 627,845 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A | 230,000 | 245,564 | ||
Energy Transfer LP | ||||
5.88%, 03/01/22Δ | 20,000 | 20,431 | ||
5.00%, 10/01/22 | 60,000 | 62,559 | ||
4.50%, 11/01/23 | 500,000 | 536,919 | ||
7.60%, 02/01/24 | 220,000 | 250,359 | ||
4.95%, 06/15/28 | 200,000 | 231,527 | ||
6.25%, 04/15/49 | 100,000 | 131,446 | ||
Enterprise Products Operating LLC | ||||
5.10%, 02/15/45 | 600,000 | 759,930 | ||
4.80%, 02/01/49 | 290,000 | 357,994 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30Δ | 100,000 | 118,500 | ||
EPR Properties REIT | ||||
3.75%, 08/15/29Δ | 230,000 | 230,607 | ||
EQT Corporation | ||||
3.13%, 05/15/26 144A | 10,000 | 10,261 | ||
5.00%, 01/15/29 | 850,000 | 948,897 | ||
3.63%, 05/15/31 144A | 20,000 | 20,901 | ||
ERAC USA Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 799,167 | ||
Expedia Group, Inc. | ||||
0.00%, 02/15/26 144A Ω CONV Δ | 55,000 | 59,675 | ||
2.95%, 03/15/31 | 440,000 | 446,776 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 300,000 | 372,980 |
Par | Value | |||
3.45%, 04/15/51 | $ 440,000 | $ 479,885 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 495,608 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28(E) | 300,000 | 366,531 | ||
FirstEnergy Corporation | ||||
7.38%, 11/15/31 | 630,000 | 863,800 | ||
Fiserv, Inc. | ||||
1.63%, 07/01/30(E) Δ | 290,000 | 369,815 | ||
Ford Motor Co. | ||||
6.63%, 10/01/28 | 75,000 | 89,600 | ||
4.75%, 01/15/43 | 190,000 | 202,112 | ||
Ford Motor Credit Co. LLC | ||||
2.75%, 06/14/24 | 460,000 | 646,254 | ||
3.82%, 11/02/27 | 400,000 | 417,151 | ||
4.00%, 11/13/30 | 850,000 | 891,437 | ||
Fox Corporation | ||||
5.58%, 01/25/49 | 635,000 | 859,447 | ||
Freeport-McMoRan, Inc. | ||||
5.40%, 11/14/34 | 230,000 | 278,107 | ||
Fresenius Medical Care US Finance II, Inc. | ||||
5.88%, 01/31/22 144A | 540,000 | 556,596 | ||
FS KKR Capital Corporation | ||||
3.40%, 01/15/26 | 75,000 | 77,592 | ||
GE Capital Funding LLC | ||||
4.55%, 05/15/32 | 1,390,000 | 1,662,724 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 232,901 | ||
4.25%, 04/01/50 | 460,000 | 591,677 | ||
General Electric Co. | ||||
6.75%, 03/15/32 | 20,000 | 27,744 | ||
6.88%, 01/10/39 | 46,000 | 68,987 | ||
General Motors Co. | ||||
5.40%, 10/02/23 | 360,000 | 396,630 | ||
6.13%, 10/01/25 | 430,000 | 509,335 | ||
6.25%, 10/02/43 | 85,000 | 117,523 | ||
5.20%, 04/01/45 | 255,000 | 315,698 | ||
General Motors Financial Co., Inc. | ||||
0.96%, 09/07/23(E) | 415,000 | 501,794 | ||
5.10%, 01/17/24 | 150,000 | 165,198 | ||
1.05%, 03/08/24 | 75,000 | 75,452 | ||
5.25%, 03/01/26 | 315,000 | 363,997 | ||
(Variable, ICE LIBOR USD 3M + 3.60%), 5.75%, 09/30/27ρ ^ | 5,000 | 5,454 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.00%), 5.70%, 09/30/30ρ ^ | 10,000 | 11,225 | ||
GEO Group, Inc. (The) REIT | ||||
5.88%, 10/15/24 | 290,000 | 260,556 | ||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31Δ | 305,000 | 482,123 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 777,365 | ||
Glencore Funding LLC | ||||
2.85%, 04/27/31 144A Δ | 450,000 | 458,102 |
Par | Value | |||
Go Daddy Operating Co. LLC | ||||
3.50%, 03/01/29 144A | $105,000 | $104,527 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 4.00%, 08/02/21† ρ | 40,000 | 39,740 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, ICE LIBOR USD 3M + 1.20%), 3.27%, 09/29/25^ | 275,000 | 294,286 | ||
(Variable, U.S. SOFR + 0.79%), 1.09%, 12/09/26^ | 360,000 | 354,579 | ||
(Variable, ICE LIBOR USD 3M + 1.51%), 3.69%, 06/05/28^ | 225,000 | 248,588 | ||
(Variable, ICE LIBOR USD 3M + 1.16%), 3.81%, 04/23/29^ | 240,000 | 268,702 | ||
(Variable, U.S. SOFR + 1.28%), 2.62%, 04/22/32^ | 220,000 | 224,901 | ||
6.75%, 10/01/37 | 180,000 | 262,516 | ||
5.15%, 05/22/45 | 580,000 | 777,625 | ||
Goodyear Tire & Rubber Co. (The) | ||||
7.00%, 03/15/28 | 275,000 | 315,989 | ||
Hanesbrands, Inc. | ||||
4.63%, 05/15/24 144A | 110,000 | 116,737 | ||
4.88%, 05/15/26 144A Δ | 560,000 | 605,500 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 20,000 | 22,585 | ||
5.38%, 09/01/26 | 28,000 | 32,256 | ||
3.50%, 09/01/30 | 40,000 | 42,640 | ||
5.25%, 06/15/49Δ | 330,000 | 421,455 | ||
Healthcare Trust of America Holdings LP REIT | ||||
3.10%, 02/15/30 | 275,000 | 292,442 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 144,559 | ||
Hilton Domestic Operating Co., Inc. | ||||
3.63%, 02/15/32 144A | 75,000 | 74,163 | ||
Hilton Grand Vacations Borrower Escrow LLC | ||||
5.00%, 06/01/29 144A | 60,000 | 61,425 | ||
4.88%, 07/01/31 144A | 20,000 | 19,973 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 520,000 | 543,530 | ||
Icahn Enterprises LP | ||||
5.25%, 05/15/27 144A | 5,000 | 5,177 | ||
4.38%, 02/01/29 144A | 280,000 | 279,517 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.00%, 04/01/26 144A Ω CONV | 55,000 | 54,159 | ||
Jabil, Inc. | ||||
1.70%, 04/15/26 | 85,000 | 85,693 | ||
JBS USA LUX SA | ||||
3.75%, 12/01/31 144A | 45,000 | 46,103 | ||
Jefferies Group LLC | ||||
6.25%, 01/15/36 | 570,000 | 764,189 | ||
6.50%, 01/20/43 | 260,000 | 359,981 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A | 380,000 | 395,664 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 144A CONV Δ | 40,000 | 40,060 |
Par | Value | |||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.33%), 6.13%, 04/30/24ρ ^ | $ 190,000 | $ 205,960 | ||
(Variable, U.S. SOFR + 0.89%), 1.58%, 04/22/27^ | 110,000 | 110,621 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28(E) ^ | 250,000 | 318,991 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 510,000 | 525,238 | ||
(Variable, U.S. SOFR + 2.52%), 2.96%, 05/13/31^ | 285,000 | 299,704 | ||
(Variable, U.S. SOFR + 2.46%), 3.11%, 04/22/41^ | 250,000 | 259,836 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 460,000 | 475,462 | ||
(Variable, U.S. SOFR + 1.58%), 3.33%, 04/22/52^ | 1,880,000 | 2,010,290 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 40,000 | 54,972 | ||
6.95%, 01/15/38 | 50,000 | 71,635 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 95,000 | 108,504 | ||
7.75%, 01/15/32 | 560,000 | 804,090 | ||
5.55%, 06/01/45 | 465,000 | 602,974 | ||
Kraft Heinz Foods Co. | ||||
4.38%, 06/01/46 | 515,000 | 584,544 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 620,000 | 818,396 | ||
Lamb Weston Holdings, Inc. | ||||
4.88%, 11/01/26 144A | 1,020,000 | 1,055,700 | ||
Legacy LifePoint Health LLC | ||||
4.38%, 02/15/27 144A | 230,000 | 233,105 | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 720,000 | 833,125 | ||
Lithia Motors, Inc. | ||||
3.88%, 06/01/29 144A | 45,000 | 46,701 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 20,000 | 31,662 | ||
Lumen Technologies, Inc. | ||||
5.63%, 04/01/25 | 50,000 | 54,364 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 380,000 | 428,867 | ||
Marriott International, Inc. | ||||
2.85%, 04/15/31 | 75,000 | 76,235 | ||
Marriott Ownership Resorts, Inc. | ||||
4.50%, 06/15/29 144A | 45,000 | 45,675 | ||
Marvell Technology, Inc. | ||||
2.45%, 04/15/28 144A | 70,000 | 71,416 | ||
2.95%, 04/15/31 144A | 60,000 | 62,241 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 85,121 | ||
6.50%, 08/15/32 | 27,000 | 35,991 | ||
Match Group Holdings II LLC | ||||
5.00%, 12/15/27 144A | 560,000 | 590,584 | ||
MBIA Insurance Corporation | ||||
11.44%, 01/15/33 144A # | 215,000 | 63,949 |
Par | Value | |||
McDonald’s Corporation | ||||
4.20%, 04/01/50 | $ 300,000 | $ 362,640 | ||
Microchip Technology, Inc. | ||||
0.98%, 09/01/24 144A | 105,000 | 104,550 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 375,000 | 413,344 | ||
MMS USA Holdings, Inc. | ||||
1.75%, 06/13/31(E) | 500,000 | 643,850 | ||
Morgan Stanley | ||||
4.10%, 05/22/23 | 190,000 | 202,363 | ||
6.25%, 08/09/26 | 205,000 | 253,562 | ||
4.35%, 09/08/26 | 475,000 | 538,298 | ||
3.63%, 01/20/27 | 250,000 | 277,435 | ||
3.95%, 04/23/27 | 65,000 | 72,674 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 315,000 | 329,996 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 230,000 | 343,155 | ||
MPLX LP | ||||
4.50%, 07/15/23Δ | 20,000 | 21,399 | ||
4.88%, 06/01/25 | 40,000 | 45,185 | ||
4.70%, 04/15/48 | 395,000 | 460,090 | ||
MPT Operating Partnership LP REIT | ||||
2.55%, 12/05/23(U) | 350,000 | 497,671 | ||
5.00%, 10/15/27 | 1,000,000 | 1,061,340 | ||
4.63%, 08/01/29Δ | 240,000 | 257,614 | ||
Murphy Oil USA, Inc. | ||||
3.75%, 02/15/31 144A | 25,000 | 24,745 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 823,451 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28 | 225,000 | 258,892 | ||
Navient Corporation | ||||
6.75%, 06/15/26 | 150,000 | 167,737 | ||
5.00%, 03/15/27 | 5,000 | 5,184 | ||
5.63%, 08/01/33 | 20,000 | 19,361 | ||
NCL Corporation, Ltd. | ||||
5.88%, 03/15/26 144A | 65,000 | 68,231 | ||
NCL Finance, Ltd. | ||||
6.13%, 03/15/28 144A | 25,000 | 26,273 | ||
Netflix, Inc. | ||||
4.88%, 04/15/28 | 20,000 | 23,276 | ||
5.88%, 11/15/28 | 60,000 | 73,723 | ||
6.38%, 05/15/29 | 75,000 | 95,897 | ||
5.38%, 11/15/29 144A | 5,000 | 6,080 | ||
4.88%, 06/15/30 144A | 105,000 | 125,179 | ||
Newell Brands, Inc. | ||||
4.35%, 04/01/23 | 320,000 | 336,106 | ||
NGPL PipeCo LLC | ||||
7.77%, 12/15/37 144A | 200,000 | 286,560 | ||
NIKE, Inc. | ||||
3.38%, 03/27/50 | 120,000 | 135,435 | ||
NRG Energy, Inc. | ||||
7.25%, 05/15/26 | 160,000 | 166,275 | ||
NVIDIA Corporation | ||||
3.70%, 04/01/60 | 280,000 | 331,530 | ||
Occidental Petroleum Corporation | ||||
3.20%, 08/15/26 | 275,000 | 277,853 |
Par | Value | |||
3.50%, 08/15/29 | $280,000 | $281,378 | ||
4.50%, 07/15/44 | 110,000 | 106,274 | ||
OneMain Finance Corporation | ||||
6.88%, 03/15/25 | 125,000 | 141,231 | ||
ONEOK Partners LP | ||||
4.90%, 03/15/25 | 35,000 | 39,178 | ||
6.20%, 09/15/43 | 15,000 | 19,804 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 306,315 | ||
Oracle Corporation | ||||
4.00%, 07/15/46 | 85,000 | 92,331 | ||
Ovintiv, Inc. | ||||
8.13%, 09/15/30 | 15,000 | 20,463 | ||
7.20%, 11/01/31 | 5,000 | 6,587 | ||
7.38%, 11/01/31 | 5,000 | 6,647 | ||
6.50%, 08/15/34 | 10,000 | 13,223 | ||
6.63%, 08/15/37 | 30,000 | 40,156 | ||
6.50%, 02/01/38 | 5,000 | 6,667 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 760,615 | ||
Owens-Brockway Glass Container, Inc. | ||||
5.38%, 01/15/25 144A Δ | 265,000 | 282,638 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 265,000 | 286,607 | ||
2.88%, 06/11/28 | 120,000 | 119,286 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 265,000 | 291,664 | ||
Pacific Gas and Electric Co. | ||||
3.25%, 06/01/31 | 160,000 | 157,560 | ||
3.30%, 08/01/40 | 120,000 | 108,627 | ||
4.30%, 03/15/45 | 250,000 | 240,909 | ||
Palo Alto Networks, Inc. | ||||
0.38%, 06/01/25 CONV | 250,000 | 341,250 | ||
Peloton Interactive, Inc. | ||||
0.62%, 02/15/26 144A Ω CONV | 60,000 | 58,313 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 509,820 | ||
PepsiCo, Inc. | ||||
3.63%, 03/19/50 | 190,000 | 222,822 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 230,000 | 257,491 | ||
3.55%, 12/15/29 | 730,000 | 769,460 | ||
PLT VII Finance S.a.r.l. | ||||
4.63%, 01/05/26(E) | 265,000 | 325,402 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 610,000 | 654,396 | ||
PulteGroup, Inc. | ||||
6.00%, 02/15/35 | 95,000 | 125,111 | ||
PVH Corporation | ||||
3.13%, 12/15/27(E) | 225,000 | 303,638 | ||
Quicken Loans LLC | ||||
5.25%, 01/15/28 144A | 90,000 | 94,613 | ||
3.63%, 03/01/29 144A | 125,000 | 123,688 | ||
3.88%, 03/01/31 144A | 315,000 | 317,753 |
Par | Value | |||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A | $ 440,000 | $ 487,837 | ||
Range Resources Corporation | ||||
5.00%, 03/15/23 | 53,000 | 54,992 | ||
4.88%, 05/15/25 | 120,000 | 124,350 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 07/01/26 144A | 10,000 | 10,000 | ||
5.50%, 04/01/28 144A | 130,000 | 136,311 | ||
Sasol Financing USA LLC | ||||
5.50%, 03/18/31 | 1,470,000 | 1,551,585 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29 144A | 155,000 | 149,805 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 759,770 | ||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26 | 15,000 | 15,198 | ||
SM Energy Co. | ||||
1.50%, 07/01/21 CONV | 120,000 | 120,300 | ||
Southern Co. (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.73%), 4.00%, 01/15/51^ | 200,000 | 212,000 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42 | 870,000 | 1,116,367 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 95,000 | 144,341 | ||
Southwestern Energy Co. | ||||
6.45%, 01/23/25 | 145,000 | 160,814 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 35,000 | 35,910 | ||
5.00%, 10/01/29 144A Δ | 90,000 | 95,668 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27 CONV | 20,000 | 19,588 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 550,000 | 836,687 | ||
Sprint Corporation | ||||
7.88%, 09/15/23 | 490,000 | 557,290 | ||
Square, Inc. | ||||
3.50%, 06/01/31 144A | 65,000 | 65,650 | ||
Synchrony Financial | ||||
2.85%, 07/25/22 | 490,000 | 501,668 | ||
Sysco Corporation | ||||
6.60%, 04/01/50 | 177,000 | 275,435 | ||
Targa Resources Partners LP | ||||
5.88%, 04/15/26 | 620,000 | 652,900 | ||
5.38%, 02/01/27 | 40,000 | 41,773 | ||
5.50%, 03/01/30 | 280,000 | 308,286 | ||
4.00%, 01/15/32 144A | 35,000 | 36,050 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 175,000 | 196,770 | ||
Tenet Healthcare Corporation | ||||
6.88%, 11/15/31 | 160,000 | 182,429 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A Δ | 340,000 | 353,061 | ||
Terminix Co. LLC (The) | ||||
7.45%, 08/15/27 | 120,000 | 140,968 |
Par | Value | |||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | $ 35,000 | $ 43,444 | ||
4.50%, 09/15/42 | 55,000 | 61,305 | ||
T-Mobile USA, Inc. | ||||
3.38%, 04/15/29 | 285,000 | 294,811 | ||
3.88%, 04/15/30 | 675,000 | 756,844 | ||
3.50%, 04/15/31 | 145,000 | 150,191 | ||
4.38%, 04/15/40Δ | 100,000 | 117,542 | ||
4.50%, 04/15/50 | 360,000 | 429,114 | ||
Toyota Motor Credit Corporation | ||||
0.50%, 06/18/24 | 595,000 | 592,642 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 | 320,000 | 346,763 | ||
4.45%, 08/01/42 | 750,000 | 901,639 | ||
TransDigm, Inc. | ||||
4.63%, 01/15/29 144A | 35,000 | 35,115 | ||
Travel + Leisure Co. | ||||
6.63%, 07/31/26 144A | 10,000 | 11,360 | ||
6.00%, 04/01/27 | 10,000 | 11,017 | ||
4.63%, 03/01/30 144A | 75,000 | 77,588 | ||
TriNet Group, Inc. | ||||
3.50%, 03/01/29 144A | 95,000 | 93,860 | ||
Twitter, Inc. | ||||
0.00%, 03/15/26 144A Ω CONV | 85,000 | 81,494 | ||
UAL Pass-Through Trust, Series 2007-1 | ||||
6.64%, 07/02/22 | 43,132 | 44,739 | ||
Uber Technologies, Inc. | ||||
7.50%, 09/15/27 144A | 260,000 | 286,079 | ||
6.25%, 01/15/28 144A Δ | 120,000 | 129,385 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26 | 83,693 | 88,416 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 10/07/25 | 70,023 | 69,848 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 356,869 | 396,721 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A Δ | 25,000 | 25,911 | ||
4.63%, 04/15/29 144A | 35,000 | 36,269 | ||
United Rentals North America, Inc. | ||||
5.25%, 01/15/30Δ | 410,000 | 449,655 | ||
US Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 80,281 | 84,028 | ||
US Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 67,055 | 67,705 | ||
Verizon Communications, Inc. | ||||
1.13%, 11/03/28(U) | 290,000 | 390,520 | ||
0.75%, 03/22/32(E) | 185,000 | 216,899 | ||
3.40%, 03/22/41 | 620,000 | 656,665 | ||
4.00%, 03/22/50 | 720,000 | 829,000 | ||
3.55%, 03/22/51 | 565,000 | 604,467 |
Par | Value | |||
3.70%, 03/22/61 | $350,000 | $ 375,457 | ||
Viatris, Inc. | ||||
4.00%, 06/22/50 144A | 100,000 | 105,937 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A | 90,000 | 89,051 | ||
Viking Ocean Cruises Ship VII, Ltd. | ||||
5.63%, 02/15/29 144A | 900,000 | 911,335 | ||
Visa, Inc. | ||||
2.70%, 04/15/40 | 720,000 | 745,433 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 283,640 | ||
Wells Fargo & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.99%), 5.88%, 06/15/25ρ ^ | 170,000 | 190,810 | ||
1.00%, 02/02/27(E) | 400,000 | 490,187 | ||
(Variable, U.S. SOFR + 1.26%), 2.57%, 02/11/31^ | 330,000 | 341,780 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 226,082 | ||
(Variable, U.S. SOFR + 4.50%), 5.01%, 04/04/51^ | 925,000 | 1,269,695 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV Δ | 95,000 | 101,947 | ||
Western Midstream Operating LP | ||||
4.35%, 02/01/25 | 850,000 | 899,245 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 106,210 | ||
7.95%, 02/15/31 | 25,000 | 35,724 | ||
Weyerhaeuser Co. REIT | ||||
8.50%, 01/15/25 | 205,000 | 255,960 | ||
6.95%, 10/01/27 | 30,000 | 38,806 | ||
7.38%, 03/15/32 | 190,000 | 274,425 | ||
6.88%, 12/15/33 | 250,000 | 345,876 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 55,476 | ||
5.75%, 06/24/44 | 320,000 | 420,884 | ||
XPO Logistics, Inc. | ||||
6.13%, 09/01/23 144A | 350,000 | 353,761 | ||
Yum! Brands, Inc. | ||||
4.63%, 01/31/32 | 195,000 | 205,279 | ||
Total Corporate Bonds (Cost $117,908,167) | 128,912,553 | |||
FOREIGN BONDS — 39.1% | ||||
Angola — 0.1% | ||||
Angolan Government International Bond | ||||
9.50%, 11/12/25Δ | 200,000 | 219,482 | ||
9.38%, 05/08/48 | 200,000 | 209,521 | ||
429,003 | ||||
Argentina — 0.3% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 136,957 | 52,205 | ||
(Step to 0.50% on 07/09/21), 0.13%, 07/09/30 STEP | 828,157 | 298,725 |
Par | Value | |||
(Step to 1.13% on 07/09/21), 0.13%, 07/09/35 STEP | $ 1,625,941 | $ 518,691 | ||
Pampa Energia SA | ||||
7.50%, 01/24/27 144A | 750,000 | 673,215 | ||
Provincia de Buenos Aires | ||||
7.88%, 06/15/27 144A | 560,000 | 253,406 | ||
1,796,242 | ||||
Australia — 0.5% | ||||
Australia Government Bond | ||||
1.75%, 06/21/51(A) | 4,300,000 | 2,854,128 | ||
FMG Resources August 2006 Pty, Ltd. | ||||
4.38%, 04/01/31 144A | 100,000 | 107,117 | ||
2,961,245 | ||||
Austria — 0.5% | ||||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 435,760 | ||
5.00%, 01/15/30 | 730,000 | 828,003 | ||
3.75%, 01/15/31 | 1,450,000 | 1,522,500 | ||
2,786,263 | ||||
Azerbaijan — 0.1% | ||||
Southern Gas Corridor CJSC | ||||
6.88%, 03/24/26 | 510,000 | 611,031 | ||
Belgium — 0.1% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) | 500,000 | 612,330 | ||
House of Finance NV (The) | ||||
4.38%, 07/15/26(E) | 150,000 | 181,197 | ||
Kingdom of Belgium Government Bond | ||||
3.75%, 06/22/45 | 18,000 | 35,480 | ||
1.60%, 06/22/47(E) 144A | 40,400 | 56,582 | ||
885,589 | ||||
Bermuda — 0.1% | ||||
Bermuda Government International Bond | ||||
3.72%, 01/25/27 | 200,000 | 219,500 | ||
4.75%, 02/15/29 | 200,000 | 233,390 | ||
452,890 | ||||
Brazil — 2.1% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 140,000 | 152,005 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/23(B) | 9,213,000 | 1,918,760 | ||
10.00%, 01/01/25 | 17,777,000 | 3,766,109 | ||
10.00%, 01/01/27(B) | 8,227,000 | 1,751,476 | ||
Brazilian Government International Bond | ||||
10.25%, 01/10/28(B) | 2,630,000 | 555,183 | ||
3.88%, 06/12/30 | 200,000 | 202,030 | ||
5.63%, 01/07/41 | 100,000 | 109,063 |
Par | Value | |||
CSN Resources SA | ||||
7.63%, 04/17/26 | $ 200,000 | $ 215,938 | ||
Itau Unibanco Holding SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22 144A ρ ^ | 760,000 | 773,520 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 6.13%, 12/12/22ρ ^ | 1,110,000 | 1,129,747 | ||
Ultrapar International SA | ||||
5.25%, 10/06/26 144A | 1,300,000 | 1,434,004 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 900,000 | 1,234,764 | ||
13,242,599 | ||||
Canada — 1.2% | ||||
1011778 BC ULC | ||||
3.88%, 01/15/28 144A | 720,000 | 729,900 | ||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 492,003 | 534,792 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 3,265,000 | 2,621,390 | ||
Canadian Natural Resources, Ltd. | ||||
4.95%, 06/01/47Δ | 115,000 | 143,261 | ||
Clarios Global LP | ||||
4.38%, 05/15/26(E) | 291,000 | 357,891 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A Δ | 25,000 | 25,419 | ||
First Quantum Minerals, Ltd. | ||||
6.50%, 03/01/24 144A | 300,000 | 306,896 | ||
7.50%, 04/01/25 144A | 350,000 | 364,047 | ||
6.88%, 10/15/27 144A | 200,000 | 218,190 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 451,631 | ||
MEG Energy Corporation | ||||
7.13%, 02/01/27 144A | 1,310,000 | 1,399,119 | ||
Open Text Corporation | ||||
3.88%, 02/15/28 144A | 190,000 | 193,002 | ||
7,345,538 | ||||
Chile — 0.0% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 240,429 | ||
China — 4.7% | ||||
Avolon Holdings Funding, Ltd. | ||||
4.25%, 04/15/26 144A | 680,000 | 737,477 | ||
China Government Bond | ||||
2.20%, 07/27/25(Y) | 32,500,000 | 4,956,488 | ||
3.85%, 12/12/26(Y) | 26,000,000 | 4,273,707 | ||
3.48%, 06/29/27(Y) | 47,500,000 | 7,687,833 | ||
4.15%, 12/04/27(Y) | 11,000,000 | 1,850,776 | ||
3.60%, 06/27/28 | 2,000,000 | 327,239 | ||
4.29%, 05/22/29(Y) | 24,000,000 | 4,126,962 | ||
3.60%, 05/21/30(Y) | 10,000,000 | 1,648,975 | ||
3.95%, 06/29/43 | 6,000,000 | 1,035,470 |
Par | Value | |||
4.10%, 05/21/45 | $ 1,500,000 | $ 265,410 | ||
China Minmetals Corporation | ||||
(Variable, 4.72% - U.S. Treasury Yield Curve Rate CMT 5Y), 3.75%, 11/13/22ρ ^ | 250,000 | 255,379 | ||
Dianjian International Finance, Ltd. | ||||
(Variable, 6.93% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.60%, 03/13/23ρ ^ | 200,000 | 206,505 | ||
Huarong Finance 2017 Co., Ltd. | ||||
(Variable, 7.77% - U.S. Treasury Yield Curve Rate CMT 5Y), 4.50%, 01/24/22ρ ^ | 200,000 | 135,568 | ||
Park Aerospace Holdings, Ltd. | ||||
5.25%, 08/15/22 144A | 15,000 | 15,700 | ||
4.50%, 03/15/23 144A | 190,000 | 199,763 | ||
5.50%, 02/15/24 144A | 830,000 | 912,913 | ||
Sinopec Group Overseas Development 2015, Ltd. | ||||
3.25%, 04/28/25 | 250,000 | 267,461 | ||
28,903,626 | ||||
Colombia — 0.8% | ||||
Colombia Government International Bond | ||||
3.00%, 01/30/30 | 315,000 | 309,177 | ||
6.13%, 01/18/41 | 100,000 | 118,731 | ||
5.63%, 02/26/44 | 3,170,000 | 3,600,486 | ||
5.00%, 06/15/45 | 200,000 | 213,190 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 140,000 | 151,511 | ||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 540,000 | 563,350 | ||
4,956,445 | ||||
Costa Rica — 0.1% | ||||
Costa Rica Government International Bond | ||||
7.16%, 03/12/45 | 340,000 | 356,153 | ||
Croatia — 0.0% | ||||
Croatia Government International Bond | ||||
1.50%, 06/17/31(E) | 200,000 | 247,525 | ||
Cyprus — 0.0% | ||||
Cyprus Government International Bond | ||||
0.00%, 02/09/26(E) | 34,000 | 40,587 | ||
Czech Republic — 0.1% | ||||
Czech Republic Government Bond | ||||
0.95%, 05/15/30 | 14,810,000 | 642,314 | ||
Denmark — 0.0% | ||||
DKT Finance ApS | ||||
7.00%, 06/17/23(E) Δ | 204,000 | 246,453 | ||
Dominican Republic — 0.1% | ||||
Dominican Republic International Bond | ||||
6.00%, 07/19/28 | 300,000 | 341,700 |
Par | Value | |||
6.85%, 01/27/45 | $ 220,000 | $ 249,425 | ||
591,125 | ||||
Ecuador — 0.1% | ||||
Ecuador Government International Bond | ||||
(Step to 5.00% on 07/31/21), 0.50%, 07/31/30 STEP | 69,140 | 59,461 | ||
4.72%, 07/31/30Ω | 16,866 | 9,381 | ||
(Step to 1.00% on 07/31/21), 0.50%, 07/31/35 STEP | 318,778 | 219,957 | ||
(Step to 0.50% on 07/31/21), 0.50%, 07/31/40 STEP | 59,020 | 36,814 | ||
325,613 | ||||
Egypt — 0.4% | ||||
Egypt Government International Bond | ||||
7.60%, 03/01/29 | 400,000 | 440,540 | ||
6.38%, 04/11/31(E) | 1,200,000 | 1,487,585 | ||
7.90%, 02/21/48 | 200,000 | 198,554 | ||
2,126,679 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | 150,000 | 128,250 | ||
France — 1.5% | ||||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 400,000 | 465,424 | ||
Altice France SA | ||||
7.38%, 05/01/26 144A | 390,000 | 406,060 | ||
3.38%, 01/15/28(E) | 500,000 | 579,026 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 322,000 | 395,127 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ Δ ^ | 740,000 | 863,073 | ||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 300,000 | 384,124 | ||
(Variable, U.S. SOFR + 0.91%), 1.68%, 06/30/27 144A ^ | 210,000 | 210,056 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 360,488 | ||
(Variable, U.S. SOFR + 1.51%), 3.05%, 01/13/31 144A ^ | 625,000 | 659,777 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 285,000 | 343,952 | ||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 3.96%), 6.00%, 01/29/26(U) ρ ^ | 300,000 | 464,940 | ||
Faurecia SE | ||||
2.38%, 06/15/27(E) | 365,000 | 443,550 | ||
French Republic Government Bond OAT | ||||
2.10%, 07/25/23(E) 144A | 248,916 | 318,978 |
Par | Value | |||
0.11%, 03/01/25(E) | $ 157,699 | $ 199,016 | ||
1.85%, 07/25/27(E) | 23,905 | 34,789 | ||
0.10%, 03/01/28(E) ††† | 187,619 | 247,129 | ||
0.10%, 07/25/31(E) 144A | 119,957 | 164,359 | ||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | 200,000 | 237,055 | ||
La Financiere Atalian SASU | ||||
4.00%, 05/15/24(E) Δ | 380,000 | 448,805 | ||
Loxam SAS | ||||
3.75%, 07/15/26(E) | 650,000 | 790,295 | ||
5.75%, 07/15/27(E) | 530,000 | 656,335 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 400,000 | 471,614 | ||
Paprec Holding SA | ||||
4.00%, 03/31/25(E) | 255,000 | 308,603 | ||
9,452,575 | ||||
Germany — 2.5% | ||||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 780,000 | 974,394 | ||
0.00%, 02/15/31(E) | 5,423,255 | 6,588,484 | ||
Bundesschatzanweisungen | ||||
0.00%, 12/15/22(E) | 1,350,000 | 1,616,738 | ||
CeramTec BondCo GmbH | ||||
5.25%, 12/15/25(E) | 570,000 | 687,047 | ||
Cheplapharm Arzneimittel GmbH | ||||
4.38%, 01/15/28(E) 144A | 680,000 | 839,570 | ||
Deutsche Bundesrepublik Inflation Linked Bond | ||||
0.54%, 04/15/30(E) ††† | 21,046 | 30,133 | ||
0.10%, 04/15/33(E) ††† | 15,318 | 22,017 | ||
0.11%, 04/15/46(E) ††† | 4,001 | 6,773 | ||
EnBW Energie Baden-Wuerttemberg AG | ||||
(Variable, 3.63% - EUR Swap Rate 5Y), 3.38%, 04/05/77(E) ^ | 135,000 | 163,392 | ||
IHO Verwaltungs GmbH | ||||
PIK 4.63%, 3.88%, 05/15/27(E) | 215,000 | 263,037 | ||
Platin 1426 GmbH | ||||
5.38%, 06/15/23(E) 144A | 340,000 | 406,794 | ||
5.38%, 06/15/23(E) | 530,000 | 634,119 | ||
Renk AG | ||||
5.75%, 07/15/25(E) 144A ††† | 210,000 | 259,145 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 480,000 | 582,783 | ||
TK Elevator Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 434,375 | ||
TUI Cruises GmbH | ||||
6.50%, 05/15/26(E) 144A | 120,000 | 148,086 | ||
Vertical Holdco GmbH | ||||
6.63%, 07/15/28(E) Δ | 265,000 | 335,484 | ||
6.63%, 07/15/28(E) 144A | 270,000 | 341,814 | ||
Volkswagen Bank GmbH | ||||
1.25%, 12/15/25(E) | 782,000 | 972,298 | ||
15,306,483 |
Par | Value | |||
Ghana — 0.3% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 144A | $ 640,000 | $ 648,996 | ||
7.63%, 05/16/29 | 200,000 | 202,811 | ||
10.75%, 10/14/30 | 200,000 | 253,250 | ||
10.75%, 10/14/30 144A | 340,000 | 430,525 | ||
7.88%, 02/11/35 | 200,000 | 197,628 | ||
1,733,210 | ||||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 23,921 | ||
India — 0.0% | ||||
Indian Railway Finance Corporation, Ltd. | ||||
2.80%, 02/10/31 144A | 200,000 | 194,120 | ||
Indonesia — 2.5% | ||||
Indonesia Government International Bond | ||||
0.90%, 02/14/27(E) | 120,000 | 144,175 | ||
1.40%, 10/30/31 | 100,000 | 121,095 | ||
5.25%, 01/17/42 144A | 1,940,000 | 2,423,022 | ||
5.25%, 01/17/42 | 630,000 | 786,858 | ||
4.20%, 10/15/50 | 3,480,000 | 3,971,639 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 21,835,000,000 | 1,598,623 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,854,338 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28Δ | 200,000 | 233,625 | ||
15,133,375 | ||||
Ireland — 0.5% | ||||
AerCap Ireland Capital DAC | ||||
4.50%, 09/15/23 | 220,000 | 235,985 | ||
4.45%, 10/01/25 | 400,000 | 440,721 | ||
Ardagh Packaging Finance PLC | ||||
6.00%, 02/15/25 144A | 500,000 | 517,113 | ||
5.25%, 08/15/27 144A | 300,000 | 306,399 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
3.37%, 11/15/25 | 246,000 | 268,538 | ||
4.42%, 11/15/35 | 829,000 | 995,002 | ||
Ireland Government Bond | ||||
0.20%, 10/18/30(E) | 20,000 | 24,015 | ||
0.55%, 04/22/41 | 36,000 | 41,939 | ||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) | 330,000 | 383,227 | ||
3,212,939 | ||||
Israel — 0.1% | ||||
Energean Israel Finance, Ltd. | ||||
5.38%, 03/30/28 144A | 65,000 | 66,948 | ||
5.88%, 03/30/31 144A Δ | 90,000 | 92,844 | ||
Israel Government International Bond | ||||
3.38%, 01/15/50 | 200,000 | 214,116 |
Par | Value | |||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | $ 265,000 | $ 313,438 | ||
687,346 | ||||
Italy — 2.2% | ||||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 487,000 | 597,094 | ||
Centurion Bidco SpA | ||||
5.88%, 09/30/26(E) Δ | 230,000 | 285,586 | ||
doValue SpA | ||||
5.00%, 08/04/25(E) | 320,000 | 398,244 | ||
International Design Group SpA | ||||
(Floating, 4.25% - Euribor 3M), 4.25%, 05/15/26 144A † | 250,000 | 299,372 | ||
Italy Buoni Poliennali Del Tesoro | ||||
0.40%, 04/11/24(E) 144A | 572,000 | 705,537 | ||
1.45%, 05/15/25(E) | 81,000 | 101,672 | ||
1.41%, 05/26/25(E) 144A | 105,135 | 133,844 | ||
1.60%, 06/01/26(E) | 87,000 | 110,688 | ||
3.10%, 09/15/26(E) 144A ††† | 21,454 | 31,137 | ||
2.05%, 08/01/27(E) | 4,190,000 | 5,493,178 | ||
0.65%, 10/28/27(E) 144A | 48,263 | 60,848 | ||
1.35%, 04/01/30(E) | 2,088,000 | 2,622,600 | ||
0.41%, 05/15/30(E) 144A ††† | 51,528 | 66,051 | ||
0.95%, 12/01/31(E) 144A | 84,000 | 100,459 | ||
1.50%, 04/30/45(E) 144A | 7,000 | 8,068 | ||
Mooney Group SpA | ||||
(Floating, 3.88% - Euribor 3M), 3.88%, 12/17/26(E) † | 300,000 | 356,970 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 360,000 | 430,643 | ||
6.00%, 09/30/34 | 105,000 | 121,275 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 340,000 | 373,005 | ||
3.63%, 05/25/26(E) | 255,000 | 336,566 | ||
UniCredit SpA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.75%), 5.46%, 06/30/35 144A ^ | 740,000 | 807,680 | ||
13,440,517 | ||||
Ivory Coast — 0.3% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | 460,000 | 571,359 | ||
5.88%, 10/17/31 | 100,000 | 127,777 | ||
4.88%, 01/30/32(E) 144A | 340,000 | 403,881 | ||
4.88%, 01/30/32(E) | 310,000 | 368,244 | ||
5.75%, 12/31/32 144A | 334,153 | 335,887 | ||
1,807,148 | ||||
Japan — 0.3% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 140,000,000 | 1,274,595 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 30,000,000 | 274,314 |
Par | Value | |||
SoftBank Group Corporation | ||||
5.00%, 04/15/28(E) | $ 245,000 | $ 325,898 | ||
1,874,807 | ||||
Jersey — 0.1% | ||||
Adient Global Holdings, Ltd. | ||||
3.50%, 08/15/24(E) | 135,000 | 164,907 | ||
Avis Budget Finance PLC | ||||
4.75%, 01/30/26(E) | 100,000 | 121,465 | ||
CPUK Finance, Ltd. | ||||
6.50%, 08/28/26(U) | 100,000 | 146,875 | ||
433,247 | ||||
Kazakhstan — 0.3% | ||||
Kazakhstan Government International Bond | ||||
2.38%, 11/09/28 | 300,000 | 399,021 | ||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 598,849 | ||
5.38%, 04/24/30 | 300,000 | 359,310 | ||
KazTransGas JSC | ||||
4.38%, 09/26/27 144A Δ | 630,000 | 701,064 | ||
2,058,244 | ||||
Luxembourg — 0.6% | ||||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 679,000 | 788,809 | ||
Altice France Holding SA | ||||
8.00%, 05/15/27(E) Δ | 600,000 | 768,878 | ||
ARD Finance SA | ||||
Cash Coupon 5.00% or PIK 5.75%, 5.00%, 06/30/27(E) | 1,050,000 | 1,279,652 | ||
Vivion Investments S.a.r.l. | ||||
3.00%, 08/08/24(E) Δ | 300,000 | 355,380 | ||
3.50%, 11/01/25(E) | 200,000 | 241,228 | ||
3,433,947 | ||||
Mexico — 3.3% | ||||
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 | 270,452 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 1,125,000 | 1,272,656 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 658,816 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 658,161 | ||
Cemex SAB de CV | ||||
3.88%, 07/11/31 144A | 400,000 | 407,100 | ||
Mexican Bonos | ||||
8.00%, 12/07/23(M) | 20,808,900 | 1,094,644 |
Par | Value | |||
7.50%, 06/03/27(M) | $151,900,000 | $ 7,949,213 | ||
8.50%, 05/31/29(M) | 1,002,900 | 55,412 | ||
7.75%, 05/29/31(M) | 1,504,300 | 79,715 | ||
7.75%, 11/13/42(M) | 76,750,000 | 3,961,347 | ||
Mexico Government International Bond | ||||
2.88%, 04/08/39(E) | 700,000 | 866,009 | ||
5.75%, 10/12/10« | 320,000 | 383,574 | ||
Orbia Advance Corp SAB de CV | ||||
5.88%, 09/17/44 144A | 1,100,000 | 1,338,728 | ||
Orbia Advance Corporation SAB de CV | ||||
2.88%, 05/11/31 144A | 200,000 | 201,508 | ||
Petroleos Mexicanos | ||||
4.75%, 02/26/29(E) Δ | 665,000 | 783,592 | ||
5.95%, 01/28/31 | 140,000 | 136,185 | ||
7.69%, 01/23/50 | 390,000 | 375,863 | ||
20,492,975 | ||||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | 200,000 | 230,704 | ||
Morocco & Antilles — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 350,000 | 386,064 | ||
4.50%, 10/22/25 144A | 320,000 | 347,530 | ||
733,594 | ||||
Netherlands — 2.6% | ||||
ABN AMRO Bank NV | ||||
7.13%, 07/06/22(E) | 540,000 | 687,063 | ||
Cooperatieve Rabobank UA | ||||
5.75%, 12/01/43Δ | 630,000 | 892,053 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) | 345,000 | 386,587 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 304,380 | ||
Embraer Netherlands Finance BV | ||||
5.40%, 02/01/27 | 130,000 | 138,696 | ||
Equate Petrochemical BV | ||||
4.25%, 11/03/26 144A | 380,000 | 423,009 | ||
IPD 3 BV | ||||
5.50%, 12/01/25(E) 144A | 560,000 | 692,706 | ||
5.50%, 12/01/25 | 417,000 | 515,818 | ||
Lincoln Financing S.a.r.l. | ||||
3.63%, 04/01/24(E) | 215,000 | 258,437 | ||
(Floating, 3.88% - Euribor 3M), 3.88%, 04/01/24(E) † | 118,000 | 140,261 | ||
Maxeda DIY Holding BV | ||||
5.88%, 10/01/26(E) 144A | 230,000 | 280,565 | ||
5.88%, 10/01/26(E) Δ | 200,000 | 243,970 | ||
Nouryon Holding BV | ||||
6.50%, 10/01/26(E) | 280,000 | 348,005 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 2,110,000 | 2,386,199 | ||
6.88%, 01/20/40 | 80,000 | 95,917 |
Par | Value | |||
6.90%, 03/19/49Δ | $ 880,000 | $ 1,050,280 | ||
Prosus NV | ||||
3.83%, 02/08/51 | 1,020,000 | 952,963 | ||
Repsol International Finance BV | ||||
(Variable, EUR Swap Rate 10Y + 4.20%), 4.50%, 03/25/75(E) ^ | 530,000 | 687,623 | ||
Shell International Finance BV | ||||
3.25%, 04/06/50 | 310,000 | 330,304 | ||
Summer BidCo BV | ||||
Cash Coupon 9.00% or PIK 9.75%, 9.00%, 11/15/25(E) | 446,767 | 542,249 | ||
Syngenta Finance NV | ||||
4.44%, 04/24/23 144A | 460,000 | 485,852 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
4.50%, 03/01/25(E) | 635,000 | 779,482 | ||
1.88%, 03/31/27(E) | 300,000 | 327,248 | ||
United Group BV | ||||
3.13%, 02/15/26(E) | 200,000 | 231,221 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 325,836 | ||
3.88%, 06/15/29(E) Δ | 400,000 | 481,881 | ||
Volkswagen International Finance NV | ||||
(Variable, 3.96% - EUR Swap Rate 9Y), 3.88%, 06/17/29(E) ρ ^ | 300,000 | 395,798 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) | 700,000 | 869,972 | ||
Ziggo BV | ||||
4.25%, 01/15/27(E) | 472,800 | 581,840 | ||
15,836,215 | ||||
Nigeria — 0.2% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 465,578 | ||
7.63%, 11/28/47 144A | 940,000 | 942,699 | ||
1,408,277 | ||||
Norway — 0.2% | ||||
Adevinta ASA | ||||
3.00%, 11/15/27(E) 144A | 540,000 | 663,836 | ||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | 150,000 | 162,026 | ||
4.00%, 01/15/31 144A | 150,000 | 165,059 | ||
990,921 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 199,625 | ||
Panama — 0.4% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 935,155 | ||
6.70%, 01/26/36 | 202,000 | 274,881 | ||
4.50%, 04/01/56 | 1,140,000 | 1,292,749 | ||
2,502,785 |
Par | Value | |||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | $ 200,000 | $ 249,402 | ||
Peru — 0.8% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,416,662 | ||
1.25%, 03/11/33 | 200,000 | 231,636 | ||
6.55%, 03/14/37 | 640,000 | 883,555 | ||
Petroleos del Peru SA | ||||
5.63%, 06/19/47 144A | 750,000 | 800,438 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,793,831 | ||
Volcan Cia Minera SAA, Class B | ||||
4.38%, 02/11/26 144A | 20,000 | 19,865 | ||
5,145,987 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
1.75%, 04/28/41 | 100,000 | 117,705 | ||
Poland — 0.4% | ||||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,527,556 | ||
1.25%, 10/25/30(P) | 2,500,000 | 635,054 | ||
2,162,610 | ||||
Portugal — 0.0% | ||||
Portugal Obrigacoes do Tesouro OT | ||||
0.30%, 10/17/31(E) 144A | 161,814 | 190,107 | ||
4.10%, 02/15/45(E) 144A | 7,404 | 14,216 | ||
204,323 | ||||
Qatar — 0.0% | ||||
Qatar Government International Bond | ||||
4.82%, 03/14/49 | 200,000 | 258,016 | ||
Romania — 0.3% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | 200,000 | 238,421 | ||
Romanian Government International Bond | ||||
3.62%, 05/26/30(E) | 84,000 | 115,373 | ||
2.00%, 04/14/33(E) 144A | 560,000 | 660,199 | ||
3.88%, 10/29/35(E) | 253,000 | 353,118 | ||
4.63%, 04/03/49(E) | 100,000 | 150,624 | ||
3.38%, 01/28/50(E) | 84,000 | 106,482 | ||
1,624,217 | ||||
Russia — 1.6% | ||||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) | 423,153,000 | 5,829,240 | ||
7.25%, 05/10/34(Q) | 262,547,000 | 3,641,549 | ||
Russian Foreign Bond - Eurobond | ||||
5.10%, 03/28/35 | 200,000 | 238,252 | ||
9,709,041 |
Par | Value | |||
Senegal — 0.0% | ||||
Senegal Government International Bond | ||||
4.75%, 03/13/28 | $ 100,000 | $ 123,967 | ||
Serbia — 0.0% | ||||
Serbia International Bond | ||||
1.50%, 06/26/29(E) | 190,000 | 227,467 | ||
Slovakia — 0.0% | ||||
Slovakia Government Bond | ||||
0.38%, 04/21/36 | 18,400 | 21,620 | ||
Slovenia — 0.0% | ||||
Slovenia Government Bond | ||||
0.13%, 07/01/31 | 32,000 | 37,944 | ||
South Africa — 1.3% | ||||
Republic of South Africa Government Bond | ||||
6.25%, 03/31/36(S) | 2,140,000 | 106,486 | ||
8.50%, 01/31/37(S) Δ | 9,571,000 | 577,021 | ||
6.50%, 02/28/41(S) | 44,256,000 | 2,085,269 | ||
Republic of South Africa Government International Bond | ||||
4.88%, 04/14/26 | 200,000 | 217,642 | ||
4.85%, 09/30/29 | 2,190,000 | 2,328,682 | ||
5.88%, 06/22/30Δ | 200,000 | 228,662 | ||
5.75%, 09/30/49Δ | 2,420,000 | 2,481,311 | ||
8,025,073 | ||||
South Korea — 0.1% | ||||
Export-Import Bank of Korea | ||||
6.75%, 08/09/22 | 4,500,000 | 61,616 | ||
Hanwha Life Insurance Co., Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.70%, 04/23/23ρ ^ | 200,000 | 209,516 | ||
271,132 | ||||
Spain — 0.4% | ||||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 200,000 | 200,459 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 161,873 | ||
Spain Government Bond | ||||
0.80%, 07/30/27(E) 144A | 26,000 | 32,436 | ||
1.40%, 07/30/28(E) 144A | 73,000 | 94,754 | ||
0.50%, 10/31/31(E) 144A | 74,000 | 87,906 | ||
0.85%, 07/30/37(E) 144A | 32,000 | 37,369 | ||
Spain Government Inflation Linked Bond | ||||
0.65%, 11/30/27(E) 144A | 615,560 | 827,570 | ||
Tendam Brands SAU | ||||
5.00%, 09/15/24(E) 144A | 510,000 | 598,162 | ||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) 144A † | 160,000 | 188,531 |
Par | Value | |||
(Floating, 5.25% - Euribor 3M), 5.25%, 09/15/24(E) † | $ 160,000 | $ 188,531 | ||
2,417,591 | ||||
Sri Lanka — 0.1% | ||||
Sri Lanka Government International Bond | ||||
6.85%, 11/03/25 | 200,000 | 134,500 | ||
6.75%, 04/18/28 | 500,000 | 314,635 | ||
449,135 | ||||
Supranational — 0.1% | ||||
Banque Ouest Africaine de Developpement | ||||
5.00%, 07/27/27 | 200,000 | 223,127 | ||
European Union | ||||
0.00%, 07/04/31 | 60,000 | 71,016 | ||
0.30%, 11/04/50(E) | 16,000 | 17,263 | ||
International Finance Corporation | ||||
5.85%, 11/25/22 | 5,190,000 | 70,817 | ||
382,223 | ||||
Sweden — 0.2% | ||||
Intrum AB | ||||
3.50%, 07/15/26(E) | 325,000 | 393,825 | ||
Samhallsbyggnadsbolaget i Norden AB | ||||
(Variable, 2.81% - EUR Swap Rate 5Y), 2.62%, 01/30/25(E) ρ ^ | 321,000 | 382,462 | ||
Unilabs Subholding AB | ||||
5.75%, 05/15/25(E) | 299,000 | 360,120 | ||
Verisure Midholding AB | ||||
5.25%, 02/15/29(E) 144A | 240,000 | 293,117 | ||
1,429,524 | ||||
Switzerland — 0.7% | ||||
Cidron Aida Finco S.a.r.l. | ||||
6.25%, 04/01/28(U) 144A | 580,000 | 820,366 | ||
Credit Suisse Group AG | ||||
(Variable, USD Swap 5Y + 4.60%), 7.50%, 07/17/23 144A ρ ^ | 330,000 | 359,700 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 07/17/25(E) Δ ^ | 500,000 | 608,960 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 250,000 | 281,207 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 335,000 | 345,869 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | 1,564,762 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 490,954 | ||
4,471,818 |
Par | Value | |||
Turkey — 0.9% | ||||
Turkey Government International Bond | ||||
5.60%, 11/14/24 | $ 920,000 | $ 947,568 | ||
4.75%, 01/26/26 | 1,320,000 | 1,300,913 | ||
4.88%, 10/09/26 | 300,000 | 294,386 | ||
6.00%, 03/25/27 | 1,570,000 | 1,606,903 | ||
4.38%, 07/08/27 | 830,000 | 977,824 | ||
4.88%, 04/16/43 | 500,000 | 399,485 | ||
Turkiye Ihracat Kredi Bankasi AS | ||||
5.38%, 10/24/23 | 200,000 | 206,196 | ||
5,733,275 | ||||
Ukraine — 0.1% | ||||
Ukraine Government International Bond | ||||
6.75%, 06/20/26(E) | 200,000 | 259,302 | ||
9.75%, 11/01/28 | 250,000 | 298,527 | ||
7.25%, 03/15/33 | 200,000 | 208,870 | ||
766,699 | ||||
United Arab Emirates — 0.4% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47 | 200,000 | 236,402 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 217,635 | ||
DP World PLC | ||||
5.63%, 09/25/48 144A | 970,000 | 1,216,094 | ||
5.63%, 09/25/48 | 600,000 | 752,223 | ||
2,422,354 | ||||
United Kingdom — 2.4% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A | 200,000 | 230,207 | ||
3.38%, 03/11/29(U) | 250,000 | 378,969 | ||
2.88%, 03/17/31 144A | 200,000 | 204,771 | ||
Antofagasta PLC | ||||
2.38%, 10/14/30 144A | 300,000 | 289,425 | ||
Aviva PLC | ||||
(Variable, UK Gilts 5Y + 2.40%), 6.13%, 09/29/22(U) ρ ^ | 490,000 | 721,759 | ||
Barclays Bank PLC | ||||
7.63%, 11/21/22 | 291,000 | 317,495 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) ^ | 300,000 | 370,602 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 380,000 | 401,672 | ||
Bellis Finco PLC | ||||
4.00%, 02/16/27 | 213,000 | 295,380 | ||
British Telecommunications PLC | ||||
3.25%, 11/08/29 144A | 475,000 | 505,117 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) | 440,000 | 515,997 |
Par | Value | |||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | $ 400,000 | $ 446,470 | ||
(Variable, USD ICE Swap Rate 5Y + 3.75%), 6.00%, 05/22/27ρ Δ ^ | 400,000 | 445,000 | ||
Iceland Bondco PLC | ||||
4.63%, 03/15/25(U) | 230,000 | 313,983 | ||
INEOS Quattro Finance 1 PLC | ||||
3.75%, 07/15/26(E) 144A | 110,000 | 134,435 | ||
Jaguar Land Rover Automotive PLC | ||||
5.88%, 11/15/24(E) | 215,000 | 280,790 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.33%, 06/15/23^ | 310,000 | 312,522 | ||
Miller Homes Group Holdings PLC | ||||
5.50%, 10/15/24(U) | 1,330,000 | 1,882,932 | ||
Modulaire Global Finance PLC | ||||
6.50%, 02/15/23(E) | 265,000 | 321,641 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 154,000 | 184,016 | ||
Natwest Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.64%, 06/14/27^ | 200,000 | 200,212 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 545,000 | 575,507 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.35%), 3.03%, 11/28/35^ | 200,000 | 200,570 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 196,000 | 302,987 | ||
RAC Bond Co. PLC | ||||
5.00%, 11/06/22(U) | 272,000 | 377,003 | ||
Santander UK Group Holdings PLC | ||||
(Variable, GBP Swap Rate 5Y + 5.54%), 7.38%, 06/24/22(U) ρ ^ | 820,000 | 1,199,512 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) Δ | 350,000 | 454,579 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 383,440 | 696,024 | ||
TI Automotive Finance PLC | ||||
3.75%, 04/15/29(E) 144A | 330,000 | 399,695 | ||
United Kingdom Gilt | ||||
4.50%, 09/07/34(U) | 220,000 | 437,225 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 08/15/26 144A | 200,000 | 206,650 | ||
4.25%, 01/15/30(U) | 890,000 | 1,229,968 |
Par | Value | |||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | $190,000 | $ 250,813 | ||
15,083,928 | ||||
Total Foreign Bonds (Cost $238,016,037) | 241,837,625 | |||
LOAN AGREEMENTS — 2.1% | ||||
1011778 B.C. Unlimited Liability Company Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 11/19/26† | 455,377 | 449,899 | ||
Allied Universal Holdco LLC Initial U.S. Dollar Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.75%, 0.50% Floor), 4.25%, 05/12/28† | 493,750 | 495,742 | ||
Apollo Commercial Real Estate Finance, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.84%, 05/15/26† | 497,461 | 491,865 | ||
Asurion LLC New B-7 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 11/03/24† | 520,608 | 515,727 | ||
Asurion LLC New B-8 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 12/23/26† | 159,200 | 157,583 | ||
Asurion LLC Replacement B-6 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 11/03/23† | 308,675 | 307,422 | ||
Bausch Health Companies, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 06/02/25† | 258,914 | 258,089 | ||
Berry Global, Inc. Term Z Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.83%, 07/01/26† | 446,802 | 443,916 | ||
Brookfield WEC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.50% Floor), 3.25%, 08/01/25† | 85,867 | 85,146 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.86%, 02/01/27† | 497,468 | 494,255 | ||
Cloudera, Inc. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 12/22/27† | 897,750 | 898,266 | ||
CWGS Group LLC Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%, 0.75% Floor), 3.25%, 06/03/28† | 138,565 | 137,526 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 12/22/27† | 895,500 | 894,828 | ||
Entercom Media Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.60%, 11/18/24† | 161,940 | 160,665 |
Par | Value | |||
Focus Financial Partners LLC Tranche B-3 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 07/03/24† | $275,038 | $272,671 | ||
Four Seasons Holdings, Inc. Term Loan 2013 | ||||
(Floating, ICE LIBOR USD 1M + 2.00%), 2.10%, 11/30/23† | 225,861 | 225,406 | ||
Froneri International Limited Facility B1 | ||||
(Floating, ICE EURIBOR USD 6M + 2.38%), 2.38%, 01/29/27† | 380,000 | 442,375 | ||
Garda World Security Corporation Term B-2 Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 4.35%, 10/30/26† | 405,369 | 407,829 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 2.15%, 12/30/26† | 177,750 | 176,750 | ||
Global Medical Response, Inc. 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 4.75%, 1.00% Floor), 5.75%, 10/02/25† | 356,278 | 358,282 | ||
INEOS Styrolution Group GmbH 2026 Tranche B Euro Term Loan | ||||
0.00%, 01/29/26† Σ | 450,000 | 530,098 | ||
Level 3 Financing, Inc. Tranche B 2027 Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 03/01/27† | 574,212 | 566,047 | ||
Mister Car Wash Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.00%), 3.10%, 05/14/26† | 371,537 | 370,693 | ||
Nexstar Broadcasting, Inc. Term B-4 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.59%, 09/18/26† | 103,529 | 103,421 | ||
Option Care Health, Inc. Term B Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%), 3.85%, 08/06/26† | 581,150 | 582,240 | ||
Pactiv Evergreen, Inc. Tranche B-1 U.S. Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.85%, 02/05/23† | 38,947 | 38,905 | ||
PPD, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 2.75%, 01/13/28† | 498,750 | 498,790 | ||
Prime Security Services Borrower LLC 2021 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 0.75% Floor), 3.50%, 09/23/26† | 405,876 | 405,972 | ||
Reynolds Consumer Products LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 02/04/27† | 71,679 | 71,218 |
Par | Value | |||
Sedgwick Claims Management Services, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.25%), 3.35%, 12/31/25† | $255,416 | $ 252,989 | ||
Trans Union LLC 2019 Replacement Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 1.75%), 1.85%, 11/16/26† | 76,111 | 75,688 | ||
U.S. Renal Care, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 5.13%, 06/26/26† | 298,481 | 300,036 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.00%, 0.75% Floor), 3.75%, 04/29/26† | 109,139 | 109,139 | ||
Univision Communications, Inc. 2020 Replacement First-Lien Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 1.00% Floor), 4.75%, 03/15/26† | 532,541 | 534,370 | ||
Virgin Media Bristol LLC N Facility | ||||
(Floating, ICE LIBOR USD 1M + 2.50%), 2.57%, 01/31/28† | 370,000 | 367,097 | ||
Whatabrands LLC 2020 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 2.83%, 07/31/26† | 423,997 | 422,672 | ||
Total Loan Agreements (Cost $12,906,229) | 12,903,617 | |||
MORTGAGE-BACKED SECURITIES — 5.4% | ||||
510 Asset Backed Trust, Series 2021-NPL1, Class A1 | ||||
(Step to 2.24% on 07/25/21), 2.24%, 06/25/61 144A STEP | 125,000 | 125,000 | ||
BANK, Series 2018-BNK15, Class B | ||||
4.81%, 11/15/61γ | 260,000 | 298,796 | ||
CF Trust, Series 2019-MF1, Class E | ||||
(Floating, ICE LIBOR USD 1M + 2.20%, 3.20% Floor), 3.20%, 08/21/32 144A † | 560,000 | 560,543 | ||
CIM Trust, Series 2021-NR2, Class A1 | ||||
(Step to 5.57% on 03/26/24), 2.57%, 07/25/59 144A STEP | 135,121 | 137,114 | ||
COMM Mortgage Trust, Series 2012-CR3, Class AM | ||||
3.42%, 10/15/45 144A | 20,000 | 20,172 | ||
COMM Mortgage Trust, Series 2012-LC4, Class B | ||||
4.93%, 12/10/44 | 35,000 | 35,150 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 2.19%, 10/25/39 144A † | 311,373 | 312,945 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 2.14%, 01/25/40 144A † | 446,914 | 449,224 |
Par | Value | |||
Credit Suisse Commercial Mortgage Trust Series, Series 2007-C5, Class AM | ||||
5.87%, 09/15/40 | $ 372 | $ 371 | ||
CSMC Trust, Series 2021-RPL1, Class A1 | ||||
1.67%, 09/27/60 144A γ | 93,342 | 93,720 | ||
CSMC Trust, Series 2021-RPL3, Class M2 | ||||
3.75%, 01/25/60 144A | 100,000 | 108,576 | ||
CSMC Trust, Series 2021-RPL4, Class A1 | ||||
1.80%, 12/27/60 144A γ | 142,883 | 143,969 | ||
CSMC, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 1,252,215 | ||
CSMC, Series 2019-RIO, Class B | ||||
(Floating, ICE LIBOR USD 1M + 7.00%, 8.00% Floor), 8.00%, 12/15/21 144A † | 1,120,000 | 1,072,822 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.85%), 2.94%, 11/25/29† | 403,008 | 413,418 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 2.25% Floor), 2.34%, 07/25/30† | 1,905,514 | 1,933,912 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.55%, 2.55% Floor), 2.64%, 12/25/30† | 1,202,664 | 1,225,492 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 4.25% Floor), 4.34%, 01/25/31† | 270,000 | 282,859 | ||
Federal Home Loan Mortgage Corporation | ||||
3.00%, 03/01/50 | 117,489 | 123,344 | ||
3.50%, 04/01/50 | 89,074 | 93,630 | ||
3.00%, 07/01/50 | 111,859 | 116,915 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 2.39%, 01/25/50 144A † | 770,000 | 770,929 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%, 1.85% Floor), 1.94%, 02/25/50 144A † | 730,000 | 736,769 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 2.02%, 12/25/50 144A † | $ 310,000 | $ 313,686 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2018-HQA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 2.39%, 10/25/48 144A † | 1,110,000 | 1,121,320 | ||
Federal National Mortgage Association | ||||
3.00%, 08/01/46 | 121,083 | 127,076 | ||
3.00%, 12/01/47 | 364,940 | 382,442 | ||
3.50%, 08/01/49 | 214,335 | 225,242 | ||
4.00%, 08/01/49 | 210,933 | 224,798 | ||
3.50%, 09/01/49 | 371,578 | 391,159 | ||
4.00%, 10/01/49 | 294,292 | 313,634 | ||
3.00%, 03/01/50 | 209,399 | 219,520 | ||
3.00%, 05/01/50 | 251,727 | 263,067 | ||
3.00%, 07/01/50 | 73,810 | 77,309 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.95%, 4.95% Floor), 5.04%, 07/25/29† | 760,000 | 814,166 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.65%), 2.74%, 12/25/29† | 1,138,807 | 1,160,078 | ||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | 139,046 | 149,696 | ||
5.00%, 01/20/49 | 97,869 | 105,664 | ||
2.50%, 07/01/51 TBA | 865,000 | 895,207 | ||
GS Mortgage Securities Corporation II, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 3.75%, 3.75% Floor), 4.07%, 09/15/31 144A † | 1,590,000 | 510,884 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class AS | ||||
4.38%, 01/10/47 | 45,000 | 47,411 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class B | ||||
4.89%, 01/10/47 | 25,000 | 24,588 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 2.75% Floor), 2.82%, 05/15/38 144A † | 780,000 | 783,471 | ||
Hilton USA Trust, Series 2016-HHV, Class D | ||||
4.33%, 11/05/38 144A γ | 540,000 | 578,964 |
Par | Value | |||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, 1.65% - ICE LIBOR USD 1M, 1.65% Floor, 11.50% Cap), 1.19%, 08/25/36† | $ 373,301 | $ 375,220 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.72%, 02/15/51γ | 2,485 | 2,293 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.21%, 8.21% Floor), 8.43%, 06/15/35 144A † | 1,500,000 | 597,596 | ||
Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2 | ||||
3.25%, 09/25/59 144A | 120,000 | 128,805 | ||
PMT Credit Risk Transfer Trust, Series 2021-1R, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.90%, 2.90% Floor), 3.01%, 02/27/24 144A † | 183,319 | 185,182 | ||
PRPM LLC, Series 2021-1, Class A1 | ||||
2.12%, 01/25/26 144A γ | 110,508 | 112,610 | ||
PRPM LLC, Series 2021-3, Class A1 | ||||
(Step to 4.87% on 05/25/24), 1.87%, 04/25/26 144A STEP | 97,006 | 98,292 | ||
PRPM LLC, Series 2021-5, Class A1 | ||||
(Step to 4.79% on 07/25/24), 1.79%, 06/25/26 144A STEP | 100,000 | 100,620 | ||
Radnor RE, Ltd., Series 2021-1, Class M1C | ||||
(Floating, U.S. 30-Day Average SOFR + 2.70%, 2.70% Floor), 2.71%, 12/27/33 144A † | 440,000 | 441,363 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 440,000 | 447,429 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 591,539 | ||
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M | ||||
4.25%, 11/25/59 144A | 1,170,000 | 1,235,783 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.40%, 2.40% Floor), 2.47%, 05/15/38 144A † | 760,000 | 764,822 | ||
Toorak Mortgage Corporation, Ltd., Series 2021-1, Class A1 | ||||
(Step to 3.24% on 01/25/24), 2.24%, 06/25/24 144A STEP | 100,000 | 100,241 | ||
UBS Commercial Mortgage Trust, Series 2017-C3, Class C | ||||
4.45%, 08/15/50γ | 410,000 | 423,022 |
Par | Value | |||
UBS Commercial Mortgage Trust, Series 2018-C13, Class B | ||||
4.79%, 10/15/51 | $ 270,000 | $ 306,002 | ||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC | ||||
4.97%, 05/10/63 144A γ | 123,000 | 116,168 | ||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/36 TBA | 1,385,000 | 1,428,633 | ||
2.00%, 07/01/51 TBA | 750,000 | 757,324 | ||
2.50%, 07/01/51 TBA | 5,165,000 | 5,342,547 | ||
3.00%, 07/01/51 TBA | 530,000 | 552,494 | ||
VOLT XCIII LLC, Series 2021-NPL2, Class A1 | ||||
(Step to 4.89% on 02/25/24), 1.89%, 02/27/51 144A STEP | 82,242 | 82,230 | ||
VOLT XCIV LLC, Series 2021-NPL3, Class A1 | ||||
(Step to 5.24% on 02/25/24), 2.24%, 02/27/51 144A STEP | 69,641 | 69,779 | ||
VOLT XCVII LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 5.24% on 04/25/24), 2.24%, 04/25/51 144A STEP | 102,642 | 104,117 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.43%, 07/15/46† γ | 25,000 | 25,146 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B | ||||
3.67%, 11/15/59 | 25,000 | 24,872 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C6, Class AS | ||||
3.84%, 04/15/45 | 25,000 | 25,332 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AS | ||||
4.09%, 06/15/45 | 45,000 | 45,588 | ||
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C | ||||
4.96%, 06/15/45γ | 40,000 | 30,970 | ||
WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B | ||||
4.65%, 08/15/46γ | 35,000 | 35,024 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B | ||||
4.38%, 05/15/47 | 35,000 | 36,781 | ||
Total Mortgage-Backed Securities (Cost $35,449,267) | 33,625,091 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Put Option — 0.0% | ||||
Euro Bund 07/2021, Strike Price $171.00, Expires 07/23/21 (CITI) (Premiums paid $1,835) | 5 | $1,022,650 | 1,008 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 22.4% | ||||
U.S. Treasury Bonds | ||||
3.50%, 02/15/39 | $ 3,540,000 | $ 4,429,287 | ||
4.25%, 05/15/39 | 30,000 | 41,064 | ||
3.88%, 08/15/40 | 20,000 | 26,303 | ||
2.75%, 08/15/42 | 90,000 | 101,450 | ||
2.88%, 05/15/43Δ | 2,045,000 | 2,352,549 | ||
3.00%, 05/15/45 | 250,000 | 294,902 | ||
3.00%, 11/15/45 | 920,000 | 1,088,008 | ||
2.50%, 05/15/46Δ | 820,000 | 888,611 | ||
2.25%, 08/15/46 | 960,000 | 992,925 | ||
2.88%, 11/15/46 | 1,520,000 | 1,764,625 | ||
3.00%, 05/15/47 | 60,000 | 71,365 | ||
2.75%, 08/15/47 | 90,000 | 102,403 | ||
3.13%, 05/15/48 | 40,000 | 48,795 | ||
3.00%, 08/15/48 | 630,000 | 752,407 | ||
3.38%, 11/15/48 | 770,000 | 983,434 | ||
1.25%, 05/15/50Δ | 50,000 | 40,842 | ||
1.38%, 08/15/50Δ | 3,730,000 | 3,145,585 | ||
17,124,555 | ||||
U.S. Treasury Inflationary Index Bonds | ||||
0.13%, 04/15/22 | 10,635,098 | 10,909,883 | ||
2.13%, 02/15/40 | 426,268 | 636,203 | ||
1.38%, 02/15/44 | 1,313,156 | 1,814,795 | ||
0.26%, 02/15/50 | 652,329 | 739,890 | ||
14,100,771 | ||||
U.S. Treasury Notes | ||||
1.50%, 10/31/21 | 1,000,000 | 1,004,806 | ||
1.50%, 11/30/21 | 3,630,000 | 3,651,771 | ||
1.88%, 01/31/22 | 710,000 | 717,537 | ||
2.00%, 02/15/22 | 90,000 | 91,093 | ||
1.63%, 08/15/22Δ | 23,540,000 | 23,944,134 | ||
0.13%, 12/31/22Δ | 2,310,000 | 2,308,466 | ||
0.13%, 02/28/23 | 1,795,000 | 1,792,967 | ||
2.88%, 10/31/23 | 2,975,000 | 3,152,222 | ||
2.75%, 02/15/24Δ | 5,655,000 | 6,007,112 | ||
2.38%, 02/29/24 | 10,000 | 10,529 | ||
1.50%, 10/31/24 | 570,000 | 588,280 | ||
2.25%, 11/15/24 | 20,520,000 | 21,697,495 | ||
2.00%, 02/15/25 | 70,000 | 73,511 | ||
2.88%, 05/31/25 | 315,000 | 342,033 | ||
0.38%, 11/30/25 | 26,242,000 | 25,773,539 | ||
1.63%, 02/15/26 | 6,460,000 | 6,697,960 | ||
1.63%, 05/15/26 | 340,000 | 352,511 | ||
2.00%, 11/15/26 | 870,000 | 918,360 | ||
0.88%, 11/15/30Δ | 8,550,000 | 8,131,851 | ||
107,256,177 | ||||
Total U.S. Treasury Obligations (Cost $134,648,737) | 138,481,503 |
Shares | Value | |||
COMMON STOCKS — 0.3% | ||||
Communication Services — 0.1% | ||||
Comcast Corporation Class A | 492 | $ 28,054 | ||
T-Mobile US, Inc.* | 3,162 | 457,952 | ||
486,006 | ||||
Consumer Discretionary — 0.0% | ||||
Home Depot, Inc. (The) | 93 | 29,657 | ||
Starbucks Corporation | 257 | 28,736 | ||
58,393 | ||||
Consumer Staples — 0.0% | ||||
Coca-Cola Co. (The) | 527 | 28,516 | ||
Procter & Gamble Co. (The) | 207 | 27,931 | ||
Walmart, Inc. | 206 | 29,050 | ||
85,497 | ||||
Energy — 0.0% | ||||
Berry Corporation | 2,492 | 16,746 | ||
Chevron Corporation | 263 | 27,547 | ||
Hercules Offshore, Inc.Ψ ††† Δ * | 46,644 | 27,864 | ||
Southwestern Energy Co.Δ * | 13,299 | 75,405 | ||
Whiting Petroleum Corporation* | 1,754 | 95,681 | ||
Williams Cos., Inc. (The) | 1,136 | 30,161 | ||
273,404 | ||||
Financials — 0.0% | ||||
BlackRock, Inc. | 38 | 33,249 | ||
Morgan Stanley | 345 | 31,633 | ||
Progressive Corporation (The) | 293 | 28,776 | ||
93,658 | ||||
Health Care — 0.1% | ||||
Abbott Laboratories | 232 | 26,896 | ||
Anthem, Inc. | 75 | 28,635 | ||
Bristol-Myers Squibb Co. | 6,999 | 467,673 | ||
Johnson & Johnson | 170 | 28,006 | ||
UnitedHealth Group, Inc. | 74 | 29,632 | ||
580,842 | ||||
Industrials — 0.0% | ||||
Deere & Co. | 75 | 26,453 | ||
Lockheed Martin Corporation | 77 | 29,133 | ||
Union Pacific Corporation | 127 | 27,931 | ||
United Parcel Service, Inc. Class B | 169 | 35,147 | ||
118,664 | ||||
Information Technology — 0.1% | ||||
Apple, Inc. | 229 | 31,364 | ||
Automatic Data Processing, Inc. | 147 | 29,197 | ||
Cisco Systems, Inc. | 545 | 28,885 | ||
Corning, Inc. | 3,787 | 154,888 |
Shares | Value | |||
Microsoft Corporation | 119 | $ 32,237 | ||
276,571 | ||||
Materials — 0.0% | ||||
Newmont Corporation | 461 | 29,218 | ||
Real Estate — 0.0% | ||||
American Tower Corporation REIT | 121 | 32,687 | ||
Utilities — 0.0% | ||||
Duke Energy Corporation | 290 | 28,629 | ||
NextEra Energy, Inc. | 376 | 27,553 | ||
56,182 | ||||
Total Common Stocks (Cost $4,700,023) | 2,091,122 | |||
FOREIGN COMMON STOCK — 0.0% | ||||
Ireland — 0.0% | ||||
Accenture PLC Class A (Cost $26,750) | 102 | 30,069 | ||
PREFERRED STOCKS — 0.1% | ||||
Bank of America Corporation | ||||
7.25% CONV | 387 | 547,992 | ||
Boston Scientific Corporation | ||||
5.50%, 06/01/23 CONV | 517 | 60,003 | ||
El Paso Energy Capital Trust I | ||||
4.75%, 03/31/28 CONV | 2,799 | 140,650 | ||
Wells Fargo & Co. | ||||
7.50%, 02/27/20 CONV | 69 | 105,308 | ||
Total Preferred Stocks (Cost $648,514) | 853,953 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Clarivate PLC | ||||
5.25%, 06/01/24 CONV * (Cost $128,000) | 1,280 | 134,016 | ||
MUTUAL FUNDS — 1.7% | ||||
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF (Cost $10,770,775) | 332,000 | 10,418,160 | ||
MONEY MARKET FUNDS — 7.1% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 35,151,985 | 35,151,985 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%Ø § | 8,964,287 | $ 8,964,287 | ||
Total Money Market Funds (Cost $44,116,272) | 44,116,272 | |||
TOTAL INVESTMENTS —100.9% (Cost $610,844,111) | 624,982,393 | |||
Liabilities in Excess of Other Assets — (0.9)% | (5,812,329) | |||
NET ASSETS — 100.0% | $619,170,064 |
% | |
Foreign Bonds | 39.0 |
U.S. Treasury Obligations | 22.4 |
Corporate Bonds | 20.8 |
Money Market Funds | 7.1 |
Mortgage-Backed Securities | 5.4 |
Loan Agreements | 2.1 |
Asset-Backed Securities | 1.9 |
Mutual Funds | 1.7 |
Financials | 0.1 |
Health Care | 0.1 |
Communication Services | 0.1 |
Energy | 0.1 |
Information Technology | 0.1 |
Industrials | —** |
Consumer Staples | —** |
Consumer Discretionary | —** |
Utilities | —** |
Real Estate | —** |
Materials | —** |
Purchased Option | —** |
100.9 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 09/2021 | 13 | $ 3,132,894 | $ 50,620 | ||||
Euro-Bobl | 09/2021 | (19) | (3,022,299) | (2,131) | ||||
Euro-Bund | 09/2021 | (9) | (1,842,051) | (10,105) | ||||
Euro-OAT | 09/2021 | (1) | (188,582) | (748) | ||||
Euro-Schatz | 09/2021 | 98 | 13,031,062 | (2,547) | ||||
10-Year Japanese E-Mini | 09/2021 | 168 | 22,949,440 | 52,695 | ||||
10-Year Commonwealth Treasury Bond | 09/2021 | 39 | 4,129,503 | (851) | ||||
10-Year Bond | 09/2021 | 13 | 1,526,105 | 18,152 | ||||
10-Year U.S. Treasury Note | 09/2021 | (5) | (662,500) | (5,667) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
U.S. Treasury Long Bond | 09/2021 | (5) | $ (803,750) | $ (26,669) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2021 | (125) | (18,400,391) | (322,266) | ||||
Ultra Long U.S. Treasury Bond | 09/2021 | (31) | (5,973,313) | (257,850) | ||||
Long GILT | 09/2021 | 28 | 4,961,621 | 32,000 | ||||
2-Year U.S. Treasury Note | 09/2021 | 274 | 60,367,766 | (104,765) | ||||
5-Year U.S. Treasury Note | 09/2021 | (328) | (40,484,937) | 137,586 | ||||
90-Day Eurodollar | 12/2021 | (146) | (36,425,175) | (9,125) | ||||
90-Day Eurodollar | 12/2023 | 146 | 36,089,375 | (175,200) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $ 38,384,768 | $(626,871) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/21 | U.S. Dollars | 274,292,206 | Euro | 228,767,464 | SS | $2,921,043 | ||||||
07/19/21 | Brazilian Reals | 29,815,221 | U.S. Dollars | 5,255,888 | CITI | 726,205 | ||||||
07/19/21 | Brazilian Reals | 24,380,706 | U.S. Dollars | 4,312,536 | SS | 579,181 | ||||||
07/19/21 | U.S. Dollars | 26,825,184 | Euro | 22,238,940 | CITI | 444,654 | ||||||
07/19/21 | U.S. Dollars | 16,897,961 | Japanese Yen | 1,835,805,151 | SS | 370,652 | ||||||
07/19/21 | U.S. Dollars | 8,508,780 | Australian Dollars | 10,972,753 | SC | 278,929 | ||||||
07/19/21 | U.S. Dollars | 8,516,233 | Japanese Yen | 924,546,411 | CITI | 192,765 | ||||||
07/19/21 | U.S. Dollars | 18,435,886 | Euro | 15,384,906 | UBS | 185,828 | ||||||
07/19/21 | Russian Rubles | 221,488,695 | U.S. Dollars | 2,870,082 | SS | 148,646 | ||||||
07/19/21 | U.S. Dollars | 6,719,406 | New Zealand Dollars | 9,405,560 | SC | 145,217 | ||||||
07/19/21 | U.S. Dollars | 5,111,394 | Norwegian Kroner | 42,772,505 | SS | 143,212 | ||||||
07/19/21 | Russian Rubles | 209,450,915 | U.S. Dollars | 2,722,227 | SC | 132,435 | ||||||
07/19/21 | U.S. Dollars | 4,086,426 | New Zealand Dollars | 5,681,886 | CITI | 114,967 | ||||||
07/19/21 | Canadian Dollars | 12,510,054 | U.S. Dollars | 9,983,589 | SC | 108,316 | ||||||
07/19/21 | U.S. Dollars | 5,627,235 | Swedish Kronor | 47,240,467 | SC | 106,262 | ||||||
07/19/21 | U.S. Dollars | 3,102,704 | Australian Dollars | 4,006,989 | RBC | 97,358 | ||||||
07/19/21 | U.S. Dollars | 3,718,768 | Canadian Dollars | 4,503,079 | CITI | 86,118 | ||||||
07/19/21 | Canadian Dollars | 10,539,602 | U.S. Dollars | 8,418,440 | CITI | 83,895 | ||||||
07/19/21 | U.S. Dollars | 12,827,063 | Swiss Francs | 11,791,367 | SC | 76,448 | ||||||
07/19/21 | U.S. Dollars | 3,547,238 | Japanese Yen | 387,878,336 | SC | 55,263 | ||||||
07/19/21 | U.S. Dollars | 3,241,295 | Swiss Francs | 2,948,679 | SS | 52,736 | ||||||
07/19/21 | U.S. Dollars | 4,943,178 | Euro | 4,123,821 | RBC | 51,372 | ||||||
07/19/21 | U.S. Dollars | 1,409,302 | Turkish Lira | 11,970,755 | RBC | 48,397 | ||||||
07/19/21 | Russian Rubles | 57,410,000 | U.S. Dollars | 734,340 | CITI | 48,116 | ||||||
07/19/21 | Canadian Dollars | 5,068,458 | U.S. Dollars | 4,044,388 | SS | 44,356 | ||||||
07/19/21 | Russian Rubles | 48,310,000 | U.S. Dollars | 616,440 | GSC | 41,990 | ||||||
07/19/21 | Chinese Offshore Yuan | 17,335,926 | U.S. Dollars | 2,637,626 | SS | 40,358 | ||||||
07/19/21 | U.S. Dollars | 1,550,954 | British Pounds | 1,093,657 | CITI | 38,007 | ||||||
07/19/21 | U.S. Dollars | 827,160 | Chilean Pesos | 580,293,801 | CITI | 37,363 | ||||||
07/19/21 | Brazilian Reals | 1,463,136 | U.S. Dollars | 258,619 | RBC | 34,943 | ||||||
07/19/21 | British Pounds | 8,558,473 | U.S. Dollars | 11,806,631 | SC | 33,010 | ||||||
07/19/21 | British Pounds | 8,079,034 | U.S. Dollars | 11,143,443 | SS | 32,950 | ||||||
07/19/21 | U.S. Dollars | 1,108,530 | Norwegian Kroner | 9,275,542 | SC | 31,142 | ||||||
07/19/21 | British Pounds | 1,750,000 | Euro | 2,014,828 | CITI | 30,867 | ||||||
07/19/21 | U.S. Dollars | 6,098,505 | Swiss Francs | 5,612,131 | RBC | 29,818 | ||||||
07/19/21 | U.S. Dollars | 732,046 | Norwegian Kroner | 6,047,767 | BNP | 29,576 | ||||||
07/19/21 | U.S. Dollars | 1,523,489 | Euro | 1,259,399 | SC | 29,550 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/21 | U.S. Dollars | 2,177,452 | Swedish Kronor | 18,379,978 | BNP | $ 29,392 | ||||||
07/19/21 | U.S. Dollars | 1,062,094 | Norwegian Kroner | 8,916,706 | UBS | 26,386 | ||||||
07/19/21 | U.S. Dollars | 1,084,218 | Swedish Kronor | 9,058,316 | CITI | 25,576 | ||||||
07/19/21 | U.S. Dollars | 758,476 | Japanese Yen | 81,810,779 | BNP | 21,954 | ||||||
07/19/21 | U.S. Dollars | 3,150,874 | Canadian Dollars | 3,878,934 | SS | 21,724 | ||||||
07/19/21 | U.S. Dollars | 759,377 | New Zealand Dollars | 1,055,780 | SS | 21,420 | ||||||
07/19/21 | U.S. Dollars | 760,771 | Japanese Yen | 82,137,139 | RBC | 21,310 | ||||||
07/19/21 | U.S. Dollars | 1,505,504 | Canadian Dollars | 1,841,544 | SC | 19,923 | ||||||
07/19/21 | U.S. Dollars | 672,348 | Euro | 550,000 | GSC | 19,920 | ||||||
07/19/21 | Mexican Pesos | 25,598,581 | U.S. Dollars | 1,261,558 | BNP | 19,529 | ||||||
07/19/21 | Hungarian Forint | 350,737,359 | U.S. Dollars | 1,165,976 | SS | 17,233 | ||||||
07/19/21 | U.S. Dollars | 779,249 | British Pounds | 553,459 | BNP | 13,604 | ||||||
07/19/21 | U.S. Dollars | 425,484 | Australian Dollars | 549,881 | CITI | 13,059 | ||||||
07/19/21 | U.S. Dollars | 1,528,162 | Czech Republic Koruna | 32,596,713 | BNP | 12,664 | ||||||
07/19/21 | U.S. Dollars | 535,636 | Euro | 442,944 | BNP | 10,202 | ||||||
07/19/21 | U.S. Dollars | 687,261 | Swiss Francs | 626,810 | BNP | 9,459 | ||||||
07/19/21 | U.S. Dollars | 796,223 | South Korean Won | 888,704,795 | RBC | 8,819 | ||||||
07/19/21 | U.S. Dollars | 698,945 | British Pounds | 498,903 | SS | 8,772 | ||||||
07/19/21 | U.S. Dollars | 369,711 | New Zealand Dollars | 516,418 | RBC | 8,752 | ||||||
07/19/21 | British Pounds | 819,249 | U.S. Dollars | 1,125,726 | GSC | 7,609 | ||||||
07/19/21 | U.S. Dollars | 246,309 | New Zealand Dollars | 342,059 | BNP | 7,220 | ||||||
07/19/21 | Mexican Pesos | 17,585,373 | U.S. Dollars | 874,617 | CITI | 5,448 | ||||||
07/19/21 | U.S. Dollars | 1,154,828 | Swiss Francs | 1,062,973 | UBS | 5,380 | ||||||
07/19/21 | U.S. Dollars | 381,763 | South Korean Won | 425,811,131 | CITI | 4,489 | ||||||
07/19/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 753,758 | CITI | 4,281 | ||||||
07/19/21 | Czech Republic Koruna | 14,803,830 | U.S. Dollars | 684,119 | SC | 4,146 | ||||||
07/19/21 | U.S. Dollars | 1,944,897 | Polish Zloty | 7,399,433 | SS | 4,126 | ||||||
07/19/21 | Mexican Pesos | 11,128,938 | U.S. Dollars | 552,928 | RBC | 4,023 | ||||||
07/19/21 | U.S. Dollars | 447,658 | Polish Zloty | 1,691,937 | SC | 3,886 | ||||||
07/19/21 | U.S. Dollars | 345,976 | South Korean Won | 386,247,149 | SS | 3,756 | ||||||
07/19/21 | U.S. Dollars | 480,141 | Swiss Francs | 440,834 | CITI | 3,444 | ||||||
07/19/21 | U.S. Dollars | 123,999 | Swedish Kronor | 1,041,225 | SS | 2,312 | ||||||
07/19/21 | U.S. Dollars | 161,613 | Swedish Kronor | 1,365,893 | RBC | 1,982 | ||||||
07/19/21 | Hungarian Forint | 36,669,187 | U.S. Dollars | 121,902 | RBC | 1,801 | ||||||
07/19/21 | U.S. Dollars | 791,629 | Canadian Dollars | 979,914 | BNP | 1,129 | ||||||
07/19/21 | South African Rand | 11,639,916 | U.S. Dollars | 812,267 | SC | 880 | ||||||
07/19/21 | U.S. Dollars | 369,263 | Czech Republic Koruna | 7,924,067 | SC | 854 | ||||||
07/19/21 | British Pounds | 42,915 | Euro | 49,355 | SC | 822 | ||||||
07/19/21 | Czech Republic Koruna | 2,300,136 | U.S. Dollars | 106,123 | RBC | 815 | ||||||
07/19/21 | U.S. Dollars | 773,103 | Mexican Pesos | 15,444,667 | CITI | 171 | ||||||
07/19/21 | South African Rand | 1,403 | U.S. Dollars | 98 | RBC | —* | ||||||
Subtotal Appreciation | $8,050,217 | |||||||||||
07/19/21 | Chilean Pesos | 1,696 | U.S. Dollars | 2 | SC | $ —* | ||||||
07/19/21 | U.S. Dollars | 246,682 | Canadian Dollars | 305,936 | SC | (118) | ||||||
07/19/21 | Polish Zloty | 271,586 | U.S. Dollars | 71,460 | SC | (227) | ||||||
07/19/21 | Polish Zloty | 388,709 | U.S. Dollars | 102,268 | CITI | (315) | ||||||
07/19/21 | U.S. Dollars | 750,833 | South African Rand | 10,753,173 | BNP | (367) | ||||||
07/19/21 | Czech Republic Koruna | 2,513,323 | U.S. Dollars | 117,423 | SC | (572) | ||||||
07/19/21 | Australian Dollars | 24,424 | U.S. Dollars | 18,942 | SC | (624) | ||||||
07/19/21 | U.S. Dollars | 499,447 | British Pounds | 362,081 | CITI | (1,449) | ||||||
07/19/21 | Canadian Dollars | 280,000 | U.S. Dollars | 227,390 | SC | (1,513) | ||||||
07/19/21 | U.S. Dollars | 81,846 | Mexican Pesos | 1,667,393 | CITI | (1,600) | ||||||
07/19/21 | Euro | 130,352 | British Pounds | 113,248 | SS | (2,038) | ||||||
07/19/21 | U.S. Dollars | 734,167 | South African Rand | 10,538,726 | SS | (2,052) | ||||||
07/19/21 | U.S. Dollars | 812,047 | Swedish Kronor | 6,966,503 | CITI | (2,125) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/21 | Polish Zloty | 3,706,086 | U.S. Dollars | 974,515 | RBC | $ (2,459) | ||||||
07/19/21 | U.S. Dollars | 413,276 | Mexican Pesos | 8,317,078 | SS | (2,954) | ||||||
07/19/21 | Polish Zloty | 6,302,810 | U.S. Dollars | 1,656,656 | SS | (3,514) | ||||||
07/19/21 | U.S. Dollars | 738,035 | Mexican Pesos | 14,845,042 | SC | (4,889) | ||||||
07/19/21 | British Pounds | 500,000 | U.S. Dollars | 696,870 | RBC | (5,178) | ||||||
07/19/21 | British Pounds | 548,006 | U.S. Dollars | 763,593 | BNP | (5,491) | ||||||
07/19/21 | U.S. Dollars | 1,657,755 | British Pounds | 1,202,559 | RBC | (5,844) | ||||||
07/19/21 | Euro | 795,419 | Polish Zloty | 3,620,000 | CITI | (5,926) | ||||||
07/19/21 | British Pounds | 1,001,313 | U.S. Dollars | 1,391,149 | SS | (5,951) | ||||||
07/19/21 | U.S. Dollars | 148,562 | Russian Rubles | 11,352,035 | SS | (6,158) | ||||||
07/19/21 | Euro | 493,234 | U.S. Dollars | 591,992 | RBC | (6,902) | ||||||
07/19/21 | Swedish Kronor | 4,255,919 | U.S. Dollars | 504,538 | SC | (7,150) | ||||||
07/19/21 | Swiss Francs | 602,968 | U.S. Dollars | 659,399 | BNP | (7,379) | ||||||
07/19/21 | Polish Zloty | 1,433,443 | U.S. Dollars | 383,486 | BNP | (7,514) | ||||||
07/19/21 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,052,753 | CITI | (7,819) | ||||||
07/19/21 | U.S. Dollars | 568,732 | Hungarian Forint | 170,955,840 | SC | (7,985) | ||||||
07/19/21 | U.S. Dollars | 84,848 | Brazilian Reals | 462,974 | SS | (8,042) | ||||||
07/19/21 | Swiss Francs | 1,780,505 | U.S. Dollars | 1,934,675 | SC | (9,323) | ||||||
07/19/21 | U.S. Dollars | 747,936 | Canadian Dollars | 938,880 | RBC | (9,462) | ||||||
07/19/21 | South Korean Won | 1,197,202,695 | U.S. Dollars | 1,072,685 | SC | (11,948) | ||||||
07/19/21 | U.S. Dollars | 749,595 | Russian Rubles | 55,877,791 | SC | (11,979) | ||||||
07/19/21 | Swiss Francs | 1,479,074 | U.S. Dollars | 1,613,239 | CITI | (13,840) | ||||||
07/19/21 | South African Rand | 5,588,650 | U.S. Dollars | 404,448 | BNP | (14,033) | ||||||
07/19/21 | British Pounds | 2,026,437 | U.S. Dollars | 2,817,925 | SC | (14,587) | ||||||
07/19/21 | Norwegian Kroner | 8,423,533 | U.S. Dollars | 994,920 | BNP | (16,496) | ||||||
07/19/21 | Japanese Yen | 115,825,811 | U.S. Dollars | 1,060,955 | UBS | (18,203) | ||||||
07/19/21 | Swedish Kronor | 6,412,773 | U.S. Dollars | 767,665 | BNP | (18,207) | ||||||
07/19/21 | British Pounds | 998,394 | U.S. Dollars | 1,401,525 | CITI | (20,365) | ||||||
07/19/21 | Australian Dollars | 981,207 | U.S. Dollars | 759,159 | RBC | (23,228) | ||||||
07/19/21 | New Zealand Dollars | 1,495,012 | U.S. Dollars | 1,069,785 | SC | (24,819) | ||||||
07/19/21 | Japanese Yen | 123,596,044 | U.S. Dollars | 1,141,852 | BNP | (29,147) | ||||||
07/19/21 | U.S. Dollars | 1,943,910 | Chinese Offshore Yuan | 12,779,067 | SC | (30,148) | ||||||
07/19/21 | Euro | 1,901,992 | U.S. Dollars | 2,287,003 | BNP | (30,800) | ||||||
07/19/21 | Swedish Kronor | 22,552,623 | U.S. Dollars | 2,667,742 | SS | (32,027) | ||||||
07/19/21 | U.S. Dollars | 357,682 | Brazilian Reals | 1,943,035 | BNP | (32,167) | ||||||
07/19/21 | British Pounds | 1,200,000 | U.S. Dollars | 1,693,295 | GSC | (33,236) | ||||||
07/19/21 | Chilean Pesos | 580,284,121 | U.S. Dollars | 826,086 | RBC | (36,303) | ||||||
07/19/21 | Swiss Francs | 5,715,056 | U.S. Dollars | 6,220,445 | SS | (40,460) | ||||||
07/19/21 | South Korean Won | 3,925,316,069 | U.S. Dollars | 3,529,710 | CITI | (51,829) | ||||||
07/19/21 | Swedish Kronor | 26,035,389 | U.S. Dollars | 3,095,389 | CITI | (52,644) | ||||||
07/19/21 | New Zealand Dollars | 2,791,007 | U.S. Dollars | 2,007,493 | CITI | (56,667) | ||||||
07/19/21 | Turkish Lira | 11,918,698 | U.S. Dollars | 1,414,849 | SS | (59,862) | ||||||
07/19/21 | Norwegian Kroner | 25,615,592 | U.S. Dollars | 3,040,699 | SC | (65,356) | ||||||
07/19/21 | U.S. Dollars | 2,471,299 | South African Rand | 36,380,000 | CITI | (70,151) | ||||||
07/19/21 | Australian Dollars | 3,089,944 | U.S. Dollars | 2,397,764 | BNP | (80,226) | ||||||
