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, 2023
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 2023 Return | 2 nd Quarter 2023 Return | YTD Returns as of June 30, 2023 |
U.S. Equities | |||
S&P 500® | 7.50% | 8.74% | 16.89% |
Russell 2000 | 2.74% | 5.21% | 8.09% |
International Equities | |||
MSCI EAFE | 8.47% | 2.95% | 11.67% |
MSCI Emerging Markets | 3.96% | 0.90% | 4.89% |
U.S. Fixed Income | |||
Bloomberg U.S. Aggregate | 2.96% | -0.84% | 2.09% |
Bloomberg US High Yield Corporate | 3.57% | 1.75% | 5.38% |
Global Fixed Income | |||
Bloomberg Global Aggregate Bond | 2.90% | 0.06% | 2.96% |
President and Chief Investment Officer
GuideStone Capital Management, LLC
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/23 | Ending Account Value 06/30/23 | Annualized Expense Ratio(1) | Expenses Paid During Period(2) | |||||
MyDestination 2015 Fund | Institutional | $1,000.00 | $1,061.20 | 0.11% | $0.56 | |||||
Investor | 1,000.00 | 1,060.10 | 0.39 | 1.99 | ||||||
MyDestination 2025 Fund | Institutional | 1,000.00 | 1,073.80 | 0.10 | 0.51 | |||||
Investor | 1,000.00 | 1,072.80 | 0.37 | 1.92 | ||||||
MyDestination 2035 Fund | Institutional | 1,000.00 | 1,098.30 | 0.11 | 0.55 | |||||
Investor | 1,000.00 | 1,096.20 | 0.37 | 1.92 | ||||||
MyDestination 2045 Fund | Institutional | 1,000.00 | 1,118.50 | 0.12 | 0.63 | |||||
Investor | 1,000.00 | 1,116.50 | 0.38 | 1.98 | ||||||
MyDestination 2055 Fund | Institutional | 1,000.00 | 1,124.70 | 0.15 | 0.79 | |||||
Investor | 1,000.00 | 1,122.70 | 0.42 | 2.21 | ||||||
Conservative Allocation Fund | Institutional | 1,000.00 | 1,044.70 | 0.16 | 0.81 | |||||
Investor | 1,000.00 | 1,043.70 | 0.41 | 2.07 | ||||||
Balanced Allocation Fund | Institutional | 1,000.00 | 1,072.00 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,070.00 | 0.38 | 1.95 | ||||||
Growth Allocation Fund | Institutional | 1,000.00 | 1,103.10 | 0.13 | 0.68 | |||||
Investor | 1,000.00 | 1,102.30 | 0.38 | 2.00 | ||||||
Aggressive Allocation Fund | Institutional | 1,000.00 | 1,134.90 | 0.13 | 0.69 | |||||
Investor | 1,000.00 | 1,133.70 | 0.38 | 2.03 | ||||||
Money Market Fund | Institutional | 1,000.00 | 1,023.00 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,021.60 | 0.41 | 2.04 |
Actual | ||||||||||
Fund | Class | Beginning Account Value 01/01/23 | Ending Account Value 06/30/23 | Annualized Expense Ratio(1) | Expenses Paid During Period(2) | |||||
Low-Duration Bond Fund | Institutional | $1,000.00 | $1,013.10 | 0.33% | $1.64 | |||||
Investor | 1,000.00 | 1,011.80 | 0.60 | 2.98 | ||||||
Medium-Duration Bond Fund | Institutional | 1,000.00 | 1,025.30 | 0.38 | 1.91 | |||||
Investor | 1,000.00 | 1,023.20 | 0.65 | 3.26 | ||||||
Global Bond Fund | Institutional | 1,000.00 | 1,015.20 | 0.56 | 2.80 | |||||
Investor | 1,000.00 | 1,013.90 | 0.86 | 4.30 | ||||||
Impact Bond Fund(3) | Institutional | 1,000.00 | 993.50 | 0.50 | 2.10 | |||||
Investor | 1,000.00 | 992.50 | 0.79 | 3.32 | ||||||
Defensive Market Strategies® Fund | Institutional | 1,000.00 | 1,069.20 | 0.66 | 3.37 | |||||
Investor | 1,000.00 | 1,068.10 | 0.92 | 4.73 | ||||||
Impact Equity Fund(3) | Institutional | 1,000.00 | 1,072.00 | 0.87 | 3.82 | |||||
Investor | 1,000.00 | 1,070.00 | 1.21 | 5.28 | ||||||
Equity Index Fund | Institutional | 1,000.00 | 1,168.30 | 0.12 | 0.66 | |||||
Investor | 1,000.00 | 1,166.70 | 0.39 | 2.08 | ||||||
Value Equity Index Fund | Institutional | 1,000.00 | 1,054.20 | 0.20 | 1.02 | |||||
Investor | 1,000.00 | 1,052.60 | 0.47 | 2.39 | ||||||
Value Equity Fund | Institutional | 1,000.00 | 1,046.30 | 0.66 | 3.34 | |||||
Investor | 1,000.00 | 1,044.50 | 0.92 | 4.66 | ||||||
Growth Equity Index Fund | Institutional | 1,000.00 | 1,285.60 | 0.20 | 1.13 | |||||
Investor | 1,000.00 | 1,283.20 | 0.47 | 2.66 | ||||||
Growth Equity Fund | Institutional | 1,000.00 | 1,290.60 | 0.66 | 3.75 | |||||
Investor | 1,000.00 | 1,289.00 | 0.92 | 5.23 | ||||||
Small Cap Equity Fund | Institutional | 1,000.00 | 1,067.40 | 0.92 | 4.73 | |||||
Investor | 1,000.00 | 1,066.10 | 1.19 | 6.10 | ||||||
International Equity Index Fund | Institutional | 1,000.00 | 1,120.60 | 0.20 | 1.05 | |||||
Investor | 1,000.00 | 1,119.30 | 0.50 | 2.63 | ||||||
International Equity Fund(4) | Institutional | 1,000.00 | 1,124.30 | 0.85 | 4.48 | |||||
Investor | 1,000.00 | 1,122.70 | 1.12 | 5.90 | ||||||
Emerging Markets Equity Fund | Institutional | 1,000.00 | 1,073.10 | 1.08 | 5.56 | |||||
Investor | 1,000.00 | 1,072.10 | 1.37 | 7.06 | ||||||
Global Real Estate Securities Fund | Institutional | 1,000.00 | 1,029.20 | 0.82 | 4.13 | |||||
Investor | 1,000.00 | 1,026.40 | 1.11 | 5.58 | ||||||
Strategic Alternatives Fund(4) | Institutional | 1,000.00 | 1,017.30 | 1.15 | 5.75 | |||||
Investor | 1,000.00 | 1,015.40 | 1.45 | 7.26 | ||||||
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/23 | Ending Account Value 06/30/23 | Annualized Expense Ratio(1) | Expenses Paid During Period(2) | |||||
MyDestination 2015 Fund | Institutional | $1,000.00 | $1,024.25 | 0.11% | $0.55 | |||||
Investor | 1,000.00 | 1,022.86 | 0.39 | 1.96 | ||||||
MyDestination 2025 Fund | Institutional | 1,000.00 | 1,024.30 | 0.10 | 0.50 | |||||
Investor | 1,000.00 | 1,022.94 | 0.37 | 1.87 | ||||||
MyDestination 2035 Fund | Institutional | 1,000.00 | 1,024.27 | 0.11 | 0.53 | |||||
Investor | 1,000.00 | 1,022.96 | 0.37 | 1.86 | ||||||
MyDestination 2045 Fund | Institutional | 1,000.00 | 1,024.20 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,022.93 | 0.38 | 1.89 | ||||||
MyDestination 2055 Fund | Institutional | 1,000.00 | 1,024.05 | 0.15 | 0.75 | |||||
Investor | 1,000.00 | 1,022.71 | 0.42 | 2.11 | ||||||
Conservative Allocation Fund | Institutional | 1,000.00 | 1,024.01 | 0.16 | 0.80 | |||||
Investor | 1,000.00 | 1,022.77 | 0.41 | 2.05 | ||||||
Balanced Allocation Fund | Institutional | 1,000.00 | 1,024.16 | 0.13 | 0.64 | |||||
Investor | 1,000.00 | 1,022.91 | 0.38 | 1.90 | ||||||
Growth Allocation Fund | Institutional | 1,000.00 | 1,024.15 | 0.13 | 0.65 | |||||
Investor | 1,000.00 | 1,022.89 | 0.38 | 1.92 | ||||||
Aggressive Allocation Fund | Institutional | 1,000.00 | 1,024.14 | 0.13 | 0.66 | |||||
Investor | 1,000.00 | 1,022.90 | 0.38 | 1.92 | ||||||
Money Market Fund | Institutional | 1,000.00 | 1,024.08 | 0.14 | 0.72 | |||||
Investor | 1,000.00 | 1,022.78 | 0.41 | 2.04 | ||||||
Low-Duration Bond Fund | Institutional | 1,000.00 | 1,023.16 | 0.33 | 1.65 | |||||
Investor | 1,000.00 | 1,021.83 | 0.60 | 3.00 | ||||||
Medium-Duration Bond Fund | Institutional | 1,000.00 | 1,022.91 | 0.38 | 1.91 | |||||
Investor | 1,000.00 | 1,021.57 | 0.65 | 3.26 | ||||||
Global Bond Fund | Institutional | 1,000.00 | 1,022.02 | 0.56 | 2.81 | |||||
Investor | 1,000.00 | 1,020.52 | 0.86 | 4.32 | ||||||
Impact Bond Fund(3) | Institutional | 1,000.00 | 1,018.99 | 0.50 | 2.13 | |||||
Investor | 1,000.00 | 1,017.76 | 0.79 | 3.36 | ||||||
Defensive Market Strategies® Fund | Institutional | 1,000.00 | 1,021.54 | 0.66 | 3.29 | |||||
Investor | 1,000.00 | 1,020.22 | 0.92 | 4.62 | ||||||
Impact Equity Fund(3) | Institutional | 1,000.00 | 1,017.41 | 0.87 | 3.72 | |||||
Investor | 1,000.00 | 1,015.99 | 1.21 | 5.15 | ||||||
Equity Index Fund | Institutional | 1,000.00 | 1,024.19 | 0.12 | 0.61 | |||||
Investor | 1,000.00 | 1,022.87 | 0.39 | 1.95 | ||||||
Value Equity Index Fund | Institutional | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||
Investor | 1,000.00 | 1,022.46 | 0.47 | 2.36 | ||||||
Value Equity Fund | Institutional | 1,000.00 | 1,021.53 | 0.66 | 3.30 | |||||
Investor | 1,000.00 | 1,020.24 | 0.92 | 4.60 | ||||||
Growth Equity Index Fund | Institutional | 1,000.00 | 1,023.80 | 0.20 | 1.00 | |||||
Investor | 1,000.00 | 1,022.46 | 0.47 | 2.36 | ||||||
Growth Equity Fund | Institutional | 1,000.00 | 1,021.52 | 0.66 | 3.31 | |||||
Investor | 1,000.00 | 1,020.23 | 0.92 | 4.61 | ||||||
Small Cap Equity Fund | Institutional | 1,000.00 | 1,020.22 | 0.92 | 4.62 | |||||
Investor | 1,000.00 | 1,018.89 | 1.19 | 5.96 |
Hypothetical (assuming a 5% return before expenses) | ||||||||||
Fund | Class | Beginning Account Value 01/01/23 | Ending Account Value 06/30/23 | Annualized Expense Ratio(1) | Expenses Paid During Period(2) | |||||
International Equity Index Fund | Institutional | $1,000.00 | $1,023.80 | 0.20% | $1.01 | |||||
Investor | 1,000.00 | 1,022.31 | 0.50 | 2.51 | ||||||
International Equity Fund(4) | Institutional | 1,000.00 | 1,020.57 | 0.85 | 4.26 | |||||
Investor | 1,000.00 | 1,019.24 | 1.12 | 5.61 | ||||||
Emerging Markets Equity Fund | Institutional | 1,000.00 | 1,019.43 | 1.08 | 5.42 | |||||
Investor | 1,000.00 | 1,017.98 | 1.37 | 6.87 | ||||||
Global Real Estate Securities Fund | Institutional | 1,000.00 | 1,020.73 | 0.82 | 4.11 | |||||
Investor | 1,000.00 | 1,019.29 | 1.11 | 5.56 | ||||||
Strategic Alternatives Fund(4) | Institutional | 1,000.00 | 1,019.10 | 1.15 | 5.75 | |||||
Investor | 1,000.00 | 1,017.59 | 1.45 | 7.27 | ||||||
(1) Expenses include the effect of contractual waivers by GuideStone Capital Management, LLC. The Target Date Funds’ and the Target Risk Funds’ proportionate share of the operating expenses of the Select Funds is not reflected in the tables above. | |
(2) Expenses are equal to the Fund’s annualized expense ratios for the period January 1, 2023, through June 30, 2023, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). | |
(3) The expenses for Impact Equity Fund and Impact Bond Fund are equal to the funds' annualized expense ratios for the period January 27, 2023, through June 30, 2023, multiplied by the average account value over the period, multiplied by 154/365. | |
(4) The expense ratios for International Equity Fund and Strategic Alternatives Fund include the impact of dividend or interest expense on securities sold short. |
INVESTMENT ABBREVIATIONS: | ||
10Y | — | 10 Year |
12Y | — | 12 Year |
1M | — | 1 Month |
1Y | — | 1 Year |
2Y | — | 2 Year |
3M | — | 3 Month |
5Y | — | 5 Year |
6M | — | 6 Month |
AB | — | Aktiebolag |
ABS | — | Asset-Backed Security |
ACES | — | Alternative Credit Enhancement Securities |
ADR | — | American Depositary Receipt |
AEX | — | Amsterdam Exchange |
AGM | — | Assured Guarantee Municipal Corporation |
ARM | — | Adjustable Rate Mortgage |
ASA | — | Allmennaksjeselskap |
ASX | — | Australian Securities Exchange |
BAM | — | Build America Mutual |
BBR | — | Bank Bill Rate |
BBSW | — | Bank Bill Swap Rate |
BDC | — | Business Development Company |
Bobl | — | Bundesobligation ("federal government bond") |
Bovespa Index | — | Bolsa de Valores de São Paulo Index |
BTP | — | Buoni del Tesoro Poliennali |
Bund | — | Bundesanleihe ("federal bond") |
Buxl | — | German Long-term Bonds |
CAC | — | Cotation Assistée en Continu |
CDI | — | Crest Depository Interest |
CDO | — | Collateralized Debt Obligation |
CDX | — | A series of indexes that track North American and emerging market credit derivative indexes. |
Cetip | — | Central of Custody and Financial Settlement of Securities |
CFETS | — | China Foreign Exchange Trade System |
CLO | — | Collateralized Loan Obligation |
CLP-TNA | — | Chilean Pesos Floating Rate Index |
CME | — | Chicago Mercantile Exchange |
CMT | — | Constant Maturity |
CONV | — | Convertible |
COPS | — | Certificates of Participation |
CVA | — | Dutch Certificate |
DAC | — | Designated Activity Company |
DAX | — | Deutscher Aktien Index |
EAFE | — | Europe, Australasia, Far East |
EONIA | — | Euro Overnight Index Average |
ESTR | — | Euro Short-Term Rate |
ETF | — | Exchange Traded Fund |
EURIBOR | — | Euro Interbank Offered Rate |
Fannie Mae | — | Federal National Mortgage Association |
FHA | — | Federal Housing Administration |
FHLMC | — | Federal Home Loan Mortgage Corporation |
FRA | — | Forward Rate Agreements |
FTSE | — | Financial Times Stock Exchange |
GDR | — | Global Depositary Receipt |
Gtd. | — | Guaranteed |
HIBOR | — | Hong Kong Interbank Offered Rate |
HSCEI | — | Hang Seng China Enterprises Index |
HTS | — | Harmonized Tariff Schedule |
HY | — | High Yield |
IBEX | — | Iberia Index |
ICE | — | Intercontinental Exchange |
IG | — | Investment Grade |
IO | — | Interest Only (Principal amount shown is notional) |
iTraxx | — | A group of international credit derivative indexes that are monitored by the International Index Company (IIC). iTraxx indexes cover credit derivatives markets in Europe, Asia and Australia |
JIBAR | — | Johannesburg Interbank Average Rate |
JSC | — | Joint Stock Company |
KLCI | — | Kuala Lumpur Composite Index |
KOSPI | — | Korea Composite Stock Price Index |
KSCP | — | Kuwaiti Shareholding Company Public |
KWCDC | — | Korean Won Certificate of Deposit |
LIBOR | — | London Interbank Offered Rate |
LLC | — | Limited Liability Company |
LP | — | Limited Partnership |
MIB Index | — | Milano Indice di Borsa Index |
MIBOR | — | Mumbai Inter-Bank Overnight Rate |
MMY | — | Money Market Yield |
MSCI | — | Morgan Stanley Capital International |
MUTSCALM | — | Bank of Japan Estimate Unsecured Overnight Call Rate |
NA | — | North American |
NIBOR | — | Norwegian Interbank Offered Rate |
NOWA | — | Norwegian Overnight Weighted Average |
NVDR | — | Non-Voting Depository Receipt |
OAT | — | Obligations Assimilables du Trésor |
OMX | — | Stockholm Stock Exchange |
PCL | — | Public Company Limited |
PIK | — | Payment-in-Kind Bonds |
PJSC | — | Public Joint Stock Company |
PLC | — | Public Limited Company |
PRIBOR | — | Prague Inter-bank Offered Rate |
PSF | — | Permanent School Fund |
QPSC | — | Qualified Personal Service Corporation |
QSC | — | Qatar Shareholder Company |
REIT | — | Real Estate Investment Trust |
REMIC | — | Real Estate Mortgage Investment Conduit |
SA | — | Societe Anonyme |
SAE | — | Societe Anonyme Egyptienne |
SAQ | — | Societe des Alcools du Quebec |
SBA | — | Small Business Administration |
SBSN | — | Surat Berharga Syariah Negara |
Schatz | — | Short Bond Future |
SDR | — | Special Drawing Rights |
SEK | — | Swedish Krona |
SGD | — | Singapore Dollar |
SGX | — | Singapore Stock Exchange |
SOFR | — | Secured Overnight Financing Rate |
SONIA | — | Sterling Overnight Index Average Rate |
SonyMA | — | State of New York Mortgage Agency |
SORA | — | Singapore Overnight Rate Average |
SSARON | — | Swiss Average Rate Overnight |
STACR | — | Structured Agency Credit Risk |
STEP | — | Stepped Coupon Bonds: Interest rates shown reflect the rates currently in effect. |
STIBOR | — | Stockholm Interbank Offered Rate |
STRIP | — | Stripped Security |
TAIEX | — | Taiwan Stock Exchange Capitalization Weighted Stock Index |
TBA | — | To be announced |
Tbk | — | Terbuka |
TELBOR | — | Tel Aviv Inter-Bank Offered Rate |
TIIE | — | The Equilibrium Interbank Interest Rate |
TSX | — | Toronto Stock Exchange |
WIBOR | — | Warsaw Interbank Offered Rates |
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, 2023, 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 | $324,012,614 | 28.51% | ||
Medium-Duration Bond | 477,423,899 | 22.67 | ||
Global Bond | 92,365,401 | 16.26 | ||
Impact Bond | 10,390,644 | 16.91 | ||
Defensive Market Strategies® | 62,245,402 | 4.59 | ||
Impact Equity | 217,980 | 0.19 | ||
International Equity Index | 12,375,383 | 1.42 | ||
International Equity | 13,227,058 | 1.22 | ||
Emerging Markets Equity | 25,640,835 | 3.40 | ||
Global Real Estate Securities | 898,102 | 0.34 | ||
Strategic Alternatives | 8,700,442 | 3.72 |
INVESTMENT FOOTNOTES: | ||
λ | — | Century bond maturing in 2111 |
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, 2023. |
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. |
Ξ | — | Variable or floating rate security, the interest rate of which adjusts periodically and is linked to changes in current local market conditions. |
Ω | — | Rate shown reflects the effective yield as of June 30, 2023. |
∞ | — | Affiliated fund. |
Δ | — | Security either partially or fully on loan. |
††† | — | Security is a Level 3 investment (see Note 2 in Notes to Financial Statements). |
Ø | — | 7-day current yield as of June 30, 2023 is disclosed. |
ρ | — | Perpetual bond. Maturity date represents the next call date. |
~ | — | Century bond maturing in 2121. |
◊ | — | Current yield is disclosed. Dividends are calculated based on a percentage of the issuer’s net income. |
≈ | — | Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
» | — | Zero coupon bond. |
++ | — | Loan Commitment. The closing of the commitment was held on May 31, 2023. The uncalled capital commitment at June 30, 2023 was $1,200,000. |
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). |
(D) | — | Par is denominated in Danish Krone (DKK). |
(E) | — | Par is denominated in Euro (EUR). |
(I) | — | Par is denominated in Indonesian Rupiahs (IDR). |
(J) | — | Par is denominated in Japanese Yen (JPY). |
FOREIGN BOND FOOTNOTES: | ||
(KW) | — | Par is denominated in South Korean Won (KRW). |
(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). |
(Z) | — | Par is denominated in New Zealand Dollars (NZD). |
(ZE) | — | Par is denominated in Czech Koruna (CZK). |
(ZF) | — | Par is denominated in Thai Baht (THB). |
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BNP | — | Counterparty to contract is BNP Paribas. |
BNY | — | Counterparty to contract is Bank of New York |
BOA | — | Counterparty to contract is Bank of America. |
CITI | — | Counterparty to contract is Citibank NA London. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
FASC | — | Counterparty to contract is First Analysis Securities Corp. |
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. |
MLIB | — | Counterparty to contract is Merrill Lynch International Bank |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
QCL | — | Counterparty to contract is Quilter and Co. Limited |
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. |
TD | — | Counterparty to contract is Toronto-Dominion Bank. |
UBS | — | Counterparty to contract is UBS AG. |
Shares | Value | |||
MUTUAL FUNDS — 91.3% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 10,056,305 | $127,011,135 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 12,027,113 | 152,142,985 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,304,444 | 36,200,372 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 6,351,793 | 70,886,012 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 2,582,253 | 119,997,277 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 4,558,799 | 50,420,315 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 914,671 | 14,927,436 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 2,458,028 | 21,655,226 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 689,879 | 5,746,692 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 638,296 | 6,370,194 | ||
Total Mutual Funds (Cost $627,638,364) | 605,357,644 | |||
MONEY MARKET FUNDS — 1.7% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 11,507,191 | 11,507,191 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 15,240 | 15,240 | ||
Total Money Market Funds (Cost $11,522,431) | 11,522,431 |
Par | |||
U.S. TREASURY OBLIGATIONS — 7.0% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 07/15/24 | $6,877,375 | 6,672,963 |
Par | Value | |||
0.13%, 07/15/26 | $12,023,105 | $ 11,298,082 | ||
0.38%, 07/15/27 | 1,655,600 | 1,552,684 | ||
3.88%, 04/15/29 | 11,025,966 | 12,187,943 | ||
3.38%, 04/15/32 | 4,853,816 | 5,523,336 | ||
0.63%, 02/15/43 | 3,608,778 | 2,963,931 | ||
1.00%, 02/15/48 | 1,820,696 | 1,568,169 | ||
0.13%, 02/15/51 | 1,864,336 | 1,245,826 | ||
1.50%, 02/15/53 | 382,706 | 371,986 | ||
U.S. Treasury Inflationary Indexed Notes | ||||
0.63%, 07/15/32 | 3,273,285 | 3,010,799 | ||
Total U.S. Treasury Obligations (Cost $52,384,639) | 46,395,719 | |||
TOTAL INVESTMENTS — 100.0% (Cost $691,545,434) | 663,275,794 | |||
Other Assets in Excess of Liabilities — 0.0% | 67,729 | |||
NET ASSETS — 100.0% | $663,343,523 |
% | |
Fixed Income Select Funds | 47.5 |
U.S. Equity Select Funds | 31.0 |
Non-U.S. Equity Select Funds | 10.9 |
U.S. Treasury Obligations | 7.0 |
Money Market Funds | 1.7 |
Alternative Select Funds | 1.0 |
Real Assets Select Funds | 0.9 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 11,522,431 | $ 11,522,431 | $ — | $ — | |||
Mutual Funds | 605,357,644 | 605,357,644 | — | — | |||
U.S. Treasury Obligations | 46,395,719 | — | 46,395,719 | — | |||
Total Assets - Investments in Securities | $663,275,794 | $616,880,075 | $46,395,719 | $ — |
Shares | Value | |||
MUTUAL FUNDS — 94.5% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 20,920,924 | $ 264,231,269 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 26,351,894 | 333,351,453 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 10,799,441 | 90,823,303 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 19,428,239 | 216,819,146 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 8,679,844 | 403,352,335 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 15,149,853 | 167,557,373 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,125,488 | 51,007,961 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 8,240,895 | 72,602,282 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,244,296 | 18,694,990 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 1,683,487 | 16,801,205 | ||
Total Mutual Funds (Cost $1,646,702,669) | 1,635,241,317 | |||
MONEY MARKET FUNDS — 1.9% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 29,871,934 | 29,871,934 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 2,760,886 | 2,760,886 | ||
Total Money Market Funds (Cost $32,632,820) | 32,632,820 |
Par | |||
U.S. TREASURY OBLIGATIONS — 3.8% | |||
U.S. Treasury Inflationary Index Bonds | |||
0.13%, 07/15/24 | $9,799,269 | 9,508,011 |
Par | Value | |||
0.13%, 07/15/26 | $17,085,465 | $ 16,055,168 | ||
0.38%, 07/15/27 | 2,381,088 | 2,233,074 | ||
3.88%, 04/15/29 | 15,685,475 | 17,338,496 | ||
3.38%, 04/15/32 | 6,990,178 | 7,954,382 | ||
0.63%, 02/15/43 | 5,159,167 | 4,237,284 | ||
1.00%, 02/15/48 | 2,632,628 | 2,267,487 | ||
0.13%, 02/15/51 | 2,674,157 | 1,786,982 | ||
1.50%, 02/15/53 | 551,097 | 535,660 | ||
U.S. Treasury Inflationary Indexed Notes | ||||
0.63%, 07/15/32 | 4,667,171 | 4,292,909 | ||
Total U.S. Treasury Obligations (Cost $73,373,230) | 66,209,453 | |||
TOTAL INVESTMENTS — 100.2% (Cost $1,752,708,719) | 1,734,083,590 | |||
Liabilities in Excess of Other Assets — (0.2)% | (2,748,169) | |||
NET ASSETS — 100.0% | $1,731,335,421 |
% | |
Fixed Income Select Funds | 39.8 |
U.S. Equity Select Funds | 38.7 |
Non-U.S. Equity Select Funds | 13.9 |
U.S. Treasury Obligations | 3.8 |
Money Market Funds | 1.9 |
Real Assets Select Funds | 1.1 |
Alternative Select Funds | 1.0 |
100.2 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 32,632,820 | $ 32,632,820 | $ — | $ — | |||
Mutual Funds | 1,635,241,317 | 1,635,241,317 | — | — | |||
U.S. Treasury Obligations | 66,209,453 | — | 66,209,453 | — | |||
Total Assets - Investments in Securities | $1,734,083,590 | $1,667,874,137 | $66,209,453 | $ — |
Shares | Value | |||
MUTUAL FUNDS — 97.9% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 25,255,894 | $ 319,487,057 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 9,475,950 | 79,692,734 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 12,551,139 | 140,070,713 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 11,832,512 | 549,856,845 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 20,727,030 | 229,240,954 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 4,231,254 | 69,054,069 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 11,251,576 | 99,126,385 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,649,686 | 22,071,885 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 1,012,309 | 10,102,845 | ||
Total Mutual Funds (Cost $1,480,861,627) | 1,518,703,487 | |||
MONEY MARKET FUNDS — 2.1% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ (Cost $32,745,941) | 32,745,941 | 32,745,941 | ||
TOTAL INVESTMENTS — 100.0% (Cost $1,513,607,568) | 1,551,449,428 | |||
Liabilities in Excess of Other Assets — (0.0)% | (150,054) | |||
NET ASSETS — 100.0% | $1,551,299,374 |
% | |
U.S. Equity Select Funds | 48.9 |
Fixed Income Select Funds | 25.7 |
Non-U.S. Equity Select Funds | 21.2 |
Money Market Funds | 2.1 |
Real Assets Select Funds | 1.4 |
Alternative Select Funds | 0.7 |
100.0 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 32,745,941 | $ 32,745,941 | $ — | $ — | |||
Mutual Funds | 1,518,703,487 | 1,518,703,487 | — | — | |||
Total Assets - Investments in Securities | $1,551,449,428 | $1,551,449,428 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 97.5% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 8,552,318 | $ 108,186,828 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 3,217,400 | 27,058,337 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 5,513,937 | 61,535,543 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 12,158,622 | 565,011,153 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 21,382,774 | 236,493,478 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 4,345,152 | 70,912,876 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 11,437,905 | 100,767,939 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 2,576,128 | 21,459,146 | ||
Total Mutual Funds (Cost $1,105,093,318) | 1,191,425,300 | |||
MONEY MARKET FUNDS — 2.5% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 24,864,134 | 24,864,134 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 6,090,818 | $ 6,090,818 | ||
Total Money Market Funds (Cost $30,954,952) | 30,954,952 | |||
TOTAL INVESTMENTS — 100.0% (Cost $1,136,048,270) | 1,222,380,252 | |||
Other Assets in Excess of Liabilities — 0.0% | 115,066 | |||
NET ASSETS — 100.0% | $1,222,495,318 |
% | |
U.S. Equity Select Funds | 57.0 |
Non-U.S. Equity Select Funds | 27.6 |
Fixed Income Select Funds | 11.1 |
Money Market Funds | 2.5 |
Real Assets Select Funds | 1.8 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 12 | $1,293,300 | $14,480 | ||||
MSCI Emerging Markets | 09/2023 | 11 | 548,845 | 1,176 | ||||
S&P 500® E-Mini | 09/2023 | 17 | 3,815,013 | 48,800 | ||||
10-Year U.S. Treasury Note | 09/2023 | 5 | 561,328 | (1,118) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $6,218,486 | $63,338 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 30,954,952 | $ 30,954,952 | $ — | $ — | |||
Mutual Funds | 1,191,425,300 | 1,191,425,300 | — | — | |||
Total Assets - Investments in Securities | $1,222,380,252 | $1,222,380,252 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 64,456 | $ 64,456 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 64,456 | $ 64,456 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (1,118) | $ (1,118) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (1,118) | $ (1,118) | $ — | $ — |
*** | 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 — 97.2% | ||||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 1,874,041 | $ 23,706,626 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 705,471 | 5,933,008 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 2,404,149 | 26,830,301 | ||
GuideStone Equity Index Fund (Institutional Class)∞ | 5,816,122 | 270,275,171 | ||
GuideStone International Equity Index Fund (Institutional Class)∞ | 10,173,072 | 112,514,171 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,074,484 | 33,855,582 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 5,524,129 | 48,667,575 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 1,220,180 | 10,164,102 | ||
Total Mutual Funds (Cost $495,551,379) | 531,946,536 | |||
MONEY MARKET FUNDS — 2.8% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ (Cost $15,266,020) | 15,266,020 | 15,266,020 | ||
TOTAL INVESTMENTS — 100.0% (Cost $510,817,399) | 547,212,556 | |||
Other Assets in Excess of Liabilities — 0.0% | 97,010 | |||
NET ASSETS — 100.0% | $547,309,566 |
% | |
U.S. Equity Select Funds | 60.5 |
Non-U.S. Equity Select Funds | 29.5 |
Fixed Income Select Funds | 5.4 |
Money Market Funds | 2.8 |
Real Assets Select Funds | 1.8 |
100.0 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 8 | $ 862,200 | $12,142 | ||||
MSCI Emerging Markets | 09/2023 | 6 | 299,370 | 2,437 | ||||
S&P 500® E-Mini | 09/2023 | 11 | 2,468,538 | 36,562 | ||||
10-Year U.S. Treasury Note | 09/2023 | 2 | 224,531 | (722) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $3,854,639 | $50,419 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 15,266,020 | $ 15,266,020 | $ — | $ — | |||
Mutual Funds | 531,946,536 | 531,946,536 | — | — | |||
Total Assets - Investments in Securities | $547,212,556 | $547,212,556 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 51,141 | $ 51,141 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 51,141 | $ 51,141 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (722) | $ (722) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (722) | $ (722) | $ — | $ — |
*** | 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, 2023 (Unaudited) |
MyDestination 2015 Fund | MyDestination 2025 Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 46,410,959 | $ 68,970,339 | |
Investments in securities of affiliated issuers, at value | 616,864,835 | 1,665,113,251 | |
Total investments, at value(1) | 663,275,794 | 1,734,083,590 | |
Deposits with broker for futures contracts | — | — | |
Receivables: | |||
Dividends | 39,974 | 107,150 | |
Interest | 165,961 | 237,372 | |
Investment securities sold | 1,545,785 | — | |
Fund shares sold | 73,571 | 699,795 | |
Variation margin on futures contracts | — | — | |
Prepaid expenses and other assets | 32,662 | 47,155 | |
Total Assets | 665,133,747 | 1,735,175,062 | |
Liabilities | |||
Cash Overdraft | 499,457 | — | |
Payables: | |||
Investment securities purchased | 1,034,229 | 3,415,058 | |
Fund shares redeemed | 83,295 | 36,691 | |
Accrued expenses: | |||
Investment advisory fees | 43,856 | 116,095 | |
Shareholder servicing fees | 87,068 | 215,615 | |
Trustee fees | 2,465 | 4,486 | |
Other expenses | 39,854 | 51,696 | |
Total Liabilities | 1,790,224 | 3,839,641 | |
Net Assets | $663,343,523 | $1,731,335,421 | |
Net Assets Consist of: | |||
Paid-in-capital | $688,407,859 | $1,740,199,918 | |
Distributable earnings (loss) | (25,064,336) | (8,864,497) | |
Net Assets | $663,343,523 | $1,731,335,421 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $237,268,871 | $ 671,451,506 | |
Institutional shares outstanding | 24,879,620 | 67,899,336 | |
Net asset value, offering and redemption price per Institutional share | $ 9.54 | $ 9.89 | |
Net assets applicable to the Investor Class | $426,074,652 | $1,059,883,915 | |
Investor shares outstanding | 44,741,498 | 107,256,764 | |
Net asset value, offering and redemption price per Investor share | $ 9.52 | $ 9.88 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 52,399,879 | $ 76,134,116 | |
Investments in securities of affiliated issuers, at cost | 639,145,555 | 1,676,574,603 | |
Total investments, at cost | $691,545,434 | $1,752,708,719 |
MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | ||
$ — | $ 6,090,818 | $ — | ||
1,551,449,428 | 1,216,289,434 | 547,212,556 | ||
1,551,449,428 | 1,222,380,252 | 547,212,556 | ||
— | 267,000 | 170,000 | ||
132,088 | 85,198 | 46,170 | ||
— | 15,969 | — | ||
— | 50,000 | — | ||
719,994 | 129,529 | 413,176 | ||
— | 64,688 | 41,556 | ||
45,619 | 40,889 | 27,970 | ||
1,552,347,129 | 1,223,033,525 | 547,911,428 | ||
— | — | — | ||
687,030 | 116,430 | 431,750 | ||
30,046 | 141,665 | 21,101 | ||
102,339 | 96,173 | 49,489 | ||
177,767 | 137,249 | 59,060 | ||
3,575 | 2,938 | 2,350 | ||
46,998 | 43,752 | 38,112 | ||
1,047,755 | 538,207 | 601,862 | ||
$1,551,299,374 | $1,222,495,318 | $547,309,566 | ||
$1,494,325,640 | $1,120,413,129 | $508,209,719 | ||
56,973,734 | 102,082,189 | 39,099,847 | ||
$1,551,299,374 | $1,222,495,318 | $547,309,566 | ||
$ 673,862,904 | $ 539,861,189 | $252,053,805 | ||
65,574,732 | 51,518,097 | 16,839,054 | ||
$ 10.28 | $ 10.48 | $ 14.97 | ||
$ 877,436,470 | $ 682,634,129 | $295,255,761 | ||
85,532,831 | 65,302,734 | 19,798,800 | ||
$ 10.26 | $ 10.45 | $ 14.91 | ||
$ — | $ 6,090,818 | $ — | ||
1,513,607,568 | 1,129,957,452 | 510,817,399 | ||
$1,513,607,568 | $1,136,048,270 | $510,817,399 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
MyDestination 2015 Fund | |
Investment Income | |
Dividends | $ 1,990 |
Income distributions received from affiliated funds | 6,472,207 |
Interest | 737,235 |
Total Investment Income | 7,211,432 |
Expenses | |
Investment advisory fees | 347,288 |
Transfer agent fees: | |
Institutional shares | 1,838 |
Investor shares | 9,600 |
Custodian fees | 7,511 |
Shareholder servicing fees: | |
Investor shares | 522,521 |
Accounting and administration fees | 11,115 |
Professional fees | 44,203 |
Blue sky fees: | |
Institutional shares | 7,277 |
Investor shares | 8,548 |
Trustees expenses | 2,637 |
Line of credit facility fees | 1,299 |
Other expenses | 25,077 |
Recoupment of prior expenses reduced by the Advisor | 11,741 |
Total Expenses | 1,000,655 |
Expenses waived/reimbursed(1) | (74,148) |
Net Expenses | 926,507 |
Net Investment Income | 6,284,925 |
Realized and Unrealized Gain (Loss) | |
Capital gain distributions received from affiliated funds | 23,075 |
Net realized gain on investment securities of affiliated issuers | 1,043,578 |
Net realized loss on investment securities of unaffiliated issuers | (495,309) |
Net realized gain on futures transactions | — |
Net realized gain | 571,344 |
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 30,774,748 |
Change in unrealized appreciation (depreciation) on investment securities of unaffiliated issuers | 696,771 |
Change in unrealized appreciation (depreciation) on futures | — |
Net change in unrealized appreciation (depreciation) | 31,471,519 |
Net Realized and Unrealized Gain | 32,042,863 |
Net Increase in Net Assets Resulting from Operations | $38,327,788 |
(1) | See Note 3c in Notes to Financial Statements. |
MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||
$ 3,899 | $ 203 | $ — | $ — | |||
16,173,308 | 12,370,915 | 7,293,600 | 2,935,077 | |||
1,021,951 | 990 | 16,676 | — | |||
17,199,158 | 12,372,108 | 7,310,276 | 2,935,077 | |||
864,281 | 727,566 | 561,673 | 244,075 | |||
1,873 | 1,885 | 1,847 | 1,844 | |||
15,259 | 12,154 | 10,044 | 9,352 | |||
11,891 | 10,512 | 9,247 | 6,646 | |||
1,286,340 | 1,040,833 | 794,568 | 336,273 | |||
27,012 | 23,564 | 18,395 | 8,494 | |||
44,358 | 44,318 | 44,266 | 44,170 | |||
7,773 | 7,776 | 7,773 | 6,287 | |||
7,971 | 8,000 | 8,090 | 4,781 | |||
4,842 | 3,961 | 3,244 | 2,672 | |||
3,309 | 2,846 | 2,179 | 932 | |||
42,468 | 42,219 | 35,776 | 28,484 | |||
57,902 | 61,237 | 20,334 | 64,068 | |||
2,375,279 | 1,986,871 | 1,517,436 | 758,078 | |||
(157,000) | (103,029) | (25,507) | (26,326) | |||
2,218,279 | 1,883,842 | 1,491,929 | 731,752 | |||
14,980,879 | 10,488,266 | 5,818,347 | 2,203,325 | |||
75,069 | 88,628 | 83,730 | 39,594 | |||
(658,843) | 7,836,134 | 6,176,775 | 675,089 | |||
(613,573) | — | — | — | |||
— | 38,842 | 94,678 | 61,657 | |||
(1,197,347) | 7,963,604 | 6,355,183 | 776,340 | |||
103,828,060 | 116,147,132 | 112,661,982 | 54,129,665 | |||
564,231 | — | — | — | |||
— | — | 63,338 | 50,419 | |||
104,392,291 | 116,147,132 | 112,725,320 | 54,180,084 | |||
103,194,944 | 124,110,736 | 119,080,503 | 54,956,424 | |||
$118,175,823 | $134,599,002 | $124,898,850 | $57,159,749 |
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 | ||||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 6,284,925 | $ 10,845,126 | $ 14,980,879 | $ 24,257,121 | |||
Net realized gain (loss) on investment securities and futures transactions | 571,344 | 19,688,884 | (1,197,347) | 55,603,730 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 31,471,519 | (125,494,870) | 104,392,291 | (333,050,758) | |||
Net increase (decrease) in net assets resulting from operations | 38,327,788 | (94,960,860) | 118,175,823 | (253,189,907) | |||
Distributions to Shareholders: | |||||||
Distributions paid | |||||||
Institutional shares | — | (16,080,809) | — | (43,588,582) | |||
Investor shares | — | (28,848,121) | — | (70,624,252) | |||
Return of capital | |||||||
Institutional shares | — | — | — | — | |||
Investor shares | — | — | — | — | |||
Total distributions | — | (44,928,930) | — | (114,212,834) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 11,812,841 | 82,394,063 | 44,988,754 | 207,115,538 | |||
Investor shares | 13,227,804 | 31,683,118 | 28,691,369 | 63,627,566 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 16,080,809 | — | 43,588,581 | |||
Investor shares | — | 28,844,637 | — | 70,616,203 | |||
Total proceeds from shares sold and reinvested | 25,040,645 | 159,002,627 | 73,680,123 | 384,947,888 | |||
Value of shares redeemed | |||||||
Institutional shares | (12,548,675) | (39,514,382) | (25,862,754) | (49,720,875) | |||
Investor shares | (29,315,177) | (84,460,063) | (59,976,528) | (129,197,425) | |||
Total value of shares redeemed | (41,863,852) | (123,974,445) | (85,839,282) | (178,918,300) | |||
Net increase (decrease) from capital share transactions(1) | (16,823,207) | 35,028,182 | (12,159,159) | 206,029,588 | |||
Total increase (decrease) in net assets | 21,504,581 | (104,861,608) | 106,016,664 | (161,373,153) | |||
Net Assets: | |||||||
Beginning of Period | 641,838,942 | 746,700,550 | 1,625,318,757 | 1,786,691,910 | |||
End of Period | $663,343,523 | $ 641,838,942 | $1,731,335,421 | $1,625,318,757 |
(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 | |||||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 10,488,266 | $ 18,683,072 | $ 5,818,347 | $ 14,305,140 | $ 2,203,325 | $ 5,780,213 | |||||
7,963,604 | 45,442,728 | 6,355,183 | 29,778,397 | 776,340 | 9,297,519 | |||||
116,147,132 | (299,032,541) | 112,725,320 | (239,035,644) | 54,180,084 | (95,245,484) | |||||
134,599,002 | (234,906,741) | 124,898,850 | (194,952,107) | 57,159,749 | (80,167,752) | |||||
— | (40,255,248) | — | (29,062,734) | — | (10,818,466) | |||||
— | (54,166,932) | — | (38,904,804) | — | (14,434,971) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
— | (94,422,180) | — | (67,967,538) | — | (25,253,437) | |||||
53,816,048 | 190,049,365 | 54,981,898 | 106,471,021 | 45,445,302 | 46,662,378 | |||||
39,683,655 | 72,523,171 | 38,363,292 | 63,610,295 | 30,167,142 | 53,121,148 | |||||
— | 40,255,248 | — | 29,062,734 | — | 10,818,466 | |||||
— | 54,164,673 | — | 38,904,777 | — | 14,434,761 | |||||
93,499,703 | 356,992,457 | 93,345,190 | 238,048,827 | 75,612,444 | 125,036,753 | |||||
(9,952,451) | (26,310,624) | (6,159,055) | (17,866,622) | (2,723,226) | (9,223,921) | |||||
(40,752,755) | (57,055,100) | (32,640,780) | (28,923,819) | (22,088,051) | (12,355,242) | |||||
(50,705,206) | (83,365,724) | (38,799,835) | (46,790,441) | (24,811,277) | (21,579,163) | |||||
42,794,497 | 273,626,733 | 54,545,355 | 191,258,386 | 50,801,167 | 103,457,590 | |||||
177,393,499 | (55,702,188) | 179,444,205 | (71,661,259) | 107,960,916 | (1,963,599) | |||||
1,373,905,875 | 1,429,608,063 | 1,043,051,113 | 1,114,712,372 | 439,348,650 | 441,312,249 | |||||
$1,551,299,374 | $1,373,905,875 | $1,222,495,318 | $1,043,051,113 | $547,309,566 | $439,348,650 |
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 | ||||||||||||||||||||||
2023(3) | $ 8.99 | $0.10 | $ 0.45 | $ 0.55 | $ — | $ — | $ — | $ 9.54 | 6.12% | $ 237,269 | 0.11% | 0.15% | 2.12% | 9% | ||||||||
2022 | 11.09 | 0.19 | (1.61) | (1.42) | (0.19) | (0.49) | (0.68) | 8.99 | (12.87) | 224,236 | 0.11 | 0.15 | 1.91 | 21 | ||||||||
2021 | 10.95 | 0.17 | 0.59 | 0.76 | (0.26) | (0.36) | (0.62) | 11.09 | 6.98 | 207,506 | 0.12 | 0.14 | 1.46 | 17 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $ 8.98 | $0.09 | $ 0.45 | $ 0.54 | $ — | $ — | $ — | $ 9.52 | 6.01% | $ 426,075 | 0.39% | 0.40% | 1.84% | 9% | ||||||||
2022 | 11.09 | 0.15 | (1.60) | (1.45) | (0.17) | (0.49) | (0.66) | 8.98 | (13.10) | 417,603 | 0.36 | 0.40 | 1.50 | 21 | ||||||||
2021 | 10.95 | 0.13 | 0.60 | 0.73 | (0.23) | (0.36) | (0.59) | 11.09 | 6.72 | 539,194 | 0.37 | 0.39 | 1.15 | 17 | ||||||||
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 | ||||||||
MyDestination 2025 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $ 9.21 | $0.09 | $ 0.59 | $ 0.68 | $ — | $ — | $ — | $ 9.89 | 7.38% | $ 671,451 | 0.10% | 0.13% | 1.97% | 10% | ||||||||
2022 | 11.53 | 0.18 | (1.80) | (1.62) | (0.17) | (0.53) | (0.70) | 9.21 | (14.11) | 606,791 | 0.11 | 0.13 | 1.76 | 14 | ||||||||
2021 | 11.10 | 0.16 | 0.85 | 1.01 | (0.28) | (0.30) | (0.58) | 11.53 | 9.17 | 524,604 | 0.12 | 0.13 | 1.41 | 9 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $ 9.21 | $0.08 | $ 0.59 | $ 0.67 | $ — | $ — | $ — | $ 9.88 | 7.28% | $1,059,884 | 0.37% | 0.38% | 1.68% | 10% | ||||||||
2022 | 11.54 | 0.14 | (1.79) | (1.65) | (0.15) | (0.53) | (0.68) | 9.21 | (14.40) | 1,018,527 | 0.36 | 0.38 | 1.34 | 14 | ||||||||
2021 | 11.11 | 0.13 | 0.85 | 0.98 | (0.25) | (0.30) | (0.55) | 11.54 | 8.91 | 1,262,088 | 0.37 | 0.38 | 1.15 | 9 | ||||||||
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 | ||||||||
MyDestination 2035 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $ 9.36 | $0.08 | $ 0.84 | $ 0.92 | $ — | $ — | $ — | $10.28 | 9.83% | $ 673,863 | 0.11% | 0.13% | 1.61% | 3% | ||||||||
2022 | 12.00 | 0.17 | (2.11) | (1.94) | (0.16) | (0.54) | (0.70) | 9.36 | (16.26) | 572,407 | 0.13 | 0.13 | 1.67 | 11 | ||||||||
2021 | 11.19 | 0.17 | 1.32 | 1.49 | (0.30) | (0.38) | (0.68) | 12.00 | 13.29 | 488,921 | 0.12 | 0.12 | 1.43 | 10 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $ 9.36 | $0.06 | $ 0.84 | $ 0.90 | $ — | $ — | $ — | $10.26 | 9.62% | $ 877,436 | 0.37% | 0.38% | 1.32% | 3% | ||||||||
2022 | 12.00 | 0.13 | (2.10) | (1.97) | (0.13) | (0.54) | (0.67) | 9.36 | (16.46) | 801,499 | 0.38 | 0.38 | 1.22 | 11 | ||||||||
2021 | 11.19 | 0.14 | 1.32 | 1.46 | (0.27) | (0.38) | (0.65) | 12.00 | 13.04 | 940,687 | 0.38 | 0.38 | 1.16 | 10 | ||||||||
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 | ||||||||
# | 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 0.36%, 0.38%, 0.37%, 0.34% and 0.33%, respectively, for 2023. 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 is reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2023, 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 | |||||||||
MyDestination 2045 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $ 9.37 | $0.06 | $ 1.05 | $ 1.11 | $ — | $ — | $ — | $10.48 | 11.85% | $539,861 | 0.12% | 0.13% | 1.20% | 3% | ||||||||
2022 | 12.10 | 0.17 | (2.24) | (2.07) | (0.15) | (0.51) | (0.66) | 9.37 | (17.08) | 437,044 | 0.13 | 0.13 | 1.61 | 7 | ||||||||
2021 | 10.97 | 0.17 | 1.65 | 1.82 | (0.30) | (0.39) | (0.69) | 12.10 | 16.61 | 422,303 | 0.13 | 0.13 | 1.41 | 10 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $ 9.36 | $0.05 | $ 1.04 | $ 1.09 | $ — | $ — | $ — | $10.45 | 11.65% | $682,634 | 0.38% | 0.38% | 0.91% | 3% | ||||||||
2022 | 12.09 | 0.13 | (2.22) | (2.09) | (0.13) | (0.51) | (0.64) | 9.36 | (17.38) | 606,007 | 0.38 | 0.38 | 1.25 | 7 | ||||||||
2021 | 10.97 | 0.14 | 1.64 | 1.78 | (0.27) | (0.39) | (0.66) | 12.09 | 16.26 | 692,409 | 0.38 | 0.38 | 1.15 | 10 | ||||||||
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 | ||||||||
MyDestination 2055 Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $13.31 | $0.08 | $ 1.58 | $ 1.66 | $ — | $ — | $ — | $14.97 | 12.47% | $252,054 | 0.15% | 0.17% | 1.07% | 1% | ||||||||
2022 | 17.11 | 0.23 | (3.20) | (2.97) | (0.21) | (0.62) | (0.83) | 13.31 | (17.43) | 184,087 | 0.17 | 0.17 | 1.56 | 7 | ||||||||
2021 | 15.37 | 0.24 | 2.44 | 2.68 | (0.42) | (0.52) | (0.94) | 17.11 | 17.46 | 178,971 | 0.17 | 0.17 | 1.39 | 11 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $13.28 | $0.05 | $ 1.58 | $ 1.63 | $ — | $ — | $ — | $14.91 | 12.27% | $295,256 | 0.42% | 0.43% | 0.76% | 1% | ||||||||
2022 | 17.07 | 0.19 | (3.18) | (2.99) | (0.18) | (0.62) | (0.80) | 13.28 | (17.61) | 255,261 | 0.42 | 0.42 | 1.27 | 7 | ||||||||
2021 | 15.34 | 0.19 | 2.44 | 2.63 | (0.38) | (0.52) | (0.90) | 17.07 | 17.18 | 262,341 | 0.42 | 0.42 | 1.15 | 11 | ||||||||
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 | ||||||||
# | 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 0.36%, 0.38%, 0.37%, 0.34% and 0.33%, respectively, for 2023. 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 is reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Shares | Value | |||
MUTUAL FUNDS — 98.1% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 15,185,681 | $191,795,152 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 4,039,040 | 51,093,859 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 1,515,347 | 12,744,069 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 2,841,565 | 31,711,864 | ||
GuideStone Impact Bond Fund (Institutional Class)∞ | 1,715,487 | 16,794,623 | ||
GuideStone Impact Equity Fund (Institutional Class)∞ | 722,973 | 7,750,271 | ||
GuideStone Value Equity Index Fund (Institutional Class)∞ | 533,034 | 5,634,169 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 956,004 | 16,940,391 | ||
GuideStone Growth Equity Index Fund (Institutional Class)∞ | 484,888 | 5,716,824 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 752,681 | 17,048,218 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 272,521 | 4,447,551 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 1,696,055 | 23,320,755 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 1,126,510 | 9,924,557 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 622,004 | 5,181,290 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,097,881 | 20,957,831 | ||
Total Mutual Funds (Cost $443,935,987) | 421,061,424 |
Shares | Value | |||
MONEY MARKET FUNDS — 1.7% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 7,023,428 | $ 7,023,428 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 967 | 967 | ||
Total Money Market Funds (Cost $7,024,395) | 7,024,395 | |||
TOTAL INVESTMENTS — 99.8% (Cost $450,960,382) | 428,085,819 | |||
Other Assets in Excess of Liabilities — 0.2% | 1,007,276 | |||
NET ASSETS — 100.0% | $429,093,095 |
% | |
Fixed Income Select Funds | 63.5 |
U.S. Equity Select Funds | 19.0 |
Non-U.S. Equity Select Funds | 7.7 |
Alternative Select Funds | 4.9 |
Impact Select Funds | 1.8 |
Money Market Funds | 1.7 |
Real Assets Select Funds | 1.2 |
99.8 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 7,024,395 | $ 7,024,395 | $ — | $ — | |||
Mutual Funds | 421,061,424 | 421,061,424 | — | — | |||
Total Assets - Investments in Securities | $428,085,819 | $428,085,819 | $ — | $ — |
Shares | Value | |||
MUTUAL FUNDS — 97.0% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 4,016,907 | $ 50,733,541 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 28,054,112 | 354,884,514 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 12,039,556 | 101,252,668 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 11,566,701 | 129,084,379 | ||
GuideStone Impact Bond Fund (Institutional Class)∞ | 1,966,600 | 19,253,011 | ||
GuideStone Impact Equity Fund (Institutional Class)∞ | 2,812,873 | 30,153,996 | ||
GuideStone Value Equity Index Fund (Institutional Class)∞ | 3,025,938 | 31,984,165 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 5,418,309 | 96,012,437 | ||
GuideStone Growth Equity Index Fund (Institutional Class)∞ | 2,697,333 | 31,801,559 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 4,184,236 | 94,772,955 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 1,563,684 | 25,519,324 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 9,378,187 | 128,950,068 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 6,217,134 | 54,772,947 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,183,131 | 26,515,485 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 4,868,588 | 48,637,192 | ||
Total Mutual Funds (Cost $1,325,519,622) | 1,224,328,241 |
Shares | Value | |||
MONEY MARKET FUNDS — 2.9% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ (Cost $36,389,070) | 36,389,070 | $ 36,389,070 | ||
TOTAL INVESTMENTS — 99.9% (Cost $1,361,908,692) | 1,260,717,311 | |||
Other Assets in Excess of Liabilities — 0.1% | 980,573 | |||
NET ASSETS — 100.0% | $1,261,697,884 |
% | |
Fixed Income Select Funds | 41.6 |
U.S. Equity Select Funds | 32.4 |
Non-U.S. Equity Select Funds | 14.6 |
Alternative Select Funds | 3.9 |
Money Market Funds | 2.9 |
Impact Select Funds | 2.4 |
Real Assets Select Funds | 2.1 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 15 | $ 1,616,625 | $ 14,073 | ||||
MSCI Emerging Markets | 09/2023 | 13 | 648,635 | (4,213) | ||||
S&P 500® E-Mini | 09/2023 | 15 | 3,366,188 | 84,234 | ||||
10-Year U.S. Treasury Note | 09/2023 | 6 | 673,594 | (7,414) | ||||
U.S. Treasury Long Bond | 09/2023 | 4 | 507,625 | (1,757) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | 5 | 592,187 | (4,118) | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | 4 | 544,875 | 336 | ||||
2-Year U.S. Treasury Note | 09/2023 | 6 | 1,220,062 | (8,752) | ||||
5-Year U.S. Treasury Note | 09/2023 | 12 | 1,285,125 | (14,182) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $10,454,916 | $ 58,207 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 36,389,070 | $ 36,389,070 | $ — | $ — | |||
Mutual Funds | 1,224,328,241 | 1,224,328,241 | — | — | |||
Total Assets - Investments in Securities | $1,260,717,311 | $1,260,717,311 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 98,643 | $ 98,643 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 98,643 | $ 98,643 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (40,436) | $ (40,436) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (40,436) | $ (40,436) | $ — | $ — |
*** | 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 — 97.0% | ||||
GuideStone Low-Duration Bond Fund (Institutional Class)∞ | 1,361,635 | $ 17,197,445 | ||
GuideStone Medium-Duration Bond Fund (Institutional Class)∞ | 9,628,085 | 121,795,276 | ||
GuideStone Global Bond Fund (Institutional Class)∞ | 4,131,282 | 34,744,078 | ||
GuideStone Defensive Market Strategies® Fund (Institutional Class)∞ | 4,147,930 | 46,290,904 | ||
GuideStone Impact Bond Fund (Institutional Class)∞ | 1,559,898 | 15,271,405 | ||
GuideStone Impact Equity Fund (Institutional Class)∞ | 2,290,875 | 24,558,177 | ||
GuideStone Value Equity Index Fund (Institutional Class)∞ | 4,383,578 | 46,334,422 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 7,794,311 | 138,115,193 | ||
GuideStone Growth Equity Index Fund (Institutional Class)∞ | 3,907,047 | 46,064,086 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 6,065,177 | 137,376,261 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 2,241,085 | 36,574,505 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 13,686,064 | 188,183,374 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 9,090,335 | 80,085,853 | ||
GuideStone Global Real Estate Securities Fund (Institutional Class)∞ | 3,767,533 | 31,383,554 | ||
GuideStone Strategic Alternatives Fund (Institutional Class)∞ | 2,406,376 | 24,039,696 | ||
Total Mutual Funds (Cost $1,041,188,451) | 988,014,229 |
Shares | Value | |||
MONEY MARKET FUNDS — 2.8% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ (Cost $28,702,750) | 28,702,750 | $ 28,702,750 | ||
TOTAL INVESTMENTS — 99.8% (Cost $1,069,891,201) | 1,016,716,979 | |||
Other Assets in Excess of Liabilities — 0.2% | 1,788,095 | |||
NET ASSETS — 100.0% | $1,018,505,074 |
% | |
U.S. Equity Select Funds | 44.2 |
Non-U.S. Equity Select Funds | 26.4 |
Fixed Income Select Funds | 18.5 |
Real Assets Select Funds | 3.1 |
Money Market Funds | 2.8 |
Impact Select Funds | 2.4 |
Alternative Select Funds | 2.4 |
99.8 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 21 | $ 2,263,275 | $13,681 | ||||
MSCI Emerging Markets | 09/2023 | 19 | 948,005 | (2,637) | ||||
S&P 500® E-Mini | 09/2023 | 23 | 5,161,488 | 56,227 | ||||
10-Year U.S. Treasury Note | 09/2023 | 3 | 336,797 | (1,333) | ||||
U.S. Treasury Long Bond | 09/2023 | 2 | 253,812 | 1,246 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | 2 | 236,875 | 137 | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | 2 | 272,437 | (1,222) | ||||
2-Year U.S. Treasury Note | 09/2023 | 3 | 610,031 | (1,130) | ||||
5-Year U.S. Treasury Note | 09/2023 | 5 | 535,469 | (1,665) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $10,618,189 | $63,304 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 28,702,750 | $ 28,702,750 | $ — | $ — | |||
Mutual Funds | 988,014,229 | 988,014,229 | — | — | |||
Total Assets - Investments in Securities | $1,016,716,979 | $1,016,716,979 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 71,291 | $ 71,291 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 71,291 | $ 71,291 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (7,987) | $ (7,987) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (7,987) | $ (7,987) | $ — | $ — |
*** | 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 — 97.0% | ||||
GuideStone Impact Equity Fund (Institutional Class)∞ | 3,597,355 | $ 38,563,641 | ||
GuideStone Value Equity Index Fund (Institutional Class)∞ | 5,852,645 | 61,862,453 | ||
GuideStone Value Equity Fund (Institutional Class)∞ | 10,538,696 | 186,745,699 | ||
GuideStone Growth Equity Index Fund (Institutional Class)∞ | 5,237,834 | 61,754,068 | ||
GuideStone Growth Equity Fund (Institutional Class)∞ | 8,147,167 | 184,533,340 | ||
GuideStone Small Cap Equity Fund (Institutional Class)∞ | 3,057,383 | 49,896,485 | ||
GuideStone International Equity Fund (Institutional Class)∞ | 18,281,543 | 251,371,219 | ||
GuideStone Emerging Markets Equity Fund (Institutional Class)∞ | 12,184,600 | 107,346,321 | ||
Total Mutual Funds (Cost $969,777,979) | 942,073,226 | |||
MONEY MARKET FUNDS — 2.9% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 28,107,031 | 28,107,031 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 2,220 | $ 2,220 | ||
Total Money Market Funds (Cost $28,109,251) | 28,109,251 | |||
TOTAL INVESTMENTS — 99.9% (Cost $997,887,230) | 970,182,477 | |||
Other Assets in Excess of Liabilities — 0.1% | 494,215 | |||
NET ASSETS — 100.0% | $970,676,692 |
% | |
U.S. Equity Select Funds | 56.1 |
Non-U.S. Equity Select Funds | 36.9 |
Impact Select Funds | 4.0 |
Money Market Funds | 2.9 |
99.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 23 | $2,478,825 | $19,509 | ||||
MSCI Emerging Markets | 09/2023 | 21 | 1,047,795 | (3,396) | ||||
S&P 500® E-Mini | 09/2023 | 25 | 5,610,313 | 75,267 | ||||
Total Futures Contracts outstanding at June 30, 2023 | $9,136,933 | $91,380 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Money Market Funds | $ 28,109,251 | $ 28,109,251 | $ — | $ — | |||
Mutual Funds | 942,073,226 | 942,073,226 | — | — | |||
Total Assets - Investments in Securities | $970,182,477 | $970,182,477 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 94,776 | $ 94,776 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 94,776 | $ 94,776 | $ — | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Futures Contracts | $ (3,396) | $ (3,396) | $ — | $ — | |||
Total Liabilities - Other Financial Instruments | $ (3,396) | $ (3,396) | $ — | $ — |
*** | 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, 2023 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $ 967 | $ — | $ — | $ 2,220 | |||
Investments in securities of affiliated issuers, at value | 428,084,852 | 1,260,717,311 | 1,016,716,979 | 970,180,257 | |||
Total investments, at value(1) | 428,085,819 | 1,260,717,311 | 1,016,716,979 | 970,182,477 | |||
Deposits with broker for futures contracts | — | 345,001 | 325,001 | 400,773 | |||
Receivables: | |||||||
Dividends from affiliated funds | 26,674 | 131,540 | 90,160 | 86,150 | |||
Interest | 3 | — | — | 2 | |||
Investment securities sold | 1,175,000 | 913,254 | 2,125,000 | — | |||
Fund shares sold | 20,509 | 50,077 | 77,041 | 152,248 | |||
Variation margin on futures contracts | — | 73,431 | 77,535 | 102,700 | |||
Prepaid expenses and other assets | 29,603 | 44,593 | 40,639 | 38,672 | |||
Total Assets | 429,337,608 | 1,262,275,207 | 1,019,452,355 | 970,963,022 | |||
Liabilities | |||||||
Payables: | |||||||
Investment securities purchased | 100,000 | — | — | — | |||
Fund shares redeemed | 4,361 | 234,383 | 669,210 | 20,867 | |||
Accrued expenses: | |||||||
Investment advisory fees | 35,290 | 102,996 | 82,730 | 78,286 | |||
Shareholder servicing fees | 67,464 | 194,883 | 153,339 | 146,850 | |||
Trustee fees | 3,986 | 6,541 | 5,175 | 4,541 | |||
Other expenses | 33,412 | 38,520 | 36,827 | 35,786 | |||
Total Liabilities | 244,513 | 577,323 | 947,281 | 286,330 | |||
Net Assets | $429,093,095 | $1,261,697,884 | $1,018,505,074 | $ 970,676,692 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $457,339,897 | $1,383,042,595 | $1,095,570,974 | $1,024,121,477 | |||
Distributable earnings (loss) | (28,246,802) | (121,344,711) | (77,065,900) | (53,444,785) | |||
Net Assets | $429,093,095 | $1,261,697,884 | $1,018,505,074 | $ 970,676,692 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $100,978,243 | $ 306,471,744 | $ 263,692,386 | $ 242,360,338 | |||
Institutional shares outstanding | 9,391,100 | 27,803,284 | 23,035,654 | 21,505,237 | |||
Net asset value, offering and redemption price per Institutional share | $ 10.75 | $ 11.02 | $ 11.45 | $ 11.27 | |||
Net assets applicable to the Investor Class | $328,114,852 | $ 955,226,140 | $ 754,812,688 | $ 728,316,354 | |||
Investor shares outstanding | 30,560,907 | 86,804,860 | 66,094,790 | 65,077,752 | |||
Net asset value, offering and redemption price per Investor share | $ 10.74 | $ 11.00 | $ 11.42 | $ 11.19 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $ 967 | $ — | $ — | $ 2,220 | |||
Investments in securities of affiliated issuers, at cost | 450,959,415 | 1,361,908,692 | 1,069,891,201 | 997,885,010 | |||
Total investments, at cost | $450,960,382 | $1,361,908,692 | $1,069,891,201 | $ 997,887,230 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||
Investment Income | |||||||
Dividends | $ 497 | $ 40 | $ 557 | $ 936 | |||
Income distributions received from affiliated funds | 4,388,313 | 11,962,259 | 6,024,259 | 2,179,191 | |||
Interest | 1,840 | 10,602 | 19,536 | 25,822 | |||
Total Investment Income | 4,390,650 | 11,972,901 | 6,044,352 | 2,205,949 | |||
Expenses | |||||||
Investment advisory fees | 213,915 | 616,374 | 488,001 | 458,049 | |||
Transfer agent fees: | |||||||
Institutional shares | 1,948 | 2,024 | 1,915 | 1,869 | |||
Investor shares | 13,961 | 23,008 | 18,168 | 16,023 | |||
Custodian fees | 6,468 | 9,987 | 8,701 | 8,290 | |||
Shareholder servicing fees: | |||||||
Investor shares | 411,875 | 1,171,202 | 909,667 | 862,616 | |||
Accounting and administration fees | 7,686 | 20,411 | 16,374 | 15,388 | |||
Professional fees | 45,384 | 45,509 | 45,465 | 45,454 | |||
Blue sky fees: | |||||||
Institutional shares | 7,127 | 7,627 | 7,126 | 7,126 | |||
Investor shares | 8,231 | 8,238 | 8,587 | 7,675 | |||
Trustees expenses | 4,142 | 7,000 | 5,562 | 4,906 | |||
Line of credit facility fees | 863 | 2,464 | 1,929 | 1,803 | |||
Other expenses | 29,669 | 53,031 | 43,958 | 40,491 | |||
Total Expenses | 751,269 | 1,966,875 | 1,555,453 | 1,469,690 | |||
Net Investment Income | 3,639,381 | 10,006,026 | 4,488,899 | 736,259 | |||
Realized and Unrealized Gain (Loss) | |||||||
Capital gain distributions received from affiliated funds | 20,805 | 104,439 | 123,987 | — | |||
Net realized loss on investment securities of affiliated issuers | (5,723,093) | (17,265,104) | (17,994,758) | (19,145,473) | |||
Net realized gain (loss) on futures transactions | — | 108,547 | 71,139 | (5,093) | |||
Net realized loss | (5,702,288) | (17,052,118) | (17,799,632) | (19,150,566) | |||
Change in unrealized appreciation (depreciation) on investment securities of affiliated issuers | 20,635,293 | 91,930,250 | 108,992,171 | 134,297,546 | |||
Change in unrealized appreciation (depreciation) on futures | — | 58,207 | 63,304 | 91,380 | |||
Net change in unrealized appreciation (depreciation) | 20,635,293 | 91,988,457 | 109,055,475 | 134,388,926 | |||
Net Realized and Unrealized Gain | 14,933,005 | 74,936,339 | 91,255,843 | 115,238,360 | |||
Net Increase in Net Assets Resulting from Operations | $18,572,386 | $ 84,942,365 | $ 95,744,742 | $115,974,619 |
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 | ||||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income | $ 3,639,381 | $ 5,725,695 | $ 10,006,026 | $ 14,261,131 | |||
Net realized gain (loss) on investment securities and futures transactions | (5,702,288) | 3,287,510 | (17,052,118) | 17,536,938 | |||
Net change in unrealized appreciation (depreciation) on investment securities and futures | 20,635,293 | (66,147,252) | 91,988,457 | (293,192,262) | |||
Net increase (decrease) in net assets resulting from operations | 18,572,386 | (57,134,047) | 84,942,365 | (261,394,193) | |||
Distributions to Shareholders: | |||||||
Distributions paid | |||||||
Institutional shares | — | (4,771,114) | — | (19,961,623) | |||
Investor shares | — | (15,223,809) | — | (61,718,578) | |||
Return of capital | |||||||
Institutional shares | — | — | — | — | |||
Investor shares | — | — | — | — | |||
Total distributions | — | (19,994,923) | — | (81,680,201) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 8,796,749 | 31,328,624 | 17,509,743 | 53,552,809 | |||
Investor shares | 7,037,280 | 30,943,787 | 10,570,753 | 27,574,647 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | — | 4,744,242 | — | 19,589,091 | |||
Investor shares | — | 15,183,685 | — | 61,672,995 | |||
Total proceeds from shares sold and reinvested | 15,834,029 | 82,200,338 | 28,080,496 | 162,389,542 | |||
Value of shares redeemed | |||||||
Institutional shares | (10,753,793) | (64,218,095) | (22,076,431) | (167,853,847) | |||
Investor shares | (27,544,916) | (77,874,555) | (48,043,904) | (144,538,785) | |||
Total value of shares redeemed | (38,298,709) | (142,092,650) | (70,120,335) | (312,392,632) | |||
Net decrease from capital share transactions(1) | (22,464,680) | (59,892,312) | (42,039,839) | (150,003,090) | |||
Total increase (decrease) in net assets | (3,892,294) | (137,021,282) | 42,902,526 | (493,077,484) | |||
Net Assets: | |||||||
Beginning of Period | 432,985,389 | 570,006,671 | 1,218,795,358 | 1,711,872,842 | |||
End of Period | $429,093,095 | $ 432,985,389 | $1,261,697,884 | $1,218,795,358 |
(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 | |||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | |||
(Unaudited) | (Unaudited) | |||||
$ 4,488,899 | $ 10,206,764 | $ 736,259 | $ 9,148,197 | |||
(17,799,632) | (3,306,480) | (19,150,566) | 3,431,441 | |||
109,055,475 | (256,698,812) | 134,388,926 | (250,613,254) | |||
95,744,742 | (249,798,528) | 115,974,619 | (238,033,616) | |||
— | (21,105,665) | — | (25,308,110) | |||
— | (61,854,947) | — | (77,924,492) | |||
— | — | — | — | |||
— | — | — | — | |||
— | (82,960,612) | — | (103,232,602) | |||
14,567,655 | 42,584,905 | 10,547,607 | 25,773,583 | |||
9,741,884 | 21,081,035 | 7,822,062 | 15,322,598 | |||
— | 20,833,242 | — | 25,292,613 | |||
— | 61,789,216 | — | 77,918,252 | |||
24,309,539 | 146,288,398 | 18,369,669 | 144,307,046 | |||
(12,187,458) | (163,968,569) | (10,165,022) | (77,809,334) | |||
(36,002,055) | (112,149,457) | (32,250,224) | (82,646,759) | |||
(48,189,513) | (276,118,026) | (42,415,246) | (160,456,093) | |||
(23,879,974) | (129,829,628) | (24,045,577) | (16,149,047) | |||
71,864,768 | (462,588,768) | 91,929,042 | (357,415,265) | |||
946,640,306 | 1,409,229,074 | 878,747,650 | 1,236,162,915 | |||
$1,018,505,074 | $ 946,640,306 | $970,676,692 | $ 878,747,650 |
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 | ||||||||||||||||||||||
2023(3) | $10.29 | $0.10 | $ 0.36 | $ 0.46 | $ — | $ — | $ — | $10.75 | 4.47% | $ 100,978 | 0.16% | 0.16% | 1.92% | 6% | ||||||||
2022 | 11.99 | 0.14 | (1.33) | (1.19) | (0.19) | (0.32) | (0.51) | 10.29 | (9.93) | 98,566 | 0.16 | 0.16 | 1.28 | 15 | ||||||||
2021 | 11.97 | 0.11 | 0.38 | 0.49 | (0.22) | (0.25) | (0.47) | 11.99 | 4.07 | 146,436 | 0.15 | 0.15 | 0.92 | 6 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $10.29 | $0.09 | $ 0.36 | $ 0.45 | $ — | $ — | $ — | $10.74 | 4.37% | $ 328,115 | 0.41% | 0.41% | 1.64% | 6% | ||||||||
2022 | 11.99 | 0.13 | (1.35) | (1.22) | (0.16) | (0.32) | (0.48) | 10.29 | (10.17) | 334,419 | 0.41 | 0.41 | 1.14 | 15 | ||||||||
2021 | 11.97 | 0.08 | 0.38 | 0.46 | (0.19) | (0.25) | (0.44) | 11.99 | 3.81 | 423,571 | 0.40 | 0.40 | 0.65 | 6 | ||||||||
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 | ||||||||
Balanced Allocation Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $10.28 | $0.10 | $ 0.64 | $ 0.74 | $ — | $ — | $ — | $11.02 | 7.20% | $ 306,472 | 0.13% | 0.13% | 1.83% | 4% | ||||||||
2022 | 13.03 | 0.13 | (2.14) | (2.01) | (0.17) | (0.57) | (0.74) | 10.28 | (15.34) | 290,280 | 0.13 | 0.13 | 1.11 | 18 | ||||||||
2021 | 12.88 | 0.15 | 0.77 | 0.92 | (0.34) | (0.43) | (0.77) | 13.03 | 7.17 | 481,118 | 0.12 | 0.12 | 1.12 | 19 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $10.28 | $0.08 | $ 0.64 | $ 0.72 | $ — | $ — | $ — | $11.00 | 7.00% | $ 955,226 | 0.38% | 0.38% | 1.56% | 4% | ||||||||
2022 | 13.02 | 0.11 | (2.14) | (2.03) | (0.14) | (0.57) | (0.71) | 10.28 | (15.58) | 928,515 | 0.38 | 0.38 | 1.01 | 18 | ||||||||
2021 | 12.87 | 0.11 | 0.78 | 0.89 | (0.31) | (0.43) | (0.74) | 13.02 | 6.92 | 1,230,755 | 0.37 | 0.37 | 0.85 | 19 | ||||||||
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 | ||||||||
# | 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 0.50%, 0.59%, 0.66% and 0.71%, respectively for 2023. 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 is reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2023, 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 | ||||||||||||||||||||||
2023(3) | $10.38 | $0.06 | $ 1.01 | $ 1.07 | $ — | $ — | $ — | $11.45 | 10.31% | $263,692 | 0.13% | 0.13% | 1.12% | 5% | ||||||||
2022 | 13.83 | 0.11 | (2.55) | (2.44) | (0.03) | (0.98) | (1.01) | 10.38 | (17.73) | 236,709 | 0.13 | 0.13 | 0.96 | 22 | ||||||||
2021 | 13.25 | 0.14 | 1.42 | 1.56 | (0.40) | (0.58) | (0.98) | 13.83 | 11.82 | 440,338 | 0.12 | 0.12 | 0.96 | 17 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $10.36 | $0.05 | $ 1.01 | $ 1.06 | $ — | $ — | $ — | $11.42 | 10.23% | $754,813 | 0.38% | 0.38% | 0.85% | 5% | ||||||||
2022 | 13.82 | 0.11 | (2.59) | (2.48) | (—)† | (0.98) | (0.98) | 10.36 | (18.03) | 709,931 | 0.39 | 0.39 | 0.93 | 22 | ||||||||
2021 | 13.24 | 0.10 | 1.43 | 1.53 | (0.37) | (0.58) | (0.95) | 13.82 | 11.56 | 968,891 | 0.38 | 0.38 | 0.71 | 17 | ||||||||
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 | ||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(3) | $ 9.93 | $0.02 | $ 1.32 | $ 1.34 | $ — | $ — | $ — | $11.27 | 13.49% | $242,360 | 0.13% | 0.13% | 0.36% | 7% | ||||||||
2022 | 13.92 | 0.12 | (2.78) | (2.66) | (0.03) | (1.30) | (1.33) | 9.93 | (19.29) | 213,158 | 0.13 | 0.13 | 1.04 | 30 | ||||||||
2021 | 13.06 | 0.12 | 1.85 | 1.97 | (0.46) | (0.65) | (1.11) | 13.92 | 15.09 | 331,642 | 0.13 | 0.13 | 0.81 | 12 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(3) | $ 9.87 | $0.01 | $ 1.31 | $ 1.32 | $ — | $ — | $ — | $11.19 | 13.37% | $728,317 | 0.38% | 0.38% | 0.10% | 7% | ||||||||
2022 | 13.86 | 0.10 | (2.78) | (2.68) | (—)† | (1.31) | (1.31) | 9.87 | (19.57) | 665,590 | 0.39 | 0.39 | 0.90 | 30 | ||||||||
2021 | 13.00 | 0.08 | 1.85 | 1.93 | (0.42) | (0.65) | (1.07) | 13.86 | 14.89 | 904,521 | 0.38 | 0.38 | 0.54 | 12 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(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 0.50%, 0.59%, 0.66% and 0.71%, respectively for 2023. 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 is reflected in each Fund's total return. |
(3) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Par | Value | |||
AGENCY OBLIGATIONS — 37.7% | ||||
Federal Farm Credit Bank Discount Notes | ||||
5.00%, 09/11/23 | $ 3,870,000 | $ 3,831,300 | ||
4.65%, 10/16/23 | 1,125,000 | 1,109,451 | ||
4.65%, 11/13/23 | 1,125,000 | 1,105,383 | ||
Federal Farm Credit Banks Funding Corporation | ||||
(Floating, U.S. SOFR + 0.04%), 5.13%, 07/12/23† | 1,180,000 | 1,179,998 | ||
(Floating, U.S. SOFR + 0.03%), 5.12%, 07/25/23† | 4,655,000 | 4,654,991 | ||
(Floating, U.S. SOFR + 0.05%), 5.14%, 08/22/23† | 9,040,000 | 9,040,000 | ||
(Floating, U.S. SOFR + 0.05%), 5.14%, 09/28/23† | 6,010,000 | 6,010,000 | ||
(Floating, U.S. SOFR + 0.05%), 5.14%, 10/16/23† | 9,935,000 | 9,935,000 | ||
(Floating, U.S. SOFR + 0.06%), 5.15%, 11/22/23† | 11,060,000 | 11,060,000 | ||
(Floating, U.S. SOFR + 0.06%), 5.15%, 01/10/24† | 1,660,000 | 1,660,000 | ||
(Floating, U.S. SOFR + 0.05%), 5.14%, 02/20/24† | 13,140,000 | 13,140,000 | ||
(Floating, U.S. SOFR + 0.05%), 5.14%, 05/09/24† | 7,680,000 | 7,680,000 | ||
(Floating, U.S. SOFR + 0.10%), 5.19%, 08/01/24† | 3,425,000 | 3,425,000 | ||
(Floating, U.S. SOFR + 0.09%), 5.18%, 08/26/24† | 16,270,000 | 16,270,000 | ||
(Floating, U.S. SOFR + 0.14%), 5.23%, 11/07/24† | 8,840,000 | 8,840,000 | ||
Federal Home Loan Bank | ||||
(Floating, U.S. SOFR + 0.06%), 5.02%, 07/03/23† | 4,750,000 | 4,750,000 | ||
(Floating, U.S. SOFR + 0.02%), 5.11%, 07/13/23† | 30,300,000 | 30,300,000 | ||
(Floating, U.S. SOFR + 0.00%), 5.09%, 08/03/23† | 41,900,000 | 41,900,000 | ||
(Floating, U.S. SOFR + 0.00%), 5.09%, 08/08/23† | 28,200,000 | 28,200,000 | ||
(Floating, U.S. SOFR + 0.07%), 5.16%, 08/22/23† | 6,395,000 | 6,395,000 | ||
(Floating, U.S. SOFR + 0.01%), 5.10%, 08/25/23† | 22,540,000 | 22,540,000 | ||
3.38%, 09/01/23 | 11,995,000 | 11,990,599 | ||
(Floating, U.S. SOFR + 0.06%), 5.15%, 09/05/23† | 22,255,000 | 22,255,000 | ||
(Floating, U.S. SOFR + 0.02%), 5.11%, 09/08/23† | 17,400,000 | 17,400,000 | ||
(Floating, U.S. SOFR + 0.09%), 5.18%, 09/08/23† | 10,255,000 | 10,255,000 |
Par | Value | |||
(Floating, U.S. SOFR + 0.02%), 5.11%, 09/18/23† | $31,870,000 | $ 31,870,000 | ||
(Floating, U.S. SOFR + 0.02%), 5.11%, 09/19/23† | 36,000,000 | 36,000,000 | ||
(Floating, U.S. SOFR + 0.03%), 5.12%, 09/19/23† | 25,725,000 | 25,725,000 | ||
(Floating, U.S. SOFR + 0.07%), 5.16%, 09/25/23† | 4,385,000 | 4,385,000 | ||
(Floating, U.S. SOFR + 0.04%), 5.13%, 09/26/23† | 39,000,000 | 39,000,000 | ||
(Floating, U.S. SOFR + 0.10%), 5.19%, 10/06/23† | 6,060,000 | 6,060,000 | ||
(Floating, U.S. SOFR + 0.07%), 5.16%, 11/30/23† | 7,215,000 | 7,215,000 | ||
(Floating, U.S. SOFR + 0.08%), 5.17%, 01/24/24† | 23,000,000 | 23,000,000 | ||
5.45%, 03/08/24 | 5,070,000 | 5,067,804 | ||
5.40%, 03/27/24 | 14,030,000 | 14,030,000 | ||
Federal Home Loan Bank Discount Notes | ||||
4.86%, 07/14/23 | 2,520,000 | 2,515,577 | ||
5.01%, 07/19/23 | 10,510,000 | 10,483,199 | ||
4.92%, 07/25/23 | 14,695,000 | 14,646,409 | ||
2.34%, 08/04/23 | 4,580,000 | 4,559,609 | ||
4.96%, 08/16/23 | 7,895,000 | 7,844,459 | ||
5.09%, 08/23/23 | 8,525,000 | 8,460,364 | ||
4.79%, 08/29/23 | 4,700,000 | 4,662,873 | ||
4.96%, 09/01/23 | 7,465,000 | 7,400,847 | ||
4.99%, 09/15/23 | 30,020,000 | 29,703,756 | ||
4.64%, 02/02/24 | 5,265,000 | 5,117,159 | ||
4.94%, 02/09/24 | 22,035,000 | 21,358,492 | ||
Total Agency Obligations (Cost $604,032,270) | 604,032,270 | |||
U.S. TREASURY OBLIGATIONS — 5.0% | ||||
U.S. Treasury Bills | ||||
4.16%, 08/01/23Ω | 9,200,000 | 9,164,914 | ||
4.92%, 08/10/23Ω | 45,280,000 | 45,022,318 | ||
4.99%, 09/14/23Ω | 5,750,000 | 5,688,307 | ||
4.90%, 06/13/24Ω | 5,270,000 | 5,018,849 | ||
64,894,388 | ||||
U.S. Treasury Floating Rate Notes | ||||
(Floating, U.S. Treasury 3M Bill MMY - 0.08%), 5.23%, 04/30/24† | 15,920,000 | 15,912,809 | ||
Total U.S. Treasury Obligations (Cost $80,807,197) | 80,807,197 |
Par | Value | |||
REPURCHASE AGREEMENTS — 57.8% | ||||
Bank of Nova Scotia | ||||
5.04% (dated 6/30/2023, due 07/03/2023, repurchase price $100,042,000, collaterized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 4.500%, due 7/25/2023 to 08/15/2052, total market value $102,042,857) | $100,000,000 | $100,000,000 | ||
BNP Paribas | ||||
5.05% (dated 6/30/2023, due 07/03/2023, repurchase price $76,031,983, collaterized by U.S. Treasury Bills, U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 3.875%, due 7/25/2023 to 08/15/2046, total market value $77,520,071) | 76,000,000 | 76,000,000 | ||
5.05% (dated 6/30/2023, due 07/03/2023, repurchase price $50,021,042, collaterized by Federal National Mortgage Association, Government National Mortgage Association, U.S. Treasury Bills, U.S. Treasury Bonds, U.S. Treasury Notes, and Federal Home Loan Mortgage Corporation, 0.000% to 6.000%, due 11/02/2023 to 06/01/2053, total market value $51,000,062) | 50,000,000 | 50,000,000 | ||
Citigroup Global Markets, Inc. | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $100,042,167, collaterized by U.S. Treasury Notes, 1.375% to 4.625%, due 02/28/2025 to 11/15/2031, total market value $102,000,020) | 100,000,000 | 100,000,000 | ||
Goldman Sachs & Co. | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $100,042,167, collaterized by Government National Mortgage Association, 2.500% to 7.000%, due 02/20/2045 to 06/15/2064, total market value $102,000,000) | 100,000,000 | 100,000,000 | ||
Mitsubishi UFJ Securities USA, Inc. | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $100,042,167, collaterized by Federal Home Loan Mortgage Corporation and Federal National Mortgage Association, 2.210% to 5.500%, due 09/01/2027 to 05/01/2053, total market value $103,000,000) | 100,000,000 | 100,000,000 |
Par | Value | |||
Mizuho Securities USA, Inc. | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $99,041,745, collaterized by U.S. Treasury Bonds, 1.625% to 6.000%, due 02/15/2026 to 08/15/2052, total market value $100,980,079) | $ 99,000,000 | $ 99,000,000 | ||
Morgan Stanley | ||||
5.05% (dated 6/30/2023, due 07/03/2023, repurchase price $100,042,083, collaterized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.000% to 6.250%, due 08/31/2024 to 05/15/2040, total market value $102,000,083) | 100,000,000 | 100,000,000 | ||
Natixis S.A. | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $105,044,275, collaterized by U.S. Treasury Bonds and U.S. Treasury Notes, 0.125% to 4.000%, due 10/31/2024 to 02/15/2051, total market value $107,100,001) | 105,000,000 | 105,000,000 | ||
TD Securities USA LLC | ||||
5.06% (dated 6/30/2023, due 07/03/2023, repurchase price $95,040,058, collaterized by Federal National Mortgage Association, 3.500% to 6.500%, due 07/01/2046 to 07/01/2053, total market value $97,850,001) | 95,000,000 | 95,000,000 | ||
Total Repurchase Agreements (Cost $925,000,000) | 925,000,000 | |||
TOTAL INVESTMENTS —100.5% (Cost $1,609,839,467) | 1,609,839,467 | |||
Liabilities in Excess of Other Assets — (0.5)% | (8,011,546) | |||
NET ASSETS — 100.0% | $1,601,827,921 |
% | |
Repurchase Agreements | 57.8 |
Agency Obligations | 37.7 |
U.S. Treasury Obligations | 5.0 |
100.5 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 604,032,270 | $ — | $ 604,032,270 | $ — | |||
Repurchase Agreements | 925,000,000 | — | 925,000,000 | — | |||
U.S. Treasury Obligations | 80,807,197 | — | 80,807,197 | — | |||
Total Assets - Investments in Securities | $1,609,839,467 | $ — | $1,609,839,467 | $ — |
Par | Value | |||
AGENCY OBLIGATIONS — 5.7% | ||||
Federal Farm Credit Banks Funding Corporation | ||||
0.70%, 01/27/27 | $2,000,000 | $ 1,751,133 | ||
2.25%, 08/15/29 | 1,000,000 | 883,153 | ||
2.17%, 10/29/29 | 750,000 | 657,565 | ||
1.68%, 09/17/35 | 2,300,000 | 1,670,566 | ||
Federal Home Loan Bank | ||||
5.51%, 04/01/24 | 1,170,000 | 1,166,703 | ||
5.55%, 04/05/24 | 1,200,000 | 1,196,397 | ||
5.37%, 05/21/24 | 3,000,000 | 2,994,260 | ||
1.04%, 06/14/24 | 1,000,000 | 958,201 | ||
0.41%, 09/17/24 | 2,340,000 | 2,201,088 | ||
5.30%, 12/06/24 | 6,200,000 | 6,153,474 | ||
5.00%, 02/28/25 | 3,400,000 | 3,391,376 | ||
5.50%, 05/08/25 | 3,000,000 | 2,981,979 | ||
0.60%, 12/30/26 | 2,000,000 | 1,724,600 | ||
0.92%, 02/26/27 | 3,300,000 | 2,905,029 | ||
2.06%, 09/27/29 | 1,000,000 | 862,756 | ||
2.18%, 11/06/29 | 750,000 | 657,636 | ||
1.61%, 01/27/33 | 600,000 | 466,243 | ||
Federal Home Loan Mortgage Corporation | ||||
5.31%, 11/15/24 | 6,000,000 | 5,957,593 | ||
5.36%, 11/22/24 | 4,000,000 | 3,973,363 | ||
5.68%, 04/03/25 | 2,700,000 | 2,687,815 | ||
5.73%, 04/03/25 | 2,700,000 | 2,688,985 | ||
5.55%, 05/09/25 | 3,500,000 | 3,493,182 | ||
4.20%, 08/28/25 | 1,300,000 | 1,274,352 | ||
0.80%, 10/28/26 | 4,000,000 | 3,544,909 | ||
Federal National Mortgage Association | ||||
0.70%, 07/30/25 | 6,000,000 | 5,499,506 | ||
0.74%, 08/25/27 | 2,000,000 | 1,715,682 | ||
0.81%, 09/25/28 | 1,000,000 | 829,177 | ||
Total Agency Obligations (Cost $65,822,994) | 64,286,723 | |||
ASSET-BACKED SECURITIES — 20.2% | ||||
ACAS CLO, Ltd., Series 2015-1A, Class AR3 | ||||
(Floating, ICE LIBOR USD 3M + 0.89%, 0.89% Floor), 6.15%, 10/18/28 144A † | 196,497 | 195,089 | ||
AGL CLO 20, Ltd., Series 2022-20A, Class B | ||||
(Floating, CME Term SOFR 3M + 2.95%, 2.95% Floor), 8.00%, 07/20/35 144A † | 250,000 | 250,346 |
Par | Value | |||
AIMCO CLO, Series 2017-AA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 6.30%, 04/20/34 144A † | $1,000,000 | $ 989,368 | ||
Allegro CLO VII, Ltd., Series 2018-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 6.36%, 06/13/31 144A † | 500,000 | 495,391 | ||
American Express Credit Account Master Trust, Series 2022-2, Class A | ||||
3.39%, 05/15/27 | 2,141,000 | 2,067,455 | ||
American Express Credit Account Master Trust, Series 2022-3, Class A | ||||
3.75%, 08/15/27 | 1,027,000 | 996,375 | ||
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B | ||||
0.97%, 02/18/26 | 93,977 | 93,180 | ||
AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3 | ||||
4.38%, 04/18/28 | 3,250,000 | 3,186,437 | ||
AMMC CLO XIII, Ltd., Series 2013-13A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.05%), 6.32%, 07/24/29 144A † | 889,377 | 885,834 | ||
Anchorage Capital CLO 7, Ltd., Series 2015-7A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 2.20%, 2.20% Floor), 7.47%, 01/28/31 144A † | 450,000 | 443,016 | ||
Apidos CLO XII, Series 2013-12A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 6.34%, 04/15/31 144A † | 2,600,000 | 2,588,723 | ||
Apidos CLO XXII, Series 2015-22A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.50%), 6.75%, 04/20/31 144A † | 250,000 | 247,265 | ||
Apidos CLO XXVI, Series 2017-26A, Class A1AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%, 0.90% Floor), 6.16%, 07/18/29 144A † | 246,968 | 245,798 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 6.29%, 05/15/36 144A † | 500,000 | 492,716 |
Par | Value | |||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 6.54%, 11/15/36 144A † | $ 580,000 | $ 570,656 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL2, Class A | ||||
(Floating, CME Term SOFR 1M + 1.85%, 1.85% Floor), 7.00%, 05/15/37 144A † | 220,000 | 217,376 | ||
Ares LVI CLO, Ltd., Series 2020-56A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 6.42%, 10/25/34 144A † | 250,000 | 245,503 | ||
BA Credit Card Trust, Series 2022-A1, Class A1 | ||||
3.53%, 11/15/27 | 693,000 | 669,665 | ||
BA Credit Card Trust, Series 2022-A2, Class A2 | ||||
5.00%, 04/15/28 | 1,295,000 | 1,289,561 | ||
BA Credit Card Trust, Series 2023-A1, Class A1 | ||||
4.79%, 05/15/28 | 2,313,000 | 2,298,503 | ||
Bain Capital Credit CLO, Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.96%), 6.23%, 04/23/31 144A † | 330,000 | 326,214 | ||
BDS, Ltd., Series 2020-FL5, Class A | ||||
(Floating, CME Term SOFR 1M + 1.26%, 1.15% Floor), 6.36%, 02/16/37 144A † | 159,329 | 159,413 | ||
BDS, Ltd., Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.07%, 1.07% Floor), 6.23%, 06/16/36 144A † | 1,450,000 | 1,414,668 | ||
Benefit Street Partners CLO II, Ltd., Series 2013-IIA, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.45%, 1.45% Floor), 6.71%, 07/15/29 144A † | 300,000 | 301,449 | ||
BHG Securitization Trust, Series 2022-B, Class A | ||||
3.75%, 06/18/35 144A | 50,011 | 49,269 | ||
BlueMountain CLO XXII, Ltd., Series 2018-22A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 6.34%, 07/15/31 144A † | 300,000 | 297,216 | ||
BMW Canada Auto Trust, Series 2021-1A, Class A2 | ||||
0.50%, 07/20/24(C) 144A | 154,539 | 116,372 | ||
BMW Vehicle Lease Trust, Series 2023-1, Class A3 | ||||
5.16%, 11/25/25 | 1,100,000 | 1,093,104 | ||
BRSP, Ltd., Series 2021-FL1, Class A | ||||
(Floating, CME Term SOFR 1M + 1.26%, 1.26% Floor), 6.36%, 08/19/38 144A † | 2,600,000 | 2,531,880 |
Par | Value | |||
Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A | ||||
3.49%, 05/15/27 | $1,598,000 | $1,545,608 | ||
Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A | ||||
4.95%, 10/15/27 | 2,528,000 | 2,512,743 | ||
Capital One Multi-Asset Execution Trust, Series 2023-A1, Class A | ||||
4.42%, 05/15/28 | 1,215,000 | 1,195,102 | ||
CarMax Auto Owner Trust, Series 2022-2, Class A3 | ||||
3.49%, 02/16/27 | 738,000 | 719,156 | ||
Carmax Auto Owner Trust, Series 2022-4, Class A2A | ||||
5.34%, 12/15/25 | 1,280,616 | 1,277,505 | ||
Carmax Auto Owner Trust, Series 2023-2, Class A2B | ||||
(Floating, U.S. 30-Day Average SOFR + 0.85%), 5.92%, 06/15/26† | 1,000,000 | 1,003,446 | ||
Carmax Auto Owner Trust, Series 2023-2, Class A3 | ||||
5.05%, 01/18/28 | 2,200,000 | 2,186,468 | ||
CARS-DB4 LP, Series 2020-1A, Class A1 | ||||
2.69%, 02/15/50 144A | 311,770 | 292,764 | ||
CARS-DB5 LP, Series 2021-1A, Class A1 | ||||
1.44%, 08/15/51 144A | 1,919,467 | 1,659,984 | ||
Carvana Auto Receivables Trust, Series 2022-P2, Class A3 | ||||
4.13%, 04/12/27 | 2,350,000 | 2,286,439 | ||
Carvana Auto Receivables Trust, Series 2023-P2, Class A3 | ||||
5.42%, 04/10/28 144A | 1,700,000 | 1,673,928 | ||
CCG Receivables Trust, Series 2022-1, Class A2 | ||||
3.91%, 07/16/29 144A | 2,617,468 | 2,566,818 | ||
Cedar Funding VI CLO, Ltd., Series 2016-6A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 6.30%, 04/20/34 144A † | 550,000 | 538,045 | ||
Cedar Funding X CLO, Ltd., Series 2019-10A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.60%, 1.60% Floor), 6.85%, 10/20/32 144A † | 250,000 | 246,008 | ||
Chesapeake Funding II LLC, Series 2020-1A, Class B | ||||
1.24%, 08/15/32 144A | 100,000 | 98,607 | ||
Chesapeake Funding II LLC, Series 2023-1A, Class A1 | ||||
5.65%, 05/15/35 144A | 975,736 | 968,406 | ||
CIFC Funding, Ltd., Series 2012-2RA, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 6.05%, 01/20/28 144A † | 91,904 | 91,661 |
Par | Value | |||
CIFC Funding, Ltd., Series 2014-2RA, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 6.32%, 04/24/30 144A † | $ 457,701 | $ 454,528 | ||
CIFC Funding, Ltd., Series 2017-3A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.22%), 6.47%, 07/20/30 144A † | 1,857,627 | 1,853,548 | ||
CIFC Funding, Ltd., Series 2017-5A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 6.44%, 11/16/30 144A † | 1,178,328 | 1,170,657 | ||
CIFC Funding, Ltd., Series 2018-3A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 6.36%, 07/18/31 144A † | 500,000 | 495,625 | ||
CIFC Funding, Ltd., Series 2021-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 6.40%, 07/15/34 144A † | 250,000 | 246,251 | ||
CLNC, Ltd., Series 2019-FL1, Class A | ||||
(Floating, CME Term SOFR 1M + 1.36%, 1.25% Floor), 6.46%, 08/20/35 144A † | 32,160 | 31,907 | ||
CNH Equipment Trust, Series 2022-B, Class A3 | ||||
3.89%, 08/16/27 | 2,700,000 | 2,626,382 | ||
College Ave Student Loans LLC, Series 2021-B, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor), 5.95%, 06/25/52 144A † | 177,527 | 172,073 | ||
College Ave Student Loans LLC, Series 2021-C, Class B | ||||
2.72%, 07/26/55 144A | 100,000 | 83,429 | ||
College Ave Student Loans LLC, Series 2023-A, Class A1 | ||||
(Floating, 1.90% - CME Term SOFR 1M, 1.90% Floor), 0.00%, 05/25/55 144A † | 571,000 | 574,131 | ||
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A | ||||
0.96%, 02/15/30 144A | 484,995 | 475,424 | ||
Credit Acceptance Auto Loan Trust, Series 2022-1A, Class A | ||||
4.60%, 06/15/32 144A | 620,000 | 602,328 | ||
CSAB Mortgage-Backed Trust, Series 2006-2, Class A6A | ||||
(Step to 6.09% on 07/25/36), 5.72%, 09/25/36 STEP | 235,604 | 78,480 | ||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 5.69%, 12/25/34† | 580,108 | 560,760 |
Par | Value | |||
Daimler Trucks Retail Trust, Series 2022-1, Class A2 | ||||
5.07%, 09/16/24 | $ 977,808 | $ 974,365 | ||
Dell Equipment Finance Trust, Series 2023-1, Class A3 | ||||
5.65%, 09/22/28 144A | 1,600,000 | 1,603,029 | ||
Dell Equipment Finance Trust, Series 2023-2, Class A3 | ||||
5.65%, 01/22/29 144A | 1,600,000 | 1,602,776 | ||
Dewolf Park CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.90% Floor), 6.18%, 10/15/30 144A † | 2,947,598 | 2,926,941 | ||
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A | ||||
1.76%, 04/15/49 144A | 1,650,000 | 1,418,736 | ||
Diamond Issuer, Series 2021-1A, Class A | ||||
2.31%, 11/20/51 144A | 1,750,000 | 1,496,653 | ||
Discover Card Execution Note Trust, Series 2023-A1, Class A | ||||
4.31%, 03/15/28 | 1,232,000 | 1,205,898 | ||