07/19/21 | U.S. Dollars | 28,539,388 | British Pounds | 20,691,151 | SS | (84,388) | ||||||
07/19/21 | Australian Dollars | 4,746,241 | U.S. Dollars | 3,647,263 | CITI | (87,459) | ||||||
07/19/21 | Japanese Yen | 490,560,387 | U.S. Dollars | 4,508,048 | SS | (91,652) | ||||||
07/19/21 | U.S. Dollars | 2,458,230 | Russian Rubles | 189,775,390 | CITI | (128,269) | ||||||
07/19/21 | Norwegian Kroner | 43,623,989 | U.S. Dollars | 5,197,476 | RBC | (130,392) | ||||||
07/19/21 | Norwegian Kroner | 35,418,590 | U.S. Dollars | 4,249,714 | CITI | (135,715) | ||||||
07/19/21 | U.S. Dollars | 12,479,880 | Canadian Dollars | 15,643,754 | SS | (139,993) | ||||||
07/19/21 | Japanese Yen | 742,299,892 | U.S. Dollars | 6,831,557 | RBC | (148,811) | ||||||
07/19/21 | New Zealand Dollars | 9,380,502 | U.S. Dollars | 6,721,880 | SS | (165,206) | ||||||
07/19/21 | U.S. Dollars | 3,072,930 | Brazilian Reals | 16,399,000 | GSC | (217,346) | ||||||
07/19/21 | U.S. Dollars | 2,049,601 | Brazilian Reals | 11,616,521 | CITI | (281,125) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/19/21 | Australian Dollars | 11,902,147 | U.S. Dollars | 9,224,488 | SS | $ (297,568) | ||||||
07/19/21 | Japanese Yen | 1,805,993,421 | U.S. Dollars | 16,629,409 | SC | (370,486) | ||||||
07/19/21 | Euro | 32,971,835 | U.S. Dollars | 39,539,573 | SS | (427,346) | ||||||
07/19/21 | U.S. Dollars | 3,376,746 | Brazilian Reals | 19,102,452 | SC | (455,949) | ||||||
07/19/21 | Euro | 56,694,156 | U.S. Dollars | 67,710,248 | CITI | (457,855) | ||||||
07/19/21 | Euro | 49,072,665 | U.S. Dollars | 58,804,265 | UBS | (592,726) | ||||||
07/19/21 | Japanese Yen | 4,358,516,347 | U.S. Dollars | 39,963,387 | CITI | (724,719) | ||||||
07/19/21 | Euro | 140,157,946 | U.S. Dollars | 168,142,394 | SC | (1,882,628) | ||||||
Subtotal Depreciation | $(7,841,301) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $ 208,916 |
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 | ||||||||||||||
iTraxx Europe & Crossover Series 35 (Pay Quarterly) | (5.00)% | 12/20/2025 | EUR | 13,999,719 | $(2,141,163) | $(1,964,124) | $(177,039) | |||||||
$(2,141,163) | $(1,964,124) | $(177,039) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 11,577,404 | $ — | $ 11,577,404 | $ — | |||
Common Stocks: | |||||||
Energy | 273,404 | 245,540 | — | 27,864 | |||
Other ^^ | 1,817,718 | 1,817,718 | — | — | |||
Total Common Stocks | 2,091,122 | 2,063,258 | — | 27,864 | |||
Corporate Bonds | 128,912,553 | — | 128,912,553 | — | |||
Foreign Bonds: | |||||||
France | 9,452,575 | — | 9,205,446 | 247,129 | |||
Germany | 15,306,483 | — | 14,988,415 | 318,068 | |||
Italy | 13,440,517 | — | 13,343,329 | 97,188 | |||
Other ^^ | 203,638,050 | — | 203,638,050 | — | |||
Total Foreign Bonds | 241,837,625 | — | 241,175,240 | 662,385 | |||
Foreign Common Stock | 30,069 | 30,069 | — | — | |||
Foreign Preferred Stock | 134,016 | 134,016 | — | — | |||
Loan Agreements | 12,903,617 | — | 12,903,617 | — | |||
Money Market Funds | 44,116,272 | 44,116,272 | — | — | |||
Mortgage-Backed Securities | 33,625,091 | — | 33,625,091 | — | |||
Mutual Funds | 10,418,160 | 10,418,160 | — | — | |||
Preferred Stocks | 853,953 | 853,953 | — | — | |||
Purchased Option: | |||||||
Put Option | 1,008 | 1,008 | — | — | |||
U.S. Treasury Obligations | 138,481,503 | — | 138,481,503 | — | |||
Total Assets - Investments in Securities | $624,982,393 | $57,616,736 | $566,675,408 | $690,249 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 8,050,217 | $ — | $ 8,050,217 | $ — | |||
Futures Contracts | 291,053 | 291,053 | — | — | |||
Total Assets - Other Financial Instruments | $ 8,341,270 | $ 291,053 | $ 8,050,217 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (7,841,301) | $ — | $ (7,841,301) | $ — | |||
Futures Contracts | (917,924) | (917,924) | — | — | |||
Swap Agreements | (177,039) | — | (177,039) | — | |||
Total Liabilities - Other Financial Instruments | $ (8,936,264) | $ (917,924) | $ (8,018,340) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $1,289,128,195 | $1,036,079,796 | |
Investments in repurchase agreements, at value | 551,000,000 | 76,700,000 | |
Investments in securities of affiliated issuers, at value | — | 21,666,713 | |
Total investments, at value(1), (2) | 1,840,128,195 | 1,134,446,509 | |
Cash collateral for derivatives | — | 1,980,623 | |
Deposits with broker for futures contracts | — | 1,734,770 | |
Foreign currency(3) | — | 820,270 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends and reclaims | — | 1,039 | |
Interest | 100,573 | 2,978,421 | |
Securities lending | — | 5,678 | |
From advisor | 60,712 | — | |
Investment securities sold | — | 3,129,858 | |
Fund shares sold | 10,744,936 | 1,276,598 | |
Variation margin on futures contracts | — | — | |
Unrealized appreciation on foreign currency exchange contracts | — | 2,122,962 | |
Unrealized appreciation on swap agreements | — | — | |
Prepaid expenses and other assets | 71,660 | 43,161 | |
Total Assets | 1,851,106,076 | 1,148,539,889 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | 31,444 | |
Upfront premiums received from swap agreements | — | 1,053,959 | |
Unrealized depreciation on foreign currency exchange contracts | — | 41,094 | |
Unrealized depreciation on swap agreements | — | 3,477 | |
Collateral held for securities on loan, at value | — | 6,224,173 | |
Collateral from counterparty | — | 1,286,131 | |
Payables: | |||
Investment securities purchased | 139,204,480 | 51,039,992 | |
Fund shares redeemed | 12,064,883 | 419,306 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | 134,030 | |
Accrued expenses: | |||
Investment advisory fees | — | 257,514 | |
Shareholder servicing fees | 94,576 | 49,600 | |
Trustee fees | 8,913 | 3,500 | |
Other expenses | 212,888 | 244,976 | |
Total Liabilities | 151,585,740 | 60,789,196 | |
Net Assets | $1,699,520,336 | $1,087,750,693 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,699,476,819 | $1,076,895,385 | |
Distributable earnings (loss) | 43,517 | 10,855,308 | |
Net Assets | $1,699,520,336 | $1,087,750,693 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,258,903,694 | $ 846,485,339 | |
Institutional shares outstanding | 1,258,879,506 | 62,059,544 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 13.64 | |
Net assets applicable to the Investor Class | $ 440,616,642 | $ 241,265,354 | |
Investor shares outstanding | 440,562,877 | 17,707,478 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 13.63 | |
(1)Investments in securities of unaffiliated issuers, at cost | $1,289,128,195 | $1,027,558,294 | |
Investments in repurchase agreements, at cost | 551,000,000 | 76,700,000 | |
Investments in securities of affiliated issuers, at cost | — | 21,666,713 | |
Total investments, at cost | $1,840,128,195 | $1,125,925,007 | |
(2)Includes securities loaned of: | $ — | $ 92,532,256 | |
(3)Foreign currency, at cost | $ — | $ 823,763 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ 58,144 |
Medium-Duration Bond Fund | Global Bond Fund | |
$2,169,414,496 | $589,830,408 | |
316,000,000 | — | |
274,047,701 | 35,151,985 | |
2,759,462,197 | 624,982,393 | |
22,493,587 | 4,822,679 | |
3,458,028 | 1,612,890 | |
4,712,376 | 7,673,701 | |
4,693,002 | — | |
103,905 | 66,400 | |
11,155,692 | 4,682,354 | |
13,549 | 5,599 | |
— | — | |
233,772,124 | 4,439,051 | |
928,947 | 144,981 | |
571,270 | — | |
3,426,871 | 8,050,217 | |
5,156 | — | |
66,006 | 23,689 | |
3,044,862,710 | 656,503,954 | |
— | 2,122,224 | |
76,836,834 | — | |
437,891 | — | |
578,201 | 1,964,124 | |
1,004,780 | 7,841,301 | |
5,353 | — | |
6,892,790 | 8,964,287 | |
14,386,888 | 2,737,039 | |
507,839,798 | 13,107,524 | |
377,086 | 75,498 | |
843,372 | — | |
— | 74,195 | |
621,790 | 238,681 | |
93,616 | 24,174 | |
4,001 | 2,017 | |
590,911 | 182,826 | |
610,513,311 | 37,333,890 | |
$2,434,349,399 | $619,170,064 | |
$2,393,179,724 | $604,298,664 | |
41,169,675 | 14,871,400 | |
$2,434,349,399 | $619,170,064 | |
$1,977,118,795 | $501,700,434 | |
129,808,229 | 49,293,203 | |
$ 15.23 | $ 10.18 | |
$ 457,230,604 | $117,469,630 | |
30,013,701 | 11,588,672 | |
$ 15.23 | $ 10.14 | |
$2,121,366,146 | $575,692,126 | |
316,000,000 | — | |
274,047,701 | 35,151,985 | |
$2,711,413,847 | $610,844,111 | |
$ 182,313,843 | $ 60,611,909 | |
$ 4,645,434 | $ 7,679,658 | |
$ 77,060,511 | $ — | |
$ 416,666 | $ — |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ — | |
Interest | 690,839 | 6,353,878 | |
Securities lending, net | — | 32,750 | |
Less foreign taxes withheld | — | (5,462) | |
Total Investment Income | 690,839 | 6,381,166 | |
Expenses | |||
Investment advisory fees | 962,677 | 1,540,085 | |
Transfer agent fees: | |||
Institutional shares | 2,296 | 2,427 | |
Investor shares | 20,190 | 9,958 | |
Custodian fees | 9,197 | 63,810 | |
Shareholder servicing fees: | |||
Investor shares | 600,714 | 300,588 | |
Accounting and administration fees | 165,905 | 111,524 | |
Professional fees | 39,374 | 49,459 | |
Shareholder reporting fees: | |||
Institutional shares | 389 | 361 | |
Investor shares | 5,908 | 2,038 | |
Trustees expenses | 8,714 | 3,448 | |
Line of credit facility fees | 3,798 | 1,579 | |
Other expenses | 65,122 | 45,255 | |
Total Expenses | 1,884,284 | 2,130,532 | |
Expenses waived/reimbursed(1) | (1,193,445) | — | |
Net Expenses | 690,839 | 2,130,532 | |
Net Investment Income | — | 4,250,634 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 1,588 | 2,331,537 | |
Investment securities sold short | — | (1,547) | |
Futures transactions | — | 1,583,242 | |
Swap agreements | — | (75,306) | |
Option contracts written | — | 126,554 | |
Option contracts purchased | — | (8,539) | |
Forward foreign currency contracts | — | (3,205,290) | |
Foreign currency | — | (297,079) | |
Net realized gain (loss) | 1,588 | 453,572 | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | (7,217,901) | |
Investment securities sold short | — | — | |
Futures | — | (1,442,502) | |
Swap agreements | — | 1,142,134 | |
Option contracts written | — | 8,007 | |
Option contracts purchased | — | 1,458 | |
Forward foreign currency contracts | — | 4,140,152 | |
Foreign currency | — | (70,334) | |
Net change in unrealized appreciation (depreciation) | — | (3,438,986) | |
Net Realized and Unrealized Gain (Loss) | 1,588 | (2,985,414) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 1,588 | $ 1,265,220 |
(1) | See Note 3c in Notes to Financial Statements. |
Medium-Duration Bond Fund | Global Bond Fund | |
$ 56 | $ 259,521 | |
22,393,668 | 9,615,425 | |
75,513 | 54,541 | |
(1,339) | (12,302) | |
22,467,898 | 9,917,185 | |
3,613,464 | 1,395,985 | |
2,532 | 2,371 | |
23,431 | 13,196 | |
200,595 | 80,070 | |
555,960 | 145,408 | |
243,917 | 62,538 | |
48,792 | 48,509 | |
400 | 314 | |
2,370 | 1,691 | |
3,958 | 1,982 | |
2,080 | 912 | |
70,996 | 43,080 | |
4,768,495 | 1,796,056 | |
— | — | |
4,768,495 | 1,796,056 | |
17,699,403 | 8,121,129 | |
(4,995,051) | 4,317,622 | |
607,508 | — | |
(8,425,804) | 3,708,168 | |
(312,724) | (291,474) | |
2,076,059 | — | |
(1,527,369) | (208,315) | |
(751,306) | (5,585,977) | |
(268,945) | 42,205 | |
(13,597,632) | 1,982,229 | |
(51,531,018) | (17,025,010) | |
299,420 | — | |
924,191 | (831,114) | |
(663,511) | (177,039) | |
(223,735) | — | |
(254,769) | (827) | |
3,831,303 | 2,653,706 | |
(85,937) | (31,458) | |
(47,704,056) | (15,411,742) | |
(61,301,688) | (13,429,513) | |
$(43,602,285) | $ (5,308,384) |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/21 | 12/31/20 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ — | $ 5,470,866 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 1,588 | 14,329 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase (decrease) in net assets resulting from operations | 1,588 | 5,485,195 | |
Distributions to Shareholders: | |||
Institutional shares | — | (4,317,024) | |
Investor shares | — | (1,153,842) | |
Total distributions | — | (5,470,866) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 3,283,954,563 | 6,163,830,444 | |
Investor shares | 260,827,423 | 592,641,013 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 956,522 | |
Investor shares | — | 1,146,594 | |
Total proceeds from shares sold and reinvested | 3,544,781,986 | 6,758,574,573 | |
Value of shares redeemed | |||
Institutional shares | (3,193,195,852) | (5,900,852,959) | |
Investor shares | (295,292,256) | (510,679,541) | |
Total value of shares redeemed | (3,488,488,108) | (6,411,532,500) | |
Net increase from capital share transactions(1) | 56,293,878 | 347,042,073 | |
Total increase in net assets | 56,295,466 | 347,056,402 | |
Net Assets: | |||
Beginning of Period | 1,643,224,870 | 1,296,168,468 | |
End of Period | $ 1,699,520,336 | $ 1,643,224,870 |
(1) | See Note 6 in Notes to Financial Statements. |
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 | |||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | |||
(Unaudited) | (Unaudited) | |||||
$ 4,250,634 | $ 13,748,439 | $ 17,699,403 | $ 38,500,778 | |||
453,572 | 11,196,237 | (13,597,632) | 68,842,443 | |||
(3,438,986) | 7,711,659 | (47,704,056) | 52,899,798 | |||
1,265,220 | 32,656,335 | (43,602,285) | 160,243,019 | |||
— | (13,268,366) | (14,826,266) | (75,595,690) | |||
— | (3,506,890) | (2,954,949) | (17,458,099) | |||
— | (16,775,256) | (17,781,215) | (93,053,789) | |||
98,807,738 | 176,339,136 | 366,206,394 | 364,783,068 | |||
32,521,870 | 89,879,934 | 90,836,001 | 178,590,044 | |||
— | 13,190,460 | 14,744,452 | 75,272,959 | |||
— | 3,502,365 | 2,881,299 | 17,182,553 | |||
131,329,608 | 282,911,895 | 474,668,146 | 635,828,624 | |||
(75,640,231) | (141,363,518) | (49,539,175) | (277,633,544) | |||
(31,964,776) | (89,372,346) | (45,360,550) | (93,617,926) | |||
(107,605,007) | (230,735,864) | (94,899,725) | (371,251,470) | |||
23,724,601 | 52,176,031 | 379,768,421 | 264,577,154 | |||
24,989,821 | 68,057,110 | 318,384,921 | 331,766,384 | |||
1,062,760,872 | 994,703,762 | 2,115,964,478 | 1,784,198,094 | |||
$1,087,750,693 | $1,062,760,872 | $2,434,349,399 | $2,115,964,478 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Bond Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/21 | 12/31/20 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 8,121,129 | $ 17,127,875 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 1,982,229 | (6,807,750) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (15,411,742) | 20,298,840 | |
Net increase (decrease) in net assets resulting from operations | (5,308,384) | 30,618,965 | |
Distributions to Shareholders: | |||
Institutional shares | (4,683,969) | (7,088,527) | |
Investor shares | (1,066,988) | (1,604,868) | |
Total distributions | (5,750,957) | (8,693,395) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 57,068,601 | 46,411,542 | |
Investor shares | 16,225,176 | 36,929,960 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,679,322 | 7,083,831 | |
Investor shares | 1,039,857 | 1,575,516 | |
Total proceeds from shares sold and reinvested | 79,012,956 | 92,000,849 | |
Value of shares redeemed | |||
Institutional shares | (12,172,727) | (98,572,205) | |
Investor shares | (15,409,922) | (46,644,841) | |
Total value of shares redeemed | (27,582,649) | (145,217,046) | |
Net increase (decrease) from capital share transactions(1) | 51,430,307 | (53,216,197) | |
Total increase (decrease) in net assets | 40,370,966 | (31,290,627) | |
Net Assets: | |||
Beginning of Period | 578,799,098 | 610,089,725 | |
End of Period | $619,170,064 | $ 578,799,098 |
(1) | See Note 6 in Notes to Financial Statements. |
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 | ||||||||||||||
2021(1) | $ 1.00 | $ — | $ —† | $ —† | $ — | $ — | $ — | $ 1.00 | —% | $1,258,904 | 0.08% | 0.14% | —% | N/A |
2020 | 1.00 | —† | —† | —† | —† | — | —† | 1.00 | 0.43 | 1,168,144 | 0.14 | 0.15 | 0.39 | 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 |
Investor Class | ||||||||||||||
2021(1) | $ 1.00 | $ — | $ —† | $ —† | $ — | $ — | $ — | $ 1.00 | —% | $ 440,616 | 0.08% | 0.41% | —% | N/A |
2020 | 1.00 | —† | —† | —† | —† | — | —† | 1.00 | 0.28 | 475,081 | 0.29 | 0.42 | 0.25 | 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 |
Low-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $13.62 | $0.06 | $(0.04) | $ 0.02 | $ — | $ — | $ — | $13.64 | 0.15% | $ 846,485 | 0.34% | 0.34% | 0.86% | 73% |
2020 | 13.40 | 0.19 | 0.26 | 0.45 | (0.23) | — | (0.23) | 13.62 | 3.42 | 822,079 | 0.35 | 0.35 | 1.44 | 220 |
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 |
Investor Class | ||||||||||||||
2021(1) | $13.62 | $0.04 | $(0.03) | $ 0.01 | $ — | $ — | $ — | $13.63 | 0.07% | $ 241,266 | 0.61% | 0.61% | 0.60% | 73% |
2020 | 13.40 | 0.16 | 0.26 | 0.42 | (0.20) | — | (0.20) | 13.62 | 3.16 | 240,682 | 0.62 | 0.62 | 1.17 | 220 |
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 |
Medium-Duration Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $15.65 | $0.12 | $(0.43) | $(0.31) | $(0.09) | $(0.02) | $(0.11) | $15.23 | (1.99)% | $1,977,119 | 0.36% | 0.36% | 1.58% | 192% |
2020 | 15.05 | 0.33 | 1.03 | 1.36 | (0.37) | (0.39) | (0.76) | 15.65 | 9.13 | 1,694,858 | 0.38 | 0.38 | 2.12 | 444 |
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 |
Investor Class | ||||||||||||||
2021(1) | $15.66 | $0.10 | $(0.44) | $(0.34) | $(0.07) | $(0.02) | $(0.09) | $15.23 | (2.11)% | $ 457,230 | 0.63% | 0.63% | 1.32% | 192% |
2020 | 15.06 | 0.29 | 1.02 | 1.31 | (0.32) | (0.39) | (0.71) | 15.66 | 8.84 | 421,106 | 0.65 | 0.65 | 1.84 | 444 |
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 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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. |
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 Bond Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $10.38 | $0.14 | $(0.24) | $(0.10) | $(0.09) | $(0.01) | $(0.10) | $10.18 | (0.96)% | $501,700 | 0.55% | 0.55% | 2.79% | 36% |
2020 | 10.01 | 0.29 | 0.23 | 0.52 | (0.07) | (0.08) | (0.15) | 10.38 | 5.28 | 460,852 | 0.56 | 0.56 | 2.91 | 95 |
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 |
Investor Class | ||||||||||||||
2021(1) | $10.34 | $0.13 | $(0.24) | $(0.11) | $(0.08) | $(0.01) | $(0.09) | $10.14 | (1.04)% | $117,470 | 0.83% | 0.83% | 2.51% | 36% |
2020 | 10.00 | 0.26 | 0.22 | 0.48 | (0.06) | (0.08) | (0.14) | 10.34 | 4.93 | 117,947 | 0.85 | 0.85 | 2.64 | 95 |
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 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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. |
Shares | Value | |||
COMMON STOCKS — 40.9% | ||||
Communication Services — 2.5% | ||||
Activision Blizzard, Inc. | 4,246 | $ 405,238 | ||
Alphabet, Inc. Class A* | 2,145 | 5,237,640 | ||
Alphabet, Inc. Class C* | 410 | 1,027,591 | ||
AT&T, Inc. | 23,332 | 671,495 | ||
Charter Communications, Inc. Class AΔ* | 780 | 562,731 | ||
Comcast Corporation Class A | 7,019 | 400,223 | ||
Electronic Arts, Inc. | 324 | 46,601 | ||
Facebook, Inc. Class A* | 15,893 | 5,526,155 | ||
Fox Corporation Class A | 620 | 23,021 | ||
Interpublic Group of Cos., Inc. (The) | 1,178 | 38,273 | ||
Lumen Technologies, Inc. | 1,651 | 22,437 | ||
Netflix, Inc.* | 2,135 | 1,127,728 | ||
New York Times Co. (The) Class A | 22,640 | 985,972 | ||
Omnicom Group, Inc. | 595 | 47,594 | ||
Take-Two Interactive Software, Inc.* | 177 | 31,333 | ||
T-Mobile US, Inc.* | 29,708 | 4,302,610 | ||
Twitter, Inc.* | 1,198 | 82,434 | ||
Verizon Communications, Inc. | 267,351 | 14,979,677 | ||
ViacomCBS, Inc. Class B | 992 | 44,838 | ||
Walt Disney Co. (The)* | 2,740 | 481,610 | ||
36,045,201 | ||||
Consumer Discretionary — 1.6% | ||||
Advance Auto Parts, Inc. | 122 | 25,027 | ||
Amazon.com, Inc.* | 1,817 | 6,250,771 | ||
AutoZone, Inc.* | 29 | 43,274 | ||
Best Buy Co., Inc. | 3,816 | 438,764 | ||
Booking Holdings, Inc.* | 615 | 1,345,675 | ||
CarMax, Inc.* | 194 | 25,055 | ||
Carnival Corporation* | 785 | 20,693 | ||
Chipotle Mexican Grill, Inc.* | 41 | 63,564 | ||
D.R. Horton, Inc. | 530 | 47,896 | ||
Darden Restaurants, Inc. | 223 | 32,556 | ||
Dollar General Corporation | 446 | 96,510 | ||
Dollar Tree, Inc.* | 287 | 28,557 | ||
eBay, Inc. | 1,203 | 84,463 | ||
Expedia Group, Inc.* | 208 | 34,052 | ||
Ford Motor Co.* | 5,325 | 79,129 | ||
General Motors Co.* | 1,694 | 100,234 | ||
Genuine Parts Co. | 247 | 31,238 | ||
Hanesbrands, Inc. | 827 | 15,440 | ||
Hasbro, Inc. | 196 | 18,526 | ||
Hilton Worldwide Holdings, Inc.* | 512 | 61,757 | ||
Home Depot, Inc. (The) | 13,966 | 4,453,618 | ||
Leggett & Platt, Inc. | 362 | 18,755 | ||
Lennar Corporation Class A | 374 | 37,157 | ||
LKQ Corporation* | 377 | 18,556 | ||
Lowe’s Cos., Inc. | 4,129 | 800,902 | ||
Lululemon Athletica, Inc.* | 2,709 | 988,704 | ||
Marriott International, Inc. Class A* | 579 | 79,045 | ||
McDonald’s Corporation | 1,033 | 238,613 | ||
Newell Brands, Inc. | 1,034 | 28,404 | ||
NIKE, Inc. Class B | 10,762 | 1,662,621 |
Shares | Value | |||
Norwegian Cruise Line Holdings, Ltd.* | 938 | $ 27,587 | ||
NVR, Inc.* | 4 | 19,893 | ||
O’Reilly Automotive, Inc.* | 85 | 48,128 | ||
Ollie's Bargain Outlet Holdings, Inc.Δ* | 1,624 | 136,627 | ||
PulteGroup, Inc. | 555 | 30,286 | ||
Ralph Lauren Corporation | 137 | 16,140 | ||
Ross Stores, Inc. | 533 | 66,092 | ||
Royal Caribbean Cruises, Ltd.* | 597 | 50,912 | ||
Starbucks Corporation | 1,903 | 212,774 | ||
Target Corporation | 18,544 | 4,482,827 | ||
Tesla, Inc.* | 1,120 | 761,264 | ||
TJX Cos., Inc. (The) | 2,036 | 137,267 | ||
Tractor Supply Co. | 167 | 31,072 | ||
Ulta Beauty, Inc.* | 77 | 26,624 | ||
VF Corporation | 473 | 38,805 | ||
Whirlpool Corporation | 122 | 26,598 | ||
Williams-Sonoma, Inc. | 1,117 | 178,329 | ||
Yum! Brands, Inc. | 520 | 59,816 | ||
23,520,597 | ||||
Consumer Staples — 6.5% | ||||
Archer-Daniels-Midland Co. | 2,369 | 143,561 | ||
Campbell Soup Co. | 310 | 14,133 | ||
Church & Dwight Co., Inc. | 5,382 | 458,654 | ||
Clorox Co. (The) | 14,019 | 2,522,158 | ||
Coca-Cola Co. (The) | 74,827 | 4,048,889 | ||
Colgate-Palmolive Co. | 162,536 | 13,222,304 | ||
Conagra Brands, Inc. | 599 | 21,792 | ||
Costco Wholesale Corporation | 10,786 | 4,267,697 | ||
Estee Lauder Cos., Inc. (The) Class A | 12,872 | 4,094,326 | ||
Flowers Foods, Inc. | 21,035 | 509,047 | ||
General Mills, Inc. | 14,822 | 903,104 | ||
Grocery Outlet Holding CorporationΔ* | 23,291 | 807,266 | ||
Hershey Co. (The) | 40,671 | 7,084,075 | ||
Hormel Foods Corporation | 77,065 | 3,679,854 | ||
J.M. Smucker Co. (The) | 250 | 32,392 | ||
Kellogg Co. | 581 | 37,376 | ||
Kimberly-Clark Corporation | 3,858 | 516,123 | ||
Kraft Heinz Co. (The) | 1,017 | 41,473 | ||
Kroger Co. (The) | 83,506 | 3,199,115 | ||
Lamb Weston Holdings, Inc. | 177 | 14,277 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 18,390 | 1,624,205 | ||
Mondelez International, Inc. Class A | 122,386 | 7,641,782 | ||
Monster Beverage Corporation* | 40,559 | 3,705,065 | ||
PepsiCo, Inc. | 76,148 | 11,282,849 | ||
Procter & Gamble Co. (The) | 57,425 | 7,748,355 | ||
Sprouts Farmers Market, Inc.* | 4,827 | 119,951 | ||
Sysco Corporation | 786 | 61,111 | ||
Tyson Foods, Inc. Class A | 450 | 33,192 | ||
Walgreens Boots Alliance, Inc. | 1,367 | 71,918 | ||
Walmart, Inc. | 107,613 | 15,175,585 | ||
93,081,629 |
Shares | Value | |||
Energy — 0.7% | ||||
APA Corporation | 581 | $ 12,567 | ||
Baker Hughes Co. | 59,462 | 1,359,896 | ||
Cabot Oil & Gas Corporation | 765 | 13,357 | ||
Chevron Corporation | 71,711 | 7,511,010 | ||
ConocoPhillips | 2,045 | 124,540 | ||
Devon Energy Corporation | 701 | 20,462 | ||
Diamondback Energy, Inc. | 209 | 19,623 | ||
EOG Resources, Inc. | 850 | 70,924 | ||
Exxon Mobil Corporation | 6,904 | 435,504 | ||
Halliburton Co. | 1,147 | 26,519 | ||
Hess Corporation | 364 | 31,784 | ||
Kinder Morgan, Inc. | 2,586 | 47,143 | ||
Marathon Petroleum Corporation | 1,299 | 78,486 | ||
Occidental Petroleum Corporation | 1,165 | 36,430 | ||
ONEOK, Inc. | 621 | 34,552 | ||
Phillips 66 | 571 | 49,003 | ||
Pioneer Natural Resources Co. | 180 | 29,254 | ||
Valero Energy Corporation | 667 | 52,079 | ||
Williams Cos., Inc. (The) | 1,534 | 40,728 | ||
9,993,861 | ||||
Financials — 5.4% | ||||
Aflac, Inc. | 42,171 | 2,262,896 | ||
Allstate Corporation (The) | 32,297 | 4,212,821 | ||
American Express Co. | 1,103 | 182,249 | ||
American International Group, Inc. | 1,012 | 48,171 | ||
Ameriprise Financial, Inc. | 12,971 | 3,228,222 | ||
Arthur J. Gallagher & Co. | 390 | 54,631 | ||
Bank of America Corporation | 10,674 | 440,089 | ||
Bank of New York Mellon Corporation (The) | 122,455 | 6,273,370 | ||
Berkshire Hathaway, Inc. Class B* | 2,535 | 704,527 | ||
BlackRock, Inc. | 6,090 | 5,328,567 | ||
Capital One Financial Corporation | 592 | 91,576 | ||
Capitol Federal Financial, Inc.Δ | 214,000 | 2,520,920 | ||
Cboe Global Markets, Inc. | 177 | 21,072 | ||
Charles Schwab Corporation (The) | 18,557 | 1,351,135 | ||
Cincinnati Financial Corporation | 275 | 32,071 | ||
Citigroup, Inc. | 2,866 | 202,770 | ||
Citizens Financial Group, Inc. | 836 | 38,347 | ||
CME Group, Inc. | 15,740 | 3,347,583 | ||
Comerica, Inc. | 302 | 21,545 | ||
Commerce Bancshares, Inc.Δ | 14,088 | 1,050,401 | ||
Discover Financial Services | 355 | 41,993 | ||
Erie Indemnity Co. Class A | 1,123 | 217,132 | ||
Fifth Third Bancorp | 1,381 | 52,796 | ||
First Republic Bank | 1,752 | 327,922 | ||
Franklin Resources, Inc. | 699 | 22,361 | ||
Goldman Sachs Group, Inc. (The) | 545 | 206,844 | ||
Hartford Financial Services Group, Inc. (The) | 32,833 | 2,034,661 | ||
Huntington Bancshares, Inc. | 1,877 | 26,785 | ||
Intercontinental Exchange, Inc. | 14,136 | 1,677,943 | ||
Invesco, Ltd. | 1,330 | 35,551 | ||
JPMorgan Chase & Co. | 65,938 | 10,255,997 | ||
KeyCorp | 1,880 | 38,822 | ||
Lincoln National Corporation | 388 | 24,382 |
Shares | Value | |||
M&T Bank Corporation | 254 | $ 36,909 | ||
MarketAxess Holdings, Inc. | 61 | 28,279 | ||
Marsh & McLennan Cos., Inc. | 93,516 | 13,155,831 | ||
MetLife, Inc. | 1,207 | 72,239 | ||
Moody’s Corporation | 154 | 55,805 | ||
Morgan Stanley | 2,315 | 212,262 | ||
MSCI, Inc. | 128 | 68,234 | ||
Northern Trust Corporation | 38,270 | 4,424,777 | ||
People’s United Financial, Inc. | 674 | 11,552 | ||
PNC Financial Services Group, Inc. (The) | 9,298 | 1,773,686 | ||
Principal Financial Group, Inc. | 556 | 35,134 | ||
Progressive Corporation (The) | 35,567 | 3,493,035 | ||
Prudential Financial, Inc. | 758 | 77,672 | ||
Raymond James Financial, Inc. | 162 | 21,044 | ||
Regions Financial Corporation | 1,185 | 23,913 | ||
S&P Global, Inc. | 858 | 352,166 | ||
State Street Corporation | 517 | 42,539 | ||
SVB Financial Group* | 73 | 40,619 | ||
Synchrony Financial | 757 | 36,730 | ||
T. Rowe Price Group, Inc. | 18,189 | 3,600,876 | ||
Travelers Cos., Inc. (The) | 15,171 | 2,271,250 | ||
Truist Financial Corporation | 2,310 | 128,205 | ||
U.S. Bancorp | 2,403 | 136,899 | ||
Unum Group | 295 | 8,378 | ||
Wells Fargo & Co. | 4,819 | 218,253 | ||
Zions Bancorp NA | 159 | 8,405 | ||
76,710,844 | ||||
Health Care — 6.8% | ||||
Abbott Laboratories | 32,045 | 3,714,977 | ||
ABIOMED, Inc.* | 2,308 | 720,350 | ||
Agilent Technologies, Inc. | 6,618 | 978,207 | ||
Alexion Pharmaceuticals, Inc.* | 430 | 78,995 | ||
Align Technology, Inc.* | 910 | 556,010 | ||
Amgen, Inc. | 16,501 | 4,022,119 | ||
Anthem, Inc. | 2,228 | 850,650 | ||
Baxter International, Inc. | 1,395 | 112,297 | ||
Becton, Dickinson and Co. | 12,838 | 3,122,073 | ||
Biogen, Inc.* | 4,575 | 1,584,185 | ||
Bio-Rad Laboratories, Inc. Class A* | 99 | 63,785 | ||
Boston Scientific Corporation* | 1,438 | 61,489 | ||
Bristol-Myers Squibb Co. | 19,450 | 1,299,649 | ||
Cardinal Health, Inc. | 39,470 | 2,253,342 | ||
Catalent, Inc.* | 772 | 83,469 | ||
Centene Corporation* | 1,047 | 76,358 | ||
Cerner Corporation | 53,135 | 4,153,032 | ||
Charles River Laboratories International, Inc.* | 1,071 | 396,184 | ||
Chemed Corporation | 4,738 | 2,248,181 | ||
Cigna Corporation | 6,090 | 1,443,756 | ||
CVS Health Corporation | 1,946 | 162,374 | ||
Danaher Corporation | 10,788 | 2,895,068 | ||
DaVita, Inc.* | 199 | 23,966 | ||
DENTSPLY SIRONA, Inc. | 352 | 22,268 | ||
DexCom, Inc.* | 103 | 43,981 | ||
Edwards Lifesciences Corporation* | 6,479 | 671,030 | ||
Eli Lilly and Co. | 19,485 | 4,472,197 |
Shares | Value | |||
Gilead Sciences, Inc. | 2,481 | $ 170,842 | ||
HCA Healthcare, Inc. | 360 | 74,426 | ||
Hologic, Inc.* | 419 | 27,956 | ||
Humana, Inc. | 129 | 57,111 | ||
IDEXX Laboratories, Inc.* | 2,795 | 1,765,182 | ||
Illumina, Inc.* | 2,909 | 1,376,568 | ||
Incyte Corporation* | 414 | 34,830 | ||
Intuitive Surgical, Inc.* | 4,896 | 4,502,557 | ||
IQVIA Holdings, Inc.* | 531 | 128,672 | ||
Johnson & Johnson | 143,688 | 23,671,161 | ||
Laboratory Corporation of America Holdings* | 124 | 34,205 | ||
McKesson Corporation | 219 | 41,882 | ||
Mettler-Toledo International, Inc.* | 2,059 | 2,852,415 | ||
Moderna, Inc.* | 6,893 | 1,619,717 | ||
PerkinElmer, Inc. | 275 | 42,463 | ||
Quest Diagnostics, Inc. | 24,978 | 3,296,347 | ||
Regeneron Pharmaceuticals, Inc.* | 3,386 | 1,891,216 | ||
ResMed, Inc. | 2,353 | 580,062 | ||
Seagen, Inc.* | 14,646 | 2,312,310 | ||
Stryker Corporation | 8,775 | 2,279,131 | ||
Teleflex, Inc. | 72 | 28,929 | ||
United Therapeutics Corporation* | 448 | 80,376 | ||
UnitedHealth Group, Inc. | 15,300 | 6,126,732 | ||
Veeva Systems, Inc. Class A* | 552 | 171,644 | ||
Vertex Pharmaceuticals, Inc.* | 7,156 | 1,442,864 | ||
Viatris, Inc. | 3,491 | 49,886 | ||
Waters Corporation* | 639 | 220,845 | ||
West Pharmaceutical Services, Inc. | 3,639 | 1,306,765 | ||
Zimmer Biomet Holdings, Inc. | 253 | 40,687 | ||
Zoetis, Inc. | 23,271 | 4,336,784 | ||
96,674,557 | ||||
Industrials — 4.9% | ||||
3M Co. | 15,778 | 3,133,984 | ||
A.O. Smith Corporation | 278 | 20,033 | ||
Alaska Air Group, Inc.* | 219 | 13,208 | ||
American Airlines Group, Inc.* | 534 | 11,326 | ||
AMETEK, Inc. | 185 | 24,697 | ||
Boeing Co. (The)* | 832 | 199,314 | ||
C.H. Robinson Worldwide, Inc. | 11,401 | 1,067,932 | ||
Carrier Global Corporation | 8,128 | 395,021 | ||
Caterpillar, Inc. | 1,258 | 273,779 | ||
Cintas Corporation | 1,201 | 458,782 | ||
Copart, Inc.* | 6,062 | 799,153 | ||
CSX Corporation | 3,033 | 97,299 | ||
Cummins, Inc. | 1,014 | 247,223 | ||
Deere & Co. | 516 | 181,998 | ||
Delta Air Lines, Inc.* | 1,297 | 56,108 | ||
Dover Corporation | 192 | 28,915 | ||
Emerson Electric Co. | 122,741 | 11,812,594 | ||
Equifax, Inc. | 145 | 34,729 | ||
Expeditors International of Washington, Inc. | 24,038 | 3,043,211 | ||
Fastenal Co. | 782 | 40,664 | ||
FedEx Corporation | 4,105 | 1,224,645 | ||
Fortive Corporation | 303 | 21,131 | ||
Fortune Brands Home & Security, Inc. | 191 | 19,025 |
Shares | Value | |||
General Dynamics Corporation | 337 | $ 63,444 | ||
General Electric Co. | 11,945 | 160,780 | ||
Honeywell International, Inc. | 4,054 | 889,245 | ||
Hubbell, Inc. | 25,789 | 4,818,417 | ||
Huntington Ingalls Industries, Inc. | 90 | 18,967 | ||
IDEX Corporation | 85 | 18,704 | ||
IHS Markit, Ltd. | 430 | 48,444 | ||
Illinois ToolWorks, Inc. | 13,688 | 3,060,089 | ||
Ingersoll-Rand, Inc.* | 380 | 18,548 | ||
J.B. Hunt Transport Services, Inc. | 9,838 | 1,603,102 | ||
Jacobs Engineering Group, Inc. | 178 | 23,749 | ||
Kansas City Southern | 154 | 43,639 | ||
L3Harris Technologies, Inc. | 275 | 59,441 | ||
Landstar System, Inc. | 11,312 | 1,787,522 | ||
Leidos Holdings, Inc. | 268 | 27,095 | ||
Lockheed Martin Corporation | 421 | 159,285 | ||
Masco Corporation | 401 | 23,623 | ||
Norfolk Southern Corporation | 21,549 | 5,719,320 | ||
Northrop Grumman Corporation | 237 | 86,133 | ||
Old Dominion Freight Line, Inc. | 14,654 | 3,719,185 | ||
Otis Worldwide Corporation | 591 | 48,326 | ||
PACCAR, Inc. | 23,218 | 2,072,206 | ||
Parker-Hannifin Corporation | 197 | 60,501 | ||
Raytheon Technologies Corporation | 67,960 | 5,797,668 | ||
Republic Services, Inc. | 51,966 | 5,716,780 | ||
Robert Half International, Inc. | 192 | 17,082 | ||
Rockwell Automation, Inc. | 3,242 | 927,277 | ||
Rollins, Inc. | 52,385 | 1,791,567 | ||
Roper Technologies, Inc. | 103 | 48,431 | ||
Snap-on, Inc. | 112 | 25,024 | ||
Southwest Airlines Co.* | 727 | 38,596 | ||
Stanley Black & Decker, Inc. | 209 | 42,843 | ||
Teledyne Technologies, Inc.* | 10 | 4,360 | ||
Textron, Inc. | 272 | 18,705 | ||
TransDigm Group, Inc.* | 58 | 37,543 | ||
Union Pacific Corporation | 6,721 | 1,478,150 | ||
United Airlines Holdings, Inc.* | 286 | 14,955 | ||
United Parcel Service, Inc. Class B | 14,173 | 2,947,559 | ||
United Rentals, Inc.* | 123 | 39,238 | ||
Verisk Analytics, Inc. | 296 | 51,717 | ||
W.W. Grainger, Inc. | 55 | 24,090 | ||
Waste Management, Inc. | 28,391 | 3,977,863 | ||
Xylem, Inc. | 293 | 35,148 | ||
70,769,132 | ||||
Information Technology — 7.1% | ||||
Adobe, Inc.* | 8,780 | 5,141,919 | ||
Advanced Micro Devices, Inc.* | 1,869 | 175,555 | ||
Akamai Technologies, Inc.* | 312 | 36,379 | ||
Amphenol Corporation Class A | 10,425 | 713,174 | ||
Analog Devices, Inc. | 551 | 94,860 | ||
ANSYS, Inc.* | 1,329 | 461,243 | ||
Apple, Inc. | 53,821 | 7,371,324 | ||
Applied Materials, Inc. | 1,260 | 179,424 | ||
Arista Networks, Inc.* | 84 | 30,434 | ||
Autodesk, Inc.* | 1,048 | 305,911 | ||
Automatic Data Processing, Inc. | 44,253 | 8,789,531 |
Shares | Value | |||
Broadcom, Inc. | 1,598 | $ 761,990 | ||
Broadridge Financial Solutions, Inc. | 168 | 27,137 | ||
Cadence Design Systems, Inc.* | 408 | 55,823 | ||
CDW Corporation | 222 | 38,772 | ||
Cisco Systems, Inc. | 174,820 | 9,265,460 | ||
Citrix Systems, Inc. | 233 | 27,324 | ||
Cloudflare, Inc. Class AΔ* | 9,348 | 989,392 | ||
Cognex Corporation | 12,291 | 1,033,059 | ||
Cognizant Technology Solutions Corporation Class A | 907 | 62,819 | ||
Corning, Inc. | 96,625 | 3,951,962 | ||
Crowdstrike Holdings, Inc. Class A* | 3,164 | 795,145 | ||
DocuSign, Inc.* | 1,994 | 557,463 | ||
DXC Technology Co.* | 631 | 24,571 | ||
Enphase Energy, Inc.* | 193 | 35,441 | ||
F5 Networks, Inc.* | 103 | 19,226 | ||
Fidelity National Information Services, Inc. | 725 | 102,711 | ||
Fiserv, Inc.* | 822 | 87,864 | ||
FleetCor Technologies, Inc.* | 120 | 30,727 | ||
Fortinet, Inc.* | 228 | 54,307 | ||
Gartner, Inc.* | 84 | 20,345 | ||
Global Payments, Inc. | 464 | 87,019 | ||
Hewlett Packard Enterprise Co. | 2,396 | 34,934 | ||
HP, Inc. | 2,191 | 66,146 | ||
Intel Corporation | 17,550 | 985,257 | ||
International Business Machines Corporation | 1,458 | 213,728 | ||
Intuit, Inc. | 9,143 | 4,481,624 | ||
Jack Henry & Associates, Inc. | 179 | 29,268 | ||
Keysight Technologies, Inc.* | 264 | 40,764 | ||
KLA Corporation | 301 | 97,587 | ||
Lam Research Corporation | 245 | 159,421 | ||
Mastercard, Inc. Class A | 10,844 | 3,959,036 | ||
Maxim Integrated Products, Inc. | 543 | 57,210 | ||
Microchip Technology, Inc. | 397 | 59,447 | ||
Micron Technology, Inc.* | 1,913 | 162,567 | ||
Microsoft Corporation | 56,194 | 15,222,955 | ||
Motorola Solutions, Inc. | 227 | 49,225 | ||
NetApp, Inc. | 491 | 40,174 | ||
NortonLifeLock, Inc. | 1,116 | 30,378 | ||
NVIDIA Corporation | 5,566 | 4,453,357 | ||
Oracle Corporation | 106,045 | 8,254,543 | ||
Paychex, Inc. | 5,464 | 586,287 | ||
Paycom Software, Inc.* | 80 | 29,078 | ||
PayPal Holdings, Inc.* | 1,698 | 494,933 | ||
Qorvo, Inc.* | 113 | 22,108 | ||
QUALCOMM, Inc. | 1,666 | 238,121 | ||
salesforce.com, Inc.* | 3,065 | 748,688 | ||
ServiceNow, Inc.* | 1,155 | 634,730 | ||
Skyworks Solutions, Inc. | 3,766 | 722,130 | ||
SYNNEX Corporation | 4,619 | 562,409 | ||
Synopsys, Inc.* | 180 | 49,642 | ||
Texas Instruments, Inc. | 51,156 | 9,837,299 | ||
Visa, Inc. Class AΔ | 19,296 | 4,511,791 | ||
Western Digital Corporation* | 446 | 31,742 | ||
Western Union Co. (The) | 1,340 | 30,780 | ||
Xilinx, Inc. | 433 | 62,629 |
Shares | Value | |||
Zebra Technologies Corporation Class A* | 42 | $ 22,239 | ||
Zoom Video Communications, Inc. Class A* | 6,607 | 2,557,107 | ||
100,867,645 | ||||
Materials — 1.0% | ||||
Air Products and Chemicals, Inc. | 4,681 | 1,346,630 | ||
Albemarle Corporation | 215 | 36,219 | ||
Ball Corporation | 503 | 40,753 | ||
Celanese Corporation | 213 | 32,291 | ||
CF Industries Holdings, Inc. | 450 | 23,153 | ||
Corteva, Inc. | 13,065 | 579,433 | ||
Dow, Inc. | 1,244 | 78,720 | ||
DuPont de Nemours, Inc. | 968 | 74,933 | ||
Eastman Chemical Co. | 225 | 26,269 | ||
Ecolab, Inc. | 16,254 | 3,347,837 | ||
Freeport-McMoRan, Inc. | 1,705 | 63,273 | ||
International Flavors & Fragrances, Inc. | 140 | 20,916 | ||
International Paper Co. | 898 | 55,056 | ||
Martin Marietta Materials, Inc. | 1,799 | 632,906 | ||
Newmont Corporation | 36,771 | 2,330,546 | ||
Nucor Corporation | 652 | 62,546 | ||
Packaging Corporation of America | 19,167 | 2,595,595 | ||
PPG Industries, Inc. | 4,931 | 837,136 | ||
Royal Gold, Inc. | 1,162 | 132,584 | ||
Sherwin-Williams Co. (The) | 5,958 | 1,623,257 | ||
Vulcan Materials Co. | 148 | 25,762 | ||
13,965,815 | ||||
Real Estate — 0.5% | ||||
Alexandria Real Estate Equities, Inc. REIT | 172 | 31,294 | ||
American Tower Corporation REIT | 7,319 | 1,977,155 | ||
AvalonBay Communities, Inc. REIT | 210 | 43,825 | ||
Boston Properties, Inc. REIT | 257 | 29,450 | ||
CBRE Group, Inc. Class A* | 366 | 31,377 | ||
Crown Castle International Corporation REIT | 714 | 139,301 | ||
Digital Realty Trust, Inc. REIT | 362 | 54,466 | ||
Equinix, Inc. REIT | 3,450 | 2,768,970 | ||
Equity Residential REIT | 647 | 49,819 | ||
Essex Property Trust, Inc. REIT | 71 | 21,301 | ||
Extra Space Storage, Inc. REIT | 205 | 33,583 | ||
Federal Realty Investment Trust REIT | 105 | 12,303 | ||
Healthpeak Properties, Inc. REIT | 1,300 | 43,277 | ||
Host Hotels & Resorts, Inc. REIT* | 1,318 | 22,525 | ||
Iron Mountain, Inc. REIT | 711 | 30,089 | ||
Kimco Realty Corporation REIT | 1,153 | 24,040 | ||
Mid-America Apartment Communities, Inc. REIT | 202 | 34,021 | ||
Prologis, Inc. REIT | 839 | 100,286 | ||
Public Storage REIT | 183 | 55,026 | ||
Realty Income Corporation REIT | 702 | 46,851 | ||
Regency Centers Corporation REIT | 353 | 22,617 | ||
SBA Communications Corporation REIT | 150 | 47,805 | ||
Simon Property Group, Inc. REIT | 518 | 67,589 |
Shares | Value | |||
UDR, Inc. REIT | 300 | $ 14,694 | ||
Ventas, Inc. REIT | 570 | 32,547 | ||
Vornado Realty Trust REIT | 299 | 13,954 | ||
Welltower, Inc. REITΔ | 20,556 | 1,708,203 | ||
Weyerhaeuser Co. REIT | 862 | 29,670 | ||
7,486,038 | ||||
Utilities — 3.9% | ||||
AES Corporation (The) | 1,420 | 37,019 | ||
Ameren Corporation | 30,573 | 2,447,063 | ||
American Electric Power Co., Inc. | 11,939 | 1,009,920 | ||
American Water Works Co., Inc. | 12,926 | 1,992,284 | ||
Atmos Energy Corporation | 76,177 | 7,321,372 | ||
CenterPoint Energy, Inc. | 792 | 19,420 | ||
CMS Energy Corporation | 355 | 20,973 | ||
Consolidated Edison, Inc. | 18,667 | 1,338,797 | ||
Dominion Energy, Inc. | 26,559 | 1,953,946 | ||
DTE Energy Co. | 13,361 | 1,731,586 | ||
Duke Energy Corporation | 52,928 | 5,225,052 | ||
Edison International | 661 | 38,219 | ||
Entergy Corporation | 334 | 33,300 | ||
Evergy, Inc. | 43,054 | 2,601,753 | ||
Eversource Energy | 43,121 | 3,460,029 | ||
Exelon Corporation | 1,363 | 60,395 | ||
FirstEnergy Corporation | 986 | 36,689 | ||
IDACORP, Inc.Δ | 5,992 | 584,220 | ||
NextEra Energy, Inc. | 56,289 | 4,124,858 | ||
NRG Energy, Inc. | 488 | 19,666 | ||
ONE Gas, Inc. | 101,502 | 7,523,328 | ||
Pinnacle West Capital CorporationΔ | 19,408 | 1,590,874 | ||
PPL Corporation | 1,601 | 44,780 | ||
Public Service Enterprise Group, Inc. | 25,685 | 1,534,422 | ||
Sempra Energy | 7,792 | 1,032,284 | ||
Southern Co. (The) | 3,328 | 201,377 | ||
Spire, Inc.Δ | 101,140 | 7,309,388 | ||
WEC Energy Group, Inc. | 14,750 | 1,312,013 | ||
Xcel Energy, Inc. | 10,724 | 706,497 | ||
55,311,524 | ||||
Total Common Stocks (Cost $402,997,122) | 584,426,843 | |||
FOREIGN COMMON STOCKS — 6.3% | ||||
Curacao — 0.0% | ||||
Schlumberger NV | 2,511 | 80,377 | ||
France — 0.3% | ||||
TotalEnergies SEΔ | 81,123 | 3,670,191 | ||
Ireland — 2.8% | ||||
Accenture PLC Class A | 14,727 | 4,341,372 | ||
Allegion PLC | 106 | 14,766 | ||
Aon PLC Class A | 5,519 | 1,317,717 | ||
Eaton Corporation PLC | 837 | 124,027 | ||
Jazz Pharmaceuticals PLC* | 4,769 | 847,165 | ||
Johnson Controls International PLC | 1,098 | 75,356 | ||
Linde PLC | 46,514 | 13,447,197 | ||
Medtronic PLC | 156,994 | 19,487,665 | ||
Pentair PLC | 294 | 19,842 | ||
Seagate Technology Holdings PLC | 595 | 52,318 |
Shares | Value | |||
Trane Technologies PLC | 431 | $ 79,364 | ||
Willis Towers Watson PLC | 181 | 41,634 | ||
39,848,423 | ||||
Japan — 0.2% | ||||
Bridgestone Corporation | 19,400 | 882,731 | ||
Toyota Motor Corporation | 22,700 | 1,984,041 | ||
2,866,772 | ||||
Jersey — 0.2% | ||||
Amcor PLC | 174,156 | 1,995,828 | ||
Aptiv PLC* | 504 | 79,294 | ||
2,075,122 | ||||
Netherlands — 0.5% | ||||
Akzo Nobel NV | 30,500 | 3,768,432 | ||
Koninklijke Ahold Delhaize NV | 97,753 | 2,905,880 | ||
LyondellBasell Industries NV Class A | 396 | 40,736 | ||
NXP Semiconductor NV | 138 | 28,389 | ||
QIAGEN NV* | 18,194 | 880,226 | ||
7,623,663 | ||||
Sweden — 0.0% | ||||
Assa Abloy AB, B Shares | 13,100 | 394,618 | ||
Switzerland — 1.8% | ||||
ABB, Ltd. | 22,700 | 770,120 | ||
Chubb, Ltd. | 42,452 | 6,747,321 | ||
Garmin, Ltd. | 10,025 | 1,450,016 | ||
Nestle SA | 48,600 | 6,052,085 | ||
Roche Holding AG | 29,100 | 10,962,232 | ||
TE Connectivity, Ltd. | 416 | 56,247 | ||
26,038,021 | ||||
United Kingdom — 0.5% | ||||
Atlassian Corporation PLC Class A* | 595 | 152,832 | ||
Nielsen Holdings PLC | 758 | 18,700 | ||
Unilever PLC | 124,100 | 7,264,138 | ||
7,435,670 | ||||
Total Foreign Common Stocks (Cost $73,728,752) | 90,032,857 | |||
PREFERRED STOCKS — 0.6% | ||||
Bank of America Corporation | ||||
7.25% CONV | 1,000 | 1,416,000 | ||
Becton Dickinson and Co. | ||||
6.00% 06/01/23 CONV | 128,828 | 6,893,586 | ||
Wells Fargo & Co. | ||||
7.50% 02/27/20 CONV | 652 | 995,089 | ||
Total Preferred Stocks (Cost $8,999,050) | 9,304,675 | |||
MUTUAL FUNDS — 0.4% | ||||
iShares Russell 1000 Value ETF (Cost $5,035,615) | 33,561 | 5,323,446 |
Par | Value | |||
CORPORATE BONDS — 26.7% | ||||
Airbnb, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | $1,605,000 | $1,516,725 | ||
Akamai Technologies, Inc. | ||||
0.13%, 05/01/25 CONV | 1,469,000 | 1,927,328 | ||
0.38%, 09/01/27 CONV | 2,330,000 | 2,707,460 | ||
Alarm.com Holdings, Inc. | ||||
0.34%, 01/15/26 144AΩ CONV | 2,813,000 | 2,593,586 | ||
Allscripts Healthcare Solutions, Inc. | ||||
0.88%, 01/01/27 CONV | 2,547,000 | 3,796,796 | ||
Altair Engineering, Inc. | ||||
0.25%, 06/01/24 CONV | 625,000 | 974,753 | ||
Alteryx, Inc. | ||||
0.50%, 08/01/24 CONV | 2,446,000 | 2,342,045 | ||
1.00%, 08/01/26 CONV | 706,000 | 668,088 | ||
Ares Capital Corporation | ||||
3.75%, 02/01/22 CONV | 2,830,000 | 2,964,425 | ||
4.63%, 03/01/24 CONV | 505,000 | 552,016 | ||
Bank of America Corporation | ||||
(Variable, ICE LIBOR USD 3M + 2.66%), 4.30%, 01/28/25ρΔ^ | 1,312,000 | 1,358,248 | ||
(Variable, ICE LIBOR USD 3M + 2.93%), 5.88%, 03/15/28ρ^ | 3,011,000 | 3,450,034 | ||
Bank of New York Mellon Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 3.42%), 3.55%, 09/20/21†ρΔ | 798,000 | 803,885 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 09/20/25ρ^ | 268,000 | 293,125 | ||
Bentley Systems, Inc. | ||||
0.13%, 01/15/26 144A CONV | 951,000 | 1,137,681 | ||
0.38%, 07/01/27 144A CONV | 1,892,000 | 1,948,760 | ||
Beyond Meat, Inc. | ||||
0.37%, 03/15/27 144AΩ CONV | 3,887,000 | 3,981,746 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONVΔ | 5,471,000 | 5,683,275 | ||
Blackline, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | 3,690,000 | 3,560,850 | ||
Blackstone Mortgage Trust, Inc. REIT | ||||
4.75%, 03/15/23 CONV | 2,841,000 | 2,922,821 | ||
BofA Finance LLC | ||||
0.25%, 05/01/23 CONV | 1,496,000 | 1,593,988 | ||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 CONVΔ | 1,982,000 | 2,812,458 | ||
Box, Inc. | ||||
(0.70)%, 01/15/26 144AΩ CONV | 3,119,000 | 3,715,665 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 CONVΔ | 2,494,000 | 3,974,812 | ||
Cable One, Inc. | ||||
0.00%, 03/15/26 144AΩ CONV | 1,979,000 | 1,986,916 |
Par | Value | |||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 144A CONV | $1,784,000 | $1,791,805 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 06/01/25ρ^ | 974,000 | 1,078,997 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.17%), 4.00%, 06/01/26ρ^ | 1,844,000 | 1,926,980 | ||
(Variable, ICE LIBOR USD 3M + 2.58%), 5.00%, 12/01/27ρΔ^ | 1,119,000 | 1,184,741 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26 CONV | 669,000 | 661,892 | ||
Chegg, Inc. | ||||
(0.23)%, 09/01/26 144AΩ CONV | 3,693,000 | 3,855,492 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 5.95%, 01/30/23ρ^ | 1,792,000 | 1,885,148 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 CONV | 1,260,000 | 1,294,127 | ||
Coinbase Global, Inc. | ||||
0.50%, 06/01/26 144A CONV | 4,592,000 | 4,674,656 | ||
CONMED Corporation | ||||
2.63%, 02/01/24 CONV | 2,120,000 | 3,426,450 | ||
Coupa Software, Inc. | ||||
0.38%, 06/15/26 CONV | 2,032,000 | 2,354,326 | ||
Cracker Barrel Old Country Store, Inc. | ||||
0.63%, 06/15/26 144A CONVΔ | 998,000 | 1,006,733 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 CONV | 1,596,000 | 2,133,652 | ||
Dexcom, Inc. | ||||
0.25%, 11/15/25 CONV | 3,643,000 | 3,822,873 | ||
DISH Network Corporation | ||||
(0.04)%, 12/15/25 144AΩ CONV | 1,209,000 | 1,413,926 | ||
3.38%, 08/15/26 CONV | 6,978,000 | 7,138,494 | ||
DocuSign, Inc. | ||||
(1.30)%, 01/15/24 144AΩ CONV | 2,956,000 | 3,059,460 | ||
Dominion Energy, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.99%), 4.65%, 12/15/24ρ^ | 2,125,000 | 2,263,125 | ||
Dropbox, Inc. | ||||
0.00%, 03/01/26 144AΩ CONV | 1,707,000 | 1,836,732 | ||
0.00%, 03/01/28 144AΩ CONV | 1,707,000 | 1,877,700 | ||
Duke Energy Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.39%), 4.88%, 09/16/24ρ^ | 2,800,000 | 2,982,000 | ||
Enphase Energy, Inc. | ||||
0.00%, 03/01/26 144AΩ CONV | 2,364,000 | 2,322,630 | ||
1.86%, 03/01/28 144AΩ CONVΔ | 2,296,000 | 2,236,585 | ||
Envestnet, Inc. | ||||
0.75%, 08/15/25 144A CONV | 2,827,000 | 2,823,608 |
Par | Value | |||
EQT Corporation | ||||
1.75%, 05/01/26 CONVΔ | $1,689,000 | $2,821,643 | ||
Etsy, Inc. | ||||
0.13%, 09/01/27 144A CONV | 1,393,000 | 1,800,452 | ||
0.25%, 06/15/28 144A CONV | 1,892,000 | 2,094,444 | ||
Euronet Worldwide, Inc. | ||||
0.75%, 03/15/49 CONVΔ | 3,380,000 | 3,865,875 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27 CONV | 1,840,000 | 2,443,750 | ||
Expedia Group, Inc. | ||||
(0.53)%, 02/15/26 144AΩ CONVΔ | 2,882,000 | 3,126,970 | ||
FireEye, Inc. | ||||
0.88%, 06/01/24 CONV | 1,301,000 | 1,475,822 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 144A CONV | 542,000 | 803,854 | ||
Ford Motor Co. | ||||
0.00%, 03/15/26 144AΩ CONVΔ | 2,862,000 | 3,178,609 | ||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | 1,601,000 | 2,292,632 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 144A CONV | 3,523,000 | 3,685,058 | ||
Guardant Health, Inc. | ||||
(0.03)%, 11/15/27 144AΩ CONV | 1,569,000 | 1,793,563 | ||
Haemonetics Corporation | ||||
0.60%, 03/01/26 144AΩ CONV | 1,700,000 | 1,434,375 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 144A CONV | 1,736,000 | 1,619,905 | ||
Herbalife Nutrition, Ltd. | ||||
2.63%, 03/15/24 CONV | 89,000 | 97,066 | ||
IH Merger Sub LLC REIT | ||||
3.50%, 01/15/22 CONV | 1,571,000 | 2,569,528 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22 CONV | 1,002,000 | 1,582,659 | ||
Illumina, Inc. | ||||
(0.52)%, 08/15/23Ω CONVΔ | 2,981,000 | 3,767,239 | ||
Insight Enterprises, Inc. | ||||
0.75%, 02/15/25 CONV | 2,733,000 | 4,177,823 | ||
Insulet Corporation | ||||
0.38%, 09/01/26 CONV | 2,045,000 | 2,790,147 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 CONV | 1,738,000 | 1,927,268 | ||
InterDigital, Inc. | ||||
2.00%, 06/01/24 CONV | 1,042,000 | 1,159,876 |
Par | Value | |||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 CONVΔ | $1,179,000 | $1,101,615 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 CONV | 1,001,000 | 1,187,124 | ||
1.50%, 06/15/26 CONV | 746,000 | 894,786 | ||
Itron, Inc. | ||||
(0.29)%, 03/15/26 144AΩ CONV | 1,969,000 | 2,042,325 | ||
J2 Global, Inc. | ||||
1.75%, 11/01/26 144A CONV | 3,804,000 | 4,866,838 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONV | 282,000 | 310,599 | ||
2.00%, 06/15/26 CONV | 1,648,000 | 2,200,080 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 144A CONVΔ | 3,302,000 | 3,306,953 | ||
John Bean Technologies Corporation | ||||
0.25%, 05/15/26 144A CONV | 685,000 | 730,210 | ||
JPMorgan Chase & Co. | ||||
(Variable, ICE LIBOR USD 3M + 3.47%), 3.66%, 10/30/21†ρ | 2,686,000 | 2,696,072 | ||
(Variable, U.S. SOFR + 3.38%), 5.00%, 08/01/24ρ^ | 5,266,000 | 5,569,190 | ||
(Variable, U.S. SOFR + 3.13%), 4.60%, 02/01/25ρ^ | 2,505,000 | 2,599,063 | ||
KBR, Inc. | ||||
2.50%, 11/01/23 CONV | 1,098,000 | 1,727,154 | ||
LCI Industries | ||||
1.13%, 05/15/26 144A CONV | 1,203,000 | 1,239,692 | ||
LendingTree, Inc. | ||||
0.50%, 07/15/25 144A CONV | 2,695,000 | 2,442,478 | ||
Liberty Broadband Corporation | ||||
1.25%, 09/30/50 144A CONV | 1,080,000 | 1,092,420 | ||
2.75%, 09/30/50 144A CONV | 2,431,000 | 2,558,430 | ||
Liberty Media Corp-Liberty Formula One | ||||
1.00%, 01/30/23 CONV | 1,231,000 | 1,678,930 | ||
Liberty Media Corporation | ||||
1.38%, 10/15/23 CONV | 636,000 | 848,258 | ||
2.13%, 03/31/48 144A CONV | 4,651,000 | 4,848,667 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A CONV | 2,407,000 | 2,106,762 | ||
Live Nation Entertainment, Inc. | ||||
2.50%, 03/15/23 CONVΔ | 3,017,000 | 4,227,722 | ||
2.00%, 02/15/25 CONVΔ | 3,329,000 | 3,731,809 |
Par | Value | |||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 CONV | $2,533,000 | $2,745,265 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 144A CONV | 1,666,000 | 1,758,671 | ||
Marriott Vacations Worldwide Corporation | ||||
1.50%, 09/15/22 CONV | 1,641,000 | 1,964,072 | ||
0.00%, 01/15/26 144AΩ CONV | 2,707,000 | 3,028,592 | ||
Match Group Financeco 3, Inc. | ||||
2.00%, 01/15/30 144A CONV | 675,000 | 1,374,908 | ||
Medallia, Inc. | ||||
0.13%, 09/15/25 144A CONV | 1,444,000 | 1,582,985 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONV | 2,514,000 | 2,674,393 | ||
Microchip Technology, Inc. | ||||
0.13%, 11/15/24 CONVΔ | 5,081,000 | 5,741,530 | ||
National Vision Holdings, Inc. | ||||
2.50%, 05/15/25 CONV | 1,331,000 | 2,350,047 | ||
NCL Corporation, Ltd. | ||||
5.38%, 08/01/25 144A CONV | 1,469,000 | 2,678,721 | ||
Neurocrine Biosciences, Inc. | ||||
2.25%, 05/15/24 CONV | 838,000 | 1,128,702 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 1,051,000 | 1,039,859 | ||
NextEra Energy Partners LP | ||||
(0.34)%, 11/15/25 144AΩ CONVΔ | 2,438,000 | 2,635,478 | ||
NortonLifeLock, Inc. | ||||
2.00%, 08/15/22 144A CONV | 1,837,000 | 2,529,549 | ||
NuVasive, Inc. | ||||
1.00%, 06/01/23 CONV | 3,423,000 | 3,585,592 | ||
Okta, Inc. | ||||
0.38%, 06/15/26 CONV | 2,758,000 | 3,450,258 | ||
ON Semiconductor Corporation | ||||
1.63%, 10/15/23 CONV | 978,000 | 1,863,762 | ||
Palo Alto Networks, Inc. | ||||
0.75%, 07/01/23 CONV | 2,763,000 | 4,033,980 | ||
Pandora Media LLC | ||||
1.75%, 12/01/23 CONV | 1,378,000 | 1,641,198 | ||
Parsons Corporation | ||||
0.25%, 08/15/25 144A CONV | 1,822,000 | 1,937,697 | ||
Pegasystems, Inc. | ||||
0.75%, 03/01/25 CONV | 3,041,000 | 3,637,796 | ||
Peloton Interactive, Inc. | ||||
0.64%, 02/15/26 144AΩ CONV | 2,875,000 | 2,794,141 | ||
Pioneer Natural Resources Co. | ||||
0.25%, 05/15/25 CONV | 1,764,000 | 2,823,282 |
Par | Value | |||
Progressive Corporation (The) | ||||
(Variable, ICE LIBOR USD 3M + 2.54%), 5.38%, 03/15/23ρ^ | $1,321,000 | $1,388,358 | ||
Pure Storage, Inc. | ||||
0.13%, 04/15/23 CONV | 3,012,000 | 3,158,835 | ||
Q2 Holdings, Inc. | ||||
0.13%, 11/15/25 144A CONV | 1,445,000 | 1,455,225 | ||
Rapid7, Inc. | ||||
2.25%, 05/01/25 CONV | 679,000 | 1,130,111 | ||
0.25%, 03/15/27 144A CONV | 2,325,000 | 2,590,980 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 144A CONV | 2,027,000 | 2,044,254 | ||
Redfin Corporation | ||||
(4.17)%, 10/15/25 144AΩ CONV | 1,761,000 | 1,983,766 | ||
0.50%, 04/01/27 144A CONV | 1,476,000 | 1,463,454 | ||
Repligen Corporation | ||||
0.38%, 07/15/24 CONV | 473,000 | 849,035 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25Ω CONV | 4,154,000 | 4,608,344 | ||
0.00%, 03/15/26 144AΩ CONV | 1,298,000 | 1,319,093 | ||
Royal Caribbean Cruises, Ltd. | ||||
2.88%, 11/15/23 144A CONV | 1,400,000 | 1,762,231 | ||
Shake Shack, Inc. | ||||
0.18%, 03/01/28 144AΩ CONV | 2,760,000 | 2,627,539 | ||
Shift4 Payments, Inc. | ||||
0.00%, 12/15/25 144AΩ CONV | 1,055,000 | 1,427,520 | ||
Silicon Laboratories, Inc. | ||||
0.63%, 06/15/25 CONV | 2,846,000 | 3,959,640 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 144AΩ CONV | 3,006,000 | 3,228,444 | ||
SolarEdge Technologies, Inc. | ||||
(1.05)%, 09/15/25 144AΩ CONV | 2,059,000 | 2,584,045 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 1,549,000 | 2,353,512 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26 CONVΔ | 2,848,000 | 2,728,669 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | 440,000 | 514,250 | ||
1.13%, 06/15/27 CONV | 7,131,000 | 6,983,923 | ||
Spotify USA, Inc. | ||||
0.15%, 03/15/26 144AΩ CONV | 2,756,000 | 2,586,506 | ||
Square, Inc. | ||||
0.25%, 11/01/27 144A CONVΔ | 1,914,000 | 2,229,810 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 144A CONV | 2,208,000 | 2,056,090 | ||
Sunrun, Inc. | ||||
(0.39)%, 02/01/26 144AΩ CONV | 1,301,000 | 1,170,119 | ||
Supernus Pharmaceuticals, Inc. | ||||
0.63%, 04/01/23 CONV | 1,007,000 | 995,042 | ||
Tandem Diabetes Care, Inc. | ||||
1.50%, 05/01/25 144A CONV | 1,209,000 | 1,379,832 |
Par | Value | |||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | $1,892,000 | $ 2,127,365 | ||
TripAdvisor, Inc. | ||||
0.25%, 04/01/26 144A CONV | 1,901,000 | 1,791,692 | ||
Twitter, Inc. | ||||
0.25%, 06/15/24 CONV | 697,000 | 957,957 | ||
0.00%, 03/15/26 144AΩ CONV | 3,528,000 | 3,382,470 | ||
Uber Technologies, Inc. | ||||
(1.16)%, 12/15/25 144AΩ CONV | 1,809,000 | 1,843,371 | ||
US Bancorp | ||||
(Variable, ICE LIBOR USD 3M + 2.91%), 5.30%, 04/15/27ρ^ | 3,536,000 | 3,995,680 | ||
Vail Resorts, Inc. | ||||
(0.57)%, 01/01/26 144AΩ CONVΔ | 4,475,000 | 4,665,187 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 144A CONV | 1,161,000 | 1,144,218 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 755,000 | 845,328 | ||
Wayfair, Inc. | ||||
0.63%, 10/01/25 144A CONV | 3,136,000 | 3,355,520 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.45%), 3.90%, 03/15/26ρ^ | 1,291,000 | 1,337,379 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONVΔ | 236,000 | 253,258 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 2,236,000 | 2,877,452 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 1,373,000 | 2,096,755 | ||
Zendesk, Inc. | ||||
0.63%, 06/15/25 CONV | 2,249,000 | 3,286,464 | ||
Zscaler, Inc. | ||||
0.13%, 07/01/25 144A CONV | 1,095,000 | 1,711,617 | ||
Zynga, Inc. | ||||
0.25%, 06/01/24 CONV | 1,399,000 | 1,932,439 | ||
0.00%, 12/15/26 144AΩ CONV | 1,347,000 | 1,442,974 | ||
Total Corporate Bonds (Cost $342,210,424) | 381,461,584 | |||
FOREIGN BONDS — 2.4% | ||||
Canada — 0.3% | ||||
IMAX Corporation | ||||
0.50%, 04/01/26 144A CONV | 2,973,000 | 3,114,217 | ||
Shopify, Inc. | ||||
0.13%, 11/01/25 CONVΔ | 1,522,000 | 1,989,254 | ||
5,103,471 | ||||
France — 0.6% | ||||
Cie Generale des Etablissements Michelin SCA | ||||
0.62%, 01/10/22Ω CONV | 1,400,000 | 1,506,953 | ||
TotalEnergies SE | ||||
0.50%, 12/02/22 CONV | 3,000,000 | 3,052,305 |
Par | Value | |||
Vinci SA | ||||
0.38%, 02/16/22 CONVΔ | $3,200,000 | $ 3,598,400 | ||
8,157,658 | ||||
Israel — 0.9% | ||||
CyberArk Software, Ltd. | ||||
0.02%, 11/15/24Ω CONV | 3,464,000 | 3,762,943 | ||
Fiverr International, Ltd. | ||||
(0.87)%, 11/01/25 144AΩ CONV | 1,698,000 | 2,272,773 | ||
Nice, Ltd. | ||||
0.00%, 09/15/25 144AΩ CONVΔ | 3,184,000 | 3,416,407 | ||
Wix.com, Ltd. | ||||
(0.26)%, 08/15/25 144AΩ CONV | 3,518,000 | 3,702,695 | ||
13,154,818 | ||||
Jersey — 0.1% | ||||
Novocure, Ltd. | ||||
0.00%, 11/01/25 144AΩ CONVΔ | 1,258,000 | 1,894,076 | ||
Netherlands — 0.5% | ||||
QIAGEN NV | ||||
(0.67)%, 12/17/27Ω CONV | 2,800,000 | 2,716,294 | ||
STMicroelectronics NV | ||||
(5.18)%, 08/04/25Ω CONVΔ | 3,200,000 | 3,852,256 | ||
6,568,550 | ||||
Total Foreign Bonds (Cost $32,392,881) | 34,878,573 |
Shares | |||
EQUITY-LINKED SECURITIES — 0.7% | |||
Advance Auto Parts, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 11/18/21 144A††† | 4,500 | 923,130 | |
Berkshire Hathaway, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 07/15/21 144A††† | 3,600 | 858,132 | |
Berkshire Hathaway, Inc., Issued by Credit Suisse AG, Maturity Date 12/27/21 144A††† | 6,000 | 1,657,620 | |
Berkshire Hathaway, Inc., Issued by Goldman Sachs International, Maturity Date 08/11/21 144A††† | 3,100 | 749,534 | |
Berkshire Hathaway, Inc., Issued by JPMorgan Chase Bank, Maturity Date 09/21/21 144A††† | 5,200 | 1,337,829 | |
Berkshire Hathaway, Inc., Issued by Merrill Lynch International & Co. CV, Maturity Date 08/26/21 144A††† | 5,300 | 1,325,265 | |
Berskhire Hathaway, Inc., Issued by UBS AG, Maturity Date 10/04/21 144A††† | 3,200 | 833,568 | |
Dollar Tree, Inc., Issued by Citigroup Global Markets Holdings, Inc., Maturity Date 12/02/21 144A††† | 6,000 | 603,360 |
Shares | Value | |||
Freeport-McMoRan, Inc., Issued by JPMorgan Chase Bank, Maturity Date 10/26/21 144A††† | 25,500 | $ 948,682 | ||
Freeport-McMoRan, Inc., Issued by JPMorgan Chase Bank, Maturity Date 11/05/21 144A††† | 3,300 | 128,636 | ||
Freeport-McMoRan, Inc., Issued by JPMorgan Chase Bank, Maturity Date 12/21/21 144A††† | 4,000 | 142,591 | ||
Total Equity-Linked Securities (Cost $9,373,874) | 9,508,347 | |||
MONEY MARKET FUNDS — 7.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 68,848,519 | 68,848,519 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 38,831,838 | 38,831,838 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,646,233 | 1,646,233 | ||
Total Money Market Funds (Cost $109,326,590) | 109,326,590 |
Par | |||
U.S. TREASURY OBLIGATIONS — 16.9% | |||
U.S. Treasury Bills | |||
0.01%, 08/12/21Ω | $44,900,000 | 44,897,250 | |
0.02%, 09/09/21Ω | 34,470,000 | 34,467,152 | |
0.12%, 10/07/21Ω | 16,000,000 | 15,998,040 | |
0.13%, 11/04/21Ω | 7,660,000 | 7,658,704 | |
0.11%, 12/02/21Ω | 2,950,000 | 2,949,411 | |
0.01%, 12/30/21Ω | 1,000,000 | 999,757 | |
U.S. Treasury Notes | |||
2.75%, 08/15/21 | 8,000,000 | 8,026,945 | |
2.88%, 11/15/21 | 10,960,000 | 11,074,944 | |
2.50%, 01/15/22 | 17,000,000 | 17,223,589 | |
1.38%, 01/31/22 | 4,000,000 | 4,030,743 | |
1.75%, 02/28/22 | 7,700,000 | 7,786,282 | |
0.38%, 03/31/22 | 12,025,000 | 12,051,756 | |
1.88%, 03/31/22 | 6,000,000 | 6,080,852 | |
2.25%, 04/15/22 | 28,750,000 | 29,243,046 | |
1.75%, 05/15/22 | 12,025,000 | 12,200,269 | |
2.13%, 05/15/22 | 3,000,000 | 3,053,101 | |
1.75%, 05/31/22 | 24,050,000 | 24,415,621 | |
Total U.S. Treasury Obligations (Cost $242,152,791) | 242,157,462 | ||
TOTAL INVESTMENTS — 102.5% (Cost $1,226,217,099) | 1,466,420,377 |
Number of Contracts | Notional Amount | ||||
WRITTEN OPTIONS — (0.0)% | |||||
Call Options — (0.0)% | |||||
S&P 500®, Strike Price $4,260.00, Expires 07/02/21 (MSCS) | (10) | $(4,297,500) | (44,030) | ||
S&P 500®, Strike Price $4,310.00, Expires 07/07/21 (MSCS) | (10) | (4,297,500) | (12,450) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $4,315.00, Expires 07/02/21 (MSCS) | (10) | $ (4,297,500) | $ (5,320) | ||
S&P 500®, Strike Price $4,315.00, Expires 07/06/21 (MSCS) | (10) | (4,297,500) | (8,100) | ||
S&P 500®, Strike Price $4,320.00, Expires 07/19/21 (MSCS) | (10) | (4,297,500) | (25,500) | ||
S&P 500®, Strike Price $4,325.00, Expires 07/06/21 (MSCS) | (10) | (4,297,500) | (4,750) | ||
S&P 500®, Strike Price $4,325.00, Expires 07/09/21 (MSCS) | (10) | (4,297,500) | (10,380) | ||
S&P 500®, Strike Price $4,330.00, Expires 07/07/21 (MSCS) | (10) | (4,297,500) | (5,180) | ||
S&P 500®, Strike Price $4,335.00, Expires 07/12/21 (MSCS) | (10) | (4,297,500) | (9,200) | ||
S&P 500®, Strike Price $4,340.00, Expires 07/14/21 (MSCS) | (10) | (4,297,500) | (11,100) | ||
S&P 500®, Strike Price $4,360.00, Expires 07/23/21 (MSCS) | (10) | (4,297,500) | (14,800) | ||
S&P 500®, Strike Price $4,385.00, Expires 07/28/21 (MSCS)††† | (10) | (4,297,500) | (12,700) | ||
(163,510) | |||||
Put Options — (0.0)% | |||||
Linde PLC, Strike Price $270.00, Expires 07/16/21 (MSCS) | (4) | (115,640) | (224) | ||
S&P 500®, Strike Price $4,050.00, Expires 07/19/21 (MSCS) | (49) | (21,057,750) | (32,830) | ||
S&P 500®, Strike Price $4,080.00, Expires 07/09/21 (MSCS) | (49) | (21,057,750) | (9,310) | ||
S&P 500®, Strike Price $4,080.00, Expires 07/14/21 (MSCS) | (49) | (21,057,750) | (22,785) | ||
S&P 500®, Strike Price $4,125.00, Expires 07/23/21 (MSCS) | (49) | (21,057,750) | (72,618) | ||
S&P 500®, Strike Price $4,140.00, Expires 07/28/21 (MSCS) | (49) | (21,057,750) | (104,370) | ||
S&P 500®, Strike Price $4,155.00, Expires 07/07/21 (MSCS) | (48) | (20,628,000) | (6,600) | ||
S&P 500®, Strike Price $4,190.00, Expires 07/12/21 (MSCS) | (49) | (21,057,750) | (33,516) | ||
S&P 500®, Strike Price $4,220.00, Expires 07/02/21 (MSCS) | (49) | (21,057,750) | (4,655) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $4,220.00, Expires 07/06/21 (MSCS) | (49) | $(21,057,750) | $ (9,800) | ||
S&P 500®, Strike Price $4,240.00, Expires 07/07/21 (MSCS) | (49) | (21,057,750) | (22,540) | ||
(319,248) | |||||
Total Written Options (Premiums received $(863,506)) | (482,758) | ||||
Liabilities in Excess of Other Assets — (2.5)% | (35,848,623) | ||||
NET ASSETS — 100.0% | $1,430,088,996 |
% | |
Corporate Bonds | 26.7 |
U.S. Treasury Obligations | 16.9 |
Health Care | 9.5 |
Money Market Funds | 7.6 |
Consumer Staples | 7.6 |
Information Technology | 7.4 |
Financials | 6.1 |
Industrials | 5.1 |
Utilities | 3.9 |
Communication Services | 2.5 |
Foreign Bonds | 2.4 |
Materials | 2.3 |
Consumer Discretionary | 1.9 |
Energy | 1.0 |
Equity-Linked Securities | 0.7 |
Real Estate | 0.5 |
Mutual Funds | 0.4 |
Written Options | (—) |
102.5 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/21 | U.S. Dollars | 16,514,468 | Swiss Francs | 15,151,859 | MSCS | $ 97,042 | ||||||
09/30/21 | U.S. Dollars | 16,424,466 | Euro | 13,769,442 | GSC | 65,152 | ||||||
09/30/21 | U.S. Dollars | 2,623,486 | Japanese Yen | 290,116,980 | BOA | 9,885 | ||||||
09/30/21 | U.S. Dollars | 366,866 | Swedish Kronor | 3,119,634 | UBS | 2,012 | ||||||
Subtotal Appreciation | $174,091 | |||||||||||
09/30/21 | Swiss Francs | 345,507 | U.S. Dollars | 376,636 | MSCS | $ (2,271) | ||||||
Subtotal Depreciation | $ (2,271) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $171,820 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 584,426,843 | $584,426,843 | $ — | $ — | |||
Corporate Bonds | 381,461,584 | — | 381,461,584 | — | |||
Equity-Linked Securities | 9,508,347 | — | — | 9,508,347 | |||
Foreign Bonds | 34,878,573 | — | 34,878,573 | — | |||
Foreign Common Stocks | 90,032,857 | 90,032,857 | — | — | |||
Money Market Funds | 109,326,590 | 109,326,590 | — | — | |||
Mutual Funds | 5,323,446 | 5,323,446 | — | — | |||
Preferred Stocks | 9,304,675 | 9,304,675 | — | — | |||
U.S. Treasury Obligations | 242,157,462 | — | 242,157,462 | — | |||
Total Assets - Investments in Securities | $1,466,420,377 | $798,414,411 | $658,497,619 | $9,508,347 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 174,091 | $ — | $ 174,091 | $ — | |||
Total Assets - Other Financial Instruments | $ 174,091 | $ — | $ 174,091 | $ — | |||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Call Options | $ (163,510) | $ (150,810) | $ — | $ (12,700) | |||
Put Options | (319,248) | (319,248) | — | — | |||
Total Written Options | (482,758) | (470,058) | — | (12,700) | |||
Total Liabilities - Investments in Securities | $ (482,758) | $ (470,058) | $ — | $ (12,700) | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,271) | $ — | $ (2,271) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (2,271) | $ — | $ (2,271) | $ — |
*** | Other financial instruments are derivative instruments, such as forward 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
Par | Value | |||
AGENCY OBLIGATIONS — 0.6% | ||||
United States International Development Finance Corporation | ||||
1.44%, 04/15/28 | $ 500,000 | $ 501,172 | ||
1.65%, 04/15/28 | 500,000 | 506,974 | ||
Total Agency Obligations (Cost $1,000,000) | 1,008,146 | |||
ASSET-BACKED SECURITIES — 1.6% | ||||
Loanpal Solar Loan, Ltd., Series 2021-2GS, Class A | ||||
2.22%, 03/20/48 144A | 539,900 | 545,587 | ||
SUNNOVA HELIOS II ISSUER LLC, Series 2019-AA, Class A | ||||
3.75%, 06/20/46 144A | 606,849 | 636,887 | ||
Sunrun Vulcan Issuer LLC, Series 2021-1A, Class A | ||||
2.46%, 01/30/52 144A | 680,000 | 688,340 | ||
Tesla Auto Lease Trust, Series 2021-A, Class D | ||||
1.34%, 03/20/25 144A | 890,000 | 892,624 | ||
Total Asset-Backed Securities (Cost $2,747,956) | 2,763,438 | |||
COMMERCIAL PAPER — 1.6% | ||||
Trinity Health Corporation | ||||
0.12%, 07/12/21Ω | 1,000,000 | 999,984 | ||
0.12%, 07/20/21Ω | 1,000,000 | 999,969 | ||
0.08%, 08/12/21Ω | 750,000 | 749,951 | ||
Total Commercial Paper (Cost $2,749,830) | 2,749,904 | |||
CORPORATE BONDS — 5.6% | ||||
Agilent Technologies, Inc. | ||||
2.30%, 03/12/31 | 250,000 | 250,221 | ||
Amgen, Inc. | ||||
4.40%, 05/01/45 | 197,000 | 239,612 | ||
Avangrid, Inc. | ||||
3.15%, 12/01/24 | 850,000 | 909,747 | ||
3.80%, 06/01/29 | 250,000 | 282,440 | ||
Becton, Dickinson and Co. | ||||
3.73%, 12/15/24 | 1,000,000 | 1,089,676 | ||
1.96%, 02/11/31 | 165,000 | 161,126 | ||
4.69%, 12/15/44 | 150,000 | 186,987 | ||
Biogen, Inc. | ||||
4.05%, 09/15/25 | 500,000 | 557,054 | ||
BlueHub Loan Fund, Inc. | ||||
3.10%, 01/01/30 | 625,000 | 641,817 | ||
DH Europe Finance II S.a.r.l. | ||||
2.05%, 11/15/22 | 450,000 | 460,451 | ||
2.60%, 11/15/29 | 300,000 | 314,145 | ||
Gilead Sciences, Inc. | ||||
3.65%, 03/01/26 | 392,000 | 432,371 | ||
1.20%, 10/01/27 | 200,000 | 195,104 | ||
5.65%, 12/01/41 | 238,000 | 327,628 | ||
Low Income Investment Fund | ||||
3.39%, 07/01/26 | 600,000 | 637,223 |
Par | Value | |||
Mead Johnson Nutrition Co. | ||||
4.13%, 11/15/25 | $ 650,000 | $ 731,537 | ||
Medtronic, Inc. | ||||
3.50%, 03/15/25 | 448,000 | 492,035 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 500,000 | 565,826 | ||
NextEra Energy Capital Holdings, Inc. | ||||
3.55%, 05/01/27 | 500,000 | 552,930 | ||
1.90%, 06/15/28 | 475,000 | 480,865 | ||
Verizon Communications, Inc. | ||||
3.88%, 02/08/29 | 300,000 | 343,009 | ||
Total Corporate Bonds (Cost $9,887,435) | 9,851,804 | |||
FOREIGN BONDS — 1.0% | ||||
Ireland — 0.3% | ||||
Shire Acquisitions Investments Ireland DAC | ||||
3.20%, 09/23/26 | 500,000 | 543,273 | ||
Japan — 0.4% | ||||
Takeda Pharmaceutical Co., Ltd. | ||||
5.00%, 11/26/28 | 600,000 | 722,987 | ||
United Kingdom — 0.3% | ||||
Vodafone Group PLC | ||||
5.25%, 05/30/48 | 400,000 | 528,028 | ||
Total Foreign Bonds (Cost $1,792,064) | 1,794,288 | |||
MORTGAGE-BACKED SECURITIES — 12.7% | ||||
Federal Home Loan Mortgage Corporation | ||||
2.00%, 02/01/51 | 8,189,469 | 8,276,923 | ||
2.00%, 03/01/51 | 2,361,131 | 2,386,346 | ||
Federal National Mortgage Association | ||||
1.19%, 03/01/26 | 500,000 | 505,566 | ||
1.59%, 03/01/31 | 500,000 | 502,991 | ||
1.61%, 03/01/31 | 497,498 | 504,124 | ||
1.62%, 03/01/31 | 500,000 | 504,356 | ||
2.03%, 04/01/31 | 250,000 | 261,318 | ||
1.65%, 03/01/33 | 500,000 | 500,809 | ||
2.01%, 03/01/33 | 100,000 | 103,733 | ||
2.00%, 02/01/51 | 3,020,553 | 3,052,808 | ||
2.00%, 03/01/51 | 2,262,555 | 2,286,715 | ||
FRESB Mortgage Trust, Series 2021-SB87, Class A5H | ||||
0.78%, 04/25/41 | 600,000 | 599,242 | ||
Small Business Administration | ||||
(Floating, Prime Rate U.S. + 1.07%), 4.32%, 06/25/30† | 88,790 | 97,267 | ||
(Floating, Prime Rate U.S. + 0.92%), 4.17%, 12/25/30† | 189,848 | 213,384 | ||
(Floating, Prime Rate U.S. + 2.33%), 5.58%, 01/25/31† | 130,399 | 152,182 | ||
0.73%, 02/15/31 | 310,910 | 8,220 | ||
(Floating, Prime Rate U.S. + 1.03%), 4.28%, 02/25/31† | 243,030 | 273,587 |
Par | Value | |||
(Floating, Prime Rate U.S. + 0.33%), 3.58%, 07/25/31† | $375,000 | $ 439,875 | ||
(Floating, Prime Rate U.S. + 0.84%), 4.09%, 08/25/31† ††† | 350,000 | 397,780 | ||
(Floating, Prime Rate U.S. - 0.36%), 2.89%, 12/25/45† | 244,927 | 272,890 | ||
(Floating, Prime Rate U.S. + 0.57%), 3.82%, 12/25/45† | 247,475 | 286,882 | ||
(Floating, Prime Rate U.S. + 0.12%), 3.37%, 01/25/46† | 195,387 | 224,226 | ||
(Floating, Prime Rate U.S. + 0.33%), 3.58%, 04/25/46† | 247,439 | 288,175 | ||
Total Mortgage-Backed Securities (Cost $22,462,214) | 22,139,399 | |||
MUNICIPAL BONDS — 10.0% | ||||
Boston Water & Sewer Commission, Revenue Bond | ||||
0.97%, 11/01/25 | 200,000 | 200,872 | ||
California State Health Facilities Financing Authority, Revenue Bond | ||||
1.98%, 06/01/30 | 600,000 | 607,737 | ||
Carroll County Water Authority, Revenue Bond, Series B | ||||
1.08%, 07/01/25 | 290,000 | 290,769 | ||
1.96%, 07/01/29 | 150,000 | 153,313 | ||
City & County of San Francisco, General Obligation, Series A | ||||
1.78%, 06/15/29 | 600,000 | 604,613 | ||
City of Bossier Utilities, Revenue Bond (BAM Insured) | ||||
1.00%, 10/01/25 | 370,000 | 371,469 | ||
City of Columbia Waterworks & Sewer System, Revenue Bond, Series B | ||||
0.78%, 02/01/25 | 400,000 | 399,756 | ||
1.29%, 02/01/27 | 165,000 | 165,476 | ||
City of Deltona Utility System, Revenue Bond (BAM Insured) | ||||
1.54%, 10/01/29 | 250,000 | 249,966 | ||
City of Phoenix Civic Improvement Corporation, Junior Lien Revenue Bond, Series C | ||||
1.84%, 07/01/29 | 640,000 | 651,735 | ||
Connecticut Green Bank, Revenue Bond | ||||
2.15%, 11/15/29 | 207,000 | 209,470 | ||
Connecticut Housing Finance Authority, Revenue Bond, Series 29 | ||||
1.20%, 06/15/25 | 400,000 | 401,953 | ||
County of Hernando Water & Sewer, Revenue Bond, Series A | ||||
1.01%, 06/01/25 | 300,000 | 303,224 | ||
Coweta County Water & Sewage Authority, Revenue Bond, Series A | ||||
2.00%, 06/01/25 | 200,000 | 209,152 | ||
Cucamonga Valley Water District Financing Authority, Revenue Bond, Series A | ||||
0.99%, 09/01/25 | 150,000 | 149,832 |
Par | Value | |||
Denver City & County Housing Authority, Revenue Bond (HUD Sector 8 Program) | ||||
0.84%, 08/01/24 | $ 500,000 | $ 500,283 | ||
Economy Borough Municipal Authority, Revenue Bond, Series A (BAM Insured) | ||||
0.42%, 12/15/22 | 660,000 | 660,027 | ||
Honolulu City & County Board of Water Supply, Revenue Bond, Series B | ||||
1.16%, 07/01/26 | 580,000 | 582,106 | ||
Iowa State Finance Authority, Revenue Bond, Series B | ||||
0.47%, 08/01/24 | 350,000 | 348,825 | ||
Metropolitan Water District of Salt Lake & Sandy, Revenue Bond, Series B | ||||
0.82%, 07/01/25 | 475,000 | 474,216 | ||
1.52%, 07/01/28 | 200,000 | 200,969 | ||
Montgomery Water Works & Sanitary Sewer Board, Revenue Bond | ||||
2.00%, 09/01/26 | 400,000 | 418,876 | ||
Narragansett Bay Commission, Revenue Bond | ||||
2.09%, 09/01/30 | 500,000 | 511,633 | ||
Nevada Housing Division, Revenue Bond (AMT) | ||||
0.04%, 04/15/38± | 1,000,000 | 1,000,000 | ||
New York City Housing Development Corporation, Revenue Bond, Series A (AMT) | ||||
0.05%, 05/15/39± | 2,000,000 | 2,000,000 | ||
New York City Housing Development Corporation, Revenue Bond, Series B | ||||
0.82%, 05/01/25 | 150,000 | 148,853 | ||
0.92%, 11/01/25 | 200,000 | 198,071 | ||
1.02%, 05/01/26 | 250,000 | 246,743 | ||
New York State Housing Finance Agency, Revenue Bond (SonyMA Insured) | ||||
1.13%, 11/01/25 | 165,000 | 164,882 | ||
Pontiac Wastewater Treatment Facility Drainage District, Special Assessment Bond (County Gtd.) | ||||
2.00%, 06/01/22 | 545,000 | 554,034 | ||
Regional Transportation District Sales Tax, Revenue Bond, Series A | ||||
0.70%, 11/01/25 | 600,000 | 593,602 | ||
Riverside Community College District, General Obligation | ||||
0.82%, 08/01/25 | 195,000 | 194,798 | ||
Romulus Community Schools, General Obligation, Series B (Q-SBLF Insured) | ||||
1.00%, 05/01/25 | 200,000 | 200,097 | ||
Santa Clara Valley Water District COPS, Series D | ||||
1.78%, 06/01/31 | 440,000 | 436,962 |
Par | Value | |||
Silicon Valley Clean Water, Revenue Bond, Series A | ||||
1.38%, 08/01/27 | $ 240,000 | $ 241,299 | ||
Somerset County Improvement Authority, Revenue Bond (County Gtd.) | ||||
0.97%, 04/15/25 | 530,000 | 531,035 | ||
Southeast Texas Housing Finance Corporation, Revenue Bond (AMT) | ||||
0.06%, 07/15/41± | 235,000 | 235,000 | ||
Spartanburg Sanitary Sewer District, Revenue Bond | ||||
1.19%, 03/01/26 | 300,000 | 302,061 | ||
State of California Department of Water Resources, Revenue Bond | ||||
0.51%, 12/01/24 | 750,000 | 747,449 | ||
Tift County Hospital Authority, Revenue Bond (County Gtd.) | ||||
1.05%, 12/01/25 | 325,000 | 325,452 | ||
United Independent School District, General Obligation (PSF-Gtd.) | ||||
5.00%, 08/15/25 | 160,000 | 187,046 | ||
Upper Santa Clara Valley Joint Powers Authority, Revenue Bond, Series B | ||||
1.18%, 08/01/26 | 360,000 | 361,297 | ||
Total Municipal Bonds (Cost $17,315,053) | 17,334,953 | |||
PRIVATE INVESTMENTS — 0.6% | ||||
Calvert Impact Capital, Inc. 2.50%, 01/30/26 | 1,000,000 | 1,000,000 | ||
Waymaker ValueAdd Real Estate Fund LP τ | — | — | ||
Total Private Investments (Cost $1,000,000) | 1,000,000 |
Shares | |||
COMMON STOCKS — 33.7% | |||
Consumer Discretionary — 1.5% | |||
Home Depot, Inc. (The) | 3,100 | 988,559 | |
NIKE, Inc. Class B | 7,700 | 1,189,573 | |
Tesla, Inc.* | 600 | 407,820 | |
2,585,952 | |||
Consumer Staples — 0.3% | |||
McCormick & Co., Inc. (Non-Voting Shares) | 5,500 | 485,760 | |
Financials — 3.3% | |||
Marsh & McLennan Cos., Inc. | 15,300 | 2,152,404 | |
Progressive Corporation (The) | 15,800 | 1,551,718 | |
Walker & Dunlop, Inc. | 19,400 | 2,024,972 | |
5,729,094 | |||
Health Care — 3.1% | |||
Accolade, Inc.* | 12,200 | 662,582 | |
Encompass Health Corporation | 24,800 | 1,935,144 | |
Humana, Inc. | 6,500 | 2,877,680 | |
5,475,406 |
Shares | Value | |||
Industrials — 3.4% | ||||
Evoqua Water Technologies Corporation* | 83,000 | $ 2,803,740 | ||
Westinghouse Air Brake Technologies Corporation | 18,800 | 1,547,240 | ||
Xylem, Inc. | 13,900 | 1,667,444 | ||
6,018,424 | ||||
Information Technology — 18.8% | ||||
Adobe, Inc.* | 6,200 | 3,630,968 | ||
Autodesk, Inc.* | 12,300 | 3,590,370 | ||
Avalara, Inc.* | 12,850 | 2,079,130 | ||
Bill.com Holdings, Inc.* | 4,780 | 875,600 | ||
Cadence Design Systems, Inc.* | 9,900 | 1,354,518 | ||
IPG Photonics Corporation* | 11,400 | 2,402,778 | ||
Lam Research Corporation | 4,000 | 2,602,800 | ||
Mastercard, Inc. Class A | 5,180 | 1,891,166 | ||
Microchip Technology, Inc. | 12,750 | 1,909,185 | ||
Microsoft Corporation | 20,000 | 5,418,000 | ||
NVIDIA Corporation | 3,800 | 3,040,380 | ||
Texas Instruments, Inc. | 9,800 | 1,884,540 | ||
Zendesk, Inc.* | 14,100 | 2,035,194 | ||
32,714,629 | ||||
Materials — 0.8% | ||||
Avery Dennison Corporation | 6,300 | 1,324,512 | ||
Real Estate — 2.5% | ||||
Crown Castle International Corporation REIT | 8,200 | 1,599,820 | ||
Equinix, Inc. REIT | 2,066 | 1,658,172 | ||
Prologis, Inc. REIT | 8,900 | 1,063,817 | ||
4,321,809 | ||||
Total Common Stocks (Cost $50,835,233) | 58,655,586 | |||
FOREIGN COMMON STOCKS — 25.7% | ||||
Australia — 0.3% | ||||
Nanosonics, Ltd.* | 98,500 | 433,617 | ||
Canada — 3.0% | ||||
Boralex, Inc. Class A | 44,700 | 1,361,266 | ||
Innergex Renewable Energy, Inc. | 84,200 | 1,463,787 | ||
Intact Financial Corporation | 17,800 | 2,418,278 | ||
5,243,331 | ||||
France — 2.5% | ||||
Legrand SA | 15,800 | 1,672,273 | ||
Orange SA | 36,400 | 414,996 | ||
Schneider Electric SE | 14,800 | 2,328,415 | ||
4,415,684 | ||||
Germany — 2.1% | ||||
adidas AG | 5,200 | 1,935,476 | ||
Knorr-Bremse AG | 14,470 | 1,664,307 | ||
3,599,783 | ||||
Hong Kong — 1.9% | ||||
AIA Group, Ltd. | 188,800 | 2,346,535 |
Shares | Value | |||
Linklogis, Inc. Class B 144A * | 462,887 | $ 1,039,726 | ||
3,386,261 | ||||
Ireland — 1.5% | ||||
Aon PLC Class A | 10,789 | 2,575,982 | ||
Japan — 5.3% | ||||
Murata Manufacturing Co., Ltd. | 24,100 | 1,840,013 | ||
Nidec Corporation | 9,600 | 1,112,561 | ||
Nintendo Co., Ltd. | 4,400 | 2,559,323 | ||
Shimadzu Corporation | 45,800 | 1,770,656 | ||
Shimano, Inc. | 7,800 | 1,850,038 | ||
9,132,591 | ||||
Jersey — 1.4% | ||||
Aptiv PLC* | 15,100 | 2,375,683 | ||
Netherlands — 2.0% | ||||
ASML Holding NV | 2,900 | 1,992,368 | ||
Wolters Kluwer NV | 15,200 | 1,526,943 | ||
3,519,311 | ||||
Switzerland — 1.3% | ||||
TE Connectivity, Ltd. | 17,300 | 2,339,133 | ||
Taiwan — 1.7% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 24,400 | 2,931,904 | ||
United Kingdom — 2.7% | ||||
Atlassian Corporation PLC Class A* | 5,200 | 1,335,672 | ||
DS Smith PLC | 300,300 | 1,735,978 | ||
SSE PLC | 82,300 | 1,708,253 | ||
4,779,903 | ||||
Total Foreign Common Stocks (Cost $43,378,351) | 44,733,183 | |||
MONEY MARKET FUNDS — 6.7% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 11,644,640 | 11,644,640 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 13,506 | 13,506 | ||
Total Money Market Funds (Cost $11,658,146) | 11,658,146 | |||
TOTAL INVESTMENTS —99.8% (Cost $164,826,282) | 173,688,847 | |||
Other Assets in Excess of Liabilities — 0.2% | 272,490 | |||
NET ASSETS — 100.0% | $173,961,337 |
% | |
Information Technology | 26.4 |
Mortgage-Backed Securities | 12.7 |
Municipal Bonds | 10.0 |
Industrials | 8.2 |
Financials | 7.5 |
Money Market Funds | 6.7 |
Corporate Bonds | 5.6 |
Consumer Discretionary | 5.0 |
Health Care | 3.4 |
Utilities | 2.6 |
Real Estate | 2.5 |
Materials | 1.8 |
Communication Services | 1.7 |
Asset-Backed Securities | 1.6 |
Commercial Paper | 1.6 |
Foreign Bonds | 1.0 |
Agency Obligations | 0.6 |
Private Investments | 0.6 |
Consumer Staples | 0.3 |
99.8 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollars/U.S. Dollars | 09/2021 | 6 | $ 483,720 | $ (12,642) | ||||
MSCI EAFE Index | 09/2021 | 45 | 5,184,225 | (134,379) | ||||
MSCI Emerging Markets | 09/2021 | 38 | 2,593,120 | (10,194) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P/TSX 60 Index | 09/2021 | 3 | $ 582,139 | $ 3,971 | ||||
10-Year U.S. Treasury Note | 09/2021 | (40) | (5,300,000) | (28,125) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2021 | (8) | (1,177,625) | (19,578) | ||||
Ultra Long U.S. Treasury Bond | 09/2021 | 33 | 6,358,688 | 257,442 | ||||
2-Year U.S. Treasury Note | 09/2021 | 25 | 5,508,008 | (8,789) | ||||
5-Year U.S. Treasury Note | 09/2021 | 8 | 987,437 | (2,500) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $15,219,712 | $ 45,206 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 1,008,146 | $ — | $ 1,008,146 | $ — | |||
Asset-Backed Securities | 2,763,438 | — | 2,763,438 | — | |||
Commercial Paper | 2,749,904 | — | 2,749,904 | — | |||
Common Stocks | 58,655,586 | 58,655,586 | — | — | |||
Corporate Bonds | 9,851,804 | — | 9,851,804 | — | |||
Foreign Bonds | 1,794,288 | — | 1,794,288 | — | |||
Foreign Common Stocks | 44,733,183 | 44,733,183 | — | — | |||
Money Market Funds | 11,658,146 | 11,658,146 | — | — | |||
Mortgage-Backed Securities | 22,139,399 | — | 21,741,619 | 397,780 | |||
Municipal Bonds | 17,334,953 | — | 17,334,953 | — | |||
Private Investments | 1,000,000 | — | 1,000,000 | — | |||
Total Assets - Investments in Securities | $173,688,847 | $115,046,915 | $58,244,152 | $397,780 | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 261,413 | $ 261,413 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 261,413 | $ 261,413 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (216,207) | $ (216,207) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (216,207) | $ (216,207) | $ — | $ — |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 94.3% | ||||
Communication Services — 11.1% | ||||
Activision Blizzard, Inc. | 58,450 | $ 5,578,468 | ||
Alphabet, Inc. Class A* | 22,635 | 55,269,917 | ||
Alphabet, Inc. Class C* | 23,016 | 57,685,461 | ||
AT&T, Inc. | 580,816 | 16,715,884 | ||
Charter Communications, Inc. Class AΔ* | 11,090 | 8,000,881 | ||
Comcast Corporation Class A | 365,905 | 20,863,903 | ||
Discovery, Inc. Class AΔ* | 27,796 | 852,781 | ||
Discovery, Inc. Class CΔ* | 15,921 | 461,391 | ||
DISH Network Corporation Class AΔ* | 18,408 | 769,454 | ||
Electronic Arts, Inc. | 25,211 | 3,626,098 | ||
Facebook, Inc. Class A* | 186,055 | 64,693,184 | ||
Fox Corporation Class A | 31,129 | 1,155,820 | ||
Fox Corporation Class B | 9,099 | 320,285 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,531,546 | ||
Live Nation Entertainment, Inc.Δ* | 10,940 | 958,235 | ||
Lumen Technologies, Inc.Δ | 121,774 | 1,654,909 | ||
Netflix, Inc.* | 34,494 | 18,220,076 | ||
News Corporation Class A | 13,865 | 357,301 | ||
News Corporation Class B | 13,984 | 340,510 | ||
Omnicom Group, Inc. | 24,095 | 1,927,359 | ||
Take-Two Interactive Software, Inc.* | 10,102 | 1,788,256 | ||
T-Mobile US, Inc.* | 42,902 | 6,213,497 | ||
Twitter, Inc.* | 60,429 | 4,158,119 | ||
Verizon Communications, Inc. | 331,314 | 18,563,523 | ||
ViacomCBS, Inc. Class B | 40,765 | 1,842,578 | ||
Walt Disney Co. (The)* | 142,641 | 25,072,009 | ||
318,621,445 | ||||
Consumer Discretionary — 11.7% | ||||
Advance Auto Parts, Inc. | 6,948 | 1,425,313 | ||
Amazon.com, Inc.* | 33,032 | 113,635,365 | ||
AutoZone, Inc.* | 2,011 | 3,000,854 | ||
Best Buy Co., Inc. | 15,833 | 1,820,478 | ||
Booking Holdings, Inc.* | 3,419 | 7,481,080 | ||
BorgWarner, Inc.Δ | 6,279 | 304,783 | ||
CarMax, Inc.* | 16,274 | 2,101,787 | ||
Carnival CorporationΔ* | 56,269 | 1,483,251 | ||
Chipotle Mexican Grill, Inc.* | 2,169 | 3,362,687 | ||
D.R. Horton, Inc. | 20,166 | 1,822,401 | ||
Darden Restaurants, Inc. | 9,727 | 1,420,045 | ||
Dollar General Corporation | 18,720 | 4,050,821 | ||
Dollar Tree, Inc.* | 18,243 | 1,815,178 | ||
Domino’s Pizza, Inc. | 3,030 | 1,413,465 | ||
eBay, Inc. | 59,500 | 4,177,495 | ||
Etsy, Inc.* | 9,267 | 1,907,519 | ||
Expedia Group, Inc.* | 10,462 | 1,712,734 | ||
Ford Motor Co.* | 322,040 | 4,785,514 | ||
Gap, Inc. (The) | 36,887 | 1,241,248 | ||
General Motors Co.* | 106,950 | 6,328,231 | ||
Genuine Parts Co. | 12,313 | 1,557,225 | ||
Hanesbrands, Inc. | 39,392 | 735,449 | ||
Hasbro, Inc. | 10,784 | 1,019,304 | ||
Hilton Worldwide Holdings, Inc.* | 25,822 | 3,114,650 | ||
Home Depot, Inc. (The) | 82,780 | 26,397,714 |
Shares | Value | |||
L Brands, Inc. | 18,529 | $ 1,335,200 | ||
Leggett & Platt, Inc.Δ | 4,991 | 258,584 | ||
Lennar Corporation Class AΔ | 21,185 | 2,104,730 | ||
LKQ Corporation* | 18,658 | 918,347 | ||
Lowe’s Cos., Inc. | 58,190 | 11,287,114 | ||
Marriott International, Inc. Class AΔ* | 24,143 | 3,296,002 | ||
McDonald’s Corporation | 61,562 | 14,220,206 | ||
Mohawk Industries, Inc.* | 2,387 | 458,758 | ||
Newell Brands, Inc. | 39,118 | 1,074,571 | ||
NIKE, Inc. Class B | 98,124 | 15,159,177 | ||
Norwegian Cruise Line Holdings, Ltd.Δ* | 15,478 | 455,208 | ||
NVR, Inc.* | 266 | 1,322,898 | ||
O’Reilly Automotive, Inc.* | 5,716 | 3,236,456 | ||
Pool Corporation | 3,147 | 1,443,403 | ||
PulteGroup, Inc. | 11,415 | 622,917 | ||
PVH Corporation* | 2,959 | 318,359 | ||
Ralph Lauren Corporation | 2,058 | 242,453 | ||
Ross Stores, Inc. | 25,592 | 3,173,408 | ||
Royal Caribbean Cruises, Ltd.Δ* | 15,182 | 1,294,721 | ||
Starbucks Corporation | 94,517 | 10,567,946 | ||
Tapestry, Inc.* | 24,199 | 1,052,172 | ||
Target Corporation | 41,380 | 10,003,201 | ||
Tesla, Inc.* | 59,171 | 40,218,529 | ||
TJX Cos., Inc. (The) | 90,590 | 6,107,578 | ||
Tractor Supply Co. | 7,490 | 1,393,589 | ||
Ulta Beauty, Inc.* | 3,840 | 1,327,757 | ||
Under Armour, Inc. Class A* | 20,379 | 431,016 | ||
Under Armour, Inc. Class CΔ* | 9,410 | 174,744 | ||
VF Corporation | 27,573 | 2,262,089 | ||
Whirlpool Corporation | 5,249 | 1,144,387 | ||
Yum! Brands, Inc. | 25,974 | 2,987,789 | ||
338,007,900 | ||||
Consumer Staples — 5.5% | ||||
Archer-Daniels-Midland Co.Δ | 58,262 | 3,530,677 | ||
Campbell Soup Co. | 28,952 | 1,319,922 | ||
Church & Dwight Co., Inc. | 27,416 | 2,336,392 | ||
Clorox Co. (The) | 12,213 | 2,197,241 | ||
Coca-Cola Co. (The) | 351,559 | 19,022,857 | ||
Colgate-Palmolive Co. | 61,706 | 5,019,783 | ||
Conagra Brands, Inc. | 41,499 | 1,509,734 | ||
Costco Wholesale Corporation | 33,471 | 13,243,471 | ||
Estee Lauder Cos., Inc. (The) Class A | 18,085 | 5,752,477 | ||
General Mills, Inc. | 62,909 | 3,833,045 | ||
Hershey Co. (The) | 10,717 | 1,866,687 | ||
Hormel Foods Corporation | 43,964 | 2,099,281 | ||
J.M. Smucker Co. (The) | 15,075 | 1,953,268 | ||
Kellogg Co. | 29,100 | 1,872,003 | ||
Kimberly-Clark Corporation | 31,736 | 4,245,642 | ||
Kraft Heinz Co. (The) | 63,648 | 2,595,565 | ||
Kroger Co. (The) | 64,489 | 2,470,574 | ||
Lamb Weston Holdings, Inc. | 17,029 | 1,373,559 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 25,400 | 2,243,328 | ||
Mondelez International, Inc. Class A | 133,352 | 8,326,499 | ||
Monster Beverage Corporation* | 41,035 | 3,748,547 | ||
PepsiCo, Inc. | 126,885 | 18,800,550 |
Shares | Value | |||
Procter & Gamble Co. (The) | 192,440 | $ 25,965,929 | ||
Sysco Corporation | 37,870 | 2,944,392 | ||
Tyson Foods, Inc. Class A | 27,409 | 2,021,688 | ||
Walgreens Boots Alliance, Inc. | 61,239 | 3,221,784 | ||
Walmart, Inc. | 107,157 | 15,111,280 | ||
158,626,175 | ||||
Energy — 2.6% | ||||
APA Corporation | 23,559 | 509,581 | ||
Archrock, Inc. | 13 | 116 | ||
Baker Hughes Co. | 33,215 | 759,627 | ||
Cabot Oil & Gas Corporation | 29,892 | 521,914 | ||
Chevron Corporation | 153,137 | 16,039,569 | ||
ConocoPhillips | 112,555 | 6,854,600 | ||
Devon Energy Corporation | 38,557 | 1,125,479 | ||
Diamondback Energy, Inc. | 10,890 | 1,022,462 | ||
EOG Resources, Inc. | 40,407 | 3,371,560 | ||
Exterran Corporation* | 6 | 29 | ||
Exxon Mobil Corporation | 332,330 | 20,963,376 | ||
Halliburton Co. | 74,621 | 1,725,238 | ||
Hess Corporation | 18,891 | 1,649,562 | ||
Kinder Morgan, Inc. | 146,006 | 2,661,689 | ||
Marathon Oil Corporation | 69,854 | 951,412 | ||
Marathon Petroleum Corporation | 50,234 | 3,035,138 | ||
NOV, Inc.* | 32,684 | 500,719 | ||
Occidental Petroleum Corporation | 79,090 | 2,473,144 | ||
ONEOK, Inc.Δ | 35,809 | 1,992,413 | ||
Phillips 66Δ | 31,961 | 2,742,893 | ||
Pioneer Natural Resources Co. | 11,479 | 1,865,567 | ||
Valero Energy Corporation | 31,110 | 2,429,069 | ||
Williams Cos., Inc. (The) | 96,309 | 2,557,004 | ||
75,752,161 | ||||
Financials — 10.7% | ||||
Aflac, Inc. | 55,516 | 2,978,989 | ||
Allstate Corporation (The) | 28,840 | 3,761,890 | ||
American Express Co. | 51,128 | 8,447,879 | ||
American International Group, Inc. | 67,569 | 3,216,284 | ||
Ameriprise Financial, Inc. | 10,894 | 2,711,299 | ||
Arthur J. Gallagher & Co. | 15,093 | 2,114,227 | ||
Assurant, Inc. | 2,341 | 365,617 | ||
Bank of America Corporation | 562,781 | 23,203,461 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,738,099 | ||
Berkshire Hathaway, Inc. Class B* | 151,362 | 42,066,527 | ||
BlackRock, Inc. | 12,151 | 10,631,760 | ||
Capital One Financial Corporation | 34,907 | 5,399,764 | ||
Cboe Global Markets, Inc. | 8,664 | 1,031,449 | ||
Charles Schwab Corporation (The) | 115,219 | 8,389,095 | ||
Cincinnati Financial Corporation | 10,988 | 1,281,421 | ||
Citigroup, Inc. | 158,895 | 11,241,821 | ||
Citizens Financial Group, Inc. | 18,464 | 846,944 | ||
CME Group, Inc. | 28,081 | 5,972,267 | ||
Comerica, Inc. | 10,547 | 752,423 | ||
Discover Financial Services | 22,685 | 2,683,409 | ||
Everest Re Group, Ltd. | 3,173 | 799,628 | ||
Fifth Third Bancorp | 52,084 | 1,991,171 | ||
First Republic Bank | 11,885 | 2,224,515 | ||
Franklin Resources, Inc. | 23,495 | 751,605 |
Shares | Value | |||
Globe Life, Inc. | 4,186 | $ 398,716 | ||
Goldman Sachs Group, Inc. (The) | 27,330 | 10,372,555 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 1,781,452 | ||
Huntington Bancshares, Inc. | 118,830 | 1,695,704 | ||
Intercontinental Exchange, Inc. | 43,068 | 5,112,172 | ||
Invesco, Ltd. | 43,478 | 1,162,167 | ||
JPMorgan Chase & Co. | 235,021 | 36,555,166 | ||
KeyCorp | 64,549 | 1,332,937 | ||
Lincoln National Corporation | 19,455 | 1,222,552 | ||
Loews Corporation | 3,079 | 168,267 | ||
M&T Bank Corporation | 10,059 | 1,461,673 | ||
MarketAxess Holdings, Inc. | 2,840 | 1,316,596 | ||
Marsh & McLennan Cos., Inc. | 39,915 | 5,615,242 | ||
MetLife, Inc. | 64,005 | 3,830,699 | ||
Moody’s Corporation | 11,483 | 4,161,095 | ||
Morgan Stanley | 115,671 | 10,605,874 | ||
MSCI, Inc. | 5,076 | 2,705,914 | ||
Nasdaq, Inc. | 9,140 | 1,606,812 | ||
Northern Trust Corporation | 16,617 | 1,921,258 | ||
People’s United Financial, Inc. | 11,480 | 196,767 | ||
PNC Financial Services Group, Inc. (The) | 34,137 | 6,511,974 | ||
Principal Financial Group, Inc. | 22,421 | 1,416,783 | ||
Progressive Corporation (The) | 45,104 | 4,429,664 | ||
Prudential Financial, Inc. | 36,128 | 3,702,036 | ||
Raymond James Financial, Inc. | 9,228 | 1,198,717 | ||
Regions Financial Corporation | 40,587 | 819,046 | ||
S&P Global, Inc.Δ | 17,423 | 7,151,270 | ||
State Street Corporation | 30,870 | 2,539,984 | ||
SVB Financial Group* | 4,197 | 2,335,337 | ||
Synchrony Financial | 55,655 | 2,700,381 | ||
T. Rowe Price Group, Inc.Δ | 15,490 | 3,066,555 | ||
Travelers Cos., Inc. (The) | 21,004 | 3,144,509 | ||
Truist Financial Corporation | 104,234 | 5,784,987 | ||
U.S. Bancorp | 117,801 | 6,711,123 | ||
Unum Group | 8,642 | 245,433 | ||
W.R. Berkley Corporation | 11,267 | 838,603 | ||
Wells Fargo & Co. | 304,959 | 13,811,593 | ||
Zions Bancorp NA | 7,446 | 393,596 | ||
306,626,753 | ||||
Health Care — 11.8% | ||||
Abbott Laboratories | 143,145 | 16,594,800 | ||
ABIOMED, Inc.* | 4,950 | 1,544,945 | ||
Agilent Technologies, Inc. | 39,257 | 5,802,577 | ||
Alexion Pharmaceuticals, Inc.* | 24,651 | 4,528,635 | ||
Align Technology, Inc.* | 6,636 | 4,054,596 | ||
Amgen, Inc. | 55,832 | 13,609,050 | ||
Anthem, Inc. | 21,194 | 8,091,869 | ||
Baxter International, Inc. | 41,154 | 3,312,897 | ||
Becton, Dickinson and Co. | 23,381 | 5,686,025 | ||
Biogen, Inc.* | 17,105 | 5,922,948 | ||
Bio-Rad Laboratories, Inc. Class A* | 3,122 | 2,011,473 | ||
Boston Scientific Corporation* | 120,221 | 5,140,650 | ||
Bristol-Myers Squibb Co. | 237,755 | 15,886,789 | ||
Cardinal Health, Inc. | 27,527 | 1,571,516 | ||
Catalent, Inc.* | 23,719 | 2,564,498 |
Shares | Value | |||
Centene Corporation* | 48,859 | $ 3,563,287 | ||
Cerner Corporation | 28,126 | 2,198,328 | ||
Charles River Laboratories International, Inc.* | 3,836 | 1,419,013 | ||
Cigna Corporation | 29,323 | 6,951,604 | ||
CVS Health Corporation | 104,298 | 8,702,625 | ||
Danaher Corporation | 51,667 | 13,865,356 | ||
DaVita, Inc.* | 13,768 | 1,658,080 | ||
DENTSPLY SIRONA, Inc. | 26,241 | 1,660,006 | ||
DexCom, Inc.Δ* | 7,150 | 3,053,050 | ||
Edwards Lifesciences Corporation* | 57,327 | 5,937,357 | ||
Eli Lilly and Co. | 73,112 | 16,780,666 | ||
Gilead Sciences, Inc. | 142,431 | 9,807,799 | ||
HCA Healthcare, Inc. | 23,088 | 4,773,213 | ||
Henry Schein, Inc.* | 11,738 | 870,842 | ||
Hologic, Inc.* | 29,305 | 1,955,230 | ||
Humana, Inc. | 10,676 | 4,726,479 | ||
IDEXX Laboratories, Inc.* | 7,551 | 4,768,834 | ||
Illumina, Inc.* | 12,688 | 6,004,089 | ||
Incyte Corporation* | 27,837 | 2,341,927 | ||
Intuitive Surgical, Inc.* | 9,533 | 8,766,928 | ||
IQVIA Holdings, Inc.* | 33,184 | 8,041,147 | ||
Johnson & Johnson | 230,802 | 38,022,322 | ||
Laboratory Corporation of America Holdings* | 7,436 | 2,051,221 | ||
McKesson Corporation | 13,291 | 2,541,771 | ||
Mettler-Toledo International, Inc.* | 2,501 | 3,464,735 | ||
PerkinElmer, Inc. | 16,506 | 2,548,691 | ||
Quest Diagnostics, Inc. | 16,017 | 2,113,764 | ||
Regeneron Pharmaceuticals, Inc.* | 10,941 | 6,110,986 | ||
ResMed, Inc. | 11,820 | 2,913,866 | ||
Stryker Corporation | 26,037 | 6,762,590 | ||
Teleflex, Inc. | 4,060 | 1,631,267 | ||
UnitedHealth Group, Inc. | 74,142 | 29,689,423 | ||
Universal Health Services, Inc. Class B | 6,340 | 928,366 | ||
Vertex Pharmaceuticals, Inc.* | 29,389 | 5,925,704 | ||
Viatris, Inc. | 188,114 | 2,688,149 | ||
Waters Corporation* | 6,921 | 2,391,967 | ||
West Pharmaceutical Services, Inc. | 5,815 | 2,088,167 | ||
Zimmer Biomet Holdings, Inc. | 21,341 | 3,432,060 | ||
Zoetis, Inc. | 61,152 | 11,396,287 | ||
340,870,464 | ||||
Industrials — 7.8% | ||||
3M Co. | 48,160 | 9,566,021 | ||
A.O. Smith Corporation | 16,217 | 1,168,597 | ||
Alaska Air Group, Inc.* | 10,021 | 604,367 | ||
American Airlines Group, Inc.Δ* | 38,478 | 816,118 | ||
AMETEK, Inc. | 16,745 | 2,235,457 | ||
Boeing Co. (The)* | 41,191 | 9,867,716 | ||
C.H. Robinson Worldwide, Inc. | 12,459 | 1,167,035 | ||
Carrier Global Corporation | 63,362 | 3,079,393 | ||
Caterpillar, Inc. | 44,540 | 9,693,240 | ||
Cintas Corporation | 6,438 | 2,459,316 | ||
Copart, Inc.* | 11,178 | 1,473,596 | ||
CSX Corporation | 195,759 | 6,279,949 | ||
Cummins, Inc. | 10,680 | 2,603,891 |
Shares | Value | |||
Deere & Co. | 24,563 | $ 8,663,616 | ||
Delta Air Lines, Inc.* | 53,443 | 2,311,944 | ||
Dover Corporation | 13,712 | 2,065,027 | ||
Emerson Electric Co. | 55,944 | 5,384,051 | ||
Equifax, Inc. | 8,312 | 1,990,807 | ||
Expeditors International of Washington, Inc. | 6,818 | 863,159 | ||
Fastenal Co. | 36,004 | 1,872,208 | ||
FedEx Corporation | 19,831 | 5,916,182 | ||
Fortive CorporationΔ | 28,093 | 1,959,206 | ||
Fortune Brands Home & Security, Inc. | 13,017 | 1,296,623 | ||
Generac Holdings, Inc.Δ* | 4,876 | 2,024,271 | ||
General Dynamics Corporation | 20,407 | 3,841,822 | ||
General Electric Co. | 659,185 | 8,872,630 | ||
Honeywell International, Inc. | 55,553 | 12,185,551 | ||
Howmet Aerospace, Inc.* | 32,372 | 1,115,863 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 591,154 | ||
IDEX Corporation | 5,716 | 1,257,806 | ||
IHS Markit, Ltd. | 29,494 | 3,322,794 | ||
Illinois ToolWorks, Inc. | 22,337 | 4,993,660 | ||
Ingersoll-Rand, Inc.* | 14,300 | 697,983 | ||
J.B. Hunt Transport Services, Inc. | 3,269 | 532,684 | ||
Jacobs Engineering Group, Inc. | 4,647 | 620,003 | ||
Kansas City Southern | 10,006 | 2,835,400 | ||
L3Harris Technologies, Inc. | 16,801 | 3,631,536 | ||
Leidos Holdings, Inc. | 10,893 | 1,101,282 | ||
Lockheed Martin Corporation | 19,185 | 7,258,645 | ||
Masco Corporation | 23,878 | 1,406,653 | ||
Norfolk Southern Corporation | 19,839 | 5,265,469 | ||
Northrop Grumman Corporation | 12,728 | 4,625,737 | ||
Old Dominion Freight Line, Inc. | 7,428 | 1,885,226 | ||
Otis Worldwide Corporation | 31,681 | 2,590,555 | ||
PACCAR, Inc. | 22,794 | 2,034,364 | ||
Parker-Hannifin Corporation | 8,815 | 2,707,175 | ||
Quanta Services, Inc. | 5,431 | 491,886 | ||
Raytheon Technologies Corporation | 117,008 | 9,981,952 | ||
Republic Services, Inc. | 19,655 | 2,162,247 | ||
Robert Half International, Inc. | 4,920 | 437,732 | ||
Rockwell Automation, Inc.Δ | 8,494 | 2,429,454 | ||
Rollins, Inc. | 21,375 | 731,025 | ||
Roper Technologies, Inc. | 6,043 | 2,841,419 | ||
Snap-on, Inc. | 5,899 | 1,318,014 | ||
Southwest Airlines Co.* | 45,685 | 2,425,417 | ||
Stanley Black & Decker, Inc. | 10,352 | 2,122,056 | ||
Teledyne Technologies, Inc.* | 3,269 | 1,369,123 | ||
Textron, Inc. | 19,700 | 1,354,769 | ||
TransDigm Group, Inc.* | 3,870 | 2,505,012 | ||
Union Pacific Corporation | 55,813 | 12,274,953 | ||
United Airlines Holdings, Inc.Δ* | 19,397 | 1,014,269 | ||
United Parcel Service, Inc. Class B | 50,421 | 10,486,055 | ||
United Rentals, Inc.* | 5,421 | 1,729,353 | ||
Verisk Analytics, Inc. | 12,729 | 2,224,011 | ||
W.W. Grainger, Inc. | 3,321 | 1,454,598 | ||
Waste Management, Inc. | 33,085 | 4,635,539 | ||
Westinghouse Air Brake Technologies CorporationΔ | 11,295 | 929,579 |
Shares | Value | |||
Xylem, Inc. | 9,669 | $ 1,159,893 | ||
224,814,138 | ||||
Information Technology — 26.0% | ||||
Adobe, Inc.* | 36,755 | 21,525,198 | ||
Advanced Micro Devices, Inc.* | 90,596 | 8,509,682 | ||
Akamai Technologies, Inc.* | 6,606 | 770,260 | ||
Amphenol Corporation Class A | 37,070 | 2,535,959 | ||
Analog Devices, Inc.Δ | 29,267 | 5,038,607 | ||
ANSYS, Inc.* | 7,710 | 2,675,833 | ||
Apple, Inc. | 1,219,464 | 167,017,789 | ||
Applied Materials, Inc. | 71,724 | 10,213,498 | ||
Arista Networks, Inc.* | 4,638 | 1,680,394 | ||
Autodesk, Inc.* | 15,847 | 4,625,739 | ||
Automatic Data Processing, Inc. | 33,997 | 6,752,484 | ||
Broadcom, Inc. | 32,313 | 15,408,131 | ||
Broadridge Financial Solutions, Inc. | 6,807 | 1,099,535 | ||
Cadence Design Systems, Inc.* | 18,580 | 2,542,116 | ||
CDW Corporation | 11,000 | 1,921,150 | ||
Cisco Systems, Inc. | 338,843 | 17,958,679 | ||
Citrix Systems, Inc. | 9,508 | 1,115,003 | ||
Cognizant Technology Solutions Corporation Class A | 43,559 | 3,016,896 | ||
Corning, Inc. | 59,799 | 2,445,779 | ||
DXC Technology Co.* | 18,725 | 729,152 | ||
Enphase Energy, Inc.* | 9,739 | 1,788,373 | ||
F5 Networks, Inc.* | 2,480 | 462,917 | ||
Fidelity National Information Services, Inc. | 47,995 | 6,799,452 | ||
Fiserv, Inc.* | 43,328 | 4,631,330 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,601,399 | ||
Fortinet, Inc.* | 9,885 | 2,354,508 | ||
Gartner, Inc.* | 5,295 | 1,282,449 | ||
Global Payments, Inc. | 22,769 | 4,270,098 | ||
Hewlett Packard Enterprise Co. | 113,804 | 1,659,262 | ||
HP, Inc. | 114,004 | 3,441,781 | ||
Intel Corporation | 315,916 | 17,735,524 | ||
International Business Machines Corporation | 72,240 | 10,589,662 | ||
Intuit, Inc. | 19,008 | 9,317,151 | ||
IPG Photonics Corporation* | 2,807 | 591,631 | ||
Jack Henry & Associates, Inc. | 5,530 | 904,210 | ||
Juniper Networks, Inc. | 15,019 | 410,770 | ||
Keysight Technologies, Inc.* | 13,420 | 2,072,182 | ||
KLA Corporation | 11,211 | 3,634,718 | ||
Lam Research Corporation | 10,705 | 6,965,743 | ||
Mastercard, Inc. Class A | 68,771 | 25,107,604 | ||
Maxim Integrated Products, Inc. | 19,970 | 2,104,039 | ||
Microchip Technology, Inc. | 20,515 | 3,071,916 | ||
Micron Technology, Inc.* | 84,017 | 7,139,765 | ||
Microsoft Corporation | 585,923 | 158,726,541 | ||
Monolithic Power Systems, Inc. | 3,300 | 1,232,385 | ||
Motorola Solutions, Inc. | 13,048 | 2,829,459 | ||
NetApp, Inc. | 21,788 | 1,782,694 | ||
NortonLifeLock, Inc. | 47,298 | 1,287,452 | ||
NVIDIA Corporation | 48,222 | 38,582,422 | ||
Oracle Corporation | 151,041 | 11,757,031 | ||
Paychex, Inc. | 27,668 | 2,968,776 |
Shares | Value | |||
Paycom Software, Inc.* | 3,850 | $ 1,399,360 | ||
PayPal Holdings, Inc.Δ* | 91,628 | 26,707,729 | ||
PTC, Inc.* | 8,101 | 1,144,347 | ||
Qorvo, Inc.* | 4,807 | 940,490 | ||
QUALCOMM, Inc. | 91,816 | 13,123,261 | ||
salesforce.com, Inc.* | 70,558 | 17,235,203 | ||
ServiceNow, Inc.* | 14,510 | 7,973,970 | ||
Skyworks Solutions, Inc. | 15,074 | 2,890,440 | ||
Synopsys, Inc.* | 13,432 | 3,704,411 | ||
Teradyne, Inc. | 12,953 | 1,735,184 | ||
Texas Instruments, Inc. | 69,952 | 13,451,770 | ||
Trimble, Inc.* | 19,275 | 1,577,273 | ||
Tyler Technologies, Inc.* | 3,141 | 1,420,894 | ||
VeriSign, Inc.* | 7,867 | 1,791,237 | ||
Visa, Inc. Class AΔ | 132,519 | 30,985,593 | ||
Western Digital Corporation* | 24,973 | 1,777,328 | ||
Western Union Co. (The) | 39,393 | 904,857 | ||
Xilinx, Inc. | 18,364 | 2,656,169 | ||
Zebra Technologies Corporation Class A* | 4,187 | 2,216,975 | ||
748,321,619 | ||||
Materials — 2.1% | ||||
Air Products and Chemicals, Inc. | 16,602 | 4,776,063 | ||
Albemarle Corporation | 8,321 | 1,401,756 | ||
Avery Dennison Corporation | 3,272 | 687,905 | ||
Ball Corporation | 26,240 | 2,125,965 | ||
Celanese Corporation | 9,582 | 1,452,631 | ||
CF Industries Holdings, Inc. | 17,082 | 878,869 | ||
Corteva, Inc. | 55,219 | 2,448,963 | ||
Dow, Inc. | 55,219 | 3,494,258 | ||
DuPont de Nemours, Inc. | 47,302 | 3,661,648 | ||
Eastman Chemical Co. | 14,389 | 1,679,916 | ||
Ecolab, Inc. | 16,680 | 3,435,580 | ||
FMC Corporation | 5,397 | 583,955 | ||
Freeport-McMoRan, Inc. | 112,863 | 4,188,346 | ||
International Flavors & Fragrances, Inc. | 19,185 | 2,866,239 | ||
International Paper Co. | 43,581 | 2,671,951 | ||
Martin Marietta Materials, Inc. | 5,969 | 2,099,954 | ||
Mosaic Co. (The) | 26,057 | 831,479 | ||
Newmont Corporation | 67,991 | 4,309,270 | ||
Nucor Corporation | 32,443 | 3,112,257 | ||
Packaging Corporation of America | 6,567 | 889,303 | ||
PPG Industries, Inc. | 18,443 | 3,131,068 | ||
Sealed Air Corporation | 10,710 | 634,567 | ||
Sherwin-Williams Co. (The) | 19,044 | 5,188,538 | ||
Vulcan Materials Co. | 11,222 | 1,953,413 | ||
Westrock Co. | 21,818 | 1,161,154 | ||
59,665,048 | ||||
Real Estate — 2.6% | ||||
Alexandria Real Estate Equities, Inc. REITΔ | 4,819 | 876,769 | ||
American Tower Corporation REIT | 34,001 | 9,185,030 | ||
AvalonBay Communities, Inc. REIT | 11,730 | 2,447,934 | ||
Boston Properties, Inc. REIT | 11,272 | 1,291,659 | ||
CBRE Group, Inc. Class A* | 26,915 | 2,307,423 |
Shares | Value | |||
Crown Castle International Corporation REIT | 35,778 | $ 6,980,288 | ||
Digital Realty Trust, Inc. REIT | 20,200 | 3,039,292 | ||
Duke Realty Corporation REIT | 32,547 | 1,541,100 | ||
Equinix, Inc. REIT | 6,878 | 5,520,283 | ||
Equity Residential REIT | 36,341 | 2,798,257 | ||
Essex Property Trust, Inc. REIT | 5,627 | 1,688,156 | ||
Extra Space Storage, Inc. REIT | 8,534 | 1,398,040 | ||
Federal Realty Investment Trust REIT | 2,600 | 304,642 | ||
Healthpeak Properties, Inc. REIT | 46,597 | 1,551,214 | ||
Host Hotels & Resorts, Inc. REIT* | 47,435 | 810,664 | ||
Iron Mountain, Inc. REITΔ | 32,755 | 1,386,192 | ||
Kimco Realty Corporation REIT | 56,971 | 1,187,845 | ||
Mid-America Apartment Communities, Inc. REIT | 7,607 | 1,281,171 | ||
Prologis, Inc. REIT | 53,710 | 6,419,956 | ||
Public Storage REIT | 13,141 | 3,951,367 | ||
Realty Income Corporation REIT | 28,647 | 1,911,901 | ||
Regency Centers Corporation REITΔ | 15,104 | 967,713 | ||
SBA Communications Corporation REIT | 9,082 | 2,894,433 | ||
Simon Property Group, Inc. REIT | 25,427 | 3,317,715 | ||
UDR, Inc. REITΔ | 16,995 | 832,415 | ||
Ventas, Inc. REIT | 33,547 | 1,915,534 | ||
Vornado Realty Trust REIT | 15,993 | 746,393 | ||
Welltower, Inc. REITΔ | 31,626 | 2,628,121 | ||
Weyerhaeuser Co. REIT | 66,786 | 2,298,774 | ||
73,480,281 | ||||
Utilities — 2.4% | ||||
AES Corporation (The) | 56,201 | 1,465,160 | ||
Alliant Energy Corporation | 6,500 | 362,440 | ||
Ameren Corporation | 19,884 | 1,591,515 | ||
American Electric Power Co., Inc. | 43,060 | 3,642,445 | ||
American Water Works Co., Inc. | 13,583 | 2,093,548 | ||
Atmos Energy Corporation | 8,640 | 830,390 | ||
CenterPoint Energy, Inc. | 50,231 | 1,231,664 | ||
CMS Energy Corporation | 24,417 | 1,442,556 | ||
Consolidated Edison, Inc. | 33,879 | 2,429,802 | ||
Dominion Energy, Inc. | 72,926 | 5,365,166 | ||
DTE Energy Co. | 16,224 | 2,102,630 | ||
Duke Energy Corporation | 63,450 | 6,263,784 | ||
Edison International | 25,039 | 1,447,755 | ||
Entergy Corporation | 11,610 | 1,157,517 | ||
Evergy, Inc. | 17,247 | 1,042,236 | ||
Eversource Energy | 22,827 | 1,831,639 | ||
Exelon Corporation | 65,931 | 2,921,403 | ||
FirstEnergy Corporation | 37,260 | 1,386,445 | ||
NextEra Energy, Inc. | 157,748 | 11,559,773 | ||
NiSource, Inc. | 23,079 | 565,436 | ||
NRG Energy, Inc. | 19,377 | 780,893 | ||
Pinnacle West Capital CorporationΔ | 4,108 | 336,733 |
Shares | Value | |||
PPL Corporation | 73,784 | $ 2,063,739 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,792,905 | ||
Sempra Energy | 20,984 | 2,779,960 | ||
Southern Co. (The) | 81,308 | 4,919,947 | ||
WEC Energy Group, Inc. | 26,694 | 2,374,431 | ||
Xcel Energy, Inc. | 35,982 | 2,370,494 | ||
69,152,406 | ||||
Total Common Stocks (Cost $1,450,605,369) | 2,713,938,390 | |||
FOREIGN COMMON STOCKS — 3.2% | ||||
Curacao — 0.1% | ||||
Schlumberger NV | 121,737 | 3,896,801 | ||
Ireland — 2.3% | ||||
Accenture PLC Class A | 48,630 | 14,335,638 | ||
Allegion PLCΔ | 11,277 | 1,570,886 | ||
Aon PLC Class A | 19,060 | 4,550,765 | ||
Eaton Corporation PLC | 34,612 | 5,128,806 | ||
Johnson Controls International PLC | 75,803 | 5,202,360 | ||
Linde PLC | 42,397 | 12,256,973 | ||
Medtronic PLC | 104,997 | 13,033,278 | ||
Pentair PLC | 6,692 | 451,643 | ||
Seagate Technology Holdings PLC | 24,342 | 2,140,392 | ||
STERIS PLC | 7,533 | 1,554,058 | ||
Trane Technologies PLC | 16,206 | 2,984,173 | ||
Willis Towers Watson PLC | 8,889 | 2,044,648 | ||
65,253,620 | ||||
Jersey — 0.1% | ||||
Amcor PLC | 120,129 | 1,376,678 | ||
Aptiv PLC* | 18,385 | 2,892,512 | ||
4,269,190 | ||||
Netherlands — 0.3% | ||||
LyondellBasell Industries NV Class A | 27,312 | 2,809,585 | ||
NXP Semiconductor NV | 21,486 | 4,420,100 | ||
7,229,685 | ||||
Switzerland — 0.4% | ||||
Chubb, Ltd. | 35,583 | 5,655,562 | ||
Garmin, Ltd. | 8,253 | 1,193,714 | ||
TE Connectivity, Ltd. | 28,610 | 3,868,358 | ||
10,717,634 | ||||
United Kingdom — 0.0% | ||||
Nielsen Holdings PLCΔ | 40,749 | 1,005,278 | ||
Total Foreign Common Stocks (Cost $59,683,619) | 92,372,208 | |||
MONEY MARKET FUNDS — 2.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 67,268,163 | 67,268,163 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 419,707 | $ 419,707 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 157,459 | 157,459 | ||
Total Money Market Funds (Cost $67,845,329) | 67,845,329 | |||
TOTAL INVESTMENTS — 99.9% (Cost $1,578,134,317) | 2,874,155,927 | |||
Other Assets in Excess of Liabilities — 0.1% | 4,046,183 | |||
NET ASSETS — 100.0% | $2,878,202,110 |
% | |
Information Technology | 26.9 |
Health Care | 12.3 |
Consumer Discretionary | 11.9 |
Financials | 11.1 |
Communication Services | 11.1 |
Industrials | 8.4 |
Consumer Staples | 5.5 |
Energy | 2.8 |
Materials | 2.6 |
Real Estate | 2.5 |
Utilities | 2.4 |
Money Market Funds | 2.4 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500 ® E-Mini | 09/2021 | 315 | $67,545,450 | $913,639 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $2,713,938,390 | $2,713,938,390 | $ — | $ — | |||
Foreign Common Stocks | 92,372,208 | 92,372,208 | — | — | |||
Money Market Funds | 67,845,329 | 67,845,329 | — | — | |||
Total Assets - Investments in Securities | $2,874,155,927 | $2,874,155,927 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 913,639 | $ 913,639 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 913,639 | $ 913,639 | $ — | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Shares | Value | |||
COMMON STOCKS — 85.8% | ||||
Communication Services — 6.4% | ||||
Altice USA, Inc. Class A* | 503,593 | $ 17,192,665 | ||
AT&T, Inc. | 198,239 | 5,705,319 | ||
Comcast Corporation Class A | 451,491 | 25,744,017 | ||
Discovery, Inc. Class AΔ* | 159,469 | 4,892,509 | ||
Fox Corporation Class A | 110,254 | 4,093,731 | ||
T-Mobile US, Inc.* | 31,999 | 4,634,415 | ||
Verizon Communications, Inc. | 341,807 | 19,151,446 | ||
ViacomCBS, Inc. Class B | 141,672 | 6,403,574 | ||
87,817,676 | ||||
Consumer Discretionary — 9.1% | ||||
Advance Auto Parts, Inc. | 94,310 | 19,346,753 | ||
Aramark | 295,120 | 10,993,220 | ||
Darden Restaurants, Inc. | 36,063 | 5,264,837 | ||
Dick's Sporting Goods, Inc.Δ | 29,224 | 2,927,953 | ||
Dollar General Corporation | 65,392 | 14,150,175 | ||
Lennar Corporation Class A | 177,200 | 17,604,820 | ||
Lowe’s Cos., Inc. | 127,462 | 24,723,804 | ||
Ralph Lauren Corporation | 99,781 | 11,755,200 | ||
Target Corporation | 72,132 | 17,437,190 | ||
124,203,952 | ||||
Consumer Staples — 4.2% | ||||
Colgate-Palmolive Co. | 57,268 | 4,658,752 | ||
Conagra Brands, Inc. | 266,809 | 9,706,511 | ||
Kimberly-Clark Corporation | 29,219 | 3,908,918 | ||
Lamb Weston Holdings, Inc. | 118,402 | 9,550,305 | ||
Mondelez International, Inc. Class A | 120,512 | 7,524,769 | ||
PepsiCo, Inc. | 71,998 | 10,667,944 | ||
Post Holdings, Inc.* | 52,705 | 5,716,911 | ||
Walmart, Inc. | 41,879 | 5,905,777 | ||
57,639,887 | ||||
Energy — 4.4% | ||||
Baker Hughes Co. | 244,325 | 5,587,713 | ||
Chevron Corporation | 196,368 | 20,567,584 | ||
Exxon Mobil Corporation | 46,129 | 2,909,817 | ||
Hess Corporation | 118,089 | 10,311,531 | ||
Phillips 66Δ | 137,908 | 11,835,265 | ||
Pioneer Natural Resources Co. | 26,911 | 4,373,576 | ||
Valero Energy Corporation | 61,011 | 4,763,739 | ||
60,349,225 | ||||
Financials — 19.7% | ||||
Aflac, Inc. | 111,965 | 6,008,042 | ||
Allstate Corporation (The) | 35,966 | 4,691,405 | ||
American Express Co. | 37,719 | 6,232,310 | ||
American International Group, Inc. | 294,771 | 14,031,100 | ||
Ameriprise Financial, Inc. | 23,393 | 5,822,050 | ||
Bank of New York Mellon Corporation (The) | 232,717 | 11,922,092 | ||
Berkshire Hathaway, Inc. Class B* | 91,271 | 25,366,036 | ||
BlackRock, Inc. | 13,745 | 12,026,463 | ||
Blackstone Group, Inc. (The) Class A | 38,500 | 3,739,890 | ||
Cincinnati Financial Corporation | 49,000 | 5,714,380 | ||
Citigroup, Inc. | 185,449 | 13,120,517 |
Shares | Value | |||
Fidelity National Financial, Inc. | 149,576 | $ 6,500,573 | ||
Franklin Resources, Inc. | 109,675 | 3,508,503 | ||
Goldman Sachs Group, Inc. (The) | 38,373 | 14,563,705 | ||
Intercontinental Exchange, Inc. | 75,238 | 8,930,751 | ||
JPMorgan Chase & Co. | 202,405 | 31,482,074 | ||
Marsh & McLennan Cos., Inc. | 64,490 | 9,072,453 | ||
MetLife, Inc. | 119,351 | 7,143,157 | ||
Morgan Stanley | 55,500 | 5,088,795 | ||
Northern Trust Corporation | 80,131 | 9,264,746 | ||
Progressive Corporation (The) | 87,710 | 8,613,999 | ||
Reinsurance Group of America, Inc. | 66,357 | 7,564,698 | ||
Signature Bank | 15,785 | 3,877,585 | ||
Truist Financial Corporation | 149,533 | 8,299,081 | ||
U.S. Bancorp | 244,962 | 13,955,485 | ||
Wells Fargo & Co. | 404,089 | 18,301,191 | ||
Zions Bancorp NA | 60,726 | 3,209,976 | ||
268,051,057 | ||||
Health Care — 10.6% | ||||
Anthem, Inc. | 38,861 | 14,837,130 | ||
Becton, Dickinson and Co. | 39,503 | 9,606,735 | ||
Bristol-Myers Squibb Co. | 85,647 | 5,722,932 | ||
Centene Corporation* | 110,343 | 8,047,315 | ||
Cerner Corporation | 133,003 | 10,395,514 | ||
CVS Health Corporation | 139,267 | 11,620,438 | ||
Gilead Sciences, Inc. | 75,839 | 5,222,274 | ||
Johnson & Johnson | 227,434 | 37,467,477 | ||
McKesson Corporation | 32,745 | 6,262,154 | ||
Molina Healthcare, Inc.* | 31,865 | 8,063,757 | ||
UnitedHealth Group, Inc. | 35,945 | 14,393,816 | ||
Universal Health Services, Inc. Class B | 24,535 | 3,592,660 | ||
Zimmer Biomet Holdings, Inc. | 53,855 | 8,660,961 | ||
143,893,163 | ||||
Industrials — 11.6% | ||||
AECOM* | 165,895 | 10,504,472 | ||
Deere & Co. | 43,210 | 15,240,599 | ||
Emerson Electric Co. | 96,732 | 9,309,488 | ||
Fastenal Co. | 121,181 | 6,301,412 | ||
General Dynamics Corporation | 30,631 | 5,766,592 | ||
General Electric Co. | 625,468 | 8,418,799 | ||
Hubbell, Inc. | 21,029 | 3,929,058 | ||
J.B. Hunt Transport Services, Inc. | 79,399 | 12,938,067 | ||
Jacobs Engineering Group, Inc. | 25,181 | 3,359,649 | ||
L3Harris Technologies, Inc. | 13,978 | 3,021,345 | ||
Lockheed Martin Corporation | 16,823 | 6,364,982 | ||
Norfolk Southern Corporation | 35,060 | 9,305,275 | ||
Quanta Services, Inc. | 53,158 | 4,814,520 | ||
Raytheon Technologies Corporation | 222,862 | 19,012,357 | ||
Republic Services, Inc. | 50,704 | 5,577,947 | ||
Stanley Black & Decker, Inc. | 42,684 | 8,749,793 | ||
Teledyne Technologies, Inc.€* | 0 | 96 | ||
Textron, Inc. | 110,657 | 7,609,882 | ||
United Parcel Service, Inc. Class B | 85,944 | 17,873,774 | ||
158,098,107 |
Shares | Value | |||
Information Technology — 11.0% | ||||
Apple, Inc. | 86,992 | $ 11,914,424 | ||
Broadcom, Inc. | 35,904 | 17,120,463 | ||
Cisco Systems, Inc. | 395,047 | 20,937,491 | ||
Cognizant Technology Solutions Corporation Class A | 157,604 | 10,915,653 | ||
Corning, Inc. | 116,060 | 4,746,854 | ||
Fiserv, Inc.* | 49,104 | 5,248,727 | ||
HP, Inc. | 118,350 | 3,572,987 | ||
Intel Corporation | 119,760 | 6,723,326 | ||
International Business Machines Corporation | 46,774 | 6,856,601 | ||
Micron Technology, Inc.* | 41,140 | 3,496,077 | ||
Microsoft Corporation | 39,260 | 10,635,534 | ||
ON Semiconductor Corporation* | 185,772 | 7,111,352 | ||
Oracle Corporation | 139,970 | 10,895,265 | ||
Paychex, Inc. | 61,332 | 6,580,924 | ||
QUALCOMM, Inc. | 33,953 | 4,852,902 | ||
Texas Instruments, Inc. | 97,418 | 18,733,481 | ||
150,342,061 | ||||
Materials — 4.0% | ||||
Air Products and Chemicals, Inc. | 26,484 | 7,618,917 | ||
Corteva, Inc. | 288,831 | 12,809,655 | ||
DuPont de Nemours, Inc. | 52,251 | 4,044,750 | ||
Freeport-McMoRan, Inc. | 210,127 | 7,797,813 | ||
International Flavors & Fragrances, Inc. | 121,484 | 18,149,709 | ||
Sonoco Products Co. | 69,861 | 4,673,701 | ||
55,094,545 | ||||
Real Estate — 1.1% | ||||
Crown Castle International Corporation REIT | 43,806 | 8,546,551 | ||
Jones Lang LaSalle, Inc.* | 17,675 | 3,454,756 | ||
Weyerhaeuser Co. REIT | 92,901 | 3,197,652 | ||
15,198,959 | ||||
Utilities — 3.7% | ||||
AES Corporation (The) | 273,310 | 7,125,192 | ||
Atmos Energy Corporation | 110,288 | 10,599,780 | ||
Dominion Energy, Inc. | 106,044 | 7,801,657 | ||
Duke Energy Corporation | 56,502 | 5,577,877 | ||
Edison International | 47,844 | 2,766,340 | ||
Exelon Corporation | 141,829 | 6,284,443 | ||
Pinnacle West Capital CorporationΔ | 90,411 | 7,410,990 |
Shares | Value | |||
Sempra Energy | 21,890 | $ 2,899,987 | ||
50,466,266 | ||||
Total Common Stocks (Cost $882,222,142) | 1,171,154,898 | |||
FOREIGN COMMON STOCKS — 10.6% | ||||
Canada — 0.4% | ||||
Open Text Corporation | 102,497 | 5,206,847 | ||
France — 0.8% | ||||
TotalEnergies SE ADR | 231,778 | 10,490,272 | ||
Germany — 0.7% | ||||
Siemens AG | 64,021 | 10,143,483 | ||
Ireland — 4.0% | ||||
Johnson Controls International PLC | 155,292 | 10,657,690 | ||
Medtronic PLC | 273,879 | 33,996,600 | ||
Willis Towers Watson PLC | 41,073 | 9,447,612 | ||
54,101,902 | ||||
Japan — 0.5% | ||||
Nintendo Co., Ltd. ADRΔ | 87,130 | 6,319,539 | ||
Singapore — 0.3% | ||||
Flex, Ltd.* | 272,494 | 4,869,468 | ||
Switzerland — 2.8% | ||||
Chubb, Ltd. | 87,865 | 13,965,263 | ||
Nestle SA ADRΔ | 70,009 | 8,732,923 | ||
Roche Holding AG | 30,954 | 11,660,650 | ||
TE Connectivity, Ltd. | 28,720 | 3,883,231 | ||
38,242,067 | ||||
United Kingdom — 1.1% | ||||
Unilever PLC ADRΔ | 264,268 | 15,459,678 | ||
Total Foreign Common Stocks (Cost $117,949,999) | 144,833,256 | |||
MONEY MARKET FUNDS — 3.4% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 44,263,719 | 44,263,719 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 1,891,124 | 1,891,124 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 138,794 | $ 138,794 | ||
Total Money Market Funds (Cost $46,293,637) | 46,293,637 | |||
TOTAL INVESTMENTS — 99.8% (Cost $1,046,465,778) | 1,362,281,791 | |||
Other Assets in Excess of Liabilities — 0.2% | 2,118,724 | |||
NET ASSETS — 100.0% | $1,364,400,515 |
% | |
Financials | 21.4 |
Health Care | 13.9 |
Industrials | 13.1 |
Information Technology | 12.0 |
Consumer Discretionary | 9.1 |
Communication Services | 6.9 |
Consumer Staples | 6.0 |
Energy | 5.2 |
Materials | 4.0 |
Utilities | 3.7 |
Money Market Funds | 3.4 |
Real Estate | 1.1 |
99.8 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2021 | 218 | $46,745,740 | $557,568 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/21 | U.S. Dollars | 15,898,792 | British Pounds | 11,422,038 | JPM | $ 95,218 | ||||||
09/30/21 | U.S. Dollars | 20,590,190 | Euro | 17,262,788 | CS | 80,473 | ||||||
09/30/21 | U.S. Dollars | 11,823,214 | Swiss Francs | 10,847,091 | MSCS | 70,115 | ||||||
09/30/21 | Euro | 363,019 | U.S. Dollars | 431,027 | CS | 271 | ||||||
Subtotal Appreciation | $246,077 | |||||||||||
09/30/21 | Swiss Francs | 236,087 | U.S. Dollars | 257,760 | MSCS | $ (1,953) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/21 | British Pounds | 490,865 | U.S. Dollars | 684,803 | JPM | $ (5,640) | ||||||
Subtotal Depreciation | $ (7,593) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $238,484 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,171,154,898 | $1,171,154,898 | $ — | $ — | |||
Foreign Common Stocks | 144,833,256 | 144,833,256 | — | — | |||
Money Market Funds | 46,293,637 | 46,293,637 | — | — | |||
Total Assets - Investments in Securities | $1,362,281,791 | $1,362,281,791 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 246,077 | $ — | $246,077 | $ — | |||
Futures Contracts | 557,568 | 557,568 | — | — | |||
Total Assets - Other Financial Instruments | $ 803,645 | $ 557,568 | $246,077 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (7,593) | $ — | $ (7,593) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (7,593) | $ — | $ (7,593) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
Shares | Value | |||
COMMON STOCKS — 87.8% | ||||
Communication Services — 14.4% | ||||
Alphabet, Inc. Class A* | 8,287 | $ 20,235,114 | ||
Alphabet, Inc. Class C* | 16,061 | 40,254,006 | ||
Charter Communications, Inc. Class AΔ* | 9,422 | 6,797,502 | ||
Electronic Arts, Inc. | 85,077 | 12,236,625 | ||
Facebook, Inc. Class A* | 278,128 | 96,707,887 | ||
Match Group, Inc.Δ* | 142,014 | 22,899,758 | ||
Netflix, Inc.* | 32,353 | 17,089,178 | ||
Pinterest, Inc. Class A* | 89,320 | 7,051,814 | ||
Sea, Ltd. ADRΔ* | 127,009 | 34,876,671 | ||
Walt Disney Co. (The)* | 185,773 | 32,653,320 | ||
Warner Music Group Corporation Class A | 133,662 | 4,817,178 | ||
Zillow Group, Inc. Class CΔ* | 44,128 | 5,393,324 | ||
301,012,377 | ||||
Consumer Discretionary — 12.1% | ||||
Advance Auto Parts, Inc. | 54,447 | 11,169,258 | ||
Airbnb, Inc. Class A* | 25,880 | 3,963,263 | ||
Amazon.com, Inc.* | 38,170 | 131,310,907 | ||
Booking Holdings, Inc.* | 3,889 | 8,509,482 | ||
Carvana Co.* | 12,363 | 3,731,401 | ||
Chewy, Inc. Class AΔ* | 119,471 | 9,523,033 | ||
DoorDash, Inc. Class AΔ* | 21,755 | 3,879,569 | ||
Floor & Decor Holdings, Inc. Class A* | 49,947 | 5,279,398 | ||
Home Depot, Inc. (The) | 51,232 | 16,337,372 | ||
Lululemon Athletica, Inc.* | 23,314 | 8,508,911 | ||
Starbucks Corporation | 140,218 | 15,677,774 | ||
Tractor Supply Co. | 47,460 | 8,830,408 | ||
Ulta Beauty, Inc.* | 34,975 | 12,093,306 | ||
Yum China Holdings, Inc. | 87,339 | 5,786,209 | ||
Yum! Brands, Inc. | 69,432 | 7,986,763 | ||
252,587,054 | ||||
Consumer Staples — 3.4% | ||||
Colgate-Palmolive Co. | 197,926 | 16,101,280 | ||
Costco Wholesale Corporation | 22,077 | 8,735,207 | ||
Estee Lauder Cos., Inc. (The) Class A | 41,714 | 13,268,389 | ||
Grocery Outlet Holding CorporationΔ* | 80,770 | 2,799,488 | ||
Monster Beverage Corporation* | 323,212 | 29,525,416 | ||
70,429,780 | ||||
Financials — 0.8% | ||||
FactSet Research Systems, Inc. | 25,834 | 8,670,149 | ||
SEI Investments Co. | 143,365 | 8,884,329 | ||
17,554,478 | ||||
Health Care — 10.2% | ||||
Align Technology, Inc.* | 14,282 | 8,726,302 | ||
Amgen, Inc. | 41,450 | 10,103,438 | ||
BioMarin Pharmaceutical, Inc.* | 65,973 | 5,504,787 | ||
Cerner Corporation | 98,712 | 7,715,330 | ||
Danaher Corporation | 26,647 | 7,150,989 | ||
DexCom, Inc.* | 41,190 | 17,588,130 | ||
Edwards Lifesciences Corporation* | 165,257 | 17,115,667 | ||
Illumina, Inc.* | 32,280 | 15,275,219 |
Shares | Value | |||
Intuitive Surgical, Inc.* | 35,444 | $ 32,595,720 | ||
Regeneron Pharmaceuticals, Inc.* | 29,759 | 16,621,592 | ||
Sarepta Therapeutics, Inc.* | 55,191 | 4,290,548 | ||
UnitedHealth Group, Inc. | 54,077 | 21,654,594 | ||
Veeva Systems, Inc. Class A* | 32,608 | 10,139,458 | ||
Vertex Pharmaceuticals, Inc.* | 21,727 | 4,380,815 | ||
Zoetis, Inc. | 189,620 | 35,337,583 | ||
214,200,172 | ||||
Industrials — 9.4% | ||||
Boeing Co. (The)* | 116,484 | 27,904,907 | ||
Cintas Corporation | 33,398 | 12,758,036 | ||
CoStar Group, Inc.* | 70,640 | 5,850,405 | ||
Deere & Co. | 72,733 | 25,653,656 | ||
Expeditors International of Washington, Inc. | 137,267 | 17,378,002 | ||
IDEX Corporation | 43,741 | 9,625,207 | ||
IHS Markit, Ltd. | 120,333 | 13,556,716 | ||
L3Harris Technologies, Inc. | 46,558 | 10,063,512 | ||
Raytheon Technologies Corporation | 125,154 | 10,676,888 | ||
Roper Technologies, Inc. | 22,712 | 10,679,182 | ||
Uber Technologies, Inc.* | 467,542 | 23,433,205 | ||
United Parcel Service, Inc. Class B | 85,607 | 17,803,688 | ||
W.W. Grainger, Inc. | 27,527 | 12,056,826 | ||
197,440,230 | ||||
Information Technology — 35.4% | ||||
Adobe, Inc.* | 67,373 | 39,456,324 | ||
Akamai Technologies, Inc.* | 84,330 | 9,832,878 | ||
Apple, Inc. | 822,226 | 112,612,073 | ||
Autodesk, Inc.* | 142,701 | 41,654,422 | ||
Automatic Data Processing, Inc. | 24,812 | 4,928,159 | ||
Cisco Systems, Inc. | 199,162 | 10,555,586 | ||
Coupa Software, Inc.* | 12,011 | 3,148,203 | ||
Fidelity National Information Services, Inc. | 73,529 | 10,416,853 | ||
Intuit, Inc. | 53,563 | 26,254,976 | ||
Mastercard, Inc. Class A | 46,851 | 17,104,832 | ||
Microsoft Corporation | 305,678 | 82,808,170 | ||
Nutanix, Inc. Class A* | 126,446 | 4,832,766 | ||
NVIDIA Corporation | 81,413 | 65,138,541 | ||
Oracle Corporation | 323,389 | 25,172,600 | ||
Palo Alto Networks, Inc.* | 39,913 | 14,809,719 | ||
PayPal Holdings, Inc.* | 62,966 | 18,353,330 | ||
QUALCOMM, Inc. | 216,168 | 30,896,892 | ||
salesforce.com, Inc.* | 184,298 | 45,018,473 | ||
ServiceNow, Inc.* | 46,564 | 25,589,246 | ||
Snowflake, Inc. Class AΔ* | 16,745 | 4,048,941 | ||
Splunk, Inc.* | 71,228 | 10,298,144 | ||
Square, Inc. Class A* | 65,482 | 15,964,512 | ||
Twilio, Inc. Class A* | 29,982 | 11,817,705 | ||
UiPath, Inc. Class AΔ* | 63,538 | 4,316,136 | ||
Visa, Inc. Class AΔ | 352,953 | 82,527,471 | ||
VMware, Inc. Class AΔ* | 50,654 | 8,103,120 | ||
Workday, Inc. Class A* | 69,322 | 16,549,934 | ||
Xperi Holding Corporation | 3 | 67 | ||
742,210,073 |
Shares | Value | |||
Materials — 1.0% | ||||
Ecolab, Inc. | 40,822 | $ 8,408,107 | ||
Sherwin-Williams Co. (The) | 47,091 | 12,829,943 | ||
21,238,050 | ||||
Real Estate — 1.1% | ||||
Equinix, Inc. REIT | 13,643 | 10,949,872 | ||
SBA Communications Corporation REIT | 40,305 | 12,845,203 | ||
23,795,075 | ||||
Total Common Stocks (Cost $993,528,991) | 1,840,467,289 | |||
FOREIGN COMMON STOCKS — 8.7% | ||||
Canada — 1.0% | ||||
Shopify, Inc. Class A* | 14,242 | 20,807,277 | ||
China — 1.8% | ||||
Alibaba Group Holding, Ltd. ADR* | 168,394 | 38,188,391 | ||
Curacao — 0.5% | ||||
Schlumberger NV | 323,865 | 10,366,919 | ||
Ireland — 0.1% | ||||
Eaton Corporation PLC | 14,310 | 2,120,456 | ||
Israel — 0.2% | ||||
Fiverr International, Ltd.* | 16,776 | 4,068,012 | ||
Jersey — 0.6% | ||||
Aptiv PLC* | 74,617 | 11,739,493 | ||
Netherlands — 1.6% | ||||
ASML Holding NV | 13,800 | 9,533,592 | ||
NXP Semiconductor NV | 117,708 | 24,214,890 | ||
33,748,482 | ||||
Switzerland — 2.1% | ||||
Alcon, Inc.Δ | 129,930 | 9,128,882 | ||
Novartis AG ADR | 206,983 | 18,885,129 | ||
Roche Holding AG ADR | 337,832 | 15,874,725 | ||
43,888,736 | ||||
United Kingdom — 0.8% | ||||
Atlassian Corporation PLC Class A* | 63,946 | 16,425,169 | ||
Total Foreign Common Stocks (Cost $129,014,412) | 181,352,935 |
Shares | Value | |||
MONEY MARKET FUNDS — 3.9% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 72,061,857 | $ 72,061,857 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 9,552,584 | 9,552,584 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,061,262 | 1,061,262 | ||
Total Money Market Funds (Cost $82,675,703) | 82,675,703 | |||
TOTAL INVESTMENTS — 100.4% (Cost $1,205,219,106) | 2,104,495,927 | |||
Liabilities in Excess of Other Assets — (0.4)% | (7,927,258) | |||
NET ASSETS — 100.0% | $2,096,568,669 |
% | |
Information Technology | 38.8 |
Consumer Discretionary | 14.6 |
Communication Services | 14.4 |
Health Care | 12.3 |
Industrials | 9.5 |
Money Market Funds | 4.0 |
Consumer Staples | 3.4 |
Real Estate | 1.1 |
Materials | 1.0 |
Financials | 0.8 |
Energy | 0.5 |
100.4 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2021 | 349 | $74,836,070 | $1,022,601 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,840,467,289 | $1,840,467,289 | $ — | $ — | |||
Foreign Common Stocks | 181,352,935 | 181,352,935 | — | — | |||
Money Market Funds | 82,675,703 | 82,675,703 | — | — | |||
Total Assets - Investments in Securities | $2,104,495,927 | $2,104,495,927 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 1,022,601 | $ 1,022,601 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 1,022,601 | $ 1,022,601 | $ — | $ — |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 94.0% | ||||
Communication Services — 2.5% | ||||
ATN International, Inc. | 17,311 | $ 787,477 | ||
Bandwidth, Inc. Class AΔ* | 23,908 | 3,297,391 | ||
Cinemark Holdings, Inc.Δ* | 47,006 | 1,031,782 | ||
comScore, Inc.* | 42,720 | 213,600 | ||
Cumulus Media, Inc. Class AΔ* | 5,813 | 85,160 | ||
CuriosityStream, Inc.Δ* | 107,962 | 1,472,602 | ||
Entravision Communications Corporation Class A | 221,972 | 1,482,773 | ||
Gray Television, Inc. | 64,339 | 1,505,533 | ||
iHeartMedia, Inc. Class A* | 57,900 | 1,559,247 | ||
Madison Square Garden Sports Corporation* | 773 | 133,397 | ||
Marchex, Inc. Class B* | 4,671 | 14,293 | ||
News Corporation Class A | 7,962 | 205,181 | ||
Nexstar Media Group, Inc. Class A | 7,922 | 1,171,505 | ||
Shenandoah Telecommunications Co. | 24,100 | 1,169,091 | ||
TEGNA, Inc. | 39,973 | 749,893 | ||
Telephone & Data Systems, Inc. | 62,409 | 1,414,188 | ||
Townsquare Media, Inc. Class A* | 17,247 | 219,899 | ||
TrueCar, Inc.* | 54,602 | 308,501 | ||
United States Cellular CorporationΔ* | 15,570 | 565,347 | ||
WideOpenWest, Inc.* | 10,250 | 212,278 | ||
Yelp, Inc.* | 80,613 | 3,221,296 | ||
20,820,434 | ||||
Consumer Discretionary — 12.5% | ||||
2U, Inc.Δ* | 47,900 | 1,995,993 | ||
Adtalem Global Education, Inc.* | 27,923 | 995,176 | ||
American Axle & Manufacturing Holdings, Inc.* | 122,558 | 1,268,475 | ||
American Eagle Outfitters, Inc.Δ | 132,934 | 4,989,013 | ||
American Public Education, Inc.* | 17,268 | 489,375 | ||
At Home Group, Inc.* | 27,888 | 1,027,394 | ||
Bassett Furniture Industries, Inc.Δ | 7,723 | 188,055 | ||
Beazer Homes USA, Inc.* | 46,805 | 902,868 | ||
Bluegreen Vacations Holding Corporation* | 1,717 | 30,906 | ||
Boot Barn Holdings, Inc.* | 14,100 | 1,185,105 | ||
Brinker International, Inc.* | 40,532 | 2,506,904 | ||
Brunswick Corporation | 20,010 | 1,993,396 | ||
Callaway Golf Co.Δ* | 57,800 | 1,949,594 | ||
Carriage Services, Inc. | 5,433 | 200,858 | ||
Casper Sleep, Inc.Δ* | 15,100 | 124,424 | ||
Children's Place, Inc. (The)Δ* | 12,400 | 1,153,944 | ||
Chuy's Holdings, Inc.* | 26,119 | 973,194 | ||
Container Store Group, Inc. (The)* | 10,800 | 140,832 | ||
Cooper-Standard Holdings, Inc.* | 18,176 | 527,104 | ||
Cracker Barrel Old Country Store, Inc. | 12,015 | 1,783,747 | ||
Dana, Inc. | 78,329 | 1,861,097 | ||
Dave & Buster's Entertainment, Inc.* | 36,095 | 1,465,457 | ||
Del Taco Restaurants, Inc. | 45,713 | 457,587 | ||
Dick's Sporting Goods, Inc.Δ | 18,465 | 1,850,008 | ||
Dillard's, Inc. Class AΔ | 11,011 | 1,991,670 | ||
Goodyear Tire & Rubber Co. (The)* | 110,401 | 1,893,377 |
Shares | Value | |||
Hayward Holdings, Inc.Δ* | 47,725 | $ 1,241,804 | ||
Helen of Troy, Ltd.Δ* | 8,226 | 1,876,515 | ||
Hibbett, Inc.* | 17,744 | 1,590,395 | ||
Hilton Grand Vacations, Inc.* | 44,100 | 1,825,299 | ||
Jack in the Box, Inc. | 22,010 | 2,452,794 | ||
KB Home | 54,811 | 2,231,904 | ||
Kontoor Brands, Inc.Δ | 4,820 | 271,896 | ||
La-Z-Boy, Inc. | 31,164 | 1,154,315 | ||
Leslie's, Inc.Δ* | 115,500 | 3,175,095 | ||
Malibu Boats, Inc. Class A* | 78,802 | 5,778,551 | ||
MarineMax, Inc.Δ* | 39,261 | 1,913,581 | ||
Modine Manufacturing Co.* | 36,517 | 605,817 | ||
Mohawk Industries, Inc.* | 1,873 | 359,972 | ||
National Vision Holdings, Inc.Δ* | 65,600 | 3,354,128 | ||
ODP Corporation (The)* | 22,797 | 1,094,484 | ||
OneSpaWorld Holdings, Ltd.Δ* | 171,300 | 1,659,897 | ||
OneWater Marine, Inc. Class AΔ | 31,632 | 1,329,493 | ||
Penske Automotive Group, Inc. | 40,875 | 3,085,654 | ||
Planet Fitness, Inc. Class A* | 45,000 | 3,386,250 | ||
RealReal, Inc. (The)Δ* | 89,700 | 1,772,472 | ||
Red Robin Gourmet Burgers, Inc.Δ* | 47,091 | 1,559,183 | ||
Signet Jewelers, Ltd.Δ* | 14,965 | 1,209,022 | ||
Skyline Champion Corporation* | 42,406 | 2,260,240 | ||
Sonic Automotive, Inc. Class A | 14,679 | 656,738 | ||
Steven Madden, Ltd. | 71,758 | 3,140,130 | ||
Strattec Security CorporationΔ* | 1,920 | 85,363 | ||
Tapestry, Inc.* | 48,981 | 2,129,694 | ||
Taylor Morrison Home Corporation Class A* | 82,889 | 2,189,927 | ||
Tenneco, Inc. Class A* | 95,743 | 1,849,755 | ||
Texas Roadhouse, Inc. | 32,097 | 3,087,731 | ||
Tilly's, Inc. Class A | 17,009 | 271,804 | ||
Unifi, Inc.* | 11,616 | 282,966 | ||
Universal Technical Institute, Inc.* | 10,271 | 66,659 | ||
Vera Bradley, Inc.Δ* | 2,994 | 37,096 | ||
Vista Outdoor, Inc.Δ* | 36,911 | 1,708,241 | ||
Visteon Corporation* | 17,500 | 2,116,450 | ||
Wendy's Co. (The) | 59,730 | 1,398,877 | ||
Wingstop, Inc.Δ | 15,700 | 2,474,791 | ||
YETI Holdings, Inc.* | 43,530 | 3,996,925 | ||
104,627,461 | ||||
Consumer Staples — 2.3% | ||||
Albertsons Cos., Inc. Class AΔ | 18,043 | 354,725 | ||
Andersons, Inc. (The)Δ | 16,449 | 502,188 | ||
BJ's Wholesale Club Holdings, Inc.Δ* | 101,111 | 4,810,862 | ||
Edgewell Personal Care Co.Δ | 58,550 | 2,570,345 | ||
Fresh Del Monte Produce, Inc.Δ | 16,001 | 526,113 | ||
Honest Co., Inc. (The)Δ* | 18,912 | 306,185 | ||
J&J Snack Foods Corporation | 15,773 | 2,750,969 | ||
Landec Corporation* | 11,463 | 128,959 | ||
Pilgrim’s Pride Corporation* | 4,738 | 105,089 | ||
Post Holdings, Inc.* | 673 | 73,000 | ||
Rite Aid CorporationΔ* | 19,754 | 321,990 | ||
Simply Good Foods Co. (The)* | 60,000 | 2,190,600 | ||
SpartanNash Co.Δ | 28,817 | 556,456 |
Shares | Value | |||
Spectrum Brands Holdings, Inc. | 43,579 | $ 3,705,958 | ||
18,903,439 | ||||
Energy — 2.3% | ||||
Antero Resources Corporation* | 107,527 | 1,616,131 | ||
APA Corporation | 8,744 | 189,133 | ||
Arch Resources, Inc.Δ* | 19,833 | 1,130,084 | ||
Berry Corporation | 33,423 | 224,603 | ||
Bonanza Creek Energy, Inc.Δ | 20,975 | 987,293 | ||
Bristow Group, Inc.* | 6,056 | 155,094 | ||
ChampionX Corporation* | 68,850 | 1,766,003 | ||
Delek US Holdings, Inc. | 56,607 | 1,223,843 | ||
DHT Holdings, Inc. | 87,500 | 567,875 | ||
Dorian LPG, Ltd.* | 26,950 | 380,534 | ||
Earthstone Energy, Inc. Class A* | 75,416 | 834,855 | ||
Exterran Corporation* | 7,625 | 36,295 | ||
International Seaways, Inc.Δ | 28,201 | 540,895 | ||
Nabors Industries, Ltd.Δ* | 2,205 | 251,899 | ||
NCS Multistage Holdings, Inc.* | 1,539 | 46,739 | ||
Newpark Resources, Inc.* | 50,455 | 174,574 | ||
Ovintiv, Inc. | 20,797 | 654,482 | ||
Par Pacific Holdings, Inc.* | 22,501 | 378,467 | ||
Patterson-UTI Energy, Inc. | 132,405 | 1,316,106 | ||
PDC Energy, Inc. | 82,576 | 3,781,155 | ||
Peabody Energy CorporationΔ* | 59,360 | 470,725 | ||
Plains GP Holdings LP Class AΔ* | 23,648 | 282,357 | ||
REX American Resources Corporation* | 4,000 | 360,720 | ||
SFL Corporation, Ltd. | 44,629 | 341,412 | ||
Targa Resources Corporation | 10,027 | 445,700 | ||
World Fuel Services Corporation | 35,867 | 1,138,060 | ||
19,295,034 | ||||
Financials — 15.4% | ||||
1st Source Corporation | 2,553 | 118,612 | ||
Alerus Financial Corporation | 802 | 23,266 | ||
Amalgamated Financial Corporation | 7,301 | 114,115 | ||
A-Mark Precious Metals, Inc.Δ | 7,566 | 351,819 | ||
Amerant Bancorp, Inc.* | 2,245 | 47,998 | ||
American Equity Investment Life Holding Co. | 58,808 | 1,900,675 | ||
American National Bankshares, Inc. | 996 | 30,966 | ||
Ameris Bancorp | 33,589 | 1,700,611 | ||
Argo Group International Holdings, Ltd. | 17,098 | 886,189 | ||
Aspirational Consumer Lifestyle Corporation Class AΔ* | 39,400 | 393,212 | ||
Associated Banc-Corp | 25,388 | 519,946 | ||
Assurant, Inc. | 1,698 | 265,194 | ||
Atlantic Capital Bancshares, Inc.* | 4,370 | 111,260 | ||
Axis Capital Holdings, Ltd. | 49,269 | 2,414,674 | ||
Banc of California, Inc. | 28,553 | 500,820 | ||
Bank First CorporationΔ | 933 | 65,095 | ||
Bank of Marin Bancorp | 3,903 | 124,506 | ||
Bank of Princeton (The) | 700 | 20,069 | ||
BankFinancial Corporation | 633 | 7,242 | ||
BankUnited, Inc. | 48,191 | 2,057,274 | ||
Bankwell Financial Group, Inc. | 2,224 | 61,471 |
Shares | Value | |||
Banner Corporation | 5,563 | $ 301,570 | ||
BayCom CorporationΔ* | 1,431 | 25,686 | ||
BCB Bancorp, Inc. | 4,310 | 57,969 | ||
Blucora, Inc.* | 35,493 | 614,384 | ||
Bridgewater Bancshares, Inc.* | 8,386 | 135,434 | ||
Brighthouse Financial, Inc.* | 10,726 | 488,462 | ||
Bryn Mawr Bank Corporation | 20,153 | 850,255 | ||
Business First Bancshares, Inc. | 937 | 21,504 | ||
Byline Bancorp, Inc. | 8,086 | 182,986 | ||
Cadence BanCorp | 44,730 | 933,962 | ||
Camden National Corporation | 2,422 | 115,675 | ||
Capital Bancorp, Inc.* | 1,020 | 20,859 | ||
Capital City Bank Group, Inc. | 3,249 | 83,792 | ||
Capstar Financial Holdings, Inc. | 7,586 | 155,513 | ||
Carter Bankshares, Inc.* | 4,771 | 59,685 | ||
CBTX, Inc. | 6,076 | 165,936 | ||
Central Pacific Financial Corporation | 20,523 | 534,829 | ||
Central Valley Community Bancorp | 3,819 | 76,953 | ||
Chemung Financial Corporation | 841 | 37,265 | ||
City Holding Co.Δ | 18,110 | 1,362,596 | ||
CNB Financial Corporation | 2,452 | 55,955 | ||
CNO Financial Group, Inc. | 72,911 | 1,722,158 | ||
Community Trust Bancorp, Inc. | 4,965 | 200,487 | ||
Cowen, Inc. Class A | 29,359 | 1,205,187 | ||
Donegal Group, Inc. Class A | 5,357 | 78,051 | ||
Donnelley Financial Solutions, Inc.* | 78,655 | 2,595,615 | ||
Eagle Bancorp Montana, Inc. | 869 | 19,987 | ||
Eagle Bancorp, Inc. | 23,084 | 1,294,551 | ||
Employers Holdings, Inc. | 20,317 | 869,568 | ||
Enova International, Inc.* | 21,308 | 728,947 | ||
Enstar Group, Ltd.* | 1,460 | 348,823 | ||
Enterprise Financial Services Corporation | 27,426 | 1,272,292 | ||
Esquire Financial Holdings, Inc.* | 1,719 | 40,740 | ||
Essent Group, Ltd. | 48,276 | 2,170,006 | ||
Evans Bancorp, Inc. | 515 | 19,106 | ||
Evercore, Inc. Class A | 10,600 | 1,492,162 | ||
EZCORP, Inc. Class AΔ* | 33,756 | 203,549 | ||
FB Financial Corporation | 5,204 | 194,213 | ||
Financial Institutions, Inc. | 7,086 | 212,580 | ||
First American Financial Corporation | 8,703 | 542,632 | ||
First Bancorp | 41,750 | 1,707,992 | ||
First BanCorp | 132,477 | 1,579,126 | ||
First Business Financial Services, Inc. | 1,700 | 46,019 | ||
First Commonwealth Financial Corporation | 19,467 | 273,901 | ||
First Financial BancorpΔ | 76,516 | 1,808,073 | ||
First Financial Corporation | 5,060 | 206,549 | ||
First Foundation, Inc. | 33,749 | 759,690 | ||
First Hawaiian, Inc. | 20,631 | 584,683 | ||
First Internet Bancorp | 2,499 | 77,419 | ||
First Interstate BancSystem, Inc. Class A | 39,569 | 1,655,171 | ||
First Mid Bancshares, Inc.Δ | 7,376 | 298,802 | ||
First Western Financial, Inc.* | 980 | 25,372 | ||
Five Star BancorpΔ* | 5,079 | 122,658 | ||
FNB Corporation | 132,267 | 1,630,852 |
Shares | Value | |||
Focus Financial Partners, Inc. Class A* | 49,100 | $2,381,350 | ||
FS Bancorp, Inc. | 690 | 49,176 | ||
Genworth Financial, Inc. Class A* | 240,265 | 937,033 | ||
Global Indemnity Group LLC Class A | 1,048 | 27,615 | ||
Great Southern Bancorp, Inc. | 3,097 | 166,928 | ||
Great Western Bancorp, Inc. | 41,581 | 1,363,441 | ||
Green Dot Corporation Class A* | 16,883 | 790,969 | ||
Greenlight Capital Re, Ltd. Class AΔ* | 14,919 | 136,210 | ||
Guaranty Bancshares, Inc. | 1,775 | 60,474 | ||
Hamilton Lane, Inc. Class A | 48,221 | 4,393,897 | ||
Hanmi Financial Corporation | 23,541 | 448,691 | ||
HarborOne Bancorp, Inc. | 25,066 | 359,446 | ||
HBT Financial, Inc. | 5,253 | 91,455 | ||
Heartland Financial USA, Inc. | 4,209 | 197,781 | ||
Heritage Financial CorporationΔ | 4,368 | 109,287 | ||
Heritage Insurance Holdings, Inc. | 9,217 | 79,082 | ||
Hilltop Holdings, Inc. | 28,797 | 1,048,211 | ||
Home Bancorp, Inc. | 799 | 30,450 | ||
Home BancShares, Inc. | 73,566 | 1,815,609 | ||
HomeStreet, Inc. | 19,240 | 783,838 | ||
HomeTrust Bancshares, Inc. | 5,932 | 165,503 | ||
Horace Mann Educators Corporation | 2,040 | 76,337 | ||
Independent Bank Corporation | 41,507 | 2,712,925 | ||
Independent Bank Group, Inc.Δ | 55,340 | 4,094,053 | ||
Investar Holding Corporation | 795 | 18,198 | ||
James River Group Holdings, Ltd. | 37,405 | 1,403,436 | ||
Kearny Financial Corporation | 5,401 | 64,542 | ||
Kemper Corporation | 10,143 | 749,568 | ||
Lakeland Bancorp, Inc. | 15,918 | 278,247 | ||
Lakeland Financial Corporation | 5,584 | 344,198 | ||
LendingClub Corporation* | 62,291 | 1,129,336 | ||
LendingTree, Inc.Δ* | 14,000 | 2,966,320 | ||
Level One Bancorp, Inc.Δ | 920 | 25,116 | ||
Luther Burbank Corporation | 1,800 | 21,348 | ||
Macatawa Bank Corporation | 5,951 | 52,071 | ||
Merchants Bancorp | 6,722 | 263,771 | ||
Meridian Corporation | 2,182 | 57,277 | ||
Metropolitan Bank Holding Corporation* | 1,806 | 108,757 | ||
Midland States Bancorp, Inc. | 5,833 | 153,233 | ||
MidWestOne Financial Group, Inc. | 2,974 | 85,562 | ||
MVB Financial Corporation | 27,000 | 1,151,820 | ||
Nicolet Bankshares, Inc.* | 4,151 | 291,981 | ||
NMI Holdings, Inc. Class A* | 69,685 | 1,566,519 | ||
Northeast Bank | 1,500 | 44,805 | ||
Northfield Bancorp, Inc. | 2,850 | 46,740 | ||
Northrim BanCorp, Inc. | 2,640 | 112,860 | ||
OceanFirst Financial Corporation | 1,960 | 40,846 | ||
OFG Bancorp | 29,975 | 663,047 | ||
Old National BancorpΔ | 206,211 | 3,631,376 | ||
Old Second Bancorp, Inc. | 7,304 | 90,570 | ||
OP BancorpΔ | 3,347 | 33,671 | ||
Origin Bancorp, Inc. | 22,669 | 962,526 | ||
Pacific Premier Bancorp, Inc. | 102,031 | 4,314,891 | ||
PCB Bancorp | 1,000 | 16,100 |
Shares | Value | |||
PCSB Financial Corporation | 5,554 | $ 100,916 | ||
Peapack-Gladstone Financial Corporation | 8,906 | 276,709 | ||
PennyMac Financial Services, Inc. | 23,854 | 1,472,269 | ||
Preferred BankΔ | 1,617 | 102,308 | ||
Premier Financial Corporation | 18,669 | 530,386 | ||
Primis Financial Corporation | 8,221 | 125,452 | ||
ProAssurance Corporation | 22,222 | 505,550 | ||
Professional Holding Corporation Class A* | 1,233 | 22,219 | ||
ProSight Global, Inc.* | 33,735 | 430,459 | ||
Provident Financial Services, Inc. | 31,349 | 717,579 | ||
QCR Holdings, Inc. | 14,051 | 675,713 | ||
RBB BancorpΔ | 6,004 | 145,417 | ||
Regional Management Corporation | 4,245 | 197,562 | ||
Reinsurance Group of America, Inc. | 3,396 | 387,144 | ||
Renasant Corporation | 11,112 | 444,480 | ||
Riverview Bancorp, Inc. | 4,112 | 29,154 | ||
RLI Corporation | 10,908 | 1,140,868 | ||
Selective Insurance Group, Inc. | 27,757 | 2,252,481 | ||
Shore Bancshares, Inc.Δ | 2,576 | 43,148 | ||
Sierra Bancorp | 3,346 | 85,156 | ||
Signature Bank | 5,488 | 1,348,127 | ||
SiriusPoint, Ltd.* | 41,275 | 415,639 | ||
SLM Corporation | 12,808 | 268,200 | ||
SmartFinancial, Inc. | 2,579 | 61,922 | ||
South Plains Financial, Inc. | 506 | 11,704 | ||
South State Corporation | 45,678 | 3,734,633 | ||
Southern First Bancshares, Inc.* | 2,265 | 115,877 | ||
Spirit of Texas Bancshares, Inc. | 2,085 | 47,621 | ||
State Auto Financial Corporation | 8,539 | 146,188 | ||
Stewart Information Services Corporation | 18,565 | 1,052,450 | ||
Stifel Financial Corporation | 41,839 | 2,713,678 | ||
StoneX Group, Inc.* | 4,875 | 295,766 | ||
Towne Bank/Portsmouth VA | 34,551 | 1,051,041 | ||
TPG Pace Beneficial Finance Corporation Class AΔ* | 58,900 | 758,043 | ||
TriCo Bancshares | 6,844 | 291,418 | ||
TrustCo Bank Corporation NY | 9,239 | 317,651 | ||
UMB Financial Corporation | 41,901 | 3,899,307 | ||
Umpqua Holdings Corporation | 94,460 | 1,742,787 | ||
United Community Banks, Inc. | 67,290 | 2,153,953 | ||
United Fire Group, Inc. | 9,225 | 255,809 | ||
United Insurance Holdings Corporation | 7,743 | 44,135 | ||
Universal Insurance Holdings, Inc. | 12,829 | 178,067 | ||
Unum Group | 7,206 | 204,650 | ||
Valley National Bancorp | 366,125 | 4,917,059 | ||
Victory Capital Holdings, Inc. Class A | 19,700 | 636,113 | ||
Voya Financial, Inc.Δ | 4,055 | 249,382 | ||
Washington Federal, Inc. | 17,692 | 562,252 | ||
Waterstone Financial, Inc. | 10,189 | 200,316 | ||
WesBanco, Inc. | 50,045 | 1,783,103 | ||
Western New England Bancorp, Inc. | 2,800 | 22,820 |
Shares | Value | |||
WSFS Financial Corporation | 46,860 | $ 2,183,207 | ||
128,339,626 | ||||
Health Care — 16.7% | ||||
ACADIA Pharmaceuticals, Inc.* | 6,694 | 163,267 | ||
Acceleron Pharma, Inc.* | 18,299 | 2,296,341 | ||
Adaptive Biotechnologies Corporation* | 29,500 | 1,205,370 | ||
Addus HomeCare CorporationΔ* | 25,200 | 2,198,448 | ||
Adverum Biotechnologies, Inc.Δ* | 31,496 | 110,236 | ||
Agenus, Inc.* | 30,122 | 165,370 | ||
Agios Pharmaceuticals, Inc.Δ* | 35,606 | 1,962,247 | ||
Akebia Therapeutics, Inc.Δ* | 42,768 | 162,091 | ||
Akero Therapeutics, Inc.Δ* | 3,437 | 85,272 | ||
Albireo Pharma, Inc.Δ* | 2,079 | 73,139 | ||
Aldeyra Therapeutics, Inc.Δ* | 9,550 | 108,201 | ||
Alector, Inc.Δ* | 6,902 | 143,769 | ||
Alexion Pharmaceuticals, Inc.* | 1,173 | 215,492 | ||
Allakos, Inc.Δ* | 1,929 | 164,679 | ||
Allogene Therapeutics, Inc.* | 7,204 | 187,880 | ||
Allovir, Inc.Δ* | 4,906 | 96,844 | ||
Allscripts Healthcare Solutions, Inc.* | 94,398 | 1,747,307 | ||
Alnylam Pharmaceuticals, Inc.* | 1,130 | 191,558 | ||
Altimmune, Inc.* | 13,077 | 128,808 | ||
ALX Oncology Holdings, Inc.Δ* | 3,153 | 172,406 | ||
Amgen, Inc. | 953 | 232,294 | ||
Amicus Therapeutics, Inc.* | 198,196 | 1,910,609 | ||
AnaptysBio, Inc.Δ* | 5,992 | 155,373 | ||
Anavex Life Sciences CorporationΔ* | 11,889 | 271,783 | ||
AngioDynamics, Inc.* | 19,655 | 533,240 | ||
Anika Therapeutics, Inc.* | 1,635 | 70,779 | ||
Annexon, Inc.Δ* | 1,984 | 44,660 | ||
Apellis Pharmaceuticals, Inc.Δ* | 20,039 | 1,266,465 | ||
Applied Genetic Technologies CorporationΔ* | 33,182 | 129,742 | ||
Applied Molecular Transport, Inc.Δ* | 3,324 | 152,040 | ||
Apria, Inc.Δ* | 26,208 | 733,824 | ||
Arcturus Therapeutics Holdings, Inc.Δ* | 5,420 | 183,413 | ||
Arcus Biosciences, Inc.* | 47,903 | 1,315,416 | ||
Arcutis Biotherapeutics, Inc.Δ* | 2,714 | 74,065 | ||
Ardelyx, Inc.Δ* | 20,284 | 153,753 | ||
Arena Pharmaceuticals, Inc.* | 2,864 | 195,325 | ||
Arrowhead Pharmaceuticals, Inc.* | 2,064 | 170,940 | ||
Assertio Holdings, Inc.* | 978 | 1,526 | ||
Atara Biotherapeutics, Inc.* | 11,454 | 178,110 | ||
Athenex, Inc.Δ* | 29,598 | 136,743 | ||
AtriCure, Inc.* | 62,981 | 4,996,283 | ||
Aveanna Healthcare Holdings, Inc.* | 125,900 | 1,557,383 | ||
Avid Bioservices, Inc.* | 5,683 | 145,769 | ||
Avidity Biosciences, Inc.Δ* | 3,578 | 88,412 | ||
Avita Medical, Inc.Δ* | 1,779 | 36,505 | ||
Avrobio, Inc.* | 7,917 | 70,382 | ||
Beam Therapeutics, Inc.Δ* | 2,127 | 273,766 | ||
BioAtla, Inc.Δ* | 1,738 | 73,656 | ||
BioCryst Pharmaceuticals, Inc.Δ* | 11,211 | 177,246 | ||
Biogen, Inc.* | 478 | 165,517 | ||
Biohaven Pharmaceutical Holding Co., Ltd.* | 16,496 | 1,601,432 |
Shares | Value | |||
BioLife Solutions, Inc.* | 25,300 | $1,126,103 | ||
BioMarin Pharmaceutical, Inc.* | 2,334 | 194,749 | ||
Bioxcel Therapeutics, Inc.Δ* | 4,986 | 144,893 | ||
Bluebird Bio, Inc.Δ* | 46,166 | 1,476,389 | ||
Blueprint Medicines Corporation* | 65,622 | 5,772,111 | ||
Bridgebio Pharma, Inc.Δ* | 24,261 | 1,478,951 | ||
C4 Therapeutics, Inc.Δ* | 3,326 | 125,856 | ||
CareDx, Inc.* | 2,005 | 183,498 | ||
Castlight Health, Inc. Class BΔ* | 99,249 | 261,025 | ||
Catalyst Pharmaceuticals, Inc.* | 15,233 | 87,590 | ||
Celldex Therapeutics, Inc.Δ* | 5,568 | 186,194 | ||
CEL-SCI CorporationΔ* | 8,330 | 72,304 | ||
Cerevel Therapeutics Holdings, Inc.Δ* | 3,150 | 80,703 | ||
Certara, Inc.Δ* | 13,300 | 376,789 | ||
ChemoCentryx, Inc.Δ* | 15,264 | 204,385 | ||
Chimerix, Inc.* | 7,454 | 59,632 | ||
Chinook Therapeutics, Inc.* | 1,839 | 25,967 | ||
Clovis Oncology, Inc.Δ* | 32,032 | 185,786 | ||
Codex DNA, Inc.Δ* | 33,900 | 745,800 | ||
Coherus Biosciences, Inc.Δ* | 12,848 | 177,688 | ||
Computer Programs and Systems, Inc. | 6,459 | 214,633 | ||
Concert Pharmaceuticals, Inc.* | 15,809 | 66,714 | ||
CONMED CorporationΔ | 21,645 | 2,974,672 | ||
Constellation Pharmaceuticals, Inc.* | 3,949 | 133,476 | ||
Cortexyme, Inc.Δ* | 2,547 | 134,991 | ||
CryoLife, Inc.Δ* | 67,609 | 1,920,096 | ||
Cue Biopharma, Inc.Δ* | 3,722 | 43,361 | ||
Curis, Inc.Δ* | 23,569 | 190,202 | ||
Cytokinetics, Inc.Δ* | 8,855 | 175,240 | ||
CytomX Therapeutics, Inc.Δ* | 34,366 | 217,537 | ||
Deciphera Pharmaceuticals, Inc.* | 5,311 | 194,436 | ||
Denali Therapeutics, Inc.* | 2,555 | 200,414 | ||
DermTech, Inc.Δ* | 4,608 | 191,555 | ||
Dicerna Pharmaceuticals, Inc.* | 4,930 | 183,988 | ||
Dynavax Technologies CorporationΔ* | 20,157 | 198,546 | ||
Eagle Pharmaceuticals, Inc.* | 1,471 | 62,959 | ||
Editas Medicine, Inc.Δ* | 4,854 | 274,931 | ||
Emergent BioSolutions, Inc.* | 2,978 | 187,584 | ||
Enanta Pharmaceuticals, Inc.* | 5,905 | 259,879 | ||
Epizyme, Inc.Δ* | 16,268 | 135,187 | ||
Esperion Therapeutics, Inc.Δ* | 6,843 | 144,729 | ||
Exact Sciences Corporation* | 1,598 | 198,647 | ||
Exelixis, Inc.* | 8,124 | 148,019 | ||
Fate Therapeutics, Inc.* | 2,139 | 185,644 | ||
FibroGen, Inc.* | 7,029 | 187,182 | ||
Flexion Therapeutics, Inc.Δ* | 12,847 | 105,731 | ||
Forma Therapeutics Holdings, Inc.Δ* | 6,891 | 171,517 | ||
G1 Therapeutics, Inc.Δ* | 8,689 | 190,637 | ||
Generation Bio Co.* | 6,193 | 166,592 | ||
Geron CorporationΔ* | 35,188 | 49,615 | ||
Gilead Sciences, Inc. | 3,283 | 226,067 | ||
Global Blood Therapeutics, Inc.Δ* | 4,515 | 158,115 | ||
Gossamer Bio, Inc.Δ* | 55,905 | 453,949 | ||
Halozyme Therapeutics, Inc.* | 68,374 | 3,104,863 | ||
Harpoon Therapeutics, Inc.* | 4,085 | 56,659 | ||
HealthStream, Inc.* | 11,096 | 310,022 | ||
Heron Therapeutics, Inc.Δ* | 11,925 | 185,076 |
Shares | Value | |||
Homology Medicines, Inc.Δ* | 69,900 | $ 508,173 | ||
Humanigen, Inc.Δ* | 8,955 | 155,638 | ||
IGM Biosciences, Inc.Δ* | 1,820 | 151,424 | ||
ImmunityBio, Inc.Δ* | 12,395 | 177,001 | ||
ImmunoGen, Inc.* | 28,823 | 189,944 | ||
Immunovant, Inc.Δ* | 14,780 | 156,225 | ||
Incyte Corporation* | 2,320 | 195,182 | ||
Innovage Holding Corporation* | 51,900 | 1,105,989 | ||
Inovio Pharmaceuticals, Inc.Δ* | 20,518 | 190,202 | ||
Insmed, Inc.Δ* | 79,143 | 2,252,410 | ||
Inspire Medical Systems, Inc.* | 13,051 | 2,522,236 | ||
Intellia Therapeutics, Inc.Δ* | 2,238 | 362,355 | ||
Intercept Pharmaceuticals, Inc.Δ* | 29,493 | 588,975 | ||
Intra-Cellular Therapies, Inc.* | 60,800 | 2,481,856 | ||
Invacare CorporationΔ* | 26,086 | 210,514 | ||
Invitae CorporationΔ* | 6,073 | 204,842 | ||
Ionis Pharmaceuticals, Inc.* | 4,787 | 190,953 | ||
Iovance Biotherapeutics, Inc.Δ* | 7,798 | 202,904 | ||
Ironwood Pharmaceuticals, Inc.Δ* | 16,545 | 212,934 | ||
IVERIC bio, Inc.Δ* | 6,827 | 43,078 | ||
Kadmon Holdings, Inc.* | 31,325 | 121,228 | ||
KalVista Pharmaceuticals, Inc.Δ* | 4,239 | 101,566 | ||
Karuna Therapeutics, Inc.* | 1,391 | 158,560 | ||
Karyopharm Therapeutics, Inc.Δ* | 17,622 | 181,859 | ||
Keros Therapeutics, Inc.* | 1,814 | 77,041 | ||
Kiniksa Pharmaceuticals, Ltd. Class AΔ* | 7,198 | 100,268 | ||
Kodiak Sciences, Inc.Δ* | 2,243 | 208,599 | ||
Krystal Biotech, Inc.* | 1,664 | 113,152 | ||
Kura Oncology, Inc.Δ* | 8,398 | 175,098 | ||
Kymera Therapeutics, Inc.Δ* | 3,635 | 176,297 | ||
Lannett Co., Inc.Δ* | 40,788 | 190,480 | ||
LHC Group, Inc.* | 11,000 | 2,202,860 | ||
Ligand Pharmaceuticals, Inc.Δ* | 18,371 | 2,410,091 | ||
MacroGenics, Inc.* | 8,610 | 231,265 | ||
Madrigal Pharmaceuticals, Inc.* | 1,799 | 175,241 | ||
MannKind CorporationΔ* | 46,100 | 251,245 | ||
Merit Medical Systems, Inc.* | 44,529 | 2,879,245 | ||
Mersana Therapeutics, Inc.* | 8,295 | 112,646 | ||
MiMedx Group, Inc.Δ* | 6,499 | 81,302 | ||
Mirati Therapeutics, Inc.* | 1,117 | 180,429 | ||
Moderna, Inc.* | 868 | 203,963 | ||
Molina Healthcare, Inc.* | 4,137 | 1,046,909 | ||
Morphic Holding, Inc.* | 2,113 | 121,265 | ||
Myovant Sciences, Ltd.Δ* | 8,090 | 184,209 | ||
Myriad Genetics, Inc.* | 6,441 | 196,966 | ||
NanoString Technologies, Inc.Δ* | 31,000 | 2,008,490 | ||
Natera, Inc.Δ* | 29,382 | 3,335,738 | ||
National HealthCare Corporation | 9,026 | 630,917 | ||
Neoleukin Therapeutics, Inc.* | 2,596 | 23,961 | ||
Neurocrine Biosciences, Inc.Δ* | 1,894 | 184,324 | ||
NexImmune, Inc.Δ* | 24,500 | 399,840 | ||
NextCure, Inc.* | 4,665 | 37,460 | ||
NextGen Healthcare, Inc.* | 7,250 | 120,277 | ||
Nkarta, Inc.Δ* | 3,802 | 120,485 | ||
Novavax, Inc.Δ* | 899 | 190,867 | ||
Nurix Therapeutics, Inc.* | 5,636 | 149,523 | ||
NuVasive, Inc.* | 36,556 | 2,477,766 |
Shares | Value | |||
Ocugen, Inc.Δ* | 29,578 | $ 237,511 | ||
Omnicell, Inc.Δ* | 16,214 | 2,455,610 | ||
OPKO Health, Inc.Δ* | 50,189 | 203,265 | ||
Organogenesis Holdings, Inc.* | 12,351 | 205,274 | ||
ORIC Pharmaceuticals, Inc.Δ* | 3,410 | 60,323 | ||
Orthofix Medical, Inc.* | 6,653 | 266,852 | ||
Outset Medical, Inc.Δ* | 30,600 | 1,529,388 | ||
Passage Bio, Inc.* | 5,059 | 66,981 | ||
Phreesia, Inc.* | 64,400 | 3,947,720 | ||
PMV Pharmaceuticals, Inc.Δ* | 2,384 | 81,437 | ||
Poseida Therapeutics, Inc.Δ* | 10,819 | 108,406 | ||
Precigen, Inc.Δ* | 16,334 | 106,498 | ||
Precision BioSciences, Inc.* | 7,252 | 90,795 | ||
Prelude Therapeutics, Inc.Δ* | 3,509 | 100,463 | ||
Premier, Inc. Class A | 20,726 | 721,058 | ||
Prestige Consumer Healthcare, Inc.* | 55,493 | 2,891,185 | ||
Protagonist Therapeutics, Inc.* | 2,852 | 127,998 | ||
PTC Therapeutics, Inc.Δ* | 76,347 | 3,227,188 | ||
Pulmonx Corporation* | 33,800 | 1,491,256 | ||
Puma Biotechnology, Inc.Δ* | 4,143 | 38,033 | ||
Radius Health, Inc.Δ* | 5,566 | 101,524 | ||
Recro Pharma, Inc.* | 5,800 | 13,398 | ||
Regeneron Pharmaceuticals, Inc.* | 372 | 207,777 | ||
REGENXBIO, Inc.* | 4,509 | 175,175 | ||
Relay Therapeutics, Inc.Δ* | 5,399 | 197,549 | ||
Replimune Group, Inc.* | 4,898 | 188,181 | ||
REVOLUTION Medicines, Inc.Δ* | 5,390 | 171,079 | ||
Rhythm Pharmaceuticals, Inc.Δ* | 6,044 | 118,342 | ||
Rigel Pharmaceuticals, Inc.Δ* | 30,669 | 133,103 | ||
Rocket Pharmaceuticals, Inc.Δ* | 4,024 | 178,223 | ||
Rubius Therapeutics, Inc.Δ* | 6,869 | 167,672 | ||
Sage Therapeutics, Inc.* | 2,306 | 131,004 | ||
Sana Biotechnology, Inc.Δ* | 6,144 | 120,791 | ||
Sangamo Therapeutics, Inc.Δ* | 15,395 | 184,278 | ||
Sarepta Therapeutics, Inc.* | 2,135 | 165,975 | ||
Scholar Rock Holding CorporationΔ* | 5,094 | 147,217 | ||
Seagen, Inc.* | 1,266 | 199,876 | ||
Selecta Biosciences, Inc.* | 73,638 | 307,807 | ||
Seres Therapeutics, Inc.Δ* | 9,090 | 216,796 | ||
Sesen Bio, Inc.Δ* | 44,015 | 203,349 | ||
Shattuck Labs, Inc.Δ* | 1,986 | 57,574 | ||
Shockwave Medical, Inc.* | 27,380 | 5,194,807 | ||
Silk Road Medical, Inc.Δ* | 32,600 | 1,560,236 | ||
Sorrento Therapeutics, Inc.Δ* | 20,708 | 200,660 | ||
Spectrum Pharmaceuticals, Inc.* | 145,490 | 545,587 | ||
Spero Therapeutics, Inc.Δ* | 2,035 | 28,409 | ||
SpringWorks Therapeutics, Inc.* | 2,333 | 192,263 | ||
STAAR Surgical Co.* | 9,000 | 1,372,500 | ||
Stoke Therapeutics, Inc.Δ* | 2,226 | 74,927 | ||
Supernus Pharmaceuticals, Inc.* | 63,005 | 1,939,924 | ||
Sutro Biopharma, Inc.Δ* | 6,574 | 122,211 | ||
Syndax Pharmaceuticals, Inc.* | 9,696 | 166,480 | ||
Tabula Rasa HealthCare, Inc.Δ* | 41,186 | 2,059,300 | ||
Tandem Diabetes Care, Inc.* | 18,800 | 1,831,120 | ||
Tarsus Pharmaceuticals, Inc.Δ* | 36,000 | 1,043,280 | ||
Taysha Gene Therapies, Inc.Δ* | 35,800 | 758,960 | ||
TCR2 Therapeutics, Inc.* | 7,076 | 116,117 |
Shares | Value | |||
TG Therapeutics, Inc.Δ* | 4,998 | $ 193,872 | ||