Discover Card Execution Note Trust, Series 2023-A2, Class A | ||||
4.93%, 06/15/28 | 1,638,000 | 1,632,889 | ||
Drive Auto Receivables Trust, Series 2021-3, Class B | ||||
1.11%, 05/15/26 | 1,138,731 | 1,125,475 | ||
Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3 | ||||
(Floating, CME Term SOFR 3M + 1.28%, 1.02% Floor), 6.27%, 04/15/29 144A † | 203,133 | 202,410 | ||
Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 6.29%, 04/20/34 144A † | 1,000,000 | 991,017 | ||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.90%), 6.16%, 04/15/29 144A † | 838,093 | 832,154 | ||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A | ||||
3.58%, 11/25/38 144A | 155,106 | 145,063 | ||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A | ||||
1.80%, 11/25/45 144A | 63,548 | 55,304 | ||
ELFI Graduate Loan Program LLC, Series 2021-A, Class A | ||||
1.53%, 12/26/46 144A | 3,292,262 | 2,800,456 | ||
ELFI Graduate Loan Program LLC, Series 2022-A, Class A | ||||
4.51%, 08/26/47 144A | 399,185 | 380,050 |
Par | Value | |||
Enterprise Fleet Financing LLC, Series 2022-1, Class A2 | ||||
3.03%, 01/20/28 144A | $ 677,812 | $ 660,294 | ||
Enterprise Fleet Financing LLC, Series 2023-1, Class A2 | ||||
5.51%, 01/22/29 144A | 6,124,000 | 6,111,862 | ||
Enterprise Fleet Financing LLC, Series 2023-2, Class A2 | ||||
5.56%, 04/22/30 144A | 1,083,000 | 1,080,322 | ||
Enterprise Fleet Financing LLC, Series 2023-2, Class A3 | ||||
5.50%, 04/22/30 144A | 219,000 | 216,819 | ||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class A | ||||
2.51%, 10/20/39(C) 144A | 460,000 | 331,207 | ||
FHLMC Structured Pass-Through Certificates, Series T-32, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.26%, 0.26% Floor), 5.28%, 08/25/31† | 131,330 | 131,687 | ||
Flexential Issuer, Series 2021-1A, Class A2 | ||||
3.25%, 11/27/51 144A | 1,550,000 | 1,355,011 | ||
Ford Auto Securitization Trust, Series 2023-AA, Class A1 | ||||
5.21%, 06/15/25(C) 144A | 2,497,650 | 1,883,640 | ||
Ford Credit Auto Owner Trust, Series 2022-D, Class A2A | ||||
5.37%, 08/15/25 | 1,320,672 | 1,317,808 | ||
Ford Credit Auto Owner Trust, Series 2023-1, Class A | ||||
4.85%, 08/15/35 144A | 1,259,000 | 1,233,774 | ||
Ford Credit Auto Owner Trust, Series 2023-A, Class A3 | ||||
4.65%, 02/15/28 | 215,000 | 212,612 | ||
Ford Credit Auto Owner Trust, Series 2023-B, Class A3 | ||||
5.23%, 05/15/28 | 534,000 | 533,519 | ||
Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A | ||||
4.06%, 11/15/30 | 440,000 | 416,946 | ||
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class A1 | ||||
4.92%, 05/15/28 144A | 4,498,000 | 4,454,247 | ||
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class A2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.25%), 6.32%, 05/15/28 144A † | 290,000 | 292,368 | ||
Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class B | ||||
5.31%, 05/15/28 144A | 310,000 | 304,580 | ||
FS Rialto Issuer LLC, Series 2022-FL6, Class A | ||||
(Floating, CME Term SOFR 1M + 2.58%, 2.58% Floor), 7.66%, 08/17/37 144A † | 265,000 | 264,800 | ||
FS RIALTO, Series 2021-FL2, Class A | ||||
(Floating, CME Term SOFR 1M + 1.33%, 1.33% Floor), 6.44%, 05/16/38 144A † | 265,524 | 258,607 |
Par | Value | |||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class B | ||||
2.03%, 04/16/25 | $ 390,000 | $ 386,993 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class C | ||||
2.18%, 05/16/25 | 300,000 | 297,732 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2022-3, Class A3 | ||||
3.64%, 04/16/27 | 556,000 | 540,181 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2022-4, Class A4 | ||||
4.88%, 08/16/28 | 3,900,000 | 3,878,457 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2023-2, Class A3 | ||||
4.47%, 02/16/28 | 473,000 | 464,967 | ||
GMF Floorplan Owner Revolving Trust, Series 2019-2, Class A | ||||
2.90%, 04/15/26 144A | 2,000,000 | 1,955,966 | ||
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A1 | ||||
5.34%, 06/15/28 144A | 1,244,000 | 1,243,558 | ||
Golden Credit Card Trust, Series 2022-4A, Class A | ||||
4.31%, 09/15/27 144A | 3,000,000 | 2,932,992 | ||
Goldentree Loan Management U.S. CLO 1, Ltd., Series 2017-1A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 6.27%, 04/20/34 144A † | 348,000 | 345,029 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-4GS, Class A | ||||
1.93%, 07/20/48 144A | 126,520 | 96,477 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class A | ||||
2.70%, 01/20/49 144A | 107,915 | 86,601 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A | ||||
4.00%, 04/20/49 144A | 63,497 | 55,731 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-3CS, Class A | ||||
4.95%, 07/20/49 144A | 449,018 | 413,110 | ||
GPMT, Ltd., Series 2021-FL4, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.35%, 1.35% Floor), 6.50%, 12/15/36 144A † | 295,000 | 286,755 | ||
Greystone CRE Notes, Ltd., Series 2019-FL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 6.37%, 09/15/37 144A † | 797,733 | 795,284 |
Par | Value | |||
Gulf Stream Meridian 4, Ltd., Series 2021-4A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 6.46%, 07/15/34 144A † | $ 900,000 | $ 889,125 | ||
Hertz Vehicle Financing LLC, Series 2021-1A, Class A | ||||
1.21%, 12/26/25 144A | 1,700,000 | 1,593,758 | ||
Honda Auto Receivables Owner Trust, Series 2023-2, Class A3 | ||||
4.93%, 11/15/27 | 828,000 | 823,373 | ||
HPEFS Equipment Trust, Series 2023-1A, Class A3 | ||||
5.41%, 02/22/28 144A | 3,000,000 | 2,995,594 | ||
HPS Loan Management, Ltd., Series 2017-11A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.02%, 1.02% Floor), 6.34%, 05/06/30 144A † | 392,181 | 390,271 | ||
Hyundai Auto Lease Securitization Trust, Series 2023-B, Class A2A | ||||
5.47%, 09/15/25 144A | 2,800,000 | 2,786,498 | ||
Hyundai Auto Receivables Trust, Series 2022-B, Class A3 | ||||
3.72%, 11/16/26 | 409,000 | 398,443 | ||
Hyundai Auto Receivables Trust, Series 2023-A, Class A3 | ||||
4.58%, 04/15/27 | 1,352,000 | 1,332,028 | ||
John Deere Owner Trust, Series 2023-B, Class A3 | ||||
5.18%, 03/15/28 | 582,000 | 581,693 | ||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, CME Term SOFR 1M + 1.31%, 1.31% Floor), 6.46%, 12/13/38 144A † | 1,600,000 | 1,570,042 | ||
LCM XX LP, Series 20A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 6.29%, 10/20/27 144A † | 153,166 | 153,052 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 280,000 | 242,001 | ||
LoanCore Issuer, Ltd., Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 6.49%, 07/15/36 144A † | 2,490,000 | 2,424,674 | ||
LoanCore Issuer, Ltd., Series 2021-CRE6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.30%, 1.30% Floor), 6.49%, 11/15/38 144A † | 300,000 | 289,560 | ||
Madison Park Funding XIII, Ltd., Series 2014-13A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.90%), 7.17%, 04/19/30 144A † | 400,000 | 393,476 | ||
Madison Park Funding XIX, Ltd., Series 2015-19A, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.50%, 1.50% Floor), 6.77%, 01/22/28 144A † | 600,000 | 596,595 |
Par | Value | |||
Madison Park Funding XLI, Ltd., Series 12A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.83%), 6.10%, 04/22/27 144A † | $ 261,878 | $ 260,207 | ||
Madison Park Funding XVII, Ltd., Series 2015-17A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%), 6.26%, 07/21/30 144A † | 4,180,231 | 4,156,701 | ||
Madison Park Funding XXIII, Ltd., Series 2017-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.97%, 0.97% Floor), 6.26%, 07/27/31 144A † | 968,376 | 960,977 | ||
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 0.75%, 0.75% Floor), 6.01%, 04/15/29 144A † | 2,279,866 | 2,259,341 | ||
Madison Park Funding XXXVII, Ltd., Series 2019-37A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 6.91%, 07/15/33 144A † | 250,000 | 246,904 | ||
Magnetite VII, Ltd., Series 2012-7A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%), 6.06%, 01/15/28 144A † | 2,035,428 | 2,027,953 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 0.98%, 0.98% Floor), 6.24%, 04/15/31 144A † | 520,592 | 516,247 | ||
Mariner Finance Issuance Trust, Series 2019-AA, Class A | ||||
2.96%, 07/20/32 144A | 50,640 | 50,279 | ||
Mariner Finance Issuance Trust, Series 2020-AA, Class A | ||||
2.19%, 08/21/34 144A | 140,000 | 134,649 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 110,000 | 96,681 | ||
MBarc Credit Canada, Inc., Series 2021-AA, Class A2 | ||||
0.63%, 05/15/24(C) 144A | 178,300 | 134,421 | ||
MMAF Equipment Finance LLC, Series 2022-B, Class A2 | ||||
5.57%, 09/09/25 144A | 2,200,000 | 2,188,705 | ||
Morgan Stanley Eaton Vance CLO, Ltd., Series 2021-1A, Class B | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 6.92%, 10/20/34 144A † | 255,000 | 249,771 | ||
Mosaic Solar Loan Trust, Series 2022-1A, Class A | ||||
2.64%, 01/20/53 144A | 191,008 | 163,235 | ||
Mosaic Solar Loan Trust, Series 2022-2A, Class A | ||||
4.38%, 01/21/53 144A | 125,904 | 116,809 |
Par | Value | |||
Mosaic Solar Loan Trust, Series 2022-3A, Class A | ||||
6.10%, 06/20/53 144A | $ 135,097 | $ 135,187 | ||
Navient Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.46%, 11/15/68 144A | 401,821 | 369,100 | ||
Navient Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 6.09%, 11/15/68 144A † | 66,970 | 65,900 | ||
Navient Private Education Refinancing Loan Trust, Series 2018-DA, Class A2A | ||||
4.00%, 12/15/59 144A | 306,488 | 292,437 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-CA, Class A2 | ||||
3.13%, 02/15/68 144A | 139,555 | 131,959 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-EA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.92%), 6.11%, 05/15/68 144A † | 264,580 | 262,332 | ||
Navient Private Education Refinancing Loan Trust, Series 2019-GA, Class A | ||||
2.40%, 10/15/68 144A | 176,547 | 162,604 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-DA, Class A | ||||
1.69%, 05/15/69 144A | 581,583 | 522,546 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-FA, Class A | ||||
1.22%, 07/15/69 144A | 264,545 | 235,000 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-HA, Class A | ||||
1.31%, 01/15/69 144A | 816,871 | 738,509 | ||
Navient Private Education Refinancing Loan Trust, Series 2020-IA, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 6.19%, 04/15/69 144A † | 1,321,687 | 1,301,180 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-A, Class A | ||||
0.84%, 05/15/69 144A | 378,220 | 328,389 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-CA, Class A | ||||
1.06%, 10/15/69 144A | 1,435,425 | 1,239,274 |
Par | Value | |||
Navient Private Education Refinancing Loan Trust, Series 2021-DA, Class A | ||||
(Floating, Prime Rate U.S. - 1.99%), 6.26%, 04/15/60 144A † | $ 838,048 | $ 783,496 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-EA, Class A | ||||
0.97%, 12/16/69 144A | 932,902 | 789,324 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class A | ||||
1.11%, 02/18/70 144A | 1,244,175 | 1,039,751 | ||
Navient Private Education Refinancing Loan Trust, Series 2022-A, Class A | ||||
2.23%, 07/15/70 144A | 1,452,408 | 1,260,613 | ||
Navient Private Education Refinancing Loan Trust, Series 2022-BA, Class A | ||||
4.16%, 10/15/70 144A | 1,136,871 | 1,075,539 | ||
Navient Student Loan Trust, Series 2017-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%), 6.20%, 12/27/66 144A † | 723,348 | 716,579 | ||
Navient Student Loan Trust, Series 2017-5A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 5.95%, 07/26/66 144A † | 669,752 | 651,230 | ||
Navient Student Loan Trust, Series 2018-EA, Class A2 | ||||
4.00%, 12/15/59 144A | 32,758 | 31,675 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2A | ||||
3.39%, 12/15/59 144A | 206,924 | 195,581 | ||
Navient Student Loan Trust, Series 2019-BA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.98%), 6.17%, 12/15/59 144A † | 180,396 | 177,858 | ||
Nelnet Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.80%), 5.95%, 09/25/65 144A † | 533,857 | 528,387 | ||
Nelnet Student Loan Trust, Series 2021-A, Class APT2 | ||||
1.36%, 04/20/62 144A | 543,516 | 482,530 | ||
Nelnet Student Loan Trust, Series 2021-BA, Class AFX | ||||
1.42%, 04/20/62 144A | 511,127 | 454,537 |
Par | Value | |||
Nelnet Student Loan Trust, Series 2021-CA, Class AFL | ||||
(Floating, ICE LIBOR USD 1M + 0.74%), 5.89%, 04/20/62 144A † | $1,200,448 | $1,178,716 | ||
Nelnet Student Loan Trust, Series 2021-DA, Class AFX | ||||
1.63%, 04/20/62 144A | 444,244 | 398,593 | ||
Neuberger Berman CLO XVI-S, Ltd., Series 2017-16SA, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 6.30%, 04/15/34 144A † | 1,145,000 | 1,124,668 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2017-26A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.92%, 0.92% Floor), 6.18%, 10/18/30 144A † | 669,558 | 664,678 | ||
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3 | ||||
4.91%, 11/15/27 | 3,752,000 | 3,722,293 | ||
OCP CLO, Ltd., Series 2017-13A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.55%, 1.55% Floor), 6.81%, 07/15/30 144A † | 900,000 | 880,393 | ||
OCP CLO, Ltd., Series 2020-19A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.70%, 1.70% Floor), 6.95%, 10/20/34 144A † | 250,000 | 247,772 | ||
Octagon Investment Partners 31, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 6.30%, 07/20/30 144A † | 931,277 | 925,502 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 6.23%, 04/15/31 144A † | 500,000 | 496,129 | ||
OHA Credit Funding 2, Ltd., Series 2019-2A , Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 6.41%, 04/21/34 144A † | 750,000 | 739,507 | ||
OHA Credit Funding 4, Ltd., Series 2019-4A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 6.42%, 10/22/36 144A † | 750,000 | 735,954 | ||
OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A1 | ||||
4.65%, 03/14/29 144A | 2,450,000 | 2,387,975 | ||
OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A | ||||
5.41%, 11/14/29 144A | 3,080,000 | 3,029,445 | ||
OneMain Financial Issuance Trust, Series 2019-2A, Class A | ||||
3.14%, 10/14/36 144A | 641,000 | 581,006 |
Par | Value | |||
OneMain Financial Issuance Trust, Series 2022-2A, Class A | ||||
4.89%, 10/14/34 144A | $1,700,000 | $1,663,618 | ||
OneMain Financial Issuance Trust, Series 2022-3A, Class A | ||||
5.94%, 05/15/34 144A | 1,800,000 | 1,792,634 | ||
OneMain Financial Issuance Trust, Series 2022-S1, Class A | ||||
4.13%, 05/14/35 144A | 566,000 | 541,433 | ||
OneMain Financial Issuance Trust, Series 2023-1A, Class A | ||||
5.50%, 06/14/38 144A | 980,000 | 964,554 | ||
OZLM Funding IV, Ltd., Series 2013-4A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.25%), 6.52%, 10/22/30 144A † | 807,296 | 801,621 | ||
Palmer Square CLO, Ltd., Series 2013-2A, Class A1A3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 6.26%, 10/17/31 144A † | 250,000 | 248,751 | ||
Palmer Square CLO, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.03%, 1.03% Floor), 6.29%, 04/18/31 144A † | 1,550,000 | 1,539,806 | ||
Palmer Square Loan Funding, Ltd., Series 2020-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.80%, 0.80% Floor), 6.18%, 02/20/28 144A † | 130,287 | 130,059 | ||
Palmer Square Loan Funding, Ltd., Series 2022-5A, Class A1 | ||||
(Floating, CME Term SOFR 3M + 1.56%, 1.56% Floor), 6.55%, 01/15/31 144A † | 346,727 | 345,954 | ||
PFS Financing Corporation, Series 2020-G, Class A | ||||
0.97%, 02/15/26 144A | 330,000 | 319,378 | ||
PFS Financing Corporation, Series 2021-A, Class A | ||||
0.71%, 04/15/26 144A | 230,000 | 220,384 | ||
PFS Financing Corporation, Series 2022-C, Class A | ||||
3.89%, 05/15/27 144A | 1,005,000 | 968,952 | ||
PFS Financing Corporation, Series 2022-D, Class A | ||||
4.27%, 08/15/27 144A | 167,000 | 161,893 | ||
PFS Financing Corporation, Series 2023-A, Class A | ||||
5.80%, 03/15/28 144A | 1,097,000 | 1,098,887 | ||
Porsche Financial Auto Securitization Trust, Series 2023-1A, Class A3 | ||||
4.81%, 09/22/28 144A | 1,262,000 | 1,245,684 | ||
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 | 454,388 | 421,651 |
Par | Value | |||
Prodigy Finance CM DAC, Series 2021-1A, Class A | ||||
(Floating, CME Term SOFR 1M + 1.36%), 6.45%, 07/25/51 144A † | $ 80,665 | $ 79,712 | ||
Progress Residential Trust, Series 2021-SFR10, Class A | ||||
2.39%, 12/17/40 144A | 151,277 | 128,756 | ||
Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class A | ||||
(Floating, CME Term SOFR 1M + 2.47%, 2.47% Floor), 7.56%, 06/25/37 144A † | 224,295 | 224,456 | ||
Regional Management Issuance Trust, Series 2020-1, Class A | ||||
2.34%, 10/15/30 144A | 110,000 | 105,820 | ||
Regional Management Issuance Trust, Series 2021-2, Class A | ||||
1.90%, 08/15/33 144A | 221,000 | 187,562 | ||
Regional Management Issuance Trust, Series 2022-2B, Class A | ||||
7.10%, 11/17/32 144A | 140,000 | 140,806 | ||
Santander Bank Auto Credit-Linked Notes Series, Series 2022-B, Class C | ||||
5.92%, 08/16/32 144A | 590,084 | 586,498 | ||
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class C | ||||
6.99%, 12/15/32 144A | 824,345 | 824,440 | ||
Santander Bank Auto Credit-Linked Notes, Series 2022-C, Class D | ||||
8.20%, 12/15/32 144A | 374,702 | 377,407 | ||
Santander Bank NA, Series 2021-1A, Class B | ||||
1.83%, 12/15/31 144A | 214,620 | 207,587 | ||
Santander Drive Auto Receivables Trust, Series 2022-2, Class A3 | ||||
2.98%, 10/15/26 | 1,091,382 | 1,079,567 | ||
Santander Drive Auto Receivables Trust, Series 2022-3, Class A3 | ||||
3.40%, 12/15/26 | 1,233,950 | 1,218,025 | ||
Shelter Growth CRE Issuer, Ltd., Series 2023-FL5, Class A | ||||
(Floating, CME Term SOFR 1M + 2.75%, 2.75% Floor), 7.75%, 05/19/38 144A † | 1,100,000 | 1,095,951 | ||
Signal Peak CLO 12, Ltd., Series 2022-12A, Class A1 | ||||
(Floating, CME Term SOFR 3M + 1.54%, 1.54% Floor), 6.52%, 07/18/34 144A † | 350,000 | 345,197 | ||
Signal Peak CLO 5, Ltd., Series 2018-5A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 6.37%, 04/25/31 144A † | 400,000 | 396,635 | ||
SLM Private Credit Student Loan Trust, Series 2004-A, Class A3 | ||||
(Floating, ICE LIBOR USD 3M + 0.40%), 5.95%, 06/15/33† | 162,937 | 158,857 |
Par | Value | |||
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A | ||||
(Floating, ICE LIBOR USD 3M + 0.24%), 5.79%, 12/16/41† | $ 142,322 | $ 136,827 | ||
SLM Private Education Loan Trust, Series 2010-C, Class A5 | ||||
(Floating, ICE LIBOR USD 1M + 4.75%), 9.94%, 10/15/41 144A † | 77,753 | 81,213 | ||
SMB Private Education Loan Trust, Series 2016-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 1.50%), 6.69%, 05/15/31 144A † | 165,779 | 166,237 | ||
SMB Private Education Loan Trust, Series 2018-B, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.72%), 5.91%, 01/15/37 144A † | 251,823 | 248,343 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2A | ||||
2.23%, 09/15/37 144A | 607,838 | 557,547 | ||
SMB Private Education Loan Trust, Series 2020-A, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.83%), 6.02%, 09/15/37 144A † | 60,784 | 59,884 | ||
SMB Private Education Loan Trust, Series 2020-PTA, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.85%), 6.00%, 09/15/54 144A † | 1,715,062 | 1,687,074 | ||
SMB Private Education Loan Trust, Series 2021-A, Class APL | ||||
(Floating, ICE LIBOR USD 1M + 0.73%), 5.92%, 01/15/53 144A † | 511,923 | 495,935 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 160,000 | 143,940 | ||
SMB Private Education Loan Trust, Series 2021-B, Class A | ||||
1.31%, 07/17/51 144A | 873,648 | 770,348 | ||
SMB Private Education Loan Trust, Series 2022-A, Class APT | ||||
2.85%, 11/16/54 144A | 1,410,211 | 1,269,382 | ||
SMB Private Education Loan Trust, Series 2022-C, Class A1A | ||||
4.48%, 05/16/50 144A | 434,947 | 416,657 | ||
SMB Private Education Loan Trust, Series 2022-C, Class A1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.85%, 1.85% Floor), 6.92%, 05/16/50 144A † | 247,610 | 248,750 | ||
SMB Private Education Loan Trust, Series 2022-D, Class A1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.80%, 1.80% Floor), 6.87%, 10/15/58 144A † | 819,122 | 821,551 |
Par | Value | |||
SMB Private Education Loan Trust, Series 2023-A, Class A1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%, 1.50% Floor), 6.57%, 01/15/53 144A † | $ 366,859 | $ 365,303 | ||
SMB Private Education Loan Trust, Series 2023-B, Class A1B | ||||
(Floating, 1.80% - U.S. 30-Day Average SOFR, 1.80% Floor), 0.00%, 10/16/56 144A † | 1,575,000 | 1,580,849 | ||
SoFi Professional Loan Program LLC, Series 2016-F, Class A2 | ||||
3.02%, 02/25/40 144A | 239,824 | 226,815 | ||
SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX | ||||
3.09%, 08/17/48 144A | 72,173 | 67,907 | ||
SoFi Professional Loan Program Trust, Series 2018-C, Class A2FX | ||||
3.59%, 01/25/48 144A | 67,620 | 64,761 | ||
SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX | ||||
2.54%, 05/15/46 144A | 293,793 | 270,572 | ||
SoFi Professional Loan Program Trust, Series 2021-A, Class AFX | ||||
1.03%, 08/17/43 144A | 170,313 | 142,978 | ||
SoFi Professional Loan Program Trust, Series 2021-B, Class AFX | ||||
1.14%, 02/15/47 144A | 1,444,733 | 1,203,958 | ||
SoFi Professional Loan Program, Series 2018-B, Class A2FX | ||||
3.34%, 08/25/47 144A | 158,284 | 152,905 | ||
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2 | ||||
4.54%, 02/25/44 144A | 877,865 | 864,637 | ||
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2 | ||||
1.88%, 03/26/46 144A | 1,600,000 | 1,402,161 | ||
Stratus CLO, Ltd., Series 2022-2A, Class B | ||||
(Floating, CME Term SOFR 3M + 2.70%, 2.70% Floor), 7.75%, 07/20/30 144A † | 260,000 | 259,815 | ||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2005-7XS, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.50% Floor), 6.67%, 04/25/35† | 60,496 | 59,431 | ||
STWD, Ltd., Series 2019-FL1, Class A | ||||
(Floating, CME Term SOFR 1M + 1.19%, 1.08% Floor), 6.30%, 07/15/38 144A † | 832,535 | 830,671 | ||
TCI-Symphony CLO, Ltd., Series 2017-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 0.93%, 0.93% Floor), 6.19%, 07/15/30 144A † | 2,930,824 | 2,900,690 | ||
TICP CLO VI, Ltd., Series 2016-6A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 6.38%, 01/15/34 144A † | 1,000,000 | 991,086 |
Par | Value | |||
TICP CLO XIV, Ltd., Series 2019-14A, Class A2R | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 6.90%, 10/20/32 144A † | $ 250,000 | $ 246,517 | ||
TierPoint Issuer LLC, Series 2023-1A Class A2 | ||||
6.00%, 06/25/53 144A | 1,600,000 | 1,531,666 | ||
Towd Point Mortgage Trust, Series 2019-MH1, Class A1 | ||||
3.00%, 11/25/58 144A | 95,685 | 94,474 | ||
Toyota Auto Receivables Owner Trust, Series 2023-B, Class A2A | ||||
5.28%, 05/15/26 | 3,000,000 | 2,988,204 | ||
Toyota Auto Receivables Owner Trust, Series 2023-B, Class A3 | ||||
4.71%, 02/15/28 | 894,000 | 885,111 | ||
Toyota Lease Owner Trust, Series 2023-A, Class A3 | ||||
4.93%, 04/20/26 144A | 2,100,000 | 2,077,001 | ||
TRESTLES CLO, Ltd., Series 2017-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 0.99%, 0.99% Floor), 6.25%, 04/25/32 144A † | 550,000 | 544,212 | ||
Trinitas CLO XVIII, Ltd., Series 2021-18A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 6.42%, 01/20/35 144A † | 250,000 | 245,815 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 168,891 | 167,649 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class B | ||||
4.88%, 01/15/26Δ | 30,825 | 29,450 | ||
Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2 | ||||
3.19%, 07/15/44 144A | 625,083 | 602,549 | ||
Venture XVII CLO, Ltd., Series 2014-17A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 0.88%), 6.14%, 04/15/27 144A † | 174,739 | 173,973 | ||
Volkswagen Auto Loan Enhanced Trust, Series 2023-1, Class A3 | ||||
5.02%, 06/20/28 | 500,000 | 498,579 | ||
Voya CLO, Ltd., Series 2018-4A, Class BR | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 6.91%, 01/15/32 144A † | 250,000 | 243,086 | ||
Westlake Automobile Receivables Trust, Series 2022-2A, Class A3 | ||||
3.75%, 04/15/26 144A | 3,550,000 | 3,480,038 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,034,250 | 896,799 | ||
World Omni Auto Receivables Trust, Series 2022-D, Class A2A | ||||
5.51%, 03/16/26 | 1,273,471 | 1,271,599 |
Par | Value | |||
World Omni Auto Receivables Trust, Series 2023-A, Class A3 | ||||
4.83%, 05/15/28 | $1,400,000 | $ 1,384,938 | ||
World Omni Automobile Lease Securitization Trust, Series 2023-A, Class A2A | ||||
5.47%, 11/17/25 | 3,000,000 | 2,985,822 | ||
Total Asset-Backed Securities (Cost $235,758,639) | 229,844,660 | |||
CERTIFICATES OF DEPOSIT — 0.3% | ||||
Bank of Nova Scotia (The) | ||||
4.05%, 07/14/23 | 825,000 | 824,594 | ||
0.00%, 08/18/23(C) | 1,500,000 | 1,124,538 | ||
Royal Bank of Canada | ||||
4.08%, 07/14/23 | 1,600,000 | 1,599,262 | ||
Total Certificates Of Deposit (Cost $3,518,354) | 3,548,394 | |||
COMMERCIAL PAPER — 0.1% | ||||
Societe Generale SA | ||||
5.42%, 03/06/24Ω (Cost $1,251,535) | 1,300,000 | 1,266,202 | ||
CORPORATE BONDS — 17.7% | ||||
AES Corporation (The) | ||||
1.38%, 01/15/26 | 1,700,000 | 1,519,414 | ||
Air Lease Corporation | ||||
0.80%, 08/18/24Δ | 490,000 | 461,748 | ||
1.88%, 08/15/26 | 300,000 | 266,637 | ||
Albertsons Cos., Inc. | ||||
3.25%, 03/15/26 144A | 200,000 | 184,908 | ||
Alexander Funding Trust | ||||
1.84%, 11/15/23 144A | 1,355,000 | 1,325,492 | ||
Allison Transmission, Inc. | ||||
4.75%, 10/01/27 144A | 200,000 | 188,648 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 1,600,000 | 1,578,670 | ||
3.88%, 05/21/24 | 400,000 | 390,821 | ||
5.75%, 11/20/25 | 200,000 | 192,733 | ||
Ameren Corporation | ||||
2.50%, 09/15/24 | 610,000 | 584,831 | ||
American Electric Power Co., Inc. | ||||
0.75%, 11/01/23 | 180,000 | 177,023 | ||
2.03%, 03/15/24 | 360,000 | 350,198 | ||
5.70%, 08/15/25 | 960,000 | 954,710 | ||
American Express Co. | ||||
3.63%, 12/05/24 | 673,000 | 654,000 | ||
4.90%, 02/13/26 | 1,865,000 | 1,846,824 | ||
2.55%, 03/04/27 | 1,000,000 | 911,229 | ||
American International Group, Inc. | ||||
1.88%, 06/21/27(E) | 100,000 | 99,835 | ||
American Tower Corporation REIT | ||||
2.40%, 03/15/25 | 15,000 | 14,132 | ||
1.60%, 04/15/26Δ | 320,000 | 287,153 | ||
1.45%, 09/15/26 | 550,000 | 484,371 | ||
0.45%, 01/15/27(E) | 205,000 | 194,234 | ||
0.40%, 02/15/27(E) | 300,000 | 284,092 | ||
3.55%, 07/15/27 | 600,000 | 556,489 |
Par | Value | |||
5.50%, 03/15/28 | $ 200,000 | $ 198,842 | ||
5.25%, 07/15/28 | 730,000 | 722,189 | ||
Amgen, Inc. | ||||
5.51%, 03/02/26 | 1,850,000 | 1,846,926 | ||
5.15%, 03/02/28 | 1,610,000 | 1,609,701 | ||
Aon Corporation | ||||
2.85%, 05/28/27 | 104,000 | 95,196 | ||
Apple, Inc. | ||||
4.42%, 05/08/26Δ | 1,620,000 | 1,613,655 | ||
Ardagh Metal Packaging Finance U.S.A. LLC | ||||
3.25%, 09/01/28 144A Δ | 290,000 | 249,428 | ||
AT&T, Inc. | ||||
(Floating, Australian BBSW 3M + 1.25%), 5.57%, 09/19/23(A) † | 1,620,000 | 1,080,086 | ||
3.55%, 11/18/25(E) | 490,000 | 528,267 | ||
Athene Global Funding | ||||
(Floating, U.S. SOFR Index + 0.70%), 5.81%, 05/24/24 144A † | 1,000,000 | 990,487 | ||
Aviation Capital Group LLC | ||||
4.38%, 01/30/24 144A | 1,000,000 | 983,842 | ||
Bank of America Corporation | ||||
(Variable, U.S. SOFR + 0.73%), 0.81%, 10/24/24^ | 1,850,000 | 1,819,454 | ||
(Variable, U.S. SOFR + 0.69%), 0.98%, 04/22/25Δ ^ | 1,555,000 | 1,491,240 | ||
(Variable, U.S. SOFR + 0.65%), 1.53%, 12/06/25^ | 1,860,000 | 1,739,575 | ||
(Variable, U.S. SOFR + 1.33%), 3.38%, 04/02/26^ | 480,000 | 460,350 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 579,000 | 530,622 | ||
(Variable, U.S. SOFR + 1.29%), 5.08%, 01/20/27^ | 1,600,000 | 1,575,991 | ||
(Variable, U.S. SOFR + 1.99%), 6.20%, 11/10/28^ | 229,000 | 235,563 | ||
(Variable, U.S. SOFR + 1.63%), 5.20%, 04/25/29^ | 350,000 | 346,394 | ||
Becton Dickinson Euro Finance S.a.r.l. | ||||
1.21%, 06/04/26(E) | 120,000 | 121,398 | ||
Becton, Dickinson and Co. | ||||
0.03%, 08/13/25(E) | 100,000 | 100,445 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 | 1,600,000 | 1,443,572 | ||
Blackstone Secured Lending Fund | ||||
3.65%, 07/14/23 | 985,000 | 983,916 | ||
Boeing Co. (The) | ||||
1.43%, 02/04/24 | 1,820,000 | 1,771,984 | ||
2.20%, 02/04/26 | 210,000 | 192,828 | ||
Booking Holdings, Inc. | ||||
0.10%, 03/08/25(E) | 160,000 | 163,460 | ||
BP Capital Markets America, Inc. | ||||
3.94%, 09/21/28 | 576,000 | 551,612 | ||
Brighthouse Financial Global Funding | ||||
1.00%, 04/12/24 144A | 330,000 | 317,448 | ||
1.75%, 01/13/25 144A | 1,330,000 | 1,241,213 |
Par | Value | |||
Broadcom Corporation | ||||
3.88%, 01/15/27 | $ 150,000 | $ 143,103 | ||
Brunswick Corporation | ||||
0.85%, 08/18/24Δ | 1,045,000 | 983,032 | ||
Cantor Fitzgerald LP | ||||
4.88%, 05/01/24 144A | 1,800,000 | 1,761,518 | ||
Capital One Financial Corporation | ||||
(Variable, U.S. SOFR + 1.37%), 4.17%, 05/09/25^ | 800,000 | 779,552 | ||
(Variable, U.S. SOFR + 2.08%), 5.47%, 02/01/29^ | 186,000 | 178,305 | ||
(Variable, U.S. SOFR + 2.64%), 6.31%, 06/08/29^ | 1,730,000 | 1,719,753 | ||
Carnival Corporation | ||||
4.00%, 08/01/28 144A | 375,000 | 332,782 | ||
Caterpillar Financial Services Corporation | ||||
4.35%, 05/15/26Δ | 1,950,000 | 1,920,524 | ||
CCO Holdings LLC | ||||
5.13%, 05/01/27 144A | 750,000 | 699,202 | ||
Cheniere Corpus Christi Holdings LLC | ||||
5.88%, 03/31/25 | 630,000 | 627,301 | ||
Citigroup, Inc. | ||||
(Variable, U.S. SOFR + 1.53%), 3.29%, 03/17/26^ | 1,000,000 | 956,919 | ||
(Variable, U.S. SOFR + 1.55%), 5.61%, 09/29/26^ | 1,495,000 | 1,493,766 | ||
(Variable, U.S. SOFR + 0.77%), 1.46%, 06/09/27^ | 1,676,000 | 1,488,990 | ||
Citizens Bank NA | ||||
(Variable, U.S. SOFR + 1.45%), 6.06%, 10/24/25Δ ^ | 1,000,000 | 948,145 | ||
Civitas Resources, Inc. | ||||
8.38%, 07/01/28 144A | 1,150,000 | 1,164,433 | ||
CommonSpirit Health | ||||
1.55%, 10/01/25 | 800,000 | 727,975 | ||
Corebridge Financial, Inc. | ||||
3.50%, 04/04/25 | 2,000,000 | 1,906,649 | ||
3.65%, 04/05/27 | 600,000 | 560,747 | ||
Crown Castle, Inc. REIT | ||||
1.05%, 07/15/26Δ | 360,000 | 315,437 | ||
4.80%, 09/01/28 | 980,000 | 951,657 | ||
CrownRock LP | ||||
5.63%, 10/15/25 144A | 215,000 | 212,065 | ||
CVS Health Corporation | ||||
5.00%, 02/20/26Δ | 1,680,000 | 1,672,870 | ||
4.30%, 03/25/28 | 140,000 | 135,115 | ||
Daimler Truck Finance North America LLC | ||||
1.13%, 12/14/23 144A | 1,000,000 | 979,457 | ||
1.63%, 12/13/24 144A Δ | 590,000 | 555,693 | ||
5.20%, 01/17/25 144A Δ | 360,000 | 357,283 | ||
5.15%, 01/16/26 144A Δ | 900,000 | 896,199 | ||
2.00%, 12/14/26 144A | 150,000 | 134,000 | ||
DPL, Inc. | ||||
4.13%, 07/01/25 | 200,000 | 190,692 | ||
Edison International | ||||
4.70%, 08/15/25 | 915,000 | 894,147 |
Par | Value | |||
Elevance Health, Inc. | ||||
5.35%, 10/15/25Δ | $ 225,000 | $ 224,586 | ||
3.65%, 12/01/27 | 1,050,000 | 992,018 | ||
Enact Holdings, Inc. | ||||
6.50%, 08/15/25 144A | 200,000 | 196,648 | ||
Energy Transfer LP | ||||
2.90%, 05/15/25Δ | 360,000 | 341,249 | ||
EnLink Midstream Partners LP | ||||
4.15%, 06/01/25Δ | 110,000 | 106,810 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 574,035 | ||
EQM Midstream Partners LP | ||||
6.50%, 07/01/27 144A | 80,000 | 78,982 | ||
5.50%, 07/15/28 | 220,000 | 208,366 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 985,000 | 941,127 | ||
1.45%, 05/15/26 | 220,000 | 196,591 | ||
1.80%, 07/15/27Δ | 550,000 | 477,047 | ||
Equitable Financial Life Global Funding | ||||
1.00%, 01/09/26 144A | 1,600,000 | 1,417,756 | ||
Evergy, Inc. | ||||
2.45%, 09/15/24 | 1,020,000 | 977,532 | ||
Eversource Energy | ||||
4.75%, 05/15/26Δ | 330,000 | 323,610 | ||
2.90%, 03/01/27 | 550,000 | 507,109 | ||
5.45%, 03/01/28Δ | 330,000 | 332,504 | ||
Exelon Corporation | ||||
2.75%, 03/15/27 | 200,000 | 183,145 | ||
5.15%, 03/15/28 | 395,000 | 393,427 | ||
F&G Global Funding | ||||
0.90%, 09/20/24 144A | 1,860,000 | 1,730,387 | ||
Fifth Third Bank NA | ||||
(Variable, U.S. SOFR Index + 1.23%), 5.85%, 10/27/25^ | 630,000 | 613,983 | ||
First-Citizens Bank & Trust Co. | ||||
(Variable, CME Term SOFR 3M + 1.72%), 2.97%, 09/27/25^ | 440,000 | 416,336 | ||
Fiserv, Inc. | ||||
3.20%, 07/01/26 | 545,000 | 511,580 | ||
5.45%, 03/02/28 | 100,000 | 100,543 | ||
Florida Power & Light Co. | ||||
5.05%, 04/01/28 | 480,000 | 484,051 | ||
4.40%, 05/15/28Δ | 193,000 | 189,495 | ||
Ford Motor Credit Co. LLC | ||||
3.37%, 11/17/23 | 750,000 | 742,987 | ||
5.58%, 03/18/24 | 300,000 | 298,154 | ||
2.30%, 02/10/25 | 1,300,000 | 1,216,475 | ||
5.13%, 06/16/25 | 640,000 | 622,995 | ||
FS KKR Capital Corporation | ||||
4.25%, 02/14/25 144A Δ | 880,000 | 829,130 | ||
GA Global Funding Trust | ||||
1.63%, 01/15/26 144A | 400,000 | 355,138 | ||
Gartner, Inc. | ||||
4.50%, 07/01/28 144A Δ | 175,000 | 163,644 | ||
GE HealthCare Technologies, Inc. | ||||
5.55%, 11/15/24 | 1,875,000 | 1,866,688 |
Par | Value | |||
General Mills, Inc. | ||||
5.24%, 11/18/25Δ | $ 205,000 | $ 205,043 | ||
0.45%, 01/15/26(E) | 100,000 | 100,001 | ||
General Motors Financial Co., Inc. | ||||
(Floating, U.S. SOFR + 1.20%), 6.30%, 11/17/23† | 2,014,000 | 2,015,582 | ||
1.05%, 03/08/24 | 675,000 | 652,923 | ||
1.20%, 10/15/24Δ | 900,000 | 847,057 | ||
6.05%, 10/10/25 | 100,000 | 100,215 | ||
0.85%, 02/26/26(E) | 114,000 | 113,425 | ||
5.40%, 04/06/26 | 1,310,000 | 1,295,405 | ||
2.35%, 02/26/27Δ | 195,000 | 173,934 | ||
Glencore Funding LLC | ||||
4.63%, 04/29/24 144A | 1,800,000 | 1,778,657 | ||
Global Payments, Inc. | ||||
1.20%, 03/01/26 | 1,000,000 | 889,133 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, U.S. SOFR + 0.51%), 0.66%, 09/10/24^ | 315,000 | 311,482 | ||
(Variable, U.S. SOFR + 0.49%), 0.93%, 10/21/24^ | 1,900,000 | 1,868,089 | ||
(Variable, U.S. SOFR + 0.61%), 0.86%, 02/12/26Δ ^ | 810,000 | 746,878 | ||
(Variable, U.S. SOFR + 1.11%), 2.64%, 02/24/28^ | 740,000 | 672,002 | ||
(Variable, U.S. SOFR + 1.85%), 3.62%, 03/15/28^ | 365,000 | 342,761 | ||
(Variable, U.S. SOFR + 1.73%), 4.48%, 08/23/28Δ ^ | 239,000 | 231,225 | ||
Golub Capital BDC, Inc. | ||||
3.38%, 04/15/24 | 575,000 | 558,988 | ||
Graham Holdings Co. | ||||
5.75%, 06/01/26 144A | 200,000 | 196,378 | ||
Gray Oak Pipeline LLC | ||||
2.00%, 09/15/23 144A | 905,000 | 897,422 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 525,000 | 520,678 | ||
5.88%, 02/15/26 | 295,000 | 295,256 | ||
Healthpeak OP LLC REIT | ||||
1.35%, 02/01/27 | 195,000 | 169,017 | ||
Hewlett Packard Enterprise Co. | ||||
6.10%, 04/01/26 | 1,920,000 | 1,925,383 | ||
Holly Energy Partners LP | ||||
6.38%, 04/15/27 144A Δ | 200,000 | 197,772 | ||
Honeywell International, Inc. | ||||
3.50%, 05/17/27(E) | 220,000 | 236,176 | ||
HSBC U.S.A., Inc. | ||||
5.63%, 03/17/25 | 1,700,000 | 1,693,458 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 | 510,000 | 506,915 | ||
Huntington National Bank (The) | ||||
(Variable, U.S. SOFR + 1.22%), 5.70%, 11/18/25^ | 825,000 | 802,494 | ||
Hyundai Capital America | ||||
1.00%, 09/17/24 144A | 855,000 | 804,462 | ||
5.50%, 03/30/26 144A | 1,300,000 | 1,288,895 | ||
5.65%, 06/26/26 144A Δ | 2,200,000 | 2,187,515 |
Par | Value | |||
1.65%, 09/17/26 144A | $ 510,000 | $ 449,619 | ||
Illinois Tool Works, Inc. | ||||
0.25%, 12/05/24(E) | 180,000 | 186,261 | ||
Illumina, Inc. | ||||
5.80%, 12/12/25 | 300,000 | 300,845 | ||
Infor, Inc. | ||||
1.45%, 07/15/23 144A | 365,000 | 364,379 | ||
International Flavors & Fragrances, Inc. | ||||
1.23%, 10/01/25 144A | 1,500,000 | 1,337,950 | ||
IQVIA, Inc. | ||||
5.00%, 05/15/27 144A | 200,000 | 192,556 | ||
JPMorgan Chase & Co. | ||||
(Variable, CME Term SOFR 3M + 0.60%), 0.65%, 09/16/24^ | 790,000 | 780,836 | ||
1.50%, 01/27/25(E) | 120,000 | 126,079 | ||
(Variable, U.S. SOFR + 0.98%), 3.85%, 06/14/25^ | 1,770,000 | 1,731,591 | ||
(Variable, CME Term SOFR 3M + 0.58%), 0.97%, 06/23/25^ | 1,000,000 | 949,505 | ||
(Variable, U.S. SOFR + 1.07%), 5.55%, 12/15/25^ | 1,610,000 | 1,604,004 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 391,000 | 366,324 | ||
(Variable, U.S. SOFR + 1.32%), 4.08%, 04/26/26Δ ^ | 940,000 | 913,846 | ||
(Variable, U.S. SOFR + 1.99%), 4.85%, 07/25/28^ | 790,000 | 779,913 | ||
(Variable, U.S. SOFR + 1.02%), 2.07%, 06/01/29^ | 300,000 | 257,515 | ||
KeyBank NA | ||||
4.70%, 01/26/26 | 340,000 | 316,710 | ||
L3Harris Technologies, Inc. | ||||
4.40%, 06/15/28 | 241,000 | 231,866 | ||
Ladder Capital Finance Holdings LLLP | ||||
4.25%, 02/01/27 144A | 200,000 | 173,962 | ||
Lennar Corporation | ||||
4.50%, 04/30/24 | 1,000,000 | 991,735 | ||
Manufacturers & Traders Trust Co. | ||||
4.65%, 01/27/26 | 1,720,000 | 1,643,773 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 130,000 | 127,600 | ||
Matador Resources Co. | ||||
5.88%, 09/15/26 | 305,000 | 295,833 | ||
McDonald’s Corporation | ||||
(Floating, Australian BBSW 3M + 1.13%), 5.33%, 03/08/24(A) † | 2,000,000 | 1,334,991 | ||
Mercedes-Benz Finance North America LLC | ||||
4.95%, 03/30/25 144A | 765,000 | 759,548 | ||
Meta Platforms, Inc. | ||||
4.60%, 05/15/28Δ | 557,000 | 551,177 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 345,000 | 343,596 | ||
0.97%, 02/15/24 | 1,380,000 | 1,337,276 | ||
4.25%, 09/01/25Δ | 250,000 | 242,273 |
Par | Value | |||
MMS U.S.A. Holdings, Inc. | ||||
0.63%, 06/13/25(E) | $ 100,000 | $ 102,046 | ||
Morgan Stanley | ||||
1.75%, 03/11/24(E) | 205,000 | 220,455 | ||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 1,015,000 | 983,809 | ||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 790,000 | 762,075 | ||
(Variable, U.S. SOFR + 0.75%), 0.86%, 10/21/25^ | 525,000 | 488,434 | ||
(Variable, U.S. SOFR + 0.56%), 1.16%, 10/21/25^ | 3,060,000 | 2,861,409 | ||
(Variable, U.S. SOFR + 1.77%), 6.14%, 10/16/26^ | 980,000 | 990,286 | ||
(Variable, U.S. SOFR + 2.24%), 6.30%, 10/18/28Δ ^ | 1,300,000 | 1,337,017 | ||
(Variable, U.S. SOFR + 1.59%), 5.16%, 04/20/29^ | 420,000 | 415,186 | ||
Morgan Stanley Bank NA | ||||
4.75%, 04/21/26 | 965,000 | 951,233 | ||
MPLX LP | ||||
4.25%, 12/01/27 | 400,000 | 380,143 | ||
MPT Operating Partnership LP REIT | ||||
5.00%, 10/15/27Δ | 350,000 | 294,801 | ||
Nasdaq, Inc. | ||||
5.65%, 06/28/25Δ | 210,000 | 210,696 | ||
5.35%, 06/28/28 | 900,000 | 901,917 | ||
National Grid North America, Inc. | ||||
0.41%, 01/20/26(E) | 100,000 | 99,472 | ||
National Rural Utilities Cooperative Finance Corporation | ||||
4.45%, 03/13/26 | 1,110,000 | 1,093,493 | ||
New Fortress Energy, Inc. | ||||
6.50%, 09/30/26 144A | 185,000 | 165,717 | ||
NextEra Energy Capital Holdings, Inc. | ||||
2.94%, 03/21/24Δ | 715,000 | 701,650 | ||
6.05%, 03/01/25 | 825,000 | 828,470 | ||
NextEra Energy Operating Partners LP | ||||
4.25%, 07/15/24 144A | 405,000 | 396,468 | ||
NiSource, Inc. | ||||
5.25%, 03/30/28 | 325,000 | 325,061 | ||
Nissan Motor Acceptance Co. LLC | ||||
3.88%, 09/21/23 144A | 400,000 | 397,796 | ||
1.13%, 09/16/24 144A | 775,000 | 722,260 | ||
2.75%, 03/09/28 144A | 200,000 | 164,521 | ||
Nordstrom, Inc. | ||||
2.30%, 04/08/24 | 250,000 | 240,815 | ||
Occidental Petroleum Corporation | ||||
8.50%, 07/15/27Δ | 600,000 | 648,666 | ||
Omega Healthcare Investors, Inc. REIT | ||||
4.38%, 08/01/23 | 1,700,000 | 1,696,389 | ||
Oncor Electric Delivery Co. LLC | ||||
4.30%, 05/15/28 144A | 290,000 | 282,368 | ||
OneMain Finance Corporation | ||||
7.13%, 03/15/26 | 200,000 | 196,679 | ||
Oracle Corporation | ||||
2.95%, 11/15/24Δ | 1,550,000 | 1,497,326 |
Par | Value | |||
2.65%, 07/15/26 | $ 539,000 | $ 498,478 | ||
4.50%, 05/06/28Δ | 100,000 | 97,341 | ||
Ovintiv, Inc. | ||||
5.65%, 05/15/25 | 960,000 | 952,814 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 510,000 | 472,135 | ||
Owl Rock Technology Finance Corporation | ||||
3.75%, 06/17/26 144A | 345,000 | 302,213 | ||
Pacific Gas and Electric Co. | ||||
4.25%, 08/01/23 | 200,000 | 199,802 | ||
3.85%, 11/15/23 | 100,000 | 99,137 | ||
3.75%, 02/15/24 | 200,000 | 196,729 | ||
4.95%, 06/08/25 | 1,000,000 | 969,776 | ||
3.45%, 07/01/25 | 146,000 | 137,920 | ||
2.10%, 08/01/27Δ | 600,000 | 512,973 | ||
6.10%, 01/15/29Δ | 675,000 | 664,653 | ||
Pacific Life Global Funding II | ||||
(Floating, U.S. SOFR + 0.62%), 5.73%, 06/04/26 144A † Δ | 500,000 | 492,475 | ||
PeaceHealth Obligated Group | ||||
1.38%, 11/15/25 | 104,000 | 93,782 | ||
Pennsylvania Electric Co. | ||||
5.15%, 03/30/26 144A | 480,000 | 472,962 | ||
Penske Truck Leasing Co. LP | ||||
3.45%, 07/01/24 144A | 1,500,000 | 1,461,655 | ||
2.70%, 11/01/24 144A | 1,105,000 | 1,054,854 | ||
1.20%, 11/15/25 144A | 395,000 | 351,518 | ||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | 380,000 | 342,367 | ||
5.10%, 03/29/26Δ | 935,000 | 929,700 | ||
PNC Financial Services Group, Inc. (The) | ||||
(Variable, U.S. SOFR + 1.09%), 4.76%, 01/26/27Δ ^ | 945,000 | 924,031 | ||
PRA Group, Inc. | ||||
7.38%, 09/01/25 144A | 200,000 | 190,303 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 200,000 | 198,530 | ||
Procter & Gamble Co. (The) | ||||
3.25%, 08/02/26(E) | 217,000 | 234,228 | ||
Prologis LP REIT | ||||
4.88%, 06/15/28 | 720,000 | 714,082 | ||
PulteGroup, Inc. | ||||
5.00%, 01/15/27 | 64,000 | 63,098 | ||
Qorvo, Inc. | ||||
1.75%, 12/15/24 144A | 620,000 | 577,144 | ||
Quanta Services, Inc. | ||||
0.95%, 10/01/24 | 385,000 | 361,945 | ||
Range Resources Corporation | ||||
4.88%, 05/15/25 | 200,000 | 196,191 | ||
Raytheon Technologies Corporation | ||||
4.13%, 11/16/28 | 800,000 | 771,044 | ||
Regal Rexnord Corporation | ||||
6.05%, 02/15/26 144A Δ | 825,000 | 826,521 | ||
Reliance Standard Life Global Funding II | ||||
3.85%, 09/19/23 144A | 400,000 | 397,592 |
Par | Value | |||
Ryder System, Inc. | ||||
3.65%, 03/18/24Δ | $ 900,000 | $ 885,226 | ||
2.85%, 03/01/27 | 475,000 | 434,316 | ||
Sabine Pass Liquefaction LLC | ||||
5.75%, 05/15/24 | 1,048,000 | 1,046,493 | ||
SBA Tower Trust | ||||
2.84%, 01/15/25 144A | 3,225,000 | 3,063,585 | ||
SBA Tower Trust REIT | ||||
1.88%, 01/15/26 144A | 680,000 | 611,416 | ||
1.63%, 11/15/26 144A | 800,000 | 691,034 | ||
Sempra Energy | ||||
3.30%, 04/01/25 | 390,000 | 374,261 | ||
Sirius XM Radio, Inc. | ||||
3.13%, 09/01/26 144A | 200,000 | 179,266 | ||
Sonoco Products Co. | ||||
2.25%, 02/01/27 | 470,000 | 420,222 | ||
Southern Co. (The) | ||||
4.48%, 08/01/24 STEP | 1,255,000 | 1,232,550 | ||
Southwestern Energy Co. | ||||
5.70%, 01/23/25 | 200,000 | 199,123 | ||
Sprint LLC | ||||
7.88%, 09/15/23 | 665,000 | 667,204 | ||
7.13%, 06/15/24 | 1,000,000 | 1,009,843 | ||
Sprint Spectrum Co. LLC | ||||
4.74%, 03/20/25 144A | 194,688 | 192,211 | ||
Starbucks Corporation | ||||
4.75%, 02/15/26Δ | 1,545,000 | 1,531,279 | ||
Starwood Property Trust, Inc. | ||||
4.75%, 03/15/25 | 200,000 | 189,232 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 35,000 | 32,708 | ||
Synchrony Bank | ||||
5.40%, 08/22/25 | 1,600,000 | 1,532,032 | ||
Synchrony Financial | ||||
4.88%, 06/13/25 | 18,000 | 17,113 | ||
TerraForm Power Operating LLC | ||||
5.00%, 01/31/28 144A | 180,000 | 165,895 | ||
Texas Electric Market Stabilization Funding N LLC | ||||
4.27%, 08/01/34 144A | 270,164 | 257,358 | ||
Texas Instruments, Inc. | ||||
4.60%, 02/15/28Δ | 155,000 | 155,379 | ||
Thermo Fisher Scientific, Inc. | ||||
4.80%, 11/21/27Δ | 30,000 | 30,153 | ||
T-Mobile U.S.A., Inc. | ||||
2.25%, 02/15/26 | 851,000 | 782,712 | ||
2.63%, 04/15/26 | 337,000 | 312,617 | ||
3.75%, 04/15/27 | 1,606,000 | 1,521,025 | ||
3.38%, 04/15/29 | 500,000 | 451,974 | ||
Travel + Leisure Co. | ||||
6.63%, 07/31/26 144A | 200,000 | 198,660 | ||
U.S. Bancorp | ||||
(Variable, U.S. SOFR + 2.02%), 5.78%, 06/12/29^ | 510,000 | 510,189 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A | 540,000 | 513,543 | ||
UnitedHealth Group, Inc. | ||||
4.25%, 01/15/29 | 600,000 | 583,296 |
Par | Value | |||
Venture Global LNG, Inc. | ||||
8.13%, 06/01/28 144A | $ 400,000 | $ 406,702 | ||
Viasat, Inc. | ||||
5.63%, 04/15/27 144A | 270,000 | 252,331 | ||
Virginia Electric and Power Co. | ||||
3.75%, 05/15/27Δ | 365,000 | 349,816 | ||
Vistra Operations Co. LLC | ||||
4.88%, 05/13/24 144A | 365,000 | 358,296 | ||
3.55%, 07/15/24 144A | 900,000 | 869,460 | ||
5.63%, 02/15/27 144A | 250,000 | 239,844 | ||
5.00%, 07/31/27 144A | 200,000 | 187,383 | ||
VMware, Inc. | ||||
1.00%, 08/15/24 | 2,041,000 | 1,933,175 | ||
3.90%, 08/21/27 | 845,000 | 801,645 | ||
Volkswagen Group of America Finance LLC | ||||
3.95%, 06/06/25 144A | 2,410,000 | 2,341,059 | ||
Warnermedia Holdings, Inc. | ||||
3.43%, 03/15/24 | 665,000 | 653,087 | ||
3.64%, 03/15/25 | 300,000 | 289,521 | ||
3.79%, 03/15/25Δ | 600,000 | 578,788 | ||
WEC Energy Group, Inc. | ||||
4.75%, 01/09/26 | 765,000 | 753,819 | ||
Wells Fargo & Co. | ||||
(Variable, U.S. SOFR + 0.51%), 0.81%, 05/19/25^ | 405,000 | 386,140 | ||
(Variable, U.S. SOFR + 1.32%), 3.91%, 04/25/26^ | 1,420,000 | 1,373,591 | ||
(Variable, U.S. SOFR + 1.56%), 4.54%, 08/15/26^ | 505,000 | 493,653 | ||
(Variable, U.S. SOFR + 1.51%), 3.53%, 03/24/28^ | 550,000 | 513,908 | ||
(Variable, U.S. SOFR + 1.98%), 4.81%, 07/25/28^ | 81,000 | 79,242 | ||
WESCO Distribution, Inc. | ||||
7.13%, 06/15/25 144A | 210,000 | 212,401 | ||
Western Midstream Operating LP | ||||
4.65%, 07/01/26 | 160,000 | 154,064 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.40%, 03/15/24 | 1,600,000 | 1,578,946 | ||
3.20%, 06/15/25 | 325,000 | 308,674 | ||
Williams Cos., Inc. (The) | ||||
5.40%, 03/02/26 | 2,623,000 | 2,617,159 | ||
Zimmer Biomet Holdings, Inc. | ||||
1.45%, 11/22/24 | 1,075,000 | 1,012,809 | ||
Total Corporate Bonds (Cost $207,464,778) | 200,783,578 | |||
FOREIGN BONDS — 9.1% | ||||
Australia — 0.4% | ||||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 0.69%), 1.20%, 10/14/25 144A ^ | 800,000 | 750,538 | ||
National Australia Bank, Ltd. | ||||
4.94%, 01/12/28 | 250,000 | 250,081 | ||
NBN Co., Ltd. | ||||
0.88%, 10/08/24 144A | 880,000 | 825,628 |
Par | Value | |||
Transurban Queensland Finance Pty., Ltd. | ||||
(Floating, Australian BBSW 3M + 2.05%), 6.35%, 12/16/24(A) † | $ 720,000 | $ 485,650 | ||
Woodside Finance, Ltd. | ||||
3.65%, 03/05/25 144A | 1,900,000 | 1,829,932 | ||
3.70%, 09/15/26 144A | 400,000 | 376,466 | ||
4,518,295 | ||||
Belgium — 0.0% | ||||
KBC Group NV | ||||
(Variable, 1.10% - EUR Swap Rate 5Y), 0.50%, 12/03/29(E) ^ | 300,000 | 303,659 | ||
Bermuda — 0.1% | ||||
Triton Container International, Ltd. | ||||
0.80%, 08/01/23 144A | 630,000 | 627,114 | ||
Canada — 1.2% | ||||
Canadian Pacific Railway Co. | ||||
1.75%, 12/02/26 | 305,000 | 274,245 | ||
CDP Financial, Inc. | ||||
1.00%, 05/26/26 144A Δ | 520,000 | 466,644 | ||
CPPIB Capital, Inc. | ||||
0.50%, 09/16/24 144A | 1,265,000 | 1,191,610 | ||
4.13%, 10/21/24 144A | 2,200,000 | 2,162,592 | ||
Element Fleet Management Corporation | ||||
1.60%, 04/06/24 144A | 315,000 | 303,845 | ||
Enbridge, Inc. | ||||
2.50%, 02/14/25 | 850,000 | 807,778 | ||
GFL Environmental, Inc. | ||||
3.75%, 08/01/25 144A | 175,000 | 166,647 | ||
5.13%, 12/15/26 144A | 175,000 | 168,995 | ||
goeasy, Ltd. | ||||
5.38%, 12/01/24 144A Δ | 200,000 | 194,205 | ||
National Bank of Canada | ||||
0.75%, 08/06/24 | 1,485,000 | 1,401,581 | ||
OMERS Finance Trust | ||||
1.10%, 03/26/26 144A | 675,000 | 608,506 | ||
4.00%, 04/20/28 144A | 555,000 | 537,188 | ||
Ontario Teachers' Finance Trust | ||||
4.25%, 04/25/28 144A | 1,065,000 | 1,043,786 | ||
Rogers Communications, Inc. | ||||
3.20%, 03/15/27 144A | 792,000 | 736,612 | ||
Royal Bank of Canada | ||||
6.00%, 11/01/27 | 341,000 | 349,338 | ||
Toronto-Dominion Bank (The) | ||||
0.38%, 04/25/24(E) | 305,000 | 323,249 | ||
TransCanada PipeLines, Ltd. | ||||
1.00%, 10/12/24 | 1,000,000 | 939,990 | ||
6.20%, 03/09/26 | 2,010,000 | 2,011,845 | ||
13,688,656 | ||||
Denmark — 0.0% | ||||
Danske Bank A/S | ||||
3.88%, 09/12/23 144A | 400,000 | 398,496 |
Par | Value | |||
Finland — 0.0% | ||||
CRH Finland Services OYJ | ||||
0.88%, 11/05/23(E) | $ 180,000 | $ 194,438 | ||
France — 0.9% | ||||
Banque Federative du Credit Mutuel SA | ||||
1.00%, 02/04/25 144A Δ | 1,865,000 | 1,720,586 | ||
Banque Stellantis France SACA | ||||
0.00%, 01/22/25(E) | 100,000 | 102,171 | ||
BNP Paribas SA | ||||
3.38%, 01/09/25 144A | 700,000 | 672,663 | ||
BPCE SA | ||||
0.63%, 04/28/25(E) | 100,000 | 102,325 | ||
(Variable, U.S. SOFR + 2.10%), 5.98%, 01/18/27 144A ^ | 1,815,000 | 1,798,750 | ||
Capgemini SE | ||||
0.63%, 06/23/25(E) | 200,000 | 204,993 | ||
Credit Agricole SA | ||||
5.59%, 07/05/26 144A | 1,995,000 | 1,992,768 | ||
(Variable, U.S. SOFR + 0.89%), 1.25%, 01/26/27 144A ^ | 250,000 | 221,591 | ||
Societe Generale SA | ||||
2.63%, 01/22/25 144A | 2,800,000 | 2,632,477 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 200,000 | 176,114 | ||
WPP Finance SA | ||||
4.13%, 05/30/28(E) Δ | 220,000 | 239,908 | ||
9,864,346 | ||||
Germany — 0.1% | ||||
Commerzbank AG | ||||
(Variable, 1.30% - Euribor 3M), 0.75%, 03/24/26(E) ^ | 100,000 | 101,288 | ||
E.ON SE | ||||
0.88%, 01/08/25(E) | 50,000 | 52,134 | ||
Traton Finance Luxembourg SA | ||||
0.00%, 06/14/24(E) | 100,000 | 104,753 | ||
0.13%, 11/10/24(E) | 100,000 | 103,137 | ||
Volkswagen Bank GmbH | ||||
1.88%, 01/31/24(E) | 300,000 | 323,190 | ||
4.25%, 01/07/26(E) | 200,000 | 216,347 | ||
2.50%, 07/31/26(E) | 100,000 | 103,392 | ||
Volkswagen Financial Services AG | ||||
0.88%, 01/31/28(E) | 120,000 | 112,103 | ||
Volkswagen Leasing GmbH | ||||
0.38%, 07/20/26(E) | 60,000 | 58,071 | ||
1,174,415 | ||||
Ireland — 0.8% | ||||
AerCap Ireland Capital DAC | ||||
4.50%, 09/15/23 | 1,000,000 | 996,328 | ||
1.15%, 10/29/23 | 1,330,000 | 1,308,878 | ||
2.88%, 08/14/24 | 150,000 | 144,206 | ||
1.65%, 10/29/24 | 2,585,000 | 2,430,348 |
Par | Value | |||
3.50%, 01/15/25 | $ 500,000 | $ 478,999 | ||
2.45%, 10/29/26 | 150,000 | 134,088 | ||
5.75%, 06/06/28Δ | 570,000 | 565,923 | ||
ESB Finance DAC | ||||
3.49%, 01/12/24(E) | 100,000 | 108,906 | ||
Fresenius Finance Ireland PLC | ||||
0.00%, 10/01/25(E) | 100,000 | 99,516 | ||
Linde PLC | ||||
3.63%, 06/12/25(E) | 200,000 | 217,557 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 1,800,000 | 1,798,578 | ||
3.55%, 04/15/24 144A | 800,000 | 783,413 | ||
9,066,740 | ||||
Italy — 0.1% | ||||
ACEA SpA | ||||
0.00%, 09/28/25(E) | 100,000 | 99,359 | ||
ASTM SpA | ||||
1.00%, 11/25/26(E) | 170,000 | 165,636 | ||
CA Auto Bank SpA | ||||
0.50%, 09/18/23(E) | 110,000 | 119,210 | ||
0.00%, 04/16/24(E) | 100,000 | 105,626 | ||
Eni SpA | ||||
3.63%, 05/19/27(E) | 240,000 | 257,759 | ||
Snam SpA | ||||
0.00%, 08/15/25(E) | 100,000 | 100,280 | ||
Telecom Italia SpA | ||||
5.30%, 05/30/24 144A | 200,000 | 194,601 | ||
1,042,471 | ||||
Japan — 2.4% | ||||
Mitsubishi UFJ Financial Group, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.55%), 0.95%, 07/19/25^ | 1,880,000 | 1,776,901 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.96%, 10/11/25^ | 3,185,000 | 2,973,294 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.08%), 5.72%, 02/20/26^ | 1,710,000 | 1,701,794 | ||
Mizuho Financial Group, Inc. | ||||
(Floating, Australian BBSW 3M + 1.40%), 5.08%, 07/19/23(A) † | 3,100,000 | 2,064,887 | ||
0.52%, 06/10/24(E) | 100,000 | 105,576 | ||
(Variable, 1.25% - U.S. SOFR), 1.24%, 07/10/24^ | 520,000 | 519,681 | ||
(Floating, ICE LIBOR USD 3M + 0.99%), 6.20%, 07/10/24† | 1,000,000 | 1,000,029 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 3,485,000 | 3,460,612 | ||
2.65%, 03/17/26(E) | 649,000 | 662,992 | ||
Nomura Holdings, Inc. | ||||
1.85%, 07/16/25 | 2,700,000 | 2,470,616 | ||
2.33%, 01/22/27 | 600,000 | 530,853 | ||
NTT Finance Corporation | ||||
4.37%, 07/27/27 144A | 200,000 | 195,645 |
Par | Value | |||
Renesas Electronics Corporation | ||||
1.54%, 11/26/24 144A | $1,245,000 | $ 1,164,082 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
(Floating, Australian BBSW 3M + 1.25%), 4.91%, 10/16/24(A) † | 1,000,000 | 665,678 | ||
1.47%, 07/08/25 | 1,100,000 | 1,010,608 | ||
5.46%, 01/13/26 | 2,310,000 | 2,303,484 | ||
Sumitomo Mitsui Trust Bank, Ltd. | ||||
0.80%, 09/16/24 144A Δ | 3,500,000 | 3,289,276 | ||
2.55%, 03/10/25 144A | 1,000,000 | 944,987 | ||
26,840,995 | ||||
Jersey — 0.0% | ||||
Aptiv PLC | ||||
2.40%, 02/18/25 | 355,000 | 337,090 | ||
Heathrow Funding, Ltd. | ||||
1.50%, 10/12/25(E) | 185,000 | 189,868 | ||
526,958 | ||||
Netherlands — 0.6% | ||||
Conti-Gummi Finance BV | ||||
1.13%, 09/25/24(E) | 110,000 | 115,743 | ||
Cooperatieve Rabobank UA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.73%), 1.98%, 12/15/27 144A ^ | 1,000,000 | 874,561 | ||
Digital Dutch Finco BV REIT | ||||
0.63%, 07/15/25(E) | 300,000 | 297,800 | ||
Enel Finance International NV | ||||
0.00%, 06/17/24(E) | 200,000 | 209,975 | ||
2.65%, 09/10/24 | 500,000 | 481,285 | ||
ING Groep NV | ||||
1.00%, 09/20/23(E) | 200,000 | 216,965 | ||
(Variable, 0.60% - Euribor 3M), 0.10%, 09/03/25(E) ^ | 100,000 | 103,698 | ||
(Variable, U.S. SOFR + 1.64%), 3.87%, 03/28/26^ | 800,000 | 768,808 | ||
JDE Peet's NV | ||||
0.80%, 09/24/24 144A Δ | 430,000 | 403,427 | ||
LeasePlan Corporation NV | ||||
2.88%, 10/24/24 144A | 1,900,000 | 1,810,906 | ||
Louis Dreyfus Co. Finance BV | ||||
2.38%, 11/27/25(E) Δ | 200,000 | 208,163 | ||
Mercedes-Benz International Finance BV | ||||
0.25%, 11/06/23(E) | 90,000 | 97,003 | ||
NXP BV | ||||
2.70%, 05/01/25 | 50,000 | 47,410 | ||
Redexis Gas Finance BV | ||||
1.88%, 05/28/25(E) | 100,000 | 103,967 | ||
Siemens Financieringsmaatschappij NV | ||||
0.38%, 09/06/23(E) | 235,000 | 254,928 | ||
Stellantis NV | ||||
3.38%, 07/07/23(E) | 145,000 | 158,229 |
Par | Value | |||
Toyota Motor Finance Netherlands BV | ||||
0.00%, 10/27/25(E) | $ 100,000 | $ 99,734 | ||
6,252,602 | ||||
Norway — 0.1% | ||||
Aker BP ASA | ||||
2.88%, 01/15/26 144A | 895,000 | 829,587 | ||
Var Energi ASA | ||||
7.50%, 01/15/28 144A | 410,000 | 422,129 | ||
1,251,716 | ||||
Saudi Arabia — 0.0% | ||||
Saudi Arabian Oil Co. | ||||
1.25%, 11/24/23 144A | 490,000 | 480,971 | ||
South Korea — 0.2% | ||||
KT Corporation | ||||
4.00%, 08/08/25 144A Δ | 2,200,000 | 2,133,720 | ||
Spain — 0.1% | ||||
Banco de Sabadell SA | ||||
(Variable, 0.97% - EUR Swap Rate 1Y), 0.63%, 11/07/25(E) ^ | 100,000 | 103,206 | ||
(Variable, 1.55% - EUR Swap Rate 1Y), 1.13%, 03/11/27(E) ^ | 100,000 | 98,918 | ||
Banco Santander SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%), 0.70%, 06/30/24^ | 800,000 | 795,722 | ||
Cellnex Finance Co. SA | ||||
2.25%, 04/12/26(E) | 100,000 | 102,382 | ||
1,100,228 | ||||
Sweden — 0.1% | ||||
Svensk Exportkredit AB | ||||
4.00%, 07/15/25 | 780,000 | 764,146 | ||
Volvo Treasury AB | ||||
0.00%, 05/09/24(E) | 310,000 | 327,013 | ||
1,091,159 | ||||
Switzerland — 0.7% | ||||
Credit Suisse AG | ||||
(Floating, U.S. SOFR Index + 0.38%), 5.48%, 08/09/23† | 2,700,000 | 2,695,695 | ||
3.70%, 02/21/25 | 500,000 | 478,108 | ||
SIG Combibloc PurchaseCo S.a.r.l. | ||||
2.13%, 06/18/25(E) | 100,000 | 105,456 | ||
UBS Group AG | ||||
(Variable, 0.55% - EURIBOR ICE SWAP RATE), 0.25%, 01/29/26(E) ^ | 200,000 | 201,246 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.55%), 5.71%, 01/12/27 144A Δ ^ | 3,000,000 | 2,971,667 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.05%), 4.70%, 08/05/27 144A ^ | 900,000 | 860,554 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.85%), 1.49%, 08/10/27 144A ^ | $ 550,000 | $ 472,734 | ||
7,785,460 | ||||
United Kingdom — 1.3% | ||||
Barclays PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.80%), 1.01%, 12/10/24Δ ^ | 1,545,000 | 1,506,497 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 1,000,000 | 937,090 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.30%), 5.30%, 08/09/26^ | 900,000 | 878,293 | ||
(Variable, U.S. SOFR + 2.21%), 5.83%, 05/09/27Δ ^ | 1,462,000 | 1,443,027 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 3.30%), 7.39%, 11/02/28Δ ^ | 346,000 | 360,698 | ||
HSBC Holdings PLC | ||||
(Floating, ICE LIBOR USD 3M + 1.23%), 6.77%, 03/11/25† | 3,000,000 | 3,012,405 | ||
(Variable, U.S. SOFR + 1.43%), 3.00%, 03/10/26^ | 400,000 | 379,462 | ||
(Variable, U.S. SOFR + 2.11%), 4.76%, 06/09/28^ | 200,000 | 192,320 | ||
(Variable, U.S. SOFR + 3.35%), 7.39%, 11/03/28^ | 200,000 | 211,264 | ||
(Variable, CME Term SOFR 3M + 1.80%), 4.58%, 06/19/29^ | 200,000 | 188,405 | ||
Informa PLC | ||||
1.50%, 07/05/23(E) | 100,000 | 109,112 | ||
2.13%, 10/06/25(E) | 485,000 | 504,985 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.60%), 3.51%, 03/18/26^ | 1,500,000 | 1,428,698 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.75%), 4.72%, 08/11/26^ | 1,000,000 | 972,108 | ||
LSEGA Financing PLC | ||||
0.65%, 04/06/24 144A | 200,000 | 191,834 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 100,000 | 102,679 | ||
NatWest Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 5.85%, 03/02/27^ | 900,000 | 890,726 | ||
Rolls-Royce PLC | ||||
5.75%, 10/15/27 144A | 350,000 | 342,597 | ||
Royalty Pharma PLC | ||||
0.75%, 09/02/23 | 920,000 | 911,598 | ||
Santander UK Group Holdings PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.57%), 4.80%, 11/15/24^ | 500,000 | 496,253 |
Par | Value | |||
WPP Finance 2013 | ||||
3.00%, 11/20/23(E) | $ 200,000 | $ 217,301 | ||
15,277,352 | ||||
Total Foreign Bonds (Cost $108,028,727) | 103,619,791 | |||
MORTGAGE-BACKED SECURITIES — 12.4% | ||||
Alen Mortgage Trust, Series 2021-ACEN, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 6.34%, 04/15/34 144A † | 350,000 | 308,986 | ||
American Home Mortgage Assets Trust, Series 2006-5, Class A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 0.92%, 0.92% Floor), 4.90%, 11/25/46† | 535,569 | 165,267 | ||
Angel Oak Mortgage Trust, Series 2022-2, Class A1 | ||||
3.35%, 01/25/67 144A † γ | 300,610 | 271,066 | ||
Arroyo Mortgage Trust, Series 2022-2, Class A1 | ||||
(Step to 5.95% on 07/25/26), 4.95%, 07/25/57 144A STEP | 224,580 | 217,187 | ||
Avon Finance No. 2 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 5.81%, 09/20/48(U) 144A † | 898,362 | 1,141,185 | ||
Banc of America Mortgage Trust, Series 2003-L, Class 3A1 | ||||
4.37%, 01/25/34† γ | 20,528 | 18,971 | ||
BANK, Series 2019-BNK18, Class A2 | ||||
3.47%, 05/15/62 | 610,000 | 591,028 | ||
BBCMS Mortgage Trust, Series 2023-C19, Class A2B | ||||
5.75%, 04/15/56 | 460,000 | 458,252 | ||
Bear Stearns ARM Trust, Series 2003-8, Class 4A1 | ||||
4.20%, 01/25/34† γ | 49,056 | 47,821 | ||
Bear Stearns ARM Trust, Series 2004-5, Class 2A | ||||
3.78%, 07/25/34† γ | 44,506 | 39,987 | ||
Bellemeade RE, Ltd., Series 2021-3A, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 1.00% Floor), 6.07%, 09/25/31 144A † | 589,032 | 585,397 | ||
Benchmark Mortgage Trust, Series 2019-B12, Class AAB | ||||
3.04%, 08/15/52 | 1,000,000 | 919,252 | ||
Benchmark Mortgage Trust, Series 2022-B34, Class AM | ||||
3.96%, 04/15/55† γ | 225,000 | 189,420 | ||
Brass No. 8 PLC, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.70%), 6.02%, 11/16/66 144A † | 13,832 | 13,834 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class A | ||||
(Floating, CME Term SOFR 1M + 1.03%, 0.92% Floor), 6.18%, 10/15/36 144A † | 825,780 | 821,028 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2019-XL, Class B | ||||
(Floating, CME Term SOFR 1M + 1.19%, 1.08% Floor), 6.34%, 10/15/36 144A † | $ 569,500 | $ 564,617 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class D | ||||
(Floating, CME Term SOFR 1M + 1.56%, 1.45% Floor), 6.71%, 10/15/36 144A † | 522,750 | 516,870 | ||
BX Commercial Mortgage Trust, Series 2020-VKNG, Class B | ||||
(Floating, CME Term SOFR 1M + 1.24%, 1.13% Floor), 6.39%, 10/15/37 144A † | 994,000 | 975,733 | ||
BX Commercial Mortgage Trust, Series 2021-XL2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.69%, 0.69% Floor), 5.88%, 10/15/38 144A † | 973,051 | 945,533 | ||
BX Trust, Series 2018-BILT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.02%, 1.77% Floor), 7.21%, 05/15/30 144A † | 235,000 | 229,994 | ||
BX Trust, Series 2023-DELC, Class A | ||||
(Floating, CME Term SOFR 1M + 2.69%, 2.69% Floor), 7.69%, 05/15/38 144A † | 510,000 | 510,136 | ||
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB | ||||
3.37%, 06/15/50 | 1,139,344 | 1,087,369 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 6.50% Cap), 6.04%, 07/25/49 144A † | 36,034 | 34,538 | ||
Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3 | ||||
3.50%, 07/25/49 144A † γ | 73,613 | 65,331 | ||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class D | ||||
(Floating, ICE LIBOR USD 1M + 2.05%, 2.05% Floor), 7.24%, 06/15/34 144A † | 912,461 | 876,767 | ||
CHL Mortgage Pass-Through Trust, Series 2004-29, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 11.50% Cap), 5.69%, 02/25/35† | 29,373 | 26,185 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class AAB | ||||
2.78%, 07/10/49 | 370,261 | 352,667 | ||
Citigroup Commercial Mortgage Trust, Series 2016-P5, Class AAB | ||||
2.84%, 10/10/49 | 619,182 | 592,189 | ||
COLT Mortgage Loan Trust, Series 2022-3, Class A1 | ||||
3.90%, 02/25/67 144A † γ | 215,622 | 198,339 | ||
COMM Mortgage Trust, Series 2013-CR8, Class B | ||||
3.84%, 06/10/46 144A † γ | 169,337 | 158,736 |
Par | Value | |||
COMM Mortgage Trust, Series 2014-CR21, Class A3 | ||||
3.53%, 12/10/47 | $ 523,406 | $ 502,205 | ||
COMM Mortgage Trust, Series 2014-LC15, Class A4 | ||||
4.01%, 04/10/47 | 170,000 | 167,687 | ||
COMM Mortgage Trust, Series 2014-UBS5, Class ASB | ||||
3.55%, 09/10/47 | 69,894 | 69,178 | ||
COMM Mortgage Trust, Series 2015-CR24, Class ASB | ||||
3.45%, 08/10/48 | 64,439 | 63,128 | ||
COMM Mortgage Trust, Series 2015-PC1, Class A4 | ||||
3.62%, 07/10/50 | 202,248 | 193,965 | ||
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.15%), 7.30%, 11/25/39 144A † | 1,246,670 | 1,250,612 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 6.62%, 10/25/41 144A † | 1,050,000 | 1,029,614 | ||
CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA | ||||
2.02%, 01/15/49† IO γ | 603,135 | 23,567 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 307,856 | 275,792 | ||
CSMC, Series 2021-980M, Class C | ||||
3.20%, 07/15/31 144A | 150,000 | 116,067 | ||
CSMC, Series 2021-BHAR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 6.34%, 11/15/38 144A † | 770,000 | 754,629 | ||
CSMC, Series 2022-ATH1, Class A1A | ||||
2.87%, 01/25/67 144A † γ | 292,577 | 268,405 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A1 | ||||
(Step to 5.20% on 08/25/23), 5.87%, 10/25/36 STEP | 89,449 | 72,000 | ||
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A6A2 | ||||
(Step to 5.20% on 08/25/23), 5.89%, 10/25/36 STEP | 90,501 | 72,846 | ||
Eagle RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%, 1.55% Floor), 6.62%, 04/25/34 144A † | 426,497 | 426,651 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 6.27%, 07/15/38 144A † | 1,937,113 | 1,901,152 |
Par | Value | |||
Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 7.07%, 11/25/41 144A † | $3,000,000 | $2,922,521 | ||
Federal Home Loan Mortgage Corporation | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.36%, 2.36% Floor, 13.18% Cap), 4.49%, 07/01/27† | 954 | 937 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 11.23% Cap), 4.34%, 11/01/31† | 7,295 | 7,101 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 10.91% Cap), 5.25%, 04/01/32† | 1,624 | 1,602 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.04%, 2.04% Floor, 9.72% Cap), 4.87%, 06/01/33† | 147,044 | 147,418 | ||
(Floating, ICE LIBOR USD 1Y + 1.75%, 1.75% Floor, 10.84% Cap), 5.50%, 08/01/35† | 21,605 | 21,270 | ||
(Floating, ICE LIBOR USD 1Y + 1.35%, 1.35% Floor, 10.42% Cap), 3.62%, 09/01/35† | 48,959 | 48,820 | ||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 10.80% Cap), 3.88%, 10/01/35† | 51,230 | 51,615 | ||
3.00%, 02/01/36 | 39,341 | 36,558 | ||
4.00%, 11/01/36 | 4,612 | 4,452 | ||
4.00%, 06/01/37 | 61,197 | 59,064 | ||
4.50%, 10/01/37 | 77,150 | 75,780 | ||
4.50%, 07/01/47 | 32,879 | 32,323 | ||
4.50%, 03/01/49 | 1,583,296 | 1,562,805 | ||
4.50%, 01/01/50 | 147,261 | 145,517 | ||
4.00%, 10/01/52 | 495,600 | 465,464 | ||
4.00%, 12/01/52 | 534,494 | 501,993 | ||
4.00%, 04/01/53 | 306,269 | 287,597 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3228 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 5.69%, 10/15/36† | 580,322 | 569,349 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3710 | ||||
4.00%, 08/15/25 STEP | 15,201 | 14,921 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3959 | ||||
4.50%, 11/15/41 | 92,826 | 90,706 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3986 | ||||
4.50%, 09/15/41 | 25,890 | 25,525 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 4459 | ||||
3.00%, 08/15/43 | $ 229,605 | $ 208,714 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4494 | ||||
3.75%, 10/15/42 | 78,073 | 75,781 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4752 | ||||
3.00%, 09/15/46 | 202,737 | 187,859 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4777 | ||||
3.50%, 10/15/45 | 346,980 | 330,928 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4904 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 5.64%, 06/15/49† | 356,020 | 344,702 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4941 | ||||
3.00%, 07/25/49 | 176,659 | 156,477 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4948 | ||||
2.50%, 10/25/48 | 109,259 | 96,891 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5000 | ||||
2.00%, 06/25/44 | 136,128 | 121,324 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5006 | ||||
2.00%, 06/25/45 | 386,453 | 340,319 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5047 | ||||
0.75%, 10/15/28 | 2,519,800 | 2,287,523 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5057 | ||||
1.00%, 04/15/54 | 1,733,221 | 1,535,825 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5105 | ||||
1.50%, 04/15/44 | 746,814 | 696,475 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5115 | ||||
1.00%, 02/25/42 | 1,982,888 | 1,675,775 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.70%), 6.85%, 01/25/50 144A † | 72,583 | 72,609 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%), 7.00%, 02/25/50 144A † | 86,667 | 86,983 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 6.72%, 01/25/34 144A † | 801,994 | 800,995 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA6, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%), 6.57%, 10/25/41 144A † | $1,850,000 | $1,805,135 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-HQA1, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.10%), 7.17%, 03/25/42 144A † | 500,780 | 501,883 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.95%), 7.10%, 10/25/49 144A † | 29,312 | 29,352 | ||
Federal National Mortgage Association | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.93%, 1.93% Floor, 10.30% Cap), 3.88%, 12/01/24 CONV † | 210 | 207 | ||
2.50%, 12/01/27 | 206,730 | 196,570 | ||
3.00%, 09/01/30 | 110,707 | 105,557 | ||
3.00%, 02/01/31 | 670,038 | 631,148 | ||
3.00%, 04/01/31 | 11,342 | 10,684 | ||
1.50%, 06/01/31 | 1,959,334 | 1,755,343 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.22%, 2.22% Floor, 11.66% Cap), 4.55%, 09/01/31† | 16,552 | 16,233 | ||
2.50%, 10/01/31 | 266,330 | 246,992 | ||
2.50%, 11/01/31 | 612,286 | 566,892 | ||
2.50%, 01/01/32 | 4,253 | 3,955 | ||
3.00%, 03/01/32 | 407,121 | 383,472 | ||
(Floating, ICE LIBOR USD 1M + 1.31%, 1.31% Floor, 11.27% Cap), 6.18%, 08/01/32† | 91,555 | 91,382 | ||
3.00%, 11/01/32 | 38,524 | 36,283 | ||
3.00%, 12/01/32 | 444,350 | 416,679 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.25%, 2.25% Floor, 9.73% Cap), 4.38%, 12/01/32† | 199,449 | 193,933 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.41%, 2.41% Floor, 9.66% Cap), 4.25%, 06/01/33† | 3,711 | 3,677 | ||
4.00%, 09/01/33 | 763,549 | 742,685 | ||
4.00%, 05/01/34 | 391,675 | 381,290 | ||
(Floating, ICE LIBOR USD 1Y + 1.66%, 1.66% Floor, 10.15% Cap), 3.96%, 02/01/35† | 19,937 | 19,577 | ||
3.00%, 09/01/35 | 70,761 | 66,031 | ||
4.00%, 07/01/37 | 22,067 | 21,274 | ||
4.50%, 08/01/37 | 558,594 | 549,434 | ||
4.00%, 09/01/37 | 27,229 | 26,250 | ||
4.50%, 10/01/37 | 887,254 | 871,286 |
Par | Value | |||
5.00%, 10/01/37 | $ 45,063 | $ 45,020 | ||
4.50%, 11/01/37 | 58,075 | 57,147 | ||
4.50%, 02/01/38 | 429,694 | 423,243 | ||
5.00%, 02/01/38 | 3,389,448 | 3,391,645 | ||
5.50%, 02/01/38 | 3,100,873 | 3,151,846 | ||
4.00%, 03/01/38 | 18,658 | 17,987 | ||
(Floating, ICE LIBOR USD 1Y + 1.73%, 1.73% Floor, 9.49% Cap), 4.35%, 05/01/38† | 422,393 | 428,528 | ||
4.94%, 08/01/42† | 135,155 | 130,953 | ||
(Floating, ICE LIBOR USD 1Y + 1.74%, 1.74% Floor, 8.67% Cap), 4.51%, 09/01/42† | 105,311 | 106,347 | ||
(Floating, ICE LIBOR USD 1Y + 1.70%, 1.70% Floor, 7.76% Cap), 5.20%, 07/01/43† | 154,939 | 156,708 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 8.52% Cap), 4.94%, 07/01/44† | 37,247 | 36,017 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.20%, 1.20% Floor, 9.15% Cap), 4.94%, 10/01/44† | 33,150 | 31,641 | ||
(Floating, ICE LIBOR USD 1Y + 1.59%, 1.59% Floor, 7.86% Cap), 3.84%, 06/01/45† | 176,316 | 176,194 | ||
4.50%, 03/01/47 | 97,983 | 96,214 | ||
4.50%, 05/01/47 | 297,671 | 292,298 | ||
4.50%, 07/01/47 | 39,186 | 38,478 | ||
4.50%, 11/01/47 | 326,115 | 321,472 | ||
4.50%, 06/01/48 | 52,995 | 52,223 | ||
4.50%, 11/01/48 | 162,015 | 159,853 | ||
4.50%, 02/01/49 | 518,051 | 515,174 | ||
4.50%, 04/01/49 | 144,267 | 142,987 | ||
4.00%, 09/01/52 | 1,189,849 | 1,117,676 | ||
4.00%, 11/01/52 | 599,532 | 562,983 | ||
4.00%, 12/01/52 | 397,521 | 373,287 | ||
4.00%, 01/01/53 | 730,297 | 685,774 | ||
4.00%, 02/01/53 | 725,286 | 681,069 | ||
Federal National Mortgage Association REMIC, Series 2006-98 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 7.00% Cap), 5.58%, 10/25/36† | 101,402 | 99,894 | ||
Federal National Mortgage Association REMIC, Series 2007-100 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.00% Cap), 5.70%, 10/25/37† | 333,405 | 329,798 | ||
Federal National Mortgage Association REMIC, Series 2011-48 | ||||
4.00%, 06/25/26 STEP | 37,878 | 36,963 | ||
Federal National Mortgage Association REMIC, Series 2012-79 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 6.50% Cap), 5.60%, 07/25/42† | 104,149 | 101,386 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2015-38 | ||||
(Floating, ICE LIBOR USD 1M + 0.31%, 0.31% Floor), 4.45%, 06/25/55† | $ 116,937 | $ 114,071 | ||
Federal National Mortgage Association REMIC, Series 2016-11 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor), 4.37%, 03/25/46† | 524,047 | 514,818 | ||
Federal National Mortgage Association REMIC, Series 2016-40 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor), 4.58%, 07/25/46† | 675,081 | 661,718 | ||
Federal National Mortgage Association REMIC, Series 2018-21 | ||||
3.50%, 04/25/45 | 105,962 | 102,328 | ||
Federal National Mortgage Association REMIC, Series 2019-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.50% Cap), 5.65%, 07/25/49† | 461,608 | 447,316 | ||
Federal National Mortgage Association REMIC, Series 2019-53 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 4.32%, 09/25/49† | 794,400 | 774,073 | ||
Federal National Mortgage Association REMIC, Series 2019-60 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 4.34%, 10/25/59† | 824,194 | 802,412 | ||
Federal National Mortgage Association REMIC, Series 2019-9 | ||||
3.50%, 06/25/48 | 688,887 | 642,946 | ||
Federal National Mortgage Association REMIC, Series 2020-79 | ||||
1.50%, 11/25/50 | 546,785 | 463,530 | ||
Federal National Mortgage Association REMIC, Series 2022-65 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.80%, 0.80% Floor, 6.00% Cap), 5.87%, 09/25/52† | 1,950,074 | 1,908,882 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K121 | ||||
1.02%, 10/25/30† IO γ | 592,767 | 33,603 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K727 | ||||
2.95%, 07/25/24 | 3,208,510 | 3,126,137 |
Par | Value | |||
FHLMC Multifamily Structured Pass-Through Certificates, Series KIR2 | ||||
2.75%, 03/25/27 | $ 218,371 | $ 208,564 | ||
FHLMC Structured Pass-Through Certificates, Series T-56, Class 3AF | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor, 8.50% Cap), 6.15%, 05/25/43† | 309,864 | 306,941 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 5.38%, 07/25/44† | 233,919 | 217,437 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
6.23%, 06/25/34† γ | 75,269 | 70,740 | ||
FIVE Mortgage Trust, Series 2023-V1, Class A3 | ||||
5.67%, 02/10/56 | 490,000 | 489,413 | ||
Flagstar Mortgage Trust, Series 2021-12, Class A19 | ||||
5.00%, 11/25/51 144A † γ | 1,155,035 | 1,116,311 | ||
FREMF Mortgage Trust, Series 2015-K45, Class B | ||||
3.61%, 04/25/48 144A † γ | 250,000 | 239,470 | ||
GCAT Trust, Series 2021-NQM7, Class A1 | ||||
1.92%, 08/25/66 144A | 216,265 | 185,326 | ||
Gemgarto PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.59%), 5.48%, 12/16/67(U) 144A † | 953,553 | 1,205,329 | ||
Government National Mortgage Association | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.88%, 05/20/24† | 1,469 | 1,463 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.63%, 07/20/25† | 5,332 | 5,231 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.63%, 08/20/25† | 1,782 | 1,748 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.75%, 11/20/25† | 5,286 | 5,149 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.75%, 12/20/26† | 11,892 | 11,604 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.63%, 07/20/27† | 284 | 275 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 10.00% Cap), 2.75%, 10/20/27† | $ 4,793 | $ 4,645 | ||
8.50%, 10/15/29 | 13,974 | 13,964 | ||
8.50%, 04/15/30 | 1,167 | 1,165 | ||
8.50%, 05/15/30 | 39,715 | 39,884 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.50% Cap), 2.88%, 05/20/30† | 9,089 | 8,842 | ||
8.50%, 07/15/30 | 14,831 | 14,890 | ||
8.50%, 08/15/30 | 2,489 | 2,487 | ||
8.50%, 11/15/30 | 2,623 | 2,620 | ||
8.50%, 12/15/30 | 2,155 | 2,152 | ||
8.50%, 02/15/31 | 10,997 | 11,047 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 5.45%, 05/20/37† | 46,166 | 45,858 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 10.50% Cap), 5.69%, 02/20/61† | 252,360 | 251,500 | ||
Government National Mortgage Association, Series 2013-H13 | ||||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 0.45%, 0.45% Floor, 15.00% Cap), 5.17%, 05/20/63† | 557,511 | 555,407 | ||
Government National Mortgage Association, Series 2016-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor), 4.64%, 02/20/66† | 4,367 | 4,306 | ||
Government National Mortgage Association, Series 2016-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.77%, 0.77% Floor, 7.50% Cap), 4.98%, 10/20/66† | 1,132,348 | 1,129,254 | ||
Government National Mortgage Association, Series 2017-136 | ||||
3.00%, 03/20/47 | 86,016 | 78,169 | ||
Government National Mortgage Association, Series 2017-H09 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 4.96%, 04/20/67† | 1,416,192 | 1,408,354 | ||
Government National Mortgage Association, Series 2017-H10 | ||||
(Floating, ICE LIBOR USD 1Y + 0.75%, 0.75% Floor, 7.50% Cap), 6.46%, 04/20/67† | 1,739,266 | 1,730,049 | ||
Government National Mortgage Association, Series 2020-127 | ||||
1.50%, 06/20/50 | 472,719 | 374,698 | ||
Government National Mortgage Association, Series 2020-17 | ||||
2.50%, 10/20/49 | 78,501 | 69,396 |
Par | Value | |||
Government National Mortgage Association, Series 2022-H22 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.75%, 0.75% Floor, 11.00% Cap), 5.82%, 10/20/72† | $ 990,382 | $ 985,032 | ||
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 5.69%, 11/25/45† | 50,065 | 44,177 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.36%, 0.36% Floor), 5.51%, 01/25/37† | 219,281 | 190,436 | ||
GS Mortgage Securities Corporation Trust, Series 2022-ECI, Class A | ||||
(Floating, CME Term SOFR 1M + 2.19%, 2.20% Floor), 7.34%, 08/15/39 144A † | 610,000 | 611,370 | ||
GS Mortgage Securities Corporation Trust, Series 2022-GTWY, Class A | ||||
(Floating, CME Term SOFR 1M + 3.40%, 3.19% Floor), 8.55%, 09/15/27 144A † | 1,600,000 | 1,601,622 | ||
GS Mortgage Securities Corporation Trust, Series 2023-FUN, Class A | ||||
(Floating, CME Term SOFR 1M + 2.09%, 2.09% Floor), 7.24%, 03/15/28 144A † | 440,000 | 433,896 | ||
GS Mortgage Securities Corporation Trust, Series 2023-FUN, Class B | ||||
(Floating, CME Term SOFR 1M + 2.79%, 2.79% Floor), 7.94%, 03/15/28 144A † | 375,000 | 369,558 | ||
GS Mortgage Securities Trust, Series 2011-GC5, Class AS | ||||
5.21%, 08/10/44 144A † γ | 229,464 | 216,105 | ||
GS Mortgage Securities Trust, Series 2019-GC38, Class A2 | ||||
3.87%, 02/10/52 | 373,644 | 368,951 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2020-PJ4, Class A2 | ||||
3.00%, 01/25/51 144A † γ | 167,868 | 142,835 | ||
GS Mortgage-Backed Securities Corporation Trust, Series 2022-PJ2, Class A4 | ||||
2.50%, 06/25/52 144A † γ | 526,920 | 425,498 | ||
GSR Mortgage Loan Trust, Series 2004-11, Class 5A1 | ||||
4.10%, 09/25/34† γ | 55,171 | 53,906 | ||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.06%, 09/25/35† γ | 30,632 | 28,986 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 6.34%, 05/15/38 144A † | 429,000 | 424,098 |
Par | Value | |||
Homeward Opportunities Fund Trust, Series 2022-1, Class A1 | ||||
(Step to 5.06% on 08/25/23), 5.08%, 07/25/67 144A STEP | $ 147,006 | $142,079 | ||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 5.53%, 09/25/46† | 265,732 | 229,821 | ||
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX3, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor), 5.69%, 06/25/37† | 96,472 | 110,817 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX | ||||
4.25%, 07/05/33 144A | 190,000 | 171,499 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.96%, 0.96% Floor), 6.15%, 07/15/36 144A † | 526,878 | 523,204 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.75%, 02/25/35† γ | 7,365 | 6,794 | ||
JP Morgan Mortgage Trust, Series 2016-2, Class A1 | ||||
6.44%, 06/25/46 144A † γ | 94,997 | 87,389 | ||
JP Morgan Mortgage Trust, Series 2020-7, Class A3 | ||||
3.00%, 01/25/51 144A † γ | 126,038 | 106,417 | ||
JP Morgan Mortgage Trust, Series 2020-LTV1, Class A11 | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 6.00% Cap), 6.00%, 06/25/50 144A † | 18,643 | 18,342 | ||
JP Morgan Mortgage Trust, Series 2021-12, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.85%, 5.00% Cap), 5.00%, 02/25/52 144A † | 164,592 | 151,434 | ||
JP Morgan Mortgage Trust, Series 2021-14, Class A12 | ||||
5.00%, 05/25/52 144A † γ | 269,838 | 260,792 | ||
JP Morgan Mortgage Trust, Series 2021-7, Class A3 | ||||
2.50%, 11/25/51 144A † γ | 1,045,548 | 848,205 | ||
JP Morgan Mortgage Trust, Series 2022-INV3, Class A3B | ||||
3.00%, 09/25/52 144A † γ | 359,457 | 303,051 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class ASB | ||||
3.66%, 09/15/47 | 95,719 | 93,869 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class A3 | ||||
3.50%, 12/15/48 | 188,967 | 178,468 |
Par | Value | |||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A3 | ||||
3.38%, 09/15/50 | $1,500,000 | $1,445,827 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.80% Floor), 6.14%, 05/15/36 144A † | 409,000 | 406,294 | ||
KNDL Mortgage Trust, Series 2019-KNSQ, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.50%, 1.35% Floor), 6.69%, 05/15/36 144A † | 136,000 | 134,355 | ||
Life Mortgage Trust, Series 2021-BMR, Class A | ||||
(Floating, CME Term SOFR 1M + 0.81%, 0.70% Floor), 5.96%, 03/15/38 144A † | 982,970 | 958,756 | ||
Luminent Mortgage Trust, Series 2006-7, Class 2A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.34%, 0.34% Floor, 10.50% Cap), 5.49%, 12/25/36† | 237,722 | 210,212 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 3A1 | ||||
3.46%, 12/25/33† γ | 23,397 | 22,584 | ||
Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3 | ||||
3.00%, 04/25/52 144A † γ | 436,429 | 366,859 | ||
MF1, Series 2021-W10, Class A | ||||
(Floating, CME Term SOFR 1M + 1.07%, 1.07% Floor), 6.22%, 12/15/34 144A † | 110,000 | 106,383 | ||
MFA Trust, Series 2021-INV2, Class A1 | ||||
1.91%, 11/25/56 144A | 263,141 | 221,768 | ||
MFA Trust, Series 2021-RPL1, Class A1 | ||||
1.13%, 07/25/60 144A | 759,911 | 670,559 | ||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class A | ||||
(Floating, CME Term SOFR 1M + 0.92%, 0.80% Floor), 6.06%, 04/15/38 144A † | 480,000 | 471,656 | ||
Mill City Mortgage Loan Trust, Series 2017-3, Class A1 | ||||
2.75%, 01/25/61 144A | 272,975 | 263,914 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | ||||
3.77%, 11/15/46 | 414,274 | 412,044 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class A4 | ||||
4.05%, 04/15/47 | 271,836 | 268,641 |
Par | Value | |||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class ASB | ||||
3.62%, 10/15/47 | $ 80,042 | $ 78,970 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB | ||||
3.04%, 04/15/48 | 590,704 | 574,535 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class A4 | ||||
3.73%, 05/15/48 | 955,000 | 907,068 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A5 | ||||
3.64%, 10/15/48 | 535,000 | 505,485 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class XA | ||||
0.79%, 12/15/49† IO γ | 1,779,824 | 32,453 | ||
Morgan Stanley Capital I Trust, Series 2021-230P, Class A | ||||
(Floating, CME Term SOFR 1M + 1.28%, 1.17% Floor), 6.43%, 12/15/23 144A † | 1,000,000 | 938,763 | ||
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A | ||||
(Floating, CME Term SOFR 1M + 1.40%, 1.40% Floor), 6.54%, 03/15/39 144A † | 590,000 | 579,863 | ||
Natixis Commercial Mortgage Securities Trust, Series 2022-RRI, Class A | ||||
(Floating, CME Term SOFR 1M + 1.82%, 1.82% Floor), 6.97%, 03/15/35 144A † | 1,460,476 | 1,433,515 | ||
New Residential Mortgage Loan Trust, Series 2017-3A, Class A1 | ||||
4.00%, 04/25/57 144A | 1,777,413 | 1,679,176 | ||
New Residential Mortgage Loan Trust, Series 2017-4A, Class A1 | ||||
4.00%, 05/25/57 144A † γ | 527,891 | 484,676 | ||
New Residential Mortgage Loan Trust, Series 2018-1A, Class A1A | ||||
4.00%, 12/25/57 144A † γ | 792,357 | 746,786 | ||
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1 | ||||
2.75%, 07/25/59 144A | 886,891 | 819,180 | ||
New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B | ||||
3.50%, 10/25/59 144A † γ | 388,274 | 358,655 | ||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||
2.75%, 11/25/59 144A | 1,108,641 | 1,021,419 |
Par | Value | |||
Oaktown Re VII, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.60%, 1.60% Floor), 6.67%, 04/25/34 144A † | $ 671,635 | $ 669,703 | ||
OBX Trust, Series 2020-EXP3, Class 2A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.90%), 6.05%, 01/25/60 144A † | 450,000 | 435,218 | ||
OBX Trust, Series 2022-INV3, Class A1 | ||||
3.00%, 02/25/52 144A † γ | 194,956 | 163,636 | ||
ONE Mortgage Trust, Series 2021-PARK, Class A | ||||
(Floating, CME Term SOFR 1M + 0.81%, 0.70% Floor), 5.96%, 03/15/36 144A † | 1,900,000 | 1,798,581 | ||
One New York Plaza Trust, Series 2020-1NYP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 6.14%, 01/15/36 144A † | 240,000 | 227,781 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 6.16%, 08/09/37 144A † | 978,462 | 952,926 | ||
PRKCM Trust, Series 2021-AFC2, Class A1 | ||||
2.07%, 11/25/56 144A | 301,334 | 248,087 | ||
Radnor RE, Ltd., Series 2021-2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.85%, 1.85% Floor), 6.92%, 11/25/31 144A † | 242,461 | 241,975 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 6.10%, 07/25/36 144A † | 1,129,941 | 1,094,358 | ||
Residential Mortgage Securities 32 PLC, Class A | ||||
(Floating, SONIA Interest Rate + 1.25%), 6.16%, 06/20/70(U) 144A † | 593,891 | 755,719 | ||
Resimac Bastille Trust, Series 2021-2NCA, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 5.86%, 02/03/53 144A † | 588,910 | 587,479 | ||
RFMSI Trust, Series 2003-S9, Class A1 | ||||
6.50%, 03/25/32 | 3,952 | 3,834 | ||
Seasoned Credit Risk Transfer Trust Series, Series 2019-4, Class MA | ||||
3.00%, 02/25/59 | 557,749 | 509,368 | ||
Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA | ||||
3.50%, 11/25/57 | 202,600 | 190,744 |
Par | Value | |||
Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA | ||||
3.50%, 08/25/57 | $ 247,666 | $ 232,842 | ||
Sequoia Mortgage Trust, Series 2017-CH1, Class A2 | ||||
3.50%, 08/25/47 144A | 21,451 | 19,669 | ||
SG Residential Mortgage Trust, Series 2022-2, Class A1 | ||||
(Step to 5.32% on 01/25/24), 5.35%, 08/25/62 144A STEP | 122,371 | 119,218 | ||
Starwood Mortgage Residential Trust, Series 2020-3, Class A1 | ||||
1.49%, 04/25/65 144A | 160,835 | 148,067 | ||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class A1 | ||||
1.03%, 11/25/55 144A | 108,857 | 96,518 | ||
Stratton Mortgage Funding, Series 2021-2A, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 5.39%, 07/20/60(U) 144A † | 195,254 | 248,022 | ||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 5.45%, 09/25/34† | 38,160 | 34,278 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 5.65%, 07/19/35† | 20,828 | 18,850 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 10.50% Cap), 5.71%, 02/25/36† | 134,795 | 113,504 | ||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 6.24%, 04/15/34 144A † | 1,700,000 | 1,668,338 | ||