Theravance Biopharma, Inc.Δ* | 6,451 | 93,669 | ||
Translate Bio, Inc.Δ* | 8,729 | 240,397 | ||
TransMedics Group, Inc.Δ* | 47,350 | 1,571,073 | ||
Travere Therapeutics, Inc.* | 131,383 | 1,916,878 | ||
Turning Point Therapeutics, Inc.* | 2,506 | 195,518 | ||
Twist Bioscience Corporation* | 1,596 | 212,667 | ||
Ultragenyx Pharmaceutical, Inc.Δ* | 26,402 | 2,517,431 | ||
United Therapeutics Corporation* | 1,055 | 189,278 | ||
Vanda Pharmaceuticals, Inc.* | 99,104 | 2,131,727 | ||
Varex Imaging Corporation* | 38,976 | 1,045,336 | ||
Vaxart, Inc.Δ* | 21,656 | 162,203 | ||
Vaxcyte, Inc.Δ* | 3,885 | 87,451 | ||
Veracyte, Inc.* | 5,012 | 200,380 | ||
Verastem, Inc.Δ* | 17,082 | 69,524 | ||
Vericel CorporationΔ* | 3,369 | 176,872 | ||
Vertex Pharmaceuticals, Inc.* | 1,103 | 222,398 | ||
Viking Therapeutics, Inc.Δ* | 12,968 | 77,678 | ||
Vir Biotechnology, Inc.Δ* | 4,033 | 190,680 | ||
Xencor, Inc.* | 3,444 | 118,784 | ||
Y-mAbs Therapeutics, Inc.* | 3,155 | 106,639 | ||
Zentalis Pharmaceuticals, Inc.Δ* | 3,365 | 179,018 | ||
ZIOPHARM Oncology, Inc.Δ* | 28,707 | 75,786 | ||
139,835,292 | ||||
Industrials — 17.2% | ||||
ABM Industries, Inc. | 43,771 | 1,941,244 | ||
Acacia Research CorporationΔ* | 43,913 | 296,852 | ||
ACCO Brands Corporation | 63,854 | 551,060 | ||
ACV Auctions, Inc. Class A* | 56,600 | 1,450,658 | ||
AGCO Corporation | 7,270 | 947,863 | ||
Albany International Corporation Class A | 14,915 | 1,331,313 | ||
Allegiant Travel Co.* | 10,046 | 1,948,924 | ||
AMERCO | 648 | 381,931 | ||
Ameresco, Inc. Class AΔ* | 35,497 | 2,226,372 | ||
Apogee Enterprises, Inc. | 17,769 | 723,731 | ||
Applied Industrial Technologies, Inc. | 25,792 | 2,348,620 | ||
ArcBest Corporation | 18,137 | 1,055,392 | ||
Arcosa, Inc. | 17,568 | 1,031,944 | ||
Argan, Inc. | 5,066 | 242,104 | ||
ASGN, Inc.* | 65,310 | 6,330,498 | ||
Astronics Corporation* | 26,930 | 471,544 | ||
AZEK Co., Inc. (The)* | 81,200 | 3,447,752 | ||
Barnes Group, Inc. | 25,885 | 1,326,606 | ||
Barrett Business Services, Inc. | 11,963 | 868,633 | ||
Beacon Roofing Supply, Inc.* | 30,843 | 1,642,390 | ||
Boise Cascade Co. | 69,853 | 4,075,923 | ||
BrightView Holdings, Inc.* | 89,321 | 1,439,855 | ||
Brink's Co. (The) | 35,934 | 2,761,169 | ||
Builders FirstSource, Inc.* | 50,400 | 2,150,064 | ||
Casella Waste Systems, Inc. Class A* | 74,969 | 4,755,284 | ||
CECO Environmental Corporation* | 54,244 | 388,387 | ||
Charah Solutions, Inc.Δ* | 51,370 | 259,418 | ||
Clean Harbors, Inc.* | 13,000 | 1,210,820 | ||
Colfax CorporationΔ* | 47,879 | 2,193,337 | ||
Columbus McKinnon Corporation | 42,807 | 2,065,010 |
Shares | Value | |||
CoreCivic, Inc. REIT* | 125,472 | $1,313,692 | ||
Cornerstone Building Brands, Inc.* | 56,054 | 1,019,062 | ||
Covenant Logistics Group, Inc.* | 8,793 | 181,839 | ||
Deluxe Corporation | 53,277 | 2,545,042 | ||
Driven Brands Holdings, Inc.Δ* | 70,000 | 2,164,400 | ||
DXP Enterprises, Inc.* | 34,926 | 1,163,036 | ||
Dycom Industries, Inc.Δ* | 23,314 | 1,737,592 | ||
Echo Global Logistics, Inc.* | 15,101 | 464,205 | ||
EMCOR Group, Inc. | 25,263 | 3,112,149 | ||
EnPro Industries, Inc. | 8,512 | 826,941 | ||
ESCO Technologies, Inc. | 14,661 | 1,375,348 | ||
Exponent, Inc. | 17,400 | 1,552,254 | ||
Federal Signal Corporation | 60,711 | 2,442,404 | ||
Genco Shipping & Trading, Ltd.Δ | 31,430 | 593,398 | ||
GMS, Inc.* | 31,681 | 1,525,123 | ||
GP Strategies Corporation* | 389 | 6,115 | ||
Graham CorporationΔ | 20,994 | 288,877 | ||
Healthcare Services Group, Inc.Δ | 20,386 | 643,586 | ||
Hexcel Corporation* | 37,900 | 2,364,960 | ||
Hub Group, Inc. Class A* | 35,282 | 2,327,906 | ||
Hurco Cos., Inc. | 2,783 | 97,405 | ||
Hyster-Yale Materials Handling, Inc. | 9,123 | 665,797 | ||
Interface, Inc. | 64,473 | 986,437 | ||
Kadant, Inc. | 12,673 | 2,231,589 | ||
KAR Auction Services, Inc.Δ* | 114,151 | 2,003,350 | ||
Karat Packaging, Inc.Δ* | 9,324 | 189,930 | ||
KBR, Inc.Δ | 86,935 | 3,316,570 | ||
Kelly Services, Inc. Class A* | 14,315 | 343,131 | ||
Kimball International, Inc. Class B | 32,485 | 427,178 | ||
Korn Ferry | 31,199 | 2,263,487 | ||
L.B. Foster Co. Class A* | 3,547 | 66,116 | ||
LSI Industries, Inc. | 8,205 | 65,722 | ||
Manitowoc Co., Inc. (The)* | 24,540 | 601,230 | ||
ManpowerGroup, Inc. | 3,974 | 472,548 | ||
MasTec, Inc.Δ* | 13,694 | 1,452,933 | ||
Matrix Service Co.* | 14,433 | 151,546 | ||
MRC Global, Inc.* | 69,488 | 653,187 | ||
MYR Group, Inc.* | 40,390 | 3,672,259 | ||
NOW, Inc.* | 92,002 | 873,099 | ||
NV5 Global, Inc.* | 11,131 | 1,051,991 | ||
Orion Group Holdings, Inc.* | 21,388 | 122,981 | ||
Park-Ohio Holdings CorporationΔ | 4,496 | 144,501 | ||
Pitney Bowes, Inc. | 75,015 | 657,882 | ||
Powell Industries, Inc.Δ | 5,276 | 163,292 | ||
Primoris Services Corporation | 23,834 | 701,435 | ||
Proto Labs, Inc.* | 22,700 | 2,083,860 | ||
Quanex Building Products Corporation | 12,296 | 305,433 | ||
R.R. Donnelley & Sons Co.* | 43,993 | 276,276 | ||
Radiant Logistics, Inc.* | 13,267 | 91,940 | ||
Resources Connection, Inc. | 15,108 | 216,951 | ||
Rexnord Corporation | 123,910 | 6,200,456 | ||
Rush Enterprises, Inc. Class A | 2,258 | 97,636 | ||
Ryder System, Inc. | 1,990 | 147,917 | ||
Saia, Inc.* | 5,100 | 1,068,399 | ||
SkyWest, Inc.* | 10,481 | 451,417 |
Shares | Value | |||
Steelcase, Inc. Class A | 65,522 | $ 990,037 | ||
Sun Country Airlines Holdings, Inc.Δ* | 40,900 | 1,513,709 | ||
Tecnoglass, Inc.Δ | 44,164 | 945,110 | ||
Tetra Tech, Inc. | 33,813 | 4,126,538 | ||
Textainer Group Holdings, Ltd.Δ* | 23,428 | 791,164 | ||
Textron, Inc. | 5,718 | 393,227 | ||
Timken Co. (The)Δ | 25,275 | 2,036,912 | ||
Titan Machinery, Inc.* | 1,080 | 33,415 | ||
TriNet Group, Inc.* | 36,900 | 2,674,512 | ||
Triumph Group, Inc.* | 45,136 | 936,572 | ||
TrueBlue, Inc.* | 20,564 | 578,054 | ||
Tutor Perini Corporation* | 38,716 | 536,217 | ||
Upwork, Inc.* | 17,781 | 1,036,454 | ||
US Ecology, Inc.* | 36,130 | 1,355,598 | ||
US Xpress Enterprises, Inc. Class AΔ* | 35,780 | 307,708 | ||
USA Truck, Inc.* | 2,530 | 40,657 | ||
Vectrus, Inc.* | 7,595 | 361,446 | ||
Veritiv Corporation* | 10,355 | 636,004 | ||
Wabash National CorporationΔ | 27,476 | 439,616 | ||
Werner Enterprises, Inc. | 36,911 | 1,643,278 | ||
WESCO International, Inc.* | 38,410 | 3,949,316 | ||
WillScot Mobile Mini Holdings Corporation* | 168,376 | 4,692,639 | ||
143,846,691 | ||||
Information Technology — 14.8% | ||||
ADTRAN, Inc. | 15,399 | 317,989 | ||
Advanced Energy Industries, Inc. | 6,424 | 724,049 | ||
Allegro MicroSystems, Inc.* | 98,800 | 2,736,760 | ||
Alpha & Omega Semiconductor, Ltd.* | 12,195 | 370,606 | ||
Arlo Technologies, Inc.* | 60,391 | 408,847 | ||
Avaya Holdings CorporationΔ* | 53,491 | 1,438,908 | ||
Avnet, Inc. | 71,042 | 2,847,363 | ||
Bel Fuse, Inc. Class B | 4,201 | 60,494 | ||
Belden, Inc. | 39,594 | 2,002,269 | ||
Benchmark Electronics, Inc. | 24,994 | 711,329 | ||
Blackline, Inc.* | 8,763 | 975,059 | ||
Bottomline Technologies de, Inc.* | 31,500 | 1,168,020 | ||
Box, Inc. Class A* | 29,008 | 741,154 | ||
Brooks Automation, Inc. | 47,829 | 4,557,147 | ||
BTRS Holdings, Inc.Δ* | 180,300 | 2,275,386 | ||
CalAmp Corporation* | 4,500 | 57,240 | ||
Cirrus Logic, Inc.* | 4,413 | 375,635 | ||
Coherent, Inc.* | 9,568 | 2,529,205 | ||
Cohu, Inc.* | 70,100 | 2,578,979 | ||
Comtech Telecommunications CorporationΔ | 24,931 | 602,333 | ||
Daktronics, Inc.* | 18,631 | 122,778 | ||
Diebold Nixdorf, Inc.* | 5,040 | 64,714 | ||
DZS, Inc.* | 3,612 | 74,949 | ||
Envestnet, Inc.* | 31,200 | 2,366,832 | ||
EVERTEC, Inc. | 61,232 | 2,672,777 | ||
Evo Payments, Inc. Class A* | 59,800 | 1,658,852 | ||
ExlService Holdings, Inc.* | 53,899 | 5,727,308 | ||
GSI Technology, Inc.Δ* | 2,400 | 13,488 | ||
I3 Verticals, Inc. Class AΔ* | 62,100 | 1,876,662 | ||
IBEX Holdings, Ltd.Δ* | 21,160 | 413,043 |
Shares | Value | |||
Ichor Holdings, Ltd.* | 13,929 | $ 749,380 | ||
II-VI, Inc.Δ* | 85,296 | 6,191,637 | ||
Information Services Group, Inc. | 7,185 | 42,032 | ||
Integral Ad Science Holding Corporation* | 79,000 | 1,625,820 | ||
J2 Global, Inc.Δ* | 25,242 | 3,472,037 | ||
Kimball Electronics, Inc.* | 4,378 | 95,178 | ||
Kulicke & Soffa Industries, Inc. | 66,251 | 4,054,561 | ||
Littelfuse, Inc. | 8,500 | 2,165,715 | ||
MACOM Technology Solutions Holdings, Inc.* | 11,461 | 734,421 | ||
MaxLinear, Inc.* | 58,825 | 2,499,474 | ||
Medallia, Inc.Δ* | 74,300 | 2,507,625 | ||
NeoPhotonics Corporation* | 51,338 | 524,161 | ||
NETGEAR, Inc.* | 56,648 | 2,170,751 | ||
NetScout Systems, Inc.Δ* | 29,957 | 854,973 | ||
New Relic, Inc.* | 33,600 | 2,250,192 | ||
nLight, Inc.Δ* | 49,700 | 1,803,116 | ||
Onto Innovation, Inc.* | 38,600 | 2,819,344 | ||
PC Connection, Inc. | 4,130 | 191,095 | ||
PCTEL, Inc.* | 2,350 | 15,393 | ||
Plantronics, Inc.Δ* | 30,467 | 1,271,388 | ||
Priority Technology Holdings, Inc.Δ* | 116,700 | 891,588 | ||
Q2 Holdings, Inc.* | 62,887 | 6,450,948 | ||
Rapid7, Inc.Δ* | 38,741 | 3,666,061 | ||
Repay Holdings CorporationΔ* | 117,900 | 2,834,316 | ||
Ribbon Communications, Inc.* | 42,290 | 321,827 | ||
Sailpoint Technologies Holdings, Inc.Δ* | 79,000 | 4,034,530 | ||
ScanSource, Inc.* | 8,261 | 232,382 | ||
SecureWorks Corporation Class AΔ* | 6,309 | 116,906 | ||
SEMrush Holdings, Inc. Class A* | 23,000 | 529,460 | ||
Semtech Corporation* | 30,578 | 2,103,766 | ||
Silicon Laboratories, Inc.* | 14,350 | 2,199,138 | ||
Smartsheet, Inc. Class A* | 36,700 | 2,654,144 | ||
Sprout Social, Inc. Class A* | 33,506 | 2,996,107 | ||
Super Micro Computer, Inc.* | 9,183 | 323,058 | ||
Synaptics, Inc.Δ* | 20,700 | 3,220,506 | ||
Synchronoss Technologies, Inc.Δ* | 38,164 | 137,009 | ||
TaskUS, Inc. Class A* | 21,383 | 732,154 | ||
Teradata Corporation* | 64,460 | 3,221,066 | ||
Unisys Corporation* | 22,656 | 573,423 | ||
Varonis Systems, Inc.* | 30,903 | 1,780,631 | ||
Veeco Instruments, Inc.Δ* | 40,596 | 975,928 | ||
Vertex, Inc. Class AΔ* | 55,500 | 1,217,670 | ||
Vonage Holdings Corporation* | 259,600 | 3,740,836 | ||
Xerox Holdings Corporation | 19,257 | 452,347 | ||
123,914,269 | ||||
Materials — 4.0% | ||||
AdvanSix, Inc.* | 20,519 | 612,697 | ||
American Vanguard Corporation | 2,290 | 40,098 | ||
Ashland Global Holdings, Inc. | 5,032 | 440,300 | ||
Avient Corporation | 30,800 | 1,514,128 | ||
Balchem Corporation | 8,592 | 1,127,786 | ||
Clearwater Paper CorporationΔ* | 14,816 | 429,220 | ||
Coeur Mining, Inc.Δ* | 54,762 | 486,287 | ||
Element Solutions, Inc. | 16,949 | 396,268 |
Shares | Value | |||
Ferro Corporation* | 26,726 | $ 576,480 | ||
Graphic Packaging Holding Co. | 214,677 | 3,894,241 | ||
Huntsman Corporation | 7,348 | 194,869 | ||
Kaiser Aluminum Corporation | 21,970 | 2,713,075 | ||
Kraton Corporation* | 14,788 | 477,504 | ||
Minerals Technologies, Inc. | 59,713 | 4,697,622 | ||
Neenah, Inc. | 35,958 | 1,804,013 | ||
O-I Glass, Inc.* | 20,331 | 332,005 | ||
Olin Corporation | 2,066 | 95,573 | ||
Olympic Steel, Inc.Δ | 7,364 | 216,428 | ||
Pactiv Evergreen, Inc.Δ | 130,049 | 1,959,838 | ||
Quaker Chemical CorporationΔ | 9,086 | 2,155,108 | ||
Rayonier Advanced Materials, Inc.* | 6,000 | 40,140 | ||
Ryerson Holding Corporation* | 18,743 | 273,648 | ||
Schnitzer Steel Industries, Inc. Class A | 22,061 | 1,082,092 | ||
Stepan Co. | 7,403 | 890,359 | ||
Summit Materials, Inc. Class A* | 59,288 | 2,066,187 | ||
SunCoke Energy, Inc. | 90,122 | 643,471 | ||
Trinseo SAΔ | 22,878 | 1,369,019 | ||
Verso Corporation Class A | 23,713 | 419,720 | ||
Worthington Industries, Inc. | 44,831 | 2,742,761 | ||
33,690,937 | ||||
Real Estate — 4.7% | ||||
American Assets Trust, Inc. REIT | 43,340 | 1,616,149 | ||
Armada Hoffler Properties, Inc. REIT | 109,636 | 1,457,063 | ||
Brandywine Realty Trust REITΔ | 119,200 | 1,634,232 | ||
Centerspace REIT | 8,889 | 701,342 | ||
CorePoint Lodging, Inc. REIT* | 20,251 | 216,686 | ||
Cousins Properties, Inc. REIT | 38,596 | 1,419,561 | ||
CTO Realty Growth, Inc. REITΔ | 4,739 | 253,631 | ||
DiamondRock Hospitality Co. REIT* | 108,592 | 1,053,342 | ||
EastGroup Properties, Inc. REIT | 14,786 | 2,431,558 | ||
Equity Commonwealth REIT* | 64,280 | 1,684,136 | ||
Forestar Group, Inc.Δ* | 10,462 | 218,760 | ||
Four Corners Property Trust, Inc. REIT | 41,453 | 1,144,517 | ||
Franklin Street Properties Corporation REIT | 37,165 | 195,488 | ||
GEO Group, Inc. (The) REITΔ | 142,943 | 1,017,754 | ||
Getty Realty Corporation REIT | 21,886 | 681,749 | ||
Healthcare Realty Trust, Inc. REIT | 14,274 | 431,075 | ||
Highwoods Properties, Inc. REIT | 15,312 | 691,643 | ||
Industrial Logistics Properties Trust REIT | 9,258 | 242,004 | ||
iStar, Inc. REITΔ | 41,499 | 860,274 | ||
Kennedy-Wilson Holdings, Inc. | 140,834 | 2,798,372 | ||
Kite Realty Group Trust REIT | 122,638 | 2,699,262 | ||
Lexington Realty Trust REITΔ | 150,940 | 1,803,733 | ||
National Health Investors, Inc. REITΔ | 16,068 | 1,077,359 | ||
National Storage Affiliates Trust REIT | 37,698 | 1,906,011 | ||
NETSTREIT Corporation | 14,501 | 334,393 | ||
Pebblebrook Hotel Trust REITΔ | 53,423 | 1,258,112 | ||
Physicians Realty Trust REIT | 129,527 | 2,392,364 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 49,451 | 913,360 |
Shares | Value | |||
PotlatchDeltic Corporation REIT | 21,949 | $ 1,166,589 | ||
Realogy Holdings Corporation* | 79,973 | 1,457,108 | ||
Retail Opportunity Investments Corporation REIT | 8,343 | 147,337 | ||
Retail Value, Inc. REIT | 11,265 | 245,014 | ||
RPT Realty REIT | 107,891 | 1,400,425 | ||
Sabra Health Care REIT, Inc. | 11,663 | 212,267 | ||
Spirit Realty Capital, Inc. REIT | 7,531 | 360,283 | ||
Summit Hotel Properties, Inc. REIT* | 40,921 | 381,793 | ||
Weingarten Realty Investors REIT | 6,746 | 216,344 | ||
Whitestone REIT | 33,354 | 275,171 | ||
38,996,261 | ||||
Utilities — 1.6% | ||||
Black Hills CorporationΔ | 22,830 | 1,498,333 | ||
Hawaiian Electric Industries, Inc. | 4,758 | 201,168 | ||
Northwest Natural Holding Co. | 2,832 | 148,737 | ||
NorthWestern Corporation | 30,561 | 1,840,383 | ||
Portland General Electric Co. | 37,740 | 1,739,059 | ||
South Jersey Industries, Inc.Δ | 97,397 | 2,525,504 | ||
Southwest Gas Holdings, Inc. | 20,847 | 1,379,863 | ||
Spire, Inc.Δ | 26,858 | 1,941,028 | ||
Sunnova Energy International, Inc.Δ* | 38,200 | 1,438,612 | ||
Vistra Corporation | 12,750 | 236,513 | ||
12,949,200 | ||||
Total Common Stocks (Cost $594,059,051) | 785,218,644 | |||
FOREIGN COMMON STOCKS — 2.5% | ||||
Canada — 0.2% | ||||
DIRTT Environmental SolutionsΔ* | 83,216 | 355,749 | ||
Primo Water Corporation | 94,674 | 1,583,896 | ||
VBI Vaccines, Inc.Δ* | 36,772 | 123,186 | ||
2,062,831 | ||||
Ireland — 0.1% | ||||
Alkermes PLC* | 7,484 | 183,508 | ||
GH Research PLC* | 22,200 | 482,406 | ||
Horizon Therapeutics PLC* | 1,951 | 182,691 | ||
Prothena Corporation PLC* | 2,446 | 125,749 | ||
974,354 | ||||
Israel — 0.5% | ||||
Global-e Online, Ltd.Δ* | 25,800 | 1,472,664 | ||
JFrog, Ltd.Δ* | 42,000 | 1,911,840 | ||
Tufin Software Technologies, Ltd.Δ* | 72,300 | 659,376 | ||
4,043,880 | ||||
Jersey — 1.0% | ||||
Mimecast, Ltd.* | 25,813 | 1,369,380 | ||
Quotient, Ltd.Δ* | 168,100 | 611,884 | ||
WNS Holdings, Ltd. ADR* | 74,343 | 5,937,775 | ||
7,919,039 | ||||
Netherlands — 0.2% | ||||
MYT Netherlands Parent BV ADRΔ* | 52,100 | 1,585,403 | ||
uniQure NV* | 5,321 | 163,887 | ||
1,749,290 |
Shares | Value | |||
Sweden — 0.1% | ||||
Loomis AB | 37,338 | $ 1,167,944 | ||
United Kingdom — 0.4% | ||||
Gates Industrial Corporation PLC* | 73,590 | 1,329,771 | ||
LivaNova PLC* | 15,725 | 1,322,630 | ||
Luxfer Holdings PLC | 20,923 | 465,537 | ||
3,117,938 | ||||
Total Foreign Common Stocks (Cost $18,335,591) | 21,035,276 | |||
MASTER LIMITED PARTNERSHIP — 0.5% | ||||
Compass Diversified Holdings | 114,269 | 2,913,860 | ||
Enviva Partners LP | 25,685 | 1,346,151 | ||
Total Master Limited Partnership (Cost $3,220,899) | 4,260,011 | |||
RIGHTS — 0.0% | ||||
Aduro Biotech, Inc.†††Δ* (Cost $—) | 2,714 | — | ||
MONEY MARKET FUNDS — 5.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 26,382,380 | 26,382,380 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 20,470,984 | 20,470,984 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 6,438 | 6,438 | ||
Total Money Market Funds (Cost $46,859,802) | 46,859,802 | |||
TOTAL INVESTMENTS — 102.6% (Cost $662,475,343) | 857,373,733 | |||
Liabilities in Excess of Other Assets — (2.6)% | (21,749,961) | |||
NET ASSETS — 100.0% | $835,623,772 |
% | |
Industrials | 17.6 |
Health Care | 17.1 |
Information Technology | 16.0 |
Financials | 15.4 |
Consumer Discretionary | 12.9 |
Money Market Funds | 5.6 |
Real Estate | 4.7 |
Materials | 4.0 |
Communication Services | 2.5 |
Consumer Staples | 2.5 |
Energy | 2.3 |
Utilities | 1.5 |
Master Limited Partnership | 0.5 |
Rights | — |
102.6 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 09/2021 | 238 | $27,462,820 | $(192,268) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/30/21 | U.S. Dollars | 1,153,262 | Swedish Kronor | 9,818,662 | UBS | $4,930 | ||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $4,930 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $785,218,644 | $785,218,644 | $ — | $ — | |||
Foreign Common Stocks | 21,035,276 | 21,035,276 | — | — | |||
Master Limited Partnership | 4,260,011 | 4,260,011 | — | — | |||
Money Market Funds | 46,859,802 | 46,859,802 | — | — | |||
Rights | — | — | — | —** | |||
Total Assets - Investments in Securities | $857,373,733 | $857,373,733 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 4,930 | $ — | $ 4,930 | $ — | |||
Total Assets - Other Financial Instruments | $ 4,930 | $ — | $ 4,930 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (192,268) | $ (192,268) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (192,268) | $ (192,268) | $ — | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward 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 "Forward Foreign Currency Contracts outstanding" disclosures. |
Shares | Value | |||
COMMON STOCK — 0.0% | ||||
Financials — 0.0% | ||||
Futu Holdings, Ltd. ADRΔ* (Cost $356,167) | 2,522 | $ 451,665 | ||
FOREIGN COMMON STOCKS — 95.0% | ||||
Australia — 6.8% | ||||
Afterpay, Ltd.* | 10,107 | 895,698 | ||
AGL Energy, Ltd. | 36,482 | 224,349 | ||
Ampol, Ltd. | 11,404 | 241,264 | ||
APA Group | 53,822 | 359,238 | ||
ASX, Ltd. | 9,397 | 547,644 | ||
Aurizon Holdings, Ltd. | 137,275 | 382,972 | ||
AusNet Services, Ltd. | 190,626 | 250,180 | ||
Australia & New Zealand Banking Group, Ltd. | 146,614 | 3,095,182 | ||
BHP Group, Ltd. | 146,761 | 5,345,780 | ||
BlueScope Steel, Ltd. | 20,263 | 333,709 | ||
Brambles, Ltd. | 127,137 | 1,090,763 | ||
Cochlear, Ltd. | 3,288 | 620,577 | ||
Coles Group, Ltd. | 75,057 | 961,979 | ||
Commonwealth Bank of Australia | 93,107 | 6,973,482 | ||
Computershare, Ltd. | 24,948 | 316,195 | ||
CSL, Ltd. | 23,582 | 5,043,677 | ||
Dexus REIT | 62,896 | 503,292 | ||
Domino’s Pizza Enterprises, Ltd. | 4,484 | 405,248 | ||
Evolution Mining, Ltd. | 130,246 | 439,551 | ||
Fortescue Metals Group, Ltd. | 82,232 | 1,439,375 | ||
Goodman Group REIT | 95,455 | 1,515,486 | ||
GPT Group (The) REIT | 130,876 | 480,937 | ||
Insurance Australia Group, Ltd. | 109,449 | 423,539 | ||
Lendlease Corporation, Ltd. | 34,784 | 298,949 | ||
Macquarie Group, Ltd. | 18,842 | 2,210,443 | ||
Magellan Financial Group, Ltd.Δ | 5,400 | 218,119 | ||
Medibank Pvt., Ltd. | 94,662 | 224,334 | ||
Mirvac Group REIT | 247,355 | 541,671 | ||
National Australia Bank, Ltd. | 179,315 | 3,525,995 | ||
Newcrest Mining, Ltd. | 36,206 | 686,420 | ||
Northern Star Resources, Ltd. | 45,766 | 335,671 | ||
Orica, Ltd. | 7,637 | 76,059 | ||
Origin Energy, Ltd. | 62,971 | 212,985 | ||
Qantas Airways, Ltd.* | 66,392 | 232,025 | ||
QBE Insurance Group, Ltd. | 71,406 | 577,815 | ||
REA Group, Ltd. | 4,130 | 523,536 | ||
Reece, Ltd. | 18,888 | 334,437 | ||
Rio Tinto, Ltd. | 19,286 | 1,831,662 | ||
Santos, Ltd. | 107,596 | 572,104 | ||
Scentre Group REIT | 252,947 | 519,771 | ||
SEEK, Ltd. | 15,462 | 384,282 | ||
Sonic Healthcare, Ltd. | 25,549 | 735,762 | ||
South32, Ltd. | 201,814 | 443,457 | ||
Stockland REIT | 126,688 | 442,745 | ||
Suncorp Group, Ltd. | 65,156 | 542,876 | ||
Sydney Airport* | 102,461 | 444,907 | ||
Telstra Corporation, Ltd. | 295,063 | 832,022 | ||
Transurban Group | 151,919 | 1,621,248 | ||
Vicinity Centres REIT | 137,781 | 159,643 | ||
Washington H Soul Pattinson & Co., Ltd. | 1,395 | 35,288 |
Shares | Value | |||
Wesfarmers, Ltd. | 67,612 | $ 2,996,702 | ||
Westpac Banking Corporation | 181,250 | 3,508,313 | ||
WiseTech Global, Ltd. | 14,711 | 352,268 | ||
Woodside Petroleum, Ltd. | 43,699 | 727,868 | ||
58,039,494 | ||||
Austria — 0.2% | ||||
Erste Group Bank AG | 19,743 | 724,314 | ||
OMV AGΔ | 10,806 | 614,650 | ||
Raiffeisen Bank International AG | 5,232 | 118,493 | ||
Verbund AGΔ | 5,255 | 483,846 | ||
voestalpine AG | 4,506 | 183,478 | ||
2,124,781 | ||||
Belgium — 0.8% | ||||
Ageas SA/NV | 13,514 | 749,934 | ||
Elia Group SA/NVΔ | 3,556 | 375,271 | ||
Etablissements Franz Colruyt NV | 5,111 | 285,807 | ||
Groupe Bruxelles Lambert SA | 11,620 | 1,299,856 | ||
KBC Group NV | 13,105 | 999,174 | ||
Proximus SADPΔ | 7,723 | 149,176 | ||
Sofina SA | 865 | 373,140 | ||
Solvay SA | 4,910 | 624,122 | ||
UCB SA | 9,658 | 1,009,606 | ||
Umicore SA | 9,507 | 580,556 | ||
6,446,642 | ||||
Denmark — 2.2% | ||||
Ambu A/S Class BΔ | 12,493 | 480,297 | ||
AP Moeller - Maersk A/S Class A | 549 | 1,524,988 | ||
AP Moeller - Maersk A/S Class B | 60 | 172,454 | ||
Chr. Hansen Holding A/SΔ | 9,414 | 849,643 | ||
Coloplast A/S Class B | 9,701 | 1,591,761 | ||
Danske Bank A/S | 52,273 | 919,805 | ||
Demant A/SΔ* | 13,113 | 738,113 | ||
DSV Panalpina A/S | 11,994 | 2,797,086 | ||
Genmab A/S* | 4,030 | 1,648,950 | ||
GN Store Nord A/S | 11,286 | 985,843 | ||
Novozymes A/S, B SharesΔ | 15,803 | 1,191,162 | ||
Orsted A/S 144AΔ | 10,730 | 1,505,665 | ||
Pandora A/S | 9,048 | 1,216,259 | ||
Tryg A/SΔ | 31,293 | 768,197 | ||
Vestas Wind Systems A/S | 61,690 | 2,408,086 | ||
18,798,309 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 431,332 | ||
Fortum OYJ | 22,487 | 620,204 | ||
Kesko OYJ, B Shares | 12,949 | 478,286 | ||
Kone OYJ Class B | 17,941 | 1,463,620 | ||
Neste OYJ | 18,827 | 1,152,817 | ||
Nokia OYJ* | 280,201 | 1,500,268 | ||
Nordea Bank Abp | 175,028 | 1,948,255 | ||
Orion OYJ Class B | 7,634 | 328,136 | ||
Sampo OYJ, A Shares | 19,367 | 890,101 | ||
Stora Enso OYJ, R Shares | 22,882 | 417,431 | ||
UPM-Kymmene OYJ | 27,891 | 1,054,989 |
Shares | Value | |||
Wartsila OYJ Abp | 14,669 | $ 217,683 | ||
10,503,122 | ||||
France — 10.2% | ||||
Accor SA* | 16,778 | 626,478 | ||
Aeroports de ParisΔ* | 2,564 | 333,973 | ||
Air Liquide SA | 24,987 | 4,374,921 | ||
Alstom SA* | 13,424 | 677,927 | ||
Amundi SA 144A | 3,229 | 284,670 | ||
Arkema SA | 2,715 | 340,603 | ||
Atos SE | 4,922 | 299,400 | ||
AXA SA | 94,288 | 2,390,886 | ||
BioMerieux | 1,757 | 204,170 | ||
BNP Paribas SA | 58,384 | 3,660,129 | ||
Bollore SA | 53,876 | 288,753 | ||
Bouygues SA | 11,283 | 417,285 | ||
Bureau Veritas SA* | 15,449 | 488,742 | ||
Capgemini SE | 7,893 | 1,516,178 | ||
Carrefour SA | 29,587 | 581,848 | ||
Cie de St-Gobain | 26,241 | 1,728,142 | ||
Cie Generale des Etablissements Michelin SCA | 9,675 | 1,543,002 | ||
CNP Assurances | 6,718 | 114,310 | ||
Covivio REIT | 3,117 | 266,554 | ||
Credit Agricole SA | 66,291 | 928,634 | ||
Danone SA | 35,410 | 2,492,793 | ||
Dassault Aviation SA | 92 | 108,216 | ||
Dassault Systemes SA | 7,719 | 1,871,749 | ||
Edenred | 13,754 | 783,638 | ||
Eiffage SA | 4,139 | 421,091 | ||
Electricite de France SA | 31,565 | 431,173 | ||
Engie SA | 92,715 | 1,270,210 | ||
EssilorLuxottica SAΔ | 19,793 | 3,652,801 | ||
Eurazeo SE | 3,083 | 268,692 | ||
Eurofins Scientific SE* | 8,920 | 1,019,612 | ||
Faurecia SE | 6,099 | 299,044 | ||
Gecina SA REIT | 2,894 | 443,358 | ||
Getlink SEΔ | 33,090 | 515,960 | ||
Hermes International | 2,758 | 4,017,562 | ||
Iliad SA | 1,222 | 178,805 | ||
Ipsen SA | 3,144 | 327,020 | ||
Kering SA | 4,361 | 3,811,069 | ||
Klepierre REIT | 14,221 | 366,423 | ||
L’Oreal SA | 13,788 | 6,144,000 | ||
Legrand SA | 15,012 | 1,588,871 | ||
Natixis SA | 54,091 | 256,554 | ||
Orange SA | 111,352 | 1,269,523 | ||
Orpea SA* | 3,616 | 459,853 | ||
Publicis Groupe SA | 15,079 | 964,443 | ||
Renault SA* | 7,966 | 321,956 | ||
Safran SA | 18,390 | 2,549,551 | ||
Sanofi | 63,339 | 6,636,210 | ||
Sartorius Stedim Biotech | 1,344 | 635,706 | ||
Schneider Electric SE | 26,102 | 4,106,506 | ||
SCOR SEΔ* | 8,564 | 272,351 | ||
SEB SA | 1,871 | 338,105 | ||
Societe Generale SA | 43,102 | 1,270,550 | ||
Sodexo SA* | 8,013 | 747,761 |
Shares | Value | |||
Suez SAΔ* | 19,394 | $ 461,079 | ||
Teleperformance | 2,675 | 1,085,735 | ||
Thales SA | 9,455 | 964,617 | ||
TotalEnergies SEΔ | 123,953 | 5,607,918 | ||
Ubisoft Entertainment SA* | 5,285 | 369,985 | ||
Unibail-Rodamco-Westfield CDI* | 10,140 | 43,194 | ||
Unibail-Rodamco-Westfield REITΔ* | 6,095 | 527,509 | ||
ValeoΔ | 12,169 | 366,074 | ||
Veolia Environnement SA | 34,427 | 1,039,732 | ||
Vinci SA | 28,120 | 3,000,563 | ||
Vivendi SEΔ | 34,973 | 1,174,824 | ||
Wendel SE | 1,720 | 231,278 | ||
Worldline SA 144A* | 13,200 | 1,235,561 | ||
87,015,830 | ||||
Germany — 8.3% | ||||
adidas AG | 9,870 | 3,673,683 | ||
Allianz SE | 22,124 | 5,516,913 | ||
Aroundtown SA | 49,132 | 383,339 | ||
BASF SE | 48,834 | 3,847,203 | ||
Bayerische Motoren Werke AG | 21,129 | 2,237,547 | ||
Bechtle AG | 1,294 | 240,358 | ||
Beiersdorf AG | 7,547 | 910,546 | ||
Brenntag SE | 7,869 | 731,711 | ||
Carl Zeiss Meditec AG | 1,414 | 273,210 | ||
Commerzbank AG* | 39,511 | 280,258 | ||
Continental AG | 4,960 | 729,166 | ||
Covestro AG 144A | 8,920 | 576,017 | ||
Daimler AG | 43,870 | 3,917,020 | ||
Delivery Hero SE 144A* | 6,459 | 853,186 | ||
Deutsche Bank AG* | 96,500 | 1,257,072 | ||
Deutsche Boerse AG | 8,824 | 1,540,162 | ||
Deutsche Lufthansa AG* | 24,903 | 280,228 | ||
Deutsche Post AG | 49,141 | 3,342,307 | ||
Deutsche Telekom AG | 179,835 | 3,798,220 | ||
Deutsche Wohnen SE | 14,763 | 902,920 | ||
E.ON SE | 119,749 | 1,384,994 | ||
Evonik Industries AG | 13,302 | 446,056 | ||
Fresenius Medical Care AG & Co. KGaA | 8,805 | 731,255 | ||
Fresenius SE & Co. KGaA | 22,478 | 1,172,612 | ||
GEA Group AG | 7,555 | 306,017 | ||
Hannover Rueck SE | 3,483 | 582,738 | ||
HeidelbergCement AG | 7,836 | 672,150 | ||
HelloFresh SE* | 7,006 | 681,038 | ||
Henkel AG & Co. KGaA | 5,135 | 472,797 | ||
Infineon Technologies AG | 62,506 | 2,506,620 | ||
KION Group AG | 3,513 | 374,399 | ||
Knorr-Bremse AG | 3,578 | 411,533 | ||
LANXESS AG | 3,845 | 263,613 | ||
LEG Immobilien SE | 2,998 | 431,740 | ||
MTU Aero Engines AG | 2,932 | 726,266 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 6,780 | 1,856,696 | ||
Nemetschek SE | 2,312 | 176,879 | ||
Puma SE | 8,422 | 1,004,131 | ||
Rational AG | 243 | 220,137 |
Shares | Value | |||
RWE AG | 29,703 | $ 1,076,333 | ||
SAP SE | 52,766 | 7,435,497 | ||
Scout24 AG 144A | 3,290 | 277,447 | ||
Siemens AG | 37,926 | 6,008,993 | ||
Siemens Energy AG* | 18,963 | 571,578 | ||
Siemens Healthineers AG 144A | 17,555 | 1,075,763 | ||
Symrise AG | 6,729 | 937,522 | ||
TeamViewer AG 144A* | 8,356 | 314,286 | ||
Telefonica Deutschland Holding AG | 56,298 | 148,531 | ||
Volkswagen AG | 1,702 | 558,623 | ||
Vonovia SE | 27,917 | 1,804,753 | ||
Zalando SE 144A* | 10,454 | 1,263,755 | ||
71,185,818 | ||||
Hong Kong — 3.0% | ||||
AIA Group, Ltd. | 604,400 | 7,511,894 | ||
Bank of East Asia, Ltd. (The) | 70,050 | 130,098 | ||
BOC Hong Kong Holdings, Ltd. | 203,500 | 690,626 | ||
Chow Tai Fook Jewellery Group, Ltd. | 171,800 | 392,532 | ||
CK Asset Holdings, Ltd. | 97,557 | 673,474 | ||
CK Hutchison Holdings, Ltd. | 149,000 | 1,161,019 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 208,712 | ||
CLP Holdings, Ltd. | 91,000 | 900,120 | ||
ESR Cayman, Ltd. 144A* | 109,800 | 370,511 | ||
Hang Lung Properties, Ltd.Δ | 117,000 | 284,201 | ||
Hang Seng Bank, Ltd. | 44,300 | 884,939 | ||
Henderson Land Development Co., Ltd. | 67,275 | 318,859 | ||
HKT Trust & HKT, Ltd. | 253,000 | 344,750 | ||
Hong Kong & China Gas Co., Ltd. | 669,138 | 1,039,347 | ||
Hong Kong Exchanges and Clearing, Ltd. | 56,297 | 3,355,647 | ||
Link REIT | 125,610 | 1,217,386 | ||
MTR Corporation, Ltd. | 93,963 | 523,408 | ||
New World Development Co., Ltd. | 79,466 | 412,974 | ||
Power Assets Holdings, Ltd. | 77,000 | 472,554 | ||
Sino Land Co., Ltd. | 292,958 | 461,833 | ||
Sun Hung Kai Properties, Ltd. | 65,000 | 968,600 | ||
Swire Pacific, Ltd. Class A | 22,500 | 152,573 | ||
Swire Properties, Ltd. | 63,800 | 190,226 | ||
Techtronic Industries Co., Ltd. | 73,000 | 1,274,912 | ||
WH Group, Ltd. 144A | 557,000 | 500,735 | ||
Wharf Real Estate Investment Co., Ltd. | 109,000 | 633,843 | ||
Xinyi Glass Holdings, Ltd. | 96,000 | 391,330 | ||
25,467,103 | ||||
Ireland — 0.7% | ||||
CRH PLC | 39,610 | 1,996,121 | ||
DCC PLC | 5,616 | 459,747 | ||
James Hardie Industries PLC CDI | 26,392 | 896,015 | ||
Kerry Group PLC Class A | 8,753 | 1,222,631 | ||
Kingspan Group PLC | 7,807 | 737,239 | ||
Smurfit Kappa Group PLC | 17,166 | 931,222 | ||
6,242,975 | ||||
Israel — 0.5% | ||||
Azrieli Group, Ltd. | 1,239 | 87,220 | ||
Bank Hapoalim BM* | 48,532 | 389,429 |
Shares | Value | |||
Bank Leumi Le-Israel BM* | 65,831 | $ 499,969 | ||
Check Point Software Technologies, Ltd.* | 4,629 | 537,566 | ||
CyberArk Software, Ltd.* | 2,381 | 310,173 | ||
Elbit Systems, Ltd. | 1,618 | 209,437 | ||
ICL Group, Ltd. | 976 | 6,619 | ||
Israel Discount Bank, Ltd. Class A* | 52,953 | 252,084 | ||
Nice, Ltd.* | 2,756 | 673,075 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 51,301 | 507,880 | ||
Wix.com, Ltd.* | 2,346 | 680,997 | ||
4,154,449 | ||||
Italy — 1.8% | ||||
Amplifon SpA | 5,903 | 291,459 | ||
Assicurazioni Generali SpA | 40,263 | 807,076 | ||
Atlantia SpA* | 29,878 | 540,983 | ||
DiaSorin SpAΔ | 692 | 130,876 | ||
Enel SpA | 393,766 | 3,656,824 | ||
Eni SpA | 112,690 | 1,372,300 | ||
FinecoBank Banca Fineco SpA* | 27,715 | 483,087 | ||
Infrastrutture Wireless Italiane SpA 144AΔ | 26,318 | 296,837 | ||
Intesa Sanpaolo SpA | 725,698 | 2,004,527 | ||
Mediobanca Banca di Credito Finanziario SpA* | 21,353 | 249,395 | ||
Moncler SpA | 14,899 | 1,008,050 | ||
Nexi SpA 144A* | 24,702 | 542,165 | ||
Poste Italiane SpA 144AΔ | 25,999 | 343,736 | ||
Prysmian SpA | 8,844 | 317,015 | ||
Recordati Industria Chimica e Farmaceutica SpA | 7,624 | 435,736 | ||
Snam SpAΔ | 106,584 | 616,112 | ||
Telecom Italia SpAΔ | 623,814 | 309,855 | ||
Terna Rete Elettrica Nazionale SpA | 90,920 | 677,468 | ||
UniCredit SpA | 99,177 | 1,170,111 | ||
15,253,612 | ||||
Japan — 22.3% | ||||
ABC-Mart, Inc. | 100 | 5,734 | ||
Acom Co., Ltd. | 3,200 | 13,941 | ||
Advantest Corporation | 10,700 | 964,103 | ||
Aeon Co., Ltd. | 30,800 | 827,562 | ||
AGC, Inc. | 7,200 | 302,012 | ||
Aisin CorporationΔ | 5,800 | 247,986 | ||
Ajinomoto Co., Inc. | 31,600 | 820,329 | ||
ANA Holdings, Inc.* | 7,400 | 173,984 | ||
Asahi Intecc Co., Ltd. | 7,400 | 176,915 | ||
Asahi Kasei Corporation | 73,700 | 809,675 | ||
Astellas Pharma, Inc. | 106,900 | 1,861,452 | ||
Azbil Corporation | 5,900 | 244,561 | ||
Bandai Namco Holdings, Inc.Δ | 9,100 | 631,377 | ||
Bridgestone Corporation | 31,400 | 1,428,750 | ||
Brother Industries, Ltd. | 11,600 | 231,488 | ||
Canon, Inc. | 47,800 | 1,081,249 | ||
Capcom Co., Ltd. | 8,400 | 245,736 | ||
Casio Computer Co., Ltd. | 10,000 | 167,154 | ||
Central Japan Railway Co. | 7,300 | 1,107,206 | ||
Chubu Electric Power Co., Inc. | 38,800 | 474,282 |
Shares | Value | |||
Chugai Pharmaceutical Co., Ltd. | 42,000 | $1,664,197 | ||
Concordia Financial Group, Ltd. | 10,800 | 39,566 | ||
CyberAgent, Inc. | 22,800 | 489,473 | ||
Dai Nippon Printing Co., Ltd. | 10,500 | 222,013 | ||
Daifuku Co., Ltd. | 4,700 | 426,869 | ||
Dai-ichi Life Holdings, Inc. | 47,600 | 871,492 | ||
Daiichi Sankyo Co., Ltd. | 96,700 | 2,084,236 | ||
Daikin Industries, Ltd. | 11,900 | 2,216,220 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 382,781 | ||
Daiwa House Industry Co., Ltd. | 24,600 | 738,476 | ||
Daiwa House REIT Investment Corporation | 101 | 297,741 | ||
Daiwa Securities Group, Inc. | 49,000 | 269,093 | ||
Denso Corporation | 21,400 | 1,459,927 | ||
Dentsu Group, Inc. | 10,700 | 382,848 | ||
Disco Corporation | 1,500 | 458,391 | ||
East Japan Railway Co. | 17,000 | 1,213,007 | ||
Eisai Co., Ltd. | 18,700 | 1,838,944 | ||
ENEOS Holdings, Inc. | 137,150 | 573,933 | ||
FANUC Corporation | 8,900 | 2,146,591 | ||
Fast Retailing Co., Ltd. | 2,900 | 2,183,060 | ||
Fuji Electric Co., Ltd. | 2,700 | 126,135 | ||
FUJIFILM Holdings Corporation | 21,200 | 1,572,229 | ||
Fujitsu, Ltd. | 8,800 | 1,647,599 | ||
GLP J-REIT | 117 | 201,784 | ||
GMO Payment Gateway, Inc. | 1,900 | 247,473 | ||
Hakuhodo DY Holdings, Inc. | 7,900 | 122,594 | ||
Hamamatsu Photonics KK | 6,400 | 385,976 | ||
Hankyu Hanshin Holdings, Inc. | 13,100 | 403,866 | ||
Hikari Tsushin, Inc. | 1,200 | 210,739 | ||
Hino Motors, Ltd. | 18,000 | 158,297 | ||
Hirose Electric Co., Ltd. | 605 | 88,494 | ||
Hisamitsu Pharmaceutical Co., Inc.Δ | 3,300 | 162,483 | ||
Hitachi Metals, Ltd.* | 2,000 | 38,238 | ||
Hitachi, Ltd. | 45,600 | 2,610,933 | ||
Honda Motor Co., Ltd. | 82,400 | 2,633,062 | ||
Hoshizaki Corporation | 2,100 | 178,442 | ||
Hoya Corporation | 18,800 | 2,492,677 | ||
Ibiden Co., Ltd. | 1,800 | 97,052 | ||
Idemitsu Kosan Co., Ltd. | 8,736 | 210,979 | ||
Iida Group Holdings Co., Ltd. | 2,500 | 64,359 | ||
Inpex Corporation | 43,600 | 325,347 | ||
Isuzu Motors, Ltd. | 18,100 | 239,009 | ||
Ito En, Ltd. | 16,200 | 960,961 | ||
ITOCHU Corporation | 55,600 | 1,601,512 | ||
Japan Airlines Co., Ltd.* | 6,100 | 131,834 | ||
Japan Exchange Group, Inc. | 24,800 | 551,384 | ||
Japan Metropolitan Fund Invest REIT | 228 | 247,097 | ||
Japan Post Bank Co., Ltd. | 34,300 | 288,059 | ||
Japan Post Holdings Co., Ltd.* | 72,100 | 590,779 | ||
Japan Post Insurance Co., Ltd. | 12,400 | 229,260 | ||
Japan Real Estate Investment Corporation REITΔ | 46 | 282,803 | ||
JFE Holdings, Inc.Δ | 23,900 | 279,886 | ||
JSR Corporation | 2,200 | 66,538 | ||
Kajima Corporation | 17,500 | 221,635 | ||
Kakaku.com, Inc. | 3,900 | 117,778 | ||
Kansai Electric Power Co., Inc. (The) | 34,300 | 327,115 |
Shares | Value | |||
Kansai Paint Co., Ltd. | 1,400 | $ 35,676 | ||
Kao Corporation | 24,200 | 1,488,879 | ||
KDDI Corporation | 80,200 | 2,501,400 | ||
Keio Corporation | 7,300 | 429,083 | ||
Keisei Electric Railway Co., Ltd. | 5,400 | 172,312 | ||
Keyence Corporation | 9,500 | 4,794,680 | ||
Kikkoman Corporation | 9,000 | 593,816 | ||
Kintetsu Group Holdings Co., Ltd.* | 11,300 | 396,688 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 196,471 | ||
Kobe Bussan Co., Ltd. | 11,500 | 362,303 | ||
Koito Manufacturing Co., Ltd. | 4,300 | 267,456 | ||
Komatsu, Ltd. | 48,600 | 1,207,618 | ||
Konami Holdings CorporationΔ | 5,500 | 330,213 | ||
Kose Corporation | 1,400 | 220,280 | ||
Kubota Corporation | 49,500 | 1,001,184 | ||
KuritaWater Industries, Ltd. | 900 | 43,179 | ||
Kyocera Corporation | 16,300 | 1,007,682 | ||
Kyowa Kirin Co., Ltd. | 18,400 | 652,559 | ||
Lasertec Corporation | 4,200 | 816,220 | ||
Lawson, Inc. | 3,900 | 180,440 | ||
Lion CorporationΔ | 11,600 | 196,509 | ||
Lixil Corporation | 11,900 | 307,743 | ||
M3, Inc. | 20,000 | 1,460,552 | ||
Makita Corporation | 7,900 | 371,907 | ||
Marubeni Corporation | 64,200 | 558,294 | ||
Mazda Motor Corporation* | 20,700 | 194,525 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 8,800 | 388,136 | ||
Medipal Holdings Corporation | 4,500 | 85,953 | ||
MEIJI Holdings Co., Ltd. | 8,000 | 478,869 | ||
Mercari, Inc.Δ* | 6,500 | 345,200 | ||
MINEBEA MITSUMI, Inc. | 13,700 | 362,431 | ||
MISUMI Group, Inc. | 9,900 | 335,065 | ||
Mitsubishi Chemical Holdings Corporation | 60,200 | 505,844 | ||
Mitsubishi Corporation | 66,600 | 1,815,246 | ||
Mitsubishi Electric Corporation | 82,100 | 1,191,649 | ||
Mitsubishi Estate Co., Ltd. | 63,800 | 1,031,700 | ||
Mitsubishi Gas Chemical Co., Inc. | 5,500 | 116,639 | ||
Mitsubishi HC Capital, Inc.Δ | 38,900 | 208,340 | ||
Mitsubishi Heavy Industries, Ltd. | 13,700 | 403,126 | ||
Mitsubishi UFJ Financial Group, Inc. | 618,900 | 3,343,102 | ||
Mitsui & Co., Ltd. | 81,900 | 1,843,386 | ||
Mitsui Chemicals, Inc. | 9,400 | 324,488 | ||
Mitsui Fudosan Co., Ltd. | 55,400 | 1,283,084 | ||
Mizuho Financial Group, Inc. | 118,790 | 1,697,458 | ||
MonotaRO Co., Ltd.Δ | 8,000 | 189,387 | ||
MS&AD Insurance Group Holdings, Inc. | 24,300 | 701,691 | ||
Murata Manufacturing Co., Ltd. | 27,700 | 2,114,869 | ||
Nabtesco Corporation | 3,800 | 143,661 | ||
NEC Corporation | 9,300 | 478,833 | ||
Nexon Co., Ltd. | 23,400 | 521,521 | ||
NH Foods, Ltd. | 6,500 | 252,757 | ||
Nidec Corporation | 20,800 | 2,410,550 | ||
Nihon M&A Center, Inc. | 10,800 | 280,074 | ||
Nintendo Co., Ltd. | 5,300 | 3,082,821 | ||
Nippon Building Fund, Inc. REIT | 69 | 430,415 |
Shares | Value | |||
Nippon Express Co., Ltd. | 4,000 | $ 304,604 | ||
Nippon Paint Holdings Co., Ltd.Δ | 29,500 | 400,432 | ||
Nippon Prologis REIT, Inc. | 121 | 385,017 | ||
Nippon Sanso Holdings Corporation | 8,800 | 180,365 | ||
Nippon Shinyaku Co., Ltd.Δ | 3,000 | 237,905 | ||
Nippon Steel CorporationΔ | 35,900 | 605,416 | ||
Nippon Telegraph & Telephone Corporation | 61,300 | 1,597,127 | ||
Nippon Yusen KK | 8,500 | 430,757 | ||
Nissan Chemical Corporation | 5,900 | 288,906 | ||
Nissan Motor Co., Ltd.* | 106,800 | 529,986 | ||
Nisshin Seifun Group, Inc. | 15,300 | 223,795 | ||
Nissin Foods Holdings Co., Ltd.Δ | 4,300 | 309,645 | ||
Nitori Holdings Co., Ltd. | 4,000 | 707,863 | ||
Nitto Denko Corporation | 7,100 | 529,808 | ||
Nomura Holdings, Inc. | 160,800 | 821,839 | ||
Nomura Real Estate Holdings, Inc. | 11,400 | 289,169 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 294,976 | ||
Nomura Research Institute, Ltd. | 17,157 | 567,550 | ||
NTT Data Corporation | 29,300 | 457,058 | ||
Obayashi CorporationΔ | 26,400 | 209,831 | ||
Obic Co., Ltd. | 3,600 | 671,101 | ||
Odakyu Electric Railway Co., Ltd.Δ | 15,900 | 401,597 | ||
Oji Holdings Corporation | 31,000 | 178,028 | ||
Olympus Corporation | 54,000 | 1,073,244 | ||
Omron Corporation | 8,300 | 658,202 | ||
Ono Pharmaceutical Co., Ltd. | 28,900 | 644,881 | ||
Oracle Corporation | 700 | 53,558 | ||
Oriental Land Co., Ltd. | 11,700 | 1,667,141 | ||
ORIX Corporation | 60,200 | 1,015,751 | ||
Orix JREIT, Inc. | 119 | 229,013 | ||
Osaka Gas Co., Ltd. | 14,000 | 260,732 | ||
Otsuka Corporation | 6,900 | 362,096 | ||
Otsuka Holdings Co., Ltd. | 33,500 | 1,389,212 | ||
Pan Pacific International Holdings CorporationΔ | 26,100 | 541,758 | ||
Panasonic Corporation | 112,600 | 1,302,915 | ||
PeptiDream, Inc.* | 5,900 | 289,437 | ||
Persol Holdings Co., Ltd. | 9,400 | 185,724 | ||
Pigeon Corporation | 6,500 | 183,132 | ||
Pola Orbis Holdings, Inc. | 7,300 | 192,792 | ||
Rakuten, Inc. | 35,400 | 399,582 | ||
Recruit Holdings Co., Ltd. | 64,500 | 3,175,795 | ||
Renesas Electronics Corporation* | 60,600 | 655,120 | ||
Resona Holdings, Inc. | 92,600 | 356,080 | ||
Ricoh Co., Ltd. | 26,200 | 294,085 | ||
Rinnai Corporation | 1,300 | 123,687 | ||
Rohm Co., Ltd. | 3,100 | 286,575 | ||
Ryohin Keikaku Co., Ltd. | 11,000 | 230,703 | ||
Santen Pharmaceutical Co., Ltd. | 18,600 | 256,159 | ||
SBI Holdings, Inc. | 9,400 | 222,361 | ||
Secom Co., Ltd. | 11,500 | 874,081 | ||
Seiko Epson Corporation | 17,200 | 302,523 | ||
Sekisui Chemical Co., Ltd. | 16,800 | 287,170 | ||
Sekisui House, Ltd. | 31,600 | 648,099 | ||
Seven & i Holdings Co., Ltd. | 40,100 | 1,911,965 | ||
SG Holdings Co., Ltd. | 8,800 | 230,743 |
Shares | Value | |||
Sharp CorporationΔ | 9,500 | $ 156,744 | ||
Shimadzu Corporation | 11,300 | 436,865 | ||
Shimano, Inc. | 3,200 | 758,990 | ||
Shimizu CorporationΔ | 26,800 | 205,532 | ||
Shin-Etsu Chemical Co., Ltd.Δ | 16,900 | 2,826,428 | ||
Shionogi & Co., Ltd.Δ | 20,700 | 1,079,020 | ||
Shiseido Co., Ltd. | 20,800 | 1,529,833 | ||
SMC Corporation | 2,700 | 1,595,526 | ||
SoftBank Corporation | 130,600 | 1,708,692 | ||
SoftBank Group Corporation | 60,900 | 4,262,096 | ||
Sohgo Security Services Co., Ltd. | 600 | 27,328 | ||
Sompo Holdings, Inc. | 13,400 | 495,255 | ||
Sony Corporation | 61,300 | 5,967,501 | ||
Square Enix Holdings Co., Ltd. | 4,200 | 208,308 | ||
Subaru Corporation | 30,200 | 595,736 | ||
SUMCO CorporationΔ | 14,200 | 348,306 | ||
Sumitomo Chemical Co., Ltd. | 51,000 | 270,390 | ||
Sumitomo Corporation | 51,900 | 695,146 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 12,500 | 261,938 | ||
Sumitomo Electric Industries, Ltd. | 34,000 | 501,607 | ||
Sumitomo Metal Mining Co., Ltd.Δ | 9,900 | 385,413 | ||
Sumitomo Mitsui Financial Group, Inc. | 70,100 | 2,416,697 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 13,800 | 438,241 | ||
Sumitomo Realty & Development Co., Ltd. | 22,000 | 786,174 | ||
Suntory Beverage & Food, Ltd. | 31,200 | 1,173,914 | ||
Suzuki Motor Corporation | 22,300 | 943,628 | ||
Sysmex Corporation | 7,300 | 867,366 | ||
T&D Holdings, Inc. | 22,500 | 290,832 | ||
Taisei Corporation | 11,000 | 360,412 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,400 | 289,212 | ||
Takeda Pharmaceutical Co., Ltd. | 93,136 | 3,117,807 | ||
TDK Corporation | 7,200 | 874,279 | ||
Terumo Corporation | 35,700 | 1,446,702 | ||
TIS, Inc. | 8,000 | 204,294 | ||
Tobu Railway Co., Ltd. | 10,900 | 281,784 | ||
Toho Co., Ltd. | 2,900 | 119,555 | ||
Toho Gas Co., Ltd.Δ | 3,400 | 166,488 | ||
Tohoku Electric Power Co., Inc. | 19,200 | 150,358 | ||
Tokio Marine Holdings, Inc. | 29,100 | 1,337,979 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 166,641 | ||
Tokyo Electron, Ltd. | 7,300 | 3,159,314 | ||
Tokyo Gas Co., Ltd. | 20,300 | 383,177 | ||
Tokyu Corporation | 36,400 | 495,075 | ||
TOPPAN, Inc. | 14,000 | 224,943 | ||
Toray Industries, Inc. | 85,700 | 570,151 | ||
Toshiba CorporationΔ | 16,900 | 730,946 | ||
Tosoh Corporation | 16,800 | 289,741 | ||
TOTO, Ltd. | 6,700 | 346,775 | ||
Toyo Suisan Kaisha, Ltd. | 4,200 | 161,618 | ||
Toyota Industries Corporation | 8,800 | 761,222 | ||
Toyota Motor Corporation | 102,416 | 8,951,432 | ||
Toyota Tsusho Corporation | 7,800 | 368,603 | ||
Trend Micro, Inc. | 4,300 | 225,267 |
Shares | Value | |||
Tsuruha Holdings, Inc. | 1,900 | $ 220,793 | ||
Unicharm Corporation | 24,000 | 965,660 | ||
United Urban Investment Corporation REIT | 156 | 225,656 | ||
Welcia Holdings Co., Ltd. | 4,600 | 150,304 | ||
West Japan Railway Co. | 7,800 | 444,711 | ||
Yakult Honsha Co., Ltd.Δ | 10,500 | 594,491 | ||
Yamada Holdings Co., Ltd.Δ | 39,400 | 181,936 | ||
Yamaha Corporation | 5,400 | 293,101 | ||
Yamaha Motor Co., Ltd. | 13,300 | 361,546 | ||
Yamato Holdings Co., Ltd. | 10,600 | 301,508 | ||
Yaskawa Electric Corporation | 9,000 | 439,894 | ||
Yokogawa Electric Corporation | 9,300 | 138,962 | ||
Z Holdings Corporation | 123,000 | 616,467 | ||
ZOZO, Inc. | 5,700 | 193,686 | ||
190,515,813 | ||||
Jersey — 0.8% | ||||
Experian PLC | 47,391 | 1,826,390 | ||
Ferguson PLC | 12,208 | 1,697,176 | ||
Glencore PLC* | 516,891 | 2,212,615 | ||
WPP PLC | 75,700 | 1,020,142 | ||
6,756,323 | ||||
Netherlands — 5.4% | ||||
ABN AMRO Bank NV CVA 144A* | 19,173 | 231,709 | ||
Adyen NV 144A* | 1,012 | 2,472,557 | ||
Aegon NV | 94,036 | 390,150 | ||
Airbus SE* | 29,207 | 3,755,516 | ||
Akzo Nobel NV | 11,142 | 1,376,652 | ||
ArcelorMittal SA | 34,529 | 1,058,370 | ||
Argenx SE* | 2,200 | 665,467 | ||
ASM International NV | 2,234 | 733,764 | ||
ASML Holding NV | 20,649 | 14,186,351 | ||
CNH Industrial NV | 43,467 | 717,708 | ||
EXOR NV | 3,560 | 285,189 | ||
Ferrari NVΔ | 5,605 | 1,156,427 | ||
ING Groep NV | 182,403 | 2,409,408 | ||
InPost SA* | 16,419 | 329,529 | ||
JDE Peet's NV* | 8,224 | 298,399 | ||
Just Eat Takeaway.com NV 144AΔ* | 6,526 | 602,574 | ||
Koninklijke Ahold Delhaize NV | 58,297 | 1,732,981 | ||
Koninklijke DSM NV | 9,127 | 1,703,437 | ||
Koninklijke KPN NV | 184,467 | 576,139 | ||
Koninklijke Philips NV | 45,034 | 2,231,547 | ||
Koninklijke Vopak NV | 1,385 | 62,899 | ||
NN Group NV | 13,576 | 640,368 | ||
Prosus NV* | 23,929 | 2,339,988 | ||
QIAGEN NVΔ* | 14,497 | 700,657 | ||
Randstad NV | 7,963 | 609,017 | ||
Stellantis NV | 98,407 | 1,931,622 | ||
STMicroelectronics NV | 30,860 | 1,119,906 | ||
Wolters Kluwer NV | 14,668 | 1,473,500 | ||
45,791,831 | ||||
New Zealand — 0.4% | ||||
a2 Milk Co., Ltd. (The)* | 45,565 | 205,114 | ||
Auckland International Airport, Ltd.Δ* | 96,523 | 490,504 |
Shares | Value | |||
Fisher & Paykel Healthcare Corporation, Ltd. | 27,390 | $ 595,811 | ||
Mercury NZ, Ltd. | 64,443 | 300,455 | ||
Meridian Energy, Ltd. | 83,938 | 312,725 | ||
Ryman Healthcare, Ltd. | 22,949 | 210,623 | ||
Spark New Zealand, Ltd. | 92,750 | 311,195 | ||
Xero, Ltd.* | 5,756 | 591,821 | ||
3,018,248 | ||||
Norway — 0.7% | ||||
Adevinta ASA* | 16,796 | 321,869 | ||
DNB ASA | 42,506 | 926,131 | ||
Equinor ASA | 57,972 | 1,226,615 | ||
Gjensidige Forsikring ASA | 8,027 | 176,945 | ||
Mowi ASA | 26,051 | 662,610 | ||
Norsk Hydro ASA | 56,215 | 358,699 | ||
Orkla ASA | 60,619 | 617,444 | ||
Schibsted ASA, B Shares | 14,197 | 591,284 | ||
Telenor ASA | 36,667 | 617,920 | ||
Yara International ASA | 10,434 | 549,199 | ||
6,048,716 | ||||
Papua New Guinea — 0.0% | ||||
Oil Search, Ltd. | 96,983 | 277,110 | ||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 154,225 | 817,439 | ||
Galp Energia SGPS SA | 27,004 | 293,047 | ||
Jeronimo Martins SGPS SA | 14,871 | 271,200 | ||
1,381,686 | ||||
Singapore — 1.1% | ||||
Ascendas REIT | 149,957 | 328,975 | ||
CapitaLand Integrated Commercial Trust REIT | 147,652 | 229,488 | ||
CapitaLand, Ltd. | 208,360 | 574,861 | ||
DBS Group Holdings, Ltd. | 89,360 | 1,980,978 | ||
Hongkong Land Holdings, Ltd. | 79,400 | 377,944 | ||
Jardine Matheson Holdings, Ltd. | 12,200 | 779,824 | ||
Keppel Corporation, Ltd. | 57,100 | 232,273 | ||
Mapletree Logistics Trust REIT | 203,800 | 310,694 | ||
Oversea-Chinese Banking Corporation, Ltd. | 173,140 | 1,538,650 | ||
Singapore Airlines, Ltd.Δ* | 127,450 | 459,681 | ||
Singapore Exchange, Ltd. | 32,300 | 268,546 | ||
Singapore Technologies Engineering, Ltd. | 16,100 | 46,335 | ||
Singapore Telecommunications, Ltd. | 431,500 | 734,837 | ||
United Overseas Bank, Ltd. | 53,959 | 1,036,083 | ||
UOL Group, Ltd. | 7,561 | 41,047 | ||
Venture Corporation, Ltd. | 10,300 | 147,143 | ||
Wilmar International, Ltd. | 188,000 | 629,137 | ||
9,716,496 | ||||
Spain — 2.5% | ||||
ACS Actividades de Construccion y Servicios SA | 17,444 | 467,257 | ||
Aena SME SA 144AΔ* | 3,930 | 644,478 | ||
Amadeus IT Group SA* | 22,411 | 1,576,361 | ||
Banco Bilbao Vizcaya Argentaria SA* | 319,952 | 1,983,415 |
Shares | Value | |||
Banco Santander SA* | 847,074 | $ 3,233,724 | ||
CaixaBank SA | 185,397 | 570,251 | ||
Cellnex Telecom SA 144AΔ* | 26,207 | 1,669,346 | ||
EDP Renovaveis SA | 12,583 | 291,542 | ||
Enagas SAΔ | 17,674 | 408,346 | ||
Endesa SAΔ | 13,556 | 328,875 | ||
Ferrovial SAΔ | 28,287 | 830,147 | ||
Grifols SAΔ | 15,393 | 416,881 | ||
Iberdrola SA | 304,553 | 3,712,352 | ||
Industria de Diseno Textil SA | 56,903 | 2,004,615 | ||
Naturgy Energy Group SA | 9,244 | 237,636 | ||
Red Electrica Corporation SAΔ | 23,715 | 440,220 | ||
Repsol SA | 87,173 | 1,090,918 | ||
Siemens Gamesa Renewable Energy SAΔ | 6,866 | 229,261 | ||
Telefonica SAΔ | 263,490 | 1,231,300 | ||
21,366,925 | ||||
Sweden — 3.3% | ||||
Alfa Laval ABΔ | 14,717 | 519,852 | ||
Assa Abloy AB, B Shares | 55,333 | 1,666,824 | ||
Atlas Copco AB, A Shares | 30,714 | 1,880,573 | ||
Atlas Copco AB, B Shares | 19,228 | 1,011,042 | ||
Boliden AB | 9,794 | 376,512 | ||
Electrolux AB, Series B | 13,970 | 387,362 | ||
Embracer Group ABΔ* | 13,503 | 365,262 | ||
Epiroc AB, A Shares | 31,158 | 709,948 | ||
Epiroc AB, B Shares | 20,075 | 393,966 | ||
EQT AB | 11,295 | 409,931 | ||
Essity AB, B Shares | 36,031 | 1,194,844 | ||
Fastighets AB Balder, B Shares* | 4,801 | 301,251 | ||
H & M Hennes & Mauritz AB, B Shares* | 42,435 | 1,006,567 | ||
Hexagon AB, B Shares | 97,566 | 1,445,574 | ||
Husqvarna AB, B Shares | 23,565 | 313,077 | ||
ICA Gruppen ABΔ | 5,526 | 257,184 | ||
Industrivarden AB, C Shares | 18,571 | 679,641 | ||
Investment AB Latour, B Shares | 9,171 | 300,910 | ||
Investor AB, B Shares | 104,460 | 2,407,630 | ||
Kinnevik AB, B Shares* | 10,870 | 435,151 | ||
L E Lundbergforetagen AB, B Shares | 5,888 | 379,915 | ||
Lundin Energy ABΔ | 8,084 | 286,026 | ||
Nibe Industrier AB, B Shares | 52,100 | 548,024 | ||
Sandvik AB | 58,653 | 1,498,177 | ||
Securitas AB, B Shares | 14,981 | 236,493 | ||
Sinch AB 144A* | 22,610 | 380,440 | ||
Skandinaviska Enskilda Banken AB, A Shares | 91,529 | 1,182,334 | ||
Skanska AB, B SharesΔ | 13,311 | 353,069 | ||
SKF AB, B Shares | 13,321 | 339,169 | ||
Svenska Cellulosa AB SCA, B Shares | 26,301 | 431,020 | ||
Svenska Handelsbanken AB, A Shares | 65,615 | 740,326 | ||
Swedbank AB, A Shares | 41,659 | 775,146 | ||
Tele2 AB, B SharesΔ | 19,177 | 261,277 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 153,995 | 1,935,442 | ||
Telia Co AB | 126,527 | 561,514 |
Shares | Value | |||
Volvo AB, B SharesΔ | 76,978 | $ 1,852,020 | ||
27,823,493 | ||||
Switzerland — 9.8% | ||||
ABB, Ltd. | 82,382 | 2,794,889 | ||
Adecco Group AG | 8,557 | 581,349 | ||
Alcon, Inc. | 23,311 | 1,632,085 | ||
Baloise Holding AG | 269 | 41,953 | ||
Barry Callebaut AG | 219 | 508,890 | ||
Chocoladefabriken Lindt & Spruengli AG | 133 | 1,986,630 | ||
Cie Financiere Richemont SA Class A | 27,383 | 3,313,188 | ||
Coca-Cola HBC AG* | 38,240 | 1,382,738 | ||
Credit Suisse Group AG | 124,795 | 1,307,228 | ||
EMS-Chemie Holding AG | 154 | 151,295 | ||
Geberit AG | 1,584 | 1,188,107 | ||
Givaudan SA | 437 | 2,032,327 | ||
Holcim, Ltd.* | 24,820 | 1,488,643 | ||
Julius Baer Group, Ltd. | 11,052 | 721,232 | ||
Kuehne + Nagel International AG | 2,592 | 886,925 | ||
Logitech International SA | 9,124 | 1,105,431 | ||
Lonza Group AG | 3,896 | 2,761,412 | ||
Nestle SA | 145,117 | 18,071,203 | ||
Novartis AG | 108,147 | 9,855,666 | ||
Partners Group Holding AG | 915 | 1,385,974 | ||
Roche Holding AG | 35,512 | 13,422,192 | ||
Schindler Holding AG | 4,607 | 1,376,143 | ||
SGS SA | 333 | 1,027,162 | ||
Sika AG | 6,515 | 2,130,005 | ||
Sonova Holding AG | 2,443 | 918,848 | ||
Straumann Holding AG | 404 | 644,042 | ||
Swatch Group AG (The) | 4,619 | 866,096 | ||
Swiss Life Holding AG | 1,166 | 566,586 | ||
Swiss Prime Site AG | 1,740 | 172,637 | ||
Swiss Re AG | 14,300 | 1,290,207 | ||
Swisscom AG | 1,391 | 794,084 | ||
Temenos AG | 3,832 | 615,439 | ||
UBS Group AG | 190,079 | 2,908,964 | ||
Vifor Pharma AG | 2,839 | 367,436 | ||
Zurich Insurance Group AG | 7,246 | 2,907,015 | ||
83,204,021 | ||||
United Kingdom — 12.8% | ||||
3i Group PLC | 54,344 | 881,792 | ||
Admiral Group PLCΔ | 7,823 | 340,230 | ||
Anglo American PLC | 66,904 | 2,658,450 | ||
Antofagasta PLC | 23,560 | 467,837 | ||
Ashtead Group PLC | 25,433 | 1,887,134 | ||
Associated British Foods PLC | 22,791 | 698,634 | ||
AstraZeneca PLC | 65,855 | 7,909,973 | ||
Auto Trader Group PLC 144AΔ* | 39,162 | 343,131 | ||
AVEVA Group PLC | 8,238 | 422,550 | ||
Aviva PLC | 204,349 | 1,147,382 | ||
BAE Systems PLC | 158,332 | 1,143,288 | ||
Barclays PLC | 828,179 | 1,960,385 | ||
Barratt Developments PLC | 50,118 | 481,970 |
Shares | Value | |||
Berkeley Group Holdings PLC | 6,733 | $ 427,967 | ||
BHP Group PLC | 104,001 | 3,064,316 | ||
BP PLC | 990,374 | 4,315,451 | ||
British Land Co. PLC (The) REIT | 31,612 | 216,414 | ||
BT Group PLC* | 453,308 | 1,216,498 | ||
Bunzl PLC | 13,047 | 431,165 | ||
Burberry Group PLC* | 30,456 | 870,402 | ||
Coca-Cola European Partners PLC | 15,904 | 943,425 | ||
Compass Group PLC* | 98,923 | 2,082,708 | ||
Croda International PLC | 8,852 | 902,210 | ||
Direct Line Insurance Group PLC | 64,437 | 254,037 | ||
Evraz PLC | 31,936 | 261,528 | ||
GlaxoSmithKline PLC | 278,527 | 5,468,756 | ||
Halma PLC | 23,059 | 858,681 | ||
Hargreaves Lansdown PLCΔ | 13,678 | 300,651 | ||
Hikma Pharmaceuticals PLC | 15,678 | 530,473 | ||
HSBC Holdings PLC | 1,016,466 | 5,867,562 | ||
Informa PLC* | 87,112 | 604,438 | ||
InterContinental Hotels Group PLC* | 14,742 | 980,885 | ||
Intertek Group PLC | 8,134 | 622,223 | ||
J Sainsbury PLC | 118,172 | 444,304 | ||
JD Sports Fashion PLC | 19,923 | 253,272 | ||
Johnson Matthey PLC | 13,222 | 562,052 | ||
Kingfisher PLC | 108,273 | 545,926 | ||
Land Securities Group PLC REIT | 42,490 | 396,976 | ||
Legal & General Group PLC | 311,903 | 1,111,429 | ||
Lloyds Banking Group PLC | 3,480,613 | 2,247,999 | ||
London Stock Exchange Group PLC | 14,997 | 1,653,405 | ||
M&G PLC | 116,852 | 369,997 | ||
Melrose Industries PLC | 264,795 | 568,117 | ||
Mondi PLC | 29,098 | 765,177 | ||
National Grid PLC | 171,408 | 2,183,297 | ||
Natwest Group PLC | 215,447 | 605,593 | ||
Next PLC* | 7,706 | 837,427 | ||
Ocado Group PLC* | 22,804 | 631,842 | ||
Pearson PLCΔ | 41,042 | 471,219 | ||
Persimmon PLC | 15,563 | 636,807 | ||
Phoenix Group Holdings PLC | 26,052 | 243,759 | ||
Prudential PLC | 126,748 | 2,408,165 | ||
Reckitt Benckiser Group PLC | 37,981 | 3,360,928 | ||
RELX PLC | 105,410 | 2,798,164 | ||
Rentokil Initial PLC | 101,023 | 691,738 | ||
Rio Tinto PLC | 53,934 | 4,438,365 | ||
Rolls-Royce Holdings PLC* | 419,124 | 573,513 | ||
Royal Dutch Shell PLC, A Shares | 196,480 | 3,932,270 | ||
Royal Dutch Shell PLC, B Shares | 184,577 | 3,572,002 | ||
Sage Group PLC (The) | 68,811 | 651,264 | ||
Schroders PLC | 6,913 | 335,940 | ||
Segro PLC REIT | 73,274 | 1,109,385 | ||
Severn Trent PLC | 18,138 | 627,508 | ||
Smith & Nephew PLC | 46,538 | 1,005,875 | ||
Smiths Group PLC | 26,226 | 576,827 | ||
Spirax-Sarco Engineering PLC | 3,343 | 629,608 |
Shares | Value | |||
SSE PLC | 57,080 | $ 1,184,776 | ||
St. James’s Place PLC | 34,873 | 712,502 | ||
Standard Chartered PLC | 131,722 | 839,993 | ||
Standard Life Aberdeen PLC | 114,480 | 429,156 | ||
Taylor Wimpey PLC | 203,676 | 447,834 | ||
Tesco PLC | 451,856 | 1,393,555 | ||
Unilever PLC | 133,803 | 7,830,220 | ||
United Utilities Group PLC | 48,952 | 659,818 | ||
Vodafone Group PLC | 1,401,802 | 2,352,920 | ||
Whitbread PLC* | 15,331 | 662,094 | ||
Wm Morrison Supermarkets PLC | 146,161 | 498,789 | ||
108,814,353 | ||||
Total Foreign Common Stocks (Cost $668,654,452) | 809,947,150 | |||
FOREIGN PREFERRED STOCKS — 0.6% | ||||
Germany — 0.6% | ||||
FUCHS PETROLUB SE | ||||
2.41%◊ | 3,828 | 186,192 | ||
Henkel AG & Co. KGaA | ||||
2.08%◊ | 8,912 | 940,922 | ||
Porsche Automobil Holding SE | ||||
2.41%◊ | 6,508 | 697,296 | ||
Sartorius AG | ||||
0.16%◊ | 1,199 | 624,132 | ||
Volkswagen AG | ||||
2.29%◊ | 11,790 | 2,952,575 | ||
5,401,117 | ||||
Total Foreign Preferred Stocks (Cost $3,723,519) | 5,401,117 | |||
RIGHTS — 0.0% | ||||
ACS Actividades de Construccion y Servicios SAΔ* (Cost $26,452) | 17,444 | 24,407 | ||
MONEY MARKET FUNDS — 5.0% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 27,154,284 | 27,154,284 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 13,731,643 | 13,731,643 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 1,405,016 | $ 1,405,016 | ||
Total Money Market Funds (Cost $42,290,943) | 42,290,943 | |||
TOTAL INVESTMENTS — 100.6% (Cost $715,051,533) | 858,115,282 | |||
Liabilities in Excess of Other Assets — (0.6)% | (5,132,584) | |||
NET ASSETS — 100.0% | $852,982,698 |
% | |
Financials | 16.7 |
Industrials | 15.5 |
Health Care | 11.8 |
Consumer Discretionary | 11.7 |
Information Technology | 8.9 |
Consumer Staples | 8.5 |
Materials | 7.8 |
Money Market Funds | 5.0 |
Communication Services | 4.9 |
Utilities | 3.6 |
Real Estate | 3.1 |
Energy | 3.1 |
Rights | —** |
100.6 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2021 | 321 | $36,980,805 | $(952,669) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stock | $ 451,665 | $ 451,665 | $ — | $ — | |||
Foreign Common Stocks | 809,947,150 | 809,947,150 | — | — | |||
Foreign Preferred Stocks | 5,401,117 | 5,401,117 | — | — | |||
Money Market Funds | 42,290,943 | 42,290,943 | — | — | |||
Rights | 24,407 | 24,407 | — | — | |||
Total Assets - Investments in Securities | $858,115,282 | $858,115,282 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (952,669) | $ (952,669) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (952,669) | $ (952,669) | $ — | $ — |
*** | 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. |
Shares | Value | |||
COMMON STOCKS — 3.6% | ||||
Communication Services — 0.2% | ||||
Tencent Music Entertainment Group ADR* | 210,841 | $ 3,263,819 | ||
Consumer Discretionary — 1.4% | ||||
Booking Holdings, Inc.* | 1,430 | 3,128,969 | ||
Lululemon Athletica, Inc.* | 15,682 | 5,723,460 | ||
MercadoLibre, Inc.* | 4,012 | 6,249,853 | ||
Trip.com Group, Ltd. ADR* | 83,418 | 2,958,002 | ||
18,060,284 | ||||
Financials — 0.5% | ||||
Everest Re Group, Ltd. | 23,821 | 6,003,130 | ||
Health Care — 1.0% | ||||
Mettler-Toledo International, Inc.* | 3,967 | 5,495,644 | ||
ResMed, Inc. | 29,837 | 7,355,417 | ||
12,851,061 | ||||
Information Technology — 0.5% | ||||
Cognizant Technology Solutions Corporation Class A | 34,198 | 2,368,554 | ||
EPAM Systems, Inc.* | 9,314 | 4,759,081 | ||
7,127,635 | ||||
Total Common Stocks (Cost $34,018,964) | 47,305,929 | |||
FOREIGN COMMON STOCKS — 86.6% | ||||
Australia — 2.5% | ||||
AMP, Ltd. | 1,139,380 | 961,288 | ||
Ansell, Ltd. | 2,320 | 75,702 | ||
ASX, Ltd.‡‡ | 2,303 | 134,216 | ||
Aurizon Holdings, Ltd. | 318,184 | 887,674 | ||
Australia & New Zealand Banking Group, Ltd. | 40,031 | 845,098 | ||
BHP Group, Ltd.‡‡ | 37,978 | 1,383,351 | ||
BlueScope Steel, Ltd.‡‡ | 131,390 | 2,163,849 | ||
Brambles, Ltd. | 175,234 | 1,503,408 | ||
Coles Group, Ltd. | 50,127 | 642,460 | ||
Computershare, Ltd. | 5,935 | 75,221 | ||
CSL, Ltd. | 33,082 | 7,075,520 | ||
Dexus REIT‡‡ | 55,775 | 446,310 | ||
Fortescue Metals Group, Ltd.‡‡ | 99,501 | 1,741,649 | ||
Goodman Group REIT‡‡ | 50,048 | 794,584 | ||
GPT Group (The) REITΨ†††* | 63,198 | — | ||
GPT Group (The) REIT (Athens Exchange) | 104,984 | 385,790 | ||
Harvey Norman Holdings, Ltd. | 376,734 | 1,548,274 | ||
JB Hi-Fi, Ltd. | 41,898 | 1,589,295 | ||
Mineral Resources, Ltd. | 18,646 | 751,337 | ||
Mirvac Group REIT‡‡ | 355,598 | 778,708 | ||
Newcrest Mining, Ltd. | 45,440 | 861,485 | ||
Orica, Ltd. | 226,049 | 2,251,298 | ||
Rio Tinto, Ltd.‡‡ | 4,796 | 455,494 | ||
Scentre Group REIT‡‡ | 186,809 | 383,867 | ||
Sonic Healthcare, Ltd. | 9,746 | 280,666 | ||
South32, Ltd. | 873,650 | 1,919,718 | ||
Stockland REIT‡‡ | 206,720 | 722,438 | ||
Suncorp Group, Ltd. | 76,328 | 635,961 | ||
Vicinity Centres REIT‡‡ | 336,787 | 390,226 |
Shares | Value | |||
Westpac Banking Corporation | 23,069 | $ 446,528 | ||
WiseTech Global, Ltd. | 32,323 | 774,003 | ||
Worley, Ltd. | 37,846 | 339,456 | ||
33,244,874 | ||||
Belgium — 0.7% | ||||
Etablissements Franz Colruyt NV | 10,545 | 589,676 | ||
Groupe Bruxelles Lambert SA‡‡ | 415 | 46,424 | ||
KBC Group NV | 97,553 | 7,437,805 | ||
Proximus SADP | 41,527 | 802,130 | ||
Telenet Group Holding NV | 9,684 | 364,464 | ||
9,240,499 | ||||
Brazil — 0.3% | ||||
Magazine Luiza SA | 845,900 | 3,597,005 | ||
Canada — 2.6% | ||||
Agnico Eagle Mines, Ltd. | 40,750 | 2,463,338 | ||
Canadian National Railway Co.Δ | 78,714 | 8,305,901 | ||
Canadian Pacific Railway, Ltd.Δ | 104,660 | 8,049,401 | ||
Cenovus Energy, Inc. | 245,399 | 2,347,880 | ||
Kinross Gold Corporation | 465,810 | 2,953,587 | ||
Open Text Corporation | 46,300 | 2,351,230 | ||
Restaurant Brands International, Inc.Δ | 16,610 | 1,070,348 | ||
Shopify, Inc. Class A* | 4,991 | 7,291,751 | ||
34,833,436 | ||||
China — 2.3% | ||||
Alibaba Group Holding, Ltd. ADR* | 28,000 | 6,349,840 | ||
Baidu, Inc. ADR* | 22,314 | 4,549,825 | ||
Tencent Holdings, Ltd. | 252,800 | 19,014,618 | ||
29,914,283 | ||||
Denmark — 1.0% | ||||
AP Moeller - Maersk A/S Class B | 710 | 2,040,701 | ||
Danske Bank A/S | 12,095 | 212,826 | ||
DSV Panalpina A/S | 35,785 | 8,345,316 | ||
Genmab A/S* | 1,400 | 572,836 | ||
Pandora A/S‡‡ | 19,051 | 2,560,892 | ||
Vestas Wind Systems A/S | 1,810 | 70,654 | ||
13,803,225 | ||||
Finland — 0.4% | ||||
Huhtamaki OYJ | 8,547 | 404,877 | ||
Kone OYJ Class B | 13,577 | 1,107,606 | ||
Nokia OYJ* | 63,121 | 337,966 | ||
Nokian Renkaat OYJ | 7,074 | 285,611 | ||
Orion OYJ Class B‡‡ | 11,798 | 507,119 | ||
UPM-Kymmene OYJ | 56,079 | 2,121,212 | ||
Valmet OYJ | 18,202 | 793,824 | ||
Wartsila OYJ Abp | 11,260 | 167,095 | ||
5,725,310 | ||||
France — 9.1% | ||||
Accor SA* | 188,677 | 7,045,062 | ||
Air Liquide SA | 55,467 | 9,711,599 | ||
AXA SA | 336,929 | 8,543,598 | ||
BNP Paribas SA | 104,792 | 6,569,474 | ||
Bureau Veritas SA* | 236,767 | 7,490,317 | ||
Capgemini SEΔ | 11,670 | 2,241,708 |
Shares | Value | |||
Danone SA | 123,441 | $ 8,689,998 | ||
Engie SAΔ | 202,317 | 2,771,775 | ||
EssilorLuxottica SAΔ | 5,144 | 949,326 | ||
Hermes International | 7,570 | 11,027,174 | ||
L’Oreal SA | 34,197 | 15,238,351 | ||
Publicis Groupe SA | 38,312 | 2,450,411 | ||
Sanofi | 86,116 | 9,022,621 | ||
Schneider Electric SE | 111,274 | 17,506,218 | ||
SCOR SEΔ* | 50,295 | 1,599,472 | ||
TotalEnergies SEΔ | 152,113 | 6,881,941 | ||
ValeoΔ | 74,461 | 2,239,972 | ||
119,979,017 | ||||
Germany — 9.8% | ||||
adidas AG | 5,493 | 2,044,533 | ||
Allianz SE | 27,781 | 6,927,560 | ||
Aurubis AG | 20,751 | 1,923,166 | ||
Bayerische Motoren Werke AG | 89,930 | 9,523,528 | ||
Beiersdorf AG | 83,798 | 10,110,235 | ||
Brenntag SE | 10,019 | 931,632 | ||
Continental AG | 58,648 | 8,621,801 | ||
Covestro AG 144A | 9,635 | 622,189 | ||
Daimler AG | 93,515 | 8,349,672 | ||
Deutsche Boerse AG | 75,138 | 13,114,768 | ||
Deutsche Post AG | 26,643 | 1,812,114 | ||
Deutsche Wohnen SE | 6,238 | 381,522 | ||
Freenet AG | 5,073 | 119,825 | ||
Fresenius Medical Care AG & Co. KGaA‡‡ | 157,885 | 13,112,340 | ||
Fresenius SE & Co. KGaA‡‡ | 33,533 | 1,749,319 | ||
GEA Group AG | 6,647 | 269,238 | ||
HeidelbergCement AG‡‡ | 2,941 | 252,271 | ||
HelloFresh SE* | 11,280 | 1,096,504 | ||
Henkel AG & Co. KGaA | 15,900 | 1,463,969 | ||
HOCHTIEF AG | 6,220 | 477,629 | ||
Knorr-Bremse AG | 3,859 | 443,854 | ||
LANXESS AG | 6,269 | 429,803 | ||
METRO AG | 46,860 | 580,091 | ||
ProSiebenSat.1 Media SE | 7,792 | 154,990 | ||
Rheinmetall AG | 7,413 | 732,204 | ||
RWE AG‡‡ | 28,584 | 1,035,785 | ||
SAP SE | 185,755 | 26,175,581 | ||
Siemens AG | 57,899 | 9,173,514 | ||
Siemens Energy AG* | 60,103 | 1,811,611 | ||
Software AG‡‡ | 17,257 | 776,347 | ||
Telefonica Deutschland Holding AG | 180,754 | 476,882 | ||
thyssenkrupp AG* | 287,684 | 2,998,457 | ||
Uniper SE | 26,848 | 988,796 | ||
Vonovia SE | 8,154 | 527,132 | ||
Wacker Chemie AG | 2,332 | 359,610 | ||
129,568,472 | ||||
Hong Kong — 2.5% | ||||
AIA Group, Ltd. | 1,634,926 | 20,319,972 | ||
Alibaba Group Holding, Ltd.* | 65,940 | 1,868,398 | ||
Shenzhou International Group Holdings, Ltd. | 190,800 | 4,818,964 |
Shares | Value | |||
Wuxi Biologics Cayman, Inc. 144A* | 339,775 | $ 6,227,217 | ||
33,234,551 | ||||
India — 2.2% | ||||
Axis Bank, Ltd.* | 260,618 | 2,623,711 | ||
HDFC Bank, Ltd. | 435,878 | 8,783,824 | ||
HDFC Bank, Ltd. ADR | 76,735 | 5,610,863 | ||
Tata Consultancy Services, Ltd. | 275,620 | 12,406,238 | ||
29,424,636 | ||||
Indonesia — 0.1% | ||||
PT Bank Mandiri Persero Tbk | 2,514,400 | 1,023,101 | ||
Ireland — 2.8% | ||||
Accenture PLC Class A | 20,008 | 5,898,158 | ||
Aon PLC Class A | 53,199 | 12,701,793 | ||
ICON PLCΔ* | 13,015 | 2,690,331 | ||
Linde PLC | 5,233 | 1,509,994 | ||
Medtronic PLC | 58,100 | 7,211,953 | ||
Ryanair Holdings PLC* | 7,800 | 147,612 | ||
Ryanair Holdings PLC ADR* | 20,610 | 2,230,208 | ||
STERIS PLC | 21,986 | 4,535,712 | ||
36,925,761 | ||||
Israel — 0.6% | ||||
Check Point Software Technologies, Ltd.* | 68,060 | 7,903,808 | ||
Italy — 1.0% | ||||
A2A SpA‡‡ | 215,654 | 440,847 | ||
Assicurazioni Generali SpA | 18,699 | 374,823 | ||
Azimut Holding SpA | 3,677 | 89,293 | ||
Banca Generali SpA‡‡* | 7,881 | 336,229 | ||
Banco BPM SpA | 116,011 | 373,200 | ||
Brembo SpA | 19,951 | 252,656 | ||
Buzzi Unicem SpA | 44,997 | 1,193,556 | ||
Hera SpA | 27,467 | 113,470 | ||
Intesa Sanpaolo SpA | 2,617,237 | 7,229,345 | ||
Pirelli & C SpA 144A | 77,796 | 451,639 | ||
Prysmian SpA | 12,790 | 458,461 | ||
Telecom Italia SpA | 2,130,480 | 1,058,232 | ||
UniCredit SpA | 22,511 | 265,590 | ||
Unipol Gruppo SpA‡‡ | 157,515 | 857,664 | ||
13,495,005 | ||||
Japan — 15.3% | ||||
ABC-Mart, Inc. | 3,400 | 194,950 | ||
Advantest Corporation | 7,500 | 675,773 | ||
Aeon Co., Ltd. | 12,600 | 338,548 | ||
AEON Financial Service Co., Ltd. | 23,800 | 280,428 | ||
Aisin Corporation | 20,900 | 893,605 | ||
Ajinomoto Co., Inc. | 12,400 | 321,901 | ||
Alfresa Holdings Corporation | 13,700 | 204,584 | ||
Alps Alpine Co., Ltd. | 59,400 | 627,177 | ||
Amada Co., Ltd. | 9,600 | 97,041 | ||
Astellas Pharma, Inc. | 621,290 | 10,818,538 | ||
Bandai Namco Holdings, Inc. | 4,500 | 312,219 | ||
Bridgestone Corporation | 9,900 | 450,466 |
Shares | Value | |||
Brother Industries, Ltd.‡‡ | 55,500 | $ 1,107,552 | ||
Canon, Inc. | 10,000 | 226,203 | ||
Central Japan Railway Co. | 1,300 | 197,174 | ||
Chugai Pharmaceutical Co., Ltd.Δ | 5,800 | 229,818 | ||
Concordia Financial Group, Ltd. | 60,600 | 222,010 | ||
Dai Nippon Printing Co., Ltd. | 4,600 | 97,263 | ||
Dai-ichi Life Holdings, Inc. | 19,700 | 360,681 | ||
Daiichi Sankyo Co., Ltd. | 16,000 | 344,858 | ||
Daikin Industries, Ltd. | 55,300 | 10,298,906 | ||
Daito Trust Construction Co., Ltd.‡‡ | 76,333 | 8,348,224 | ||
Daiwa House Industry Co., Ltd.‡‡ | 21,100 | 633,408 | ||
DeNA Co., Ltd. | 38,800 | 824,581 | ||
Denso Corporation | 7,000 | 477,546 | ||
Disco Corporation | 2,900 | 886,223 | ||
East Japan Railway Co. | 4,300 | 306,819 | ||
Eisai Co., Ltd. | 2,600 | 255,682 | ||
Electric Power Development Co., Ltd. | 36,000 | 513,614 | ||
ENEOS Holdings, Inc. | 91,100 | 381,227 | ||
FANUC Corporation | 1,800 | 434,142 | ||
Fast Retailing Co., Ltd. | 600 | 451,667 | ||
Food & Life Cos., Ltd. | 14,700 | 634,471 | ||
Fuji Electric Co., Ltd. | 5,200 | 242,927 | ||
FUJIFILM Holdings Corporation | 4,600 | 341,144 | ||
Fujitsu, Ltd.‡‡ | 5,200 | 973,581 | ||
Fukuoka Financial Group, Inc. | 6,100 | 106,467 | ||
GMO internet, Inc. | 2,500 | 68,185 | ||
GMO Payment Gateway, Inc. | 500 | 65,124 | ||
Hakuhodo DY Holdings, Inc. | 13,800 | 214,152 | ||
Hankyu Hanshin Holdings, Inc. | 7,900 | 243,553 | ||
Haseko Corporation‡‡ | 29,300 | 401,410 | ||
Hitachi Transport System, Ltd. | 11,000 | 455,961 | ||
Hitachi, Ltd.‡‡ | 13,000 | 744,345 | ||
Honda Motor Co., Ltd. | 50,800 | 1,623,295 | ||
Hoya Corporation‡‡ | 100,400 | 13,311,958 | ||
Ibiden Co., Ltd. | 4,700 | 253,414 | ||
Iida Group Holdings Co., Ltd. | 19,000 | 489,131 | ||
Inpex Corporation | 11,800 | 88,053 | ||
Isuzu Motors, Ltd. | 5,100 | 67,345 | ||
Ito En, Ltd. | 3,500 | 207,615 | ||
ITOCHU Corporation | 12,700 | 365,813 | ||
Japan Airlines Co., Ltd.* | 4,800 | 103,738 | ||
Japan Exchange Group, Inc. | 175,027 | 3,891,414 | ||
Japan Metropolitan Fund Invest REIT | 166 | 179,904 | ||
Japan Post Insurance Co., Ltd. | 30,700 | 567,603 | ||
Japan Real Estate Investment Corporation REITΔ | 64 | 393,465 | ||
JSR Corporation | 8,400 | 254,053 | ||
JTEKT Corporation | 12,800 | 131,232 | ||
Kajima Corporation | 82,400 | 1,043,583 | ||
Kamigumi Co., Ltd. | 63,400 | 1,285,748 | ||
Kaneka Corporation | 2,500 | 100,702 | ||
Kao Corporation | 3,900 | 239,943 | ||
KDDI Corporation | 42,800 | 1,334,912 | ||
Keyence Corporation | 13,100 | 6,611,612 | ||
Kinden Corporation | 60,500 | 987,866 | ||
Kintetsu Group Holdings Co., Ltd.* | 6,600 | 231,694 | ||
Komatsu, Ltd. | 77,200 | 1,918,274 | ||
K's Holdings Corporation | 77,200 | 887,388 |
Shares | Value | |||
Kubota Corporation | 19,200 | $ 388,338 | ||
KuritaWater Industries, Ltd. | 4,800 | 230,289 | ||
Kyocera Corporation | 11,300 | 698,577 | ||
Kyowa Exeo Corporation | 11,700 | 288,037 | ||
Lasertec Corporation | 27,100 | 5,266,565 | ||
Lion Corporation | 8,000 | 135,524 | ||
Lixil Corporation | 9,700 | 250,849 | ||
M3, Inc. | 4,600 | 335,927 | ||
Mabuchi Motor Co., Ltd. | 26,600 | 1,005,626 | ||
Makita Corporation | 114,268 | 5,379,375 | ||
Marubeni Corporation | 113,300 | 985,275 | ||
Mazda Motor Corporation* | 18,800 | 176,670 | ||
McDonald’s Holdings Co. Japan, Ltd. | 1,500 | 66,160 | ||
Mebuki Financial Group, Inc. | 843,400 | 1,776,458 | ||
Medipal Holdings Corporation | 19,900 | 380,105 | ||
MISUMI Group, Inc. | 8,500 | 287,682 | ||
Mitsubishi Corporation | 19,600 | 534,217 | ||
Mitsubishi Electric Corporation | 29,600 | 429,632 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 44,700 | 722,837 | ||
Mitsubishi Gas Chemical Co., Inc. | 20,300 | 430,504 | ||
Mitsubishi Heavy Industries, Ltd. | 12,900 | 379,586 | ||
Mitsubishi UFJ Financial Group, Inc.Δ | 150,400 | 812,413 | ||
Mitsui & Co., Ltd. | 22,000 | 495,171 | ||
Mitsui Chemicals, Inc. | 10,400 | 359,008 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 32,800 | 759,660 | ||
Mitsui OSK Lines, Ltd. | 11,900 | 571,997 | ||
Mizuho Financial Group, Inc. | 83,600 | 1,194,608 | ||
Murata Manufacturing Co., Ltd. | 12,000 | 916,189 | ||
NEC Corporation | 5,600 | 288,330 | ||
NEC Networks & System Integration Corporation | 9,300 | 146,915 | ||
Nexon Co., Ltd. | 7,500 | 167,154 | ||
NGK Spark Plug Co., Ltd. | 41,500 | 614,870 | ||
NH Foods, Ltd. | 11,400 | 443,296 | ||
Nidec Corporation | 4,800 | 556,281 | ||
Nifco, Inc. | 2,200 | 83,073 | ||
Nihon Kohden Corporation | 4,000 | 114,137 | ||
Nihon M&A Center, Inc. | 10,600 | 274,887 | ||
Nihon Unisys, Ltd. | 3,600 | 108,232 | ||
Nintendo Co., Ltd.‡‡ | 10,200 | 5,932,976 | ||
Nippo Corporation | 23,400 | 666,646 | ||
Nippon Building Fund, Inc. REIT | 16 | 99,806 | ||
Nippon Express Co., Ltd. | 2,200 | 167,532 | ||
Nippon Steel CorporationΔ | 16,700 | 281,628 | ||
Nippon Telegraph & Telephone Corporation | 61,100 | 1,591,916 | ||
Nippon Yusen KK | 6,400 | 324,335 | ||
Nisshin Seifun Group, Inc. | 15,800 | 231,109 | ||
Nitori Holdings Co., Ltd.Δ | 1,400 | 247,752 | ||
Nitto Denko Corporation‡‡ | 10,500 | 783,519 | ||
NOF Corporation | 1,300 | 67,753 | ||
Nomura Holdings, Inc. | 268,700 | 1,373,310 | ||
NS Solutions Corporation | 8,900 | 286,800 | ||
Obayashi Corporation | 175,700 | 1,396,490 | ||
Obic Co., Ltd. | 1,600 | 298,267 | ||
Olympus Corporation | 157,300 | 3,126,319 | ||
Omron Corporation | 4,200 | 333,066 |
Shares | Value | |||
Ono Pharmaceutical Co., Ltd. | 17,600 | $ 392,731 | ||
Oriental Land Co., Ltd. | 2,100 | 299,230 | ||
ORIX Corporation | 22,800 | 384,703 | ||
Osaka Gas Co., Ltd. | 12,900 | 240,246 | ||
Otsuka Holdings Co., Ltd. | 8,200 | 340,046 | ||
Panasonic Corporation | 99,300 | 1,149,018 | ||
PeptiDream, Inc.* | 1,800 | 88,303 | ||
Pola Orbis Holdings, Inc. | 3,100 | 81,870 | ||
Recruit Holdings Co., Ltd. | 14,500 | 713,939 | ||
Renesas Electronics Corporation* | 71,600 | 774,037 | ||
Resona Holdings, Inc.‡‡ | 151,700 | 583,341 | ||
Rohm Co., Ltd. | 7,400 | 684,081 | ||
Rohto Pharmaceutical Co., Ltd. | 8,400 | 225,699 | ||
Ryohin Keikaku Co., Ltd. | 10,300 | 216,022 | ||
Sankyu, Inc. | 22,700 | 983,847 | ||
Santen Pharmaceutical Co., Ltd. | 17,000 | 234,124 | ||
SCREEN Holdings Co., Ltd. | 14,300 | 1,413,331 | ||
SCSK Corporation | 3,800 | 226,437 | ||
Secom Co., Ltd. | 2,900 | 220,420 | ||
Seino Holdings Co., Ltd. | 20,500 | 262,766 | ||
Sekisui Chemical Co., Ltd. | 14,700 | 251,274 | ||
Sekisui House, Ltd. | 21,700 | 445,056 | ||
Seria Co., Ltd. | 3,800 | 140,069 | ||
Seven & i Holdings Co., Ltd.Δ | 17,200 | 820,095 | ||
Shimamura Co., Ltd. | 5,400 | 518,151 | ||
Shimano, Inc. | 1,200 | 284,621 | ||
Shimizu Corporation | 109,200 | 837,467 | ||
Shin-Etsu Chemical Co., Ltd. | 3,600 | 602,079 | ||
Shinsei Bank, Ltd. | 17,600 | 230,822 | ||
Shiseido Co., Ltd. | 5,600 | 411,878 | ||
SMC Corporation | 15,000 | 8,864,035 | ||
SoftBank Corporation | 32,100 | 419,977 | ||
SoftBank Group Corporation | 15,000 | 1,049,777 | ||
Sojitz Corporation‡‡ | 584,300 | 1,761,920 | ||
Sony Corporation | 35,200 | 3,426,689 | ||
Stanley Electric Co., Ltd. | 7,300 | 211,256 | ||
Subaru Corporation | 56,000 | 1,104,676 | ||
Sumitomo Chemical Co., Ltd. | 48,700 | 258,196 | ||
Sumitomo Corporation | 4,300 | 57,594 | ||
Sumitomo Electric Industries, Ltd. | 19,700 | 290,637 | ||
Sumitomo Forestry Co., Ltd. | 16,700 | 305,905 | ||
Sumitomo Metal Mining Co., Ltd. | 3,500 | 136,257 | ||
Sumitomo Mitsui Financial Group, Inc. | 22,900 | 789,477 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 195,500 | 6,208,416 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,000 | 214,411 | ||
Sumitomo Rubber Industries, Ltd. | 65,000 | 896,935 | ||
Suzuken Co., Ltd. | 7,500 | 219,744 | ||
Suzuki Motor Corporation | 6,900 | 291,974 | ||
Sysmex Corporation | 2,900 | 344,570 | ||
T&D Holdings, Inc. | 19,400 | 250,762 | ||
Taiheiyo Cement Corporation | 30,200 | 662,473 | ||
Taisei Corporation | 133,619 | 4,377,993 | ||
Takeda Pharmaceutical Co., Ltd. | 16,800 | 562,394 | ||
TDK Corporation | 3,700 | 449,282 | ||
Teijin, Ltd. | 4,200 | 64,005 |
Shares | Value | |||
Terumo Corporation | 177,400 | $ 7,188,936 | ||
Tohoku Electric Power Co., Inc. | 27,100 | 212,224 | ||
Tokio Marine Holdings, Inc. | 183,400 | 8,432,488 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 21,600 | 64,161 | ||
Tokyo Electron, Ltd.‡‡ | 3,200 | 1,384,905 | ||
Tokyu Corporation | 17,600 | 239,377 | ||
Toshiba CorporationΔ | 5,600 | 242,207 | ||
Tosoh Corporation | 28,900 | 498,424 | ||
Toyo Suisan Kaisha, Ltd. | 10,000 | 384,806 | ||
Toyoda Gosei Co., Ltd. | 3,300 | 81,241 | ||
Toyota Boshoku Corporation | 46,500 | 961,434 | ||
Toyota Motor CorporationΔ | 50,900 | 4,448,796 | ||
Toyota Tsusho Corporation | 7,100 | 335,524 | ||
Trend Micro, Inc. | 4,900 | 256,699 | ||
Unicharm Corporation | 7,600 | 305,792 | ||
USS Co., Ltd. | 12,900 | 225,034 | ||
Yamada Holdings Co., Ltd. | 190,000 | 877,357 | ||
Yamato Holdings Co., Ltd. | 11,400 | 324,263 | ||
Yokohama Rubber Co., Ltd. (The) | 16,700 | 357,616 | ||
Z Holdings Corporation | 29,600 | 148,353 | ||
202,382,276 | ||||
Jersey — 1.9% | ||||
Experian PLC | 439,487 | 16,937,276 | ||
Glencore PLC* | 1,476,265 | 6,319,333 | ||
WPP PLC | 170,998 | 2,304,388 | ||
25,560,997 | ||||
Mexico — 0.4% | ||||
Grupo Financiero Banorte SAB de CV Series O | 329,900 | 2,124,309 | ||
Grupo Televisa SAB SA ADR | 208,200 | 2,973,096 | ||
5,097,405 | ||||
Netherlands — 5.0% | ||||
Adyen NV 144A* | 2,193 | 5,358,021 | ||
Akzo Nobel NV | 55,359 | 6,839,890 | ||
ASM International NV | 1,344 | 441,441 | ||
ASML Holding NV‡‡ | 6,814 | 4,681,379 | ||
ASML Holding NV (NASDAQ Exchange) | 10,731 | 7,413,404 | ||
ASR Nederland NV‡‡ | 6,763 | 261,347 | ||
CNH Industrial NV | 363,633 | 6,004,152 | ||
Euronext NV 144A | 88,209 | 9,591,255 | ||
EXOR NV | 43,223 | 3,462,563 | ||
Ferrari NV | 26,690 | 5,506,695 | ||
ING Groep NV‡‡ | 48,701 | 643,304 | ||
Koninklijke Ahold Delhaize NV‡‡ | 111,837 | 3,324,551 | ||
Koninklijke Philips NV | 179,752 | 8,907,161 | ||
NN Group NV | 3,978 | 187,639 | ||
QIAGEN NV* | 2,159 | 104,347 | ||
Randstad NV‡‡ | 6,428 | 491,619 | ||
Signify NV 144A‡‡ | 20,564 | 1,300,630 | ||
Stellantis NV | 69,960 | 1,373,238 | ||
65,892,636 |
Shares | Value | |||
Nigeria — 0.0% | ||||
Afriland Properties PLCΨ†††* | 364,373 | $ — | ||
Norway — 0.2% | ||||
DNB ASA | 15,435 | 336,301 | ||
Leroy Seafood Group ASA | 43,911 | 384,941 | ||
Orkla ASA | 59,890 | 610,019 | ||
Telenor ASA | 11,692 | 197,036 | ||
Yara International ASA | 34,277 | 1,804,189 | ||
3,332,486 | ||||
Portugal — 0.4% | ||||
Galp Energia SGPS SA | 448,879 | 4,871,228 | ||
Singapore — 0.6% | ||||