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A | ||||
(Floating, CME Term SOFR 1M + 2.19%, 2.19% Floor), 7.33%, 05/15/37 144A † | 210,000 | 204,469 | ||
TBW Mortgage-Backed Trust, Series 2007-2, Class A6A | ||||
(Step to 4.27% on 08/25/26), 6.01%, 07/25/37 STEP | 166,511 | 66,315 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.14%), 5.64%, 10/20/51(U) 144A † | 695,587 | 884,102 |
Par | Value | |||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.35%), 5.84%, 07/20/45(U) 144A † | $1,527,916 | $1,940,442 | ||
Towd Point Mortgage Trust, Series 2018-1, Class A1 | ||||
3.00%, 01/25/58 144A | 596,939 | 573,713 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A † γ | 501,318 | 463,033 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 1,589,765 | 1,377,168 | ||
Towd Point Mortgage Trust, Series 2021-SJ2, Class A1A | ||||
2.25%, 12/25/61 144A | 727,293 | 664,467 | ||
TPGI Trust, Series 2021-DGWD, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 5.89%, 06/15/26 144A † | 415,169 | 403,794 | ||
Trinity Square PLC, Series 2021-1A, Class A | ||||
(Floating, SONIA Interest Rate + 0.85%), 5.32%, 07/15/59(U) 144A † | 892,107 | 1,132,366 | ||
UBS Commercial Mortgage Trust, Series 2019-C16, Class ASB | ||||
3.46%, 04/15/52 | 540,000 | 499,502 | ||
Uniform Mortgage Backed Securities | ||||
4.00%, 07/01/52 TBA | 4,790,000 | 4,495,677 | ||
5.00%, 09/01/53 TBA | 8,900,000 | 8,726,867 | ||
Verus Securitization Trust, Series 2021-6, Class A1 | ||||
1.63%, 10/25/66 144A | 891,620 | 735,766 | ||
Verus Securitization Trust, Series 2022-1, Class A1 | ||||
(Step to 3.72% on 02/25/26), 2.72%, 01/25/67 144A STEP | 153,184 | 133,802 | ||
Verus Securitization Trust, Series 2022-3, Class A1 | ||||
(Step to 4.10% on 10/25/23), 4.13%, 02/25/67 144A STEP | 385,821 | 354,034 | ||
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), 5.38%, 06/25/42† | 2,341 | 2,158 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A | ||||
4.16%, 08/25/33† γ | 62,390 | 59,844 | ||
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), 5.77%, 01/25/45† | 94,578 | 92,937 |
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), 4.72%, 01/25/47† | $ 135,007 | $ 121,143 | ||
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), 4.96%, 06/25/46† | 272,547 | 249,647 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.65%, 02/25/37† γ | 108,362 | 94,138 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1 | ||||
3.32%, 05/25/37† γ | 133,512 | 104,924 | ||
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), 4.82%, 05/25/47† | 36,868 | 4,895 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4 | ||||
3.17%, 02/15/48 | 500,000 | 475,542 | ||
Wells Fargo Commercial Mortgage Trust, Series 2015-C27, Class A5 | ||||
3.45%, 02/15/48 | 435,000 | 413,430 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class A6FL | ||||
(Floating, ICE LIBOR USD 1M + 1.55%, 1.55% Floor), 6.71%, 01/15/59 144A † | 2,000,000 | 1,972,737 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A1 | ||||
3.00%, 05/25/50 144A † γ | 66,443 | 56,596 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASB | ||||
3.39%, 08/15/47 | 99,019 | 98,066 | ||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class ASB | ||||
3.52%, 03/15/47 | 42,172 | 41,946 | ||
Total Mortgage-Backed Securities (Cost $147,528,978) | 141,314,514 | |||
MUNICIPAL BONDS — 0.4% | ||||
California State Earthquake Authority, Revenue Bond, Series B | ||||
1.48%, 07/01/23 | 315,000 | 315,000 | ||
Hawaii State, General Obligation, Series GB | ||||
0.80%, 10/01/24 | 1,000,000 | 945,633 |
Par | Value | |||
Texas Natural Gas Securitization Finance Corporation, Revenue Bond | ||||
5.10%, 04/01/35 | $ 3,210,000 | $ 3,224,869 | ||
Total Municipal Bonds (Cost $4,525,000) | 4,485,502 | |||
U.S. TREASURY OBLIGATIONS — 34.9% | ||||
U.S. Treasury Bills | ||||
5.17%, 09/07/23Ω | 82,000 | 81,229 | ||
5.15%, 09/14/23Ω | 193,000 | 190,982 | ||
5.01%, 03/21/24Ω Δ | 3,500,000 | 3,369,767 | ||
3,641,978 | ||||
U.S. Treasury Inflationary Indexed Bonds | ||||
1.25%, 04/15/28 | 2,482,938 | 2,403,755 | ||
U.S. Treasury Notes | ||||
0.88%, 01/31/24Δ | 5,500,000 | 5,358,139 | ||
1.50%, 02/29/24Δ | 32,840,000 | 31,996,937 | ||
0.25%, 03/15/24 | 1,606,100 | 1,549,437 | ||
2.25%, 03/31/24 | 30,755,000 | 30,036,465 | ||
2.50%, 04/30/24 | 1,855,000 | 1,810,799 | ||
3.25%, 08/31/24 | 7,951,000 | 7,761,387 | ||
4.25%, 09/30/24Δ | 11,695,000 | 11,543,330 | ||
4.38%, 10/31/24 | 3,665,000 | 3,621,407 | ||
0.75%, 11/15/24Δ | 28,500,000 | 26,811,152 | ||
1.00%, 12/15/24 | 12,600,000 | 11,860,734 | ||
4.13%, 01/31/25 | 1,805,000 | 1,776,938 | ||
1.50%, 02/15/25 | 1,851,000 | 1,747,424 | ||
3.88%, 03/31/25 | 9,760,000 | 9,568,994 | ||
2.63%, 04/15/25 | 7,245,000 | 6,950,813 | ||
2.75%, 05/15/25 | 10,310,000 | 9,904,849 | ||
3.00%, 07/15/25 | 22,375,000 | 21,569,587 | ||
3.50%, 09/15/25 | 43,400,000 | 42,234,473 | ||
4.50%, 11/15/25Δ | 509,000 | 506,435 | ||
4.00%, 12/15/25 | 20,320,000 | 20,004,881 | ||
3.88%, 01/15/26 | 18,840,000 | 18,491,166 | ||
4.00%, 02/15/26 | 53,755,000 | 52,937,126 | ||
4.63%, 03/15/26 | 12,115,000 | 12,129,671 | ||
3.75%, 04/15/26 | 23,184,000 | 22,694,057 | ||
3.63%, 05/15/26Δ | 19,295,000 | 18,826,946 | ||
4.13%, 06/15/26 | 19,105,000 | 18,913,950 | ||
390,607,097 | ||||
Total U.S. Treasury Obligations (Cost $401,976,499) | 396,652,830 |
Shares | |||
MONEY MARKET FUNDS — 3.0% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ | 21,098,465 | 21,098,465 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%Ø § | 9,655,607 | $ 9,655,607 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 3,842,500 | 3,842,500 | ||
Total Money Market Funds (Cost $34,596,572) | 34,596,572 |
Par | |||
REPURCHASE AGREEMENTS — 0.4% | |||
Citigroup Global Markets, Inc. | |||
5.18% (dated 06/30/23, due 07/03/23, repurchase price $2,201,259, collateralized by U.S. Treasury Notes, 3.500%, due 09/15/25 total market value $2,236,855) | $2,200,000 | 2,200,000 | |
Deutsche Bank Securities, Inc. | |||
5.10% (dated 07/03/23, due 07/05/23, repurchase price $2,001,417, collateralized by U.S. Treasury Bonds, 1.125%, due 05/15/40, total market value $2,039,805) | 2,000,000 | 2,000,000 | |
Total Repurchase Agreements (Cost $4,200,000) | 4,200,000 | ||
TOTAL INVESTMENTS —104.2% (Cost $1,214,672,076) | 1,184,598,766 | ||
Liabilities in Excess of Other Assets — (4.2)% | (48,225,424) | ||
NET ASSETS — 100.0% | $1,136,373,342 |
% | |
U.S. Treasury Obligations | 34.9 |
Asset-Backed Securities | 20.2 |
Corporate Bonds | 17.7 |
Mortgage-Backed Securities | 12.4 |
Foreign Bonds | 9.1 |
Agency Obligations | 5.7 |
Money Market Funds | 3.0 |
Repurchase Agreements | 0.4 |
Municipal Bonds | 0.4 |
Certificates Of Deposit | 0.3 |
Commercial Paper | 0.1 |
104.2 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 09/2023 | (25) | $ (3,156,569) | $ 48,406 | ||||
Euro-Bund | 09/2023 | (1) | (145,937) | 1,815 | ||||
Euro-Schatz | 09/2023 | (44) | (5,034,143) | 34,451 | ||||
10-Year Japanese Treasury Bond | 09/2023 | (6) | (6,176,929) | (28,153) | ||||
10-Year U.S. Treasury Note | 09/2023 | (11) | (1,234,922) | 9,844 | ||||
U.S. Treasury Long Bond | 09/2023 | (21) | (2,665,031) | 2,325 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | (210) | (24,871,875) | 204,979 | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | (7) | (953,531) | (7,656) | ||||
2-Year U.S. Treasury Note | 09/2023 | 1,854 | 376,999,313 | (4,426,880) | ||||
5-Year U.S. Treasury Note | 09/2023 | (778) | (83,318,938) | 1,256,688 | ||||
3-Month CME SOFR | 03/2025 | 7 | 1,679,563 | 349 | ||||
3-Month SONIA Index | 03/2025 | 68 | 20,369,087 | (130,187) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $271,490,088 | $(3,034,019) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/16/23 | U.S. Dollars | 2,239,652 | Australian Dollars | 3,341,000 | BNP | $ 10,888 | ||||||
07/05/23 | U.S. Dollars | 1,345,443 | Japanese Yen | 192,411,803 | JPM | 10,873 | ||||||
09/20/23 | U.S. Dollars | 6,654,187 | Euro | 6,063,715 | BNP | 9,803 | ||||||
09/20/23 | U.S. Dollars | 4,338,243 | Euro | 3,951,285 | TD | 8,578 | ||||||
08/02/23 | Japanese Yen | 370,193,083 | U.S. Dollars | 2,572,124 | BNP | 7,381 | ||||||
09/20/23 | U.S. Dollars | 337,648 | Canadian Dollars | 445,000 | BNY | 1,297 | ||||||
09/20/23 | U.S. Dollars | 47,436 | Japanese Yen | 6,616,000 | BNY | 984 | ||||||
Subtotal Appreciation | $ 49,804 | |||||||||||
07/05/23 | Canadian Dollars | 657,000 | U.S. Dollars | 496,756 | UBS | $ (772) | ||||||
09/20/23 | U.S. Dollars | 107,499 | Euro | 99,000 | MSCS | (982) | ||||||
09/20/23 | U.S. Dollars | 118,699 | Euro | 110,000 | BOA | (1,834) | ||||||
07/05/23 | British Pounds | 229,000 | U.S. Dollars | 293,307 | UBS | (2,466) | ||||||
09/20/23 | U.S. Dollars | 178,829 | Euro | 166,000 | HSBC | (3,067) | ||||||
07/05/23 | British Pounds | 598,000 | U.S. Dollars | 763,886 | BNP | (4,396) | ||||||
08/02/23 | Japanese Yen | 191,594,177 | U.S. Dollars | 1,345,443 | JPM | (10,415) | ||||||
08/16/23 | Australian Dollars | 1,038,000 | U.S. Dollars | 705,509 | BNP | (13,065) | ||||||
08/18/23 | U.S. Dollars | 1,102,878 | Canadian Dollars | 1,500,000 | HSBC | (30,314) | ||||||
08/02/23 | U.S. Dollars | 7,374,279 | British Pounds | 5,831,000 | JPM | (32,867) | ||||||
07/05/23 | U.S. Dollars | 2,812,531 | Canadian Dollars | 3,815,605 | JPM | (67,951) | ||||||
07/05/23 | Japanese Yen | 565,009,623 | U.S. Dollars | 4,064,872 | BNP | (145,960) | ||||||
07/05/23 | U.S. Dollars | 8,241,685 | British Pounds | 6,658,000 | HSBC | (214,312) | ||||||
Subtotal Depreciation | $(528,401) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $(478,597) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2024 | MSCS | USD | 1,600,000 | $(12,381) | $(35,993) | $23,612 | ||||||||
$(12,381) | $(35,993) | $23,612 |
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.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 43,650,000 | $(671,898) | $(373,858) | $(298,040) | |||||||
$(671,898) | $(373,858) | $(298,040) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 64,286,723 | $ — | $ 64,286,723 | $ — | |||
Asset-Backed Securities | 229,844,660 | — | 229,844,660 | — | |||
Certificates Of Deposit | 3,548,394 | — | 3,548,394 | — | |||
Commercial Paper | 1,266,202 | — | 1,266,202 | — | |||
Corporate Bonds | 200,783,578 | — | 200,783,578 | — | |||
Foreign Bonds | 103,619,791 | — | 103,619,791 | — | |||
Money Market Funds | 34,596,572 | 34,596,572 | — | — | |||
Mortgage-Backed Securities | 141,314,514 | — | 141,314,514 | — | |||
Municipal Bonds | 4,485,502 | — | 4,485,502 | — | |||
Repurchase Agreements | 4,200,000 | — | 4,200,000 | — | |||
U.S. Treasury Obligations | 396,652,830 | — | 396,652,830 | — | |||
Total Assets - Investments in Securities | $1,184,598,766 | $34,596,572 | $1,150,002,194 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 49,804 | $ — | $ 49,804 | $ — | |||
Futures Contracts | 1,558,857 | 1,558,857 | — | — | |||
Swap Agreements | 23,612 | — | 23,612 | — | |||
Total Assets - Other Financial Instruments | $ 1,632,273 | $ 1,558,857 | $ 73,416 | $ — |
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 | $ (528,401) | $ — | $(528,401) | $ — | |||
Futures Contracts | (4,592,876) | (4,592,876) | — | — | |||
Swap Agreements | (298,040) | — | (298,040) | — | |||
Total Liabilities - Other Financial Instruments | $(5,419,317) | $(4,592,876) | $(826,441) | $ — |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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 — 1.6% | ||||
Federal Farm Credit Banks Funding Corporation | ||||
2.90%, 04/12/32 | $2,640,000 | $ 2,382,319 | ||
3.30%, 05/19/32 | 1,310,000 | 1,212,535 | ||
2.85%, 03/28/34 | 2,880,000 | 2,511,365 | ||
1.70%, 04/23/35 | 3,800,000 | 2,816,126 | ||
3.08%, 03/30/37 | 1,770,000 | 1,515,995 | ||
Federal Home Loan Bank Discount Notes | ||||
5.06%, 03/01/24Ω | 2,090,000 | 2,021,932 | ||
Federal Home Loan Mortgage Corporation | ||||
0.65%, 10/22/25 | 7,100,000 | 6,453,693 | ||
0.65%, 10/27/25 | 7,200,000 | 6,541,855 | ||
0.80%, 10/28/26‡‡ | 7,200,000 | 6,380,836 | ||
Federal National Mortgage Association | ||||
6.63%, 11/15/30 | 670,000 | 777,837 | ||
Tennessee Valley Authority | ||||
3.50%, 12/15/42 | 500,000 | 419,462 | ||
Tennessee Valley Authority Principal Strip | ||||
2.25%, 04/01/56Ω | 1,000,000 | 196,241 | ||
Total Agency Obligations (Cost $37,227,262) | 33,230,196 | |||
ASSET-BACKED SECURITIES — 9.5% | ||||
522 Funding CLO, Ltd., Series 2020-6A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 6.42%, 10/23/34 144A † | 610,000 | 600,001 | ||
AB BSL CLO 4, Ltd., Series 2023-4A, Class A | ||||
(Floating, CME Term SOFR 3M + 2.00%, 2.00% Floor), 6.96%, 04/20/36 144A † | 320,000 | 320,057 | ||
ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.95%, 1.95% Floor), 7.20%, 01/20/32 144A † | 970,000 | 963,063 | ||
ACE Securities Corporation Home Equity Loan Trust, Series 2007-ASP1, Class A2B | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor), 5.55%, 03/25/37† | 2,275,509 | 996,189 | ||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
4.80%, 08/15/27 144A | 1,366,850 | 1,314,846 | ||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2 | ||||
1.94%, 08/15/46 144A | 900,000 | 788,102 |
Par | Value | |||
American Airlines Pass-Through Trust, Series 2013-1, Class A | ||||
4.00%, 07/15/25 | $ 619,803 | $ 559,811 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class AA | ||||
3.35%, 10/15/29 | 1,531,716 | 1,363,513 | ||
American Airlines Pass-Through Trust, Series 2021-1, Class A | ||||
2.88%, 07/11/34Δ | 2,176,667 | 1,824,065 | ||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R10, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 5.83%, 01/25/36† | 2,195,771 | 2,151,182 | ||
AMMC CLO XI, Ltd., Series 2012-11A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.01%), 6.31%, 04/30/31 144A † | 710,000 | 703,081 | ||
Apidos CLO XXIII, Series 2015-23A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 6.48%, 04/15/33 144A † | 1,500,000 | 1,491,157 | ||
Apidos CLO XXXV, Series 2021-35A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.05%, 1.05% Floor), 6.30%, 04/20/34 144A † | 540,000 | 529,335 | ||
Applebee's Funding LLC, Series 2019-1A, Class A2II | ||||
4.72%, 06/05/49 144A | 643,500 | 594,745 | ||
Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL1, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.45%, 1.45% Floor), 6.52%, 01/15/37 144A † | 1,500,000 | 1,472,591 | ||
Arbys Funding LLC, Series 2020-1A, Class A2 | ||||
3.24%, 07/30/50 144A | 1,361,500 | 1,204,930 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2023-5A, Class A | ||||
5.78%, 04/20/28 144A | 720,000 | 714,668 | ||
Ballyrock CLO, Ltd., Series 2018-1A, Class C | ||||
(Floating, ICE LIBOR USD 3M + 3.15%), 8.40%, 04/20/31 144A † | 750,000 | 699,546 | ||
Ballyrock CLO, Ltd., Series 2019-2A, Class A1BR | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 6.58%, 11/20/30 144A † | 490,000 | 482,989 | ||
Barclays Dryrock Issuance Trust, Series 2023-1, Class A | ||||
4.72%, 02/15/29 | 2,400,000 | 2,369,161 |
Par | Value | |||
Barings Loan Partners CLO, Ltd., Series LP-3A, Class B | ||||
(Floating, CME Term SOFR 3M + 3.05%, 3.05% Floor), 8.11%, 07/20/33 144A † | $1,000,000 | $1,004,367 | ||
Basswood Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 6.25%, 04/20/34 144A † | 1,500,000 | 1,469,468 | ||
BCRED MML CLO LLC, Series 2022-1A, Class A1 | ||||
(Floating, CME Term SOFR 3M + 1.65%, 1.65% Floor), 6.70%, 04/20/35 144A † | 820,000 | 798,146 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A2A | ||||
6.00%, 10/25/36 | 709,036 | 330,402 | ||
Bear Stearns Asset Backed Securities Trust, Series 2007-SD1, Class 1A3A | ||||
6.50%, 10/25/36 | 2,084,759 | 938,715 | ||
Blue Stream Issuer LLC, Series 2023-1A, Class A2 | ||||
5.40%, 05/20/53 144A | 1,000,000 | 954,270 | ||
BlueMountain CLO XXVIII, Ltd., Series 2021-28A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.26%, 1.26% Floor), 6.52%, 04/15/34 144A † | 400,000 | 392,870 | ||
BlueMountain CLO, Ltd., Series 2013-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.18%), 6.45%, 10/22/30 144A † | 2,063,127 | 2,056,207 | ||
BSPRT Issuer, Ltd., Series 2022-FL9, Class B | ||||
(Floating, CME Term SOFR 1M + 3.37%, 3.37% Floor), 8.51%, 07/15/39 144A † | 2,000,000 | 1,967,814 | ||
Capital Automotive LLC, Series 2017-1A, Class A2 | ||||
4.18%, 04/15/47 144A | 1,290,858 | 1,261,523 | ||
Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A | ||||
4.95%, 10/15/27 | 1,200,000 | 1,192,758 | ||
Carrington Mortgage Loan Trust, Series 2006-NC5, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.15%, 0.15% Floor, 14.50% Cap), 5.30%, 01/25/37† | 1,126,847 | 978,317 | ||
Carvana Auto Receivables Trust, Series 2022-P2, Class A2 | ||||
3.33%, 07/10/25 | 702,273 | 698,882 | ||
Cayuga Park CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 6.38%, 07/17/34 144A † | 790,000 | 783,268 |
Par | Value | |||
Cedar Funding V CLO, Ltd., Series 2016-5A, Class AFRR | ||||
1.94%, 07/17/31 144A | $ 560,000 | $ 528,085 | ||
Cerberus Loan Funding XL LLC, Series 2023-1A, Class A | ||||
(Floating, CME Term SOFR 3M + 2.40%, 2.40% Floor), 7.19%, 03/22/35 144A † | 1,250,000 | 1,252,118 | ||
Cerberus Loan Funding XXXII LP, Series 2021-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.62%, 1.62% Floor), 6.88%, 04/22/33 144A † | 1,000,000 | 981,347 | ||
Cerberus Loan Funding XXXIII LP, Series 2021-3A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.56%, 1.56% Floor), 6.82%, 07/23/33 144A † | 1,250,000 | 1,222,311 | ||
Cerberus Loan Funding XXXVIII LP, Series 2022-2A, Class A1 | ||||
(Floating, CME Term SOFR 3M + 2.75%, 2.75% Floor), 7.74%, 10/15/34 144A † | 650,000 | 650,798 | ||
CF Hippolyta Issuer LLC, Series 2022-1A, Class A2 | ||||
6.11%, 08/15/62 144A | 1,709,978 | 1,662,546 | ||
CIFC Funding, Ltd., Series 2022-3A, Class A | ||||
(Floating, CME Term SOFR 3M + 1.41%, 1.41% Floor), 6.47%, 04/21/35 144A † | 1,250,000 | 1,239,163 | ||
Citigroup Mortgage Loan Trust, Series 2006-WF1, Class A1 | ||||
(Step to 4.99% on 08/25/23), 5.01%, 03/25/36 STEP | 2,041,689 | 1,080,564 | ||
CLI Funding VI LLC, Series 2020-3A, Class A | ||||
2.07%, 10/18/45 144A | 69,000 | 59,985 | ||
CLI Funding VIII LLC, Series 2021-1A, Class A | ||||
1.64%, 02/18/46 144A | 755,655 | 645,061 | ||
CLI Funding VIII LLC, Series 2022-1A, Class A1 | ||||
2.72%, 01/18/47 144A | 219,533 | 186,897 | ||
Credit Suisse European Mortgage Capital, Ltd., Series 2019-1OTF, Class A | ||||
(Floating, ICE LIBOR USD 3M + 2.90%), 8.20%, 08/09/24 144A † | 930,000 | 898,485 | ||
CVS Pass-Through Trust | ||||
6.94%, 01/10/30 | 416,325 | 424,405 | ||
CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.75% Floor), 5.90%, 03/25/34† | 67,358 | 65,612 |
Par | Value | |||
CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A | ||||
(Floating, ICE LIBOR USD 1M + 0.24%, 0.24% Floor, 16.00% Cap), 5.43%, 12/15/35† | $ 17,101 | $ 16,491 | ||
Discover Card Execution Note Trust, Series 2023-A1, Class A | ||||
4.31%, 03/15/28 | 1,200,000 | 1,174,576 | ||
Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.67%, 10/25/49 144A | 1,307,092 | 1,145,558 | ||
Dryden 75 CLO, Ltd., Series 2019-75A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.04%, 1.04% Floor), 6.30%, 04/15/34 144A † | 250,000 | 246,821 | ||
Dryden 77 CLO, Ltd., Series 2020-77A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.12%, 1.12% Floor), 6.50%, 05/20/34 144A † | 6,500,000 | 6,376,588 | ||
Dryden 87 CLO, Ltd., Series 2021-87A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.10%, 1.10% Floor), 6.48%, 05/20/34 144A † | 480,000 | 472,115 | ||
ECMC Group Student Loan Trust, Series 2017-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%), 6.35%, 12/27/66 144A † | 696,909 | 683,744 | ||
Elmwood CLO 19, Ltd., Series 2022-6A, Class B1 | ||||
(Floating, CME Term SOFR 3M + 3.05%, 3.05% Floor), 8.04%, 10/17/34 144A † | 1,000,000 | 1,007,880 | ||
Elmwood CLO 22, Ltd., Series 2023-1A, Class A | ||||
(Floating, CME Term SOFR 3M + 1.80%, 1.80% Floor), 6.58%, 04/17/36 144A † | 1,200,000 | 1,200,230 | ||
Elmwood CLO IV, Ltd., Series 2020-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.24%, 1.24% Floor), 6.50%, 04/15/33 144A † | 2,550,000 | 2,530,274 | ||
Federal National Mortgage Association Grantor Trust, Series 2017-T1 | ||||
2.90%, 06/25/27 | 99,300 | 91,950 | ||
Financial Asset Securities Corporation AAA Trust, Series 2005-1A, Class 1A3B | ||||
(Floating, ICE LIBOR USD 1M + 0.41%, 0.41% Floor), 5.59%, 02/27/35 144A † | 317,085 | 289,398 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class F3 | ||||
3.37%, 10/19/37 144A | 150,000 | 136,193 |
Par | Value | |||
FirstKey Homes Trust, Series 2020-SFR2, Class G1 | ||||
4.00%, 10/19/37 144A | $ 250,000 | $ 229,135 | ||
FirstKey Homes Trust, Series 2020-SFR2, Class G2 | ||||
4.50%, 10/19/37 144A | 250,000 | 230,561 | ||
FirstKey Homes Trust, Series 2022-SFR3, Class B | ||||
4.50%, 07/17/26 144A | 1,500,000 | 1,428,002 | ||
Ford Credit Auto Owner Trust, Series 2022-B, Class A3 | ||||
3.74%, 09/15/26 | 1,200,000 | 1,172,998 | ||
FORT CRE Issuer LLC, Series 2022-FL3, Class A | ||||
(Floating, U.S. 30-Day Average SOFR + 1.85%, 1.85% Floor), 6.92%, 02/23/39 144A † | 1,250,000 | 1,208,208 | ||
Fortress Credit Bsl X, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.47%, 1.47% Floor), 6.72%, 04/20/33 144A † | 2,190,000 | 2,165,454 | ||
Fortress Credit BSL XV, Ltd., Series 2022-2A, Class B | ||||
(Floating, CME Term SOFR 3M + 3.00%, 3.00% Floor), 7.35%, 10/18/33 144A † | 1,250,000 | 1,246,380 | ||
FS Rialto Issuer LLC, Series 2022-FL5, Class AS | ||||
(Floating, CME Term SOFR 1M + 2.87%, 2.87% Floor), 7.96%, 06/19/37 144A † | 1,800,000 | 1,790,600 | ||
FS Rialto Issuer LLC, Series 2022-FL5, Class B | ||||
(Floating, CME Term SOFR 1M + 3.37%, 3.37% Floor), 8.46%, 06/19/27 144A † | 550,000 | 544,255 | ||
FS Rialto Issuer LLC, Series 2022-FL6, Class AS | ||||
(Floating, CME Term SOFR 1M + 3.13%, 3.13% Floor), 8.21%, 08/17/37 144A † | 1,000,000 | 995,216 | ||
FS Rialto Issuer LLC, Series 2022-FL6, Class B | ||||
(Floating, CME Term SOFR 1M + 3.63%, 3.63% Floor), 8.71%, 08/17/37 144A † | 1,000,000 | 978,025 | ||
GLS Auto Receivables Issuer Trust, Series 2022-1A, Class A | ||||
1.98%, 08/15/25 144A | 396,210 | 393,297 | ||
GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A2 | ||||
2.52%, 05/16/25 | 841,573 | 835,687 | ||
GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A1 | ||||
5.34%, 06/15/28 144A | 1,200,000 | 1,199,573 |
Par | Value | |||
GoldenTree Loan Opportunities IX, Ltd., Series 2014-9A, Class AR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.11%, 1.11% Floor), 6.41%, 10/29/29 144A † | $ 640,754 | $ 636,285 | ||
Golub Capital Partners CLO 16, Ltd., Series 2013-16A, Class A1R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.61%, 1.61% Floor), 6.87%, 07/25/33 144A † | 2,450,000 | 2,418,708 | ||
Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.38%, 1.38% Floor), 6.71%, 05/05/30 144A † | 350,909 | 348,759 | ||
Golub Capital Partners CLO 36M, Ltd., Series 2018-36A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.30%), 6.63%, 02/05/31 144A † | 2,328,505 | 2,304,657 | ||
Golub Capital Partners CLO 66B, Ltd., Series 2023-66A, Class A | ||||
(Floating, CME Term SOFR 3M + 1.95%, 1.95% Floor), 6.93%, 04/25/36 144A † | 320,000 | 319,899 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A | ||||
2.10%, 05/20/48 144A | 1,873,863 | 1,442,551 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A | ||||
4.00%, 04/20/49 144A | 1,832,408 | 1,608,302 | ||
Greywolf CLO V, Ltd., Series 2015-1A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.16%, 1.16% Floor), 6.42%, 01/27/31 144A † | 500,000 | 497,349 | ||
Halseypoint CLO 7, Ltd., Series 2023-7A, Class A | ||||
(Floating, CME Term SOFR 3M + 2.25%, 2.25% Floor), 7.51%, 07/20/36 144A † | 1,900,000 | 1,900,000 | ||
Hardee's Funding LLC, Series 2018-1A, Class A2II | ||||
4.96%, 06/20/48 144A | 1,428,750 | 1,336,346 | ||
Hildene Community Funding CDO, Ltd., Series 2015-1A, Class ARR | ||||
2.60%, 11/01/35 144A | 733,020 | 609,995 | ||
Hotwire Funding LLC, Series 2021-1, Class A2 | ||||
2.31%, 11/20/51 144A | 1,350,000 | 1,184,893 | ||
Hotwire Funding LLC, Series 2023-1A, Class C | ||||
8.84%, 05/20/53 144A | 750,000 | 722,080 | ||
HPS Loan Management, Ltd., Series 2021-16A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.14%, 1.14% Floor), 6.41%, 01/23/35 144A † | 640,000 | 630,556 |
Par | Value | |||
Hyundai Auto Lease Securitization Trust, Series 2022-A, Class A4 | ||||
1.32%, 12/15/25 144A | $1,100,000 | $1,060,285 | ||
Hyundai Auto Receivables Trust, Series 2023-A, Class A2A | ||||
5.19%, 12/15/25 | 1,200,000 | 1,195,433 | ||
ICG U.S. CLO, Ltd., Series 2017-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.17%, 1.17% Floor), 6.44%, 07/28/34 144A † | 1,500,000 | 1,456,125 | ||
InStar Leasing III LLC, Series 2021-1A, Class A | ||||
2.30%, 02/15/54 144A | 896,223 | 746,921 | ||
J.G. Wentworth XXXVIII LLC, Series 2017-1A, Class A | ||||
3.99%, 08/16/60 144A | 182,742 | 160,134 | ||
Jersey Mike's Funding, Series 2019-1A, Class A2 | ||||
4.43%, 02/15/50 144A | 49,625 | 45,661 | ||
Jersey Mike's Funding, Series 2021-1A, Class A2I | ||||
2.89%, 02/15/52 144A | 348,250 | 303,301 | ||
JetBlue Pass-Through Trust, Series 2019-1, Class AA | ||||
2.75%, 05/15/32 | 1,767,135 | 1,506,709 | ||
JG Wentworth XXXV LLC, Series 2015-2A, Class A | ||||
3.87%, 03/15/58 144A | 64,392 | 56,182 | ||
KKR CLO, Ltd., Series 16, Class A2R2 | ||||
(Floating, ICE LIBOR USD 3M + 1.75%, 1.75% Floor), 7.00%, 10/20/34 144A † | 2,500,000 | 2,417,921 | ||
KKR CLO, Ltd., Series 32A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 6.58%, 01/15/32 144A † | 340,000 | 336,926 | ||
LCCM Trust, Series 2021-FL2, Class A | ||||
(Floating, CME Term SOFR 1M + 1.31%, 1.31% Floor), 6.46%, 12/13/38 144A † | 750,000 | 735,957 | ||
Lendmark Funding Trust, Series 2021-1A, Class A | ||||
1.90%, 11/20/31 144A | 2,200,000 | 1,901,433 | ||
LL ABS Trust, Series 2022-1A, Class A | ||||
3.76%, 11/15/29 144A | 682,724 | 674,863 | ||
LoanCore Issuer, Ltd., Series 2019-CRE2, Class C | ||||
(Floating, ICE LIBOR USD 1M + 2.00%, 2.00% Floor), 7.19%, 05/15/36 144A † | 250,000 | 242,590 | ||
LoanCore Issuer, Ltd., Series 2021-CRE5, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.75%, 1.75% Floor), 6.94%, 07/15/36 144A † | 1,100,000 | 1,053,045 |
Par | Value | |||
LoanCore Issuer, Ltd., Series 2021-CRE6, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.65% Floor), 6.84%, 11/15/38 144A † | $ 940,000 | $ 893,239 | ||
Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A | ||||
2.64%, 10/15/46 144A | 758,214 | 660,295 | ||
Madison Avenue Secured Funding Trust, Series 2023-1, Class A1 | ||||
(Floating, CME Term SOFR 1M + 2.00%, 2.00% Floor), 7.09%, 03/04/24 144A † | 1,250,000 | 1,250,000 | ||
Magnetite VIII, Ltd., Series 2014-8A, Class CR2 | ||||
(Floating, ICE LIBOR USD 3M + 1.85%, 1.85% Floor), 7.11%, 04/15/31 144A † | 500,000 | 485,278 | ||
MAPS Trust, Series 2021-1A, Class A | ||||
2.52%, 06/15/46 144A | 364,667 | 317,177 | ||
Mariner Finance Issuance Trust, Series 2021-AA, Class A | ||||
1.86%, 03/20/36 144A | 2,200,000 | 1,933,619 | ||
MF1, Ltd., Series 2021-FL6, Class A | ||||
(Floating, CME Term SOFR 1M + 1.21%, 1.21% Floor), 6.32%, 07/16/36 144A † | 2,010,000 | 1,963,100 | ||
MF1, Ltd., Series 2022-FL10, Class C | ||||
(Floating, CME Term SOFR 1M + 4.48%, 4.48% Floor), 9.56%, 09/17/37 144A † | 1,250,000 | 1,241,086 | ||
Mississippi Higher Education Assistance Corporation, Series 2014-1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 5.83%, 10/25/35† | 236,656 | 233,071 | ||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-NC3, Class A2C | ||||
(Floating, ICE LIBOR USD 1M + 0.19%, 0.19% Floor), 5.34%, 05/25/37† | 1,364,392 | 980,671 | ||
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 0.15%, 0.15% Floor), 5.30%, 11/25/36† | 4,860,584 | 1,717,528 | ||
Mosaic Solar Loan Trust, Series 2021-1A, Class D | ||||
3.71%, 12/20/46 144A | 294,126 | 253,867 | ||
Mosaic Solar Loan Trust, Series 2022-1A, Class A | ||||
2.64%, 01/20/53 144A | 1,774,855 | 1,516,786 | ||
Nationstar Home Equity Loan Trust, Series 2007-C, Class 1AV1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 5.33%, 06/25/37† | 2,052,089 | 1,995,301 |
Par | Value | |||
Navient Private Education Loan Trust, Series 2015-BA, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.45%), 6.64%, 07/16/40 144A † | $1,547,596 | $1,545,287 | ||
Navient Student Loan Trust, Series 2016-6A, Class A3 | ||||
(Floating, ICE LIBOR USD 1M + 1.30%), 6.45%, 03/25/66 144A † | 2,105,806 | 2,091,144 | ||
Navient Student Loan Trust, Series 2020-1A, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 6.20%, 06/25/69 144A † | 1,553,883 | 1,534,935 | ||
Navigator Aircraft ABS, Ltd., Series 2021-1, Class A | ||||
(Step to 2.77% on 07/15/23), 2.77%, 11/15/46 144A STEP | 889,881 | 776,145 | ||
Nelnet Student Loan Trust, Series 2021-A, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 1.03%), 6.19%, 04/20/62 144A † | 111,000 | 108,430 | ||
Neuberger Berman Loan Advisers CLO, Ltd., Series 2018-29A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 6.40%, 10/19/31 144A † | 750,000 | 744,116 | ||
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A2A | ||||
5.34%, 02/17/26 | 1,200,000 | 1,195,984 | ||
Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1 | ||||
1.85%, 11/20/50 144A | 649,365 | 577,137 | ||
Octagon Investment Partners 36, Ltd., Series 2018-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 0.97%), 6.23%, 04/15/31 144A † | 700,000 | 694,581 | ||
Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class AAR3 | ||||
(Floating, ICE LIBOR USD 3M + 1.00%, 1.00% Floor), 6.32%, 02/14/31 144A † | 530,000 | 524,239 | ||
Option One Mortgage Loan Trust, Series 2007-5, Class 2A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor), 5.45%, 05/25/37† | 1,681,470 | 921,809 | ||
Owl Rock CLO III, Ltd., Series 2020-3A, Class A1L | ||||
(Floating, ICE LIBOR USD 3M + 1.80%), 7.05%, 04/20/32 144A † | 600,000 | 589,191 |
Par | Value | |||
Owl Rock CLO X LLC, Series 2023-10A, Class A | ||||
(Floating, CME Term SOFR 3M + 2.45%, 2.45% Floor), 7.52%, 04/20/35 144A † | $ 500,000 | $ 495,074 | ||
Palmer Square Loan Funding, Ltd., Series 2022-2A, Class A2 | ||||
(Floating, CME Term SOFR 3M + 1.90%, 1.90% Floor), 6.89%, 10/15/30 144A † | 1,000,000 | 981,513 | ||
Palmer Square Loan Funding, Ltd., Series 2022-5A, Class A2 | ||||
(Floating, CME Term SOFR 3M + 2.65%, 2.65% Floor), 7.64%, 01/15/31 144A † | 1,500,000 | 1,497,468 | ||
PHEAA Student Loan Trust, Series 2012-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%), 5.70%, 05/25/57 144A † | 272,789 | 263,217 | ||
PHEAA Student Loan Trust, Series 2016-1A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 6.30%, 09/25/65 144A † | 255,138 | 252,594 | ||
PHEAA Student Loan Trust, Series 2016-2A, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%), 6.09%, 11/25/65 144A † | 237,537 | 234,564 | ||
Point Au Roche Park CLO, Ltd., Series 2021-1A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.08%, 1.08% Floor), 6.33%, 07/20/34 144A † | 1,170,000 | 1,148,724 | ||
Progress Residential Trust, Series 2022-SFR5, Class C | ||||
5.19%, 06/17/39 144A | 1,000,000 | 954,753 | ||
Recette CLO, Ltd., Series 2015-1A, Class ARR | ||||
(Floating, ICE LIBOR USD 3M + 1.08%), 6.33%, 04/20/34 144A † | 340,000 | 332,648 | ||
REESE PARK CLO, Ltd., Series 2020-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.13%, 1.13% Floor), 6.39%, 10/15/34 144A † | 1,350,000 | 1,336,349 | ||
Saxon Asset Securities Trust, Series 2004-1, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.80%, 0.80% Floor, 10.28% Cap), 2.03%, 03/25/35† | 70,657 | 68,526 | ||
Securitized Asset Backed Receivables LLC Trust, Series 2006-WM4, Class A2C | ||||
(Floating, ICE LIBOR USD 1M + 0.32%, 0.32% Floor), 5.47%, 11/25/36† | 1,803,267 | 525,084 | ||
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.18%, 0.18% Floor), 5.33%, 02/25/37 144A † | 2,016,336 | 1,707,775 |
Par | Value | |||
SERVPRO Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.88%, 10/25/49 144A | $1,302,750 | $1,193,416 | ||
Shackleton CLO, Ltd., Series 2019-14A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.20%, 1.20% Floor), 6.45%, 07/20/34 144A † | 4,200,000 | 4,128,987 | ||
Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class A | ||||
1.35%, 09/20/38 144A | 208,229 | 191,977 | ||
Slam, Ltd., Series 2021-1A, Class A | ||||
2.43%, 06/15/46 144A | 1,312,500 | 1,128,083 | ||
SLM Student Loan Trust, Series 2005-5, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.14%, 0.14% Floor), 5.40%, 10/25/28† | 21,637 | 21,619 | ||
SMB Private Education Loan Trust, Series 2020-BA, Class A1A | ||||
1.29%, 07/15/53 144A | 281,258 | 250,837 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 1,153,386 | 1,001,482 | ||
SMB Private Education Loan Trust, Series 2021-A, Class B | ||||
2.31%, 01/15/53 144A | 660,000 | 593,754 | ||
SMB Private Education Loan Trust, Series 2021-C, Class B | ||||
2.30%, 01/15/53 144A | 580,000 | 518,683 | ||
Sonic Capital LLC, Series 2020-1A, Class A2I | ||||
3.85%, 01/20/50 144A | 1,282,600 | 1,165,675 | ||
Sonic Capital LLC, Series 2021-1A, Class A2II | ||||
2.64%, 08/20/51 144A | 786,000 | 589,801 | ||
Sound Point CLO XX, Ltd., Series 2018-2A, Class A | ||||
(Floating, ICE LIBOR USD 3M + 1.10%), 6.37%, 07/26/31 144A † | 500,000 | 494,456 | ||
Soundview Home Loan Trust, Series 2007-OPT1, Class 2A4 | ||||
(Floating, ICE LIBOR USD 1M + 0.28%, 0.28% Floor), 5.43%, 06/25/37† | 1,607,905 | 1,082,749 | ||
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.10%, 04/01/28 | 881,065 | 798,147 | ||
Stack Infrastructure Issuer LLC, Series 2023-1A, Class A2 | ||||
5.90%, 03/25/48 144A | 1,000,000 | 970,996 | ||
Stonepeak, Series 2021-1A, Class AA | ||||
2.30%, 02/28/33 144A | 1,577,755 | 1,428,951 | ||
Structured Asset Investment Loan Trust, Series 2005-1, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 0.78%, 0.78% Floor), 5.93%, 02/25/35 144A † | 1,787,295 | 1,718,342 |
Par | Value | |||
Structured Asset Securities Corporation Mortgage Loan Trust, Series 2007-BC4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.63%, 0.63% Floor), 5.78%, 11/25/37† | $2,271,051 | $2,176,921 | ||
STWD, Ltd., Series 2022-FL3, Class E | ||||
(Floating, U.S. 30-Day Average SOFR + 3.25%, 3.25% Floor), 8.32%, 11/15/38 144A † | 1,210,000 | 1,136,161 | ||
Sunrun Demeter Issuer LLC, Series 2021-2A, Class A | ||||
2.27%, 01/30/57 144A | 2,130,601 | 1,705,848 | ||
SVC ABS LLC, Series 2023-1A, Class A | ||||
5.15%, 02/20/53 144A | 648,917 | 621,256 | ||
Taco Bell Funding LLC, Series 2016-1A, Class A23 | ||||
4.97%, 05/25/46 144A | 611,000 | 589,186 | ||
TIF Funding II LLC, Series 2021-1A, Class A | ||||
1.65%, 02/20/46 144A | 1,215,938 | 1,007,397 | ||
Toyota Lease Owner Trust, Series 2023-A, Class A2 | ||||
5.30%, 08/20/25 144A | 1,200,000 | 1,194,771 | ||
Tricon Residential Trust, Series 2023-SFR1 | ||||
5.10%, 07/17/40 144A | 1,000,000 | 952,779 | ||
Triton Container Finance VIII LLC, Series 2021-1A, Class A | ||||
1.86%, 03/20/46 144A | 1,164,600 | 979,059 | ||
Trysail CLO, Ltd., Series 2021-1A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.32%, 1.32% Floor), 6.57%, 07/20/32 144A † | 2,900,000 | 2,854,325 | ||
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A | ||||
4.20%, 03/15/27 144A | 798,806 | 736,058 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class A | ||||
3.10%, 10/07/28 | 567,407 | 481,550 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||
2.88%, 10/07/28 | 567,407 | 500,887 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 1,581,103 | 1,569,481 | ||
United Airlines Pass-Through Trust, Series 2023-1, Class A | ||||
5.80%, 07/15/36 | 600,000 | 611,817 | ||
United States Small Business Administration, Series 2019-20D, Class 1 | ||||
2.98%, 04/01/39 | 88,861 | 80,980 | ||
United States Small Business Administration, Series 2019-25G, Class 1 | ||||
2.69%, 07/01/44 | 158,035 | 137,999 |
Par | Value | |||
Venture 39 CLO, Ltd., Series 2020-39A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.28%, 1.28% Floor), 6.54%, 04/15/33 144A † | $2,525,000 | $2,492,228 | ||
Voya CLO, Ltd., Series 2016-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.19%), 6.45%, 10/18/31 144A † | 500,000 | 496,133 | ||
Voya CLO, Ltd., Series 2017-3A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.04%), 6.29%, 04/20/34 144A † | 490,000 | 480,568 | ||
Voya CLO, Ltd., Series 2018-3A, Class A1A | ||||
(Floating, ICE LIBOR USD 3M + 1.15%, 1.15% Floor), 6.41%, 10/15/31 144A † | 1,250,000 | 1,240,865 | ||
Voya CLO, Ltd., Series 2019-1A, Class AR | ||||
(Floating, ICE LIBOR USD 3M + 1.06%, 1.06% Floor), 6.32%, 04/15/31 144A † | 1,700,000 | 1,687,426 | ||
Voya CLO, Ltd., Series 2022-2A, Class B | ||||
(Floating, CME Term SOFR 3M + 2.95%, 2.95% Floor), 8.00%, 07/20/34 144A † | 1,500,000 | 1,497,679 | ||
Voya CLO, Series 2017-2A, Class A2AR | ||||
(Floating, ICE LIBOR USD 3M + 1.65%, 1.65% Floor), 6.91%, 06/07/30 144A † | 500,000 | 489,788 | ||
WAVE LLC, Series 2019-1, Class A | ||||
3.60%, 09/15/44 144A | 188,431 | 157,170 | ||
Wellfleet CLO X, Ltd., Series 2019-XA, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.17%), 6.42%, 07/20/32 144A † | 6,900,000 | 6,776,720 | ||
Wellfleet CLO, Ltd., Series 2022-2A, Class B | ||||
(Floating, CME Term SOFR 3M + 3.15%, 3.15% Floor), 8.13%, 10/18/35 144A † | 1,250,000 | 1,251,390 | ||
Wendy's Funding LLC, Series 2019-1A, Class A2II | ||||
4.08%, 06/15/49 144A | 648,414 | 581,829 | ||
Whitebox CLO II, Ltd., Series 2020-2A, Class A1R | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 6.49%, 10/24/34 144A † | 650,000 | 640,455 | ||
Whitebox CLO III, Ltd., Series 2021-3A, Class A1 | ||||
(Floating, ICE LIBOR USD 3M + 1.22%, 1.22% Floor), 6.48%, 10/15/34 144A † | 780,000 | 770,092 |
Par | Value | |||
Whitehorse XII, Ltd., Series 2018-12A, Class D | ||||
(Floating, ICE LIBOR USD 3M + 3.65%, 3.65% Floor), 8.91%, 10/15/31 144A † | $ 750,000 | $ 688,123 | ||
Wingstop Funding LLC, Series 2020-1A, Class A2 | ||||
2.84%, 12/05/50 144A | 1,379,000 | 1,195,732 | ||
World Omni Auto Receivables Trust, Series 2023-B, Class A2A | ||||
5.25%, 11/16/26 | 1,200,000 | 1,193,377 | ||
Total Asset-Backed Securities (Cost $207,111,107) | 199,306,801 | |||
COMMERCIAL PAPER — 0.1% | ||||
Bank of Montreal | ||||
3.84%, 07/12/23Ω (Cost $934,899) | 936,000 | 934,415 | ||
CORPORATE BONDS — 24.8% | ||||
3M Co. | ||||
2.38%, 08/26/29Δ | 70,000 | 60,168 | ||
3.05%, 04/15/30Δ | 50,000 | 45,094 | ||
3.70%, 04/15/50Δ | 570,000 | 451,867 | ||
7-Eleven, Inc. | ||||
1.30%, 02/10/28 144A Δ | 725,000 | 612,969 | ||
Abbott Laboratories | ||||
4.75%, 11/30/36Δ | 170,000 | 170,810 | ||
4.90%, 11/30/46 | 390,000 | 394,026 | ||
Accident Fund Insurance Co. of America | ||||
8.50%, 08/01/32 144A Δ | 100,000 | 102,642 | ||
Adobe, Inc. | ||||
2.30%, 02/01/30 | 650,000 | 570,634 | ||
Adventist Health System | ||||
2.95%, 03/01/29 | 160,000 | 140,251 | ||
AEP Texas, Inc. | ||||
3.95%, 06/01/28 | 30,000 | 28,192 | ||
Air Lease Corporation | ||||
3.38%, 07/01/25 | 1,180,000 | 1,119,062 | ||
2.88%, 01/15/26 | 950,000 | 879,360 | ||
3.75%, 06/01/26 | 875,000 | 827,453 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.15%), 4.13%, 12/15/26ρ ^ | 600,000 | 391,211 | ||
5.30%, 02/01/28Δ | 300,000 | 294,641 | ||
Alexandria Real Estate Equities, Inc. REIT | ||||
2.75%, 12/15/29Δ | 1,400,000 | 1,185,727 | ||
3.38%, 08/15/31 | 325,000 | 278,729 | ||
5.15%, 04/15/53 | 600,000 | 538,682 | ||
Allegion U.S. Holding Co., Inc. | ||||
3.20%, 10/01/24 | 400,000 | 384,295 | ||
Alliant Energy Finance LLC | ||||
4.25%, 06/15/28 144A | 75,000 | 71,379 | ||
Allied Universal Holdco LLC | ||||
6.63%, 07/15/26 144A | 10,000 | 9,502 | ||
Allstate Corporation (The) | ||||
0.75%, 12/15/25 | 35,000 | 31,371 | ||
Ally Financial, Inc. | ||||
1.45%, 10/02/23 | 250,000 | 246,667 |
Par | Value | |||
Alphabet, Inc. | ||||
0.45%, 08/15/25Δ | $ 60,000 | $ 54,943 | ||
1.10%, 08/15/30Δ | 150,000 | 121,440 | ||
1.90%, 08/15/40 | 140,000 | 96,505 | ||
2.05%, 08/15/50Δ | 90,000 | 56,380 | ||
Amazon.com, Inc. | ||||
3.30%, 04/13/27Δ | 100,000 | 95,303 | ||
1.20%, 06/03/27 | 60,000 | 52,683 | ||
3.45%, 04/13/29Δ | 220,000 | 207,297 | ||
1.50%, 06/03/30 | 190,000 | 156,314 | ||
2.10%, 05/12/31Δ | 170,000 | 143,042 | ||
3.60%, 04/13/32Δ | 850,000 | 792,984 | ||
4.80%, 12/05/34Δ | 75,000 | 76,591 | ||
3.88%, 08/22/37 | 1,955,000 | 1,786,781 | ||
4.95%, 12/05/44 | 220,000 | 222,788 | ||
4.05%, 08/22/47 | 290,000 | 260,533 | ||
2.50%, 06/03/50Δ | 310,000 | 206,466 | ||
4.25%, 08/22/57 | 160,000 | 144,156 | ||
Amdocs, Ltd. | ||||
2.54%, 06/15/30 | 1,600,000 | 1,336,949 | ||
American Equity Investment Life Holding Co. | ||||
5.00%, 06/15/27 | 1,250,000 | 1,207,205 | ||
American Express Co. | ||||
3.38%, 05/03/24Δ | 210,000 | 205,970 | ||
2.50%, 07/30/24 | 995,000 | 962,197 | ||
4.05%, 05/03/29 | 540,000 | 514,679 | ||
(Variable, U.S. SOFR + 1.76%), 4.42%, 08/03/33^ | 45,000 | 42,484 | ||
American Homes 4 Rent LP REIT | ||||
4.90%, 02/15/29 | 309,000 | 297,141 | ||
2.38%, 07/15/31 | 205,000 | 163,081 | ||
American International Group, Inc. | ||||
2.50%, 06/30/25 | 100,000 | 94,235 | ||
3.40%, 06/30/30 | 250,000 | 221,476 | ||
4.75%, 04/01/48 | 20,000 | 17,955 | ||
American National Group LLC | ||||
6.14%, 06/13/32 144A | 600,000 | 570,306 | ||
American Tower Corporation REIT | ||||
3.38%, 05/15/24 | 825,000 | 807,945 | ||
3.38%, 10/15/26 | 1,200,000 | 1,120,706 | ||
3.95%, 03/15/29 | 300,000 | 276,863 | ||
American Transmission Systems, Inc. | ||||
2.65%, 01/15/32 144A | 260,000 | 215,411 | ||
Americo Life, Inc. | ||||
3.45%, 04/15/31 144A | 1,450,000 | 1,115,648 | ||
Amgen, Inc. | ||||
3.63%, 05/22/24 | 50,000 | 49,139 | ||
5.25%, 03/02/30 | 978,000 | 980,699 | ||
4.20%, 03/01/33 | 900,000 | 840,460 | ||
5.25%, 03/02/33 | 995,000 | 996,744 | ||
4.66%, 06/15/51 | 384,000 | 344,234 | ||
Amsted Industries, Inc. | ||||
4.63%, 05/15/30 144A | 200,000 | 178,597 | ||
Apache Corporation | ||||
4.25%, 01/15/30Δ | 650,000 | 579,540 | ||
Appalachian Power Co. | ||||
2.70%, 04/01/31 | 2,200,000 | 1,834,048 |
Par | Value | |||
Apple, Inc. | ||||
1.13%, 05/11/25Δ | $ 630,000 | $ 587,220 | ||
2.45%, 08/04/26 | 955,000 | 894,474 | ||
2.40%, 08/20/50 | 55,000 | 36,877 | ||
Arch Capital Finance LLC | ||||
4.01%, 12/15/26 | 600,000 | 573,149 | ||
Arch Capital Group, Ltd. | ||||
7.35%, 05/01/34 | 175,000 | 198,979 | ||
Archer-Daniels-Midland Co. | ||||
3.25%, 03/27/30 | 150,000 | 137,572 | ||
Ares Finance Co. II LLC | ||||
3.25%, 06/15/30 144A | 1,800,000 | 1,516,947 | ||
Ashtead Capital, Inc. | ||||
1.50%, 08/12/26 144A | 350,000 | 306,098 | ||
Assurant, Inc. | ||||
6.10%, 02/27/26 | 800,000 | 803,354 | ||
AT&T, Inc. | ||||
2.30%, 06/01/27 | 430,000 | 386,933 | ||
1.65%, 02/01/28 | 440,000 | 378,377 | ||
2.75%, 06/01/31 | 175,000 | 147,715 | ||
2.25%, 02/01/32 | 1,055,000 | 838,302 | ||
2.55%, 12/01/33 | 3,819,000 | 3,001,051 | ||
4.90%, 08/15/37 | 200,000 | 187,867 | ||
5.35%, 09/01/40Δ | 80,000 | 77,622 | ||
3.50%, 06/01/41 | 400,000 | 307,462 | ||
5.55%, 08/15/41Δ | 40,000 | 39,513 | ||
4.35%, 06/15/45 | 94,000 | 78,854 | ||
4.75%, 05/15/46 | 65,000 | 57,436 | ||
5.15%, 11/15/46 | 125,000 | 116,287 | ||
4.50%, 03/09/48 | 207,000 | 175,254 | ||
3.65%, 06/01/51 | 725,000 | 532,649 | ||
3.50%, 09/15/53 | 2,463,000 | 1,745,343 | ||
3.55%, 09/15/55 | 641,000 | 449,213 | ||
3.80%, 12/01/57 | 90,000 | 65,235 | ||
3.65%, 09/15/59 | 127,000 | 88,510 | ||
AutoNation, Inc. | ||||
1.95%, 08/01/28 | 150,000 | 122,275 | ||
4.75%, 06/01/30 | 225,000 | 210,546 | ||
Avangrid, Inc. | ||||
3.20%, 04/15/25 | 275,000 | 261,634 | ||
Aviation Capital Group LLC | ||||
5.50%, 12/15/24 144A | 2,000,000 | 1,958,703 | ||
1.95%, 01/30/26 144A | 400,000 | 356,545 | ||
Ball Corporation | ||||
3.13%, 09/15/31Δ | 280,000 | 230,664 | ||
Bank of America Corporation | ||||
4.00%, 04/01/24 | 420,000 | 415,185 | ||
(Floating, ICE LIBOR USD 3M + 0.96%), 6.23%, 07/23/24† | 900,000 | 900,267 | ||
(Variable, CME Term SOFR 3M + 3.97%), 6.25%, 09/05/24ρ ^ | 300,000 | 297,000 | ||
(Variable, CME Term SOFR 3M + 4.44%), 6.50%, 10/23/24ρ Δ ^ | 150,000 | 149,958 | ||
4.00%, 01/22/25 | 440,000 | 428,123 | ||
(Variable, CME Term SOFR 3M + 1.35%), 3.09%, 10/01/25^ | 2,235,000 | 2,150,662 | ||
4.45%, 03/03/26 | 420,000 | 408,434 |
Par | Value | |||
3.50%, 04/19/26 | $ 600,000 | $ 575,886 | ||
(Variable, U.S. SOFR + 1.15%), 1.32%, 06/19/26^ | 60,000 | 54,987 | ||
4.25%, 10/22/26 | 480,000 | 463,632 | ||
(Variable, U.S. SOFR + 1.29%), 5.08%, 01/20/27^ | 1,000,000 | 984,995 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.76%), 4.38%, 01/27/27ρ Δ ^ | 700,000 | 598,675 | ||
(Variable, U.S. SOFR + 0.91%), 1.66%, 03/11/27^ | 70,000 | 63,025 | ||
(Variable, CME Term SOFR 3M + 1.32%), 3.56%, 04/23/27^ | 65,000 | 61,655 | ||
(Variable, U.S. SOFR + 0.96%), 1.73%, 07/22/27^ | 70,000 | 62,533 | ||
3.25%, 10/21/27Δ | 875,000 | 815,829 | ||
4.18%, 11/25/27 | 950,000 | 903,269 | ||
(Variable, U.S. SOFR + 1.05%), 2.55%, 02/04/28^ | 20,000 | 18,066 | ||
(Variable, CME Term SOFR 3M + 1.63%), 3.59%, 07/21/28^ | 860,000 | 800,119 | ||
(Variable, CME Term SOFR 3M + 1.30%), 3.42%, 12/20/28^ | 368,000 | 337,790 | ||
(Variable, CME Term SOFR 3M + 1.33%), 3.97%, 03/05/29^ | 1,190,000 | 1,115,142 | ||
(Variable, U.S. SOFR + 1.63%), 5.20%, 04/25/29^ | 1,500,000 | 1,484,545 | ||
(Variable, CME Term SOFR 3M + 1.57%), 4.27%, 07/23/29^ | 525,000 | 498,506 | ||
(Variable, CME Term SOFR 3M + 1.45%), 2.88%, 10/22/30^ | 500,000 | 430,880 | ||
(Variable, CME Term SOFR 3M + 1.25%), 2.50%, 02/13/31^ | 75,000 | 62,830 | ||
(Variable, U.S. SOFR + 2.15%), 2.59%, 04/29/31^ | 1,010,000 | 848,437 | ||
(Variable, U.S. SOFR + 1.53%), 1.90%, 07/23/31^ | 1,150,000 | 916,302 | ||
(Variable, U.S. SOFR + 1.22%), 2.30%, 07/21/32^ | 755,000 | 604,088 | ||
(Variable, U.S. SOFR + 1.21%), 2.57%, 10/20/32^ | 2,010,000 | 1,637,921 | ||
(Variable, U.S. SOFR + 1.33%), 2.97%, 02/04/33^ | 1,285,000 | 1,071,665 | ||
(Variable, U.S. SOFR + 1.83%), 4.57%, 04/27/33^ | 1,065,000 | 1,001,861 | ||
(Variable, U.S. SOFR + 2.16%), 5.02%, 07/22/33Δ ^ | 600,000 | 587,281 | ||
6.11%, 01/29/37 | 500,000 | 527,695 | ||
5.00%, 01/21/44 | 490,000 | 470,041 | ||
(Variable, CME Term SOFR 3M + 1.45%), 3.95%, 01/23/49^ | 270,000 | 219,251 | ||
(Variable, CME Term SOFR 3M + 1.78%), 4.33%, 03/15/50^ | 170,000 | 146,408 | ||
(Variable, CME Term SOFR 3M + 3.41%), 4.08%, 03/20/51^ | 670,000 | 556,069 | ||
(Variable, U.S. SOFR + 1.88%), 2.83%, 10/24/51^ | 230,000 | 151,255 |
Par | Value | |||
Bank of New York Mellon Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.63%), 3.75%, 12/20/26ρ ^ | $ 700,000 | $ 576,625 | ||
Banner Health | ||||
2.34%, 01/01/30 | 865,000 | 736,538 | ||
Barrick North America Finance LLC | ||||
5.70%, 05/30/41Δ | 150,000 | 152,189 | ||
5.75%, 05/01/43 | 210,000 | 216,036 | ||
Baxter International, Inc. | ||||
1.92%, 02/01/27 | 367,000 | 326,157 | ||
3.13%, 12/01/51Δ | 25,000 | 16,514 | ||
Baylor Scott & White Holdings | ||||
1.78%, 11/15/30 | 305,000 | 243,151 | ||
Becton, Dickinson and Co. | ||||
3.36%, 06/06/24 | 377,000 | 368,905 | ||
3.73%, 12/15/24 | 47,000 | 45,647 | ||
2.82%, 05/20/30 | 650,000 | 568,861 | ||
4.69%, 12/15/44Δ | 83,000 | 75,360 | ||
Berkshire Hathaway Energy Co. | ||||
3.70%, 07/15/30 | 400,000 | 368,383 | ||
Berkshire Hathaway Finance Corporation | ||||
1.85%, 03/12/30Δ | 725,000 | 616,492 | ||
4.25%, 01/15/49 | 490,000 | 446,995 | ||
Berry Global, Inc. | ||||
1.57%, 01/15/26 | 2,100,000 | 1,894,688 | ||
Biogen, Inc. | ||||
3.15%, 05/01/50Δ | 25,000 | 17,125 | ||
Black Hills Corporation | ||||
2.50%, 06/15/30 | 490,000 | 404,907 | ||
BlackRock, Inc. | ||||
2.40%, 04/30/30 | 70,000 | 60,654 | ||
Block Financial LLC | ||||
3.88%, 08/15/30 | 1,600,000 | 1,412,680 | ||
Boardwalk Pipelines LP | ||||
3.60%, 09/01/32 | 700,000 | 595,708 | ||
Boeing Co. (The) | ||||
1.43%, 02/04/24 | 920,000 | 895,728 | ||
4.88%, 05/01/25 | 450,000 | 443,756 | ||
2.20%, 02/04/26 | 110,000 | 101,005 | ||
2.70%, 02/01/27 | 70,000 | 64,018 | ||
5.15%, 05/01/30 | 1,820,000 | 1,803,621 | ||
3.25%, 02/01/35 | 1,610,000 | 1,306,483 | ||
6.63%, 02/15/38 | 210,000 | 225,365 | ||
3.55%, 03/01/38 | 70,000 | 54,552 | ||
5.71%, 05/01/40 | 1,145,000 | 1,143,015 | ||
3.85%, 11/01/48 | 25,000 | 18,470 | ||
5.81%, 05/01/50 | 480,000 | 478,655 | ||
5.93%, 05/01/60 | 100,000 | 99,119 | ||
Boston Properties LP REIT | ||||
4.50%, 12/01/28 | 900,000 | 827,284 | ||
3.40%, 06/21/29 | 25,000 | 20,939 | ||
2.55%, 04/01/32Δ | 1,100,000 | 830,237 | ||
2.45%, 10/01/33 | 10,000 | 7,216 | ||
BP Capital Markets America, Inc. | ||||
3.12%, 05/04/26 | 510,000 | 485,674 |
Par | Value | |||
4.23%, 11/06/28 | $ 150,000 | $ 145,545 | ||
3.63%, 04/06/30Δ | 270,000 | 251,217 | ||
3.00%, 02/24/50 | 550,000 | 383,874 | ||
Bristol-Myers Squibb Co. | ||||
3.20%, 06/15/26 | 65,000 | 62,233 | ||
Broadcom, Inc. | ||||
4.00%, 04/15/29 144A | 70,000 | 64,703 | ||
5.00%, 04/15/30 | 5,000 | 4,913 | ||
2.45%, 02/15/31 144A | 2,000,000 | 1,627,434 | ||
4.15%, 04/15/32 144A | 420,000 | 380,628 | ||
3.42%, 04/15/33 144A | 900,000 | 753,049 | ||
3.47%, 04/15/34 144A | 2,415,000 | 1,981,908 | ||
3.14%, 11/15/35 144A | 2,333,000 | 1,790,385 | ||
3.19%, 11/15/36 144A | 28,000 | 21,177 | ||
3.50%, 02/15/41 144A | 325,000 | 243,341 | ||
Brookfield Capital Finance LLC | ||||
6.09%, 06/14/33 | 100,000 | 101,596 | ||
Brooklyn Union Gas Co. (The) | ||||
4.87%, 08/05/32 144A | 1,250,000 | 1,173,969 | ||
Brown & Brown, Inc. | ||||
4.95%, 03/17/52 | 5,000 | 4,288 | ||
Brunswick Corporation | ||||
2.40%, 08/18/31 | 5,000 | 3,837 | ||
5.10%, 04/01/52 | 10,000 | 7,427 | ||
Builders FirstSource, Inc. | ||||
4.25%, 02/01/32 144A | 20,000 | 17,426 | ||
Burlington Northern Santa Fe LLC | ||||
2.88%, 06/15/52 | 70,000 | 47,949 | ||
Cameron LNG LLC | ||||
2.90%, 07/15/31 144A | 70,000 | 60,338 | ||
3.30%, 01/15/35 144A | 460,000 | 383,956 | ||
Capital One Financial Corporation | ||||
3.30%, 10/30/24 | 345,000 | 331,654 | ||
(Variable, U.S. SOFR + 0.86%), 1.88%, 11/02/27^ | 70,000 | 60,010 | ||
(Variable, U.S. SOFR + 2.08%), 5.47%, 02/01/29^ | 20,000 | 19,173 | ||
(Variable, U.S. SOFR + 2.60%), 5.25%, 07/26/30Δ ^ | 1,200,000 | 1,132,335 | ||
Cardinal Health, Inc. | ||||
4.37%, 06/15/47 | 20,000 | 16,524 | ||
Cargill, Inc. | ||||
4.75%, 04/24/33 144A | 350,000 | 345,182 | ||
Carrier Global Corporation | ||||
2.72%, 02/15/30 | 650,000 | 560,005 | ||
3.58%, 04/05/50 | 20,000 | 14,803 | ||
Catalent Pharma Solutions, Inc. | ||||
3.13%, 02/15/29 144A Δ | 100,000 | 81,401 | ||
CBRE Services, Inc. | ||||
5.95%, 08/15/34 | 100,000 | 98,828 | ||
CCO Holdings LLC | ||||
4.75%, 02/01/32 144A Δ | 770,000 | 628,743 | ||
4.50%, 05/01/32 | 10,000 | 7,994 | ||
4.50%, 06/01/33 144A | 980,000 | 770,623 | ||
CDW LLC | ||||
3.57%, 12/01/31Δ | 700,000 | 591,682 |
Par | Value | |||
Celanese U.S. Holdings LLC | ||||
6.33%, 07/15/29Δ | $ 40,000 | $ 39,759 | ||
Centene Corporation | ||||
4.63%, 12/15/29 | 70,000 | 64,494 | ||
CenterPoint Energy, Inc. | ||||
4.25%, 11/01/28 | 206,000 | 192,968 | ||
Central Parent, Inc. | ||||
7.25%, 06/15/29 144A Δ | 600,000 | 593,886 | ||
CH Robinson Worldwide, Inc. | ||||
4.20%, 04/15/28 | 1,500,000 | 1,438,271 | ||
Charles Schwab Corporation (The) | ||||
0.90%, 03/11/26 | 5,000 | 4,421 | ||
1.15%, 05/13/26 | 5,000 | 4,429 | ||
3.25%, 05/22/29 | 10,000 | 8,835 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 3.08%), 4.00%, 12/01/30ρ ^ | 1,000,000 | 731,000 | ||
(Variable, U.S. SOFR + 2.50%), 5.85%, 05/19/34^ | 1,810,000 | 1,838,203 | ||
Charter Communications Operating LLC | ||||
4.91%, 07/23/25 | 2,020,000 | 1,981,513 | ||
4.20%, 03/15/28 | 310,000 | 290,752 | ||
2.25%, 01/15/29 | 2,300,000 | 1,916,287 | ||
5.05%, 03/30/29 | 465,000 | 443,623 | ||
4.40%, 04/01/33Δ | 350,000 | 307,334 | ||
6.38%, 10/23/35 | 475,000 | 463,251 | ||
5.38%, 04/01/38 | 530,000 | 451,893 | ||
3.50%, 03/01/42 | 120,000 | 80,371 | ||
6.48%, 10/23/45 | 90,000 | 84,671 | ||
5.38%, 05/01/47 | 30,000 | 24,826 | ||
5.75%, 04/01/48 | 260,000 | 222,782 | ||
5.13%, 07/01/49 | 120,000 | 94,505 | ||
4.80%, 03/01/50 | 140,000 | 105,745 | ||
Cheniere Energy Partners LP | ||||
4.00%, 03/01/31 | 170,000 | 149,870 | ||
3.25%, 01/31/32Δ | 80,000 | 65,924 | ||
5.95%, 06/30/33 144A | 330,000 | 331,373 | ||
Chevron Corporation | ||||
1.55%, 05/11/25 | 190,000 | 178,109 | ||
2.00%, 05/11/27 | 100,000 | 90,862 | ||
Chevron U.S.A., Inc. | ||||
3.85%, 01/15/28 | 550,000 | 536,866 | ||
Choice Hotels International, Inc. | ||||
3.70%, 12/01/29 | 1,500,000 | 1,295,191 | ||
Chubb INA Holdings, Inc. | ||||
3.35%, 05/03/26 | 120,000 | 115,387 | ||
Ciena Corporation | ||||
4.00%, 01/31/30 144A Δ | 400,000 | 348,860 | ||
Cigna Group (The) | ||||
3.75%, 07/15/23 | 293,000 | 292,740 | ||
4.13%, 11/15/25Δ | 60,000 | 58,431 | ||
4.38%, 10/15/28 | 510,000 | 493,405 | ||
2.40%, 03/15/30 | 550,000 | 467,646 | ||
2.38%, 03/15/31 | 1,100,000 | 922,801 | ||
4.80%, 08/15/38 | 1,035,000 | 978,106 | ||
3.20%, 03/15/40 | 675,000 | 519,566 |
Par | Value | |||
3.88%, 10/15/47 | $ 35,000 | $ 27,655 | ||
4.90%, 12/15/48 | 1,250,000 | 1,164,152 | ||
Cintas Corporation No. 2 | ||||
3.70%, 04/01/27 | 190,000 | 183,253 | ||
4.00%, 05/01/32 | 140,000 | 133,120 | ||
Cisco Systems, Inc. | ||||
5.50%, 01/15/40 | 75,000 | 79,815 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 9.34%, 10/30/23† ρ Δ | 170,000 | 171,020 | ||
(Variable, CME Term SOFR 3M + 4.17%), 5.95%, 05/15/25ρ ^ | 350,000 | 336,097 | ||
4.40%, 06/10/25 | 100,000 | 97,183 | ||
5.50%, 09/13/25 | 490,000 | 487,370 | ||
(Variable, U.S. SOFR + 2.84%), 3.11%, 04/08/26^ | 190,000 | 181,503 | ||
3.40%, 05/01/26 | 1,250,000 | 1,189,448 | ||
(Variable, CME Term SOFR 3M + 4.78%), 6.25%, 08/15/26ρ Δ ^ | 150,000 | 147,980 | ||
4.30%, 11/20/26 | 575,000 | 550,667 | ||
(Variable, U.S. SOFR + 0.77%), 1.12%, 01/28/27^ | 60,000 | 53,512 | ||
(Variable, U.S. SOFR + 0.77%), 1.46%, 06/09/27^ | 70,000 | 62,189 | ||
4.45%, 09/29/27 | 1,230,000 | 1,175,056 | ||
(Variable, U.S. SOFR + 1.28%), 3.07%, 02/24/28^ | 60,000 | 55,248 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.21%), 7.38%, 05/15/28ρ Δ ^ | 1,200,000 | 1,194,186 | ||
(Variable, U.S. SOFR + 1.89%), 4.66%, 05/24/28Δ ^ | 230,000 | 224,445 | ||
(Variable, CME Term SOFR 3M + 1.65%), 3.67%, 07/24/28^ | 150,000 | 140,338 | ||
(Variable, U.S. SOFR + 3.91%), 4.41%, 03/31/31^ | 710,000 | 667,937 | ||
(Variable, U.S. SOFR + 2.11%), 2.57%, 06/03/31^ | 1,160,000 | 968,322 | ||
6.63%, 06/15/32 | 50,000 | 52,935 | ||
(Variable, U.S. SOFR + 1.18%), 2.52%, 11/03/32^ | 860,000 | 693,394 | ||
(Variable, U.S. SOFR + 1.94%), 3.79%, 03/17/33^ | 540,000 | 477,372 | ||
(Variable, U.S. SOFR + 2.09%), 4.91%, 05/24/33^ | 580,000 | 561,529 | ||
8.13%, 07/15/39 | 260,000 | 332,910 | ||
4.65%, 07/30/45 | 294,000 | 261,040 | ||
4.65%, 07/23/48 | 160,000 | 145,073 | ||
Citizens Bank NA | ||||
(Variable, U.S. SOFR + 2.00%), 4.58%, 08/09/28^ | 1,250,000 | 1,137,097 | ||
Clorox Co. (The) | ||||
1.80%, 05/15/30 | 5,000 | 4,093 | ||
CNH Industrial Capital LLC | ||||
1.45%, 07/15/26 | 70,000 | 61,918 | ||
CoBank ACB | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.49%), 6.45%, 10/01/27ρ ^ | 600,000 | 556,500 |
Par | Value | |||
Coca-Cola Co. (The) | ||||
1.45%, 06/01/27Δ | $ 265,000 | $ 236,989 | ||
2.50%, 06/01/40 | 20,000 | 15,082 | ||
2.60%, 06/01/50 | 130,000 | 90,934 | ||
Cogent Communications Group, Inc. | ||||
7.00%, 06/15/27 144A | 600,000 | 581,040 | ||
Comcast Corporation | ||||
3.38%, 08/15/25 | 275,000 | 265,427 | ||
3.95%, 10/15/25 | 477,000 | 465,101 | ||
4.15%, 10/15/28 | 1,080,000 | 1,046,941 | ||
3.40%, 04/01/30 | 520,000 | 478,108 | ||
4.25%, 10/15/30 | 520,000 | 501,070 | ||
7.05%, 03/15/33Δ | 50,000 | 57,686 | ||
5.65%, 06/15/35 | 420,000 | 440,838 | ||
6.50%, 11/15/35Δ | 7,000 | 7,853 | ||
3.90%, 03/01/38 | 30,000 | 26,094 | ||
3.25%, 11/01/39 | 400,000 | 317,641 | ||
3.75%, 04/01/40 | 265,000 | 223,442 | ||
3.40%, 07/15/46 | 50,000 | 37,993 | ||
4.00%, 08/15/47 | 360,000 | 300,374 | ||
3.97%, 11/01/47 | 60,000 | 49,760 | ||
4.00%, 03/01/48 | 40,000 | 33,379 | ||
4.70%, 10/15/48 | 100,000 | 93,638 | ||
4.00%, 11/01/49 | 40,000 | 33,059 | ||
3.45%, 02/01/50 | 100,000 | 76,207 | ||
2.80%, 01/15/51 | 160,000 | 106,052 | ||
2.89%, 11/01/51 | 450,000 | 301,960 | ||
2.94%, 11/01/56 | 135,000 | 88,010 | ||
4.95%, 10/15/58Δ | 40,000 | 38,454 | ||
CommonSpirit Health | ||||
4.35%, 11/01/42 | 40,000 | 34,380 | ||
6.46%, 11/01/52Δ | 1,005,000 | 1,147,970 | ||
Commonwealth Edison Co. | ||||
3.80%, 10/01/42 | 300,000 | 249,177 | ||
3.13%, 03/15/51 | 50,000 | 35,130 | ||
CommScope, Inc. | ||||
6.00%, 03/01/26 144A Δ | 130,000 | 121,311 | ||
4.75%, 09/01/29 144A Δ | 10,000 | 7,894 | ||
Conagra Brands, Inc. | ||||
5.40%, 11/01/48 | 5,000 | 4,770 | ||
ConocoPhillips Co. | ||||
6.95%, 04/15/29 | 220,000 | 242,232 | ||
Consolidated Edison Co. of New York, Inc. | ||||
3.35%, 04/01/30 | 130,000 | 118,255 | ||
3.95%, 04/01/50 | 140,000 | 114,674 | ||
Constellation Energy Generation LLC | ||||
3.25%, 06/01/25 | 1,600,000 | 1,523,807 | ||
5.60%, 06/15/42Δ | 20,000 | 19,356 | ||
Continental Resources, Inc. | ||||
2.27%, 11/15/26 144A | 180,000 | 160,341 | ||
4.38%, 01/15/28 | 580,000 | 545,054 | ||
5.75%, 01/15/31 144A Δ | 210,000 | 199,717 | ||
4.90%, 06/01/44Δ | 180,000 | 140,037 | ||
Corebridge Financial, Inc. | ||||
4.40%, 04/05/52 | 10,000 | 7,878 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.85%), 6.88%, 12/15/52^ | $ 200,000 | $ 192,052 | ||
CoStar Group, Inc. | ||||
2.80%, 07/15/30 144A | 625,000 | 516,272 | ||
Costco Wholesale Corporation | ||||
1.38%, 06/20/27 | 610,000 | 538,909 | ||
1.60%, 04/20/30 | 550,000 | 458,263 | ||
Coterra Energy, Inc. | ||||
3.90%, 05/15/27 | 660,000 | 622,527 | ||
4.38%, 03/15/29 | 650,000 | 607,538 | ||
Crestwood Midstream Partners LP | ||||
5.63%, 05/01/27 144A | 200,000 | 189,800 | ||
CRH America Finance, Inc. | ||||
3.40%, 05/09/27 144A | 2,100,000 | 1,965,355 | ||
3.95%, 04/04/28 144A | 500,000 | 473,322 | ||
Crown Castle, Inc. REIT | ||||
3.15%, 07/15/23 | 725,000 | 724,121 | ||
4.45%, 02/15/26 | 50,000 | 48,687 | ||
1.05%, 07/15/26Δ | 35,000 | 30,667 | ||
CSC Holdings LLC | ||||
3.38%, 02/15/31 144A Δ | 200,000 | 135,572 | ||
4.50%, 11/15/31 144A | 1,120,000 | 782,075 | ||
CSX Corporation | ||||
4.10%, 11/15/32Δ | 500,000 | 473,355 | ||
3.80%, 04/15/50 | 300,000 | 240,222 | ||
CubeSmart LP REIT | ||||
2.25%, 12/15/28Δ | 55,000 | 46,412 | ||
2.50%, 02/15/32 | 305,000 | 241,680 | ||
Cummins, Inc. | ||||
2.60%, 09/01/50 | 30,000 | 19,376 | ||
CVS Health Corporation | ||||
2.63%, 08/15/24 | 205,000 | 198,327 | ||
3.88%, 07/20/25 | 113,000 | 109,856 | ||
3.63%, 04/01/27 | 200,000 | 189,964 | ||
4.30%, 03/25/28 | 334,000 | 322,347 | ||
3.75%, 04/01/30 | 1,090,000 | 1,000,473 | ||
1.88%, 02/28/31 | 70,000 | 55,637 | ||
2.13%, 09/15/31Δ | 2,440,000 | 1,960,827 | ||
4.78%, 03/25/38 | 825,000 | 761,826 | ||
4.13%, 04/01/40 | 460,000 | 388,032 | ||
2.70%, 08/21/40 | 700,000 | 489,159 | ||
5.13%, 07/20/45 | 300,000 | 277,716 | ||
5.05%, 03/25/48 | 1,580,000 | 1,457,480 | ||
4.25%, 04/01/50Δ | 80,000 | 66,334 | ||
Darling Ingredients, Inc. | ||||
6.00%, 06/15/30 144A Δ | 325,000 | 317,742 | ||
Deere & Co. | ||||
3.10%, 04/15/30Δ | 50,000 | 45,756 | ||
3.75%, 04/15/50Δ | 480,000 | 425,515 | ||
Dell International LLC | ||||
5.85%, 07/15/25 | 18,000 | 18,074 | ||
5.30%, 10/01/29 | 125,000 | 124,166 | ||
8.35%, 07/15/46 | 29,000 | 35,598 | ||
3.45%, 12/15/51 144A | 10,000 | 6,716 |
Par | Value | |||
Delta Air Lines, Inc. | ||||
4.50%, 10/20/25 144A | $ 483,296 | $ 472,964 | ||
4.75%, 10/20/28 144A | 860,000 | 835,486 | ||
Devon Energy Corporation | ||||
5.85%, 12/15/25 | 310,000 | 312,579 | ||
5.25%, 10/15/27 | 38,000 | 37,452 | ||
4.50%, 01/15/30 | 32,000 | 30,158 | ||
5.60%, 07/15/41Δ | 482,000 | 454,244 | ||
4.75%, 05/15/42 | 710,000 | 599,449 | ||
5.00%, 06/15/45Δ | 1,110,000 | 963,708 | ||
DH Europe Finance II S.a.r.l. | ||||
2.20%, 11/15/24 | 1,225,000 | 1,173,745 | ||
2.60%, 11/15/29Δ | 225,000 | 198,161 | ||
Diamondback Energy, Inc. | ||||
3.25%, 12/01/26 | 90,000 | 84,605 | ||
3.50%, 12/01/29 | 310,000 | 279,323 | ||
6.25%, 03/15/33Δ | 30,000 | 31,047 | ||
4.40%, 03/24/51 | 280,000 | 221,796 | ||
Discover Financial Services | ||||
3.75%, 03/04/25 | 450,000 | 428,730 | ||
6.70%, 11/29/32 | 25,000 | 25,766 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30Δ | 1,800,000 | 1,580,025 | ||
DISH DBS Corporation | ||||
5.88%, 11/15/24 | 170,000 | 148,900 | ||
7.75%, 07/01/26Δ | 150,000 | 92,156 | ||
5.25%, 12/01/26 144A | 120,000 | 96,486 | ||
5.75%, 12/01/28 144A Δ | 20,000 | 14,913 | ||
5.13%, 06/01/29Δ | 140,000 | 65,148 | ||
Dollar Tree, Inc. | ||||
4.00%, 05/15/25 | 325,000 | 314,759 | ||
Dominion Energy, Inc. | ||||
3.07%, 08/15/24 STEP | 675,000 | 652,194 | ||
3.38%, 04/01/30 | 225,000 | 201,479 | ||
2.25%, 08/15/31 | 2,300,000 | 1,854,561 | ||
Dow Chemical Co. (The) | ||||
6.30%, 03/15/33 | 25,000 | 26,906 | ||
Duke Energy Corporation | ||||
3.75%, 04/15/24 | 200,000 | 197,212 | ||
2.45%, 06/01/30 | 1,800,000 | 1,513,375 | ||
Duke Energy Florida LLC | ||||
2.50%, 12/01/29 | 1,600,000 | 1,382,982 | ||
Duke Energy Ohio, Inc. | ||||
3.65%, 02/01/29 | 380,000 | 353,396 | ||
Duke Energy Progress LLC | ||||
3.40%, 04/01/32 | 2,300,000 | 2,037,275 | ||
DuPont de Nemours, Inc. | ||||
4.49%, 11/15/25 | 350,000 | 342,932 | ||
4.73%, 11/15/28Δ | 350,000 | 344,467 | ||
5.32%, 11/15/38 | 30,000 | 29,766 | ||
East Ohio Gas Co. (The) | ||||
2.00%, 06/15/30 144A | 125,000 | 100,873 | ||
Eaton Corporation | ||||
4.15%, 11/02/42 | 200,000 | 178,213 | ||
eBay, Inc. | ||||
6.30%, 11/22/32Δ | 15,000 | 15,773 | ||
Ecolab, Inc. | ||||
2.75%, 08/18/55 | 68,000 | 43,666 |
Par | Value | |||
Elevance Health, Inc. | ||||
3.35%, 12/01/24 | $ 130,000 | $ 125,761 | ||
3.65%, 12/01/27 | 190,000 | 179,508 | ||
4.10%, 05/15/32 | 640,000 | 596,859 | ||
4.55%, 05/15/52 | 180,000 | 161,005 | ||
6.10%, 10/15/52 | 25,000 | 27,412 | ||
Emera U.S. Finance LP | ||||
4.75%, 06/15/46 | 20,000 | 16,254 | ||
Emory University | ||||
1.57%, 09/01/25 | 1,600,000 | 1,465,597 | ||
2.14%, 09/01/30 | 1,170,000 | 983,707 | ||
Enbridge Energy Partners LP | ||||
7.50%, 04/15/38 | 5,000 | 5,627 | ||
Enel Finance America LLC | ||||
2.88%, 07/12/41 144A Δ | 2,300,000 | 1,515,573 | ||
Energy Transfer LP | ||||
(Variable, ICE LIBOR USD 3M + 4.03%), 9.35%, 07/19/23† ρ Δ | 60,000 | 53,925 | ||
4.20%, 09/15/23Δ | 625,000 | 622,717 | ||
4.50%, 11/01/23Δ | 310,000 | 308,771 | ||
4.25%, 04/01/24Δ | 100,000 | 98,489 | ||
4.50%, 04/15/24 | 230,000 | 227,412 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.13%), 6.75%, 05/15/25ρ Δ ^ | 280,000 | 250,254 | ||
5.95%, 12/01/25 | 300,000 | 301,153 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.69%), 6.50%, 11/15/26ρ ^ | 60,000 | 54,649 | ||
5.50%, 06/01/27 | 675,000 | 671,789 | ||
4.95%, 05/15/28 | 900,000 | 871,420 | ||
4.95%, 06/15/28 | 110,000 | 106,779 | ||
5.25%, 04/15/29 | 1,830,000 | 1,787,739 | ||
3.75%, 05/15/30 | 990,000 | 893,995 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.31%), 7.13%, 05/15/30ρ ^ | 360,000 | 306,152 | ||
5.75%, 02/15/33 | 1,300,000 | 1,310,297 | ||
5.30%, 04/01/44 | 20,000 | 17,365 | ||
6.13%, 12/15/45 | 20,000 | 19,030 | ||
5.30%, 04/15/47 | 125,000 | 108,893 | ||
5.40%, 10/01/47 | 50,000 | 44,140 | ||
6.00%, 06/15/48 | 55,000 | 52,237 | ||
6.25%, 04/15/49 | 475,000 | 464,431 | ||
5.00%, 05/15/50 | 120,000 | 101,477 | ||
EnLink Midstream LLC | ||||
5.38%, 06/01/29 | 100,000 | 95,361 | ||
Entegris Escrow Corporation | ||||
5.95%, 06/15/30 144A Δ | 650,000 | 623,758 | ||
Entergy Louisiana LLC | ||||
5.40%, 11/01/24 | 1,200,000 | 1,195,863 | ||
4.75%, 09/15/52 | 25,000 | 22,979 | ||
Enterprise Products Operating LLC | ||||
4.15%, 10/16/28 | 600,000 | 574,035 | ||
3.13%, 07/31/29 | 100,000 | 89,696 | ||
2.80%, 01/31/30 | 420,000 | 368,050 | ||
7.55%, 04/15/38 | 50,000 | 57,495 | ||
5.70%, 02/15/42 | 60,000 | 61,052 | ||
4.85%, 03/15/44 | 550,000 | 508,313 |
Par | Value | |||
4.80%, 02/01/49 | $ 30,000 | $ 27,490 | ||
4.20%, 01/31/50 | 680,000 | 569,339 | ||
3.70%, 01/31/51 | 220,000 | 168,576 | ||
3.95%, 01/31/60 | 20,000 | 15,447 | ||
(Variable, CME Term SOFR 3M + 2.83%), 5.38%, 02/15/78^ | 330,000 | 273,824 | ||
EOG Resources, Inc. | ||||
4.15%, 01/15/26 | 160,000 | 156,670 | ||
4.38%, 04/15/30Δ | 90,000 | 88,103 | ||
3.90%, 04/01/35 | 260,000 | 233,618 | ||
4.95%, 04/15/50Δ | 490,000 | 484,251 | ||
EPR Properties REIT | ||||
4.75%, 12/15/26 | 1,200,000 | 1,093,158 | ||
3.60%, 11/15/31 | 2,300,000 | 1,796,612 | ||
EQM Midstream Partners LP | ||||
4.13%, 12/01/26Δ | 1,800,000 | 1,675,780 | ||
5.50%, 07/15/28 | 20,000 | 18,942 | ||
EQT Corporation | ||||
6.13%, 02/01/25 | 12,000 | 11,943 | ||
3.13%, 05/15/26 144A | 10,000 | 9,203 | ||
3.90%, 10/01/27 | 1,380,000 | 1,277,079 | ||
5.00%, 01/15/29 | 100,000 | 94,241 | ||
7.00%, 02/01/30Δ | 35,000 | 36,678 | ||
3.63%, 05/15/31 144A Δ | 210,000 | 180,918 | ||
Equifax, Inc. | ||||
5.10%, 12/15/27Δ | 1,800,000 | 1,781,380 | ||
Equinix, Inc. REIT | ||||
2.63%, 11/18/24 | 1,700,000 | 1,624,280 | ||
1.45%, 05/15/26 | 70,000 | 62,552 | ||
1.55%, 03/15/28 | 2,200,000 | 1,841,555 | ||
3.00%, 07/15/50 | 10,000 | 6,486 | ||
Equitable Holdings, Inc. | ||||
4.35%, 04/20/28 | 2,600,000 | 2,435,630 | ||
Exelon Corporation | ||||
4.05%, 04/15/30 | 325,000 | 304,076 | ||
5.63%, 06/15/35 | 415,000 | 420,143 | ||
4.70%, 04/15/50 | 25,000 | 22,128 | ||
Expedia Group, Inc. | ||||
6.25%, 05/01/25 144A | 2,054,000 | 2,061,813 | ||
4.63%, 08/01/27Δ | 303,000 | 293,914 | ||
3.80%, 02/15/28Δ | 300,000 | 280,837 | ||
3.25%, 02/15/30Δ | 225,000 | 196,005 | ||
2.95%, 03/15/31Δ | 635,000 | 535,777 | ||
Exxon Mobil Corporation | ||||
2.99%, 03/19/25 | 420,000 | 404,823 | ||
3.04%, 03/01/26 | 795,000 | 760,198 | ||
3.48%, 03/19/30 | 540,000 | 507,107 | ||
4.11%, 03/01/46 | 230,000 | 202,597 | ||
4.33%, 03/19/50 | 190,000 | 172,415 | ||
3.45%, 04/15/51 | 20,000 | 15,554 | ||
F&G Global Funding | ||||
5.15%, 07/07/25 144A | 1,200,000 | 1,161,059 | ||
Federal Realty OP LP REIT | ||||
3.50%, 06/01/30Δ | 1,900,000 | 1,655,525 | ||
FedEx Corporation | ||||
4.55%, 04/01/46 | 5,000 | 4,318 |
Par | Value | |||
4.05%, 02/15/48 | $ 380,000 | $ 303,998 | ||
Fidelity National Financial, Inc. | ||||
3.40%, 06/15/30Δ | 45,000 | 39,355 | ||
Fidelity National Information Services, Inc. | ||||
1.15%, 03/01/26 | 2,200,000 | 1,963,621 | ||
5.63%, 07/15/52 | 600,000 | 566,254 | ||
Fifth Third Bancorp | ||||
2.38%, 01/28/25 | 375,000 | 351,139 | ||
(Variable, U.S. SOFR Index + 2.13%), 4.77%, 07/28/30Δ ^ | 1,200,000 | 1,122,459 | ||
First-Citizens Bank & Trust Co. | ||||
(Variable, CME Term SOFR 3M + 1.72%), 2.97%, 09/27/25^ | 550,000 | 520,420 | ||
Fiserv, Inc. | ||||
3.20%, 07/01/26 | 70,000 | 65,708 | ||
4.20%, 10/01/28Δ | 375,000 | 359,353 | ||
5.60%, 03/02/33 | 150,000 | 152,741 | ||
Five Corners Funding Trust III | ||||
5.79%, 02/15/33 144A | 200,000 | 202,877 | ||
Florida Power & Light Co. | ||||
3.80%, 12/15/42 | 425,000 | 357,206 | ||
Ford Motor Co. | ||||
3.25%, 02/12/32Δ | 600,000 | 472,563 | ||
6.10%, 08/19/32Δ | 220,000 | 213,429 | ||
Ford Motor Credit Co. LLC | ||||
3.37%, 11/17/23Δ | 1,900,000 | 1,882,233 | ||
4.95%, 05/28/27 | 580,000 | 547,759 | ||
2.90%, 02/16/28 | 380,000 | 325,822 | ||
2.90%, 02/10/29 | 200,000 | 165,700 | ||
5.11%, 05/03/29 | 220,000 | 204,242 | ||
7.35%, 03/06/30 | 300,000 | 306,710 | ||
4.00%, 11/13/30 | 1,220,000 | 1,043,690 | ||
Fort Benning Family Communities LLC | ||||
6.09%, 01/15/51 144A | 1,158,933 | 1,119,429 | ||
Fortune Brands Innovations, Inc. | ||||
4.00%, 03/25/32 | 1,250,000 | 1,111,726 | ||
Foundry JV Holdco LLC | ||||
5.88%, 01/25/34 144A Δ | 200,000 | 199,442 | ||
Fox Corporation | ||||
4.03%, 01/25/24 | 300,000 | 297,054 | ||
4.71%, 01/25/29 | 250,000 | 243,042 | ||
3.50%, 04/08/30 | 125,000 | 112,239 | ||
5.48%, 01/25/39 | 255,000 | 238,427 | ||
5.58%, 01/25/49 | 15,000 | 14,057 | ||
Freeport-McMoRan, Inc. | ||||
4.55%, 11/14/24Δ | 10,000 | 9,866 | ||
5.45%, 03/15/43 | 782,000 | 730,227 | ||
GA Global Funding Trust | ||||
1.25%, 12/08/23 144A | 2,300,000 | 2,246,655 | ||
2.90%, 01/06/32 144A Δ | 1,450,000 | 1,104,504 | ||
Garden Spinco Corporation | ||||
8.63%, 07/20/30 144A | 600,000 | 646,864 | ||
GE HealthCare Technologies, Inc. | ||||
6.38%, 11/22/52Δ | 320,000 | 356,322 |
Par | �� | Value | ||
General Dynamics Corporation | ||||
3.50%, 05/15/25 | $ 40,000 | $ 38,862 | ||
4.25%, 04/01/40 | 30,000 | 27,632 | ||
4.25%, 04/01/50 | 160,000 | 146,953 | ||
General Electric Co. | ||||
4.35%, 05/01/50 | 20,000 | 17,423 | ||
General Motors Co. | ||||
4.00%, 04/01/25Δ | 200,000 | 194,382 | ||
6.13%, 10/01/25 | 190,000 | 191,368 | ||
5.60%, 10/15/32Δ | 100,000 | 96,795 | ||
6.60%, 04/01/36 | 20,000 | 20,553 | ||
5.15%, 04/01/38 | 50,000 | 44,543 | ||
5.20%, 04/01/45 | 10,000 | 8,541 | ||
5.40%, 04/01/48 | 5,000 | 4,301 | ||
5.95%, 04/01/49Δ | 229,000 | 214,135 | ||
General Motors Financial Co., Inc. | ||||
4.30%, 07/13/25 | 300,000 | 291,181 | ||
4.35%, 01/17/27Δ | 500,000 | 479,586 | ||
4.30%, 04/06/29 | 405,000 | 371,933 | ||
2.70%, 06/10/31 | 1,511,000 | 1,206,149 | ||
Gilead Sciences, Inc. | ||||
3.70%, 04/01/24 | 230,000 | 226,739 | ||
3.65%, 03/01/26 | 40,000 | 38,494 | ||
4.00%, 09/01/36 | 45,000 | 40,615 | ||
4.50%, 02/01/45 | 275,000 | 251,126 | ||
4.75%, 03/01/46Δ | 20,000 | 18,844 | ||
Glencore Funding LLC | ||||
4.13%, 03/12/24 144A | 1,315,000 | 1,299,452 | ||
4.63%, 04/29/24 144A | 658,000 | 650,198 | ||
4.00%, 03/27/27 144A | 480,000 | 457,945 | ||
3.88%, 10/27/27 144A | 210,000 | 196,451 | ||
2.63%, 09/23/31 144A Δ | 575,000 | 463,313 | ||
Global Payments, Inc. | ||||
2.65%, 02/15/25 | 400,000 | 379,568 | ||
1.20%, 03/01/26 | 55,000 | 48,902 | ||
4.80%, 04/01/26 | 25,000 | 24,418 | ||
5.30%, 08/15/29 | 550,000 | 536,325 | ||
2.90%, 05/15/30 | 1,600,000 | 1,357,612 | ||
5.95%, 08/15/52 | 5,000 | 4,792 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 6.26%, 08/03/23† ρ | 3,000 | 2,348 | ||
Goldman Sachs Group, Inc. (The) | ||||
3.85%, 07/08/24 | 150,000 | 147,149 | ||
3.50%, 04/01/25 | 320,000 | 307,603 | ||
4.25%, 10/21/25 | 530,000 | 511,003 | ||
3.50%, 11/16/26 | 700,000 | 656,707 | ||
(Floating, ICE LIBOR USD 3M + 1.75%), 7.02%, 10/28/27† | 1,800,000 | 1,830,760 | ||
(Variable, U.S. SOFR + 1.85%), 3.62%, 03/15/28^ | 120,000 | 112,688 | ||
(Variable, CME Term SOFR 3M + 1.42%), 3.81%, 04/23/29^ | 530,000 | 492,432 | ||
(Variable, CME Term SOFR 3M + 1.56%), 4.22%, 05/01/29^ | 1,350,000 | 1,275,928 | ||
(Variable, U.S. SOFR + 1.26%), 2.65%, 10/21/32^ | 1,540,000 | 1,255,805 | ||
6.75%, 10/01/37 | 110,000 | 118,404 |
Par | Value | |||
6.25%, 02/01/41 | $ 540,000 | $ 580,905 | ||
(Variable, U.S. SOFR + 1.51%), 3.21%, 04/22/42^ | 60,000 | 44,401 | ||
(Variable, U.S. SOFR + 1.47%), 2.91%, 07/21/42^ | 150,000 | 106,075 | ||
5.15%, 05/22/45 | 300,000 | 280,296 | ||
4.75%, 10/21/45 | 220,000 | 200,259 | ||
Goodman U.S. Finance Five LLC REIT | ||||
4.63%, 05/04/32 144A | 2,000,000 | 1,840,718 | ||
Goodman U.S. Finance Three LLC REIT | ||||
3.70%, 03/15/28 144A | 1,000,000 | 907,602 | ||
Great Lakes Dredge & Dock Corporation | ||||
5.25%, 06/01/29 144A Δ | 450,000 | 376,259 | ||
Great-West Lifeco Finance 2018 LP | ||||
4.05%, 05/17/28 144A | 89,000 | 83,351 | ||
Guardian Life Global Funding | ||||
1.10%, 06/23/25 144A | 100,000 | 91,027 | ||
H&E Equipment Services, Inc. | ||||
3.88%, 12/15/28 144A Δ | 375,000 | 325,080 | ||
Halliburton Co. | ||||
3.80%, 11/15/25Δ | 26,000 | 25,128 | ||
6.70%, 09/15/38 | 20,000 | 21,946 | ||
5.00%, 11/15/45Δ | 190,000 | 172,139 | ||
Hasbro, Inc. | ||||
3.90%, 11/19/29 | 5,000 | 4,522 | ||
HCA, Inc. | ||||
5.25%, 04/15/25 | 120,000 | 118,534 | ||
5.88%, 02/15/26 | 50,000 | 50,043 | ||
5.25%, 06/15/26 | 35,000 | 34,630 | ||
5.38%, 09/01/26 | 1,600,000 | 1,588,097 | ||
3.13%, 03/15/27 144A | 2,100,000 | 1,929,771 | ||
3.50%, 09/01/30 | 530,000 | 464,837 | ||
3.63%, 03/15/32 144A | 700,000 | 607,911 | ||
5.13%, 06/15/39 | 5,000 | 4,643 | ||
5.50%, 06/15/47 | 65,000 | 61,303 | ||
5.25%, 06/15/49 | 5,000 | 4,516 | ||
Healthcare Realty Holdings LP REIT | ||||
3.10%, 02/15/30 | 1,500,000 | 1,286,861 | ||
2.05%, 03/15/31 | 175,000 | 131,496 | ||
Hess Corporation | ||||
5.80%, 04/01/47Δ | 15,000 | 14,592 | ||
Hewlett Packard Enterprise Co. | ||||
4.45%, 10/02/23Δ | 250,000 | 249,291 | ||
6.35%, 10/15/45Δ | 45,000 | 46,940 | ||
Hillenbrand, Inc. | ||||
3.75%, 03/01/31Δ | 350,000 | 294,315 | ||
Home Depot, Inc. (The) | ||||
2.50%, 04/15/27 | 90,000 | 83,531 | ||
3.90%, 12/06/28 | 270,000 | 261,530 | ||
2.70%, 04/15/30 | 170,000 | 151,158 | ||
3.25%, 04/15/32 | 625,000 | 561,770 | ||
3.30%, 04/15/40 | 450,000 | 365,776 | ||
5.95%, 04/01/41 | 10,000 | 11,020 | ||
4.50%, 12/06/48 | 35,000 | 32,456 |
Par | Value | |||
3.35%, 04/15/50 | $ 540,000 | $ 412,553 | ||
Honeywell International, Inc. | ||||
1.35%, 06/01/25Δ | 180,000 | 168,015 | ||
Hormel Foods Corporation | ||||
1.80%, 06/11/30 | 35,000 | 29,240 | ||
Host Hotels & Resorts LP REIT | ||||
3.38%, 12/15/29 | 15,000 | 12,832 | ||
2.90%, 12/15/31Δ | 267,000 | 210,292 | ||
HP, Inc. | ||||
1.45%, 06/17/26Δ | 45,000 | 40,398 | ||
4.00%, 04/15/29Δ | 105,000 | 97,893 | ||
5.50%, 01/15/33Δ | 10,000 | 9,826 | ||
Humana, Inc. | ||||
4.50%, 04/01/25Δ | 40,000 | 39,280 | ||
3.95%, 03/15/27 | 150,000 | 143,441 | ||
3.70%, 03/23/29 | 20,000 | 18,330 | ||
2.15%, 02/03/32 | 90,000 | 70,965 | ||
4.63%, 12/01/42 | 60,000 | 53,155 | ||
4.95%, 10/01/44 | 70,000 | 64,113 | ||
4.80%, 03/15/47 | 10,000 | 9,072 | ||
5.50%, 03/15/53 | 225,000 | 224,297 | ||
Huntington Bancshares, Inc. | ||||
4.00%, 05/15/25Δ | 550,000 | 527,529 | ||
(Variable, U.S. SOFR + 1.97%), 4.44%, 08/04/28Δ ^ | 1,250,000 | 1,162,197 | ||
Huntington Ingalls Industries, Inc. | ||||
0.67%, 08/16/23 | 2,500,000 | 2,484,879 | ||
Huntsman International LLC | ||||
4.50%, 05/01/29 | 325,000 | 297,493 | ||
2.95%, 06/15/31 | 250,000 | 199,786 | ||
Hyatt Hotels Corporation | ||||
1.80%, 10/01/24 | 2,875,000 | 2,737,533 | ||
5.38%, 04/23/25 | 1,250,000 | 1,237,407 | ||
4.38%, 09/15/28 | 15,000 | 14,179 | ||
Hyundai Capital America | ||||
1.00%, 09/17/24 144A Δ | 1,150,000 | 1,082,025 | ||
1.65%, 09/17/26 144A | 2,300,000 | 2,027,695 | ||
5.70%, 06/26/30 144A | 525,000 | 521,871 | ||
Intel Corporation | ||||
3.70%, 07/29/25 | 80,000 | 77,827 | ||
1.60%, 08/12/28Δ | 460,000 | 396,192 | ||
5.13%, 02/10/30 | 220,000 | 221,479 | ||
5.20%, 02/10/33 | 825,000 | 833,245 | ||
4.60%, 03/25/40Δ | 10,000 | 9,367 | ||
3.73%, 12/08/47 | 76,000 | 59,154 | ||
3.25%, 11/15/49 | 5,000 | 3,530 | ||
4.75%, 03/25/50 | 160,000 | 144,777 | ||
3.05%, 08/12/51 | 120,000 | 80,554 | ||
Intercontinental Exchange, Inc. | ||||
3.75%, 12/01/25 | 60,000 | 58,247 | ||
4.60%, 03/15/33 | 10,000 | 9,707 | ||
3.00%, 06/15/50 | 1,500,000 | 1,046,071 | ||
International Business Machines Corporation | ||||
3.00%, 05/15/24 | 720,000 | 703,883 | ||
International Flavors & Fragrances, Inc. | ||||
1.83%, 10/15/27 144A | 650,000 | 548,684 |
Par | Value | |||
4.38%, 06/01/47 | $1,000,000 | $ 765,656 | ||
Invitation Homes Operating Partnership LP REIT | ||||
2.30%, 11/15/28 | 375,000 | 319,218 | ||
IPALCO Enterprises, Inc. | ||||
4.25%, 05/01/30 | 2,450,000 | 2,219,240 | ||
ITC Holdings Corporation | ||||
2.95%, 05/14/30 144A | 1,900,000 | 1,635,690 | ||
J M Smucker Co. (The) | ||||
4.25%, 03/15/35 | 5,000 | 4,542 | ||
Jackson Financial, Inc. | ||||
3.13%, 11/23/31Δ | 599,800 | 466,151 | ||
JBS U.S.A. LUX SA | ||||
5.13%, 02/01/28 144A | 1,200,000 | 1,153,221 | ||
Jefferies Finance LLC | ||||
5.00%, 08/15/28 144A | 650,000 | 533,607 | ||
Jefferies Financial Group, Inc. | ||||
2.63%, 10/15/31 | 35,000 | 27,166 | ||
JPMorgan Chase & Co. | ||||
(Variable, CME Term SOFR 3M + 1.15%), 3.80%, 07/23/24Δ ^ | 175,000 | 174,794 | ||
(Variable, CME Term SOFR 3M + 1.26%), 4.02%, 12/05/24^ | 1,425,000 | 1,412,909 | ||
(Variable, U.S. SOFR + 1.16%), 2.30%, 10/15/25^ | 650,000 | 619,648 | ||
(Variable, U.S. SOFR + 1.85%), 2.08%, 04/22/26^ | 460,000 | 430,969 | ||
2.95%, 10/01/26 | 700,000 | 656,590 | ||
(Variable, CME Term SOFR 3M + 1.51%), 3.96%, 01/29/27^ | 875,000 | 841,661 | ||
(Variable, U.S. SOFR + 0.89%), 1.58%, 04/22/27^ | 70,000 | 62,910 | ||
4.25%, 10/01/27Δ | 320,000 | 310,321 | ||
3.63%, 12/01/27Δ | 900,000 | 844,549 | ||
(Variable, CME Term SOFR 3M + 1.60%), 3.78%, 02/01/28^ | 1,069,000 | 1,017,618 | ||
(Variable, U.S. SOFR + 1.17%), 2.95%, 02/24/28^ | 70,000 | 64,324 | ||
(Variable, U.S. SOFR + 1.89%), 2.18%, 06/01/28Δ ^ | 70,000 | 62,262 | ||
(Variable, CME Term SOFR 3M + 0.95%), 3.51%, 01/23/29^ | 1,720,000 | 1,591,473 | ||
(Variable, CME Term SOFR 3M + 1.52%), 4.20%, 07/23/29^ | 380,000 | 361,480 | ||
(Variable, U.S. SOFR + 1.75%), 4.57%, 06/14/30^ | 1,200,000 | 1,154,195 | ||
(Variable, CME Term SOFR 3M + 3.79%), 4.49%, 03/24/31^ | 75,000 | 72,132 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 550,000 | 465,516 | ||
(Variable, CME Term SOFR 3M + 2.52%), 2.96%, 05/13/31^ | 200,000 | 171,585 | ||
(Variable, CME Term SOFR 3M + 1.25%), 2.58%, 04/22/32^ | 750,000 | 623,230 | ||
(Variable, U.S. SOFR + 1.18%), 2.55%, 11/08/32^ | 590,000 | 483,646 | ||
(Variable, U.S. SOFR + 2.58%), 5.72%, 09/14/33^ | 600,000 | 608,990 | ||
4.95%, 06/01/45 | 300,000 | 280,411 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 170,000 | 118,973 |
Par | Value | |||
(Variable, U.S. SOFR + 1.58%), 3.33%, 04/22/52^ | $ 45,000 | $ 32,833 | ||
Kennedy-Wilson, Inc. | ||||
4.75%, 03/01/29 | 100,000 | 79,162 | ||
Kilroy Realty LP REIT | ||||
4.75%, 12/15/28Δ | 1,678,000 | 1,479,534 | ||
3.05%, 02/15/30 | 25,000 | 19,584 | ||
Kimberly-Clark Corporation | ||||
3.20%, 04/25/29 | 5,000 | 4,639 | ||
2.88%, 02/07/50 | 5,000 | 3,610 | ||
Kinder Morgan Energy Partners LP | ||||
3.50%, 09/01/23 | 2,000,000 | 1,992,568 | ||
4.25%, 09/01/24 | 950,000 | 931,127 | ||
Kinder Morgan, Inc. | ||||
4.30%, 03/01/28 | 50,000 | 47,824 | ||
5.20%, 06/01/33Δ | 250,000 | 242,388 | ||
5.55%, 06/01/45 | 320,000 | 295,188 | ||
5.45%, 08/01/52 | 28,000 | 25,596 | ||
KKR Group Finance Co. II LLC | ||||
5.50%, 02/01/43 144A | 30,000 | 27,411 | ||
Kraft Heinz Foods Co. | ||||
6.88%, 01/26/39 | 30,000 | 33,841 | ||
Kroger Co. (The) | ||||
3.50%, 02/01/26 | 10,000 | 9,585 | ||
L3Harris Technologies, Inc. | ||||
5.05%, 04/27/45 | 50,000 | 46,002 | ||
Laboratory Corporation of America Holdings | ||||
1.55%, 06/01/26 | 70,000 | 62,557 | ||
LBJ Infrastructure Group LLC | ||||
3.80%, 12/31/57 144A | 1,000,000 | 649,343 | ||
Leidos, Inc. | ||||
5.75%, 03/15/33 | 400,000 | 397,578 | ||
Level 3 Financing, Inc. | ||||
3.40%, 03/01/27 144A | 1,600,000 | 1,359,328 | ||
Life Storage LP REIT | ||||
3.88%, 12/15/27 | 900,000 | 836,722 | ||
Lincoln National Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.32%), 9.25%, 12/01/27ρ Δ ^ | 150,000 | 157,882 | ||
LKQ Corporation | ||||
6.25%, 06/15/33 144A Δ | 250,000 | 252,006 | ||
Lockheed Martin Corporation | ||||
3.90%, 06/15/32 | 160,000 | 150,837 | ||
5.25%, 01/15/33Δ | 675,000 | 699,557 | ||
4.50%, 05/15/36 | 50,000 | 48,304 | ||
4.15%, 06/15/53 | 730,000 | 643,594 | ||
Louisville Gas and Electric Co. | ||||
4.25%, 04/01/49 | 25,000 | 20,850 | ||
Lowe's Cos., Inc. | ||||
1.70%, 09/15/28 | 900,000 | 763,339 | ||
4.50%, 04/15/30 | 110,000 | 107,012 | ||
1.70%, 10/15/30 | 675,000 | 541,318 | ||
5.00%, 04/15/33Δ | 1,125,000 | 1,113,382 | ||
3.00%, 10/15/50 | 150,000 | 98,429 | ||
4.25%, 04/01/52 | 475,000 | 388,012 |
Par | Value | |||
M&T Bank Corporation | ||||
(Variable, U.S. SOFR + 1.85%), 5.05%, 01/27/34^ | $ 710,000 | $ 648,894 | ||
Maple Grove Funding Trust I | ||||
4.16%, 08/15/51 144A | 495,000 | 347,612 | ||
Marathon Petroleum Corporation | ||||
3.80%, 04/01/28 | 125,000 | 116,449 | ||
Markel Group, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.66%), 6.00%, 06/01/25ρ ^ | 500,000 | 483,112 | ||
Marriott International, Inc. | ||||
4.90%, 04/15/29Δ | 325,000 | 316,347 | ||
4.63%, 06/15/30 | 600,000 | 574,932 | ||
Mars, Inc. | ||||
2.70%, 04/01/25 144A | 400,000 | 382,288 | ||
3.20%, 04/01/30 144A | 475,000 | 431,287 | ||
2.38%, 07/16/40 144A | 150,000 | 103,155 | ||
Marsh & McLennan Cos., Inc. | ||||
3.75%, 03/14/26Δ | 350,000 | 339,072 | ||
4.38%, 03/15/29 | 500,000 | 486,248 | ||
Martin Marietta Materials, Inc. | ||||
3.20%, 07/15/51 | 325,000 | 226,778 | ||
Masco Corporation | ||||
1.50%, 02/15/28Δ | 2,200,000 | 1,874,776 | ||
Mastercard, Inc. | ||||
3.85%, 03/26/50 | 310,000 | 267,192 | ||
McDonald’s Corporation | ||||
1.45%, 09/01/25 | 40,000 | 36,953 | ||
3.70%, 01/30/26 | 290,000 | 280,461 | ||
3.50%, 03/01/27Δ | 360,000 | 343,619 | ||
3.50%, 07/01/27 | 330,000 | 314,373 | ||
3.80%, 04/01/28 | 90,000 | 86,316 | ||
3.60%, 07/01/30 | 160,000 | 148,998 | ||
6.30%, 03/01/38 | 35,000 | 38,580 | ||
3.63%, 09/01/49 | 130,000 | 102,647 | ||
4.20%, 04/01/50 | 740,000 | 641,099 | ||
Medtronic, Inc. | ||||
4.63%, 03/15/45 | 36,000 | 35,073 | ||
Meta Platforms, Inc. | ||||
3.85%, 08/15/32 | 945,000 | 878,224 | ||
5.75%, 05/15/63 | 790,000 | 818,237 | ||
MetLife Capital Trust IV | ||||
7.88%, 12/15/37 144A | 300,000 | 314,772 | ||
MetLife, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.58%), 3.85%, 09/15/25ρ Δ ^ | 1,000,000 | 926,480 | ||
6.40%, 12/15/36 | 50,000 | 49,966 | ||
4.60%, 05/13/46Δ | 5,000 | 4,527 | ||
Metropolitan Life Global Funding I | ||||
3.45%, 12/18/26 144A | 2,000,000 | 1,871,838 | ||
Microchip Technology, Inc. | ||||
2.67%, 09/01/23 | 675,000 | 672,254 | ||
Micron Technology, Inc. | ||||
6.75%, 11/01/29 | 35,000 | 36,405 | ||
5.88%, 02/09/33 | 300,000 | 298,636 |
Par | Value | |||
5.88%, 09/15/33 | $ 80,000 | $ 79,317 | ||
Microsoft Corporation | ||||
2.88%, 02/06/24Δ | 470,000 | 462,967 | ||
2.40%, 08/08/26 | 1,340,000 | 1,258,320 | ||
3.30%, 02/06/27 | 800,000 | 769,705 | ||
3.45%, 08/08/36 | 515,000 | 470,017 | ||
2.53%, 06/01/50Δ | 18,000 | 12,463 | ||
2.92%, 03/17/52 | 37,000 | 27,551 | ||
3.04%, 03/17/62 | 108,000 | 78,875 | ||
MidAmerican Energy Co. | ||||
3.65%, 04/15/29 | 350,000 | 325,387 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 232,000 | 232,788 | ||
Mondelez International, Inc. | ||||
1.50%, 05/04/25Δ | 670,000 | 624,734 | ||
Morgan Stanley | ||||
(Variable, U.S. SOFR + 1.15%), 2.72%, 07/22/25^ | 725,000 | 699,373 | ||
(Variable, U.S. SOFR + 1.99%), 2.19%, 04/28/26^ | 750,000 | 704,366 | ||
(Variable, U.S. SOFR + 0.72%), 0.99%, 12/10/26^ | 65,000 | 57,985 | ||
3.63%, 01/20/27 | 800,000 | 760,234 | ||
(Variable, U.S. SOFR + 1.30%), 5.05%, 01/28/27^ | 826,000 | 819,350 | ||
3.95%, 04/23/27Δ | 398,000 | 377,029 | ||
(Variable, U.S. SOFR + 0.88%), 1.59%, 05/04/27^ | 70,000 | 62,700 | ||
(Variable, U.S. SOFR + 0.86%), 1.51%, 07/20/27^ | 70,000 | 62,044 | ||
(Variable, CME Term SOFR 3M + 1.40%), 3.77%, 01/24/29^ | 220,000 | 205,557 | ||
(Variable, U.S. SOFR + 1.59%), 5.16%, 04/20/29^ | 1,235,000 | 1,220,844 | ||
(Variable, CME Term SOFR 3M + 1.89%), 4.43%, 01/23/30^ | 385,000 | 366,612 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 1,795,000 | 1,527,384 | ||
(Variable, U.S. SOFR + 3.12%), 3.62%, 04/01/31^ | 760,000 | 685,225 | ||
(Variable, U.S. SOFR + 1.03%), 1.79%, 02/13/32^ | 725,000 | 562,783 | ||
(Variable, U.S. SOFR + 1.20%), 2.51%, 10/20/32^ | 340,000 | 274,778 | ||
(Variable, U.S. SOFR + 2.08%), 4.89%, 07/20/33^ | 1,200,000 | 1,155,616 | ||
(Variable, U.S. SOFR + 1.36%), 2.48%, 09/16/36^ | 1,280,000 | 971,737 | ||
Mosaic Co. (The) | ||||
5.45%, 11/15/33Δ | 30,000 | 29,246 | ||
MPLX LP | ||||
4.88%, 12/01/24 | 230,000 | 226,773 | ||
4.88%, 06/01/25 | 100,000 | 98,156 | ||
4.00%, 03/15/28 | 50,000 | 47,155 | ||
4.80%, 02/15/29 | 745,000 | 718,931 | ||
4.50%, 04/15/38 | 570,000 | 491,230 | ||
4.70%, 04/15/48 | 320,000 | 263,091 | ||
5.50%, 02/15/49 | 595,000 | 539,841 | ||
MPT Operating Partnership LP REIT | ||||
4.63%, 08/01/29Δ | 435,000 | 329,247 |
Par | Value | |||
MSCI, Inc. | ||||
3.63%, 11/01/31 144A | $ 250,000 | $ 213,671 | ||
National Securities Clearing Corporation | ||||
1.50%, 04/23/25 144A | 400,000 | 372,114 | ||
Nature Conservancy (The) | ||||
0.94%, 07/01/26 | 25,000 | 21,482 | ||
1.30%, 07/01/28 | 25,000 | 20,220 | ||
New York Life Global Funding | ||||
0.95%, 06/24/25 144A | 200,000 | 182,776 | ||
NextEra Energy Capital Holdings, Inc. | ||||
1.90%, 06/15/28 | 965,000 | 827,887 | ||
2.25%, 06/01/30Δ | 1,900,000 | 1,582,398 | ||
NFP Corporation | ||||
7.50%, 10/01/30 144A | 600,000 | 581,463 | ||
Niagara Mohawk Power Corporation | ||||
4.28%, 12/15/28 144A Δ | 2,000,000 | 1,863,442 | ||
NIKE, Inc. | ||||
2.40%, 03/27/25Δ | 140,000 | 133,950 | ||
2.75%, 03/27/27Δ | 20,000 | 18,797 | ||
3.25%, 03/27/40 | 110,000 | 90,505 | ||
3.38%, 03/27/50 | 270,000 | 219,064 | ||
NiSource, Inc. | ||||
3.60%, 05/01/30 | 100,000 | 90,172 | ||
3.95%, 03/30/48 | 450,000 | 361,983 | ||
Nissan Motor Acceptance Co. LLC | ||||
2.75%, 03/09/28 144A | 2,200,000 | 1,809,733 | ||
NNN REIT, Inc. REIT | ||||
3.90%, 06/15/24 | 255,000 | 249,716 | ||
3.60%, 12/15/26 | 250,000 | 232,676 | ||
Northern Trust Corporation | ||||
1.95%, 05/01/30 | 60,000 | 49,387 | ||
Northrop Grumman Corporation | ||||
2.93%, 01/15/25 | 350,000 | 336,518 | ||
3.25%, 01/15/28 | 840,000 | 783,947 | ||
5.25%, 05/01/50 | 460,000 | 468,078 | ||
Northwestern Mutual Life Insurance Co. (The) | ||||
6.06%, 03/30/40 144A | 300,000 | 311,449 | ||
3.85%, 09/30/47 144A Δ | 250,000 | 195,338 | ||
NOV, Inc. | ||||
3.95%, 12/01/42 | 15,000 | 11,023 | ||
NRG Energy, Inc. | ||||
3.75%, 06/15/24 144A | 625,000 | 604,203 | ||
3.63%, 02/15/31 144A | 850,000 | 664,330 | ||
NuStar Logistics LP | ||||
5.75%, 10/01/25 | 235,000 | 229,339 | ||
6.38%, 10/01/30 | 700,000 | 668,634 | ||
NVIDIA Corporation | ||||
2.85%, 04/01/30Δ | 350,000 | 317,639 | ||
3.50%, 04/01/40 | 620,000 | 531,335 | ||
3.50%, 04/01/50 | 120,000 | 97,658 | ||
3.70%, 04/01/60 | 260,000 | 214,665 | ||
Occidental Petroleum Corporation | ||||
6.95%, 07/01/24 | 136,000 | 137,293 | ||
5.55%, 03/15/26Δ | 360,000 | 355,734 |
Par | Value | |||
3.20%, 08/15/26 | $ 260,000 | $ 236,231 | ||
6.63%, 09/01/30 | 430,000 | 447,200 | ||
7.88%, 09/15/31 | 675,000 | 753,460 | ||
6.45%, 09/15/36Δ | 205,000 | 210,683 | ||
4.63%, 06/15/45 | 130,000 | 100,777 | ||
6.60%, 03/15/46 | 220,000 | 226,820 | ||
4.40%, 04/15/46 | 800,000 | 618,945 | ||
4.20%, 03/15/48Δ | 80,000 | 59,380 | ||
Omega Healthcare Investors, Inc. REIT | ||||
3.63%, 10/01/29 | 1,600,000 | 1,313,332 | ||
ONEOK, Inc. | ||||
6.35%, 01/15/31 | 1,600,000 | 1,648,805 | ||
5.20%, 07/15/48 | 20,000 | 17,076 | ||
Oracle Corporation | ||||
1.65%, 03/25/26 | 65,000 | 59,012 | ||
2.95%, 04/01/30 | 121,000 | 105,684 | ||
4.65%, 05/06/30 | 805,000 | 778,288 | ||
2.88%, 03/25/31 | 700,000 | 597,800 | ||
6.25%, 11/09/32 | 1,125,000 | 1,194,661 | ||
4.90%, 02/06/33 | 946,000 | 918,633 | ||
3.60%, 04/01/40 | 405,000 | 313,495 | ||
4.00%, 07/15/46 | 300,000 | 230,777 | ||
3.95%, 03/25/51 | 5,000 | 3,783 | ||
6.90%, 11/09/52 | 775,000 | 870,628 | ||
5.55%, 02/06/53Δ | 650,000 | 629,893 | ||
Otis Worldwide Corporation | ||||
2.06%, 04/05/25Δ | 130,000 | 122,583 | ||
2.57%, 02/15/30 | 25,000 | 21,572 | ||
Owl Rock Capital Corporation | ||||
2.88%, 06/11/28 | 2,200,000 | 1,795,004 | ||
Pacific Gas and Electric Co. | ||||
1.70%, 11/15/23 | 2,200,000 | 2,162,576 | ||
3.40%, 08/15/24 | 600,000 | 580,787 | ||
3.15%, 01/01/26 | 1,300,000 | 1,206,951 | ||
2.95%, 03/01/26 | 800,000 | 733,231 | ||
2.10%, 08/01/27Δ | 370,000 | 316,333 | ||
4.55%, 07/01/30 | 1,800,000 | 1,630,396 | ||
2.50%, 02/01/31 | 610,000 | 478,040 | ||
3.30%, 08/01/40Δ | 165,000 | 111,384 | ||
4.95%, 07/01/50 | 35,000 | 27,536 | ||
3.50%, 08/01/50 | 70,000 | 44,623 | ||
PacifiCorp | ||||
4.15%, 02/15/50 | 45,000 | 34,857 | ||
Paramount Global | ||||
4.95%, 05/19/50Δ | 700,000 | 525,815 | ||
Parsley Energy LLC | ||||
4.13%, 02/15/28 144A | 30,000 | 27,902 | ||
PayPal Holdings, Inc. | ||||
1.65%, 06/01/25Δ | 230,000 | 215,343 | ||
2.65%, 10/01/26 | 50,000 | 46,482 | ||
2.85%, 10/01/29 | 50,000 | 44,374 | ||
2.30%, 06/01/30Δ | 300,000 | 254,548 | ||
PepsiCo, Inc. | ||||
2.25%, 03/19/25 | 20,000 | 19,090 | ||
2.63%, 03/19/27 | 30,000 | 27,979 | ||
1.63%, 05/01/30Δ | 250,000 | 207,954 |
Par | Value | |||
2.88%, 10/15/49 | $ 100,000 | $ 75,215 | ||
Phillips 66 | ||||
3.85%, 04/09/25 | 100,000 | 97,278 | ||
Physicians Realty LP REIT | ||||
3.95%, 01/15/28 | 2,400,000 | 2,193,080 | ||
Pioneer Natural Resources Co. | ||||
1.13%, 01/15/26 | 70,000 | 63,068 | ||
2.15%, 01/15/31Δ | 290,000 | 237,477 | ||
PNC Financial Services Group, Inc. (The) | ||||
(Variable, U.S. SOFR + 1.32%), 5.81%, 06/12/26^ | 160,000 | 159,122 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.60%), 3.40%, 09/15/26ρ ^ | 1,000,000 | 740,000 | ||
(Variable, U.S. SOFR + 1.84%), 5.58%, 06/12/29^ | 630,000 | 627,491 | ||
Post Holdings, Inc. | ||||
5.50%, 12/15/29 144A | 350,000 | 323,410 | ||
Principal Life Global Funding II | ||||
1.25%, 06/23/25 144A | 90,000 | 82,158 | ||
Procter & Gamble Co. (The) | ||||
2.45%, 11/03/26 | 5,000 | 4,679 | ||
2.80%, 03/25/27 | 40,000 | 37,682 | ||
3.00%, 03/25/30Δ | 130,000 | 120,391 | ||
Progress Energy, Inc. | ||||
7.75%, 03/01/31 | 350,000 | 397,164 | ||
Prologis LP REIT | ||||
4.63%, 01/15/33 | 650,000 | 635,512 | ||
Prudential Financial, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.23%), 6.00%, 09/01/52Δ ^ | 600,000 | 571,583 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.85%), 6.75%, 03/01/53Δ ^ | 400,000 | 403,468 | ||
Public Service Co. of Colorado | ||||
4.50%, 06/01/52 | 35,000 | 30,602 | ||
Public Storage REIT | ||||
0.88%, 02/15/26Δ | 70,000 | 62,797 | ||
1.85%, 05/01/28 | 5,000 | 4,345 | ||
0.50%, 09/09/30(E) | 2,000,000 | 1,692,792 | ||
PulteGroup, Inc. | ||||
5.50%, 03/01/26 | 60,000 | 59,691 | ||
Qorvo, Inc. | ||||
4.38%, 10/15/29Δ | 35,000 | 31,644 | ||
QUALCOMM, Inc. | ||||
4.65%, 05/20/35 | 50,000 | 49,949 | ||
Range Resources Corporation | ||||
4.88%, 05/15/25 | 10,000 | 9,810 | ||
Raytheon Technologies Corporation | ||||
3.15%, 12/15/24 | 120,000 | 115,737 | ||
3.95%, 08/16/25 | 530,000 | 519,498 | ||
3.50%, 03/15/27 | 550,000 | 523,114 | ||
4.13%, 11/16/28 | 860,000 | 828,872 | ||
7.50%, 09/15/29 | 10,000 | 11,265 | ||
2.25%, 07/01/30Δ | 270,000 | 227,922 | ||
4.50%, 06/01/42 | 90,000 | 82,902 |
Par | Value | |||
Realty Income Corporation REIT | ||||
4.88%, 06/01/26Δ | $ 65,000 | $ 64,334 | ||
3.95%, 08/15/27 | 150,000 | 142,658 | ||
3.25%, 01/15/31Δ | 1,800,000 | 1,575,463 | ||
Regency Centers LP REIT | ||||
2.95%, 09/15/29 | 775,000 | 665,522 | ||
Regeneron Pharmaceuticals, Inc. | ||||
1.75%, 09/15/30 | 1,500,000 | 1,196,381 | ||
Reinsurance Group of America, Inc. | ||||
3.90%, 05/15/29Δ | 55,000 | 49,963 | ||
Republic Services, Inc. | ||||
2.50%, 08/15/24 | 190,000 | 183,353 | ||
4.88%, 04/01/29Δ | 350,000 | 349,721 | ||
Revvity, Inc. | ||||
3.30%, 09/15/29 | 10,000 | 8,942 | ||
Roche Holdings, Inc. | ||||
2.61%, 12/13/51 144A | 820,000 | 556,393 | ||
Rocket Mortgage LLC | ||||
4.00%, 10/15/33 144A Δ | 850,000 | 665,711 | ||
Roper Technologies, Inc. | ||||
4.20%, 09/15/28 | 500,000 | 480,000 | ||
Rush Obligated Group | ||||
3.92%, 11/15/29 | 400,000 | 368,896 | ||
Sabine Pass Liquefaction LLC | ||||
5.63%, 03/01/25 | 450,000 | 448,428 | ||
5.00%, 03/15/27Δ | 425,000 | 418,585 | ||
4.20%, 03/15/28 | 300,000 | 284,505 | ||
5.90%, 09/15/37 144A Δ | 25,000 | 25,398 | ||
Sabra Health Care LP REIT | ||||
3.90%, 10/15/29 | 1,500,000 | 1,224,966 | ||
Safehold GL Holdings LLC REIT | ||||
2.85%, 01/15/32 | 750,000 | 576,333 | ||
Santander Holdings U.S.A., Inc. | ||||
4.50%, 07/17/25Δ | 60,000 | 58,270 | ||
3.24%, 10/05/26 | 1,100,000 | 991,384 | ||
(Variable, U.S. SOFR + 1.25%), 2.49%, 01/06/28Δ ^ | 70,000 | 60,522 | ||
SBA Tower Trust | ||||
2.84%, 01/15/25 144A | 2,200,000 | 2,089,887 | ||
SBA Tower Trust REIT | ||||
2.33%, 01/15/28 144A | 2,300,000 | 1,972,035 | ||
Schlumberger Holdings Corporation | ||||
3.90%, 05/17/28 144A | 252,000 | 237,609 | ||
Sempra Energy | ||||
3.40%, 02/01/28 | 275,000 | 253,346 | ||
ServiceNow, Inc. | ||||
1.40%, 09/01/30 | 675,000 | 534,844 | ||
Sherwin-Williams Co. (The) | ||||
3.13%, 06/01/24 | 700,000 | 683,729 | ||
2.95%, 08/15/29 | 475,000 | 419,320 | ||
Skyworks Solutions, Inc. | ||||
1.80%, 06/01/26Δ | 2,200,000 | 1,966,083 | ||
Smithfield Foods, Inc. | ||||
5.20%, 04/01/29 144A | 100,000 | 92,217 | ||
Sotheby's | ||||
5.88%, 06/01/29 144A | 325,000 | 253,050 | ||
Southern California Edison Co. | ||||
3.70%, 08/01/25 | 2,800,000 | 2,696,475 |
Par | Value | |||
4.20%, 03/01/29 | $ 400,000 | $ 380,552 | ||
4.88%, 03/01/49 | 30,000 | 27,001 | ||
Southern California Gas Co. | ||||
2.95%, 04/15/27 | 2,100,000 | 1,960,413 | ||
Southern Co. Gas Capital Corporation | ||||
3.25%, 06/15/26 | 300,000 | 282,930 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42Δ | 2,500,000 | 2,393,601 | ||
Southern Natural Gas Co. LLC | ||||
8.00%, 03/01/32 | 400,000 | 460,381 | ||
Southern Power Co. | ||||
0.90%, 01/15/26Δ | 2,200,000 | 1,972,568 | ||
4.95%, 12/15/46 | 30,000 | 26,419 | ||
Southwestern Electric Power Co. | ||||
2.75%, 10/01/26 | 65,000 | 59,654 | ||
Southwestern Energy Co. | ||||
5.38%, 02/01/29Δ | 10,000 | 9,427 | ||
5.38%, 03/15/30 | 70,000 | 65,390 | ||
4.75%, 02/01/32 | 120,000 | 105,931 | ||
Spirit Realty LP REIT | ||||
4.45%, 09/15/26 | 1,200,000 | 1,131,321 | ||
4.00%, 07/15/29 | 750,000 | 660,781 | ||
Sprint Capital Corporation | ||||
6.88%, 11/15/28 | 1,500,000 | 1,591,340 | ||
8.75%, 03/15/32 | 60,000 | 72,583 | ||
Standard Industries, Inc. | ||||
5.00%, 02/15/27 144A | 200,000 | 190,802 | ||
Starbucks Corporation | ||||
3.80%, 08/15/25 | 625,000 | 605,486 | ||
4.00%, 11/15/28Δ | 475,000 | 455,917 | ||
2.55%, 11/15/30 | 1,900,000 | 1,619,688 | ||
State Street Corporation | ||||
(Variable, U.S. SOFR + 0.56%), 1.68%, 11/18/27Δ ^ | 20,000 | 17,848 | ||
(Variable, U.S. SOFR + 1.72%), 5.82%, 11/04/28Δ ^ | 55,000 | 56,384 | ||
(Variable, U.S. SOFR + 2.65%), 3.15%, 03/30/31^ | 240,000 | 213,620 | ||
Steel Dynamics, Inc. | ||||
2.40%, 06/15/25 | 140,000 | 130,833 | ||
1.65%, 10/15/27 | 275,000 | 233,832 | ||
Stifel Financial Corporation | ||||
4.00%, 05/15/30 | 1,900,000 | 1,623,849 | ||
Sutter Health | ||||
2.29%, 08/15/30 | 215,000 | 177,905 | ||
Synchrony Financial | ||||
2.88%, 10/28/31Δ | 25,000 | 18,201 | ||
Syneos Health, Inc. | ||||
3.63%, 01/15/29 144A Δ | 225,000 | 220,228 | ||
Sysco Corporation | ||||
6.60%, 04/01/40 | 645,000 | 701,694 | ||
Tallgrass Energy Partners LP | ||||
6.00%, 12/31/30 144A Δ | 10,000 | 8,822 | ||
Targa Resources Corporation | ||||
4.20%, 02/01/33 | 610,000 | 540,415 | ||
Targa Resources Partners LP | ||||
6.50%, 07/15/27Δ | 355,000 | 352,748 | ||
5.00%, 01/15/28 | 70,000 | 66,867 |
Par | Value | |||
6.88%, 01/15/29Δ | $1,150,000 | $1,174,012 | ||
5.50%, 03/01/30 | 570,000 | 549,101 | ||
4.88%, 02/01/31 | 285,000 | 263,706 | ||
4.00%, 01/15/32 | 30,000 | 25,974 | ||
Teachers Insurance & Annuity Association of America | ||||
6.85%, 12/16/39 144A | 46,000 | 50,910 | ||
4.90%, 09/15/44 144A | 280,000 | 253,880 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A Δ | 1,440,000 | 1,230,760 | ||
Texas Instruments, Inc. | ||||
1.75%, 05/04/30 | 120,000 | 100,949 | ||
Textron, Inc. | ||||
2.45%, 03/15/31Δ | 1,700,000 | 1,403,130 | ||
Time Warner Cable Enterprises LLC | ||||
8.38%, 07/15/33 | 390,000 | 428,668 | ||
Time Warner Cable LLC | ||||
6.55%, 05/01/37 | 90,000 | 86,351 | ||
7.30%, 07/01/38 | 900,000 | 917,947 | ||
5.88%, 11/15/40 | 300,000 | 264,889 | ||
TJX Cos., Inc. (The) | ||||
2.25%, 09/15/26 | 40,000 | 36,922 | ||
T-Mobile U.S.A., Inc. | ||||
3.50%, 04/15/25Δ | 1,278,000 | 1,229,377 | ||
2.25%, 02/15/26 | 10,000 | 9,198 | ||
3.75%, 04/15/27 | 50,000 | 47,354 | ||
3.38%, 04/15/29 | 1,370,000 | 1,238,409 | ||
3.88%, 04/15/30 | 2,006,000 | 1,849,263 | ||
2.55%, 02/15/31Δ | 1,570,000 | 1,305,491 | ||
3.50%, 04/15/31 | 450,000 | 397,522 | ||
2.70%, 03/15/32 | 610,000 | 504,268 | ||
5.20%, 01/15/33 | 1,175,000 | 1,167,949 | ||
3.00%, 02/15/41 | 380,000 | 278,043 | ||
3.40%, 10/15/52 | 280,000 | 200,103 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
7.85%, 02/01/26 | 1,110,000 | 1,162,662 | ||
3.25%, 05/15/30 | 870,000 | 774,140 | ||
TransDigm, Inc. | ||||
6.38%, 06/15/26 | 350,000 | 345,883 | ||
7.50%, 03/15/27 | 300,000 | 300,793 | ||
4.63%, 01/15/29 | 130,000 | 115,795 | ||
Trimble, Inc. | ||||
6.10%, 03/15/33 | 650,000 | 658,834 | ||
Trinity Industries, Inc. | ||||
7.75%, 07/15/28 144A | 500,000 | 503,437 | ||
Tronox, Inc. | ||||
4.63%, 03/15/29 144A Δ | 1,225,000 | 1,019,118 | ||
Truist Bank | ||||
4.05%, 11/03/25 | 600,000 | 572,571 | ||
Truist Financial Corporation | ||||
(Variable, U.S. SOFR + 0.61%), 1.27%, 03/02/27^ | 25,000 | 22,061 | ||
(Variable, U.S. SOFR + 2.05%), 6.05%, 06/08/27^ | 535,000 | 535,463 | ||
(Variable, U.S. SOFR + 0.86%), 1.89%, 06/07/29Δ ^ | 65,000 | 54,081 | ||
(Variable, U.S. SOFR + 2.36%), 5.87%, 06/08/34^ | 1,330,000 | 1,331,152 |
Par | Value | |||
Trustage Financial Group, Inc. | ||||
4.63%, 04/15/32 144A | $1,300,000 | $1,129,716 | ||
Tyson Foods, Inc. | ||||
4.35%, 03/01/29Δ | 5,000 | 4,760 | ||
5.10%, 09/28/48 | 5,000 | 4,546 | ||
U.S. Bancorp | ||||
1.45%, 05/12/25 | 580,000 | 541,172 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.54%), 3.70%, 01/15/27ρ ^ | 775,000 | 576,910 | ||
(Variable, U.S. SOFR + 0.73%), 2.22%, 01/27/28Δ ^ | 130,000 | 115,317 | ||
(Variable, U.S. SOFR + 1.66%), 4.55%, 07/22/28^ | 5,000 | 4,785 | ||
(Variable, U.S. SOFR + 2.02%), 5.78%, 06/12/29^ | 920,000 | 920,340 | ||
(Variable, U.S. SOFR + 2.09%), 5.85%, 10/21/33Δ ^ | 20,000 | 20,036 | ||
(Variable, U.S. SOFR + 2.26%), 5.84%, 06/12/34^ | 820,000 | 826,310 | ||
UDR, Inc. REIT | ||||
3.20%, 01/15/30Δ | 1,200,000 | 1,061,581 | ||
2.10%, 08/01/32 | 150,000 | 114,182 | ||
Union Pacific Corporation | ||||
3.75%, 07/15/25 | 210,000 | 203,951 | ||
2.89%, 04/06/36 | 600,000 | 479,117 | ||
3.84%, 03/20/60 | 480,000 | 382,654 | ||
3.75%, 02/05/70 | 80,000 | 60,637 | ||
United Airlines, Inc. | ||||
4.38%, 04/15/26 144A | 370,000 | 351,872 | ||
4.63%, 04/15/29 144A | 310,000 | 282,741 | ||
United Parcel Service, Inc. | ||||
6.20%, 01/15/38 | 35,000 | 39,168 | ||
United Rentals North America, Inc. | ||||
3.88%, 02/15/31Δ | 60,000 | 52,002 | ||
3.75%, 01/15/32 | 190,000 | 161,132 | ||
UnitedHealth Group, Inc. | ||||
3.10%, 03/15/26 | 5,000 | 4,787 | ||
3.85%, 06/15/28 | 5,000 | 4,797 | ||
4.00%, 05/15/29 | 290,000 | 277,348 | ||
5.30%, 02/15/30 | 1,600,000 | 1,640,277 | ||
2.00%, 05/15/30 | 150,000 | 126,339 | ||
2.30%, 05/15/31 | 50,000 | 42,300 | ||
4.20%, 05/15/32 | 200,000 | 191,014 | ||
5.35%, 02/15/33Δ | 3,050,000 | 3,171,183 | ||
6.88%, 02/15/38 | 40,000 | 47,656 | ||
2.75%, 05/15/40 | 700,000 | 520,554 | ||
4.25%, 06/15/48 | 175,000 | 154,444 | ||
4.45%, 12/15/48 | 50,000 | 45,607 | ||
3.70%, 08/15/49 | 170,000 | 136,735 | ||
2.90%, 05/15/50 | 290,000 | 202,401 | ||
5.05%, 04/15/53 | 560,000 | 557,036 | ||
3.88%, 08/15/59Δ | 190,000 | 154,667 | ||
3.13%, 05/15/60 | 30,000 | 20,965 | ||
Universal Health Services, Inc. | ||||
2.65%, 10/15/30 | 700,000 | 572,236 | ||
University of Chicago (The) | ||||
5.42%, 10/01/30 | 100,000 | 100,330 |
Par | Value | |||
Vanguard Group, Inc. (The) | ||||
3.05%, 08/22/50††† | $ 390,000 | $ 249,773 | ||
Ventas Realty LP REIT | ||||
3.00%, 01/15/30Δ | 1,700,000 | 1,456,771 | ||
Venture Global Calcasieu Pass LLC | ||||
6.25%, 01/15/30 144A | 125,000 | 124,110 | ||
3.88%, 11/01/33 144A | 200,000 | 164,044 | ||
Verizon Communications, Inc. | ||||
3.00%, 03/22/27 | 70,000 | 65,348 | ||
2.10%, 03/22/28 | 290,000 | 254,903 | ||
4.33%, 09/21/28 | 452,000 | 435,960 | ||
3.15%, 03/22/30 | 490,000 | 435,706 | ||
1.75%, 01/20/31 | 900,000 | 710,394 | ||
2.55%, 03/21/31Δ | 1,860,000 | 1,553,524 | ||
2.36%, 03/15/32 | 806,000 | 648,529 | ||
4.50%, 08/10/33 | 790,000 | 745,783 | ||
5.25%, 03/16/37 | 530,000 | 525,266 | ||
2.65%, 11/20/40 | 840,000 | 584,680 | ||
3.40%, 03/22/41 | 80,000 | 61,793 | ||
3.85%, 11/01/42 | 40,000 | 32,393 | ||
4.13%, 08/15/46 | 890,000 | 732,490 | ||
4.86%, 08/21/46Δ | 290,000 | 266,066 | ||
5.50%, 03/16/47Δ | 40,000 | 40,245 | ||
4.00%, 03/22/50 | 610,000 | 495,634 | ||
2.88%, 11/20/50 | 425,000 | 277,256 | ||
Vertiv Group Corporation | ||||
4.13%, 11/15/28 144A | 100,000 | 90,189 | ||
Viatris, Inc. | ||||
4.00%, 06/22/50 | 20,000 | 13,244 | ||
Visa, Inc. | ||||
3.15%, 12/14/25 | 455,000 | 436,307 | ||
2.05%, 04/15/30 | 270,000 | 231,564 | ||
4.30%, 12/14/45 | 460,000 | 427,176 | ||
VMware, Inc. | ||||
4.65%, 05/15/27Δ | 700,000 | 680,518 | ||
3.90%, 08/21/27 | 500,000 | 474,346 | ||
1.80%, 08/15/28 | 290,000 | 243,229 | ||
2.20%, 08/15/31 | 600,000 | 471,715 | ||
Vontier Corporation | ||||
2.40%, 04/01/28 | 700,000 | 583,964 | ||
Voya Financial, Inc. | ||||
5.70%, 07/15/43 | 170,000 | 163,842 | ||
Walgreens Boots Alliance, Inc. | ||||
4.10%, 04/15/50Δ | 15,000 | 10,700 | ||
Walmart, Inc. | ||||
1.05%, 09/17/26Δ | 75,000 | 66,997 | ||
1.50%, 09/22/28Δ | 150,000 | 130,335 | ||
1.80%, 09/22/31 | 80,000 | 66,477 | ||
5.25%, 09/01/35Δ | 25,000 | 26,675 | ||
Walt Disney Co. (The) | ||||
3.70%, 09/15/24 | 625,000 | 611,607 | ||
6.65%, 11/15/37Δ | 150,000 | 173,556 | ||
Warnermedia Holdings, Inc. | ||||
6.41%, 03/15/26 | 260,000 | 260,274 | ||
3.76%, 03/15/27 | 140,000 | 130,643 | ||
4.05%, 03/15/29Δ | 180,000 | 164,623 | ||
4.28%, 03/15/32 | 3,170,000 | 2,812,861 | ||
5.05%, 03/15/42 | 370,000 | 312,066 |
Par | Value | |||
5.14%, 03/15/52 | $ 990,000 | $ 806,762 | ||
Waste Management, Inc. | ||||
1.15%, 03/15/28 | 250,000 | 212,752 | ||
WEA Finance LLC REIT | ||||
3.75%, 09/17/24 144A | 770,000 | 727,463 | ||
Wells Fargo & Co. | ||||
4.48%, 01/16/24Δ | 396,000 | 393,088 | ||
3.75%, 01/24/24 | 365,000 | 360,856 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.45%), 3.90%, 03/15/26ρ ^ | 700,000 | 616,717 | ||
(Variable, U.S. SOFR + 2.00%), 2.19%, 04/30/26^ | 490,000 | 459,339 | ||
4.10%, 06/03/26 | 440,000 | 422,332 | ||
(Variable, U.S. SOFR + 1.56%), 4.54%, 08/15/26^ | 1,700,000 | 1,661,801 | ||
3.00%, 10/23/26 | 1,660,000 | 1,542,050 | ||
(Variable, CME Term SOFR 3M + 1.43%), 3.20%, 06/17/27^ | 70,000 | 65,772 | ||
4.30%, 07/22/27 | 1,255,000 | 1,204,901 | ||
(Variable, U.S. SOFR + 2.10%), 2.39%, 06/02/28^ | 70,000 | 62,429 | ||
(Variable, U.S. SOFR + 1.98%), 4.81%, 07/25/28Δ ^ | 1,800,000 | 1,760,928 | ||
4.15%, 01/24/29 | 655,000 | 621,314 | ||
(Variable, CME Term SOFR 3M + 1.43%), 2.88%, 10/30/30^ | 435,000 | 376,068 | ||
(Variable, CME Term SOFR 3M + 4.03%), 4.48%, 04/04/31^ | 420,000 | 399,500 | ||
(Variable, U.S. SOFR + 1.50%), 3.35%, 03/02/33Δ ^ | 500,000 | 428,122 | ||
(Variable, U.S. SOFR + 2.10%), 4.90%, 07/25/33^ | 1,953,000 | 1,874,399 | ||
5.38%, 11/02/43 | 190,000 | 179,140 | ||
4.65%, 11/04/44 | 770,000 | 654,107 | ||
4.90%, 11/17/45 | 370,000 | 326,093 | ||
4.75%, 12/07/46 | 260,000 | 221,638 | ||
(Variable, CME Term SOFR 3M + 4.50%), 5.01%, 04/04/51^ | 2,920,000 | 2,721,985 | ||
Welltower OP LLC REIT | ||||
4.25%, 04/01/26Δ | 898,000 | 868,935 | ||
4.13%, 03/15/29Δ | 10,000 | 9,264 | ||
3.10%, 01/15/30 | 50,000 | 43,365 | ||
Western Digital Corporation | ||||
2.85%, 02/01/29 | 25,000 | 19,999 | ||
Western Midstream Operating LP | ||||
4.50%, 03/01/28 | 60,000 | 56,637 | ||
4.30%, 02/01/30 | 980,000 | 880,773 | ||
5.45%, 04/01/44 | 75,000 | 63,474 | ||
5.30%, 03/01/48 | 65,000 | 54,359 | ||
5.50%, 08/15/48 | 160,000 | 134,206 | ||
5.50%, 02/01/50 | 150,000 | 123,092 | ||
Westinghouse Air Brake Technologies Corporation | ||||
4.95%, 09/15/28 | 55,000 | 53,020 | ||
Williams Cos., Inc. (The) | ||||
3.90%, 01/15/25 | 300,000 | 291,298 | ||
7.50%, 01/15/31 | 100,000 | 110,031 | ||
7.75%, 06/15/31 | 1,005,000 | 1,114,887 | ||
8.75%, 03/15/32 | 181,000 | 214,993 |
Par | Value | |||
5.65%, 03/15/33Δ | $ 525,000 | $ 532,171 | ||
5.75%, 06/24/44 | 100,000 | 97,575 | ||
Workday, Inc. | ||||
3.70%, 04/01/29Δ | 325,000 | 301,563 | ||
3.80%, 04/01/32Δ | 225,000 | 202,648 | ||
WP Carey, Inc. REIT | ||||
4.00%, 02/01/25Δ | 105,000 | 101,739 | ||
3.85%, 07/15/29 | 900,000 | 818,080 | ||
WR Grace Holdings LLC | ||||
4.88%, 06/15/27 144A | 730,000 | 677,938 | ||
WRKCo, Inc. | ||||
3.75%, 03/15/25 | 500,000 | 481,331 | ||
4.00%, 03/15/28 | 1,100,000 | 1,024,730 | ||
4.90%, 03/15/29Δ | 60,000 | 58,071 | ||
Xerox Holdings Corporation | ||||
5.00%, 08/15/25 144A Δ | 1,240,000 | 1,171,775 | ||
Total Corporate Bonds (Cost $578,077,257) | 523,087,524 | |||
FOREIGN BONDS — 10.2% | ||||
Argentina — 0.1% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 93,932 | 30,641 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 1,044,303 | 349,389 | ||
(Step to 4.88% on 07/09/29), 3.50%, 07/09/41 STEP | 810,000 | 261,574 | ||
Provincia de Buenos Aires | ||||
(Step to 6.38% on 09/01/23), 5.25%, 09/01/37 144A STEP | 666,200 | 255,654 | ||
(Step to 6.38% on 09/01/23), 5.25%, 09/01/37 STEP | 150,000 | 57,562 | ||
954,820 | ||||
Australia — 0.2% | ||||
BHP Billiton Finance U.S.A., Ltd. | ||||
5.00%, 09/30/43 | 170,000 | 170,203 | ||
Commonwealth Bank of Australia | ||||
3.90%, 07/12/47 144A Δ | 110,000 | 95,258 | ||
Macquarie Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 1.70%), 3.05%, 03/03/36 144A ^ | 225,000 | 170,884 | ||
Macquarie Group, Ltd. | ||||
(Variable, U.S. SOFR + 1.07%), 1.34%, 01/12/27 144A ^ | 250,000 | 222,650 | ||
(Variable, U.S. SOFR + 1.53%), 2.87%, 01/14/33 144A ^ | 600,000 | 479,761 | ||
(Variable, U.S. SOFR + 2.41%), 4.44%, 06/21/33 144A ^ | 650,000 | 580,340 | ||
Newcrest Finance Pty, Ltd. | ||||
3.25%, 05/13/30 144A | 1,276,000 | 1,126,831 | ||
Westpac Banking Corporation | ||||
(Variable, USD SOFR ICE Swap Rate 5Y + 2.24%), 4.32%, 11/23/31^ | 175,000 | 162,178 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.00%), 4.11%, 07/24/34^ | $ 275,000 | $ 239,393 | ||
3,247,498 | ||||
Austria — 0.1% | ||||
Suzano Austria GmbH | ||||
3.75%, 01/15/31 | 460,000 | 392,920 | ||
3.13%, 01/15/32 | 720,000 | 576,845 | ||
969,765 | ||||
Brazil — 0.1% | ||||
Brazilian Government International Bond | ||||
5.63%, 01/07/41Δ | 340,000 | 301,637 | ||
5.00%, 01/27/45 | 2,050,000 | 1,602,958 | ||
Vale Overseas, Ltd. | ||||
6.13%, 06/12/33 | 100,000 | 100,304 | ||
6.88%, 11/21/36 | 484,000 | 506,558 | ||
2,511,457 | ||||
Canada — 0.4% | ||||
Alimentation Couche-Tard, Inc. | ||||
3.55%, 07/26/27 144A | 75,000 | 69,641 | ||
Bank of Montreal | ||||
1.85%, 05/01/25Δ | 500,000 | 467,227 | ||
(Variable, U.S. SOFR + 0.60%), 0.95%, 01/22/27^ | 70,000 | 62,482 | ||
(Variable, USD Swap 5Y + 1.43%), 3.80%, 12/15/32^ | 100,000 | 88,180 | ||
Bank of Nova Scotia (The) | ||||
1.30%, 06/11/25 | 270,000 | 248,287 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.05%), 4.59%, 05/04/37^ | 260,000 | 224,290 | ||
Brookfield Finance, Inc. | ||||
3.50%, 03/30/51 | 820,000 | 544,240 | ||
Canadian National Railway Co. | ||||
2.45%, 05/01/50Δ | 35,000 | 22,419 | ||
Canadian Pacific Railway Co. | ||||
3.10%, 12/02/51 | 370,000 | 262,979 | ||
CGI, Inc. | ||||
1.45%, 09/14/26 | 2,300,000 | 2,032,623 | ||
Enbridge, Inc. | ||||
2.50%, 08/01/33 | 850,000 | 664,618 | ||
Fairfax Financial Holdings, Ltd. | ||||
4.85%, 04/17/28 | 400,000 | 385,124 | ||
5.63%, 08/16/32 | 800,000 | 773,384 | ||
First Quantum Minerals, Ltd. | ||||
8.63%, 06/01/31 144A | 200,000 | 205,226 | ||
Intact Financial Corporation | ||||
5.46%, 09/22/32 144A | 600,000 | 598,225 | ||
Rogers Communications, Inc. | ||||
3.80%, 03/15/32 144A | 650,000 | 568,436 | ||
4.35%, 05/01/49 | 25,000 | 19,768 | ||
Royal Bank of Canada | ||||
1.15%, 06/10/25Δ | 260,000 | 240,099 |
Par | Value | |||
Teck Resources, Ltd. | ||||
6.00%, 08/15/40 | $ 10,000 | $ 9,782 | ||
Toronto-Dominion Bank (The) | ||||
1.15%, 06/12/25Δ | 260,000 | 239,696 | ||
4.46%, 06/08/32Δ | 775,000 | 736,014 | ||
8,462,740 | ||||
Chile — 0.1% | ||||
Chile Government International Bond | ||||
2.45%, 01/31/31Δ | 1,800,000 | 1,555,655 | ||
4.95%, 01/05/36 | 330,000 | 326,157 | ||
1,881,812 | ||||
China — 0.2% | ||||
Avolon Holdings Funding, Ltd. | ||||
2.88%, 02/15/25 144A | 800,000 | 744,420 | ||
2.13%, 02/21/26 144A | 2,500,000 | 2,223,719 | ||
4.25%, 04/15/26 144A | 125,000 | 116,538 | ||
Park Aerospace Holdings, Ltd. | ||||
5.50%, 02/15/24 144A | 60,000 | 59,332 | ||
Sinopec Group Overseas Development 2014, Ltd. | ||||
4.38%, 04/10/24 144A | 390,000 | 385,973 | ||
3,529,982 | ||||
Colombia — 0.1% | ||||
Colombia Government International Bond | ||||
4.13%, 02/22/42 | 650,000 | 416,123 | ||
5.63%, 02/26/44 | 1,080,000 | 806,904 | ||
Ecopetrol SA | ||||
6.88%, 04/29/30 | 40,000 | 36,520 | ||
8.88%, 01/13/33 | 310,000 | 307,239 | ||
5.88%, 05/28/45 | 1,420,000 | 974,240 | ||
2,541,026 | ||||
Denmark — 0.1% | ||||
Danske Bank A/S | ||||
5.38%, 01/12/24 144A | 540,000 | 536,931 | ||
(Variable, ICE LIBOR USD 3M + 1.59%), 3.24%, 12/20/25 144A ^ | 220,000 | 208,971 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.35%), 1.62%, 09/11/26 144A ^ | 1,800,000 | 1,615,619 | ||
Jyske Realkredit A/S | ||||
1.50%, 10/01/53(D) ††† | 1 | — | ||
Realkredit Danmark A/S | ||||
1.50%, 10/01/53(D) ††† | 1 | — | ||
2,361,521 | ||||
Finland — 0.0% | ||||
Nokia OYJ | ||||
4.38%, 06/12/27 | 9,000 | 8,485 | ||
France — 0.8% | ||||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 4.15%), 6.63%, 03/25/24 144A ρ ^ | 200,000 | 192,825 |
Par | Value | |||
3.38%, 01/09/25 144A | $ 450,000 | $ 432,426 | ||
(Variable, ICE LIBOR USD 3M + 2.24%), 4.71%, 01/10/25 144A ^ | 650,000 | 644,331 | ||
(Variable, U.S. SOFR + 2.07%), 2.22%, 06/09/26 144A ^ | 1,790,000 | 1,656,398 | ||
(Variable, U.S. SOFR + 1.00%), 1.32%, 01/13/27 144A ^ | 775,000 | 687,774 | ||
4.40%, 08/14/28 144A | 1,040,000 | 982,758 | ||
(Variable, U.S. SOFR + 1.61%), 1.90%, 09/30/28 144A ^ | 1,800,000 | 1,534,984 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.45%), 5.13%, 01/13/29 144A ^ | 1,110,000 | 1,087,027 | ||
(Variable, USD Swap 5Y + 1.48%), 4.38%, 03/01/33 144A ^ | 880,000 | 796,910 | ||
BPCE SA | ||||
4.00%, 09/12/23 144A | 750,000 | 746,626 | ||
4.63%, 09/12/28 144A | 375,000 | 351,920 | ||
(Variable, U.S. SOFR + 1.31%), 2.28%, 01/20/32 144A ^ | 375,000 | 289,885 | ||
(Variable, U.S. SOFR + 1.73%), 3.12%, 10/19/32 144A ^ | 875,000 | 676,264 | ||
(Variable, U.S. SOFR + 2.87%), 5.75%, 07/19/33 144A ^ | 600,000 | 586,381 | ||
Credit Agricole SA | ||||
(Variable, USD Swap 5Y + 4.32%), 6.88%, 09/23/24 144A ρ ^ | 300,000 | 289,848 | ||
4.38%, 03/17/25Δ | 275,000 | 265,032 | ||
(Variable, U.S. SOFR + 1.68%), 1.91%, 06/16/26 144A ^ | 2,025,000 | 1,865,229 | ||
4.13%, 01/10/27 144A | 450,000 | 427,819 | ||
(Variable, USD Swap 5Y + 1.64%), 4.00%, 01/10/33 144A ^ | 250,000 | 222,801 | ||
Danone SA | ||||
2.59%, 11/02/23 144A | 650,000 | 643,285 | ||
2.95%, 11/02/26 144A | 310,000 | 290,109 | ||
Societe Generale SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.49%, 12/14/26 144A ^ | 1,700,000 | 1,496,968 | ||
TotalEnergies Capital International SA | ||||
3.46%, 02/19/29 | 5,000 | 4,653 | ||
2.83%, 01/10/30 | 35,000 | 31,353 | ||
3.13%, 05/29/50 | 25,000 | 18,183 | ||
TotalEnergies Capital SA | ||||
3.88%, 10/11/28 | 5,000 | 4,796 | ||
16,226,585 | ||||
Germany — 0.4% | ||||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 2.16%), 2.22%, 09/18/24^ | 2,100,000 | 2,073,585 | ||
(Variable, U.S. SOFR + 3.19%), 6.12%, 07/14/26^ | 1,800,000 | 1,780,648 |
Par | Value | |||
(Variable, 1.85% - Euribor 3M), 1.38%, 09/03/26(E) ^ | $1,500,000 | $1,504,678 | ||
(Variable, U.S. SOFR + 1.87%), 2.13%, 11/24/26^ | 450,000 | 400,582 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 900,000 | 777,189 | ||
(Variable, 2.05% - Euribor 3M), 1.75%, 11/19/30(E) ^ | 800,000 | 690,834 | ||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.98%), 5.88%, 05/23/42 144A ^ | 1,200,000 | 1,206,812 | ||
8,434,328 | ||||
Hong Kong — 0.0% | ||||
AIA Group, Ltd. | ||||
3.90%, 04/06/28 144A Δ | 200,000 | 191,389 | ||
Hungary — 0.0% | ||||
Hungary Government International Bond | ||||
6.13%, 05/22/28 | 500,000 | 508,283 | ||
Indonesia — 0.0% | ||||
Indonesia Government International Bond | ||||
3.05%, 03/12/51 | 290,000 | 213,138 | ||
3.35%, 03/12/71 | 240,000 | 166,833 | ||
Perusahaan Penerbit SBSN Indonesia III | ||||
2.55%, 06/09/31 144A | 590,000 | 503,610 | ||
883,581 | ||||
Ireland — 0.3% | ||||
AerCap Ireland Capital DAC | ||||
4.88%, 01/16/24 | 350,000 | 347,612 | ||
3.15%, 02/15/24 | 330,000 | 323,806 | ||
6.50%, 07/15/25 | 290,000 | 291,623 | ||
2.45%, 10/29/26 | 1,160,000 | 1,036,950 | ||
3.00%, 10/29/28 | 1,480,000 | 1,280,846 | ||
3.30%, 01/30/32 | 1,375,000 | 1,125,549 | ||
GE Capital International Funding Co. Unlimited Co. | ||||
4.42%, 11/15/35 | 250,000 | 236,457 | ||
Johnson Controls International PLC | ||||
4.90%, 12/01/32Δ | 200,000 | 198,288 | ||
SMBC Aviation Capital Finance DAC | ||||
4.13%, 07/15/23 144A | 900,000 | 899,289 | ||
STERIS Irish FinCo Unlimited Co. | ||||
2.70%, 03/15/31 | 843,000 | 703,124 | ||
6,443,544 | ||||
Israel — 0.0% | ||||
Israel Government International Bond | ||||
2.75%, 07/03/30 | 260,000 | 229,996 |
Par | Value | |||
3.38%, 01/15/50 | $ 430,000 | $ 323,962 | ||
553,958 | ||||
Italy — 0.3% | ||||
Intesa Sanpaolo SpA | ||||
5.02%, 06/26/24 144A | 1,310,000 | 1,269,380 | ||
3.25%, 09/23/24 144A Δ | 1,400,000 | 1,343,592 | ||
5.71%, 01/15/26 144A | 200,000 | 190,531 | ||
UniCredit SpA | ||||
7.83%, 12/04/23 144A | 3,100,000 | 3,118,636 | ||
5,922,139 | ||||
Japan — 2.3% | ||||
Japan Finance Organization for Municipalities | ||||
2.13%, 10/25/23 144A | 2,200,000 | 2,176,572 | ||
Japan Treasury Discount Bill | ||||
0.00%, 07/31/23(J) » | 4,510,000,000 | 31,259,487 | ||
0.00%, 08/28/23(J) » | 279,000,000 | 1,934,029 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.13%), 3.84%, 04/17/26Δ ^ | 270,000 | 259,725 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.30%), 4.08%, 04/19/28^ | 270,000 | 256,372 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%), 5.13%, 07/20/33^ | 1,250,000 | 1,226,498 | ||
4.29%, 07/26/38 | 30,000 | 26,754 | ||
Mizuho Financial Group, Inc. | ||||
(Variable, CME Term SOFR 3M + 1.09%), 2.23%, 05/25/26Δ ^ | 1,600,000 | 1,484,502 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.05%), 5.41%, 09/13/28Δ ^ | 1,700,000 | 1,687,748 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%), 5.67%, 05/27/29^ | 400,000 | 399,409 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.25%), 3.26%, 05/22/30^ | 2,100,000 | 1,855,010 | ||
Nissan Motor Co., Ltd. | ||||
3.04%, 09/15/23 144A | 330,000 | 327,691 | ||
3.52%, 09/17/25 144A | 3,210,000 | 2,987,599 | ||
4.35%, 09/17/27 144A | 770,000 | 700,867 | ||
Nomura Holdings, Inc. | ||||
2.61%, 07/14/31 | 270,000 | 214,465 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
1.90%, 09/17/28 | 2,300,000 | 1,934,282 | ||
48,731,010 | ||||
Jersey — 0.0% | ||||
Aptiv PLC | ||||
3.10%, 12/01/51Δ | 10,000 | 6,296 |
Par | Value | |||
Galaxy Pipeline Assets Bidco, Ltd. | ||||
2.94%, 09/30/40 | $ 892,859 | $ 718,485 | ||
724,781 | ||||
Kazakhstan — 0.0% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 200,000 | 186,082 | ||
Luxembourg — 0.0% | ||||
Altice Financing SA | ||||
5.75%, 08/15/29 144A Δ | 250,000 | 193,925 | ||
ArcelorMittal SA | ||||
6.55%, 11/29/27 | 600,000 | 615,774 | ||
7.00%, 10/15/39Δ | 85,000 | 88,847 | ||
898,546 | ||||
Mexico — 1.2% | ||||
Mexican Bonos | ||||
7.75%, 11/23/34(M) | 15,250,000 | 832,349 | ||
7.75%, 11/13/42(M) | 259,825,200 | 13,625,682 | ||
8.00%, 11/07/47(M) | 43,320,000 | 2,314,179 | ||
Mexico City Airport Trust | ||||
3.88%, 04/30/28 144A | 360,000 | 339,791 | ||
Mexico Government International Bond | ||||
2.66%, 05/24/31 | 760,000 | 633,691 | ||
4.75%, 04/27/32 | 2,300,000 | 2,197,057 | ||
3.50%, 02/12/34 | 2,011,000 | 1,689,380 | ||
6.35%, 02/09/35 | 430,000 | 453,130 | ||
4.28%, 08/14/41 | 200,000 | 165,033 | ||
6.34%, 05/04/53 | 200,000 | 204,232 | ||
3.77%, 05/24/61 | 702,000 | 479,059 | ||
Orbia Advance Corporation SAB de CV | ||||
1.88%, 05/11/26 144A | 350,000 | 313,950 | ||
2.88%, 05/11/31 144A | 520,000 | 413,252 | ||
Petroleos Mexicanos | ||||
6.88%, 08/04/26 | 200,000 | 186,950 | ||
6.38%, 01/23/45Δ | 370,000 | 227,623 | ||
6.75%, 09/21/47 | 19,000 | 11,949 | ||
24,087,307 | ||||
Netherlands — 0.8% | ||||
ABN AMRO Bank NV | ||||
4.75%, 07/28/25 144A | 200,000 | 193,076 | ||
Cooperatieve Rabobank UA | ||||
4.38%, 08/04/25 | 670,000 | 647,007 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.00%), 1.34%, 06/24/26 144A ^ | 810,000 | 741,110 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.22%), 3.65%, 04/06/28 144A ^ | 280,000 | 259,524 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.75%), 4.66%, 08/22/28 144A ^ | 2,300,000 | 2,203,130 |
Par | Value | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.42%), 3.76%, 04/06/33 144A ^ | $ 270,000 | $ 234,795 | ||
Deutsche Telekom International Finance BV | ||||
8.75%, 06/15/30 | 35,000 | 41,940 | ||
Enel Finance International NV | ||||
1.88%, 07/12/28 144A | 1,150,000 | 965,531 | ||
5.00%, 06/15/32 144A | 1,200,000 | 1,135,305 | ||
ING Groep NV | ||||
4.63%, 01/06/26 144A | 1,600,000 | 1,561,136 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.10%), 1.40%, 07/01/26 144A ^ | 1,000,000 | 910,994 | ||
JDE Peet's NV | ||||
1.38%, 01/15/27 144A | 475,000 | 412,374 | ||
MEGlobal BV | ||||
4.25%, 11/03/26 144A | 520,000 | 499,757 | ||
NXP BV | ||||
2.70%, 05/01/25 | 1,870,000 | 1,773,146 | ||
3.88%, 06/18/26 | 1,500,000 | 1,441,524 | ||
3.40%, 05/01/30 | 250,000 | 221,365 | ||
2.50%, 05/11/31 | 200,000 | 163,101 | ||
Petrobras Global Finance BV | ||||
6.00%, 01/27/28 | 600,000 | 599,457 | ||
6.85%, 06/05/15π | 550,000 | 479,022 | ||
Prosus NV | ||||
3.68%, 01/21/30 144A | 200,000 | 169,898 | ||
3.06%, 07/13/31 144A Δ | 1,120,000 | 876,112 | ||
4.03%, 08/03/50 144A | 220,000 | 138,395 | ||
3.83%, 02/08/51 144A | 420,000 | 258,293 | ||
Shell International Finance BV | ||||
2.88%, 05/10/26 | 245,000 | 233,440 | ||
4.13%, 05/11/35 | 10,000 | 9,296 | ||
4.55%, 08/12/43 | 120,000 | 111,072 | ||
4.38%, 05/11/45 | 660,000 | 595,771 | ||
4.00%, 05/10/46 | 330,000 | 280,727 | ||
3.25%, 04/06/50Δ | 310,000 | 230,995 | ||
17,387,293 | ||||
New Zealand — 0.0% | ||||
ASB Bank, Ltd. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.25%), 5.28%, 06/17/32 144A ^ | 600,000 | 576,320 | ||
Norway — 0.0% | ||||
Aker BP ASA | ||||
2.00%, 07/15/26 144A | 438,000 | 393,543 | ||
Panama — 0.1% | ||||
Panama Government International Bond | ||||
2.25%, 09/29/32 | 890,000 | 682,333 | ||
6.40%, 02/14/35 | 600,000 | 627,198 |
Par | Value | |||
4.50%, 04/16/50 | $ 250,000 | $ 194,370 | ||
1,503,901 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
3.85%, 06/28/33 144A Δ | 240,000 | 208,900 | ||
Peru — 0.0% | ||||
Peruvian Government International Bond | ||||
2.78%, 01/23/31 | 320,000 | 274,355 | ||
5.63%, 11/18/50Δ | 330,000 | 341,520 | ||
2.78%, 12/01/60 | 10,000 | 6,141 | ||
3.23%, 07/28/21~ | 50,000 | 30,388 | ||
652,404 | ||||
Qatar — 0.1% | ||||
Qatar Government International Bond | ||||
3.38%, 03/14/24 144A | 560,000 | 552,022 | ||
5.10%, 04/23/48Δ | 1,000,000 | 998,366 | ||
QatarEnergy | ||||
3.13%, 07/12/41 144A | 200,000 | 153,450 | ||
3.30%, 07/12/51 144A | 200,000 | 147,217 | ||
1,851,055 | ||||
Romania — 0.2% | ||||
Romanian Government International Bond | ||||
3.00%, 02/27/27 144A | 2,320,000 | 2,105,806 | ||
3.62%, 05/26/30(E) 144A | 250,000 | 239,718 | ||
3.00%, 02/14/31 144A | 130,000 | 108,075 | ||
2.00%, 01/28/32(E) 144A | 70,000 | 56,272 | ||
2.00%, 04/14/33(E) | 2,400,000 | 1,854,586 | ||
3.38%, 01/28/50(E) 144A | 60,000 | 41,153 | ||
3.38%, 01/28/50(E) | 70,000 | 48,012 | ||
4,453,622 | ||||
Russia — 0.1% | ||||
Russian Federal Bond - OFZ | ||||
7.75%, 09/16/26(Q) | 9,710,000 | 56,795 | ||
8.15%, 02/03/27(Q) | 87,410,000 | 511,275 | ||
7.05%, 01/19/28(Q) | 110,471,000 | 646,163 | ||
6.90%, 05/23/29(Q) | 265,037,000 | 177,679 | ||
7.25%, 05/10/34(Q) | 48,570,000 | 195,365 | ||
7.70%, 03/16/39(Q) | 135,260,000 | 544,063 | ||
2,131,340 | ||||
Saudi Arabia — 0.1% | ||||
Greensaif Pipelines Bidco S.a.r.l. | ||||
6.13%, 02/23/38 144A | 200,000 | 204,569 | ||
Saudi Arabian Oil Co. | ||||
3.50%, 04/16/29 | 1,130,000 | 1,042,854 | ||
1,247,423 | ||||
Singapore — 0.0% | ||||
Flex, Ltd. | ||||
4.88%, 06/15/29 | 40,000 | 38,281 | ||
Greenko Power II, Ltd. | ||||
4.30%, 12/13/28 144A Δ | 185,500 | 161,694 | ||
199,975 |
Par | Value | |||
South Africa — 0.0% | ||||
Republic of South Africa Government International Bond | ||||
4.30%, 10/12/28 | $ 280,000 | $ 248,010 | ||
5.88%, 04/20/32 | 360,000 | 319,649 | ||
7.30%, 04/20/52 | 370,000 | 311,976 | ||
879,635 | ||||
South Korea — 0.0% | ||||
Export-Import Bank of Korea | ||||
5.00%, 01/11/28 | 240,000 | 240,830 | ||
5.13%, 01/11/33 | 200,000 | 205,181 | ||
Korea Hydro & Nuclear Power Co., Ltd. | ||||
4.25%, 07/27/27 144A | 250,000 | 242,448 | ||
688,459 | ||||
Spain — 0.1% | ||||
Banco Santander SA | ||||
2.75%, 05/28/25 | 1,400,000 | 1,315,116 | ||
3.31%, 06/27/29 | 400,000 | 356,707 | ||
2.75%, 12/03/30 | 200,000 | 156,939 | ||
Telefonica Emisiones SA | ||||
5.21%, 03/08/47 | 400,000 | 348,202 | ||
2,176,964 | ||||
Supranational — 0.1% | ||||
African Export-Import Bank (The) | ||||
3.80%, 05/17/31 144A | 250,000 | 201,524 | ||
Asian Development Bank | ||||
6.55%, 01/26/25(S) | 34,000,000 | 1,730,810 | ||
1,932,334 | ||||
Switzerland — 0.8% | ||||
Credit Suisse AG | ||||
6.50%, 08/08/23 144A | 225,000 | 224,181 | ||
7.95%, 01/09/25 | 740,000 | 755,388 | ||
2.95%, 04/09/25 | 665,000 | 625,302 | ||
7.50%, 02/15/28 | 890,000 | 946,277 | ||
Credit Suisse Group AG | ||||
(Variable, U.S. SOFR + 1.56%), 2.59%, 09/11/25 144A ^ | 677,000 | 645,577 | ||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 610,000 | 559,673 | ||
(Variable, U.S. SOFR Index + 0.98%), 1.31%, 02/02/27 144A ^ | 400,000 | 350,467 | ||
4.28%, 01/09/28 144A | 1,800,000 | 1,665,001 | ||
(Variable, ICE LIBOR USD 3M + 1.41%), 3.87%, 01/12/29 144A ^ | 425,000 | 384,579 | ||
(Variable, U.S. SOFR + 3.73%), 4.19%, 04/01/31 144A ^ | 630,000 | 561,066 | ||
(Variable, U.S. SOFR + 1.73%), 3.09%, 05/14/32 144A ^ | 755,000 | 611,055 | ||
(Variable, U.S. SOFR + 3.92%), 6.54%, 08/12/33 144A ^ | 3,900,000 | 3,997,554 | ||
(Variable, U.S. SOFR + 5.02%), 9.02%, 11/15/33 144A ^ | 700,000 | 839,569 | ||
UBS AG | ||||
4.50%, 06/26/48 144A | 280,000 | 254,297 |
Par | Value | |||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | $ 840,000 | $ 813,245 | ||
4.55%, 04/17/26Δ | 1,390,000 | 1,336,913 | ||
4.25%, 03/23/28 144A | 760,000 | 706,008 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.40%), 4.99%, 08/05/33 144A ^ | 600,000 | 556,244 | ||
15,832,396 | ||||
United Arab Emirates — 0.0% | ||||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | 620,000 | 580,447 | ||
United Kingdom — 1.1% | ||||
Anglo American Capital PLC | ||||
3.63%, 09/11/24 144A | 700,000 | 680,613 | ||
4.00%, 09/11/27 144A | 220,000 | 207,038 | ||
Barclays PLC | ||||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 800,000 | 749,672 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 3.05%), 7.33%, 11/02/26Δ ^ | 525,000 | 536,972 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 3.30%), 7.39%, 11/02/28Δ ^ | 1,000,000 | 1,042,479 | ||
(Variable, ICE LIBOR USD 3M + 1.90%), 4.97%, 05/16/29Δ ^ | 1,760,000 | 1,664,847 | ||
(Variable, ICE LIBOR USD 3M + 3.05%), 5.09%, 06/20/30^ | 1,450,000 | 1,319,858 | ||
BP Capital Markets PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.40%), 4.88%, 03/22/30ρ ^ | 650,000 | 592,881 | ||
British Telecommunications PLC | ||||
9.63%, 12/15/30 | 30,000 | 36,932 | ||
CK Hutchison International 23, Ltd. | ||||
4.75%, 04/21/28 144A | 200,000 | 197,876 | ||
Hammerson PLC REIT | ||||
3.50%, 10/27/25(U) | 100,000 | 110,511 | ||
HSBC Holdings PLC | ||||
(Variable, CME Term SOFR 3M + 1.47%), 3.80%, 03/11/25^ | 625,000 | 612,964 | ||
4.25%, 08/18/25 | 220,000 | 211,396 | ||
(Variable, U.S. SOFR + 1.54%), 1.65%, 04/18/26^ | 225,000 | 207,356 | ||
(Variable, U.S. SOFR + 1.93%), 2.10%, 06/04/26^ | 370,000 | 342,574 | ||
(Variable, U.S. SOFR + 1.97%), 6.16%, 03/09/29^ | 2,650,000 | 2,675,074 | ||
(Variable, CME Term SOFR 3M + 1.80%), 4.58%, 06/19/29^ | 310,000 | 292,027 | ||
4.95%, 03/31/30 | 200,000 | 197,106 | ||
(Variable, U.S. SOFR + 1.41%), 2.87%, 11/22/32^ | 440,000 | 355,077 | ||
(Variable, U.S. SOFR + 2.53%), 4.76%, 03/29/33^ | 580,000 | 523,847 |
Par | Value | |||
(Variable, U.S. SOFR + 2.39%), 6.25%, 03/09/34^ | $ 800,000 | $ 820,490 | ||
6.50%, 09/15/37 | 120,000 | 125,798 | ||
6.10%, 01/14/42 | 25,000 | 26,503 | ||
Lloyds Bank PLC | ||||
0.00%, 04/02/32 STEP | 2,000,000 | 1,254,088 | ||
Lloyds Banking Group PLC | ||||
3.90%, 03/12/24 | 210,000 | 206,760 | ||
4.38%, 03/22/28Δ | 2,400,000 | 2,278,080 | ||
4.55%, 08/16/28Δ | 230,000 | 217,801 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.70%), 5.87%, 03/06/29^ | 600,000 | 595,638 | ||
Nationwide Building Society | ||||
4.85%, 07/27/27 144A | 650,000 | 629,830 | ||
NatWest Group PLC | ||||
(Variable, ICE LIBOR USD 3M + 1.76%), 4.27%, 03/22/25^ | 1,215,000 | 1,193,766 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.85%), 7.47%, 11/10/26^ | 600,000 | 614,009 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.10%), 3.75%, 11/01/29^ | 200,000 | 187,828 | ||
Royalty Pharma PLC | ||||
3.30%, 09/02/40 | 15,000 | 10,690 | ||
3.55%, 09/02/50Δ | 10,000 | 6,762 | ||
Santander UK Group Holdings PLC | ||||
(Variable, U.S. SOFR + 2.75%), 6.83%, 11/21/26^ | 300,000 | 300,855 | ||
(Variable, U.S. SOFR + 1.48%), 2.90%, 03/15/32^ | 1,200,000 | 971,248 | ||
Society of Lloyd's | ||||
4.75%, 10/30/24(U) | 100,000 | 123,115 | ||
Virgin Media Secured Finance PLC | ||||
5.50%, 05/15/29 144A | 210,000 | 190,154 | ||
Vmed O2 UK Financing I PLC | ||||
4.75%, 07/15/31 144A | 220,000 | 183,164 | ||
22,493,679 | ||||
Uruguay — 0.0% | ||||
Uruguay Government International Bond | ||||
4.38%, 01/23/31 | 90,000 | 88,885 | ||
Total Foreign Bonds (Cost $242,107,923) | 215,539,214 | |||
LOAN AGREEMENTS — 0.9% | ||||
Acrisure LLC 2021-2 Additional Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 0.50% Floor), 9.44%, 02/15/27† | 198,990 | 195,425 | ||
Ali Group North America Corporation Initial Tranche B Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.00%), 7.22%, 07/30/29† | 126,333 | 126,475 |
Par | Value | |||
AmWINS Group, Inc. February 2023 Incremental Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.75%, 0.75% Floor), 7.95%, 02/19/28† | $129,350 | $129,202 | ||
APi Group DE, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.50%), 7.72%, 10/01/26† | 196,895 | 197,401 | ||
Apple Bidco LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.75%, 0.50% Floor), 7.97%, 09/22/28† | 228,838 | 227,244 | ||
Ascend Performance Materials Operations LLC 2021 Refinancing Term Loan | ||||
(Floating, ICE CME Term SOFR USD 6M + 4.75%, 0.75% Floor), 9.71%, 08/27/26† | 592,405 | 581,851 | ||
Asurion LLC New B-11 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 4.25%), 9.45%, 08/19/28† | 259,103 | 247,039 | ||
Asurion LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 8.79%, 07/31/27† | 234,600 | 222,394 | ||
athenahealth Group, Inc. Initial DDTL | ||||
0, 0.00%, 02/15/29† ≈ | 114,130 | 110,136 | ||
athenahealth Group, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.50%, 0.50% Floor), 8.59%, 02/15/29† | 926,700 | 894,266 | ||
Avolon TLB Borrower 1 LLC Term B-5 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.25%, 0.50% Floor), 7.40%, 12/01/27† | 175,500 | 175,487 | ||
Bombardier Recreational Products, Inc. 2022-2 Incremental Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.50%, 0.50% Floor), 8.60%, 12/13/29† | 248,750 | 249,178 | ||
Brown Group Holding LLC Incremental Term B-2 Facility | ||||
(Floating, ICE CME Term SOFR USD 3M + 3.75%, 0.50% Floor), 8.80%, 07/02/29† | 430,495 | 430,187 | ||
(Floating, ICE CME Term SOFR USD 3M + 3.75%, 0.50% Floor), 8.85%, 07/02/29† | 14,879 | 14,869 | ||
(Floating, ICE CME Term SOFR USD 3M + 3.75%, 0.50% Floor), 9.01%, 07/02/29† | 150,126 | 150,019 | ||
Brown Group Holding LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.50%, 0.50% Floor), 7.70%, 06/07/28† | 314,007 | 309,656 |
Par | Value | |||
Cast & Crew LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%), 8.69%, 02/09/26† | $247,416 | $243,937 | ||
Castlelake Aviation One Designated Activity Co. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.50% Floor), 8.30%, 10/22/26† | 136,711 | 136,299 | ||
Charter Communications Operating LLC Term B-1 Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 1.75%), 6.80%, 04/30/25† | 897,942 | 898,503 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 1.75%), 6.80%, 02/01/27† | 126,389 | 125,783 | ||
Citadel Securities LP 2021 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.50%), 7.72%, 02/02/28† | 872,768 | 872,633 | ||
Clarios Global LP 2023 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%), 8.85%, 05/06/30† | 170,000 | 169,814 | ||
Cloudera, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%, 0.50% Floor), 8.95%, 10/08/28† | 217,250 | 212,566 | ||
Coherent Corporation Initial Term B Loan | ||||
0, 0.00%, 07/02/29† Σ | 20,313 | 20,306 | ||
(Floating, ICE CME Term SOFR USD 1M + 2.75%, 0.50% Floor), 7.97%, 07/02/29† | 456,346 | 456,205 | ||
CP Atlas Buyer, Inc. Term B Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%, 0.50% Floor), 8.95%, 11/23/27† | 149,257 | 140,898 | ||
DCert Buyer, Inc. Initial Term Loan | ||||
0, 0.00%, 10/16/26† Σ | 300,000 | 297,891 | ||
(Floating, ICE CME Term SOFR USD 3M + 4.00%), 9.26%, 10/16/26† | 424,927 | 421,940 | ||
Emrld Borrower LP Initial Term B Loan | ||||
0, 0.00%, 05/31/30† Σ | 370,000 | 370,462 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.25%, 0.50% Floor), 7.44%, 12/22/27† | 117,483 | 117,043 | ||
EyeCare Partners LLC Amendment No. 1 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 3.75%, 0.50% Floor), 9.25%, 11/15/28† | 592,500 | 430,798 |
Par | Value | |||
EyeCare Partners LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 3.75%), 9.25%, 02/18/27† | $ 397,319 | $ 295,144 | ||
First Brands Group LLC 2021 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 6M + 5.00%, 1.00% Floor), 10.25%, 03/30/27† | 592,424 | 581,503 | ||
Focus Financial Partners LLC Tranche B-5 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.25%, 0.50% Floor), 8.35%, 06/30/28† | 84,321 | 83,817 | ||
Gen Digital, Inc. Initial Tranche B Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.00%, 0.50% Floor), 7.20%, 09/12/29† | 677,048 | 674,513 | ||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 2.00%), 7.34%, 12/30/26† | 706,375 | 706,558 | ||
Global Medical Response, Inc. 2021 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 9.44%, 10/02/25† | 590,792 | 335,274 | ||
Harbor Freight Tools U.S.A., Inc. Initial Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.75%, 0.50% Floor), 7.97%, 10/19/27† | 749,258 | 740,361 | ||
Hilton Worldwide Finance LLC Refinanced Series B-2 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 1.75%), 6.94%, 06/22/26† | 710,000 | 710,252 | ||
HV Eight LLC Loan | ||||
(Floating, ICE USD CHECK + 3.50%, 1.00% Floor), 6.42%, 12/22/25(E) † | 700,000 | 763,840 | ||
Medline Borrower LP Initial Dollar Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.25%, 0.50% Floor), 8.35%, 10/23/28† | 628,409 | 621,927 | ||
Mileage Plus Holdings LLC Initial Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 5.25%, 1.00% Floor), 10.76%, 06/21/27† | 1,206,400 | 1,255,410 | ||
New Trojan Parent, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.25%), 8.46%, 01/06/28† | 446,452 | 252,107 | ||
(Floating, ICE CME Term SOFR USD 1M + 3.25%), 8.47%, 01/06/28† | 47,251 | 26,682 | ||
Nexstar Media, Inc. Term B-4 Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.50%), 7.72%, 09/18/26† | 252,471 | 252,515 |
Par | Value | |||
Peraton Corporation Term B Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%, 0.75% Floor), 8.95%, 02/01/28† | $ 708,155 | $ 697,154 | ||
QUIKRETE Holdings, Inc. B-1 Fourth Amendment Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.00%), 8.22%, 03/19/29† | 358,186 | 358,983 | ||
Rackspace Technology Global, Inc. 2021 Term B Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.75%, 0.75% Floor), 8.00%, 02/15/28† | 125,880 | 58,423 | ||
Setanta Aircraft Leasing DAC Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.00%), 7.54%, 11/05/28† | 680,000 | 680,911 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 8.05%, 04/29/26† | 336,389 | 336,411 | ||
USIC Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 3.50%, 0.75% Floor), 8.69%, 05/12/28† | 296,226 | 281,662 | ||
Verscend Holding Corporation Term B-1 Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 4.00%), 9.22%, 08/27/25† | 204,732 | 204,924 | ||
VFH Parent LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.00%, 0.50% Floor), 8.19%, 01/13/29† | 277,200 | 276,637 | ||
Total Loan Agreements (Cost $20,066,202) | 19,370,915 | |||
MORTGAGE-BACKED SECURITIES — 43.9% | ||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.88%, 0.88% Floor), 6.06%, 09/15/34 144A † | 1,510,000 | 1,465,656 | ||
3650R Commercial Mortgage Trust, Series 2021-PF1, Class AS | ||||
2.78%, 11/15/54 | 750,000 | 586,485 | ||
Alba PLC, Series 2007-1, Class A3 | ||||
(Floating, SONIA Interest Rate + 0.29%), 5.19%, 03/17/39(U) † | 426,778 | 517,682 | ||
Alternative Loan Trust, Series 2006-OA11, Class A1B | ||||
(Floating, ICE LIBOR USD 1M + 0.38%, 0.38% Floor), 5.53%, 09/25/46† | 154,210 | 144,257 | ||
Angel Oak Mortgage Trust, Series 2023-1, Class A1 | ||||
(Step to 4.83% on 02/25/27), 4.75%, 09/26/67 144A STEP | 1,151,475 | 1,101,723 | ||
Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5 | ||||
2.76%, 05/15/53 144A | 1,300,000 | 1,111,723 |
Par | Value | |||
AREIT LLC, Series 2022-CRE7, Class A | ||||
(Floating, CME Term SOFR 1M + 2.24%, 2.24% Floor), 7.33%, 06/17/39 144A † | $1,440,000 | $1,438,697 | ||
AREIT Trust, Series 2021-CRE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 6.24%, 11/17/38 144A † | 1,860,340 | 1,823,725 | ||
Atlas Funding PLC, Series 2021-1, Class A | ||||
(Floating, SONIA Interest Rate + 0.90%), 5.43%, 07/25/58(U) † | 1,323,254 | 1,681,228 | ||
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A | ||||
2.63%, 01/15/32 144A | 2,000,000 | 1,610,215 | ||
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 6.24%, 09/15/38 144A † | 2,300,000 | 2,099,525 | ||
Banc of America Funding Trust, Series 2005-D, Class A1 | ||||
4.38%, 05/25/35† γ | 182,505 | 169,838 | ||
Banc of America Mortgage Trust, Series 2004-F, Class 1A1 | ||||
5.27%, 07/25/34† γ | 17,926 | 16,485 | ||
BANK, Series 2017-BNK9, Class XA | ||||
0.91%, 11/15/54† IO γ | 7,901,529 | 196,745 | ||
BANK, Series 2019-BNK19, Class D | ||||
3.00%, 08/15/61 144A | 100,000 | 40,425 | ||
BANK, Series 2022-BNK40, Class A4 | ||||
3.51%, 03/15/64† γ | 2,100,000 | 1,831,298 | ||
BANK, Series 2022-BNK43, Class A5 | ||||
4.40%, 08/15/55 | 1,000,000 | 939,372 | ||
BANK, Series 2022-BNK44, Class A5 | ||||
5.94%, 11/15/55† γ | 290,000 | 301,156 | ||
BANK, Series 2023-5YR2, Class A3 | ||||
6.66%, 06/15/28 | 1,400,000 | 1,445,931 | ||
BBCCRE Trust, Series 2015-GTP, Class A | ||||
3.97%, 08/10/33 144A | 1,600,000 | 1,481,674 | ||
BBCCRE Trust, Series 2015-GTP, Class D | ||||
4.71%, 08/10/33 144A † γ | 390,000 | 306,304 | ||
BBCMS Mortgage Trust, Series 2018-C2, Class A5 | ||||
4.31%, 12/15/51 | 1,700,000 | 1,602,310 | ||
BBCMS Mortgage Trust, Series 2020-C6, Class ASB | ||||
2.60%, 02/15/53 | 1,800,000 | 1,618,737 |
Par | Value | |||
BBCMS Mortgage Trust, Series 2021-C9, Class A5 | ||||
2.30%, 02/15/54 | $ 600,000 | $ 487,779 | ||
BBCMS Mortgage Trust, Series 2022-C17, Class AS | ||||
4.97%, 09/15/55 | 850,000 | 801,305 | ||
BBCMS Mortgage Trust, Series 2023-C20, Class A5 | ||||
5.58%, 07/15/56 | 1,000,000 | 1,031,297 | ||
Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 | ||||
4.19%, 05/25/35† γ | 68,844 | 65,110 | ||
Bear Stearns ARM Trust, Series 2002-11, Class 1A1 | ||||
4.48%, 02/25/33† γ | 2,013 | 1,996 | ||
Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1 | ||||
4.07%, 01/26/36† γ | 183,426 | 131,821 | ||
Bellemeade Re, Ltd., Series 2021-2A, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 1.50%, 1.50% Floor), 6.57%, 06/25/31 144A † | 310,000 | 306,465 | ||
Benchmark Mortgage Trust, Series 2018-B3, Class A5 | ||||
4.03%, 04/10/51 | 420,000 | 388,509 | ||
Benchmark Mortgage Trust, Series 2019-B9, Class A5 | ||||
4.02%, 03/15/52 | 1,800,000 | 1,636,273 | ||
Benchmark Mortgage Trust, Series 2020-B20, Class XA | ||||
1.73%, 10/15/53† IO γ | 3,474,434 | 249,628 | ||
Benchmark Mortgage Trust, Series 2021-B28, Class XA | ||||
1.39%, 08/15/54† IO γ | 3,842,006 | 268,287 | ||
Benchmark Mortgage Trust, Series 2023-B38, Class A4 | ||||
5.52%, 04/15/56 | 300,000 | 305,600 | ||
BMO Mortgage Trust, Series 2023-C4, Class A5 | ||||
5.12%, 02/15/56 | 1,250,000 | 1,237,787 | ||
BMO Mortgage Trust, Series 2023-C5, Class A5 | ||||
5.77%, 06/15/56 | 1,200,000 | 1,245,778 | ||
BRAVO Residential Funding Trust, Series 2022-NQM3, Class A1 | ||||
5.11%, 07/25/62 144A † γ | 281,631 | 272,119 | ||
BWAY Mortgage Trust, Series 2021-1450, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 6.44%, 09/15/36 144A † | 2,300,000 | 2,222,924 | ||
BX Commercial Mortgage Trust, Series 2019-XL, Class F | ||||
(Floating, CME Term SOFR 1M + 2.11%, 2.00% Floor), 7.26%, 10/15/36 144A † | 1,249,500 | 1,230,228 |
Par | Value | |||
BX Commercial Mortgage Trust, Series 2021-21M, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.73%, 0.73% Floor), 5.92%, 10/15/36 144A † | $1,713,527 | $1,661,442 | ||
BX Commercial Mortgage Trust, Series 2021-VOLT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.65% Floor), 6.84%, 09/15/36 144A † | 1,350,000 | 1,279,452 | ||
BX Trust, Series 2023-DELC, Class B | ||||
(Floating, CME Term SOFR 1M + 3.34%, 3.34% Floor), 8.34%, 05/15/38 144A † | 500,000 | 500,119 | ||
Cantor Commercial Real Estate Lending, Series 2019-CF1, Class A2 | ||||
3.62%, 05/15/52 | 630,000 | 597,573 | ||
CFMT LLC Series 2022-HB9, Class A | ||||
3.25%, 09/25/37 144A | 1,197,407 | 1,103,506 | ||
CFMT LLC, Series 2022-HB8, Class M2 | ||||
3.75%, 04/25/25 144A | 2,500,000 | 2,293,190 | ||
CHL Mortgage Pass-Through Trust, Series 2003-58, Class 2A2 | ||||
4.28%, 02/19/34† γ | 114,342 | 110,705 | ||
CIM Trust, Series 2023-R4, Class A1 | ||||
5.00%, 05/25/62 144A † γ | 656,884 | 641,079 | ||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class B | ||||
4.18%, 07/10/47 | 370,000 | 340,924 | ||
Citigroup Commercial Mortgage Trust, Series 2019-GC41, Class A5 | ||||
2.87%, 08/10/56 | 1,450,000 | 1,246,742 | ||
Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.18%, 1.18% Floor), 6.37%, 10/15/36 144A † | 2,300,000 | 2,254,279 | ||
Citigroup Commercial Mortgage Trust, Series 2023-PRM3, Class A | ||||
6.36%, 07/10/28 144A † γ | 900,000 | 916,513 | ||
Citigroup Mortgage Loan Trust, Series 2022-A, Class A1 | ||||
(Step to 9.17% on 09/25/25), 6.17%, 09/25/62 144A STEP | 1,122,451 | 1,103,810 | ||
Cold Storage Trust, Series 2020-ICE5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 6.09%, 11/15/37 144A † | 648,774 | 638,347 | ||
COMM Mortgage Trust, Series 2013-CR12, Class AM | ||||
4.30%, 10/10/46 | 50,000 | 44,089 | ||
COMM Mortgage Trust, Series 2013-CR12, Class B | ||||
4.76%, 10/10/46 | 40,000 | 30,300 |
Par | Value | |||
COMM Mortgage Trust, Series 2013-CR12, Class C | ||||
5.20%, 10/10/46† γ | $ 20,000 | $ 9,973 | ||
COMM Mortgage Trust, Series 2013-CR6, Class B | ||||
3.40%, 03/10/46 144A | 182,827 | 162,419 | ||
COMM Mortgage Trust, Series 2014-277P, Class A | ||||
3.73%, 08/10/49 144A † γ | 160,000 | 150,453 | ||
COMM Mortgage Trust, Series 2014-UBS6, Class A5 | ||||
3.64%, 12/10/47 | 2,400,000 | 2,294,869 | ||
COMM Mortgage Trust, Series 2015-CR22, Class A4 | ||||
3.05%, 03/10/48 | 450,000 | 429,991 | ||
COMM Mortgage Trust, Series 2015-DC1, Class C | ||||
4.44%, 02/10/48† γ | 80,000 | 68,841 | ||
COMM Mortgage Trust, Series 2020-CX, Class B | ||||
2.45%, 11/10/46 144A | 1,060,000 | 831,920 | ||
Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.40%), 7.55%, 04/25/31 144A † | 21,338 | 21,407 | ||
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 7.45%, 08/25/31 144A † | 5,835 | 5,835 | ||
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.10%), 9.25%, 09/25/31 144A † | 930,000 | 974,918 | ||
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.10%), 9.25%, 07/25/39 144A † | 902,056 | 927,204 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.55%), 6.62%, 10/25/41 144A † | 589,000 | 577,564 | ||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 6.72%, 12/25/41 144A † | 245,000 | 237,299 | ||
Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.00%), 8.07%, 01/25/42 144A † | 430,000 | 426,627 |
Par | Value | |||
Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.90%), 8.97%, 04/25/43 144A † | $ 99,179 | $ 101,330 | ||
Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.10%, 3.10% Floor), 8.17%, 06/25/43 144A † | 510,000 | 511,913 | ||
CRSNT Trust, Series 2021-MOON, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 6.02%, 04/15/36 144A † | 2,500,000 | 2,335,526 | ||
CSAIL Commercial Mortgage Trust, Series 2021-C20, Class A3 | ||||
2.80%, 03/15/54 | 800,000 | 661,390 | ||
CSMC Trust, Series 2010-16, Class B9 | ||||
3.84%, 06/25/50 144A † γ | 1,955,669 | 1,597,189 | ||
CSMC Trust, Series 2018-J1, Class A2 | ||||
3.50%, 02/25/48 144A † γ | 900,076 | 798,733 | ||
CSMC Trust, Series 2020-RPL5, Class A1 | ||||
3.02%, 08/25/60 144A † γ | 601,247 | 586,250 | ||
CSMC Trust, Series 2021-JR2, Class A1 | ||||
2.22%, 11/25/61 144A † γ | 943,921 | 900,017 | ||
CSMC Trust, Series 2022-RPL4, Class A1 | ||||
3.90%, 04/25/62 144A † γ | 756,390 | 695,222 | ||
CSMC, Series 2017-TIME, Class A | ||||
3.65%, 11/13/39 144A | 530,000 | 448,578 | ||
CSMC, Series 2020-FACT, Class D | ||||
(Floating, ICE LIBOR USD 1M + 3.71%, 3.71% Floor), 8.90%, 10/15/37 144A † | 670,000 | 620,407 | ||
CSMC, Series 2020-NET, Class A | ||||
2.26%, 08/15/37 144A | 1,954,638 | 1,751,062 | ||
CSMC, Series 2020-NET, Class B | ||||
2.82%, 08/15/37 144A | 650,000 | 576,860 | ||
CSMC, Series 2021-ADV, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.40%, 1.40% Floor), 6.59%, 07/15/38 144A † | 2,600,000 | 2,334,445 | ||
CSMC, Series 2021-NQM4, Class A1 | ||||
1.10%, 05/25/66 144A | 1,372,452 | 1,108,491 | ||
CSMC, Series 2021-NQM8, Class A1 | ||||
1.84%, 10/25/66 144A † γ | 286,439 | 236,550 | ||
CSWF, Series 2021-SOP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.97%, 0.97% Floor), 6.16%, 06/15/34 144A † | 1,551,053 | 1,395,462 | ||
DBJPM Mortgage Trust, Series 2016-C3, Class A4 | ||||
2.63%, 08/10/49 | 244,091 | 223,256 | ||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 3A1 | ||||
3.89%, 02/25/36† γ | 486,141 | 346,711 |
Par | Value | |||
DOLP Trust, Series 2021-NYC, Class A | ||||
2.96%, 05/10/41 144A | $3,400,000 | $2,671,563 | ||
EFMT, Series 2023-1, Class A2 | ||||
(Step to 6.90% on 02/25/27), 6.24%, 02/25/68 144A STEP | 1,246,390 | 1,237,124 | ||
Ellington Financial Mortgage Trust, Series 2021-2, Class A3 | ||||
1.29%, 06/25/66 144A | 987,973 | 778,484 | ||
ELP Commercial Mortgage Trust, Series 2021-ELP, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 5.90%, 11/15/38 144A † | 840,000 | 816,266 | ||
EQUS Mortgage Trust, Series 2021-EQAZ, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.75%, 0.76% Floor), 5.95%, 10/15/38 144A † | 1,099,978 | 1,069,654 | ||
Eurohome UK Mortgages PLC, Series 2007-1, Class A | ||||
(Floating, ICE LIBOR GBP 3M + 0.15%), 5.14%, 06/15/44(U) † | 739,423 | 915,253 | ||
Extended Stay America Trust, Series 2021-ESH, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor), 6.27%, 07/15/38 144A † | 6,457,044 | 6,337,173 | ||
Federal Home Loan Mortgage Corporation | ||||
8.00%, 08/01/24 | 98 | 98 | ||
5.50%, 02/01/27 | 5,489 | 5,473 | ||
4.50%, 10/01/29 | 572 | 562 | ||
7.50%, 11/01/29 | 1,279 | 1,318 | ||
7.50%, 12/01/29 | 1,464 | 1,512 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.23%, 2.23% Floor, 11.36% Cap), 4.23%, 07/01/31† | 1,936 | 1,906 | ||
7.50%, 11/01/31 | 5,963 | 5,952 | ||
(Floating, ICE LIBOR USD 1Y + 1.98%, 1.98% Floor, 10.60% Cap), 5.35%, 04/01/32† | 189 | 185 | ||
4.00%, 09/01/32 | 100,000 | 95,503 | ||
4.65%, 01/01/33 | 100,000 | 100,575 | ||
3.50%, 08/01/33 | 275,329 | 261,040 | ||
5.00%, 08/01/33 | 1,720 | 1,736 | ||
5.00%, 09/01/33 | 299 | 302 | ||
5.00%, 10/01/33 | 996 | 1,002 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.37%, 2.37% Floor, 9.23% Cap), 4.68%, 03/01/34† | 536 | 520 | ||
5.00%, 12/01/34 | 19,577 | 19,722 | ||
5.50%, 05/01/35 | 32,779 | 32,697 | ||
5.00%, 07/01/35 | 1,376 | 1,388 | ||
5.00%, 11/01/35 | 40,087 | 40,445 | ||
5.50%, 11/01/35 | 7,648 | 7,690 | ||
5.00%, 12/01/35 | 3,925 | 3,949 | ||
5.00%, 02/01/37 | 4,537 | 4,577 | ||
5.50%, 07/01/37 | 9,876 | 10,163 |
Par | Value | |||
3.50%, 01/01/38 | $ 224,766 | $ 212,557 | ||
3.00%, 04/01/38 | 40,622 | 37,428 | ||
5.50%, 04/01/38 | 2,493 | 2,565 | ||
7.00%, 03/01/39 | 5,764 | 6,160 | ||
6.50%, 09/01/39 | 12,153 | 12,725 | ||
1.50%, 11/01/40 | 984,013 | 802,514 | ||
4.00%, 02/01/41 | 14,674 | 14,112 | ||
2.50%, 04/01/41 | 75,689 | 66,611 | ||
1.50%, 05/01/41 | 1,430,893 | 1,164,218 | ||
5.00%, 06/01/41 | 894 | 901 | ||
1.50%, 07/01/41 | 1,111,713 | 903,479 | ||
2.00%, 09/01/41 | 1,028,612 | 876,066 | ||
1.50%, 10/01/41 | 70,473 | 57,178 | ||
2.00%, 10/01/41 | 261,013 | 222,141 | ||
1.50%, 11/01/41 | 17,809 | 14,442 | ||
2.00%, 12/01/41 | 442,095 | 375,981 | ||
2.00%, 01/01/42 | 1,231,702 | 1,047,418 | ||
2.00%, 02/01/42 | 723,369 | 614,957 | ||
2.50%, 03/01/42 | 181,960 | 158,360 | ||
2.00%, 04/01/42 | 1,074,662 | 916,823 | ||
2.00%, 05/01/42 | 97,490 | 82,671 | ||
3.50%, 10/01/42 | 45,749 | 42,638 | ||
4.00%, 10/01/42 | 15,313 | 14,723 | ||
3.50%, 11/01/42 | 100,183 | 93,229 | ||
3.50%, 12/01/42 | 6,498 | 6,054 | ||
3.50%, 01/01/43 | 15,858 | 14,775 | ||
3.50%, 02/01/43 | 76,592 | 71,378 | ||
4.00%, 04/01/43 | 45,770 | 43,901 | ||
3.50%, 05/01/43 | 163,725 | 153,376 | ||
4.00%, 05/01/43 | 22,451 | 21,813 | ||
4.00%, 06/01/43 | 25,989 | 25,211 | ||
4.00%, 07/01/43 | 93,789 | 90,644 | ||
4.00%, 08/01/43 | 37,088 | 35,942 | ||
4.50%, 12/01/43 | 301,512 | 298,631 | ||
3.50%, 02/01/44 | 22,420 | 20,893 | ||
4.50%, 02/01/44 | 220,889 | 218,894 | ||
4.50%, 03/01/44 | 64,717 | 63,636 | ||
3.50%, 03/01/45 | 215,054 | 200,210 | ||
4.00%, 12/01/45 | 117,646 | 112,560 | ||
3.50%, 06/01/46 | 23,485 | 21,881 | ||
4.00%, 09/01/46 | 131,124 | 125,347 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 5Y + 1.29%, 1.29% Floor, 7.19% Cap), 2.11%, 03/01/47† | 308,906 | 290,393 | ||
4.50%, 03/01/47 | 97,397 | 96,002 | ||
3.50%, 04/01/47 | 3,946,318 | 3,658,083 | ||
4.00%, 07/01/47 | 122,970 | 117,451 | ||
4.00%, 08/01/47 | 45,923 | 43,862 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 7.87% Cap), 2.87%, 11/01/47† | 233,922 | 221,409 | ||
3.50%, 03/01/48 | 47,620 | 44,067 | ||
4.00%, 03/01/48 | 28,160 | 26,865 | ||
4.00%, 06/01/48 | 1,071,926 | 1,026,359 | ||
4.50%, 08/01/48 | 537,216 | 527,781 | ||
5.00%, 08/01/48 | 5,549 | 5,538 |
Par | Value | |||
(Floating, ICE LIBOR USD 1Y + 1.63%, 1.63% Floor, 8.01% Cap), 3.01%, 11/01/48† | $ 858,067 | $ 804,221 | ||
3.00%, 02/01/49 | 888,774 | 800,732 | ||
3.50%, 07/01/49 | 98,768 | 91,365 | ||
4.00%, 07/01/49 | 329,492 | 314,580 | ||
3.00%, 09/01/49 | 1,767,118 | 1,579,248 | ||
4.50%, 09/01/49 | 261,975 | 255,548 | ||
3.00%, 11/01/49 | 236,900 | 211,478 | ||
4.50%, 12/01/49 | 384,869 | 374,869 | ||
(Floating, ICE LIBOR USD 1Y + 1.62%, 1.62% Floor, 8.10% Cap), 3.10%, 02/01/50† | 116,596 | 110,536 | ||
4.00%, 03/01/50 | 3,423,561 | 3,268,006 | ||
4.50%, 03/01/50 | 8,079,602 | 7,908,806 | ||
4.50%, 05/01/50 | 189,048 | 183,607 | ||
3.00%, 06/01/50 | 442,626 | 391,565 | ||
2.50%, 07/01/50 | 544,771 | 469,201 | ||
4.00%, 07/01/50 | 97,463 | 93,068 | ||
2.00%, 09/01/50 | 1,413,015 | 1,163,362 | ||
4.50%, 09/01/50 | 514,416 | 502,284 | ||
2.00%, 11/01/50 | 548,299 | 453,007 | ||
2.50%, 11/01/50 | 487,960 | 420,107 | ||
2.50%, 12/01/50 | 594,577 | 509,816 | ||
3.00%, 12/01/50 | 2,562,835 | 2,287,823 | ||
2.00%, 01/01/51 | 2,414,573 | 1,987,839 | ||
4.50%, 01/01/51 | 222,774 | 217,928 | ||
1.50%, 02/01/51 | 256,508 | 199,054 | ||
2.00%, 02/01/51 | 1,087,174 | 898,585 | ||
2.50%, 02/01/51 | 1,102,235 | 941,311 | ||
2.00%, 03/01/51 | 1,384,393 | 1,142,178 | ||
2.00%, 04/01/51 | 301,406 | 250,562 | ||
2.50%, 04/01/51 | 810,713 | 689,138 | ||
2.00%, 05/01/51 | 5,099,856 | 4,189,598 | ||
2.50%, 05/01/51 | 8,395,001 | 7,181,664 | ||
2.50%, 07/01/51 | 608,864 | 518,027 | ||
2.50%, 08/01/51 | 877,637 | 754,087 | ||
2.00%, 09/01/51 | 175,986 | 144,694 | ||
2.50%, 09/01/51 | 1,914,532 | 1,637,523 | ||
2.50%, 10/01/51 | 543,860 | 463,246 | ||
3.00%, 10/01/51 | 184,193 | 163,797 | ||
2.00%, 11/01/51 | 2,828,934 | 2,315,127 | ||
2.50%, 11/01/51 | 2,300,144 | 1,972,963 | ||
3.00%, 11/01/51 | 168,810 | 149,169 | ||
2.50%, 12/01/51 | 87,296 | 74,197 | ||
3.00%, 12/01/51 | 99,990 | 88,530 | ||
2.00%, 01/01/52 | 5,789,880 | 4,736,150 | ||
2.50%, 01/01/52 | 2,073,866 | 1,777,431 | ||
3.00%, 01/01/52 | 90,639 | 80,557 | ||
2.00%, 02/01/52 | 1,019,357 | 833,786 | ||
2.50%, 02/01/52 | 276,550 | 237,583 | ||
3.00%, 02/01/52 | 185,521 | 163,869 | ||
1.50%, 03/01/52 | 472,315 | 365,706 | ||
2.00%, 03/01/52 | 15,618,608 | 12,769,156 | ||
2.50%, 03/01/52 | 181,927 | 156,161 | ||
4.50%, 03/01/52 | 204,354 | 196,566 |
Par | Value | |||
2.50%, 04/01/52 | $3,426,022 | $2,937,972 | ||
3.00%, 04/01/52 | 1,174,466 | 1,038,318 | ||
3.50%, 04/01/52 | 661,209 | 603,586 | ||
4.00%, 04/01/52 | 367,677 | 347,625 | ||
2.50%, 05/01/52 | 93,245 | 79,262 | ||
3.50%, 05/01/52 | 745,807 | 680,874 | ||
5.00%, 05/01/52 | 41,762 | 41,429 | ||
3.00%, 06/01/52 | 958,184 | 844,256 | ||
3.50%, 06/01/52 | 1,650,105 | 1,508,281 | ||
4.00%, 06/01/52 | 1,123,228 | 1,061,504 | ||
4.50%, 06/01/52 | 280,103 | 270,647 | ||
5.00%, 06/01/52 | 955,756 | 949,600 | ||
3.00%, 07/01/52 | 1,771,080 | 1,561,566 | ||
4.00%, 07/01/52 | 192,113 | 181,713 | ||
4.50%, 07/01/52 | 387,761 | 374,766 | ||
5.00%, 07/01/52 | 2,254,757 | 2,234,281 | ||
5.00%, 08/01/52 | 28,943 | 28,662 | ||
4.50%, 10/01/52 | 392,430 | 377,940 | ||
4.50%, 11/01/52 | 1,071,794 | 1,033,450 | ||
5.00%, 11/01/52 | 197,287 | 193,766 | ||
6.00%, 11/01/52 | 1,874,186 | 1,917,493 | ||
2.50%, 12/01/52 | 70,479 | 59,909 | ||
4.00%, 12/01/52 | 500,000 | 467,164 | ||
4.50%, 12/01/52 | 193,878 | 186,628 | ||
5.00%, 12/01/52 | 196,334 | 192,821 | ||
6.00%, 12/01/52 | 893,089 | 909,178 | ||
2.50%, 01/01/53 | 1,719,280 | 1,461,455 | ||
5.00%, 01/01/53 | 483,897 | 475,193 | ||
5.50%, 01/01/53 | 196,041 | 196,029 | ||
6.00%, 01/01/53 | 2,888,750 | 2,951,279 | ||
6.50%, 01/01/53 | 281,609 | 287,939 | ||
4.00%, 02/01/53 | 685,746 | 651,359 | ||
6.50%, 02/01/53 | 290,354 | 297,166 | ||
5.00%, 03/01/53 | 1,228,968 | 1,208,442 | ||
5.50%, 03/01/53 | 298,720 | 298,383 | ||
5.00%, 04/01/53 | 3,798,372 | 3,725,411 | ||
5.50%, 04/01/53 | 793,696 | 791,144 | ||
6.50%, 04/01/53 | 394,639 | 404,243 | ||
5.50%, 05/01/53 | 705,203 | 704,151 | ||
6.50%, 05/01/53 | 399,520 | 412,761 | ||
5.00%, 06/01/53 | 4,624,278 | 4,533,754 | ||
5.50%, 06/01/53 | 1,478,592 | 1,472,426 | ||
5.00%, 07/01/53 | 400,000 | 393,906 | ||
5.50%, 08/01/53 | 400,000 | 398,442 | ||
Federal Home Loan Mortgage Corporation Reference REMIC, Series R007 | ||||
6.00%, 05/15/36 | 63,375 | 65,217 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3325 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 6.75% Cap), 5.69%, 06/15/37† | 39,805 | 39,093 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3621 | ||||
(Floating, 6.23% - ICE LIBOR USD 1M, 6.23% Cap), 1.04%, 01/15/40† IO | 90,930 | 7,769 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 3947 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 0.76%, 10/15/41† IO | $ 35,704 | $ 2,909 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 3973 | ||||
(Floating, 6.49% - ICE LIBOR USD 1M, 6.49% Cap), 1.30%, 12/15/41† IO | 107,547 | 11,351 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4099 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 0.81%, 08/15/42† IO | 73,250 | 7,414 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4194 | ||||
3.50%, 04/15/43 IO | 106,456 | 16,937 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4210 | ||||
3.00%, 05/15/43 | 107,809 | 87,817 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4239 | ||||
3.50%, 06/15/27 IO | 51,199 | 1,848 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4298 | ||||
4.00%, 04/15/43 IO | 17,866 | 668 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4310 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 0.76%, 02/15/44† IO | 36,797 | 2,997 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4335 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 0.81%, 05/15/44† IO | 37,689 | 3,236 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4391 | ||||
3.00%, 09/15/44 | 389,925 | 335,741 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4415 | ||||
0.00%, 04/15/41† IO γ | 43,349 | 1,884 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4638 | ||||
(Floating, ICE LIBOR USD 1M + 0.44%), 4.12%, 07/15/40† | 123,015 | 120,799 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4793 | ||||
3.00%, 05/15/48 | 212,343 | 191,520 | ||
3.00%, 06/15/48 | 144,068 | 128,915 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4813 | ||||
3.00%, 08/15/48 | 108,023 | 93,761 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4989 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%), 4.19%, 08/15/40† | 511,077 | 493,678 | ||
(Floating, ICE LIBOR USD 1M + 0.35%), 4.30%, 10/15/40† | 446,530 | 429,059 |
Par | Value | |||
Federal Home Loan Mortgage Corporation REMIC, Series 5010 | ||||
2.50%, 09/25/50 IO | $534,950 | $ 82,497 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5013 | ||||
2.50%, 09/25/50 IO | 162,359 | 24,132 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5018 | ||||
2.00%, 10/25/50 IO | 337,595 | 44,765 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5040 | ||||
2.50%, 11/25/50 IO | 71,817 | 11,149 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5059 | ||||
2.50%, 01/25/51 IO | 341,552 | 50,753 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5140 | ||||
2.50%, 05/25/49 IO | 622,232 | 86,465 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5202 | ||||
3.00%, 01/25/47 | 761,641 | 97,318 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5224 | ||||
4.00%, 04/25/52 | 900,000 | 826,944 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 5274 | ||||
2.50%, 01/25/51 IO | 675,958 | 107,542 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA3, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.10%), 10.25%, 06/25/50 144A † | 855,321 | 921,271 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 6.00%), 11.15%, 08/25/50 144A † | 159,056 | 176,799 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 4.80%), 9.87%, 10/25/50 144A † | 540,000 | 582,372 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.80%), 7.87%, 10/25/50 144A † | 357,835 | 364,002 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA5, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%), 6.72%, 01/25/34 144A † | 145,817 | 145,635 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA4, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 3.35%), 8.42%, 05/25/42 144A † | $ 330,000 | $ 334,105 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2023-DNA1 Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.10%), 7.17%, 03/25/43 144A † | 1,111,819 | 1,114,690 | ||
Federal Home Loan Mortgage Corporation STACR Trust, Series 2019-DNA4, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 2.70%), 7.85%, 10/25/49 144A † | 150,000 | 150,603 | ||
Federal Home Loan Mortgage Corporation STRIP, Series 353 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 0.81%, 12/15/46† IO | 163,693 | 15,303 | ||
Federal National Mortgage Association | ||||
5.50%, 09/01/23 | 4 | 4 | ||
5.50%, 10/01/23 | 3 | 3 | ||
2.81%, 04/01/25 | 50,000 | 47,763 | ||
(Floating, Enterprise 11th District COFI Index + 1.35%, 1.35% Floor, 12.05% Cap), 3.86%, 07/01/27† | 2,309 | 2,264 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 11.79% Cap), 4.77%, 08/01/27† | 2,232 | 2,195 | ||
(Floating, Enterprise 11th District COFI Index + 1.23%, 1.23% Floor, 10.43% Cap), 4.44%, 11/01/27 CONV † | 2,659 | 2,599 | ||
4.49%, 06/01/28 | 100,000 | 99,120 | ||
3.16%, 05/01/29 | 141,740 | 131,374 | ||
3.25%, 05/01/29 | 19,345 | 18,109 | ||
4.31%, 02/01/30 | 200,000 | 196,794 | ||
2.93%, 06/01/30 | 18,843 | 17,369 | ||
3.80%, 06/01/30 | 100,000 | 95,398 | ||
8.00%, 10/01/30 | 4,135 | 4,286 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.51%, 2.51% Floor, 12.62% Cap), 4.63%, 12/01/30 CONV † | 1,117 | 1,090 | ||
4.50%, 04/01/31 | 13,900 | 13,651 | ||
4.50%, 05/01/31 | 53,664 | 52,701 | ||
4.50%, 06/01/31 | 16,341 | 16,048 | ||
4.50%, 11/01/31 | 25,348 | 24,893 | ||
4.50%, 12/01/31 | 34,921 | 34,294 | ||
6.00%, 01/01/32 | 39,675 | 40,075 | ||
2.15%, 02/01/32† γ | 39,809 | 33,204 | ||
6.00%, 03/01/32 | 1,393 | 1,407 |
Par | Value | |||
6.00%, 04/01/32 | $ 66,376 | $ 67,007 | ||
3.35%, 06/01/32 | 100,000 | 91,527 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.13%, 1.13% Floor, 10.95% Cap), 4.87%, 06/01/32† | 4,810 | 4,648 | ||
3.84%, 07/01/32 | 100,000 | 95,113 | ||
3.89%, 07/01/32 | 300,000 | 280,759 | ||
4.06%, 07/01/32 | 198,765 | 190,342 | ||
(Floating, Enterprise 11th District COFI Index + 1.25%, 1.25% Floor, 12.21% Cap), 3.52%, 08/01/32† | 4,841 | 4,663 | ||
3.85%, 08/01/32 | 100,000 | 93,264 | ||
3.74%, 09/01/32 | 200,000 | 188,711 | ||
3.98%, 10/01/32 | 400,000 | 376,861 | ||
4.37%, 11/01/32 | 200,000 | 198,356 | ||
4.44%, 11/01/32 | 100,000 | 99,646 | ||
4.41%, 12/01/32 | 200,000 | 199,028 | ||
4.94%, 12/01/32 | 99,367 | 101,922 | ||
4.58%, 01/01/33 | 100,000 | 100,792 | ||
4.69%, 01/01/33 | 100,000 | 101,334 | ||
4.72%, 01/07/33 | 100,000 | 101,672 | ||
4.36%, 02/01/33 | 200,000 | 198,387 | ||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 2.13%, 2.13% Floor, 9.75% Cap), 4.38%, 02/01/33† | 673 | 656 | ||
4.42%, 03/01/33 | 200,000 | 199,213 | ||
4.70%, 03/01/33 | 200,000 | 203,174 | ||
(Floating, Enterprise 11th District COFI Index + 1.32%, 1.32% Floor, 11.99% Cap), 3.58%, 05/01/33† | 4,733 | 4,559 | ||
4.48%, 05/01/33 | 100,000 | 100,232 | ||
4.32%, 06/01/33 | 100,000 | 98,964 | ||
4.51%, 08/01/33 | 200,000 | 201,516 | ||
3.50%, 05/01/34 | 64,662 | 61,231 | ||
6.00%, 10/01/34 | 20,630 | 20,826 | ||
3.50%, 12/01/34 | 13,806 | 13,073 | ||
(Floating, ICE LIBOR USD 1Y + 1.55%, 1.55% Floor, 9.67% Cap), 3.80%, 12/01/34† | 10,233 | 9,971 | ||
3.50%, 01/01/35 | 14,124 | 13,374 | ||
6.00%, 05/01/35 | 107,888 | 109,142 | ||
3.00%, 07/01/35 | 18,555 | 17,309 | ||
6.00%, 07/01/35 | 22,581 | 22,822 | ||
5.50%, 09/01/35 | 18,297 | 18,224 | ||
6.00%, 10/01/35 | 10,510 | 10,874 | ||
(Floating, Enterprise 11th District COFI Index + 1.30%, 1.30% Floor, 10.55% Cap), 3.81%, 11/01/35† | 1,876 | 1,864 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.81%, 1.81% Floor, 8.95% Cap), 5.56%, 11/01/35† | 7,593 | 7,397 | ||
6.00%, 11/01/35 | 68,071 | 68,940 | ||
3.00%, 02/01/36 | 267,950 | 248,709 | ||
3.00%, 04/01/36 | 214,929 | 199,604 | ||
5.50%, 04/01/36 | 1,264 | 1,254 |
Par | Value | |||
(Floating, Enterprise 11th District COFI Index + 1.26%, 3.91% Floor, 12.83% Cap), 4.43%, 05/01/36† | $ 10,343 | $ 10,222 | ||
3.00%, 07/01/36 | 419,621 | 388,790 | ||
3.00%, 08/01/36 | 165,816 | 153,581 | ||
2.50%, 09/01/36 | 101,166 | 91,446 | ||
3.00%, 10/01/36 | 843,518 | 780,481 | ||
5.50%, 11/01/36 | 23,876 | 24,542 | ||
3.00%, 12/01/36 | 357,048 | 330,145 | ||
3.50%, 02/01/37 | 64,170 | 60,761 | ||
3.50%, 03/01/37 | 48,459 | 45,890 | ||
5.50%, 03/01/37 | 1,353 | 1,379 | ||
6.00%, 07/01/37 | 275,390 | 285,791 | ||
6.50%, 10/01/37 | 22,236 | 22,747 | ||
7.00%, 11/01/37 | 3,069 | 3,035 | ||
3.00%, 12/01/37 | 48,648 | 44,822 | ||
3.50%, 12/01/37 | 79,485 | 75,260 | ||
(Floating, Enterprise 11th District COFI Index + 1.26%, 1.26% Floor, 10.71% Cap), 4.13%, 12/01/37† | 6,722 | 6,581 | ||
7.00%, 12/01/37 | 1,158 | 1,161 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.15%, 1.15% Floor, 10.60% Cap), 4.89%, 01/01/38† | 1,522 | 1,495 | ||
2.50%, 03/01/38 | 356,158 | 321,934 | ||
4.50%, 03/01/38 | 2,914 | 2,860 | ||
4.50%, 04/01/38 | 19,581 | 19,299 | ||
3.00%, 06/01/38 | 203,014 | 188,108 | ||
5.00%, 06/01/38 | 26,887 | 27,093 | ||
5.50%, 08/01/38 | 16,779 | 17,213 | ||
7.00%, 11/01/38 | 4,356 | 4,515 | ||
7.00%, 02/01/39 | 2,655 | 2,798 | ||
3.50%, 08/01/39 | 51,185 | 48,469 | ||
3.50%, 02/01/40 | 140,295 | 131,784 | ||
3.00%, 03/01/40 | 200,010 | 184,367 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor, 9.65% Cap), 5.14%, 06/01/40† | 9,344 | 9,398 | ||
5.14%, 10/01/40† | 22,238 | 21,673 | ||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.18%, 1.18% Floor, 10.25% Cap), 4.92%, 11/01/40† | 3,124 | 3,034 | ||
2.50%, 03/01/41 | 79,666 | 70,111 | ||
2.50%, 04/01/41 | 245,649 | 215,997 | ||
4.50%, 04/01/41 | 48,744 | 48,167 | ||
2.50%, 05/01/41 | 582,792 | 511,810 | ||
2.00%, 06/01/41 | 166,470 | 141,962 | ||
6.00%, 07/01/41 | 190,061 | 197,472 | ||
4.50%, 08/01/41 | 20,322 | 20,081 | ||
2.00%, 09/01/41 | 90,081 | 77,126 | ||
2.00%, 10/01/41 | 878,565 | 745,556 | ||
2.00%, 11/01/41 | 175,340 | 149,155 | ||
2.50%, 11/01/41 | 87,355 | 76,566 | ||
4.50%, 11/01/41 | 67,256 | 66,458 | ||
2.00%, 12/01/41 | 88,926 | 75,297 |
Par | Value | |||
1.50%, 01/01/42 | $ 181,875 | $ 147,411 | ||
2.00%, 01/01/42 | 1,186,455 | 1,009,021 | ||
2.00%, 02/01/42 | 451,487 | 383,936 | ||
2.00%, 03/01/42 | 91,044 | 77,131 | ||
2.50%, 03/01/42 | 180,650 | 157,219 | ||
2.50%, 04/01/42 | 459,622 | 399,485 | ||
2.00%, 05/01/42 | 187,260 | 159,283 | ||
2.50%, 05/01/42 | 91,939 | 79,910 | ||
3.00%, 06/01/42 | 93,698 | 84,196 | ||
4.00%, 06/01/42 | 19,025 | 18,288 | ||
2.50%, 09/01/42 | 98,756 | 86,396 | ||
3.50%, 09/01/42 | 16,302 | 15,176 | ||
4.00%, 10/01/42 | 58,602 | 56,280 | ||
2.50%, 11/01/42 | 9,781 | 8,427 | ||
4.00%, 11/01/42 | 667,016 | 641,523 | ||
2.50%, 12/01/42 | 4,918 | 4,249 | ||
3.00%, 12/01/42 | 7,906 | 7,143 | ||
3.50%, 12/01/42 | 31,443 | 29,449 | ||
4.00%, 12/01/42 | 41,568 | 39,972 | ||
2.50%, 01/01/43 | 7,068 | 6,107 | ||
3.00%, 01/01/43 | 140,962 | 127,690 | ||
3.50%, 01/01/43 | 522,528 | 486,322 | ||
2.50%, 02/01/43 | 7,231 | 6,249 | ||
2.50%, 03/01/43 | 630,321 | 544,665 | ||
3.00%, 03/01/43 | 100,521 | 90,815 | ||
3.50%, 03/01/43 | 255,382 | 239,985 | ||
2.50%, 04/01/43 | 790,801 | 678,145 | ||
3.00%, 04/01/43 | 152,862 | 138,103 | ||
4.00%, 04/01/43 | 24,106 | 23,185 | ||
2.50%, 05/01/43 | 11,534 | 9,875 | ||
3.00%, 05/01/43 | 92,057 | 83,168 | ||
2.50%, 06/01/43 | 13,083 | 11,272 | ||
3.00%, 06/01/43 | 83,869 | 75,771 | ||
4.00%, 06/01/43 | 202,790 | 195,370 | ||
3.00%, 07/01/43 | 390,747 | 353,133 | ||
4.00%, 07/01/43 | 221,349 | 212,855 | ||
2.50%, 08/01/43 | 121,933 | 104,425 | ||
4.00%, 08/01/43 | 69,025 | 66,235 | ||
4.50%, 09/01/43 | 134,389 | 131,517 | ||
2.50%, 10/01/43 | 21,566 | 18,599 | ||
3.00%, 10/01/43 | 127,239 | 115,096 | ||
4.50%, 10/01/43 | 60,159 | 59,086 | ||
4.50%, 11/01/43 | 36,730 | 36,077 | ||
4.50%, 12/01/43 | 60,976 | 59,897 | ||
4.50%, 01/01/44 | 33,908 | 33,310 | ||
4.50%, 02/01/44 | 178,876 | 176,524 | ||
4.00%, 04/01/44 | 505,818 | 485,486 | ||
4.50%, 10/01/44 | 149,065 | 146,373 | ||
4.00%, 12/01/44 | 948,279 | 911,378 | ||
3.00%, 01/01/45 | 170,783 | 154,309 | ||
4.00%, 01/01/45 | 57,354 | 54,907 | ||
4.50%, 02/01/45 | 509,650 | 504,077 | ||
4.50%, 04/01/45 | 239,469 | 235,295 | ||
4.50%, 05/01/45 | 29,711 | 29,193 | ||
4.50%, 06/01/45 | 211,053 | 207,247 | ||
3.50%, 07/01/45 | 5,228,642 | 4,867,117 | ||
4.00%, 08/01/45 | 2,458,523 | 2,356,125 | ||
3.00%, 11/01/45 | 478,507 | 431,419 |
Par | Value | |||
3.50%, 01/01/46 | $ 149,520 | $ 139,148 | ||
3.00%, 07/01/46 | 250,006 | 224,614 | ||
3.00%, 08/01/46 | 33,292 | 29,830 | ||
3.00%, 09/01/46 | 59,617 | 53,471 | ||
3.00%, 10/01/46 | 33,533 | 30,016 | ||
3.00%, 11/01/46 | 851,802 | 762,912 | ||
3.50%, 11/01/46 | 20,349 | 19,013 | ||
4.50%, 11/01/46 | 176,619 | 173,433 | ||
5.00%, 11/01/46 | 342,583 | 341,239 | ||
3.50%, 12/01/46 | 127,698 | 118,385 | ||
4.00%, 01/01/47 | 509,682 | 487,768 | ||
4.50%, 01/01/47 | 19,948 | 19,588 | ||
4.00%, 02/01/47 | 47,802 | 45,692 | ||
4.50%, 03/01/47 | 285,030 | 277,061 | ||
4.00%, 05/01/47 | 43,783 | 41,709 | ||
4.50%, 06/01/47 | 332,627 | 323,980 | ||
4.50%, 07/01/47 | 398,593 | 391,400 | ||
4.00%, 08/01/47 | 346,053 | 330,186 | ||
3.00%, 09/01/47 | 597,534 | 535,412 | ||
3.50%, 09/01/47 | 8,028,979 | 7,415,130 | ||
3.50%, 10/01/47 | 9,225,362 | 8,520,019 | ||
3.50%, 11/01/47 | 12,025,067 | 11,105,674 | ||
4.50%, 11/01/47 | 108,137 | 105,972 | ||
3.50%, 12/01/47 | 12,584,453 | 11,623,426 | ||
4.00%, 12/01/47 | 200,294 | 191,334 | ||
5.00%, 12/01/47 | 97,368 | 98,123 | ||
4.00%, 01/01/48 | 187,841 | 179,567 | ||
4.00%, 02/01/48 | 698,418 | 667,380 | ||
4.00%, 03/01/48 | 488,598 | 466,762 | ||
4.00%, 06/01/48 | 302,978 | 289,707 | ||
4.00%, 07/01/48 | 592,610 | 566,628 | ||
4.50%, 07/01/48 | 139,752 | 137,468 | ||
3.50%, 08/01/48 | 2,394,267 | 2,211,180 | ||
4.00%, 08/01/48 | 1,477,006 | 1,413,366 | ||
4.50%, 09/01/48 | 281,586 | 276,260 | ||
5.00%, 09/01/48 | 555,757 | 557,529 | ||
4.00%, 10/01/48 | 382,480 | 363,954 | ||
3.00%, 11/01/48 | 175,794 | 158,835 | ||
3.50%, 11/01/48 | 2,156,225 | 2,006,798 | ||
5.00%, 11/01/48 | 1,278,699 | 1,274,632 | ||
4.00%, 01/01/49 | 21,504 | 20,483 | ||
4.50%, 01/01/49 | 228,246 | 223,280 | ||
4.50%, 02/01/49 | 50,826 | 49,706 | ||
4.50%, 05/01/49 | 779,165 | 762,126 | ||
4.50%, 06/01/49 | 500,692 | 490,637 | ||
3.50%, 07/01/49 | 964,034 | 891,787 | ||
4.50%, 07/01/49 | 447,625 | 436,849 | ||
3.50%, 08/01/49 | 681,912 | 630,804 | ||
4.50%, 09/01/49 | 62,051 | 60,481 | ||
3.00%, 12/01/49 | 603,500 | 538,756 | ||
4.00%, 12/01/49 | 112,932 | 107,530 | ||
3.50%, 01/01/50 | 348,130 | 321,293 | ||
4.50%, 01/01/50 | 5,699 | 5,521 | ||
3.00%, 02/01/50 | 1,836,054 | 1,650,739 | ||
4.00%, 03/01/50 | 226,228 | 215,152 | ||
4.50%, 03/01/50 | 202,077 | 198,314 | ||
4.50%, 05/01/50 | 785,744 | 766,561 | ||
2.50%, 06/01/50 | 913,175 | 785,086 |
Par | Value | |||
3.50%, 06/01/50 | $ 238,708 | $ 220,471 | ||
4.50%, 06/01/50 | 65,780 | 64,297 | ||
4.50%, 07/01/50 | 28,843 | 28,009 | ||
2.00%, 08/01/50 | 301,419 | 248,590 | ||
3.00%, 08/01/50 | 141,973 | 126,409 | ||
2.00%, 09/01/50 | 294,004 | 242,402 | ||
2.50%, 09/01/50 | 2,878,854 | 2,478,951 | ||
2.00%, 10/01/50 | 6,511,569 | 5,366,819 | ||
2.50%, 10/01/50 | 568,357 | 485,707 | ||
3.00%, 10/01/50 | 226,210 | 202,198 | ||
2.00%, 11/01/50 | 6,893,471 | 5,676,014 | ||
2.50%, 11/01/50 | 169,135 | 145,246 | ||
3.00%, 11/01/50 | 609,316 | 540,665 | ||
2.00%, 12/01/50 | 459,566 | 378,353 | ||
2.50%, 12/01/50 | 75,197 | 64,463 | ||
4.50%, 12/01/50 | 456,285 | 444,585 | ||
1.50%, 01/01/51 | 84,111 | 65,057 | ||
2.00%, 01/01/51 | 318,706 | 262,491 | ||
2.50%, 01/01/51 | 154,890 | 132,982 | ||
2.00%, 02/01/51 | 2,923,469 | 2,403,563 | ||
2.50%, 02/01/51 | 140,969 | 120,719 | ||
4.50%, 02/01/51 | 1,392,785 | 1,343,283 | ||
1.50%, 03/01/51 | 683,901 | 529,657 | ||
2.00%, 03/01/51 | 3,117,164 | 2,573,572 | ||
2.50%, 03/01/51 | 307,008 | 263,996 | ||
2.00%, 04/01/51 | 1,149,680 | 948,116 | ||
2.50%, 04/01/51 | 394,220 | 336,897 | ||
2.00%, 05/01/51 | 594,877 | 487,631 | ||
2.50%, 05/01/51 | 1,889,331 | 1,608,252 | ||
2.50%, 06/01/51 | 1,607,939 | 1,377,922 | ||
3.00%, 06/01/51 | 152,712 | 136,490 | ||
2.50%, 07/01/51 | 594,447 | 511,267 | ||
2.00%, 08/01/51 | 265,376 | 217,633 | ||
2.50%, 08/01/51 | 601,502 | 514,791 | ||
3.00%, 08/01/51 | 631,984 | 564,450 | ||
2.50%, 09/01/51 | 516,798 | 446,327 | ||
3.00%, 09/01/51 | 79,952 | 70,844 | ||
4.50%, 09/01/51 | 71,786 | 69,607 | ||
2.00%, 10/01/51 | 784,075 | 646,627 | ||
2.50%, 10/01/51 | 2,328,520 | 1,992,154 | ||
2.00%, 11/01/51 | 179,493 | 146,905 | ||
2.50%, 11/01/51 | 1,156,989 | 994,939 | ||
3.00%, 11/01/51 | 790,061 | 702,600 | ||
4.00%, 11/01/51 | 337,579 | 317,792 | ||
2.00%, 12/01/51 | 5,483,238 | 4,477,709 | ||
2.50%, 12/01/51 | 546,404 | 464,464 | ||
3.00%, 12/01/51 | 176,036 | 157,073 | ||
3.50%, 12/01/51 | 519,476 | 479,038 | ||
4.00%, 12/01/51 | 197,883 | 186,260 | ||
2.00%, 01/01/52 | 551,824 | 453,026 | ||
2.50%, 01/01/52 | 966,494 | 827,108 | ||
3.00%, 01/01/52 | 3,392,162 | 3,000,748 | ||
3.50%, 01/01/52 | 267,213 | 246,412 | ||
2.00%, 02/01/52 | 910,178 | 748,447 | ||
2.50%, 02/01/52 | 2,905,821 | 2,479,152 | ||
3.00%, 02/01/52 | 1,405,898 | 1,241,885 | ||
2.00%, 03/01/52 | 951,900 | 784,161 | ||
2.50%, 03/01/52 | 1,226,890 | 1,049,636 |
Par | Value | |||
3.00%, 03/01/52 | $ 2,990,848 | $ 2,660,790 | ||
3.50%, 03/01/52 | 264,209 | 241,217 | ||
2.00%, 04/01/52 | 9,766,146 | 7,976,415 | ||
2.50%, 04/01/52 | 3,645,152 | 3,096,157 | ||
3.00%, 04/01/52 | 1,107,944 | 977,613 | ||
3.50%, 04/01/52 | 1,111,587 | 1,014,713 | ||
4.00%, 04/01/52 | 1,099,967 | 1,037,741 | ||
2.00%, 05/01/52 | 938,153 | 766,407 | ||
2.50%, 05/01/52 | 53,595 | 45,475 | ||
3.50%, 05/01/52 | 1,290,350 | 1,187,848 | ||
4.00%, 05/01/52 | 1,606,291 | 1,516,988 | ||
3.00%, 06/01/52 | 1,940,175 | 1,710,260 | ||
3.50%, 06/01/52 | 767,322 | 700,240 | ||
4.00%, 06/01/52 | 1,614,214 | 1,529,657 | ||
5.00%, 06/01/52 | 186,354 | 183,889 | ||
3.00%, 07/01/52 | 1,737,966 | 1,531,750 | ||
4.00%, 07/01/52 | 2,742,333 | 2,598,105 | ||