Ascendas REIT‡‡ | 158,700 | 348,156 | ||
CapitaLand Integrated Commercial Trust REIT‡‡ | 233,640 | 363,135 | ||
Mapletree Commercial Trust REIT | 136,500 | 219,261 | ||
Singapore Exchange, Ltd.‡‡ | 888,592 | 7,387,862 | ||
Venture Corporation, Ltd.‡‡ | 6,700 | 95,714 | ||
8,414,128 | ||||
South Africa — 0.3% | ||||
Naspers, Ltd. N Shares | 22,167 | 4,654,123 | ||
South Korea — 0.9% | ||||
KB Financial Group, Inc. | 130,506 | 6,466,487 | ||
NAVER Corporation | 6,350 | 2,354,149 | ||
Samsung Electronics Co., Ltd. | 1,200 | 85,992 | ||
Samsung Electronics Co., Ltd. GDR Class S | 1,427 | 2,545,055 | ||
11,451,683 | ||||
Spain — 1.4% | ||||
Aena SME SA 144A* | 23,909 | 3,920,819 | ||
Amadeus IT Group SAΔ* | 212,650 | 14,957,524 | ||
18,878,343 | ||||
Sweden — 2.7% | ||||
Assa Abloy AB, B Shares | 182,769 | 5,505,644 | ||
Atlas Copco AB, A Shares | 86,391 | 5,289,595 | ||
Atlas Copco AB, B Shares | 6,930 | 364,392 | ||
Electrolux AB, Series B | 78,612 | 2,179,763 | ||
Getinge AB, B Shares‡‡ | 61,139 | 2,306,081 | ||
H & M Hennes & Mauritz AB, B Shares* | 128,533 | 3,048,831 | ||
Husqvarna AB, B Shares | 63,975 | 849,950 | ||
Investor AB, B Shares | 22,531 | 519,302 | ||
Saab AB, B Shares | 23,683 | 628,458 | ||
Sandvik AB | 73,660 | 1,881,501 | ||
SKF AB, B Shares | 92,997 | 2,367,821 | ||
Svenska Handelsbanken AB, A Shares | 185,232 | 2,089,950 | ||
Swedbank AB, A Shares | 75,480 | 1,404,451 | ||
Swedish Orphan Biovitrum AB‡‡* | 37,434 | 682,579 | ||
Tele2 AB, B Shares | 19,205 | 261,659 | ||
Telefonaktiebolaget LM Ericsson, B Shares‡‡ | 250,598 | 3,149,568 | ||
Trelleborg AB, B Shares | 32,509 | 754,786 |
Shares | Value | |||
Volvo AB, B SharesΔ | 77,970 | $ 1,875,886 | ||
35,160,217 | ||||
Switzerland — 12.4% | ||||
Adecco Group AG‡‡ | 21,263 | 1,444,574 | ||
Alcon, Inc. | 72,566 | 5,080,600 | ||
Baloise Holding AG | 635 | 99,033 | ||
BKW AG | 6,390 | 665,071 | ||
Chubb, Ltd. | 76,240 | 12,117,586 | ||
Cie Financiere Richemont SA Class A | 14,539 | 1,759,136 | ||
Credit Suisse Group AG | 579,866 | 6,074,100 | ||
DKSH Holding AG | 8,888 | 680,108 | ||
dormakaba Holding AG | 226 | 154,005 | ||
Galenica AG 144A | 7,306 | 515,625 | ||
Holcim, Ltd.‡‡* | 79,171 | 4,748,976 | ||
Julius Baer Group, Ltd. | 99,228 | 6,475,425 | ||
Logitech International SA‡‡ | 12,650 | 1,532,629 | ||
Lonza Group AG | 7,810 | 5,535,583 | ||
Nestle SA‡‡ | 274,932 | 34,236,871 | ||
Novartis AG‡‡ | 229,558 | 20,920,109 | ||
OC Oerlikon Corporation AG | 48,993 | 543,278 | ||
Roche Holding AG‡‡ | 67,987 | 25,611,315 | ||
Sika AG | 44,439 | 14,528,827 | ||
Sulzer AG | 904 | 124,865 | ||
Swatch Group AG (The) | 6,943 | 2,381,744 | ||
Swiss Life Holding AG | 1,633 | 793,512 | ||
UBS Group AG | 599,153 | 9,169,421 | ||
Zurich Insurance Group AG | 22,761 | 9,131,460 | ||
164,323,853 | ||||
Taiwan — 1.8% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 198,205 | 23,816,313 | ||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS | 1 | — | ||
United Kingdom — 5.4% | ||||
Antofagasta PLC | 100,823 | 2,002,070 | ||
BP PLC ADRΔ | 98,010 | 2,589,424 | ||
BT Group PLC* | 1,910,450 | 5,126,888 | ||
Bunzl PLC | 16,800 | 555,190 | ||
Compass Group PLC* | 456,334 | 9,607,578 | ||
Dialog Semiconductor PLC* | 669 | 52,007 | ||
GlaxoSmithKline PLC | 506,850 | 9,951,778 | ||
Liberty Global PLC Class A* | 353,285 | 9,595,221 | ||
Lloyds Banking Group PLC‡‡ | 17,830,545 | 11,516,087 | ||
Natwest Group PLC | 964,750 | 2,711,783 | ||
Prudential PLC | 112,200 | 2,131,758 | ||
Rolls-Royce Holdings PLCΔ* | 3,056,897 | 4,182,937 | ||
Schroders PLC | 46,218 | 2,245,979 | ||
Smiths Group PLC | 136,163 | 2,994,833 | ||
Vodafone Group PLC ADRΔ | 383,140 | 6,563,188 | ||
71,826,721 | ||||
Total Foreign Common Stocks (Cost $929,794,325) | 1,147,575,392 |
Shares | Value | |||
FOREIGN PREFERRED STOCKS — 0.6% | ||||
Germany — 0.6% | ||||
FUCHS PETROLUB SE | ||||
2.41%◊ | 1,913 | $ 93,047 | ||
Henkel AG & Co. KGaA | ||||
2.08%◊ | 56,429 | 5,957,728 | ||
Porsche Automobil Holding SE | ||||
2.41%‡‡◊ | 2,638 | 282,647 | ||
Volkswagen AG | ||||
2.29%◊ | 5,950 | 1,490,061 | ||
7,823,483 | ||||
Total Foreign Preferred Stocks (Cost $7,673,444) | 7,823,483 |
Par | |||
FOREIGN BOND — 0.0% | |||
Switzerland — 0.0% | |||
Credit Suisse Group Guernsey VII, Ltd. | |||
3.00%, 11/12/21(ZD) 144A CONV (Cost $437,680) | $397,000 | 482,941 |
Shares | |||
MONEY MARKET FUNDS — 7.1% | |||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 76,870,954 | 76,870,954 | |
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 17,248,130 | 17,248,130 | |
Total Money Market Funds (Cost $94,119,084) | 94,119,084 | ||
TOTAL INVESTMENTS — 97.9% (Cost $1,066,043,497) | 1,297,306,829 | ||
FOREIGN COMMON STOCKS SOLD SHORT — (0.2)% | |||
United Kingdom — (0.2)% | |||
Ocado Group PLC* | (47,886) | (1,326,802) |
Shares | Value | |||
St. James’s Place PLC | (25,407) | $ (519,099) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(1,085,295)) | (1,845,901) | |||
TOTAL SECURITIES SOLD SHORT — (0.2)% (Proceeds $(1,085,295)) | (1,845,901) | |||
Other Assets in Excess of Liabilities — 2.3% | 29,846,406 | |||
NET ASSETS — 100.0% | $1,325,307,334 |
% | |
Financials | 18.0 |
Industrials | 14.0 |
Health Care | 13.9 |
Information Technology | 12.3 |
Consumer Discretionary | 11.4 |
Money Market Funds | 7.1 |
Consumer Staples | 6.5 |
Materials | 6.0 |
Communication Services | 5.5 |
Energy | 1.3 |
Real Estate | 1.3 |
Utilities | 0.5 |
Foreign Bond | —** |
Foreign Common Stocks Sold Short | (0.1) |
97.7 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 07/2021 | 79 | $ 13,663,890 | $ (70,820) | ||||
CAC40 10 Euro | 07/2021 | 240 | 18,511,931 | (343,791) | ||||
IBEX 35 Index | 07/2021 | (229) | (23,863,467) | 1,013,591 | ||||
OMXS30 Index | 07/2021 | 213 | 5,639,780 | (48,439) | ||||
MSCI Singapore Index | 07/2021 | 55 | 1,453,837 | 4,303 | ||||
Topix Index® | 09/2021 | 271 | 47,396,642 | (381,098) | ||||
ASX SPI 200 Index | 09/2021 | (57) | (7,719,067) | 67,707 | ||||
DAX Index | 09/2021 | (8) | (3,682,465) | 21,521 | ||||
FTSE 100 Index® | 09/2021 | (399) | (38,527,946) | 647,531 | ||||
FTSE/MIB Index | 09/2021 | 74 | 10,969,944 | (256,984) | ||||
MSCI EAFE Index | 09/2021 | 507 | 58,408,935 | (1,372,579) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P/TSX 60 Index | 09/2021 | (22) | $ (4,269,022) | $ (29,343) | ||||
Total Futures Contracts outstanding at June 30, 2021 | $77,982,992 | $(748,401) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | U.S. Dollars | 51,033,903 | Norwegian Kroner | 424,200,000 | CITI | $ 1,750,991 | ||||||
09/15/21 | U.S. Dollars | 48,733,428 | New Zealand Dollars | 67,315,000 | CITI | 1,691,752 | ||||||
09/15/21 | U.S. Dollars | 30,169,743 | Swiss Francs | 27,004,000 | CITI | 922,864 | ||||||
09/15/21 | U.S. Dollars | 25,405,327 | Australian Dollars | 33,073,000 | CITI | 593,930 | ||||||
09/15/21 | U.S. Dollars | 20,478,478 | Japanese Yen | 2,246,711,000 | CITI | 241,517 | ||||||
12/15/21 | U.S. Dollars | 2,163,190 | Swiss Francs | 1,934,000 | NT | 62,749 | ||||||
09/15/21 | U.S. Dollars | 8,126,001 | Euro | 6,794,000 | CITI | 56,879 | ||||||
09/15/21 | U.S. Dollars | 7,832,090 | Canadian Dollars | 9,658,000 | CITI | 41,091 | ||||||
09/15/21 | U.S. Dollars | 1,480,184 | Danish Kroner | 9,065,000 | CITI | 32,493 | ||||||
09/15/21 | U.S. Dollars | 1,139,816 | British Pounds | 807,000 | CITI | 23,297 | ||||||
09/15/21 | U.S. Dollars | 574,142 | Swedish Kronor | 4,770,000 | CITI | 16,363 | ||||||
09/15/21 | U.S. Dollars | 230,281 | Singapore Dollars | 306,000 | CITI | 2,724 | ||||||
09/15/21 | U.S. Dollars | 844,298 | Hong Kong Dollars | 6,551,000 | CITI | 430 | ||||||
09/17/21 | U.S. Dollars | 100,592 | Israeli Shekels | 326,500 | CITI | 345 | ||||||
09/15/21 | Hong Kong Dollars | 33,899,993 | U.S. Dollars | 4,366,773 | CITI | 52 | ||||||
09/15/21 | Singapore Dollars | 9,000 | U.S. Dollars | 6,685 | CITI | 8 | ||||||
Subtotal Appreciation | $ 5,437,485 | |||||||||||
09/15/21 | U.S. Dollars | 8,177 | Singapore Dollars | 11,000 | CITI | $ (4) | ||||||
09/15/21 | U.S. Dollars | 91,967 | Hong Kong Dollars | 714,000 | CITI | (7) | ||||||
09/17/21 | U.S. Dollars | 43,727 | Israeli Shekels | 142,500 | CITI | (24) | ||||||
09/15/21 | Hong Kong Dollars | 34,956,994 | U.S. Dollars | 4,504,559 | CITI | (1,574) | ||||||
09/17/21 | Israeli Shekels | 5,162,000 | U.S. Dollars | 1,588,947 | CITI | (4,080) | ||||||
09/15/21 | U.S. Dollars | 2,396,732 | Canadian Dollars | 2,984,000 | CITI | (10,427) | ||||||
09/15/21 | Norwegian Kroner | 22,806,000 | U.S. Dollars | 2,661,975 | CITI | (12,407) | ||||||
09/15/21 | Singapore Dollars | 2,247,000 | U.S. Dollars | 1,693,285 | CITI | (22,295) | ||||||
09/15/21 | Danish Kroner | 11,414,000 | U.S. Dollars | 1,866,408 | CITI | (43,577) | ||||||
09/15/21 | Swiss Francs | 6,196,000 | U.S. Dollars | 6,844,550 | CITI | (133,928) | ||||||
09/15/21 | New Zealand Dollars | 17,226,000 | U.S. Dollars | 12,266,274 | CITI | (228,244) | ||||||
09/15/21 | Japanese Yen | 2,020,959,000 | U.S. Dollars | 18,521,847 | CITI | (318,319) | ||||||
09/15/21 | British Pounds | 19,631,000 | U.S. Dollars | 27,654,990 | CITI | (494,670) | ||||||
09/15/21 | Swedish Kronor | 253,115,000 | U.S. Dollars | 30,153,336 | CITI | (555,368) | ||||||
09/15/21 | Canadian Dollars | 55,167,000 | U.S. Dollars | 45,639,043 | CITI | (1,136,452) | ||||||
09/15/21 | Australian Dollars | 68,412,000 | U.S. Dollars | 53,034,827 | CITI | (1,712,076) | ||||||
09/15/21 | Euro | 69,928,000 | U.S. Dollars | 85,576,198 | CITI | (2,523,869) | ||||||
Subtotal Depreciation | $(7,197,321) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $(1,759,836) |
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 | ||||||||||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 7/30/2021 | GSC | ILS | 4,712,232 | $ 2,457 | $ — | $ 2,457 | ||||||||
Financing Index: 1-Month EURIBOR - 0.08% | MSCI Netherlands Net Return EUR Index (Monthly) | 9/15/2021 | GSC | EUR | 90,517 | 1,856 | — | 1,856 | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: 1-Month EURIBOR - 0.31% | 9/15/2021 | GSC | EUR | 5,752,349 | 201,663 | — | 201,663 | ||||||||
Subtotal Appreciation | $ 205,976 | $ — | $ 205,976 | |||||||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 7/29/2021 | GSC | HKD | 68,712,000 | $(108,112) | $ — | $(108,112) | ||||||||
Financing Index: 1-Month EURIBOR - 0.21% | MSCI Italy Net Return EUR Index (Monthly) | 9/15/2021 | GSC | EUR | 2,662,830 | (84,062) | — | (84,062) | ||||||||
Financing Index: 1-Month HIBOR - 0.05% | MSCI Hong Kong Net Return HKD Index (Monthly) | 9/15/2021 | GSC | HKD | 2,140,112 | (1,886) | — | (1,886) | ||||||||
Financing Index: 1-Month ICE LIBOR JPY + 0.00% | MSCI Japan Net Return JPY Index (Monthly) | 9/15/2021 | GSC | JPY | 53,394,026 | (3,534) | — | (3,534) | ||||||||
Financing Index: 1-Month ICE LIBOR USD - 0.20% | MSCI Daily TR Net Israel Index (Monthly) | 9/15/2021 | JPM | USD | 47,073 | (144) | — | (144) | ||||||||
Decrease in total return of Swiss Market Index (At Termination) | Increase in total return of Swiss Market Index (At Termination) | 9/17/2021 | CITI | CHF | 3,577,500 | (25,679) | — | (25,679) | ||||||||
Subtotal Depreciation | $(223,417) | $ — | $(223,417) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2021 | $ (17,441) | $ — | $ (17,441) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 50-60 months maturity ranging from 08/08/2025 - 06/12/2026 | GSC | $10,047,106 | $255,949 | $— | $255,949 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the LIBOR minus a specified spread (-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 50-60 months maturity ranging from 08/08/2025 - 06/12/2026 | GSC | 3,191,238 | 333,120 | — | 333,120 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA or EURIBOR plus or minus a specified spread (-.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 50-60 months maturity ranging from 08/08/2025 - 06/25/2026 | GSC | 41,814,277 | 139,921 | — | 139,921 |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.33%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).** | 50-60 months maturity ranging from 08/08/2025 - 06/25/2026 | GSC | $1,580,093,000 | $ 626,491 | $ — | $ 626,491 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 50-59 months maturity ranging from 08/08/2025 - 05/11/2026 | GSC | 7,675,848 | 2,813 | — | 2,813 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread (-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 50-59 months maturity ranging from 08/08/2025 - 05/25/2026 | GSC | 27,510,420 | 144,847 | — | 144,847 | ||||||
Subtotal Appreciation | $1,503,141 | $ — | $1,503,141 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Acerinox SA | 9,594 | $ 97,715 | $ (15,005) | (10.72)% | ||||
Aegon NV | (81,768) | 286,106 | 17,369 | 12.41 | ||||
Aeroports de Paris | (4,217) | 463,237 | 64,002 | 45.74 | ||||
Amadeus IT Group SA | (23,924) | 1,419,172 | 147,328 | 105.29 | ||||
Amundi SA | 1,133 | 84,239 | 352 | 0.25 | ||||
Argenx SE | (4,315) | 1,100,757 | (96,208) | (68.76) | ||||
Arkema SA | 1,343 | 142,089 | (2,843) | (2.03) | ||||
Atos SE | 38,779 | 1,989,363 | (86,979) | (62.16) | ||||
Banco Bilbao Vizcaya Argentaria SA | 257,103 | 1,344,134 | (11,023) | (7.88) | ||||
Bankinter SA | 73,881 | 313,182 | (18,510) | (13.23) | ||||
BioMerieux | 787 | 77,126 | 6,278 | 4.49 | ||||
BNP Paribas SA | 13,946 | 737,325 | (55,414) | (39.60) | ||||
Bollore SA | 53,121 | 240,107 | 6,142 | 4.39 | ||||
Bouygues SA | 7,974 | 248,709 | (26,045) | (18.61) | ||||
Carl Zeiss Meditec AG | (1,588) | 258,765 | (19,701) | (14.08) | ||||
Carrefour SA | 102,326 | 1,697,077 | (68,220) | (48.76) | ||||
Cellnex Telecom SA | (1,565) | 84,072 | (5,694) | (4.07) | ||||
Cie de St-Gobain | 26,937 | 1,496,081 | (45,064) | (32.21) | ||||
Cie Generale des Etablissements Michelin SCA | 12,835 | 1,726,308 | 61,194 | 43.73 | ||||
CNP Assurances | 12,535 | 179,877 | (3,087) | (2.21) | ||||
Credit Agricole SA | 18,152 | 214,448 | (6,157) | (4.40) | ||||
CTS Eventim AG & Co. KGaA | (5,042) | 265,713 | 43,735 | 31.26 | ||||
Delivery Hero SE | (813) | 90,568 | (2,214) | (1.58) | ||||
Deutsche Lufthansa AG | (104,982) | 996,279 | 173,967 | 124.33 | ||||
EDP - Energias de Portugal SA | 19,980 | 89,311 | (1,333) | (0.95) | ||||
Eiffage SA | 659 | 56,542 | (3,943) | (2.82) | ||||
Electricite de France SA | 26,905 | 309,946 | (14,140) | (10.11) | ||||
Enagas SA | 38,326 | 746,782 | (2,357) | (1.68) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Endesa SA | 47,644 | $ 974,796 | $ (5,858) | (4.19)% | ||||
Eurofins Scientific SE | 2,211 | 213,140 | 14,820 | 10.59 | ||||
Eutelsat Communications SA | 114,129 | 1,124,627 | (73,667) | (52.65) | ||||
Evotec SE | (8,758) | 334,818 | (36,599) | (26.16) | ||||
Faurecia SE | (2,811) | 116,291 | 10,738 | 7.67 | ||||
Fluidra SA | 14,083 | 471,076 | (8,655) | (6.19) | ||||
Fraport AG Frankfurt Airport ServicesWorldwide | (4,148) | 238,344 | 22,106 | 15.80 | ||||
Galapagos NV | (3,682) | 215,323 | 30,829 | 22.03 | ||||
Gecina SA REIT | 674 | 87,081 | (5,457) | (3.90) | ||||
Infrastrutture Wireless Italiane SpA | (18,715) | 178,017 | (1,068) | (0.76) | ||||
Ipsen SA | 6,595 | 578,513 | (22,408) | (16.01) | ||||
Just Eat Takeaway.com NV | (851) | 66,267 | (2,735) | (1.95) | ||||
Kesko OYJ, B Shares | (2,433) | 75,788 | (3,615) | (2.58) | ||||
Leonardo SpA | (7,898) | 53,801 | 3,791 | 2.71 | ||||
Mapfre SA | 315,758 | 562,839 | (17,113) | (12.23) | ||||
MTU Aero Engines AG | (3,567) | 745,146 | 3,865 | 2.76 | ||||
Nexi SpA | (37,198) | 688,535 | (48,634) | (34.76) | ||||
OCI NV | (19,359) | 397,247 | 39,718 | 28.39 | ||||
Orange SA | 158,443 | 1,523,429 | (100,758) | (72.01) | ||||
Publicis Groupe SA | 29,056 | 1,567,281 | (9,338) | (6.67) | ||||
Rational AG | (760) | 580,640 | (30,759) | (21.98) | ||||
Red Electrica Corporation SA | 25,063 | 392,361 | (18,115) | (12.95) | ||||
Repsol SA | 46,471 | 490,455 | (38,583) | (27.57) | ||||
Rexel SA | 102,856 | 1,814,380 | 60,690 | 43.37 | ||||
Rubis | 25,845 | 968,929 | (65,502) | (46.81) | ||||
Saipem SpA | (200,935) | 410,108 | 36,701 | 26.23 | ||||
Sanofi | 10,559 | 932,993 | 23,450 | 16.76 | ||||
SCOR SE | (6,862) | 184,039 | (3,585) | (2.56) | ||||
SEB SA | 10,500 | 1,600,200 | (9,291) | (6.64) | ||||
SES SA | 43,764 | 281,928 | (18,210) | (13.01) | ||||
Societe BIC SA | 19,603 | 1,148,736 | (28,837) | (20.61) | ||||
Societe Generale SA | 12,207 | 303,466 | (18,973) | (13.56) | ||||
Sodexo SA | 8,931 | 702,870 | (34,384) | (24.57) | ||||
STMicroelectronics NV | 36,817 | 1,126,784 | 4,814 | 3.44 | ||||
Tenaris SA | (94,805) | 871,448 | 38,202 | 27.30 | ||||
Thales SA | 1,580 | 135,943 | (240) | (0.17) | ||||
thyssenkrupp AG | (55,631) | 488,997 | 59,501 | 42.52 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,412,611 | 356,650 | 254.89 | ||||
$41,814,277 | $ 139,921 | 100.00% |
** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Aeon Co., Ltd. | (23,800) | $ 71,043,000 | $ (7,936) | (1.27)% | ||||
ANA Holdings, Inc. | (36,600) | 95,599,200 | 95,363 | 15.22 | ||||
Asics Corporation | (31,400) | 88,296,800 | (60,982) | (9.73) | ||||
Central Japan Railway Co. | (800) | 13,480,000 | 9,637 | 1.54 | ||||
Denso Corporation | (1,000) | 7,579,000 | 2,039 | 0.33 | ||||
Dentsu Group, Inc. | (1,900) | 7,552,500 | (1,025) | (0.16) | ||||
East Japan Railway Co. | (16,300) | 129,210,100 | 78,428 | 12.52 | ||||
Harmonic Drive Systems, Inc. | (2,600) | 15,912,000 | (8,686) | (1.39) | ||||
Isetan Mitsukoshi Holdings, Ltd. | (26,100) | 20,201,400 | 25,569 | 4.08 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Japan Airlines Co., Ltd. | (26,200) | $ 62,906,200 | $ 76,763 | 12.25% | ||||
Japan Airport Terminal Co., Ltd. | (12,400) | 61,876,000 | 49,000 | 7.82 | ||||
JCR Pharmaceuticals Co., Ltd | (7,100) | 26,554,000 | (22,408) | (3.58) | ||||
Keihan Holdings Co., Ltd. | (2,400) | 8,064,000 | 5,825 | 0.93 | ||||
Keikyu Corporation | (39,300) | 53,369,400 | 59,054 | 9.43 | ||||
Keio Corporation | (6,800) | 44,404,000 | 30,563 | 4.88 | ||||
Keisei Electric Railway Co., Ltd. | (6,600) | 23,397,000 | 7,791 | 1.24 | ||||
Kikkoman Corporation | (2,200) | 16,126,000 | (6,034) | (0.96) | ||||
Kintetsu Group Holdings Co., Ltd. | (6,800) | 26,520,000 | 18,927 | 3.02 | ||||
Lasertec Corporation | (800) | 17,272,000 | (12,369) | (1.97) | ||||
Mercari, Inc. | (8,500) | 50,150,000 | (54,396) | (8.68) | ||||
Mitsubishi Motors Corporation | (200,400) | 62,524,800 | 12,521 | 2.00 | ||||
Nippon Paint Holdings Co., Ltd. | (85,500) | 128,934,000 | 34,483 | 5.50 | ||||
Odakyu Electric Railway Co., Ltd. | (36,200) | 101,577,200 | 49,830 | 7.95 | ||||
Pan Pacific International Holdings Corporation | (4,700) | 10,838,200 | (1,240) | (0.20) | ||||
Park24 Co., Ltd. | (25,200) | 50,853,600 | 5,045 | 0.81 | ||||
Rakuten, Inc. | (90,600) | 113,612,400 | 25,087 | 4.00 | ||||
Seibu Holdings, Inc. | (39,600) | 51,559,200 | 49,452 | 7.89 | ||||
Sharp Corporation | (6,400) | 11,731,200 | 7,353 | 1.17 | ||||
Showa Denko KK | (18,700) | 61,710,000 | 43,654 | 6.97 | ||||
Toho Gas Co., Ltd. | (1,800) | 9,792,000 | 1,920 | 0.31 | ||||
West Japan Railway Co. | (21,700) | 137,447,800 | 113,263 | 18.08 | ||||
$1,580,093,000 | $626,491 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 50 months maturity 08/08/2025 | GSC | $ 7,377,141 | $ (12,893) | $ — | $ (12,893) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread(-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 50-60 months maturity ranging from 08/08/2025 - 06/25/2026 | GSC | 38,306,966 | (452,618) | — | (452,618) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.20% to .33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 50-60 months maturity ranging from 08/08/2025 - 06/25/2026 | GSC | 68,730,353 | (154,047) | — | (154,047) | ||||||
Subtotal Depreciation | $(619,558) | $ — | $(619,558) | |||||||||
Net Total Return Basket Swaps | $ 883,583 | $ — | $ 883,583 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
3i Group PLC | 15,222 | $178,554 | $(2,988) | 0.66% |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Aggreko PLC | 102,664 | $ 884,964 | $ (3,034) | 0.67% | ||||
Anglo American PLC | 36,679 | 1,053,604 | (93,917) | 20.75 | ||||
Ashtead Group PLC | 11,350 | 608,814 | 33,180 | (7.33) | ||||
ASOS PLC | 12,381 | 614,098 | (22,744) | 5.02 | ||||
Avast PLC | 13,904 | 68,102 | 3,582 | (0.79) | ||||
Aviva PLC | 585,004 | 2,374,531 | (66,076) | 14.60 | ||||
BAE Systems PLC | 94,082 | 491,108 | (15,987) | 3.53 | ||||
Barclays PLC | 584,920 | 1,000,915 | (76,125) | 16.82 | ||||
Barratt Developments PLC | 52,539 | 365,251 | (33,516) | 7.40 | ||||
Bellway PLC | 2,303 | 74,617 | (6,421) | 1.42 | ||||
BHP Group PLC | 72,541 | 1,545,123 | (1,340) | 0.30 | ||||
boohoo Group PLC | 54,210 | 168,268 | (11,512) | 2.54 | ||||
BP PLC | 316,972 | 998,462 | (26,426) | 5.84 | ||||
BT Group PLC | (219,357) | 425,553 | 34,280 | (7.57) | ||||
Bunzl PLC | 9,413 | 224,877 | 18,873 | (4.17) | ||||
Centrica PLC | (305,718) | 157,322 | 3,106 | (0.69) | ||||
Compass Group PLC | 10,980 | 167,116 | (18,873) | 4.17 | ||||
Croda International PLC | (1,356) | 99,910 | (7,817) | 1.73 | ||||
DCC PLC | 7,847 | 464,385 | (6,633) | 1.47 | ||||
Direct Line Insurance Group PLC | 123,561 | 352,149 | (13,411) | 2.96 | ||||
Dunelm Group PLC | 25,905 | 367,592 | (10,832) | 2.39 | ||||
easyJet PLC | (24,074) | 215,414 | 30,403 | (6.72) | ||||
Evraz PLC | 256,259 | 1,517,053 | (76,371) | 16.87 | ||||
GlaxoSmithKline PLC | 62,055 | 880,809 | 55,150 | (12.18) | ||||
Hays PLC | 63,494 | 100,701 | (12,847) | 2.84 | ||||
Hikma Pharmaceuticals PLC | 3,058 | 74,799 | (16) | 0.00 | ||||
Hiscox, Ltd. | (18,114) | 150,636 | (8,941) | 1.98 | ||||
HSBC Holdings PLC | 18,243 | 76,128 | (5,266) | 1.16 | ||||
IMI PLC | 7,273 | 125,096 | (329) | 0.07 | ||||
Inchcape PLC | 131,932 | 1,013,897 | (317) | 0.07 | ||||
Informa PLC | (43,389) | 217,639 | 37,897 | (8.37) | ||||
InterContinental Hotels Group PLC | (10,451) | 502,693 | 57,749 | (12.76) | ||||
Investec PLC | 52,967 | 152,704 | (8,607) | 1.90 | ||||
J Sainsbury PLC | (149,612) | 406,645 | (35,420) | 7.83 | ||||
JD Sports Fashion PLC | 17,273 | 158,739 | (360) | 0.08 | ||||
Kingfisher PLC | 440,519 | 1,605,692 | 201,071 | (44.42) | ||||
Legal & General Group PLC | (54,568) | 140,567 | 12,433 | (2.75) | ||||
Lloyds Banking Group PLC | 477,023 | 222,722 | (10,245) | 2.26 | ||||
London Stock Exchange Group PLC | 3,641 | 290,188 | 23,814 | (5.26) | ||||
M&G PLC | 605,277 | 1,385,479 | (107,490) | 23.75 | ||||
Man Group PLC | 709,250 | 1,276,295 | (11,072) | 2.45 | ||||
Marks & Spencer Group PLC | 617,101 | 903,744 | (109,906) | 24.28 | ||||
Meggitt PLC | (45,707) | 210,801 | 26,395 | (5.83) | ||||
Mondi PLC | 8,545 | 162,440 | (390) | 0.09 | ||||
Moneysupermarket.com Group PLC | 190,429 | 488,641 | (34,356) | 7.59 | ||||
Ocado Group PLC | (29,745) | 595,792 | (36,291) | 8.02 | ||||
Pennon Group PLC | (4,985) | 56,605 | (2,111) | 0.47 | ||||
Persimmon PLC | 4,897 | 144,853 | (10,533) | 2.33 | ||||
Prudential PLC | (21,830) | 299,835 | 23,508 | (5.19) | ||||
Quilter PLC | (49,094) | 73,027 | 3,962 | (0.88) | ||||
Rio Tinto PLC | 44,354 | 2,638,619 | (73,599) | 16.26 | ||||
Rolls-Royce Holdings PLC | (1,892,883) | 1,872,440 | 356,334 | (78.73) | ||||
Royal Dutch Shell PLC, A Shares | 51,276 | 741,861 | 40,174 | (8.88) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 655,096 | 50,557 | (11.17) | ||||
Royal Mail PLC | 341,881 | 1,974,021 | (77,056) | 17.02 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Sage Group PLC (The) | 87,998 | $ 602,082 | $ 45,949 | (10.15)% | ||||
Severn Trent PLC | (3,372) | 84,334 | (4,342) | 0.96 | ||||
St. James’s Place PLC | (2,963) | 43,764 | (2,096) | 0.46 | ||||
Standard Chartered PLC | 51,103 | 235,585 | (25,716) | 5.68 | ||||
Standard Life Aberdeen PLC | 140,399 | 380,481 | (11,738) | 2.59 | ||||
Tate & Lyle PLC | 164,840 | 1,217,179 | (84,199) | 18.60 | ||||
Unilever PLC | 4,294 | 181,658 | (2,743) | 0.61 | ||||
United Utilities Group PLC | (19,537) | 190,369 | 460 | (0.10) | ||||
Vodafone Group PLC | 130,137 | 157,908 | (5,536) | 1.22 | ||||
Weir Group PLC (The) | 2,907 | 53,809 | (1,794) | 0.40 | ||||
WH Smith PLC | (14,256) | 229,308 | 34,770 | (7.68) | ||||
Wm Morrison Supermarkets PLC | (370,289) | 913,503 | (368,926) | 81.51 | ||||
$38,306,966 | $(452,618) | 100.00% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 47,305,929 | $ 47,305,929 | $ — | $ — | |||
Foreign Bond | 482,941 | — | 482,941 | — | |||
Foreign Common Stocks | 1,147,575,392 | 1,147,575,392 | — | —** | |||
Foreign Preferred Stocks | 7,823,483 | 7,823,483 | — | — | |||
Money Market Funds | 94,119,084 | 94,119,084 | — | — | |||
Total Assets - Investments in Securities | $1,297,306,829 | $1,296,823,888 | $ 482,941 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 5,437,485 | $ — | $5,437,485 | $ — | |||
Futures Contracts | 1,754,653 | 1,754,653 | — | — | |||
Swap Agreements | 1,709,117 | — | 1,709,117 | — | |||
Total Assets - Other Financial Instruments | $ 8,901,255 | $ 1,754,653 | $7,146,602 | $ — | |||
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 | $ (1,845,901) | $(1,845,901) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $ (1,845,901) | $(1,845,901) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (7,197,321) | $ — | $(7,197,321) | $ — | |||
Futures Contracts | (2,503,054) | (2,503,054) | — | — | |||
Swap Agreements | (842,975) | — | (842,975) | — | |||
Total Liabilities - Other Financial Instruments | $(10,543,350) | $(2,503,054) | $(8,040,296) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
Shares | Value | |||
COMMON STOCKS — 5.3% | ||||
Communication Services — 0.6% | ||||
Autohome, Inc. ADR | 1,273 | $ 81,421 | ||
Bilibili, Inc. ADRΔ* | 22,534 | 2,745,542 | ||
JOYY, Inc. ADRΔ | 1,059 | 69,862 | ||
Sea, Ltd. ADRΔ* | 3,966 | 1,089,064 | ||
Tencent Music Entertainment Group ADR* | 74,354 | 1,151,000 | ||
5,136,889 | ||||
Consumer Discretionary — 2.7% | ||||
Arco Platform, Ltd. Class AΔ* | 43,040 | 1,319,606 | ||
Gaotu Techedu, Inc. ADRΔ* | 2,221 | 32,804 | ||
Huazhu Group, Ltd. ADRΔ* | 3,029 | 159,962 | ||
MercadoLibre, Inc.* | 4,283 | 6,672,015 | ||
NIO, Inc. ADR* | 36,022 | 1,916,370 | ||
Ozon Holdings PLC ADRΔ* | 29,644 | 1,737,731 | ||
Pinduoduo, Inc. ADR* | 10,227 | 1,299,034 | ||
Trip.com Group, Ltd. ADR* | 113,488 | 4,024,284 | ||
XPeng, Inc. ADR* | 5,122 | 227,519 | ||
Yum China Holdings, Inc. | 85,194 | 5,644,103 | ||
23,033,428 | ||||
Financials — 0.4% | ||||
Intercorp Financial Services, Inc.Δ | 15,633 | 392,701 | ||
Patria Investments, Ltd. Class A | 89,543 | 1,577,748 | ||
XP, Inc. Class A* | 33,263 | 1,448,603 | ||
3,419,052 | ||||
Health Care — 0.4% | ||||
BeiGene, Ltd. ADRΔ* | 1,264 | 433,792 | ||
Zai Lab, Ltd. ADR* | 17,216 | 3,047,060 | ||
3,480,852 | ||||
Industrials — 0.4% | ||||
DiDi Global, Inc. ADR* | 63,612 | 899,474 | ||
Full Truck Alliance Co., Ltd. ADR* | 25,902 | 527,883 | ||
ZTO Express Cayman, Inc. ADR | 68,874 | 2,090,326 | ||
3,517,683 | ||||
Information Technology — 0.8% | ||||
Daqo New Energy Corporation ADR* | 8,837 | 574,582 | ||
Dlocal, Ltd.* | 20,603 | 1,082,275 | ||
EPAM Systems, Inc.* | 1,212 | 619,283 | ||
GDS Holdings, Ltd. ADRΔ* | 2,167 | 170,088 | ||
Globant SA* | 4,927 | 1,079,900 | ||
Pagseguro Digital, Ltd. Class AΔ* | 9,704 | 542,648 | ||
StoneCo, Ltd. Class A* | 28,184 | 1,890,020 | ||
Zepp Health Corporation ADRΔ* | 32,146 | 377,394 | ||
6,336,190 | ||||
Materials — 0.0% | ||||
Southern Copper Corporation | 2,441 | 157,005 | ||
Real Estate — 0.0% | ||||
KE Holdings, Inc. ADRΔ* | 4,763 | 227,100 | ||
Total Common Stocks (Cost $34,509,308) | 45,308,199 |
Shares | Value | |||
FOREIGN COMMON STOCKS — 86.0% | ||||
Brazil — 3.7% | ||||
Aeris Industria E Comercio De Equipamentos Para Geracao De Energia SA* | 246,541 | $ 488,244 | ||
Atacadao SA | 178,800 | 756,354 | ||
B3 SA - Brasil Bolsa Balcao | 1,672,500 | 5,632,389 | ||
Banco BTG Pactual SA* | 67,000 | 1,640,583 | ||
Banco do Brasil SA | 398,000 | 2,570,220 | ||
Blau Farmaceutica SA* | 38,985 | 382,890 | ||
Boa Vista Servicos SA | 253,393 | 569,571 | ||
Caixa Seguridade Participacoes S/A* | 819,121 | 2,163,989 | ||
Cia Siderurgica Nacional SA | 241,900 | 2,128,261 | ||
JBS SA | 119,500 | 701,316 | ||
Localiza Rent a Car SA | 97,600 | 1,255,861 | ||
Locaweb Servicos de Internet SA 144A* | 168,500 | 915,371 | ||
Magazine Luiza SA | 265,700 | 1,129,831 | ||
Notre Dame Intermedica Participacoes SA | 14,300 | 244,668 | ||
Petrobras Distribuidora SA | 159,500 | 854,292 | ||
Qualicorp Consultoria e Corretora de Seguros SA | 111,795 | 648,455 | ||
Raia Drogasil SA* | 653,500 | 3,258,434 | ||
Rede D'Or Sao Luiz SA 144A* | 69,171 | 964,038 | ||
Vale SA ADR | 243,734 | 5,559,573 | ||
31,864,340 | ||||
Canada — 0.2% | ||||
Parex Resources, Inc.* | 109,912 | 1,835,413 | ||
Chile — 0.5% | ||||
Banco de Chile ADRΔ | 7,668 | 151,443 | ||
Banco de Credito e Inversiones SA | 1,916 | 80,881 | ||
Banco Santander Chile ADRΔ | 3,609 | 71,711 | ||
Enel Chile SA ADRΔ | 37,174 | 109,663 | ||
Falabella SA | 798,250 | 3,553,152 | ||
3,966,850 | ||||
China — 20.1% | ||||
Agricultural Bank of China, Ltd. Class A | 252,800 | 118,426 | ||
Agricultural Bank of China, Ltd. Class H | 4,480,000 | 1,557,900 | ||
Alibaba Group Holding, Ltd. ADR* | 150,837 | 34,206,815 | ||
Amoy Diagnostics Co., Ltd. Class A | 92,300 | 1,485,236 | ||
Anhui Conch Cement Co., Ltd. Class A | 40,100 | 254,498 | ||
Anhui Conch Cement Co., Ltd. Class H | 157,500 | 835,748 | ||
Baidu, Inc. ADR* | 7,509 | 1,531,085 | ||
Bank of Beijing Co., Ltd. Class A | 149,800 | 112,789 | ||
Bank of China, Ltd. Class A | 203,500 | 96,904 | ||
Bank of China, Ltd. Class H | 7,730,000 | 2,777,675 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 83,484 | ||
Bank of Ningbo Co., Ltd. Class A | 27,000 | 162,675 | ||
Bank of Shanghai Co., Ltd. Class A | 85,980 | 109,003 |
Shares | Value | |||
Baoshan Iron & Steel Co., Ltd. Class A | 107,400 | $ 126,860 | ||
BOE Technology Group Co., Ltd. Class A | 620,900 | 599,008 | ||
BYD Co., Ltd. Class A | 15,500 | 601,495 | ||
BYD Co., Ltd. Class HΔ | 7,000 | 209,343 | ||
China CITIC Bank Corporation, Ltd. Class H | 4,306,000 | 2,040,890 | ||
China Construction Bank Corporation Class H | 554,000 | 435,962 | ||
China Everbright Bank Co., Ltd. Class A | 131,700 | 76,967 | ||
China Everbright Bank Co., Ltd. Class H | 1,648,000 | 672,844 | ||
China Evergrande Group | 224,785 | 292,985 | ||
China Fortune Land Development Co., Ltd. Class A | 90,079 | 72,976 | ||
China Life Insurance Co., Ltd. Class H | 152,000 | 301,482 | ||
China Mengniu Dairy Co., Ltd.* | 310,000 | 1,874,541 | ||
China Merchants Bank Co., Ltd. Class A | 37,756 | 316,324 | ||
China Merchants Bank Co., Ltd. Class H | 476,500 | 4,065,804 | ||
China Merchants Securities Co., Ltd. Class A | 80,400 | 236,425 | ||
China Minsheng Banking Corporation, Ltd. Class A | 139,200 | 94,908 | ||
China National Building Material Co., Ltd. Class H | 466,000 | 547,367 | ||
China Pacific Insurance Group Co., Ltd. Class A | 21,100 | 94,506 | ||
China Petroleum & Chemical Corporation Class A | 172,300 | 116,144 | ||
China Petroleum & Chemical Corporation Class H | 1,314,000 | 665,098 | ||
China Railway Group, Ltd. Class H | 297,000 | 154,921 | ||
China Shenhua Energy Co., Ltd. Class H | 41,500 | 81,351 | ||
China Tourism Group Duty Free Corporation, Ltd. Class A | 15,212 | 705,796 | ||
China Vanke Co., Ltd. Class H | 78,650 | 246,152 | ||
CITIC Securities Co., Ltd. Class A | 48,700 | 187,781 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 21,599 | 1,785,878 | ||
COSCO SHIPPING Holdings Co., Ltd. Class H* | 990,500 | 2,495,290 | ||
Country Garden Holdings Co., Ltd.Δ | 297,632 | 333,501 | ||
CSC Financial Co., Ltd. Class H 144AΔ | 640,500 | 776,259 | ||
Dongfeng Motor Group Co., Ltd. Class H | 2,354,000 | 2,116,214 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 26,572 | 529,751 | ||
GF Securities Co., Ltd. Class H | 49,600 | 64,265 | ||
Gree Electric Appliances, Inc. of Zhuhai Class A | 193,300 | 1,557,027 | ||
Guotai Junan Securities Co., Ltd. Class A | 45,900 | 121,633 | ||
Haier Smart Home Co., Ltd. Class A | 90,400 | 362,128 | ||
Haitian International Holdings, Ltd. | 245,000 | 821,999 | ||
Haitong Securities Co., Ltd. Class A | 60,600 | 107,745 |
Shares | Value | |||
Hangzhou Robam Appliances Co., Ltd. Class A | 145,532 | $ 1,046,256 | ||
Huatai Securities Co., Ltd. Class A | 39,636 | 96,822 | ||
Huatai Securities Co., Ltd. Class H 144A | 231,000 | 339,168 | ||
Huaxia Bank Co., Ltd. Class A | 113,607 | 108,723 | ||
Industrial & Commercial Bank of China, Ltd. Class A | 169,700 | 135,643 | ||
Industrial Bank Co., Ltd. Class A | 40,800 | 129,628 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 78,162 | 445,066 | ||
JD.com, Inc. ADR* | 23,453 | 1,871,784 | ||
Jiangsu Hengrui Medicine Co., Ltd. Class A | 66,375 | 697,513 | ||
Luxshare Precision Industry Co., Ltd. Class A | 225,012 | 1,600,258 | ||
Midea Group Co., Ltd. Class A | 149,000 | 1,644,101 | ||
NARI Technology Co., Ltd. Class A | 711,561 | 2,556,671 | ||
NetEase, Inc. ADR | 44,984 | 5,184,406 | ||
New China Life Insurance Co., Ltd. Class A | 21,100 | 149,767 | ||
New China Life Insurance Co., Ltd. Class H | 406,000 | 1,385,701 | ||
New Oriental Education & Technology Group, Inc. ADRΔ* | 40,550 | 332,104 | ||
People’s Insurance Co. Group of China, Ltd. (The) Class H | 379,000 | 126,426 | ||
PetroChina Co., Ltd. Class A | 148,700 | 121,617 | ||
PICC Property & Casualty Co., Ltd. Class H | 2,159,803 | 1,891,563 | ||
Ping An Bank Co., Ltd. Class A | 50,900 | 178,007 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 20,100 | 199,755 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 994,996 | 9,745,817 | ||
SAIC Motor Corporation, Ltd. Class A | 81,900 | 278,189 | ||
Sany Heavy Industry Co., Ltd. Class A | 593,700 | 2,668,325 | ||
SF Holding Co., Ltd. Class A | 56,599 | 592,412 | ||
Shandong Sinocera Functional Material Co., Ltd. Class A | 327,300 | 2,466,876 | ||
Shanghai International Airport Co., Ltd. Class A | 209,400 | 1,558,186 | ||
Shanghai Pudong Development Bank Co., Ltd. Class A | 60,200 | 93,073 | ||
Shenwan Hongyuan Group Co., Ltd. Class A | 160,100 | 115,841 | ||
Shenzhen Inovance Technology Co., Ltd. Class A | 217,527 | 2,497,444 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 18,700 | 1,387,889 | ||
Sinopharm Group Co., Ltd. Class H | 285,600 | 849,704 | ||
Sunac China Holdings, Ltd.* | 104,859 | 359,916 | ||
Suning.com Co., Ltd. Class A | 202,175 | 174,729 | ||
Sunny Optical Technology Group Co., Ltd. | 296,476 | 9,370,479 | ||
TAL Education Group ADR* | 10,903 | 275,083 | ||
Tencent Holdings, Ltd. | 492,530 | 37,046,163 | ||
Vipshop Holdings, Ltd. ADR* | 8,678 | 174,254 | ||
Will Semiconductor, Ltd. Class A | 55,158 | 2,745,940 |
Shares | Value | |||
WuXi AppTec Co., Ltd. Class H 144A | 56,002 | $ 1,307,663 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 301,726 | 2,616,523 | ||
Yonghui Superstores Co., Ltd. Class A | 364,632 | 266,651 | ||
Yunnan Aluminium Co., Ltd. Class A* | 511,249 | 940,602 | ||
Yunnan Energy New Material Co., Ltd. Class A | 117,400 | 4,249,092 | ||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 237,930 | 882,115 | ||
Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 205,200 | 214,865 | ||
ZTE Corporation Class H | 70,800 | 221,127 | ||
172,561,795 | ||||
Egypt — 0.1% | ||||
Commercial International Bank Egypt SAE* | 177,927 | 591,427 | ||
Greece — 0.2% | ||||
Hellenic Exchanges - Athens Stock Exchange SA | 54,207 | 263,531 | ||
JUMBO SA | 37,725 | 634,753 | ||
Sarantis SA | 50,596 | 533,949 | ||
1,432,233 | ||||
Hong Kong — 8.0% | ||||
3SBio, Inc. 144AΔ* | 540,500 | 668,289 | ||
AIA Group, Ltd. | 745,625 | 9,267,134 | ||
Alibaba Group Holding, Ltd.* | 58,900 | 1,668,920 | ||
Alibaba Health Information Technology, Ltd.* | 286,000 | 634,303 | ||
ANTA Sports Products, Ltd. | 89,000 | 2,095,385 | ||
Beijing Enterprises Holdings, Ltd. | 54,000 | 191,608 | ||
Bilibili, Inc. Class Z* | 10,880 | 1,339,629 | ||
Bosideng International Holdings, Ltd. | 136,000 | 97,214 | ||
Brilliance China Automotive Holdings, Ltd. | 2,064,000 | 1,940,574 | ||
China Education Group Holdings, Ltd.Δ | 85,000 | 189,611 | ||
China Everbright Environment Group, Ltd. | 1,002,000 | 567,830 | ||
China Hongqiao Group, Ltd. | 420,500 | 569,743 | ||
China Medical System Holdings, Ltd. | 1,095,000 | 2,884,065 | ||
China Merchants Port Holdings Co., Ltd. | 248,000 | 362,212 | ||
China Resources Cement Holdings, Ltd. | 1,306,398 | 1,241,737 | ||
China Resources Land, Ltd.Δ | 1,329,987 | 5,387,233 | ||
China Taiping Insurance Holdings Co., Ltd. | 708,800 | 1,179,462 | ||
China Yuhua Education Corporation, Ltd. 144A | 450,000 | 407,442 | ||
CITIC, Ltd. | 2,740,000 | 2,953,750 | ||
CSPC Pharmaceutical Group, Ltd. | 942,000 | 1,363,688 | ||
ENN Energy Holdings, Ltd. | 213,000 | 4,054,635 | ||
Hengan International Group Co., Ltd. | 11,000 | 73,670 | ||
Hong Kong Exchanges and Clearing, Ltd. | 121,562 | 7,245,842 | ||
Jiumaojiu International Holdings, Ltd. 144A | 217,000 | 887,363 | ||
Kingboard Holdings, Ltd. | 155,500 | 863,188 |
Shares | Value | |||
Lenovo Group, Ltd. | 532,000 | $ 611,872 | ||
Li Ning Co., Ltd. | 27,000 | 329,663 | ||
Longfor Group Holdings, Ltd. 144A | 276,884 | 1,551,261 | ||
Meituan Class B 144A* | 232,221 | 9,582,784 | ||
Minth Group, Ltd. | 234,000 | 1,112,090 | ||
Nine Dragons Paper Holdings, Ltd. | 287,000 | 368,162 | ||
Samsonite International SA 144A* | 323,700 | 662,050 | ||
Shenzhen International Holdings, Ltd. | 221,000 | 305,699 | ||
Shimao Group Holdings, Ltd. | 68,500 | 167,979 | ||
Sino Biopharmaceutical, Ltd. | 1,149,000 | 1,127,646 | ||
Sinotruk Hong Kong, Ltd. | 686,000 | 1,470,196 | ||
Techtronic Industries Co., Ltd. | 49,000 | 855,763 | ||
Topsports International Holdings, Ltd. 144A | 530,000 | 868,282 | ||
Wuxi Biologics Cayman, Inc. 144A* | 63,221 | 1,158,681 | ||
ZTO Express Cayman, Inc. | 5,000 | 150,690 | ||
68,457,345 | ||||
Hungary — 0.5% | ||||
OTP Bank Nyrt PLC* | 78,544 | 4,228,404 | ||
India — 9.5% | ||||
Amber Enterprises India, Ltd.* | 23,281 | 916,519 | ||
Atul, Ltd.* | 5,158 | 623,006 | ||
Avenue Supermarts, Ltd. 144A* | 21,067 | 947,802 | ||
Axis Bank, Ltd.* | 54,941 | 553,106 | ||
Bajaj Auto, Ltd.* | 2,222 | 123,576 | ||
Bharti Airtel, Ltd. | 343,385 | 2,428,364 | ||
Colgate-Palmolive India, Ltd. | 3,883 | 88,066 | ||
Computer Age Management Services, Ltd. | 21,415 | 804,510 | ||
Crompton Greaves Consumer Electricals, Ltd. | 105,679 | 617,894 | ||
Divi's Laboratories, Ltd.* | 19,239 | 1,140,997 | ||
Dr. Reddy's Laboratories, Ltd. | 14,959 | 1,091,395 | ||
GAIL India, Ltd. | 192,578 | 387,721 | ||
Godrej Properties, Ltd.* | 52,171 | 981,093 | ||
HCL Technologies, Ltd. | 429,847 | 5,687,536 | ||
Hero MotoCorp, Ltd. | 56,724 | 2,215,083 | ||
Hindustan Petroleum Corporation, Ltd. | 28,273 | 111,525 | ||
Housing Development Finance Corporation, Ltd. | 367,348 | 12,232,990 | ||
ICICI Bank, Ltd.* | 266,890 | 2,265,315 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 40,054 | 844,405 | ||
Indian Oil Corporation, Ltd. | 103,991 | 150,957 | ||
Info Edge India, Ltd. | 18,759 | 1,240,610 | ||
Infosys, Ltd. | 95,323 | 2,027,265 | ||
Infosys, Ltd. ADR | 193,836 | 4,107,385 | ||
Kotak Mahindra Bank, Ltd.* | 59,211 | 1,358,874 | ||
Macrotech Developers, Ltd. 144A* | 104,668 | 962,684 | ||
Mahindra & Mahindra, Ltd. | 623,712 | 6,525,775 | ||
Marico, Ltd. | 1,111,783 | 7,939,384 | ||
Motherson Sumi Systems, Ltd.* | 192,078 | 625,617 | ||
Navin Fluorine International, Ltd. | 26,553 | 1,339,349 | ||
NTPC, Ltd. | 1,080,626 | 1,692,249 | ||
REC, Ltd. | 176,441 | 352,621 | ||
Route Mobile, Ltd.* | 33,696 | 781,178 |
Shares | Value | |||
SBI Life Insurance Co., Ltd. 144A | 45,856 | $ 621,952 | ||
Sona Blw Precision Forgings, Ltd. 144A* | 90,274 | 415,724 | ||
Tata Consultancy Services, Ltd. | 167,843 | 7,554,967 | ||
Tata Consumer Products, Ltd. | 95,424 | 968,490 | ||
Tata Motors, Ltd.* | 267,520 | 1,222,249 | ||
TeamLease Services, Ltd.* | 13,282 | 646,383 | ||
Tech Mahindra, Ltd. | 151,109 | 2,226,993 | ||
UPL, Ltd. | 140,118 | 1,494,586 | ||
Wipro, Ltd. | 475,053 | 3,487,322 | ||
81,803,517 | ||||
Indonesia — 1.5% | ||||
PT Adaro Energy Tbk | 6,941,000 | 576,821 | ||
PT Astra International Tbk | 2,564,300 | 873,630 | ||
PT Bank BTPN Syariah Tbk | 2,155,200 | 428,067 | ||
PT Bank Central Asia Tbk | 2,582,916 | 5,366,231 | ||
PT Bank Mandiri Persero Tbk | 5,832,400 | 2,373,183 | ||
PT Bank Negara Indonesia Persero Tbk | 490,631 | 156,664 | ||
PT BFI Finance Indonesia Tbk | 11,391,300 | 699,190 | ||
PT Indofood Sukses Makmur Tbk | 165,336 | 70,410 | ||
PT Map Aktif Adiperkasa* | 703,100 | 89,706 | ||
PT Pakuwon Jati Tbk* | 8,368,200 | 253,932 | ||
PT Perusahaan Gas Negara Tbk* | 247,900 | 17,182 | ||
PT Semen Indonesia Persero Tbk | 499,952 | 327,555 | ||
PT United Tractors Tbk | 981,460 | 1,370,660 | ||
12,603,231 | ||||
Kazakhstan — 0.1% | ||||
Kaspi.KZ JSC GDR 144A | 9,541 | 959,421 | ||
Malaysia — 0.5% | ||||
Hartalega Holdings Bhd | 186,200 | 329,657 | ||
Kossan Rubber Industries | 361,400 | 280,310 | ||
MISC Bhd | 42,900 | 70,062 | ||
Petronas Gas Bhd | 36,400 | 135,903 | ||
RHB Bank Bhd | 59,600 | 77,524 | ||
Sime Darby Bhd | 965,400 | 506,943 | ||
Supermax Corporation Bhd | 503,000 | 399,831 | ||
Top Glove Corporation Bhd | 2,524,000 | 2,535,247 | ||
4,335,477 | ||||
Mexico — 2.5% | ||||
Alpek SAB de CV | 1,139,800 | 1,402,022 | ||
America Movil SAB de CV, Series L | 4,367,700 | 3,286,621 | ||
Arca Continental SAB de CV | 156,621 | 906,381 | ||
Cemex SAB de CV ADR* | 427,935 | 3,594,654 | ||
Fomento Economico Mexicano SAB de CV ADR | 78,700 | 6,650,937 | ||
Gentera SAB de CV* | 338,550 | 198,708 | ||
Grupo Bimbo SAB de CV Series A | 74,300 | 163,628 | ||
Grupo Financiero Banorte SAB de CV Series O | 69,310 | 446,304 | ||
Grupo Televisa SAB SA ADR | 109,723 | 1,566,844 | ||
Kimberly-Clark de Mexico SAB de CV Series A | 239,301 | 425,085 |
Shares | Value | |||
Orbia Advance Corporation SAB de CV | 139,000 | $ 363,364 | ||
Wal-Mart de Mexico SAB de CV | 702,200 | 2,293,581 | ||
21,298,129 | ||||
Netherlands — 0.2% | ||||
InPost SA* | 41,720 | 837,321 | ||
Yandex NV Class AΔ* | 16,994 | 1,202,325 | ||
2,039,646 | ||||
Peru — 0.5% | ||||
Credicorp, Ltd.* | 31,171 | 3,775,120 | ||
Intercorp Financial Services, Inc. | 7,876 | 199,026 | ||
3,974,146 | ||||
Philippines — 0.5% | ||||
Ayala Land, Inc. | 2,713,900 | 2,004,222 | ||
BDO Unibank, Inc. | 34,770 | 80,630 | ||
International Container Terminal Services, Inc. | 95,860 | 321,464 | ||
JG Summit Holdings, Inc. | 36,256 | 46,160 | ||
Jollibee Foods Corporation | 145,210 | 635,396 | ||
Monde Nissin Corporation 144A* | 3,468,600 | 1,173,846 | ||
PLDT, Inc. | 4,180 | 110,719 | ||
SM Prime Holdings, Inc. | 381,000 | 284,882 | ||
4,657,319 | ||||
Poland — 1.6% | ||||
Allegro.eu SA 144A* | 100,902 | 1,736,478 | ||
Bank Polska Kasa Opieki SA* | 163,379 | 3,984,854 | ||
Dino Polska SA 144A* | 16,727 | 1,227,875 | ||
Grupa Lotos SA | 187,881 | 2,646,003 | ||
KGHM Polska Miedz SA | 6,799 | 334,601 | ||
PGE Polska Grupa Energetyczna SA* | 610,074 | 1,505,585 | ||
Polski Koncern Naftowy ORLEN SA | 13,106 | 263,907 | ||
Polskie Gornictwo Naftowe i Gazownictwo SA | 540,551 | 945,858 | ||
Powszechna Kasa Oszczednosci Bank Polski SA* | 154,146 | 1,529,332 | ||
14,174,493 | ||||
Qatar — 0.1% | ||||
Industries Qatar QSC | 17,530 | 63,794 | ||
Qatar Islamic Bank SAQ | 6,620 | 31,436 | ||
Qatar National Bank QPSC | 108,220 | 533,521 | ||
628,751 | ||||
Russia — 1.7% | ||||
Gazprom PJSC ADR | 532,310 | 4,063,778 | ||
LUKOIL PJSC ADR | 42,747 | 3,959,227 | ||
MMC Norilsk Nickel PJSC ADR | 33,263 | 1,133,270 | ||
Novatek PJSC GDR | 1,991 | 436,626 | ||
Novolipetsk Steel PJSC GDR | 4,192 | 132,048 | ||
Polyus PJSC GDR | 5,619 | 543,638 | ||
Rosneft Oil Co. PJSC GDR | 16,843 | 130,365 | ||
Sberbank of Russia PJSC ADR | 210,535 | 3,498,363 | ||
Severstal PAO GDR | 22,303 | 479,515 |
Shares | Value | |||
Surgutneftegas PJSC ADR | 19,506 | $ 96,789 | ||
14,473,619 | ||||
Saudi Arabia — 0.7% | ||||
Alinma Bank | 190,495 | 1,068,633 | ||
Arab National Bank | 58,548 | 354,354 | ||
Bank Al-Jazira* | 148,479 | 732,379 | ||
Banque Saudi Fransi | 44,323 | 453,795 | ||
Jarir Marketing Co. | 10,125 | 570,149 | ||
Riyad Bank | 84,605 | 597,780 | ||
Saudi Arabian Oil Co. 144A | 61,418 | 574,781 | ||
Saudi Basic Industries Corporation | 25,575 | 830,543 | ||
Saudi National Bank (The) | 71,660 | 1,100,521 | ||
6,282,935 | ||||
Singapore — 0.1% | ||||
Del Monte Pacific, Ltd. | 167,400 | 47,928 | ||
Nanofilm Technologies International, Ltd.* | 164,606 | 672,036 | ||
719,964 | ||||
Slovenia — 0.0% | ||||
Nova Ljubljanska Banka dd GDR | 27,916 | 427,008 | ||
South Africa — 4.1% | ||||
Anglo American Platinum, Ltd. | 6,890 | 795,829 | ||
AngloGold Ashanti, Ltd. ADRΔ | 88,383 | 1,642,156 | ||
Clicks Group, Ltd. | 120,601 | 2,074,962 | ||
Exxaro Resources, Ltd. | 21,303 | 251,250 | ||
Gold Fields, Ltd. ADR | 271,308 | 2,414,641 | ||
Harmony Gold Mining Co., Ltd. ADRΔ | 641,445 | 2,392,590 | ||
Impala Platinum Holdings, Ltd. | 16,912 | 278,894 | ||
JSE, Ltd. | 69,101 | 514,386 | ||
Kumba Iron Ore, Ltd. | 11,094 | 497,669 | ||
Mr Price Group, Ltd. | 45,268 | 667,354 | ||
MTN GroupΔ* | 132,753 | 959,670 | ||
MultiChoice Group, Ltd. | 179,819 | 1,477,588 | ||
Naspers, Ltd. N Shares | 64,380 | 13,517,050 | ||
Northam Platinum, Ltd.* | 31,334 | 476,000 | ||
Old Mutual, Ltd.Δ | 1,885,546 | 1,782,554 | ||
Santam, Ltd.* | 19,579 | 355,918 | ||
Sasol, Ltd.* | 12,173 | 185,843 | ||
Shoprite Holdings, Ltd. | 9,466 | 103,039 | ||
Sibanye Stillwater, Ltd. | 469,345 | 1,960,863 | ||
SPAR Group, Ltd. (The) | 6,765 | 85,695 | ||
Transaction Capital, Ltd. | 331,266 | 877,345 | ||
Woolworths Holdings, Ltd.* | 498,197 | 1,880,799 | ||
35,192,095 | ||||
South Korea — 11.7% | ||||
BGF retail Co., Ltd. | 6,171 | 983,612 | ||
Cheil Worldwide, Inc. | 10,483 | 234,114 | ||
CJ ENM Co., Ltd. | 3,753 | 608,865 | ||
CJ Logistics Corporation* | 7,811 | 1,227,676 | ||
Coway Co., Ltd. | 26,613 | 1,859,826 | ||
DB Insurance Co., Ltd. | 31,243 | 1,520,327 | ||
Doosan Bobcat, Inc.* | 2,284 | 97,351 | ||
Fila Holdings Corporation | 17,779 | 918,828 | ||
Hana Financial Group, Inc. | 22,082 | 902,967 |
Shares | Value | |||
Hankook Tire & Technology Co., Ltd. | 31,361 | $ 1,439,740 | ||
Hanwha Corporation | 30,034 | 846,761 | ||
Hugel, Inc.* | 1,485 | 315,949 | ||
Hyundai Glovis Co., Ltd. | 13,806 | 2,562,229 | ||
Hyundai Marine & Fire Insurance Co., Ltd. | 56,871 | 1,287,759 | ||
Industrial Bank of Korea | 197,834 | 1,844,565 | ||
KB Financial Group, Inc. | 2,893 | 143,346 | ||
Kia Motors Corporation | 50,986 | 4,056,605 | ||
Korea Gas Corporation* | 3,945 | 129,264 | ||
Korea Investment Holdings Co., Ltd. | 9,587 | 876,847 | ||
LG Electronic, Inc. | 19,659 | 2,854,190 | ||
LG Household & Health Care, Ltd. | 1,119 | 1,750,813 | ||
LG Innotek Co., Ltd. | 4,283 | 848,119 | ||
LG Uplus Corporation | 13,101 | 178,573 | ||
Meritz Securities Co., Ltd. | 43,911 | 184,628 | ||
NAVER Corporation | 5,302 | 1,965,622 | ||
NCSoft Corporation | 7,050 | 5,133,419 | ||
NH Investment & Securities Co., Ltd. | 52,969 | 606,758 | ||
NHN KCP Corporation* | 2,410 | 124,336 | ||
Orion Corporation | 8,526 | 897,155 | ||
Pearl Abyss Corporation* | 11,137 | 748,631 | ||
POSCO | 10,261 | 3,170,828 | ||
Samsung Card Co., Ltd. | 12,131 | 369,483 | ||
Samsung Electro-Mechanics Co., Ltd. | 12,041 | 1,892,516 | ||
Samsung Electronics Co., Ltd. | 430,515 | 30,850,740 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 30,259 | 5,924,708 | ||
Samsung Life Insurance Co., Ltd. | 10,707 | 758,708 | ||
Samsung SDS Co., Ltd. | 436 | 71,624 | ||
Samsung Securities Co., Ltd. | 2,582 | 103,060 | ||
Shinhan Financial Group Co., Ltd. | 8,926 | 321,800 | ||
SK Hynix, Inc. | 170,329 | 19,284,240 | ||
Woori Financial Group, Inc. | 40,484 | 411,616 | ||
100,308,198 | ||||
Taiwan — 12.8% | ||||
Accton Technology Corporation | 91,000 | 1,079,426 | ||
Acer, Inc. | 742,000 | 780,282 | ||
Advantech Co., Ltd. | 98,087 | 1,214,536 | ||
ASE Technology Holding Co., Ltd. | 93,000 | 373,836 | ||
ASMedia Technology, Inc. | 14,000 | 675,819 | ||
Asustek Computer, Inc. | 18,000 | 240,000 | ||
AU Optronics Corporation | 131,000 | 106,493 | ||
Catcher Technology Co., Ltd. | 104,000 | 679,336 | ||
Cathay Financial Holding Co., Ltd. | 159,000 | 307,585 | ||
Chailease Holding Co., Ltd. | 124,360 | 903,828 | ||
Cheng Shin Rubber Industry Co., Ltd. | 322,000 | 540,278 | ||
China Life Insurance Co., Ltd. | 128,083 | 121,130 | ||
China Steel Corporation | 2,083,000 | 2,960,495 | ||
Far Eastern New Century Corporation | 210,000 | 241,184 | ||
Globalwafers Co., Ltd. | 122,000 | 4,023,975 | ||
Hon Hai Precision Industry Co., Ltd. | 1,077,000 | 4,329,260 | ||
Largan Precision Co., Ltd. | 40,500 | 4,506,057 | ||
Lite-On Technology Corporation | 316,000 | 653,265 | ||
MediaTek, Inc. | 303,396 | 10,475,261 | ||
momo.com, Inc. | 14,000 | 947,151 | ||
Nanya Technology Corporation | 77,000 | 220,257 |
Shares | Value | |||
Nien Made Enterprise Co., Ltd. | 37,000 | $ 549,107 | ||
Phison Electronics Corporation | 12,000 | 206,729 | ||
Pou Chen Corporation | 162,000 | 228,501 | ||
Powertech Technology, Inc. | 378,763 | 1,461,356 | ||
President Chain Store Corporation | 534,000 | 5,040,538 | ||
Quanta Computer, Inc. | 69,000 | 216,689 | ||
Realtek Semiconductor Corporation | 86,000 | 1,558,726 | ||
Silergy Corporation | 33,800 | 4,597,649 | ||
Taishin Financial Holding Co., Ltd. | 760,000 | 415,971 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,711,986 | 36,559,234 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 132,084 | 15,871,213 | ||
Taiwan Union Technology Corporation | 68,000 | 284,325 | ||
Tong Hsing Electronic Industries, Ltd. | 78,720 | 600,377 | ||
United Microelectronics Corporation | 1,733,000 | 3,302,729 | ||
Voltronic Power Technology Corporation | 41,000 | 1,979,183 | ||
Win Semiconductors Corporation | 49,000 | 659,489 | ||
Wistron Corporation | 682,000 | 758,798 | ||
109,670,068 | ||||
Thailand — 1.4% | ||||
Airports of Thailand PCL | 1,272,200 | 2,461,042 | ||
Bangkok Bank PCL NVDRΔ | 94,270 | 332,372 | ||
Central Pattana PCL NVDR | 126,400 | 207,051 | ||
Central Retail Corporation PCL | 1,221,000 | 1,276,240 | ||
Charoen Pokphand Foods PCL NVDRΔ | 1,182,700 | 977,896 | ||
Indorama Ventures PCL NVDR | 923,600 | 1,174,312 | ||
Kasikornbank PCL | 250,000 | 920,437 | ||
Kasikornbank PCL NVDR | 46,900 | 172,674 | ||
PTT Exploration & Production PCL | 262,200 | 957,173 | ||
Siam Cement PCL (The) NVDR | 11,200 | 150,964 | ||
Thai Union Group PCL NVDR | 3,726,300 | 2,302,051 | ||
Total Access Communication PCL NVDR | 1,099,900 | 1,046,707 | ||
11,978,919 | ||||
Turkey — 0.5% | ||||
Akbank TAS | 3,093,335 | 1,875,879 | ||
Enerjisa Enerji AS 144A | 571,955 | 679,902 | ||
Mavi Giyim Sanayi Ve Ticaret AS Class B 144A* | 53,371 | 345,417 | ||
Sok Marketler Ticaret AS | 193,379 | 260,748 | ||
Turk Telekomunikasyon AS | 820,558 | 625,779 | ||
Yapi ve Kredi Bankasi AS | 1,429,448 | 354,622 | ||
4,142,347 |
Shares | Value | |||
United Arab Emirates — 0.0% | ||||
Abu Dhabi Commercial Bank PJSC | 235,084 | $ 439,684 | ||
United Kingdom — 2.7% | ||||
Anglo American PLC | 115,294 | 4,581,241 | ||
Antofagasta PLC | 352,323 | 6,996,174 | ||
Fix Price Group, Ltd. GDR* | 57,950 | 507,063 | ||
Network International Holdings PLC 144A* | 294,361 | 1,489,093 | ||
TCS Group Holding PLC GDR | 26,322 | 2,303,175 | ||
Unilever PLC | 124,714 | 7,298,327 | ||
23,175,073 | ||||
Total Foreign Common Stocks (Cost $582,480,328) | 738,221,847 | |||
FOREIGN PREFERRED STOCKS — 0.4% | ||||
Brazil — 0.3% | ||||
Banco Bradesco SA | ||||
0.00%* | 183,471 | 949,484 | ||
Cia Energetica de Minas Gerais | ||||
4.53%◊ | 1 | 2 | ||
Gerdau SA | ||||
5.38%◊ | 11,300 | 67,112 | ||
Petroleo Brasileiro SA | ||||
2.72%◊ | 224,700 | 1,329,551 | ||
2,346,149 | ||||
Chile — 0.1% | ||||
Embotelladora Andina SA Class B | ||||
5.29%◊ | 525,515 | 1,216,701 | ||
Total Foreign Preferred Stocks (Cost $3,147,534) | 3,562,850 | |||
MONEY MARKET FUNDS — 5.8% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 26,831,280 | 26,831,280 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 3,998,768 | 3,998,768 |
Shares | Value | |||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 18,712,630 | $ 18,712,630 | ||
Total Money Market Funds (Cost $49,542,678) | 49,542,678 | |||
TOTAL INVESTMENTS — 97.5% (Cost $669,679,848) | 836,635,574 | |||
Other Assets in Excess of Liabilities — 2.5% | 21,287,287 | |||
NET ASSETS — 100.0% | $857,922,861 |
% | |
Information Technology | 23.3 |
Consumer Discretionary | 16.7 |
Financials | 16.7 |
Communication Services | 8.4 |
Materials | 7.3 |
Consumer Staples | 6.6 |
Money Market Funds | 5.8 |
Industrials | 4.7 |
Health Care | 3.0 |
Energy | 2.4 |
Real Estate | 1.6 |
Utilities | 1.0 |
97.5 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 07/2021 | 50 | $ 3,050,500 | $ 34,956 | ||||
HSCEI Index | 07/2021 | 33 | 2,246,455 | (33,448) | ||||
MSCI Singapore Index | 07/2021 | (398) | (10,520,495) | (15,149) | ||||
SGX Nifty 50 Index | 07/2021 | 135 | 4,251,690 | (24,542) | ||||
FTSE KLCI | 07/2021 | 111 | 2,049,416 | (24,792) | ||||
KOSPI2 Index | 09/2021 | 197 | 19,192,259 | 274,982 | ||||
Mexican Bolsa Index | 09/2021 | 18 | 457,486 | (4,241) | ||||
MSCI Emerging Markets | 09/2021 | 828 | 56,502,720 | (40,090) | ||||
SET50 Index | 09/2021 | (117) | (691,779) | 1,110 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $ 76,538,252 | $168,786 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | Brazilian Reals | 202,685,000 | U.S. Dollars | 37,962,785 | CITI | $2,392,977 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | U.S. Dollars | 18,972,659 | Czech Republic Koruna | 395,500,000 | CITI | $ 594,011 | ||||||
09/15/21 | U.S. Dollars | 42,828,663 | Singapore Dollars | 56,850,000 | CITI | 552,066 | ||||||
09/15/21 | U.S. Dollars | 15,908,066 | Polish Zloty | 58,597,000 | CITI | 536,765 | ||||||
09/15/21 | U.S. Dollars | 11,055,273 | Philippine Pesos | 534,652,000 | CITI | 170,059 | ||||||
09/15/21 | U.S. Dollars | 10,093,470 | Chilean Pesos | 7,314,002,110 | CITI | 155,520 | ||||||
09/15/21 | Russian Rubles | 1,181,858,000 | U.S. Dollars | 15,822,084 | CITI | 143,737 | ||||||
09/15/21 | U.S. Dollars | 10,043,586 | Colombian Pesos | 37,350,000,000 | CITI | 132,578 | ||||||
09/15/21 | U.S. Dollars | 13,596,256 | South Korean Won | 15,238,926,000 | CITI | 114,502 | ||||||
09/15/21 | U.S. Dollars | 3,417,126 | Thai Baht | 107,466,000 | CITI | 65,127 | ||||||
09/15/21 | U.S. Dollars | 4,987,085 | Indonesian Rupiahs | 72,463,265,212 | CITI | 58,859 | ||||||
09/15/21 | U.S. Dollars | 2,112,122 | Hungarian Forint | 610,344,000 | CITI | 55,456 | ||||||
09/15/21 | Chilean Pesos | 2,750,000,000 | U.S. Dollars | 3,685,847 | CITI | 50,735 | ||||||
09/15/21 | U.S. Dollars | 4,490,855 | Chinese Offshore Yuan | 28,901,000 | CITI | 47,623 | ||||||
09/15/21 | U.S. Dollars | 2,754,175 | Taiwan Dollars | 75,455,110 | CITI | 33,369 | ||||||
09/15/21 | U.S. Dollars | 13,179,118 | Indian Rupees | 987,000,000 | CITI | 31,596 | ||||||
09/17/21 | U.S. Dollars | 9,649,879 | Israeli Shekels | 31,341,000 | CITI | 27,381 | ||||||
09/15/21 | Mexican Pesos | 242,734,250 | U.S. Dollars | 12,031,482 | CITI | 24,626 | ||||||
09/15/21 | U.S. Dollars | 2,604,177 | Mexican Pesos | 52,016,000 | CITI | 20,650 | ||||||
09/15/21 | U.S. Dollars | 1,840,251 | South African Rand | 26,286,000 | CITI | 17,957 | ||||||
09/15/21 | U.S. Dollars | 1,462,553 | Brazilian Reals | 7,300,000 | CITI | 9,081 | ||||||
09/15/21 | South Korean Won | 1,738,874,000 | U.S. Dollars | 1,535,907 | CITI | 2,461 | ||||||
09/15/21 | U.S. Dollars | 3,833,131 | Hong Kong Dollars | 29,743,000 | CITI | 1,787 | ||||||
09/15/21 | Chinese Offshore Yuan | 4,836,000 | U.S. Dollars | 741,744 | CITI | 1,741 | ||||||
09/15/21 | U.S. Dollars | 48,249 | Euro | 40,000 | CITI | 741 | ||||||
09/15/21 | Thai Baht | 4,693,000 | U.S. Dollars | 145,835 | CITI | 546 | ||||||
09/15/21 | Colombian Pesos | 100,000,000 | U.S. Dollars | 26,406 | CITI | 129 | ||||||
09/15/21 | Singapore Dollars | 320,000 | U.S. Dollars | 237,862 | CITI | 107 | ||||||
09/15/21 | U.S. Dollars | 26,155 | Peruvian Nuevo Soles | 100,000 | CITI | 98 | ||||||
09/15/21 | Hong Kong Dollars | 54,666,000 | U.S. Dollars | 7,041,742 | CITI | 57 | ||||||
09/15/21 | Saudi Riyals | 3,370,500 | U.S. Dollars | 898,402 | CITI | 15 | ||||||
09/17/21 | Israeli Shekels | 13,000 | U.S. Dollars | 3,983 | CITI | 8 | ||||||
09/15/21 | U.S. Dollars | 159,936 | Saudi Riyals | 600,000 | CITI | 4 | ||||||
Subtotal Appreciation | $5,242,369 | |||||||||||
09/15/21 | U.S. Dollars | 133,273 | Saudi Riyals | 500,000 | CITI | $ (3) | ||||||
09/15/21 | U.S. Dollars | 4,519 | South Korean Won | 5,142,000 | CITI | (30) | ||||||
09/15/21 | U.S. Dollars | 360,634 | Hong Kong Dollars | 2,800,000 | CITI | (47) | ||||||
09/15/21 | Saudi Riyals | 7,959,500 | U.S. Dollars | 2,121,788 | CITI | (157) | ||||||
09/15/21 | U.S. Dollars | 46,673 | Russian Rubles | 3,470,000 | CITI | (204) | ||||||
09/15/21 | U.S. Dollars | 123,704 | Chinese Offshore Yuan | 806,000 | CITI | (210) | ||||||
09/15/21 | U.S. Dollars | 143,218 | Thai Baht | 4,603,000 | CITI | (356) | ||||||
09/15/21 | U.S. Dollars | 269,540 | South African Rand | 3,900,000 | CITI | (830) | ||||||
09/15/21 | U.S. Dollars | 1,801,189 | Taiwan Dollars | 50,000,000 | CITI | (1,741) | ||||||
09/15/21 | Singapore Dollars | 1,110,000 | U.S. Dollars | 827,339 | CITI | (1,886) | ||||||
09/15/21 | U.S. Dollars | 2,728,459 | Indian Rupees | 205,000,000 | CITI | (2,282) | ||||||
09/15/21 | Peruvian Nuevo Soles | 729,874 | U.S. Dollars | 192,859 | CITI | (2,678) | ||||||
09/17/21 | U.S. Dollars | 4,783,776 | Israeli Shekels | 15,592,000 | CITI | (3,370) | ||||||
09/17/21 | Israeli Shekels | 4,585,000 | U.S. Dollars | 1,411,347 | CITI | (3,635) | ||||||
09/15/21 | U.S. Dollars | 610,814 | Mexican Pesos | 12,393,521 | CITI | (4,747) | ||||||
09/15/21 | Hong Kong Dollars | 104,366,000 | U.S. Dollars | 13,449,688 | CITI | (5,783) | ||||||
09/15/21 | U.S. Dollars | 3,297,742 | Colombian Pesos | 12,450,000,000 | CITI | (5,928) | ||||||
09/15/21 | Brazilian Reals | 5,200,000 | U.S. Dollars | 1,042,450 | CITI | (7,100) | ||||||
09/15/21 | Euro | 353,000 | U.S. Dollars | 431,464 | CITI | (12,211) | ||||||
09/15/21 | Indonesian Rupiahs | 23,300,000,000 | U.S. Dollars | 1,604,685 | CITI | (20,052) | ||||||
09/15/21 | Czech Republic Koruna | 15,000,000 | U.S. Dollars | 719,249 | CITI | (22,208) | ||||||
09/15/21 | Chinese Offshore Yuan | 68,892,438 | U.S. Dollars | 10,640,596 | CITI | (49,094) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | Mexican Pesos | 228,863,750 | U.S. Dollars | 11,416,939 | CITI | $ (49,749) | ||||||
09/15/21 | Taiwan Dollars | 153,039,000 | U.S. Dollars | 5,579,074 | CITI | (60,701) | ||||||
09/15/21 | Colombian Pesos | 16,300,000,000 | U.S. Dollars | 4,391,092 | CITI | (65,806) | ||||||
10/10/23 | U.S. Dollars | 1,196,265 | Chinese Offshore Yuan | 8,649,000 | SC | (76,592) | ||||||
09/15/21 | U.S. Dollars | 5,099,931 | Brazilian Reals | 26,223,000 | CITI | (121,222) | ||||||
09/15/21 | South Korean Won | 14,699,851,000 | U.S. Dollars | 13,143,254 | CITI | (138,414) | ||||||
09/15/21 | Chilean Pesos | 5,971,249,000 | U.S. Dollars | 8,254,102 | CITI | (140,627) | ||||||
09/15/21 | Russian Rubles | 853,000,000 | U.S. Dollars | 11,680,302 | CITI | (157,053) | ||||||
09/15/21 | Polish Zloty | 25,162,000 | U.S. Dollars | 6,842,888 | CITI | (242,336) | ||||||
09/15/21 | Thai Baht | 489,595,000 | U.S. Dollars | 15,562,940 | CITI | (291,853) | ||||||
09/15/21 | South African Rand | 201,083,000 | U.S. Dollars | 14,238,128 | CITI | (297,914) | ||||||
09/15/21 | Hungarian Forint | 2,680,000,000 | U.S. Dollars | 9,355,346 | CITI | (324,596) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (326,145) | ||||||
09/15/21 | Indian Rupees | 2,626,926,000 | U.S. Dollars | 35,388,323 | CITI | (395,858) | ||||||
Subtotal Depreciation | $(2,833,418) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $ 2,408,951 |
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 | ||||||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 7/21/2021 | GSC | TWD | 389,664,000 | $ 416,839 | $ — | $ 416,839 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 7/21/2021 | CITI | TWD | 85,017,600 | 93,392 | — | 93,392 | ||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 8/18/2021 | GSC | BRL | 12,700,500 | 69,088 | — | 69,088 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 9/9/2021 | GSC | KRW | 6,363,325,000 | 79,898 | — | 79,898 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 9/9/2021 | CITI | KRW | 4,827,350,000 | 56,386 | — | 56,386 | ||||||||
Financing Index: 1-Month ICE LIBOR USD (0.05)% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 9/15/2021 | GSC | USD | 401,988 | 2,343 | — | 2,343 | ||||||||
MSCI Brazil Net Return BRL Index (Monthly) | Financing Index: Brazil Cetip Di Interbank Deposit Rate (0.45)% | 9/15/2021 | GSC | BRL | 5,026,961 | 18,770 | — | 18,770 | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: 1-Month ICE LIBOR USD + 0.15% | 9/15/2021 | GSC | USD | 925,649 | 3,004 | — | 3,004 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: 1-Month ICE LIBOR USD (0.25)% | 9/15/2021 | GSC | USD | 13,757,480 | 589,271 | — | 589,271 | ||||||||
MSCI Poland Net Return PLN Index (Monthly) | Financing Index: 1-Month WIBOR (0.01)% | 9/15/2021 | GSC | PLN | 869,323 | 2,112 | — | 2,112 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: 1-Month SORF + 0.00% | 9/15/2021 | GSC | SGD | 5,561,575 | 51,961 | — | 51,961 | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR (0.08)% | 9/15/2021 | GSC | ZAR | 27,658,210 | 51,587 | — | 51,587 | ||||||||
Subtotal Appreciation | $1,434,651 | $ — | $1,434,651 |
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) | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 7/29/2021 | GSC | HKD | 54,969,200 | $ (122,322) | $ — | $ (122,322) | ||||||||
Decrease in total return of SGX Nifty 50 Index (At Termination) | Increase in total return of SGX Nifty 50 Index (At Termination) | 7/29/2021 | GSC | USD | 1,511,712 | (8,498) | — | (8,498) | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 8/31/2021 | GSC | TRY | 21,543,590 | (80,769) | — | (80,769) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% | MSCI Mexico Net MXN Index (Monthly) | 9/15/2021 | GSC | MXN | 66,790,673 | (56,944) | — | (56,944) | ||||||||
Increase in total return of WIG20 Index (At Termination) | Decrease in total return of WIG20 Index (At Termination) | 9/17/2021 | GSC | PLN | 4,559,360 | (32,654) | — | (32,654) | ||||||||
Subtotal Depreciation | $ (301,187) | $ — | $ (301,187) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2021 | $1,133,464 | $ — | $1,133,464 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 45,308,199 | $ 45,308,199 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
China | 172,561,795 | 172,387,066 | 174,729 | — | |||
Hong Kong | 68,457,345 | 66,516,771 | — | 1,940,574 | |||
Thailand | 11,978,919 | 6,364,027 | 5,614,892 | — | |||
Other ^^ | 485,223,788 | 485,223,788 | — | — | |||
Total Foreign Common Stocks | 738,221,847 | 730,491,652 | 5,789,621 | 1,940,574 | |||
Foreign Preferred Stocks | 3,562,850 | 3,562,850 | — | — | |||
Money Market Funds | 49,542,678 | 49,542,678 | — | — | |||
Total Assets - Investments in Securities | $836,635,574 | $828,905,379 | $5,789,621 | $1,940,574 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 5,242,369 | $ — | $5,242,369 | $ — | |||
Futures Contracts | 311,048 | 311,048 | — | — | |||
Swap Agreements | 1,434,651 | — | 1,434,651 | — | |||
Total Assets - Other Financial Instruments | $ 6,988,068 | $ 311,048 | $6,677,020 | $ — |
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 | $(2,833,418) | $ — | $(2,833,418) | $ — | |||
Futures Contracts | (142,262) | (142,262) | — | — | |||
Swap Agreements | (301,187) | — | (301,187) | — | |||
Total Liabilities - Other Financial Instruments | $(3,276,867) | $(142,262) | $(3,134,605) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
Defensive Market Strategies® Fund | Global Impact Fund | Equity Index Fund | |||
Assets | |||||
Investments in securities of unaffiliated issuers, at value | $1,397,571,858 | $162,044,207 | $2,806,887,764 | ||
Investments in securities of affiliated issuers, at value | 68,848,519 | 11,644,640 | 67,268,163 | ||
Total investments, at value(1), (2) | 1,466,420,377 | 173,688,847 | 2,874,155,927 | ||
Cash | — | — | — | ||
Cash collateral for derivatives | 32,400 | — | — | ||
Deposits with broker for futures contracts | — | 1,707,347 | 3,688,904 | ||
Foreign currency(3) | 1 | 73,886 | — | ||
Receivables: | |||||
Dividends and reclaims | 1,030,805 | 41,896 | 1,267,811 | ||
Interest | 1,699,731 | 160,259 | — | ||
Securities lending | 11,803 | 1,931 | 28,169 | ||
Investment securities sold | 1,834,944 | — | — | ||
Fund shares sold | 301,190 | 7,885 | 1,040,678 | ||
Variation margin on futures contracts | — | — | 103,950 | ||
Unrealized appreciation on foreign currency exchange contracts | 174,091 | — | — | ||
Unrealized appreciation on swap agreements | — | — | — | ||
Prepaid expenses and other assets | 34,036 | 6,914 | 55,424 | ||
Total Assets | 1,471,539,378 | 175,688,965 | 2,880,340,863 | ||
Liabilities | |||||
Securities sold short, at value(4) | — | — | — | ||
Options written, at value(5) | 482,758 | — | — | ||
Unrealized depreciation on foreign currency exchange contracts | 2,271 | — | — | ||
Unrealized depreciation on swap agreements | — | — | — | ||
Collateral held for securities on loan, at value | 38,831,838 | — | 419,707 | ||
Collateral from counterparty | — | — | — | ||
Payables: | |||||
Investment securities purchased | 903,042 | 1,497,358 | — | ||
Fund shares redeemed | 99,916 | 262 | 742,598 | ||
Variation margin on futures contracts | — | 34,788 | — | ||
Foreign capital gains taxes | — | — | — | ||
Accrued expenses: | |||||
Investment advisory fees | 718,291 | 89,399 | 202,249 | ||
Shareholder servicing fees | 89,185 | 5,778 | 168,947 | ||
Trustee fees | 4,369 | 1,032 | 8,150 | ||
Other expenses | 318,712 | 99,011 | 597,102 | ||
Total Liabilities | 41,450,382 | 1,727,628 | 2,138,753 | ||
Net Assets | $1,430,088,996 | $173,961,337 | $2,878,202,110 | ||
Net Assets Consist of: | |||||
Paid-in-capital | $1,113,294,118 | $164,516,095 | $1,562,594,438 | ||
Distributable earnings (loss) | 316,794,878 | 9,445,242 | 1,315,607,672 | ||
Net Assets | $1,430,088,996 | $173,961,337 | $2,878,202,110 | ||
Net Asset Value: | |||||
$0.001 par value, unlimited shares authorized | |||||
Net assets applicable to the Institutional Class | $ 992,534,649 | $145,539,183 | $2,040,673,510 | ||
Institutional shares outstanding | 67,003,401 | 13,744,100 | 44,070,587 | ||
Net asset value, offering and redemption price per Institutional share | $ 14.81 | $ 10.59 | $ 46.30 | ||
Net assets applicable to the Investor Class | $ 437,554,347 | $ 28,422,154 | $ 837,528,600 | ||
Investor shares outstanding | 29,533,506 | 2,687,482 | 18,081,310 | ||
Net asset value, offering and redemption price per Investor share | $ 14.82 | $ 10.58 | $ 46.32 | ||
(1)Investments in securities of unaffiliated issuers, at cost | $1,157,368,580 | $153,181,642 | $1,510,866,154 | ||
Investments in securities of affiliated issuers, at cost | 68,848,519 | 11,644,640 | 67,268,163 | ||
Total investments, at cost | $1,226,217,099 | $164,826,282 | $1,578,134,317 | ||
(2)Includes securities loaned of: | $ 79,402,356 | $ — | $ 106,522,616 | ||
(3)Foreign currency, at cost | $ 1 | $ 73,886 | $ — | ||
(4)Proceeds from securities sold short | $ — | $ — | $ — | ||
(5)Premiums received on options written | $ 863,506 | $ — | $ — | ||
(6)Net of $(1,266,131) and $(2,967,048) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively. |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$1,318,018,072 | $2,032,434,070 | $830,991,353 | $830,960,998 | $1,220,435,875 | $809,804,294 | |||||
44,263,719 | 72,061,857 | 26,382,380 | 27,154,284 | 76,870,954 | 26,831,280 | |||||
1,362,281,791 | 2,104,495,927 | 857,373,733 | 858,115,282 | 1,297,306,829 | 836,635,574 | |||||
217 | 8,615 | 605,317 | 14,606 | 1,442,863 | — | |||||
— | — | — | — | 18,580,000 | 17,670,000 | |||||
2,518,008 | 4,031,000 | 1,625,000 | 2,288,952 | 17,167,357 | 7,030,492 | |||||
— | — | — | 3,571,691 | 8,500,512 | 1,950,595 | |||||
1,275,182 | 772,992 | 562,485 | 3,216,618 | 6,233,792 | 1,894,180 | |||||
— | — | — | — | 1,749 | — | |||||
20,929 | 121,387 | 29,915 | 15,703 | 14,319 | 1,559 | |||||
2,927,772 | 1,707,561 | 2,359,329 | — | 667,179 | 3,846,498 | |||||
76,777 | 1,834,795 | 289,311 | 106,348 | 177,326 | 111,244 | |||||
71,940 | 115,170 | 38,080 | — | — | — | |||||
246,077 | — | 4,930 | — | 5,437,485 | 5,242,369 | |||||
— | — | — | — | 1,709,117 | 1,434,651 | |||||
35,661 | 63,500 | 41,233 | 10,363 | 31,565 | 31,885 | |||||
1,369,454,354 | 2,113,150,947 | 862,929,333 | 867,339,563 | 1,357,270,093 | 875,849,047 | |||||
— | — | — | — | 1,845,901 | — | |||||
— | — | — | — | — | — | |||||
7,593 | — | — | — | 7,197,321 | 2,833,418 | |||||
— | — | — | — | 842,975 | 301,187 | |||||
1,891,124 | 9,552,584 | 20,470,984 | 13,731,643 | 17,248,130 | 3,998,768 | |||||
— | — | — | — | 1,515,994 | 4,149,616 | |||||
1,366,467 | 5,013,149 | 4,528,605 | — | 59,030 | 2,035,221 | |||||
765,802 | 364,244 | 1,444,085 | 12,995 | 51,602 | 189,039 | |||||
— | — | — | 285,690 | 433,842 | 509,012 | |||||
— | — | — | — | 1,266,130 | 2,967,048 | |||||
673,564 | 1,094,132 | 580,289 | 86,702 | 853,399 | 594,448 | |||||
87,720 | 193,626 | 73,359 | — | 74,156 | 24,715 | |||||
4,394 | 7,843 | 4,664 | 214 | 4,471 | 2,412 | |||||
257,175 | 356,700 | 203,575 | 239,621 | 569,808 | 321,302 | |||||
5,053,839 | 16,582,278 | 27,305,561 | 14,356,865 | 31,962,759 | 17,926,186 | |||||
$1,364,400,515 | $2,096,568,669 | $835,623,772 | $852,982,698 | $1,325,307,334 | $857,922,861 | |||||
$1,007,037,155 | $1,057,477,341 | $559,677,948 | $699,860,330 | $1,050,947,677 | $617,568,615 | |||||
357,363,360 | 1,039,091,328 | 275,945,824 | 153,122,368 | 274,359,657 (6) | 240,354,246 (6) | |||||
$1,364,400,515 | $2,096,568,669 | $835,623,772 | $852,982,698 | $1,325,307,334 | $857,922,861 | |||||
$ 941,424,690 | $1,125,546,730 | $477,787,207 | $852,982,698 | $ 969,382,762 | $737,952,411 | |||||
42,569,735 | 33,509,015 | 21,562,068 | 68,162,021 | 60,777,024 | 54,955,398 | |||||
$ 22.11 | $ 33.59 | $ 22.16 | $ 12.51 | $ 15.95 | $ 13.43 | |||||
$ 422,975,825 | $ 971,021,939 | $357,836,565 | N/A | $ 355,924,572 | $119,970,450 | |||||
19,139,846 | 29,274,851 | 16,284,342 | N/A | 22,360,067 | 8,973,234 | |||||
$ 22.10 | $ 33.17 | $ 21.97 | N/A | $ 15.92 | $ 13.37 | |||||
$1,002,202,059 | $1,133,157,249 | $636,092,963 | $687,897,249 | $ 989,172,543 | $642,848,568 | |||||
44,263,719 | 72,061,857 | 26,382,380 | 27,154,284 | 76,870,954 | 26,831,280 | |||||
$1,046,465,778 | $1,205,219,106 | $662,475,343 | $715,051,533 | $1,066,043,497 | $669,679,848 | |||||
$ 38,563,293 | $ 166,309,408 | $173,816,986 | $ 34,385,995 | $ 41,677,062 | $ 18,938,511 | |||||
$ — | $ — | $ — | $ 3,613,247 | $ 17,341,962 | $ 1,955,006 | |||||
$ — | $ — | $ — | $ — | $ 1,085,295 | $ — | |||||
$ — | $ — | $ — | $ — | $ — | $ — | |||||
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
Defensive Market Strategies® Fund | Global Impact Fund | Equity Index Fund | |||
Investment Income | |||||
Dividends | $ 7,430,617 | $ 578,116 | $ 18,535,902 | ||
Interest | 1,179,916 | 289,346 | 107 | ||
Securities lending, net | 63,034 | 3,892 | 125,249 | ||
Less foreign taxes withheld | (59,647) | (58,381) | (102,734) | ||
Total Investment Income | 8,613,920 | 812,973 | 18,558,524 | ||
Expenses | |||||
Investment advisory fees | 4,209,843 | 440,015 | 1,158,187 | ||
Transfer agent fees: | |||||
Institutional shares | 2,507 | 1,585 | 2,608 | ||
Investor shares | 18,489 | 4,981 | 31,257 | ||
Custodian fees | 43,883 | 13,584 | 22,242 | ||
Shareholder servicing fees: | |||||
Investor shares | 525,446 | 28,466 | 959,512 | ||
Accounting and administration fees | 144,049 | 15,138 | 281,152 | ||
Professional fees | 24,699 | 51,904 | 44,031 | ||
Shareholder reporting fees: | |||||
Institutional shares | 383 | 4,528 | 525 | ||
Investor shares | 3,163 | 901 | 4,663 | ||
Trustees expenses | 4,278 | 1,034 | 8,017 | ||
Line of credit facility fees | 1,963 | 679 | 3,677 | ||
S&P license fees | — | — | 113,393 | ||
Dividends on securities sold short | — | — | — | ||
Other expenses | 77,305 | 44,174 | 73,460 | ||
Recoupment of prior expenses reduced by the Advisor | — | — | — | ||
Benchmark index licensing fees | — | — | — | ||
Total Expenses | 5,056,008 | 606,989 | 2,702,724 | ||
Fees paid indirectly | — | — | — | ||
Net Expenses | 5,056,008 | 606,989 | 2,702,724 | ||
Net Investment Income (Loss) | 3,557,912 | 205,984 | 15,855,800 | ||
Realized and Unrealized Gain (Loss) | |||||
Net realized gain (loss) from: | |||||
Investment securities (net of capital gains taxes of $(202,086) and $286,934 for International Equity Fund and Emerging Markets Equity Fund, respectively) | 68,146,822 | (377,948) | 15,119,273 | ||
Investment securities sold short | — | — | — | ||
Futures transactions | — | 713,364 | 8,103,989 | ||
Swap agreements | — | — | — | ||
Option contracts written | 11,777,014 | — | — | ||
Forward foreign currency contracts | 1,223,817 | — | — | ||
Foreign currency | (9,301) | (3,929) | — | ||
Net realized gain | 81,138,352 | 331,487 | 23,223,262 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investment securities (net of estimated capital gains taxes of $(1,008,728) and $(2,017,571) for International Equity Fund and Emerging Markets Fund, respectively) | 8,979,626 | 8,862,565 | 341,659,150 | ||
Investment securities sold short | — | — | — | ||
Futures | — | 45,206 | (66,071) | ||
Swap agreements | — | — | — | ||
Option contracts written | (210,076) | — | — | ||
Forward foreign currency contracts | 145,823 | — | — | ||
Foreign currency | (10,823) | — | — | ||
Net change in unrealized appreciation (depreciation) | 8,904,550 | 8,907,771 | 341,593,079 | ||
Net Realized and Unrealized Gain | 90,042,902 | 9,239,258 | 364,816,341 | ||
Net Increase in Net Assets Resulting from Operations | $93,600,814 | $9,445,242 | $380,672,141 |
Value Equity Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | |||||
$ 13,468,740 | $ 6,015,211 | $ 3,358,921 | $14,230,668 | $ 16,990,729 | $ 7,860,127 | |||||
— | — | 38,084 | — | 6,875 | — | |||||
112,035 | 225,687 | 258,815 | 83,445 | 72,455 | 33,266 | |||||
(440,682) | (193,704) | (3,466) | (969,500) | (1,950,527) | (829,373) | |||||
13,140,093 | 6,047,194 | 3,652,354 | 13,344,613 | 15,119,532 | 7,064,020 | |||||
3,921,868 | 6,422,218 | 3,353,209 | 453,730 | 5,000,936 | 3,446,348 | |||||
2,323 | 2,493 | 2,472 | 2,043 | 2,593 | 2,379 | |||||
10,695 | 22,111 | 10,989 | — | 17,761 | 8,511 | |||||
27,012 | 26,325 | 49,383 | 86,439 | 370,081 | 420,282 | |||||
486,327 | 1,153,039 | 416,651 | — | 437,280 | 141,701 | |||||
136,957 | 209,367 | 83,245 | 85,730 | 137,626 | 85,663 | |||||
45,223 | 44,034 | 46,455 | 50,589 | 46,106 | 45,766 | |||||
328 | 431 | 380 | 771 | 565 | 341 | |||||
4,031 | 4,730 | 3,770 | — | 3,159 | 2,318 | |||||
4,303 | 7,744 | 4,580 | 211 | 4,391 | 2,372 | |||||