4.50%, 07/01/52 | 96,482 | 93,308 | ||
5.00%, 07/01/52 | 182,575 | 179,336 | ||
3.00%, 08/01/52 | 966,642 | 851,723 | ||
3.50%, 08/01/52 | 26,828 | 24,560 | ||
4.50%, 08/01/52 | 92,441 | 88,952 | ||
5.00%, 08/01/52 | 940,801 | 930,102 | ||
5.50%, 08/01/52 | 85,882 | 85,823 | ||
4.00%, 09/01/52 | 984,150 | 924,386 | ||
4.50%, 09/01/52 | 286,836 | 277,578 | ||
5.50%, 09/01/52 | 1,914,496 | 1,927,941 | ||
2.50%, 10/01/52 | 69,446 | 59,031 | ||
4.50%, 11/01/52 | 775,316 | 746,663 | ||
4.00%, 12/01/52 | 398,785 | 374,474 | ||
6.00%, 12/01/52 | 2,484,948 | 2,541,316 | ||
3.50%, 01/01/53 | 599,969 | 549,218 | ||
4.50%, 01/01/53 | 288,364 | 277,625 | ||
5.00%, 01/01/53 | 195,053 | 191,416 | ||
6.00%, 01/01/53 | 93,035 | 94,398 | ||
6.50%, 01/01/53 | 759,717 | 783,884 | ||
5.00%, 02/01/53 | 199,058 | 195,592 | ||
5.50%, 02/01/53 | 591,927 | 591,988 | ||
6.50%, 02/01/53 | 185,148 | 189,639 | ||
4.50%, 03/01/53 | 292,301 | 281,189 | ||
4.50%, 04/01/53 | 298,603 | 287,252 | ||
5.00%, 04/01/53 | 1,659,984 | 1,629,649 | ||
5.50%, 04/01/53 | 3,207,879 | 3,208,026 | ||
4.00%, 05/01/53 | 991,817 | 931,350 | ||
5.00%, 05/01/53 | 15,203,421 | 14,922,423 | ||
5.50%, 05/01/53 | 497,381 | 496,176 | ||
6.00%, 05/01/53 | 394,669 | 400,436 | ||
3.50%, 06/01/53 | 500,000 | 457,929 | ||
5.00%, 06/01/53 | 4,343,519 | 4,258,492 | ||
5.00%, 07/01/53 | 599,990 | 588,571 | ||
4.00%, 02/01/56 | 270,073 | 261,330 | ||
5.50%, 09/01/56 | 376,995 | 388,644 | ||
4.00%, 01/01/57 | 171,090 | 161,313 | ||
4.00%, 06/01/57 | 255,095 | 242,889 | ||
4.50%, 09/01/57 | 398,500 | 385,632 | ||
4.50%, 08/01/58 | 113,765 | 110,091 | ||
2.50%, 07/01/61 | 3,276,262 | 2,692,014 | ||
2.50%, 09/01/61 | 91,345 | 75,055 |
Par | Value | |||
3.50%, 09/01/62 | $4,015,545 | $3,639,929 | ||
Federal National Mortgage Association ACES, Series 2015-M1 | ||||
0.60%, 09/25/24† IO γ | 2,103,291 | 9,185 | ||
Federal National Mortgage Association ACES, Series 2016-M11 | ||||
2.94%, 07/25/39 | 32,264 | 29,097 | ||
Federal National Mortgage Association ACES, Series 2017-M8 | ||||
3.06%, 05/25/27 | 83,118 | 78,134 | ||
Federal National Mortgage Association ACES, Series 2019-M23 | ||||
2.72%, 10/25/31† γ | 275,072 | 241,739 | ||
Federal National Mortgage Association ACES, Series 2020-M33 | ||||
2.35%, 01/25/31† IO γ | 6,962,713 | 601,262 | ||
Federal National Mortgage Association ACES, Series 2020-M6 | ||||
2.50%, 10/25/37 | 85,667 | 74,214 | ||
Federal National Mortgage Association ACES, Series 2023-M4 | ||||
3.89%, 08/25/32† γ | 200,000 | 189,853 | ||
Federal National Mortgage Association Interest STRIP, Series 409 | ||||
3.00%, 04/25/27 IO | 51,977 | 1,966 | ||
4.50%, 11/25/39 IO | 13,603 | 2,490 | ||
3.50%, 11/25/41 IO | 48,169 | 7,347 | ||
4.00%, 11/25/41 IO | 64,907 | 11,701 | ||
4.00%, 04/25/42 IO | 118,641 | 21,861 | ||
Federal National Mortgage Association REMIC, Series 2000-32 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 9.00% Cap), 5.60%, 10/18/30† | 3,145 | 3,141 | ||
Federal National Mortgage Association REMIC, Series 2005-29 | ||||
5.50%, 04/25/35 | 193,773 | 198,946 | ||
Federal National Mortgage Association REMIC, Series 2007-24 | ||||
(Floating, 6.75% - ICE LIBOR USD 1M, 6.75% Cap), 1.60%, 03/25/37† IO | 191,271 | 20,199 | ||
Federal National Mortgage Association REMIC, Series 2011-52 | ||||
5.00%, 06/25/41 | 112,698 | 111,741 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2011-59 | ||||
5.50%, 07/25/41 | $381,795 | $384,999 | ||
Federal National Mortgage Association REMIC, Series 2011-96 | ||||
(Floating, 6.55% - ICE LIBOR USD 1M, 6.55% Cap), 1.40%, 10/25/41† IO | 147,051 | 10,271 | ||
Federal National Mortgage Association REMIC, Series 2012-101 | ||||
4.00%, 09/25/27 IO | 14,138 | 349 | ||
Federal National Mortgage Association REMIC, Series 2012-111 | ||||
7.00%, 10/25/42 | 10,089 | 10,493 | ||
Federal National Mortgage Association REMIC, Series 2012-118 | ||||
3.00%, 11/25/42 | 135,914 | 122,681 | ||
Federal National Mortgage Association REMIC, Series 2012-133 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 1.00%, 12/25/42† IO | 45,083 | 4,470 | ||
Federal National Mortgage Association REMIC, Series 2012-153 | ||||
7.00%, 07/25/42 | 34,103 | 35,839 | ||
Federal National Mortgage Association REMIC, Series 2012-28 | ||||
6.50%, 06/25/39 | 893 | 903 | ||
Federal National Mortgage Association REMIC, Series 2012-35 | ||||
(Floating, 6.50% - ICE LIBOR USD 1M, 6.50% Cap), 1.35%, 04/25/42† IO | 53,816 | 5,654 | ||
Federal National Mortgage Association REMIC, Series 2012-46 | ||||
6.00%, 05/25/42 | 50,153 | 52,104 | ||
Federal National Mortgage Association REMIC, Series 2012-74 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 1.50%, 03/25/42† IO | 56,872 | 3,196 | ||
Federal National Mortgage Association REMIC, Series 2012-75 | ||||
(Floating, 6.60% - ICE LIBOR USD 1M, 6.60% Cap), 1.45%, 07/25/42† IO | 12,891 | 1,362 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2013-124 | ||||
(Floating, 5.95% - ICE LIBOR USD 1M, 5.95% Cap), 0.80%, 12/25/43† IO | $171,060 | $ 16,783 | ||
Federal National Mortgage Association REMIC, Series 2013-14 | ||||
4.00%, 03/25/43 IO | 48,400 | 7,857 | ||
Federal National Mortgage Association REMIC, Series 2013-17 | ||||
3.00%, 03/25/28 IO | 236,540 | 11,295 | ||
Federal National Mortgage Association REMIC, Series 2013-29 | ||||
4.00%, 04/25/43 IO | 138,027 | 23,318 | ||
Federal National Mortgage Association REMIC, Series 2013-54 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 1.00%, 06/25/43† IO | 71,240 | 7,772 | ||
Federal National Mortgage Association REMIC, Series 2013-9 | ||||
5.50%, 04/25/42 | 217,996 | 219,174 | ||
6.50%, 07/25/42 | 91,031 | 95,337 | ||
Federal National Mortgage Association REMIC, Series 2014-47 | ||||
0.00%, 08/25/44† IO γ | 141,511 | 6,227 | ||
Federal National Mortgage Association REMIC, Series 2014-6 | ||||
2.50%, 02/25/44 | 506,050 | 422,468 | ||
Federal National Mortgage Association REMIC, Series 2015-55 | ||||
0.00%, 08/25/55† IO γ | 48,339 | 1,805 | ||
Federal National Mortgage Association REMIC, Series 2015-56 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 1.00%, 08/25/45† IO | 29,651 | 3,125 | ||
Federal National Mortgage Association REMIC, Series 2017-76 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 0.95%, 10/25/57† IO | 358,787 | 37,970 | ||
Federal National Mortgage Association REMIC, Series 2017-85 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 1.05%, 11/25/47† IO | 117,309 | 9,876 | ||
Federal National Mortgage Association REMIC, Series 2020-47 | ||||
2.00%, 07/25/50 | 318,535 | 191,940 |
Par | Value | |||
Federal National Mortgage Association REMIC, Series 2020-56 | ||||
2.50%, 08/25/50 IO | $ 312,136 | $ 49,407 | ||
Federal National Mortgage Association REMIC, Series 2020-57 | ||||
2.00%, 04/25/50 | 51,519 | 44,295 | ||
Federal National Mortgage Association REMIC, Series 2020-73 | ||||
3.00%, 10/25/50 | 622,634 | 104,793 | ||
Federal National Mortgage Association REMIC, Series 2020-74 | ||||
2.50%, 10/25/50 IO | 152,173 | 24,275 | ||
Federal National Mortgage Association REMIC, Series 2020-89 | ||||
2.50%, 12/25/50 IO | 759,430 | 112,092 | ||
Federal National Mortgage Association REMIC, Series 2021-1 | ||||
2.50%, 02/25/51 IO | 599,357 | 98,692 | ||
Federal National Mortgage Association REMIC, Series 2021-28 | ||||
2.00%, 04/25/51 | 388,651 | 320,675 | ||
Federal National Mortgage Association REMIC, Series 2021-3 | ||||
2.50%, 02/25/51 IO | 719,484 | 107,256 | ||
Federal National Mortgage Association REMIC, Series 2021-43 | ||||
2.50%, 06/25/51 | 1,512,561 | 226,270 | ||
Federal National Mortgage Association REMIC, Series 2022-86 | ||||
2.50%, 05/25/50 | 771,131 | 104,448 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K068 | ||||
0.42%, 08/25/27† IO γ | 2,321,442 | 34,821 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K091 | ||||
0.56%, 03/25/29† IO γ | 1,391,685 | 38,404 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K093 | ||||
0.95%, 05/25/29† IO γ | 1,980,118 | 87,458 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K094 | ||||
1.01%, 06/25/29† IO γ | 992,458 | 42,264 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K104 | ||||
1.12%, 01/25/30† IO γ | 3,437,161 | 197,114 |
Par | Value | |||
FHLMC Multifamily Structured Pass-Through Certificates, Series K109 | ||||
1.56%, 04/25/30 | $ 100,000 | $ 82,824 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K128 | ||||
0.52%, 03/25/31† IO γ | 8,436,002 | 262,936 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K130 | ||||
1.04%, 06/25/31† IO γ | 6,989,225 | 449,681 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K131 | ||||
0.83%, 07/25/31† IO γ | 4,492,277 | 209,617 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K143 | ||||
2.35%, 03/25/32 | 100,000 | 85,111 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K148 | ||||
0.25%, 07/25/32† IO γ | 19,190,064 | 411,168 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-1519 | ||||
0.60%, 12/25/35† IO γ | 5,919,670 | 278,861 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-152 | ||||
3.78%, 11/25/32 | 1,000,000 | 948,061 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K-157 | ||||
0.25%, 05/25/33† IO γ | 9,000,000 | 217,679 | ||
4.20%, 05/25/33 | 100,000 | 98,020 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K723 | ||||
0.96%, 08/25/23† IO γ | 1,437,343 | 779 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K736 | ||||
1.29%, 07/25/26† IO γ | 962,881 | 29,958 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K741 | ||||
0.57%, 12/25/27† IO γ | 2,988,710 | 61,952 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series K751 | ||||
4.41%, 03/25/30 | 200,000 | 198,470 | ||
FHLMC Multifamily Structured Pass-Through Certificates, Series KF153 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.68%, 0.68% Floor), 5.72%, 02/25/33† | 700,000 | 699,419 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 9.40%, 11/25/23† | 348,656 | 352,743 |
Par | Value | |||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3 | ||||
(Floating, ICE LIBOR USD 1M + 3.80%), 8.95%, 03/25/29† | $ 118,611 | $ 123,441 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.10%), 7.17%, 04/25/43 144A † | 1,148,253 | 1,152,242 | ||
FHLMC Structured Agency Credit Risk Debt Notes, Series 2023-HQA2, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 3.35%), 8.42%, 06/25/43 144A † | 374,000 | 378,675 | ||
FHLMC Structured Pass-Through Certificates, Series T-61, Class 1A1 | ||||
(Floating, Federal Reserve U.S. 12 1Y CMT + 1.40%, 1.40% Floor), 5.38%, 07/25/44† | 236,008 | 219,379 | ||
Finance of America HECM Buyout, Series 2022-HB2, Class M2 | ||||
6.00%, 04/25/26 144A | 600,000 | 548,702 | ||
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1 | ||||
6.23%, 06/25/34† γ | 100,358 | 94,320 | ||
FS Rialto Issuer LLC, Series 2022-FL7, Class B | ||||
(Floating, CME Term SOFR 1M + 3.91%, 3.91% Floor), 9.00%, 10/19/39 144A † | 650,000 | 646,706 | ||
GCAT Trust, Series 2022-NQM3, Class A3 | ||||
4.35%, 04/25/67 144A † γ | 2,312,909 | 2,120,622 | ||
GCAT Trust, Series 2022-NQM4, Class A1 | ||||
(Step to 5.75% on 09/25/26), 5.27%, 08/25/67 144A STEP | 126,217 | 123,406 | ||
GCAT Trust, Series 2022-NQM4, Class A2 | ||||
(Step to 5.75% on 09/25/26), 5.73%, 08/25/67 144A STEP | 560,967 | 546,868 | ||
GCAT Trust, Series 2022-NQM4, Class A3 | ||||
(Step to 5.75% on 09/25/26), 5.73%, 08/25/67 144A STEP | 1,682,902 | 1,634,444 | ||
Government National Mortgage Association | ||||
7.00%, 01/15/26 | 983 | 982 | ||
7.00%, 07/15/27 | 5,773 | 5,762 | ||
7.00%, 01/15/28 | 6,899 | 6,846 | ||
7.00%, 03/15/28 | 10,159 | 10,152 | ||
7.00%, 07/15/28 | 945 | 941 | ||
6.50%, 08/15/28 | 823 | 840 | ||
7.00%, 08/15/28 | 1,202 | 1,202 | ||
7.50%, 08/15/28 | 4,044 | 4,089 | ||
6.50%, 09/15/28 | 1,414 | 1,443 | ||
7.00%, 10/15/28 | 7,400 | 7,339 | ||
7.50%, 03/15/29 | 4,202 | 4,204 |
Par | Value | |||
(Floating, U.S. Treasury Yield Curve Rate CMT 1Y + 1.50%, 1.50% Floor, 11.00% Cap), 2.75%, 11/20/29† | $ 8,142 | $ 7,770 | ||
8.50%, 11/20/30 | 3,349 | 3,472 | ||
6.50%, 08/15/31 | 10,188 | 10,409 | ||
7.50%, 08/15/31 | 4,075 | 4,079 | ||
6.50%, 10/15/31 | 15,987 | 16,322 | ||
6.00%, 11/15/31 | 47,402 | 48,254 | ||
6.00%, 12/15/31 | 5,349 | 5,457 | ||
6.00%, 01/15/32 | 39,347 | 39,883 | ||
6.00%, 02/15/32 | 27,804 | 28,128 | ||
6.50%, 02/15/32 | 5,010 | 5,112 | ||
6.00%, 04/15/32 | 25,661 | 25,959 | ||
6.50%, 06/15/32 | 23,111 | 23,580 | ||
6.50%, 08/15/32 | 20,152 | 20,561 | ||
6.50%, 09/15/32 | 25,644 | 26,262 | ||
6.00%, 10/15/32 | 39,625 | 41,185 | ||
5.50%, 11/15/32 | 4,418 | 4,442 | ||
6.00%, 11/15/32 | 23,373 | 23,731 | ||
6.00%, 12/15/32 | 12,649 | 12,806 | ||
5.50%, 01/15/33 | 1,756 | 1,764 | ||
6.00%, 01/15/33 | 10,051 | 10,179 | ||
5.50%, 02/15/33 | 5,055 | 5,102 | ||
6.00%, 02/15/33 | 11,229 | 11,740 | ||
5.50%, 03/15/33 | 5,614 | 5,662 | ||
6.50%, 04/15/33 | 59,259 | 60,959 | ||
6.00%, 06/15/33 | 14,429 | 14,598 | ||
5.50%, 07/15/33 | 7,571 | 7,633 | ||
5.50%, 08/15/33 | 2,437 | 2,449 | ||
5.50%, 09/15/33 | 1,121 | 1,126 | ||
6.00%, 10/15/33 | 13,511 | 13,668 | ||
6.50%, 10/15/33 | 39,961 | 40,783 | ||
5.50%, 04/15/34 | 2,703 | 2,715 | ||
5.50%, 05/15/34 | 2,097 | 2,107 | ||
6.50%, 08/15/34 | 30,748 | 31,935 | ||
5.50%, 09/15/34 | 26,758 | 27,292 | ||
5.50%, 12/15/34 | 29,339 | 29,958 | ||
5.50%, 01/15/35 | 21,664 | 22,121 | ||
6.00%, 09/20/38 | 56,955 | 59,620 | ||
5.00%, 07/20/40 | 4,247 | 4,318 | ||
5.00%, 09/20/40 | 20,336 | 20,677 | ||
4.00%, 10/20/40 | 2,314 | 2,249 | ||
6.00%, 10/20/40 | 7,002 | 7,331 | ||
6.00%, 01/20/41 | 6,037 | 6,230 | ||
4.50%, 04/20/41 | 79,293 | 78,791 | ||
3.00%, 09/15/42 | 189,494 | 172,768 | ||
3.00%, 10/15/42 | 88,142 | 79,811 | ||
3.00%, 11/15/42 | 38,422 | 34,563 | ||
4.00%, 08/20/43 | 135,674 | 131,817 | ||
3.50%, 06/20/44 | 46,819 | 44,137 | ||
3.00%, 01/15/45 | 707,827 | 638,203 | ||
3.50%, 03/20/45 | 20,131 | 18,881 | ||
3.50%, 04/15/45 | 188,473 | 177,874 | ||
4.00%, 05/20/45 | 11,483 | 11,077 | ||
4.00%, 10/20/45 | 82,735 | 79,616 | ||
3.50%, 01/20/46 | 53,095 | 49,878 | ||
3.50%, 04/20/46 | 113,302 | 106,187 |
Par | Value | |||
3.50%, 05/20/46 | $ 57,560 | $ 54,003 | ||
3.50%, 06/20/46 | 117,358 | 110,145 | ||
3.50%, 07/20/46 | 59,074 | 55,364 | ||
3.00%, 08/20/46 | 152,731 | 138,856 | ||
3.50%, 09/20/46 | 526,234 | 485,983 | ||
3.00%, 11/20/46 | 37,026 | 33,629 | ||
3.50%, 04/20/47 | 1,247,700 | 1,169,344 | ||
3.50%, 05/20/47 | 69,427 | 65,264 | ||
4.00%, 06/20/47 | 494,063 | 474,534 | ||
4.50%, 08/20/47 | 22,779 | 22,361 | ||
3.00%, 09/20/47 | 10,196 | 9,234 | ||
4.00%, 09/20/47 | 310,644 | 299,125 | ||
3.50%, 10/20/47 | 317,754 | 297,462 | ||
4.00%, 11/20/47 | 189,802 | 182,294 | ||
3.50%, 12/20/47 | 1,163,529 | 1,090,543 | ||
4.00%, 12/20/47 | 86,068 | 82,663 | ||
3.00%, 02/20/48 | 48,102 | 43,467 | ||
4.00%, 02/20/48 | 53,611 | 51,489 | ||
4.00%, 03/20/48 | 628,282 | 603,521 | ||
4.00%, 04/20/48 | 53,787 | 51,579 | ||
4.50%, 04/20/48 | 141,558 | 138,696 | ||
4.50%, 05/20/48 | 554,280 | 542,911 | ||
5.00%, 05/20/48 | 49,011 | 48,924 | ||
3.50%, 06/15/48 | 95,584 | 90,326 | ||
4.50%, 06/20/48 | 310,340 | 303,775 | ||
4.50%, 07/20/48 | 9,601 | 9,370 | ||
5.00%, 07/20/48 | 110,697 | 110,535 | ||
4.50%, 08/20/48 | 1,381,734 | 1,351,433 | ||
5.00%, 08/20/48 | 128,671 | 128,205 | ||
4.50%, 09/20/48 | 829,793 | 811,582 | ||
4.50%, 10/20/48 | 131,522 | 128,603 | ||
5.00%, 10/20/48 | 608,742 | 607,197 | ||
5.00%, 11/20/48 | 1,063,722 | 1,062,060 | ||
4.50%, 12/20/48 | 611,675 | 597,874 | ||
5.00%, 12/20/48 | 700,199 | 697,666 | ||
4.50%, 01/20/49 | 2,269,166 | 2,217,670 | ||
5.00%, 01/20/49 | 1,792,568 | 1,783,921 | ||
4.00%, 02/20/49 | 1,297,940 | 1,242,340 | ||
4.50%, 02/20/49 | 386,447 | 377,562 | ||
5.00%, 02/20/49 | 38,932 | 38,708 | ||
4.00%, 03/20/49 | 933,911 | 893,556 | ||
4.50%, 03/20/49 | 615,701 | 601,544 | ||
5.00%, 03/20/49 | 174,347 | 173,503 | ||
4.00%, 04/20/49 | 105,327 | 100,722 | ||
5.00%, 04/20/49 | 69,168 | 68,811 | ||
3.50%, 07/20/49 | 178,229 | 166,225 | ||
3.00%, 08/20/49 | 1,345,492 | 1,214,994 | ||
5.00%, 08/20/49 | 2,774,983 | 2,764,974 | ||
3.50%, 10/20/49 | 33,525 | 30,911 | ||
4.00%, 10/20/49 | 32,077 | 30,852 | ||
4.50%, 10/20/49 | 169,483 | 165,702 | ||
4.00%, 11/20/49 | 38,281 | 36,389 | ||
5.00%, 11/20/49 | 223,398 | 223,003 | ||
3.00%, 01/20/50 | 182,844 | 164,532 | ||
4.00%, 01/20/50 | 39,858 | 38,752 | ||
3.50%, 02/20/50 | 664,024 | 618,632 | ||
4.00%, 02/20/50 | 31,451 | 30,508 |
Par | Value | |||
3.00%, 03/20/50 | $ 7,681,316 | $ 6,925,478 | ||
4.00%, 03/20/50 | 29,817 | 28,982 | ||
4.00%, 04/20/50 | 130,445 | 124,524 | ||
3.50%, 05/15/50 | 82,215 | 76,984 | ||
4.50%, 05/20/50 | 394,903 | 385,253 | ||
3.50%, 06/20/50 | 780,858 | 728,046 | ||
3.50%, 07/20/50 | 71,436 | 66,669 | ||
3.50%, 11/20/50 | 880,787 | 813,660 | ||
2.50%, 12/20/50 | 145,434 | 123,481 | ||
4.50%, 12/20/50 | 250,367 | 244,712 | ||
2.00%, 01/20/51 | 146,424 | 123,546 | ||
2.50%, 01/20/51 | 126,649 | 110,272 | ||
2.00%, 02/20/51 | 2,752,977 | 2,323,054 | ||
2.50%, 02/20/51 | 260,472 | 226,797 | ||
3.00%, 02/20/51 | 106,528 | 96,197 | ||
2.50%, 03/20/51 | 69,474 | 60,450 | ||
2.50%, 04/20/51 | 585,813 | 509,613 | ||
2.50%, 06/20/51 | 954,438 | 818,067 | ||
2.00%, 07/20/51 | 414,917 | 350,247 | ||
3.00%, 07/20/51 | 135,368 | 121,597 | ||
2.50%, 08/20/51 | 676,979 | 580,533 | ||
2.50%, 09/20/51 | 2,396,781 | 2,048,657 | ||
3.00%, 09/20/51 | 722,070 | 648,183 | ||
2.00%, 10/20/51 | 263,370 | 221,933 | ||
2.50%, 10/20/51 | 7,161,147 | 6,141,484 | ||
2.00%, 11/20/51 | 177,596 | 149,575 | ||
2.50%, 11/20/51 | 1,645,380 | 1,418,074 | ||
3.00%, 11/20/51 | 3,626,764 | 3,253,465 | ||
2.50%, 12/20/51 | 6,351,534 | 5,450,085 | ||
3.00%, 12/20/51 | 877,771 | 786,559 | ||
2.00%, 01/20/52 | 363,800 | 306,111 | ||
2.50%, 01/20/52 | 1,430,721 | 1,219,835 | ||
3.00%, 02/20/52 | 3,231,327 | 2,895,574 | ||
3.50%, 02/20/52 | 548,738 | 506,785 | ||
3.00%, 03/20/52 | 265,628 | 238,097 | ||
3.50%, 03/20/52 | 191,376 | 174,834 | ||
3.00%, 04/20/52 | 988,941 | 867,429 | ||
3.50%, 04/20/52 | 376,639 | 347,818 | ||
4.00%, 05/20/52 | 475,551 | 450,240 | ||
4.50%, 05/20/52 | 474,220 | 458,279 | ||
3.50%, 06/20/52 | 188,270 | 170,134 | ||
4.00%, 06/20/52 | 574,899 | 545,770 | ||
2.50%, 08/20/52 | 279,014 | 241,932 | ||
4.50%, 08/20/52 | 483,842 | 467,602 | ||
2.50%, 09/20/52 | 281,991 | 244,489 | ||
4.50%, 09/20/52 | 11,695,159 | 11,301,401 | ||
5.00%, 09/20/52 | 193,937 | 193,422 | ||
5.00%, 10/20/52 | 781,641 | 770,680 | ||
5.00%, 11/20/52 | 1,078,024 | 1,060,786 | ||
5.50%, 11/20/52 | 687,145 | 684,863 | ||
2.50%, 12/20/52 | 671,807 | 582,469 | ||
3.50%, 12/20/52 | 588,981 | 543,903 | ||
5.00%, 12/20/52 | 98,326 | 96,763 | ||
5.00%, 01/20/53 | 392,078 | 390,961 | ||
2.50%, 02/20/53 | 680,573 | 590,865 | ||
3.50%, 02/20/53 | 1,960,460 | 1,815,299 |
Par | Value | |||
5.00%, 02/20/53 | $ 297,657 | $ 294,788 | ||
5.50%, 02/20/53 | 298,356 | 299,291 | ||
4.00%, 04/20/53 | 99,333 | 94,046 | ||
2.00%, 07/01/53 TBA | 4,500,000 | 3,783,340 | ||
2.50%, 07/01/53 TBA | 2,500,000 | 2,165,234 | ||
3.50%, 07/01/53 TBA | 1,500,000 | 1,384,629 | ||
4.00%, 07/01/53 TBA | 2,800,000 | 2,649,828 | ||
4.50%, 07/01/53 TBA | 1,200,000 | 1,158,281 | ||
5.00%, 07/01/53 TBA | 9,500,000 | 9,335,977 | ||
5.50%, 07/01/53 TBA | 14,100,000 | 14,035,008 | ||
6.00%, 07/01/53 TBA | 100,000 | 100,672 | ||
Government National Mortgage Association, Series 2007-30 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 6.50% Cap), 5.45%, 05/20/37† | 47,655 | 47,337 | ||
Government National Mortgage Association, Series 2007-51 | ||||
(Floating, 6.58% - ICE LIBOR USD 1M, 6.58% Cap), 1.43%, 08/20/37† IO | 442,225 | 12,528 | ||
Government National Mortgage Association, Series 2010-85 | ||||
(Floating, 6.65% - ICE LIBOR USD 1M, 6.65% Cap), 1.50%, 01/20/40† IO | 2,329 | 15 | ||
Government National Mortgage Association, Series 2010-H28 | ||||
(Floating, ICE LIBOR USD 1M + 0.40%, 0.40% Floor, 10.50% Cap), 5.49%, 12/20/60† | 87,939 | 87,381 | ||
Government National Mortgage Association, Series 2011-H08 | ||||
(Floating, ICE LIBOR USD 1M + 0.48%, 0.48% Floor, 10.50% Cap), 5.57%, 03/20/61† | 109,473 | 108,895 | ||
Government National Mortgage Association, Series 2011-H09 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 10.50% Cap), 5.59%, 03/20/61† | 62,778 | 62,468 | ||
Government National Mortgage Association, Series 2012-144 | ||||
0.33%, 01/16/53† IO γ | 2,539,814 | 16,938 | ||
Government National Mortgage Association, Series 2012-34 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.90%, 03/20/42† IO | 17,158 | 1,732 | ||
Government National Mortgage Association, Series 2012-H27 | ||||
1.73%, 10/20/62† IO γ | 223,923 | 5,567 | ||
Government National Mortgage Association, Series 2012-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.35%, 0.35% Floor, 10.50% Cap), 5.44%, 12/20/62† | 249,718 | 247,980 | ||
Government National Mortgage Association, Series 2013-107 | ||||
2.84%, 11/16/47† γ | 113,335 | 101,842 |
Par | Value | |||
Government National Mortgage Association, Series 2013-53 | ||||
3.50%, 04/20/43 IO | $ 33,560 | $ 3,186 | ||
Government National Mortgage Association, Series 2014-118 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 1.05%, 08/20/44† IO | 91,083 | 9,801 | ||
Government National Mortgage Association, Series 2014-17 | ||||
3.54%, 06/16/48† γ | 3,903 | 3,675 | ||
Government National Mortgage Association, Series 2014-93 | ||||
0.67%, 11/16/55† IO γ | 638,446 | 15,293 | ||
Government National Mortgage Association, Series 2015-167 | ||||
4.00%, 04/16/45 IO | 44,572 | 7,802 | ||
Government National Mortgage Association, Series 2015-H11 | ||||
(Floating, ICE LIBOR USD 1M + 0.55%, 0.55% Floor, 7.50% Cap), 5.64%, 05/20/65† | 1,245,248 | 1,230,703 | ||
Government National Mortgage Association, Series 2015-H14 | ||||
(Floating, ICE LIBOR USD 1M + 0.43%, 0.43% Floor, 11.00% Cap), 5.52%, 05/20/65† | 658,888 | 655,363 | ||
(Floating, ICE LIBOR USD 1M + 0.57%, 0.57% Floor, 7.50% Cap), 5.66%, 06/20/65† | 2,305,567 | 2,287,259 | ||
Government National Mortgage Association, Series 2015-H15 | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 7.50% Cap), 4.97%, 06/20/65† | 892,362 | 883,988 | ||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 5.39%, 06/20/65† | 2,156,805 | 2,139,514 | ||
Government National Mortgage Association, Series 2015-H16 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 5.69%, 07/20/65† | 2,148,538 | 2,127,234 | ||
Government National Mortgage Association, Series 2015-H17 | ||||
(Floating, ICE LIBOR USD 1M + 0.46%, 0.46% Floor), 5.32%, 06/20/65† | 198,724 | 197,683 | ||
Government National Mortgage Association, Series 2015-H18 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 5.13%, 07/20/65† | 289,290 | 286,804 | ||
Government National Mortgage Association, Series 2015-H19 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 5.69%, 08/20/65† | 308,626 | 305,623 | ||
Government National Mortgage Association, Series 2015-H22 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor, 7.50% Cap), 4.58%, 09/20/65† | 346,609 | 343,051 |
Par | Value | |||
Government National Mortgage Association, Series 2015-H23 | ||||
(Floating, ICE LIBOR USD 1M + 0.62%, 0.62% Floor, 7.50% Cap), 4.50%, 09/20/65† | $ 374,088 | $ 369,849 | ||
Government National Mortgage Association, Series 2015-H26 | ||||
(Floating, ICE LIBOR USD 1M + 0.52%, 0.52% Floor, 11.00% Cap), 5.61%, 10/20/65† | 833,690 | 828,035 | ||
Government National Mortgage Association, Series 2015-H30 | ||||
(Floating, ICE LIBOR USD 1M + 0.68%, 0.68% Floor), 4.81%, 08/20/61† | 1,738 | 1,707 | ||
Government National Mortgage Association, Series 2016-152 | ||||
0.73%, 08/15/58† IO γ | 2,795,263 | 94,961 | ||
Government National Mortgage Association, Series 2017-190 | ||||
0.62%, 03/16/60† IO γ | 1,438,145 | 50,580 | ||
Government National Mortgage Association, Series 2017-H15 | ||||
1.76%, 07/20/67† IO γ | 313,543 | 15,543 | ||
(Floating, ICE LIBOR USD 1Y + 0.80%, 0.80% Floor, 7.50% Cap), 3.58%, 07/20/67† | 1,030,368 | 1,030,654 | ||
Government National Mortgage Association, Series 2017-H18 | ||||
0.16%, 09/20/67† IO γ | 2,409,042 | 72,658 | ||
Government National Mortgage Association, Series 2017-H20 | ||||
0.15%, 10/20/67† IO γ | 105,897 | 4,059 | ||
Government National Mortgage Association, Series 2017-H22 | ||||
0.04%, 11/20/67† IO γ | 857,112 | 27,960 | ||
Government National Mortgage Association, Series 2018-H07 | ||||
(Floating, ICE LIBOR USD 1M + 0.30%, 0.30% Floor, 11.00% Cap), 5.39%, 05/20/68† | 386,629 | 385,426 | ||
Government National Mortgage Association, Series 2020-123 | ||||
2.50%, 08/20/50 IO | 540,987 | 74,681 | ||
Government National Mortgage Association, Series 2020-127 | ||||
2.50%, 08/20/50 IO | 154,041 | 20,947 | ||
Government National Mortgage Association, Series 2020-129 | ||||
2.50%, 09/20/50 IO | 158,945 | 21,573 | ||
Government National Mortgage Association, Series 2020-160 | ||||
2.50%, 10/20/50 IO | 719,332 | 96,545 | ||
Government National Mortgage Association, Series 2020-173 | ||||
2.50%, 11/20/50 IO | 2,206,685 | 289,019 | ||
Government National Mortgage Association, Series 2020-179 | ||||
1.01%, 09/16/62† IO γ | 6,819,987 | 466,900 |
Par | Value | |||
Government National Mortgage Association, Series 2020-181 | ||||
2.00%, 12/20/50 IO | $1,214,022 | $ 129,161 | ||
Government National Mortgage Association, Series 2020-47 | ||||
3.50%, 04/20/50 IO | 330,969 | 54,979 | ||
Government National Mortgage Association, Series 2020-H09 | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor, 11.00% Cap), 6.34%, 04/20/70† | 110,498 | 111,401 | ||
(Floating, ICE LIBOR USD 1M + 1.15%, 1.15% Floor), 4.86%, 05/20/70† | 311,423 | 308,457 | ||
Government National Mortgage Association, Series 2020-H13 | ||||
(Floating, ICE LIBOR USD 1M + 0.45%, 0.45% Floor, 7.50% Cap), 4.42%, 07/20/70† | 129,593 | 125,069 | ||
Government National Mortgage Association, Series 2021-135 | ||||
2.00%, 08/20/51 | 4,057,136 | 3,379,749 | ||
Government National Mortgage Association, Series 2021-14 | ||||
1.34%, 06/16/63 | 363,991 | 278,677 | ||
Government National Mortgage Association, Series 2021-188 | ||||
2.00%, 10/20/51 | 1,110,664 | 929,711 | ||
Government National Mortgage Association, Series 2021-191 | ||||
3.00%, 10/20/51 IO | 645,788 | 107,926 | ||
Government National Mortgage Association, Series 2021-21 | ||||
1.40%, 06/16/63 | 701,285 | 540,981 | ||
Government National Mortgage Association, Series 2021-223 | ||||
2.00%, 06/20/51 | 902,137 | 771,200 | ||
Government National Mortgage Association, Series 2021-29 | ||||
2.50%, 02/20/51 IO | 464,256 | 79,794 | ||
Government National Mortgage Association, Series 2021-77 | ||||
1.25%, 07/20/50 | 377,226 | 298,377 | ||
Government National Mortgage Association, Series 2022-102 | ||||
2.25%, 06/16/64 | 1,500,000 | 938,068 | ||
Government National Mortgage Association, Series 2022-139 | ||||
4.00%, 07/20/51 | 300,000 | 278,236 | ||
Government National Mortgage Association, Series 2022-189 | ||||
2.50%, 10/20/51 | 580,071 | 484,872 | ||
Government National Mortgage Association, Series 2022-196 | ||||
3.00%, 10/16/64† γ | 300,000 | 223,242 | ||
Government National Mortgage Association, Series 2022-210 | ||||
0.69%, 07/16/64† IO γ | 1,491,675 | 96,907 | ||
Government National Mortgage Association, Series 2022-216 | ||||
0.75%, 07/16/65† IO γ | 1,494,588 | 91,960 |
Par | Value | |||
Government National Mortgage Association, Series 2022-220 | ||||
3.00%, 10/16/64 | $ 300,000 | $ 227,030 | ||
Government National Mortgage Association, Series 2022-3 | ||||
0.64%, 02/16/61† IO γ | 97,399 | 5,092 | ||
Government National Mortgage Association, Series 2023-92 | ||||
0.61%, 06/16/64† | 2,000,000 | 118,179 | ||
2.00%, 06/16/64 | 1,700,000 | 1,279,920 | ||
GPMT, Ltd., Series 2021-FL3, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.25%, 1.25% Floor), 6.41%, 07/16/35 144A † | 1,189,076 | 1,180,415 | ||
GreenPoint Mortgage Funding Trust, Series 2006-OH1, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.36%, 0.36% Floor), 5.51%, 01/25/37† | 277,756 | 241,219 | ||
GS Mortgage Securities Corporation Trust, Series 2018-SRP5, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.80%, 1.30% Floor), 6.99%, 09/15/31 144A † | 1,373,213 | 1,132,736 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.89%, 0.89% Floor), 6.08%, 11/15/36 144A † | 1,570,000 | 1,534,028 | ||
GS Mortgage Securities Corporation Trust, Series 2021-DM, Class AS | ||||
(Floating, ICE LIBOR USD 1M + 1.39%, 1.39% Floor), 6.58%, 11/15/36 144A † | 1,370,000 | 1,336,566 | ||
GS Mortgage Securities Corporation Trust, Series 2021-RENT, Class B | ||||
(Floating, ICE LIBOR USD 1M + 1.10%, 1.10% Floor), 6.26%, 11/21/35 144A † | 663,129 | 634,249 | ||
GS Mortgage Securities Corporation Trust, Series 2022-SHIP, Class C | ||||
(Floating, CME Term SOFR 1M + 1.92%, 1.92% Floor), 7.07%, 08/15/24 144A † | 1,250,000 | 1,241,606 | ||
GS Mortgage Securities Trust, Series 2013-GC16, Class B | ||||
5.16%, 11/10/46 | 130,000 | 127,208 | ||
GS Mortgage Securities Trust, Series 2015-GC30, Class AS | ||||
3.78%, 05/10/50 | 370,000 | 347,022 | ||
GS Mortgage Securities Trust, Series 2017-GS6, Class A2 | ||||
3.16%, 05/10/50 | 295,302 | 271,172 | ||
GS Mortgage-Backed Securities Trust, Series 2022-GR2, Class A2 | ||||
3.00%, 08/26/52 144A † γ | 2,389,847 | 2,017,813 | ||
GS Mortgage-Backed Securities Trust, Series 2022-PJ3, Class A4 | ||||
2.50%, 08/25/52 144A † γ | 2,027,853 | 1,642,578 |
Par | Value | |||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||
4.06%, 09/25/35† γ | $ 147,757 | $ 139,814 | ||
HIT Trust, Series 2022-HI32, Class C | ||||
(Floating, CME Term SOFR 1M + 3.74%, 3.74% Floor), 8.88%, 07/15/24 144A † | 1,231,374 | 1,221,563 | ||
Impac CMB Trust, Series 2004-8, Class 1A | ||||
(Floating, ICE LIBOR USD 1M + 0.72%, 0.72% Floor, 11.00% Cap), 5.87%, 10/25/34† | 10,507 | 9,892 | ||
IndyMac ARM Trust, Series 2001-H2, Class A1 | ||||
3.69%, 01/25/32† γ | 2,823 | 2,659 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class D | ||||
5.13%, 05/15/45† γ | 228,792 | 209,287 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-410T, Class A | ||||
2.29%, 03/05/42 144A | 1,900,000 | 1,485,243 | ||
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1 | ||||
3.75%, 02/25/35† γ | 9,667 | 8,917 | ||
JP Morgan Mortgage Trust, Series 2018-4, Class A1 | ||||
3.50%, 10/25/48 144A † γ | 112,878 | 100,352 | ||
JP Morgan Mortgage Trust, Series 2021-14, Class A11 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 5.00%, 05/25/52 144A † | 2,002,027 | 1,851,536 | ||
JP Morgan Mortgage Trust, Series 2021-6, Class A3 | ||||
2.50%, 10/25/51 144A † γ | 1,860,815 | 1,509,592 | ||
JP Morgan Mortgage Trust, Series 2021-LTV2, Class A1 | ||||
2.52%, 05/25/52 144A | 973,063 | 787,044 | ||
JP Morgan Mortgage Trust, Series 2022-INV1, Class A3 | ||||
3.00%, 03/25/52 144A † γ | 1,979,667 | 1,671,487 | ||
JP Morgan Mortgage Trust, Series 2022-LTV2, Class A3 | ||||
3.50%, 09/25/52 144A † γ | 1,972,812 | 1,712,370 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B | ||||
5.05%, 01/15/47† γ | 50,000 | 45,172 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class ASB | ||||
3.41%, 11/15/47 | 231,672 | 226,191 | ||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class ASB | ||||
3.36%, 11/15/48 | 325,474 | 312,496 | ||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class B | ||||
4.01%, 03/15/50 | 630,000 | 493,284 |
Par | Value | |||
KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, Class A | ||||
2.56%, 11/05/44 144A | $2,300,000 | $1,710,516 | ||
LSTAR Securities Investment, Ltd., Series 2023-1, Class A1 | ||||
(Floating, U.S. SOFR + 3.50%), 8.56%, 01/01/28 144A † | 571,176 | 568,615 | ||
Ludgate Funding PLC, Series 2007-1, Class A2A | ||||
(Floating, ICE LIBOR GBP 3M + 0.16%), 4.59%, 01/01/61(U) † | 450,995 | 545,279 | ||
Ludgate Funding PLC, Series 2008-W1X, Class A1 | ||||
(Floating, ICE LIBOR GBP 3M + 0.60%), 5.03%, 01/01/61(U) † | 379,207 | 458,886 | ||
Manhattan West Mortgage Trust, Series 2020-OMW, Class A | ||||
2.13%, 09/10/39 144A | 1,700,000 | 1,452,927 | ||
Mansard Mortgages PLC, Series 2007-1X, Class A2 | ||||
(Floating, SONIA Interest Rate + 0.30%), 4.77%, 04/15/47(U) † | 443,558 | 542,248 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | ||||
4.56%, 11/21/34† γ | 75,132 | 71,057 | ||
MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 4A1 | ||||
3.88%, 05/25/34† γ | 42,538 | 39,860 | ||
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A | ||||
(Floating, CME Term SOFR 1M + 0.96%, 0.96% Floor), 6.11%, 07/15/36 144A † | 651,449 | 640,919 | ||
Mill City Mortgage Loan Trust, Series 2017-2, Class A3 | ||||
3.18%, 07/25/59 144A † γ | 117,813 | 110,034 | ||
Mill City Mortgage Loan Trust, Series 2019-GS2, Class M1 | ||||
3.00%, 08/25/59 144A | 870,000 | 753,541 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS | ||||
3.46%, 05/15/46 | 27,448 | 26,848 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class B | ||||
4.00%, 12/15/47 | 370,000 | 343,170 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class AS | ||||
3.56%, 05/15/46 | 480,000 | 448,626 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class A4 | ||||
3.37%, 10/15/48 | 1,400,000 | 1,332,171 | ||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB | ||||
3.56%, 12/15/47 | 342,856 | 332,383 |
Par | Value | |||
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.90%, 1.40% Floor), 7.09%, 05/15/36 144A † | $ 825,498 | $ 801,572 | ||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A | ||||
2.51%, 04/05/42 144A † γ | 1,600,000 | 1,212,443 | ||
MortgageIT Trust, Series 2005-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.56%, 0.56% Floor, 11.50% Cap), 5.71%, 10/25/35† | 66,669 | 65,111 | ||
MSCG Trust, Series 2015-ALDR, Class A2 | ||||
3.58%, 06/07/35 144A † γ | 580,000 | 530,580 | ||
NADG NNN Operating LP, Series 2019-1, Class A | ||||
3.37%, 12/28/49 144A | 866,548 | 808,383 | ||
New Residential Mortgage Loan Trust, Series 2022-NQM4, Class A1 | ||||
(Step to 4.99% on 07/25/25), 5.00%, 06/25/62 144A STEP | 262,974 | 254,596 | ||
New Residential Mortgage Loan Trust, Series 2022-NQM5, Class A2 | ||||
(Step to 6.50% on 02/25/25), 6.50%, 11/25/52 144A STEP | 432,967 | 428,165 | ||
NYMT Loan Trust, Series 2022-SP1, Class A1 | ||||
(Step to 8.25% on 08/25/25), 5.25%, 07/25/62 144A STEP | 3,363,184 | 3,308,069 | ||
NYO Commercial Mortgage Trust, Series 2021-1290, Class A | ||||
(Floating, CME Term SOFR 1M + 1.21%, 1.10% Floor), 6.36%, 11/15/38 144A † | 2,300,000 | 2,094,643 | ||
OBX Trust, Series 2018-1, Class A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.65%), 5.80%, 06/25/57 144A † | 799,953 | 758,794 | ||
OBX Trust, Series 2022-NQM6, Class A1 | ||||
(Step to 4.73% on 07/25/26), 4.70%, 07/25/62 144A STEP | 1,307,182 | 1,265,855 | ||
OBX Trust, Series 2022-NQM7, Class A1 | ||||
(Step to 5.81% on 09/25/26), 5.11%, 08/25/62 144A STEP | 1,324,891 | 1,292,100 | ||
OBX Trust, Series 2022-NQM7, Class A3 | ||||
(Step to 5.81% on 09/25/26), 5.70%, 08/25/62 144A STEP | 1,827,436 | 1,758,932 | ||
OBX Trust, Series 2022-NQM8, Class A2 | ||||
(Step to 5.93% on 08/25/23), 6.10%, 09/25/62 144A STEP | 455,541 | 448,297 | ||
OBX Trust, Series 2022-NQM9, Class A1A | ||||
(Step to 6.25% on 12/25/23), 6.45%, 09/25/62 144A STEP | 140,809 | 140,756 |
Par | Value | |||
OBX Trust, Series 2022-NQM9, Class A2 | ||||
(Step to 6.25% on 12/25/23), 6.45%, 09/25/62 144A STEP | $1,267,284 | $1,253,587 | ||
OBX Trust, Series 2023-NQM1, Class A3 | ||||
6.50%, 11/25/62 144A † γ | 424,756 | 419,136 | ||
OBX Trust, Series 2023-NQM3, Class A1 | ||||
(Step to 6.95% on 05/25/27), 5.95%, 01/25/63 144A STEP | 1,163,769 | 1,154,098 | ||
OSAT Trust, Series 2021-RPL1, Class A1 | ||||
(Step to 3.65% on 07/25/24), 2.12%, 05/25/65 144A STEP | 1,122,713 | 1,051,499 | ||
PFP, Ltd., Series 2021-8, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.00%, 1.00% Floor), 6.16%, 08/09/37 144A † | 1,323,801 | 1,289,253 | ||
PRKCM Trust, Series 2022-AFC1, Class A1A | ||||
4.10%, 04/25/57 144A † γ | 1,080,533 | 1,008,936 | ||
PRPM LLC, Series 2022-1, Class A1 | ||||
(Step to 6.72% on 03/25/25), 3.72%, 02/25/27 144A STEP | 1,227,984 | 1,168,815 | ||
PRPM LLC, Series 2023-1, Class A1 | ||||
6.88%, 02/25/28 144A † γ | 239,466 | 238,188 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.95%, 0.95% Floor), 6.10%, 07/25/36 144A † | 1,732,577 | 1,678,016 | ||
Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.20%, 1.20% Floor), 6.35%, 11/25/36 144A † | 2,068,922 | 2,014,389 | ||
Resloc UK PLC, Series 2007-1X, Class A3A | ||||
(Floating, Euribor 3M + 0.16%), 3.69%, 12/15/43(E) † | 632,160 | 658,150 | ||
Resloc UK PLC, Series 2007-1X, Class A3B | ||||
(Floating, SONIA Interest Rate + 0.28%), 5.16%, 12/15/43(U) † | 158,040 | 192,201 | ||
Ripon Mortgages PLC, Series 1RA, Class A | ||||
(Floating, SONIA Interest Rate + 0.70%), 5.49%, 08/28/56(U) 144A † | 3,442,189 | 4,352,706 | ||
Ripon Mortgages PLC, Series 1RA, Class C | ||||
(Floating, SONIA Interest Rate + 1.15%), 5.94%, 08/28/56(U) 144A † | 3,100,000 | 3,848,022 | ||
Sequoia Mortgage Trust, Series 6, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.00% Cap), 5.79%, 04/19/27† | 61,110 | 58,373 |
Par | Value | |||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, CME Term SOFR 1M + 2.51%, 2.40% Floor), 7.59%, 05/15/38 144A † | $ 970,000 | $ 746,439 | ||
Shops at Crystals Trust, Series 2016-CSTL, Class A | ||||
3.13%, 07/05/36 144A | 340,000 | 305,656 | ||
SLG Office Trust, Series 2021-OVA, Class A | ||||
2.59%, 07/15/41 144A | 430,000 | 345,705 | ||
SMRT, Series 2022-MINI, Class D | ||||
(Floating, CME Term SOFR 1M + 1.95%, 1.95% Floor), 7.10%, 01/15/39 144A † | 1,290,000 | 1,220,630 | ||
SREIT Trust, Series 2021-IND, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.70%, 0.70% Floor), 5.89%, 10/15/38 144A † | 2,300,000 | 2,237,090 | ||
SREIT Trust, Series 2021-MFP2, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.82%, 0.82% Floor), 6.01%, 11/15/36 144A † | 450,000 | 438,979 | ||
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.50%, 0.50% Floor, 11.00% Cap), 5.65%, 07/19/35† | 27,337 | 24,740 | ||
STWD Mortgage Trust, Series 2021-HTS, Class A | ||||
(Floating, ICE LIBOR USD 1M + 1.05%, 1.05% Floor), 6.24%, 04/15/34 144A † | 1,959,000 | 1,922,514 | ||
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A | ||||
(Floating, CME Term SOFR 1M + 2.19%, 2.19% Floor), 7.33%, 05/15/37 144A † | 850,000 | 827,614 | ||
Thornburg Mortgage Securities Trust, Series 2003-4, Class A1 | ||||
(Floating, ICE LIBOR USD 1M + 0.64%, 0.64% Floor, 11.50% Cap), 5.79%, 09/25/43† | 2,713 | 2,565 | ||
Thornburg Mortgage Securities Trust, Series 2005-1, Class A3 | ||||
3.87%, 04/25/45† γ | 16,572 | 15,723 | ||
Towd Point Mortgage Funding PLC, Series 2019-A13X, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.35%), 5.84%, 07/20/45(U) † | 1,175,320 | 1,492,648 | ||
Towd Point Mortgage Funding PLC, Series 2019-GR4A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.14%), 5.64%, 10/20/51(U) 144A † | 695,587 | 884,102 | ||
Towd Point Mortgage Funding PLC, Series 2020-A14X, Class A | ||||
(Floating, SONIA Interest Rate + 1.35%), 6.10%, 05/20/45(U) † | 2,702,560 | 3,418,753 |
Par | Value | |||
Towd Point Mortgage Funding, Series 2019-A13A, Class A1 | ||||
(Floating, SONIA Interest Rate + 1.35%), 5.84%, 07/20/45(U) 144A † | $ 1,175,320 | $ 1,492,648 | ||
Towd Point Mortgage Trust, Series 2020-1, Class A1 | ||||
2.71%, 01/25/60 144A † γ | 497,461 | 459,471 | ||
Towd Point Mortgage Trust, Series 2020-2, Class A1A | ||||
1.64%, 04/25/60 144A | 337,223 | 292,126 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 07/01/52 TBA | 7,200,000 | 6,106,500 | ||
4.00%, 07/01/52 TBA | 800,000 | 750,844 | ||
4.00%, 08/01/52 TBA | 62,500,000 | 58,708,496 | ||
3.00%, 07/01/53 TBA | 75,808,964 | 66,732,617 | ||
3.50%, 07/01/53 TBA | 5,400,000 | 4,921,383 | ||
5.00%, 07/01/53 TBA | 42,800,000 | 41,940,656 | ||
5.50%, 07/01/53 TBA | 200,000 | 199,047 | ||
6.00%, 07/01/53 TBA | 700,000 | 706,232 | ||
4.50%, 08/01/53 TBA | 18,300,000 | 17,603,742 | ||
5.00%, 09/01/53 TBA | 15,400,000 | 15,100,422 | ||
UWM Mortgage Trust, Series 2021-INV2, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.00%, 5.00% Cap), 5.00%, 09/25/51 144A † | 2,003,844 | 1,858,818 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A3 | ||||
2.50%, 11/25/51 144A † γ | 2,846,940 | 2,298,955 | ||
UWM Mortgage Trust, Series 2021-INV3, Class A9 | ||||
(Floating, U.S. 30-Day Average SOFR + 0.95%, 5.00% Cap), 5.00%, 11/25/51 144A † | 2,046,237 | 1,892,537 | ||
UWM Mortgage Trust, Series 2021-INV4, Class A3 | ||||
2.50%, 12/25/51 144A † γ | 1,976,743 | 1,596,256 | ||
VASA Trust, Series 2021-VASA, Class A | ||||
(Floating, ICE LIBOR USD 1M + 0.90%, 0.90% Floor), 6.09%, 07/15/39 144A † | 390,000 | 343,905 | ||
Verus Securitization Trust, Series 2022-6, Class A3 | ||||
(Step to 4.94% on 07/25/26), 4.91%, 06/25/67 144A STEP | 2,238,111 | 2,115,374 | ||
Verus Securitization Trust, Series 2022-8, Class A2 | ||||
(Step to 6.18% on 11/25/26), 6.13%, 09/25/67 144A STEP | 948,251 | 936,359 | ||
Verus Securitization Trust, Series 2022-INV1, Class A1 | ||||
(Step to 5.87% on 09/25/26), 5.04%, 08/25/67 144A STEP | 91,216 | 88,768 | ||
Verus Securitization Trust, Series 2023-3, Class A3 | ||||
(Step to 7.74% on 05/25/27), 6.74%, 03/25/68 144A STEP | 1,164,969 | 1,157,397 |
Par | Value | |||
Verus Securitization Trust, Series 2023-4, Class A1 | ||||
(Step to 6.81% on 06/25/27), 5.81%, 05/25/27 144A STEP | $ 969,070 | $ 961,365 | ||
VLS Commercial Mortgage Trust, Series 2020-LAB, Class B | ||||
2.45%, 10/10/42 144A | 1,610,000 | 1,247,430 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2002-AR19, Class A7 | ||||
4.20%, 02/25/33† γ | 1,513 | 1,456 | ||
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), 5.38%, 06/25/42† | 2,781 | 2,562 | ||
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), 5.93%, 01/25/45† | 482,337 | 450,278 | ||
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), 5.73%, 10/25/45† | 296,545 | 280,160 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 1A1 | ||||
3.65%, 02/25/37† γ | 108,487 | 94,247 | ||
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | ||||
3.67%, 02/25/37† γ | 67,282 | 60,859 | ||
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), 4.74%, 04/25/47† | 241,197 | 212,833 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 1A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.54%, 0.54% Floor, 10.50% Cap), 5.69%, 07/25/45† | 221,605 | 210,597 | ||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | ||||
(Floating, ICE LIBOR USD 1M + 0.58%, 0.58% Floor, 10.50% Cap), 5.73%, 07/25/45† | 61,303 | 57,091 | ||
Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A | ||||
4.10%, 01/14/26 144A | 23,277 | 22,060 | ||
Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 | ||||
4.39%, 12/28/37† γ | 136,834 | 125,840 | ||
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class D | ||||
3.25%, 01/15/60 144A | 150,000 | 103,735 |
Par | Value | |||
Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class ASB | ||||
3.16%, 06/15/52 | $ 300,000 | $ 276,576 | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2019-3, Class A1 | ||||
3.50%, 07/25/49 144A † γ | 29,015 | 25,950 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class XA | ||||
1.11%, 03/15/47† IO γ | 556,513 | 1,948 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA | ||||
1.15%, 08/15/47† IO γ | 2,295,119 | 21,038 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class AS | ||||
3.93%, 11/15/47 | 290,000 | 275,057 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C24, Class C | ||||
4.29%, 11/15/47 | 300,000 | 241,275 | ||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||
3.53%, 11/10/36 144A | 1,900,000 | 1,603,729 | ||
Total Mortgage-Backed Securities (Cost $965,794,781) | 925,030,976 | |||
MUNICIPAL BONDS — 0.6% | ||||
Alameda Corridor Transportation Authority, Revenue Bond (AGM Insured) | ||||
5.40%, 10/01/46 | 1,250,000 | 1,250,670 | ||
American Municipal Power, Inc., Hydroelectric Projects, Revenue Bond, Series B | ||||
8.08%, 02/15/50 | 600,000 | 813,567 | ||
American Municipal Power, Inc., Revenue Bond, Series E | ||||
6.27%, 02/15/50 | 225,000 | 247,306 | ||
California Statewide Communities Development Authority, Revenue Bond | ||||
1.81%, 02/01/30 | 25,000 | 20,112 | ||
1.88%, 02/01/31 | 150,000 | 117,674 | ||
California Statewide Communities Development Authority, Revenue Bond (AGM Insured) | ||||
7.14%, 08/15/47 | 1,200,000 | 1,293,591 | ||
Central Texas Regional Mobility Authority, Revenue Bond, Series E | ||||
3.17%, 01/01/41 | 1,000,000 | 774,846 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series A | ||||
6.90%, 12/01/40 | 680,000 | 771,929 | ||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue, Revenue Bond, Series B | ||||
6.90%, 12/01/40 | 290,000 | 329,205 | ||
City of Houston Texas Airport System Revenue, Revenue Bond, Subseries C | ||||
2.24%, 07/01/29 | 110,000 | 95,364 |
Par | Value | |||
City of New Orleans Louisiana Sewerage Service Revenue, Revenue Bond (AGM Insured) | ||||
0.96%, 06/01/26 | $ 25,000 | $ 22,033 | ||
1.41%, 06/01/28 | 65,000 | 54,591 | ||
City of New Orleans Louisiana Water System Revenue, Revenue Bond (AGM Insured) | ||||
1.01%, 12/01/26 | 30,000 | 26,061 | ||
1.46%, 12/01/28 | 65,000 | 53,960 | ||
Commonwealth Financing Authority, Revenue Bond, Series C | ||||
2.76%, 06/01/30 | 50,000 | 44,093 | ||
Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bond | ||||
4.28%, 02/01/36 | 1,300,000 | 1,224,595 | ||
Louisiana State Transportation Authority, Revenue Bond, Series A | ||||
2.00%, 02/15/30 | 50,000 | 41,892 | ||
Metropolitan Transportation Authority, Revenue Bond, Series A-2 | ||||
5.99%, 11/15/30 | 115,000 | 121,074 | ||
Metropolitan Transportation Authority, Revenue Bond, Series C-2 | ||||
5.18%, 11/15/49 | 825,000 | 754,483 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series A | ||||
2.07%, 11/01/30 | 670,000 | 551,436 | ||
Municipal Improvement Corporation of Los Angeles, Revenue Bond, Series C | ||||
1.83%, 11/01/29 | 70,000 | 58,173 | ||
Port Authority of New York & New Jersey, Revenue Bond, Series 192 | ||||
4.81%, 10/15/65 | 300,000 | 292,683 | ||
Port of Oakland, Senior Lien Revenue Bond, Series R | ||||
1.95%, 05/01/28 | 90,000 | 79,247 | ||
2.10%, 05/01/30 | 25,000 | 21,180 | ||
2.20%, 05/01/31 | 135,000 | 112,710 | ||
San Francisco Municipal Transportation Agency, Revenue Bond, Series A | ||||
1.30%, 03/01/28 | 155,000 | 130,633 | ||
San Jose Financing Authority, Revenue Bond | ||||
1.81%, 06/01/29 | 100,000 | 84,891 | ||
1.86%, 06/01/30 | 55,000 | 45,663 | ||
State Board of Administration Finance Corporation, Revenue Bond, Series A | ||||
2.15%, 07/01/30 | 235,000 | 196,122 | ||
State of California, General Obligation | ||||
7.55%, 04/01/39 | 410,000 | 517,548 |
Par | Value | |||
State of Illinois, General Obligation | ||||
5.10%, 06/01/33 | $ 405,000 | $ 398,415 | ||
6.63%, 02/01/35 | 456,923 | 477,314 | ||
7.35%, 07/01/35 | 431,786 | 465,801 | ||
State of Louisiana, Revenue Bond, I-49 North Project | ||||
1.06%, 09/01/26 | 15,000 | 13,246 | ||
State of Louisiana, Revenue Bond, I-49 South Project | ||||
1.54%, 09/01/28 | 70,000 | 59,435 | ||
Tarrant County Cultural Education Facilities Finance Corporation, Revenue Bond (AGM Insured) | ||||
2.78%, 09/01/34 | 1,000,000 | 785,936 | ||
University of North Carolina at Charlotte (The), Revenue Bond | ||||
1.71%, 04/01/28 | 5,000 | 4,351 | ||
Total Municipal Bonds (Cost $13,032,258) | 12,351,830 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTIONS — 0.1% | ||||
Call Swaption — 0.0% | ||||
Pay 1-Day SOFR (Annually); Receive 2.697% (Annually); Interest Rate Swap Maturing 04/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | 1 | $ 100 | 43,667 | |
Call Options — 0.0% | ||||
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $113.00, Expires 07/21/23 (GSC) | 36 | 4,041,562 | 14,625 | |
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $113.50, Expires 07/21/23 (GSC) | 26 | 2,918,906 | 6,906 | |
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $114.00, Expires 07/21/23 (GSC) | 117 | 13,135,078 | 20,110 |
Number of Contracts | Notional Amount | Value | |||
3-Month SOFR Interest Rate Swap expiration 09/2023, Strike Price $96.00, Expires 09/15/23 (GSC) | 37 | $8,750,500 | $ 2,544 | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $107.20, Expires 07/21/23 (GSC) | 72 | 7,710,754 | 32,625 | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $107.70, Expires 07/21/23 (GSC) | 72 | 7,710,754 | 19,687 | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $108.00, Expires 07/21/23 (GSC) | 61 | 6,532,722 | 12,391 | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $108.70, Expires 07/21/23 (GSC) | 4 | 428,375 | 344 | ||
Bank of America, N.A. 2Y-10 ISDA CAP Expiring on December 2023, Strike Price $0.41, Expires 12/19/23 (BOA) | 1 | 3,350,000 | 2,498 | ||
Bank of America, N.A. 2Y-10 SOFR CAP Expiring on June 2024, Strike Price $0.47, Expires 06/20/24 (BOA) | 1 | 3,400,000 | 5,689 | ||
Barclays, N.A. 2Y-10 ISDA CAP Expiring on December 2023, Strike Price $0.40, Expires 12/19/23 (BAR) | 1 | 3,400,000 | 2,535 | ||
Barclays, N.A. 2Y-10 ISDA CAP Expiring on June 2024, Strike Price $0.46, Expires 06/20/24 (BAR) | 1 | 3,400,000 | 5,506 | ||
Barclays, N.A. 2Y-10 SOFR CAP Expiring on December 2023, Strike Price $0.42, Expires 12/19/23 (BAR) | 1 | 3,400,000 | 2,698 |
Number of Contracts | Notional Amount | Value | |||
Barclays, N.A. 2Y-10 SOFR CAP Expiring on June 2024, Strike Price $0.46, Expires 06/20/24 (BAR) | 1 | $ 3,350,000 | $ 5,606 | ||
Long U.S. Treasury Bond Future expiration date 05/2023, Strike Price $127.00, Expires 07/21/23 (GSC) | 18 | 2,284,313 | 21,375 | ||
Long U.S. Treasury Bond Future expiration date 05/2023, Strike Price $128.00, Expires 07/21/23 (GSC) | 14 | 1,776,688 | 10,719 | ||
Morgan Stanley, N.A. 2Y-10 ISDA CAP Expiring on December 2023, Strike Price $0.39, Expires 12/19/23 (MSCS) | 1 | 3,400,000 | 2,535 | ||
Morgan Stanley, N.A. 2Y-10 ISDA CAP Expiring on December 2023, Strike Price $0.39, Expires 12/19/23 (MSCS) | 1 | 3,400,000 | 2,535 | ||
Morgan Stanley, N.A. 2Y-10 ISDA CAP Expiring on June 2024, Strike Price $0.44, Expires 06/20/24 (MSCS) | 1 | 3,400,000 | 5,506 | ||
Morgan Stanley, N.A. 2Y-10 ISDA CAP Expiring on June 2024, Strike Price $0.45, Expires 06/20/24 (MSCS) | 1 | 3,400,000 | 5,506 | ||
181,940 | |||||
Put Options — 0.1% | |||||
3-Month SOFR Interest Rate Swap expiration 10/2023, Strike Price $97.00, Expires 10/13/23 (GSC) | 123 | 29,101,800 | 339,787 | ||
3-Month SOFR Interest Rate Swap expiration 12/2023, Strike Price $95.87, Expires 12/15/23 (GSC) | 102 | 24,133,200 | 106,462 |
Number of Contracts | Notional Amount | Value | |||
3-Month SOFR Interest Rate Swap expiration 12/2023, Strike Price $96.00, Expires 12/15/23 (GSC) | 237 | $56,074,200 | $ 284,400 | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $108.20, Expires 07/21/23 (GSC) | 40 | 4,283,752 | 52,188 | ||
782,837 | |||||
Put Swaption — 0.0% | |||||
Pay 2.697% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 04/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | 1 | 100 | 43,667 | ||
Total Purchased Options (Premiums paid $975,733) | 1,052,111 |
Par | |||
U.S. TREASURY OBLIGATIONS — 11.6% | |||
U.S. Treasury Bills | |||
5.00%, 09/07/23Ω ‡‡ | $ 1,504,000 | 1,489,855 | |
5.09%, 09/14/23Ω ‡‡ | 284,000 | 281,031 | |
5.07%, 10/03/23Ω | 6,200,000 | 6,118,203 | |
7,889,089 | |||
U.S. Treasury Bonds | |||
4.38%, 02/15/38 | 10,000 | 10,653 | |
4.25%, 05/15/39 | 4,300,000 | 4,500,387 | |
4.38%, 11/15/39 | 200,000 | 211,977 | |
1.13%, 08/15/40 | 3,830,000 | 2,465,712 | |
1.38%, 11/15/40 | 35,860,000 | 24,020,597 | |
1.88%, 02/15/41 | 9,190,000 | 6,681,058 | |
2.25%, 05/15/41 | 8,910,000 | 6,869,227 | |
1.75%, 08/15/41 | 1,350,000 | 949,430 | |
3.13%, 11/15/41‡‡ | 3,580,000 | 3,154,595 | |
2.38%, 02/15/42 | 2,800,000 | 2,181,266 | |
3.25%, 05/15/42 | 7,050,000 | 6,294,603 | |
2.75%, 08/15/42‡‡ | 10,430,000 | 8,599,657 | |
2.75%, 11/15/42‡‡ | 7,050,000 | 5,803,307 | |
3.88%, 02/15/43 | 1,450,000 | 1,414,203 | |
2.88%, 05/15/43Δ | 3,200,000 | 2,678,625 | |
3.88%, 05/15/43Δ | 3,470,000 | 3,386,503 | |
3.63%, 08/15/43‡‡ Δ | 280,000 | 262,959 | |
3.63%, 02/15/44‡‡ | 6,460,000 | 6,055,998 | |
3.38%, 05/15/44‡‡ | 3,200,000 | 2,886,750 | |
3.13%, 08/15/44 | 5,260,000 | 4,554,420 | |
3.00%, 11/15/44 | 3,100,000 | 2,625,131 |
Par | Value | |||
2.50%, 02/15/45Δ | $ 950,000 | $ 736,009 | ||
2.88%, 08/15/45 | 4,550,000 | 3,757,482 | ||
3.00%, 02/15/48 | 6,170,000 | 5,205,937 | ||
3.38%, 11/15/48 | 1,370,000 | 1,238,726 | ||
3.00%, 02/15/49 | 3,730,000 | 3,156,877 | ||
2.88%, 05/15/49Δ | 6,720,000 | 5,559,225 | ||
2.25%, 08/15/49 | 400,000 | 290,875 | ||
2.00%, 02/15/50 | 8,500,000 | 5,831,631 | ||
1.25%, 05/15/50Δ | 10,740,000 | 6,045,235 | ||
1.38%, 08/15/50Δ | 16,640,000 | 9,678,825 | ||
1.63%, 11/15/50 | 15,020,000 | 9,336,162 | ||
1.88%, 02/15/51 | 1,630,000 | 1,080,130 | ||
2.38%, 05/15/51Δ | 5,720,000 | 4,255,591 | ||
2.00%, 08/15/51 | 3,830,000 | 2,612,180 | ||
1.88%, 11/15/51 | 651,000 | 430,016 | ||
2.25%, 02/15/52 | 10,552,000 | 7,630,003 | ||
4.00%, 11/15/52 | 750,000 | 770,625 | ||
3.63%, 05/15/53‡‡ | 260,000 | 249,925 | ||
163,472,512 | ||||
U.S. Treasury Inflationary Index Notes | ||||
0.63%, 07/15/32 | 8,144,058 | 7,490,983 | ||
1.13%, 01/15/33 | 7,016,914 | 6,728,396 | ||
14,219,379 | ||||
U.S. Treasury Notes | ||||
0.25%, 09/30/23Δ | 160,000 | 158,057 | ||
0.25%, 11/15/23Δ | 60,000 | 58,897 | ||
3.00%, 06/30/24 | 650,000 | 634,695 | ||
0.38%, 11/30/25 | 20,000 | 18,057 | ||
0.75%, 05/31/26 | 2,720,000 | 2,443,803 | ||
1.38%, 08/31/26 | 2,680,000 | 2,439,166 | ||
2.63%, 05/31/27 | 170,000 | 159,764 | ||
0.75%, 01/31/28 | 7,640,000 | 6,555,031 | ||
2.75%, 02/15/28‡‡ Δ | 1,400,000 | 1,316,082 | ||
1.25%, 03/31/28‡‡ | 510,000 | 446,459 | ||
3.63%, 03/31/28 | 3,300,000 | 3,223,559 | ||
2.63%, 02/15/29‡‡ | 5,260,000 | 4,875,157 | ||
2.75%, 05/31/29‡‡ | 5,300,000 | 4,935,418 | ||
3.50%, 04/30/30 | 2,300,000 | 2,233,516 | ||
3.75%, 05/31/30 | 1,990,000 | 1,962,482 | ||
3.88%, 06/30/30 | 910,000 | 898,056 | ||
2.75%, 08/15/32 | 2,570,000 | 2,356,519 | ||
34,714,718 | ||||
U.S. Treasury Strips | ||||
2.22%, 02/15/40Ω ‡‡ | 2,790,000 | 1,421,040 | ||
2.18%, 08/15/41Ω | 1,080,000 | 509,140 | ||
2.42%, 05/15/44Ω ‡‡ | 3,405,000 | 1,469,867 | ||
2.48%, 11/15/44Ω | 820,000 | 345,923 | ||
2.33%, 02/15/46Ω | 4,115,000 | 1,662,244 | ||
1.97%, 05/15/52Ω | 44,750,000 | 15,335,818 |
Par | Value | |||
2.23%, 05/15/53Ω Δ | $7,050,000 | $ 2,371,583 | ||
23,115,615 | ||||
Total U.S. Treasury Obligations (Cost $294,439,625) | 243,411,313 |
Shares | |||
PREFERRED STOCK — 0.0% | |||
Jackson Financial, Inc. | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.73%), 8.00% † (Cost $150,000) | 6,000 | 149,640 | |
MONEY MARKET FUNDS — 4.3% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ | 54,511,843 | 54,511,843 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%Ø § | 28,258,812 | 28,258,812 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 8,564,033 | 8,564,033 | |
Total Money Market Funds (Cost $91,334,688) | 91,334,688 |
Par | |||
REPURCHASE AGREEMENTS — 11.3% | |||
Citigroup Global Markets, Inc. | |||
5.18% (dated 06/30/23, due 07/03/23, repurchase price $119,468,721, collateralized by U.S. Treasury Bonds, 3.875%, due 08/15/40 total market value $121,378,825) | $119,400,000 | 119,400,000 | |
Deutsche Bank Securities Inc. | |||
5.14% (dated 06/30/23, due 07/05/23, repurchase price $118,784,739, collateralized by U.S. Treasury Inflation Index Bonds, 0.625%, due 01/15/24, total market value $121,345,786) | 118,700,000 | 118,700,000 | |
Total Repurchase Agreements (Cost $238,100,000) | 238,100,000 | ||
TOTAL INVESTMENTS —118.9% (Cost $2,689,351,735) | 2,502,899,623 |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.1)% | ||||
Call Options — (0.0)% | ||||
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $114.50, Expires 07/21/23 (GSC) | (45) | $(5,051,953) | (4,922) |
Number of Contracts | Notional Amount | Value | |||
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $116.00, Expires 07/21/23 (GSC) | (17) | $ (1,908,516) | $ (532) | ||
3-Month SOFR Interest Rate Swap expiration 09/2023, Strike Price $96.75, Expires 09/15/23 (GSC) | (74) | (17,501,000) | (2,775) | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $110.00, Expires 07/21/23 (GSC) | (53) | (5,675,971) | (1,242) | ||
(9,471) | |||||
Call Swaptions — (0.0)% | |||||
Pay 0.4% (Annually); Receive 1-Month IBOR (Annually); Interest Rate Swap Maturing 01/10/2029 JPY, Strike Price $0.40, Expires 01/05/24 (JPM) | (1) | (464,000,000) | (31,189) | ||
Pay 2.15% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 11/22/2024 USD, Strike Price $2.15, Expires 11/20/23 (GSC) | (1) | (7,900,000) | (825) | ||
Pay 2.697% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 04/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | (1) | (5,800,000) | (5,760) | ||
Pay 2.908% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 05/15/2025 USD, Strike Price $2.91, Expires 05/13/24 (BOA) | (1) | (11,450,000) | (18,221) |
Number of Contracts | Notional Amount | Value | |||
Pay 2.935% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 05/15/2025 USD, Strike Price $2.94, Expires 05/13/24 (BOA) | (1) | $(11,450,000) | $ (18,633) | ||
Pay 3.025% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 05/14/2025 USD, Strike Price $3.03, Expires 05/10/24 (BOA) | (1) | (22,650,000) | (39,180) | ||
Pay 3.25% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 07/24/2033 USD, Strike Price $3.25, Expires 07/20/23 (JPM) | (1) | (1,400,000) | (1,504) | ||
(115,312) | |||||
Put Options — (0.0)% | |||||
10-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $111.00, Expires 07/21/23 (GSC) | (45) | (5,051,953) | (11,250) | ||
3-Month SOFR Interest Rate Swap expiration 10/2023, Strike Price $96.25, Expires 10/13/23 (GSC) | (123) | (29,101,800) | (166,050) | ||
3-Month SOFR Interest Rate Swap expiration 10/2023, Strike Price $96.50, Expires 10/13/23 (GSC) | (123) | (29,101,800) | (218,325) | ||
3-Month SOFR Interest Rate Swap expiration 12/2023, Strike Price $95.25, Expires 12/15/23 (GSC) | (204) | (48,266,400) | (91,800) |
Number of Contracts | Notional Amount | Value | |||
3-Month SOFR Interest Rate Swap expiration 12/2023, Strike Price $95.37, Expires 12/15/23 (GSC) | (474) | $(112,148,400) | $(257,737) | ||
5-Year U.S. Treasury Note Future expiration date 08/2023, Strike Price $107.20, Expires 07/21/23 (GSC) | (80) | (8,567,504) | (48,750) | ||
(793,912) | |||||
Put Swaptions — (0.1)% | |||||
Pay 1-Day SOFR (Annually); Receive 2.697% (Annually); Interest Rate Swap Maturing 04/04/2025 USD, Strike Price $2.70, Expires 04/02/24 (GSC) | (1) | (5,800,000) | (106,039) | ||
Pay 1-Day SOFR (Annually); Receive 2.908% (Annually); Interest Rate Swap Maturing 05/15/2025 USD, Strike Price $2.91, Expires 05/13/24 (BOA) | (1) | (11,450,000) | (175,573) | ||
Pay 1-Day SOFR (Annually); Receive 2.935% (Annually); Interest Rate Swap Maturing 05/15/2025 USD, Strike Price $2.94, Expires 05/13/24 (BOA) | (1) | (11,450,000) | (173,119) | ||
Pay 1-Day SOFR (Annually); Receive 3.025% (Annually); Interest Rate Swap Maturing 05/14/2025 USD, Strike Price $3.03, Expires 05/10/24 (BOA) | (1) | (22,650,000) | (326,763) |
Number of Contracts | Notional Amount | Value | |||
Pay 1-Day SOFR (Annually); Receive 3.353% (Semiannually); Interest Rate Swap Maturing 07/11/2028 USD, Strike Price $3.35, Expires 07/07/23 (BNP) | (1) | $(4,200,000) | $ (106,258) | ||
Pay 1-Day SOFR (Annually); Receive 3.5075% (Semiannually); Interest Rate Swap Maturing 07/18/2028 USD, Strike Price $3.51, Expires 07/14/23 (BNP) | (1) | (4,240,000) | (77,793) | ||
Pay 1-Day SOFR (Annually); Receive 3.65% (Annually); Interest Rate Swap Maturing 07/24/2033 USD, Strike Price $3.65, Expires 07/20/23 (JPM) | (1) | (1,400,000) | (5,641) | ||
Pay 1-Day SOFR (Annually); Receive 3.65% (Annually); Interest Rate Swap Maturing 11/22/2024 USD, Strike Price $3.65, Expires 11/20/23 (GSC) | (1) | (7,900,000) | (110,369) | ||
Pay 1-Day SOFR (Annually); Receive 4.715% (Annually); Interest Rate Swap Maturing 09/13/2024 USD, Strike Price $4.72, Expires 09/11/23 (MSCS) | (1) | (6,900,000) | (41,127) | ||
(1,122,682) | |||||
Total Written Options (Premiums received $ (1,223,577)) | (2,041,377) |
Par | |||
TBA SALE COMMITMENTS — (1.9)% | |||
Uniform Mortgage Backed Securities 3.50%, 07/01/53 TBA | $(100,000) | (91,137) |
Par | Value | |||
Uniform Mortgage Backed Securities 4.00%, 07/01/52 TBA | $ (2,000,000) | $ (1,877,109) | ||
Uniform Mortgage Backed Securities 2.00%, 07/01/52 TBA | (24,000,000) | (19,577,813) | ||
Uniform Mortgage Backed Securities 5.50%, 07/01/53 TBA | (1,000,000) | (995,234) | ||
Uniform Mortgage Backed Securities 6.00%, 07/01/53 TBA | (7,000,000) | (7,062,344) | ||
Government National Mortgage Association 3.00%, 07/01/53 TBA | (8,000,000) | (7,149,687) | ||
Government National Mortgage Association 4.50%, 07/01/53 TBA | (3,000,000) | (2,895,703) | ||
Total TBA Sale Commitments (Proceeds $(39,831,457)) | (39,649,027) | |||
Liabilities in Excess of Other Assets — (16.9)% | (355,166,661) | |||
NET ASSETS — 100.0% | $2,106,042,558 |
% | |
Mortgage-Backed Securities | 43.9 |
Corporate Bonds | 24.8 |
U.S. Treasury Obligations | 11.6 |
Repurchase Agreements | 11.3 |
Foreign Bonds | 10.2 |
Asset-Backed Securities | 9.5 |
Money Market Funds | 4.3 |
Agency Obligations | 1.6 |
Loan Agreements | 0.9 |
Municipal Bonds | 0.6 |
Purchased Options | 0.1 |
Commercial Paper | 0.1 |
Preferred Stock | —** |
Written Options | (0.1) |
TBA Sale Commitments | (1.9) |
116.9 | |
**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 | 09/2023 | (12) | $ (1,827,978) | $ (18,647) | ||||
Euro-Bobl | 09/2023 | (37) | (4,671,722) | 16,200 | ||||
Euro-Bund | 09/2023 | (185) | (26,998,364) | 254,742 | ||||
Euro-OAT | 09/2023 | 32 | 4,483,523 | (11,014) | ||||
10-Year Japanese Treasury Bond | 09/2023 | (31) | (31,914,134) | (113,818) | ||||
10-Year Commonwealth Treasury Bond | 09/2023 | 73 | 5,649,337 | (70,495) | ||||
3-Month Euribor | 09/2023 | (9) | (2,359,202) | 3,652 | ||||
3-Month CME SOFR | 09/2023 | 1 | 236,950 | (4,450) | ||||
10-Year U.S. Treasury Note | 09/2023 | (449) | (50,407,266) | 450,947 | ||||
U.S. Treasury Long Bond | 09/2023 | (523) | (66,371,969) | (144,086) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | 124 | 14,686,250 | (116,842) | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | 476 | 64,840,125 | 318,896 | ||||
Long GILT | 09/2023 | 30 | 3,630,930 | (71,291) | ||||
2-Year U.S. Treasury Note | 09/2023 | 458 | 93,131,438 | (1,043,625) | ||||
5-Year U.S. Treasury Note | 09/2023 | 1,207 | 129,262,156 | (1,817,430) | ||||
3-Month SONIA Index | 12/2023 | (173) | (51,659,319) | 332,243 | ||||
3-Month CME SOFR | 03/2024 | (150) | (35,490,000) | 474,380 | ||||
3-Month SONIA Index | 09/2024 | 23 | 6,856,683 | (19,728) | ||||
3-Month SONIA Index | 12/2024 | 196 | 58,561,547 | (578,333) | ||||
3-Month CME SOFR | 03/2025 | 409 | 98,134,438 | (214,957) | ||||
3-Month CME SOFR | 03/2026 | 58 | 13,997,575 | 21,791 | ||||
Total Futures Contracts outstanding at June 30, 2023 | $221,770,998 | $(2,351,865) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/31/23 | U.S. Dollars | 34,177,438 | Japanese Yen | 4,510,000,000 | RBS | $2,761,305 | ||||||
07/05/23 | Brazilian Reals | 16,093,734 | U.S. Dollars | 2,970,255 | DEUT | 387,635 | ||||||
07/18/23 | U.S. Dollars | 4,179,121 | Chinese Offshore Yuan | 28,601,065 | GSC | 238,885 | ||||||
08/28/23 | U.S. Dollars | 2,022,692 | Japanese Yen | 279,000,000 | JPM | 70,951 | ||||||
09/12/23 | U.S. Dollars | 747,898 | South African Rand | 13,112,368 | UBS | 56,522 | ||||||
08/02/23 | U.S. Dollars | 14,277,274 | Euro | 13,012,000 | BNP | 53,561 | ||||||
09/20/23 | Euro | 2,330,319 | U.S. Dollars | 2,506,121 | MSCS | 47,353 | ||||||
08/16/23 | U.S. Dollars | 612,182 | Japanese Yen | 81,353,429 | MSCS | 44,107 | ||||||
08/16/23 | Mexican Pesos | 14,375,712 | U.S. Dollars | 790,017 | DEUT | 41,989 | ||||||
09/20/23 | Swiss Francs | 3,437,544 | U.S. Dollars | 3,836,793 | UBS | 37,797 | ||||||
10/17/23 | U.S. Dollars | 827,328 | South African Rand | 15,066,222 | DEUT | 35,708 | ||||||
07/18/23 | Canadian Dollars | 2,434,002 | U.S. Dollars | 1,809,374 | GSC | 28,498 | ||||||
09/20/23 | Swiss Francs | 2,341,536 | U.S. Dollars | 2,614,203 | SS | 25,034 | ||||||
09/05/23 | Brazilian Reals | 16,323,778 | U.S. Dollars | 3,343,666 | GSC | 23,496 | ||||||
07/05/23 | Australian Dollars | 1,315,085 | U.S. Dollars | 853,259 | BNP | 22,926 | ||||||
08/16/23 | U.S. Dollars | 286,067 | Japanese Yen | 37,858,993 | BAR | 21,705 | ||||||
07/05/23 | British Pounds | 653,000 | U.S. Dollars | 807,730 | RBS | 21,613 | ||||||
07/18/23 | Mexican Pesos | 17,000,000 | U.S. Dollars | 974,961 | GSC | 14,454 | ||||||
07/05/23 | Australian Dollars | 838,346 | U.S. Dollars | 548,823 | UBS | 9,731 | ||||||
08/02/23 | Australian Dollars | 1,247,706 | U.S. Dollars | 826,109 | UBS | 5,923 | ||||||
09/19/23 | U.S. Dollars | 1,003,990 | Euro | 911,317 | MSCS | 5,454 | ||||||
10/17/23 | U.S. Dollars | 259,564 | South African Rand | 4,837,289 | GSC | 5,399 | ||||||
09/20/23 | U.S. Dollars | 835,209 | Australian Dollars | 1,244,638 | MSCS | 4,152 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/02/23 | Australian Dollars | 905,725 | U.S. Dollars | 600,396 | BNP | $ 3,585 | ||||||
07/05/23 | Euro | 381,000 | U.S. Dollars | 413,392 | UBS | 2,467 | ||||||
07/18/23 | U.S. Dollars | 166,271 | Euro | 150,000 | GSC | 2,432 | ||||||
09/13/23 | Peruvian Nuevo Soles | 1,858,245 | U.S. Dollars | 507,343 | BAR | 1,804 | ||||||
09/20/23 | Peruvian Nuevo Soles | 7,716,576 | U.S. Dollars | 2,112,000 | GSC | 1,366 | ||||||
09/13/23 | Peruvian Nuevo Soles | 1,221,162 | U.S. Dollars | 333,742 | BNP | 848 | ||||||
09/13/23 | Peruvian Nuevo Soles | 779,941 | U.S. Dollars | 212,866 | DEUT | 833 | ||||||
08/16/23 | U.S. Dollars | 12,963 | Chinese Offshore Yuan | 89,000 | HSBC | 672 | ||||||
08/16/23 | U.S. Dollars | 10,754 | Chinese Offshore Yuan | 75,000 | BAR | 397 | ||||||
09/20/23 | U.S. Dollars | 44,813 | Australian Dollars | 67,067 | SS | 32 | ||||||
Subtotal Appreciation | $ 3,978,634 | |||||||||||
08/02/23 | U.S. Dollars | 359,219 | Danish Kroner | 2,446,265 | MSCS | $ (48) | ||||||
07/14/23 | U.S. Dollars | 28,391 | Mexican Pesos | 489,000 | GSC | (93) | ||||||
09/20/23 | U.S. Dollars | 90,409 | Canadian Dollars | 120,283 | UBS | (506) | ||||||
07/18/23 | Australian Dollars | 150,776 | U.S. Dollars | 101,258 | CITI | (760) | ||||||
08/02/23 | U.S. Dollars | 112,065 | Danish Kroner | 768,526 | UBS | (804) | ||||||
09/20/23 | U.S. Dollars | 871,312 | Swedish Kronor | 9,386,657 | UBS | (2,500) | ||||||
09/20/23 | U.S. Dollars | 833,096 | New Zealand Dollars | 1,363,094 | DEUT | (3,142) | ||||||
07/05/23 | British Pounds | 593,000 | U.S. Dollars | 757,499 | BNP | (4,359) | ||||||
09/20/23 | Euro | 1,219,000 | Swiss Francs | 1,189,559 | MSCS | (5,065) | ||||||
09/20/23 | U.S. Dollars | 1,205,050 | Canadian Dollars | 1,604,051 | MSCS | (7,363) | ||||||
07/14/23 | U.S. Dollars | 738,835 | Euro | 684,000 | FASC | (8,109) | ||||||
07/05/23 | U.S. Dollars | 463,656 | Danish Kroner | 3,220,000 | MSCS | (8,395) | ||||||
07/18/23 | Indonesian Rupiahs | 29,921,033,357 | U.S. Dollars | 2,001,447 | CITI | (10,262) | ||||||
09/20/23 | U.S. Dollars | 2,461,014 | Swedish Kronor | 26,556,674 | SS | (11,170) | ||||||
09/20/23 | U.S. Dollars | 3,748,460 | New Zealand Dollars | 6,128,900 | MSCS | (11,528) | ||||||
09/20/23 | U.S. Dollars | 1,080,204 | British Pounds | 861,578 | MSCS | (14,215) | ||||||
09/20/23 | U.S. Dollars | 581,170 | Norwegian Kroner | 6,385,085 | BNP | (15,417) | ||||||
07/18/23 | Euro | 2,576,395 | U.S. Dollars | 2,830,994 | CITI | (16,903) | ||||||
09/20/23 | U.S. Dollars | 777,919 | Norwegian Kroner | 8,518,835 | JPM | (18,034) | ||||||
09/20/23 | U.S. Dollars | 1,176,708 | Euro | 1,091,201 | MSCS | (18,987) | ||||||
07/18/23 | U.S. Dollars | 1,043,425 | British Pounds | 838,429 | GSC | (21,532) | ||||||
07/05/23 | U.S. Dollars | 3,343,666 | Brazilian Reals | 16,144,892 | GSC | (24,898) | ||||||
09/20/23 | U.S. Dollars | 3,649,304 | Peruvian Nuevo Soles | 13,436,738 | JPM | (30,662) | ||||||
09/20/23 | U.S. Dollars | 2,612,715 | British Pounds | 2,085,027 | BNP | (35,788) | ||||||
09/20/23 | Japanese Yen | 161,988,668 | U.S. Dollars | 1,181,840 | CITI | (44,480) | ||||||
07/18/23 | Norwegian Kroner | 26,657,844 | Euro | 2,336,693 | GSC | (66,899) | ||||||
09/20/23 | Japanese Yen | 289,729,061 | U.S. Dollars | 2,111,837 | UBS | (77,580) | ||||||
08/02/23 | U.S. Dollars | 20,357,361 | British Pounds | 16,097,000 | JPM | (90,732) | ||||||
07/05/23 | U.S. Dollars | 14,397,578 | Euro | 13,393,000 | BNP | (220,805) | ||||||
07/18/23 | U.S. Dollars | 5,085,750 | Mexican Pesos | 94,271,504 | GSC | (400,932) | ||||||
07/05/23 | U.S. Dollars | 21,468,241 | British Pounds | 17,343,000 | HSBC | (558,247) | ||||||
07/18/23 | Japanese Yen | 1,575,752,510 | U.S. Dollars | 11,950,968 | GSC | (997,922) | ||||||
Subtotal Depreciation | $(2,728,137) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $ 1,250,497 |
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 Issuers—Sell Protection | ||||||||||||||||
Devon Energy Corporation 7.95% due 4/15/32 (Receive Quarterly) | 0.80% | 1.00% | 6/20/2026 | USD | 2,800,000 | $ 15,903 | $ (26,054) | $ 41,957 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.58% | 1.00% | 6/20/2026 | USD | 2,100,000 | 25,227 | 11,126 | 14,101 | ||||||||
The Boeing Company, 2.6% due 10/30/25 (Receive Quarterly) | 0.68% | 1.00% | 6/20/2026 | USD | 2,400,000 | 21,884 | (17,161) | 39,045 | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.65% | 1.00% | 12/20/2026 | USD | 2,600,000 | 30,021 | 29,130 | 891 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 1.08% | 1.00% | 6/20/2028 | EUR | 2,000,000 | (6,718) | (11,393) | 4,675 | ||||||||
General Motors Co., 4.2% due 10/1/27 (Receive Quarterly) | 1.72% | 5.00% | 6/20/2028 | USD | 995,000 | 141,520 | 119,736 | 21,784 | ||||||||
Republic of Chile, 3.24% due 2/6/28 (Receive Quarterly) | 0.73% | 1.00% | 6/20/2028 | USD | 1,470,000 | 18,137 | (3,126) | 21,263 | ||||||||
Republic of Indonesia, 4.125% due 1/15/25 (Receive Quarterly) | 0.87% | 1.00% | 6/20/2028 | USD | 1,470,000 | 9,025 | (1,139) | 10,164 | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.77% | 1.00% | 6/20/2028 | USD | 290,000 | 3,114 | (3,573) | 6,687 | ||||||||
Verizon Communications, 4.125% due 3/16/27 (Receive Quarterly) | 0.95% | 1.00% | 6/20/2028 | USD | 1,700,000 | 3,937 | (4,477) | 8,414 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 1.22% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (22,472) | (23,988) | 1,516 | ||||||||
Subtotal Appreciation | $239,578 | $ 69,081 | $170,497 | |||||||||||||
The Boeing Company, 8.75% due 8/15/21 (Receive Quarterly) | 0.43% | 1.00% | 6/20/2024 | USD | 475,000 | $ 2,723 | $ 11,965 | $ (9,242) | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.58% | 1.00% | 6/20/2026 | USD | 1,100,000 | 13,214 | 17,601 | (4,387) | ||||||||
General Motors Co., 4.88% due 10/2/23 (Receive Quarterly) | 1.30% | 5.00% | 12/20/2026 | USD | 870,000 | 102,662 | 175,392 | (72,730) | ||||||||
Subtotal Depreciation | $118,599 | $204,958 | $ (86,359) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate Issuers—Sell Protection outstanding at June 30, 2023 | $358,177 | $274,039 | $ 84,138 |
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.38 Index (Pay Quarterly) | (5.00)% | 6/20/2027 | USD | 14,700,000 | $ (621,037) | $ 127,251 | $ (748,288) | |||||||
iTraxx Europe & Crossover Series 38 (Pay Quarterly) | (1.00)% | 12/20/2027 | EUR | 2,900,000 | (42,435) | (26,751) | (15,684) | |||||||
Markit CDX.NA.HY.38 Index (Pay Quarterly) | (1.00)% | 12/20/2027 | USD | 3,600,000 | (53,619) | (21,575) | (32,044) | |||||||
Markit CDX.NA.HY.40 Index (Pay Quarterly) | (5.00)% | 6/20/2028 | USD | 3,430,000 | (103,538) | 14,151 | (117,689) | |||||||
Markit CDX.NA.IG.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 41,300,000 | (636,448) | (329,692) | (306,756) | |||||||
$(1,457,077) | $(236,616) | $(1,220,461) |
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) | 0.41% | 1.00% | 6/20/2025 | USD | 22,475,000 | $ 256,936 | $232,086 | $ 24,850 | ||||||||
iTraxx Europe & Crossover Series 39 (Receive Quarterly) | 4.00% | 5.00% | 6/20/2028 | EUR | 4,800,000 | 215,433 | 50,331 | 165,102 | ||||||||
Markit CDX.NA.IG.40 Index (Receive Quarterly) | 0.66% | 1.00% | 6/20/2028 | USD | 40,662,000 | 626,615 | 371,085 | 255,530 | ||||||||
Subtotal Appreciation | $1,098,984 | $653,502 | $445,482 | |||||||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.46% | 1.00% | 6/20/2026 | USD | 1,800,000 | $ 27,453 | $ 41,673 | $ (14,220) | ||||||||
Subtotal Depreciation | $ 27,453 | $ 41,673 | $ (14,220) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at June 30, 2023 | $1,126,437 | $695,175 | $431,262 |
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 | ||||||||||||||
0.00% (Quarterly) | 1-Day SOFR (Quarterly) | 8/4/2023 | USD | 19,300,000 | $ 263,499 | $ 54,216 | $ 209,283 | |||||||
12.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 6,874,848 | 9,129 | — | 9,129 | |||||||
13.95% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 2,795,216 | 4,066 | (457) | 4,523 | |||||||
4.27% (Annually) | 1-Day SOFR (Annually) | 9/13/2024 | USD | 1,500,000 | 14,249 | — | 14,249 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.23% (Upon termination) | 1/2/2025 | BRL | 72,980,941 | 135,995 | — | 135,995 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 10,122,091 | 21,519 | (10,009) | 31,528 | |||||||
3.27% (Annually) | 1-Day SOFR (Annually) | 5/14/2025 | USD | 28,710,000 | 300,792 | 181,204 | 119,588 | |||||||
9.25% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/17/2025 | MXN | 31,700,000 | 926 | (270) | 1,196 | |||||||
3.50% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 9/20/2025 | AUD | 12,640,000 | 151,421 | 133,703 | 17,718 | |||||||
3-Month JIBAR (Quarterly) | 9.25% (Quarterly) | 9/20/2025 | ZAR | 28,700,000 | (21,234) | (22,334) | 1,100 | |||||||
5.00% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 9/20/2025 | NZD | 13,750,000 | 54,648 | 32,856 | 21,792 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 9/20/2025 | CNY | 36,480,000 | 12,198 | 1,182 | 11,016 | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 4.25% (Semiannually) | 9/20/2025 | CAD | 24,800,000 | (123,106) | (135,332) | 12,226 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 2,445,345 | 8,314 | 112 | 8,202 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.98% (Upon termination) | 1/4/2027 | BRL | 44,823,382 | 528,087 | — | 528,087 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,495,928 | 32,448 | 2,345 | 30,103 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 773,155 | (17,072) | (28,983) | 11,911 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.23% (Upon termination) | 1/4/2027 | BRL | 471,954 | 2,861 | (6,627) | 9,488 | |||||||
3.19% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 3/24/2028 | CAD | 6,580,000 | (6,353) | (13,853) | 7,500 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 24,510,000 | (29,551) | (66,238) | 36,687 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 8.25% (Lunar) | 9/13/2028 | MXN | 31,260,000 | $ 8,419 | $ 776 | $ 7,643 | |||||||
3.00% (Semiannually) | Singapore Domestic Interbank Overnight Rate (Semiannually) | 9/20/2028 | SGD | 1,850,000 | 16,914 | 6,090 | 10,824 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/20/2028 | CNY | 15,230,000 | 7,002 | (3,277) | 10,279 | |||||||
2.85% (Annually) | 1-Day SOFR (Annually) | 2/15/2029 | USD | 6,630,000 | 376,152 | (15,305) | 391,457 | |||||||
2.35% (Annually) | 6-Month EURIBOR (Semiannually) | 7/4/2029 | EUR | 950,000 | 28,390 | 17,189 | 11,201 | |||||||
3.25% (Annually) | 1-Day SOFR (Annually) | 9/30/2029 | USD | 6,502,000 | 211,989 | 3,858 | 208,131 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 13,880,000 | 245,287 | 192,123 | 53,164 | |||||||
1-Day SOFR (Annually) | 2.00% (Annually) | 12/21/2032 | USD | 10,100,000 | 1,407,314 | 1,040,439 | 366,875 | |||||||
3.32% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 3/23/2033 | CAD | 4,300,000 | 29,560 | 21,793 | 7,767 | |||||||
3.06% (Annually) | 1-Day SOFR (Annually) | 3/27/2033 | USD | 3,340,000 | 9,726 | (3,095) | 12,821 | |||||||
3.00% (Annually) | 1-Day SOFR (Annually) | 6/21/2033 | USD | 8,300,000 | 388,121 | 367,635 | 20,486 | |||||||
3.00% (Annually) | 3-Month STIBOR (Quarterly) | 9/20/2033 | SEK | 57,970,000 | 22,532 | (56,652) | 79,184 | |||||||
3.25% (Annually) | 1-Day SONIA (Annually) | 9/20/2033 | GBP | 680,000 | 71,853 | 65,354 | 6,499 | |||||||
3.50% (Annually) | 6-Month NIBOR (Semiannually) | 9/20/2033 | NOK | 31,870,000 | 80,500 | 34,296 | 46,204 | |||||||
3-Month JIBAR (Quarterly) | 10.50% (Quarterly) | 9/20/2033 | ZAR | 5,175,000 | 14,647 | 4,916 | 9,731 | |||||||
6-Month ASX BBSW (Semiannually) | 4.00% (Semiannually) | 9/20/2033 | AUD | 10,130,000 | (218,723) | (243,539) | 24,816 | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 9/20/2033 | EUR | 21,400,000 | 13,784 | (152,668) | 166,452 | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 9/20/2033 | EUR | 310,000 | 7,372 | 6,036 | 1,336 | |||||||
6-Month WIBOR (Semiannually) | 5.50% (Annually) | 9/20/2033 | PLN | 4,275,000 | 40,893 | 16,604 | 24,289 | |||||||
Swiss Average Overnight Rate (Annually) | 2.00% (Annually) | 9/20/2033 | CHF | 8,350,000 | 193,079 | 41,226 | 151,853 | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 11,260,000 | 89,291 | 36,698 | 52,593 | |||||||
3.24% (Annually) | 1-Day SOFR (Annually) | 10/6/2035 | USD | 16,190,000 | (57,181) | (113,056) | 55,875 | |||||||
6-Month EURIBOR (Semiannually) | 2.86% (Annually) | 7/4/2037 | EUR | 7,250,000 | 29,429 | (16,576) | 46,005 | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 33,960,000 | (436,872) | (465,725) | 28,853 | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 11,710,000 | (311,042) | (332,687) | 21,645 | |||||||
1-Day SOFR (Annually) | 2.72% (Annually) | 8/11/2037 | USD | 21,260,000 | (409,163) | (422,847) | 13,684 | |||||||
0.75% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/20/2038 | JPY | 489,200,000 | 42,783 | 39,965 | 2,818 | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 17,150,000 | 39,162 | (15,223) | 54,385 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/15/2042 | JPY | 1,080,000,000 | 565,147 | 300,339 | 264,808 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 29,950,000 | 969,518 | 678,306 | 291,212 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 3,222,000 | 980,828 | (44,743) | 1,025,571 | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 28,930,000 | 414,963 | 390,554 | 24,409 | |||||||
2.60% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 5,978,000 | 754,534 | 410,915 | 343,619 | |||||||
3.05% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 7,810,000 | 392,373 | 377,396 | 14,977 | |||||||
3.15% (Annually) | 1-Day SOFR (Annually) | 5/15/2048 | USD | 7,023,000 | 199,279 | (1,059,341) | 1,258,620 | |||||||
2.50% (Annually) | 1-Day SOFR (Annually) | 4/21/2052 | USD | 2,560,000 | 345,989 | 2,386 | 343,603 | |||||||
0.80% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 6/15/2052 | JPY | 250,000,000 | 109,119 | 11,645 | 97,474 | |||||||
1.56% (Annually) | 6-Month EURIBOR (Semiannually) | 7/6/2052 | EUR | 5,560,000 | 235,271 | 131,931 | 103,340 | |||||||
2.17% (Annually) | 1-Day SOFR (Annually) | 8/11/2052 | USD | 10,900,000 | 493,630 | 458,025 | 35,605 | |||||||
Subtotal Appreciation | $ 8,744,705 | $ 1,833,276 | $ 6,911,429 | |||||||||||
3-Month LIBOR (Quarterly) | 0.00% (Quarterly) | 8/4/2023 | USD | 19,300,000 | $ (264,754) | $ (54,356) | $ (210,398) | |||||||
1-Day SOFR (Quarterly) | 1.27% (Semiannually) | 11/4/2023 | USD | 19,300,000 | (418,957) | (396,268) | (22,689) | |||||||
1-Day SOFR (Annually) | 3.30% (Annually) | 12/21/2023 | USD | 18,400,000 | (329,037) | (3,373) | (325,664) | |||||||
12.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,293,456 | (1,114) | 1,647 | (2,761) |
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) | 9.20% (Upon termination) | 1/2/2024 | BRL | 6,468,748 | $ (92,511) | $ (28,018) | $ (64,493) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 1,608 | 11,605 | (9,997) | |||||||
1-Day SOFR (Annually) | 2.20% (Annually) | 6/15/2024 | USD | 14,700,000 | (453,607) | — | (453,607) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 9/30/2024 | USD | 6,446,000 | (176,490) | (45,455) | (131,035) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 3,355,039 | (25,439) | (36) | (25,403) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 4/19/2025 | USD | 230,000 | (2,144) | 723 | (2,867) | |||||||
3.50% (Annually) | 1-Day ESTR (Annually) | 9/20/2025 | EUR | 9,140,000 | 10,260 | 10,260 | — | |||||||
3-Month STIBOR (Quarterly) | 3.50% (Annually) | 9/20/2025 | SEK | 98,560,000 | (85,456) | (70,208) | (15,248) | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 5/18/2027 | EUR | 3,600,000 | (351,081) | (163,593) | (187,488) | |||||||
1-Day SOFR (Annually) | 2.15% (Annually) | 6/15/2027 | USD | 14,700,000 | (1,053,306) | — | (1,053,306) | |||||||
1-Day SOFR (Annually) | 2.87% (Annually) | 7/22/2027 | USD | 1,700,000 | (93,835) | — | (93,835) | |||||||
1-Day SOFR (Annually) | 2.85% (Annually) | 8/29/2027 | USD | 3,200,000 | (183,534) | — | (183,534) | |||||||
1-Day SOFR (Annually) | 3.35% (Annually) | 10/6/2027 | USD | 71,520,000 | 122,034 | 417,164 | (295,130) | |||||||
1-Day SOFR (Annually) | 3.45% (Annually) | 11/30/2027 | USD | 47,552,000 | (898,623) | (6,634) | (891,989) | |||||||
1-Day SOFR (Annually) | 2.98% (Annually) | 11/30/2027 | USD | 31,946,000 | (1,178,541) | 6,200 | (1,184,741) | |||||||
1-Day SOFR (Annually) | 2.92% (Annually) | 3/27/2028 | USD | 5,030,000 | (52,203) | 8,197 | (60,400) | |||||||
1-Day SOFR (Annually) | 3.40% (Annually) | 4/4/2028 | USD | 6,000,000 | (164,300) | — | (164,300) | |||||||
1-Day ESTR (Annually) | 3.00% (Annually) | 4/13/2028 | EUR | 6,600,000 | (2,240) | 91,435 | (93,675) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 24,510,000 | 37,448 | 77,922 | (40,474) | |||||||
1-Day SOFR (Annually) | 3.56% (Annually) | 5/25/2028 | USD | 4,200,000 | (74,828) | — | (74,828) | |||||||
1-Day SOFR (Annually) | 3.70% (Annually) | 6/9/2028 | USD | 5,700,000 | (61,421) | — | (61,421) | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 9/20/2028 | JPY | 3,912,000,000 | (333,385) | (319,365) | (14,020) | |||||||
1-Day SOFR (Annually) | 3.60% (Annually) | 9/20/2028 | USD | 1,400,000 | (13,212) | 4,037 | (17,249) | |||||||
1-Day SONIA (Annually) | 3.50% (Annually) | 9/20/2028 | GBP | 90,000 | (7,397) | (6,434) | (963) | |||||||
3-Month KWCDC (Quarterly) | 3.25% (Quarterly) | 9/20/2028 | KRW | 2,893,100,000 | (23,371) | (3,319) | (20,052) | |||||||
5.00% (Annually) | 6-Month WIBOR (Semiannually) | 9/20/2028 | PLN | 3,090,000 | (4,183) | (2,748) | (1,435) | |||||||
3.85% (Annually) | 1-Day SOFR (Annually) | 6/30/2029 | USD | 3,936,000 | (12,594) | 1,067 | (13,661) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | (352,210) | 68,837 | (421,047) | |||||||
1-Day SOFR (Annually) | 3.08% (Annually) | 3/28/2030 | USD | 4,500,000 | (194,175) | — | (194,175) | |||||||
1-Day SOFR (Annually) | 3.42% (Annually) | 3/31/2030 | USD | 20,480,000 | (293,175) | (3,093) | (290,082) | |||||||
1-Day SOFR (Annually) | 3.52% (Annually) | 6/9/2033 | USD | 14,000,000 | (55,823) | — | (55,823) | |||||||
0.75% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 9/20/2033 | JPY | 2,299,000,000 | (243,666) | (200,572) | (43,094) | |||||||
1-Day SONIA (Annually) | 3.50% (Annually) | 9/20/2033 | GBP | 7,200,000 | (583,846) | (503,229) | (80,617) | |||||||
3.50% (Annually) | 1-Day SOFR (Annually) | 9/20/2033 | USD | 4,410,000 | (1,402) | 19,204 | (20,606) | |||||||
3.75% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 9/20/2033 | CAD | 3,830,000 | (82,238) | (53,384) | (28,854) | |||||||
3-Month KWCDC (Quarterly) | 3.25% (Quarterly) | 9/20/2033 | KRW | 880,610,000 | (9,295) | (2,122) | (7,173) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.50% (Semiannually) | 9/20/2033 | NZD | 2,950,000 | 4,010 | 9,840 | (5,830) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 17,530,000 | (459,678) | (290,831) | (168,847) | |||||||
2.56% (Annually) | 1-Day SOFR (Annually) | 5/11/2053 | USD | 13,740,000 | (79,790) | 14,307 | (94,097) | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 5,730,000 | (28,203) | 7,744 | (35,947) | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/20/2053 | EUR | 2,000,000 | 8,638 | 55,965 | (47,327) | |||||||
Subtotal Depreciation | $(8,557,066) | $(1,346,884) | $(7,210,182) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2023 | $ 187,639 | $ 486,392 | $ (298,753) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 33,230,196 | $ — | $ 33,230,196 | $ — | |||
Asset-Backed Securities | 199,306,801 | — | 199,306,801 | — | |||
Commercial Paper | 934,415 | — | 934,415 | — | |||
Corporate Bonds | 523,087,524 | — | 522,837,751 | 249,773 | |||
Foreign Bonds | 215,539,214 | — | 215,539,214 | —** | |||
Loan Agreements | 19,370,915 | — | 19,370,915 | — | |||
Money Market Funds | 91,334,688 | 91,334,688 | — | — | |||
Mortgage-Backed Securities | 925,030,976 | — | 925,030,976 | — | |||
Municipal Bonds | 12,351,830 | — | 12,351,830 | — | |||
Preferred Stock | 149,640 | 149,640 | — | — | |||
Purchased Options: | |||||||
Call Options | 181,940 | 181,940 | — | — | |||
Call Swaption | 43,667 | 43,667 | — | — | |||
Put Options | 782,837 | 782,837 | — | — | |||
Put Swaption | 43,667 | 43,667 | — | — | |||
Total Purchased Options | 1,052,111 | 1,052,111 | — | — | |||
Repurchase Agreements | 238,100,000 | — | 238,100,000 | — | |||
U.S. Treasury Obligations | 243,411,313 | — | 243,411,313 | — | |||
Total Assets - Investments in Securities | $2,502,899,623 | $92,536,439 | $2,410,113,411 | $249,773 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 3,978,634 | $ — | $ 3,978,634 | $ — | |||
Futures Contracts | 1,872,851 | 1,872,851 | — | — | |||
Swap Agreements | 7,527,408 | — | 7,527,408 | — | |||
Total Assets - Other Financial Instruments | $ 13,378,893 | $ 1,872,851 | $ 11,506,042 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
TBA Sale Commitments | $(39,649,027) | $ — | $(39,649,027) | $ — | |||
Written Options: | |||||||
Call Options | (9,471) | (9,471) | — | — | |||
Call Swaptions | (115,312) | (115,312) | — | — | |||
Put Options | (793,912) | (793,912) | — | — | |||
Put Swaptions | (1,122,682) | (1,122,682) | — | — | |||
Total Written Options | (2,041,377) | (2,041,377) | — | — | |||
Total Liabilities - Investments in Securities | $(41,690,404) | $(2,041,377) | $(39,649,027) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (2,728,137) | $ — | $ (2,728,137) | $ — | |||
Futures Contracts | (4,224,716) | (4,224,716) | — | — | |||
Swap Agreements | (8,531,222) | — | (8,531,222) | — | |||
Total Liabilities - Other Financial Instruments | $(15,484,075) | $(4,224,716) | $(11,259,359) | $ — |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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 — 1.5% | ||||
510 Asset Backed Trust, Series 2021-NPL1, Class A1 | ||||
(Step to 5.24% on 07/25/24), 2.24%, 06/25/61 144A STEP | $ 66,281 | $ 61,239 | ||
Aaset Trust, Series 2021-2A, Class A | ||||
2.80%, 01/15/47 144A | 210,050 | 178,669 | ||
Air Canada Pass-Through Trust, Series 2020-2, Class A | ||||
5.25%, 04/01/29 144A | 360,014 | 349,473 | ||
American Airlines Pass-Through Trust, Series 2016-3, Class B | ||||
3.75%, 10/15/25 | 154,167 | 141,021 | ||
American Airlines Pass-Through Trust, Series 2017-2, Class B | ||||
3.70%, 10/15/25 | 59,336 | 55,803 | ||
American Credit Acceptance Receivables Trust, Series 2021-3, Class D | ||||
1.34%, 11/15/27 144A | 80,000 | 74,864 | ||
American Credit Acceptance Receivables Trust, Series 2021-4, Class D | ||||
1.82%, 02/14/28 144A | 105,000 | 102,491 | ||
AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D | ||||
1.21%, 12/18/26 | 55,000 | 50,205 | ||
Applebee's Funding LLC, Series 2023-1A, Class A2 | ||||
7.82%, 03/05/53 144A | 100,000 | 98,608 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A | ||||
2.36%, 03/20/26 144A | 145,000 | 137,020 | ||
Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A | ||||
1.38%, 08/20/27 144A | 770,000 | 677,443 | ||
BHG Securitization Trust, Series 2022-A, Class B | ||||
2.70%, 02/20/35 144A | 110,000 | 98,422 | ||
Bravo Mortgage Asset Trust, Series 2006-1A, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 0.60%, 0.60% Floor), 5.75%, 07/25/36 144A † | 588,751 | 500,683 | ||
Carvana Auto Receivables Trust, Series 2021-N3, Class C | ||||
1.02%, 06/12/28 | 21,505 | 20,316 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class C | ||||
1.72%, 09/11/28 | 12,677 | 12,167 | ||
Carvana Auto Receivables Trust, Series 2021-N4, Class D | ||||
2.30%, 09/11/28 | 50,000 | 47,011 | ||
Carvana Auto Receivables Trust, Series 2021-P3, Class C | ||||
1.93%, 10/12/27 | 50,000 | 42,758 | ||
Carvana Auto Receivables Trust, Series 2021-P4, Class C | ||||
2.33%, 02/10/28 | 25,000 | 21,253 |
Par | Value | |||
CLI Funding VIII LLC, Series 2021-1A, Class A | ||||
1.64%, 02/18/46 144A | $ 94,931 | $ 81,038 | ||
DB Master Finance LLC, Series 2021-1A, Class A2II | ||||
2.49%, 11/20/51 144A | 88,650 | 75,202 | ||
Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2 | ||||
3.67%, 10/25/49 144A | 130,612 | 114,471 | ||
Domino's Pizza Master Issuer LLC, Series 2021-1A, Class A2I | ||||
2.66%, 04/25/51 144A | 137,200 | 116,663 | ||
DT Auto Owner Trust, Series 2020-3A, Class C | ||||
1.47%, 06/15/26 144A | 144,061 | 140,931 | ||
DT Auto Owner Trust, Series 2021-2A, Class D | ||||
1.50%, 02/16/27 144A | 25,000 | 23,293 | ||
DT Auto Owner Trust, Series 2021-3A, Class D | ||||
1.31%, 05/17/27 144A | 165,000 | 148,836 | ||
DT Auto Owner Trust, Series 2021-4A, Class D | ||||
1.99%, 09/15/27 144A | 65,000 | 59,335 | ||
DT Auto Owner Trust, Series 2022-1A, Class D | ||||
3.40%, 12/15/27 144A | 95,000 | 88,797 | ||
Exeter Automobile Receivables Trust, Series 2021-3A, Class D | ||||
1.55%, 06/15/27 | 120,000 | 110,081 | ||
Exeter Automobile Receivables Trust, Series 2022-6A, Class C | ||||
6.32%, 05/15/28 | 20,000 | 20,004 | ||
Exeter Automobile Receivables Trust, Series 2023-2A, Class D | ||||
6.32%, 08/15/29 | 40,000 | 39,321 | ||
Exeter Automobile Receivables Trust, Series 2023-3A, Class D | ||||
6.68%, 04/16/29 | 20,000 | 19,961 | ||
Flagship Credit Auto Trust, Series 2021-2, Class D | ||||
1.59%, 06/15/27 144A | 40,000 | 35,859 | ||
Flagship Credit Auto Trust, Series 2021-3, Class D | ||||
1.65%, 09/15/27 144A | 50,000 | 44,163 | ||
Ford Credit Auto Owner Trust, Series 2021-A, Class A3 | ||||
0.30%, 08/15/25 | 125,217 | 122,109 | ||
GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1 | ||||
8.35%, 05/25/53 144A | 90,165 | 89,902 | ||
GLS Auto Receivables Issuer Trust, Series 2021-1A, Class D | ||||
1.68%, 01/15/27 144A | 175,000 | 164,953 | ||
GLS Auto Receivables Issuer Trust, Series 2021-2A, Class D | ||||
1.42%, 04/15/27 144A | 65,000 | 60,331 | ||
GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D | ||||
1.48%, 07/15/27 144A | 80,000 | 73,120 |
Par | Value | |||
GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D | ||||
2.48%, 10/15/27 144A | $ 135,000 | $124,269 | ||
GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D | ||||
6.31%, 03/15/29 144A | 30,000 | 29,478 | ||
Honda Auto Receivables Owner Trust, Series 2021-1, Class A3 | ||||
0.27%, 04/21/25 | 62,670 | 61,207 | ||
MVW LLC, Series 2021-2A, Class C | ||||
2.23%, 05/20/39 144A | 79,303 | 70,116 | ||
Navient Private Education Refinancing Loan Trust, Series 2021-FA, Class B | ||||
2.12%, 02/18/70 144A | 100,000 | 64,431 | ||
Navient Student Loan Trust, Series 2018-EA, Class B | ||||
4.44%, 12/15/59 144A | 560,000 | 507,341 | ||
Nelnet Student Loan Trust, Series 2021-CA, Class D | ||||
4.44%, 04/20/62 144A | 1,040,000 | 844,941 | ||
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | ||||
(Floating, ICE LIBOR USD 1M + 1.08%, 1.08% Floor, 12.50% Cap), 6.23%, 01/25/34† | 169,663 | 167,012 | ||
Prestige Auto Receivables Trust, Series 2022-1A, Class D | ||||
8.08%, 08/15/28 144A | 80,000 | 80,746 | ||
Progress Residential, Series 2021-SFR3, Class E1 | ||||
2.54%, 05/17/26 144A | 20,000 | 17,372 | ||
Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C | ||||
3.12%, 05/20/36 144A | 15,360 | 14,756 | ||
SLM Student Loan Trust, Series 2003-10A, Class A4 | ||||
(Floating, ICE LIBOR USD 3M + 0.67%), 6.22%, 12/17/68 144A † | 490,920 | 472,276 | ||
SLM Student Loan Trust, Series 2003-4, Class A5E | ||||
(Floating, ICE LIBOR USD 3M + 0.75%), 6.30%, 03/15/33 144A † | 92,167 | 87,883 | ||
SLM Student Loan Trust, Series 2006-10, Class A6 | ||||
(Floating, ICE LIBOR USD 3M + 0.15%), 5.41%, 03/25/44† | 89,892 | 86,499 | ||
SMB Private Education Loan Trust, Seres 2021-A, Class A2A2 | ||||
(Floating, ICE LIBOR USD 1M + 0.73%), 5.92%, 01/15/53 144A † | 75,385 | 73,608 | ||
SMB Private Education Loan Trust, Series 2021-A, Class A2B | ||||
1.59%, 01/15/53 144A | 180,923 | 157,095 | ||
SMB Private Education Loan Trust, Series 2021-E, Class B | ||||
2.49%, 02/15/51 144A | 100,000 | 79,694 | ||
Sunnova Helios X Issuer LLC, Series 2022-C, Class C | ||||
6.00%, 11/22/49 144A | 95,842 | 81,859 |
Par | Value | |||
Taco Bell Funding LLC, Series 2021-1A, Class A2II | ||||
2.29%, 08/25/51 144A | $108,350 | $ 89,253 | ||
Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A | ||||
1.68%, 02/20/46 144A | 81,333 | 68,700 | ||
U.S. Airways Pass-Through Trust, Series 2012-1, Class A | ||||
5.90%, 10/01/24 | 60,631 | 60,153 | ||
U.S. Airways Pass-Through Trust, Series 2012-2, Class A | ||||
4.63%, 06/03/25 | 55,058 | 51,660 | ||
United Airlines Pass-Through Trust, Series 2014-1, Class A | ||||
4.00%, 04/11/26Δ | 70,226 | 66,122 | ||
United Airlines Pass-Through Trust, Series 2016-2, Class B | ||||
3.65%, 04/07/27 | 52,894 | 49,097 | ||
United Airlines Pass-Through Trust, Series 2020-1, Class A | ||||
5.88%, 10/15/27 | 100,616 | 99,876 | ||
United Airlines Pass-Through Trust, Series 2023-1, Class A | ||||
5.80%, 07/15/36 | 140,000 | 142,757 | ||
VCAT LLC, Series 2021-NPL5, Class A1 | ||||
(Step to 4.87% on 09/25/24), 1.87%, 08/25/51 144A STEP | 68,651 | 62,297 | ||
VCAT LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 4.92% on 10/25/24), 1.92%, 09/25/51 144A STEP | 110,179 | 100,373 | ||
VOLT XCVII LLC, Series 2021-NPL6, Class A1 | ||||
(Step to 5.24% on 04/25/24), 2.24%, 04/25/51 144A STEP | 70,589 | 64,635 | ||
Wendy's Funding LLC, Series 2021-1A, Class A2I | ||||
2.37%, 06/15/51 144A | 58,800 | 48,808 | ||
Westlake Automobile Receivables Trust, Series 2021-1A, Class D | ||||
1.23%, 04/15/26 144A | 140,000 | 131,778 | ||
Westlake Automobile Receivables Trust, Series 2021-2A, Class D | ||||
1.23%, 12/15/26 144A | 65,000 | 60,251 | ||
Total Asset-Backed Securities (Cost $9,151,724) | 8,414,159 | |||
CORPORATE BONDS — 19.1% | ||||
Air Lease Corporation | ||||
0.70%, 02/15/24 | 300,000 | 290,646 | ||
2.30%, 02/01/25 | 280,000 | 263,453 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.08%), 4.65%, 06/15/26ρ ^ | 120,000 | 100,447 | ||
4.63%, 10/01/28Δ | 50,000 | 47,033 | ||
3.00%, 02/01/30 | 30,000 | 25,121 | ||
3.13%, 12/01/30 | 25,000 | 20,852 | ||
Allied Universal Holdco LLC | ||||
6.00%, 06/01/29 144A Δ | 270,000 | 199,584 |
Par | Value | |||
Ally Financial, Inc. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.87%), 4.70%, 05/15/26ρ ^ | $ 140,000 | $ 99,138 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 7Y + 3.48%), 4.70%, 05/15/28ρ ^ | 125,000 | 80,938 | ||
2.20%, 11/02/28 | 50,000 | 39,956 | ||
8.00%, 11/01/31 | 175,000 | 181,818 | ||
6.70%, 02/14/33 | 65,000 | 57,571 | ||
Amazon.com, Inc. | ||||
0.45%, 05/12/24 | 595,000 | 570,606 | ||
3.88%, 08/22/37 | 620,000 | 566,652 | ||
4.25%, 08/22/57 | 190,000 | 171,185 | ||
American Airlines, Inc. | ||||
5.50%, 04/20/26 144A | 780,000 | 773,440 | ||
5.75%, 04/20/29 144A | 750,000 | 728,909 | ||
American Express Co. | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.85%), 3.55%, 09/15/26ρ ^ | 1,000,000 | 832,500 | ||
(Variable, U.S. SOFR + 1.76%), 4.42%, 08/03/33^ | 25,000 | 23,602 | ||
American Homes 4 Rent LP REIT | ||||
2.38%, 07/15/31 | 20,000 | 15,910 | ||
American Tower Corporation REIT | ||||
0.50%, 01/15/28(E) | 400,000 | 367,314 | ||
5.50%, 03/15/28 | 85,000 | 84,508 | ||
Amgen, Inc. | ||||
5.25%, 03/02/33 | 25,000 | 25,044 | ||
5.65%, 03/02/53 | 25,000 | 25,336 | ||
5.75%, 03/02/63Δ | 30,000 | 30,457 | ||
Antares Holdings LP | ||||
3.75%, 07/15/27 144A | 250,000 | 209,401 | ||
Apple, Inc. | ||||
0.50%, 11/15/31(E) | 180,000 | 158,594 | ||
4.65%, 02/23/46 | 120,000 | 118,467 | ||
Aramark International Finance S.a.r.l. | ||||
3.13%, 04/01/25(E) | 184,000 | 193,934 | ||
Ardagh Metal Packaging Finance U.S.A. LLC | ||||
3.00%, 09/01/29(E) | 100,000 | 81,503 | ||
Ares Capital Corporation | ||||
2.88%, 06/15/28 | 280,000 | 231,891 | ||
3.20%, 11/15/31Δ | 135,000 | 103,632 | ||
Arrow Electronics, Inc. | ||||
6.13%, 03/01/26 | 90,000 | 89,829 | ||
2.95%, 02/15/32Δ | 30,000 | 24,784 | ||
AT&T, Inc. | ||||
0.25%, 03/04/26(E) | 650,000 | 642,557 | ||
2.90%, 12/04/26(U) | 1,650,000 | 1,866,410 | ||
2.25%, 02/01/32 | 30,000 | 23,838 | ||
3.65%, 06/01/51 | 510,000 | 374,691 | ||
Athene Global Funding | ||||
1.72%, 01/07/25 144A | 245,000 | 226,861 | ||
1.61%, 06/29/26 144A | 110,000 | 94,183 |
Par | Value | |||
AutoNation, Inc. | ||||
3.85%, 03/01/32 | $ 25,000 | $ 21,227 | ||
Avantor Funding, Inc. | ||||
3.88%, 07/15/28(E) | 137,000 | 137,380 | ||
Aviation Capital Group LLC | ||||
1.95%, 01/30/26 144A | 80,000 | 71,309 | ||
6.25%, 04/15/28 144A | 55,000 | 54,924 | ||
6.38%, 07/15/30 144A | 105,000 | 104,216 | ||
Avnet, Inc. | ||||
5.50%, 06/01/32 | 130,000 | 123,544 | ||
Avon Products, Inc. | ||||
8.45%, 03/15/43 | 50,000 | 54,305 | ||
Bank of America Corporation | ||||
1.38%, 03/26/25(E) | 595,000 | 621,876 | ||
(Variable, CME Term SOFR 3M + 3.19%), 5.88%, 03/15/28ρ ^ | 900,000 | 825,750 | ||
(Variable, CME Term SOFR 3M + 1.77%), 3.71%, 04/24/28^ | 215,000 | 201,668 | ||
(Variable, CME Term SOFR 3M + 1.30%), 3.42%, 12/20/28^ | 435,000 | 399,290 | ||
(Variable, CME Term SOFR 3M + 1.25%), 2.50%, 02/13/31^ | 120,000 | 100,528 | ||
(Variable, U.S. SOFR + 1.37%), 1.92%, 10/24/31^ | 360,000 | 285,084 | ||
(Variable, U.S. SOFR + 1.33%), 2.97%, 02/04/33^ | 115,000 | 95,908 | ||
(Variable, U.S. SOFR + 2.16%), 5.02%, 07/22/33Δ ^ | 25,000 | 24,470 | ||
(Variable, U.S. SOFR + 1.91%), 5.29%, 04/25/34^ | 290,000 | 287,435 | ||
(Variable, U.S. SOFR + 1.58%), 3.31%, 04/22/42^ | 1,860,000 | 1,418,717 | ||
(Variable, CME Term SOFR 3M + 3.41%), 4.08%, 03/20/51^ | 170,000 | 141,092 | ||
Barings BDC, Inc. | ||||
3.30%, 11/23/26 | 75,000 | 65,413 | ||
Belden, Inc. | ||||
3.38%, 07/15/27(E) | 100,000 | 102,061 | ||
BioMarin Pharmaceutical, Inc. | ||||
0.60%, 08/01/24 CONV | 80,000 | 78,781 | ||
1.25%, 05/15/27 CONV Δ | 235,000 | 237,422 | ||
Blackstone Secured Lending Fund | ||||
2.13%, 02/15/27Δ | 190,000 | 160,601 | ||
Block, Inc. | ||||
3.50%, 06/01/31Δ | 65,000 | 53,920 | ||
Boeing Co. (The) | ||||
4.88%, 05/01/25 | 690,000 | 680,425 | ||
5.15%, 05/01/30 | 5,000 | 4,955 | ||
3.75%, 02/01/50 | 350,000 | 263,070 | ||
5.81%, 05/01/50 | 480,000 | 478,655 | ||
Booking Holdings, Inc. | ||||
0.50%, 03/08/28(E) | 275,000 | 257,795 | ||
Braskem America Finance Co. | ||||
7.13%, 07/22/41 | 2,440,000 | 2,358,326 | ||
Brighthouse Financial, Inc. | ||||
5.63%, 05/15/30Δ | 375,000 | 362,019 |
Par | Value | |||
Brixmor Operating Partnership LP REIT | ||||
2.25%, 04/01/28 | $ 15,000 | $ 12,622 | ||
Broadcom, Inc. | ||||
4.15%, 11/15/30 | 60,000 | 55,232 | ||
2.60%, 02/15/33 144A | 140,000 | 109,509 | ||
3.14%, 11/15/35 144A | 80,000 | 61,393 | ||
Carnival Corporation | ||||
5.75%, 03/01/27 144A | 80,000 | 73,721 | ||
9.88%, 08/01/27 144A | 50,000 | 52,127 | ||
6.00%, 05/01/29 144A | 45,000 | 40,220 | ||
Caterpillar Financial Services Corporation | ||||
0.95%, 01/10/24 | 225,000 | 219,741 | ||
0.45%, 05/17/24 | 595,000 | 569,739 | ||
CCO Holdings LLC | ||||
4.50%, 08/15/30 144A | 650,000 | 541,834 | ||
4.50%, 06/01/33 144A | 1,170,000 | 920,030 | ||
4.25%, 01/15/34 144A | 295,000 | 223,255 | ||
CDW LLC | ||||
2.67%, 12/01/26 | 25,000 | 22,476 | ||
4.25%, 04/01/28 | 20,000 | 18,361 | ||
3.28%, 12/01/28 | 20,000 | 17,386 | ||
3.25%, 02/15/29 | 25,000 | 21,443 | ||
3.57%, 12/01/31Δ | 255,000 | 215,541 | ||
Celanese U.S. Holdings LLC | ||||
4.78%, 07/19/26(E) | 200,000 | 213,217 | ||
6.33%, 07/15/29Δ | 35,000 | 34,789 | ||
6.38%, 07/15/32Δ | 25,000 | 25,231 | ||
Centene Corporation | ||||
2.45%, 07/15/28 | 5,000 | 4,279 | ||
4.63%, 12/15/29 | 1,380,000 | 1,271,445 | ||
3.00%, 10/15/30 | 25,000 | 20,856 | ||
2.50%, 03/01/31 | 245,000 | 195,624 | ||
2.63%, 08/01/31Δ | 100,000 | 79,820 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 3.08%), 4.00%, 12/01/30ρ ^ | 490,000 | 358,190 | ||
Charter Communications Operating LLC | ||||
2.80%, 04/01/31 | 255,000 | 205,283 | ||
2.30%, 02/01/32 | 235,000 | 178,030 | ||
4.40%, 04/01/33Δ | 55,000 | 48,295 | ||
3.50%, 06/01/41 | 370,000 | 250,574 | ||
6.48%, 10/23/45 | 210,000 | 197,565 | ||
5.75%, 04/01/48 | 890,000 | 762,599 | ||
4.80%, 03/01/50 | 285,000 | 215,267 | ||
3.70%, 04/01/51 | 65,000 | 41,122 | ||
3.85%, 04/01/61 | 30,000 | 18,171 | ||
4.40%, 12/01/61Δ | 245,000 | 165,591 | ||
3.95%, 06/30/62 | 245,000 | 150,947 | ||
Cheniere Energy Partners LP | ||||
4.50%, 10/01/29 | 20,000 | 18,373 | ||
4.00%, 03/01/31 | 185,000 | 163,094 | ||
3.25%, 01/31/32Δ | 35,000 | 28,842 | ||
5.95%, 06/30/33 144A | 70,000 | 70,291 | ||
Cigna Group (The) | ||||
4.80%, 08/15/38 | 280,000 | 264,608 |
Par | Value | |||
3.20%, 03/15/40 | $ 125,000 | $ 96,216 | ||
3.40%, 03/15/50 | 260,000 | 190,186 | ||
Citigroup, Inc. | ||||
(Variable, CME Term SOFR 3M + 3.68%), 6.30%, 05/15/24ρ Δ ^ | 690,000 | 673,612 | ||
(Variable, CME Term SOFR 3M + 1.16%), 3.35%, 04/24/25^ | 275,000 | 268,917 | ||
(Variable, CME Term SOFR 3M + 4.17%), 5.95%, 05/15/25ρ ^ | 100,000 | 96,028 | ||
(Variable, CME Term SOFR 3M + 1.82%), 3.89%, 01/10/28^ | 150,000 | 142,239 | ||
(Variable, CME Term SOFR 3M + 1.41%), 3.52%, 10/27/28^ | 155,000 | 144,082 | ||
(Variable, U.S. SOFR + 1.42%), 2.98%, 11/05/30^ | 165,000 | 143,120 | ||
(Variable, U.S. SOFR + 1.94%), 3.79%, 03/17/33^ | 155,000 | 137,024 | ||
CME Group, Inc. | ||||
5.30%, 09/15/43 | 620,000 | 644,927 | ||
Comcast Corporation | ||||
2.94%, 11/01/56 | 1,026,000 | 668,880 | ||
2.99%, 11/01/63 | 307,000 | 194,864 | ||
CommScope, Inc. | ||||
4.75%, 09/01/29 144A Δ | 240,000 | 189,447 | ||
ConocoPhillips | ||||
6.50%, 02/01/39Δ | 10,000 | 11,542 | ||
Continental Resources, Inc. | ||||
5.75%, 01/15/31 144A | 440,000 | 418,456 | ||
2.88%, 04/01/32 144A | 160,000 | 123,038 | ||
4.90%, 06/01/44Δ | 270,000 | 210,056 | ||
Corebridge Financial, Inc. | ||||
4.35%, 04/05/42Δ | 45,000 | 36,378 | ||
Corporate Office Properties LP REIT | ||||
2.75%, 04/15/31 | 20,000 | 15,220 | ||
Coty, Inc. | ||||
3.88%, 04/15/26(E) | 100,000 | 106,037 | ||
Crown Castle, Inc. REIT | ||||
1.05%, 07/15/26Δ | 325,000 | 284,770 | ||
2.50%, 07/15/31 | 215,000 | 176,796 | ||
5.10%, 05/01/33 | 105,000 | 103,261 | ||
CSC Holdings LLC | ||||
4.13%, 12/01/30 144A Δ | 200,000 | 140,098 | ||
4.63%, 12/01/30 144A | 400,000 | 178,391 | ||
CVS Health Corporation | ||||
1.75%, 08/21/30 | 30,000 | 23,955 | ||
4.13%, 04/01/40 | 80,000 | 67,484 | ||
5.05%, 03/25/48 | 255,000 | 235,226 | ||
4.25%, 04/01/50Δ | 210,000 | 174,128 | ||
DCP Midstream Operating LP | ||||
5.13%, 05/15/29 | 20,000 | 19,583 | ||
3.25%, 02/15/32 | 135,000 | 114,462 | ||
6.75%, 09/15/37 144A | 500,000 | 531,735 | ||
Dell International LLC | ||||
5.30%, 10/01/29 | 310,000 | 307,931 | ||
5.75%, 02/01/33Δ | 25,000 | 25,249 | ||
8.10%, 07/15/36 | 122,000 | 142,829 | ||
8.35%, 07/15/46 | 31,000 | 38,053 | ||
Delta Air Lines, Inc. | ||||
2.90%, 10/28/24 | 30,000 | 28,826 |
Par | Value | |||
7.00%, 05/01/25 144A | $ 50,000 | $ 51,102 | ||
4.50%, 10/20/25 144A | 291,644 | 285,409 | ||
7.38%, 01/15/26Δ | 330,000 | 344,316 | ||
4.75%, 10/20/28 144A | 1,300,000 | 1,262,943 | ||
Devon Energy Corporation | ||||
5.88%, 06/15/28 | 384,000 | 382,966 | ||
DH Europe Finance II S.a.r.l. | ||||
0.45%, 03/18/28(E) | 275,000 | 258,885 | ||
Diamondback Energy, Inc. | ||||
3.13%, 03/24/31 | 45,000 | 38,567 | ||
6.25%, 03/15/33Δ | 20,000 | 20,698 | ||
Digital Euro Finco LLC REIT | ||||
1.13%, 04/09/28(E) | 305,000 | 274,858 | ||
Dillard's, Inc. | ||||
7.75%, 07/15/26 | 450,000 | 458,454 | ||
Directv Financing LLC | ||||
5.88%, 08/15/27 144A Δ | 1,370,000 | 1,242,330 | ||
Discovery Communications LLC | ||||
3.63%, 05/15/30Δ | 100,000 | 87,779 | ||
DISH DBS Corporation | ||||
7.75%, 07/01/26Δ | 1,545,000 | 949,209 | ||
5.75%, 12/01/28 144A Δ | 885,000 | 659,908 | ||
5.13%, 06/01/29 | 90,000 | 41,881 | ||
DISH Network Corporation | ||||
2.38%, 03/15/24 CONV | 830,000 | 738,700 | ||
3.38%, 08/15/26 CONV Δ | 565,000 | 289,562 | ||
Dollar Tree, Inc. | ||||
2.65%, 12/01/31 | 30,000 | 24,550 | ||
DTE Energy Co. | ||||
3.40%, 06/15/29 | 117,000 | 104,735 | ||
Duke Energy Corporation | ||||
2.55%, 06/15/31 | 250,000 | 206,169 | ||
El Paso Natural Gas Co. LLC | ||||
8.38%, 06/15/32 | 50,000 | 57,396 | ||
Electronic Arts, Inc. | ||||
1.85%, 02/15/31Δ | 30,000 | 24,313 | ||
Elevance Health, Inc. | ||||
4.10%, 05/15/32 | 25,000 | 23,315 | ||
Encore Capital Group, Inc. | ||||
4.88%, 10/15/25(E) | 100,000 | 102,353 | ||
Endeavor Energy Resources LP | ||||
5.75%, 01/30/28 144A Δ | 230,000 | 225,191 | ||
Energy Transfer LP | ||||
4.50%, 11/01/23Δ | 500,000 | 498,018 | ||
7.60%, 02/01/24 | 220,000 | 221,310 | ||
5.75%, 02/15/33 | 155,000 | 156,228 | ||
EnLink Midstream LLC | ||||
6.50%, 09/01/30 144A Δ | 10,000 | 9,999 | ||
Entegris Escrow Corporation | ||||
4.75%, 04/15/29 144A | 185,000 | 171,912 | ||
Enterprise Products Operating LLC | ||||
5.35%, 01/31/33 | 20,000 | 20,347 | ||
5.10%, 02/15/45 | 600,000 | 573,478 | ||
4.80%, 02/01/49 | 290,000 | 265,735 | ||
EOG Resources, Inc. | ||||
4.38%, 04/15/30Δ | 100,000 | 97,892 | ||
EPR Properties REIT | ||||
3.60%, 11/15/31 | 295,000 | 230,435 |
Par | Value | |||
EQT Corporation | ||||
6.13%, 02/01/25 | $ 12,000 | $ 11,943 | ||
3.13%, 05/15/26 144A | 25,000 | 23,009 | ||
3.90%, 10/01/27 | 105,000 | 97,169 | ||
5.70%, 04/01/28 | 20,000 | 19,760 | ||
5.00%, 01/15/29 | 900,000 | 848,169 | ||
7.00%, 02/01/30Δ | 105,000 | 110,033 | ||
3.63%, 05/15/31 144A Δ | 105,000 | 90,459 | ||
ERAC U.S.A. Finance LLC | ||||
7.00%, 10/15/37 144A | 535,000 | 611,907 | ||
Expedia Group, Inc. | ||||
3.25%, 02/15/30Δ | 15,000 | 13,067 | ||
2.95%, 03/15/31Δ | 490,000 | 413,434 | ||
Exxon Mobil Corporation | ||||
4.33%, 03/19/50 | 300,000 | 272,234 | ||
3.45%, 04/15/51 | 310,000 | 241,085 | ||
Fidelity & Guaranty Life Holdings, Inc. | ||||
5.50%, 05/01/25 144A | 430,000 | 418,419 | ||
Fidelity National Information Services, Inc. | ||||
1.00%, 12/03/28(E) | 300,000 | 279,344 | ||
Fiserv, Inc. | ||||
1.63%, 07/01/30(E) | 290,000 | 269,687 | ||
Ford Motor Credit Co. LLC | ||||
3.02%, 03/06/24(E) | 200,000 | 215,628 | ||
2.75%, 06/14/24(U) | 1,360,000 | 1,653,060 | ||
3.82%, 11/02/27 | 400,000 | 357,881 | ||
2.90%, 02/10/29 | 875,000 | 724,939 | ||
4.00%, 11/13/30 | 850,000 | 727,161 | ||
Fox Corporation | ||||
5.58%, 01/25/49 | 185,000 | 173,372 | ||
Freeport-McMoRan, Inc. | ||||
4.25%, 03/01/30 | 10,000 | 9,224 | ||
4.63%, 08/01/30 | 5,000 | 4,716 | ||
FS KKR Capital Corporation | ||||
3.13%, 10/12/28 | 30,000 | 24,452 | ||
Gartner, Inc. | ||||
3.63%, 06/15/29 144A | 10,000 | 8,812 | ||
GATX Corporation | ||||
5.45%, 09/15/33 | 140,000 | 137,854 | ||
General Dynamics Corporation | ||||
4.25%, 04/01/40 | 190,000 | 175,001 | ||
4.25%, 04/01/50 | 460,000 | 422,490 | ||
General Motors Co. | ||||
5.60%, 10/15/32Δ | 25,000 | 24,199 | ||
General Motors Financial Co., Inc. | ||||
5.25%, 03/01/26 | 315,000 | 310,353 | ||
(Variable, ICE LIBOR USD 3M + 3.60%), 5.75%, 09/30/27ρ ^ | 5,000 | 4,081 | ||
5.85%, 04/06/30Δ | 5,000 | 4,961 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 5.00%), 5.70%, 09/30/30ρ Δ ^ | 10,000 | 8,816 | ||
3.10%, 01/12/32 | 50,000 | 40,466 | ||
6.40%, 01/09/33 | 110,000 | 111,883 | ||
GEO Group, Inc. (The) | ||||
10.50%, 06/30/28 | 217,000 | 217,737 |
Par | Value | |||
Georgia-Pacific LLC | ||||
8.88%, 05/15/31Δ | $305,000 | $375,759 | ||
Gilead Sciences, Inc. | ||||
4.00%, 09/01/36 | 670,000 | 604,712 | ||
Glencore Funding LLC | ||||
2.50%, 09/01/30 144A Δ | 30,000 | 24,587 | ||
2.85%, 04/27/31 144A Δ | 420,000 | 346,985 | ||
5.70%, 05/08/33 144A Δ | 35,000 | 34,747 | ||
Global Payments, Inc. | ||||
5.30%, 08/15/29 | 30,000 | 29,254 | ||
2.90%, 05/15/30 | 65,000 | 55,153 | ||
2.90%, 11/15/31Δ | 65,000 | 52,931 | ||
5.40%, 08/15/32Δ | 65,000 | 63,375 | ||
Go Daddy Operating Co. LLC | ||||
3.50%, 03/01/29 144A | 105,000 | 90,063 | ||
Goldman Sachs Capital II | ||||
(Variable, ICE LIBOR USD 3M + 0.77%), 6.26%, 08/03/23† ρ | 40,000 | 31,300 | ||
Goldman Sachs Group, Inc. (The) | ||||
(Variable, CME Term SOFR 3M + 1.46%), 3.27%, 09/29/25^ | 355,000 | 343,149 | ||
(Variable, U.S. SOFR + 0.79%), 1.09%, 12/09/26^ | 360,000 | 320,995 | ||
(Variable, U.S. SOFR + 0.82%), 1.54%, 09/10/27^ | 65,000 | 57,171 | ||
0.25%, 01/26/28(E) Δ | 428,000 | 391,158 | ||
(Variable, CME Term SOFR 3M + 1.77%), 3.69%, 06/05/28^ | 175,000 | 164,534 | ||
(Variable, U.S. SOFR + 1.73%), 4.48%, 08/23/28Δ ^ | 275,000 | 266,054 | ||
(Variable, CME Term SOFR 3M + 1.42%), 3.81%, 04/23/29^ | 240,000 | 222,988 | ||
(Variable, U.S. SOFR + 1.28%), 2.62%, 04/22/32^ | 190,000 | 155,876 | ||
(Variable, U.S. SOFR + 1.41%), 3.10%, 02/24/33Δ ^ | 25,000 | 21,130 | ||
6.75%, 10/01/37 | 180,000 | 193,753 | ||
(Variable, CME Term SOFR 3M + 1.63%), 4.02%, 10/31/38^ | 135,000 | 114,408 | ||
5.15%, 05/22/45 | 580,000 | 541,906 | ||
Hanesbrands, Inc. | ||||
4.88%, 05/15/26 144A Δ | 560,000 | 523,508 | ||
HCA, Inc. | ||||
5.38%, 02/01/25 | 20,000 | 19,835 | ||
5.38%, 09/01/26 | 18,000 | 17,866 | ||
4.13%, 06/15/29 | 70,000 | 64,813 | ||
3.50%, 09/01/30 | 50,000 | 43,853 | ||
2.38%, 07/15/31 | 30,000 | 24,011 | ||
3.63%, 03/15/32 144A | 170,000 | 147,636 | ||
5.50%, 06/01/33 | 290,000 | 289,666 | ||
5.25%, 06/15/49 | 140,000 | 126,458 | ||
Hercules LLC | ||||
6.50%, 06/30/29 | 130,000 | 121,246 | ||
Hess Midstream Operations LP | ||||
4.25%, 02/15/30 144A | 30,000 | 26,205 | ||
Hilton Domestic Operating Co., Inc. | ||||
3.63%, 02/15/32 144A | 75,000 | 62,602 | ||
Hilton Grand Vacations Borrower Escrow LLC | ||||
5.00%, 06/01/29 144A | 60,000 | 53,304 |
Par | Value | |||
4.88%, 07/01/31 144A | $ 20,000 | $ 16,800 | ||
Hilton Worldwide Finance LLC | ||||
4.88%, 04/01/27 | 520,000 | 504,911 | ||
HUB International, Ltd. | ||||
7.25%, 06/15/30 144A Δ | 95,000 | 98,183 | ||
Icahn Enterprises LP | ||||
4.75%, 09/15/24 | 5,000 | 4,782 | ||
5.25%, 05/15/27 | 15,000 | 12,951 | ||
4.38%, 02/01/29 | 280,000 | 220,284 | ||
iHeartCommunications, Inc. | ||||
5.25%, 08/15/27 144A Δ | 35,000 | 26,812 | ||
Jabil, Inc. | ||||
1.70%, 04/15/26 | 85,000 | 76,091 | ||
JBS U.S.A. LUX SA | ||||
3.00%, 02/02/29 144A | 45,000 | 38,272 | ||
3.75%, 12/01/31 144A Δ | 50,000 | 41,085 | ||
Jefferies Financial Group, Inc. | ||||
6.25%, 01/15/36 | 350,000 | 357,221 | ||
6.50%, 01/20/43 | 260,000 | 260,741 | ||
JELD-WEN, Inc. | ||||
4.88%, 12/15/27 144A Δ | 150,000 | 133,038 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 CONV | 40,000 | 33,050 | ||
John Deere Capital Corporation | ||||
0.90%, 01/10/24Δ | 55,000 | 53,681 | ||
1.25%, 01/10/25 | 85,000 | 80,149 | ||
JPMorgan Chase & Co. | ||||
(Variable, CME Term SOFR 3M + 3.59%), 6.13%, 04/30/24ρ ^ | 190,000 | 189,621 | ||
(Variable, U.S. SOFR + 1.56%), 4.32%, 04/26/28^ | 135,000 | 130,387 | ||
(Variable, Euribor 3M + 0.84%), 1.64%, 05/18/28(E) ^ | 250,000 | 246,999 | ||
(Variable, U.S. SOFR + 2.04%), 2.52%, 04/22/31^ | 510,000 | 431,660 | ||
(Variable, CME Term SOFR 3M + 2.52%), 2.96%, 05/13/31^ | 445,000 | 381,776 | ||
(Variable, U.S. SOFR + 2.08%), 4.91%, 07/25/33^ | 25,000 | 24,439 | ||
(Variable, CME Term SOFR 3M + 2.46%), 3.11%, 04/22/41^ | 215,000 | 163,387 | ||
(Variable, U.S. SOFR + 2.44%), 3.11%, 04/22/51^ | 460,000 | 321,928 | ||
(Variable, U.S. SOFR + 1.58%), 3.33%, 04/22/52^ | 1,880,000 | 1,371,682 | ||
Kinder Morgan Energy Partners LP | ||||
6.50%, 02/01/37 | 40,000 | 41,276 | ||
6.95%, 01/15/38 | 50,000 | 53,764 | ||
Kinder Morgan, Inc. | ||||
7.75%, 01/15/32Δ | 560,000 | 632,571 | ||
5.55%, 06/01/45 | 265,000 | 244,452 | ||
Kronos International, Inc. | ||||
3.75%, 09/15/25(E) | 100,000 | 99,840 | ||
Legacy LifePoint Health LLC | ||||
4.38%, 02/15/27 144A Δ | 230,000 | 178,250 | ||
Leidos, Inc. | ||||
5.75%, 03/15/33 | 105,000 | 104,364 | ||
Lennar Corporation | ||||
4.75%, 11/29/27 | 975,000 | 946,822 |
Par | Value | |||
Lithia Motors, Inc. | ||||
3.88%, 06/01/29 144A | $165,000 | $143,545 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 35,000 | 31,802 | ||
Marathon Oil Corporation | ||||
6.80%, 03/15/32 | 20,000 | 20,700 | ||
Marathon Petroleum Corporation | ||||
4.70%, 05/01/25 | 320,000 | 314,092 | ||
Marriott International, Inc. | ||||
2.85%, 04/15/31 | 75,000 | 63,107 | ||
Marriott Ownership Resorts, Inc. | ||||
4.50%, 06/15/29 144A | 45,000 | 38,878 | ||
Marvell Technology, Inc. | ||||
2.45%, 04/15/28 | 70,000 | 61,165 | ||
2.95%, 04/15/31 | 60,000 | 50,323 | ||
Masco Corporation | ||||
7.75%, 08/01/29 | 62,000 | 67,811 | ||
6.50%, 08/15/32 | 27,000 | 27,896 | ||
Matador Resources Co. | ||||
6.88%, 04/15/28 144A Δ | 20,000 | 19,818 | ||
MBIA Insurance Corporation | ||||
16.52%, 01/15/33 144A # | 215,000 | 7,525 | ||
McDonald’s Corporation | ||||
1.60%, 03/15/31(E) | 400,000 | 376,835 | ||
4.20%, 04/01/50 | 300,000 | 259,905 | ||
Meta Platforms, Inc. | ||||
4.95%, 05/15/33 | 175,000 | 174,936 | ||
Micron Technology, Inc. | ||||
6.75%, 11/01/29 | 185,000 | 192,424 | ||
2.70%, 04/15/32 | 215,000 | 169,742 | ||
5.88%, 02/09/33 | 165,000 | 164,250 | ||
5.88%, 09/15/33 | 440,000 | 436,243 | ||
Mileage Plus Holdings LLC | ||||
6.50%, 06/20/27 144A | 300,000 | 301,019 | ||
MMS U.S.A. Holdings, Inc. | ||||
1.75%, 06/13/31(E) | 500,000 | 464,257 | ||
Molina Healthcare, Inc. | ||||
3.88%, 05/15/32 144A | 60,000 | 50,379 | ||
Morgan Stanley | ||||
(Variable, U.S. SOFR + 0.51%), 0.79%, 01/22/25^ | 430,000 | 416,786 | ||
4.35%, 09/08/26 | 120,000 | 115,966 | ||
3.63%, 01/20/27 | 215,000 | 204,313 | ||
3.95%, 04/23/27 | 35,000 | 33,156 | ||
(Variable, U.S. SOFR + 1.14%), 2.70%, 01/22/31^ | 485,000 | 412,692 | ||
(Variable, U.S. SOFR + 2.56%), 6.34%, 10/18/33^ | 20,000 | 21,285 | ||
(Variable, SONIA Interest Rate + 2.25%), 5.79%, 11/18/33(U) ^ | 820,000 | 999,702 | ||
(Variable, U.S. SOFR + 1.87%), 5.25%, 04/21/34^ | 105,000 | 103,731 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.43%), 5.95%, 01/19/38^ | 175,000 | 172,831 | ||
(Variable, U.S. SOFR + 4.84%), 5.60%, 03/24/51^ | 230,000 | 240,320 | ||
Motorola Solutions, Inc. | ||||
5.60%, 06/01/32 | 25,000 | 24,783 |
Par | Value | |||
MPLX LP | ||||
5.00%, 03/01/33 | $ 25,000 | $ 23,957 | ||
4.70%, 04/15/48 | 85,000 | 69,883 | ||
Mutual of Omaha Insurance Co. | ||||
6.80%, 06/15/36 144A | 605,000 | 629,748 | ||
Mylan, Inc. | ||||
4.55%, 04/15/28 | 190,000 | 179,118 | ||
Navient Corporation | ||||
6.75%, 06/15/26Δ | 125,000 | 120,638 | ||
NCL Corporation, Ltd. | ||||
5.88%, 03/15/26 144A | 65,000 | 60,870 | ||
1.13%, 02/15/27 CONV | 95,000 | 88,023 | ||
5.88%, 02/15/27 144A | 65,000 | 63,335 | ||
NCL Finance, Ltd. | ||||
6.13%, 03/15/28 144A | 25,000 | 22,523 | ||
Netflix, Inc. | ||||
3.63%, 05/15/27(E) | 100,000 | 106,709 | ||
5.88%, 11/15/28 | 90,000 | 93,177 | ||
6.38%, 05/15/29Δ | 1,215,000 | 1,286,563 | ||
5.38%, 11/15/29 144A | 10,000 | 10,047 | ||
3.63%, 06/15/30(E) | 100,000 | 104,025 | ||
4.88%, 06/15/30 144A Δ | 145,000 | 142,824 | ||
NGPL PipeCo LLC | ||||
7.77%, 12/15/37 144A | 200,000 | 213,836 | ||
NVIDIA Corporation | ||||
3.70%, 04/01/60 | 280,000 | 231,177 | ||
Occidental Petroleum Corporation | ||||
3.50%, 08/15/29Δ | 280,000 | 240,769 | ||
8.88%, 07/15/30Δ | 10,000 | 11,503 | ||
6.13%, 01/01/31 | 5,000 | 5,082 | ||
7.88%, 09/15/31 | 10,000 | 11,162 | ||
OneMain Finance Corporation | ||||
6.88%, 03/15/25Δ | 125,000 | 123,881 | ||
3.50%, 01/15/27 | 10,000 | 8,590 | ||
5.38%, 11/15/29 | 20,000 | 17,022 | ||
4.00%, 09/15/30 | 10,000 | 7,709 | ||
Open Text Holdings, Inc. | ||||
4.13%, 02/15/30 144A | 300,000 | 254,311 | ||
Oracle Corporation | ||||
6.15%, 11/09/29 | 65,000 | 67,745 | ||
2.95%, 04/01/30 | 25,000 | 21,835 | ||
4.00%, 07/15/46 | 175,000 | 134,620 | ||
3.95%, 03/25/51 | 150,000 | 113,503 | ||
5.55%, 02/06/53Δ | 80,000 | 77,525 | ||
Organon & Co. | ||||
2.88%, 04/30/28(E) Δ | 150,000 | 142,470 | ||
Ovintiv, Inc. | ||||
8.13%, 09/15/30 | 15,000 | 16,495 | ||
7.20%, 11/01/31 | 5,000 | 5,260 | ||
7.38%, 11/01/31 | 10,000 | 10,731 | ||
6.50%, 08/15/34Δ | 120,000 | 120,363 | ||
6.63%, 08/15/37 | 30,000 | 29,641 | ||
6.50%, 02/01/38 | 5,000 | 4,909 | ||
Owens Corning | ||||
7.00%, 12/01/36 | 523,000 | 573,027 | ||
Owl Rock Capital Corporation | ||||
4.25%, 01/15/26 | 265,000 | 245,325 |
Par | Value | |||
2.88%, 06/11/28 | $ 105,000 | $ 85,671 | ||
Owl Rock Technology Finance Corporation | ||||
4.75%, 12/15/25 144A | 265,000 | 240,138 | ||
Pacific Gas and Electric Co. | ||||
4.55%, 07/01/30 | 25,000 | 22,644 | ||
3.25%, 06/01/31 | 160,000 | 130,243 | ||
3.30%, 08/01/40Δ | 95,000 | 64,130 | ||
4.30%, 03/15/45 | 245,000 | 175,203 | ||
Peloton Interactive, Inc. | ||||
0.00%, 02/15/26 CONV » | 10,000 | 7,627 | ||
Penn Mutual Life Insurance Co. (The) | ||||
7.63%, 06/15/40 144A | 345,000 | 374,846 | ||
Pilgrim's Pride Corporation | ||||
4.25%, 04/15/31 | 35,000 | 30,047 | ||
3.50%, 03/01/32 | 145,000 | 114,767 | ||
Plains All American Pipeline LP | ||||
4.65%, 10/15/25 | 195,000 | 190,039 | ||
PLT VII Finance S.a.r.l. | ||||
4.63%, 01/05/26(E) | 100,000 | 106,297 | ||
PPL Capital Funding, Inc. | ||||
2.88%, 03/15/28 144A CONV | 130,000 | 124,800 | ||
Prime Security Services Borrower LLC | ||||
5.25%, 04/15/24 144A | 538,000 | 534,047 | ||
Primo Water Holdings, Inc. | ||||
3.88%, 10/31/28(E) | 100,000 | 95,188 | ||
Radiology Partners, Inc. | ||||
9.25%, 02/01/28 144A Δ | 440,000 | 160,814 | ||
Rand Parent LLC | ||||
8.50%, 02/15/30 144A | 10,000 | 9,063 | ||
Range Resources Corporation | ||||
4.75%, 02/15/30 144A Δ | 840,000 | 753,703 | ||
Rocket Mortgage LLC | ||||
2.88%, 10/15/26 144A | 370,000 | 327,840 | ||
3.63%, 03/01/29 144A | 15,000 | 12,622 | ||
3.63%, 03/01/29 | 130,000 | 109,390 | ||
3.88%, 03/01/31 144A Δ | 325,000 | 263,821 | ||
4.00%, 10/15/33 144A Δ | 165,000 | 129,226 | ||
Royal Caribbean Cruises, Ltd. | ||||
4.25%, 07/01/26 144A | 10,000 | 9,189 | ||
5.50%, 04/01/28 144A Δ | 130,000 | 121,360 | ||
Sasol Financing U.S.A. LLC | ||||
5.50%, 03/18/31 | 1,470,000 | 1,158,914 | ||
SBA Communications Corporation REIT | ||||
3.13%, 02/01/29Δ | 155,000 | 131,526 | ||
Seagate HDD Cayman | ||||
4.09%, 06/01/29 | 5,000 | 4,404 | ||
9.63%, 12/01/32 144A | 7,650 | 8,450 | ||
Sensata Technologies, Inc. | ||||
4.38%, 02/15/30 144A | 720,000 | 644,506 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 CONV » | 70,000 | 52,150 | ||
Southern Co. (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.73%), 4.00%, 01/15/51^ | 120,000 | 111,278 |
Par | Value | |||
(Variable, 2.11% - EUR Swap Rate 5Y), 1.88%, 09/15/81(E) ^ | $250,000 | $214,128 | ||
Southern Copper Corporation | ||||
5.25%, 11/08/42Δ | 870,000 | 832,973 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONV | 145,000 | 166,786 | ||
Southwestern Energy Co. | ||||
4.75%, 02/01/32 | 765,000 | 675,313 | ||
Spectrum Brands, Inc. | ||||
5.75%, 07/15/25 | 35,000 | 35,000 | ||
5.00%, 10/01/29 144A | 90,000 | 80,423 | ||
Splunk, Inc. | ||||
1.13%, 06/15/27 CONV | 60,000 | 52,050 | ||
Spotify U.S.A., Inc. | ||||
0.00%, 03/15/26 CONV » | 65,000 | 55,543 | ||
Sprint Capital Corporation | ||||
8.75%, 03/15/32 | 715,000 | 864,951 | ||
Sprint LLC | ||||
7.88%, 09/15/23 | 490,000 | 491,624 | ||
Starbucks Corporation | ||||
3.00%, 02/14/32 | 25,000 | 21,719 | ||
Steel Dynamics, Inc. | ||||
3.25%, 01/15/31Δ | 25,000 | 21,683 | ||
Stewart Information Services Corporation | ||||
3.60%, 11/15/31 | 135,000 | 103,920 | ||
Synchrony Financial | ||||
2.88%, 10/28/31Δ | 185,000 | 134,687 | ||
Sysco Corporation | ||||
6.60%, 04/01/50 | 117,000 | 133,461 | ||
Tapestry, Inc. | ||||
3.05%, 03/15/32 | 30,000 | 23,977 | ||
Targa Resources Corporation | ||||
5.20%, 07/01/27 | 5,000 | 4,912 | ||
6.13%, 03/15/33 | 65,000 | 66,450 | ||
Targa Resources Partners LP | ||||
5.50%, 03/01/30 | 285,000 | 274,550 | ||
4.88%, 02/01/31 | 10,000 | 9,253 | ||
4.00%, 01/15/32 | 60,000 | 51,947 | ||
TD SYNNEX Corporation | ||||
1.75%, 08/09/26 | 135,000 | 117,746 | ||
Teladoc Health, Inc. | ||||
1.25%, 06/01/27 CONV | 275,000 | 220,000 | ||
Tennessee Gas Pipeline Co. LLC | ||||
2.90%, 03/01/30 144A Δ | 340,000 | 290,596 | ||
Teva Pharmaceutical Finance Co. LLC | ||||
6.15%, 02/01/36Δ | 75,000 | 66,759 | ||
Textron, Inc. | ||||
2.45%, 03/15/31Δ | 25,000 | 20,634 | ||
Time Warner Cable LLC | ||||
5.50%, 09/01/41 | 35,000 | 29,146 | ||
4.50%, 09/15/42 | 55,000 | 41,182 | ||
T-Mobile U.S.A., Inc. | ||||
2.40%, 03/15/29 | 25,000 | 21,501 | ||
3.88%, 04/15/30 | 675,000 | 622,259 | ||
2.70%, 03/15/32 | 515,000 | 425,735 |
Par | Value | |||
4.50%, 04/15/50 | $ 235,000 | $ 201,787 | ||
Toyota Motor Credit Corporation | ||||
0.50%, 06/18/24 | 595,000 | 567,155 | ||
Transcontinental Gas Pipe Line Co. LLC | ||||
3.25%, 05/15/30 | 320,000 | 284,741 | ||
4.45%, 08/01/42 | 750,000 | 642,599 | ||
TransDigm, Inc. | ||||
6.25%, 03/15/26 144A | 50,000 | 49,801 | ||
6.75%, 08/15/28 144A Δ | 35,000 | 35,176 | ||
Travel + Leisure Co. | ||||
6.63%, 07/31/26 144A | 10,000 | 9,933 | ||
6.00%, 04/01/27 | 10,000 | 9,716 | ||
4.50%, 12/01/29 144A Δ | 110,000 | 93,696 | ||
4.63%, 03/01/30 144A | 70,000 | 59,301 | ||
Travelers Cos., Inc. (The) | ||||
5.45%, 05/25/53 | 35,000 | 36,662 | ||
Trimble, Inc. | ||||
6.10%, 03/15/33 | 130,000 | 131,767 | ||
TriNet Group, Inc. | ||||
3.50%, 03/01/29 144A | 95,000 | 82,694 | ||
Truist Financial Corporation | ||||
(Variable, U.S. SOFR + 2.36%), 5.87%, 06/08/34^ | 245,000 | 245,212 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25 CONV » | 155,000 | 142,139 | ||
8.00%, 11/01/26 144A | 15,000 | 15,304 | ||
7.50%, 09/15/27 144A | 305,000 | 312,333 | ||
6.25%, 01/15/28 144A | 120,000 | 119,554 | ||
4.50%, 08/15/29 144A Δ | 345,000 | 318,184 | ||
UGI International LLC | ||||
2.50%, 12/01/29(E) | 100,000 | 85,989 | ||
United Rentals North America, Inc. | ||||
5.25%, 01/15/30Δ | 410,000 | 391,745 | ||
3.88%, 02/15/31Δ | 1,290,000 | 1,118,041 | ||
Unity Software, Inc. | ||||
0.00%, 11/15/26 CONV » | 105,000 | 84,368 | ||
Utah Acquisition Sub, Inc. | ||||
3.13%, 11/22/28(E) | 410,000 | 413,572 | ||
Verisk Analytics, Inc. | ||||
5.75%, 04/01/33 | 90,000 | 94,311 | ||
Verizon Communications, Inc. | ||||
1.13%, 11/03/28(U) | 290,000 | 286,376 | ||
1.88%, 10/26/29(E) | 410,000 | 395,337 | ||
2.36%, 03/15/32 | 830,000 | 667,840 | ||
0.75%, 03/22/32(E) Δ | 185,000 | 154,587 | ||
Viking Cruises, Ltd. | ||||
5.88%, 09/15/27 144A Δ | 90,000 | 82,824 | ||
Viking Ocean Cruises Ship VII, Ltd. | ||||
5.63%, 02/15/29 144A | 900,000 | 824,310 | ||
VMware, Inc. | ||||
2.20%, 08/15/31 | 95,000 | 74,688 | ||
VOC Escrow, Ltd. | ||||
5.00%, 02/15/28 144A | 280,000 | 257,155 | ||
Warnermedia Holdings, Inc. | ||||
4.05%, 03/15/29Δ | 40,000 | 36,583 | ||
4.28%, 03/15/32 | 410,000 | 363,809 | ||
5.05%, 03/15/42 | 360,000 | 303,632 |
Par | Value | |||
5.14%, 03/15/52 | $ 905,000 | $ 737,495 | ||
Wells Fargo & Co. | ||||
5.88%, 06/15/25† ρ Δ | 170,000 | 167,008 | ||
(Variable, CME Term SOFR 3M + 1.26%), 2.57%, 02/11/31^ | 190,000 | 160,984 | ||
(Variable, U.S. SOFR + 2.02%), 5.39%, 04/24/34^ | 1,380,000 | 1,371,828 | ||
(Variable, U.S. SOFR + 2.53%), 3.07%, 04/30/41^ | 220,000 | 161,998 | ||
(Variable, CME Term SOFR 3M + 4.50%), 5.01%, 04/04/51^ | 840,000 | 783,037 | ||
Western Digital Corporation | ||||
4.75%, 02/15/26 | 95,000 | 90,575 | ||
2.85%, 02/01/29 | 65,000 | 51,997 | ||
Western Midstream Operating LP | ||||
3.35%, 02/01/25 | 850,000 | 813,263 | ||
4.30%, 02/01/30 | 20,000 | 17,975 | ||
6.15%, 04/01/33Δ | 15,000 | 15,139 | ||
5.45%, 04/01/44 | 10,000 | 8,463 | ||
5.30%, 03/01/48 | 50,000 | 41,815 | ||
5.50%, 08/15/48 | 835,000 | 700,387 | ||
5.50%, 02/01/50 | 25,000 | 20,515 | ||
Westlake Corporation | ||||
3.13%, 08/15/51Δ | 175,000 | 109,733 | ||
WestRock MWV LLC | ||||
8.20%, 01/15/30 | 75,000 | 86,139 | ||
7.95%, 02/15/31 | 25,000 | 28,368 | ||
Weyerhaeuser Co. REIT | ||||
6.95%, 10/01/27 | 30,000 | 31,831 | ||
6.88%, 12/15/33 | 250,000 | 272,383 | ||
Williams Cos., Inc. (The) | ||||
7.50%, 01/15/31 | 40,000 | 44,012 | ||
4.65%, 08/15/32Δ | 25,000 | 23,690 | ||
5.75%, 06/24/44 | 320,000 | 312,239 | ||
WMG Acquisition Corporation | ||||
2.25%, 08/15/31(E) | 100,000 | 86,902 | ||
Yum! Brands, Inc. | ||||
4.63%, 01/31/32 | 195,000 | 176,408 | ||
ZF North America Capital, Inc. | ||||
6.88%, 04/14/28 144A | 150,000 | 152,053 | ||
Total Corporate Bonds (Cost $121,693,603) | 108,222,705 | |||
FOREIGN BONDS — 44.9% | ||||
Andorra — 0.0% | ||||
Andorra International Bond | ||||
1.25%, 02/23/27(E) | 100,000 | 98,347 | ||
Angola — 0.0% | ||||
Angolan Government International Bond | ||||
9.38%, 05/08/48 | 200,000 | 158,848 | ||
Argentina — 0.3% | ||||
Argentine Republic Government International Bond | ||||
1.00%, 07/09/29 | 136,957 | 44,676 | ||
(Step to 0.75% on 07/09/23), 0.50%, 07/09/30 STEP | 828,157 | 277,073 | ||
(Step to 3.63% on 07/09/23), 1.50%, 07/09/35 STEP | 1,625,941 | 489,095 |
Par | Value | |||
Provincia de Buenos Aires | ||||
(Step to 6.38% on 09/01/23), 5.25%, 09/01/37 144A STEP | $ 623,391 | $ 239,226 | ||
YPF SA | ||||
8.50%, 07/28/25 144A | 780,000 | 718,178 | ||
1,768,248 | ||||
Australia — 0.4% | ||||
Australia Government Bond | ||||
1.75%, 06/21/51(A) | 2,000,000 | 776,051 | ||
FMG Resources August 2006 Pty, Ltd. | ||||
4.38%, 04/01/31 144A | 100,000 | 85,523 | ||
Queensland Treasury Corporation | ||||
4.50%, 03/09/33(A) 144A | 1,842,000 | 1,221,318 | ||
4.50%, 08/22/35(A) 144A | 414,000 | 269,065 | ||
2,351,957 | ||||
Austria — 0.5% | ||||
Benteler International AG | ||||
9.38%, 05/15/28(E) | 100,000 | 110,484 | ||
Republic of Austria Government Bond | ||||
0.90%, 02/20/32(E) 144A | 50,000 | 46,010 | ||
Sappi Papier Holding GmbH | ||||
3.63%, 03/15/28(E) | 130,000 | 124,926 | ||
Suzano Austria GmbH | ||||
5.75%, 07/14/26 144A | 370,000 | 370,277 | ||
5.00%, 01/15/30 | 730,000 | 691,127 | ||
3.75%, 01/15/31 | 1,450,000 | 1,238,553 | ||
2,581,377 | ||||
Azerbaijan — 0.0% | ||||
State Oil Co. of the Azerbaijan Republic | ||||
6.95%, 03/18/30Δ | 200,000 | 206,801 | ||
Belgium — 0.1% | ||||
Elia Transmission Belgium SA | ||||
0.88%, 04/28/30(E) | 500,000 | 451,864 | ||
Kingdom of Belgium Government Bond | ||||
3.00%, 06/22/33(E) 144A | 27,000 | 29,323 | ||
1.45%, 06/22/37(E) 144A | 33,774 | 29,711 | ||
0.40%, 06/22/40(E) 144A | 40,594 | 27,750 | ||
3.75%, 06/22/45(E) | 18,000 | 20,913 | ||
3.30%, 06/22/54(E) 144A | 36,000 | 38,462 | ||
598,023 | ||||
Brazil — 1.1% | ||||
Brazil Minas SPE via State of Minas Gerais | ||||
5.33%, 02/15/28 | 100,000 | 98,224 | ||
Brazil Notas do Tesouro Nacional Serie F | ||||
10.00%, 01/01/25(B) ††† | 17,030,000 | 3,511,114 | ||
10.00%, 01/01/27(B) ††† | 8,227,000 | 1,706,611 | ||
Brazilian Government International Bond | ||||
5.63%, 01/07/41 | 100,000 | 88,717 | ||
Vale Overseas, Ltd. | ||||
6.88%, 11/21/36 | 900,000 | 941,947 | ||
6,346,613 |
Par | Value | |||
Canada — 1.3% | ||||
1011778 BC ULC | ||||
3.88%, 01/15/28 144A | $ 720,000 | $ 658,878 | ||
Bausch Health Cos., Inc. | ||||
7.00%, 01/15/28 144A | 5,000 | 2,186 | ||
5.00%, 01/30/28 144A | 50,000 | 21,502 | ||
4.88%, 06/01/28 144A | 65,000 | 38,769 | ||
5.00%, 02/15/29 144A | 5,000 | 2,094 | ||
6.25%, 02/15/29 144A | 5,000 | 2,157 | ||
5.25%, 01/30/30 144A | 25,000 | 10,408 | ||
5.25%, 02/15/31 144A | 60,000 | 25,136 | ||
Canadian Government Bond | ||||
1.00%, 06/01/27(C) | 2,315,000 | 1,578,176 | ||
2.50%, 12/01/32(C) | 3,033,000 | 2,145,308 | ||
Clarios Global LP | ||||
4.38%, 05/15/26(E) | 151,000 | 157,540 | ||
Enbridge, Inc. | ||||
5.70%, 03/08/33 | 170,000 | 172,412 | ||
First Quantum Minerals, Ltd. | ||||
7.50%, 04/01/25 144A | 550,000 | 550,088 | ||
6.88%, 10/15/27 144A | 200,000 | 195,403 | ||
Glencore Finance Canada, Ltd. | ||||
6.00%, 11/15/41 | 340,000 | 338,412 | ||
MEG Energy Corporation | ||||
7.13%, 02/01/27 144A Δ | 1,310,000 | 1,332,248 | ||
Open Text Corporation | ||||
6.90%, 12/01/27 144A | 40,000 | 40,766 | ||
3.88%, 02/15/28 144A Δ | 190,000 | 167,515 | ||
Rogers Communications, Inc. | ||||
3.80%, 03/15/32 144A | 136,000 | 118,934 | ||
7,557,932 | ||||
Chile — 0.1% | ||||
Corporation Nacional del Cobre de Chile | ||||
3.63%, 08/01/27 144A | 220,000 | 207,867 | ||
Empresa de los Ferrocarriles del Estado | ||||
3.83%, 09/14/61 | 200,000 | 136,463 | ||
344,330 | ||||
China — 3.7% | ||||
Avolon Holdings Funding, Ltd. | ||||
4.25%, 04/15/26 144A | 680,000 | 633,967 | ||
China Government Bond | ||||
2.20%, 07/27/25(Y) | 29,500,000 | 4,055,814 | ||
3.85%, 12/12/26(Y) | 18,000,000 | 2,587,788 | ||
3.48%, 06/29/27(Y) | 33,000,000 | 4,704,739 | ||
4.15%, 12/04/27(Y) | 13,000,000 | 1,904,025 | ||
4.29%, 05/22/29(Y) | 16,500,000 | 2,464,083 | ||
3.60%, 05/21/30(Y) | 7,000,000 | 1,013,208 | ||
2.88%, 02/25/33(Y) | 13,620,000 | 1,906,062 | ||
3.95%, 06/29/43(Y) | 4,000,000 | 604,154 | ||
4.10%, 05/21/45(Y) | 1,000,000 | 152,904 | ||
NXP BV | ||||
4.40%, 06/01/27 | 15,000 | 14,509 | ||
Park Aerospace Holdings, Ltd. | ||||
5.50%, 02/15/24 144A | 830,000 | 820,759 |
Par | Value | |||
Times China Holdings, Ltd. | ||||
6.75%, 07/08/25 | $ 200,000 | $ 15,199 | ||
Yuzhou Group Holdings Co., Ltd. | ||||
7.70%, 02/20/25# | 495,000 | 24,346 | ||
20,901,557 | ||||
Colombia — 0.7% | ||||
Colombia Government International Bond | ||||
3.88%, 04/25/27 | 200,000 | 181,784 | ||
3.00%, 01/30/30 | 315,000 | 245,632 | ||
6.13%, 01/18/41 | 100,000 | 81,722 | ||
5.63%, 02/26/44 | 3,170,000 | 2,368,411 | ||
Ecopetrol SA | ||||
5.88%, 09/18/23 | 140,000 | 139,722 | ||
8.88%, 01/13/33 | 690,000 | 683,855 | ||
3,701,126 | ||||
Croatia — 0.0% | ||||
Croatia Government International Bond | ||||
4.00%, 06/14/35(E) | 100,000 | 109,018 | ||
Czech Republic — 0.2% | ||||
Czech Republic Government Bond | ||||
0.95%, 05/15/30(ZE) | 26,810,000 | 982,914 | ||
Dominican Republic — 0.2% | ||||
Dominican Republic International Bond | ||||
5.95%, 01/25/27 | 100,000 | 98,260 | ||
4.88%, 09/23/32 144A | 990,000 | 845,108 | ||
6.00%, 02/22/33Δ | 150,000 | 138,702 | ||
6.85%, 01/27/45 | 100,000 | 91,020 | ||
1,173,090 | ||||
Ecuador — 0.0% | ||||
Ecuador Government International Bond | ||||
0.00%, 07/31/30» | 16,866 | 4,940 | ||
(Step to 3.50% on 07/31/23), 2.50%, 07/31/35 STEP | 278,778 | 97,441 | ||
(Step to 2.50% on 07/31/23), 1.50%, 07/31/40 STEP | 59,020 | 18,444 | ||
120,825 | ||||
Egypt — 0.2% | ||||
Egypt Government International Bond | ||||
6.38%, 04/11/31(E) | 1,200,000 | 728,620 | ||
7.90%, 02/21/48 | 200,000 | 103,258 | ||
831,878 | ||||
El Salvador — 0.0% | ||||
El Salvador Government International Bond | ||||
7.12%, 01/20/50 | 150,000 | 83,847 | ||
Estonia — 0.0% | ||||
Estonia Government International Bond | ||||
4.00%, 10/12/32(E) | 20,000 | 22,451 |
Par | Value | |||
Finland — 0.0% | ||||
Ahlstrom Holding 3 OY | ||||
3.63%, 02/04/28(E) | $ 100,000 | $ 90,667 | ||
France — 2.1% | ||||
Accor SA | ||||
(Variable, 3.25% - EUR Swap Rate 5Y), 2.63%, 01/30/25(E) ρ ^ | 100,000 | 103,026 | ||
Altice France SA | ||||
2.13%, 02/15/25(E) | 1,220,000 | 1,225,595 | ||
3.38%, 01/15/28(E) | 200,000 | 159,827 | ||
4.13%, 01/15/29(E) | 100,000 | 79,442 | ||
Banijay Group SAS | ||||
6.50%, 03/01/26(E) | 100,000 | 108,751 | ||
Banque Federative du Credit Mutuel SA | ||||
1.25%, 06/03/30(E) | 400,000 | 355,243 | ||
BNP Paribas SA | ||||
(Variable, USD Swap 5Y + 5.15%), 7.38%, 08/19/25 144A ρ Δ ^ | 740,000 | 719,334 | ||
(Variable, Euribor 3M + 1.80%), 2.13%, 01/23/27(E) ^ | 300,000 | 306,890 | ||
(Variable, USD Swap 5Y + 3.98%), 7.00%, 08/16/28 144A ρ ^ | 300,000 | 269,300 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.90%), 7.75%, 08/16/29 144A ρ ^ | 860,000 | 834,544 | ||
(Variable, 0.83% - Euribor 3M), 0.50%, 01/19/30(E) ^ | 300,000 | 262,894 | ||
BPCE SA | ||||
0.25%, 01/14/31(E) | 500,000 | 411,432 | ||
CAB SELAS | ||||
3.38%, 02/01/28(E) 144A | 600,000 | 535,166 | ||
Constellium SE | ||||
4.25%, 02/15/26(E) | 185,000 | 197,424 | ||
Credit Agricole SA | ||||
(Variable, ICE SWAP Rate GBP SONIA 5Y + 4.81%), 7.50%, 06/23/26(U) ρ ^ | 1,590,000 | 1,908,844 | ||
Electricite de France SA | ||||
(Variable, GBP Swap Rate 13Y + 4.23%), 6.00%, 01/29/26(U) ρ Δ ^ | 600,000 | 695,371 | ||
Emeria SASU | ||||
3.38%, 03/31/28(E) | 252,000 | 221,677 | ||
Forvia | ||||
2.38%, 06/15/27(E) Δ | 165,000 | 159,048 | ||
French Republic Government Bond OAT | ||||
2.10%, 07/25/23(E) 144A | 215,809 | 301,126 | ||
1.50%, 05/25/31(E) | 22,499 | 22,299 | ||
0.00%, 11/25/31(E) » | 52,000 | 44,810 | ||
0.10%, 03/01/36(E) 144A | 31,300 | 36,142 | ||
1.25%, 05/25/38(E) | 47,650 | 40,349 | ||
0.75%, 05/25/52(E) | 9,396 | 5,586 |
Par | Value | |||
1.75%, 05/25/66(E) 144A | $ 12,350 | $ 9,203 | ||
Goldstory SASU | ||||
5.38%, 03/01/26(E) Δ | 820,000 | 866,174 | ||
Iliad Holding SASU | ||||
5.63%, 10/15/28(E) Δ | 200,000 | 202,620 | ||
Kapla Holding SAS | ||||
3.38%, 12/15/26(E) | 100,000 | 99,380 | ||
(Floating, Euribor 3M + 5.50%), 9.09%, 07/15/27(E) 144A † | 330,000 | 364,639 | ||
Loxam SAS | ||||
5.75%, 07/15/27(E) | 200,000 | 200,344 | ||
Matterhorn Telecom SA | ||||
4.00%, 11/15/27(E) | 140,000 | 143,916 | ||
Orange SA | ||||
0.50%, 09/04/32(E) | 400,000 | 331,885 | ||
Picard Groupe SAS | ||||
3.88%, 07/01/26(E) | 100,000 | 100,459 | ||
SPCM SA | ||||
2.63%, 02/01/29(E) | 100,000 | 95,711 | ||
Suez SACA | ||||
2.88%, 05/24/34(E) | 200,000 | 192,940 | ||
Valeo | ||||
5.38%, 05/28/27(E) Δ | 100,000 | 109,286 | ||
Veolia Environnement SA | ||||
(Variable, 2.71% - EUR Swap Rate 5Y), 2.25%, 01/20/26(E) ρ ^ | 200,000 | 197,777 | ||
11,918,454 | ||||
Gabon — 0.2% | ||||
Gabo Government International Bond | ||||
7.00%, 11/24/31 144A | 1,020,000 | 812,124 | ||
Germany — 8.6% | ||||
Allianz SE | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.17%), 3.20%, 10/30/27 144A ρ ^ | 3,200,000 | 2,368,320 | ||
APCOA Parking Holdings GmbH | ||||
4.63%, 01/15/27(E) 144A | 100,000 | 95,524 | ||
4.63%, 01/15/27(E) | 710,000 | 678,218 | ||
Aroundtown SA | ||||
(Variable, GBP Swap Rate 5Y + 4.38%), 4.75%, 06/25/24(U) ρ ^ | 100,000 | 45,826 | ||
0.38%, 04/15/27(E) | 200,000 | 157,042 | ||
Bundesobligation | ||||
1.30%, 10/15/27(E) | 368,000 | 380,057 | ||
2.20%, 04/13/28(E) | 127,459 | 136,663 | ||
2.40%, 10/19/28(E) Δ | 478,000 | 517,511 | ||
Bundesrepublik Deutschland Bundesanleihe | ||||
1.00%, 08/15/24(E) | 3,140,000 | 3,339,311 | ||
0.50%, 02/15/26(E) | 76,324 | 78,210 | ||
0.50%, 02/15/28(E) | 183,500 | 182,436 | ||
0.00%, 02/15/31(E) Δ » | 17,140,000 | 15,634,919 | ||
0.00%, 08/15/31(E) » | 66,000 | 59,668 | ||
1.70%, 08/15/32(E) | 13,363,706 | 13,790,197 |
Par | Value | |||
1.00%, 05/15/38(E) | $ 661,000 | $ 588,486 | ||
3.25%, 07/04/42(E) | 162,000 | 196,915 | ||
0.00%, 08/15/52(E) » | 31,700 | 17,734 | ||
Bundesschatzanweisungen | ||||
2.50%, 03/13/25(E) | 4,693,000 | 5,057,886 | ||
2.80%, 06/12/25(E) | 1,334,000 | 1,444,957 | ||
Cheplapharm Arzneimittel GmbH | ||||
4.38%, 01/15/28(E) | 100,000 | 100,169 | ||
Deutsche Bank AG | ||||
(Variable, U.S. SOFR + 2.76%), 3.73%, 01/14/32^ | 201,000 | 152,118 | ||
Deutsche Lufthansa AG | ||||
3.00%, 05/29/26(E) | 100,000 | 103,942 | ||
Gruenenthal GmbH | ||||
4.13%, 05/15/28(E) | 160,000 | 162,480 | ||
IHO Verwaltungs GmbH | ||||
3.88%, 05/15/27(E) 1 | 215,000 | 212,423 | ||
Infineon Technologies AG | ||||
(Variable, 4.00% - EUR Swap Rate 5Y), 3.63%, 01/01/28(E) ρ ^ | 100,000 | 99,889 | ||
Kreditanstalt fuer Wiederaufbau | ||||
0.38%, 03/09/26(E) | 21,000 | 21,199 | ||
0.00%, 06/15/26(E) » | 77,000 | 76,308 | ||
0.01%, 05/05/27(E) | 22,000 | 21,271 | ||
1.25%, 06/30/27(E) | 29,000 | 29,361 | ||
0.75%, 06/28/28(E) | 61,000 | 59,508 | ||
0.75%, 01/15/29(E) | 43,000 | 41,451 | ||
0.00%, 09/15/31(E) » | 33,000 | 28,389 | ||
Renk AG | ||||
5.75%, 07/15/25(E) 144A | 860,000 | 925,481 | ||
Schaeffler AG | ||||
3.38%, 10/12/28(E) Δ | 200,000 | 199,541 | ||
SGL Carbon SE | ||||
4.63%, 09/30/24(E) | 100,000 | 109,259 | ||
State of North Rhine-Westphalia Germany | ||||
1.65%, 02/22/38(E) | 11,000 | 9,896 | ||
Techem Verwaltungsgesellschaft 675 mbH | ||||
2.00%, 07/15/25(E) | 300,000 | 312,006 | ||
thyssenkrupp AG | ||||
2.88%, 02/22/24(E) | 122,000 | 131,706 | ||
TK Elevator Midco GmbH | ||||
4.38%, 07/15/27(E) 144A | 350,000 | 342,724 | ||
(Floating, Euribor 3M + 4.75%), 7.93%, 07/15/27(E) † | 165,000 | 179,442 | ||
TUI Cruises GmbH | ||||
6.50%, 05/15/26(E) 144A | 120,000 | 121,451 | ||
Vonovia SE | ||||
0.25%, 09/01/28(E) | 400,000 | 339,842 | ||
WEPA Hygieneprodukte GmbH | ||||
2.88%, 12/15/27(E) | 108,000 | 102,351 | ||
48,652,087 |
Par | Value | |||
Ghana — 0.0% | ||||
Ghana Government International Bond | ||||
7.63%, 05/16/29 | $ 200,000 | $ 86,171 | ||
7.88%, 02/11/35 | 200,000 | 87,504 | ||
173,675 | ||||
Guatemala — 0.1% | ||||
Millicom International Cellular SA | ||||
5.13%, 01/15/28 144A | 540,000 | 472,011 | ||
Hong Kong — 0.0% | ||||
Shimao Group Holdings, Ltd. | ||||
6.13%, 02/21/24 | 200,000 | 15,524 | ||
Hungary — 0.1% | ||||
Hungary Government Bond | ||||
4.75%, 11/24/32 | 242,600,000 | 603,888 | ||
Hungary Government International Bond | ||||
1.75%, 06/05/35(E) | 19,000 | 14,580 | ||
618,468 | ||||
Indonesia — 2.9% | ||||
Indonesia Government International Bond | ||||
1.40%, 10/30/31(E) | 220,000 | 190,695 | ||
8.50%, 10/12/35 | 100,000 | 130,403 | ||
5.25%, 01/17/42 144A | 1,940,000 | 1,940,434 | ||
5.25%, 01/17/42 | 370,000 | 370,083 | ||
4.20%, 10/15/50Δ | 3,480,000 | 2,976,239 | ||
Indonesia Treasury Bond | ||||
7.00%, 05/15/27(I) | 51,272,000,000 | 3,543,650 | ||
6.38%, 08/15/28(I) | 2,062,000,000 | 140,386 | ||
8.25%, 05/15/29(I) | 76,029,000,000 | 5,596,781 | ||
6.38%, 04/15/32(I) | 8,635,000,000 | 578,836 | ||
7.00%, 02/15/33(I) | 8,096,000,000 | 568,572 | ||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||
5.45%, 05/21/28 | 200,000 | 200,720 | ||
16,236,799 | ||||
Ireland — 0.3% | ||||
AerCap Ireland Capital DAC | ||||
4.45%, 10/01/25 | 250,000 | 240,617 | ||
1.75%, 01/30/26 | 390,000 | 350,345 | ||
5.75%, 06/06/28Δ | 150,000 | 148,927 | ||
3.30%, 01/30/32 | 660,000 | 540,263 | ||
Ardagh Packaging Finance PLC | ||||
5.25%, 08/15/27 144A | 300,000 | 254,516 | ||
eircom Finance DAC | ||||
3.50%, 05/15/26(E) | 150,000 | 153,265 | ||
Ireland Government Bond | ||||
0.20%, 10/18/30(E) | 20,000 | 18,130 | ||
0.55%, 04/22/41(E) | 36,000 | 25,595 | ||
3.00%, 10/18/43(E) | 12,000 | 12,881 |
Par | Value | |||
Motion Bondco DAC | ||||
4.50%, 11/15/27(E) | $ 100,000 | $ 95,808 | ||
1,840,347 | ||||
Israel — 0.1% | ||||
Energean Israel Finance, Ltd. | ||||
5.38%, 03/30/28 144A | 65,000 | 58,777 | ||
5.88%, 03/30/31 144A | 90,000 | 78,850 | ||
Summit Properties, Ltd. | ||||
2.00%, 01/31/25(E) | 165,000 | 165,193 | ||
302,820 | ||||
Italy — 1.7% | ||||
Autostrade per l'Italia SpA | ||||
1.88%, 09/26/29(E) | 102,000 | 93,573 | ||
2.00%, 01/15/30(E) | 100,000 | 91,746 | ||
Fiber Bidco SpA | ||||
(Floating, Euribor 3M + 6.00%), 9.60%, 10/25/27(E) † | 100,000 | 109,737 | ||
Guala Closures SpA | ||||
3.25%, 06/15/28(E) | 100,000 | 97,525 | ||
International Design Group SpA | ||||
(Floating, Euribor 3M + 4.25%), 7.57%, 05/15/26(E) 144A † | 250,000 | 270,166 | ||
Italy Buoni Poliennali Del Tesoro | ||||
1.75%, 05/30/24(E) | 80,000 | 85,678 | ||
3.40%, 03/28/25(E) | 113,000 | 122,366 | ||
1.40%, 05/26/25(E) 144A | 54,000 | 58,500 | ||
1.20%, 08/15/25(E) | 142,000 | 146,837 | ||
0.00%, 04/01/26(E) » | 163,000 | 160,548 | ||
1.60%, 06/01/26(E) | 86,000 | 88,361 | ||
0.00%, 08/01/26(E) » | 26,000 | 25,315 | ||
2.05%, 08/01/27(E) | 4,240,000 | 4,341,240 | ||
1.35%, 04/01/30(E) | 290,000 | 270,887 | ||
0.90%, 04/01/31(E) | 14,000 | 12,306 | ||
0.60%, 08/01/31(E) 144A | 1,301,000 | 1,102,564 | ||
2.50%, 12/01/32(E) Δ | 399,000 | 387,253 | ||
Mooney Group SpA | ||||
(Floating, Euribor 3M + 3.88%), 7.42%, 12/17/26(E) † | 100,000 | 108,206 | ||
Multiversity SRL | ||||
(Floating, Euribor 3M + 4.25%), 7.50%, 10/30/28(E) † | 100,000 | 108,050 | ||
Telecom Italia Capital SA | ||||
6.38%, 11/15/33 | 105,000 | 89,181 | ||
Telecom Italia SpA | ||||
3.00%, 09/30/25(E) | 139,000 | 143,448 | ||
3.63%, 05/25/26(E) | 155,000 | 159,762 | ||
2.38%, 10/12/27(E) | 1,400,000 | 1,305,963 | ||
UniCredit SpA | ||||
(Variable, 2.55% - Euribor 3M), 2.20%, 07/22/27(E) ^ | 300,000 | 302,535 | ||
9,681,747 |
Par | Value | |||
Ivory Coast — 0.2% | ||||
Ivory Coast Government International Bond | ||||
5.25%, 03/22/30(E) | $ 510,000 | $ 471,894 | ||
5.88%, 10/17/31(E) | 200,000 | 183,309 | ||
4.88%, 01/30/32(E) 144A | 340,000 | 289,731 | ||
5.75%, 12/31/32 144A STEP | 277,803 | 259,845 | ||
1,204,779 | ||||
Japan — 0.4% | ||||
Japan Government Ten Year Bond | ||||
0.10%, 12/20/28(J) | 140,000,000 | 970,635 | ||
0.50%, 03/20/33(J) | 60,150,000 | 421,022 | ||
Japan Government Thirty Year Bond | ||||
0.70%, 12/20/48(J) | 30,000,000 | 186,401 | ||
Mitsubishi UFJ Financial Group, Inc. | ||||
3.85%, 03/01/26 | 280,000 | 268,410 | ||
SoftBank Group Corporation | ||||
4.63%, 07/06/28 | 200,000 | 173,470 | ||
Sumitomo Mitsui Financial Group, Inc. | ||||
5.46%, 01/13/26 | 200,000 | 199,436 | ||
2,219,374 | ||||
Jersey — 0.1% | ||||
AA Bond Co., Ltd. | ||||
6.50%, 01/31/26(U) | 100,000 | 110,100 | ||
Adient Global Holdings, Ltd. | ||||
3.50%, 08/15/24(E) | 29,891 | 32,048 | ||
Aptiv PLC | ||||
3.25%, 03/01/32Δ | 25,000 | 21,413 | ||
CPUK Finance, Ltd. | ||||
6.50%, 08/28/26(U) | 100,000 | 121,291 | ||
Rossini S.a.r.l. | ||||
(Floating, Euribor 3M + 3.88%), 7.13%, 10/30/25(E) † | 100,000 | 109,104 | ||
TVL Finance PLC | ||||
10.25%, 04/28/28(U) | 100,000 | 124,364 | ||
518,320 | ||||
Kazakhstan — 0.2% | ||||
KazMunayGas National Co. JSC | ||||
5.38%, 04/24/30 144A | 500,000 | 465,205 | ||
5.38%, 04/24/30Δ | 300,000 | 279,123 | ||
QazaqGaz NC JSC | ||||
4.38%, 09/26/27 144A | 630,000 | 588,127 | ||
1,332,455 | ||||
Lithuania — 0.0% | ||||
Lithuania Government International Bond | ||||
3.88%, 06/14/33(E) | 40,000 | 43,979 | ||
Luxembourg — 0.4% | ||||
Altice Financing SA | ||||
2.25%, 01/15/25(E) | 1,180,000 | 1,203,741 | ||
Altice Finco SA | ||||
4.75%, 01/15/28(E) | 199,000 | 145,082 |
Par | Value | |||
ArcelorMittal SA | ||||
6.80%, 11/29/32 | $ 180,000 | $ 184,891 | ||
Cidron Aida Finco S.a.r.l. | ||||
6.25%, 04/01/28(U) 144A | 580,000 | 645,438 | ||
2,179,152 | ||||
Mexico — 3.5% | ||||
Banco Mercantil del Norte SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 5.47%), 7.50%, 06/27/29 144A ρ ^ | 1,125,000 | 977,818 | ||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | ||||
5.38%, 04/17/25 144A | 580,000 | 574,238 | ||
BBVA Bancomer SA | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.65%), 5.13%, 01/18/33 144A ^ | 630,000 | 547,239 | ||
Cemex SAB de CV | ||||
3.88%, 07/11/31 144A Δ | 400,000 | 337,062 | ||
Mexican Bonos | ||||
7.50%, 06/03/27(M) | 151,900,000 | 8,447,369 | ||
7.75%, 05/29/31(M) | 46,100,000 | 2,548,845 | ||
7.75%, 11/13/42(M) | 76,750,000 | 4,024,902 | ||
Mexico Government International Bond | ||||
3.63%, 04/09/29(E) | 100,000 | 106,601 | ||
2.88%, 04/08/39(E) | 700,000 | 576,993 | ||
5.75%, 10/12/10λ | 130,000 | 116,339 | ||
Orbia Advance Corporation SAB de CV | ||||
2.88%, 05/11/31 144A | 200,000 | 158,943 | ||
5.88%, 09/17/44 144A | 1,100,000 | 963,118 | ||
Petroleos Mexicanos | ||||
4.75%, 02/26/29(E) | 100,000 | 85,809 | ||
5.95%, 01/28/31 | 140,000 | 102,382 | ||
7.69%, 01/23/50 | 240,000 | 162,874 | ||
19,730,532 | ||||
Mongolia — 0.0% | ||||
Mongolia Government International Bond | ||||
8.75%, 03/09/24 | 200,000 | 201,600 | ||
Morocco — 0.1% | ||||
OCP SA | ||||
5.63%, 04/25/24 144A | 350,000 | 348,934 | ||
4.50%, 10/22/25 144A | 320,000 | 310,859 | ||
659,793 | ||||
Netherlands — 2.4% | ||||
Abertis Infraestructuras Finance BV | ||||
(Variable, 3.69% - EUR Swap Rate 5Y), 3.25%, 11/24/25(E) ρ Δ ^ | 200,000 | 196,600 |
Par | Value | |||
Ashland Services BV | ||||
2.00%, 01/30/28(E) | $ 100,000 | $ 92,966 | ||
Cooperatieve Rabobank UA | ||||
(Variable, 3.70% - EUR Swap Rate 5Y), 3.25%, 12/29/26(E) ρ Δ ^ | 1,000,000 | 907,903 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.22%), 3.65%, 04/06/28 144A ^ | 250,000 | 231,718 | ||
5.75%, 12/01/43 | 630,000 | 633,862 | ||
Dufry One BV | ||||
2.00%, 02/15/27(E) Δ | 200,000 | 190,937 | ||
E.ON International Finance BV | ||||
6.38%, 06/07/32(U) | 155,000 | 200,906 | ||
EnBW International Finance BV | ||||
0.13%, 03/01/28(E) | 410,000 | 388,301 | ||
Enel Finance International NV | ||||
6.80%, 10/14/25 144A | 1,630,000 | 1,661,004 | ||
Heimstaden Bostad Treasury BV | ||||
1.38%, 07/24/28(E) | 250,000 | 184,206 | ||
ING Groep NV | ||||
(Variable, Euribor 3M + 1.15%), 1.75%, 02/16/31(E) ^ | 300,000 | 278,738 | ||
IPD 3 BV | ||||
8.00%, 06/15/28(E) 144A | 500,000 | 557,871 | ||
Koninklijke KPN NV | ||||
(Variable, EUR Swap Rate 5Y + 3.77%), 6.00%, 09/21/27(E) ρ ^ | 131,000 | 145,023 | ||
MEGlobal BV | ||||
4.25%, 11/03/26 144A | 380,000 | 365,207 | ||
Netherlands Government Bond | ||||
0.25%, 07/15/25(E) 144A | 1,167,000 | 1,201,511 | ||
NXP BV | ||||
2.65%, 02/15/32 | 30,000 | 24,305 | ||
Petrobras Global Finance BV | ||||
6.25%, 03/17/24 | 780,000 | 781,755 | ||
6.88%, 01/20/40 | 80,000 | 77,743 | ||
6.90%, 03/19/49Δ | 880,000 | 812,887 | ||
Prosus NV | ||||
3.83%, 02/08/51 | 1,020,000 | 627,282 | ||
Telefonica Europe BV | ||||
(Variable, EUR Swap Rate 8Y + 2.97%), 3.88%, 06/22/26(E) ρ ^ | 400,000 | 404,166 | ||
Teva Pharmaceutical Finance Netherlands II BV | ||||
1.88%, 03/31/27(E) | 100,000 | 93,151 | ||
4.38%, 05/09/30(E) | 100,000 | 93,337 | ||
Teva Pharmaceutical Finance Netherlands III BV | ||||
3.15%, 10/01/26 | 45,000 | 40,379 | ||
4.75%, 05/09/27 | 200,000 | 185,264 | ||
4.10%, 10/01/46 | 200,000 | 131,751 | ||
TMNL Holding BV | ||||
3.75%, 01/15/29(E) 144A | 480,000 | 458,584 | ||
3.75%, 01/15/29(E) | 100,000 | 95,538 | ||
Trivium Packaging Finance BV | ||||
3.75%, 08/15/26(E) | 100,000 | 101,009 |
Par | Value | |||
United Group BV | ||||
3.13%, 02/15/26(E) | $ 100,000 | $ 95,527 | ||
5.25%, 02/01/30(E) 144A | 500,000 | 433,048 | ||
UPC Holding BV | ||||
5.50%, 01/15/28 144A | 310,000 | 271,029 | ||
UPCB Finance VII, Ltd. | ||||
3.63%, 06/15/29(E) | 100,000 | 93,951 | ||
Volkswagen International Finance NV | ||||
(Variable, 3.96% - EUR Swap Rate 9Y), 3.88%, 06/17/29(E) ρ ^ | 200,000 | 183,275 | ||
VZ Secured Financing BV | ||||
5.00%, 01/15/32 144A | 1,370,000 | 1,104,845 | ||
ZF Europe Finance BV | ||||
3.00%, 10/23/29(E) | 300,000 | 276,996 | ||
Ziggo Bond Co. BV | ||||
3.38%, 02/28/30(E) | 150,000 | 120,988 | ||
13,743,563 | ||||
New Zealand — 1.1% | ||||
New Zealand Government Bond | ||||
3.50%, 04/14/33(Z) | 11,171,000 | 6,253,934 | ||
Nigeria — 0.2% | ||||
Nigeria Government International Bond | ||||
7.14%, 02/23/30 144A | 440,000 | 369,948 | ||
7.63%, 11/28/47 144A | 940,000 | 670,949 | ||
1,040,897 | ||||
Norway — 0.2% | ||||
Adevinta ASA | ||||
3.00%, 11/15/27(E) 144A | 540,000 | 549,200 | ||
Aker BP ASA | ||||
3.75%, 01/15/30 144A | 150,000 | 133,448 | ||
4.00%, 01/15/31 144A | 150,000 | 133,465 | ||
816,113 | ||||
Oman — 0.0% | ||||
Oman Government International Bond | ||||
6.75%, 01/17/48 | 200,000 | 192,652 | ||
Panama — 0.3% | ||||
Panama Government International Bond | ||||
3.75%, 03/16/25 | 860,000 | 834,110 | ||
6.40%, 02/14/35 | 200,000 | 209,066 | ||
6.70%, 01/26/36 | 2,000 | 2,146 | ||
4.50%, 04/01/56 | 1,140,000 | 858,960 | ||
1,904,282 | ||||
Paraguay — 0.0% | ||||
Paraguay Government International Bond | ||||
6.10%, 08/11/44 | 200,000 | 189,871 | ||
Peru — 0.7% | ||||
Peruvian Government International Bond | ||||
2.39%, 01/23/26 | 1,370,000 | 1,278,237 | ||
1.95%, 11/17/36(E) | 100,000 | 79,148 | ||
6.55%, 03/14/37Δ | 640,000 | 719,549 |
Par | Value | |||
Petroleos del Peru SA | ||||
5.63%, 06/19/47 144A | $ 750,000 | $ 484,450 | ||
Transportadora de Gas del Peru SA | ||||
4.25%, 04/30/28 144A | 1,670,000 | 1,610,774 | ||
Volcan Cia Minera SAA, Class B | ||||
4.38%, 02/11/26 144A | 20,000 | 14,890 | ||
4,187,048 | ||||
Philippines — 0.0% | ||||
Philippine Government International Bond | ||||
1.75%, 04/28/41(E) | 100,000 | 71,393 | ||
Poland — 1.4% | ||||
Canpack SA | ||||
2.38%, 11/01/27(E) | 100,000 | 91,082 | ||
Republic of Poland Government Bond | ||||
2.75%, 04/25/28(P) | 5,370,000 | 1,162,885 | ||
1.75%, 04/25/32(P) | 27,420,000 | 4,924,331 | ||
6.00%, 10/25/33(P) Δ | 5,671,000 | 1,424,672 | ||
7,602,970 | ||||
Portugal — 0.3% | ||||
EDP - Energias de Portugal SA | ||||
(Variable, EUR Swap Rate 5Y + 3.18%), 5.94%, 04/23/83(E) ^ | 100,000 | 108,313 | ||
Portugal Obrigacoes do Tesouro OT | ||||
1.65%, 07/16/32(E) 144A | 1,432,500 | 1,384,486 | ||
1,492,799 | ||||
Qatar — 0.0% | ||||
Qatar Government International Bond | ||||
4.82%, 03/14/49 | 200,000 | 192,623 | ||
Romania — 0.3% | ||||
RCS & RDS SA | ||||
3.25%, 02/05/28(E) | 100,000 | 92,479 | ||
Romanian Government International Bond | ||||
2.88%, 05/26/28(E) | 150,000 | 147,258 | ||
6.63%, 09/27/29(E) | 70,000 | 79,415 | ||
3.62%, 05/26/30(E) | 84,000 | 80,545 | ||
1.75%, 07/13/30(E) | 41,000 | 34,204 | ||
2.00%, 04/14/33(E) 144A | 560,000 | 432,737 | ||
2.00%, 04/14/33(E) | 780,000 | 602,740 | ||
3.75%, 02/07/34(E) | 100,000 | 88,438 | ||
3.88%, 10/29/35(E) | 200,000 | 173,465 | ||
1,731,281 | ||||
Russia — 0.6% | ||||
Russian Federal Bond - OFZ | ||||
7.05%, 01/19/28(Q) | 423,153,000 | 2,475,090 | ||
7.25%, 05/10/34(Q) | 262,547,000 | 1,056,055 | ||
3,531,145 | ||||
Serbia — 0.0% | ||||
Serbia International Bond | ||||
1.50%, 06/26/29(E) | 190,000 | 160,730 | ||
Slovakia — 0.0% | ||||
Slovakia Government Bond | ||||
0.38%, 04/21/36(E) | 18,400 | 13,089 |
Par | Value | |||
Slovenia — 0.0% | ||||
Slovenia Government Bond | ||||
3.63%, 03/11/33(E) | $ 30,000 | $ 33,827 | ||
1.50%, 03/25/35(E) | 23,000 | 20,244 | ||
54,071 | ||||
South Africa — 1.2% | ||||
Republic of South Africa Government Bond | ||||
8.88%, 02/28/35(S) | 2,920,000 | 127,187 | ||
6.25%, 03/31/36(S) | 2,140,000 | 72,593 | ||
6.50%, 02/28/41(S) | 75,016,000 | 2,362,528 | ||
Republic of South Africa Government International Bond | ||||
4.85%, 09/30/29 | 2,190,000 | 1,930,700 | ||
5.75%, 09/30/49 | 2,420,000 | 1,719,047 | ||
7.30%, 04/20/52Δ | 330,000 | 278,249 | ||
6,490,304 | ||||
South Korea — 0.1% | ||||
Korea Treasury Bond | ||||
4.25%, 12/10/32(KW) | 830,110,000 | 657,388 | ||
Spain — 0.5% | ||||
Cellnex Finance Co. SA | ||||
1.50%, 06/08/28(E) Δ | 100,000 | 93,406 | ||
Cellnex Telecom SA | ||||
1.75%, 10/23/30(E) Δ | 100,000 | 88,259 | ||
Iberdrola Finanzas SA | ||||
7.38%, 01/29/24(U) | 100,000 | 127,720 | ||
Lorca Telecom Bondco SA | ||||
4.00%, 09/18/27(E) | 780,000 | 778,365 | ||
4.00%, 09/18/27(E) 144A | 300,000 | 299,371 | ||
Spain Government Bond | ||||
0.80%, 07/30/27(E) 144A | 26,000 | 25,744 | ||
1.40%, 07/30/28(E) 144A | 73,000 | 72,943 | ||
0.80%, 07/30/29(E) 144A | 39,000 | 36,872 | ||
3.55%, 10/31/33(E) 144A | 29,000 | 31,934 | ||
Via Celere Desarrollos Inmobiliarios SA | ||||
5.25%, 04/01/26(E) | 1,170,000 | 1,187,316 | ||
2,741,930 | ||||
Sri Lanka — 0.1% | ||||
Sri Lanka Government International Bond | ||||
6.85%, 11/03/25 | 200,000 | 95,305 | ||
6.75%, 04/18/28 | 500,000 | 230,255 | ||
325,560 | ||||
Supranational — 0.1% | ||||
European Union | ||||
0.00%, 07/06/26(E) » | 118,000 | 116,914 | ||
2.00%, 10/04/27(E) | 91,000 | 94,709 | ||
1.63%, 12/04/29(E) | 129,825 | 129,892 | ||
2.75%, 12/04/37(E) | 41,000 | 42,610 | ||
3.38%, 10/04/38(E) | 47,000 | 51,942 | ||
3.38%, 11/04/42(E) | 50,000 | 55,303 | ||
1.25%, 02/04/43(E) | 18,229 | 14,328 |
Par | Value | |||
0.70%, 07/06/51(E) | $ 12,000 | $ 7,295 | ||
512,993 | ||||
Sweden — 0.4% | ||||
Apollo Swedish Bidco AB | ||||
(Floating, Euribor 3M + 5.00%), 8.59%, 07/05/29(E) 144A † | 460,000 | 486,929 | ||
Assemblin Group AB | ||||
(Floating, 5.00% - Euribor 3M), 0.00%, 05/15/25(E) † | 100,000 | 109,279 | ||
Intrum AB | ||||
3.50%, 07/15/26(E) | 100,000 | 81,545 | ||
Verisure Holding AB | ||||
3.25%, 02/15/27(E) | 200,000 | 194,429 | ||
7.13%, 02/01/28(E) 144A | 970,000 | 1,064,549 | ||
Verisure Midholding AB | ||||
5.25%, 02/15/29(E) 144A | 240,000 | 227,679 | ||
2,164,410 | ||||
Switzerland — 0.7% | ||||
Credit Suisse Group AG | ||||
(Variable, U.S. SOFR + 2.04%), 2.19%, 06/05/26 144A ^ | 250,000 | 229,374 | ||
(Variable, U.S. SOFR + 3.34%), 6.37%, 07/15/26 144A ^ | 1,730,000 | 1,719,509 | ||
UBS Group AG | ||||
(Variable, USD Swap 5Y + 4.34%), 7.00%, 01/31/24 144A ρ ^ | 1,420,000 | 1,374,771 | ||
(Variable, EUR Swap Rate 1Y + 0.75%), 1.25%, 04/17/25(E) ^ | 400,000 | 422,597 | ||
(Variable, 1.05% - EURIBOR ICE SWAP RATE), 1.00%, 06/24/27(E) ^ | 400,000 | 387,130 | ||
4,133,381 | ||||
Thailand — 0.1% | ||||
Thailand Government Bond | ||||
2.00%, 12/17/31(ZF) | 14,795,000 | 403,481 | ||
Turkey — 0.3% | ||||
Turkey Government International Bond | ||||
6.00%, 03/25/27 | 1,570,000 | 1,434,110 | ||
4.88%, 04/16/43 | 500,000 | 322,200 | ||
1,756,310 | ||||
Ukraine — 0.0% | ||||
Ukraine Government International Bond | ||||
7.75%, 09/01/25 | 100,000 | 24,350 | ||
9.75%, 11/01/30 | 250,000 | 62,596 | ||
7.75%, 05/31/40Ξ » | 100,000 | 39,515 | ||
126,461 | ||||
United Arab Emirates — 0.3% | ||||
Abu Dhabi Crude Oil Pipeline LLC | ||||
4.60%, 11/02/47Δ | 200,000 | 186,043 | ||
DP World Crescent, Ltd. | ||||
3.88%, 07/18/29 | 200,000 | 189,739 |
Par | Value | |||
DP World, Ltd. | ||||
5.63%, 09/25/48 144A | $ 970,000 | $ 908,119 | ||
5.63%, 09/25/48Δ | 600,000 | 561,723 | ||
1,845,624 | ||||
United Kingdom — 3.8% | ||||
Anglo American Capital PLC | ||||
4.75%, 04/10/27 144A Δ | 200,000 | 193,444 | ||
3.38%, 03/11/29(U) | 250,000 | 268,907 | ||
2.88%, 03/17/31 144A Δ | 200,000 | 165,275 | ||
5.50%, 05/02/33 144A | 200,000 | 195,504 | ||
Antofagasta PLC | ||||
2.38%, 10/14/30 144A | 300,000 | 244,748 | ||
B&M European Value Retail SA | ||||
4.00%, 11/15/28(U) | 100,000 | 109,139 | ||
Barclays PLC | ||||
(Variable, EUR Swap Rate 1Y + 0.78%), 1.38%, 01/24/26(E) Δ ^ | 300,000 | 310,131 | ||
(Variable, U.S. SOFR + 2.71%), 2.85%, 05/07/26^ | 380,000 | 356,094 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.05%), 2.28%, 11/24/27Δ ^ | 235,000 | 206,894 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.41%), 4.38%, 03/15/28ρ ^ | 200,000 | 136,380 | ||
(Variable, 1.26% - EUR Swap Rate 1Y), 0.58%, 08/09/29(E) ^ | 410,000 | 358,645 | ||
BCP V Modular Services Finance II PLC | ||||
4.75%, 11/30/28(E) | 100,000 | 93,284 | ||
Bellis Acquisition Co. PLC | ||||
4.50%, 02/16/26(U) 144A | 840,000 | 917,224 | ||
Bellis Finco PLC | ||||
4.00%, 02/16/27(U) | 103,000 | 97,622 | ||
Centrica PLC | ||||
(Variable, GBP Swap Rate 5Y + 3.61%), 5.25%, 04/10/75(U) ^ | 100,000 | 120,465 | ||
eG Global Finance PLC | ||||
4.38%, 02/07/25(E) | 100,000 | 103,581 | ||
Energia Group NI FinanceCo PLC | ||||
4.00%, 09/15/25(E) | 100,000 | 106,916 | ||
Gatwick Airport Finance PLC | ||||
4.38%, 04/07/26(U) | 1,480,000 | 1,714,177 | ||
HSBC Holdings PLC | ||||
(Variable, USD ICE Swap Rate 5Y + 4.37%), 6.38%, 03/30/25ρ ^ | 400,000 | 383,610 | ||
(Variable, U.S. SOFR + 2.61%), 5.21%, 08/11/28^ | 680,000 | 665,480 | ||
(Variable, U.S. SOFR + 1.97%), 6.16%, 03/09/29^ | 200,000 | 201,892 | ||
(Variable, U.S. SOFR + 2.53%), 4.76%, 03/29/33^ | 200,000 | 180,637 | ||
INEOS Finance PLC | ||||
2.88%, 05/01/26(E) Δ | 250,000 | 250,804 |
Par | Value | |||
INEOS Quattro Finance 1 PLC | ||||
3.75%, 07/15/26(E) 144A | $ 110,000 | $ 106,012 | ||
3.75%, 07/15/26(E) | 100,000 | 96,375 | ||
Lloyds Banking Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.60%), 3.51%, 03/18/26^ | 390,000 | 371,461 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 1.75%), 4.72%, 08/11/26^ | 2,070,000 | 2,012,263 | ||
(Variable, EUR Swap Rate 1Y + 1.50%), 3.13%, 08/24/30(E) ^ | 425,000 | 425,626 | ||
Mobico Group PLC | ||||
(Variable, UK Gilts 5Y + 4.14%), 4.25%, 11/26/25(U) ρ ^ | 100,000 | 111,310 | ||
National Grid Electricity Transmission PLC | ||||
0.19%, 01/20/25(E) | 154,000 | 158,127 | ||
NatWest Group PLC | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 0.90%), 1.64%, 06/14/27^ | 200,000 | 176,152 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 1Y + 2.55%), 3.07%, 05/22/28^ | 345,000 | 310,633 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 2.35%), 3.03%, 11/28/35^ | 200,000 | 153,597 | ||
NGG Finance PLC | ||||
(Variable, GBP Swap Rate 12Y + 3.48%), 5.63%, 06/18/73(U) ^ | 296,000 | 357,876 | ||
PEU Fin PLC | ||||
7.25%, 07/01/28(E) 144A | 390,000 | 426,520 | ||
Pinewood Finance Co., Ltd. | ||||
3.25%, 09/30/25(U) | 840,000 | 982,790 | ||
Premier Foods Finance PLC | ||||
3.50%, 10/15/26(U) | 1,020,000 | 1,135,706 | ||
RAC Bond Co. PLC | ||||
5.25%, 11/04/27(U) | 100,000 | 101,603 | ||
SSE PLC | ||||
1.75%, 04/16/30(E) | 350,000 | 335,171 | ||
Tesco Property Finance 6 PLC | ||||
5.41%, 07/13/44(U) | 371,343 | 421,409 | ||
TI Automotive Finance PLC | ||||
3.75%, 04/15/29(E) | 100,000 | 87,389 | ||
Travis Perkins PLC | ||||
4.50%, 09/07/23(U) | 100,000 | 125,952 | ||
United Kingdom Gilt | ||||
4.25%, 06/07/32(U) | 796,000 | 1,005,936 | ||
3.25%, 01/31/33(U) | 1,321,000 | 1,529,918 | ||
4.50%, 09/07/34(U) | 1,387,000 | 1,776,111 | ||
1.25%, 07/31/51(U) | 1,226,000 | 772,593 | ||
3.75%, 10/22/53(U) | 350,000 | 395,427 | ||
Vedanta Resources Finance II PLC | ||||
8.95%, 03/11/25 | 200,000 | 151,206 |
Par | Value | |||
Victoria PLC | ||||
3.63%, 08/24/26(E) Δ | $410,000 | $ 369,937 | ||
Virgin Media Secured Finance PLC | ||||
4.25%, 01/15/30(U) | 450,000 | 451,130 | ||
21,729,083 | ||||
Total Foreign Bonds (Cost $290,575,924) | 254,909,275 | |||
LOAN AGREEMENTS — 1.6% | ||||
Allied Universal Holdco LLC Initial U.S. Dollar Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%, 0.50% Floor), 8.95%, 05/12/28† | 485,109 | 472,443 | ||
Apollo Commercial Real Estate Finance, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.75%), 7.97%, 05/15/26† | 487,309 | 460,507 | ||
Asurion LLC New B-11 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 4.25%), 9.45%, 08/19/28† | 511,276 | 487,471 | ||
Asurion LLC New B-9 Term Loan | ||||
(Floating, ICE LIBOR USD 3M + 3.25%), 8.79%, 07/31/27† | 785,930 | 745,038 | ||
Bach Finance Limited Seventh Amendment Dollar Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 4.50%, 0.50% Floor), 9.76%, 01/31/28† | 608,475 | 607,930 | ||
Charter Communications Operating LLC Term B-2 Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 1.75%), 6.80%, 02/01/27† | 487,342 | 485,005 | ||
Energizer Holdings, Inc. 2020 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.25%, 0.50% Floor), 7.44%, 12/22/27† | 755,250 | 752,422 | ||
Focus Financial Partners LLC Tranche B-5 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.25%, 0.50% Floor), 8.35%, 06/30/28† | 269,457 | 267,848 | ||
Froneri International Limited Facility B1 | ||||
(Floating, ICE EURIBOR USD 6M + 2.13%), 5.07%, 01/29/27† | 380,000 | 404,847 | ||
Garda World Security Corporation Term B-2 Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 4.25%), 9.43%, 10/30/26† | 405,369 | 403,848 |
Par | Value | |||
Genesee & Wyoming, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 2.00%), 7.34%, 12/30/26† | $174,150 | $ 174,195 | ||
Global Medical Response, Inc. 2021 Refinancing Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 4.25%), 9.44%, 10/02/25† | 349,116 | 198,123 | ||
Ineos Quattro Holdings UK Limited 2026 Tranche B Euro Term Loan | ||||
(Floating, ICE EURIBOR USD 1M + 2.75%), 6.17%, 01/29/26† | 450,000 | 475,327 | ||
IU Finance Management GmbH Facility B | ||||
(Floating, ICE EURIBOR USD 3M + 4.75%), 8.23%, 12/08/28† | 690,000 | 741,258 | ||
Lakeshore Learning Materials LLC Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.50%, 0.50% Floor), 8.72%, 09/29/28† | 788,000 | 784,060 | ||
Mister Car Wash Holdings, Inc. Initial Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 3.00%), 8.33%, 05/14/26† | 119,989 | 120,055 | ||
Nexstar Media, Inc. Term B-4 Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 2.50%), 7.72%, 09/18/26† | 61,128 | 61,138 | ||
Prime Security Services Borrower LLC 2021 Refinancing Term B-1 Loan | ||||
(Floating, ICE LIBOR USD 1M + 2.75%), 7.94%, 09/23/26† | 397,738 | 398,122 | ||
Sedgwick Claims Management Services, Inc. 2023 Term Loan | ||||
(Floating, ICE CME Term SOFR USD 1M + 3.75%), 8.85%, 02/24/28† | 250,857 | 249,741 | ||
TransDigm, Inc. Tranche I Term Loan | ||||
(Floating, ICE CME Term SOFR USD 3M + 3.25%), 8.49%, 08/24/28† | 666,975 | 667,362 | ||
U.S. Renal Care, Inc. Initial Term Loan | ||||
(Floating, ICE LIBOR USD 1M + 5.00%), 10.19%, 06/26/26† | 292,404 | 137,187 | ||
UFC Holdings LLC Term B-3 Loan | ||||
(Floating, ICE LIBOR USD 3M + 2.75%, 0.75% Floor), 8.05%, 04/29/26† | 104,859 | 104,866 | ||
Total Loan Agreements (Cost $9,714,403) | 9,198,793 | |||
MORTGAGE-BACKED SECURITIES — 8.5% | ||||
BANK, Series 2018-BNK15, Class B | ||||
4.81%, 11/15/61† γ | 260,000 | 229,756 |
Par | Value | |||
BANK, Series 2021-BN35, Class AS | ||||
2.46%, 06/15/64 | $ 85,000 | $ 65,906 | ||
BINOM Securitization Trust, Series 2022-RPL1, Class M1 | ||||
3.00%, 02/25/61 144A † γ | 100,000 | 73,924 | ||
BPR Trust, Series 2021-NRD, Class B | ||||
(Floating, CME Term SOFR 1M + 2.12%, 2.12% Floor), 7.23%, 12/15/23 144A † | 25,000 | 23,324 | ||
BPR Trust, Series 2021-NRD, Class C | ||||
(Floating, CME Term SOFR 1M + 2.42%, 2.42% Floor), 7.53%, 12/15/23 144A † | 25,000 | 23,233 | ||
BPR Trust, Series 2021-NRD, Class D | ||||
(Floating, CME Term SOFR 1M + 3.72%, 3.72% Floor), 8.83%, 12/15/23 144A † | 20,000 | 18,495 | ||
BPR Trust, Series 2022-STAR, Class A | ||||
(Floating, CME Term SOFR 1M + 3.23%, 3.23% Floor), 8.38%, 08/15/24 144A † | 65,000 | 64,492 | ||
CAFL Issuer LLC, Series 2021-RTL1, Class A1 | ||||
(Step to 4.24% on 04/30/25), 2.24%, 03/28/29 144A STEP | 105,000 | 96,190 | ||
COMM Mortgage Trust, Series 2012-CR3, Class AM | ||||
3.42%, 10/15/45 144A | 10,217 | 9,321 | ||
COMM Mortgage Trust, Series 2012-LC4, Class B | ||||
4.93%, 12/10/44 | 14,776 | 13,678 | ||
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.10%), 9.25%, 09/25/31 144A † | 530,000 | 555,599 | ||
Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1 | ||||
(Floating, ICE LIBOR USD 1M + 4.10%), 9.25%, 07/25/39 144A † | 558,796 | 574,374 | ||
Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.10%), 7.25%, 10/25/39 144A † | 23,458 | 23,497 | ||
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.05%), 7.20%, 01/25/40 144A † | 147,378 | 148,014 | ||
Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.10%), 8.17%, 10/25/41 144A † | 790,000 | 780,537 |
Par | Value | |||
Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.65%, 1.65% Floor), 6.72%, 12/25/41 144A † | $1,062,000 | $1,028,620 | ||
Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 1.90%), 6.97%, 12/25/41 144A † | 706,000 | 688,612 | ||
Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 8.57%, 03/25/42 144A † | 365,000 | 372,940 | ||
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.10%), 8.17%, 03/25/42 144A † | 406,000 | 410,476 | ||
Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.95%), 8.02%, 06/25/42 144A † | 183,513 | 187,946 | ||
Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.55%, 2.55% Floor), 7.62%, 07/25/42 144A † | 455,210 | 461,949 | ||
Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.60%, 3.60% Floor), 8.67%, 07/25/42 144A † | 329,000 | 336,414 | ||
CSMC OA LLC, Series 2014-USA, Class F | ||||
4.37%, 09/15/37 144A | 1,610,000 | 654,766 | ||
CSMC Trust, Series 2021-RPL1, Class A1 | ||||
1.67%, 09/27/60 144A † γ | 63,346 | 58,489 | ||
CSMC Trust, Series 2021-RPL3, Class M2 | ||||
3.75%, 01/25/60 144A | 100,000 | 75,911 | ||
Fannie Mae Connecticut Avenue Securities, Series 2017-C02, Class 2B1 | ||||
(Floating, ICE LIBOR USD 1M + 5.50%), 10.65%, 09/25/29† | 413,000 | 457,366 | ||
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2 | ||||
(Floating, ICE LIBOR USD 1M + 2.55%, 2.55% Floor), 7.70%, 12/25/30† | 899,552 | 919,003 | ||
Federal Home Loan Mortgage Corporation | ||||
3.00%, 03/01/50 | 68,776 | 61,465 | ||
3.50%, 04/01/50 | 44,053 | 40,614 | ||
3.00%, 07/01/50 | 75,314 | 66,939 | ||
2.50%, 08/01/51 | 138,761 | 118,113 |
Par | Value | |||
2.50%, 01/01/52 | $ 301,211 | $ 256,056 | ||
2.50%, 02/01/52 | 945,230 | 803,429 | ||
2.50%, 03/01/52 | 734,768 | 624,723 | ||
2.50%, 04/01/52 | 810,470 | 688,212 | ||
3.00%, 04/01/52 | 47,124 | 41,544 | ||
3.50%, 05/01/52 | 1,263,044 | 1,152,341 | ||
3.50%, 06/01/52 | 639,852 | 583,754 | ||
3.00%, 08/01/52 | 417,183 | 368,452 | ||
4.00%, 08/01/52 | 287,142 | 269,771 | ||
4.50%, 08/01/52 | 463,611 | 446,090 | ||
3.50%, 09/01/52 | 149,728 | 136,562 | ||
4.00%, 09/01/52 | 696,870 | 654,494 | ||
4.50%, 09/01/52 | 606,701 | 584,035 | ||
5.50%, 09/01/52 | 437,701 | 437,399 | ||
4.00%, 10/01/52 | 323,538 | 303,864 | ||
4.50%, 10/01/52 | 513,205 | 493,805 | ||
5.00%, 10/01/52 | 377,330 | 370,274 | ||
5.50%, 10/01/52 | 378,516 | 377,321 | ||
3.50%, 11/01/52 | 432,062 | 394,070 | ||
5.00%, 11/01/52 | 310,967 | 305,073 | ||
5.00%, 01/01/53 | 315,547 | 309,377 | ||
5.50%, 02/01/53 | 289,952 | 288,723 | ||
6.00%, 03/01/53 | 253,238 | 255,575 | ||
6.00%, 04/01/53 | 631,044 | 636,868 | ||
5.50%, 05/01/53 | 507,018 | 504,868 | ||
6.00%, 05/01/53 | 696,613 | 703,176 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA1, Class B1 | ||||
(Floating, ICE LIBOR USD 1M + 2.30%), 7.45%, 01/25/50 144A † | 770,000 | 770,858 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA2, Class M2 | ||||
(Floating, ICE LIBOR USD 1M + 1.85%), 7.00%, 02/25/50 144A † | 275,074 | 276,077 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-DNA6, Class M2 | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 7.07%, 12/25/50 144A † | 243,441 | 244,251 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA3, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 8.57%, 10/25/33 144A † | 610,000 | 611,992 |
Par | Value | |||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-DNA6, Class B1 | ||||
(Floating, U.S. 30-Day Average SOFR + 3.40%), 8.47%, 10/25/41 144A † | $ 180,000 | $ 179,587 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA2, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 2.40%), 7.47%, 02/25/42 144A † | 1,169,000 | 1,156,369 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA3, Class M1A | ||||
(Floating, U.S. 30-Day Average SOFR + 2.00%), 7.07%, 04/25/42 144A † | 33,655 | 33,764 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA3, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 2.90%), 7.97%, 04/25/42 144A † | 179,000 | 178,928 | ||
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-HQA1, Class M1B | ||||
(Floating, U.S. 30-Day Average SOFR + 3.50%), 8.57%, 03/25/42 144A † | 106,000 | 108,092 | ||
Federal National Mortgage Association | ||||
3.00%, 08/01/46 | 79,133 | 70,884 | ||
3.00%, 12/01/47 | 240,231 | 216,108 | ||
3.50%, 08/01/49 | 105,457 | 97,826 | ||
4.00%, 08/01/49 | 94,565 | 90,018 | ||
3.50%, 09/01/49 | 182,282 | 168,175 | ||
4.00%, 10/01/49 | 139,477 | 132,834 | ||
3.00%, 03/01/50 | 104,816 | 93,134 | ||
3.00%, 05/01/50 | 130,086 | 115,426 | ||
3.50%, 06/01/50 | 34,414 | 31,693 | ||
3.00%, 07/01/50 | 35,888 | 31,799 | ||
3.00%, 07/01/51 | 368,295 | 324,945 | ||
2.50%, 09/01/51 | 429,163 | 364,562 | ||
2.50%, 10/01/51 | 278,888 | 237,093 | ||
2.50%, 01/01/52 | 331,949 | 281,746 | ||
3.00%, 02/01/52 | 66,639 | 58,773 | ||
2.50%, 03/01/52 | 1,014,246 | 861,707 | ||
2.50%, 04/01/52 | 369,520 | 313,967 | ||
4.00%, 04/01/52 | 316,235 | 297,423 | ||
4.00%, 05/01/52 | 578,551 | 543,752 | ||
3.00%, 06/01/52 | 214,240 | 188,896 | ||
3.50%, 06/01/52 | 432,613 | 394,743 | ||
4.00%, 06/01/52 | 746,775 | 701,591 | ||
4.00%, 07/01/52 | 649,956 | 611,323 | ||
3.50%, 08/01/52 | 275,918 | 251,765 |
Par | Value | |||
4.00%, 08/01/52 | $ 476,497 | $ 447,744 | ||
5.00%, 08/01/52 | 236,421 | 232,034 | ||
4.00%, 09/01/52 | 671,777 | 631,275 | ||
4.50%, 09/01/52 | 861,284 | 828,735 | ||
4.00%, 10/01/52 | 140,192 | 131,681 | ||
4.50%, 10/01/52 | 957,162 | 920,939 | ||
4.50%, 11/01/52 | 628,156 | 604,400 | ||
5.00%, 11/01/52 | 193,826 | 190,066 | ||
5.00%, 01/01/53 | 559,732 | 548,786 | ||
5.50%, 01/01/53 | 652,956 | 650,143 | ||
5.50%, 02/01/53 | 529,809 | 527,526 | ||
5.00%, 04/01/53 | 492,021 | 482,306 | ||
GCAT Trust, Series 2019-RPL1, Class A1 | ||||
2.65%, 10/25/68 144A | 38,631 | 36,230 | ||
Government National Mortgage Association | ||||
4.50%, 08/20/48 | 62,984 | 61,603 | ||
2.50%, 05/20/52 | 396,257 | 343,481 | ||
4.50%, 09/20/52 | 257,427 | 248,711 | ||
5.00%, 11/20/52 | 122,503 | 120,544 | ||
5.00%, 03/20/53 | 198,358 | 195,063 | ||
5.50%, 03/20/53 | 322,203 | 320,974 | ||
5.00%, 07/01/53 TBA | 735,000 | 722,310 | ||
5.50%, 07/01/53 TBA | 1,105,000 | 1,099,907 | ||