1,945 | 3,436 | 1,883 | 311 | 2,008 | 1,090 | |||||
— | — | — | — | — | — | |||||
— | — | — | — | 28,132 | — | |||||
66,190 | 85,416 | 54,986 | 46,400 | 140,194 | 86,299 | |||||
— | — | — | 42,220 | — | — | |||||
— | — | — | 133,531 | — | — | |||||
4,707,202 | 7,981,344 | 4,028,003 | 901,975 | 6,190,832 | 4,243,070 | |||||
(13,671) | (7,463) | (42,477) | — | — | (88) | |||||
4,693,531 | 7,973,881 | 3,985,526 | 901,975 | 6,190,832 | 4,242,982 | |||||
8,446,562 | (1,926,687) | (333,172) | 12,442,638 | 8,928,700 | 2,821,038 | |||||
68,535,203 | 139,918,658 | 82,405,543 | 2,772,380 | 62,681,430 | 54,814,404 | |||||
— | — | — | — | (1,756,759) | — | |||||
5,783,505 | 9,684,128 | 4,848,858 | 4,874,947 | 9,110,490 | 7,256,488 | |||||
— | — | — | — | 5,977,671 | 2,727,477 | |||||
— | — | — | — | — | — | |||||
618,921 | — | 26,045 | — | 1,215,601 | 1,530,232 | |||||
2,514 | — | 2,191 | 59,089 | 8,051,021 | (317,953) | |||||
74,940,143 | 149,602,786 | 87,282,637 | 7,706,416 | 85,279,454 | 66,010,648 | |||||
111,888,368 | 80,589,879 | 43,967,731 | 48,279,134 | 23,538,837 | 2,189,538 | |||||
— | — | — | — | 1,337,479 | — | |||||
124,733 | (352,471) | (786,727) | (1,416,311) | (3,187,295) | (2,233,757) | |||||
— | — | — | — | 3,246,559 | (275,830) | |||||
— | — | — | — | — | — | |||||
474,075 | — | 4,930 | — | (3,416,173) | 2,396,667 | |||||
(42) | — | — | (187,054) | (8,542,357) | 58,015 | |||||
112,487,134 | 80,237,408 | 43,185,934 | 46,675,769 | 12,977,050 | 2,134,633 | |||||
187,427,277 | 229,840,194 | 130,468,571 | 54,382,185 | 98,256,504 | 68,145,281 | |||||
$195,873,839 | $227,913,507 | $130,135,399 | $66,824,823 | $107,185,204 | $70,966,319 |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/21 | 12/31/20 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 3,557,912 | $ 10,012,122 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 81,138,352 | 48,320,242 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 8,904,550 | 58,324,843 | |
Net increase in net assets resulting from operations | 93,600,814 | 116,657,207 | |
Distributions to Shareholders: | |||
Institutional shares | (21,273,223) | (28,360,215) | |
Investor shares | (8,911,889) | (11,880,888) | |
Total distributions | (30,185,112) | (40,241,103) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 56,499,606 | 113,480,463 | |
Investor shares | 41,420,082 | 109,047,446 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 21,258,835 | 28,332,976 | |
Investor shares | 8,793,716 | 11,614,320 | |
Total proceeds from shares sold and reinvested | 127,972,239 | 262,475,205 | |
Value of shares redeemed | |||
Institutional shares | (56,684,266) | (77,994,633) | |
Investor shares | (41,653,894) | (186,378,333) | |
Total value of shares redeemed | (98,338,160) | (264,372,966) | |
Net increase (decrease) from capital share transactions(1) | 29,634,079 | (1,897,761) | |
Total increase in net assets | 93,049,781 | 74,518,343 | |
Net Assets: | |||
Beginning of Period | 1,337,039,215 | 1,262,520,872 | |
End of Period | $1,430,088,996 | $1,337,039,215 |
(1) | See Note 6 in Notes to Financial Statements. |
Global Impact Fund | Equity Index Fund | Value Equity Fund | ||||||
Since Inception | For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/21 | 06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | ||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||
$ 205,984 | $ 15,855,800 | $ 32,674,137 | $ 8,446,562 | $ 19,065,258 | ||||
331,487 | 23,223,262 | 47,322,749 | 74,940,143 | (5,835,474) | ||||
8,907,771 | 341,593,079 | 308,888,250 | 112,487,134 | 39,259,823 | ||||
9,445,242 | 380,672,141 | 388,885,136 | 195,873,839 | 52,489,607 | ||||
— | (31,661,052) | (41,880,879) | (17,067,518) | (17,764,971) | ||||
— | (12,055,507) | (15,314,572) | (7,374,807) | (6,799,021) | ||||
— | (43,716,559) | (57,195,451) | (24,442,325) | (24,563,992) | ||||
138,959,519 | 87,577,241 | 245,735,231 | 34,056,960 | 125,871,724 | ||||
27,201,915 | 59,214,335 | 141,664,866 | 52,634,041 | 29,220,026 | ||||
— | 30,955,109 | 40,937,745 | 17,057,662 | 17,755,900 | ||||
— | 11,998,037 | 15,249,001 | 7,356,035 | 6,781,640 | ||||
166,161,434 | 189,744,722 | 443,586,843 | 111,104,698 | 179,629,290 | ||||
(1,346,474) | (90,318,943) | (256,623,744) | (128,032,420) | (107,218,689) | ||||
(298,865) | (47,203,025) | (165,282,938) | (28,640,450) | (76,694,657) | ||||
(1,645,339) | (137,521,968) | (421,906,682) | (156,672,870) | (183,913,346) | ||||
164,516,095 | 52,222,754 | 21,680,161 | (45,568,172) | (4,284,056) | ||||
173,961,337 | 389,178,336 | 353,369,846 | 125,863,342 | 23,641,559 | ||||
— | 2,489,023,774 | 2,135,653,928 | 1,238,537,173 | 1,214,895,614 | ||||
$173,961,337 | $2,878,202,110 | $2,489,023,774 | $1,364,400,515 | $1,238,537,173 |
STATEMENTS OF CHANGES IN NET ASSETS |
Growth Equity Fund | Small Cap Equity Fund | ||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income (loss) | $ (1,926,687) | $ (892,507) | $ (333,172) | $ 66,077 | |||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 149,602,786 | 288,812,882 | 87,282,637 | (1,140,081) | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 80,237,408 | 255,761,652 | 43,185,934 | 114,909,817 | |||
Net increase in net assets resulting from operations | 227,913,507 | 543,682,027 | 130,135,399 | 113,835,813 | |||
Distributions to Shareholders: | |||||||
Institutional shares | (22,801,862) | (144,758,996) | — | (4,586,466) | |||
Investor shares | (19,443,067) | (130,715,878) | — | (2,914,331) | |||
Total distributions | (42,244,929) | (275,474,874) | — | (7,500,797) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 56,216,251 | 119,129,235 | 36,452,359 | 82,357,232 | |||
Investor shares | 38,033,955 | 157,705,761 | 63,728,317 | 28,232,380 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 22,792,421 | 144,705,800 | — | 4,574,145 | |||
Investor shares | 19,406,120 | 130,472,321 | — | 2,908,010 | |||
Total proceeds from shares sold and reinvested | 136,448,747 | 552,013,117 | 100,180,676 | 118,071,767 | |||
Value of shares redeemed | |||||||
Institutional shares | (119,848,818) | (278,950,981) | (64,858,921) | (66,161,278) | |||
Investor shares | (128,111,913) | (217,006,766) | (26,648,595) | (57,888,097) | |||
Total value of shares redeemed | (247,960,731) | (495,957,747) | (91,507,516) | (124,049,375) | |||
Net increase (decrease) from capital share transactions(1) | (111,511,984) | 56,055,370 | 8,673,160 | (5,977,608) | |||
Total increase in net assets | 74,156,594 | 324,262,523 | 138,808,559 | 100,357,408 | |||
Net Assets: | |||||||
Beginning of Period | 2,022,412,075 | 1,698,149,552 | 696,815,213 | 596,457,805 | |||
End of Period | $2,096,568,669 | $2,022,412,075 | $835,623,772 | $ 696,815,213 |
(1) | See Note 6 in Notes to Financial Statements. |
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 | |||||
06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | 06/30/21 | 12/31/20 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 12,442,638 | $ 15,157,530 | $ 8,928,700 | $ 12,376,126 | $ 2,821,038 | $ 3,652,842 | |||||
7,706,416 | (4,430,596) | 85,279,454 | (16,830,329) | 66,010,648 | 22,991,721 | |||||
46,675,769 | 51,948,096 | 12,977,050 | 104,788,164 | 2,134,633 | 114,479,212 | |||||
66,824,823 | 62,675,030 | 107,185,204 | 100,333,961 | 70,966,319 | 141,123,775 | |||||
— | (14,997,073) | — | (10,269,203) | — | (6,348,367) | |||||
— | — | — | (3,636,168) | — | (847,376) | |||||
— | (14,997,073) | — | (13,905,371) | — | (7,195,743) | |||||
44,112,939 | 122,470,218 | 23,134,476 | 87,698,895 | 67,912,520 | 154,100,342 | |||||
— | — | 19,371,826 | 54,503,766 | 34,053,541 | 34,698,746 | |||||
— | 14,797,848 | — | 10,156,580 | — | 6,345,885 | |||||
— | — | — | 3,607,389 | — | 843,033 | |||||
44,112,939 | 137,268,066 | 42,506,302 | 155,966,630 | 101,966,061 | 195,988,006 | |||||
(37,284,367) | (119,480,679) | (105,952,433) | (153,711,495) | (77,637,395) | (51,696,785) | |||||
— | — | (36,903,750) | (84,381,452) | (18,980,764) | (29,550,228) | |||||
(37,284,367) | (119,480,679) | (142,856,183) | (238,092,947) | (96,618,159) | (81,247,013) | |||||
6,828,572 | 17,787,387 | (100,349,881) | (82,126,317) | 5,347,902 | 114,740,993 | |||||
73,653,395 | 65,465,344 | 6,835,323 | 4,302,273 | 76,314,221 | 248,669,025 | |||||
779,329,303 | 713,863,959 | 1,318,472,011 | 1,314,169,738 | 781,608,640 | 532,939,615 | |||||
$852,982,698 | $ 779,329,303 | $1,325,307,334 | $1,318,472,011 | $857,922,861 | $781,608,640 |
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 | ||||||||||||||
2021(1) | $14.14 | $0.04 | $ 0.95 | $ 0.99 | $(0.05) | $(0.27) | $(0.32) | $14.81 | 7.07% | $ 992,535 | 0.66% | 0.66% | 0.60% | 22% |
2020 | 13.27 | 0.12 | 1.19 | 1.31 | (0.16) | (0.28) | (0.44) | 14.14 | 10.08 | 927,539 | 0.67 | 0.67 | 0.90 | 67 |
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 |
Investor Class | ||||||||||||||
2021(1) | $14.15 | $0.02 | $ 0.95 | $ 0.97 | $(0.03) | $(0.27) | $(0.30) | $14.82 | 6.94% | $ 437,554 | 0.92% | 0.92% | 0.34% | 22% |
2020 | 13.27 | 0.08 | 1.20 | 1.28 | (0.12) | (0.28) | (0.40) | 14.15 | 9.86 | 409,500 | 0.94 | 0.94 | 0.64 | 67 |
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 |
Global Impact Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(4) | $10.00 | $0.01 | $ 0.58 | $ 0.59 | $ — | $ — | $ — | $10.59 | 5.90% | $ 145,539 | 0.82% | 0.82% | 0.35% | 51% |
Investor Class | ||||||||||||||
2021(4) | $10.00 | $ —† | $ 0.58 | $ 0.58 | $ — | $ — | $ — | $10.58 | 5.80% | $ 28,422 | 1.13% | 1.13% | 0.04% | 51% |
Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $40.83 | $0.28 | $ 5.91 | $ 6.19 | $(0.25) | $(0.47) | $(0.72) | $46.30 | 15.24% | $2,040,673 | 0.13% | 0.13% | 1.27% | 1% |
2020 | 35.45 | 0.57 | 5.78 | 6.35 | (0.57) | (0.40) | (0.97) | 40.83 | 18.19 | 1,772,397 | 0.13 | 0.13 | 1.60 | 3 |
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 |
Investor Class | ||||||||||||||
2021(1) | $40.85 | $0.22 | $ 5.92 | $ 6.14 | $(0.20) | $(0.47) | $(0.67) | $46.32 | 15.10% | $ 837,529 | 0.39% | 0.39% | 1.00% | 1% |
2020 | 35.47 | 0.47 | 5.79 | 6.26 | (0.48) | (0.40) | (0.88) | 40.85 | 17.89 | 716,627 | 0.40 | 0.40 | 1.34 | 3 |
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 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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 year 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) | Inception date was January 29, 2021. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
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 | ||||||||||||||
2021(1) | $19.35 | $ 0.15 | $ 3.03 | $ 3.18 | $(0.24) | $(0.18) | $(0.42) | $22.11 | 16.49% | $ 941,425 | 0.64%(2) | 0.65% | 1.38% | 17% |
2020 | 19.02 | 0.30 | 0.42 | 0.72 | (0.15) | (0.24) | (0.39) | 19.35 | 4.19 | 896,523 | 0.64(2) | 0.64 | 1.80 | 97 |
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 |
Investor Class | ||||||||||||||
2021(1) | $19.34 | $ 0.12 | $ 3.03 | $ 3.15 | $(0.21) | $(0.18) | $(0.39) | $22.10 | 16.35% | $ 422,976 | 0.90%(2) | 0.91% | 1.12% | 17% |
2020 | 19.04 | 0.26 | 0.40 | 0.66 | (0.12) | (0.24) | (0.36) | 19.34 | 3.89 | 342,014 | 0.90(2) | 0.90 | 1.54 | 97 |
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 |
Growth Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $30.63 | $(0.01) | $ 3.65 | $ 3.64 | $ — | $(0.68) | $(0.68) | $33.59 | 11.94% | $1,125,547 | 0.68%(4) | 0.68% | (0.08)% | 7% |
2020 | 26.23 | 0.02 | 9.11 | 9.13 | (0.05) | (4.68) | (4.73) | 30.63 | 35.75 | 1,064,559 | 0.69(4) | 0.69 | 0.08 | 40 |
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 |
Investor Class | ||||||||||||||
2021(1) | $30.29 | $(0.05) | $ 3.61 | $ 3.56 | $ — | $(0.68) | $(0.68) | $33.17 | 11.81% | $ 971,022 | 0.94% | 0.94% | (0.33)% | 7% |
2020 | 26.02 | (0.05) | 9.02 | 8.97 | (0.02) | (4.68) | (4.70) | 30.29 | 35.39 | 957,853 | 0.95(4) | 0.95 | (0.19) | 40 |
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 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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 2016, 2017, 2018, 2019, 2020 and for the six months ended June 30, 2021. |
(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 2016, 2017, 2018, 2019 and 2020 and for the six months ended June 30, 2021. |
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 | ||||||||||||||
2021(1) | $18.67 | $ — | $ 3.49 | $ 3.49 | $ — | $ — | $ — | $22.16 | 18.69% | $477,787 | 0.90%(2) | 0.91% | 0.02% | 32% |
2020 | 15.72 | 0.02 | 3.13 | 3.15 | (—)† | (0.20) | (0.20) | 18.67 | 20.07 | 428,451 | 0.98(2) | 0.99 | 0.12 | 90 |
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 |
Investor Class | ||||||||||||||
2021(1) | $18.54 | $(0.02) | $ 3.45 | $ 3.43 | $ — | $ — | $ — | $21.97 | 18.50% | $357,837 | 1.16%(2) | 1.17% | (0.23)% | 32% |
2020 | 15.66 | (0.02) | 3.11 | 3.09 | (0.01) | (0.20) | (0.21) | 18.54 | 19.75 | 268,364 | 1.24(2) | 1.25 | (0.15) | 90 |
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 |
International Equity Index Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $11.53 | $ 0.18 | $ 0.80 | $ 0.98 | $ — | $ — | $ — | $12.51 | 8.50% | $852,983 | 0.22% | 0.22% | 3.06% | 5% |
2020 | 10.87 | 0.22 | 0.67 | 0.89 | (0.23) | — | (0.23) | 11.53 | 8.17 | 779,329 | 0.22 | 0.22 | 2.16 | 12 |
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 |
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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 0.01% and 0.01% for the years 2016 and 2017. For the year ended December 31, 2018, the effect of fees paid indirectly decreased the ratio by 0.00% and 0.01% for the Institutional and Investor Class, respectively. For the years ended December 31, 2019 and 2020 and for the six months ended June 30, 2021, the effect of fees paid indirectly decreased the ratio by 0.01%, 0.01% and 0.01%, respectively. |
(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. |
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 | ||||||||||||||
2021(1) | $14.70 | $0.11 | $ 1.14 | $ 1.25 | $ — | $ — | $ — | $15.95 | 8.50% | $ 969,383 | 0.88%(2) | 0.88%(2) | 1.44% | 19% |
2020 | 13.78 | 0.14 | 0.93 | 1.07 | (0.13) | (0.02) | (0.15) | 14.70 | 7.81(3) | 973,352 | 0.93(2) | 0.93(2) | 1.10 | 90 |
2019 | 11.74 | 0.31(4) | 2.44 | 2.75 | (0.31) | (0.40) | (0.71) | 13.78 | 23.45 | 963,046 | 1.07(2) | 1.07(2) | 2.31(4) | 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)(5) | 0.93(2) | 1.63 | 42 |
2016 | 13.14 | 0.27 | 0.13(6) | 0.40 | (0.27) | (0.11) | (0.38) | 13.16 | 2.96 | 1,017,929 | 1.00(2)(5) | 1.01(2) | 2.09 | 33 |
Investor Class | ||||||||||||||
2021(1) | $14.69 | $0.09 | $ 1.14 | $ 1.23 | $ — | $ — | $ — | $15.92 | 8.37% | $ 355,924 | 1.14%(2) | 1.14%(2) | 1.18% | 19% |
2020 | 13.81 | 0.11 | 0.93 | 1.04 | (0.14) | (0.02) | (0.16) | 14.69 | 7.52(3) | 345,120 | 1.20(2) | 1.20(2) | 0.84 | 90 |
2019 | 11.77 | 0.27(4) | 2.45 | 2.72 | (0.28) | (0.40) | (0.68) | 13.81 | 23.10 | 351,124 | 1.35(2) | 1.34(2) | 2.05(4) | 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)(5) | 1.19(2) | 1.37 | 42 |
2016 | 13.18 | 0.24 | 0.11(6) | 0.35 | (0.24) | (0.11) | (0.35) | 13.18 | 2.62 | 264,295 | 1.27(2)(5) | 1.28(2) | 1.81 | 33 |
Emerging Markets Equity Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $12.33 | $0.05 | $ 1.05 | $ 1.10 | $ — | $ — | $ — | $13.43 | 8.92% | $ 737,953 | 1.00% | 1.00% | 0.73% | 32% |
2020 | 10.19 | 0.07 | 2.19 | 2.26 | (0.12) | — | (0.12) | 12.33 | 22.15 | 685,246 | 1.11(7) | 1.11 | 0.70 | 67 |
2019 | 8.71 | 0.18(8) | 1.57 | 1.75 | (0.27) | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(7) | 1.19 | 1.92(8) | 92 |
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(7) | 1.21 | 1.26 | 155 |
2017 | 8.18 | 0.08 | 2.85 | 2.93 | (0.11) | — | (0.11) | 11.00 | 35.80 | 404,641 | 1.30(7) | 1.31 | 0.83 | 56 |
2016 | 7.34 | 0.08 | 0.90(6) | 0.98 | (0.14) | — | (0.14) | 8.18 | 13.46 | 290,082 | 1.30(7) | 1.48 | 0.98 | 54 |
Investor Class | ||||||||||||||
2021(1) | $12.29 | $0.03 | $ 1.05 | $ 1.08 | $ — | $ — | $ — | $13.37 | 8.79% | $ 119,970 | 1.29% | 1.29% | 0.47% | 32% |
2020 | 10.20 | 0.03 | 2.17 | 2.20 | (0.11) | — | (0.11) | 12.29 | 21.60 | 96,362 | 1.51(7) | 1.51 | 0.30 | 67 |
2019 | 8.72 | 0.14(8) | 1.57 | 1.71 | (0.23) | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(7) | 1.57 | 1.48(8) | 92 |
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(7) | 1.52 | 0.96 | 155 |
2017 | 8.19 | 0.06 | 2.84 | 2.90 | (0.09) | — | (0.09) | 11.00 | 35.37 | 94,346 | 1.57(7) | 1.66 | 0.57 | 56 |
2016 | 7.35 | 0.06 | 0.91(6) | 0.97 | (0.13) | — | (0.13) | 8.19 | 13.20 | 45,106 | 1.56(7) | 1.87 | 0.73 | 54 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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 0.14% and 0.08% for the years 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 years ended December 31, 2019 and 2020, the effect of dividend expense on securities sold short increased the ratio by 0.19% and 0.06%, respectively. For the six months ended June 30, 2021, the effect of dividend expense on securities sold short changed the ratio by 0.00%. |
(3) | Amount includes the effect of the Adviser pay-in for an economic loss. Had the pay-in not been made, the net asset value total return would have been 7.77% and 7.46% for the Institutional Class and Investor Class, respectively. In addition, the portfolio turnover calculation includes the value of securities purchased and sold related to this transaction. |
(4) | 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. |
(5) | The ratio for the International Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2016 and 2017. |
(6) | Amount includes Capital Gains distributions received by the Fund from the GuideStone Money Market Fund. The amount of these distributions represents less than $0.005 per share. |
(7) | The ratio for the Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2016, 2017, 2018, 2019 and for the six months ended June 30, 2021. |
(8) | 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. |
Shares | Value | |||
COMMON STOCKS — 55.8% | ||||
Real Estate — 55.8% | ||||
Agree Realty Corporation REITΔ | 54,799 | $ 3,862,782 | ||
Alexander & Baldwin, Inc. REIT | 106,579 | 1,952,527 | ||
Alexandria Real Estate Equities, Inc. REITΔ | 4,662 | 848,204 | ||
American Homes 4 Rent Class A REITΔ | 101,766 | 3,953,609 | ||
Apartment Income REIT Corporation | 58,653 | 2,781,912 | ||
Apple Hospitality REIT, Inc.Δ | 117,458 | 1,792,409 | ||
AvalonBay Communities, Inc. REIT | 49,230 | 10,273,809 | ||
Boston Properties, Inc. REIT | 33,881 | 3,882,424 | ||
Camden Property Trust REIT | 15,540 | 2,061,692 | ||
Centerspace REIT | 13,370 | 1,054,893 | ||
CoreSite Realty Corporation REIT | 9,947 | 1,338,866 | ||
Crown Castle International Corporation REIT | 6,862 | 1,338,776 | ||
CyrusOne, Inc. REIT | 24,043 | 1,719,555 | ||
Duke Realty Corporation REIT | 70,543 | 3,340,211 | ||
EastGroup Properties, Inc. REIT | 21,643 | 3,559,191 | ||
Empire State Realty Trust, Inc. Class A REITΔ | 188,746 | 2,264,952 | ||
EPR Properties REIT* | 45,541 | 2,399,100 | ||
Equinix, Inc. REIT | 11,135 | 8,936,951 | ||
Equity Residential REIT | 56,852 | 4,377,604 | ||
Essential Properties Realty Trust, Inc. REIT | 143,032 | 3,867,585 | ||
Extra Space Storage, Inc. REIT | 31,536 | 5,166,228 | ||
Federal Realty Investment Trust REIT | 19,484 | 2,282,940 | ||
First Industrial Realty Trust, Inc. REIT | 46,696 | 2,438,932 | ||
Howard Hughes Corporation (The)* | 24,795 | 2,416,521 | ||
Independence Realty Trust, Inc. REIT | 38,780 | 706,959 | ||
Invitation Homes, Inc. REIT | 67,965 | 2,534,415 | ||
Kilroy Realty Corporation REIT | 29,747 | 2,071,581 | ||
Kimco Realty Corporation REIT | 156,406 | 3,261,065 | ||
Life Storage, Inc. REIT | 38,374 | 4,119,449 | ||
Mack-Cali Realty Corporation REIT | 24,411 | 418,649 | ||
Medical Properties Trust, Inc. REIT | 98,929 | 1,988,473 | ||
Mid-America Apartment Communities, Inc. REIT | 26,500 | 4,463,130 | ||
NETSTREIT Corporation | 55,778 | 1,286,241 | ||
New Senior Investment Group, Inc. REIT | 161,294 | 1,416,161 | ||
Park Hotels & Resorts, Inc. REIT* | 56,998 | 1,174,729 | ||
Pebblebrook Hotel Trust REITΔ | 96,398 | 2,270,173 | ||
Physicians Realty Trust REIT | 140,088 | 2,587,425 | ||
Piedmont Office Realty Trust, Inc. Class A REIT | 92,963 | 1,717,027 | ||
Postal Realty Trust, Inc. Class A REIT | 45,976 | 838,602 | ||
Prologis, Inc. REIT | 110,127 | 13,163,480 | ||
Public Storage REIT | 15,303 | 4,601,459 | ||
Realty Income Corporation REIT | 18,485 | 1,233,689 | ||
Retail Properties of America, Inc. Class A REIT | 140,778 | 1,611,908 | ||
Rexford Industrial Realty, Inc. REITΔ | 50,225 | 2,860,314 | ||
Ryman Hospitality Properties, Inc. REIT* | 18,904 | 1,492,660 | ||
SBA Communications Corporation REIT | 1,376 | 438,531 |
Shares | Value | |||
Simon Property Group, Inc. REIT | 53,308 | $ 6,955,628 | ||
SITE Centers Corporation REIT | 106,413 | 1,602,580 | ||
SL Green Realty Corporation REITΔ | 34,113 | 2,729,040 | ||
STORE Capital Corporation REIT | 13,567 | 468,197 | ||
Sun Communities, Inc. REIT | 42,106 | 7,216,968 | ||
Sunstone Hotel Investors, Inc. REIT* | 121,718 | 1,511,738 | ||
Ventas, Inc. REIT | 31,197 | 1,781,349 | ||
Weingarten Realty Investors REIT | 92,355 | 2,961,825 | ||
Welltower, Inc. REIT | 128,592 | 10,685,995 | ||
170,081,113 | ||||
Total Common Stocks (Cost $138,631,137) | 170,081,113 | |||
FOREIGN COMMON STOCKS — 40.9% | ||||
Australia — 3.7% | ||||
Dexus REIT | 113,401 | 907,431 | ||
Goodman Group REIT | 50,895 | 808,032 | ||
GPT Group (The) REIT | 486,649 | 1,788,316 | ||
Growthpoint Properties Australia, Ltd. REIT | 327,848 | 1,000,689 | ||
Mirvac Group REIT | 816,202 | 1,787,363 | ||
Scentre Group REIT | 984,835 | 2,023,701 | ||
Stockland REIT | 302,904 | 1,058,579 | ||
Vicinity Centres REIT | 1,002,422 | 1,161,479 | ||
Waypoint REIT | 412,061 | 809,646 | ||
11,345,236 | ||||
Belgium — 1.2% | ||||
Aedifica SA REIT | 6,374 | 841,202 | ||
Cofinimmo SA REIT | 3,551 | 540,641 | ||
VGP NV | 3,869 | 763,388 | ||
Warehouses De Pauw CVA REIT | 27,146 | 1,036,466 | ||
Xior Student Housing NV REIT | 7,884 | 474,901 | ||
3,656,598 | ||||
Canada — 3.1% | ||||
Canadian Apartment Properties REIT | 55,496 | 2,601,991 | ||
Chartwell Retirement Residences | 144,784 | 1,547,586 | ||
Granite REIT | 14,447 | 961,269 | ||
RioCan REIT | 137,722 | 2,453,131 | ||
Summit Industrial Income REIT | 125,489 | 1,798,919 | ||
9,362,896 | ||||
Finland — 0.2% | ||||
Kojamo OYJ | 28,246 | 645,404 | ||
France — 2.0% | ||||
Gecina SA REIT | 17,452 | 2,673,627 | ||
Unibail-Rodamco-Westfield REITΔ* | 38,576 | 3,338,672 | ||
6,012,299 | ||||
Germany — 4.4% | ||||
alstria office REIT-AG | 75,926 | 1,403,556 | ||
Aroundtown SAΔ | 77,659 | 605,914 | ||
Deutsche Wohnen SE | 38,725 | 2,368,459 | ||
Instone Real Estate Group AG 144A | 13,958 | 420,388 | ||
LEG Immobilien SE | 7,001 | 1,008,210 | ||
Vonovia SE | 118,311 | 7,648,463 | ||
13,454,990 |
Shares | Value | |||
Hong Kong — 5.1% | ||||
CK Asset Holdings, Ltd. | 474,496 | $ 3,275,631 | ||
GDS Holdings, Ltd. Class AΔ* | 36,506 | 361,566 | ||
Hysan Development Co., Ltd. | 422,065 | 1,682,433 | ||
Kerry Properties, Ltd. | 89,665 | 295,638 | ||
Lifestyle International Holdings, Ltd.* | 303,043 | 232,621 | ||
Link REIT | 381,105 | 3,693,591 | ||
New World Development Co., Ltd. | 271,000 | 1,408,350 | ||
Sino Land Co., Ltd. | 545,572 | 860,065 | ||
Sun Hung Kai Properties, Ltd. | 130,436 | 1,943,697 | ||
SUNeVision Holdings, Ltd. | 222,000 | 227,310 | ||
Swire Properties, Ltd. | 444,066 | 1,324,025 | ||
Wharf Holdings, Ltd. (The) | 97,000 | 369,795 | ||
15,674,722 | ||||
Japan — 10.0% | ||||
Activia Properties, Inc. REIT | 611 | 2,892,893 | ||
Daibiru Corporation | 90,800 | 1,145,881 | ||
Global One Real Estate Investment Corporation REIT | 1,142 | 1,286,992 | ||
Heiwa Real Estate Co., Ltd. | 6,195 | 233,647 | ||
Hulic Reit, Inc. | 1,069 | 1,800,350 | ||
Invincible Investment Corporation REIT | 1,296 | 499,292 | ||
Itochu Advance Logistics Investment Corporation REIT | 196 | 279,458 | ||
Japan Hotel REIT Investment Corporation | 483 | 289,552 | ||
Japan Prime Realty Investment Corporation REIT | 207 | 810,523 | ||
Keihanshin Building Co., Ltd. | 5,600 | 68,655 | ||
Kenedix Residential Next Investment Corporation REIT | 326 | 704,556 | ||
Kenedix Retail REIT Corporation | 757 | 2,047,603 | ||
LaSalle Logiport REIT | 1,502 | 2,536,345 | ||
Mitsubishi Estate Co., Ltd. | 199,284 | 3,222,591 | ||
Mitsubishi Estate Logistics REIT Investment Corporation | 88 | 389,324 | ||
Mitsui Fudosan Co., Ltd. | 194,716 | 4,509,692 | ||
Mori Trust Hotel Reit, Inc. | 1,127 | 1,427,327 | ||
Mori Trust Sogo REIT, Inc. | 1,030 | 1,456,528 | ||
Nippon Accommodations Fund, Inc. REIT | 172 | 992,412 | ||
Nippon Building Fund, Inc. REIT | 200 | 1,247,581 | ||
NIPPON REIT Investment Corporation | 56 | 230,109 | ||
Nomura Real Estate Holdings, Inc. | 15,198 | 385,508 | ||
Starts Proceed Investment Corporation REIT | 53 | 115,451 | ||
Tokaido REIT, Inc.* | 253 | 242,080 | ||
Tokyu Fudosan Holdings Corporation | 167,300 | 1,005,953 | ||
Tokyu REIT, Inc. | 433 | 798,611 | ||
30,618,914 | ||||
Netherlands — 0.2% | ||||
CTP NV 144A* | 14,839 | 299,121 |
Shares | Value | |||
Eurocommercial Properties NV CVAΔ | 10,193 | $ 253,558 | ||
552,679 | ||||
Singapore — 2.6% | ||||
CapitaLand Integrated Commercial Trust REIT | 1,276,914 | 1,984,644 | ||
CapitaLand, Ltd. | 935,282 | 2,580,424 | ||
City Developments, Ltd.Δ | 14,600 | 79,151 | ||
Frasers Logistics & Commercial Trust REIT | 346,883 | 371,467 | ||
Mapletree Industrial Trust REIT | 523,826 | 1,102,422 | ||
Mapletree Logistics Trust REIT | 556,300 | 848,081 | ||
Mapletree North Asia Commercial Trust REIT | 289,600 | 223,978 | ||
Suntec REIT | 569,400 | 618,223 | ||
7,808,390 | ||||
Spain — 0.8% | ||||
Arima Real Estate SOCIMI SA REITΔ* | 42,485 | 459,434 | ||
Inmobiliaria Colonial Socimi SA REIT | 109,987 | 1,110,502 | ||
Merlin Properties Socimi SA REIT* | 79,361 | 822,078 | ||
2,392,014 | ||||
Sweden — 2.2% | ||||
Castellum AB | 81,394 | 2,071,443 | ||
Fabege AB | 155,437 | 2,493,719 | ||
Fastighets AB Balder, B Shares* | 27,182 | 1,705,605 | ||
Nyfosa AB | 41,352 | 559,052 | ||
6,829,819 | ||||
Switzerland — 0.3% | ||||
PSP Swiss Property AG | 6,723 | 853,772 | ||
United Kingdom — 5.1% | ||||
Big Yellow Group PLC REIT | 57,969 | 1,048,064 | ||
British Land Co. PLC (The) REIT | 466,670 | 3,194,801 | ||
Derwent London PLC REIT | 21,439 | 984,598 | ||
Grainger PLC | 425,190 | 1,676,271 | ||
Great Portland Estates PLC REIT | 40,504 | 397,527 | ||
Hammerson PLC REIT | 852,558 | 439,070 | ||
Primary Health Properties PLC REIT | 172,435 | 367,097 | ||
PRS REIT PLC (The) | 252,537 | 356,321 | ||
Safestore Holdings PLC REIT | 25,811 | 338,120 | ||
Segro PLC REIT | 263,890 | 3,995,353 | ||
Tritax EuroBox PLC 144A | 438,134 | 652,652 | ||
UNITE Group PLC (The) REIT | 137,288 | 2,039,639 | ||
15,489,513 | ||||
Total Foreign Common Stocks (Cost $110,154,244) | 124,697,246 | |||
MONEY MARKET FUNDS — 2.6% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø∞ | 7,772,435 | 7,772,435 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.03%ا | 77,976 | $ 77,976 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 7,040 | 7,040 | ||
Total Money Market Funds (Cost $7,857,451) | 7,857,451 | |||
TOTAL INVESTMENTS — 99.3% (Cost $256,642,832) | 302,635,810 | |||
Other Assets in Excess of Liabilities — 0.7% | 2,243,578 | |||
NET ASSETS — 100.0% | $304,879,388 |
% | |
Real Estate | 95.9 |
Money Market Funds | 2.6 |
Health Care | 0.5 |
Information Technology | 0.2 |
Consumer Discretionary | 0.1 |
99.3 |
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 | 09/2021 | 35 | $9,423,400 | $(103,971) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $170,081,113 | $170,081,113 | $ — | $ — | |||
Foreign Common Stocks | 124,697,246 | 124,697,246 | — | — | |||
Money Market Funds | 7,857,451 | 7,857,451 | — | — | |||
Total Assets - Investments in Securities | $302,635,810 | $302,635,810 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (103,971) | $ (103,971) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (103,971) | $ (103,971) | $ — | $ — |
*** | 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. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $294,863,375 |
Investments in securities of affiliated issuers, at value | 7,772,435 |
Total investments, at value(1), (2) | 302,635,810 |
Deposits with broker for futures contracts | 424,667 |
Foreign currency(3) | 207,132 |
Receivables: | |
Dividends and reclaims | 1,035,738 |
Securities lending | 2,163 |
Investment securities sold | 6,100,886 |
Fund shares sold | 261,454 |
Variation margin on futures contracts | 11,521 |
Prepaid expenses and other assets | 19,893 |
Total Assets | 310,699,264 |
Liabilities | |
Collateral held for securities on loan, at value | 77,976 |
Payables: | |
Investment securities purchased | 5,341,522 |
Fund shares redeemed | 60,630 |
Accrued expenses: | |
Investment advisory fees | 171,123 |
Shareholder servicing fees | 20,869 |
Trustee fees | 2,694 |
Other expenses | 145,062 |
Total Liabilities | 5,819,876 |
Net Assets | $304,879,388 |
Net Assets Consist of: | |
Paid-in-capital | $271,773,725 |
Distributable earnings (loss) | 33,105,663 |
Net Assets | $304,879,388 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $203,319,408 |
Institutional shares outstanding | 18,665,447 |
Net asset value, offering and redemption price per Institutional share | $ 10.89 |
Net assets applicable to the Investor Class | $101,559,980 |
Investor shares outstanding | 9,286,768 |
Net asset value, offering and redemption price per Investor share | $ 10.94 |
(1)Investments in securities of unaffiliated issuers, at cost | $248,870,397 |
Investments in securities of affiliated issuers, at cost | 7,772,435 |
Total investments, at cost | $256,642,832 |
(2)Includes securities loaned of: | $ 24,034,869 |
(3)Foreign currency, at cost | $ 208,362 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 4,464,473 |
Securities lending, net | 13,674 |
Less foreign taxes withheld | (133,125) |
Total Investment Income | 4,345,022 |
Expenses | |
Investment advisory fees | 943,989 |
Transfer agent fees: | |
Institutional shares | 2,291 |
Investor shares | 9,231 |
Custodian fees | 64,796 |
Shareholder servicing fees: | |
Investor shares | 110,233 |
Accounting and administration fees | 29,460 |
Professional fees | 43,301 |
Shareholder reporting fees: | |
Institutional shares | 291 |
Investor shares | 1,902 |
Trustees expenses | 2,645 |
Line of credit facility fees | 1,042 |
Other expenses | 50,307 |
Total Expenses | 1,259,488 |
Fees paid indirectly | (2,265) |
Net Expenses | 1,257,223 |
Net Investment Income | 3,087,799 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 17,839,051 |
Futures transactions | 1,691,122 |
Forward foreign currency contracts | 268 |
Foreign currency | 2,551 |
Net realized gain | 19,532,992 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 22,531,267 |
Futures | (204,889) |
Foreign currency | (12,281) |
Net change in unrealized appreciation (depreciation) | 22,314,097 |
Net Realized and Unrealized Gain | 41,847,089 |
Net Increase in Net Assets Resulting from Operations | $44,934,888 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/21 | 12/31/20 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 3,087,799 | $ 4,368,630 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 19,532,992 | (17,765,105) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 22,314,097 | 1,257,093 | |
Net increase (decrease) in net assets resulting from operations | 44,934,888 | (12,139,382) | |
Distributions to Shareholders: | |||
Institutional shares | (3,939,958) | (4,221,953) | |
Investor shares | (1,852,553) | (2,121,821) | |
Total distributions | (5,792,511) | (6,343,774) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 13,235,072 | 30,682,021 | |
Investor shares | 13,407,396 | 17,283,750 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 3,896,795 | 4,189,261 | |
Investor shares | 1,835,183 | 2,106,503 | |
Total proceeds from shares sold and reinvested | 32,374,446 | 54,261,535 | |
Value of shares redeemed | |||
Institutional shares | (16,258,483) | (9,850,171) | |
Investor shares | (6,816,177) | (33,326,479) | |
Total value of shares redeemed | (23,074,660) | (43,176,650) | |
Net increase from capital share transactions(1) | 9,299,786 | 11,084,885 | |
Total increase (decrease) in net assets | 48,442,163 | (7,398,271) | |
Net Assets: | |||
Beginning of Period | 256,437,225 | 263,835,496 | |
End of Period | $304,879,388 | $256,437,225 |
(1) | See Note 6 in Notes to Financial Statements. |
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 | ||||||||||||||
2021(1) | $ 9.47 | $0.12 | $ 1.52 | $ 1.64 | $(0.22) | $ — | $(0.22) | $10.89 | 17.29% | $203,319 | 0.81%(2) | 0.81% | 2.29% | 53% |
2020 | 10.21 | 0.18 | (0.67) | (0.49) | (0.18) | (0.07) | (0.25) | 9.47 | (4.54) | 175,384 | 0.86(2) | 0.87 | 1.98 | 141 |
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 |
Investor Class | ||||||||||||||
2021(1) | $ 9.51 | $0.10 | $ 1.53 | $ 1.63 | $(0.20) | $ — | $(0.20) | $10.94 | 17.19% | $101,560 | 1.09%(2) | 1.09% | 2.04% | 53% |
2020 | 10.25 | 0.15 | (0.67) | (0.52) | (0.15) | (0.07) | (0.22) | 9.51 | (4.79) | 81,053 | 1.13(2) | 1.14 | 1.68 | 141 |
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 |
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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 2016, 2017, 2018, 2019 and 2020, and 0.00% for the six months ended June 30, 2021. |
(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. |
Par | Value | |||
CORPORATE BONDS — 15.0% | ||||
2U, Inc. | ||||
2.25%, 05/01/25 CONV | $ 314,000 | $517,943 | ||
8x8, Inc. | ||||
0.50%, 02/01/24 CONV | 250,000 | 310,799 | ||
Air Transport Services Group, Inc. | ||||
1.13%, 10/15/24 CONV | 500,000 | 509,400 | ||
Apellis Pharmaceuticals, Inc. | ||||
3.50%, 09/15/26 CONV | 178,000 | 329,523 | ||
Avaya Holdings Corporation | ||||
2.25%, 06/15/23 CONV | 300,000 | 351,750 | ||
Avid SPV LLC | ||||
1.25%, 03/15/26 144A CONV | 225,000 | 309,757 | ||
Bentley Systems, Inc. | ||||
0.38%, 07/01/27 144A CONV | 313,000 | 322,390 | ||
Beyond Meat, Inc. | ||||
0.37%, 03/15/27 144A Ω CONV | 289,000 | 296,044 | ||
Bloom Energy Corporation | ||||
2.50%, 08/15/25 144A CONV | 207,000 | 369,992 | ||
Bridgebio Pharma, Inc. | ||||
2.25%, 02/01/29 144A CONV | 564,000 | 547,460 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 CONV | 400,000 | 637,500 | ||
Cable One, Inc. | ||||
1.13%, 03/15/28 144A CONV | 500,000 | 511,008 | ||
Callaway Golf Co. | ||||
2.75%, 05/01/26 CONV | 264,000 | 539,385 | ||
Centennial Resource Production LLC | ||||
3.25%, 04/01/28 CONV | 500,000 | 660,300 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 144A CONV | 428,000 | 429,873 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26 CONV | 285,000 | 281,972 | ||
Chefs' Warehouse, Inc. (The) | ||||
1.88%, 12/01/24 CONV | 500,000 | 523,750 | ||
Cheniere Energy, Inc. | ||||
4.25%, 03/15/45 CONV | 1,043,000 | 888,853 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26 CONV | 512,000 | 525,868 | ||
Coinbase Global, Inc. | ||||
0.50%, 06/01/26 144A CONV | 314,000 | 319,652 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 600,000 | 613,800 | ||
Dynavax Technologies Corporation | ||||
2.50%, 05/15/26 144A CONV | 314,000 | 364,782 | ||
Enphase Energy, Inc. | ||||
1.86%, 03/01/28 144A Ω CONV | 714,000 | 695,523 | ||
Envestnet, Inc. | ||||
1.75%, 06/01/23 CONV | 250,000 | 307,344 | ||
Everbridge, Inc. | ||||
0.13%, 12/15/24 CONV | 250,000 | 342,344 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27 CONV | 500,000 | 664,062 | ||
Fastly, Inc. | ||||
2.64%, 03/15/26 144A Ω CONV | 712,000 | 666,788 | ||
Flexion Therapeutics, Inc. | ||||
3.38%, 05/01/24 CONV | 500,000 | 453,877 |
Par | Value | |||
FTI Consulting, Inc. | ||||
2.00%, 08/15/23 CONV | $ 325,000 | $ 465,400 | ||
fuboTV, Inc. | ||||
3.25%, 02/15/26 144A CONV | 629,000 | 623,889 | ||
GoPro, Inc. | ||||
1.25%, 11/15/25 144A CONV | 220,000 | 308,983 | ||
Gossamer Bio, Inc. | ||||
5.00%, 06/01/27 CONV | 510,000 | 412,144 | ||
Granite Point Mortgage Trust, Inc. REIT | ||||
6.38%, 10/01/23 CONV | 1,425,000 | 1,407,187 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 144A CONV | 519,000 | 542,874 | ||
Groupon, Inc. | ||||
1.13%, 03/15/26 144A CONV | 493,000 | 463,112 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 144A CONV | 655,000 | 611,197 | ||
Helix Energy Solutions Group, Inc. | ||||
4.13%, 09/15/23 CONV | 193,000 | 193,603 | ||
6.75%, 02/15/26 CONV | 250,000 | 307,150 | ||
i3 Verticals LLC | ||||
1.00%, 02/15/25 CONV | 593,000 | 604,119 | ||
II-VI, Inc. | ||||
0.25%, 09/01/22 CONV | 250,000 | 394,875 | ||
Infinera Corporation | ||||
2.13%, 09/01/24 CONV | 400,000 | 490,176 | ||
Innoviva, Inc. | ||||
2.13%, 01/15/23 CONV | 520,000 | 530,400 | ||
Insmed, Inc. | ||||
0.75%, 06/01/28 CONV | 613,000 | 676,982 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.13%, 12/15/24 CONV | 500,000 | 467,182 | ||
iStar, Inc. REIT | ||||
3.13%, 09/15/22 CONV | 300,000 | 456,390 | ||
Jazz Investments I, Ltd. | ||||
2.00%, 06/15/26 CONV | 500,000 | 667,500 | ||
John Bean Technologies Corporation | ||||
0.25%, 05/15/26 144A CONV | 127,000 | 135,382 | ||
Kaman Corporation | ||||
3.25%, 05/01/24 CONV | 350,000 | 371,013 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A CONV | 500,000 | 437,632 | ||
Ligand Pharmaceuticals, Inc. | ||||
0.75%, 05/15/23 CONV | 500,000 | 497,907 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26 CONV | 600,000 | 650,280 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 144A CONV | 350,000 | 369,469 | ||
Magnite, Inc. | ||||
0.25%, 03/15/26 144A CONV | 875,000 | 784,787 | ||
Meritor, Inc. | ||||
3.25%, 10/15/37 CONV | 315,000 | 335,097 | ||
MFA Financial, Inc. REIT | ||||
6.25%, 06/15/24 CONV | 750,000 | 766,875 | ||
MGIC Investment Corporation | ||||
9.00%, 04/01/63 144A CONV | 602,000 | 793,135 |
Par | Value | |||
MicroStrategy, Inc. | ||||
4.54%, 02/15/27 144A Ω CONV | $667,000 | $500,917 | ||
Middleby Corporation (The) | ||||
1.00%, 09/01/25 144A CONV | 350,000 | 504,700 | ||
Mitek Systems, Inc. | ||||
0.75%, 02/01/26 144A CONV | 360,000 | 412,884 | ||
New Relic, Inc. | ||||
0.50%, 05/01/23 CONV | 650,000 | 643,110 | ||
NRG Energy, Inc. | ||||
2.75%, 06/01/48 CONV | 600,000 | 700,200 | ||
OSI Systems, Inc. | ||||
1.25%, 09/01/22 CONV | 445,000 | 474,503 | ||
Pebblebrook Hotel Trust REIT | ||||
1.75%, 12/15/26 CONV | 587,000 | 668,593 | ||
PennyMac Corporation REIT | ||||
5.50%, 11/01/24 CONV | 500,000 | 512,500 | ||
Perficient, Inc. | ||||
1.25%, 08/01/25 144A CONV | 250,000 | 411,725 | ||
PRA Group, Inc. | ||||
3.50%, 06/01/23 CONV | 500,000 | 539,375 | ||
Progress Software Corporation | ||||
1.00%, 04/15/26 144A CONV | 350,000 | 355,450 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26 CONV | 274,000 | 359,488 | ||
Radius Health, Inc. | ||||
3.00%, 09/01/24 CONV | 745,000 | 691,614 | ||
Realogy Group LLC | ||||
0.25%, 06/15/26 144A CONV | 424,000 | 427,609 | ||
RealReal, Inc. (The) | ||||
1.00%, 03/01/28 144A CONV | 494,000 | 455,715 | ||
Redfin Corporation | ||||
0.50%, 04/01/27 144A CONV | 364,000 | 360,906 | ||
Redwood Trust, Inc. REIT | ||||
5.63%, 07/15/24 CONV | 228,000 | 236,550 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 06/15/23 144A CONV | 467,000 | 638,657 | ||
RWT Holdings, Inc. | ||||
5.75%, 10/01/25 CONV | 890,000 | 900,281 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25 CONV | 250,000 | 456,250 | ||
SmileDirectClub, Inc. | ||||
4.43%, 02/01/26 144A Ω CONV | 683,000 | 562,621 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26 CONV | 350,000 | 335,335 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27 CONV | 519,000 | 508,296 | ||
Spotify USA, Inc. | ||||
2.01%, 03/15/26 144A Ω CONV | 524,000 | 491,774 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 144A CONV | 590,000 | 549,408 | ||
Summit Hotel Properties, Inc. REIT | ||||
1.50%, 02/15/26 CONV | 500,000 | 517,750 | ||
Sunnova Energy International, Inc. | ||||
0.25%, 12/01/26 144A CONV | 419,000 | 523,121 | ||
Sunrun, Inc. | ||||
3.68%, 02/01/26 144A Ω CONV | 608,000 | 546,835 |
Par | Value | |||
Tabula Rasa HealthCare, Inc. | ||||
1.75%, 02/15/26 CONV | $500,000 | $ 513,150 | ||
Theravance Biopharma, Inc. | ||||
3.25%, 11/01/23 CONV | 321,000 | 305,753 | ||
Travere Therapeutics, Inc. | ||||
2.50%, 09/15/25 CONV | 524,000 | 445,750 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 144A CONV | 524,000 | 516,426 | ||
Vocera Communications, Inc. | ||||
0.50%, 09/15/26 144A CONV | 673,000 | 639,350 | ||
Vonage Holdings Corporation | ||||
1.75%, 06/01/24 CONV | 350,000 | 391,874 | ||
Vroom, Inc. | ||||
0.75%, 07/01/26 144A CONV | 193,000 | 200,334 | ||
Western Asset Mortgage Capital Corporation REIT | ||||
6.75%, 10/01/22 CONV | 425,000 | 414,641 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 375,000 | 482,578 | ||
WisdomTree Investments, Inc. | ||||
4.25%, 06/15/23 144A CONV | 450,000 | 548,145 | ||
3.25%, 06/15/26 144A CONV | 104,000 | 99,840 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 500,000 | 763,567 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 325,000 | 642,484 | ||
Zogenix, Inc. | ||||
2.75%, 10/01/27 144A CONV | 350,000 | 357,875 | ||
Total Corporate Bonds (Cost $47,302,855) | 48,664,413 | |||
FOREIGN BONDS — 1.3% | ||||
Cameroon — 0.1% | ||||
Golar LNG, Ltd. | ||||
2.75%, 02/15/22 CONV | 300,000 | 298,875 | ||
China — 1.0% | ||||
21Vianet Group, Inc. | ||||
3.54%, 02/01/26 144A Ω CONV | 572,000 | 494,494 | ||
Huazhu Group, Ltd. | ||||
3.00%, 05/01/26 144A CONV | 375,000 | 542,578 | ||
iQIYI, Inc. | ||||
2.00%, 04/01/25 CONV | 568,000 | 532,049 | ||
JOYY, Inc. | ||||
1.38%, 06/15/26 CONV | 442,000 | 440,343 | ||
Momo, Inc. | ||||
1.25%, 07/01/25 CONV | 692,000 | 618,907 | ||
NIO, Inc. | ||||
2.92%, 02/01/26 144A Ω CONV | 529,000 | 499,376 | ||
3,127,747 | ||||
Jersey — 0.1% | ||||
Encore Capital Europe Finance, Ltd. | ||||
4.50%, 09/01/23 CONV | 366,000 | 460,573 |
Par | Value | |||
Norway — 0.1% | ||||
SFL Corporation, Ltd. | ||||
4.88%, 05/01/23 CONV | $ 427,000 | $ 414,724 | ||
Total Foreign Bonds (Cost $4,259,506) | 4,301,919 | |||
MORTGAGE-BACKED SECURITIES — 5.4% | ||||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 09/15/43† IO | 337,161 | 55,641 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4286 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 12/15/43† IO | 208,757 | 33,163 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.03%, 05/15/45† IO | 364,696 | 69,946 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4583 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 5.93%, 05/15/46† IO | 862,085 | 158,401 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4905 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 08/25/49† IO | 544,929 | 100,174 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4991 | ||||
5.00%, 07/25/50 IO | 1,721,758 | 274,198 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4998 | ||||
4.00%, 08/25/50 IO | 865,796 | 129,462 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5002 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 07/25/50† IO | 732,354 | 133,185 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5009 | ||||
2.00%, 09/25/50 IO | 1,072,920 | 123,330 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5012 | ||||
4.00%, 09/25/50 IO | 249,628 | 37,548 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5020 | ||||
3.00%, 08/25/50 IO | 428,984 | 63,388 | ||
Federal National Mortgage Association REMIC, Series 2012-115 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 10/25/42† IO | 352,188 | 72,443 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 05/25/47† IO | 491,251 | 99,920 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2017-86 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 11/25/47† IO | $ 686,270 | $128,864 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 3.45% - ICE LIBOR USD 1M, 2.50% Cap), 2.50%, 03/25/48† IO | 2,935,706 | 209,983 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 02/25/48† IO | 334,452 | 52,337 | ||
Federal National Mortgage Association REMIC, Series 2020-38 | ||||
4.00%, 06/25/50 IO | 1,328,938 | 199,647 | ||
Federal National Mortgage Association REMIC, Series 2020-49 | ||||
4.00%, 07/25/50 IO | 604,176 | 88,811 | ||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 07/25/50† IO | 702,338 | 152,510 | ||
Federal National Mortgage Association REMIC, Series 2020-60 | ||||
2.00%, 09/25/50 IO | 1,408,736 | 150,552 | ||
4.00%, 09/25/50 IO | 231,831 | 34,436 | ||
Federal National Mortgage Association REMIC, Series 2020-62 | ||||
4.00%, 06/25/48 IO | 745,349 | 133,181 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 4.96%, 10/25/40† IO | 843,115 | 120,409 | ||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.61%, 08/20/45† IO | 194,891 | 33,119 | ||
Government National Mortgage Association, Series 2016-109 | ||||
4.00%, 10/20/45 IO | 160,166 | 17,739 | ||
Government National Mortgage Association, Series 2018-105 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.11%, 08/20/48† IO | 213,373 | 33,521 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 6.11%, 09/20/48† IO | 585,423 | 115,510 |
Par | Value | |||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 10/20/48† IO | $ 263,134 | $ 37,717 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 5.61%, 01/20/48† IO | 520,658 | 101,272 | ||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 01/20/49† IO | 295,680 | 41,501 | ||
Government National Mortgage Association, Series 2019-110 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 09/20/49† IO | 1,114,788 | 206,707 | ||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 09/20/49† IO | 967,474 | 142,706 | ||
Government National Mortgage Association, Series 2019-111 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 01/20/49† IO | 842,580 | 153,206 | ||
Government National Mortgage Association, Series 2019-128 | ||||
4.00%, 10/20/49 IO | 776,186 | 105,533 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 1,408,392 | 128,103 | ||
3.50%, 12/20/49 IO | 706,275 | 80,547 | ||
Government National Mortgage Association, Series 2019-153 | ||||
4.00%, 12/20/49 IO | 3,543,072 | 519,812 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 12/20/49† IO | 1,216,132 | 188,958 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 3.70%, 02/20/49† IO | 743,329 | 63,355 | ||
Government National Mortgage Association, Series 2019-4 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 01/20/49† IO | 439,335 | 68,086 | ||
Government National Mortgage Association, Series 2019-52 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 04/20/49† IO | 241,425 | 32,245 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 01/20/49† IO | 239,769 | 38,181 |
Par | Value | |||
Government National Mortgage Association, Series 2019-69 | ||||
(Floating, 3.27% - ICE LIBOR USD 1M, 3.27% Cap), 3.18%, 06/20/49† IO | $ 281,922 | $ 22,563 | ||
Government National Mortgage Association, Series 2019-78 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 06/20/49† IO | 1,501,710 | 213,771 | ||
Government National Mortgage Association, Series 2019-97 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 6.01%, 08/20/49† IO | 412,872 | 55,670 | ||
Government National Mortgage Association, Series 2020-11 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 01/20/50† IO | 824,038 | 131,830 | ||
Government National Mortgage Association, Series 2020-146 | ||||
2.50%, 10/20/50 IO | 427,438 | 54,690 | ||
Government National Mortgage Association, Series 2020-151 | ||||
2.50%, 10/20/50 IO | 962,598 | 127,243 | ||
Government National Mortgage Association, Series 2020-21 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 02/20/50† IO | 510,268 | 89,395 | ||
Government National Mortgage Association, Series 2020-51 | ||||
3.50%, 04/20/50 IO | 424,288 | 33,754 | ||
Government National Mortgage Association, Series 2020-55 | ||||
3.50%, 04/20/50 IO | 1,205,537 | 145,331 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 04/20/50† IO | 808,744 | 142,216 | ||
Government National Mortgage Association, Series 2020-61 | ||||
(Floating, 6.44% - ICE LIBOR USD 1M, 6.44% Cap), 6.35%, 07/20/43† IO | 745,074 | 139,586 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 5.96%, 08/20/49† IO | 1,230,539 | 203,972 | ||
Government National Mortgage Association, Series 2020-78 | ||||
4.00%, 06/20/50 IO | 1,611,189 | 193,624 | ||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 6.06%, 06/20/50† IO | 1,370,251 | 253,837 | ||
Government National Mortgage Association, Series 2020-79 | ||||
4.00%, 06/20/50 IO | 280,995 | 31,681 |
Par | Value | |||
Uniform Mortgage Backed Securities | ||||
2.00%, 07/01/51 TBA | $11,000,000 | $11,107,422 | ||
Total Mortgage-Backed Securities (Cost $17,698,643) | 17,675,932 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.0% | ||||
Put Swaptions — 0.0% | ||||
Pay -0.165% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 8/23/2026 EUR, Strike Price $0.17, Expires 08/23/26 (BNP) | 1 | $ 5,790,000 | 6,101 | |
Pay -0.165% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 8/24/2026 EUR, Strike Price $0.17, Expires 08/24/26 (CITI) | 1 | 2,550,000 | 2,747 | |
Pay 0.427% (Semiannually); Receive 6-Month ICE LIBOR JPY (Semiannually); Interest Rate Swap Maturing 5/30/2042 JPY, Strike Price $0.43, Expires 05/30/42 (BAR) | 1 | 195,390,000 | 24,106 | |
Pay 1.195% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/22/2026 USD, Strike Price $1.20, Expires 11/22/26 (BOA) | 1 | 3,710,000 | 21,499 | |
Pay 1.392% (Semiannually); Receive 6-Month ICE LIBOR GBP (Semiannually); Interest Rate Swap Maturing 7/01/2051 GBP, Strike Price $1.39, Expires 07/01/51 (CITI) | 1 | 540,000 | — | |
Total Purchased Options (Premiums paid $110,686) | 54,453 |
Par | Value | |||
U.S. TREASURY OBLIGATIONS — 30.5% | ||||
U.S. Treasury Bills | ||||
0.01%, 07/08/21Ω | $ 4,300,000 | $ 4,299,972 | ||
0.01%, 07/22/21Ω | 4,300,000 | 4,299,893 | ||
0.01%, 07/29/21Ω | 4,300,000 | 4,299,857 | ||
0.01%, 08/12/21Ω | 4,300,000 | 4,299,737 | ||
0.01%, 08/19/21Ω | 4,300,000 | 4,299,766 | ||
0.00%, 08/26/21Ω | 4,300,000 | 4,299,736 | ||
0.01%, 09/02/21Ω | 4,300,000 | 4,299,642 | ||
0.02%, 09/09/21Ω | 4,300,000 | 4,299,645 | ||
0.01%, 09/16/21Ω | 4,300,000 | 4,299,632 | ||
0.04%, 09/23/21Ω | 4,300,000 | 4,299,548 | ||
0.01%, 10/28/21Ω | 28,125,000 | 28,120,351 | ||
0.01%, 12/30/21Ω | 28,125,000 | 28,118,175 | ||
Total U.S. Treasury Obligations (Cost $99,246,731) | 99,235,954 |
Shares | |||
COMMON STOCKS — 7.7% | |||
Communication Services — 0.1% | |||
Escrow NII Holdings, Inc.††† * | 76,167 | 165,282 | |
Consumer Discretionary — 1.8% | |||
Advance Auto Parts, Inc. | 501 | 102,775 | |
Amazon.com, Inc.* | 163 | 560,746 | |
American Eagle Outfitters, Inc. | 5,243 | 196,770 | |
AutoNation, Inc.* | 621 | 58,877 | |
AutoZone, Inc.* | 199 | 296,952 | |
Best Buy Co., Inc. | 5,492 | 631,470 | |
Chewy, Inc. Class A* | 2,275 | 181,340 | |
Dick's Sporting Goods, Inc. | 1,776 | 177,937 | |
eBay, Inc. | 2,278 | 159,938 | |
Etsy, Inc.* | 1,231 | 253,389 | |
Foot Locker, Inc. | 6,347 | 391,166 | |
Home Depot, Inc. (The) | 711 | 226,731 | |
L Brands, Inc. | 1,960 | 141,238 | |
Lowe’s Cos., Inc. | 1,876 | 363,888 | |
Murphy USA, Inc. | 253 | 33,743 | |
O’Reilly Automotive, Inc.* | 530 | 300,091 | |
Ollie's Bargain Outlet Holdings, Inc.* | 908 | 76,390 | |
Pool Corporation | 498 | 228,413 | |
Target Corporation | 3,985 | 963,334 | |
Tractor Supply Co. | 1,508 | 280,578 | |
Williams-Sonoma, Inc. | 1,765 | 281,782 | |
5,907,548 | |||
Consumer Staples — 1.0% | |||
Casey’s General Stores, Inc. | 1,631 | 317,458 | |
Clorox Co. (The) | 1,012 | 182,069 | |
Colgate-Palmolive Co. | 3,792 | 308,479 | |
Costco Wholesale Corporation | 690 | 273,012 | |
Estee Lauder Cos., Inc. (The) Class A | 501 | 159,358 | |
Kimberly-Clark Corporation | 130 | 17,392 | |
Kroger Co. (The) | 4,462 | 170,939 | |
Nu Skin Enterprises, Inc. Class A | 1,299 | 73,588 | |
Procter & Gamble Co. (The) | 6,213 | 838,320 | |
Reynolds Consumer Products, Inc. | 3,716 | 112,781 | |
Spectrum Brands Holdings, Inc. | 1,059 | 90,057 |
Shares | Value | |||
Sprouts Farmers Market, Inc.* | 5,562 | $ 138,216 | ||
Walmart, Inc. | 5,093 | 718,215 | ||
3,399,884 | ||||
Financials — 1.4% | ||||
Aflac, Inc. | 4,180 | 224,299 | ||
Alleghany Corporation* | 64 | 42,692 | ||
Allstate Corporation (The) | 9,488 | 1,237,615 | ||
Arch Capital Group, Ltd.* | 1,172 | 45,638 | ||
Brown & Brown, Inc. | 876 | 46,551 | ||
Cincinnati Financial Corporation | 2,292 | 267,293 | ||
CNA Financial Corporation | 243 | 11,054 | ||
Erie Indemnity Co. Class A | 804 | 155,453 | ||
Fidelity National Financial, Inc. | 3,515 | 152,762 | ||
First American Financial Corporation | 2,112 | 131,683 | ||
Globe Life, Inc. | 2,511 | 239,173 | ||
Hanover Insurance Group, Inc. (The) | 919 | 124,653 | ||
Kemper Corporation | 448 | 33,107 | ||
Kinsale Capital Group, Inc. | 3,268 | 538,468 | ||
Markel Corporation* | 159 | 188,687 | ||
Mercury General Corporation | 5,373 | 348,976 | ||
Old Republic International Corporation | 6,056 | 150,855 | ||
Primerica, Inc. | 871 | 133,385 | ||
Progressive Corporation (The) | 3,722 | 365,538 | ||
RenaissanceRe Holdings, Ltd. | 274 | 40,777 | ||
Selective Insurance Group, Inc. | 382 | 30,999 | ||
White Mountains Insurance Group, Ltd. | 141 | 161,872 | ||
4,671,530 | ||||
Information Technology — 1.5% | ||||
Apple, Inc. | 7,340 | 1,005,286 | ||
Arista Networks, Inc.* | 323 | 117,026 | ||
Arrow Electronics, Inc.* | 2,580 | 293,681 | ||
CDW Corporation | 2,131 | 372,179 | ||
Ciena Corporation* | 4,020 | 228,698 | ||
Cisco Systems, Inc. | 9,896 | 524,488 | ||
Cognex Corporation | 1,534 | 128,933 | ||
Dell Technologies, Inc. Class C* | 357 | 35,582 | ||
F5 Networks, Inc.* | 355 | 66,264 | ||
HP, Inc. | 14,896 | 449,710 | ||
IPG Photonics Corporation* | 754 | 158,921 | ||
Keysight Technologies, Inc.* | 2,223 | 343,253 | ||
Motorola Solutions, Inc. | 176 | 38,166 | ||
National Instruments Corporation | 1,083 | 45,789 | ||
NetApp, Inc. | 1,192 | 97,530 | ||
Pure Storage, Inc. Class A* | 3,745 | 73,140 | ||
Ubiquiti, Inc. | 1,457 | 454,861 | ||
Vishay Intertechnology, Inc. | 6,850 | 154,468 | ||
Zebra Technologies Corporation Class A* | 328 | 173,673 | ||
4,761,648 | ||||
Materials — 1.9% | ||||
AptarGroup, Inc. | 1,774 | 249,850 | ||
Ashland Global Holdings, Inc. | 381 | 33,338 | ||
Avery Dennison Corporation | 257 | 54,032 |
Shares | Value | |||
Berry Global Group, Inc.* | 1,196 | $ 78,003 | ||
Celanese Corporation | 993 | 150,539 | ||
Eagle Materials, Inc. | 365 | 51,870 | ||
Element Solutions, Inc. | 4,462 | 104,322 | ||
FMC Corporation | 405 | 43,821 | ||
Huntsman Corporation | 2,265 | 60,068 | ||
Ingevity Corporation* | 115 | 9,356 | ||
Louisiana-Pacific Corporation | 2,086 | 125,765 | ||
Martin Marietta Materials, Inc. | 202 | 71,066 | ||
Mosaic Co. (The) | 22,430 | 715,741 | ||
NewMarket Corporation | 642 | 206,711 | ||
Newmont Corporation | 1,435 | 90,950 | ||
Nucor Corporation | 2,446 | 234,645 | ||
Packaging Corporation of America | 6,836 | 925,731 | ||
Reliance Steel & Aluminum Co. | 2,522 | 380,570 | ||
Royal Gold, Inc. | 1,714 | 195,567 | ||
RPM International, Inc. | 2,249 | 199,441 | ||
Sealed Air Corporation | 8,080 | 478,740 | ||
Sensient Technologies Corporation | 2,288 | 198,049 | ||
Sherwin-Williams Co. (The) | 3,906 | 1,064,190 | ||
Silgan Holdings, Inc. | 2,176 | 90,304 | ||
Sonoco Products Co. | 1,221 | 81,685 | ||
Valvoline, Inc. | 4,950 | 160,677 | ||
6,055,031 | ||||
Total Common Stocks (Cost $25,125,943) | 24,960,923 | |||
FOREIGN COMMON STOCKS — 0.1% | ||||
Ireland — 0.1% | ||||
Aon PLC Class A | 725 | 173,101 | ||
Jersey — 0.0% | ||||
Amcor PLC | 2,787 | 31,939 | ||
Switzerland — 0.0% | ||||
Chubb, Ltd. | 714 | 113,483 | ||
Total Foreign Common Stocks (Cost $336,702) | 318,523 | |||
PREFERRED STOCKS — 1.6% | ||||
AGNC Investment Corporation | ||||
(Variable, ICE LIBOR USD 3M + 4.70%), 0.00% † | 11,804 | 295,690 | ||
AMG Capital Trust II | ||||
5.15%, 10/15/37 CONV | 13,947 | 836,681 | ||
Bunge, Ltd. | ||||
4.88% CONV | 3,500 | 406,805 | ||
Cowen, Inc. | ||||
5.63% CONV | 320 | 503,815 | ||
Fluor Corporation | ||||
6.50% 144A CONV | 576 | 611,078 | ||
MFA Financial, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 5.35%), 0.00% † | 20,886 | 494,163 | ||
NCR Corporation | ||||
0.00% CONV | 250 | 213,813 |
Shares | Value | |||
New Residential Investment Corporation | ||||
(Variable, ICE LIBOR USD 3M + 4.97%), 0.00% † | 20,512 | $ 492,288 | ||
New York Community Capital Trust V | ||||
6.00%, 11/01/51 CONV | 15,402 | 804,581 | ||
New York Mortgage Trust, Inc. | ||||
(Variable, U.S. SOFR + 6.13%), 0.00% † * | 11,165 | 282,028 | ||
Ready Capital Corporation | ||||
7.00%, 08/15/23 CONV | 11,500 | 316,710 | ||
Total Preferred Stocks (Cost $5,352,904) | 5,257,652 | |||
FOREIGN PREFERRED STOCKS — 0.2% | ||||
Canada — 0.1% | ||||
Algonquin Power & Utilities Corporation | ||||
0.00%, 06/15/24 CONV * | 6,766 | 335,985 | ||
Jersey — 0.1% | ||||
Clarivate PLC | ||||
0.00%, 06/01/24 CONV * | 2,815 | 294,731 | ||
Total Foreign Preferred Stocks (Cost $620,160) | 630,716 | |||
RIGHTS — 0.0% | ||||
Alder Biopharmaceuticals, Inc. ††† * (Cost $3,154) | 3,505 | 7,010 | ||
MUTUAL FUNDS — 0.4% | ||||
ProShares Short 20+ Year Treasury * (Cost $1,395,109) | 79,498 | 1,341,926 | ||
MONEY MARKET FUNDS — 35.2% | ||||
GuideStone Money Market Fund, 0.00% (Institutional Class)Ø ∞ | 13,077,766 | 13,077,766 | ||
Northern Institutional U.S. Government Portfolio (Shares), 0.00%Ø | 101,497,942 | 101,497,942 | ||
Total Money Market Funds (Cost $114,575,708) | 114,575,708 | |||
TOTAL INVESTMENTS —97.4% (Cost $316,028,101) | 317,025,129 | |||
COMMON STOCKS SOLD SHORT — (6.2)% | ||||
Communication Services — (0.5)% | ||||
Cable One, Inc. | (125) | (239,101) | ||
DISH Network Corporation Class A * | (4,897) | (204,695) | ||
fuboTV, Inc. * | (3,575) | (114,793) | ||
iQIYI, Inc. ADR * | (5,600) | (87,248) | ||
JOYY, Inc. ADR | (2,576) | (169,939) | ||
Magnite, Inc. * | (4,820) | (163,109) | ||
Spotify Technology SA * | (429) | (118,228) | ||
TripAdvisor, Inc. * | (2,875) | (115,862) | ||
Zillow Group, Inc. Class C * | (3,389) | (414,204) | ||
(1,627,179) | ||||
Consumer Discretionary — (1.0)% | ||||
2U, Inc. * | (8,372) | (348,861) |
Shares | Value | |||
Burlington Stores, Inc. * | (1,426) | $ (459,158) | ||
Callaway Golf Co. * | (11,108) | (374,673) | ||
Cheesecake Factory, Inc. (The) * | (1,634) | (88,530) | ||
GoPro, Inc. Class A * | (18,150) | (211,448) | ||
Groupon, Inc. * | (3,263) | (140,831) | ||
Huazhu Group, Ltd. ADR * | (7,157) | (377,961) | ||
NIO, Inc. ADR * | (2,306) | (122,679) | ||
RealReal, Inc. (The) * | (8,083) | (159,720) | ||
Royal Caribbean Cruises, Ltd. * | (4,148) | (353,742) | ||
Stride, Inc. * | (5,533) | (177,775) | ||
Vroom, Inc. * | (1,899) | (79,492) | ||
Winnebago Industries, Inc. | (3,881) | (263,753) | ||
(3,158,623) | ||||
Consumer Staples — (0.1)% | ||||
Beyond Meat, Inc. * | (675) | (106,306) | ||
Bunge, Ltd. | (1,969) | (153,877) | ||
Chefs' Warehouse, Inc. (The) * | (6,100) | (194,163) | ||
(454,346) | ||||
Energy — (0.2)% | ||||
Centennial Resource Development, Inc. Class A * | (55,473) | (376,107) | ||
Helix Energy Solutions Group, Inc. * | (29,478) | (168,319) | ||
SFL Corporation, Ltd. | (9,028) | (69,064) | ||
(613,490) | ||||
Financials — (0.4)% | ||||
Affiliated Managers Group, Inc. | (1,089) | (167,935) | ||
Coinbase Global, Inc. Class A * | (283) | (71,684) | ||
Cowen, Inc. Class A | (12,338) | (506,475) | ||
Encore Capital Group, Inc. * | (5,325) | (252,352) | ||
PRA Group, Inc. * | (3,880) | (149,263) | ||
WisdomTree Investments, Inc. | (42,804) | (265,385) | ||
(1,413,094) | ||||
Health Care — (1.0)% | ||||
Apellis Pharmaceuticals, Inc. * | (3,508) | (221,706) | ||
Avid Bioservices, Inc. * | (7,065) | (181,217) | ||
Bridgebio Pharma, Inc. * | (3,346) | (203,972) | ||
Coherus Biosciences, Inc. * | (16,148) | (223,327) | ||
Dynavax Technologies Corporation * | (20,096) | (197,946) | ||
Exact Sciences Corporation * | (3,100) | (385,361) | ||
Flexion Therapeutics, Inc. * | (2,800) | (23,044) | ||
Gossamer Bio, Inc. * | (21,486) | (174,466) | ||
Halozyme Therapeutics, Inc. * | (4,244) | (192,720) | ||
Innoviva, Inc. * | (6,038) | (80,969) | ||
Insmed, Inc. * | (12,260) | (348,920) | ||
Ionis Pharmaceuticals, Inc. * | (2,000) | (79,780) | ||
Ligand Pharmaceuticals, Inc. * | (400) | (52,476) | ||
Radius Health, Inc. * | (4,284) | (78,140) | ||
SmileDirectClub, Inc. * | (17,963) | (155,919) | ||
Tabula Rasa HealthCare, Inc. * | (3,900) | (195,000) | ||
Theravance Biopharma, Inc. * | (2,806) | (40,743) | ||
Travere Therapeutics, Inc. * | (4,764) | (69,507) | ||
Vocera Communications, Inc. * | (5,798) | (231,050) | ||
Zogenix, Inc. * | (10,220) | (176,602) | ||
(3,312,865) |
Shares | Value | |||
Industrials — (0.7)% | ||||
Air Transport Services Group, Inc. * | (8,200) | $ (190,486) | ||
Bloom Energy Corporation Class A * | (9,364) | (251,611) | ||
Fluor Corporation * | (14,243) | (252,101) | ||
FTI Consulting, Inc. * | (2,560) | (349,721) | ||
Greenbrier Cos., Inc. (The) | (5,943) | (258,996) | ||
John Bean Technologies Corporation | (402) | (57,333) | ||
Kaman Corporation | (2,559) | (128,974) | ||
Meritor, Inc. * | (3,240) | (75,881) | ||
Middleby Corporation (The) * | (2,200) | (381,172) | ||
Spirit Airlines, Inc. * | (4,300) | (130,892) | ||
Sunrun, Inc. * | (2,331) | (130,023) | ||
(2,207,190) | ||||
Information Technology — (1.8)% | ||||
21Vianet Group, Inc. ADR * | (3,682) | (84,502) | ||
8x8, Inc. * | (6,300) | (174,888) | ||
Avaya Holdings Corporation * | (7,121) | (191,555) | ||
Bentley Systems, Inc. Class B | (2,087) | (135,196) | ||
Ceridian HCM Holding, Inc. * | (1,741) | (166,997) | ||
Enphase Energy, Inc. * | (1,321) | (242,575) | ||
Envestnet, Inc. * | (1,894) | (143,679) | ||
Everbridge, Inc. * | (1,600) | (217,728) | ||
Fastly, Inc. Class A * | (3,418) | (203,713) | ||
I3 Verticals, Inc. Class A * | (8,468) | (255,903) | ||
II-VI, Inc. * | (4,377) | (317,726) | ||
Infinera Corporation * | (24,976) | (254,755) | ||
Lumentum Holdings, Inc. * | (3,900) | (319,917) | ||
MACOM Technology Solutions Holdings, Inc. * | (2,282) | (146,231) | ||
MicroStrategy, Inc. Class A * | (231) | (153,499) | ||
Mitek Systems, Inc. * | (11,592) | (223,262) | ||
NCR Corporation * | (5,464) | (249,213) | ||
New Relic, Inc. * | (1,232) | (82,507) | ||
OSI Systems, Inc. * | (1,680) | (170,755) | ||
Perficient, Inc. * | (3,680) | (295,946) | ||
Progress Software Corporation | (3,033) | (140,276) | ||
Q2 Holdings, Inc. * | (2,347) | (240,755) | ||
Sabre Corporation * | (26,772) | (334,114) | ||
Splunk, Inc. * | (851) | (123,038) | ||
Verint Systems, Inc. * | (4,899) | (220,798) | ||
Vonage Holdings Corporation * | (9,819) | (141,492) | ||
Workiva, Inc. * | (4,763) | (530,265) | ||
(5,761,285) | ||||
Real Estate — (0.4)% | ||||
iStar, Inc. REIT | (17,113) | (354,753) | ||
Pebblebrook Hotel Trust REIT | (15,458) | (364,036) | ||
Realogy Holdings Corporation * | (8,678) | (158,113) | ||
Redfin Corporation * | (2,267) | (143,750) | ||
Summit Hotel Properties, Inc. REIT * | (25,240) | (235,489) | ||
(1,256,141) |
Shares | Value | |||
Utilities — (0.1)% | ||||
NRG Energy, Inc. | (5,900) | $ (237,770) | ||
Sunnova Energy International, Inc. * | (7,188) | (270,700) | ||
(508,470) | ||||
Total Common Stocks Sold Short (Proceeds $(19,229,653)) | (20,312,683) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.2)% | ||||
Canada — (0.0)% | ||||
Algonquin Power & Utilities Corporation | (13,146) | (195,612) | ||
Ireland — (0.1)% | ||||
Jazz Pharmaceuticals PLC * | (2,200) | (390,808) | ||
Jersey — (0.1)% | ||||
Clarivate PLC * | (7,507) | (206,668) | ||
Total Foreign Common Stocks Sold Short (Proceeds $(782,093)) | (793,088) | |||
TOTAL SECURITIES SOLD SHORT —(6.4)% (Proceeds $(20,011,746)) | (21,105,771) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.1)% | ||||
Avid Bioservices, Inc., Strike Price $25.00, Expires 07/16/21 (EVR ISI) | (21) | $ (53,865) | (2,940) | |
Beyond Meat, Inc., Strike Price $150.00, Expires 07/16/21 (EVR ISI) | (3) | (47,247) | (3,450) | |
Bloom Energy Corporation, Strike Price $28.00, Expires 08/20/21 (MSCS) | (25) | (67,175) | (5,000) | |
Callaway Golf Co., Strike Price $32.00, Expires 08/20/21 (EVR ISI) | (30) | (101,190) | (9,690) | |
Coinbase Global, Inc., Strike Price $230.00, Expires 08/20/21 (EVR ISI) | (2) | (50,660) | (6,860) | |
Enphase Energy, Inc., Strike Price $185.00, Expires 08/20/21 (EVR ISI) | (5) | (91,815) | (9,000) | |
fuboTV, Inc., Strike Price $30.00, Expires 08/20/21 (EVR ISI) | (22) | (70,642) | (12,716) |
Number of Contracts | Notional Amount | Value | |||
Groupon, Inc., Strike Price $45.00, Expires 08/20/21 (MSCS) | (14) | $ (60,424) | $ (4,865) | ||
Magnite, Inc., Strike Price $35.00, Expires 07/16/21 (EVR ISI) | (27) | (91,368) | (4,050) | ||
New Relic, Inc., Strike Price $70.00, Expires 07/16/21 (EVR ISI) | (12) | (80,364) | (1,380) | ||
RealReal, Inc. (The), Strike Price $20.00, Expires 08/20/21 (EVR ISI) | (31) | (61,256) | (6,975) | ||
Royal Caribbean Cruises, Ltd., Strike Price $95.00, Expires 07/16/21 (EVR ISI) | (13) | (110,864) | (650) | ||
Sunnova Energy International, Inc., Strike Price $35.00, Expires 08/20/21 (EVR ISI) | (24) | (90,384) | (13,080) | ||
Zillow Group, Inc., Strike Price $110.00, Expires 07/16/21 (EVR ISI) | (10) | (122,220) | (13,125) | ||
(93,781) | |||||
Call Swaption — (0.0)% | |||||
Pay 0.856% (Semiannually); Receive 3-Month LIBOR (Quarterly); Interest Rate Swap Maturing 11/24/2026 USD, Strike Price $0.86, Expires 11/24/26 (CITI) | (1) | (21,840,000) | (67,475) | ||
Put Swaptions — (0.0)% | |||||
Pay 3-Month LIBOR (Quarterly); Receive 2.443% (Semiannually); Interest Rate Swap Maturing 7/06/2051 USD, Strike Price $2.44, Expires 07/06/51 (CITI) | (1) | (710,000) | — |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive -0.021% (Annually); Interest Rate Swap Maturing 8/24/2026 EUR, Strike Price $0.02, Expires 08/24/26 (CITI) | (1) | $(2,550,000) | $ (541) | ||
Pay 6-Month EURIBOR (Semiannually); Receive -0.025% (Annually); Interest Rate Swap Maturing 8/23/2026 EUR, Strike Price $0.03, Expires 08/23/26 (BNP) | (1) | (5,790,000) | (1,225) | ||
Pay 6-Month EURIBOR (Semiannually); Receive -0.075% (Annually); Interest Rate Swap Maturing 11/22/2026 EUR, Strike Price $0.08, Expires 11/22/26 (BOA) | (1) | (5,330,000) | (12,182) | ||
Pay 6-Month EURIBOR (Semiannually); Receive -0.093% (Annually); Interest Rate Swap Maturing 8/24/2026 EUR, Strike Price $0.09, Expires 08/24/26 (CITI) | (1) | (2,550,000) | (1,193) | ||
Pay 6-Month EURIBOR (Semiannually); Receive -0.095% (Annually); Interest Rate Swap Maturing 8/23/2026 EUR, Strike Price $0.10, Expires 08/23/26 (BNP) | (1) | (5,790,000) | (2,681) |
Number of Contracts | Notional Amount | Value | |||
Pay 6-Month EURIBOR (Semiannually); Receive -0.107% (Annually); Interest Rate Swap Maturing 5/30/2027 EUR, Strike Price $0.11, Expires 05/30/27 (BNP) | (1) | $(3,450,000) | $ (25,969) | ||
(43,791) | |||||
Total Written Options (Premiums received $ (279,672)) | (205,047) | ||||
Other Assets in Excess of Liabilities — 9.1% | 29,508,743 | ||||
NET ASSETS — 100.0% | $325,223,054 |
% | |
Money Market Funds | 35.2 |
U.S. Treasury Obligations | 30.5 |
Corporate Bonds | 15.0 |
Mortgage-Backed Securities | 5.4 |
Financials | 2.7 |
Materials | 1.9 |
Consumer Discretionary | 1.8 |
Information Technology | 1.5 |
Foreign Bonds | 1.3 |
Consumer Staples | 1.2 |
Mutual Funds | 0.4 |
Industrials | 0.3 |
Utilities | 0.1 |
Communication Services | 0.1 |
Purchased Options | —** |
Rights | —** |
Written Options | (0.1) |
Foreign Common Stocks Sold Short | (0.2) |
Common Stocks Sold Short | (6.2) |
90.9 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2021 | (3) | $ (477,205) | $ (9) | ||||
Euro-Bund | 09/2021 | (5) | (1,023,362) | (4,432) | ||||
Euro-OAT | 09/2021 | (3) | (565,745) | (2,135) |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Australian Dollars/U.S. Dollars | 09/2021 | (243) | $(18,220,140) | $ 601,815 | ||||
British Pounds/U.S. Dollars | 09/2021 | (7) | (603,969) | 16,538 | ||||
Euro/U.S. Dollars | 09/2021 | (168) | (24,916,500) | 702,065 | ||||
Japanese Yen/U.S. Dollars | 09/2021 | (5) | (562,937) | 8,401 | ||||
Mexican Pesos/U.S. Dollars | 09/2021 | (20) | (497,000) | 6,500 | ||||
New Zealand Dollars/U.S. Dollars | 09/2021 | (2) | (139,660) | 4,300 | ||||
South African Rand/U.S. Dollars | 09/2021 | (14) | (484,750) | 24,850 | ||||
Swiss Francs/U.S. Dollars | 09/2021 | (2) | (270,475) | 9,636 | ||||
U.S. Dollars/Czech Republic Koruna | 09/2021 | 1 | 100,146 | 2,939 | ||||
U.S. Dollars/Norwegian Kroner | 09/2021 | 1 | 100,105 | 4,342 | ||||
U.S. Dollars/Swedish Kroner | 09/2021 | 3 | 300,021 | 11,068 | ||||
Canadian Dollars/U.S. Dollars | 09/2021 | (32) | (2,579,840) | 67,142 | ||||
10-Year Commonwealth Treasury Bond | 09/2021 | (5) | (529,424) | (679) | ||||
NASDAQ 100 E-Mini | 09/2021 | 22 | 6,401,560 | 174,335 | ||||
S&P 500® E-Mini | 09/2021 | 105 | 22,515,150 | 417,089 | ||||
10-Year Bond | 09/2021 | (12) | (1,408,712) | (13,813) | ||||
10-Year U.S. Treasury Note | 09/2021 | (78) | (10,335,000) | (14,861) | ||||
U.S. Treasury Long Bond | 09/2021 | 3 | 482,250 | 8,250 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2021 | 1 | 147,203 | 1,344 | ||||
Ultra Long U.S. Treasury Bond | 09/2021 | 4 | 770,750 | 2,017 | ||||
Long GILT | 09/2021 | 2 | 354,401 | 3,163 | ||||
2-Year U.S. Treasury Note | 09/2021 | (162) | (35,691,891) | 18,029 | ||||
5-Year U.S. Treasury Note | 09/2021 | 206 | 25,426,516 | 3,807 | ||||
Total Futures Contracts outstanding at June 30, 2021 | $(41,708,508) | $2,051,701 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | U.S. Dollars | 12,108,127 | Euro | 10,032,303 | MSCS | $192,929 | ||||||
09/15/21 | U.S. Dollars | 5,920,667 | Japanese Yen | 647,749,924 | MSCS | 86,142 | ||||||
08/20/21 | U.S. Dollars | 1,898,191 | Australian Dollars | 2,450,647 | MSCS | 59,898 | ||||||
08/04/21 | U.S. Dollars | 1,880,484 | Swedish Kronor | 15,684,257 | MSCS | 47,196 | ||||||
07/02/21 | Brazilian Reals | 5,374,458 | U.S. Dollars | 1,034,698 | MSCS | 45,857 | ||||||
08/09/21 | U.S. Dollars | 1,117,478 | Norwegian Kroner | 9,255,997 | MSCS | 42,248 | ||||||
08/20/21 | U.S. Dollars | 1,519,155 | Canadian Dollars | 1,838,053 | MSCS | 36,408 | ||||||
09/10/21 | U.S. Dollars | 3,787,201 | Euro | 3,161,454 | MSCS | 32,815 | ||||||
08/12/21 | U.S. Dollars | 1,187,727 | Chilean Pesos | 849,173,220 | MSCS | 32,725 | ||||||
09/15/21 | U.S. Dollars | 1,565,035 | Swiss Francs | 1,415,062 | MSCS | 32,442 | ||||||
09/15/21 | U.S. Dollars | 2,062,489 | Canadian Dollars | 2,516,860 | MSCS | 32,165 | ||||||
09/15/21 | U.S. Dollars | 1,094,663 | Swedish Kronor | 9,110,672 | MSCS | 29,307 | ||||||
08/23/21 | U.S. Dollars | 654,361 | Polish Zloty | 2,407,004 | MSCS | 22,978 | ||||||
09/15/21 | U.S. Dollars | 1,241,184 | South Korean Won | 1,383,709,296 | MSCS | 17,028 | ||||||
09/15/21 | U.S. Dollars | 1,145,789 | British Pounds | 817,395 | MSCS | 14,888 | ||||||
09/15/21 | U.S. Dollars | 644,282 | South African Rand | 9,102,497 | MSCS | 13,246 | ||||||
09/15/21 | U.S. Dollars | 2,223,420 | Turkish Lira | 20,039,880 | MSCS | 11,305 | ||||||
08/18/21 | Russian Rubles | 68,496,044 | U.S. Dollars | 918,380 | MSCS | 10,984 | ||||||
08/05/21 | U.S. Dollars | 420,692 | British Pounds | 296,174 | MSCS | 10,953 | ||||||
08/19/21 | U.S. Dollars | 313,945 | Czech Republic Koruna | 6,533,898 | MSCS | 10,236 | ||||||
07/22/21 | U.S. Dollars | 274,099 | Colombian Pesos | 996,657,770 | MSCS | 8,821 | ||||||
09/15/21 | U.S. Dollars | 715,613 | Australian Dollars | 943,234 | MSCS | 7,996 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/13/21 | U.S. Dollars | 426,025 | South African Rand | 6,009,000 | MSCS | $ 7,598 | ||||||
09/15/21 | Turkish Lira | 7,218,311 | U.S. Dollars | 789,799 | MSCS | 6,999 | ||||||
09/15/21 | U.S. Dollars | 158,794 | Polish Zloty | 580,147 | MSCS | 6,609 | ||||||
08/09/21 | U.S. Dollars | 236,910 | Swiss Francs | 213,000 | MSCS | 6,452 | ||||||
08/16/21 | U.S. Dollars | 1,147,039 | Turkish Lira | 10,185,015 | MSCS | 5,688 | ||||||
09/15/21 | U.S. Dollars | 493,293 | Norwegian Kroner | 4,197,082 | MSCS | 5,682 | ||||||
09/15/21 | Mexican Pesos | 3,715,590 | U.S. Dollars | 180,023 | MSCS | 4,522 | ||||||
09/15/21 | U.S. Dollars | 467,248 | Thai Baht | 14,848,404 | MSCS | 4,108 | ||||||
07/01/21 | Indonesian Rupiahs | 14,200,163,506 | U.S. Dollars | 975,378 | MSCS | 3,944 | ||||||
08/26/21 | U.S. Dollars | 207,097 | Japanese Yen | 22,627,570 | MSCS | 3,321 | ||||||
09/15/21 | Euro | 194,988 | Hungarian Forint | 67,748,449 | MSCS | 3,293 | ||||||
09/15/21 | Japanese Yen | 29,430,436 | Euro | 220,437 | MSCS | 3,282 | ||||||
09/15/21 | South Korean Won | 1,060,857,111 | U.S. Dollars | 935,424 | MSCS | 3,108 | ||||||
08/19/21 | U.S. Dollars | 76,061 | Hungarian Forint | 21,846,000 | MSCS | 2,404 | ||||||
09/15/21 | Euro | 744,168 | Swedish Kronor | 7,539,691 | MSCS | 2,184 | ||||||
08/26/21 | U.S. Dollars | 73,543 | New Zealand Dollars | 102,106 | MSCS | 2,182 | ||||||
09/15/21 | Euro | 201,750 | Czech Republic Koruna | 5,115,368 | MSCS | 1,907 | ||||||
09/15/21 | Hungarian Forint | 64,074,545 | Euro | 180,233 | MSCS | 1,851 | ||||||
08/04/21 | Mexican Pesos | 11,239,374 | U.S. Dollars | 559,504 | MSCS | 1,835 | ||||||
09/17/21 | U.S. Dollars | 399,896 | Israeli Shekels | 1,296,608 | MSCS | 1,804 | ||||||
07/09/21 | Peruvian Nuevo Soles | 762,921 | U.S. Dollars | 196,545 | MSCS | 1,768 | ||||||
09/15/21 | Canadian Dollars | 621,897 | U.S. Dollars | 500,127 | MSCS | 1,551 | ||||||
09/15/21 | Norwegian Kroner | 2,564,164 | U.S. Dollars | 296,382 | MSCS | 1,519 | ||||||
09/15/21 | U.S. Dollars | 698,090 | Chinese Offshore Yuan | 4,531,060 | MSCS | 1,486 | ||||||
09/15/21 | U.S. Dollars | 466,910 | New Zealand Dollars | 666,237 | MSCS | 1,324 | ||||||
09/15/21 | U.S. Dollars | 237,249 | Singapore Dollars | 317,259 | MSCS | 1,319 | ||||||
09/15/21 | New Zealand Dollars | 312,412 | Japanese Yen | 24,106,723 | MSCS | 1,184 | ||||||
07/01/21 | U.S. Dollars | 94,856 | Indonesian Rupiahs | 1,359,095,622 | MSCS | 1,125 | ||||||
09/15/21 | Chinese Offshore Yuan | 5,737,513 | U.S. Dollars | 881,000 | MSCS | 1,083 | ||||||
07/15/21 | U.S. Dollars | 234,232 | Taiwan Dollars | 6,502,056 | MSCS | 862 | ||||||
09/15/21 | British Pounds | 153,302 | Euro | 177,934 | MSCS | 771 | ||||||
09/15/21 | South African Rand | 4,078,007 | U.S. Dollars | 282,042 | MSCS | 668 | ||||||
09/15/21 | New Zealand Dollars | 196,909 | U.S. Dollars | 137,331 | MSCS | 274 | ||||||
09/15/21 | Hungarian Forint | 14,297,602 | U.S. Dollars | 47,956 | MSCS | 222 | ||||||
08/23/21 | U.S. Dollars | 88,557 | Hong Kong Dollars | 687,253 | MSCS | 32 | ||||||
Subtotal Appreciation | $892,528 | |||||||||||
09/15/21 | U.S. Dollars | 787,000 | Singapore Dollars | 1,058,346 | MSCS | $ (41) | ||||||
07/02/21 | Brazilian Reals | 461,712 | U.S. Dollars | 93,243 | MSCS | (415) | ||||||
09/15/21 | U.S. Dollars | 468,442 | Polish Zloty | 1,787,623 | MSCS | (492) | ||||||
09/15/21 | U.S. Dollars | 140,112 | Swedish Kronor | 1,202,805 | MSCS | (538) | ||||||
07/23/21 | Taiwan Dollars | 12,971,836 | U.S. Dollars | 466,152 | MSCS | (560) | ||||||
09/15/21 | U.S. Dollars | 829,905 | Australian Dollars | 1,107,015 | MSCS | (578) | ||||||
09/15/21 | U.S. Dollars | 94,285 | Turkish Lira | 859,552 | MSCS | (597) | ||||||
09/15/21 | Euro | 179,853 | Swedish Kronor | 1,832,649 | MSCS | (692) | ||||||
09/15/21 | Swiss Francs | 143,080 | U.S. Dollars | 155,656 | MSCS | (693) | ||||||
08/13/21 | Singapore Dollars | 103,302 | U.S. Dollars | 77,553 | MSCS | (732) | ||||||
07/26/21 | U.S. Dollars | 233,825 | Indonesian Rupiahs | 3,425,769,196 | MSCS | (823) | ||||||
09/15/21 | Euro | 400,268 | British Pounds | 344,294 | MSCS | (952) | ||||||
09/15/21 | New Zealand Dollars | 996,674 | Euro | 587,347 | MSCS | (1,078) | ||||||
07/29/21 | Indian Rupees | 34,844,820 | U.S. Dollars | 468,093 | MSCS | (1,120) | ||||||
09/15/21 | Canadian Dollars | 253,555 | Japanese Yen | 22,858,201 | MSCS | (1,353) | ||||||
08/04/21 | U.S. Dollars | 419,405 | Mexican Pesos | 8,425,043 | MSCS | (1,375) | ||||||
09/15/21 | Czech Republic Koruna | 9,989,082 | Euro | 392,056 | MSCS | (1,451) | ||||||
09/15/21 | U.S. Dollars | 234,138 | Thai Baht | 7,556,810 | MSCS | (1,568) | ||||||
09/15/21 | Euro | 196,714 | Hungarian Forint | 69,828,506 | MSCS | (1,666) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/26/21 | Japanese Yen | 11,440,110 | U.S. Dollars | 104,705 | MSCS | $ (1,679) | ||||||
09/15/21 | South Korean Won | 791,920,056 | U.S. Dollars | 702,384 | MSCS | (1,779) | ||||||
09/15/21 | U.S. Dollars | 437,459 | New Zealand Dollars | 628,543 | MSCS | (1,785) | ||||||
09/15/21 | Australian Dollars | 939,957 | Euro | 595,390 | MSCS | (1,979) | ||||||
09/15/21 | Swedish Kronor | 1,966,457 | Euro | 195,283 | MSCS | (1,987) | ||||||
09/17/21 | Israeli Shekels | 1,265,043 | U.S. Dollars | 390,540 | MSCS | (2,139) | ||||||
09/15/21 | Euro | 197,289 | Norwegian Kroner | 2,035,293 | MSCS | (2,140) | ||||||
09/15/21 | Polish Zloty | 883,247 | U.S. Dollars | 233,974 | MSCS | (2,279) | ||||||
07/26/21 | Indonesian Rupiahs | 4,825,288,214 | U.S. Dollars | 332,940 | MSCS | (2,432) | ||||||
09/15/21 | Japanese Yen | 51,582,637 | Canadian Dollars | 579,082 | MSCS | (2,515) | ||||||
09/17/21 | Indonesian Rupiahs | 4,237,805,684 | U.S. Dollars | 290,818 | MSCS | (2,677) | ||||||
07/22/21 | U.S. Dollars | 329,528 | Colombian Pesos | 1,248,274,471 | MSCS | (2,723) | ||||||
07/15/21 | U.S. Dollars | 700,888 | Taiwan Dollars | 19,603,847 | MSCS | (2,729) | ||||||
08/13/21 | South African Rand | 2,240,288 | U.S. Dollars | 158,832 | MSCS | (2,833) | ||||||
09/15/21 | Euro | 190,635 | Japanese Yen | 25,472,196 | MSCS | (3,024) | ||||||
09/15/21 | Hungarian Forint | 239,627,574 | Euro | 682,785 | MSCS | (3,462) | ||||||
08/19/21 | Hungarian Forint | 37,657,575 | U.S. Dollars | 131,112 | MSCS | (4,143) | ||||||
07/19/21 | Indonesian Rupiahs | 4,773,242,956 | U.S. Dollars | 332,177 | MSCS | (4,628) | ||||||
09/15/21 | Polish Zloty | 1,731,518 | Euro | 386,393 | MSCS | (4,697) | ||||||
08/03/21 | Brazilian Reals | 4,316,664 | U.S. Dollars | 869,279 | MSCS | (4,707) | ||||||
08/18/21 | Russian Rubles | 34,615,502 | U.S. Dollars | 474,389 | MSCS | (4,720) | ||||||
09/15/21 | U.S. Dollars | 467,247 | South African Rand | 6,808,689 | MSCS | (4,770) | ||||||
09/15/21 | Thai Baht | 7,410,130 | U.S. Dollars | 237,217 | MSCS | (6,085) | ||||||
08/09/21 | Swiss Francs | 207,059 | U.S. Dollars | 230,301 | MSCS | (6,272) | ||||||
07/09/21 | U.S. Dollars | 187,119 | Peruvian Nuevo Soles | 745,539 | MSCS | (6,675) | ||||||
07/01/21 | Indonesian Rupiahs | 10,829,754,396 | U.S. Dollars | 753,565 | MSCS | (6,686) | ||||||
08/26/21 | New Zealand Dollars | 341,018 | U.S. Dollars | 245,621 | MSCS | (7,288) | ||||||
09/15/21 | Turkish Lira | 5,423,366 | U.S. Dollars | 607,743 | MSCS | (9,081) | ||||||
09/15/21 | Japanese Yen | 131,650,195 | U.S. Dollars | 1,195,861 | MSCS | (10,039) | ||||||
08/19/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 340,713 | MSCS | (11,109) | ||||||
07/15/21 | Taiwan Dollars | 32,506,575 | U.S. Dollars | 1,177,926 | MSCS | (11,205) | ||||||
07/02/21 | U.S. Dollars | 480,965 | Brazilian Reals | 2,448,083 | MSCS | (11,232) | ||||||
07/22/21 | Colombian Pesos | 2,051,377,318 | U.S. Dollars | 557,487 | MSCS | (11,476) | ||||||
08/05/21 | British Pounds | 358,875 | U.S. Dollars | 509,754 | MSCS | (13,271) | ||||||
07/01/21 | U.S. Dollars | 1,326,059 | Indonesian Rupiahs | 19,433,016,597 | MSCS | (14,149) | ||||||
09/15/21 | Chinese Offshore Yuan | 8,305,086 | U.S. Dollars | 1,291,414 | MSCS | (14,593) | ||||||
09/15/21 | Mexican Pesos | 27,160,818 | U.S. Dollars | 1,366,395 | MSCS | (17,372) | ||||||
09/15/21 | Singapore Dollars | 1,541,551 | U.S. Dollars | 1,164,212 | MSCS | (17,835) | ||||||
08/23/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 554,316 | MSCS | (19,465) | ||||||
09/15/21 | Hungarian Forint | 178,571,339 | U.S. Dollars | 625,282 | MSCS | (23,553) | ||||||
09/15/21 | U.S. Dollars | 931,085 | Mexican Pesos | 19,244,045 | MSCS | (24,727) | ||||||
09/15/21 | British Pounds | 856,267 | U.S. Dollars | 1,209,590 | MSCS | (24,908) | ||||||
08/09/21 | Norwegian Kroner | 6,739,901 | U.S. Dollars | 813,709 | MSCS | (30,763) | ||||||
09/10/21 | Euro | 3,761,013 | U.S. Dollars | 4,505,430 | MSCS | (39,039) | ||||||
08/20/21 | Canadian Dollars | 1,989,086 | U.S. Dollars | 1,643,984 | MSCS | (39,400) | ||||||
09/15/21 | Swedish Kronor | 9,574,680 | U.S. Dollars | 1,159,841 | MSCS | (40,226) | ||||||
09/15/21 | Czech Republic Koruna | 27,733,731 | U.S. Dollars | 1,329,008 | MSCS | (40,238) | ||||||
09/15/21 | Canadian Dollars | 2,019,236 | U.S. Dollars | 1,669,908 | MSCS | (41,014) | ||||||
08/04/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,712,718 | MSCS | (42,985) | ||||||
08/12/21 | Chilean Pesos | 887,934,552 | U.S. Dollars | 1,254,790 | MSCS | (47,065) | ||||||
08/20/21 | Australian Dollars | 2,114,671 | U.S. Dollars | 1,640,126 | MSCS | (53,857) | ||||||
09/15/21 | New Zealand Dollars | 3,166,594 | U.S. Dollars | 2,274,587 | MSCS | (61,679) | ||||||
09/15/21 | South African Rand | 24,577,152 | U.S. Dollars | 1,773,133 | MSCS | (69,306) | ||||||
09/15/21 | Australian Dollars | 5,584,231 | U.S. Dollars | 4,288,693 | MSCS | (99,397) | ||||||
09/15/21 | Norwegian Kroner | 22,484,754 | U.S. Dollars | 2,712,045 | MSCS | (99,800) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/15/21 | Euro | 5,949,220 | U.S. Dollars | 7,198,938 | MSCS | $ (133,151) | ||||||
Subtotal Depreciation | $(1,187,492) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2021 | $ (294,964) |
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 | ||||||||||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | $ 20,725 | $ 7,701 | $ 13,024 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 83,730,000 | 39,327 | 20,357 | 18,970 | |||||||
5.60% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/13/2023 | MXN | 81,610,000 | 53,569 | (1,103) | 54,672 | |||||||
0.84% (Annually) | 6-Month WIBOR (Semiannually) | 9/15/2023 | PLN | 22,730,000 | 13,828 | (529) | 14,357 | |||||||
1.25% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2023 | KRW | 18,477,760,000 | 55,488 | 12,202 | 43,286 | |||||||
1.50% (Annually) | 6-Month PRIBOR (Semiannually) | 9/15/2023 | CZK | 111,780,000 | 23,168 | 6,267 | 16,901 | |||||||
2.00% (Annually) | 6-Month BUBOR (Semiannually) | 9/15/2023 | HUF | 1,823,860,000 | 17,071 | — | 17,071 | |||||||
2.55% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 9/15/2023 | CLP | 3,994,910,000 | 26,407 | — | 26,407 | |||||||
3.85% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 9/15/2023 | COP | 14,076,510,000 | 36,465 | 189 | 36,276 | |||||||
0.40% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 9/15/2024 | AUD | 8,610,000 | 31,139 | 4,859 | 26,280 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 13,638,032 | 102,390 | 29,978 | 72,412 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 66 | (174) | 240 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 9/15/2026 | EUR | 16,730,000 | 135,736 | 124,945 | 10,791 | |||||||
1.50% (Quarterly) | 3-Month KWCDC (Quarterly) | 9/15/2026 | KRW | 1,854,920,297 | 15,311 | 8,344 | 6,967 | |||||||
1-Day MIBOR (Semiannually) | 5.50% (Semiannually) | 9/15/2026 | INR | 245,090,000 | (5,659) | (11,246) | 5,587 | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 9/15/2026 | GBP | 12,750,000 | (435,860) | (445,440) | 9,580 | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 6,540,000 | (115,568) | (127,547) | 11,979 | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 6,590,000 | 57,811 | (39,889) | 97,700 | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 22,930,000 | 326,220 | (100,432) | 426,652 | |||||||
3-Month STIBOR (Quarterly) | 1.27% (Annually) | 5/11/2031 | SEK | 29,790,000 | 20,260 | (6,274) | 26,534 | |||||||
6.86% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/3/2031 | MXN | 8,630,000 | 7,147 | 5,993 | 1,154 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/15/2031 | USD | 330,000 | 14,417 | 14,416 | 1 | |||||||
1.75% (Annually) | 6-Month PRIBOR (Semiannually) | 9/15/2031 | CZK | 29,850,000 | 18,450 | 10,731 | 7,719 | |||||||
1-Day COP-IBR-OIS (Quarterly) | 6.05% (Quarterly) | 9/15/2031 | COP | 5,319,925,000 | 11,755 | 7,474 | 4,281 | |||||||
2.70% (Annually) | 6-Month BUBOR (Semiannually) | 9/15/2031 | HUF | 598,940,000 | 7,979 | 6,539 | 1,440 | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 9/15/2031 | CAD | 5,680,000 | (270,450) | (280,065) | 9,615 | |||||||
3-Month HIBOR (Quarterly) | 1.50% (Quarterly) | 9/15/2031 | HKD | 4,508,144 | 7,447 | 5,894 | 1,553 | |||||||
3-Month STIBOR (Quarterly) | 1.00% (Annually) | 9/15/2031 | SEK | 23,940,000 | 55,687 | 51,553 | 4,134 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 3.00% (Semiannually) | 9/16/2031 | NZD | 1,380,000 | 22,619 | 5,511 | 17,108 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 19,250,000 | 1,340,048 | 569,901 | 770,147 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/15/2051 | JPY | 184,560,000 | 123,338 | 122,709 | 629 | |||||||
3-Month CDOR (Semiannually) | 1.75% (Semiannually) | 9/15/2051 | CAD | 3,330,000 | (302,220) | (382,437) | 80,217 | |||||||
Subtotal Appreciation | $1,454,111 | $(379,573) | $1,833,684 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $ (14,617) | $ (2,188) | $ (12,429) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 33,647,155 | (62,471) | — | (62,471) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 14,754,934 | 38,822 | 62,563 | (23,741) |
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) | 4.23% (Upon termination) | 1/2/2023 | BRL | 11,656,190 | $ (62,410) | $ 2,673 | $ (65,083) | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 43,360,000 | (24,577) | (23,506) | (1,071) | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 51,170,000 | (31,884) | 8,337 | (40,221) | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 102,400,000 | (109,413) | (30,876) | (78,537) | |||||||
0.45% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/15/2023 | USD | 28,120,000 | (2,474) | (562) | (1,912) | |||||||
3-Month CDOR (Semiannually) | 1.10% (Semiannually) | 6/15/2023 | CAD | 35,130,000 | (1,465) | 953 | (2,418) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 9/15/2023 | EUR | 6,800,000 | (9,974) | (8,247) | (1,727) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/15/2023 | CNY | 14,821,989 | (3,101) | (1,734) | (1,367) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 12,870,000 | (71,105) | 13,536 | (84,641) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.37% (Upon termination) | 1/2/2024 | BRL | 25,374,766 | 5,929 | 28,371 | (22,442) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | (34,599) | 2,088 | (36,687) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 21,190,000 | (35,143) | 29,436 | (64,579) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 11,690,000 | (2,960) | 28,925 | (31,885) | |||||||
0.49% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 6/29/2024 | AUD | 3,870,000 | (675) | 122 | (797) | |||||||
1-Month LIBOR + .09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | (4,134) | 22,829 | (26,963) | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 9/15/2024 | CAD | 6,300,000 | (66,797) | (47,539) | (19,258) | |||||||
3-Month LIBOR (Quarterly) | 0.25% (Semiannually) | 9/15/2024 | USD | 1,190,000 | (13,647) | (10,268) | (3,379) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (10) | — | (10) | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 226,030,000 | (44,879) | (29,284) | (15,595) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | (51,264) | (1,832) | (49,432) | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 6,760,000 | (14,106) | (8,239) | (5,867) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 6.30% (Lunar) | 9/9/2026 | MXN | 4,290,000 | (3,900) | 73 | (3,973) | |||||||
(0.50)% (Annually) | 6-Month EURIBOR (Semiannually) | 9/15/2026 | EUR | 8,620,000 | 141,274 | 142,234 | (960) | |||||||
(0.50)% (Annually) | 6-Month LIBOR (Semiannually) | 9/15/2026 | CHF | 2,750,000 | 22,854 | 24,338 | (1,484) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/15/2026 | JPY | 2,152,350,000 | (4,961) | (4,252) | (709) | |||||||
1.75% (Annually) | 6-Month WIBOR (Semiannually) | 9/15/2026 | PLN | 8,400,000 | (25,721) | (5,646) | (20,075) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 9/15/2026 | CNY | 12,090,000 | 4,696 | 5,305 | (609) | |||||||
3-Month CDOR (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | CAD | 3,970,000 | (80,698) | (68,615) | (12,083) | |||||||
3-Month JIBAR (Quarterly) | 5.80% (Quarterly) | 9/15/2026 | ZAR | 24,820,000 | (27,809) | — | (27,809) | |||||||
3-Month LIBOR (Quarterly) | 0.50% (Semiannually) | 9/15/2026 | USD | 4,080,000 | (102,750) | (89,937) | (12,813) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 9/15/2026 | NZD | 6,120,000 | (38,285) | (10,817) | (27,468) | |||||||
3-Month STIBOR (Quarterly) | 0.50% (Annually) | 9/15/2026 | SEK | 120,950,000 | 55,428 | 81,354 | (25,926) | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | AUD | 12,600,000 | 5,635 | 44,332 | (38,697) | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 9/15/2026 | NOK | 49,730,000 | (7,697) | (6,836) | (861) | |||||||
6-Month THBFIX (Semiannually) | 1.00% (Semiannually) | 9/15/2026 | THB | 163,225,000 | (7,077) | (3,756) | (3,321) | |||||||
8.50% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 11,817,324 | (46,583) | (32,404) | (14,179) | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 439,516,318 | (27,616) | (12,098) | (15,518) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 35,780,000 | (561,153) | 191,669 | (752,822) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (435) | 307 | (742) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 5,340,000 | (174,299) | (162,409) | (11,890) | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 43,370,000 | 145,382 | 161,597 | (16,215) | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 1/26/2031 | GBP | 3,960,000 | (18,137) | 18,473 | (36,610) | |||||||
1.00% (Annually) | 1-Day SONIA (Annually) | 2/10/2031 | GBP | 5,120,000 | (22,075) | 22,278 | (44,353) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 6,900,000 | 36,884 | 78,181 | (41,297) | |||||||
2.13% (Annually) | 6-Month NIBOR (Semiannually) | 5/11/2031 | NOK | 28,030,000 | (36,521) | 6,476 | (42,997) | |||||||
1.93% (Annually) | 6-Month NIBOR (Semiannually) | 6/29/2031 | NOK | 8,880,000 | (1,997) | — | (1,997) | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 9/15/2031 | JPY | 1,457,250,000 | 124,295 | 131,201 | (6,906) | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 9/15/2031 | GBP | 8,320,000 | 533,535 | 585,282 | (51,747) | |||||||
1.25% (Annually) | 3-Month TELBOR (Quarterly) | 9/15/2031 | ILS | 7,825,000 | 1,940 | 3,660 | (1,720) |
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 CLP-TNA (Semiannually) | 4.20% (Semiannually) | 9/15/2031 | CLP | 769,240,000 | $ (9,514) | $ (1,314) | $ (8,200) | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 9/15/2031 | NOK | 25,840,000 | (84,082) | (59,963) | (24,119) | |||||||
3-Month KWCDC (Quarterly) | 1.75% (Quarterly) | 9/15/2031 | KRW | 1,584,960,000 | (6,407) | (4,043) | (2,364) | |||||||
6-Month ASX BBSW (Semiannually) | 2.00% (Semiannually) | 9/15/2031 | AUD | 2,700,000 | 72,113 | 83,205 | (11,092) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 9/16/2031 | EUR | 7,280,000 | 5,283 | 6,971 | (1,688) | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/17/2031 | USD | 7,110,000 | (183,265) | (178,413) | (4,852) | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 28,200,000 | (423,490) | 46,508 | (469,998) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,080) | 512 | (1,592) | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 1,780,000 | (25,653) | 20,744 | (46,397) | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 9/15/2051 | EUR | 110,000 | 18,237 | 18,650 | (413) | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 9/15/2051 | USD | 2,340,000 | 291,520 | 396,447 | (104,927) | |||||||
Subtotal Depreciation | $(1,079,083) | $1,464,852 | $(2,543,935) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2021 | $ 375,028 | $1,085,279 | $ (710,251) |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the USFFE or plus or minus a specified spread(-0.15% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 59-61 months maturity ranging from 05/26/2026 - 07/1/2026 | GSC | $178,978,646 | $908,213 | $— | $908,213 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
10X Genomics, Inc. Class A | (286) | $ 56,005 | $ (2,739) | (0.30)% | ||||
2U, Inc. | (1,579) | 65,797 | (7,060) | (0.78) | ||||
3M Co. | 2,719 | 540,075 | (11,244) | (1.24) | ||||
A.O. Smith Corporation | 5,044 | 363,471 | 18,216 | 2.01 | ||||
Abbott Laboratories | 13,520 | 1,567,374 | 92,827 | 10.22 | ||||
ABIOMED, Inc. | 936 | 292,135 | 17,085 | 1.88 | ||||
Acadia Healthcare Co., Inc. | 909 | 57,040 | (3,116) | (0.34) | ||||
Acceleron Pharma, Inc. | (1,785) | 224,000 | 1,813 | 0.20 | ||||
Accenture PLC Class A | 1,589 | 468,421 | 20,091 | 2.21 | ||||
ACI Worldwide, Inc. | 4,021 | 149,340 | (6,775) | (0.75) | ||||
Activision Blizzard, Inc. | 1,309 | 124,931 | (1,442) | (0.16) | ||||
Acuity Brands, Inc. | (651) | 121,757 | (252) | (0.03) | ||||
Adaptive Biotechnologies Corporation | (7,917) | 323,489 | (39,912) | (4.39) | ||||
Adient PLC | (1,896) | 85,699 | 6,747 | 0.74 | ||||
Adobe, Inc. | 1,510 | 884,316 | 107,032 | 11.78 | ||||
ADT, Inc. | (19,331) | 208,581 | 13,841 | 1.52 | ||||
Adtalem Global Education, Inc. | (5,212) | 185,756 | 11,981 | 1.32 | ||||
Advanced Micro Devices, Inc. | 1,111 | 104,356 | 15,510 | 1.71 | ||||
AECOM | (4,060) | 257,079 | 4,579 | 0.50 | ||||
AES Corporation (The) | (4,185) | 109,103 | (3,645) | (0.40) | ||||
AGCO Corporation | 5,509 | 718,263 | (16,075) | (1.77) | ||||
Agilent Technologies, Inc. | 448 | 66,219 | 3,433 | 0.38 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Agios Pharmaceuticals, Inc. | (1,007) | $ 55,496 | $ 3,814 | 0.42% | ||||
Air Lease Corporation | 516 | 21,538 | (1,521) | (0.17) | ||||
Akamai Technologies, Inc. | 548 | 63,897 | (660) | (0.07) | ||||
Alaska Air Group, Inc. | 1,444 | 87,088 | (7,036) | (0.77) | ||||
Albemarle Corporation | (1,925) | 324,286 | 10,969 | 1.21 | ||||
Alexandria Real Estate Equities, Inc. REIT | 767 | 139,548 | (5,664) | (0.62) | ||||
Align Technology, Inc. | (59) | 36,049 | (1,506) | (0.17) | ||||
Alkermes PLC | 945 | 23,171 | (173) | (0.02) | ||||
Allegion PLC | 1,411 | 196,552 | 1,443 | 0.16 | ||||
ALLETE, Inc. | (1,396) | 97,692 | (143) | (0.02) | ||||
Alliance Data Systems Corporation | 357 | 37,196 | (4,039) | (0.44) | ||||
Alliant Energy Corporation | 5,310 | 296,086 | (13,526) | (1.49) | ||||
Allison Transmission Holdings, Inc. | 3,521 | 139,925 | (7,941) | (0.87) | ||||
Ally Financial, Inc. | (1,562) | 77,850 | 7,573 | 0.83 | ||||
Alnylam Pharmaceuticals, Inc. | (1,611) | 273,097 | (19,520) | (2.15) | ||||
Alphabet, Inc. Class A | 316 | 771,606 | 10,593 | 1.17 | ||||
Alteryx, Inc. Class A | (2,735) | 235,265 | (19,727) | (2.17) | ||||
Altice USA, Inc. Class A | (3,616) | 123,450 | 1,261 | 0.14 | ||||
Amdocs, Ltd. | (334) | 25,838 | 1,068 | 0.12 | ||||
Amedisys, Inc. | 836 | 204,761 | (12,341) | (1.36) | ||||
AMERCO | (32) | 18,861 | (161) | (0.02) | ||||
Ameren Corporation | 169 | 13,527 | (2,071) | (0.23) | ||||
American Airlines Group, Inc. | (5,701) | 120,918 | 15,046 | 1.66 | ||||
American Campus Communities, Inc. REIT | 2,065 | 96,477 | (4,163) | (0.46) | ||||
American Electric Power Co., Inc. | 1,650 | 139,574 | 214 | 0.02 | ||||
American Express Co. | (2,377) | 392,752 | (2,723) | (0.30) | ||||
American Financial Group, Inc. | (385) | 48,017 | (376) | (0.04) | ||||
American Homes 4 Rent Class A REIT | (3,475) | 135,004 | 36 | 0.00 | ||||
American International Group, Inc. | (16,411) | 781,164 | 74,228 | 8.17 | ||||
American Tower Corporation REIT | 1,606 | 433,845 | 6,273 | 0.69 | ||||
American Water Works Co., Inc. | 102 | 15,721 | (356) | (0.04) | ||||
Americold Realty Trust REIT | (2,885) | 109,197 | 6,238 | 0.69 | ||||
Ameriprise Financial, Inc. | (701) | 174,465 | 8,294 | 0.91 | ||||
AMETEK, Inc. | 74 | 9,879 | (82) | (0.01) | ||||
Amgen, Inc. | 1,145 | 279,094 | 4,809 | 0.53 | ||||
Amkor Technology, Inc. | 3,300 | 78,111 | 541 | 0.06 | ||||
Amphenol Corporation Class A | (441) | 30,169 | (105) | (0.01) | ||||
Analog Devices, Inc. | (229) | 39,425 | (1,327) | (0.15) | ||||
Anaplan, Inc. | 2,781 | 148,227 | 10,551 | 1.16 | ||||
ANSYS, Inc. | (282) | 97,871 | (5,702) | (0.63) | ||||
Anthem, Inc. | 332 | 126,758 | (2,061) | (0.23) | ||||
APA Corporation | 2,750 | 59,483 | 197 | 0.02 | ||||
Apartment Income REIT Corporation | (6,890) | 326,793 | 17,764 | 1.96 | ||||
Apple Hospitality REIT, Inc. | (7,548) | 115,182 | 9,479 | 1.04 | ||||
Applied Materials, Inc. | 943 | 134,283 | 7,229 | 0.80 | ||||
Aptiv PLC | (1,596) | 251,099 | 1,587 | 0.17 | ||||
Aramark | (16,015) | 596,559 | (572) | (0.06) | ||||
Archer-Daniels-Midland Co. | (2,204) | 133,562 | 16,547 | 1.82 | ||||
Armstrong World Industries, Inc. | (817) | 87,631 | 414 | 0.05 | ||||
Arrowhead Pharmaceuticals, Inc. | (2,688) | 222,620 | (2,722) | (0.30) | ||||
ASGN, Inc. | 249 | 24,136 | 1 | 0.00 | ||||
Aspen Technology, Inc. | 1,823 | 250,735 | (1,253) | (0.14) | ||||
Associated Banc-Corp | 18,554 | 379,986 | (37,127) | (4.09) | ||||
Assurant, Inc. | (533) | 83,244 | 1,153 | 0.13 | ||||
Assured Guaranty, Ltd. | (3,838) | 182,228 | 2,028 | 0.22 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
AT&T, Inc. | (10,825) | $311,544 | $ 2,478 | 0.27% | ||||
Atmos Energy Corporation | 588 | 56,513 | (2,971) | (0.33) | ||||
Autodesk, Inc. | 974 | 284,311 | 15,940 | 1.76 | ||||
Autoliv, Inc. | 1,079 | 105,483 | (4,153) | (0.46) | ||||
Automatic Data Processing, Inc. | 506 | 100,502 | 3,545 | 0.39 | ||||
Avalara, Inc. | (375) | 60,675 | (11,807) | (1.30) | ||||
AvalonBay Communities, Inc. REIT | (859) | 179,265 | 617 | 0.07 | ||||
Avangrid, Inc. | 796 | 40,938 | (4,654) | (0.51) | ||||
Avient Corporation | (2,076) | 102,056 | 3,482 | 0.38 | ||||
Avis Budget Group, Inc. | (2,929) | 228,140 | 31,126 | 3.43 | ||||
Axalta Coating Systems, Ltd. | (1,399) | 42,656 | 1,677 | 0.18 | ||||
Axis Capital Holdings, Ltd. | (3,703) | 181,484 | 11,811 | 1.30 | ||||
Axon Enterprise, Inc. | 498 | 88,046 | 14,308 | 1.58 | ||||
Baker Hughes Co. | (5,602) | 128,118 | 11,109 | 1.22 | ||||
Ball Corporation | (2,899) | 234,877 | 267 | 0.03 | ||||
BancorpSouth Bank | 5,313 | 150,517 | (12,986) | (1.43) | ||||
Bank of America Corporation | (7,003) | 288,734 | 8,111 | 0.89 | ||||
Bank of Hawaii Corporation | (750) | 63,165 | 3,064 | 0.34 | ||||
Bank of New York Mellon Corporation (The) | (4,841) | 248,004 | (2,961) | (0.33) | ||||
Baxter International, Inc. | 1,326 | 106,743 | (1,457) | (0.16) | ||||
Belden, Inc. | (5,169) | 261,396 | 16,171 | 1.78 | ||||
Beyond Meat, Inc. | (2,518) | 396,560 | (18,495) | (2.04) | ||||
Bill.com Holdings, Inc. | (2,070) | 379,183 | (58,408) | (6.43) | ||||
Biogen, Inc. | 195 | 67,523 | (11,841) | (1.30) | ||||
BioMarin Pharmaceutical, Inc. | (196) | 16,354 | (273) | (0.03) | ||||
Bio-Rad Laboratories, Inc. Class A | 138 | 88,912 | 8,702 | 0.96 | ||||
BJ's Wholesale Club Holdings, Inc. | (328) | 15,606 | (115) | (0.01) | ||||
Black Hills Corporation | (1,626) | 106,714 | 5,287 | 0.58 | ||||
Black Knight, Inc. | (874) | 68,155 | (4,127) | (0.45) | ||||
Blackbaud, Inc. | (1,463) | 112,022 | (3,208) | (0.35) | ||||
BlackRock, Inc. | (53) | 46,373 | 3,384 | 0.37 | ||||
Bluebird Bio, Inc. | (8,829) | 282,351 | 8,731 | 0.96 | ||||
Boeing Co. (The) | (3,664) | 877,748 | 31,113 | 3.43 | ||||
Bok Financial Corporation | 3,231 | 279,805 | (11,862) | (1.31) | ||||
Booking Holdings, Inc. | (169) | 369,787 | 21,276 | 2.34 | ||||
Booz Allen Hamilton Holding Corporation | 4,245 | 361,589 | (9,528) | (1.05) | ||||
BorgWarner, Inc. | (2,749) | 133,436 | 13,164 | 1.45 | ||||
Boston Properties, Inc. REIT | (350) | 40,107 | 1,161 | 0.13 | ||||
Boston Scientific Corporation | (3,579) | 153,038 | (1,544) | (0.17) | ||||
Bright Horizons Family Solutions, Inc. | (2,545) | 374,395 | (218) | (0.02) | ||||
Brighthouse Financial, Inc. | (1,591) | 72,454 | 1,026 | 0.11 | ||||
Brink's Co. (The) | (736) | 56,554 | (1,003) | (0.11) | ||||
Bristol-Myers Squibb Co. | 2,132 | 142,460 | 3,010 | 0.33 | ||||
Brixmor Property Group, Inc. REIT | (11,176) | 255,819 | 15,637 | 1.72 | ||||
Broadcom, Inc. | 199 | 94,891 | (2,405) | (0.26) | ||||
Broadridge Financial Solutions, Inc. | 894 | 144,408 | 1,275 | 0.14 | ||||
Brookfield Property REIT, Inc. Class A | (4,016) | 75,862 | (1,047) | (0.12) | ||||
Brooks Automation, Inc. | (2,287) | 217,905 | 1,998 | 0.22 | ||||
Bruker Corporation | 347 | 26,365 | 774 | 0.09 | ||||
Brunswick Corporation | 5,910 | 588,754 | 24,097 | 2.65 | ||||
Builders FirstSource, Inc. | (3,360) | 143,338 | 3,691 | 0.41 | ||||
Bunge, Ltd. | (2,571) | 200,924 | 27,348 | 3.01 | ||||
Burlington Stores, Inc. | (583) | 187,720 | (9,917) | (1.09) | ||||
BWX Technologies, Inc. | 702 | 40,800 | (3,787) | (0.42) | ||||
C.H. Robinson Worldwide, Inc. | (3,173) | 297,215 | 12,765 | 1.41 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Cable One, Inc. | (41) | $ 78,425 | $ (5,826) | (0.64)% | ||||
Cabot Oil & Gas Corporation | 25,086 | 438,002 | 5,967 | 0.66 | ||||
CACI International, Inc. Class A | 539 | 137,510 | (2,987) | (0.33) | ||||
Cadence Design Systems, Inc. | 2,708 | 370,509 | 31,451 | 3.46 | ||||
Camden Property Trust REIT | 695 | 92,206 | (2,666) | (0.29) | ||||
Campbell Soup Co. | 2,016 | 91,909 | (677) | (0.07) | ||||
Capital One Financial Corporation | 5,251 | 812,277 | (31,140) | (3.43) | ||||
Capri Holdings, Ltd. | (4,270) | 244,201 | (11,281) | (1.24) | ||||
Cardinal Health, Inc. | (3,515) | 200,671 | 5,817 | 0.64 | ||||
Carlisle Cos., Inc. | 446 | 85,355 | 2,130 | 0.23 | ||||
CarMax, Inc. | (1,495) | 193,079 | (21,160) | (2.33) | ||||
Carnival Corporation | (12,848) | 338,673 | 51,811 | 5.70 | ||||
Carrier Global Corporation | 1,923 | 93,458 | 3,938 | 0.43 | ||||
Carter's, Inc. | 1,098 | 113,281 | (283) | (0.03) | ||||
Carvana Co. | (732) | 220,932 | (27,318) | (3.01) | ||||
Catalent, Inc. | (3,513) | 379,826 | (2,894) | (0.32) | ||||
Caterpillar, Inc. | (606) | 131,884 | 10,293 | 1.13 | ||||
Cathay General Bancorp | 3,913 | 154,016 | (9,803) | (1.08) | ||||
Cboe Global Markets, Inc. | 934 | 111,193 | 4,494 | 0.49 | ||||
CBRE Group, Inc. Class A | (357) | 30,606 | 1,181 | 0.13 | ||||
CDK Global, Inc. | (2,396) | 119,057 | 10,431 | 1.15 | ||||
CenterPoint Energy, Inc. | (16,147) | 395,924 | 20,169 | 2.22 | ||||
Ceridian HCM Holding, Inc. | (3,767) | 361,331 | (36,589) | (4.03) | ||||
Cerner Corporation | 14,556 | 1,137,697 | (31,354) | (3.45) | ||||
CF Industries Holdings, Inc. | (6,874) | 353,667 | 21,787 | 2.40 | ||||
ChampionX Corporation | (345) | 8,849 | (18) | (0.00) | ||||
Charles River Laboratories International, Inc. | (431) | 159,436 | (10,353) | (1.14) | ||||
Charles Schwab Corporation (The) | (5,709) | 415,672 | 214 | 0.02 | ||||
Charter Communications, Inc. Class A | 248 | 178,920 | 11,134 | 1.23 | ||||
Chegg, Inc. | (1,766) | 146,772 | (14,560) | (1.60) | ||||
Chemed Corporation | 963 | 456,943 | (4,439) | (0.49) | ||||
Chemours Co. (The) | (2,763) | 96,152 | 4,438 | 0.49 | ||||
Cheniere Energy, Inc. | (968) | 83,964 | 1,429 | 0.16 | ||||
Chevron Corporation | (175) | 18,330 | 531 | 0.06 | ||||
Chipotle Mexican Grill, Inc. | (33) | 51,161 | (7,320) | (0.81) | ||||
Choice Hotels International, Inc. | 495 | 58,836 | 123 | 0.01 | ||||
Church & Dwight Co., Inc. | (114) | 9,715 | (78) | (0.01) | ||||
Cigna Corporation | 1,532 | 363,191 | (6,493) | (0.71) | ||||
Cimarex Energy Co. | 250 | 18,113 | 210 | 0.02 | ||||
Cinemark Holdings, Inc. | (10,009) | 219,698 | 12,603 | 1.39 | ||||
Cintas Corporation | (185) | 70,670 | (6,314) | (0.70) | ||||
Cirrus Logic, Inc. | 2,276 | 193,733 | 16,274 | 1.79 | ||||
Citigroup, Inc. | (2,160) | 152,820 | 15,957 | 1.76 | ||||
Citizens Financial Group, Inc. | (1,890) | 86,694 | 4,854 | 0.53 | ||||
Citrix Systems, Inc. | (1,047) | 122,782 | 1,317 | 0.15 | ||||
Clarivate PLC | (12,199) | 335,838 | (13,702) | (1.51) | ||||
Clean Harbors, Inc. | (489) | 45,545 | 864 | 0.10 | ||||
Cleveland-Cliffs, Inc. | (13,321) | 287,201 | 17,711 | 1.95 | ||||
Cloudflare, Inc. Class A | (1,881) | 199,085 | (29,558) | (3.25) | ||||
CMC Materials, Inc. | (1,551) | 233,798 | 3,822 | 0.42 | ||||
CME Group, Inc. | 539 | 114,635 | (1,118) | (0.12) | ||||
CMS Energy Corporation | 7,251 | 428,389 | (6,217) | (0.68) | ||||
CNX Resources Corporation | 7,763 | 106,043 | (7,413) | (0.82) | ||||
Coca-Cola Co. (The) | 1,411 | 76,349 | (1,615) | (0.18) | ||||
Cognizant Technology Solutions Corporation Class A | 3,481 | 241,094 | (6,958) | (0.77) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Colfax Corporation | (4,527) | $207,382 | $ (2,316) | (0.25)% | ||||
Columbia Sportswear Co. | 1,395 | 137,212 | (3,170) | (0.35) | ||||
Comcast Corporation Class A | (850) | 48,467 | (648) | (0.07) | ||||
Comerica, Inc. | (1,144) | 81,613 | 6,048 | 0.67 | ||||
Commerce Bancshares, Inc. | 132 | 9,842 | (996) | (0.11) | ||||
CommScope Holding Co., Inc. | (11,718) | 249,711 | (9) | (0.00) | ||||
CommVault Systems, Inc. | 1,978 | 154,620 | (1,760) | (0.19) | ||||
Compass Minerals International, Inc. | (3,267) | 193,602 | 24,738 | 2.72 | ||||
Conagra Brands, Inc. | 11,202 | 407,529 | (10,470) | (1.15) | ||||
Concentrix Corporation | 1,303 | 209,522 | 17,176 | 1.89 | ||||
ConocoPhillips | (896) | 54,566 | (1,095) | (0.12) | ||||
Consolidated Edison, Inc. | (2,684) | 192,496 | 13,842 | 1.52 | ||||
Copart, Inc. | 854 | 112,583 | 7,929 | 0.87 | ||||
CoreSite Realty Corporation REIT | 1,412 | 190,055 | (1,401) | (0.15) | ||||
Corning, Inc. | (3,196) | 130,716 | 5,871 | 0.65 | ||||
Corporate Office Properties Trust REIT | 5,602 | 156,800 | (8,317) | (0.92) | ||||
Corteva, Inc. | (4,796) | 212,703 | 4,037 | 0.44 | ||||
CoStar Group, Inc. | 140 | 11,595 | (282) | (0.03) | ||||
Coty, Inc. Class A | (27,623) | 257,999 | (14,925) | (1.64) | ||||
Coupa Software, Inc. | (2,124) | 556,722 | (95,066) | (10.47) | ||||
Cousins Properties, Inc. REIT | 571 | 21,001 | (1,208) | (0.13) | ||||
Cracker Barrel Old Country Store, Inc. | 179 | 26,574 | (699) | (0.08) | ||||
Crane Co. | (140) | 12,932 | (188) | (0.02) | ||||
Credit Acceptance Corporation | 540 | 245,219 | 19,531 | 2.15 | ||||
Cree, Inc. | (4,562) | 446,757 | (9,732) | (1.07) | ||||
Crocs, Inc. | 1,503 | 175,130 | 14,028 | 1.54 | ||||
Crowdstrike Holdings, Inc. Class A | (222) | 55,791 | (8,296) | (0.91) | ||||
Crown Castle International Corporation REIT | 53 | 10,340 | 290 | 0.03 | ||||
Crown Holdings, Inc. | (3,525) | 360,290 | (8,895) | (0.98) | ||||
CSX Corporation | 4,104 | 131,656 | (635) | (0.07) | ||||
CubeSmart REIT | 862 | 39,928 | 164 | 0.02 | ||||
Cullen/Frost Bankers, Inc. | (441) | 49,392 | 4,520 | 0.50 | ||||
Cummins, Inc. | 207 | 50,469 | (2,689) | (0.30) | ||||
Curtiss-Wright Corporation | 1,488 | 176,715 | (11,801) | (1.30) | ||||
CVS Health Corporation | (6,892) | 575,068 | 10,387 | 1.14 | ||||
CyrusOne, Inc. REIT | 3,127 | 223,643 | (21,801) | (2.40) | ||||
D.R. Horton, Inc. | 1,425 | 128,777 | (458) | (0.05) | ||||
Dana, Inc. | (3,180) | 75,557 | 9,187 | 1.01 | ||||
Danaher Corporation | 434 | 116,468 | 13,431 | 1.48 | ||||
Darden Restaurants, Inc. | 615 | 89,784 | 4,491 | 0.49 | ||||
Darling Ingredients, Inc. | 1,722 | 116,235 | (12,397) | (1.36) | ||||
Datadog, Inc. Class A | (411) | 42,777 | (5,082) | (0.56) | ||||
Deckers Outdoor Corporation | 1,104 | 424,013 | 66,483 | 7.32 | ||||
Deere & Co. | 209 | 73,716 | 747 | 0.08 | ||||
Delta Air Lines, Inc. | (5,800) | 250,908 | 18,899 | 2.08 | ||||
DENTSPLY SIRONA, Inc. | (2,261) | 143,031 | 8,268 | 0.91 | ||||
Devon Energy Corporation | (1,106) | 32,284 | 737 | 0.08 | ||||
DexCom, Inc. | (180) | 76,860 | (6,657) | (0.73) | ||||
Discover Financial Services | (2,274) | 268,991 | 10,769 | 1.19 | ||||
Discovery, Inc. Class A | (3,039) | 93,237 | (368) | (0.04) | ||||
DISH Network Corporation Class A | (5,237) | 218,907 | (7,130) | (0.78) | ||||
DocuSign, Inc. | 784 | 219,183 | 29,912 | 3.29 | ||||
Dolby Laboratories, Inc. Class A | 3,399 | 334,088 | 1,757 | 0.19 | ||||
Dollar General Corporation | (1,024) | 221,583 | (7,725) | (0.85) | ||||
Dollar Tree, Inc. | (298) | 29,651 | (189) | (0.02) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Dominion Energy, Inc. | 732 | $ 53,853 | $ (1,300) | (0.14)% | ||||
Domino’s Pizza, Inc. | 1,797 | 838,283 | 42,527 | 4.68 | ||||
Donaldson Co., Inc. | 5,510 | 350,050 | 7,912 | 0.87 | ||||
Dover Corporation | 539 | 81,173 | 1,170 | 0.13 | ||||
Dow, Inc. | (5,940) | 375,883 | 33,394 | 3.68 | ||||
Dropbox, Inc. Class A | 3,983 | 120,725 | 4,925 | 0.54 | ||||
DTE Energy Co. | 785 | 101,736 | (7,197) | (0.79) | ||||
Duke Energy Corporation | 2,311 | 228,142 | (6,199) | (0.68) | ||||
Duke Realty Corporation REIT | 1,142 | 54,074 | (1,686) | (0.19) | ||||
Dun & Bradstreet Holdings, Inc. | (5,297) | 113,197 | (1,862) | (0.20) | ||||
DuPont de Nemours, Inc. | (4,555) | 352,603 | 31,050 | 3.42 | ||||
DXC Technology Co. | (8,313) | 323,708 | 11,284 | 1.24 | ||||
Dycom Industries, Inc. | 795 | 59,251 | (5,915) | (0.65) | ||||
Dynatrace, Inc. | (2,346) | 137,053 | (12,180) | (1.34) | ||||
East West Bancorp, Inc. | 1,599 | 114,632 | (2,141) | (0.24) | ||||
EastGroup Properties, Inc. REIT | 1,741 | 286,307 | (5,920) | (0.65) | ||||
Eastman Chemical Co. | (202) | 23,584 | 2,459 | 0.27 | ||||
Eaton Corporation PLC | (1,051) | 155,737 | (1,866) | (0.21) | ||||
EchoStar Corporation Class A | (7,200) | 174,888 | 17,993 | 1.98 | ||||
Edison International | (785) | 45,389 | (732) | (0.08) | ||||
Edwards Lifesciences Corporation | 786 | 81,406 | 5,091 | 0.56 | ||||
Elanco Animal Health, Inc. | (13,374) | 463,944 | (10,581) | (1.16) | ||||
Elastic NV | 1,182 | 172,288 | 16,860 | 1.86 | ||||
Electronic Arts, Inc. | 1,414 | 203,376 | (1,464) | (0.16) | ||||
Eli Lilly and Co. | 1,388 | 318,574 | 4,843 | 0.53 | ||||
EMCOR Group, Inc. | 2,519 | 310,316 | (11,527) | (1.27) | ||||
Emergent BioSolutions, Inc. | 1,306 | 82,265 | (2,714) | (0.30) | ||||
Emerson Electric Co. | 2,408 | 231,746 | (4,027) | (0.44) | ||||
Empire State Realty Trust, Inc. Class A REIT | (6,861) | 82,332 | 5,434 | 0.60 | ||||
Encompass Health Corporation | (6,206) | 484,254 | 30,127 | 3.32 | ||||
Energizer Holdings, Inc. | (8,679) | 373,023 | 11,964 | 1.32 | ||||
Enphase Energy, Inc. | (1,297) | 238,168 | (60,525) | (6.66) | ||||
Entegris, Inc. | (1,166) | 143,383 | (10,697) | (1.18) | ||||
Entergy Corporation | 128 | 12,762 | (1,015) | (0.11) | ||||
Envista Holdings Corporation | (3,590) | 155,124 | (221) | (0.02) | ||||
EOG Resources, Inc. | 3,080 | 256,995 | (7,332) | (0.81) | ||||
EPAM Systems, Inc. | 367 | 187,522 | 6,576 | 0.72 | ||||
EPR Properties REIT | (5,481) | 288,739 | 4,978 | 0.55 | ||||
EQT Corporation | (8,575) | 190,880 | 1,194 | 0.13 | ||||
Equifax, Inc. | (1,722) | 412,436 | (19,296) | (2.12) | ||||
Equinix, Inc. REIT | (352) | 282,515 | 793 | 0.09 | ||||
Equitable Holdings, Inc. | (2,713) | 82,611 | 1,544 | 0.17 | ||||
Equitrans Midstream Corporation | 1,606 | 13,667 | (937) | (0.10) | ||||
Equity Commonwealth REIT | 3,852 | 100,922 | (7,024) | (0.77) | ||||
Essential Utilities, Inc. | (1,436) | 65,625 | 2,597 | 0.29 | ||||
Essex Property Trust, Inc. REIT | 1,148 | 344,411 | (9,926) | (1.09) | ||||
Euronet Worldwide, Inc. | (2,282) | 308,869 | 49,302 | 5.43 | ||||
Everbridge, Inc. | (2,075) | 282,366 | (36,632) | (4.03) | ||||
Evercore, Inc. Class A | 1,086 | 152,876 | 2,901 | 0.32 | ||||
Everest Re Group, Ltd. | (789) | 198,836 | 4,110 | 0.45 | ||||
Evergy, Inc. | 1,222 | 73,845 | (3,590) | (0.40) | ||||
Eversource Energy | (176) | 14,122 | 344 | 0.04 | ||||
Exact Sciences Corporation | (3,575) | 444,408 | (18,284) | (2.01) | ||||
Exelixis, Inc. | 2,417 | 44,038 | (11,028) | (1.21) | ||||
Exelon Corporation | (7,085) | 313,936 | 14,513 | 1.60 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Expedia Group, Inc. | (2,004) | $ 328,075 | $ 18,205 | 2.00% | ||||
Expeditors International of Washington, Inc. | 1,380 | 174,708 | 3,157 | 0.35 | ||||
Extra Space Storage, Inc. REIT | 1,963 | 321,579 | 8,707 | 0.96 | ||||
Exxon Mobil Corporation | (4,581) | 288,969 | (1,980) | (0.22) | ||||
Facebook, Inc. Class A | 3,365 | 1,170,044 | 58,376 | 6.43 | ||||
FactSet Research Systems, Inc. | 486 | 163,106 | 7,744 | 0.85 | ||||
Fair Isaac Corporation | 736 | 369,972 | 8,412 | 0.93 | ||||
Fastenal Co. | 8,403 | 436,956 | (5,181) | (0.57) | ||||
Fastly, Inc. Class A | (2,900) | 172,840 | (14,245) | (1.57) | ||||
Federal Realty Investment Trust REIT | (2,514) | 294,565 | 12,058 | 1.33 | ||||
Federated Hermes, Inc. | 2,779 | 94,236 | 4,434 | 0.49 | ||||
FedEx Corporation | (630) | 187,948 | (5,247) | (0.58) | ||||
Fidelity National Information Services, Inc. | (2,527) | 358,000 | 8,495 | 0.94 | ||||
Fifth Third Bancorp | (9,957) | 380,656 | 26,398 | 2.91 | ||||
FireEye, Inc. | (6,126) | 123,868 | (1,291) | (0.14) | ||||
First Citizens BancShares, Inc. Class A | 416 | 346,420 | (14,176) | (1.56) | ||||
First Financial Bankshares, Inc. | 2,946 | 144,737 | (6,260) | (0.69) | ||||
First Hawaiian, Inc. | 1,479 | 41,915 | (271) | (0.03) | ||||
First Industrial Realty Trust, Inc. REIT | 1,289 | 67,324 | (1,217) | (0.13) | ||||
First Republic Bank | (1,318) | 246,690 | 9,850 | 1.08 | ||||
First Solar, Inc. | 128 | 11,585 | 1,752 | 0.19 | ||||
FirstCash, Inc. | 2,403 | 183,685 | (14,923) | (1.64) | ||||
FirstEnergy Corporation | (3,199) | 119,035 | 4,091 | 0.45 | ||||
Fiserv, Inc. | (2,657) | 284,007 | 11,202 | 1.23 | ||||
Five Below, Inc. | (1,070) | 206,799 | (8,129) | (0.89) | ||||
Five9, Inc. | (1,192) | 218,601 | (21,449) | (2.36) | ||||
FleetCor Technologies, Inc. | 129 | 33,032 | (1,961) | (0.22) | ||||
Floor & Decor Holdings, Inc. Class A | (212) | 22,408 | (1,506) | (0.17) | ||||
Flowers Foods, Inc. | 13,713 | 331,855 | (5,137) | (0.57) | ||||
Flowserve Corporation | (2,346) | 94,591 | 7,419 | 0.82 | ||||
Fluor Corporation | (11,344) | 200,789 | 25,516 | 2.81 | ||||
FNB Corporation | (1,845) | 22,749 | 2,402 | 0.26 | ||||
Ford Motor Co. | 4,953 | 73,602 | (3,080) | (0.34) | ||||
Fortinet, Inc. | (192) | 45,732 | (2,434) | (0.27) | ||||
Fortive Corporation | (6,613) | 461,191 | 7,943 | 0.87 | ||||
Fortune Brands Home & Security, Inc. | (1,994) | 198,622 | 1,492 | 0.16 | ||||
Fox Corporation Class A | (5,337) | 198,163 | 2,715 | 0.30 | ||||
Fox Factory Holding Corporation | (512) | 79,698 | (5,624) | (0.62) | ||||
Franklin Resources, Inc. | (4,330) | 138,517 | 12,503 | 1.38 | ||||
Freeport-McMoRan, Inc. | (1,075) | 39,893 | 3,858 | 0.42 | ||||
Frontdoor, Inc. | 3,958 | 197,188 | (5,964) | (0.66) | ||||
FTI Consulting, Inc. | 441 | 60,245 | (319) | (0.04) | ||||
Fulton Financial Corporation | (968) | 15,275 | (1,118) | (0.12) | ||||
Gap, Inc. (The) | (19,350) | 651,127 | (36,070) | (3.97) | ||||
Garmin, Ltd. | 3,255 | 470,803 | 7,996 | 0.88 | ||||
Gartner, Inc. | 802 | 194,244 | 9,529 | 1.05 | ||||
GATX Corporation | (2,869) | 253,820 | 22,925 | 2.52 | ||||
Generac Holdings, Inc. | 814 | 337,932 | 58,107 | 6.40 | ||||
General Dynamics Corporation | 312 | 58,737 | (1,134) | (0.12) | ||||
General Electric Co. | (75,043) | 1,010,079 | 16,372 | 1.80 | ||||
General Mills, Inc. | 2,624 | 159,880 | (3,143) | (0.35) | ||||
General Motors Co. | (4,082) | 241,532 | 12,394 | 1.36 | ||||
Gentex Corporation | 22,374 | 740,356 | (21,797) | (2.40) | ||||
Gilead Sciences, Inc. | 1,064 | 73,267 | 1,019 | 0.11 | ||||
Glacier Bancorp, Inc. | 1,056 | 58,164 | (3,186) | (0.35) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Global Blood Therapeutics, Inc. | (7,336) | $256,907 | $ 39,604 | 4.36% | ||||
Global Payments, Inc. | (1,234) | 231,424 | 7,342 | 0.81 | ||||
Globus Medical, Inc. Class A | 137 | 10,622 | 903 | 0.10 | ||||
Godaddy, Inc. Class A | (327) | 28,436 | (1,904) | (0.21) | ||||
Goodyear Tire & Rubber Co. (The) | (1,132) | 19,414 | 1,516 | 0.17 | ||||
Graco, Inc. | 5,335 | 403,860 | 10,621 | 1.17 | ||||
GrafTech International, Ltd. | 25,077 | 291,395 | (21,664) | (2.39) | ||||
Graham Holdings Co. Class B | 66 | 41,837 | (1,778) | (0.20) | ||||
Grand Canyon Education, Inc. | 3,417 | 307,427 | (6,873) | (0.76) | ||||
Graphic Packaging Holding Co. | (22,162) | 402,019 | (7,535) | (0.83) | ||||
Greif, Inc. Class A | (1,636) | 99,060 | (1,189) | (0.13) | ||||
Grocery Outlet Holding Corporation | (8,313) | 288,129 | (7,574) | (0.83) | ||||
Guardant Health, Inc. | (1,653) | 205,286 | (16,487) | (1.82) | ||||
Guidewire Software, Inc. | (1,988) | 224,087 | (12,253) | (1.35) | ||||
H&R Block, Inc. | 4,738 | 111,248 | (9,827) | (1.08) | ||||
Haemonetics Corporation | (2,924) | 194,855 | (24,304) | (2.68) | ||||
Halliburton Co. | 5,871 | 135,738 | (1,425) | (0.16) | ||||
Hancock Whitney Corporation | (4,458) | 198,114 | 16,169 | 1.78 | ||||
Harley-Davidson, Inc. | (656) | 30,058 | 3,361 | 0.37 | ||||
Hartford Financial Services Group, Inc. (The) | (1,772) | 109,811 | 6,753 | 0.74 | ||||
Hasbro, Inc. | (3,555) | 336,019 | 3,117 | 0.34 | ||||
Hawaiian Electric Industries, Inc. | 3,478 | 147,050 | (7,219) | (0.79) | ||||
HCA Healthcare, Inc. | (310) | 64,089 | (221) | (0.02) | ||||
Healthcare Realty Trust, Inc. REIT | 8,788 | 265,398 | (16,644) | (1.83) | ||||
Healthcare Services Group, Inc. | 12,562 | 396,582 | 8,243 | 0.91 | ||||
Healthcare Trust of America, Inc. Class A REIT | 19,287 | 514,963 | (45,504) | (5.01) | ||||
HealthEquity, Inc. | (2,510) | 202,005 | (6,334) | (0.70) | ||||
Healthpeak Properties, Inc. REIT | (2,461) | 81,927 | 3,246 | 0.36 | ||||
HEICO Corporation | 116 | 16,173 | (2,219) | (0.24) | ||||
Helen of Troy, Ltd. | 890 | 203,027 | 2,983 | 0.33 | ||||
Helmerich & Payne, Inc. | 2,163 | 70,579 | (550) | (0.06) | ||||
Henry Schein, Inc. | 2,270 | 168,411 | (7,763) | (0.85) | ||||
Herman Miller, Inc. | 1,370 | 64,582 | (3,860) | (0.42) | ||||
Hershey Co. (The) | 3,102 | 540,306 | 4,028 | 0.44 | ||||
Hess Corporation | (4,253) | 371,372 | 8,419 | 0.93 | ||||
Hewlett Packard Enterprise Co. | (18,240) | 265,939 | 19,195 | 2.11 | ||||
Hexcel Corporation | (2,510) | 156,624 | (2,892) | (0.32) | ||||
Highwoods Properties, Inc. REIT | 6,871 | 310,363 | (20,792) | (2.29) | ||||
Hill-Rom Holdings, Inc. | 2,084 | 236,722 | 6,462 | 0.71 | ||||
Hilton Worldwide Holdings, Inc. | 82 | 9,891 | (479) | (0.05) | ||||
HollyFrontier Corporation | (2,391) | 78,664 | 5,711 | 0.63 | ||||
Hologic, Inc. | 4,146 | 276,621 | 23,684 | 2.61 | ||||
Home BancShares, Inc. | 4,464 | 110,172 | (10,371) | (1.14) | ||||
Honeywell International, Inc. | (941) | 206,408 | 7,954 | 0.88 | ||||
Horizon Pharma PLC | (1,566) | 146,640 | (3,794) | (0.42) | ||||
Hormel Foods Corporation | (2,429) | 115,985 | 1,283 | 0.14 | ||||
Host Hotels & Resorts, Inc. REIT | (11,668) | 199,406 | 8,418 | 0.93 | ||||
Howard Hughes Corporation (The) | (229) | 22,318 | 2,294 | 0.25 | ||||
Howmet Aerospace, Inc. | (5,447) | 187,758 | 2,533 | 0.28 | ||||
Hubbell, Inc. | (322) | 60,162 | 480 | 0.05 | ||||
Hubspot, Inc. | (85) | 49,531 | (7,258) | (0.80) | ||||
Hudson Pacific Properties, Inc. REIT | 12,914 | 359,267 | (23,386) | (2.57) | ||||
Humana, Inc. | 210 | 92,971 | 4,533 | 0.50 | ||||
Huntington Bancshares, Inc. | (5,148) | 73,462 | 251 | 0.03 | ||||
Huntington Ingalls Industries, Inc. | 622 | 131,087 | (4,606) | (0.51) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Hyatt Hotels Corporation Class A | (2,716) | $210,870 | $ 9,227 | 1.02% | ||||
IAA, Inc. | (1,767) | 96,372 | 2,647 | 0.29 | ||||
IAC/InterActiveCorp | (1,145) | 176,525 | (592) | (0.07) | ||||
ICU Medical, Inc. | 842 | 173,284 | 964 | 0.11 | ||||
IDACORP, Inc. | 3,836 | 374,010 | (8,026) | (0.88) | ||||
IDEXX Laboratories, Inc. | 678 | 428,191 | 43,946 | 4.84 | ||||
II-VI, Inc. | (1,395) | 101,263 | (2,793) | (0.31) | ||||
Illinois ToolWorks, Inc. | 782 | 174,824 | (7,112) | (0.78) | ||||
Illumina, Inc. | (572) | 270,676 | (22,471) | (2.47) | ||||
Incyte Corporation | 5,181 | 435,878 | (10,780) | (1.19) | ||||
Ingersoll-Rand, Inc. | (5,770) | 281,634 | (6,587) | (0.73) | ||||
Ingredion, Inc. | (1,828) | 165,434 | 8,152 | 0.90 | ||||
Insperity, Inc. | 603 | 54,493 | (590) | (0.06) | ||||
Insulet Corporation | (626) | 171,843 | (995) | (0.11) | ||||
Integra LifeSciences Holdings Corporation | (641) | 43,742 | 338 | 0.04 | ||||
Intel Corporation | 3,860 | 216,700 | (3,348) | (0.37) | ||||
Intercontinental Exchange, Inc. | 639 | 75,849 | 5,294 | 0.58 | ||||
International Business Machines Corporation | 2,396 | 351,230 | (9,821) | (1.08) | ||||
International Flavors & Fragrances, Inc. | (2,784) | 415,930 | (6,341) | (0.70) | ||||
International Paper Co. | (8,499) | 521,074 | 14,588 | 1.61 | ||||
Interpublic Group of Cos., Inc. (The) | 894 | 29,046 | 369 | 0.04 | ||||
Intuit, Inc. | 472 | 231,360 | 10,281 | 1.13 | ||||
Intuitive Surgical, Inc. | (12) | 11,036 | (953) | (0.10) | ||||
Invesco, Ltd. | (11,998) | 320,707 | 23,624 | 2.60 | ||||
Invitation Homes, Inc. REIT | 3,357 | 125,183 | (553) | (0.06) | ||||
Ionis Pharmaceuticals, Inc. | (7,261) | 289,641 | (21,575) | (2.38) | ||||
Iovance Biotherapeutics, Inc. | (4,556) | 118,547 | (24,514) | (2.70) | ||||
IQVIA Holdings, Inc. | (1,518) | 367,842 | (4,475) | (0.49) | ||||
Iridium Communications, Inc. | 1,161 | 46,428 | (2,445) | (0.27) | ||||
Iron Mountain, Inc. REIT | (6,912) | 292,516 | 31,219 | 3.44 | ||||
ITT, Inc. | 4,735 | 433,679 | (7,187) | (0.79) | ||||
J.B. Hunt Transport Services, Inc. | 478 | 77,890 | (1,267) | (0.14) | ||||
J.M. Smucker Co. (The) | 1,713 | 221,953 | (10,992) | (1.21) | ||||
Jabil, Inc. | (3,525) | 204,873 | (1,649) | (0.18) | ||||
Jack Henry & Associates, Inc. | 2,505 | 409,593 | 9,453 | 1.04 | ||||
Jack in the Box, Inc. | 871 | 97,064 | (3,213) | (0.35) | ||||
Jacobs Engineering Group, Inc. | (1,400) | 186,788 | 11,577 | 1.27 | ||||
Jazz Pharmaceuticals PLC | 2,526 | 448,719 | (10,666) | (1.17) | ||||
JBG SMITH Properties REIT | 2,046 | 64,469 | (6,536) | (0.72) | ||||
Jefferies Financial Group, Inc. | 19,703 | 673,843 | 43,859 | 4.83 | ||||
JetBlue Airways Corporation | (21,313) | 357,632 | 43,678 | 4.81 | ||||
John Wiley & Sons, Inc. Class A | (745) | 44,834 | 3,254 | 0.36 | ||||
Johnson & Johnson | 2,558 | 421,405 | (2,227) | (0.25) | ||||
Johnson Controls International PLC | (344) | 23,609 | (1,825) | (0.20) | ||||
Jones Lang LaSalle, Inc. | (1,148) | 224,388 | 16,925 | 1.86 | ||||
JPMorgan Chase & Co. | (785) | 122,099 | 5,805 | 0.64 | ||||
Juniper Networks, Inc. | (12,718) | 347,837 | 13,160 | 1.45 | ||||
KAR Auction Services, Inc. | (16,688) | 292,874 | 8,000 | 0.88 | ||||
KB Home | (1,596) | 64,989 | 5,807 | 0.64 | ||||
KBR, Inc. | (967) | 36,891 | 943 | 0.10 | ||||
Kellogg Co. | 3,900 | 250,887 | (2,293) | (0.25) | ||||
Kennametal, Inc. | (5,481) | 196,878 | 6,406 | 0.71 | ||||
KeyCorp | (1,608) | 33,205 | 3,283 | 0.36 | ||||
Kilroy Realty Corporation REIT | 4,868 | 339,008 | (14,230) | (1.57) | ||||
Kimco Realty Corporation REIT | (8,004) | 166,883 | 12,743 | 1.40 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Kinder Morgan, Inc. | 22,444 | $409,154 | $(13,050) | (1.44)% | ||||
Kirby Corporation | (2,473) | 149,963 | 16,984 | 1.87 | ||||
KLA Corporation | 121 | 39,229 | 1,211 | 0.13 | ||||
Knight-Swift Transportation Holdings | 5,925 | 269,351 | (12,042) | (1.33) | ||||
Kohl’s Corporation | (3,168) | 174,588 | (1,371) | (0.15) | ||||
Kraft Heinz Co. (The) | (13,312) | 542,863 | 29,066 | 3.20 | ||||
L3Harris Technologies, Inc. | (71) | 15,347 | (33) | (0.00) | ||||
Laboratory Corporation of America Holdings | 603 | 166,338 | 10,027 | 1.10 | ||||
Lam Research Corporation | 201 | 130,791 | 4,115 | 0.45 | ||||
Lamar Advertising Co. Class A | 178 | 18,587 | (387) | (0.04) | ||||
Lamb Weston Holdings, Inc. | (3,450) | 278,277 | 6,338 | 0.70 | ||||
Lancaster Colony Corporation | 1,056 | 204,347 | (1,840) | (0.20) | ||||
Landstar System, Inc. | 973 | 153,753 | (3,873) | (0.43) | ||||
Lattice Semiconductor Corporation | 404 | 22,697 | (194) | (0.02) | ||||
Lear Corporation | (1,072) | 187,900 | 19,169 | 2.11 | ||||
Leggett & Platt, Inc. | (2,732) | 141,545 | 6,241 | 0.69 | ||||
Leidos Holdings, Inc. | (3,968) | 401,165 | 15,581 | 1.72 | ||||
LendingTree, Inc. | (1,435) | 304,048 | (7,702) | (0.85) | ||||
Lennar Corporation Class A | 1,674 | 166,312 | 9,100 | 1.00 | ||||
Lennox International, Inc. | 875 | 306,950 | 12,012 | 1.32 | ||||
LHC Group, Inc. | 264 | 52,869 | (725) | (0.08) | ||||
Liberty Broadband Class C | (100) | 17,366 | (1,434) | (0.16) | ||||
Liberty Global PLC Class C | (5,128) | 138,661 | 3,072 | 0.34 | ||||
Liberty Media Corporation-Liberty SiriusXM Class C | (3,736) | 173,313 | (3,854) | (0.42) | ||||
Life Storage, Inc. REIT | (101) | 10,842 | (90) | (0.01) | ||||
Ligand Pharmaceuticals, Inc. | (1,903) | 249,655 | (22,349) | (2.46) | ||||
Lincoln Electric Holdings, Inc. | 1,795 | 236,419 | 4,431 | 0.49 | ||||
Lincoln National Corporation | (3,879) | 243,756 | 21,092 | 2.32 | ||||
Lions Gate Entertainment Corporation Class A | 3,326 | 68,848 | 807 | 0.09 | ||||
Lithia Motors, Inc. Class A | (28) | 9,622 | (215) | (0.02) | ||||
Littelfuse, Inc. | (546) | 139,115 | 2,086 | 0.23 | ||||
LivaNova PLC | (3,507) | 294,974 | (15,055) | (1.66) | ||||
Live Nation Entertainment, Inc. | (6,090) | 533,423 | 3,514 | 0.39 | ||||
LiveRamp Holdings, Inc. | (1,812) | 84,892 | 2,498 | 0.28 | ||||
Lockheed Martin Corporation | 1,372 | 519,096 | (9,839) | (1.08) | ||||
Loews Corporation | (17,010) | 929,596 | 29,270 | 3.22 | ||||
LPL Financial Holdings, Inc. | (1,529) | 206,384 | 5,207 | 0.57 | ||||
Lululemon Athletica, Inc. | 706 | 257,669 | 26,623 | 2.93 | ||||
Lumen Technologies, Inc. | (20,035) | 272,276 | 26,825 | 2.95 | ||||
Lumentum Holdings, Inc. | (804) | 65,952 | (1,274) | (0.14) | ||||
Lyft, Inc. Class A | (3,732) | 225,711 | (19,041) | (2.10) | ||||
LyondellBasell Industries NV Class A | (1,663) | 171,073 | 17,372 | 1.91 | ||||
M&T Bank Corporation | 1,641 | 238,454 | (20,404) | (2.25) | ||||
Macerich Co. (The) REIT | (10,981) | 200,403 | (2,267) | (0.25) | ||||
Madison Square Garden Entertainment Corporation | (1,165) | 97,825 | 6,753 | 0.74 | ||||
Madison Square Garden Sports Corporation | (1,106) | 190,862 | 4,572 | 0.50 | ||||
Manhattan Associates, Inc. | 1,498 | 216,970 | 9,457 | 1.04 | ||||
ManpowerGroup, Inc. | 245 | 29,133 | 264 | 0.03 | ||||
Marathon Oil Corporation | 17,157 | 233,678 | 4,275 | 0.47 | ||||
Marathon Petroleum Corporation | (5,117) | 309,169 | 16,312 | 1.80 | ||||
MarketAxess Holdings, Inc. | 224 | 103,844 | 6,701 | 0.74 | ||||
Marriott International, Inc. Class A | 303 | 41,366 | (2,217) | (0.24) | ||||
Marriott Vacations Worldwide Corporation | 508 | 80,924 | (6,280) | (0.69) | ||||
Marsh & McLennan Cos., Inc. | (683) | 96,084 | (2,230) | (0.25) | ||||
Marvell Technology, Inc. | (11,451) | 667,937 | (89,470) | (9.85) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Masco Corporation | 4,741 | $ 279,292 | $ 385 | 0.04% | ||||
Masimo Corporation | 1,209 | 293,122 | 36,031 | 3.97 | ||||
MasTec, Inc. | 307 | 32,573 | (4,478) | (0.49) | ||||
Mastercard, Inc. Class A | (377) | 137,639 | (175) | (0.02) | ||||
Match Group, Inc. | 541 | 87,236 | 10,529 | 1.16 | ||||
Mattel, Inc. | (9,066) | 182,227 | 7,699 | 0.85 | ||||
MAXIMUS, Inc. | 2,927 | 257,488 | (9,078) | (1.00) | ||||
McCormick & Co., Inc. (Non-Voting Shares) | (1,031) | 91,058 | (199) | (0.02) | ||||
McDonald’s Corporation | 1,686 | 389,449 | 673 | 0.07 | ||||
McKesson Corporation | 74 | 14,152 | 2,449 | 0.27 | ||||
MDU Resources Group, Inc. | 6,161 | 193,086 | (11,617) | (1.28) | ||||
Medallia, Inc. | (5,183) | 174,926 | (30,637) | (3.37) | ||||
Medical Properties Trust, Inc. REIT | (2,150) | 43,215 | 2,163 | 0.24 | ||||
Medpace Holdings, Inc. | (460) | 81,250 | (2,749) | (0.30) | ||||
MercadoLibre, Inc. | (90) | 140,201 | (21,706) | (2.39) | ||||
Mercury Systems, Inc. | 4,566 | 302,634 | 784 | 0.09 | ||||
MetLife, Inc. | (2,635) | 157,705 | 12,721 | 1.40 | ||||
Mettler-Toledo International, Inc. | 249 | 344,950 | 28,907 | 3.18 | ||||
MGIC Investment Corporation | (7,679) | 104,434 | 7,982 | 0.88 | ||||
Microchip Technology, Inc. | (2,255) | 337,664 | 4,656 | 0.51 | ||||
Micron Technology, Inc. | (2,462) | 209,221 | (15,566) | (1.71) | ||||
Microsoft Corporation | 5,759 | 1,560,113 | 99,496 | 10.96 | ||||
Mid-America Apartment Communities, Inc. REIT | (726) | 122,273 | 192 | 0.02 | ||||
Middleby Corporation (The) | (1,064) | 184,349 | (4,113) | (0.45) | ||||
Minerals Technologies, Inc. | (197) | 15,498 | 927 | 0.10 | ||||
MKS Instruments, Inc. | (100) | 17,795 | (822) | (0.09) | ||||
Moderna, Inc. | (162) | 38,067 | (2,843) | (0.31) | ||||
Mohawk Industries, Inc. | (1,375) | 264,261 | 8,529 | 0.94 | ||||
Molina Healthcare, Inc. | 1,385 | 350,488 | 6,481 | 0.71 | ||||
Mondelez International, Inc. Class A | 3,025 | 188,881 | (4,133) | (0.46) | ||||
Mongodb, Inc. | 368 | 133,039 | 10,586 | 1.17 | ||||
Monolithic Power Systems, Inc. | 443 | 165,438 | 13,382 | 1.47 | ||||
Monster Beverage Corporation | 5,465 | 499,228 | (10,392) | (1.14) | ||||
Moody’s Corporation | 42 | 15,220 | 989 | 0.11 | ||||
Morgan Stanley | (4,533) | 415,631 | 4,428 | 0.49 | ||||
Morningstar, Inc. | 659 | 169,435 | 16,647 | 1.83 | ||||
MSC Industrial Direct Co., Inc. Class A | 893 | 80,129 | (1,626) | (0.18) | ||||
MSCI, Inc. | (141) | 75,164 | (9,484) | (1.04) | ||||
Murphy Oil Corporation | (7,367) | 171,504 | 1,394 | 0.15 | ||||
Nasdaq, Inc. | 781 | 137,300 | 4,120 | 0.45 | ||||
National Fuel Gas Co. | 768 | 40,128 | (3,036) | (0.33) | ||||
National Retail Properties, Inc. REIT | 11,801 | 553,231 | (32,525) | (3.58) | ||||
Navient Corporation | (4,778) | 92,359 | (963) | (0.11) | ||||
NCR Corporation | (6,312) | 287,890 | 15,138 | 1.67 | ||||
Nektar Therapeutics | (6,589) | 113,067 | (2,310) | (0.25) | ||||
Neogen Corporation | 462 | 21,270 | 529 | 0.06 | ||||
Netflix, Inc. | 463 | 244,561 | 19,601 | 2.16 | ||||
NetScout Systems, Inc. | (958) | 27,341 | 1,522 | 0.17 | ||||
Neurocrine Biosciences, Inc. | 2,812 | 273,664 | (3,132) | (0.34) | ||||
New Jersey Resources Corporation | 510 | 20,181 | (1,800) | (0.20) | ||||
New Relic, Inc. | (3,385) | 226,693 | (3,563) | (0.39) | ||||
New York Community Bancorp, Inc. | 3,409 | 37,567 | (3,107) | (0.34) | ||||
New York Times Co. (The) Class A | 5,535 | 241,049 | 9,104 | 1.00 | ||||
Newell Brands, Inc. | (14,771) | 405,759 | 7,546 | 0.83 | ||||
News Corporation Class A | (13,256) | 341,607 | 10,062 | 1.11 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Nexstar Media Group, Inc. Class A | 3,693 | $546,121 | $ 3,589 | 0.40% | ||||
NextEra Energy, Inc. | (5,055) | 370,430 | (4,425) | (0.49) | ||||
Nielsen Holdings PLC | (11,372) | 280,547 | 24,372 | 2.68 | ||||
NIKE, Inc. Class B | 1,265 | 195,430 | 25,228 | 2.78 | ||||
NiSource, Inc. | (3,171) | 77,690 | 3,549 | 0.39 | ||||
Nordson Corporation | 1,131 | 248,266 | (2,960) | (0.33) | ||||
Nordstrom, Inc. | (3,085) | 112,818 | (4,657) | (0.51) | ||||
Norfolk Southern Corporation | (271) | 71,926 | 2,048 | 0.23 | ||||
Northern Trust Corporation | (978) | 113,076 | 1,911 | 0.21 | ||||
Northrop Grumman Corporation | 1,183 | 429,938 | (11,592) | (1.28) | ||||
NorthWestern Corporation | (155) | 9,334 | 1,113 | 0.12 | ||||
NortonLifeLock, Inc. | (2,866) | 78,013 | 3,107 | 0.34 | ||||
Norwegian Cruise Line Holdings, Ltd. | (10,640) | 312,922 | 34,568 | 3.81 | ||||
NOV, Inc. | (7,697) | 117,918 | 14,388 | 1.58 | ||||
Novocure, Ltd. | (535) | 118,674 | (5,317) | (0.59) | ||||
NRG Energy, Inc. | (2,453) | 98,856 | (8,909) | (0.98) | ||||
Nutanix, Inc. Class A | (2,482) | 94,862 | (8,989) | (0.99) | ||||
NuVasive, Inc. | (2,867) | 194,325 | (7,948) | (0.88) | ||||
nVent Electric PLC | (3,640) | 113,714 | 4,473 | 0.49 | ||||
NVIDIA Corporation | (770) | 616,077 | (78,972) | (8.70) | ||||
NVR, Inc. | 7 | 34,813 | 1,258 | 0.14 | ||||
NXP Semiconductor NV | 3,750 | 771,450 | 31,087 | 3.42 | ||||
Occidental Petroleum Corporation | (12,511) | 391,219 | (40,651) | (4.48) | ||||
OGE Energy Corporation | (7,400) | 249,010 | 6,133 | 0.68 | ||||
Old Dominion Freight Line, Inc. | 2,799 | 710,386 | 11,037 | 1.22 | ||||
Olin Corporation | (8,202) | 379,425 | 14,227 | 1.57 | ||||
Omega Healthcare Investors, Inc. REIT | 604 | 21,919 | (655) | (0.07) | ||||
Omnicom Group, Inc. | 1,161 | 92,868 | (3,562) | (0.39) | ||||
ON Semiconductor Corporation | (3,926) | 150,287 | (4,088) | (0.45) | ||||
ONE Gas, Inc. | (2,297) | 170,254 | 5,828 | 0.64 | ||||
OneMain Holdings, Inc. | 4,786 | 286,729 | 53 | 0.01 | ||||
ONEOK, Inc. | (217) | 12,074 | (174) | (0.02) | ||||
Oracle Corporation | 9,322 | 725,624 | (62,373) | (6.87) | ||||
Oshkosh Corporation | 751 | 93,605 | (3,549) | (0.39) | ||||
Otis Worldwide Corporation | 3,840 | 313,997 | 3,878 | 0.43 | ||||
Outfront Media, Inc. | (9,384) | 225,498 | 7,499 | 0.83 | ||||
Owens Corning | (199) | 19,482 | 865 | 0.10 | ||||
PACCAR, Inc. | 1,366 | 121,916 | (4,579) | (0.50) | ||||
PacWest Bancorp | (810) | 33,340 | 2,833 | 0.31 | ||||
PagerDuty, Inc. | (4,303) | 183,222 | (15,669) | (1.73) | ||||
Palo Alto Networks, Inc. | (793) | 294,243 | (14,808) | (1.63) | ||||
Papa John's International, Inc. | 1,573 | 164,284 | 4,476 | 0.49 | ||||
Paramount Group, Inc. REIT | (7,011) | 70,601 | 9,874 | 1.09 | ||||
Park Hotels & Resorts, Inc. REIT | (27,222) | 561,045 | 20,396 | 2.25 | ||||
Patterson Cos., Inc. | (430) | 13,068 | 2,161 | 0.24 | ||||
Paychex, Inc. | 877 | 94,102 | 3,251 | 0.36 | ||||
Paylocity Holding Corporation | (297) | 56,668 | (5,799) | (0.64) | ||||
PayPal Holdings, Inc. | (199) | 58,005 | (5,550) | (0.61) | ||||
Pebblebrook Hotel Trust REIT | (10,048) | 236,630 | 4,478 | 0.49 | ||||
Pegasystems, Inc. | (1,492) | 207,671 | (7,152) | (0.79) | ||||
Peloton Interactive, Inc. Class A | (1,171) | 145,227 | (19,970) | (2.20) | ||||
Penske Automotive Group, Inc. | (307) | 23,175 | 1,083 | 0.12 | ||||
Pentair PLC | 3,233 | 218,195 | (5,556) | (0.61) | ||||
Penumbra, Inc. | (556) | 152,377 | 5,399 | 0.59 | ||||
PerkinElmer, Inc. | 961 | 148,388 | 12,486 | 1.37 |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
PG&E Corporation | (34,806) | $353,977 | $ 8,113 | 0.89% | ||||
Phillips 66 | (3,183) | 273,165 | 21,093 | 2.32 | ||||
Physicians Realty Trust REIT | 6,572 | 121,385 | (5,602) | (0.62) | ||||
Pilgrim’s Pride Corporation | (6,221) | 137,982 | 5,159 | 0.57 | ||||
Pinnacle Financial Partners, Inc. | 822 | 72,574 | (1,661) | (0.18) | ||||
Pinnacle West Capital Corporation | 2,490 | 204,105 | (12,950) | (1.43) | ||||
Pinterest, Inc. Class A | 2,654 | 209,533 | 34,028 | 3.75 | ||||
Planet Fitness, Inc. Class A | (2,476) | 186,319 | 2,309 | 0.25 | ||||
Plug Power, Inc. | (7,772) | 265,725 | (19,339) | (2.13) | ||||
PNC Financial Services Group, Inc. (The) | (1,873) | 357,293 | 44 | 0.00 | ||||
Polaris, Inc. | 697 | 95,461 | 8,930 | 0.98 | ||||
Post Holdings, Inc. | (2,287) | 248,071 | 11,975 | 1.32 | ||||
PotlatchDeltic Corporation REIT | 5,796 | 308,057 | (9,471) | (1.04) | ||||
PPL Corporation | (6,128) | 171,400 | 857 | 0.09 | ||||
Premier, Inc. Class A | (1,011) | 35,173 | (590) | (0.06) | ||||
Principal Financial Group, Inc. | (1,740) | 109,951 | 1,426 | 0.16 | ||||
Prologis, Inc. REIT | (813) | 97,178 | 2,172 | 0.24 | ||||
Prosperity Bancshares, Inc. | 3,888 | 279,158 | (15,122) | (1.66) | ||||
Prudential Financial, Inc. | (896) | 91,813 | 3,617 | 0.40 | ||||
PS Business Parks, Inc. REIT | 3,982 | 589,655 | (45,479) | (5.01) | ||||
PTC, Inc. | (611) | 86,310 | (3,987) | (0.44) | ||||
Public Service Enterprise Group, Inc. | 3,034 | 181,251 | 3,170 | 0.35 | ||||
Public Storage REIT | 1,296 | 389,694 | 10,298 | 1.13 | ||||
PulteGroup, Inc. | 2,392 | 130,531 | (2,242) | (0.25) | ||||
PVH Corporation | (2,683) | 288,664 | 8,736 | 0.96 | ||||
Qorvo, Inc. | 478 | 93,521 | 6,729 | 0.74 | ||||
QUALCOMM, Inc. | 2,454 | 350,750 | 24,522 | 2.70 | ||||
Qualys, Inc. | 3,232 | 325,430 | (3,337) | (0.37) | ||||
Quanta Services, Inc. | 2,219 | 200,975 | (3,061) | (0.34) | ||||
Quest Diagnostics, Inc. | 2,908 | 383,769 | 12,952 | 1.43 | ||||
Quidel Corporation | 1,731 | 221,776 | 27,153 | 2.99 | ||||
Qurate Retail, Inc. Class A | (11,340) | 148,441 | 5,325 | 0.59 | ||||
R1 RCM, Inc. | (3,116) | 69,300 | 59 | 0.01 | ||||
Ralph Lauren Corporation | (1,840) | 216,770 | 7,533 | 0.83 | ||||
Raymond James Financial, Inc. | 964 | 125,224 | 4,821 | 0.53 | ||||
Rayonier, Inc. REIT | 2,546 | 91,478 | 660 | 0.07 | ||||
Raytheon Technologies Corporation | (3,060) | 261,049 | 10,823 | 1.19 | ||||
Realty Income Corporation REIT | 3,081 | 205,626 | (12,302) | (1.35) | ||||
Reata Pharmaceuticals, Inc. Class A | (1,173) | 166,015 | (158) | (0.02) | ||||
Regal Beloit Corporation | 1,894 | 252,868 | (8,972) | (0.99) | ||||
Regency Centers Corporation REIT | 1,915 | 122,694 | (6,311) | (0.69) | ||||
Regeneron Pharmaceuticals, Inc. | 396 | 221,182 | 14,501 | 1.60 | ||||
Regions Financial Corporation | 638 | 12,875 | (3,687) | (0.41) | ||||
Reinsurance Group of America, Inc. | (1,339) | 152,646 | 14,518 | 1.60 | ||||
Repligen Corporation | (789) | 157,500 | (10,570) | (1.16) | ||||
Republic Services, Inc. | 933 | 102,639 | 595 | 0.07 | ||||
ResMed, Inc. | (790) | 194,751 | (27,308) | (3.01) | ||||
RH | (101) | 68,579 | (4,355) | (0.48) | ||||
Ringcentral, Inc. Class A | (861) | 250,189 | (25,245) | (2.78) | ||||
Robert Half International, Inc. | 4,123 | 366,823 | (7,543) | (0.83) | ||||
Rockwell Automation, Inc. | 876 | 250,554 | 5,988 | 0.66 | ||||
Roku, Inc. | (156) | 71,643 | (18,661) | (2.05) | ||||
Rollins, Inc. | 11,825 | 404,415 | 13,550 | 1.49 | ||||
Roper Technologies, Inc. | (283) | 133,067 | (5,452) | (0.60) | ||||
Ross Stores, Inc. | (4,410) | 546,840 | (21,222) | (2.34) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Royal Caribbean Cruises, Ltd. | (3,499) | $298,395 | $ 26,266 | 2.89% | ||||
Ryder System, Inc. | 3,736 | 277,697 | (18,861) | (2.08) | ||||
S&P Global, Inc. | 311 | 127,650 | 8,021 | 0.88 | ||||
Sabre Corporation | (32,846) | 409,918 | 45,640 | 5.03 | ||||
Sage Therapeutics, Inc. | 3,589 | 203,891 | (43,829) | (4.83) | ||||
Sailpoint Technologies Holdings, Inc. | (3,478) | 177,621 | (19,101) | (2.10) | ||||
salesforce.com, Inc. | (502) | 122,624 | (4,110) | (0.45) | ||||
Sanderson Farms, Inc. | 2,808 | 527,820 | 68,907 | 7.59 | ||||
SBA Communications Corporation REIT | 294 | 93,698 | 574 | 0.06 | ||||
Schlumberger NV | 1,647 | 52,720 | (6,308) | (0.69) | ||||
Schneider National, Inc. Class B | 6,913 | 150,496 | (10,773) | (1.19) | ||||
Science Applications International Corporation | (1,902) | 166,862 | 7,338 | 0.81 | ||||
Seagen, Inc. | 2,091 | 330,127 | 4,748 | 0.52 | ||||
SEI Investments Co. | 6,711 | 415,881 | (9,326) | (1.03) | ||||
Sempra Energy | 848 | 112,343 | (5,917) | (0.65) | ||||
Semtech Corporation | 458 | 31,510 | 935 | 0.10 | ||||
Sensata Technologies Holding PLC | (2,328) | 134,954 | 3,767 | 0.41 | ||||
Service Corporation International | 3,307 | 177,222 | 1,343 | 0.15 | ||||
Service Properties Trust | (1,169) | 14,729 | 2,022 | 0.22 | ||||
ServiceNow, Inc. | 277 | 152,225 | 23,482 | 2.59 | ||||
Signature Bank | (1,523) | 374,125 | 4,038 | 0.44 | ||||
Silicon Laboratories, Inc. | (641) | 98,233 | (12,208) | (1.34) | ||||
Simon Property Group, Inc. REIT | (1,750) | 228,340 | 8,932 | 0.98 | ||||
Simpson Manufacturing Co., Inc. | 3,157 | 348,659 | (420) | (0.05) | ||||
Sirius XM Holdings, Inc. | 23,992 | 156,908 | (7,458) | (0.82) | ||||
Six Flags Entertainment Corporation | (4,238) | 183,421 | 3,342 | 0.37 | ||||
Skyworks Solutions, Inc. | 1,360 | 260,780 | 31,551 | 3.47 | ||||
SL Green Realty Corporation REIT | (5,158) | 412,640 | 9,668 | 1.06 | ||||
Smartsheet, Inc. Class A | 661 | 47,804 | 4,643 | 0.51 | ||||
Snap, Inc. Class A | (354) | 24,122 | (1,597) | (0.18) | ||||
Snap-on, Inc. | 956 | 213,599 | (20,095) | (2.21) | ||||
SolarEdge Technologies, Inc. | (1,156) | 319,484 | (47,557) | (5.24) | ||||
Solarwinds Corporation | 2,539 | 42,884 | (158) | (0.02) | ||||
Southern Co. (The) | 4,430 | 268,059 | (13,857) | (1.53) | ||||
Southwest Airlines Co. | 2,138 | 113,506 | (11,411) | (1.26) | ||||
Southwest Gas Holdings, Inc. | (3,897) | 257,942 | 3,966 | 0.44 | ||||
Spirit AeroSystems Holdings, Inc. Class A | (5,677) | 267,898 | 23,528 | 2.59 | ||||
Spirit Realty Capital, Inc. REIT | 608 | 29,087 | (1,405) | (0.15) | ||||
Splunk, Inc. | (2,273) | 328,630 | (64,815) | (7.14) | ||||
Square, Inc. Class A | (468) | 114,098 | (15,724) | (1.73) | ||||
STAAR Surgical Co. | 1,022 | 155,855 | 12,757 | 1.40 | ||||
Starbucks Corporation | 269 | 30,077 | 106 | 0.01 | ||||
State Street Corporation | (3,074) | 252,929 | 6,995 | 0.77 | ||||
Steel Dynamics, Inc. | (412) | 24,555 | 2,155 | 0.24 | ||||
Stericycle, Inc. | (1,763) | 126,143 | 4,950 | 0.55 | ||||
Stifel Financial Corporation | 9,787 | 634,785 | 868 | 0.10 | ||||
STORE Capital Corporation REIT | (5,990) | 206,715 | 9,468 | 1.04 | ||||
Strategic Education, Inc. | (1,009) | 76,745 | (341) | (0.04) | ||||
Stryker Corporation | (948) | 246,224 | (3,671) | (0.40) | ||||
Sunrun, Inc. | (6,119) | 341,318 | (76,436) | (8.42) | ||||
SVB Financial Group | (293) | 163,034 | 11,069 | 1.22 | ||||
Switch, Inc. Class A | 11,754 | 248,127 | 2,343 | 0.26 | ||||
Synaptics, Inc. | (192) | 29,871 | (3,612) | (0.40) | ||||
Synchrony Financial | (6,095) | 295,729 | 9,437 | 1.04 | ||||
Syneos Health, Inc. | (1,773) | 158,666 | (11,157) | (1.23) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
SYNNEX Corporation | (293) | $ 35,676 | $ 667 | 0.07% | ||||
Synopsys, Inc. | 893 | 246,280 | 17,590 | 1.94 | ||||
Synovus Financial Corporation | 419 | 18,386 | (2,590) | (0.29) | ||||
Sysco Corporation | (2,763) | 214,823 | 4,716 | 0.52 | ||||
T. Rowe Price Group, Inc. | 2,254 | 446,224 | 12,213 | 1.34 | ||||
Take-Two Interactive Software, Inc. | 1,126 | 199,325 | (7,423) | (0.82) | ||||
Tandem Diabetes Care, Inc. | (181) | 17,629 | (1,709) | (0.19) | ||||
Tapestry, Inc. | 1,395 | 60,655 | 75 | 0.01 | ||||
Targa Resources Corporation | 489 | 21,736 | (374) | (0.04) | ||||
Taylor Morrison Home Corporation Class A | (5,634) | 148,850 | 11,995 | 1.32 | ||||
TE Connectivity, Ltd. | (773) | 104,517 | 367 | 0.04 | ||||
TEGNA, Inc. | 26,766 | 502,130 | (8,819) | (0.97) | ||||
Teladoc Health, Inc. | (1,549) | 257,583 | (24,576) | (2.71) | ||||
Teledyne Technologies, Inc. | (356) | 149,103 | (26) | (0.00) | ||||
Teleflex, Inc. | (987) | 396,567 | (8,383) | (0.92) | ||||
Telephone & Data Systems, Inc. | (5,856) | 132,697 | 20,486 | 2.26 | ||||
Tempur Sealy International, Inc. | (4,758) | 186,466 | (1,101) | (0.12) | ||||
Tenet Healthcare Corporation | (2,397) | 160,575 | 1,672 | 0.18 | ||||
Teradata Corporation | 3,386 | 169,198 | 7,497 | 0.83 | ||||
Teradyne, Inc. | (78) | 10,449 | (1,747) | (0.19) | ||||
Terminix Global Holdings, Inc. | (2,286) | 109,065 | 6,269 | 0.69 | ||||
Tesla, Inc. | (27) | 18,352 | (2,185) | (0.24) | ||||
Tetra Tech, Inc. | 1,030 | 125,701 | (1,015) | (0.11) | ||||
Texas Capital Bancshares, Inc. | (2,724) | 172,947 | 14,431 | 1.59 | ||||
Texas Instruments, Inc. | 2,248 | 432,290 | 13,098 | 1.44 | ||||
Texas Roadhouse, Inc. | 628 | 60,414 | (2,394) | (0.26) | ||||
Textron, Inc. | (2,367) | 162,779 | 675 | 0.07 | ||||
T-Mobile US, Inc. | (1,527) | 221,155 | 3,718 | 0.41 | ||||
Toll Brothers, Inc. | 3,882 | 224,418 | (15,713) | (1.73) | ||||
TopBuild Corporation | 256 | 50,632 | 752 | 0.08 | ||||
Toro Co. (The) | 2,015 | 221,408 | 7,575 | 0.83 | ||||
Tradeweb Markets, Inc. Class A | (1,266) | 107,053 | (1,364) | (0.15) | ||||
Trane Technologies PLC | 169 | 31,120 | 1,200 | 0.13 | ||||
TransDigm Group, Inc. | (422) | 273,156 | 7,042 | 0.78 | ||||
Transunion | 5,873 | 644,914 | 25,403 | 2.80 | ||||
Travel + Leisure Co. | 295 | 17,538 | (2,496) | (0.27) | ||||
TreeHouse Foods, Inc. | (1,115) | 49,640 | 3,501 | 0.39 | ||||
Trex Co., Inc. | (714) | 72,978 | (3,137) | (0.35) | ||||
TRI Pointe Group, Inc. | 1,014 | 21,730 | (1,179) | (0.13) | ||||
Trinity Industries, Inc. | (12,345) | 331,957 | 33,196 | 3.66 | ||||
TripAdvisor, Inc. | (8,212) | 330,944 | 20,682 | 2.28 | ||||
Truist Financial Corporation | (1,145) | 63,548 | 3,375 | 0.37 | ||||
Twilio, Inc. Class A | (587) | 231,372 | (46,704) | (5.14) | ||||
Twitter, Inc. | (8,329) | 573,118 | (75,813) | (8.35) | ||||
Tyler Technologies, Inc. | 26 | 11,762 | 936 | 0.10 | ||||
Tyson Foods, Inc. Class A | 2,773 | 204,536 | (9,591) | (1.06) | ||||
U.S. Bancorp | (1,357) | 77,308 | 3,844 | 0.42 | ||||
Uber Technologies, Inc. | (9,704) | 486,364 | (9,527) | (1.05) | ||||
UDR, Inc. REIT | 2,408 | 117,944 | (1,686) | (0.19) | ||||
UGI Corporation | 5,607 | 259,660 | (7,490) | (0.82) | ||||
UMB Financial Corporation | 3,548 | 330,177 | (4,653) | (0.51) | ||||
Under Armour, Inc. Class A | 3,885 | 82,168 | (982) | (0.11) | ||||
Union Pacific Corporation | (181) | 39,807 | (333) | (0.04) | ||||
United Airlines Holdings, Inc. | (4,719) | 246,757 | 22,273 | 2.45 | ||||
United Bankshares, Inc. | (789) | 28,799 | (141) | (0.02) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
United Parcel Service, Inc. Class B | 1,099 | $228,559 | $ 7,567 | 0.83% | ||||
United Rentals, Inc. | (192) | 61,250 | (828) | (0.09) | ||||
United States Steel Corporation | (6,356) | 152,544 | 21,350 | 2.35 | ||||
United Therapeutics Corporation | 404 | 72,482 | 1,874 | 0.21 | ||||
UnitedHealth Group, Inc. | 74 | 29,633 | (3) | (0.00) | ||||
Univar Solutions, Inc. | (6,522) | 159,006 | 20,669 | 2.28 | ||||
Universal Display Corporation | 3,972 | 883,095 | 27,141 | 2.99 | ||||
Universal Health Services, Inc. Class B | (3,288) | 481,462 | 41,937 | 4.62 | ||||
Unum Group | (871) | 24,736 | 2,234 | 0.25 | ||||
Urban Outfitters, Inc. | (2,449) | 100,948 | (8,306) | (0.91) | ||||
US Foods Holding Corporation | (6,618) | 253,866 | 4,028 | 0.44 | ||||
Vail Resorts, Inc. | 185 | 58,556 | (640) | (0.07) | ||||
Valero Energy Corporation | (3,070) | 239,706 | 11,811 | 1.30 | ||||
Valley National Bancorp | 5,447 | 73,153 | (5,421) | (0.60) | ||||
Valmont Industries, Inc. | 434 | 102,446 | (1,423) | (0.16) | ||||
Veeva Systems, Inc. Class A | 866 | 269,283 | 17,557 | 1.93 | ||||
Ventas, Inc. REIT | (15,095) | 861,924 | 9,495 | 1.05 | ||||
VeriSign, Inc. | 1,873 | 426,463 | 18,455 | 2.03 | ||||
Verizon Communications, Inc. | 4,459 | 249,838 | (4,593) | (0.51) | ||||
Vertex Pharmaceuticals, Inc. | 1,821 | 367,168 | (21,773) | (2.40) | ||||
Vertiv Holdings Co. | (1,814) | 49,522 | (1,888) | (0.21) | ||||
VF Corporation | (3,395) | 278,526 | (12,488) | (1.37) | ||||
ViaSat, Inc. | (3,972) | 197,964 | 3,290 | 0.36 | ||||
Viatris, Inc. | (4,997) | 71,407 | 5,794 | 0.64 | ||||
Virtu Financial, Inc. Class A | 7,118 | 196,670 | (9,554) | (1.05) | ||||
Visa, Inc. Class A | 1,653 | 386,504 | 2,446 | 0.27 | ||||
Visteon Corporation | (590) | 71,355 | 3,726 | 0.41 | ||||
Vistra Corporation | (12,323) | 228,592 | (5,489) | (0.60) | ||||
VMware, Inc. Class A | 574 | 91,823 | (1,177) | (0.13) | ||||
Vornado Realty Trust REIT | (1,469) | 68,558 | 5,198 | 0.57 | ||||
Voya Financial, Inc. | 1,735 | 106,703 | (4,105) | (0.45) | ||||
W.R. Berkley Corporation | (1,763) | 131,220 | 1,316 | 0.14 | ||||
W.W. Grainger, Inc. | 890 | 389,820 | (18,340) | (2.02) | ||||
Walgreens Boots Alliance, Inc. | (3,465) | 182,294 | 2,835 | 0.31 | ||||
Walt Disney Co. (The) | (2,230) | 391,967 | 589 | 0.06 | ||||
Washington Federal, Inc. | 3,517 | 111,770 | (4,727) | (0.52) | ||||
Waste Connections, Inc. | (133) | 15,884 | 114 | 0.01 | ||||
Waste Management, Inc. | (74) | 10,368 | 1,895 | 0.21 | ||||
Waters Corporation | 357 | 123,383 | 6,272 | 0.69 | ||||
Watsco, Inc. | 1,171 | 335,655 | (2,618) | (0.29) | ||||
Webster Financial Corporation | (2,231) | 119,002 | 8,719 | 0.96 | ||||
WEC Energy Group, Inc. | (1,030) | 91,619 | 4,076 | 0.45 | ||||
Wells Fargo & Co. | (21,597) | 978,128 | 13,302 | 1.46 | ||||
Welltower, Inc. REIT | (5,971) | 496,190 | (23,560) | (2.59) | ||||
Wendy's Co. (The) | 14,393 | 337,084 | (25,514) | (2.81) | ||||
Werner Enterprises, Inc. | 4,127 | 183,734 | (4,976) | (0.55) | ||||
West Pharmaceutical Services, Inc. | 507 | 182,064 | 11,726 | 1.29 | ||||
Western Alliance Bancorp | (1,969) | 182,822 | 14,091 | 1.55 | ||||
Western Digital Corporation | (2,500) | 177,925 | 9,219 | 1.02 | ||||
Westinghouse Air Brake Technologies Corporation | (6,184) | 508,943 | (5,249) | (0.58) | ||||
Westrock Co. | (2,776) | 147,739 | 10,266 | 1.13 | ||||
WEX, Inc. | (1,832) | 355,225 | 14,552 | 1.60 | ||||
Weyerhaeuser Co. REIT | 4,659 | 160,363 | (12,277) | (1.35) | ||||
Whirlpool Corporation | 622 | 135,608 | (7,407) | (0.82) | ||||
Williams Cos., Inc. (The) | 4,557 | 120,988 | (6,592) | (0.73) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Wingstop, Inc. | 2,511 | $ 395,809 | $ 27,797 | 3.06% | ||||
Wintrust Financial Corporation | 2,873 | 217,285 | (16,692) | (1.84) | ||||
Woodward, Inc. | 3,984 | 489,554 | (579) | (0.06) | ||||
Workday, Inc. Class A | 1,689 | 403,232 | 22,383 | 2.46 | ||||
World Fuel Services Corporation | 10,492 | 332,911 | (32,624) | (3.59) | ||||
World Wrestling Entertainment, Inc. Class A | 4,006 | 231,907 | (25,642) | (2.82) | ||||
Worthington Industries, Inc. | (270) | 16,519 | (389) | (0.04) | ||||
WP Carey, Inc. REIT | 1,349 | 100,662 | (3,265) | (0.36) | ||||
Wyndham Hotels & Resorts, Inc. | 4,560 | 329,642 | (15,399) | (1.70) | ||||
Xcel Energy, Inc. | (2,231) | 146,978 | 13,910 | 1.53 | ||||
Xerox Holdings Corporation | (7,030) | 165,135 | 10,400 | 1.15 | ||||
XPO Logistics, Inc. | (1,510) | 211,234 | 6,033 | 0.66 | ||||
Xylem, Inc. | (83) | 9,957 | 59 | 0.01 | ||||
Yelp, Inc. | 2,442 | 97,582 | (2,498) | (0.27) | ||||
YETI Holdings, Inc. | 2,801 | 257,188 | (7,796) | (0.86) | ||||
Yum! Brands, Inc. | 2,723 | 313,227 | (7,193) | (0.79) | ||||
Zendesk, Inc. | (803) | 115,905 | (6,300) | (0.69) | ||||
Zillow Group, Inc. Class C | (1,235) | 150,942 | (13,367) | (1.47) | ||||
Zimmer Biomet Holdings, Inc. | (3,090) | 496,934 | (9,032) | (0.99) | ||||
Zions Bancorp NA | 4,319 | 228,302 | (16,270) | (1.79) | ||||
Zoetis, Inc. | 1,293 | 240,963 | 12,472 | 1.37 | ||||
Zoom Video Communications, Inc. Class A | 341 | 131,977 | 18,193 | 2.00 | ||||
Zscaler, Inc. | (190) | 41,051 | (3,816) | (0.42) | ||||