GS Mortgage Securities Corporation Trust, Series 2018-SRP5, Class C | ||||
(Floating, ICE LIBOR USD 1M + 4.25%, 3.75% Floor), 9.44%, 09/15/31 144A † | 1,427,064 | 532,510 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class AS | ||||
4.38%, 01/10/47 | 45,000 | 42,049 | ||
GS Mortgage Securities Trust, Series 2014-GC18, Class B | ||||
4.89%, 01/10/47 | 25,000 | 20,762 | ||
Hawaii Hotel Trust, Series 2019-MAUI, Class F | ||||
(Floating, ICE LIBOR USD 1M + 2.75%, 2.75% Floor), 7.94%, 05/15/38 144A † | 780,000 | 758,363 | ||
Hilton U.S.A. Trust, Series 2016-HHV, Class D | ||||
4.33%, 11/05/38 144A † γ | 540,000 | 495,588 | ||
Impac Secured Assets Trust, Series 2006-2, Class 2M3 | ||||
(Floating, ICE LIBOR USD 1M + 1.65%, 1.65% Floor, 11.50% Cap), 6.80%, 08/25/36† | 29,633 | 29,631 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ | ||||
6.74%, 02/15/51† γ | 2,351 | 2,077 | ||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHMZ, Class M | ||||
(Floating, ICE LIBOR USD 1M + 8.51%, 8.21% Floor), 13.70%, 06/15/35 144A † | 1,500,000 | 15 |
Par | Value | |||
Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2 | ||||
3.25%, 09/25/59 144A | $ 120,000 | $ 103,337 | ||
PMT Credit Risk Transfer Trust, Series 2021-1R, Class A | ||||
(Floating, ICE LIBOR USD 1M + 2.90%, 2.90% Floor), 8.08%, 02/27/24 144A † | 95,117 | 93,093 | ||
PRPM LLC, Series 2021-1, Class A1 | ||||
2.12%, 01/25/26 144A † γ | 73,612 | 68,939 | ||
PRPM LLC, Series 2021-5, Class A1 | ||||
(Step to 4.79% on 07/25/24), 1.79%, 06/25/26 144A STEP | 77,338 | 70,559 | ||
PRPM LLC, Series 2022-5, Class A1 | ||||
(Step to 0.28% on 04/25/25), 6.90%, 09/27/27 144A STEP | 119,317 | 117,568 | ||
Radnor RE, Ltd., Series 2021-1, Class M1C | ||||
(Floating, U.S. 30-Day Average SOFR + 2.70%, 2.70% Floor), 7.77%, 12/27/33 144A † | 790,000 | 802,827 | ||
RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A | ||||
3.96%, 01/15/32 144A † γ | 100,000 | 96,612 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1 | ||||
4.00%, 08/25/56 144A | 323,103 | 315,287 | ||
Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M2 | ||||
4.00%, 08/25/56 144A | 570,000 | 503,542 | ||
Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M | ||||
4.25%, 11/25/59 144A | 1,170,000 | 1,003,006 | ||
SFO Commercial Mortgage Trust, Series 2021-555, Class D | ||||
(Floating, CME Term SOFR 1M + 2.51%, 2.40% Floor), 7.59%, 05/15/38 144A † | 760,000 | 584,839 | ||
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 | 97,457 | ||
Towd Point Mortgage Trust, Series 2019-4, Class A1 | ||||
2.90%, 10/25/59 144A | 57,386 | 52,787 | ||
UBS Commercial Mortgage Trust, Series 2017-C3, Class C | ||||
4.54%, 08/15/50† γ | 410,000 | 317,469 | ||
UBS Commercial Mortgage Trust, Series 2018-C13, Class B | ||||
4.79%, 10/15/51 | 270,000 | 235,939 | ||
Uniform Mortgage Backed Securities | ||||
5.00%, 07/01/53 TBA | 1,090,000 | 1,068,115 | ||
5.50%, 07/01/53 TBA | 895,000 | 890,735 | ||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B | ||||
4.44%, 07/15/46† γ | 25,000 | 19,067 | ||
Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B | ||||
3.67%, 11/15/59 | 25,000 | 20,878 |
Par | Value | |||
WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B | ||||
4.58%, 08/15/46 | $35,000 | $ 29,371 | ||
WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B | ||||
4.38%, 05/15/47 | 35,000 | 25,712 | ||
Total Mortgage-Backed Securities (Cost $53,013,060) | 48,412,512 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Call Option — 0.0% | ||||
Euro-Bund expiration date 07/2023, Strike Price $162.50, Expires 07/21/23 (CITI) | 2 | $267,480 | 753 | |
Total Purchased Options (Premiums paid $853) | 753 |
Par | |||
U.S. TREASURY OBLIGATIONS — 15.7% | |||
U.S. Treasury Bills | |||
5.10%, 10/17/23Ω | $ 850,000 | 836,973 | |
5.05%, 11/24/23Ω | 2,235,000 | 2,188,719 | |
5.15%, 12/07/23Ω | 565,000 | 552,179 | |
5.09%, 12/14/23Ω | 845,000 | 824,913 | |
4,402,784 | |||
U.S. Treasury Bonds | |||
3.50%, 02/15/39 | 3,300,000 | 3,165,100 | |
4.25%, 05/15/39 | 30,000 | 31,398 | |
3.88%, 08/15/40 | 20,000 | 19,860 | |
1.75%, 08/15/41 | 650,000 | 457,133 | |
2.00%, 11/15/41 | 40,000 | 29,308 | |
3.25%, 05/15/42 | 185,000 | 165,177 | |
2.75%, 08/15/42 | 90,000 | 74,206 | |
3.38%, 08/15/42 | 1,335,000 | 1,212,399 | |
4.00%, 11/15/42 | 460,000 | 457,269 | |
3.88%, 02/15/43 | 96,000 | 93,630 | |
2.88%, 05/15/43Δ | 2,045,000 | 1,711,809 | |
3.00%, 05/15/45 | 30,000 | 25,358 | |
3.00%, 11/15/45 | 660,000 | 557,004 | |
2.50%, 05/15/46Δ | 590,000 | 454,116 | |
2.25%, 08/15/46Δ | 690,000 | 504,495 | |
2.88%, 11/15/46 | 1,520,000 | 1,253,614 | |
3.00%, 05/15/47 | 60,000 | 50,568 | |
2.75%, 08/15/47 | 90,000 | 72,452 | |
3.13%, 05/15/48 | 40,000 | 34,532 | |
3.38%, 11/15/48 | 770,000 | 696,218 | |
1.25%, 05/15/50Δ | 50,000 | 28,143 | |
1.38%, 08/15/50 | 3,730,000 | 2,169,592 | |
2.38%, 05/15/51Δ | 870,000 | 647,266 | |
2.88%, 05/15/52Δ | 360,000 | 298,505 |
Par | Value | |||
3.00%, 08/15/52 | $ 960,000 | $ 816,600 | ||
15,025,752 | ||||
U.S. Treasury Notes | ||||
2.88%, 10/31/23Δ | 2,540,000 | 2,519,899 | ||
0.50%, 11/30/23Δ | 610,000 | 598,003 | ||
2.75%, 02/15/24 | 4,760,000 | 4,682,047 | ||
1.50%, 02/29/24Δ | 555,000 | 540,752 | ||
2.38%, 02/29/24 | 10,000 | 9,803 | ||
0.25%, 06/15/24 | 1,050,000 | 999,802 | ||
1.50%, 10/31/24 | 410,000 | 390,205 | ||
2.25%, 11/15/24 | 20,520,000 | 19,710,021 | ||
2.00%, 02/15/25 | 70,000 | 66,644 | ||
0.38%, 11/30/25 | 21,280,000 | 19,213,097 | ||
1.63%, 02/15/26 | 6,290,000 | 5,830,535 | ||
1.63%, 05/15/26 | 340,000 | 313,783 | ||
2.00%, 11/15/26 | 870,000 | 804,920 | ||
1.25%, 11/30/26 | 200,000 | 180,238 | ||
2.75%, 07/31/27 | 163,000 | 153,704 | ||
2.38%, 05/15/29 | 217,000 | 197,898 | ||
3.63%, 03/31/30 | 109,000 | 106,639 | ||
3.75%, 05/31/30 | 1,376,000 | 1,356,973 | ||
0.88%, 11/15/30Δ | 8,550,000 | 6,921,158 | ||
1.25%, 08/15/31 | 730,000 | 599,270 | ||
1.38%, 11/15/31Δ | 550,000 | 453,653 | ||
2.88%, 05/15/32 | 4,100,000 | 3,802,189 | ||
69,451,233 | ||||
Total U.S. Treasury Obligations (Cost $98,276,623) | 88,879,769 |
Shares | |||
COMMON STOCKS — 0.0% | |||
Communication Services — 0.0% | |||
Altice U.S.A., Inc. Class A* | 16,976 | 51,268 | |
Energy — 0.0% | |||
Berry Corporation | 2,492 | 17,145 | |
Diamondback Energy, Inc. | 711 | 93,397 | |
EOG Resources, Inc.Δ | 430 | 49,209 | |
Pioneer Natural Resources Co. | 122 | 25,276 | |
185,027 | |||
Total Common Stocks (Cost $456,303) | 236,295 | ||
FOREIGN COMMON STOCKS — 0.0% | |||
Canada — 0.0% | |||
Canadian Natural Resources, Ltd. | 1,332 | 74,939 | |
Jersey — 0.0% | |||
Clarivate PLCΔ * | 59 | 562 | |
Total Foreign Common Stocks (Cost $80,703) | 75,501 | ||
PREFERRED STOCKS — 0.1% | |||
Bank of America Corporation | |||
7.25% CONV | 387 | 453,494 | |
El Paso Energy Capital Trust I | |||
4.75% CONV | 2,799 | 130,014 |
Shares | Value | |||
Wells Fargo & Co. | ||||
7.50% CONV | 69 | $ 79,488 | ||
Total Preferred Stocks (Cost $592,008) | 662,996 | |||
FOREIGN PREFERRED STOCK — 0.0% | ||||
Jersey — 0.0% | ||||
Clarivate PLC | ||||
5.25%, CONV (Cost $128,000) | 1,280 | 52,544 | ||
MUTUAL FUNDS — 0.2% | ||||
VanEck JP Morgan EM Local Currency Bond ETFΔ (Cost $1,328,443) | 54,000 | 1,380,240 | ||
MONEY MARKET FUNDS — 12.1% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ | 40,260,491 | 40,260,491 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%Ø § | 23,771,502 | 23,771,502 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 4,708,434 | 4,708,434 | ||
Total Money Market Funds (Cost $68,740,427) | 68,740,427 | |||
TOTAL INVESTMENTS —103.7% (Cost $653,752,074) | 589,185,969 | |||
Liabilities in Excess of Other Assets — (3.7)% | (21,167,308) | |||
NET ASSETS — 100.0% | $568,018,661 |
% | |
Foreign Bonds | 44.9 |
Corporate Bonds | 19.1 |
U.S. Treasury Obligations | 15.7 |
Money Market Funds | 12.1 |
Mortgage-Backed Securities | 8.5 |
Loan Agreements | 1.6 |
Asset-Backed Securities | 1.5 |
Mutual Funds | 0.2 |
Financials | 0.1 |
Purchased Option | —** |
Energy | —** |
Industrials | —** |
Communication Services | —** |
103.7 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro-Buxl | 09/2023 | 16 | $ 2,437,305 | $ 21,071 | ||||
Euro-Bobl | 09/2023 | (10) | (1,262,628) | 19,352 | ||||
Euro-BTP | 09/2023 | (5) | (633,496) | (2,692) | ||||
Euro-Bund | 09/2023 | 50 | 7,296,855 | (8,105) | ||||
Euro-Schatz | 09/2023 | 69 | 7,894,451 | (42,195) | ||||
10-Year Japanese E-Mini | 09/2023 | 88 | 9,055,227 | 34,518 | ||||
10-Year Commonwealth Treasury Bond | 09/2023 | (7) | (541,717) | 2,153 | ||||
10-Year Bond | 09/2023 | 6 | 554,958 | (2,014) | ||||
10-Year U.S. Treasury Note | 09/2023 | 66 | 7,409,531 | (51,472) | ||||
U.S. Treasury Long Bond | 09/2023 | 84 | 10,660,125 | 18,671 | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | (138) | (16,344,375) | 127,790 | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | 38 | 5,176,312 | 62,386 | ||||
Long GILT | 09/2023 | 63 | 7,624,954 | (78,596) | ||||
2-Year U.S. Treasury Note | 09/2023 | 195 | 39,652,031 | (478,050) | ||||
5-Year U.S. Treasury Note | 09/2023 | 610 | 65,327,187 | (1,184,603) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $144,306,720 | $(1,561,786) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/23 | U.S. Dollars | 238,852,611 | Euro | 217,609,367 | SS | $1,141,195 | ||||||
07/20/23 | U.S. Dollars | 10,963,804 | Japanese Yen | 1,423,770,506 | SS | 1,063,901 | ||||||
07/20/23 | U.S. Dollars | 5,141,302 | Japanese Yen | 672,634,992 | BNP | 464,270 | ||||||
07/20/23 | British Pounds | 13,395,806 | U.S. Dollars | 16,690,343 | SC | 325,038 | ||||||
07/20/23 | U.S. Dollars | 3,722,898 | Japanese Yen | 489,376,781 | GSC | 320,114 | ||||||
07/20/23 | U.S. Dollars | 4,094,577 | Japanese Yen | 546,832,459 | CITI | 292,287 | ||||||
07/20/23 | U.S. Dollars | 11,296,339 | New Zealand Dollars | 18,090,554 | SC | 195,167 | ||||||
07/20/23 | U.S. Dollars | 5,042,320 | Swedish Kronor | 52,491,028 | BNP | 170,613 | ||||||
07/20/23 | Canadian Dollars | 12,356,492 | U.S. Dollars | 9,186,498 | SC | 143,974 | ||||||
07/20/23 | U.S. Dollars | 8,065,200 | New Zealand Dollars | 12,913,777 | CITI | 140,729 | ||||||
07/18/23 | U.S. Dollars | 3,656,303 | Taiwan Dollars | 110,204,629 | GSC | 118,422 | ||||||
07/20/23 | Mexican Pesos | 26,358,733 | U.S. Dollars | 1,417,201 | SC | 116,254 | ||||||
07/18/23 | Canadian Dollars | 9,608,964 | U.S. Dollars | 7,143,054 | GSC | 112,503 | ||||||
07/20/23 | Mexican Pesos | 25,002,643 | U.S. Dollars | 1,345,292 | RBC | 109,271 | ||||||
07/20/23 | Mexican Pesos | 26,804,053 | U.S. Dollars | 1,459,280 | BNP | 100,082 | ||||||
07/20/23 | U.S. Dollars | 18,006,673 | Euro | 16,393,748 | CITI | 98,523 | ||||||
07/20/23 | Canadian Dollars | 8,429,551 | U.S. Dollars | 6,269,118 | GSC | 96,093 | ||||||
07/20/23 | U.S. Dollars | 7,761,895 | Australian Dollars | 11,506,256 | GSC | 92,047 | ||||||
07/20/23 | U.S. Dollars | 2,979,860 | Norwegian Kroner | 30,979,517 | SS | 91,334 | ||||||
07/20/23 | Polish Zloty | 6,076,046 | U.S. Dollars | 1,406,732 | BNP | 85,944 | ||||||
07/18/23 | U.S. Dollars | 12,208,446 | Euro | 11,100,000 | GSC | 84,370 | ||||||
07/20/23 | Polish Zloty | 5,175,369 | U.S. Dollars | 1,198,501 | SC | 72,909 | ||||||
07/20/23 | U.S. Dollars | 9,834,356 | Euro | 8,937,671 | BNP | 71,052 | ||||||
07/20/23 | U.S. Dollars | 1,990,976 | Chinese Yuans | 13,900,000 | SC | 70,885 | ||||||
07/20/23 | U.S. Dollars | 2,269,248 | Norwegian Kroner | 23,580,018 | UBS | 70,650 | ||||||
07/18/23 | Hungarian Forint | 629,506,000 | Euro | 1,615,683 | GSC | 69,407 | ||||||
07/20/23 | U.S. Dollars | 14,168,391 | Euro | 12,909,978 | UBS | 65,831 | ||||||
07/20/23 | Brazilian Reals | 4,494,124 | U.S. Dollars | 870,701 | SS | 64,270 | ||||||
07/18/23 | Polish Zloty | 10,165,000 | U.S. Dollars | 2,433,405 | GSC | 64,071 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/23 | Brazilian Reals | 4,316,429 | U.S. Dollars | 837,995 | BNP | $60,008 | ||||||
07/20/23 | U.S. Dollars | 3,515,611 | New Zealand Dollars | 5,632,069 | UBS | 59,521 | ||||||
07/20/23 | U.S. Dollars | 2,354,089 | Swedish Kronor | 24,735,420 | SS | 58,387 | ||||||
07/20/23 | British Pounds | 4,638,282 | U.S. Dollars | 5,836,046 | GSC | 55,509 | ||||||
07/20/23 | U.S. Dollars | 3,893,285 | New Zealand Dollars | 6,254,719 | GSC | 55,110 | ||||||
07/20/23 | Canadian Dollars | 4,408,109 | U.S. Dollars | 3,273,505 | BNP | 55,089 | ||||||
07/20/23 | U.S. Dollars | 9,394,260 | Euro | 8,549,857 | GSC | 54,595 | ||||||
07/20/23 | Polish Zloty | 3,706,189 | U.S. Dollars | 857,795 | SS | 52,688 | ||||||
07/20/23 | Polish Zloty | 3,706,086 | U.S. Dollars | 858,348 | RBC | 52,110 | ||||||
07/20/23 | U.S. Dollars | 508,105 | Turkish Lira | 11,970,755 | RBC | 50,263 | ||||||
07/20/23 | Mexican Pesos | 10,831,766 | U.S. Dollars | 582,762 | GSC | 47,391 | ||||||
07/20/23 | U.S. Dollars | 3,713,796 | Czech Republic Koruna | 79,959,523 | BNP | 47,045 | ||||||
07/20/23 | U.S. Dollars | 12,075,437 | Australian Dollars | 18,047,391 | SC | 45,395 | ||||||
07/20/23 | Euro | 5,024,482 | U.S. Dollars | 5,447,050 | GSC | 41,578 | ||||||
07/20/23 | British Pounds | 2,010,356 | U.S. Dollars | 2,512,045 | RBC | 41,514 | ||||||
07/20/23 | British Pounds | 1,949,867 | U.S. Dollars | 2,435,372 | CITI | 41,353 | ||||||
07/20/23 | U.S. Dollars | 5,319,922 | Swiss Francs | 4,714,779 | CITI | 40,493 | ||||||
07/20/23 | Swiss Francs | 6,548,432 | U.S. Dollars | 7,295,551 | GSC | 37,133 | ||||||
07/20/23 | U.S. Dollars | 950,902 | Swedish Kronor | 9,871,049 | SC | 34,767 | ||||||
07/20/23 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,053,065 | SS | 34,202 | ||||||
07/20/23 | New Zealand Dollars | 3,670,027 | U.S. Dollars | 2,220,763 | CITI | 31,329 | ||||||
07/20/23 | U.S. Dollars | 821,542 | Swedish Kronor | 8,533,160 | UBS | 29,577 | ||||||
07/20/23 | New Zealand Dollars | 3,966,006 | U.S. Dollars | 2,405,774 | RBC | 27,945 | ||||||
07/20/23 | Canadian Dollars | 2,535,232 | U.S. Dollars | 1,889,350 | CITI | 25,021 | ||||||
07/20/23 | U.S. Dollars | 5,136,703 | Euro | 4,680,777 | RBC | 23,531 | ||||||
07/20/23 | U.S. Dollars | 1,548,774 | Norwegian Kroner | 16,365,512 | BNP | 22,856 | ||||||
07/20/23 | British Pounds | 2,689,813 | U.S. Dollars | 3,395,395 | BNP | 21,211 | ||||||
07/20/23 | Euro | 5,707,963 | U.S. Dollars | 6,214,380 | BNP | 20,866 | ||||||
07/20/23 | Brazilian Reals | 1,982,750 | U.S. Dollars | 392,274 | GSC | 20,223 | ||||||
07/18/23 | U.S. Dollars | 3,265,058 | Euro | 2,971,422 | CITI | 19,495 | ||||||
07/20/23 | U.S. Dollars | 1,220,301 | Swiss Francs | 1,074,325 | GSC | 17,312 | ||||||
07/20/23 | British Pounds | 913,349 | U.S. Dollars | 1,143,032 | SS | 17,106 | ||||||
07/20/23 | Swiss Francs | 2,370,429 | U.S. Dollars | 2,637,413 | CITI | 16,903 | ||||||
07/20/23 | Japanese Yen | 660,582,120 | U.S. Dollars | 4,576,754 | UBS | 16,472 | ||||||
07/20/23 | British Pounds | 611,493 | U.S. Dollars | 761,318 | UBS | 15,402 | ||||||
07/20/23 | U.S. Dollars | 1,333,498 | Australian Dollars | 1,978,318 | CITI | 14,789 | ||||||
07/20/23 | Euro | 2,017,275 | U.S. Dollars | 2,189,003 | CITI | 14,621 | ||||||
07/20/23 | U.S. Dollars | 404,620 | Thai Baht | 13,800,000 | UBS | 14,540 | ||||||
07/20/23 | U.S. Dollars | 865,968 | New Zealand Dollars | 1,388,007 | RBC | 14,225 | ||||||
07/20/23 | U.S. Dollars | 2,854,067 | Euro | 2,600,000 | SC | 13,887 | ||||||
07/20/23 | Swiss Francs | 4,324,647 | U.S. Dollars | 4,828,758 | BNP | 13,817 | ||||||
07/20/23 | U.S. Dollars | 865,877 | Swiss Francs | 761,195 | SS | 13,520 | ||||||
07/20/23 | U.S. Dollars | 2,816,582 | Canadian Dollars | 3,712,213 | GSC | 13,465 | ||||||
07/20/23 | U.S. Dollars | 363,528 | Swedish Kronor | 3,774,231 | GSC | 13,240 | ||||||
07/20/23 | U.S. Dollars | 1,814,558 | Norwegian Kroner | 19,338,137 | GSC | 11,473 | ||||||
07/20/23 | U.S. Dollars | 428,392 | Japanese Yen | 60,000,000 | SC | 11,194 | ||||||
07/20/23 | U.S. Dollars | 975,545 | Indonesian Rupiahs | 14,497,578,153 | CITI | 11,007 | ||||||
07/20/23 | Polish Zloty | 1,711,339 | U.S. Dollars | 409,683 | GSC | 10,735 | ||||||
07/20/23 | U.S. Dollars | 760,410 | Czech Republic Koruna | 16,350,581 | UBS | 10,612 | ||||||
07/20/23 | Swiss Francs | 3,395,027 | U.S. Dollars | 3,791,208 | SS | 10,413 | ||||||
07/20/23 | Hungarian Forint | 416,684,010 | U.S. Dollars | 1,202,986 | GSC | 10,359 | ||||||
07/20/23 | Mexican Pesos | 2,140,706 | U.S. Dollars | 115,030 | CITI | 9,509 | ||||||
07/20/23 | U.S. Dollars | 602,980 | Indonesian Rupiahs | 8,920,774,170 | SS | 9,472 | ||||||
07/20/23 | U.S. Dollars | 380,593 | South African Rand | 7,011,349 | GSC | 8,880 | ||||||
07/20/23 | U.S. Dollars | 2,255,371 | Norwegian Kroner | 24,094,784 | SC | 8,777 | ||||||
07/20/23 | New Zealand Dollars | 1,225,362 | U.S. Dollars | 744,012 | GSC | 7,925 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/23 | U.S. Dollars | 2,564,417 | Australian Dollars | 3,836,404 | RBC | $ 7,145 | ||||||
07/20/23 | U.S. Dollars | 1,228,664 | British Pounds | 961,676 | GSC | 7,141 | ||||||
07/20/23 | Swedish Kronor | 10,130,691 | U.S. Dollars | 933,248 | BNP | 6,984 | ||||||
07/20/23 | Swiss Francs | 484,962 | U.S. Dollars | 536,150 | RBC | 6,891 | ||||||
07/20/23 | U.S. Dollars | 674,064 | Czech Republic Koruna | 14,566,182 | GSC | 6,094 | ||||||
07/20/23 | U.S. Dollars | 382,201 | Hungarian Forint | 129,226,052 | GSC | 5,907 | ||||||
07/20/23 | U.S. Dollars | 1,344,108 | Indonesian Rupiahs | 20,117,839,109 | BNP | 5,648 | ||||||
07/20/23 | Swiss Francs | 1,641,958 | U.S. Dollars | 1,833,025 | UBS | 5,577 | ||||||
07/20/23 | U.S. Dollars | 233,725 | South African Rand | 4,308,235 | SS | 5,320 | ||||||
07/20/23 | U.S. Dollars | 956,088 | South Korean Won | 1,252,595,083 | UBS | 4,544 | ||||||
07/18/23 | Japanese Yen | 364,020,000 | U.S. Dollars | 2,525,866 | GSC | 4,435 | ||||||
07/20/23 | U.S. Dollars | 828,260 | Swiss Francs | 735,950 | BNP | 4,171 | ||||||
07/20/23 | U.S. Dollars | 2,257,161 | Swiss Francs | 2,012,146 | SC | 4,037 | ||||||
07/20/23 | Hungarian Forint | 36,669,187 | U.S. Dollars | 103,437 | RBC | 3,340 | ||||||
07/20/23 | Euro | 200,000 | U.S. Dollars | 215,383 | SC | 3,093 | ||||||
07/20/23 | Euro | 179,339 | U.S. Dollars | 192,918 | RBC | 2,987 | ||||||
07/20/23 | U.S. Dollars | 1,528,918 | Norwegian Kroner | 16,367,071 | CITI | 2,855 | ||||||
07/18/23 | Indian Rupees | 41,071,535 | U.S. Dollars | 497,674 | GSC | 2,528 | ||||||
07/20/23 | Swedish Kronor | 7,924,591 | U.S. Dollars | 733,015 | SS | 2,468 | ||||||
07/20/23 | U.S. Dollars | 453,880 | Indonesian Rupiahs | 6,786,866,408 | SC | 2,343 | ||||||
07/20/23 | Canadian Dollars | 173,599 | U.S. Dollars | 128,989 | UBS | 2,097 | ||||||
07/20/23 | Australian Dollars | 618,062 | U.S. Dollars | 410,096 | GSC | 1,892 | ||||||
07/20/23 | U.S. Dollars | 534,815 | Australian Dollars | 799,671 | UBS | 1,770 | ||||||
07/20/23 | Chilean Pesos | 56,271,974 | U.S. Dollars | 68,493 | GSC | 1,484 | ||||||
07/20/23 | Hungarian Forint | 15,128,338 | U.S. Dollars | 42,669 | SC | 1,384 | ||||||
07/20/23 | U.S. Dollars | 439,794 | Brazilian Reals | 2,107,493 | GSC | 1,345 | ||||||
07/20/23 | Australian Dollars | 3,690,177 | U.S. Dollars | 2,458,499 | CITI | 1,301 | ||||||
07/20/23 | New Zealand Dollars | 164,260 | U.S. Dollars | 100,361 | UBS | 436 | ||||||
07/20/23 | South Korean Won | 109,085,826 | U.S. Dollars | 82,576 | SC | 292 | ||||||
07/20/23 | Swedish Kronor | 1,446,960 | U.S. Dollars | 134,083 | RBC | 210 | ||||||
07/20/23 | Canadian Dollars | 14,676 | U.S. Dollars | 10,904 | RBC | 178 | ||||||
07/20/23 | U.S. Dollars | 7,478 | South African Rand | 137,759 | BNP | 175 | ||||||
07/20/23 | U.S. Dollars | 74,356 | Czech Republic Koruna | 1,620,000 | QCL | 12 | ||||||
07/20/23 | U.S. Dollars | 91 | Chinese Yuans | 624 | SS | 5 | ||||||
Subtotal Appreciation | $7,553,155 | |||||||||||
07/20/23 | South African Rand | 1,403 | U.S. Dollars | 76 | RBC | $ (2) | ||||||
07/20/23 | U.S. Dollars | 379 | Brazilian Reals | 1,956 | SS | (28) | ||||||
07/20/23 | U.S. Dollars | 240,631 | Czech Republic Koruna | 5,250,000 | RBC | (122) | ||||||
07/20/23 | U.S. Dollars | 90,507 | Polish Zloty | 370,000 | RBC | (389) | ||||||
07/20/23 | Australian Dollars | 477,082 | U.S. Dollars | 318,429 | GSC | (416) | ||||||
07/20/23 | Australian Dollars | 315,169 | U.S. Dollars | 210,783 | UBS | (698) | ||||||
09/20/23 | U.S. Dollars | 90,978 | Euro | 84,000 | BOA | (1,066) | ||||||
07/20/23 | Euro | 237,701 | U.S. Dollars | 260,811 | RBC | (1,152) | ||||||
07/20/23 | U.S. Dollars | 841,054 | New Zealand Dollars | 1,372,549 | BNP | (1,203) | ||||||
07/20/23 | Chinese Yuans | 149,671 | U.S. Dollars | 21,897 | SS | (1,222) | ||||||
07/20/23 | U.S. Dollars | 174,374 | Australian Dollars | 263,709 | RBC | (1,409) | ||||||
07/20/23 | U.S. Dollars | 139,631 | New Zealand Dollars | 230,000 | RBC | (1,507) | ||||||
07/20/23 | U.S. Dollars | 811,157 | Australian Dollars | 1,219,209 | GSC | (1,544) | ||||||
07/20/23 | U.S. Dollars | 529,249 | Euro | 486,923 | CITI | (2,655) | ||||||
07/20/23 | U.S. Dollars | 1,498,945 | Swiss Francs | 1,341,121 | BNP | (2,791) | ||||||
07/20/23 | Czech Republic Koruna | 4,935,188 | U.S. Dollars | 229,167 | SS | (2,852) | ||||||
07/20/23 | U.S. Dollars | 2,000,174 | Japanese Yen | 288,077,060 | SC | (2,912) | ||||||
07/20/23 | Czech Republic Koruna | 4,872,994 | U.S. Dollars | 226,627 | UBS | (3,163) | ||||||
07/18/23 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,602,533 | GSC | (3,199) | ||||||
07/20/23 | U.S. Dollars | 127,150 | Norwegian Kroner | 1,401,095 | RBC | (3,488) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/20/23 | U.S. Dollars | 45,197 | Mexican Pesos | 840,000 | RBC | $ (3,671) | ||||||
07/20/23 | U.S. Dollars | 364,123 | New Zealand Dollars | 600,000 | GSC | (4,064) | ||||||
07/20/23 | U.S. Dollars | 397,244 | Czech Republic Koruna | 8,761,239 | GSC | (4,526) | ||||||
07/20/23 | British Pounds | 1,178,326 | U.S. Dollars | 1,501,575 | GSC | (4,862) | ||||||
07/20/23 | U.S. Dollars | 572,791 | Swedish Kronor | 6,228,149 | BNP | (5,245) | ||||||
07/20/23 | South Korean Won | 468,734,450 | U.S. Dollars | 361,672 | CITI | (5,594) | ||||||
07/20/23 | Indonesian Rupiahs | 3,945,091,314 | U.S. Dollars | 268,428 | GSC | (5,957) | ||||||
07/20/23 | Swedish Kronor | 8,331,363 | U.S. Dollars | 779,283 | RBC | (6,047) | ||||||
07/20/23 | U.S. Dollars | 1,899,953 | Swiss Francs | 1,702,695 | CITI | (6,659) | ||||||
07/20/23 | U.S. Dollars | 576,419 | Hungarian Forint | 200,275,000 | SS | (6,763) | ||||||
07/20/23 | U.S. Dollars | 1,229,119 | Swiss Francs | 1,103,773 | SS | (6,844) | ||||||
07/20/23 | U.S. Dollars | 817,123 | Euro | 755,276 | UBS | (7,923) | ||||||
07/20/23 | U.S. Dollars | 1,103,057 | Canadian Dollars | 1,472,107 | BNP | (8,541) | ||||||
07/20/23 | U.S. Dollars | 232,147 | Brazilian Reals | 1,161,875 | RBC | (9,573) | ||||||
07/20/23 | Czech Republic Koruna | 16,155,598 | U.S. Dollars | 750,449 | GSC | (9,592) | ||||||
07/20/23 | U.S. Dollars | 745,034 | Euro | 691,206 | BNP | (10,023) | ||||||
07/20/23 | Czech Republic Koruna | 18,171,017 | U.S. Dollars | 844,049 | RBC | (10,770) | ||||||
07/20/23 | Indonesian Rupiahs | 29,075,905,406 | U.S. Dollars | 1,945,671 | CITI | (11,222) | ||||||
07/20/23 | U.S. Dollars | 819,194 | Norwegian Kroner | 8,908,077 | SS | (11,394) | ||||||
07/20/23 | Swiss Francs | 1,071,895 | U.S. Dollars | 1,211,684 | CITI | (11,417) | ||||||
07/20/23 | New Zealand Dollars | 7,379,867 | U.S. Dollars | 4,542,517 | GSC | (13,901) | ||||||
07/20/23 | U.S. Dollars | 811,401 | Norwegian Kroner | 8,853,120 | GSC | (14,063) | ||||||
07/20/23 | South African Rand | 11,560,940 | U.S. Dollars | 628,092 | SC | (15,178) | ||||||
07/20/23 | U.S. Dollars | 190,742 | Mexican Pesos | 3,550,007 | SS | (15,784) | ||||||
07/20/23 | U.S. Dollars | 5,327,195 | Swiss Francs | 4,772,900 | RBC | (17,316) | ||||||
07/20/23 | Czech Republic Koruna | 25,099,939 | U.S. Dollars | 1,168,650 | CITI | (17,627) | ||||||
07/20/23 | U.S. Dollars | 1,729,686 | Euro | 1,600,449 | RBC | (18,607) | ||||||
07/20/23 | U.S. Dollars | 2,863,294 | Canadian Dollars | 3,817,372 | GSC | (19,229) | ||||||
07/20/23 | Swedish Kronor | 4,110,759 | U.S. Dollars | 400,998 | GSC | (19,477) | ||||||
07/20/23 | Australian Dollars | 6,866,679 | U.S. Dollars | 4,596,814 | BNP | (19,618) | ||||||
07/20/23 | U.S. Dollars | 7,675,297 | Swiss Francs | 6,872,192 | SC | (19,921) | ||||||
07/20/23 | U.S. Dollars | 5,481,597 | Swiss Francs | 4,913,826 | GSC | (20,718) | ||||||
07/20/23 | U.S. Dollars | 3,517,385 | Euro | 3,239,550 | SC | (21,424) | ||||||
07/20/23 | U.S. Dollars | 1,410,242 | Canadian Dollars | 1,896,875 | SC | (22,102) | ||||||
07/20/23 | Czech Republic Koruna | 37,556,090 | U.S. Dollars | 1,745,703 | SC | (23,471) | ||||||
07/20/23 | Swiss Francs | 4,130,633 | U.S. Dollars | 4,650,091 | GSC | (24,767) | ||||||
07/20/23 | U.S. Dollars | 7,659,828 | Euro | 7,034,951 | GSC | (24,989) | ||||||
07/20/23 | New Zealand Dollars | 2,391,785 | U.S. Dollars | 1,492,983 | UBS | (25,277) | ||||||
07/20/23 | Swiss Francs | 2,528,052 | U.S. Dollars | 2,857,019 | BNP | (26,203) | ||||||
07/20/23 | U.S. Dollars | 1,678,816 | Canadian Dollars | 2,258,199 | RBC | (26,365) | ||||||
07/20/23 | U.S. Dollars | 2,941,317 | Australian Dollars | 4,452,123 | CITI | (26,382) | ||||||
07/20/23 | Euro | 4,387,032 | U.S. Dollars | 4,818,893 | CITI | (26,602) | ||||||
07/20/23 | U.S. Dollars | 810,559 | Hungarian Forint | 287,570,038 | BNP | (26,818) | ||||||
07/20/23 | Australian Dollars | 12,950,270 | U.S. Dollars | 8,659,703 | SS | (27,303) | ||||||
07/20/23 | Euro | 5,601,970 | U.S. Dollars | 6,148,603 | BNP | (29,141) | ||||||
07/20/23 | U.S. Dollars | 728,726 | Polish Zloty | 3,100,000 | SC | (32,838) | ||||||
07/20/23 | U.S. Dollars | 2,027,490 | Canadian Dollars | 2,728,681 | UBS | (32,956) | ||||||
07/20/23 | New Zealand Dollars | 3,115,312 | U.S. Dollars | 1,944,703 | BNP | (33,008) | ||||||
07/20/23 | U.S. Dollars | 421,935 | Mexican Pesos | 7,847,629 | SC | (34,612) | ||||||
07/20/23 | U.S. Dollars | 3,590,785 | Canadian Dollars | 4,803,499 | CITI | (36,370) | ||||||
07/20/23 | U.S. Dollars | 2,123,235 | British Pounds | 1,701,687 | RBC | (38,251) | ||||||
07/20/23 | Norwegian Kroner | 20,118,117 | U.S. Dollars | 1,914,859 | BNP | (39,049) | ||||||
07/20/23 | U.S. Dollars | 1,198,452 | Hungarian Forint | 425,145,930 | UBS | (39,534) | ||||||
07/20/23 | Australian Dollars | 12,737,891 | U.S. Dollars | 8,530,643 | CITI | (39,810) | ||||||
07/20/23 | U.S. Dollars | 1,040,916 | Polish Zloty | 4,419,526 | CITI | (44,810) | ||||||
07/20/23 | U.S. Dollars | 763,013 | Polish Zloty | 3,292,053 | GSC | (45,731) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/18/23 | Australian Dollars | 10,188,572 | U.S. Dollars | 6,842,401 | CITI | $ (51,334) | ||||||
07/18/23 | Euro | 763,699 | Polish Zloty | 3,620,000 | GSC | (55,254) | ||||||
07/20/23 | Euro | 5,397,666 | U.S. Dollars | 5,952,171 | GSC | (55,886) | ||||||
07/20/23 | New Zealand Dollars | 5,192,707 | U.S. Dollars | 3,243,745 | CITI | (57,268) | ||||||
07/18/23 | U.S. Dollars | 1,775,507 | Hungarian Forint | 629,506,000 | GSC | (58,644) | ||||||
07/20/23 | U.S. Dollars | 973,337 | Polish Zloty | 4,205,397 | SS | (59,785) | ||||||
07/20/23 | U.S. Dollars | 3,727,761 | British Pounds | 2,986,633 | SC | (65,867) | ||||||
07/20/23 | Norwegian Kroner | 39,141,957 | U.S. Dollars | 3,715,897 | CITI | (66,307) | ||||||
07/20/23 | Turkish Lira | 11,918,698 | U.S. Dollars | 526,357 | SS | (70,506) | ||||||
07/18/23 | U.S. Dollars | 3,542,321 | British Pounds | 2,849,273 | GSC | (76,773) | ||||||
07/20/23 | Swedish Kronor | 16,992,373 | U.S. Dollars | 1,654,535 | BNP | (77,467) | ||||||
07/20/23 | New Zealand Dollars | 8,381,916 | U.S. Dollars | 5,231,866 | SS | (88,348) | ||||||
07/20/23 | Norwegian Kroner | 28,835,517 | U.S. Dollars | 2,777,996 | SC | (89,377) | ||||||
07/20/23 | U.S. Dollars | 5,825,905 | British Pounds | 4,665,707 | GSC | (100,485) | ||||||
07/20/23 | Norwegian Kroner | 37,135,158 | U.S. Dollars | 3,575,484 | RBC | (113,008) | ||||||
07/20/23 | U.S. Dollars | 8,648,117 | British Pounds | 6,914,455 | CITI | (134,639) | ||||||
07/20/23 | Euro | 25,948,342 | U.S. Dollars | 28,481,445 | SS | (136,079) | ||||||
07/20/23 | U.S. Dollars | 7,450,172 | British Pounds | 5,984,964 | BNP | (151,942) | ||||||
07/20/23 | U.S. Dollars | 10,632,642 | Canadian Dollars | 14,283,533 | SS | (152,951) | ||||||
07/20/23 | Japanese Yen | 206,355,094 | U.S. Dollars | 1,589,014 | UBS | (154,165) | ||||||
07/20/23 | U.S. Dollars | 2,559,481 | Polish Zloty | 11,053,417 | UBS | (155,965) | ||||||
07/20/23 | Swedish Kronor | 50,016,453 | U.S. Dollars | 4,836,432 | CITI | (194,390) | ||||||
07/20/23 | Japanese Yen | 430,028,147 | U.S. Dollars | 3,194,575 | BNP | (204,460) | ||||||
07/20/23 | Euro | 44,160,502 | U.S. Dollars | 48,464,788 | UBS | (224,882) | ||||||
07/20/23 | U.S. Dollars | 3,079,161 | Mexican Pesos | 57,280,243 | UBS | (253,195) | ||||||
07/18/23 | U.S. Dollars | 4,465,809 | Polish Zloty | 19,214,000 | GSC | (254,949) | ||||||
07/20/23 | U.S. Dollars | 4,095,518 | Mexican Pesos | 75,003,935 | GSC | (267,938) | ||||||
07/18/23 | U.S. Dollars | 4,012,568 | Mexican Pesos | 74,378,570 | GSC | (316,329) | ||||||
07/20/23 | Japanese Yen | 1,226,265,339 | U.S. Dollars | 8,859,012 | GSC | (332,421) | ||||||
07/20/23 | U.S. Dollars | 17,124,611 | British Pounds | 13,745,416 | SS | (334,846) | ||||||
07/20/23 | Japanese Yen | 598,300,855 | U.S. Dollars | 4,608,731 | RBC | (448,566) | ||||||
07/20/23 | Japanese Yen | 804,159,679 | U.S. Dollars | 6,077,975 | CITI | (486,412) | ||||||
07/20/23 | Japanese Yen | 918,197,824 | U.S. Dollars | 7,071,541 | SC | (687,036) | ||||||
07/20/23 | Euro | 144,851,986 | U.S. Dollars | 159,008,928 | SC | (775,984) | ||||||
07/18/23 | Japanese Yen | 5,353,438,465 | U.S. Dollars | 41,405,108 | GSC | (4,193,389) | ||||||
Subtotal Depreciation | $(12,088,604) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $ (4,535,449) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.EM.38 Index (Pay Quarterly) | (1.00)% | 12/20/2027 | USD | 13,587,000 | $ 556,986 | $1,315,901 | $ (758,915) | |||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (5.00)% | 12/20/2027 | EUR | 10,019,000 | (549,466) | (227,564) | (321,902) | |||||||
$ 7,520 | $1,088,337 | $(1,080,817) |
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 | ||||||||||||||
3-Month KWCDC (Quarterly) | 2.36% (Quarterly) | 2/11/2032 | KRW | 604,702,000 | $ (37,735) | $ — | $ (37,735) | |||||||
3-Month KWCDC (Quarterly) | 2.37% (Quarterly) | 2/18/2032 | KRW | 1,195,630,000 | (74,244) | — | (74,244) | |||||||
3-Month KWCDC (Quarterly) | 2.88% (Quarterly) | 8/11/2032 | KRW | 2,048,372,000 | (68,413) | — | (68,413) | |||||||
$(180,392) | $ — | $(180,392) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Asset-Backed Securities | $ 8,414,159 | $ — | $ 8,414,159 | $ — | |||
Common Stocks | 236,295 | 236,295 | — | — | |||
Corporate Bonds | 108,222,705 | — | 108,222,705 | — | |||
Foreign Bonds: | |||||||
Brazil | 6,346,613 | — | 1,128,888 | 5,217,725 | |||
Other ^^ | 248,562,662 | — | 248,562,662 | — | |||
Total Foreign Bonds | 254,909,275 | — | 249,691,550 | 5,217,725 | |||
Foreign Common Stocks | 75,501 | 75,501 | — | — | |||
Foreign Preferred Stock | 52,544 | 52,544 | — | — | |||
Loan Agreements | 9,198,793 | — | 9,198,793 | — | |||
Money Market Funds | 68,740,427 | 68,740,427 | — | — | |||
Mortgage-Backed Securities | 48,412,512 | — | 48,412,512 | — | |||
Mutual Funds | 1,380,240 | 1,380,240 | — | — | |||
Preferred Stocks | 662,996 | 662,996 | — | — | |||
Purchased Option: | |||||||
Call Option | 753 | 753 | — | — | |||
U.S. Treasury Obligations | 88,879,769 | — | 88,879,769 | — | |||
Total Assets - Investments in Securities | $589,185,969 | $71,148,756 | $512,819,488 | $5,217,725 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 7,553,155 | $ — | $ 7,553,155 | $ — | |||
Futures Contracts | 285,941 | 285,941 | — | — | |||
Total Assets - Other Financial Instruments | $ 7,839,096 | $ 285,941 | $ 7,553,155 | $ — |
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 | $(12,088,604) | $ — | $(12,088,604) | $ — | |||
Futures Contracts | (1,847,727) | (1,847,727) | — | — | |||
Swap Agreements | (1,261,209) | — | (1,261,209) | — | |||
Total Liabilities - Other Financial Instruments | $(15,197,540) | $(1,847,727) | $(13,349,813) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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 — 1.4% | ||||
United States International Development Finance Corporation | ||||
1.44%, 04/15/28 | $ 500,000 | $436,616 | ||
1.65%, 04/15/28 | 500,000 | 440,400 | ||
Total Agency Obligations (Cost $896,169) | 877,016 | |||
ASSET-BACKED SECURITIES — 14.8% | ||||
Dext ABS LLC, Series 2020-1, Class B | ||||
1.92%, 11/15/27 144A | 485,000 | 476,516 | ||
Dext ABS LLC, Series 2021-1, Class D | ||||
2.81%, 03/15/29 144A | 450,000 | 386,466 | ||
Dext ABS LLC, Series 2023-1, Class C | ||||
7.13%, 09/15/32 144A | 535,000 | 525,971 | ||
Dext ABS LLC, Series 2023-1, Class D | ||||
8.82%, 03/15/33 144A | 370,000 | 364,146 | ||
GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class B | ||||
2.94%, 01/20/49 144A | 450,550 | 341,266 | ||
Hertz Vehicle Financing III LLC, Series 2023-1A, Class A | ||||
5.49%, 06/25/27 144A | 1,000,000 | 987,554 | ||
Loanpal Solar Loan, Ltd., Series 2021-2GS, Class A | ||||
2.22%, 03/20/48 144A | 420,060 | 305,542 | ||
Luminace ABS-2022 Issuer LLC, Series 2022-1, Class B | ||||
5.91%, 07/30/62 144A | 779,655 | 725,616 | ||
Mosaic Solar Loan Trust, Series 2023-2A, Class A | ||||
5.36%, 09/22/53 144A | 287,692 | 276,341 | ||
Sunnova Helios II Issuer LLC, Series 2019-AA, Class A | ||||
3.75%, 06/20/46 144A | 479,865 | 425,791 | ||
Sunnova Helios II Issuer LLC, Series 2021-B, Class A | ||||
1.62%, 07/20/48 144A | 295,393 | 241,304 | ||
Sunnova Helios V Issuer LLC, Series 2021-A, Class A | ||||
1.80%, 02/20/48 144A | 329,356 | 276,007 | ||
Sunnova Helios VII Issuer LLC, Series 2021-C, Class A | ||||
2.03%, 10/20/48 144A | 442,071 | 366,710 | ||
Sunnova Helios XI Issuer LLC, Series 2023-A, Class B | ||||
5.60%, 05/20/50 144A | 522,749 | 491,534 | ||
Sunnova Sol IV Issuer LLC, Series 2022-A, Class C | ||||
3.53%, 02/22/49 144A | 409,937 | 309,434 | ||
Sunrun Iris Issuer LLC, Series 2023-1A, Class A | ||||
5.75%, 01/30/59 144A | 200,000 | 191,949 |
Par | Value | |||
Tesla Auto Lease Trust, Series 2021-A, Class A3 | ||||
0.56%, 03/20/25 144A | $ 142,180 | $ 141,038 | ||
Tesla Auto Lease Trust, Series 2021-A, Class B | ||||
1.02%, 03/20/25 144A | 200,000 | 196,017 | ||
Tesla Auto Lease Trust, Series 2021-A, Class D | ||||
1.34%, 03/20/25 144A | 890,000 | 864,740 | ||
Tesla Auto Lease Trust, Series 2021-B, Class C | ||||
1.12%, 09/22/25 144A | 800,000 | 755,891 | ||
Tesla Auto Lease Trust, Series 2021-B, Class D | ||||
1.32%, 09/22/25 144A | 500,000 | 471,192 | ||
Total Asset-Backed Securities (Cost $9,265,880) | 9,121,025 | |||
CORPORATE BONDS — 21.2% | ||||
Agilent Technologies, Inc. | ||||
2.30%, 03/12/31 | 1,000,000 | 818,969 | ||
American Water Capital Corporation | ||||
4.45%, 06/01/32 | 850,000 | 823,704 | ||
Amgen, Inc. | ||||
5.25%, 03/02/33 | 835,000 | 836,464 | ||
4.20%, 02/22/52 | 500,000 | 414,254 | ||
Avangrid, Inc. | ||||
3.15%, 12/01/24 | 850,000 | 815,720 | ||
3.80%, 06/01/29 | 250,000 | 228,075 | ||
Baxalta, Inc. | ||||
4.00%, 06/23/25 | 500,000 | 485,320 | ||
Becton, Dickinson and Co. | ||||
4.69%, 02/13/28 | 1,100,000 | 1,085,685 | ||
4.67%, 06/06/47 | 500,000 | 459,924 | ||
BlueHub Loan Fund, Inc. | ||||
3.10%, 01/01/30 | 625,000 | 531,434 | ||
Bridge Housing Corporation | ||||
3.25%, 07/15/30 | 300,000 | 263,156 | ||
DH Europe Finance II S.a.r.l. | ||||
2.60%, 11/15/29 | 300,000 | 264,215 | ||
Essential Utilities, Inc. | ||||
5.30%, 05/01/52 | 500,000 | 472,109 | ||
Gilead Sciences, Inc. | ||||
3.65%, 03/01/26 | 392,000 | 377,245 | ||
5.65%, 12/01/41 | 238,000 | 250,530 | ||
Haleon U.S. Capital LLC | ||||
3.63%, 03/24/32 | 538,000 | 482,531 | ||
Low Income Investment Fund | ||||
3.39%, 07/01/26 | 600,000 | 563,961 | ||
Mary Free Bed Rehabilitation Hospital | ||||
3.79%, 04/01/51 | 300,000 | 221,819 | ||
National Community Renaissance of California | ||||
3.27%, 12/01/32 | 600,000 | 500,186 | ||
NextEra Energy Capital Holdings, Inc. | ||||
3.55%, 05/01/27 | 500,000 | 471,385 |
Par | Value | |||
2.44%, 01/15/32 | $ 580,000 | $ 470,770 | ||
Preservation Of Affordable Housing, Inc. | ||||
4.48%, 12/01/32 | 470,000 | 448,356 | ||
Providence College | ||||
3.19%, 11/01/50 | 600,000 | 401,445 | ||
Reinvestment Fund, Inc. (The) | ||||
3.93%, 02/15/28 | 500,000 | 460,710 | ||
UnitedHealth Group, Inc. | ||||
5.05%, 04/15/53 | 600,000 | 596,824 | ||
Verizon Communications, Inc. | ||||
3.88%, 02/08/29 | 300,000 | 281,523 | ||
Total Corporate Bonds (Cost $13,290,377) | 13,026,314 | |||
FOREIGN BONDS — 2.0% | ||||
United Kingdom — 2.0% | ||||
Reckitt Benckiser Treasury Services PLC | ||||
3.00%, 06/26/27 144A | 650,000 | 608,597 | ||
Vodafone Group PLC | ||||
4.38%, 02/19/43 | 700,000 | 588,339 | ||
Total Foreign Bonds (Cost $1,205,416) | 1,196,936 | |||
LOAN AGREEMENTS — 0.1% | ||||
Ciello Supermarket, Inc. STRIP, SBA Loan | ||||
0.23%, 09/15/31 IO ††† | 1,669,244 | 6,948 | ||
Georgia Act and Healthcare Services, Inc. STRIP, SBA Loan | ||||
1.28%, 03/15/46 IO ††† | 277,786 | 10,686 | ||
Ideal Therapy Rehabilitative Services II LLC STRIP, SBA Loan | ||||
0.48%, 01/15/46 IO ††† | 474,334 | 6,843 | ||
JILS Corporation STRIP, SBA Loan | ||||
1.23%, 08/15/31 IO ††† | 312,291 | 7,211 | ||
MBT Industries LLC STRIP, SBA Loan | ||||
0.53%, 08/15/31 IO ††† | 459,344 | 4,406 | ||
MCJT Phamaceutical Care, Inc. STRIP, SBA Loan | ||||
1.28%, 08/15/46 IO ††† | 354,219 | 13,626 | ||
N&K Market, Inc. STRIP, SBA Loan | ||||
0.73%, 02/15/31 IO ††† | 262,658 | 4,115 | ||
Southwest Technologies, Inc. STRIP, SBA Loan | ||||
1.23%, 06/15/31 IO ††† | 386,150 | 8,917 | ||
Total Loan Agreements (Cost $65,217) | 62,752 | |||
MORTGAGE-BACKED SECURITIES — 33.7% | ||||
BX Commercial Mortgage Trust, Series 2022-AHP, Class C | ||||
(Floating, CME Term SOFR 1M + 2.09%, 2.09% Floor), 7.24%, 01/17/39 144A † | 685,000 | 661,022 | ||
Federal Home Loan Mortgage Corporation | ||||
2.00%, 02/01/51 | 347,740 | 285,894 |
Par | Value | |||
2.00%, 03/01/51 | $ 737,589 | $ 605,492 | ||
3.00%, 02/01/52 | 665,421 | 587,150 | ||
3.50%, 03/01/52 | 1,449,672 | 1,323,148 | ||
4.00%, 06/01/52 | 513,528 | 482,461 | ||
4.50%, 07/01/52 | 601,305 | 578,580 | ||
Federal National Mortgage Association | ||||
3.15%, 11/01/27 | 247,658 | 232,983 | ||
1.59%, 03/01/31 | 500,000 | 401,241 | ||
1.61%, 03/01/31 | 476,533 | 392,418 | ||
1.62%, 03/01/31 | 500,000 | 389,693 | ||
2.03%, 04/01/31 | 250,000 | 208,198 | ||
2.59%, 03/01/32 | 538,246 | 463,368 | ||
1.65%, 03/01/33 | 500,000 | 396,287 | ||
2.01%, 03/01/33 | 100,000 | 81,505 | ||
2.00%, 03/01/51 | 1,920,153 | 1,576,129 | ||
3.00%, 02/01/52 | 2,053,471 | 1,811,218 | ||
3.50%, 03/01/52 | 1,452,087 | 1,325,544 | ||
3.50%, 04/01/52 | 728,178 | 664,530 | ||
4.00%, 06/01/52 | 1,407,343 | 1,322,261 | ||
4.50%, 07/01/52 | 682,665 | 656,849 | ||
5.00%, 09/01/52 | 487,056 | 478,032 | ||
5.50%, 10/01/52 | 540,161 | 539,788 | ||
6.00%, 11/01/52 | 243,195 | 245,876 | ||
6.50%, 11/01/52 | 198,638 | 203,173 | ||
6.50%, 12/01/52 | 243,527 | 249,075 | ||
FRESB Mortgage Trust, Series 2021-SB87, Class A5H | ||||
0.78%, 04/25/41 | 445,881 | 399,760 | ||
Small Business Administration | ||||
(Floating, Prime Rate U.S. + 1.07%), 9.07%, 06/25/30† | 48,027 | 51,658 | ||
(Floating, Prime Rate U.S. + 0.91%), 8.91%, 12/25/30† | 124,628 | 136,376 | ||
(Floating, Prime Rate U.S. + 2.33%), 10.33%, 01/25/31† | 97,703 | 106,342 | ||
(Floating, Prime Rate U.S. + 1.03%), 9.03%, 02/25/31† | 162,106 | 177,661 | ||
(Floating, Prime Rate U.S. + 0.33%), 8.33%, 07/25/31† | 278,129 | 297,804 | ||
(Floating, Prime Rate U.S. + 0.84%), 8.84%, 08/25/31† | 216,054 | 238,353 | ||
(Floating, Prime Rate U.S. + 0.64%), 8.64%, 07/25/32† | 123,507 | 133,268 | ||
(Floating, Prime Rate U.S. - 0.35%), 7.65%, 12/25/45† | 172,456 | 188,965 | ||
(Floating, Prime Rate U.S. + 0.54%), 8.54%, 12/25/45† | 193,190 | 211,234 | ||
(Floating, Prime Rate U.S. + 0.12%), 8.12%, 01/25/46† | 149,862 | 162,303 | ||
(Floating, Prime Rate U.S. + 0.33%), 8.33%, 04/25/46† | 208,720 | 224,184 | ||
(Floating, Prime Rate U.S. + 0.38%), 8.38%, 08/25/46† | 466,077 | 513,928 | ||
Uniform Mortgage Backed Securities | ||||
2.50%, 07/01/52 TBA | 2,000,000 | 1,696,250 | ||
Total Mortgage-Backed Securities (Cost $21,249,666) | 20,700,001 |
Par | Value | |||
MUNICIPAL BONDS — 15.3% | ||||
Arlington Higher Education Finance Corporation, Revenue Bond (PSF-Gtd.) | ||||
0.50%, 08/15/23 | $175,000 | $173,963 | ||
California Municipal Finance Authority, Revenue Bond | ||||
4.57%, 10/01/52 | 500,000 | 439,735 | ||
California State Health Facilities Financing Authority, Revenue Bond | ||||
1.98%, 06/01/30 | 600,000 | 497,515 | ||
Carroll County Water Authority, Revenue Bond, Series B | ||||
1.96%, 07/01/29 | 150,000 | 128,200 | ||
City & County of San Francisco, General Obligation, Series A | ||||
1.78%, 06/15/29 | 600,000 | 500,728 | ||
City of Deltona Utility System, Revenue Bond (BAM Insured) | ||||
1.54%, 10/01/29 | 250,000 | 203,446 | ||
City of Phoenix Civic Improvement Corporation, Junior Lien Revenue Bond, Series C | ||||
1.84%, 07/01/29 | 640,000 | 546,920 | ||
Connecticut Green Bank, Revenue Bond | ||||
2.15%, 11/15/29 | 207,000 | 176,223 | ||
Connecticut Housing Finance Authority, Revenue Bond, Series 29 | ||||
1.20%, 06/15/25 | 400,000 | 366,793 | ||
District of Columbia Housing Finance Agency, Revenue Bond, Series A-2 (FHA Insured) | ||||
1.90%, 03/01/29 | 140,000 | 117,854 | ||
2.05%, 03/01/30 | 420,000 | 348,311 | ||
Lancaster Power Authority, Revenue Bond (AGM Insured) | ||||
2.56%, 11/01/33 | 275,000 | 220,957 | ||
2.68%, 11/01/34 | 275,000 | 219,255 | ||
Metropolitan Water District of Salt Lake & Sandy, Revenue Bond, Series B | ||||
1.52%, 07/01/28 | 200,000 | 172,506 | ||
Monterey Regional Waste Management Authority, Revenue Bond | ||||
2.31%, 04/01/32 | 700,000 | 581,346 | ||
Narragansett Bay Commission, Revenue Bond | ||||
2.09%, 09/01/30 | 500,000 | 421,653 | ||
New York City Housing Development Corporation, Revenue Bond, Series B | ||||
0.82%, 05/01/25 | 150,000 | 137,172 | ||
0.92%, 11/01/25 | 200,000 | 179,953 | ||
1.02%, 05/01/26 | 250,000 | 220,567 | ||
New York State Housing Finance Agency, Revenue Bond (SonyMA Insured) | ||||
1.13%, 11/01/25 | 165,000 | 149,544 |
Par | Value | |||
Newark Higher Education Finance Corporation, Revenue Bond, Series A | ||||
4.62%, 04/01/50 | $ 600,000 | $ 498,072 | ||
North Carolina Capital Facilities Finance Agency, Revenue Bond, Series B | ||||
1.05%, 10/01/23 | 150,000 | 148,078 | ||
1.43%, 10/01/24 | 100,000 | 94,485 | ||
Philadelphia Authority for Industrial Development, Revenue Bond, Holy Family University Project | ||||
4.30%, 09/01/24 | 200,000 | 195,967 | ||
Redevelopment Authority of the City of Philadelphia, Revenue Bond, Series A | ||||
1.93%, 09/01/27 | 500,000 | 440,091 | ||
Rowland Water District, Revenue Bond, Series A | ||||
2.56%, 12/01/36 | 590,000 | 452,959 | ||
San Antonio Education Facilities Corporation, Revenue Bond | ||||
1.74%, 04/01/25 | 250,000 | 230,811 | ||
San Diego Public Facilities Financing Authority, Revenue Bond, Series B | ||||
2.13%, 08/01/29 | 290,000 | 252,762 | ||
Santa Clara Valley Water District COPS | ||||
1.78%, 06/01/31 | 440,000 | 356,576 | ||
Somerset County Improvement Authority, Revenue Bond (County Gtd.) | ||||
0.97%, 04/15/25 | 530,000 | 490,260 | ||
Tift County Hospital Authority, Revenue Bond (County Gtd.) | ||||
1.05%, 12/01/25 | 325,000 | 294,551 | ||
United Independent School District, General Obligation (PSF-Gtd.) | ||||
5.00%, 08/15/25 | 160,000 | 159,436 | ||
Total Municipal Bonds (Cost $9,625,098) | 9,416,689 | |||
PRIVATE INVESTMENT — 1.6% | ||||
Calvert Impact Capital, Inc. 2.50%, 01/30/26 | 1,000,000 | 1,000,000 | ||
FBC ROGERS 6.00% 5/15/50 0.00%, 05/16/50++ ††† | — | — | ||
Total Private Investment (Cost $1,000,000) | 1,000,000 | |||
U.S. TREASURY OBLIGATIONS — 7.6% | ||||
U.S. Treasury Bonds | ||||
4.00%, 11/15/42 | 1,500,000 | 1,491,094 | ||
4.00%, 11/15/52 | 1,700,000 | 1,746,750 | ||
3,237,844 | ||||
U.S. Treasury Note | ||||
4.13%, 11/15/32 | 1,400,000 | 1,430,844 | ||
Total U.S. Treasury Obligations (Cost $4,823,209) | 4,668,688 |
Shares | Value | |||
MONEY MARKET FUNDS — 4.4% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ | 1,747,931 | $ 1,747,931 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95% | 934,474 | 934,474 | ||
Total Money Market Funds (Cost $2,682,405) | 2,682,405 | |||
TOTAL INVESTMENTS —102.1% (Cost $64,103,437) | 62,751,826 | |||
Liabilities in Excess of Other Assets — (2.1)% | (1,307,390) | |||
NET ASSETS — 100.0% | $61,444,436 |
% | |
Mortgage-Backed Securities | 33.7 |
Corporate Bonds | 21.2 |
Municipal Bonds | 15.3 |
Asset-Backed Securities | 14.8 |
U.S. Treasury Obligations | 7.6 |
Money Market Funds | 4.4 |
Foreign Bonds | 2.0 |
Private Investment | 1.6 |
Agency Obligations | 1.4 |
Loan Agreements | 0.1 |
102.1 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Agency Obligations | $ 877,016 | $ — | $ 877,016 | $ — | |||
Asset-Backed Securities | 9,121,025 | — | 9,121,025 | — | |||
Corporate Bonds | 13,026,314 | — | 13,026,314 | — | |||
Foreign Bonds | 1,196,936 | — | 1,196,936 | — | |||
Loan Agreements | 62,752 | — | — | 62,752 | |||
Money Market Funds | 2,682,405 | 2,682,405 | — | — | |||
Mortgage-Backed Securities | 20,700,001 | — | 20,700,001 | — | |||
Municipal Bonds | 9,416,689 | — | 9,416,689 | — | |||
Private Investment | 1,000,000 | — | 1,000,000 | —** | |||
U.S. Treasury Obligations | 4,668,688 | — | 4,668,688 | — | |||
Total Assets - Investments in Securities | $62,751,826 | $2,682,405 | $60,006,669 | $62,752 |
** | Level 3 security has zero value. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2023 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Assets | |||
Investments in securities of unaffiliated issuers, at value | $ 684,839,467 | $1,159,300,301 | |
Investments in repurchase agreements, at value | 925,000,000 | 4,200,000 | |
Investments in securities of affiliated issuers, at value | — | 21,098,465 | |
Total investments, at value(1), (2) | 1,609,839,467 | 1,184,598,766 | |
Cash | 10,086,023 | — | |
Cash collateral for derivatives | — | 1,433,197 | |
Deposits with broker for futures contracts | — | 2,153,499 | |
Foreign currency(3) | — | 451,089 | |
Upfront premiums paid from swap agreements | — | — | |
Receivables: | |||
Dividends | — | 115,830 | |
Reclaims | — | 1,039 | |
Interest | 3,117,691 | 7,905,822 | |
Securities lending | — | 10,822 | |
Investment securities sold | — | 40,389,356 | |
Fund shares sold | 14,380,166 | 197,854 | |
Variation margin on futures contracts | — | — | |
Unrealized appreciation on foreign currency exchange contracts | — | 49,804 | |
Unrealized appreciation on swap agreements | — | 23,612 | |
Prepaid expenses and other assets | 83,042 | 40,204 | |
Total Assets | 1,637,506,389 | 1,237,370,894 | |
Liabilities | |||
Cash Overdraft | — | — | |
TBA sale commitments, at value(4) | — | — | |
Options written, at value(5) | — | — | |
Upfront premiums received from swap agreements | — | 409,851 | |
Unrealized depreciation on foreign currency exchange contracts | — | 528,401 | |
Collateral held for securities on loan, at value | — | 9,655,607 | |
Collateral from counterparty | — | 298,040 | |
Payables: | |||
Investment securities purchased | 9,164,913 | 88,691,968 | |
Fund shares redeemed | 23,737,127 | 838,727 | |
Variation margin on centrally cleared swaps | — | — | |
Variation margin on futures contracts | — | 163,897 | |
Distributions | 2,431,235 | — | |
Accrued expenses: | |||
Investment advisory fees | 143,355 | 261,348 | |
Shareholder servicing fees | 110,737 | 44,702 | |
Trustee fees | 6,466 | 2,708 | |
Other expenses | 84,635 | 102,303 | |
Total Liabilities | 35,678,468 | 100,997,552 | |
Commitments and contingencies | — | — | |
Net Assets | $1,601,827,921 | $1,136,373,342 | |
Net Assets Consist of: | |||
Paid-in-capital | $1,601,811,911 | $1,207,049,570 | |
Distributable earnings (loss) | 16,010 | (70,676,228) | |
Net Assets | $1,601,827,921 | $1,136,373,342 | |
Net Asset Value: | |||
$0.001 par value, unlimited shares authorized | |||
Net assets applicable to the Institutional Class | $1,064,485,566 | $ 918,642,920 | |
Institutional shares outstanding | 1,064,440,804 | 72,742,498 | |
Net asset value, offering and redemption price per Institutional share | $ 1.00 | $ 12.63 | |
Net assets applicable to the Investor Class | $ 537,342,355 | $ 217,730,422 | |
Investor shares outstanding | 537,281,307 | 17,234,608 | |
Net asset value, offering and redemption price per Investor share | $ 1.00 | $ 12.63 | |
(1)Investments in securities of unaffiliated issuers, at cost | $ 684,839,467 | $1,189,373,611 | |
Investments in repurchase agreements, at cost | 925,000,000 | 4,200,000 | |
Investments in securities of affiliated issuers, at cost | — | 21,098,465 | |
Total investments, at cost | $1,609,839,467 | $1,214,672,076 | |
(2)Includes securities loaned of: | $ — | $ 106,334,582 | |
(3)Foreign currency, at cost | $ — | $ 452,713 | |
(4)TBA sale commitments, at cost | $ — | $ — | |
(5)Premiums received on options written | $ — | $ — | |
(6)The closing of the commitment was held on May 31, 2023. The uncalled capital commitment at June 30, 2023 was $1,200,000. |
Medium-Duration Bond Fund | Global Bond Fund | Impact Bond Fund | ||
$2,210,287,780 | $548,925,478 | $61,003,895 | ||
238,100,000 | — | — | ||
54,511,843 | 40,260,491 | 1,747,931 | ||
2,502,899,623 | 589,185,969 | 62,751,826 | ||
— | — | — | ||
23,085,902 | 1,394,504 | — | ||
2,971,769 | 1,866,037 | — | ||
3,198,391 | 5,112,414 | — | ||
7,069,796 | 1,315,901 | — | ||
238,877 | 158,053 | 10,924 | ||
247,967 | 52,209 | — | ||
13,315,912 | 5,089,068 | 347,340 | ||
25,512 | 10,393 | 141 | ||
262,438,686 | 1,415,961 | 3,006,203 | ||
649,046 | 343,720 | 100 | ||
32,187 | 60,867 | — | ||
3,978,634 | 7,553,155 | — | ||
— | — | — | ||
66,476 | 31,218 | 66,907 | ||
2,820,218,778 | 613,589,469 | 66,183,441 | ||
1,710,870 | — | — | ||
39,649,027 | — | — | ||
2,041,377 | — | — | ||
5,850,806 | 227,564 | — | ||
2,728,137 | 12,088,604 | — | ||
28,258,812 | 23,771,502 | — | ||
13,153,504 | 2,992,943 | — | ||
616,479,636 | 5,853,000 | 4,711,991 | ||
3,445,719 | 309,233 | 31 | ||
2,501 | 9,751 | — | ||
— | — | — | ||
14,039 | — | — | ||
569,188 | 217,702 | 2,467 | ||
76,198 | 21,714 | 2,014 | ||
3,290 | 1,522 | 82 | ||
193,116 | 77,273 | 22,420 | ||
714,176,220 | 45,570,808 | 4,739,005 | ||
— | — | — (6) | ||
$2,106,042,558 | $568,018,661 | $61,444,436 | ||
$2,471,641,514 | $664,635,585 | $62,696,202 | ||
(365,598,956) | (96,616,924) | (1,251,766) | ||
$2,106,042,558 | $568,018,661 | $61,444,436 | ||
$1,735,554,298 | $461,814,353 | $51,677,796 | ||
137,218,533 | 54,894,397 | 5,277,856 | ||
$ 12.65 | $ 8.41 | $ 9.79 | ||
$ 370,488,260 | $106,204,308 | $ 9,766,640 | ||
29,287,725 | 12,687,340 | 997,557 | ||
$ 12.65 | $ 8.37 | $ 9.79 | ||
$2,396,739,892 | $613,491,583 | $62,355,506 | ||
238,100,000 | — | — | ||
54,511,843 | 40,260,491 | 1,747,931 | ||
$2,689,351,735 | $653,752,074 | $64,103,437 | ||
$ 89,660,524 | $ 40,473,772 | $ — | ||
$ 3,273,137 | $ 5,126,437 | $ — | ||
$ 39,831,457 | $ — | $ — | ||
$ 1,223,577 | $ — | $ — | ||
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
Money Market Fund | Low-Duration Bond Fund | ||
Investment Income | |||
Dividends | $ — | $ 22,370 | |
Income distributions received from affiliated funds | — | 732,860 | |
Interest | 36,672,632 | 21,351,450 | |
Securities lending, net | — | 93,965 | |
Less foreign taxes withheld | — | (16,148) | |
Total Investment Income | 36,672,632 | 22,184,497 | |
Expenses | |||
Investment advisory fees | 853,316 | 1,549,464 | |
Transfer agent fees: | |||
Institutional shares | 2,343 | 2,647 | |
Investor shares | 22,136 | 9,806 | |
Custodian fees | 8,358 | 66,079 | |
Shareholder servicing fees: | |||
Investor shares | 652,179 | 266,405 | |
Accounting and administration fees | 110,288 | 78,037 | |
Professional fees | 51,313 | 70,518 | |
Blue sky fees: | |||
Institutional shares | 27,660 | 9,228 | |
Investor shares | 13,935 | 10,598 | |
Trustees expenses | 7,880 | 3,072 | |
Line of credit facility fees | 3,215 | 2,100 | |
Other expenses | 48,396 | 27,035 | |
Total Expenses | 1,801,019 | 2,094,989 | |
Expenses waived/reimbursed(2) | — | — | |
Net Expenses | 1,801,019 | 2,094,989 | |
Net Investment Income | 34,871,613 | 20,089,508 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) from: | |||
Investment securities | 11,397 | (9,543,201) | |
TBA sale commitments | — | — | |
Futures transactions | — | (990,054) | |
Swap agreements | — | (2,564,762) | |
Option contracts written | — | — | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | (928,687) | |
Foreign currency | — | (470,726) | |
Net realized gain (loss) | 11,397 | (14,497,430) | |
Net change in unrealized appreciation (depreciation) on: | |||
Investment securities | — | 8,648,850 | |
TBA sale commitments | — | (7,930) | |
Futures | — | (3,645,289) | |
Swap agreements | — | 2,014,325 | |
Option contracts written | — | — | |
Option contracts purchased | — | — | |
Forward foreign currency contracts | — | 729,225 | |
Foreign currency | — | 19,999 | |
Net change in unrealized appreciation (depreciation) | — | 7,759,180 | |
Net Realized and Unrealized Gain (Loss) | 11,397 | (6,738,250) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $34,883,010 | $ 13,351,258 |
(2) | See Note 3c in Notes to Financial Statements. |
Medium-Duration Bond Fund | Global Bond Fund | Impact Bond Fund(1) | ||
$ 115,900 | $ 66,066 | $ 766 | ||
1,420,410 | 783,494 | 92,687 | ||
41,139,065 | 10,929,718 | 1,138,074 | ||
159,528 | 74,377 | 215 | ||
148,071 | (58,605) | — | ||
42,982,974 | 11,795,050 | 1,231,742 | ||
3,355,609 | 1,282,605 | 97,611 | ||
2,695 | 2,441 | 685 | ||
23,240 | 13,339 | 2,986 | ||
211,637 | 94,089 | 5,625 | ||
446,062 | 126,434 | 10,361 | ||
150,171 | 37,089 | 8,057 | ||
62,939 | 70,370 | 59,894 | ||
— | 8,227 | 10,347 | ||
— | 8,599 | 10,361 | ||
3,715 | 1,753 | 82 | ||
4,039 | 1,073 | 121 | ||
73,689 | 37,907 | 14,196 | ||
4,333,796 | 1,683,926 | 220,326 | ||
— | — | (78,931) | ||
4,333,796 | 1,683,926 | 141,395 | ||
38,649,178 | 10,111,124 | 1,090,347 | ||
(26,694,710) | (10,867,088) | (91,991) | ||
(519,651) | — | — | ||
908,664 | (1,734,397) | — | ||
2,552,963 | (396,437) | — | ||
1,831,322 | — | — | ||
(2,856,277) | (48,271) | — | ||
494,294 | (4,517,533) | — | ||
(27,435) | 211,960 | — | ||
(24,310,830) | (17,351,766) | (91,991) | ||
41,767,815 | 18,778,600 | (1,351,611) | ||
(532,805) | — | — | ||
(4,079,116) | (323,523) | — | ||
(2,961,685) | (542,675) | — | ||
(702,904) | — | — | ||
269,089 | 32,225 | — | ||
1,865,821 | (2,244,751) | — | ||
(108,118) | (97,424) | — | ||
35,518,097 | 15,602,452 | (1,351,611) | ||
11,207,267 | (1,749,314) | (1,443,602) | ||
$ 49,856,445 | $ 8,361,810 | $ (353,255) |
(1) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. |
STATEMENTS OF CHANGES IN NET ASSETS |
Money Market Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/23 | 12/31/22 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 34,871,613 | $ 23,559,141 | |
Net realized gain on investment securities, foreign currency and derivatives | 11,397 | 29,636 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | — | — | |
Net increase in net assets resulting from operations | 34,883,010 | 23,588,777 | |
Distributions to Shareholders: | |||
Distributions paid | |||
Institutional shares | (23,581,352) | (17,026,225) | |
Investor shares | (11,290,261) | (6,565,132) | |
Return of capital | |||
Institutional shares | — | — | |
Investor shares | — | — | |
Total distributions | (34,871,613) | (23,591,357) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 2,965,017,062 | 6,874,995,603 | |
Investor shares | 92,812,441 | 464,431,470 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 8,305,493 | 4,659,638 | |
Investor shares | 11,379,976 | 6,450,251 | |
Total proceeds from shares sold and reinvested | 3,077,514,972 | 7,350,536,962 | |
Value of shares redeemed | |||
Institutional shares | (2,958,448,306) | (6,984,269,683) | |
Investor shares | (84,592,676) | (402,783,948) | |
Total value of shares redeemed | (3,043,040,982) | (7,387,053,631) | |
Net increase (decrease) from capital share transactions(1) | 34,473,990 | (36,516,669) | |
Total increase (decrease) in net assets | 34,485,387 | (36,519,249) | |
Net Assets: | |||
Beginning of Period | 1,567,342,534 | 1,603,861,783 | |
End of Period | $ 1,601,827,921 | $ 1,567,342,534 |
(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 | |||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | |||
(Unaudited) | (Unaudited) | |||||
$ 20,089,508 | $ 17,715,749 | $ 38,649,178 | $ 53,833,894 | |||
(14,497,430) | (25,896,741) | (24,310,830) | (151,055,541) | |||
7,759,180 | (37,690,801) | 35,518,097 | (249,811,226) | |||
13,351,258 | (45,871,793) | 49,856,445 | (347,032,873) | |||
(10,370,517) | (15,626,094) | (28,934,143) | (37,521,331) | |||
(2,218,644) | (3,878,106) | (5,707,381) | (6,572,146) | |||
— | — | — | — | |||
— | — | — | — | |||
(12,589,161) | (19,504,200) | (34,641,524) | (44,093,477) | |||
197,646,165 | 231,724,581 | 169,949,029 | 360,156,796 | |||
41,315,703 | 98,385,818 | 63,341,166 | 104,393,941 | |||
10,365,451 | 15,177,576 | 28,657,564 | 37,198,933 | |||
2,210,692 | 3,842,898 | 5,525,710 | 6,308,115 | |||
251,538,011 | 349,130,873 | 267,473,469 | 508,057,785 | |||
(68,596,987) | (252,952,555) | (148,146,659) | (351,920,454) | |||
(32,786,223) | (118,245,155) | (38,762,940) | (163,714,524) | |||
(101,383,210) | (371,197,710) | (186,909,599) | (515,634,978) | |||
150,154,801 | (22,066,837) | 80,563,870 | (7,577,193) | |||
150,916,898 | (87,442,830) | 95,778,791 | (398,703,543) | |||
985,456,444 | 1,072,899,274 | 2,010,263,767 | 2,408,967,310 | |||
$1,136,373,342 | $ 985,456,444 | $2,106,042,558 | $2,010,263,767 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Bond Fund | Impact Bond Fund | ||||
For the Six Months Ended | For the Year Ended | For the Period Ended | |||
06/30/23 | 12/31/22 | 06/30/23 (2) | |||
(Unaudited) | (Unaudited) | ||||
Operations: | |||||
Net investment income | $ 10,111,124 | $ 16,403,985 | $ 1,090,347 | ||
Net realized loss on investment securities, foreign currency and derivatives | (17,351,766) | (16,576,368) | (91,991) | ||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 15,602,452 | (83,356,007) | (1,351,611) | ||
Net increase (decrease) in net assets resulting from operations | 8,361,810 | (83,528,390) | (353,255) | ||
Distributions to Shareholders: | |||||
Distributions paid | |||||
Institutional shares | (3,557,250) | (5,395,149) | (762,909) | ||
Investor shares | (685,097) | (1,012,319) | (135,602) | ||
Return of capital | |||||
Institutional shares | — | (525,427) | — | ||
Investor shares | — | (119,981) | — | ||
Total distributions | (4,242,347) | (7,052,876) | (898,511) | ||
Capital Share Transactions: | |||||
Proceeds from shares sold | |||||
Institutional shares | 42,042,927 | 67,742,082 | 54,908,880 | ||
Investor shares | 15,550,878 | 20,775,064 | 10,397,942 | ||
Reinvestment of dividends and distributions | |||||
Institutional shares | 3,553,990 | 5,915,236 | 762,909 | ||
Investor shares | 673,272 | 1,116,198 | 135,602 | ||
Total proceeds from shares sold and reinvested | 61,821,067 | 95,548,580 | 66,205,333 | ||
Value of shares redeemed | |||||
Institutional shares | (21,070,799) | (68,473,196) | (2,943,190) | ||
Investor shares | (8,878,434) | (27,460,526) | (565,941) | ||
Total value of shares redeemed | (29,949,233) | (95,933,722) | (3,509,131) | ||
Net increase (decrease) from capital share transactions(1) | 31,871,834 | (385,142) | 62,696,202 | ||
Total increase (decrease) in net assets | 35,991,297 | (90,966,408) | 61,444,436 | ||
Net Assets: | |||||
Beginning of Period | 532,027,364 | 622,993,772 | — | ||
End of Period | $568,018,661 | $532,027,364 | $61,444,436 |
(1) | See Note 6 in Notes to Financial Statements. | |
(2) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. |
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 | ||||||||||||||||||||||
2023(1) | $ 1.00 | $0.02 | $ —† | $ 0.02 | $(0.02) | $ — | $(0.02) | $ 1.00 | 2.30% | $1,064,486 | 0.14% | 0.14% | 4.58% | N/A | ||||||||
2022 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 1.50 | 1,049,604 | 0.13 | 0.14 | 1.49 | N/A | ||||||||
2021 | 1.00 | — | —† | —† | — | — | — | 1.00 | — | 1,154,219 | 0.07 | 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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $ 1.00 | $0.02 | $ —† | $ 0.02 | $(0.02) | $ — | $(0.02) | $ 1.00 | 2.16% | $ 537,342 | 0.41% | 0.41% | 4.33% | N/A | ||||||||
2022 | 1.00 | 0.01 | —† | 0.01 | (0.01) | —† | (0.01) | 1.00 | 1.29 | 517,739 | 0.34 | 0.41 | 1.31 | N/A | ||||||||
2021 | 1.00 | — | —† | —† | — | — | — | 1.00 | — | 449,643 | 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 | ||||||||
Low-Duration Bond Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $12.61 | $0.23 | $(0.07) | $ 0.16 | $(0.14) | $ — | $(0.14) | $12.63 | 1.31% | $ 918,643 | 0.33% | 0.33% | 3.71% | 88% | ||||||||
2022 | 13.42 | 0.23 | (0.78) | (0.55) | (0.26) | — | (0.26) | 12.61 | (4.13) | 778,792 | 0.34 | 0.34 | 1.79 | 233 | ||||||||
2021 | 13.62 | 0.12 | (0.17) | (0.05) | (0.14) | (0.01) | (0.15) | 13.42 | (0.40) | 835,297 | 0.34 | 0.34 | 0.85 | 304 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $12.61 | $0.22 | $(0.07) | $ 0.15 | $(0.13) | $ — | $(0.13) | $12.63 | 1.18% | $ 217,730 | 0.60% | 0.60% | 3.44% | 88% | ||||||||
2022 | 13.43 | 0.19 | (0.78) | (0.59) | (0.23) | — | (0.23) | 12.61 | (4.43) | 206,664 | 0.61 | 0.61 | 1.48 | 233 | ||||||||
2021 | 13.62 | 0.08 | (0.17) | (0.09) | (0.09) | (0.01) | (0.10) | 13.43 | (0.65) | 237,602 | 0.61 | 0.61 | 0.58 | 304 | ||||||||
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 | ||||||||
Medium-Duration Bond Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $12.55 | $0.24 | $ 0.08 | $ 0.32 | $(0.22) | $ — | $(0.22) | $12.65 | 2.53% | $1,735,555 | 0.38% | 0.38% | 3.85% | 189% | ||||||||
2022 | 15.04 | 0.35 | (2.55) | (2.20) | (0.29) | — | (0.29) | 12.55 | (14.68) | 1,672,089 | 0.38 | 0.38 | 2.63 | 366 | ||||||||
2021 | 15.65 | 0.24 | (0.56) | (0.32) | (0.27) | (0.02) | (0.29) | 15.04 | (2.01) | 1,950,666 | 0.36 | 0.36 | 1.60 | 347 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $12.56 | $0.23 | $ 0.06 | $ 0.29 | $(0.20) | $ — | $(0.20) | $12.65 | 2.32% | $ 370,488 | 0.65% | 0.65% | 3.58% | 189% | ||||||||
2022 | 15.05 | 0.31 | (2.55) | (2.24) | (0.25) | — | (0.25) | 12.56 | (14.89) | 338,175 | 0.65 | 0.65 | 2.35 | 366 | ||||||||
2021 | 15.66 | 0.20 | (0.56) | (0.36) | (0.23) | (0.02) | (0.25) | 15.05 | (2.27) | 458,302 | 0.62 | 0.62 | 1.33 | 347 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2023, 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# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Return of capital | 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 | |||||||||||||||||||||||
2023(1) | $ 8.35 | $0.16 | $(0.03) | $ 0.13 | $(0.07) | $ — | $ — | $(0.07) | $ 8.41 | 1.52% | $461,815 | 0.56% | 0.56% | 3.77% | 27% | ||||||||
2022 | 9.77 | 0.26 | (1.56) | (1.30) | (0.10) | (0.01) | (0.01) | (0.12) | 8.35 | (13.37) | 433,956 | 0.57 | 0.57 | 3.04 | 59 | ||||||||
2021 | 10.38 | 0.27 | (0.51) | (0.24) | (0.21) | (0.16) | — | (0.37) | 9.77 | (2.31) | 502,292 | 0.56 | 0.56 | 2.69 | 57 | ||||||||
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 | ||||||||
Investor Class | |||||||||||||||||||||||
2023(1) | $ 8.31 | $0.15 | $(0.03) | $ 0.12 | $(0.06) | $ — | $ — | $(0.06) | $ 8.37 | 1.39% | $106,204 | 0.86% | 0.86% | 3.48% | 27% | ||||||||
2022 | 9.73 | 0.24 | (1.56) | (1.32) | (0.08) | (0.01) | (0.01) | (0.10) | 8.31 | (13.62) | 98,071 | 0.86 | 0.86 | 2.74 | 59 | ||||||||
2021 | 10.34 | 0.24 | (0.50) | (0.26) | (0.19) | (0.16) | — | (0.35) | 9.73 | (2.53) | 120,702 | 0.85 | 0.85 | 2.40 | 57 | ||||||||
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 | ||||||||
Impact Bond Fund | |||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||
2023(2) | $10.00 | $0.18 | $(0.24) | $(0.06) | $(0.15) | $ — | $ — | $(0.15) | $ 9.79 | (0.65)% | $ 51,678 | 0.50% | 0.76% | 4.26% | 29% | ||||||||
Investor Class | |||||||||||||||||||||||
2023(2) | $10.00 | $0.17 | $(0.24) | $(0.07) | $(0.14) | $ — | $ — | $(0.14) | $ 9.79 | (0.75)% | $ 9,766 | 0.79% | 1.35% | 3.96% | 29% | ||||||||
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
Shares | Value | |||
COMMON STOCKS — 13.2% | ||||
Communication Services — 0.7% | ||||
Activision Blizzard, Inc.* | 4,099 | $ 345,546 | ||
Alphabet, Inc. Class A* | 3,408 | 407,938 | ||
Alphabet, Inc. Class C* | 2,986 | 361,216 | ||
AT&T, Inc. | 6,550 | 104,473 | ||
Charter Communications, Inc. Class A* | 367 | 134,825 | ||
Comcast Corporation Class A | 7,975 | 331,361 | ||
Electronic Arts, Inc. | 1,596 | 207,001 | ||
Fox Corporation Class A | 923 | 31,382 | ||
Fox Corporation Class B | 1,973 | 62,919 | ||
Liberty Broadband Corporation* | 659 | 52,792 | ||
Meta Platforms, Inc. Class A* | 1,573 | 451,420 | ||
Netflix, Inc.* | 254 | 111,884 | ||
Omnicom Group, Inc. | 11,632 | 1,106,785 | ||
Sirius XM Holdings, Inc.Δ | 11,365 | 51,483 | ||
Snap, Inc. Class A* | 3,721 | 44,057 | ||
Take-Two Interactive Software, Inc.* | 561 | 82,557 | ||
T-Mobile US, Inc.* | 2,905 | 403,504 | ||
Verizon Communications, Inc. | 130,046 | 4,836,411 | ||
Walt Disney Co. (The)* | 4,736 | 422,830 | ||
9,550,384 | ||||
Consumer Discretionary — 0.3% | ||||
Amazon.com, Inc.* | 7,019 | 914,997 | ||
Booking Holdings, Inc.* | 20 | 54,007 | ||
Domino’s Pizza, Inc. | 154 | 51,896 | ||
Genuine Parts Co. | 860 | 145,538 | ||
Home Depot, Inc. (The) | 1,575 | 489,258 | ||
Lear Corporation | 410 | 58,855 | ||
Lowe’s Cos., Inc. | 374 | 84,412 | ||
McDonald’s Corporation | 4,274 | 1,275,404 | ||
NIKE, Inc. Class B | 798 | 88,075 | ||
O’Reilly Automotive, Inc.* | 279 | 266,529 | ||
Pool Corporation | 125 | 46,830 | ||
Service Corporation International | 636 | 41,079 | ||
Starbucks Corporation | 622 | 61,615 | ||
Tesla, Inc.* | 2,415 | 632,175 | ||
TJX Cos., Inc. (The) | 911 | 77,244 | ||
Tractor Supply Co.Δ | 270 | 59,697 | ||
Yum! Brands, Inc. | 1,244 | 172,356 | ||
4,519,967 | ||||
Consumer Staples — 2.3% | ||||
Church & Dwight Co., Inc. | 720 | 72,166 | ||
Clorox Co. (The) | 702 | 111,646 | ||
Coca-Cola Co. (The) | 3,432 | 206,675 | ||
Colgate-Palmolive Co. | 58,474 | 4,504,837 | ||
Costco Wholesale Corporation | 318 | 171,205 | ||
Dollar General Corporation | 1,234 | 209,508 | ||
Dollar Tree, Inc.* | 592 | 84,952 | ||
General Mills, Inc. | 3,601 | 276,197 | ||
Hershey Co. (The) | 9,102 | 2,272,769 | ||
Hormel Foods Corporation | 1,816 | 73,040 | ||
J.M. Smucker Co. (The) | 523 | 77,231 | ||
Kellogg Co. | 1,622 | 109,323 | ||
Kenvue, Inc.Δ* | 75,061 | 1,983,112 | ||
Kimberly-Clark Corporation | 27,550 | 3,803,553 |
Shares | Value | |||
Kroger Co. (The) | 1,071 | $ 50,337 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 621 | 54,170 | ||
Mondelez International, Inc. Class A | 60,126 | 4,385,590 | ||
PepsiCo, Inc. | 25,007 | 4,631,797 | ||
Procter & Gamble Co. (The) | 26,753 | 4,059,500 | ||
Tyson Foods, Inc. Class A | 1,026 | 52,367 | ||
Walmart, Inc. | 25,252 | 3,969,109 | ||
31,159,084 | ||||
Energy — 1.0% | ||||
Baker Hughes Co. | 43,831 | 1,385,498 | ||
Chevron Corporation | 28,506 | 4,485,419 | ||
ConocoPhillips | 1,534 | 158,938 | ||
Coterra Energy, Inc. | 4,220 | 106,766 | ||
EOG Resources, Inc. | 1,317 | 150,717 | ||
EQT Corporation | 881 | 36,236 | ||
Exxon Mobil Corporation | 64,680 | 6,936,930 | ||
Pioneer Natural Resources Co. | 827 | 171,338 | ||
13,431,842 | ||||
Financials — 2.3% | ||||
Aflac, Inc.Δ | 14,626 | 1,020,895 | ||
Allstate Corporation (The) | 20,505 | 2,235,865 | ||
American Express Co. | 301 | 52,434 | ||
Arch Capital Group, Ltd.* | 1,019 | 76,272 | ||
Arthur J. Gallagher & Co. | 1,249 | 274,243 | ||
Bank of America Corporation | 5,176 | 148,499 | ||
Bank of New York Mellon Corporation (The) | 22,605 | 1,006,375 | ||
Berkshire Hathaway, Inc. Class B* | 9,025 | 3,077,525 | ||
BlackRock, Inc. | 2,919 | 2,017,438 | ||
Capitol Federal Financial, Inc.Δ | 218,814 | 1,350,082 | ||
Cboe Global Markets, Inc. | 900 | 124,209 | ||
Charles Schwab Corporation (The) | 28,976 | 1,642,360 | ||
CME Group, Inc. | 2,442 | 452,478 | ||
Commerce Bancshares, Inc. | 17,729 | 863,402 | ||
Everest Re Group, Ltd. | 173 | 59,142 | ||
First Citizens BancShares, Inc. Class A | 51 | 65,456 | ||
First Horizon Corporation | 6,944 | 78,259 | ||
Fiserv, Inc.* | 2,616 | 330,008 | ||
Intercontinental Exchange, Inc. | 2,714 | 306,899 | ||
JPMorgan Chase & Co. | 21,858 | 3,179,028 | ||
M&T Bank Corporation | 961 | 118,933 | ||
MarketAxess Holdings, Inc. | 136 | 35,553 | ||
Marsh & McLennan Cos., Inc. | 19,366 | 3,642,357 | ||
Mastercard, Inc. Class A | 661 | 259,971 | ||
Morgan Stanley | 798 | 68,149 | ||
Nasdaq, Inc. | 694 | 34,596 | ||
Northern Trust Corporation | 12,589 | 933,349 | ||
PayPal Holdings, Inc.* | 604 | 40,305 | ||
PNC Financial Services Group, Inc. (The) | 7,835 | 986,818 | ||
Progressive Corporation (The) | 3,002 | 397,375 | ||
Reinsurance Group of America, Inc. | 6,906 | 957,793 | ||
S&P Global, Inc. | 185 | 74,165 | ||
T. Rowe Price Group, Inc.Δ | 20,268 | 2,270,421 | ||
Travelers Cos., Inc. (The) | 1,927 | 334,643 |
Shares | Value | |||
Truist Financial Corporation | 18,062 | $ 548,182 | ||
U.S. Bancorp | 19,695 | 650,723 | ||
Visa, Inc. Class AΔ | 4,913 | 1,166,739 | ||
W.R. Berkley Corporation | 1,276 | 75,999 | ||
Wells Fargo & Co. | 2,067 | 88,220 | ||
31,045,160 | ||||
Health Care — 1.5% | ||||
Abbott Laboratories | 3,385 | 369,033 | ||
Amgen, Inc. | 2,115 | 469,572 | ||
Becton, Dickinson and Co. | 18,449 | 4,870,721 | ||
Bio-Rad Laboratories, Inc. Class A* | 211 | 79,994 | ||
Bristol-Myers Squibb Co. | 36,436 | 2,330,082 | ||
CVS Health Corporation | 4,364 | 301,683 | ||
Danaher Corporation | 2,617 | 628,080 | ||
Eli Lilly and Co. | 3,638 | 1,706,149 | ||
Gilead Sciences, Inc. | 3,980 | 306,739 | ||
Henry Schein, Inc.* | 3,783 | 306,801 | ||
Hologic, Inc.* | 4,218 | 341,532 | ||
Incyte Corporation* | 4,838 | 301,166 | ||
Laboratory Corporation of America Holdings | 1,409 | 340,034 | ||
Neurocrine Biosciences, Inc.* | 1,488 | 140,318 | ||
Quest Diagnostics, Inc.Δ | 13,534 | 1,902,339 | ||
Regeneron Pharmaceuticals, Inc.* | 668 | 479,985 | ||
Revvity, Inc. | 976 | 115,939 | ||
Seagen, Inc.* | 1,866 | 359,130 | ||
Thermo Fisher Scientific, Inc. | 1,923 | 1,003,325 | ||
UnitedHealth Group, Inc. | 6,339 | 3,046,777 | ||
Vertex Pharmaceuticals, Inc.* | 1,667 | 586,634 | ||
19,986,033 | ||||
Industrials — 1.8% | ||||
3M Co. | 5,486 | 549,094 | ||
AGCO Corporation | 423 | 55,591 | ||
Automatic Data Processing, Inc. | 22,545 | 4,955,166 | ||
Booz Allen Hamilton Holding Corporation | 470 | 52,452 | ||
Caterpillar, Inc. | 290 | 71,354 | ||
Cummins, Inc. | 680 | 166,709 | ||
Emerson Electric Co. | 13,569 | 1,226,502 | ||
Expeditors International of Washington, Inc. | 566 | 68,560 | ||
Fastenal Co. | 1,797 | 106,005 | ||
General Dynamics Corporation | 1,393 | 299,704 | ||
General Electric Co. | 2,861 | 314,281 | ||
Hubbell, Inc. | 3,021 | 1,001,643 | ||
J.B. Hunt Transport Services, Inc. | 355 | 64,266 | ||
L3Harris Technologies, Inc. | 714 | 139,780 | ||
Leidos Holdings, Inc. | 365 | 32,295 | ||
Lockheed Martin Corporation | 1,583 | 728,782 | ||
Norfolk Southern Corporation | 15,752 | 3,571,923 | ||
Northrop Grumman Corporation | 609 | 277,582 | ||
Old Dominion Freight Line, Inc. | 330 | 122,017 | ||
Paychex, Inc. | 1,213 | 135,698 | ||
Raytheon Technologies Corporation | 59,710 | 5,849,192 | ||
Republic Services, Inc. | 15,344 | 2,350,240 |
Shares | Value | |||
Rollins, Inc. | 1,374 | $ 58,848 | ||
Southwest Airlines Co. | 3,672 | 132,963 | ||
Union Pacific Corporation | 784 | 160,422 | ||
United Parcel Service, Inc. Class B | 8,978 | 1,609,306 | ||
W.W. Grainger, Inc. | 87 | 68,607 | ||
Waste Management, Inc. | 2,133 | 369,905 | ||
Watsco, Inc.Δ | 164 | 62,561 | ||
24,601,448 | ||||
Information Technology — 1.7% | ||||
Adobe, Inc.* | 197 | 96,331 | ||
Advanced Micro Devices, Inc.* | 707 | 80,534 | ||
Amdocs, Ltd. | 776 | 76,708 | ||
Amphenol Corporation Class A | 1,142 | 97,013 | ||
ANSYS, Inc.* | 190 | 62,751 | ||
Apple, Inc. | 14,538 | 2,819,936 | ||
Broadcom, Inc. | 310 | 268,903 | ||
CDW Corporation | 395 | 72,483 | ||
Cisco Systems, Inc. | 88,907 | 4,600,048 | ||
Cognizant Technology Solutions Corporation Class A | 955 | 62,342 | ||
Corning, Inc. | 91,022 | 3,189,411 | ||
Fair Isaac Corporation* | 61 | 49,362 | ||
First Solar, Inc.* | 316 | 60,068 | ||
Intel Corporation | 19,172 | 641,112 | ||
International Business Machines Corporation | 1,446 | 193,489 | ||
Keysight Technologies, Inc.* | 471 | 78,869 | ||
Micron Technology, Inc. | 3,907 | 246,571 | ||
Microsoft Corporation | 15,029 | 5,117,976 | ||
Motorola Solutions, Inc. | 695 | 203,830 | ||
NVIDIA Corporation | 1,496 | 632,838 | ||
Oracle Corporation | 9,062 | 1,079,194 | ||
QUALCOMM, Inc. | 1,315 | 156,538 | ||
Roper Technologies, Inc. | 430 | 206,744 | ||
Salesforce, Inc.* | 652 | 137,742 | ||
Texas Instruments, Inc. | 13,973 | 2,515,419 | ||
Twilio, Inc. Class A* | 828 | 52,677 | ||
VeriSign, Inc.* | 257 | 58,074 | ||
VMware, Inc. Class A* | 1,150 | 165,243 | ||
Workday, Inc. Class A* | 710 | 160,382 | ||
23,182,588 | ||||
Materials — 0.2% | ||||
Ball CorporationΔ | 826 | 48,081 | ||
Corteva, Inc. | 2,501 | 143,307 | ||
Dow, Inc. | 1,501 | 79,943 | ||
Newmont Corporation | 4,081 | 174,096 | ||
Packaging Corporation of America | 16,467 | 2,176,279 | ||
2,621,706 | ||||
Real Estate — 0.3% | ||||
American Tower Corporation REIT | 7,697 | 1,492,756 | ||
Equinix, Inc. REIT | 290 | 227,343 | ||
Prologis, Inc. REIT | 646 | 79,219 | ||
Public Storage REIT | 5,322 | 1,553,385 |
Shares | Value | |||
SBA Communications Corporation REIT | 264 | $ 61,185 | ||
3,413,888 | ||||
Utilities — 1.1% | ||||
American Water Works Co., Inc. | 502 | 71,660 | ||
Atmos Energy CorporationΔ | 28,740 | 3,343,612 | ||
Consolidated Edison, Inc. | 2,120 | 191,648 | ||
Dominion Energy, Inc. | 4,129 | 213,841 | ||
Duke Energy Corporation | 24,898 | 2,234,346 | ||
Essential Utilities, Inc. | 1,601 | 63,896 | ||
Eversource Energy | 19,595 | 1,389,677 | ||
NextEra Energy, Inc. | 1,790 | 132,818 | ||
ONE Gas, Inc.Δ | 44,496 | 3,417,738 | ||
Southern Co. (The) | 1,359 | 95,470 | ||
Spire, Inc.Δ | 55,363 | 3,512,229 | ||
WEC Energy Group, Inc. | 2,076 | 183,186 | ||
14,850,121 | ||||
Total Common Stocks (Cost $172,896,805) | 178,362,221 |
FOREIGN COMMON STOCKS — 3.0% | |||
France — 0.3% | |||
Legrand SA | 9,910 | 983,110 | |
SanofiΔ | 18,355 | 1,976,022 | |
TotalEnergies SE | 29,615 | 1,700,039 | |
4,659,171 | |||
Ireland — 1.1% | |||
Accenture PLC Class A | 3,487 | 1,076,018 | |
Aon PLC Class A | 1,074 | 370,745 | |
Linde PLC | 12,265 | 4,673,946 | |
Medtronic PLC | 95,120 | 8,380,072 | |
Willis Towers Watson PLC | 309 | 72,770 | |
14,573,551 | |||
Jersey — 0.1% | |||
Amcor PLC | 97,263 | 970,685 | |
Netherlands — 0.3% | |||
Akzo Nobel NV | 22,738 | 1,858,904 | |
Koninklijke Ahold Delhaize NV | 56,514 | 1,926,733 | |
3,785,637 | |||
Sweden — 0.1% | |||
Assa Abloy AB, B Shares | 39,873 | 958,426 | |
Switzerland — 0.8% | |||
Chubb, Ltd. | 8,624 | 1,660,637 | |
Nestle SA | 15,545 | 1,869,933 | |
Novartis AG | 21,025 | 2,119,729 | |
Roche Holding AG | 13,568 | 4,144,618 | |
TE Connectivity, Ltd. | 12,142 | 1,701,823 | |
11,496,740 | |||
United Kingdom — 0.3% | |||
Bunzl PLC | 16,755 | 638,501 |
Shares | Value | |||
Unilever PLC | 66,487 | $ 3,465,427 | ||
4,103,928 | ||||
Total Foreign Common Stocks (Cost $40,274,422) | 40,548,138 |
PREFERRED STOCKS — 0.2% | |||
Bank of America Corporation | |||
7.25% CONVρΔ | 881 | 1,032,373 | |
NextEra Energy, Inc. | |||
6.93% CONV | 36,785 | 1,665,993 | |
Total Preferred Stocks (Cost $2,940,157) | 2,698,366 | ||
FOREIGN PREFERRED STOCK — 0.0% | |||
Germany — 0.0% | |||
Henkel AG & Co. KGaA 2.53% ◊ (Cost $666,221) | 8,617 | 689,155 | |
MASTER LIMITED PARTNERSHIP — 0.1% | |||
AllianceBernstein Holding LP (Cost $2,184,064) | 61,435 | 1,975,750 |
Par | |||
CORPORATE BONDS — 20.3% | |||
Akamai Technologies, Inc. | |||
0.13%, 05/01/25 CONV | $1,231,000 | 1,319,477 | |
0.38%, 09/01/27 CONV | 4,156,000 | 4,034,396 | |
Alnylam Pharmaceuticals, Inc. | |||
1.00%, 09/15/27 144A CONV | 1,940,000 | 1,860,211 | |
Altair Engineering, Inc. | |||
1.75%, 06/15/27 144A CONV | 2,335,000 | 2,840,527 | |
Alteryx, Inc. | |||
1.00%, 08/01/26 CONV | 649,000 | 548,405 | |
Axon Enterprise, Inc. | |||
0.50%, 12/15/27 144A CONV | 3,125,000 | 3,342,187 | |
Bank of America Corporation | |||
(Variable, CME Term SOFR 3M + 4.81%), 6.30%, 03/10/26ρΔ^ | 2,527,000 | 2,532,686 | |
Bank of New York Mellon Corporation (The) | |||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.36%), 4.70%, 09/20/25ρΔ^ | 2,346,000 | 2,284,417 | |
Bentley Systems, Inc. | |||
0.13%, 01/15/26 CONV | 1,349,000 | 1,394,251 | |
0.38%, 07/01/27 CONV | 908,000 | 824,464 | |
BioMarin Pharmaceutical, Inc. | |||
0.60%, 08/01/24 CONV | 4,365,000 | 4,298,512 |
Par | Value | |||
Blackline, Inc. | ||||
0.13%, 08/01/24 CONV | $1,540,000 | $1,540,924 | ||
0.00%, 03/15/26 CONV» | 2,589,000 | 2,203,886 | ||
Blackstone Mortgage Trust, Inc. | ||||
5.50%, 03/15/27 CONV | 1,828,000 | 1,570,938 | ||
Block, Inc. | ||||
0.13%, 03/01/25 CONV | 4,275,000 | 4,050,562 | ||
Booking Holdings, Inc. | ||||
0.75%, 05/01/25 CONV | 1,803,000 | 2,711,351 | ||
Box, Inc. | ||||
0.00%, 01/15/26 CONV» | 2,167,000 | 2,702,249 | ||
Burlington Stores, Inc. | ||||
2.25%, 04/15/25 CONVΔ | 2,538,000 | 2,650,624 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 CONV | 1,933,000 | 1,710,320 | ||
Charles Schwab Corporation (The) | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.97%), 5.38%, 06/01/25ρ^ | 2,741,000 | 2,633,334 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 3.17%), 4.00%, 06/01/26ρ^ | 1,601,000 | 1,303,214 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26 CONV | 2,183,000 | 1,841,906 | ||
Chefs' Warehouse, Inc. (The) | ||||
2.38%, 12/15/28 144A CONV | 2,179,000 | 2,296,810 | ||
Citigroup, Inc. | ||||
(Variable, ICE LIBOR USD 3M + 4.07%), 9.34%, 10/30/23†ρΔ | 2,740,000 | 2,756,440 | ||
CMS Energy Corporation | ||||
3.38%, 05/01/28 144A CONV | 1,281,000 | 1,266,269 | ||
CONMED Corporation | ||||
2.25%, 06/15/27 CONV | 2,668,000 | 2,990,828 | ||
Cracker Barrel Old Country Store, Inc. | ||||
0.63%, 06/15/26 CONV | 2,288,000 | 1,950,520 | ||
Datadog, Inc. | ||||
0.13%, 06/15/25 CONV | 3,728,000 | 4,645,088 | ||
Dexcom, Inc. | ||||
0.25%, 11/15/25 CONVΔ | 2,718,000 | 2,914,997 | ||
0.38%, 05/15/28 144A CONV | 868,000 | 889,266 | ||
DigitalOcean Holdings, Inc. | ||||
0.00%, 12/01/26 CONVΔ» | 1,737,000 | 1,365,433 | ||
DISH Network Corporation | ||||
3.38%, 08/15/26 CONV | 3,110,000 | 1,593,875 | ||
Dropbox, Inc. | ||||
0.00%, 03/01/26 CONV» | 2,186,000 | 2,071,235 | ||
0.00%, 03/01/28 CONV» | 2,740,000 | 2,634,510 | ||
Enphase Energy, Inc. | ||||
0.00%, 03/01/26 CONV» | 2,738,000 | 2,586,041 |
Par | Value | |||
0.00%, 03/01/28 CONV» | $ 577,000 | $ 545,310 | ||
Envestnet, Inc. | ||||
0.75%, 08/15/25 CONV | 2,360,000 | 2,177,100 | ||
2.63%, 12/01/27 144A CONV | 1,119,000 | 1,179,426 | ||
Etsy, Inc. | ||||
0.13%, 10/01/26 CONV | 1,203,000 | 1,429,164 | ||
0.13%, 09/01/27 CONV | 1,462,000 | 1,225,929 | ||
0.25%, 06/15/28 CONV | 2,689,000 | 2,090,698 | ||
Exact Sciences Corporation | ||||
0.38%, 03/15/27 CONV | 3,886,000 | 4,194,451 | ||
2.00%, 03/01/30 144A CONV | 972,000 | 1,346,706 | ||
FirstEnergy Corporation | ||||
4.00%, 05/01/26 144A CONV | 2,391,000 | 2,391,000 | ||
Five9, Inc. | ||||
0.50%, 06/01/25 CONV | 2,547,000 | 2,461,675 | ||
Ford Motor Co. | ||||
0.00%, 03/15/26 CONV» | 2,995,000 | 3,295,997 | ||
Freshpet, Inc. | ||||
3.00%, 04/01/28 144A CONV | 963,000 | 1,139,470 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28 CONV | 2,440,000 | 2,414,380 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 CONV | 1,778,000 | 1,485,637 | ||
1.00%, 08/15/28 144A CONV | 1,103,000 | 1,009,245 | ||
Herbalife, Ltd. | ||||
2.63%, 03/15/24 CONV | 2,260,000 | 2,194,460 | ||
Insulet Corporation | ||||
0.38%, 09/01/26 CONV | 1,131,000 | 1,559,084 | ||
Integer Holdings Corporation | ||||
2.13%, 02/15/28 144A CONV | 1,560,000 | 1,845,480 | ||
Integra LifeSciences Holdings Corporation | ||||
0.50%, 08/15/25 CONV | 1,549,000 | 1,421,982 | ||
InterDigital, Inc. | ||||
3.50%, 06/01/27 CONV | 1,698,000 | 2,297,540 | ||
Ionis Pharmaceuticals, Inc. | ||||
0.00%, 04/01/26 CONV» | 1,144,000 | 1,084,655 | ||
Ironwood Pharmaceuticals, Inc. | ||||
0.75%, 06/15/24 CONV | 3,226,000 | 3,259,473 | ||
1.50%, 06/15/26 CONV | 746,000 | 765,322 | ||
Itron, Inc. | ||||
0.00%, 03/15/26 CONV» | 2,219,000 | 1,979,071 | ||
Jamf Holding Corporation | ||||
0.13%, 09/01/26 CONV | 1,286,000 | 1,108,475 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24 CONV | 2,282,000 | 2,178,478 | ||
2.00%, 06/15/26 CONV | 1,465,000 | 1,496,131 |
Par | Value | |||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26 CONVΔ | $2,722,000 | $2,249,064 | ||
John Bean Technologies Corporation | ||||
0.25%, 05/15/26 CONV | 3,139,000 | 2,993,036 | ||
JPMorgan Chase & Co. | ||||
(Variable, CME Term SOFR 3M + 3.38%), 5.00%, 08/01/24ρ^ | 2,655,000 | 2,595,262 | ||
LCI Industries | ||||
1.13%, 05/15/26 CONV | 3,324,000 | 3,215,970 | ||
Liberty Media Corporation | ||||
3.75%, 03/15/28 144A CONV | 2,840,000 | 3,109,800 | ||
2.75%, 12/01/49 144A CONV | 2,153,000 | 2,006,596 | ||
Liberty Media Corporation-Liberty Formula One | ||||
2.25%, 08/15/27 144A CONV | 2,821,000 | 3,043,859 | ||
Live Nation Entertainment, Inc. | ||||
2.00%, 02/15/25 CONV | 2,871,000 | 3,061,921 | ||
Livongo Health, Inc. | ||||
0.88%, 06/01/25 CONV | 1,508,000 | 1,370,203 | ||
Lumentum Holdings, Inc. | ||||
0.25%, 03/15/24 CONV | 1,160,000 | 1,231,920 | ||
0.50%, 12/15/26 CONV | 513,000 | 455,224 | ||
0.50%, 06/15/28 CONV | 2,050,000 | 1,622,277 | ||
MACOM Technology Solutions Holdings, Inc. | ||||
0.25%, 03/15/26 CONV | 2,683,000 | 2,723,245 | ||
Marriott Vacations Worldwide Corporation | ||||
0.00%, 01/15/26 CONV» | 1,881,000 | 1,752,152 | ||
3.25%, 12/15/27 144A CONVΔ | 1,195,000 | 1,134,055 | ||
Microchip Technology, Inc. | ||||
0.13%, 11/15/24 CONVΔ | 5,927,000 | 6,734,554 | ||
NCL Corporation, Ltd. | ||||
1.13%, 02/15/27 CONVΔ | 4,808,000 | 4,454,902 | ||
NextEra Energy Partners LP | ||||
0.00%, 11/15/25 144A CONV» | 3,039,000 | 2,818,672 | ||
2.50%, 06/15/26 144A CONV | 1,574,000 | 1,417,379 | ||
NextGen Healthcare, Inc. | ||||
3.75%, 11/15/27 144A CONV | 4,130,000 | 4,024,685 | ||
NRG Energy, Inc. | ||||
2.75%, 06/01/48 CONVΔ | 3,285,000 | 3,483,742 | ||
NuVasive, Inc. | ||||
0.38%, 03/15/25 CONV | 1,502,000 | 1,359,310 | ||
Okta, Inc. | ||||
0.13%, 09/01/25 CONV | 230,000 | 209,070 | ||
0.38%, 06/15/26 CONV | 1,482,000 | 1,272,297 | ||
ON Semiconductor Corporation | ||||
0.50%, 03/01/29 144A CONV | 3,067,000 | 3,479,019 |
Par | Value | |||
Palo Alto Networks, Inc. | ||||
0.38%, 06/01/25 CONV | $ 485,000 | $1,250,573 | ||
Parsons Corporation | ||||
0.25%, 08/15/25 CONV | 3,824,000 | 4,395,688 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28 CONV | 2,156,000 | 2,104,256 | ||
Peloton Interactive, Inc. | ||||
0.00%, 02/15/26 CONV» | 2,677,000 | 2,041,766 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 CONV | 3,123,000 | 2,576,749 | ||
Post Holdings, Inc. | ||||
2.50%, 08/15/27 144A CONV | 4,364,000 | 4,421,605 | ||
Rapid7, Inc. | ||||
0.25%, 03/15/27 CONV | 1,756,000 | 1,533,208 | ||
Redfin Corporation | ||||
0.00%, 10/15/25 CONV» | 839,000 | 687,141 | ||
0.50%, 04/01/27 CONV | 1,747,000 | 1,204,215 | ||
Royal Caribbean Cruises, Ltd. | ||||
2.88%, 11/15/23 CONV | 530,000 | 681,315 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25 CONV | 2,059,000 | 1,628,401 | ||
Shift4 Payments, Inc. | ||||
0.50%, 08/01/27 CONVΔ | 1,129,000 | 1,001,423 | ||
Snap, Inc. | ||||
0.13%, 03/01/28 CONVΔ | 2,379,000 | 1,697,417 | ||
Southwest Airlines Co. | ||||
1.25%, 05/01/25 CONVΔ | 3,082,000 | 3,545,070 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26 CONV | 3,195,000 | 2,597,535 | ||
Splunk, Inc. | ||||
1.13%, 09/15/25 CONV | 3,852,000 | 3,861,630 | ||
1.13%, 06/15/27 CONV | 1,754,000 | 1,521,595 | ||
Stride, Inc. | ||||
1.13%, 09/01/27 CONV | 2,798,000 | 2,689,527 | ||
TripAdvisor, Inc. | ||||
0.25%, 04/01/26 CONV | 2,463,000 | 2,072,615 | ||
Truist Financial Corporation | ||||