Zynga, Inc. Class A | (4,823) | 51,268 | (1,545) | (0.17) | ||||
$178,978,646 | $908,213 | 100.00% |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks: | |||||||
Communication Services | $ 165,282 | $ — | $ — | $165,282 | |||
Other ^^ | 24,795,641 | 24,795,641 | — | — | |||
Total Common Stocks | 24,960,923 | 24,795,641 | — | 165,282 | |||
Corporate Bonds | 48,664,413 | — | 48,664,413 | — | |||
Foreign Bonds | 4,301,919 | — | 4,301,919 | — | |||
Foreign Common Stocks | 318,523 | 318,523 | — | — | |||
Foreign Preferred Stocks | 630,716 | 630,716 | — | — | |||
Money Market Funds | 114,575,708 | 114,575,708 | — | — | |||
Mortgage-Backed Securities | 17,675,932 | — | 17,675,932 | — | |||
Mutual Funds | 1,341,926 | 1,341,926 | — | — | |||
Preferred Stocks: | |||||||
Consumer Staples | 406,805 | 406,805 | — | — | |||
Financials | 4,025,956 | 2,717,560 | 1,308,396 | — | |||
Other ^^ | 824,891 | — | 824,891 | — | |||
Total Preferred Stocks | 5,257,652 | 3,124,365 | 2,133,287 | — | |||
Purchased Options: | |||||||
Put Swaptions | 54,453 | 54,453 | — | — | |||
Rights | 7,010 | — | — | 7,010 | |||
U.S. Treasury Obligations | 99,235,954 | — | 99,235,954 | — | |||
Total Assets - Investments in Securities | $317,025,129 | $144,841,332 | $172,011,505 | $172,292 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 892,528 | $ — | $ 892,528 | $ — | |||
Futures Contracts | 2,087,630 | 2,087,630 | — | — | |||
Swap Agreements | 2,741,897 | — | 2,741,897 | — | |||
Total Assets - Other Financial Instruments | $ 5,722,055 | $ 2,087,630 | $ 3,634,425 | $ — | |||
Assets: |
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 | $(20,312,683) | $(20,312,683) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (793,088) | (793,088) | — | — | |||
Written Options: | |||||||
Call Options | (93,781) | (93,781) | — | — | |||
Call Swaption | (67,475) | (67,475) | — | — | |||
Put Swaptions | (43,791) | (43,791) | — | — | |||
Total Written Options | (205,047) | (205,047) | — | — | |||
Total Liabilities - Investments in Securities | $(21,310,818) | $(21,310,818) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (1,187,492) | $ — | $(1,187,492) | $ — | |||
Futures Contracts | (35,929) | (35,929) | — | — | |||
Swap Agreements | (2,543,935) | — | (2,543,935) | — | |||
Total Liabilities - Other Financial Instruments | $ (3,767,356) | $ (35,929) | $(3,731,427) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward 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", "Forward Foreign Currency Contracts outstanding" and "Swap Agreements outstanding" disclosures. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2021 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $303,947,363 |
Investments in securities of affiliated issuers, at value | 13,077,766 |
Total investments, at value(1) | 317,025,129 |
Cash | 21,486,069 |
Cash collateral for derivatives | 13,082,752 |
Deposits with broker for futures contracts | 8,033,191 |
Foreign currency(2) | 8,260 |
Upfront premiums paid from swap agreements | 3,285,193 |
Receivables: | |
Dividends and reclaims | 37,289 |
Interest | 335,417 |
Investment securities sold | 2,797,987 |
Fund shares sold | 10,137 |
Variation margin on centrally cleared swaps | 100,011 |
Variation margin on futures contracts | 214,061 |
Unrealized appreciation on foreign currency exchange contracts | 892,528 |
Unrealized appreciation on swap agreements | 908,213 |
Prepaid expenses and other assets | 40,297 |
Total Assets | 368,256,534 |
Liabilities | |
Securities sold short, at value | 21,105,771 |
Options written, at value(3) | 205,047 |
Upfront premiums received from swap agreements | 2,199,914 |
Unrealized depreciation on foreign currency exchange contracts | 1,187,492 |
Collateral from counterparty | 3,723,946 |
Due to broker | 190,000 |
Payables: | |
Investment securities purchased | 13,947,452 |
Dividends on short sales | 2,909 |
Fund shares redeemed | 37,097 |
Accrued expenses: | |
Investment advisory fees | 265,537 |
Shareholder servicing fees | 7,472 |
Trustee fees | 1,495 |
Other expenses | 159,348 |
Total Liabilities | 43,033,480 |
Net Assets | $325,223,054 |
Net Assets Consist of: | |
Paid-in-capital | $326,405,915 |
Distributable earnings (loss) | (1,182,861) |
Net Assets | $325,223,054 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $288,834,671 |
Institutional shares outstanding | 28,807,390 |
Net asset value, offering and redemption price per Institutional share | $ 10.03 |
Net assets applicable to the Investor Class | $ 36,388,383 |
Investor shares outstanding | 3,650,320 |
Net asset value, offering and redemption price per Investor share | $ 9.97 |
(1)Investments in securities of unaffiliated issuers, at cost | $302,950,335 |
Investments in securities of affiliated issuers, at cost | 13,077,766 |
Total investments, at cost | $316,028,101 |
(2)Foreign currency, at cost | $ 8,221 |
(3)Proceeds from securities sold short | $ 20,011,746 |
(3)Premiums received on options written | $ 279,672 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2021 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 63,444 |
Income distributions received from affiliated funds | 1,063 |
Interest | 1,563,586 |
Less foreign taxes withheld | (201) |
Total Investment Income | 1,627,892 |
Expenses | |
Investment advisory fees | 1,354,509 |
Transfer agent fees: | |
Institutional shares | 2,217 |
Investor shares | 7,282 |
Custodian fees | 124,549 |
Shareholder servicing fees: | |
Investor shares | 47,823 |
Accounting and administration fees | 31,444 |
Professional fees | 45,455 |
Shareholder reporting fees: | |
Institutional shares | 267 |
Investor shares | 2,152 |
Trustees expenses | 1,469 |
Line of credit facility fees | 643 |
Dividends on securities sold short | 8,398 |
Other expenses | 40,328 |
Total Expenses | 1,666,536 |
Net Investment Loss | (38,644) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | 2,345,550 |
Investment securities sold short | (16,274) |
Futures transactions | 228,783 |
Swap agreements | (1,619,476) |
Option contracts written | 1,846,443 |
Option contracts purchased | (27,108) |
Forward foreign currency contracts | 154,115 |
Foreign currency | 441,769 |
Net realized gain | 3,353,802 |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | (1,763,725) |
Investment securities sold short | (1,094,025) |
Futures | 2,400,372 |
Swap agreements | (62,015) |
Option contracts written | (117,815) |
Option contracts purchased | (56,233) |
Forward foreign currency contracts | (352,306) |
Non-deliverable bond forward contracts | (29,258) |
Foreign currency | 4,806 |
Net change in unrealized appreciation (depreciation) | (1,070,199) |
Net Realized and Unrealized Gain | 2,283,603 |
Net Increase in Net Assets Resulting from Operations | $ 2,244,959 |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/21 | 12/31/20 | ||
(Unaudited) | |||
Operations: | |||
Net investment income (loss) | $ (38,644) | $ 2,905,432 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | 3,353,802 | (3,833,145) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | (1,070,199) | (533,047) | |
Net increase (decrease) in net assets resulting from operations | 2,244,959 | (1,460,760) | |
Distributions to Shareholders: | |||
Institutional shares | — | (4,362,601) | |
Investor shares | — | (710,735) | |
Total distributions | — | (5,073,336) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 19,460,644 | 34,762,066 | |
Investor shares | 2,830,667 | 13,672,247 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 4,362,239 | |
Investor shares | — | 710,466 | |
Total proceeds from shares sold and reinvested | 22,291,311 | 53,507,018 | |
Value of shares redeemed | |||
Institutional shares | (19,724,346) | (76,935,331) | |
Investor shares | (12,365,835) | (23,353,274) | |
Total value of shares redeemed | (32,090,181) | (100,288,605) | |
Net decrease from capital share transactions(1) | (9,798,870) | (46,781,587) | |
Total decrease in net assets | (7,553,911) | (53,315,683) | |
Net Assets: | |||
Beginning of Period | 332,776,965 | 386,092,648 | |
End of Period | $325,223,054 | $ 332,776,965 |
(1) | See Note 6 in Notes to Financial Statements. |
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/ (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 | |
Strategic Alternatives Fund | ||||||||||||||
Institutional Class | ||||||||||||||
2021(1) | $ 9.96 | $ —† | $ 0.07 | $ 0.07 | $ — | $ — | $ — | $10.03 | 0.70% | $288,835 | 0.99%(2) | 0.99%(2) | 0.01% | 244% |
2020 | 10.13 | 0.08 | (0.10) | (0.02) | (0.14) | (0.01) | (0.15) | 9.96 | (0.20) | 287,088 | 1.10(2) | 1.10(2) | 0.82 | 483 |
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 | ||||||||||||||
2021(1) | $ 9.92 | $(0.01) | $ 0.06 | $ 0.05 | $ — | $ — | $ — | $ 9.97 | 0.50% | $ 36,388 | 1.32%(2) | 1.32%(2) | (0.30)% | 244% |
2020 | 10.13 | 0.06 | (0.11) | (0.05) | (0.15) | (0.01) | (0.16) | 9.92 | (0.51) | 45,689 | 1.36(2) | 1.36(2) | 0.59 | 483 |
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. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2021, all ratios have been annualized with the exception of total return and portfolio turnover which 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%, 0.11% and 0.00% for the period ended December 31, 2017 and for the years 2018, 2019, 2020 and for the six months ended June 30, 2021. |
(3) | Inception date was June 30, 2017. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $ 80,000,000 | $ (80,000,000) | $ — | $ — | ||||
BNP Paribas | 52,000,000 | (52,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 80,000,000 | (80,000,000) | — | — | ||||
Goldman Sachs & Co. | 80,000,000 | (80,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 30,000,000 | (30,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 80,000,000 | (80,000,000) | — | — | ||||
Natixis S.A. | 69,000,000 | (69,000,000) | — | — | ||||
TD Securities USA LLC | 80,000,000 | (80,000,000) | — | — | ||||
Total Repurchase Agreements | $ 551,000,000 | $ (551,000,000) | $ — | $ — | ||||
Low-Duration Bond | ||||||||
Deutsche Bank Securities, Inc. | $ 38,400,000 | $ (38,400,000) | $ — | $ — | ||||
JP Morgan Securities LLC | 38,300,000 | (38,300,000) | — | — | ||||
Total Repurchase Agreements | $ 76,700,000 | $ (76,700,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $ 158,000,000 | $ (158,000,000) | $ — | $ — | ||||
Deutsche Bank Securities, Inc. | 77,500,000 | (77,500,000) | — | — | ||||
JP Morgan Securities LLC | 80,500,000 | (80,500,000) | — | — | ||||
Total Repurchase Agreements | $ 316,000,000 | $ (316,000,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2015 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 453 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 453 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 453 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2025 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 5,715 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 5,715 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 5,715 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2035 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 25,954 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 25,954 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 25,954 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 32,238 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 32,238 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 32,238 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 13,244 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 13,244 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 13,244 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Conservative Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 3,563 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 3,563 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 3,563 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 10,739 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 10,739 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 10,739 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 43,704 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 43,704 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 43,704 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 64,660 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 64,660 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 64,660 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 134,030 | ||
Forward foreign currency contracts | 2,122,962 | 41,094 | ||
Options | — | 31,444 | ||
Swap agreements | — | 3,477 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,122,962 | 210,045 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 134,030 | ||
Total assets and liabilities subject to an ISDA MA | $ 2,122,962 | $ 76,015 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 571,270 | $ — | ||
Forward foreign currency contracts | 3,426,871 | 1,004,780 | ||
Options | 289,920 | 437,891 | ||
Centrally cleared swaps | — | 843,372 | ||
Swap agreements | 5,156 | 5,353 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,293,217 | 2,291,396 | ||
Derivatives not subject to an ISDA MA or similar agreement | 861,190 | 1,281,263 | ||
Total assets and liabilities subject to an ISDA MA | $ 3,432,027 | $ 1,010,133 |
Fund | Assets | Liabilities | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 74,195 | ||
Forward foreign currency contracts | 8,050,217 | 7,841,301 | ||
Options | 1,008 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 8,051,225 | 7,915,496 | ||
Derivatives not subject to an ISDA MA or similar agreement | 1,008 | 74,195 | ||
Total assets and liabilities subject to an ISDA MA | $ 8,050,217 | $ 7,841,301 | ||
Defensive Market Strategies® | ||||
Derivative Financial Instruments: | ||||
Forward foreign currency contracts | $ 174,091 | $ 2,271 | ||
Options | — | 482,758 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 174,091 | 485,029 | ||
Derivatives not subject to an ISDA MA or similar agreement | 174,091 | 485,029 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Global Impact Fund | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 34,788 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 34,788 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 34,788 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 103,950 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 103,950 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 103,950 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 71,940 | $ — | ||
Forward foreign currency contracts | 246,077 | 7,593 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 318,017 | 7,593 | ||
Derivatives not subject to an ISDA MA or similar agreement | 318,017 | 7,593 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 115,170 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 115,170 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 115,170 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 38,080 | $ — | ||
Forward foreign currency contracts | 4,930 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 43,010 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 43,010 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 285,690 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | — | 285,690 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 285,690 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 433,842 | ||
Forward foreign currency contracts | 5,437,485 | 7,197,321 | ||
Swap agreements | 1,709,117 | 842,975 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,146,602 | 8,474,138 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 433,842 | ||
Total assets and liabilities subject to an ISDA MA | $ 7,146,602 | $ 8,040,296 | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 509,012 | ||
Forward foreign currency contracts | 5,242,369 | 2,833,418 | ||
Swap agreements | 1,434,651 | 301,187 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 6,677,020 | 3,643,617 | ||
Derivatives not subject to an ISDA MA or similar agreement | — | 509,012 | ||
Total assets and liabilities subject to an ISDA MA | $ 6,677,020 | $ 3,134,605 | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 11,521 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 11,521 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 11,521 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 214,061 | $ — | ||
Forward foreign currency contracts | 892,528 | 1,187,492 | ||
Options | 54,453 | 205,047 | ||
Centrally cleared swaps | 100,011 | — | ||
Swap agreements | 908,213 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,169,266 | 1,392,539 | ||
Derivatives not subject to an ISDA MA or similar agreement | 314,072 | 93,781 | ||
Total assets and liabilities subject to an ISDA MA | $ 1,855,194 | $ 1,298,758 |
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* | $ 414,482 | $ (3,477) | $ 411,005 | $ 3,477 | $ 414,482 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 1,686,377 | (72,538) | 1,613,839 | (1,200,000) | 413,839 | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 22,103 | — | 22,103 | — | 22,103 | |||||
Total Derivatives | $2,122,962 | $ (76,015) | $ 2,046,947 | $(1,196,523) | $ 850,424 | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 753,416 | $ (469,157) | $ 284,259 | $ — | $ 284,259 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 1,554,035 | (168,335) | 1,385,700 | (1,051,374) | 334,326 | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 1,124,576 | (372,641) | 751,935 | (547,113) | 204,822 | |||||
Total Derivatives | $3,432,027 | $(1,010,133) | $ 2,421,894 | $(1,598,487) | $ 823,407 | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $1,016,599 | $(1,355,888) | $ (339,289) | $ 180,000 | $(159,289) | |||||
Sub-adviser B | ||||||||||
SC | 1,027,083 | (2,900,301) | (1,873,218) | 1,250,000 | (623,218) | |||||
SS | 4,412,477 | (1,369,211) | 3,043,266 | (2,120,000) | 923,266 | |||||
Other Counterparties* | 1,594,058 | (2,215,901) | (621,843) | 458,188 | (163,655) | |||||
7,033,618 | (6,485,413) | 548,205 | (411,812) | 136,393 | ||||||
Total Derivatives | $8,050,217 | $(7,841,301) | $ 208,916 | $ (231,812) | $ (22,896) |
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 | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $7,083,853 | $(8,040,296) | $ (956,443) | $ 1,526,091 | $ 569,648 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 62,749 | — | 62,749 | — | 62,749 | |||||
Total Derivatives | $7,146,602 | $(8,040,296) | $ (893,694) | $ 1,526,091 | $ 632,397 | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $6,677,020 | $(2,731,868) | $3,945,152 | $(3,861,470) | $ 83,682 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (402,737) | (402,737) | — | (402,737) | |||||
Total Derivatives | $6,677,020 | $(3,134,605) | $3,542,415 | $(3,861,470) | $(319,055) | |||||
Strategic Alternatives | ||||||||||
Sub-adviser B | ||||||||||
Other Counterparties* | $ 946,981 | $(1,298,758) | $ (351,777) | $ 377,042 | $ 25,265 | |||||
Sub-adviser E | ||||||||||
Other Counterparties* | 908,213 | — | 908,213 | (908,213) | — | |||||
Total Derivatives | $1,855,194 | $(1,298,758) | $ 556,436 | $ (531,171) | $ 25,265 |
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 | |||
Unrealized gain on non-deliverable bond forward contracts | Unrealized loss on non-deliverable bond forwards contracts | |||
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 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 35,534 | $ 8,701 | $ — | $ — | $ 26,833 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 145,683 | $ 48,752 | $ — | $ — | $ 96,931 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 229,654 | $ 52,413 | $ — | $ — | $ 177,241 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 169,986 | $ 17,930 | $ — | $ — | $ 152,056 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 60,254 | $ 5,220 | $ — | $ — | $ 55,034 | |||||
Conservative Allocation | ||||||||||
Futures | $ 16,119 | $ — | $ — | $ — | $ 16,119 | |||||
Balanced Allocation | ||||||||||
Futures | $ 340,733 | $ 161,843 | $ — | $ — | $ 178,890 | |||||
Growth Allocation | ||||||||||
Futures | $ 288,175 | $ 63,644 | $ — | $ — | $ 224,531 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 238,981 | $ — | $ — | $ — | $ 238,981 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 2,122,962 | $ — | $ 2,122,962 | $ — | $ — | |||||
Futures | 230,070 | 230,070 | — | — | — | |||||
Swaps | 143,498 | 419 | — | 143,079 | — | |||||
Totals | $ 2,496,530 | $ 230,489 | $ 2,122,962 | $ 143,079 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 3,426,871 | $ — | $ 3,426,871 | $ — | $ — | |||||
Futures | 2,791,382 | 2,791,382 | — | — | — | |||||
Purchased Options | 289,920 | 273,376 | 16,544 | — | — | |||||
Swaps | 9,430,833 | 8,524,247 | — | 906,586 | — | |||||
Totals | $ 15,939,006 | $ 11,589,005 | $ 3,443,415 | $ 906,586 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 8,050,217 | $ — | $ 8,050,217 | $ — | $ — | |||||
Futures | 291,053 | 291,053 | — | — | — | |||||
Purchased Options | 1,008 | 1,008 | — | — | — | |||||
Totals | $ 8,342,278 | $ 292,061 | $ 8,050,217 | $ — | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 174,091 | $ — | $ 174,091 | $ — | $ — |
Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Global Impact Fund | ||||||||||
Futures | $ 261,413 | $ 257,442 | $ — | $ — | $ 3,971 | |||||
Equity Index | ||||||||||
Futures | $ 913,639 | $ — | $ — | $ — | $ 913,639 | |||||
Value Equity | ||||||||||
Forwards | $ 246,077 | $ — | $ 246,077 | $ — | $ — | |||||
Futures | 557,568 | — | — | — | 557,568 | |||||
Totals | $ 803,645 | $ — | $ 246,077 | $ — | $ 557,568 | |||||
Growth Equity | ||||||||||
Futures | $ 1,022,601 | $ — | $ — | $ — | $ 1,022,601 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 4,930 | $ — | $ 4,930 | $ — | $ — | |||||
International Equity | ||||||||||
Forwards | $ 5,437,485 | $ — | $ 5,437,485 | $ — | $ — | |||||
Futures | 1,754,653 | — | — | — | 1,754,653 | |||||
Swaps | 1,709,117 | — | — | — | 1,709,117 | |||||
Totals | $ 8,901,255 | $ — | $ 5,437,485 | $ — | $ 3,463,770 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 5,242,369 | $ — | $ 5,242,369 | $ — | $ — | |||||
Futures | 311,048 | — | — | — | 311,048 | |||||
Swaps | 1,434,651 | — | — | — | 1,434,651 | |||||
Totals | $ 6,988,068 | $ — | $ 5,242,369 | $ — | $ 1,745,699 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 892,528 | $ — | $ 892,528 | $ — | $ — | |||||
Futures | 2,087,630 | 36,610 | 1,459,596 | — | 591,424 | |||||
Purchased Options | 54,453 | 54,453 | — | — | — | |||||
Swaps | 2,741,897 | 1,833,684 | — | — | 908,213 | |||||
Totals | $ 5,776,508 | $ 1,924,747 | $ 2,352,124 | $ — | $ 1,499,637 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 25,238 | $ — | $ — | $ — | $ 25,238 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 96,012 | $ — | $ — | $ — | $ 96,012 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 175,039 | $ — | $ — | $ — | $ 175,039 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 149,570 | $ — | $ — | $ — | $ 149,570 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2055 | ||||||||||
Futures | $ 49,952 | $ — | $ — | $ — | $ 49,952 | |||||
Conservative Allocation | ||||||||||
Futures | $ 19,257 | $ 8,034 | $ — | $ — | $ 11,223 | |||||
Balanced Allocation | ||||||||||
Futures | $ 178,720 | $ 14,341 | $ — | $ — | $ 164,379 | |||||
Growth Allocation | ||||||||||
Futures | $ 206,316 | $ 6,405 | $ — | $ — | $ 199,911 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 211,076 | $ — | $ — | $ — | $ 211,076 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 41,094 | $ — | $ 41,094 | $ — | $ — | |||||
Futures | 1,447,076 | 1,447,076 | — | — | — | |||||
Written Options | 31,444 | 16,084 | — | 15,360 | — | |||||
Swaps | 47,828 | 20,306 | — | 27,522 | — | |||||
Totals | $ 1,567,442 | $ 1,483,466 | $ 41,094 | $ 42,882 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 1,004,780 | $ — | $ 1,004,780 | $ — | $ — | |||||
Futures | 2,695,687 | 2,695,687 | — | — | — | |||||
Written Options | 437,891 | 437,891 | — | — | — | |||||
Swaps | 6,283,132 | 6,259,173 | — | 23,959 | — | |||||
Totals | $ 10,421,490 | $ 9,392,751 | $ 1,004,780 | $ 23,959 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 7,841,301 | $ — | $ 7,841,301 | $ — | $ — | |||||
Futures | 917,924 | 917,924 | — | — | — | |||||
Swaps | 177,039 | — | — | 177,039 | — | |||||
Totals | $ 8,936,264 | $ 917,924 | $ 7,841,301 | $ 177,039 | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 2,271 | $ — | $ 2,271 | $ — | $ — | |||||
Written Options | 482,758 | — | — | — | 482,758 | |||||
Totals | $ 485,029 | $ — | $ 2,271 | $ — | $ 482,758 | |||||
Global Impact Fund | ||||||||||
Futures | $ 216,207 | $ 58,992 | $ 12,642 | $ — | $ 144,573 | |||||
Value Equity | ||||||||||
Forwards | $ 7,593 | $ — | $ 7,593 | $ — | $ — | |||||
Small Cap Equity | ||||||||||
Futures | $ 192,268 | $ — | $ — | $ — | $ 192,268 | |||||
International Equity Index | ||||||||||
Futures | $ 952,669 | $ — | $ — | $ — | $ 952,669 |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ 7,197,321 | $ — | $ 7,197,321 | $ — | $ — | |||||
Futures | 2,503,054 | — | — | — | 2,503,054 | |||||
Swaps | 842,975 | — | — | — | 842,975 | |||||
Totals | $ 10,543,350 | $ — | $ 7,197,321 | $ — | $ 3,346,029 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 2,833,418 | $ — | $ 2,833,418 | $ — | $ — | |||||
Futures | 142,262 | — | — | — | 142,262 | |||||
Swaps | 301,187 | — | — | — | 301,187 | |||||
Totals | $ 3,276,867 | $ — | $ 2,833,418 | $ — | $ 443,449 | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 103,971 | $ — | $ — | $ — | $ 103,971 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 1,187,492 | $ — | $ 1,187,492 | $ — | $ — | |||||
Futures | 35,929 | 35,929 | — | — | — | |||||
Written Options | 205,047 | 111,266 | — | — | 93,781 | |||||
Swaps | 2,543,935 | 2,543,935 | — | — | — | |||||
Totals | $ 3,972,403 | $ 2,691,130 | $ 1,187,492 | $ — | $ 93,781 |
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 | ||
Net change in unrealized appreciation (depreciation) on: Non-deliverable bond forward contracts | ||
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 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ 323,445 | $ (110,772) | $ — | $ — | $ 434,217 | |||||
MyDestination 2025 | ||||||||||
Futures | $ 1,397,322 | $ (327,497) | $ — | $ — | $ 1,724,819 | |||||
MyDestination 2035 | ||||||||||
Futures | $ 2,471,676 | $ (236,954) | $ — | $ — | $ 2,708,630 | |||||
MyDestination 2045 | ||||||||||
Futures | $ 2,266,991 | $ (85,267) | $ — | $ — | $ 2,352,258 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 878,857 | $ (22,469) | $ — | $ — | $ 901,326 | |||||
Conservative Allocation | ||||||||||
Futures | $ 309,487 | $ (5,640) | $ — | $ — | $ 315,127 | |||||
Balanced Allocation | ||||||||||
Futures | $ 1,126,433 | $ (515,977) | $ — | $ — | $ 1,642,410 | |||||
Growth Allocation | ||||||||||
Futures | $ 2,327,319 | $ (198,825) | $ — | $ — | $ 2,526,144 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 3,420,334 | $ — | $ — | $ — | $ 3,420,334 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ (3,205,290) | $ — | $ (3,205,290) | $ — | $ — | |||||
Futures | 1,583,242 | 1,583,242 | — | — | — | |||||
Purchased Options | (8,539) | (8,539) | — | — | — | |||||
Swaps | (75,306) | 125,759 | — | (201,065) | — | |||||
Written Options | 126,554 | 122,074 | — | 4,480 | — | |||||
Totals | $ (1,579,339) | $ 1,822,536 | $ (3,205,290) | $ (196,585) | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ (751,306) | $ — | $ (751,306) | $ — | $ — | |||||
Futures | (8,425,804) | (8,425,804) | — | — | — | |||||
Purchased Options | (1,527,369) | (1,542,437) | 15,068 | — | — | |||||
Swaps | (312,724) | (1,477,937) | — | 1,165,213 | — | |||||
Written Options | 2,076,059 | 2,072,986 | 3,073 | — | — | |||||
Totals | $ (8,941,144) | $ (9,373,192) | $ (733,165) | $ 1,165,213 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (5,585,977) | $ — | $ (5,585,977) | $ — | $ — | |||||
Futures | 3,708,168 | 3,708,168 | — | — | — | |||||
Purchased Options | (208,315) | (208,315) | — | — | — | |||||
Swaps | (291,474) | — | — | (291,474) | — | |||||
Totals | $ (2,377,598) | $ 3,499,853 | $ (5,585,977) | $ (291,474) | $ — |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 1,223,817 | $ — | $ 1,223,817 | $ — | $ — | |||||
Written Options | 11,777,014 | — | — | — | 11,777,014 | |||||
Totals | $ 13,000,831 | $ — | $ 1,223,817 | $ — | $ 11,777,014 | |||||
Global Impact Fund | ||||||||||
Futures | $ 713,364 | $ (15,309) | $ 28,561 | $ — | $ 700,112 | |||||
Equity Index | ||||||||||
Futures | $ 8,103,989 | $ — | $ — | $ — | $ 8,103,989 | |||||
Value Equity | ||||||||||
Forwards | $ 618,921 | $ — | $ 618,921 | $ — | $ — | |||||
Futures | 5,783,505 | — | — | — | 5,783,505 | |||||
Totals | $ 6,402,426 | $ — | $ 618,921 | $ — | $ 5,783,505 | |||||
Growth Equity | ||||||||||
Futures | $ 9,684,128 | $ — | $ — | $ — | $ 9,684,128 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 26,045 | $ — | $ 26,045 | $ — | $ — | |||||
Futures | 4,848,858 | — | — | — | 4,848,858 | |||||
Totals | $ 4,874,903 | $ — | $ 26,045 | $ — | $ 4,848,858 | |||||
International Equity Index | ||||||||||
Futures | $ 4,874,947 | $ — | $ — | $ — | $ 4,874,947 | |||||
International Equity | ||||||||||
Forwards | $ 1,215,601 | $ — | $ 1,215,601 | $ — | $ — | |||||
Futures | 9,110,490 | — | — | — | 9,110,490 | |||||
Swaps | 5,977,671 | — | — | — | 5,977,671 | |||||
Totals | $ 16,303,762 | $ — | $ 1,215,601 | $ — | $ 15,088,161 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,530,232 | $ — | $ 1,530,232 | $ — | $ — | |||||
Futures | 7,256,488 | — | — | — | 7,256,488 | |||||
Swaps | 2,727,477 | — | — | — | 2,727,477 | |||||
Totals | $ 11,514,197 | $ — | $ 1,530,232 | $ — | $ 9,983,965 | |||||
Global Real Estate Securities | ||||||||||
Forwards | $ 268 | $ — | $ 268 | $ — | $ — | |||||
Futures | 1,691,122 | — | — | — | 1,691,122 | |||||
Totals | $ 1,691,390 | $ — | $ 268 | $ — | $ 1,691,122 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 154,115 | $ — | $ 154,115 | $ — | $ — | |||||
Futures | 228,783 | (97,672) | 3,042 | — | 323,413 | |||||
Purchased Options | (27,108) | (27,108) | — | — | — | |||||
Swaps | (1,619,476) | (103,933) | — | — | (1,515,543) | |||||
Written Options | 1,846,443 | 395,928 | — | — | 1,450,515 | |||||
Totals | $ 582,757 | $ 167,215 | $ 157,157 | $ — | $ 258,385 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2015 | ||||||||||
Futures | $ (41,359) | $ 2,343 | $ — | $ — | $ (43,702) | |||||
MyDestination 2025 | ||||||||||
Futures | $ (172,972) | $ 31,597 | $ — | $ — | $ (204,569) | |||||
MyDestination 2035 | ||||||||||
Futures | $ (263,518) | $ 46,565 | $ — | $ — | $ (310,083) | |||||
MyDestination 2045 | ||||||||||
Futures | $ (257,739) | $ 15,676 | $ — | $ — | $ (273,415) | |||||
MyDestination 2055 | ||||||||||
Futures | $ (103,918) | $ 4,388 | $ — | $ — | $ (108,306) | |||||
Conservative Allocation | ||||||||||
Futures | $ (43,607) | $ (9,312) | $ — | $ — | $ (34,295) | |||||
Balanced Allocation | ||||||||||
Futures | $ (193,823) | $ 159,464 | $ — | $ — | $ (353,287) | |||||
Growth Allocation | ||||||||||
Futures | $ (293,911) | $ 57,853 | $ — | $ — | $ (351,764) | |||||
Aggressive Allocation | ||||||||||
Futures | $ (304,339) | $ — | $ — | $ — | $ (304,339) | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 4,140,152 | $ — | $ 4,140,152 | $ — | $ — | |||||
Futures | (1,442,502) | (1,442,502) | — | — | — | |||||
Purchased Options | 1,458 | 1,458 | — | — | — | |||||
Swaps | 1,142,134 | 1,273,818 | — | (131,684) | — | |||||
Written Options | 8,007 | 6,661 | — | 1,346 | — | |||||
Totals | $ 3,849,249 | $ (160,565) | $ 4,140,152 | $ (130,338) | $ — |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 3,831,303 | $ — | $ 3,831,303 | $ — | $ — | |||||
Futures | 924,191 | 1,058,325 | (134,134) | — | — | |||||
Purchased Options | (254,769) | 21,657 | (276,426) | — | — | |||||
Swaps | (663,511) | (666,832) | — | 3,321 | — | |||||
Written Options | (223,735) | (223,735) | — | — | — | |||||
Totals | $ 3,613,479 | $ 189,415 | $ 3,420,743 | $ 3,321 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 2,653,706 | $ — | $ 2,653,706 | $ — | $ — | |||||
Futures | (831,114) | (831,114) | — | — | — | |||||
Purchased Options | (827) | (827) | — | — | — | |||||
Swaps | (177,039) | — | — | (177,039) | — | |||||
Totals | $ 1,644,726 | $ (831,941) | $ 2,653,706 | $ (177,039) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 145,823 | $ — | $ 145,823 | $ — | $ — | |||||
Written Options | (210,076) | — | — | — | (210,076) | |||||
Totals | $ (64,253) | $ — | $ 145,823 | $ — | $ (210,076) | |||||
Global Impact Fund | ||||||||||
Futures | $ 45,206 | $ 198,450 | $ (12,642) | $ — | $ (140,602) | |||||
Equity Index | ||||||||||
Futures | $ (66,071) | $ — | $ — | $ — | $ (66,071) | |||||
Value Equity | ||||||||||
Forwards | $ 474,075 | $ — | $ 474,075 | $ — | $ — | |||||
Futures | 124,733 | — | — | — | 124,733 | |||||
Totals | $ 598,808 | $ — | $ 474,075 | $ — | $ 124,733 | |||||
Growth Equity | ||||||||||
Futures | $ (352,471) | $ — | $ — | $ — | $ (352,471) | |||||
Small Cap Equity | ||||||||||
Forwards | $ 4,930 | $ — | $ 4,930 | $ — | $ — | |||||
Futures | (786,727) | — | — | — | (786,727) | |||||
Totals | $ (781,797) | $ — | $ 4,930 | $ — | $ (786,727) | |||||
International Equity Index | ||||||||||
Futures | $ (1,416,311) | $ — | $ — | $ — | $ (1,416,311) | |||||
International Equity | ||||||||||
Forwards | $ (3,416,173) | $ — | $ (3,416,173) | $ — | $ — | |||||
Futures | (3,187,295) | — | — | — | (3,187,295) | |||||
Swaps | 3,246,559 | — | — | — | 3,246,559 | |||||
Totals | $ (3,356,909) | $ — | $ (3,416,173) | $ — | $ 59,264 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/21 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 2,396,667 | $ — | $ 2,396,667 | $ — | $ — | |||||
Futures | (2,233,757) | — | — | — | (2,233,757) | |||||
Swaps | (275,830) | — | — | — | (275,830) | |||||
Totals | $ (112,920) | $ — | $ 2,396,667 | $ — | $ (2,509,587) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ (204,889) | $ — | $ — | $ — | $ (204,889) | |||||
Strategic Alternatives | ||||||||||
Forwards | $ (352,306) | $ — | $ (352,306) | $ — | $ — | |||||
Futures | 2,400,372 | 349,352 | 1,459,596 | — | 591,424 | |||||
Purchased Options | (56,233) | — | — | — | (56,233) | |||||
Swaps | (62,015) | (970,228) | — | — | 908,213 | |||||
Written Options | (117,815) | — | — | — | (117,815) | |||||
Non-deliverable Bond Forwards | (29,258) | (29,258) | — | — | — | |||||
Totals | $ 1,782,745 | $ (650,134) | $ 1,107,290 | $ — | $ 1,325,589 |
Fund | Number of transactions | Average notional market value of contracts | |
Low-Duration Bond | 205 | $3,609,669 | |
Medium-Duration Bond | 371 | 2,874,420 | |
Global Bond | 1,290 | 2,158,381 | |
Defensive Market Strategies® | 67 | 2,636,616 | |
Value Equity | 105 | 2,823,864 | |
Small Cap Equity | 12 | 293,598 | |
International Equity | 1,738 | 1,437,770 | |
Emerging Markets Equity | 2,508 | 877,204 | |
Global Real Estate Securities | 4 | 302,012 | |
Strategic Alternatives | 2,692 | 1,528,471 |
Fund | Long average notional market value of contracts | Short average notional market value of contracts | |
MyDestination 2015 | $ 731,714 | $ — | |
MyDestination 2025 | 1,363,348 | — | |
MyDestination 2035 | 1,244,808 | — | |
MyDestination 2045 | 901,860 | — | |
MyDestination 2055 | 338,005 | — | |
Conservative Allocation | 966,897 | — | |
Balanced Allocation | 2,437,753 | 312,125 | |
Growth Allocation | 1,539,263 | — | |
Aggressive Allocation | 1,561,680 | — | |
Low-Duration Bond | 17,210,135 | 2,445,310 | |
Medium-Duration Bond | 5,917,148 | 4,073,252 | |
Global Bond | 6,777,246 | 7,249,304 | |
Global Impact Fund | 1,082,188 | 3,224,043 | |
Equity Index | 10,854,490 | — | |
Value Equity | 10,078,286 | — | |
Growth Equity | 17,246,774 | — | |
Small Cap Equity | 4,554,054 | — | |
International Equity Index | 1,612,954 | — | |
International Equity | 2,236,047 | 2,328,329 | |
Emerging Markets Equity | 1,536,223 | 1,076,052 | |
Global Real Estate Securities | 1,903,178 | — | |
Strategic Alternatives | 1,774,359 | 1,553,582 |
Fund | Number of transactions | Average premiums paid and received | |
Low-Duration Bond | 44 | $ 3,651 | |
Medium-Duration Bond | 364 | 13,899 | |
Global Bond | 33 | 7,029 | |
Defensive Market Strategies® | 357 | 39,845 | |
Strategic Alternatives | 129 | 22,495 |
Fund | Buy protection average notional market value | Sell protection average notional market value | |
Low-Duration Bond | $1,928,571 | $ — | |
Medium-Duration Bond | 70,000 | 2,421,112 | |
Global Bond | 4,151,824 | — |
Fund | Paid fixed rate average notional market value | Received fixed rate average notional market value | |
Low-Duration Bond | $4,265,000 | $3,396,619 | |
Medium-Duration Bond | 2,740,769 | 4,546,530 | |
Strategic Alternatives | 2,293,371 | 2,598,550 |
Fund | Average notional market value of transactions |
International Equity | $540,890 |
Emerging Markets Equity | 645,439 |
Strategic Alternatives | 177,600 |
Fund | Average notional market value of contracts |
Strategic Alternatives | $930,617 |
Fund | Advisory Fees | Sub-Adviser Fees | ||
MyDestination 2015 | 0.10% | 0.01% | ||
MyDestination 2025 | 0.10% | 0.00% | ||
MyDestination 2035 | 0.10% | 0.00% | ||
MyDestination 2045 | 0.10% | 0.00% | ||
MyDestination 2055 | 0.10% | 0.00% | ||
Conservative Allocation | 0.10% | 0.00% | ||
Balanced Allocation | 0.10% | 0.00% | ||
Growth Allocation | 0.10% | 0.00% | ||
Aggressive Allocation | 0.10% | 0.00% | ||
Money Market | 0.07% | 0.04% | ||
Low-Duration Bond | 0.11% | 0.18% | ||
Medium-Duration Bond | 0.13% | 0.18% | ||
Global Bond | 0.25% | 0.22% | ||
Defensive Market Strategies® | 0.33% | 0.29% | ||
Global Impact Fund | 0.36% | 0.27% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity | 0.33% | 0.27% | ||
Growth Equity | 0.33% | 0.32% | ||
Small Cap Equity | 0.33% | 0.52% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.44% | ||
Emerging Markets Equity | 0.33% | 0.52% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.44% |
For the Period January 1, 2021 to April 30, 2021 | For the Period May 1, 2021 to June 30, 2021 | |||||||
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% | ||||
International Equity Index | 0.22% | N/A | 0.22% | N/A | ||||
Emerging Markets Equity | N/A | 1.57% | N/A | N/A | ||||
Strategic Alternatives | N/A | N/A | 1.08% | 1.40% |
Institutional Class | Investor Class | |||||||||||||||
Fund | 2021 | 2022 | 2023 | 2024 | 2021 | 2022 | 2023 | 2024 | ||||||||
MyDestination 2015 | $23,338 | $ 85,750 | $114,196 | $24,604 | $106,157 | $356,438 | $368,132 | $61,641 | ||||||||
MyDestination 2025 | 34,998 | 107,568 | 153,908 | 28,739 | 139,632 | 352,125 | 415,281 | 69,815 | ||||||||
MyDestination 2035 | — | — | — | — | — | — | — | — | ||||||||
MyDestination 2045 | — | — | — | — | — | — | — | — | ||||||||
MyDestination 2055 | 27,146 | 22,333 | 19,316 | 1,272 | 90,006 | 40,211 | 29,868 | 138 | ||||||||
International Equity Index | — | 13,612 | 25,539 | — | N/A | N/A | N/A | N/A | ||||||||
Strategic Alternatives | — | — | — | — | — | — | — | — |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $13,671 | |
Growth Equity | 7,463 | |
Small Cap Equity | 42,477 | |
Emerging Markets Equity | 88 | |
Global Real Estate Securities | 2,265 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.57% | 1.52% | 1.83% | 1.21% | 0.44% | |||||||
Low-Duration Bond | 10.94 | 12.89 | — | — | — | |||||||
Medium-Duration Bond | 7.71 | 18.00 | 10.80 | 3.84 | 0.91 | |||||||
Global Bond | 6.41 | 15.71 | 10.56 | 3.75 | 0.89 | |||||||
Defensive Market Strategies® | 5.64 | 13.87 | 6.70 | 3.46 | 1.33 | |||||||
Equity Index | 4.41 | 13.36 | 15.90 | 15.11 | 6.12 | |||||||
Small Cap Equity | 1.85 | 5.64 | 6.73 | 6.45 | 2.57 | |||||||
International Equity Index | 7.85 | 23.26 | 27.36 | 26.28 | 10.55 | |||||||
Emerging Markets Equity | 3.26 | 10.00 | 11.90 | 11.47 | 4.48 | |||||||
Global Real Estate Securities | 2.28 | 6.34 | 6.73 | 5.86 | 2.29 | |||||||
Strategic Alternatives | 6.85 | 9.63 | 1.02 | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.46% | 2.28% | 2.06% | 1.75% | ||||||
Low-Duration Bond | 24.58 | 6.27 | 2.17 | — | ||||||
Medium-Duration Bond | 2.98 | 20.19 | 7.03 | — | ||||||
Global Bond | 2.94 | 22.41 | 7.85 | — | ||||||
Defensive Market Strategies® | 2.98 | 12.79 | 4.54 | — | ||||||
Value Equity | 2.16 | 12.70 | 18.71 | 24.27 | ||||||
Growth Equity | 1.51 | 8.38 | 12.36 | 15.98 | ||||||
Small Cap Equity | 0.73 | 4.05 | 5.92 | 7.67 | ||||||
International Equity | 2.28 | 13.07 | 19.40 | 25.25 |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Emerging Markets Equity | 1.56% | 8.40% | 12.97% | 16.65% | ||||||
Global Real Estate Securities | 2.26 | 12.24 | 13.71 | — | ||||||
Strategic Alternatives | 8.58 | 19.92 | 10.06 | — | ||||||
Global Impact | 9.74 | 40.17 | 32.02 | — |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/21 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 9,284 | $ 93,079 | $ 92,735 | $ — | $ (1) | $ 9,627 | $ — | $ — | |||||||
Low-Duration Bond | 112,047 | 9,865 | 3,000 | 41 | 125 | 119,078 | — | — | |||||||
Medium-Duration Bond | 188,415 | 31,202 | 26,822 | 533 | (5,562) | 187,766 | 1,180 | 322 | |||||||
Global Bond | 37,775 | 3,429 | 736 | 62 | (778) | 39,752 | 347 | 36 | |||||||
Defensive Market Strategies® | 72,416 | 4,679 | 1,453 | 1,453 | 3,513 | 80,608 | 276 | 1,453 | |||||||
Equity Index | 113,332 | 13,695 | 16,282 | 5,390 | 10,838 | 126,973 | 684 | 1,282 | |||||||
Small Cap Equity | 13,824 | 700 | 1,500 | 267 | 2,264 | 15,555 | — | — | |||||||
International Equity Index | 60,312 | 8,000 | 6,500 | 925 | 4,176 | 66,913 | — | — | |||||||
Emerging Markets Equity | 26,523 | 2,000 | 3,000 | 864 | 1,596 | 27,983 | — | — | |||||||
Global Real Estate Securities | 5,509 | 535 | — | — | 890 | 6,934 | 135 | — | |||||||
Strategic Alternatives | 20,611 | 1,520 | — | — | 155 | 22,286 | — | — | |||||||
$ 660,048 | $ 168,704 | $152,028 | $ 9,535 | $ 17,216 | $ 703,475 | $2,622 | $3,093 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 26,446 | $ 86,187 | $ 86,818 | $ — | $ — | $ 25,815 | $ — | $ — | |||||||
Low-Duration Bond | 110,274 | 29,775 | — | — | 166 | 140,215 | — | — | |||||||
Medium-Duration Bond | 400,140 | 50,801 | 1,800 | 15 | (11,119) | 438,037 | 2,618 | 684 | |||||||
Global Bond | 89,006 | 10,082 | — | — | (1,710) | 97,378 | 822 | 86 | |||||||
Defensive Market Strategies® | 179,947 | 9,453 | — | — | 8,856 | 198,256 | 680 | 3,573 | |||||||
Equity Index | 356,143 | 10,484 | 29,000 | 7,905 | 39,026 | 384,558 | 2,082 | 3,902 | |||||||
Small Cap Equity | 44,282 | 2,100 | 7,000 | 808 | 7,098 | 47,288 | — | — | |||||||
International Equity Index | 191,791 | 3,500 | 13,000 | 1,781 | 14,250 | 198,322 | — | — | |||||||
Emerging Markets Equity | 82,255 | 5,250 | 9,000 | 2,363 | 4,973 | 85,841 | — | — | |||||||
Global Real Estate Securities | 17,708 | 375 | 1,500 | 103 | 2,606 | 19,292 | 374 | — | |||||||
Strategic Alternatives | 28,222 | 2,900 | — | — | 214 | 31,336 | — | — | |||||||
$1,526,214 | $ 210,907 | $148,118 | $12,975 | $ 64,360 | $1,666,338 | $6,576 | $8,245 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/21 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 26,107 | $ 77,427 | $ 72,500 | $ — | $ — | $ 31,034 | $ — | $ — | |||||||
Medium-Duration Bond | 214,587 | 54,280 | — | — | (5,902) | 262,965 | 1,510 | 386 | |||||||
Global Bond | 50,996 | 15,465 | — | — | (1,002) | 65,459 | 522 | 55 | |||||||
Defensive Market Strategies® | 74,913 | 17,048 | — | — | 3,882 | 95,843 | 329 | 1,728 | |||||||
Equity Index | 400,025 | 15,954 | 12,500 | 5,759 | 48,342 | 457,580 | 2,472 | 4,634 | |||||||
Small Cap Equity | 49,849 | 3,973 | 6,500 | 901 | 8,187 | 56,410 | — | — | |||||||
International Equity Index | 216,992 | 5,957 | 8,000 | 2,028 | 16,316 | 233,293 | — | — | |||||||
Emerging Markets Equity | 91,962 | 11,500 | 9,790 | 2,570 | 5,890 | 102,132 | — | — | |||||||
Global Real Estate Securities | 16,768 | 1,101 | — | — | 2,629 | 20,498 | 398 | — | |||||||
Strategic Alternatives | 2,548 | 950 | 205 | 1 | 17 | 3,311 | — | — | |||||||
$1,144,747 | $ 203,655 | $109,495 | $11,259 | $ 78,359 | $1,328,525 | $5,231 | $6,803 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 19,105 | $ 51,270 | $ 49,740 | $ — | $ — | $ 20,635 | $ — | $ — | |||||||
Medium-Duration Bond | 76,230 | 19,225 | — | — | (2,076) | 93,379 | 538 | 137 | |||||||
Global Bond | 18,246 | 5,362 | — | — | (345) | 23,263 | 185 | 19 | |||||||
Defensive Market Strategies® | 41,072 | 6,306 | — | — | 2,106 | 49,484 | 170 | 892 | |||||||
Equity Index | 371,295 | 18,464 | 6,000 | 2,732 | 48,436 | 434,927 | 2,342 | 4,390 | |||||||
Small Cap Equity | 46,852 | 4,500 | 5,976 | 1,056 | 7,625 | 54,057 | — | — | |||||||
International Equity Index | 202,512 | 10,314 | 6,000 | 1,302 | 15,967 | 224,095 | — | — | |||||||
Emerging Markets Equity | 85,829 | 13,500 | 8,895 | 2,418 | 5,587 | 98,439 | — | — | |||||||
Global Real Estate Securities | 14,680 | 1,346 | 527 | (21) | 2,364 | 17,842 | 346 | — | |||||||
$ 875,821 | $ 130,287 | $ 77,138 | $ 7,487 | $ 79,664 | $1,016,121 | $3,581 | $5,438 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 7,667 | $ 31,334 | $ 31,550 | $ — | $ — | $ 7,451 | $ — | $ — | |||||||
Medium-Duration Bond | 17,627 | 5,445 | 462 | 18 | (505) | 22,123 | 127 | 32 | |||||||
Global Bond | 4,404 | 1,261 | 78 | — | (84) | 5,503 | 44 | 5 | |||||||
Defensive Market Strategies® | 15,424 | 2,930 | 107 | 11 | 766 | 19,024 | 65 | 343 | |||||||
Equity Index | 142,573 | 14,917 | 1,414 | 549 | 19,376 | 176,001 | 948 | 1,776 | |||||||
Small Cap Equity | 17,459 | 3,559 | 2,782 | 356 | 2,978 | 21,570 | — | — | |||||||
International Equity Index | 75,238 | 9,152 | 1,107 | 187 | 6,524 | 89,994 | — | — | |||||||
Emerging Markets Equity | 32,382 | 6,065 | 3,014 | 882 | 2,168 | 38,483 | — | — | |||||||
Global Real Estate Securities | 5,846 | 675 | 465 | 25 | 884 | 6,965 | 135 | — | |||||||
$ 318,620 | $ 75,338 | $ 40,979 | $ 2,028 | $ 32,107 | $ 387,114 | $1,319 | $2,156 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 8,807 | $ 41,868 | $ 42,781 | $ — | $ — | $ 7,894 | $ — | $ — | |||||||
Low-Duration Bond | 262,080 | 6,000 | 1,000 | 14 | 373 | 267,467 | — | — | |||||||
Medium-Duration Bond | 68,319 | 6,052 | — | — | (1,865) | 72,506 | 437 | 115 | |||||||
Global Bond | 17,340 | 1,173 | — | — | (315) | 18,198 | 156 | 17 | |||||||
Defensive Market Strategies® | 40,752 | 915 | 1,000 | 215 | 1,747 | 42,629 | 146 | 769 | |||||||
Global Impact | — | 16,000 | — | — | 944 | 16,944 | — | — | |||||||
Value Equity | 32,737 | 540 | 8,100 | 278 | 3,950 | 29,405 | 309 | 231 | |||||||
Small Cap Equity | 6,421 | — | 1,401 | 402 | 715 | 6,137 | — | — | |||||||
Growth Equity | 31,877 | 632 | 3,500 | 637 | 2,223 | 31,869 | — | 631 | |||||||
Emerging Markets Equity | 14,137 | — | 2,000 | 774 | 468 | 13,379 | — | — | |||||||
International Equity | 34,598 | — | 7,000 | 1,087 | 1,583 | 30,268 | — | — | |||||||
Global Real Estate Securities | 6,684 | 133 | 1,000 | 85 | 969 | 6,871 | 134 | — | |||||||
Strategic Alternatives | 26,728 | 1,000 | — | — | 191 | 27,919 | — | — | |||||||
$ 550,480 | $ 74,313 | $ 67,782 | $ 3,492 | $ 10,983 | $ 571,486 | $1,182 | $1,763 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 35,198 | $ 116,571 | $113,036 | $ — | $ — | $ 38,733 | $ — | $ — | |||||||
Low-Duration Bond | 103,592 | 2,000 | 37,600 | 538 | (357) | 68,173 | — | — | |||||||
Medium-Duration Bond | 385,477 | 118,719 | 800 | — | (12,041) | 491,355 | 2,942 | 777 | |||||||
Global Bond | 137,177 | 9,342 | 5,000 | 92 | (2,709) | 138,903 | 1,218 | 124 | |||||||
Defensive Market Strategies® | 171,724 | 3,922 | 1,000 | 173 | 7,989 | 182,808 | 627 | 3,295 | |||||||
Global Impact | — | 66,000 | — | — | 3,894 | 69,894 | — | — | |||||||
Value Equity | 181,702 | 6,128 | 38,000 | (3,230) | 26,646 | 173,245 | 1,791 | 1,337 | |||||||
Small Cap Equity | 35,903 | — | 8,000 | 2,293 | 3,768 | 33,964 | — | — | |||||||
Growth Equity | 177,367 | 11,021 | 28,000 | 9,587 | 6,787 | 176,761 | — | 3,621 | |||||||
Extended-Duration Bond | 69,462 | — | 68,234 | 1,045 | (2,273) | — | — | — | |||||||
Emerging Markets Equity | 79,096 | — | 14,000 | 3,802 | 3,236 | 72,134 | — | — | |||||||
International Equity | 193,375 | — | 35,000 | (558) | 15,482 | 173,300 | — | — | |||||||
Global Real Estate Securities | 33,524 | 723 | 2,000 | 42 | 4,959 | 37,247 | 723 | — | |||||||
Strategic Alternatives | 64,381 | — | — | — | 452 | 64,834 | — | — | |||||||
$1,667,978 | $ 334,426 | $350,670 | $13,784 | $ 55,833 | $1,721,351 | $7,301 | $9,154 |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 26,309 | $ 92,445 | $ 83,665 | $ — | $ — | $ 35,089 | $ — | $ — | |||||||
Low-Duration Bond | 35,515 | 2,000 | 14,000 | 250 | (195) | 23,570 | — | — | |||||||
Medium-Duration Bond | 136,994 | 39,284 | 1,000 | (1) | (4,138) | 171,139 | 1,016 | 268 | |||||||
Global Bond | 46,960 | 5,465 | 2,900 | 55 | (925) | 48,655 | 422 | 43 | |||||||
Defensive Market Strategies® | 59,721 | 2,292 | — | — | 2,879 | 64,892 | 222 | 1,170 | |||||||
Global Impact | — | 52,700 | — | — | 3,021 | 55,721 | — | — | |||||||
Value Equity | 252,615 | 8,126 | 39,250 | (5,658) | 39,442 | 255,275 | 2,649 | 1,977 | |||||||
Small Cap Equity | 48,319 | — | 7,200 | 1,488 | 7,083 | 49,690 | — | — | |||||||
Growth Equity | 246,973 | 18,341 | 28,700 | 5,139 | 18,843 | 260,596 | — | 5,341 | |||||||
Extended-Duration Bond | 24,154 | 2,000 | 25,728 | 1,000 | (1,426) | — | — | — | |||||||
Emerging Markets Equity | 108,579 | 6,000 | 13,000 | 3,472 | 6,311 | 111,362 | — | — | |||||||
International Equity | 265,837 | 4,000 | 33,900 | (417) | 21,683 | 257,203 | — | — | |||||||
Global Real Estate Securities | 39,588 | 2,810 | 6,900 | 185 | 6,052 | 41,735 | 810 | — | |||||||
Strategic Alternatives | 31,518 | 1,000 | — | — | 229 | 32,747 | — | — | |||||||
$1,323,082 | $ 236,463 | $256,243 | $ 5,513 | $ 98,859 | $1,407,674 | $5,119 | $8,799 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 19,020 | $ 49,908 | $ 39,182 | $ — | $ — | $ 29,746 | $ — | $ — | |||||||
Value Equity | 303,980 | 13,975 | 29,121 | (3,568) | 45,941 | 331,207 | 3,421 | 2,554 | |||||||
Small Cap Equity | 61,249 | 1,000 | 8,674 | 809 | 9,964 | 64,348 | — | — | |||||||
Growth Equity | 304,001 | 23,897 | 21,494 | 3,942 | 26,761 | 337,107 | — | 6,897 | |||||||
Emerging Markets Equity | 131,199 | 8,000 | 8,083 | 2,166 | 9,706 | 142,988 | — | — | |||||||
International Equity | 320,381 | 2,000 | 14,129 | (326) | 26,879 | 334,805 | — | — | |||||||
$1,139,830 | $ 98,780 | $120,683 | $ 3,023 | $119,251 | $1,240,201 | $3,421 | $9,451 | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 34,879 | $ 359,943 | $373,155 | $ — | $ — | $ 21,667 | $ — | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 118,803 | $1,083,327 | $928,082 | $ — | $ — | $ 274,048 | $ — | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 46,167 | $ 192,626 | $203,641 | $ — | $ — | $ 35,152 | $ — | $ — | |||||||
Defensive Market Strategies® | |||||||||||||||
Money Market | $ 85,866 | $ 193,915 | $210,932 | $ — | $ — | $ 68,849 | $ — | $ — | |||||||
Global Impact Fund | |||||||||||||||
Money Market | $ — | $ 61,938 | $ 50,293 | $ — | $ — | $ 11,645 | $ — | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 40,898 | $ 160,952 | $134,582 | $ — | $ — | $ 67,268 | $ — | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 36,795 | $ 222,891 | $215,422 | $ — | $ — | $ 44,264 | $ — | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 62,159 | $ 266,929 | $257,026 | $ — | $ — | $ 72,062 | $ — | $ — |
Total Value at 12/31/20 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/21 | Dividend Income | Distributions of Realized Gains | ||||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 25,631 | $ 152,113 | $151,362 | $ — | $ — | $ 26,382 | $ — | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 21,415 | $ 94,570 | $ 88,831 | $ — | $ — | $ 27,154 | $ — | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 86,428 | $ 260,792 | $270,349 | $ — | $ — | $ 76,871 | $ — | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 21,824 | $ 223,515 | $218,508 | $ — | $ — | $ 26,831 | $ — | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 7,709 | $ 38,010 | $ 37,947 | $ — | $ — | $ 7,772 | $ — | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 67,070 | $ 251,773 | $305,765 | $ — | $ — | $ 13,078 | $ 1 | $ — |
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $ 92,532,256 | $ 88,292,800 | $ 6,224,173 | $ 94,516,973 | ||||
Medium-Duration Bond | 182,313,843 | 179,081,728 | 6,892,790 | 185,974,518 | ||||
Global Bond | 60,611,909 | 53,599,460 | 8,964,287 | 62,563,747 | ||||
Defensive Market Strategies® | 79,402,356 | 42,539,534 | 38,831,838 | 81,371,372 | ||||
Equity Index | 106,522,616 | 108,449,840 | 419,707 | 108,869,547 | ||||
Value Equity | 38,563,293 | 37,581,844 | 1,891,124 | 39,472,968 | ||||
Growth Equity | 166,309,408 | 163,026,370 | 9,552,584 | 172,578,954 | ||||
Small Cap Equity | 173,816,986 | 158,154,393 | 20,470,984 | 178,625,377 | ||||
International Equity Index | 34,385,995 | 23,713,305 | 13,731,643 | 37,444,948 | ||||
International Equity | 41,677,062 | 26,889,682 | 17,248,130 | 44,137,812 | ||||
Emerging Markets Equity | 18,938,511 | 17,843,064 | 3,998,768 | 21,841,832 | ||||
Global Real Estate Securities | 24,034,869 | 24,612,823 | 77,976 | 24,690,799 |
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 | $ 75,625,192 | $ 56,200,000 | $ 19,714,752 | $ 6,118,361 | ||||
MyDestination 2025 | 124,720,954 | 61,300,000 | 16,587,940 | 6,672,459 | ||||
MyDestination 2035 | 126,227,636 | 36,994,352 | — | — | ||||
MyDestination 2045 | 792,585,896 | 27,398,006 | — | — | ||||
MyDestination 2055 | 44,004,299 | 9,429,210 | — | — | ||||
Conservative Allocation | 32,444,291 | 25,000,000 | — | — | ||||
Balanced Allocation | 217,855,434 | 237,633,672 | — | — | ||||
Growth Allocation | 144,018,529 | 172,578,444 | — | — | ||||
Aggressive Allocation | 48,871,878 | 81,500,000 | — | — | ||||
Low-Duration Bond | 234,156,587 | 215,065,152 | 438,346,210 | 414,787,073 |
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 | ||||
Medium-Duration Bond | $276,733,808 | $182,691,657 | $4,097,428,905 | $4,128,201,018 | ||||
Global Bond | 127,457,218 | 86,950,287 | 127,077,992 | 110,823,144 | ||||
Defensive Market Strategies® | 254,864,965 | 235,905,979 | — | — | ||||
Global Impact Fund | 140,168,995 | 10,386,885 | 90,061,591 | 68,954,366 | ||||
Equity Index | — | — | 35,605,567 | 28,060,893 | ||||
Value Equity | 214,172,813 | 277,734,998 | — | — | ||||
Growth Equity | 137,620,306 | 294,452,192 | — | — | ||||
Small Cap Equity | 258,408,155 | 243,664,485 | — | — | ||||
International Equity Index | 49,983,489 | 36,965,027 | — | — | ||||
International Equity | 223,935,754 | 306,585,694 | — | — | ||||
Emerging Markets Equity | 244,954,797 | 239,584,050 | — | — | ||||
Global Real Estate Securities | 150,776,344 | 143,735,906 | — | — | ||||
Strategic Alternatives | 112,642,844 | 163,774,572 | 212,814,197 | 223,243,919 |
Six Months Ended 6/30/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2015 | ||||||||
Shares sold | 2,904,193 | 3,860,335 | 3,954,586 | 5,841,286 | ||||
Shares reinvested | — | — | 584,325 | 1,712,284 | ||||
Shares redeemed | (1,077,928) | (3,215,754) | (2,774,775) | (9,781,383) | ||||
Net increase (decrease) | 1,826,265 | 644,581 | 1,764,136 | (2,227,813) | ||||
MyDestination 2025 | ||||||||
Shares sold | 3,558,956 | 7,703,433 | 9,502,995 | 10,223,052 | ||||
Shares reinvested | — | — | 1,613,446 | 3,787,610 | ||||
Shares redeemed | (2,113,331) | (3,942,135) | (5,285,427) | (13,900,994) | ||||
Net increase (decrease) | 1,445,625 | 3,761,298 | 5,831,014 | 109,668 | ||||
MyDestination 2035 | ||||||||
Shares sold | 3,444,847 | 5,712,544 | 9,316,171 | 7,801,251 | ||||
Shares reinvested | — | — | 1,092,132 | 2,060,346 | ||||
Shares redeemed | (1,042,387) | (1,073,794) | (2,464,219) | (6,219,666) | ||||
Net increase (decrease) | 2,402,460 | 4,638,750 | 7,944,084 | 3,641,931 | ||||
MyDestination 2045 | ||||||||
Shares sold | 2,130,163 | 3,187,585 | 7,274,383 | 5,459,257 | ||||
Shares reinvested | — | — | 752,810 | 1,174,641 | ||||
Shares redeemed | (847,207) | (675,092) | (1,856,485) | (3,891,331) | ||||
Net increase (decrease) | 1,282,956 | 2,512,493 | 6,170,708 | 2,742,567 |
Six Months Ended 6/30/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
MyDestination 2055 | ||||||||
Shares sold | 956,613 | 1,497,353 | 3,221,084 | 2,974,790 | ||||
Shares reinvested | — | — | 192,281 | 255,699 | ||||
Shares redeemed | (436,491) | (144,118) | (544,192) | (1,329,427) | ||||
Net increase (decrease) | 520,122 | 1,353,235 | 2,869,173 | 1,901,062 | ||||
Conservative Allocation | ||||||||
Shares sold | 833,872 | 2,532,771 | 3,115,181 | 6,025,256 | ||||
Shares reinvested | — | — | 345,262 | 972,786 | ||||
Shares redeemed | (612,808) | (2,428,095) | (1,814,211) | (8,399,243) | ||||
Net increase (decrease) | 221,064 | 104,676 | 1,646,232 | (1,401,201) | ||||
Balanced Allocation | ||||||||
Shares sold | 1,005,136 | 1,887,946 | 6,048,706 | 3,807,383 | ||||
Shares reinvested | — | — | 1,679,755 | 4,353,835 | ||||
Shares redeemed | (1,554,734) | (3,774,652) | (3,762,664) | (14,949,314) | ||||
Net increase (decrease) | (549,598) | (1,886,706) | 3,965,797 | (6,788,096) | ||||
Growth Allocation | ||||||||
Shares sold | 302,583 | 1,284,644 | 6,985,174 | 2,555,985 | ||||
Shares reinvested | — | — | 1,523,051 | 3,326,240 | ||||
Shares redeemed | (1,162,416) | (2,895,827) | (3,351,456) | (12,391,878) | ||||
Net increase (decrease) | (859,833) | (1,611,183) | 5,156,769 | (6,509,653) | ||||
Aggressive Allocation | ||||||||
Shares sold | 353,940 | 944,709 | 3,705,297 | 2,019,950 | ||||
Shares reinvested | — | — | 1,334,823 | 3,803,971 | ||||
Shares redeemed | (904,673) | (3,028,213) | (2,725,590) | (10,759,488) | ||||
Net increase (decrease) | (550,733) | (2,083,504) | 2,314,530 | (4,935,567) | ||||
Money Market | ||||||||
Shares sold | 3,283,954,563 | 260,827,423 | 6,163,830,443 | 592,641,014 | ||||
Shares reinvested | — | — | 956,522 | 1,146,593 | ||||
Shares redeemed | (3,193,195,851) | (295,292,256) | (5,900,852,960) | (510,679,540) | ||||
Net increase (decrease) | 90,758,712 | (34,464,833) | 263,934,005 | 83,108,067 | ||||
Low-Duration Bond | ||||||||
Shares sold | 7,245,578 | 2,385,286 | 13,014,811 | 6,641,741 | ||||
Shares reinvested | — | — | 977,656 | 259,595 | ||||
Shares redeemed | (5,543,217) | (2,344,773) | (10,491,843) | (6,615,258) | ||||
Net increase (decrease) | 1,702,361 | 40,513 | 3,500,624 | 286,078 | ||||
Medium-Duration Bond | ||||||||
Shares sold | 23,837,848 | 5,917,799 | 23,174,330 | 11,372,906 | ||||
Shares reinvested | 976,437 | 190,922 | 4,833,083 | 1,102,570 | ||||
Shares redeemed | (3,269,197) | (2,986,281) | (17,808,905) | (6,032,291) | ||||
Net increase (decrease) | 21,545,088 | 3,122,440 | 10,198,508 | 6,443,185 |
Six Months Ended 6/30/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
Global Bond | ||||||||
Shares sold | 5,604,547 | 1,601,079 | 4,679,608 | 3,717,306 | ||||
Shares reinvested | 463,103 | 103,260 | 748,219 | 167,753 | ||||
Shares redeemed | (1,188,196) | (1,521,558) | (9,666,069) | (4,803,998) | ||||
Net increase (decrease) | 4,879,454 | 182,781 | (4,238,242) | (918,939) | ||||
Defensive Market Strategies® | ||||||||
Shares sold | 3,887,121 | 2,845,012 | 8,837,431 | 8,553,413 | ||||
Shares reinvested | 1,458,082 | 602,722 | 2,102,310 | 863,559 | ||||
Shares redeemed | (3,921,967) | (2,858,977) | (5,938,430) | (15,047,761) | ||||
Net increase (decrease) | 1,423,236 | 588,757 | 5,001,311 | (5,630,789) | ||||
Global Impact Fund | ||||||||
Shares sold | 13,876,702 | 2,716,763 | — | — | ||||
Shares reinvested | — | — | — | — | ||||
Shares redeemed | (132,602) | (29,281) | — | — | ||||
Net increase (decrease) | 13,744,100 | 2,687,482 | — | — | ||||
Equity Index | ||||||||
Shares sold | 2,029,373 | 1,353,498 | 7,172,193 | 4,028,675 | ||||
Shares reinvested | 689,735 | 267,217 | 1,094,506 | 407,965 | ||||
Shares redeemed | (2,058,101) | (1,082,194) | (7,203,880) | (4,783,978) | ||||
Net increase (decrease) | 661,007 | 538,521 | 1,062,819 | (347,338) | ||||
Value Equity | ||||||||
Shares sold | 1,559,022 | 2,463,930 | 7,795,853 | 1,777,945 | ||||
Shares reinvested | 793,751 | 342,620 | 1,118,804 | 427,101 | ||||
Shares redeemed | (6,116,317) | (1,351,475) | (6,309,723) | (4,638,934) | ||||
Net increase (decrease) | (3,763,544) | 1,455,075 | 2,604,934 | (2,433,888) | ||||
Growth Equity | ||||||||
Shares sold | 1,826,276 | 1,207,819 | 4,120,060 | 5,586,233 | ||||
Shares reinvested | 697,024 | 600,995 | 4,898,291 | 4,462,768 | ||||
Shares redeemed | (3,769,446) | (4,153,093) | (9,884,270) | (7,786,124) | ||||
Net increase (decrease) | (1,246,146) | (2,344,279) | (865,919) | 2,262,877 | ||||
Small Cap Equity | ||||||||
Shares sold | 1,716,843 | 3,065,780 | 5,631,789 | 1,898,770 | ||||
Shares reinvested | — | — | 253,228 | 161,944 | ||||
Shares redeemed | (3,107,412) | (1,260,029) | (4,462,268) | (4,061,625) | ||||
Net increase (decrease) | (1,390,569) | 1,805,751 | 1,422,749 | (2,000,911) | ||||
International Equity Index | ||||||||
Shares sold | 3,672,120 | 12,672,824 | ||||||
Shares reinvested | — | 1,293,518 | ||||||
Shares redeemed | (3,122,588) | (12,004,967) | ||||||
Net increase (decrease) | 549,532 | 1,961,375 |
Six Months Ended 6/30/21 | Year Ended 12/31/20 | |||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||
International Equity | ||||||||
Shares sold | 1,482,942 | 1,250,196 | 7,361,947 | 4,542,828 | ||||
Shares reinvested | — | — | 698,441 | 248,191 | ||||
Shares redeemed | (6,928,545) | (2,387,251) | (11,713,326) | (6,717,160) | ||||
Net increase (decrease) | (5,445,603) | (1,137,055) | (3,652,938) | (1,926,141) | ||||
Emerging Markets Equity | ||||||||
Shares sold | 5,196,600 | 2,581,381 | 15,079,591 | 3,378,715 | ||||
Shares reinvested | — | — | 524,454 | 69,903 | ||||
Shares redeemed | (5,823,470) | (1,447,261) | (4,887,986) | (3,050,235) | ||||
Net increase (decrease) | (626,870) | 1,134,120 | 10,716,059 | 398,383 | ||||
Global Real Estate Securities | ||||||||
Shares sold | 1,303,787 | 1,265,974 | 3,516,750 | 1,923,142 | ||||
Shares reinvested | 360,148 | 168,830 | 485,813 | 244,982 | ||||
Shares redeemed | (1,524,939) | (674,417) | (1,093,397) | (3,814,177) | ||||
Net increase (decrease) | 138,996 | 760,387 | 2,909,166 | (1,646,053) | ||||
Strategic Alternatives | ||||||||
Shares sold | 1,951,372 | 285,055 | 3,501,927 | 1,381,827 | ||||
Shares reinvested | — | — | 437,942 | 71,618 | ||||
Shares redeemed | (1,975,673) | (1,241,639) | (7,675,637) | (2,384,115) | ||||
Net increase (decrease) | (24,301) | (956,584) | (3,735,768) | (930,670) |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2020 | $12,565,070 | $ 12,607,570 | $— | $ 25,172,640 | |||||
2019 | 16,670,062 | 9,643,245 | — | 26,313,307 | ||||||
MyDestination 2025 | 2020 | 27,713,188 | 32,209,350 | — | 59,922,538 | |||||
2019 | 33,763,974 | 18,708,958 | — | 52,472,932 | ||||||
MyDestination 2035 | 2020 | 17,996,374 | 17,071,606 | — | 35,067,980 | |||||
2019 | 20,667,946 | 10,532,737 | — | 31,200,683 | ||||||
MyDestination 2045 | 2020 | 12,069,806 | 8,891,954 | — | 20,961,760 | |||||
2019 | 14,714,829 | 8,586,521 | — | 23,301,350 | ||||||
MyDestination 2055 | 2020 | 4,190,065 | 2,627,172 | — | 6,817,237 | |||||
2019 | 4,672,156 | 4,193,333 | — | 8,865,489 | ||||||
Conservative Allocation | 2020 | 8,066,854 | 7,767,774 | — | 15,834,628 | |||||
2019 | 10,900,966 | 12,236,121 | — | 23,137,087 | ||||||
Balanced Allocation | 2020 | 28,506,102 | 49,210,305 | — | 77,716,407 | |||||
2019 | 34,502,761 | 66,794,786 | — | 101,297,547 | ||||||
Growth Allocation | 2020 | 17,369,914 | 46,300,306 | — | 63,670,220 | |||||
2019 | 19,999,040 | 89,559,476 | — | 109,558,516 | ||||||
Aggressive Allocation | 2020 | 8,916,496 | 56,673,604 | — | 65,590,100 | |||||
2019 | 11,003,181 | 107,448,362 | — | 118,451,543 | ||||||
Money Market | 2020 | 5,470,866 | — | — | 5,470,866 | |||||
2019 | 27,768,702 | — | — | 27,768,702 | ||||||
Low-Duration Bond | 2020 | 16,775,256 | — | — | 16,775,256 | |||||
2019 | 23,248,543 | — | — | 23,248,543 | ||||||
Medium-Duration Bond | 2020 | 75,884,836 | 17,168,953 | — | 93,053,789 | |||||
2019 | 59,270,742 | 8,895,418 | — | 68,166,160 | ||||||
Global Bond | 2020 | 5,241,240 | 3,452,155 | — | 8,693,395 | |||||
2019 | 20,221,476 | — | — | 20,221,476 | ||||||
Defensive Market Strategies® | 2020 | 23,036,188 | 17,204,915 | — | 40,241,103 | |||||
2019 | 29,152,022 | 39,137,230 | — | 68,289,252 | ||||||
Equity Index | 2020 | 35,622,071 | 21,573,380 | — | 57,195,451 | |||||
2019 | 36,174,047 | 9,614,945 | — | 45,788,992 |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
Value Equity | 2020 | $19,235,843 | $ 5,328,149 | $— | $ 24,563,992 | |||||
2019 | 20,124,546 | 112,001,078 | — | 132,125,624 | ||||||
Growth Equity | 2020 | 7,209,774 | 268,265,100 | — | 275,474,874 | |||||
2019 | 5,232,310 | 151,896,069 | — | 157,128,379 | ||||||
Small Cap Equity | 2020 | 141,264 | 7,359,533 | — | 7,500,797 | |||||
2019 | 746,585 | 21,320,019 | — | 22,066,604 | ||||||
International Equity Index | 2020 | 14,997,073 | — | — | 14,997,073 | |||||
2019 | 20,799,847 | — | — | 20,799,847 | ||||||
International Equity | 2020 | 12,000,055 | 1,905,316 | — | 13,905,371 | |||||
2019 | 28,005,024 | 36,195,026 | — | 64,200,050 | ||||||
Emerging Markets Equity | 2020 | 7,195,743 | — | — | 7,195,743 | |||||
2019 | 13,250,595 | — | — | 13,250,595 | ||||||
Global Real Estate Securities | 2020 | 6,343,774 | — | — | 6,343,774 | |||||
2019 | 19,123,112 | — | — | 19,123,112 | ||||||
Strategic Alternatives | 2020 | 5,034,145 | 39,191 | — | 5,073,336 | |||||
2019 | 6,848,636 | 1,494,225 | — | 8,342,861 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation Depreciation | ||||
MyDestination 2015 | $ 289,225 | $ 7,404,399 | $ — | $ 59,435,340 | ||||
MyDestination 2025 | 610,840 | 15,122,635 | — | 164,118,102 | ||||
MyDestination 2035 | 337,246 | 10,546,473 | — | 157,225,744 | ||||
MyDestination 2045 | 190,094 | 7,787,040 | — | 141,519,803 | ||||
MyDestination 2055 | 46,869 | 3,056,662 | — | 47,490,752 | ||||
Conservative Allocation | 164,599 | 6,117,955 | — | 22,943,033 | ||||
Balanced Allocation | 883,548 | 29,198,968 | — | 86,372,873 | ||||
Growth Allocation | 451,958 | 32,309,490 | — | 68,682,130 | ||||
Aggressive Allocation | 1,422,852 | 33,221,124 | — | 61,901,346 | ||||
Money Market | 41,929 | — | — | — | ||||
Low-Duration Bond | — | — | (810,617) | 10,400,706 | ||||
Medium-Duration Bond | 4,130,135 | 1,509,507 | — | 97,010,883 | ||||
Global Bond | 10,572,536 | — | — | 15,358,205 | ||||
Defensive Market Strategies® | 14,061,683 | 13,576,480 | — | 225,747,620 | ||||
Equity Index | 3,709,783 | 25,700,577 | — | 949,241,730 | ||||
Value Equity | 6,605,157 | 10,644,658 | — | 168,682,031 | ||||
Growth Equity | 3,103,028 | 39,139,276 | — | 811,180,446 | ||||
Small Cap Equity | 4,621,065 | — | — | 141,189,361 | ||||
International Equity Index | 1,228,989 | — | — | 91,979,952 | ||||
International Equity | 1,179,709 | — | — | 176,550,519 | ||||
Emerging Markets Equity | 8,657,260 | 6,995,801 | — | 153,734,938 | ||||
Global Real Estate Securities | 4,153,739 | — | — | 8,637,783 | ||||
Strategic Alternatives | 778,124 | — | — | 3,128,584 |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
MyDestination 2015 | $ 678,615,160 | $ 76,673,576 | $ 76,829,797 | $ (156,221) | ||||
MyDestination 2025 | 1,490,585,594 | 228,537,885 | 228,838,738 | (300,853) | ||||
MyDestination 2035 | 1,093,449,332 | 235,638,925 | 235,813,964 | (175,039) | ||||
MyDestination 2045 | 795,194,089 | 221,203,869 | 221,353,439 | (149,570) | ||||
MyDestination 2055 | 307,777,072 | 79,608,082 | 79,658,034 | (49,952) | ||||
Conservative Allocation | 537,571,570 | 33,923,074 | 33,942,331 | (19,257) | ||||
Balanced Allocation | 1,579,197,866 | 142,367,308 | 142,631,954 | (264,646) | ||||
Growth Allocation | 1,240,206,939 | 167,622,389 | 168,134,150 | (511,761) | ||||
Aggressive Allocation | 1,059,093,162 | 181,179,562 | 181,390,638 | (211,076) | ||||
Money Market | 1,840,128,195 | — | — | — | ||||
Low-Duration Bond | 1,129,889,900 | 5,583,427 | 9,785,681 | (4,202,254) | ||||
Medium-Duration Bond | 2,640,331,586 | 47,358,725 | 87,566,650 | (40,207,925) | ||||
Global Bond | 626,477,133 | (2,089,734) | 20,850,879 | (22,940,613) | ||||
Defensive Market Strategies® | 1,230,854,760 | 235,254,679 | 241,920,135 | (6,665,456) | ||||
Global Impact Fund | 164,826,282 | 8,907,771 | 11,450,490 | (2,542,719) | ||||
Equity Index | 1,583,255,047 | 1,291,814,519 | 1,328,458,681 | (36,644,162) | ||||
Value Equity | 1,081,711,392 | 281,366,451 | 284,929,866 | (3,563,415) | ||||
Growth Equity | 1,212,725,602 | 892,792,926 | 896,837,067 | (4,044,141) | ||||
Small Cap Equity | 672,216,641 | 184,969,754 | 207,609,538 | (22,639,784) | ||||
International Equity Index | 718,054,556 | 139,108,057 | 179,840,531 | (40,732,474) | ||||
International Equity | 1,094,644,007 | 199,174,826 | 227,700,657 | (28,525,831) | ||||
Emerging Markets Equity | 679,090,497 | 160,486,776 | 181,963,657 | (21,476,881) | ||||
Global Real Estate Securities | 271,528,194 | 31,003,645 | 32,039,446 | (1,035,801) | ||||
Strategic Alternatives | 295,781,620 | 1,886,239 | 9,129,436 | (7,243,197) |
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; Trustee, GuideStone Financial Resources, 2010 – 2018. | 24 | None |
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Regional 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. | 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; Trustee, GuideStone Financial Resources, 2010 - 2018; Trustee, GuideStone Capital Management, LLC, 2011 - 2018; Trustee, GuideStone Investment Services and GuideStone Resource Management, Inc., 2014 - 2018. | 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 2020 | 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 |
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 TRUSTEES4 | ||||
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. | N/A | N/A |
Brandon Pizzurro (1981) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Vice President and Investment Officer | Since 2021 | Director of Public Investments, GuideStone Financial Resources, 2021 – present; Portfolio Manager, GuideStone Financial Resources 2019 - 2021; Senior Investment Analyst, GuideStone Financial Resources, 2017 - 2019; Senior Investment Analyst, First Command Financial Services, 2013 - 2017. | 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, Chief Investment Officer 2021 - present; Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 - 2021; Global Investment Strategist, GuideStone Financial Resources, 2015 - 2016. | 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 20175 | Managing Director, Compliance and Legal, GuideStone Financial Resources, 2020 – present; Associate Counsel – Investment and Corporate Services, GuideStone Financial Resources, 2015 – 2020. | 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. | N/A | N/A |
GuideStone Financial Resources.
• | 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. |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $9.5Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc. | 1994 | $9.5Tr | |||
Pacific Investment Management Company LLC | 1971 | $2.2Tr |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
Payden & Rygel | 1983 | $145.5B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ 2.1Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 2.2Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
Western Asset Management Company, LLC | 1971 | $491.3B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $357.7B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $433.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
Western Asset Management Company, LLC | 1971 | $491.3B | ||||
Defensive Market Strategies® | American Century Investment Management, Inc. | 1958 | $236.7B | |||
AQR Capital Management, LLC | 1998 | $137.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
Shenkman Capital Management, Inc. | 1985 | $ 29.3B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $256.6B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $236.7B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ 50.6B | ||||
The London Company of Virginia, LLC | 1994 | $ 16.3B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
TCW Investment Management Company LLC | 1971 | $265.8B | ||||
Growth Equity | Brown Advisory, LLC | 1993 | $ 69.0B | |||
ClearBridge Investments, LLC | 2005 | $198.5B | ||||
Loomis, Sayles & Company, L.P. | 1926 | $357.7B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
Sands Capital Management, LLC | 1992 | $ 77.6B | ||||
Small Cap Equity | American Century Investment Management, Inc. | 1958 | $236.7B | |||
Delaware Investments Fund Advisers | 1929 | $360.8B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $ 14.5B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
TimesSquare Capital Management, LLC | 2000 | $ 16.1B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $256.6B | |||
International Equity | Altrinsic Global Advisors, LLC | 2000 | $ 10.6B | |||
AQR Capital Management, LLC | 1998 | $137.0B | ||||
Harris Associates L.P. | 1976 | $122.7B | ||||
MFS Institutional Advisors, Inc. | 1924 | $661.4B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
WCM Investment Management, LLC | 1976 | $ 97.7B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $137.0B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.1Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
RBC Global Asset Management (UK) Limited | 2013 | $ 65.3B | ||||
Wellington Management Company LLP | 1928 | $ 1.4Tr | ||||
Global Real Estate Securities | Heitman Real Estate Securities, LLC | 1989 | $ 46.0B | |||
RREEF America L.L.C. | 1975 | $ 1.0Tr | ||||
Strategic Alternatives | AQR Capital Management, LLC | 1998 | $137.0B | |||
Forward Management, LLC (d/b/a Salient) | 1998 | $ 1.6B | ||||
Broadmark Asset Management LLC | 1999 | $ 1.4B | ||||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.1Tr | ||||
P/E Global LLC | 2000 | $ 13.9B | ||||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
SSI Investment Management LLC | 1973 | $ 2.7B | ||||
Global Impact | Janus Capital Management LLC | 2012 | $427.6B | |||
Parametric Portfolio Associates LLC | 1987 | $410.8B | ||||
RBC Global Asset Management (U.S.) Inc. | 1983 | $ 60.2B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ 12.2Tr | |||
Cash Overlay for Target Date, Target Risk, Fixed Income, Equity and Real Assets Select Funds | Parametric Portfolio Associates LLC | 1987 | $410.8B |
Item 1. Reports to Stockholders (cont.).
(b) | Not applicable. |
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.
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 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) |
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 2, 2021 |
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 2, 2021 |
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) |
Date | September 2, 2021 |
* | Print the name and title of each signing officer under his or her signature. |