(Variable, U.S. Treasury Yield Curve Rate CMT 5Y + 4.61%), 4.95%, 09/01/25ρΔ^ | 3,454,000 | 3,203,585 | ||
(Variable, U.S. Treasury Yield Curve Rate CMT 10Y + 4.35%), 5.10%, 03/01/30ρ^ | 725,000 | 630,750 | ||
Uber Technologies, Inc. | ||||
0.00%, 12/15/25 CONV» | 1,729,000 | 1,585,539 | ||
Varonis Systems, Inc. | ||||
1.25%, 08/15/25 CONV | 1,561,000 | 1,735,052 | ||
Veeco Instruments, Inc. | ||||
2.88%, 06/01/29 144A CONV | 1,640,000 | 1,829,420 | ||
Ventas Realty LP REIT | ||||
3.75%, 06/01/26 144A CONV | 2,287,000 | 2,338,457 | ||
Veradigm, Inc. | ||||
0.88%, 01/01/27 CONV | 1,335,000 | 1,486,856 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 CONV | 3,817,000 | 3,382,816 |
Par | Value | |||
Wayfair, Inc. | ||||
0.63%, 10/01/25 CONV | $ 857,000 | $ 733,672 | ||
1.00%, 08/15/26 CONV | 2,837,000 | 2,347,798 | ||
3.25%, 09/15/27 144A CONVΔ | 1,647,000 | 2,048,045 | ||
Western Digital Corporation | ||||
1.50%, 02/01/24 CONV | 199,000 | 193,926 | ||
Winnebago Industries, Inc. | ||||
1.50%, 04/01/25 CONV | 2,058,000 | 2,469,600 | ||
Wolfspeed, Inc. | ||||
1.88%, 12/01/29 144A CONV | 3,511,000 | 2,724,536 | ||
Workiva, Inc. | ||||
1.13%, 08/15/26 CONV | 1,706,000 | 2,405,193 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A CONV | 3,799,000 | 3,561,562 | ||
Zillow Group, Inc. | ||||
2.75%, 05/15/25 CONV | 3,352,000 | 3,533,008 | ||
1.38%, 09/01/26 CONV | 1,658,000 | 2,101,515 | ||
Zscaler, Inc. | ||||
0.13%, 07/01/25 CONV | 2,950,000 | 3,452,975 | ||
Total Corporate Bonds (Cost $278,174,584) | 274,830,740 | |||
FOREIGN BONDS — 1.3% | ||||
Canada — 0.1% | ||||
IMAX Corporation | ||||
0.50%, 04/01/26 CONV | 2,007,000 | 1,844,031 | ||
Israel — 0.4% | ||||
CyberArk Software, Ltd. | ||||
0.00%, 11/15/24 CONV» | 2,602,000 | 2,959,775 | ||
Nice, Ltd. | ||||
0.00%, 09/15/25 CONVΔ» | 2,828,000 | 2,753,922 | ||
5,713,697 | ||||
Jersey — 0.1% | ||||
Novocure, Ltd. | ||||
0.00%, 11/01/25 CONV» | 2,306,000 | 2,006,283 | ||
Netherlands — 0.5% | ||||
QIAGEN NV | ||||
0.00%, 12/17/27 CONVΔ» | 2,600,000 | 2,322,797 | ||
STMicroelectronics NV | ||||
0.00%, 08/04/25 CONV» | 3,200,000 | 3,844,102 | ||
6,166,899 | ||||
United Kingdom — 0.2% | ||||
Barclays Bank PLC | ||||
0.00%, 02/04/25 CONV†††» | 1,174,000 | 2,027,598 | ||
Total Foreign Bonds (Cost $17,519,382) | 17,758,508 |
Shares | |||
EQUITY-LINKED SECURITIES — 0.6% | |||
Advance Auto Parts, Inc., Issued by Citigroup Global Markets Holdings Inc., Maturity Date 09/07/2023 144A††† | 3,597 | 257,078 |
Shares | Value | |||
Applied Materials, Inc. Class B, Issued by Issued by JPMorgan Chase Bank, National Association, Maturity Date 08/22/2023††† | 4,479 | $ 554,455 | ||
Berkshire Hathaway, Inc. Class B, Issued by BofA Finance LLC, Maturity Date 11/06/2023††† | 1,591 | 534,990 | ||
Berkshire Hathaway, Inc. Class B, Issued by Goldman Sachs International, Maturity Date 07/27/2023††† | 2,100 | 671,496 | ||
Berkshire Hathaway, Inc. Class B, Issued by Goldman Sachs International, Maturity Date 09/06/2023††† | 2,183 | 678,848 | ||
Berkshire Hathaway, Inc. Class B, Issued by Goldman Sachs International, Maturity Date 09/13/2023††† | 2,050 | 635,889 | ||
Berkshire Hathaway, Inc. Class B, Issued by JPMorgan Chase Bank, National Association, Maturity Date 09/19/2023††† | 2,150 | 689,333 | ||
Berkshire Hathaway, Inc. Class B, Issued by JPMorgan Chase Bank, National Association, Maturity Date 09/19/2023††† | 2,034 | 617,868 | ||
Berkshire Hathaway, Inc. Class B, Issued by Merrill Lynch International & Co. CV., Maturity Date 08/17/2023††† | 1,699 | 539,195 | ||
Dollar Tree, Inc., Issued by Citigroup Global Markets Holdings Inc., Maturity Date 07/24/2023 144A††† | 3,800 | 556,586 | ||
Emerson Electric Co., Issued by UBS AG, Maturity Date 10/19/2023 144A††† | 5,266 | 468,358 | ||
Hershey Co., Issued by UBS AG, Maturity Date 10/24/2023 144A††† | 1,502 | 386,314 | ||
Linde PLC, Issued by Merrill Lynch International & Co. CV., Maturity Date 01/03/2024††† | 1,045 | 390,255 | ||
Target Corporation, Issued by Merrill Lynch International & Co. CV., Maturity Date 01/03/2024††† | 2,816 | 367,657 | ||
Teradyne, Inc., Issued by Royal Bank of Canada, Maturity Date 11/08/2023 144A††† | 4,577 | 443,603 | ||
The Walt Disney Company, Issued by Citigroup Global Markets Holdings Inc., Maturity Date 07/10/2023 144A††† | 8,100 | 769,176 | ||
Total Equity-Linked Securities (Cost $8,635,650) | 8,561,101 | |||
MONEY MARKET FUNDS — 6.5% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 30,258,494 | 30,258,494 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 12,393,585 | 12,393,585 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 44,983,554 | $44,983,554 | ||
Total Money Market Funds (Cost $87,635,633) | 87,635,633 |
Par | |||
U.S. TREASURY OBLIGATIONS — 51.0% | |||
U.S. Treasury Bills | |||
4.89%, 08/22/23Ω | $81,400,000 | 80,816,634 | |
4.77%, 10/26/23Ω‡‡ | 79,000,000 | 77,688,984 | |
U.S. Treasury Notes | |||
0.13%, 09/15/23‡‡Δ | 86,400,000 | 85,519,426 | |
0.13%, 12/15/23Δ | 91,900,000 | 89,812,688 | |
0.25%, 03/15/24 | 95,300,000 | 91,937,856 | |
0.25%, 06/15/24‡‡ | 84,100,000 | 80,079,387 | |
0.38%, 09/15/24‡‡ | 32,500,000 | 30,639,502 | |
1.00%, 12/15/24 | 10,800,000 | 10,166,344 | |
1.13%, 02/28/27 | 81,000,000 | 72,297,246 | |
0.75%, 01/31/28 | 84,000,000 | 72,071,015 | |
Total U.S. Treasury Obligations (Cost $712,319,679) | 691,029,082 |
Number of Contracts | Notional Amount | ||||
PURCHASED OPTIONS — 4.6% | |||||
Call Options — 4.6% | |||||
S&P 500®, Strike Price $465.00, Expires 11/30/27 (MSCS) | 390 | $173,564,820 | 34,558,272 | ||
S&P 500®, Strike Price $694.00, Expires 11/30/26 (MSCS) | 370 | 164,664,060 | 28,485,563 | ||
Total Purchased Options (Premiums paid $67,425,202) | 63,043,835 | ||||
TOTAL INVESTMENTS — 100.8% (Cost $1,390,671,799) | 1,367,132,529 |
WRITTEN OPTIONS — (0.1)% | |||
Put Options — (0.1)% | |||
S&P 500®, Strike Price $4,285.00, Expires 07/07/23 (MSCS) | (23) | (10,235,874) | (3,450) |
S&P 500®, Strike Price $4,305.00, Expires 07/07/23 (MSCS) | (65) | (28,927,470) | (11,375) |
S&P 500®, Strike Price $4,315.00, Expires 07/14/23 (MSCS) | (30) | (13,351,140) | (19,200) |
S&P 500®, Strike Price $4,340.00, Expires 07/28/23 (MSCS) | (4) | (1,780,152) | (8,240) |
S&P 500®, Strike Price $4,365.00, Expires 07/07/23 (MSCS) | (34) | (15,131,292) | (13,260) |
S&P 500®, Strike Price $4,365.00, Expires 07/21/23 (MSCS) | (222) | (98,798,436) | (364,080) |
S&P 500®, Strike Price $4,365.00, Expires 07/28/23 (MSCS) | (3) | (1,335,114) | (7,425) |
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $4,370.00, Expires 07/14/23 (MSCS) | (41) | $(18,246,558) | $ (47,355) | ||
S&P 500®, Strike Price $4,370.00, Expires 07/21/23 (MSCS) | (5) | (2,225,190) | (8,575) | ||
S&P 500®, Strike Price $4,375.00, Expires 07/28/23 (MSCS) | (21) | (9,345,798) | (55,965) | ||
S&P 500®, Strike Price $4,380.00, Expires 07/14/23 (MSCS) | (74) | (32,932,812) | (96,940) | ||
S&P 500®, Strike Price $4,380.00, Expires 07/28/23 (MSCS) | (43) | (19,136,634) | (119,110) | ||
S&P 500®, Strike Price $4,385.00, Expires 07/28/23 (MSCS) | (12) | (5,340,456) | (34,560) | ||
S&P 500®, Strike Price $4,395.00, Expires 07/21/23 (MSCS) | (8) | (3,560,304) | (17,640) | ||
S&P 500®, Strike Price $4,415.00, Expires 07/14/23 (MSCS) | (36) | (16,021,368) | (74,520) | ||
S&P 500®, Strike Price $4,420.00, Expires 07/14/23 (MSCS) | (30) | (13,351,140) | (66,450) | ||
S&P 500®, Strike Price $4,420.00, Expires 07/21/23 (MSCS) | (7) | (3,115,266) | (20,055) | ||
S&P 500®, Strike Price $4,430.00, Expires 07/07/23 (MSCS) | (118) | (52,514,484) | (144,606) | ||
S&P 500®, Strike Price $4,430.00, Expires 07/14/23 (MSCS) | (30) | (13,351,140) | (65,927) | ||
S&P 500®, Strike Price $4,455.00, Expires 07/28/23 (MSCS) | (157) | (69,870,966) | (727,141) | ||
S&P 500®, Strike Price $4,455.00, Expires 08/04/23 (MSCS) | (4) | (1,780,152) | (20,714) | ||
Total Written Options (Premiums received $(4,093,061)) | (1,926,588) | ||||
Liabilities in Excess of Other Assets — (0.7)% | (10,074,962) | ||||
NET ASSETS — 100.0% | $1,355,130,979 |
% | |
U.S. Treasury Obligations | 51.0 |
Corporate Bonds | 20.3 |
Money Market Funds | 6.5 |
Purchased Options | 4.6 |
Consumer Staples | 2.9 |
Health Care | 2.7 |
Financials | 2.5 |
Industrials | 2.0 |
Information Technology | 1.9 |
Foreign Bonds | 1.3 |
Utilities | 1.2 |
Energy | 1.1 |
Materials | 0.8 |
Communication Services | 0.7 |
Equity-Linked Securities | 0.6 |
Consumer Discretionary | 0.3 |
Real Estate | 0.3 |
Master Limited Partnership | 0.1 |
Written Options | (0.1) |
100.7 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2023 | 5 | $ 1,122,062 | $ 34,658 | ||||
10-Year U.S. Treasury Note | 09/2023 | 94 | 10,552,969 | (183,831) | ||||
U.S. Treasury Long Bond | 09/2023 | 45 | 5,710,781 | (14,785) | ||||
2-Year U.S. Treasury Note | 09/2023 | 42 | 8,540,438 | (97,452) | ||||
5-Year U.S. Treasury Note | 09/2023 | 335 | 35,876,406 | (646,197) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $61,802,656 | $(907,607) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/29/23 | U.S. Dollars | 781,477 | Swedish Kronor | 8,337,444 | UBS | $ 4,986 | ||||||
09/29/23 | U.S. Dollars | 2,670,383 | Euro | 2,433,687 | MSCS | 2,409 | ||||||
09/29/23 | U.S. Dollars | 2,670,186 | Euro | 2,433,688 | BOA | 2,212 | ||||||
09/29/23 | U.S. Dollars | 7,083,672 | Swiss Francs | 6,277,373 | MSCS | 1,256 | ||||||
09/29/23 | Swiss Francs | 144,774 | U.S. Dollars | 163,045 | MSCS | 296 | ||||||
09/29/23 | U.S. Dollars | 548,700 | British Pounds | 431,810 | BOA | 210 | ||||||
Subtotal Appreciation | $11,369 | |||||||||||
09/29/23 | British Pounds | 10,112 | U.S. Dollars | 12,896 | BOA | $ (52) | ||||||
09/29/23 | U.S. Dollars | 30,064 | Swedish Kronor | 325,364 | UBS | (238) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/29/23 | U.S. Dollars | 5,178,771 | Euro | 4,724,466 | JPM | $ (510) | ||||||
Subtotal Depreciation | $ (800) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $10,569 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 178,362,221 | $178,362,221 | $ — | $ — | |||
Corporate Bonds | 274,830,740 | — | 274,830,740 | — | |||
Equity-Linked Securities | 8,561,101 | — | — | 8,561,101 | |||
Foreign Bonds: | |||||||
United Kingdom | 2,027,598 | — | — | 2,027,598 | |||
Other ^^ | 15,730,910 | — | 15,730,910 | — | |||
Total Foreign Bonds | 17,758,508 | — | 15,730,910 | 2,027,598 | |||
Foreign Common Stocks: | |||||||
Ireland | 14,573,551 | 14,573,551 | — | — | |||
Jersey | 970,685 | 970,685 | — | — | |||
Switzerland | 11,496,740 | 3,362,460 | 8,134,280 | — | |||
Other ^^ | 13,507,162 | — | 13,507,162 | — | |||
Total Foreign Common Stocks | 40,548,138 | 18,906,696 | 21,641,442 | — | |||
Foreign Preferred Stock | 689,155 | — | 689,155 | — | |||
Master Limited Partnership | 1,975,750 | 1,975,750 | — | — | |||
Money Market Funds | 87,635,633 | 87,635,633 | — | — | |||
Preferred Stocks | 2,698,366 | 2,698,366 | — | — | |||
Purchased Options: | |||||||
Call Options | 63,043,835 | — | 63,043,835 | — | |||
U.S. Treasury Obligations | 691,029,082 | — | 691,029,082 | — | |||
Total Assets - Investments in Securities | $1,367,132,529 | $289,578,666 | $1,066,965,164 | $10,588,699 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 11,369 | $ — | $ 11,369 | $ — | |||
Futures Contracts | 34,658 | 34,658 | — | — | |||
Total Assets - Other Financial Instruments | $ 46,027 | $ 34,658 | $ 11,369 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Written Options: | |||||||
Put Options | $(1,926,588) | $(1,926,588) | $ — | $ — | |||
Total Liabilities - Investments in Securities | $(1,926,588) | $(1,926,588) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (800) | $ — | $ (800) | $ — | |||
Futures Contracts | (942,265) | (942,265) | — | — | |||
Total Liabilities - Other Financial Instruments | $ (943,065) | $ (942,265) | $ (800) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency 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 — 52.9% | ||||
Communication Services — 2.1% | ||||
Alphabet, Inc. Class A* | 989 | $ 118,383 | ||
Alphabet, Inc. Class C* | 588 | 71,130 | ||
Electronic Arts, Inc. | 75 | 9,728 | ||
Netflix, Inc.* | 206 | 90,741 | ||
T-Mobile US, Inc.* | 15,723 | 2,183,925 | ||
2,473,907 | ||||
Consumer Discretionary — 2.2% | ||||
Best Buy Co., Inc. | 111 | 9,097 | ||
Chipotle Mexican Grill, Inc.* | 6 | 12,834 | ||
Domino’s Pizza, Inc. | 41 | 13,817 | ||
Genuine Parts Co. | 132 | 22,338 | ||
Home Depot, Inc. (The) | 4,065 | 1,262,752 | ||
LKQ Corporation | 171 | 9,964 | ||
Lowe’s Cos., Inc. | 319 | 71,998 | ||
NIKE, Inc. Class B | 9,481 | 1,046,418 | ||
O’Reilly Automotive, Inc.* | 36 | 34,391 | ||
Tractor Supply Co. | 71 | 15,698 | ||
Ulta Beauty, Inc.* | 39 | 18,353 | ||
2,517,660 | ||||
Consumer Staples — 0.7% | ||||
Clorox Co. (The) | 32 | 5,089 | ||
Colgate-Palmolive Co. | 305 | 23,497 | ||
Costco Wholesale Corporation | 182 | 97,985 | ||
Estee Lauder Cos., Inc. (The) Class A | 140 | 27,493 | ||
General Mills, Inc. | 381 | 29,223 | ||
Kimberly-Clark Corporation | 38 | 5,246 | ||
Kroger Co. (The) | 249 | 11,703 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 5,960 | 519,891 | ||
Sysco Corporation | 67 | 4,972 | ||
Target Corporation | 230 | 30,337 | ||
Walmart, Inc. | 602 | 94,622 | ||
850,058 | ||||
Financials — 8.5% | ||||
American Express Co. | 119 | 20,730 | ||
Arthur J. Gallagher & Co. | 27 | 5,928 | ||
BlackRock, Inc. | 14 | 9,676 | ||
Brown & Brown, Inc. | 90 | 6,196 | ||
CME Group, Inc. | 145 | 26,867 | ||
LPL Financial Holdings, Inc. | 67 | 14,568 | ||
MarketAxess Holdings, Inc. | 31 | 8,104 | ||
Marsh & McLennan Cos., Inc. | 14,023 | 2,637,446 | ||
Mastercard, Inc. Class A | 6,874 | 2,703,544 | ||
Moody’s Corporation | 76 | 26,427 | ||
Progressive Corporation (The) | 20,283 | 2,684,861 | ||
S&P Global, Inc. | 131 | 52,516 | ||
T. Rowe Price Group, Inc. | 80 | 8,961 | ||
Travelers Cos., Inc. (The) | 151 | 26,223 | ||
Walker & Dunlop, Inc. | 21,023 | 1,662,709 | ||
9,894,756 | ||||
Health Care — 4.9% | ||||
Abbott Laboratories | 449 | 48,950 | ||
Align Technology, Inc.* | 35 | 12,377 |
Shares | Value | |||
Bristol-Myers Squibb Co. | 420 | $ 26,859 | ||
Cardinal Health, Inc. | 199 | 18,819 | ||
Cigna Group (The) | 120 | 33,672 | ||
CVS Health Corporation | 504 | 34,842 | ||
Edwards Lifesciences Corporation* | 257 | 24,243 | ||
Elevance Health, Inc. | 99 | 43,985 | ||
Encompass Health Corporation | 34,711 | 2,350,282 | ||
HCA Healthcare, Inc. | 76 | 23,065 | ||
Humana, Inc. | 6,516 | 2,913,499 | ||
Mettler-Toledo International, Inc.* | 21 | 27,544 | ||
UnitedHealth Group, Inc. | 352 | 169,185 | ||
5,727,322 | ||||
Industrials — 7.7% | ||||
3M Co. | 218 | 21,820 | ||
Advanced Drainage Systems, Inc.Δ | 11,693 | 1,330,430 | ||
Booz Allen Hamilton Holding Corporation | 156 | 17,410 | ||
Cintas Corporation | 59 | 29,328 | ||
Expeditors International of Washington, Inc. | 46 | 5,572 | ||
Fastenal Co. | 266 | 15,691 | ||
FedEx Corporation | 79 | 19,584 | ||
Honeywell International, Inc. | 106 | 21,995 | ||
Hubbell, Inc. | 40 | 13,262 | ||
J.B. Hunt Transport Services, Inc. | 27 | 4,888 | ||
Old Dominion Freight Line, Inc. | 42 | 15,529 | ||
Parker-Hannifin Corporation | 51 | 19,892 | ||
Paychex, Inc. | 46 | 5,146 | ||
Raytheon Technologies Corporation | 582 | 57,013 | ||
Rollins, Inc. | 144 | 6,167 | ||
United Parcel Service, Inc. Class B | 298 | 53,416 | ||
Waste Management, Inc. | 82 | 14,220 | ||
Westinghouse Air Brake Technologies Corporation | 34,249 | 3,756,088 | ||
Xylem, Inc. | 31,669 | 3,566,563 | ||
8,974,014 | ||||
Information Technology — 23.8% | ||||
Adobe, Inc.* | 185 | 90,463 | ||
Advanced Micro Devices, Inc.* | 674 | 76,775 | ||
ANSYS, Inc.* | 20 | 6,606 | ||
Apple, Inc. | 325 | 63,040 | ||
Atlassian Corporation Class A* | 2,983 | 500,577 | ||
Autodesk, Inc.* | 9,172 | 1,876,683 | ||
Cadence Design Systems, Inc.* | 6,441 | 1,510,543 | ||
Cisco Systems, Inc. | 1,686 | 87,234 | ||
Cognizant Technology Solutions Corporation Class A | 101 | 6,593 | ||
Fortinet, Inc.* | 199 | 15,043 | ||
Intel Corporation | 1,396 | 46,682 | ||
Intuit, Inc. | 117 | 53,608 | ||
IPG Photonics Corporation | 15,437 | 2,096,653 | ||
Keysight Technologies, Inc.* | 12,355 | 2,068,845 | ||
Lam Research Corporation | 3,582 | 2,302,725 | ||
Microchip Technology, Inc. | 25,438 | 2,278,991 | ||
Microsoft Corporation | 19,185 | 6,533,260 | ||
Motorola Solutions, Inc. | 18 | 5,279 |
Shares | Value | |||
NVIDIA Corporation | 10,005 | $ 4,232,315 | ||
Oracle Corporation | 55 | 6,550 | ||
Palo Alto Networks, Inc.Δ * | 34 | 8,687 | ||
Roper Technologies, Inc. | 12 | 5,770 | ||
ServiceNow, Inc.* | 82 | 46,082 | ||
Synopsys, Inc.* | 52 | 22,641 | ||
Texas Instruments, Inc. | 14,756 | 2,656,375 | ||
Trimble, Inc.* | 149 | 7,888 | ||
VeriSign, Inc.* | 103 | 23,275 | ||
Workday, Inc. Class A* | 5,228 | 1,180,953 | ||
Zebra Technologies Corporation Class A* | 81 | 23,962 | ||
27,834,098 | ||||
Materials — 0.0% | ||||
Air Products and Chemicals, Inc. | 90 | 26,958 | ||
Ecolab, Inc. | 31 | 5,787 | ||
32,745 | ||||
Real Estate — 3.0% | ||||
Crown Castle, Inc. REIT | 8,889 | 1,012,812 | ||
Equinix, Inc. REIT | 1,514 | 1,186,885 | ||
Prologis, Inc. REIT | 10,468 | 1,283,691 | ||
Public Storage REIT | 77 | 22,475 | ||
Welltower, Inc. REIT | 218 | 17,634 | ||
3,523,497 | ||||
Utilities — 0.0% | ||||
Xcel Energy, Inc. | 228 | 14,175 | ||
Total Common Stocks (Cost $55,842,332) | 61,842,232 | |||
FOREIGN COMMON STOCKS — 43.0% | ||||
Australia — 0.5% | ||||
BHP Group, Ltd. | 1,663 | 49,993 | ||
carsales.com, Ltd. | 887 | 14,185 | ||
CSL, Ltd. | 209 | 38,702 | ||
Fortescue Metals Group, Ltd. | 1,291 | 19,157 | ||
Nanosonics, Ltd.* | 106,723 | 339,439 | ||
QBE Insurance Group, Ltd. | 515 | 5,377 | ||
REA Group, Ltd.Δ | 174 | 16,715 | ||
Rio Tinto, Ltd. | 197 | 15,086 | ||
Wesfarmers, Ltd. | 889 | 29,310 | ||
Woolworths Group, Ltd. | 204 | 5,405 | ||
533,369 | ||||
Austria — 0.0% | ||||
ANDRITZ AG | 129 | 7,195 | ||
EVN AG | 168 | 3,717 | ||
10,912 | ||||
Belgium — 0.0% | ||||
UCB SA | 194 | 17,200 | ||
Canada — 5.5% | ||||
Alimentation Couche-Tard, Inc. | 203 | 10,409 | ||
Bank of Nova Scotia (The) | 516 | 25,817 | ||
BCE, Inc. | 107 | 4,879 | ||
Boralex, Inc. Class A | 77,127 | 2,099,997 | ||
Brookfield Corporation | 256 | 8,619 | ||
BRP, Inc. | 136 | 11,497 |
Shares | Value | |||
Canadian Imperial Bank of Commerce | 277 | $ 11,826 | ||
Canadian National Railway Co. | 221 | 26,762 | ||
CGI, Inc.* | 145 | 15,291 | ||
Element Fleet Management Corporation | 384 | 5,849 | ||
Franco-Nevada Corporation | 73 | 10,404 | ||
Gildan Activewear, Inc. | 257 | 8,286 | ||
Innergex Renewable Energy, Inc. | 123,954 | 1,154,627 | ||
Intact Financial Corporation | 18,849 | 2,910,266 | ||
Loblaw Cos., Ltd. | 255 | 23,345 | ||
Magna International, Inc. | 281 | 15,864 | ||
Manulife Financial Corporation | 1,854 | 35,044 | ||
Metro, Inc. | 132 | 7,455 | ||
Suncor Energy, Inc. | 528 | 15,488 | ||
Tourmaline Oil Corporation | 339 | 15,973 | ||
West Fraser Timber Co., Ltd. | 101 | 8,677 | ||
WSP Global, Inc. | 129 | 17,043 | ||
6,443,418 | ||||
China — 0.2% | ||||
Linklogis, Inc. Class B 144A | 508,887 | 181,818 | ||
Denmark — 0.0% | ||||
Coloplast A/S Class B | 285 | 35,664 | ||
Finland — 0.0% | ||||
Neste OYJ | 166 | 6,392 | ||
Orion OYJ Class B | 274 | 11,371 | ||
17,763 | ||||
France — 5.3% | ||||
Cie Generale des Etablissements Michelin SCA | 811 | 23,991 | ||
Hermes International | 26 | 56,517 | ||
L’Oreal SA | 156 | 72,770 | ||
Legrand SA | 28,222 | 2,799,731 | ||
Schneider Electric SE | 17,536 | 3,185,883 | ||
6,138,892 | ||||
Germany — 3.1% | ||||
adidas AG | 5,778 | 1,121,672 | ||
Deutsche Post AG | 381 | 18,617 | ||
Deutsche Telekom AG | 515 | 11,237 | ||
HeidelbergCement AG | 140 | 11,513 | ||
Knorr-Bremse AG | 31,159 | 2,381,907 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 52 | 19,522 | ||
Puma SE | 78 | 4,700 | ||
SAP SE | 432 | 59,014 | ||
Zalando SE 144A * | 415 | 11,968 | ||
3,640,150 | ||||
Hong Kong — 2.1% | ||||
AIA Group, Ltd. | 234,400 | 2,380,684 | ||
CK Asset Holdings, Ltd. | 1,500 | 8,335 | ||
Henderson Land Development Co., Ltd. | 1,000 | 2,978 | ||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 2,000 | 25,269 | ||
Techtronic Industries Co., Ltd. | 1,000 | 10,936 |
Shares | Value | |||
Wharf Real Estate Investment Co., Ltd. | 1,000 | $ 5,017 | ||
2,433,219 | ||||
Ireland — 5.6% | ||||
Accenture PLC Class A | 276 | 85,168 | ||
Aon PLC Class A | 10,044 | 3,467,189 | ||
ICON PLC* | 11,554 | 2,890,811 | ||
James Hardie Industries PLC CDI* | 225 | 6,002 | ||
Linde PLC | 185 | 70,500 | ||
Willis Towers Watson PLC | 24 | 5,652 | ||
6,525,322 | ||||
Israel — 0.0% | ||||
Bank Leumi Le-Israel BM | 2,139 | 16,029 | ||
Check Point Software Technologies, Ltd.* | 41 | 5,150 | ||
21,179 | ||||
Italy — 0.0% | ||||
Assicurazioni Generali SpA | 1,071 | 21,780 | ||
Recordati Industria Chimica e Farmaceutica SpA | 409 | 19,539 | ||
41,319 | ||||
Japan — 8.8% | ||||
Asahi Kasei Corporation | 600 | 4,063 | ||
Bandai Namco Holdings, Inc. | 300 | 6,947 | ||
Bridgestone Corporation | 300 | 12,325 | ||
Canon, Inc. | 900 | 23,658 | ||
Chugai Pharmaceutical Co., Ltd. | 1,100 | 31,327 | ||
Eisai Co., Ltd. | 400 | 27,110 | ||
Fujitsu, Ltd. | 100 | 12,948 | ||
Goldwin, Inc. | 100 | 8,514 | ||
Hoya Corporation | 100 | 11,967 | ||
Kakaku.com, Inc. | 200 | 2,881 | ||
Keyence Corporation | 4,500 | 2,138,205 | ||
Kyowa Kirin Co., Ltd. | 1,000 | 18,535 | ||
MatsukiyoCocokara & Co. | 100 | 5,617 | ||
Mitsubishi Electric Corporation | 2,100 | 29,687 | ||
Murata Manufacturing Co., Ltd. | 31,400 | 1,803,645 | ||
Nidec Corporation | 10,600 | 584,118 | ||
Nintendo Co., Ltd. | 27,600 | 1,258,238 | ||
Nippon Shinyaku Co., Ltd. | 100 | 4,091 | ||
Nippon Telegraph & Telephone Corporation | 25,000 | 29,583 | ||
Nitori Holdings Co., Ltd. | 200 | 22,459 | ||
Ono Pharmaceutical Co., Ltd. | 1,100 | 19,848 | ||
Otsuka Holdings Co., Ltd. | 900 | 33,013 | ||
Panasonic Holdings Corporation | 1,000 | 12,262 | ||
Recruit Holdings Co., Ltd. | 1,000 | 31,915 | ||
Shimadzu Corporation | 73,300 | 2,265,601 | ||
Shimano, Inc. | 10,400 | 1,741,036 | ||
Shionogi & Co., Ltd. | 500 | 21,090 | ||
Shiseido Co., Ltd. | 100 | 4,533 | ||
Sumitomo Dainippon Pharma Co., Ltd. | 1,200 | 5,334 | ||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 11,285 |
Shares | Value | |||
Tokyo Electron, Ltd. | 300 | $ 43,209 | ||
Yamaha Motor Co., Ltd. | 500 | 14,374 | ||
10,239,418 | ||||
Jersey — 1.7% | ||||
Aptiv PLC* | 18,793 | 1,918,577 | ||
Experian PLC | 416 | 15,967 | ||
1,934,544 | ||||
Netherlands — 3.8% | ||||
AerCap Holdings NV* | 275 | 17,468 | ||
ASML Holding NV | 3,206 | 2,325,403 | ||
Ferrari NV | 22 | 7,193 | ||
Koninklijke Ahold Delhaize NV | 274 | 9,342 | ||
Koninklijke Philips NV* | 195 | 4,225 | ||
STMicroelectronics NV | 231 | 11,523 | ||
Wolters Kluwer NV | 16,661 | 2,115,505 | ||
4,490,659 | ||||
New Zealand — 0.0% | ||||
Fisher & Paykel Healthcare Corporation, Ltd. | 483 | 7,273 | ||
Norway — 0.0% | ||||
Orkla ASA | 1,197 | 8,607 | ||
Salmar ASA | 116 | 4,674 | ||
Telenor ASA | 429 | 4,350 | ||
17,631 | ||||
Singapore — 0.0% | ||||
Jardine Cycle & Carriage, Ltd. | 300 | 7,736 | ||
Oversea-Chinese Banking Corporation, Ltd. | 1,500 | 13,645 | ||
United Overseas Bank, Ltd. | 500 | 10,376 | ||
Wilmar International, Ltd. | 6,900 | 19,439 | ||
51,196 | ||||
Spain — 0.0% | ||||
Banco Santander SA | 1,470 | 5,442 | ||
Industria de Diseno Textil SA | 704 | 27,307 | ||
32,749 | ||||
Sweden — 0.1% | ||||
Atlas Copco AB, A Shares | 1,468 | 21,193 | ||
Atlas Copco AB, B Shares | 1,106 | 13,790 | ||
H & M Hennes & Mauritz AB, B Shares | 641 | 11,024 | ||
Investor AB, A Shares | 538 | 10,767 | ||
Investor AB, B Shares | 1,267 | 25,346 | ||
Sandvik AB | 249 | 4,862 | ||
86,982 | ||||
Switzerland — 2.6% | ||||
EMS-Chemie Holding AG | 7 | 5,305 | ||
Geberit AG | 12 | 6,289 | ||
Roche Holding AG | 156 | 47,653 | ||
Roche Holding AG (Swiss Exchange) | 63 | 20,688 | ||
SGS SA | 125 | 11,825 | ||
Swisscom AG | 14 | 8,738 |
Shares | Value | |||
TE Connectivity, Ltd. | 20,772 | $ 2,911,403 | ||
3,011,901 | ||||
United Kingdom — 3.7% | ||||
3i Group PLC | 346 | 8,576 | ||
Associated British Foods PLC | 388 | 9,825 | ||
Auto Trader Group PLC 144A | 3,116 | 24,194 | ||
BT Group PLC | 6,123 | 9,528 | ||
Burberry Group PLC | 833 | 22,477 | ||
CK Hutchison Holdings, Ltd. | 1,000 | 6,103 | ||
DS Smith PLC | 498,618 | 1,725,407 | ||
Kingfisher PLC | 2,966 | 8,742 | ||
London Stock Exchange Group PLC | 90 | 9,579 | ||
Pearson PLC | 751 | 7,873 | ||
RELX PLC | 708 | 23,620 | ||
Rightmove PLC | 1,395 | 9,267 | ||
Rio Tinto PLC | 551 | 35,016 | ||
SSE PLC | 100,188 | 2,349,419 | ||
Vodafone Group PLC | 14,905 | 14,053 | ||
4,263,679 | ||||
Total Foreign Common Stocks (Cost $48,814,270) | 50,176,257 | |||
MONEY MARKET FUNDS — 3.7% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ (Cost $4,287,158) | 4,287,158 | 4,287,158 | ||
TOTAL INVESTMENTS —99.6% (Cost $108,943,760) | 116,305,647 | |||
Other Assets in Excess of Liabilities — 0.4% | 441,180 | |||
NET ASSETS — 100.0% | $116,746,827 |
% | |
Information Technology | 34.3 |
Industrials | 17.2 |
Financials | 16.3 |
Health Care | 8.0 |
Consumer Discretionary | 6.5 |
Utilities | 4.8 |
Money Market Funds | 3.7 |
Communication Services | 3.3 |
Real Estate | 3.0 |
Materials | 1.7 |
Consumer Staples | 0.8 |
Energy | —** |
99.6 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P/TSX 60 Index | 09/2023 | 1 | $ 183,974 | $ 2,934 | ||||
MSCI EAFE Index | 09/2023 | 6 | 646,650 | 7,431 | ||||
MSCI Emerging Markets | 09/2023 | 5 | 249,475 | 1,113 | ||||
S&P 500® E-Mini | 09/2023 | 6 | 1,346,475 | 21,461 | ||||
Canadian Dollars/U.S. Dollars | 09/2023 | 2 | 151,260 | 1,453 | ||||
Total Futures Contracts outstanding at June 30, 2023 | $2,577,834 | $34,392 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $ 61,842,232 | $61,842,232 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Canada | 6,443,418 | 6,443,418 | — | — | |||
Ireland | 6,525,322 | 6,519,320 | 6,002 | — | |||
Israel | 21,179 | 5,150 | 16,029 | — | |||
Jersey | 1,934,544 | 1,918,577 | 15,967 | — | |||
Netherlands | 4,490,659 | 17,468 | 4,473,191 | — | |||
Switzerland | 3,011,901 | 2,911,403 | 100,498 | — | |||
Other ^^ | 27,749,234 | — | 27,749,234 | — | |||
Total Foreign Common Stocks | 50,176,257 | 17,815,336 | 32,360,921 | — | |||
Money Market Funds | 4,287,158 | 4,287,158 | — | — | |||
Total Assets - Investments in Securities | $116,305,647 | $83,944,726 | $32,360,921 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 34,392 | $ 34,392 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 34,392 | $ 34,392 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Shares | Value | |||
COMMON STOCKS — 95.1% | ||||
Communication Services — 8.5% | ||||
Activision Blizzard, Inc.* | 81,020 | $ 6,829,986 | ||
Alphabet, Inc. Class A* | 525,153 | 62,860,814 | ||
Alphabet, Inc. Class C* | 489,808 | 59,252,074 | ||
AT&T, Inc. | 695,409 | 11,091,774 | ||
Charter Communications, Inc. Class A* | 8,432 | 3,097,664 | ||
Comcast Corporation Class A | 404,032 | 16,787,530 | ||
Electronic Arts, Inc. | 29,821 | 3,867,784 | ||
Fox Corporation Class A | 31,129 | 1,058,386 | ||
Fox Corporation Class B | 9,099 | 290,167 | ||
Interpublic Group of Cos., Inc. (The) | 47,139 | 1,818,623 | ||
Live Nation Entertainment, Inc.Δ* | 10,940 | 996,743 | ||
Meta Platforms, Inc. Class A* | 203,028 | 58,264,975 | ||
Netflix, Inc.* | 39,413 | 17,361,032 | ||
News Corporation Class A | 13,865 | 270,368 | ||
News Corporation Class BΔ | 13,984 | 275,764 | ||
Omnicom Group, Inc. | 24,095 | 2,292,639 | ||
Paramount Global Class BΔ | 52,671 | 837,996 | ||
Take-Two Interactive Software, Inc.* | 14,065 | 2,069,805 | ||
T-Mobile US, Inc.* | 61,775 | 8,580,547 | ||
Verizon Communications, Inc. | 402,790 | 14,979,760 | ||
Walt Disney Co. (The)* | 161,795 | 14,445,058 | ||
Warner Bros Discovery, Inc.* | 173,969 | 2,181,571 | ||
289,511,060 | ||||
Consumer Discretionary — 10.2% | ||||
Advance Auto Parts, Inc. | 6,948 | 488,444 | ||
Amazon.com, Inc.* | 810,221 | 105,620,410 | ||
AutoZone, Inc.* | 1,895 | 4,724,917 | ||
Bath & Body Works, Inc. | 13,836 | 518,850 | ||
Best Buy Co., Inc. | 15,833 | 1,297,514 | ||
Booking Holdings, Inc.* | 3,547 | 9,578,070 | ||
BorgWarner, Inc. | 6,279 | 307,106 | ||
CarMax, Inc.Δ* | 12,596 | 1,054,285 | ||
Carnival CorporationΔ* | 59,898 | 1,127,879 | ||
Chipotle Mexican Grill, Inc.* | 2,537 | 5,426,643 | ||
D.R. Horton, Inc. | 16,760 | 2,039,524 | ||
Darden Restaurants, Inc. | 14,447 | 2,413,805 | ||
Domino’s Pizza, Inc. | 3,030 | 1,021,080 | ||
eBay, Inc. | 52,085 | 2,327,679 | ||
Etsy, Inc.* | 6,963 | 589,139 | ||
Expedia Group, Inc.* | 10,462 | 1,144,438 | ||
Ford Motor Co. | 308,985 | 4,674,943 | ||
General Motors Co. | 115,117 | 4,438,912 | ||
Genuine Parts Co. | 16,089 | 2,722,741 | ||
Hasbro, Inc. | 10,784 | 698,480 | ||
Hilton Worldwide Holdings, Inc. | 27,117 | 3,946,879 | ||
Home Depot, Inc. (The) | 91,072 | 28,290,606 | ||
Lennar Corporation Class A | 16,158 | 2,024,759 | ||
LKQ Corporation | 18,658 | 1,087,202 | ||
Lowe’s Cos., Inc. | 55,086 | 12,432,910 | ||
Marriott International, Inc. Class A | 27,839 | 5,113,746 | ||
McDonald’s Corporation | 75,356 | 22,486,984 | ||
Mohawk Industries, Inc.* | 2,387 | 246,243 | ||
Newell Brands, Inc. | 39,118 | 340,327 |
Shares | Value | |||
NIKE, Inc. Class B | 119,062 | $ 13,140,873 | ||
Norwegian Cruise Line Holdings, Ltd.* | 18,047 | 392,883 | ||
NVR, Inc.* | 171 | 1,085,956 | ||
O’Reilly Automotive, Inc.* | 6,551 | 6,258,170 | ||
Pool Corporation | 3,147 | 1,178,992 | ||
PulteGroup, Inc. | 5,415 | 420,637 | ||
Ralph Lauren Corporation | 2,058 | 253,751 | ||
Ross Stores, Inc. | 29,803 | 3,341,810 | ||
Royal Caribbean Cruises, Ltd.Δ* | 22,682 | 2,353,031 | ||
Starbucks Corporation | 108,959 | 10,793,479 | ||
Tapestry, Inc.Δ | 11,906 | 509,577 | ||
Tesla, Inc.* | 244,880 | 64,102,238 | ||
TJX Cos., Inc. (The) | 112,934 | 9,575,674 | ||
Tractor Supply Co. | 10,039 | 2,219,623 | ||
Ulta Beauty, Inc.* | 3,993 | 1,879,086 | ||
VF Corporation | 27,573 | 526,369 | ||
Whirlpool Corporation | 1,099 | 163,520 | ||
Yum! Brands, Inc. | 32,785 | 4,542,362 | ||
350,922,546 | ||||
Consumer Staples — 6.7% | ||||
Archer-Daniels-Midland Co. | 53,884 | 4,071,475 | ||
Bunge, Ltd. | 7,541 | 711,493 | ||
Campbell Soup Co. | 28,952 | 1,323,396 | ||
Church & Dwight Co., Inc. | 27,416 | 2,747,906 | ||
Clorox Co. (The) | 12,213 | 1,942,356 | ||
Coca-Cola Co. (The) | 419,531 | 25,264,157 | ||
Colgate-Palmolive Co. | 95,309 | 7,342,605 | ||
Conagra Brands, Inc. | 80,687 | 2,720,766 | ||
Costco Wholesale Corporation | 40,815 | 21,973,980 | ||
Dollar General Corporation | 21,189 | 3,597,468 | ||
Dollar Tree, Inc.* | 18,243 | 2,617,870 | ||
Estee Lauder Cos., Inc. (The) Class A | 24,032 | 4,719,404 | ||
General Mills, Inc. | 81,538 | 6,253,965 | ||
Hershey Co. (The) | 17,543 | 4,380,487 | ||
Hormel Foods Corporation | 54,805 | 2,204,257 | ||
J.M. Smucker Co. (The) | 15,075 | 2,226,125 | ||
Kellogg Co. | 47,724 | 3,216,598 | ||
Keurig Dr. Pepper, Inc. | 116,575 | 3,645,300 | ||
Kimberly-Clark Corporation | 41,146 | 5,680,617 | ||
Kraft Heinz Co. (The) | 103,030 | 3,657,565 | ||
Kroger Co. (The) | 65,482 | 3,077,654 | ||
Lamb Weston Holdings, Inc. | 10,228 | 1,175,709 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 25,400 | 2,215,642 | ||
Mondelez International, Inc. Class A | 149,208 | 10,883,231 | ||
Monster Beverage Corporation* | 86,214 | 4,952,132 | ||
PepsiCo, Inc. | 149,304 | 27,654,087 | ||
Procter & Gamble Co. (The) | 241,747 | 36,682,690 | ||
Sysco Corporation | 42,504 | 3,153,797 | ||
Target Corporation | 40,435 | 5,333,376 | ||
Tyson Foods, Inc. Class A | 27,409 | 1,398,955 | ||
Walgreens Boots Alliance, Inc.Δ | 68,939 | 1,964,072 | ||
Walmart, Inc. | 137,288 | 21,578,928 | ||
230,368,063 |
Shares | Value | |||
Energy — 3.9% | ||||
APA Corporation | 16,020 | $ 547,403 | ||
Archrock, Inc. | 13 | 133 | ||
Baker Hughes Co. | 101,928 | 3,221,944 | ||
Chevron Corporation | 165,801 | 26,088,787 | ||
ConocoPhillips | 119,384 | 12,369,376 | ||
Coterra Energy, Inc. | 73,032 | 1,847,710 | ||
Devon Energy Corporation | 56,709 | 2,741,313 | ||
Diamondback Energy, Inc. | 10,890 | 1,430,510 | ||
EOG Resources, Inc. | 52,844 | 6,047,467 | ||
EQT Corporation | 19,299 | 793,768 | ||
Exxon Mobil Corporation | 375,873 | 40,312,379 | ||
Halliburton Co. | 68,091 | 2,246,322 | ||
Hess Corporation | 22,208 | 3,019,178 | ||
Kinder Morgan, Inc. | 206,299 | 3,552,469 | ||
Marathon Oil Corporation | 36,685 | 844,489 | ||
Marathon Petroleum Corporation | 38,290 | 4,464,614 | ||
Occidental Petroleum CorporationΔ | 64,318 | 3,781,898 | ||
ONEOK, Inc. | 35,809 | 2,210,132 | ||
Phillips 66Δ | 36,783 | 3,508,363 | ||
Pioneer Natural Resources Co. | 21,443 | 4,442,561 | ||
Targa Resources Corporation | 19,483 | 1,482,656 | ||
Valero Energy Corporation | 31,345 | 3,676,769 | ||
Williams Cos., Inc. (The) | 127,227 | 4,151,417 | ||
132,781,658 | ||||
Financials — 11.9% | ||||
Aflac, Inc. | 55,516 | 3,875,017 | ||
Allstate Corporation (The) | 28,840 | 3,144,714 | ||
American Express Co. | 56,945 | 9,919,819 | ||
American International Group, Inc. | 65,815 | 3,786,995 | ||
Ameriprise Financial, Inc. | 10,345 | 3,436,195 | ||
Arch Capital Group, Ltd.* | 33,000 | 2,470,050 | ||
Arthur J. Gallagher & Co. | 18,366 | 4,032,623 | ||
Assurant, Inc. | 6,335 | 796,436 | ||
Bank of America Corporation | 636,853 | 18,271,313 | ||
Bank of New York Mellon Corporation (The) | 72,967 | 3,248,491 | ||
Berkshire Hathaway, Inc. Class B* | 169,553 | 57,817,573 | ||
BlackRock, Inc. | 13,016 | 8,995,878 | ||
Brown & Brown, Inc. | 18,702 | 1,287,446 | ||
Capital One Financial Corporation | 34,907 | 3,817,779 | ||
Cboe Global Markets, Inc. | 13,221 | 1,824,630 | ||
Charles Schwab Corporation (The) | 139,112 | 7,884,868 | ||
Cincinnati Financial Corporation | 10,988 | 1,069,352 | ||
Citigroup, Inc. | 159,253 | 7,332,008 | ||
Citizens Financial Group, Inc. | 34,788 | 907,271 | ||
CME Group, Inc. | 34,101 | 6,318,574 | ||
Comerica, Inc. | 10,547 | 446,771 | ||
Discover Financial Services | 22,685 | 2,650,742 | ||
Everest Re Group, Ltd. | 3,173 | 1,084,722 | ||
FactSet Research Systems, Inc. | 4,700 | 1,883,055 | ||
Fidelity National Information Services, Inc. | 56,930 | 3,114,071 | ||
Fifth Third Bancorp | 52,084 | 1,365,122 | ||
Fiserv, Inc.* | 61,102 | 7,708,017 | ||
FleetCor Technologies, Inc.* | 6,254 | 1,570,254 | ||
Franklin Resources, Inc.Δ | 23,495 | 627,551 |
Shares | Value | |||
Global Payments, Inc. | 22,769 | $ 2,243,202 | ||
Globe Life, Inc. | 4,186 | 458,869 | ||
Goldman Sachs Group, Inc. (The) | 28,733 | 9,267,542 | ||
Hartford Financial Services Group, Inc. (The) | 28,747 | 2,070,359 | ||
Huntington Bancshares, Inc. | 118,830 | 1,280,987 | ||
Intercontinental Exchange, Inc. | 50,280 | 5,685,662 | ||
Invesco, Ltd. | 17,740 | 298,209 | ||
Jack Henry & Associates, Inc.Δ | 7,793 | 1,304,003 | ||
JPMorgan Chase & Co. | 268,381 | 39,033,333 | ||
KeyCorp | 64,549 | 596,433 | ||
Lincoln National Corporation | 2,879 | 74,163 | ||
Loews Corporation | 28,928 | 1,717,745 | ||
M&T Bank Corporation | 18,081 | 2,237,705 | ||
MarketAxess Holdings, Inc. | 2,840 | 742,433 | ||
Marsh & McLennan Cos., Inc. | 46,486 | 8,743,087 | ||
Mastercard, Inc. Class A | 75,486 | 29,688,644 | ||
MetLife, Inc. | 64,005 | 3,618,203 | ||
Moody’s Corporation | 11,483 | 3,992,869 | ||
Morgan Stanley | 122,245 | 10,439,723 | ||
MSCI, Inc. | 5,628 | 2,641,164 | ||
Nasdaq, Inc. | 27,420 | 1,366,887 | ||
Northern Trust Corporation | 16,617 | 1,231,984 | ||
PayPal Holdings, Inc.* | 97,844 | 6,529,130 | ||
PNC Financial Services Group, Inc. (The) | 36,729 | 4,626,018 | ||
Principal Financial Group, Inc. | 19,881 | 1,507,775 | ||
Progressive Corporation (The) | 59,795 | 7,915,064 | ||
Prudential Financial, Inc. | 36,128 | 3,187,212 | ||
Raymond James Financial, Inc. | 13,842 | 1,436,384 | ||
Regions Financial Corporation | 64,510 | 1,149,568 | ||
S&P Global, Inc. | 31,215 | 12,513,781 | ||
State Street Corporation | 30,870 | 2,259,067 | ||
Synchrony Financial | 32,331 | 1,096,667 | ||
T. Rowe Price Group, Inc. | 22,044 | 2,469,369 | ||
Travelers Cos., Inc. (The) | 30,201 | 5,244,706 | ||
Truist Financial Corporation | 110,967 | 3,367,848 | ||
U.S. Bancorp | 125,414 | 4,143,679 | ||
Visa, Inc. Class AΔ | 149,598 | 35,526,533 | ||
W.R. Berkley Corporation | 31,137 | 1,854,520 | ||
Wells Fargo & Co. | 346,762 | 14,799,802 | ||
Zions Bancorp NAΔ | 4,475 | 120,198 | ||
409,167,864 | ||||
Health Care — 12.3% | ||||
Abbott Laboratories | 163,407 | 17,814,631 | ||
Agilent Technologies, Inc. | 47,128 | 5,667,142 | ||
Align Technology, Inc.* | 3,830 | 1,354,441 | ||
AmerisourceBergen Corporation | 17,971 | 3,458,160 | ||
Amgen, Inc. | 75,403 | 16,740,974 | ||
Baxter International, Inc. | 49,046 | 2,234,536 | ||
Becton, Dickinson and Co. | 32,351 | 8,540,987 | ||
Biogen, Inc.* | 28,095 | 8,002,861 | ||
Bio-Rad Laboratories, Inc. Class A* | 3,770 | 1,429,282 | ||
Boston Scientific Corporation* | 137,673 | 7,446,733 | ||
Bristol-Myers Squibb Co. | 357,877 | 22,886,234 | ||
Cardinal Health, Inc. | 27,527 | 2,603,228 | ||
Catalent, Inc.Δ* | 30,315 | 1,314,458 |
Shares | Value | |||
Centene Corporation* | 55,255 | $ 3,726,950 | ||
Charles River Laboratories International, Inc.* | 8,090 | 1,700,922 | ||
Cigna Group (The) | 31,811 | 8,926,167 | ||
CVS Health Corporation | 128,942 | 8,913,760 | ||
Danaher Corporation | 69,244 | 16,618,560 | ||
DaVita, Inc.* | 9,259 | 930,252 | ||
DENTSPLY SIRONA, Inc. | 16,089 | 643,882 | ||
Dexcom, Inc.* | 34,256 | 4,402,239 | ||
Edwards Lifesciences Corporation* | 57,327 | 5,407,656 | ||
Elevance Health, Inc. | 24,139 | 10,724,716 | ||
Eli Lilly and Co. | 91,353 | 42,842,730 | ||
GE HealthCare Technologies, Inc. | 36,757 | 2,986,139 | ||
Gilead Sciences, Inc. | 197,743 | 15,240,053 | ||
HCA Healthcare, Inc. | 21,308 | 6,466,552 | ||
Henry Schein, Inc.* | 19,612 | 1,590,533 | ||
Hologic, Inc.* | 29,305 | 2,372,826 | ||
Humana, Inc. | 13,229 | 5,915,083 | ||
IDEXX Laboratories, Inc.* | 6,155 | 3,091,226 | ||
Illumina, Inc.* | 14,975 | 2,807,663 | ||
Incyte Corporation* | 76,092 | 4,736,727 | ||
Insulet Corporation* | 4,630 | 1,335,014 | ||
Intuitive Surgical, Inc.* | 28,775 | 9,839,323 | ||
IQVIA Holdings, Inc.* | 25,005 | 5,620,374 | ||
Laboratory Corporation of America Holdings | 9,830 | 2,372,274 | ||
McKesson Corporation | 16,333 | 6,979,254 | ||
Mettler-Toledo International, Inc.* | 3,103 | 4,070,019 | ||
Moderna, Inc.* | 33,300 | 4,045,950 | ||
Molina Healthcare, Inc.* | 6,429 | 1,936,672 | ||
Organon & Co. | 158,566 | 3,299,758 | ||
Quest Diagnostics, Inc. | 16,017 | 2,251,350 | ||
Regeneron Pharmaceuticals, Inc.* | 13,410 | 9,635,621 | ||
ResMed, Inc. | 11,820 | 2,582,670 | ||
Revvity, Inc. | 21,618 | 2,568,002 | ||
Stryker Corporation | 29,912 | 9,125,852 | ||
Teleflex, Inc. | 4,060 | 982,642 | ||
Thermo Fisher Scientific, Inc. | 31,334 | 16,348,514 | ||
UnitedHealth Group, Inc. | 89,562 | 43,047,080 | ||
Universal Health Services, Inc. Class B | 6,340 | 1,000,262 | ||
Vertex Pharmaceuticals, Inc.* | 35,976 | 12,660,314 | ||
Viatris, Inc. | 630,351 | 6,290,903 | ||
Waters Corporation* | 10,349 | 2,758,422 | ||
West Pharmaceutical Services, Inc. | 10,746 | 4,110,023 | ||
Zimmer Biomet Holdings, Inc. | 18,826 | 2,741,066 | ||
Zoetis, Inc. | 90,363 | 15,561,412 | ||
420,701,074 | ||||
Industrials — 7.8% | ||||
3M Co. | 52,910 | 5,295,762 | ||
A.O. Smith Corporation | 16,217 | 1,180,273 | ||
Alaska Air Group, Inc.* | 19,824 | 1,054,240 | ||
American Airlines Group, Inc.Δ* | 39,524 | 709,061 | ||
AMETEK, Inc. | 20,180 | 3,266,738 | ||
Automatic Data Processing, Inc. | 42,820 | 9,411,408 | ||
Axon Enterprise, Inc.* | 6,195 | 1,208,768 | ||
Boeing Co. (The)* | 48,242 | 10,186,781 | ||
Broadridge Financial Solutions, Inc. | 10,733 | 1,777,707 |
Shares | Value | |||
C.H. Robinson Worldwide, Inc. | 12,459 | $ 1,175,507 | ||
Carrier Global Corporation | 63,362 | 3,149,725 | ||
Caterpillar, Inc. | 46,694 | 11,489,059 | ||
Cintas Corporation | 7,570 | 3,762,896 | ||
Copart, Inc.* | 30,074 | 2,743,050 | ||
CoStar Group, Inc.* | 32,094 | 2,856,366 | ||
CSX Corporation | 215,904 | 7,362,326 | ||
Cummins, Inc. | 12,679 | 3,108,384 | ||
Deere & Co. | 25,133 | 10,183,640 | ||
Delta Air Lines, Inc.Δ* | 58,547 | 2,783,324 | ||
Dover Corporation | 11,833 | 1,747,142 | ||
Emerson Electric Co. | 55,944 | 5,056,778 | ||
Equifax, Inc. | 9,414 | 2,215,114 | ||
Expeditors International of Washington, Inc. | 6,818 | 825,864 | ||
Fastenal Co. | 46,855 | 2,763,976 | ||
FedEx Corporation | 15,791 | 3,914,589 | ||
Fortive Corporation | 28,087 | 2,100,065 | ||
Generac Holdings, Inc.* | 4,876 | 727,158 | ||
General Dynamics Corporation | 28,367 | 6,103,160 | ||
General Electric Co. | 87,424 | 9,603,526 | ||
Honeywell International, Inc. | 58,926 | 12,227,145 | ||
Howmet Aerospace, Inc. | 32,372 | 1,604,356 | ||
Huntington Ingalls Industries, Inc. | 2,805 | 638,418 | ||
IDEX Corporation | 5,716 | 1,230,426 | ||
Illinois ToolWorks, Inc. | 28,151 | 7,042,254 | ||
Ingersoll-Rand, Inc. | 25,879 | 1,691,451 | ||
J.B. Hunt Transport Services, Inc. | 9,677 | 1,751,827 | ||
Jacobs Solutions, Inc. | 12,155 | 1,445,108 | ||
L3Harris Technologies, Inc. | 20,606 | 4,034,037 | ||
Leidos Holdings, Inc. | 16,258 | 1,438,508 | ||
Lockheed Martin Corporation | 24,060 | 11,076,743 | ||
Masco Corporation | 23,878 | 1,370,120 | ||
Nordson Corporation | 5,292 | 1,313,369 | ||
Norfolk Southern Corporation | 24,732 | 5,608,228 | ||
Northrop Grumman Corporation | 14,300 | 6,517,940 | ||
Old Dominion Freight Line, Inc. | 7,428 | 2,746,503 | ||
Otis Worldwide Corporation | 31,681 | 2,819,926 | ||
PACCAR, Inc. | 45,897 | 3,839,284 | ||
Parker-Hannifin Corporation | 8,815 | 3,438,203 | ||
Paychex, Inc. | 34,804 | 3,893,524 | ||
Quanta Services, Inc. | 8,814 | 1,731,510 | ||
Raytheon Technologies Corporation | 143,659 | 14,072,836 | ||
Republic Services, Inc. | 27,745 | 4,249,702 | ||
Robert Half International, Inc. | 4,920 | 370,082 | ||
Rockwell Automation, Inc. | 10,107 | 3,329,751 | ||
Rollins, Inc. | 21,375 | 915,491 | ||
Snap-on, Inc. | 5,899 | 1,700,033 | ||
Southwest Airlines Co. | 75,882 | 2,747,687 | ||
Stanley Black & Decker, Inc. | 10,352 | 970,086 | ||
Textron, Inc. | 15,886 | 1,074,370 | ||
TransDigm Group, Inc. | 3,326 | 2,974,009 | ||
Union Pacific Corporation | 60,280 | 12,334,494 | ||
United Airlines Holdings, Inc.* | 14,679 | 805,437 | ||
United Parcel Service, Inc. Class B | 67,186 | 12,043,091 | ||
United Rentals, Inc. | 1,903 | 847,539 | ||
Verisk Analytics, Inc. | 12,729 | 2,877,136 | ||
W.W. Grainger, Inc. | 2,817 | 2,221,458 |
Shares | Value | |||
Waste Management, Inc. | 42,596 | $ 7,386,998 | ||
Westinghouse Air Brake Technologies Corporation | 11,295 | 1,238,723 | ||
Xylem, Inc. | 9,669 | 1,088,923 | ||
268,469,113 | ||||
Information Technology — 27.0% | ||||
Adobe, Inc.* | 41,557 | 20,320,957 | ||
Advanced Micro Devices, Inc.* | 138,010 | 15,720,719 | ||
Akamai Technologies, Inc.* | 12,022 | 1,080,417 | ||
Amphenol Corporation Class A | 67,536 | 5,737,183 | ||
Analog Devices, Inc. | 48,666 | 9,480,623 | ||
ANSYS, Inc.* | 6,671 | 2,203,231 | ||
Apple, Inc. | 1,344,488 | 260,790,337 | ||
Applied Materials, Inc. | 71,724 | 10,366,987 | ||
Arista Networks, Inc.* | 18,932 | 3,068,120 | ||
Autodesk, Inc.* | 18,555 | 3,796,539 | ||
Broadcom, Inc. | 38,489 | 33,386,513 | ||
Cadence Design Systems, Inc.* | 23,784 | 5,577,824 | ||
CDW Corporation | 11,000 | 2,018,500 | ||
Ceridian HCM Holding, Inc.* | 10,792 | 722,740 | ||
Cisco Systems, Inc. | 386,291 | 19,986,696 | ||
Cognizant Technology Solutions Corporation Class A | 50,859 | 3,320,076 | ||
Corning, Inc. | 81,585 | 2,858,738 | ||
DXC Technology Co.* | 18,725 | 500,332 | ||
Enphase Energy, Inc.* | 12,624 | 2,114,268 | ||
EPAM Systems, Inc.* | 4,578 | 1,028,906 | ||
F5, Inc.* | 3,179 | 464,961 | ||
Fair Isaac Corporation* | 1,045 | 845,624 | ||
First Solar, Inc.* | 9,794 | 1,861,741 | ||
Fortinet, Inc.* | 57,750 | 4,365,323 | ||
Gartner, Inc.* | 5,374 | 1,882,566 | ||
Gen Digital, Inc. | 62,969 | 1,168,075 | ||
Hewlett Packard Enterprise Co. | 153,179 | 2,573,407 | ||
HP, Inc. | 103,716 | 3,185,118 | ||
Intel Corporation | 388,769 | 13,000,435 | ||
International Business Machines Corporation | 90,371 | 12,092,544 | ||
Intuit, Inc. | 23,429 | 10,734,934 | ||
Juniper Networks, Inc. | 33,556 | 1,051,310 | ||
Keysight Technologies, Inc.* | 13,420 | 2,247,179 | ||
KLA Corporation | 11,211 | 5,437,559 | ||
Lam Research Corporation | 10,705 | 6,881,816 | ||
Microchip Technology, Inc. | 41,030 | 3,675,878 | ||
Micron Technology, Inc. | 101,205 | 6,387,048 | ||
Microsoft Corporation | 679,060 | 231,247,092 | ||
Monolithic Power Systems, Inc. | 3,300 | 1,782,759 | ||
Motorola Solutions, Inc. | 13,943 | 4,089,203 | ||
NetApp, Inc. | 26,509 | 2,025,288 | ||
NVIDIA Corporation | 223,493 | 94,542,009 | ||
ON Semiconductor Corporation* | 33,696 | 3,186,968 | ||
Oracle Corporation | 145,192 | 17,290,915 | ||
Palo Alto Networks, Inc.Δ* | 27,463 | 7,017,071 | ||
Paycom Software, Inc. | 3,850 | 1,236,774 | ||
PTC, Inc.* | 10,548 | 1,500,980 | ||
Qorvo, Inc.* | 3,926 | 400,570 | ||
QUALCOMM, Inc. | 101,161 | 12,042,205 | ||
Roper Technologies, Inc. | 12,111 | 5,822,969 |
Shares | Value | |||
Salesforce, Inc.* | 90,121 | $ 19,038,962 | ||
ServiceNow, Inc.* | 16,681 | 9,374,222 | ||
Skyworks Solutions, Inc. | 15,419 | 1,706,729 | ||
SolarEdge Technologies, Inc.* | 4,244 | 1,141,848 | ||
Synopsys, Inc.* | 14,009 | 6,099,659 | ||
Teledyne Technologies, Inc.* | 4,739 | 1,948,250 | ||
Teradyne, Inc.Δ | 9,806 | 1,091,702 | ||
Texas Instruments, Inc. | 86,482 | 15,568,490 | ||
Trimble, Inc.* | 19,275 | 1,020,419 | ||
Tyler Technologies, Inc.* | 3,141 | 1,308,132 | ||
VeriSign, Inc.* | 4,350 | 982,970 | ||
Western Digital Corporation* | 22,012 | 834,915 | ||
Zebra Technologies Corporation Class A* | 4,187 | 1,238,640 | ||
925,474,965 | ||||
Materials — 2.0% | ||||
Air Products and Chemicals, Inc. | 20,651 | 6,185,594 | ||
Albemarle CorporationΔ | 8,321 | 1,856,332 | ||
Avery Dennison Corporation | 5,863 | 1,007,263 | ||
Ball CorporationΔ | 26,240 | 1,527,430 | ||
Celanese Corporation | 7,902 | 915,052 | ||
CF Industries Holdings, Inc. | 17,573 | 1,219,918 | ||
Corteva, Inc. | 79,424 | 4,550,995 | ||
Dow, Inc. | 79,059 | 4,210,682 | ||
DuPont de Nemours, Inc. | 47,302 | 3,379,255 | ||
Eastman Chemical Co. | 14,389 | 1,204,647 | ||
Ecolab, Inc. | 20,111 | 3,754,523 | ||
FMC Corporation | 14,783 | 1,542,458 | ||
Freeport-McMoRan, Inc. | 123,949 | 4,957,960 | ||
International Flavors & Fragrances, Inc. | 23,797 | 1,894,003 | ||
International Paper Co. | 43,581 | 1,386,312 | ||
Martin Marietta Materials, Inc. | 5,969 | 2,755,828 | ||
Mosaic Co. (The) | 35,598 | 1,245,930 | ||
Newmont Corporation | 75,968 | 3,240,795 | ||
Nucor Corporation | 23,742 | 3,893,213 | ||
Packaging Corporation of America | 13,571 | 1,793,543 | ||
PPG Industries, Inc. | 18,443 | 2,735,097 | ||
Sealed Air Corporation | 10,710 | 428,400 | ||
Sherwin-Williams Co. (The) | 21,527 | 5,715,849 | ||
Steel Dynamics, Inc. | 14,925 | 1,625,780 | ||
Vulcan Materials Co. | 17,870 | 4,028,613 | ||
Westrock Co. | 21,818 | 634,249 | ||
67,689,721 | ||||
Real Estate — 2.3% | ||||
Alexandria Real Estate Equities, Inc. REIT | 11,494 | 1,304,454 | ||
American Tower Corporation REIT | 41,821 | 8,110,765 | ||
AvalonBay Communities, Inc. REIT | 14,896 | 2,819,366 | ||
Boston Properties, Inc. REIT | 11,272 | 649,154 | ||
Camden Property Trust REIT | 8,401 | 914,617 | ||
CBRE Group, Inc. Class A* | 35,708 | 2,881,993 | ||
Crown Castle, Inc. REIT | 38,898 | 4,432,038 | ||
Digital Realty Trust, Inc. REIT | 25,560 | 2,910,517 | ||
Equinix, Inc. REIT | 8,002 | 6,273,088 | ||
Equity Residential REIT | 36,341 | 2,397,416 | ||
Essex Property Trust, Inc. REIT | 8,395 | 1,966,948 |
Shares | Value | |||
Extra Space Storage, Inc. REITΔ | 8,534 | $ 1,270,286 | ||
Federal Realty Investment Trust REIT | 2,600 | 251,602 | ||
Healthpeak Properties, Inc. REIT | 68,876 | 1,384,408 | ||
Host Hotels & Resorts, Inc. REIT | 47,716 | 803,060 | ||
Invitation Homes, Inc. REIT | 34,795 | 1,196,948 | ||
Iron Mountain, Inc. REIT | 32,755 | 1,861,139 | ||
Kimco Realty Corporation REIT | 56,971 | 1,123,468 | ||
Mid-America Apartment Communities, Inc. REIT | 12,145 | 1,844,340 | ||
Prologis, Inc. REIT | 81,752 | 10,025,248 | ||
Public Storage REIT | 14,785 | 4,315,446 | ||
Realty Income Corporation REIT | 76,588 | 4,579,197 | ||
Regency Centers Corporation REIT | 15,104 | 932,974 | ||
SBA Communications Corporation REIT | 9,082 | 2,104,844 | ||
Simon Property Group, Inc. REIT | 25,427 | 2,936,310 | ||
UDR, Inc. REIT | 34,368 | 1,476,449 | ||
Ventas, Inc. REIT | 33,547 | 1,585,767 | ||
Welltower, Inc. REIT | 51,201 | 4,141,649 | ||
Weyerhaeuser Co. REIT | 57,740 | 1,934,867 | ||
78,428,358 | ||||
Utilities — 2.5% | ||||
AES Corporation (The) | 56,201 | 1,165,047 | ||
Alliant Energy Corporation | 22,632 | 1,187,727 | ||
Ameren Corporation | 19,884 | 1,623,926 | ||
American Electric Power Co., Inc. | 43,060 | 3,625,652 | ||
American Water Works Co., Inc. | 16,760 | 2,392,490 | ||
Atmos Energy CorporationΔ | 14,912 | 1,734,862 | ||
CenterPoint Energy, Inc. | 50,231 | 1,464,234 | ||
CMS Energy CorporationΔ | 24,417 | 1,434,499 | ||
Consolidated Edison, Inc. | 54,284 | 4,907,274 | ||
Constellation Energy Corporation | 27,905 | 2,554,703 | ||
Dominion Energy, Inc. | 84,336 | 4,367,761 | ||
DTE Energy Co. | 16,224 | 1,784,964 | ||
Duke Energy Corporation | 84,950 | 7,623,413 | ||
Edison International | 35,412 | 2,459,363 | ||
Entergy Corporation | 16,902 | 1,645,748 | ||
Evergy, Inc. | 17,247 | 1,007,570 | ||
Eversource Energy | 27,044 | 1,917,960 | ||
Exelon Corporation | 90,545 | 3,688,803 | ||
FirstEnergy Corporation | 45,258 | 1,759,631 | ||
NextEra Energy, Inc. | 174,443 | 12,943,671 | ||
NiSource, Inc. | 23,079 | 631,211 | ||
NRG Energy, Inc. | 19,377 | 724,506 | ||
PG&E Corporation* | 133,703 | 2,310,388 | ||
Pinnacle West Capital Corporation | 4,108 | 334,638 | ||
PPL Corporation | 38,698 | 1,023,949 | ||
Public Service Enterprise Group, Inc. | 46,751 | 2,927,080 | ||
Sempra Energy | 30,276 | 4,407,883 | ||
Southern Co. (The) | 109,049 | 7,660,692 | ||
WEC Energy Group, Inc. | 33,758 | 2,978,806 |
Shares | Value | |||
Xcel Energy, Inc. | 36,082 | $ 2,243,218 | ||
86,531,669 | ||||
Total Common Stocks (Cost $1,961,354,623) | 3,260,046,091 |
FOREIGN COMMON STOCKS — 3.2% | |||
Canada — 0.0% | |||
Enerflex, Ltd. | 6 | 41 | |
Curacao — 0.2% | |||
Schlumberger NV | 127,652 | 6,270,266 | |
Ireland — 2.2% | |||
Accenture PLC Class AΔ | 58,933 | 18,185,545 | |
Allegion PLC | 8,862 | 1,063,617 | |
Aon PLC Class A | 19,060 | 6,579,512 | |
Eaton Corporation PLCΔ | 34,612 | 6,960,473 | |
Johnson Controls International PLCΔ | 65,453 | 4,459,967 | |
Linde PLC | 48,518 | 18,489,239 | |
Medtronic PLCΔ | 123,226 | 10,856,211 | |
Pentair PLC | 6,692 | 432,303 | |
Seagate Technology Holdings PLC | 20,280 | 1,254,724 | |
STERIS PLC | 7,533 | 1,694,774 | |
Trane Technologies PLC | 16,206 | 3,099,560 | |
Willis Towers Watson PLCΔ | 12,561 | 2,958,116 | |
76,034,041 | |||
Jersey — 0.1% | |||
Amcor PLC | 225,378 | 2,249,272 | |
Aptiv PLC* | 21,684 | 2,213,720 | |
4,462,992 | |||
Netherlands — 0.2% | |||
LyondellBasell Industries NV Class A | 27,312 | 2,508,061 | |
NXP Semiconductor NV | 22,877 | 4,682,465 | |
7,190,526 | |||
Switzerland — 0.5% | |||
Chubb, Ltd. | 48,711 | 9,379,790 | |
Garmin, Ltd. | 14,411 | 1,502,923 | |
TE Connectivity, Ltd. | 28,610 | 4,009,978 | |
14,892,691 | |||
Total Foreign Common Stocks (Cost $71,487,072) | 108,850,557 |
MONEY MARKET FUNDS — 1.6% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 53,474,911 | 53,474,911 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 135,500 | 135,500 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 6,255 | $ 6,255 | ||
Total Money Market Funds (Cost $53,616,666) | 53,616,666 | |||
TOTAL INVESTMENTS — 99.9% (Cost $2,086,458,361) | 3,422,513,314 | |||
Other Assets in Excess of Liabilities — 0.1% | 3,266,435 | |||
NET ASSETS — 100.0% | $3,425,779,749 |
% | |
Information Technology | 27.7 |
Health Care | 12.7 |
Financials | 12.5 |
Consumer Discretionary | 10.3 |
Communication Services | 8.5 |
Industrials | 8.2 |
Consumer Staples | 6.7 |
Energy | 4.1 |
Materials | 2.8 |
Utilities | 2.5 |
Real Estate | 2.3 |
Money Market Funds | 1.6 |
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 | 09/2023 | 247 | $55,429,888 | $679,264 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $3,260,046,091 | $3,260,046,091 | $ — | $ — | |||
Foreign Common Stocks | 108,850,557 | 108,850,557 | — | — | |||
Money Market Funds | 53,616,666 | 53,616,666 | — | — | |||
Total Assets - Investments in Securities | $3,422,513,314 | $3,422,513,314 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 679,264 | $ 679,264 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 679,264 | $ 679,264 | $ — | $ — |
*** | 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 — 90.3% | ||||
Communication Services — 5.0% | ||||
Activision Blizzard, Inc.* | 7,420 | $ 625,506 | ||
AMC Entertainment Holdings, Inc. Class AΔ* | 3,029 | 13,328 | ||
AT&T, Inc. | 60,847 | 970,510 | ||
Cable One, Inc. | 15 | 9,856 | ||
Comcast Corporation Class A | 35,252 | 1,464,721 | ||
Electronic Arts, Inc. | 2,288 | 296,754 | ||
Fox Corporation Class A | 2,285 | 77,690 | ||
Fox Corporation Class B | 1,520 | 48,473 | ||
Frontier Communications Parent, Inc.* | 840 | 15,658 | ||
IAC, Inc.* | 624 | 39,187 | ||
Interpublic Group of Cos., Inc. (The) | 2,902 | 111,959 | ||
Liberty Broadband Corporation* | 529 | 42,378 | ||
Liberty Broadband Corporation Class A* | 105 | 8,372 | ||
Liberty Media Corporation Class A* | 1,775 | 58,238 | ||
Liberty Media Corporation-Liberty Formula One* | 1,591 | 119,770 | ||
Liberty Media Corporation-Liberty Formula One Class A* | 112 | 7,573 | ||
Liberty Media Corporation-Liberty SiriusXM Class C* | 423 | 13,845 | ||
Live Nation Entertainment, Inc.Δ* | 711 | 64,779 | ||
New York Times Co. (The) Class A | 1,000 | 39,380 | ||
News Corporation Class A | 2,285 | 44,557 | ||
News Corporation Class B | 446 | 8,795 | ||
Nexstar Media Group, Inc. Class A | 191 | 31,811 | ||
Omnicom Group, Inc. | 1,654 | 157,378 | ||
Paramount Global Class B | 5,200 | 82,732 | ||
Roku, Inc.* | 807 | 51,616 | ||
Sirius XM Holdings, Inc.Δ | 7,642 | 34,618 | ||
Take-Two Interactive Software, Inc.* | 1,336 | 196,606 | ||
T-Mobile US, Inc.* | 5,051 | 701,584 | ||
Verizon Communications, Inc. | 36,087 | 1,342,076 | ||
Walt Disney Co. (The)* | 14,626 | 1,305,809 | ||
Warner Bros Discovery, Inc.* | 17,507 | 219,538 | ||
ZoomInfo Technologies, Inc.* | 1,250 | 31,737 | ||
8,236,834 | ||||
Consumer Discretionary — 4.9% | ||||
ADT, Inc.Δ | 2,684 | 16,185 | ||
Advance Auto Parts, Inc. | 456 | 32,057 | ||
Aramark | 2,497 | 107,496 | ||
AutoNation, Inc.Δ* | 330 | 54,321 | ||
AutoZone, Inc.* | 26 | 64,827 | ||
Bath & Body Works, Inc. | 1,381 | 51,788 | ||
Best Buy Co., Inc. | 1,245 | 102,028 | ||
BorgWarner, Inc. | 1,749 | 85,543 | ||
Bright Horizons Family Solutions, Inc.* | 438 | 40,493 | ||
Brunswick Corporation | 461 | 39,941 | ||
Capri Holdings, Ltd.* | 604 | 21,678 | ||
CarMax, Inc.Δ* | 852 | 71,312 | ||
Carnival CorporationΔ* | 8,217 | 154,726 | ||
Carter's, Inc. | 444 | 32,234 | ||
Columbia Sportswear Co. | 538 | 41,555 |
Shares | Value | |||
D.R. Horton, Inc. | 2,394 | $ 291,326 | ||
Darden Restaurants, Inc. | 641 | 107,098 | ||
Dick's Sporting Goods, Inc. | 459 | 60,675 | ||
DoorDash, Inc. Class A* | 525 | 40,121 | ||
eBay, Inc. | 3,941 | 176,123 | ||
Etsy, Inc.* | 247 | 20,899 | ||
Expedia Group, Inc.* | 205 | 22,425 | ||
Ford Motor Co. | 32,185 | 486,959 | ||
GameStop Corporation Class AΔ* | 1,865 | 45,226 | ||
General Motors Co. | 10,962 | 422,695 | ||
Gentex Corporation | 2,642 | 77,305 | ||
Genuine Parts Co. | 1,658 | 280,583 | ||
Grand Canyon Education, Inc.* | 469 | 48,406 | ||
H&R Block, Inc. | 786 | 25,050 | ||
Harley-Davidson, Inc. | 462 | 16,267 | ||
Hasbro, Inc. | 1,505 | 97,479 | ||
Hilton Worldwide Holdings, Inc. | 1,124 | 163,598 | ||
Hyatt Hotels Corporation Class A | 418 | 47,895 | ||
Kohl’s Corporation | 720 | 16,596 | ||
Lear Corporation | 354 | 50,817 | ||
Leggett & Platt, Inc. | 530 | 15,699 | ||
Lennar Corporation Class A | 2,269 | 284,328 | ||
Lithia Motors, Inc. | 189 | 57,477 | ||
LKQ Corporation | 3,037 | 176,966 | ||
Lowe’s Cos., Inc. | 1,223 | 276,031 | ||
Lucid Group, Inc.Δ* | 5,070 | 34,932 | ||
Macy’s, Inc. | 782 | 12,551 | ||
Marriott Vacations Worldwide Corporation | 292 | 35,834 | ||
Mattel, Inc.* | 3,422 | 66,866 | ||
McDonald’s Corporation | 4,190 | 1,250,338 | ||
Mister Car Wash, Inc.Δ* | 754 | 7,276 | ||
Mohawk Industries, Inc.* | 337 | 34,765 | ||
Newell Brands, Inc. | 2,906 | 25,282 | ||
NIKE, Inc. Class B | 4,497 | 496,334 | ||
Norwegian Cruise Line Holdings, Ltd.* | 3,153 | 68,641 | ||
NVR, Inc.* | 18 | 114,311 | ||
O’Reilly Automotive, Inc.* | 183 | 174,820 | ||
Ollie's Bargain Outlet Holdings, Inc.* | 324 | 18,769 | ||
Penske Automotive Group, Inc.Δ | 192 | 31,993 | ||
Polaris, Inc.Δ | 403 | 48,735 | ||
PulteGroup, Inc. | 1,309 | 101,683 | ||
PVH Corporation | 162 | 13,765 | ||
Ralph Lauren CorporationΔ | 379 | 46,731 | ||
RH* | 18 | 5,933 | ||
Rivian Automotive, Inc. Class AΔ* | 4,214 | 70,205 | ||
Ross Stores, Inc. | 556 | 62,344 | ||
Royal Caribbean Cruises, Ltd.Δ* | 1,398 | 145,029 | ||
Service Corporation International | 1,858 | 120,008 | ||
Skechers U.S.A., Inc. Class A* | 658 | 34,650 | ||
Tapestry, Inc. | 1,755 | 75,114 | ||
Tempur Sealy International, Inc. | 1,204 | 48,244 | ||
Thor Industries, Inc.Δ | 326 | 33,741 | ||
Toll Brothers, Inc. | 336 | 26,568 | ||
TopBuild Corporation* | 119 | 31,656 | ||
Under Armour, Inc. Class C* | 968 | 6,495 |
Shares | Value | |||
Vail Resorts, Inc. | 282 | $ 70,996 | ||
Valvoline, Inc. | 606 | 22,731 | ||
VF Corporation | 3,534 | 67,464 | ||
Wayfair, Inc. Class AΔ* | 385 | 25,029 | ||
Whirlpool Corporation | 379 | 56,391 | ||
Williams-Sonoma, Inc. | 294 | 36,791 | ||
Wyndham Hotels & Resorts, Inc. | 505 | 34,628 | ||
Yum! Brands, Inc. | 997 | 138,134 | ||
7,920,005 | ||||
Consumer Staples — 7.9% | ||||
Albertsons Cos., Inc. Class A | 1,406 | 30,679 | ||
Archer-Daniels-Midland Co. | 4,615 | 348,709 | ||
BJ's Wholesale Club Holdings, Inc.* | 631 | 39,759 | ||
Bunge, Ltd. | 1,227 | 115,767 | ||
Campbell Soup Co. | 2,083 | 95,214 | ||
Casey’s General Stores, Inc. | 223 | 54,385 | ||
Church & Dwight Co., Inc. | 1,339 | 134,208 | ||
Coca-Cola Co. (The) | 20,294 | 1,222,105 | ||
Colgate-Palmolive Co. | 6,155 | 474,181 | ||
Conagra Brands, Inc. | 5,282 | 178,109 | ||
Coty, Inc. Class A* | 5,539 | 68,074 | ||
Darling Ingredients, Inc.* | 1,055 | 67,298 | ||
Dollar Tree, Inc.* | 1,636 | 234,766 | ||
Estee Lauder Cos., Inc. (The) Class A | 1,547 | 303,800 | ||
Flowers Foods, Inc. | 2,526 | 62,847 | ||
General Mills, Inc. | 6,179 | 473,929 | ||
Grocery Outlet Holding Corporation* | 444 | 13,591 | ||
Hershey Co. (The) | 526 | 131,342 | ||
Hormel Foods Corporation | 4,166 | 167,557 | ||
Ingredion, Inc. | 566 | 59,968 | ||
J.M. Smucker Co. (The) | 1,526 | 225,344 | ||
Kellogg Co. | 2,653 | 178,812 | ||
Keurig Dr. Pepper, Inc. | 11,696 | 365,734 | ||
Kimberly-Clark Corporation | 1,556 | 214,821 | ||
Kraft Heinz Co. (The) | 7,887 | 279,989 | ||
Kroger Co. (The) | 5,693 | 267,571 | ||
McCormick & Co., Inc. (Non-Voting Shares) | 2,235 | 194,959 | ||
Mondelez International, Inc. Class A | 13,576 | 990,233 | ||
PepsiCo, Inc. | 5,214 | 965,737 | ||
Performance Food Group Co.* | 469 | 28,253 | ||
Pilgrim’s Pride Corporation* | 209 | 4,491 | ||
Post Holdings, Inc.* | 304 | 26,342 | ||
Procter & Gamble Co. (The) | 16,574 | 2,514,939 | ||
Reynolds Consumer Products, Inc. | 1,447 | 40,878 | ||
Seaboard Corporation | 3 | 10,682 | ||
Tyson Foods, Inc. Class A | 2,592 | 132,296 | ||
U.S. Foods Holding Corporation* | 1,212 | 53,328 | ||
Walgreens Boots Alliance, Inc. | 5,752 | 163,875 | ||
Walmart, Inc. | 12,159 | 1,911,152 | ||
12,845,724 | ||||
Energy — 7.3% | ||||
Antero Midstream Corporation | 2,130 | 24,708 | ||
Antero Resources Corporation* | 1,429 | 32,910 | ||
Baker Hughes Co. | 8,018 | 253,449 | ||
Chesapeake Energy Corporation | 923 | 77,237 | ||
Chevron Corporation | 14,889 | 2,342,784 |
Shares | Value | |||
ConocoPhillips | 10,386 | $ 1,076,093 | ||
Coterra Energy, Inc. | 6,273 | 158,707 | ||
Devon Energy Corporation | 4,574 | 221,107 | ||
Diamondback Energy, Inc. | 1,155 | 151,721 | ||
DT Midstream, Inc. | 459 | 22,753 | ||
EOG Resources, Inc. | 4,631 | 529,972 | ||
EQT Corporation | 2,588 | 106,444 | ||
Exxon Mobil Corporation | 34,120 | 3,659,370 | ||
Halliburton Co. | 5,587 | 184,315 | ||
Hess Corporation | 744 | 101,147 | ||
HF Sinclair Corporation | 1,101 | 49,116 | ||
Kinder Morgan, Inc. | 18,154 | 312,612 | ||
Marathon Oil Corporation | 4,540 | 104,511 | ||
Marathon Petroleum Corporation | 3,782 | 440,981 | ||
NOV, Inc. | 2,112 | 33,876 | ||
Occidental Petroleum CorporationΔ | 5,238 | 307,994 | ||
ONEOK, Inc. | 2,835 | 174,976 | ||
Ovintiv, Inc.Δ | 255 | 9,708 | ||
PDC Energy, Inc. | 184 | 13,090 | ||
Phillips 66Δ | 3,831 | 365,401 | ||
Pioneer Natural Resources Co. | 1,919 | 397,578 | ||
Range Resources Corporation | 1,131 | 33,251 | ||
Southwestern Energy Co.* | 5,749 | 34,552 | ||
Valero Energy Corporation | 3,050 | 357,765 | ||
Williams Cos., Inc. (The) | 10,769 | 351,392 | ||
11,929,520 | ||||
Financials — 18.4% | ||||
Affirm Holdings, Inc.Δ* | 851 | 13,046 | ||
Aflac, Inc. | 5,153 | 359,679 | ||
AGNC Investment Corporation REITΔ | 1,368 | 13,858 | ||
Allstate Corporation (The) | 2,412 | 263,004 | ||
Ally Financial, Inc. | 1,544 | 41,703 | ||
American Express Co. | 3,668 | 638,966 | ||
American Financial Group, Inc. | 583 | 69,231 | ||
American International Group, Inc. | 6,550 | 376,887 | ||
Annaly Capital Management, Inc. REIT | 3,135 | 62,731 | ||
Arch Capital Group, Ltd.* | 2,291 | 171,481 | ||
Arthur J. Gallagher & Co. | 1,606 | 352,629 | ||
Assurant, Inc. | 456 | 57,328 | ||
Assured Guaranty, Ltd. | 287 | 16,015 | ||
Axis Capital Holdings, Ltd. | 655 | 35,259 | ||
Bank of America Corporation | 57,598 | 1,652,487 | ||
Bank of New York Mellon Corporation (The) | 6,536 | 290,983 | ||
Bank OZKΔ | 159 | 6,385 | ||
Berkshire Hathaway, Inc. Class B* | 15,003 | 5,116,023 | ||
BlackRock, Inc. | 1,237 | 854,940 | ||
Block, Inc.* | 2,493 | 165,959 | ||
Brown & Brown, Inc. | 2,044 | 140,709 | ||
Capital One Financial Corporation | 3,152 | 344,734 | ||
Carlyle Group, Inc. (The) | 1,085 | 34,666 | ||
Cboe Global Markets, Inc. | 1,007 | 138,976 | ||
Charles Schwab Corporation (The) | 11,988 | 679,480 | ||
Cincinnati Financial Corporation | 1,398 | 136,053 | ||
Citigroup, Inc. | 15,449 | 711,272 | ||
Citizens Financial Group, Inc. | 3,357 | 87,551 |
Shares | Value | |||
CME Group, Inc. | 3,124 | $ 578,846 | ||
CNA Financial Corporation | 2,002 | 77,317 | ||
Coinbase Global, Inc. Class AΔ* | 1,041 | 74,484 | ||
Columbia Banking System, Inc. | 1,700 | 34,476 | ||
Comerica, Inc. | 982 | 41,597 | ||
Commerce Bancshares, Inc. | 1,248 | 60,778 | ||
Credit Acceptance CorporationΔ* | 27 | 13,714 | ||
Cullen/Frost Bankers, Inc. | 436 | 46,883 | ||
Discover Financial Services | 2,174 | 254,032 | ||
East West Bancorp, Inc. | 887 | 46,825 | ||
Evercore, Inc. Class A | 54 | 6,674 | ||
Everest Re Group, Ltd. | 276 | 94,353 | ||
Fidelity National Financial, Inc. | 2,377 | 85,572 | ||
Fidelity National Information Services, Inc. | 5,126 | 280,392 | ||
Fifth Third Bancorp | 5,109 | 133,907 | ||
First American Financial Corporation | 743 | 42,366 | ||
First Citizens BancShares, Inc. Class A | 66 | 84,708 | ||
First Hawaiian, Inc. | 562 | 10,122 | ||
First Horizon Corporation | 4,487 | 50,568 | ||
Fiserv, Inc.* | 3,871 | 488,327 | ||
FNB Corporation | 3,594 | 41,115 | ||
Franklin Resources, Inc. | 2,081 | 55,583 | ||
Global Payments, Inc. | 2,019 | 198,912 | ||
Globe Life, Inc. | 503 | 55,139 | ||
Goldman Sachs Group, Inc. (The) | 2,746 | 885,695 | ||
Hanover Insurance Group, Inc. (The) | 343 | 38,769 | ||
Hartford Financial Services Group, Inc. (The) | 2,999 | 215,988 | ||
Huntington Bancshares, Inc. | 13,265 | 142,997 | ||
Interactive Brokers Group, Inc. Class A | 742 | 61,638 | ||
Intercontinental Exchange, Inc. | 4,680 | 529,214 | ||
Invesco, Ltd. | 1,036 | 17,415 | ||
Jack Henry & Associates, Inc. | 274 | 45,848 | ||
Jefferies Financial Group, Inc. | 847 | 28,095 | ||
JPMorgan Chase & Co. | 23,886 | 3,473,980 | ||
Kemper Corporation | 372 | 17,953 | ||
KeyCorp | 7,730 | 71,425 | ||
KKR & Co., Inc. | 4,369 | 244,664 | ||
Lazard, Ltd. Class A | 471 | 15,072 | ||
Lincoln National Corporation | 535 | 13,782 | ||
Loews Corporation | 2,715 | 161,217 | ||
M&T Bank Corporation | 1,439 | 178,091 | ||
Markel Corporation* | 73 | 100,972 | ||
Marsh & McLennan Cos., Inc. | 660 | 124,133 | ||
MetLife, Inc. | 5,568 | 314,759 | ||
MGIC Investment Corporation | 1,510 | 23,843 | ||
Moody’s Corporation | 99 | 34,424 | ||
Morgan Stanley | 10,541 | 900,201 | ||
MSCI, Inc. | 164 | 76,964 | ||
Nasdaq, Inc. | 2,708 | 134,994 | ||
New York Community Bancorp, Inc.Δ | 3,240 | 36,418 | ||
Northern Trust Corporation | 1,693 | 125,519 | ||
Old Republic International Corporation | 2,745 | 69,092 | ||
OneMain Holdings, Inc. | 688 | 30,059 | ||
PayPal Holdings, Inc.* | 832 | 55,519 |
Shares | Value | |||
Pinnacle Financial Partners, Inc. | 110 | $ 6,231 | ||
PNC Financial Services Group, Inc. (The) | 3,315 | 417,524 | ||
Popular, Inc. | 352 | 21,303 | ||
Primerica, Inc. | 63 | 12,459 | ||
Principal Financial Group, Inc. | 1,733 | 131,431 | ||
Progressive Corporation (The) | 1,392 | 184,259 | ||
Prosperity Bancshares, Inc. | 992 | 56,028 | ||
Prudential Financial, Inc. | 3,074 | 271,188 | ||
Raymond James Financial, Inc. | 1,518 | 157,523 | ||
Regions Financial Corporation | 7,234 | 128,910 | ||
Reinsurance Group of America, Inc. | 566 | 78,499 | ||
RLI Corporation | 187 | 25,520 | ||
Robinhood Markets, Inc. Class AΔ* | 2,796 | 27,904 | ||
S&P Global, Inc. | 2,610 | 1,046,323 | ||
SEI Investments Co. | 1,406 | 83,826 | ||
SLM Corporation | 959 | 15,651 | ||
SoFi Technologies, Inc.Δ* | 6,461 | 53,885 | ||
State Street Corporation | 2,876 | 210,466 | ||
Stifel Financial Corporation | 466 | 27,806 | ||
Synchrony Financial | 3,426 | 116,210 | ||
T. Rowe Price Group, Inc. | 1,891 | 211,830 | ||
TFS Financial Corporation | 2,703 | 33,977 | ||
Tradeweb Markets, Inc. Class A | 580 | 39,718 | ||
Travelers Cos., Inc. (The) | 2,377 | 412,790 | ||
Truist Financial Corporation | 10,926 | 331,604 | ||
U.S. Bancorp | 11,654 | 385,048 | ||
Unum Group | 1,632 | 77,846 | ||
Virtu Financial, Inc. Class A | 751 | 12,835 | ||
Voya Financial, Inc. | 610 | 43,743 | ||
W.R. Berkley Corporation | 1,763 | 105,004 | ||
Webster Financial Corporation | 1,035 | 39,071 | ||
Wells Fargo & Co. | 32,007 | 1,366,059 | ||
Western Alliance Bancorp | 621 | 22,648 | ||
Western Union Co. (The) | 2,540 | 29,794 | ||
WEX, Inc.* | 99 | 18,025 | ||
White Mountains Insurance Group, Ltd. | 8 | 11,111 | ||
Wintrust Financial Corporation | 428 | 31,081 | ||
Zions Bancorp NAΔ | 877 | 23,556 | ||
30,126,151 | ||||
Health Care — 12.9% | ||||
Abbott Laboratories | 14,006 | 1,526,934 | ||
Acadia Healthcare Co., Inc.* | 774 | 61,641 | ||
Agilent Technologies, Inc. | 704 | 84,656 | ||
agilon health, Inc.* | 238 | 4,127 | ||
Alnylam Pharmaceuticals, Inc.* | 485 | 92,121 | ||
Amedisys, Inc.* | 220 | 20,117 | ||
Amgen, Inc. | 2,189 | 486,002 | ||
Avantor, Inc.* | 6,026 | 123,774 | ||
Azenta, Inc.* | 710 | 33,143 | ||
Baxter International, Inc. | 4,662 | 212,401 | ||
Becton, Dickinson and Co. | 2,855 | 753,749 | ||
Biogen, Inc.* | 1,747 | 497,633 | ||
BioMarin Pharmaceutical, Inc.* | 2,584 | 223,981 | ||
Bio-Rad Laboratories, Inc. Class A* | 239 | 90,610 | ||
Boston Scientific Corporation* | 13,297 | 719,235 |
Shares | Value | |||
Bristol-Myers Squibb Co. | 29,549 | $1,889,659 | ||
Cardinal Health, Inc. | 2,018 | 190,842 | ||
Catalent, Inc.* | 2,378 | 103,110 | ||
Centene Corporation* | 4,897 | 330,303 | ||
Certara, Inc.* | 1,253 | 22,817 | ||
Charles River Laboratories International, Inc.* | 424 | 89,146 | ||
Chemed Corporation | 161 | 87,209 | ||
Cigna Group (The) | 2,452 | 688,031 | ||
CVS Health Corporation | 11,716 | 809,927 | ||
Danaher Corporation | 5,592 | 1,342,080 | ||
DENTSPLY SIRONA, Inc. | 1,831 | 73,277 | ||
Doximity, Inc. Class AΔ* | 382 | 12,996 | ||
Elanco Animal Health, Inc.* | 23,362 | 235,022 | ||
Elevance Health, Inc. | 1,820 | 808,608 | ||
Encompass Health Corporation | 918 | 62,158 | ||
Enovis Corporation* | 373 | 23,917 | ||
Envista Holdings Corporation* | 1,454 | 49,203 | ||
Exact Sciences Corporation* | 1,307 | 122,727 | ||
Exelixis, Inc.* | 5,348 | 102,200 | ||
GE HealthCare Technologies, Inc. | 3,198 | 259,806 | ||
Gilead Sciences, Inc. | 12,429 | 957,903 | ||
Globus Medical, Inc. Class A* | 372 | 22,149 | ||
HCA Healthcare, Inc. | 1,540 | 467,359 | ||
Henry Schein, Inc.* | 1,447 | 117,352 | ||
Hologic, Inc.* | 2,335 | 189,065 | ||
Humana, Inc. | 684 | 305,837 | ||
ICU Medical, Inc.* | 185 | 32,965 | ||
Illumina, Inc.* | 1,033 | 193,677 | ||
Incyte Corporation* | 2,328 | 144,918 | ||
Integra LifeSciences Holdings Corporation* | 399 | 16,411 | ||
Ionis Pharmaceuticals, Inc.Δ* | 1,914 | 78,531 | ||
IQVIA Holdings, Inc.* | 128 | 28,771 | ||
Karuna Therapeutics, Inc.* | 245 | 53,128 | ||
Laboratory Corporation of America Holdings | 797 | 192,340 | ||
McKesson Corporation | 997 | 426,028 | ||
Mirati Therapeutics, Inc.* | 540 | 19,510 | ||
Moderna, Inc.* | 2,953 | 358,789 | ||
Molina Healthcare, Inc.* | 304 | 91,577 | ||
Organon & Co. | 13,303 | 276,835 | ||
Premier, Inc. Class A | 2,254 | 62,346 | ||
Quest Diagnostics, Inc. | 1,217 | 171,062 | ||
QuidelOrtho Corporation* | 438 | 36,293 | ||
R1 RCM, Inc.* | 1,265 | 23,339 | ||
Regeneron Pharmaceuticals, Inc.* | 937 | 673,272 | ||
Repligen Corporation* | 365 | 51,633 | ||
Revvity, Inc. | 961 | 114,157 | ||
Roivant Sciences, Ltd.Δ* | 2,207 | 22,247 | ||
Stryker Corporation | 2,313 | 705,673 | ||
Syneos Health, Inc.* | 989 | 41,676 | ||
Teladoc Health, Inc.Δ* | 1,591 | 40,284 | ||
Teleflex, Inc. | 413 | 99,958 | ||
Tenet Healthcare Corporation* | 811 | 65,999 | ||
Thermo Fisher Scientific, Inc. | 1,549 | 808,191 | ||
United Therapeutics Corporation* | 758 | 167,328 | ||
UnitedHealth Group, Inc. | 1,442 | 693,083 |
Shares | Value | |||
Universal Health Services, Inc. Class B | 520 | $ 82,040 | ||
Vertex Pharmaceuticals, Inc.* | 674 | 237,187 | ||
Viatris, Inc. | 43,434 | 433,471 | ||
Zimmer Biomet Holdings, Inc. | 1,812 | 263,827 | ||
20,999,373 | ||||
Industrials — 11.8% | ||||
3M Co. | 4,620 | 462,416 | ||
A.O. Smith Corporation | 1,076 | 78,311 | ||
Acuity Brands, Inc. | 224 | 36,530 | ||
AECOM | 1,080 | 91,465 | ||
AGCO Corporation | 472 | 62,030 | ||
Alaska Air Group, Inc.* | 1,150 | 61,157 | ||
Allison Transmission Holdings, Inc. | 407 | 22,979 | ||
American Airlines Group, Inc.Δ* | 3,333 | 59,794 | ||
AMETEK, Inc. | 1,907 | 308,705 | ||
Automatic Data Processing, Inc. | 711 | 156,271 | ||
Avis Budget Group, Inc.* | 89 | 20,352 | ||
Boeing Co. (The)* | 3,886 | 820,568 | ||
Broadridge Financial Solutions, Inc. | 207 | 34,285 | ||
Builders FirstSource, Inc.* | 1,126 | 153,136 | ||
BWX Technologies, Inc. | 488 | 34,926 | ||
C.H. Robinson Worldwide, Inc. | 633 | 59,724 | ||
CACI International, Inc. Class A* | 218 | 74,303 | ||
Carlisle Cos., Inc. | 468 | 120,056 | ||
Carrier Global Corporation | 6,892 | 342,601 | ||
Caterpillar, Inc. | 1,169 | 287,632 | ||
Cintas Corporation | 143 | 71,082 | ||
Clean Harbors, Inc.* | 363 | 59,688 | ||
Concentrix Corporation | 396 | 31,977 | ||
CoStar Group, Inc.* | 2,342 | 208,438 | ||
Crane Co. | 265 | 23,617 | ||
Crane Holdings Co. | 265 | 14,957 | ||
CSX Corporation | 16,453 | 561,047 | ||
Cummins, Inc. | 1,199 | 293,947 | ||
Curtiss-Wright Corporation | 244 | 44,813 | ||
Deere & Co. | 231 | 93,599 | ||
Delta Air Lines, Inc.* | 3,501 | 166,437 | ||
Donaldson Co., Inc. | 810 | 50,633 | ||
Dover Corporation | 958 | 141,449 | ||
Dun & Bradstreet Holdings, Inc. | 719 | 8,319 | ||
EMCOR Group, Inc. | 124 | 22,913 | ||
Emerson Electric Co. | 4,100 | 370,599 | ||
Equifax, Inc. | 374 | 88,002 | ||
Esab Corporation | 116 | 7,719 | ||
Expeditors International of Washington, Inc. | 574 | 69,529 | ||
Fastenal Co. | 774 | 45,658 | ||
FedEx Corporation | 1,908 | 472,993 | ||
Flowserve Corporation | 500 | 18,575 | ||
Fortive Corporation | 3,396 | 253,919 | ||
Fortune Brands Innovations, Inc. | 689 | 49,574 | ||
FTI Consulting, Inc.* | 316 | 60,103 | ||
Generac Holdings, Inc.* | 289 | 43,099 | ||
General Dynamics Corporation | 2,327 | 500,654 | ||
General Electric Co. | 8,384 | 920,982 | ||
Genpact, Ltd. | 1,201 | 45,122 |
Shares | Value | |||
Graco, Inc. | 941 | $ 81,255 | ||
HEICO Corporation | 37 | 6,547 | ||
HEICO Corporation Class A | 81 | 11,389 | ||
Hertz Global Holdings, Inc.* | 1,399 | 25,728 | ||
Hexcel Corporation | 328 | 24,935 | ||
Honeywell International, Inc. | 4,326 | 897,645 | ||
Howmet Aerospace, Inc. | 1,608 | 79,692 | ||
Hubbell, Inc. | 319 | 105,768 | ||
Huntington Ingalls Industries, Inc. | 331 | 75,336 | ||
IDEX Corporation | 634 | 136,475 | ||
Illinois ToolWorks, Inc. | 606 | 151,597 | ||
Ingersoll-Rand, Inc. | 3,593 | 234,838 | ||
ITT, Inc. | 963 | 89,761 | ||
J.B. Hunt Transport Services, Inc. | 721 | 130,523 | ||
Jacobs Solutions, Inc. | 944 | 112,232 | ||
KBR, Inc. | 559 | 36,369 | ||
Kirby Corporation* | 943 | 72,564 | ||
Knight-Swift Transportation Holdings, Inc. | 1,485 | 82,507 | ||
L3Harris Technologies, Inc. | 1,828 | 357,868 | ||
Landstar System, Inc. | 266 | 51,216 | ||
Leidos Holdings, Inc. | 1,208 | 106,884 | ||
Lennox International, Inc. | 173 | 56,410 | ||
Lincoln Electric Holdings, Inc.Δ | 114 | 22,644 | ||
ManpowerGroup, Inc. | 282 | 22,391 | ||
Masco Corporation | 1,466 | 84,119 | ||
MasTec, Inc.Δ* | 176 | 20,763 | ||
MDU Resources Group, Inc. | 1,489 | 31,180 | ||
Mercury Systems, Inc.* | 340 | 11,761 | ||
Middleby Corporation (The)Δ* | 190 | 28,088 | ||
MSA Safety, Inc. | 222 | 38,619 | ||
MSC Industrial Direct Co., Inc. Class A | 564 | 53,738 | ||
Nordson Corporation | 498 | 123,594 | ||
Norfolk Southern Corporation | 2,132 | 483,452 | ||
Northrop Grumman Corporation | 1,189 | 541,946 | ||
Old Dominion Freight Line, Inc. | 98 | 36,235 | ||
Oshkosh Corporation | 349 | 30,220 | ||
Otis Worldwide Corporation | 3,040 | 270,590 | ||
Owens Corning | 521 | 67,990 | ||
PACCAR, Inc. | 4,751 | 397,421 | ||
Parker-Hannifin Corporation | 1,057 | 412,272 | ||
Paycor HCM, Inc.* | 463 | 10,959 | ||
Plug Power, Inc.Δ* | 1,317 | 13,684 | ||
Quanta Services, Inc.Δ | 657 | 129,068 | ||
Raytheon Technologies Corporation | 12,815 | 1,255,357 | ||
RBC Bearings, Inc.* | 184 | 40,014 | ||
Regal Beloit Corporation | 394 | 60,637 | ||
Republic Services, Inc. | 2,038 | 312,160 | ||
Robert Half International, Inc. | 712 | 53,557 | ||
Ryder System, Inc. | 362 | 30,694 | ||
Saia, Inc.* | 186 | 63,688 | ||
Schneider National, Inc. Class B | 610 | 17,519 | ||
Science Applications International Corporation | 391 | 43,980 | ||
Snap-on, Inc. | 480 | 138,331 | ||
Southwest Airlines Co. | 5,604 | 202,921 | ||
SS&C Technologies Holdings, Inc. | 1,978 | 119,867 |
Shares | Value | |||
Stanley Black & Decker, Inc. | 1,152 | $ 107,954 | ||
Stericycle, Inc.* | 330 | 15,325 | ||
Sunrun, Inc.* | 1,174 | 20,968 | ||
Tetra Tech, Inc. | 243 | 39,789 | ||
Textron, Inc. | 2,223 | 150,341 | ||
Timken Co. (The) | 350 | 32,035 | ||
TransDigm Group, Inc. | 259 | 231,590 | ||
TransUnion | 1,081 | 84,675 | ||
U-Haul Holding Co. | 729 | 36,938 | ||
U-Haul Holding Co. (New York Exchange) | 81 | 4,481 | ||
Union Pacific Corporation | 3,194 | 653,556 | ||
United Airlines Holdings, Inc.* | 2,706 | 148,478 | ||
United Parcel Service, Inc. Class B | 4,193 | 751,595 | ||
United Rentals, Inc. | 335 | 149,199 | ||
Valmont Industries, Inc. | 46 | 13,388 | ||
Vertiv Holdings Co. | 1,626 | 40,276 | ||
Waste Management, Inc. | 798 | 138,389 | ||
Watsco, Inc.Δ | 153 | 58,365 | ||
WESCO International, Inc. | 137 | 24,531 | ||
Westinghouse Air Brake Technologies Corporation | 1,403 | 153,867 | ||
WillScot Mobile Mini Holdings Corporation* | 592 | 28,292 | ||
Woodward, Inc. | 253 | 30,084 | ||
XPO Logistics, Inc.* | 600 | 35,400 | ||
Xylem, Inc. | 1,684 | 189,652 | ||
19,262,851 | ||||
Information Technology — 8.7% | ||||
Advanced Micro Devices, Inc.* | 5,430 | 618,531 | ||
Akamai Technologies, Inc.* | 1,184 | 106,406 | ||
Amdocs, Ltd. | 1,492 | 147,484 | ||
Amphenol Corporation Class A | 2,078 | 176,526 | ||
Analog Devices, Inc. | 4,026 | 784,305 | ||
ANSYS, Inc.* | 249 | 82,237 | ||
Applied Materials, Inc. | 881 | 127,340 | ||
AppLovin Corporation Class A* | 1,020 | 26,245 | ||
Arrow Electronics, Inc.* | 613 | 87,800 | ||
Aspen Technology, Inc.* | 276 | 46,260 | ||
Avnet, Inc. | 1,233 | 62,205 | ||
BILL Holdings, Inc.* | 694 | 81,094 | ||
Black Knight, Inc.* | 1,388 | 82,905 | ||
CCC Intelligent Solutions Holdings, Inc.* | 1,695 | 19,001 | ||
Ceridian HCM Holding, Inc.Δ* | 758 | 50,763 | ||
Ciena Corporation* | 691 | 29,361 | ||
Cirrus Logic, Inc.* | 450 | 36,455 | ||
Cisco Systems, Inc. | 35,091 | 1,815,608 | ||
Cognex Corporation | 1,100 | 61,622 | ||
Cognizant Technology Solutions Corporation Class A | 4,269 | 278,680 | ||
Coherent Corporation* | 596 | 30,384 | ||
Corning, Inc. | 6,687 | 234,313 | ||
Dolby Laboratories, Inc. Class A | 1,167 | 97,655 | ||
Dropbox, Inc. Class A* | 159 | 4,241 | ||
DXC Technology Co.* | 1,336 | 35,698 | ||
Entegris, Inc. | 857 | 94,973 |
Shares | Value | |||
F5, Inc.* | 240 | $ 35,102 | ||
First Solar, Inc.* | 891 | 169,370 | ||
Gen Digital, Inc. | 3,806 | 70,601 | ||
GoDaddy, Inc. Class A* | 98 | 7,363 | ||
Guidewire Software, Inc.* | 719 | 54,702 | ||
Hewlett Packard Enterprise Co. | 14,467 | 243,046 | ||
HP, Inc. | 6,109 | 187,607 | ||
Informatica, Inc. Class A* | 265 | 4,903 | ||
Intel Corporation | 34,296 | 1,146,858 | ||
International Business Machines Corporation | 7,352 | 983,771 | ||
IPG Photonics Corporation | 106 | 14,397 | ||
Jabil, Inc. | 139 | 15,002 | ||
Juniper Networks, Inc. | 2,633 | 82,492 | ||
Keysight Technologies, Inc.* | 903 | 151,207 | ||
Kyndryl Holdings, Inc.* | 643 | 8,539 | ||
Lam Research Corporation | 35 | 22,500 | ||
Littelfuse, Inc. | 202 | 58,845 | ||
Lumentum Holdings, Inc.Δ* | 375 | 21,274 | ||
Marvell Technology, Inc. | 7,185 | 429,519 | ||
Microchip Technology, Inc. | 857 | 76,779 | ||
Micron Technology, Inc. | 8,884 | 560,669 | ||
MKS Instruments, Inc. | 178 | 19,242 | ||
Motorola Solutions, Inc. | 166 | 48,684 | ||
National Instruments Corporation | 422 | 24,223 | ||
nCino, Inc.Δ* | 211 | 6,355 | ||
NCR CorporationΔ* | 772 | 19,454 | ||
NetApp, Inc. | 1,088 | 83,123 | ||
Nutanix, Inc. Class A* | 1,776 | 49,817 | ||
Okta, Inc.* | 1,012 | 70,182 | ||
ON Semiconductor Corporation* | 3,223 | 304,831 | ||
Oracle Corporation | 7,481 | 890,912 | ||
PTC, Inc.* | 346 | 49,236 | ||
Pure Storage, Inc. Class A* | 615 | 22,644 | ||
Qorvo, Inc.* | 625 | 63,769 | ||
QUALCOMM, Inc. | 1,106 | 131,658 | ||
Roper Technologies, Inc. | 967 | 464,934 | ||
Salesforce, Inc.* | 2,108 | 445,336 | ||
SentinelOne, Inc. Class A* | 1,444 | 21,804 | ||
Skyworks Solutions, Inc. | 1,231 | 136,259 | ||
TD SYNNEX Corporation | 548 | 51,512 | ||
Teledyne Technologies, Inc.* | 395 | 162,388 | ||
Texas Instruments, Inc. | 4,448 | 800,729 | ||
Trimble, Inc.* | 1,900 | 100,586 | ||
Twilio, Inc. Class A* | 964 | 61,330 | ||
Tyler Technologies, Inc.* | 82 | 34,151 | ||
Ubiquiti, Inc.Δ | 15 | 2,636 | ||
UiPath, Inc. Class AΔ* | 819 | 13,571 | ||
Unity Software, Inc.Δ* | 1,102 | 47,849 | ||
VeriSign, Inc.* | 606 | 136,938 | ||
Viasat, Inc.* | 326 | 13,451 | ||
Western Digital Corporation* | 2,375 | 90,084 | ||
Wolfspeed, Inc.Δ* | 737 | 40,970 | ||
Zebra Technologies Corporation Class A* | 206 | 60,941 | ||
Zoom Video Communications, Inc. Class A* | 1,817 | 123,338 | ||
14,155,575 |
Shares | Value | |||
Materials — 3.7% | ||||
Air Products and Chemicals, Inc. | 1,858 | $ 556,527 | ||
Albemarle Corporation | 891 | 198,773 | ||
Alcoa Corporation | 1,294 | 43,905 | ||
AptarGroup, Inc. | 791 | 91,645 | ||
Ashland, Inc. | 357 | 31,027 | ||
Avery Dennison Corporation | 331 | 56,866 | ||
Axalta Coating Systems, Ltd.* | 370 | 12,140 | ||
Ball CorporationΔ | 2,218 | 129,110 | ||
Berry Global Group, Inc. | 252 | 16,214 | ||
Celanese Corporation | 700 | 81,060 | ||
CF Industries Holdings, Inc. | 1,686 | 117,042 | ||
Chemours Co. (The) | 827 | 30,508 | ||
Cleveland-Cliffs, Inc.* | 3,198 | 53,598 | ||
Corteva, Inc. | 6,123 | 350,848 | ||
Crown Holdings, Inc. | 583 | 50,645 | ||
Dow, Inc. | 6,893 | 367,121 | ||
DuPont de Nemours, Inc. | 3,816 | 272,615 | ||
Eagle Materials, Inc. | 91 | 16,964 | ||
Eastman Chemical Co. | 1,142 | 95,608 | ||
Ecolab, Inc. | 314 | 58,621 | ||
Element Solutions, Inc. | 899 | 17,261 | ||
FMC Corporation | 830 | 86,602 | ||
Freeport-McMoRan, Inc. | 11,301 | 452,040 | ||
Ginkgo Bioworks Holdings, Inc.Δ* | 14,819 | 27,563 | ||
Graphic Packaging Holding Co. | 445 | 10,693 | ||
Huntsman Corporation | 1,831 | 49,474 | ||
International Flavors & Fragrances, Inc. | 2,205 | 175,496 | ||
International Paper Co. | 4,091 | 130,135 | ||
Louisiana-Pacific Corporation | 566 | 42,439 | ||
Martin Marietta Materials, Inc. | 575 | 265,472 | ||
Mosaic Co. (The) | 2,576 | 90,160 | ||
NewMarket Corporation | 72 | 28,953 | ||
Newmont Corporation | 6,737 | 287,400 | ||
Nucor Corporation | 2,085 | 341,898 | ||
Olin Corporation | 1,045 | 53,703 | ||
Packaging Corporation of America | 1,086 | 143,526 | ||
PPG Industries, Inc. | 1,210 | 179,443 | ||
Reliance Steel & Aluminum Co. | 540 | 146,659 | ||
Royal Gold, Inc. | 623 | 71,508 | ||
RPM International, Inc. | 1,128 | 101,215 | ||
Sherwin-Williams Co. (The) | 302 | 80,187 | ||
Silgan Holdings, Inc. | 886 | 41,545 | ||
Sonoco Products Co. | 1,474 | 86,995 | ||
Steel Dynamics, Inc. | 1,434 | 156,206 | ||
United States Steel Corporation | 1,233 | 30,837 | ||
Vulcan Materials Co. | 1,157 | 260,834 | ||
Westlake Corporation | 385 | 45,996 | ||
Westrock Co. | 2,759 | 80,204 | ||
6,115,281 | ||||
Real Estate — 4.7% | ||||
Agree Realty Corporation REIT | 530 | 34,657 | ||
Alexandria Real Estate Equities, Inc. REIT | 1,625 | 184,421 | ||
American Homes 4 Rent Class A REIT | 4,508 | 159,809 |
Shares | Value | |||
Americold Realty Trust REIT | 2,045 | $ 66,053 | ||
Apartment Income REIT Corporation | 1,306 | 47,134 | ||
AvalonBay Communities, Inc. REIT | 1,215 | 229,963 | ||
Boston Properties, Inc. REIT | 1,492 | 85,924 | ||
Brixmor Property Group, Inc. REIT | 1,476 | 32,472 | ||
Camden Property Trust REIT | 916 | 99,725 | ||
CBRE Group, Inc. Class A* | 3,391 | 273,688 | ||
Cousins Properties, Inc. REIT | 1,298 | 29,594 | ||
Crown Castle, Inc. REIT | 3,130 | 356,632 | ||
CubeSmart REIT | 1,816 | 81,103 | ||
Digital Realty Trust, Inc. REITΔ | 2,358 | 268,505 | ||
EastGroup Properties, Inc. REIT | 275 | 47,740 | ||
EPR Properties REIT | 259 | 12,121 | ||
Equinix, Inc. REIT | 365 | 286,138 | ||
Equity LifeStyle Properties, Inc. REIT | 843 | 56,388 | ||
Equity Residential REIT | 3,615 | 238,482 | ||
Essex Property Trust, Inc. REIT | 650 | 152,295 | ||
Extra Space Storage, Inc. REITΔ | 903 | 134,412 | ||
Federal Realty Investment Trust REIT | 1,099 | 106,350 | ||
First Industrial Realty Trust, Inc. REIT | 658 | 34,637 | ||
Healthcare Realty Trust, Inc. REIT | 3,831 | 72,253 | ||
Healthpeak Properties, Inc. REIT | 5,431 | 109,163 | ||
Highwoods Properties, Inc. REIT | 625 | 14,944 | ||
Host Hotels & Resorts, Inc. REIT | 5,729 | 96,419 | ||
Howard Hughes Corporation (The)* | 597 | 47,115 | ||
Invitation Homes, Inc. REIT | 4,692 | 161,405 | ||
Iron Mountain, Inc. REIT | 203 | 11,534 | ||
Jones Lang LaSalle, Inc.* | 637 | 99,245 | ||
Kilroy Realty Corporation REIT | 743 | 22,357 | ||
Kimco Realty Corporation REIT | 4,882 | 96,273 | ||
Life Storage, Inc. REIT | 677 | 90,014 | ||
Medical Properties Trust, Inc. REITΔ | 6,269 | 58,051 | ||
Mid-America Apartment Communities, Inc. REIT | 955 | 145,026 | ||
National Storage Affiliates Trust REIT | 423 | 14,733 | ||
NNN REIT, Inc.Δ | 1,716 | 73,428 | ||
Omega Healthcare Investors, Inc. REIT | 2,753 | 84,490 | ||
Prologis, Inc. REIT | 7,865 | 964,485 | ||
Public Storage REIT | 549 | 160,242 | ||
Rayonier, Inc. REIT | 888 | 27,883 | ||
Realty Income Corporation REIT | 6,456 | 386,004 | ||
Regency Centers Corporation REIT | 1,495 | 92,346 | ||
Rexford Industrial Realty, Inc. REITΔ | 2,407 | 125,693 | ||
SBA Communications Corporation REIT | 606 | 140,447 | ||
Simon Property Group, Inc. REIT | 1,853 | 213,984 | ||
Spirit Realty Capital, Inc. REIT | 1,499 | 59,031 | ||
Sun Communities, Inc. REIT | 891 | 116,240 | ||
UDR, Inc. REIT | 3,059 | 131,415 | ||
Ventas, Inc. REIT | 3,176 | 150,129 | ||
Vornado Realty Trust REITΔ | 2,039 | 36,987 | ||
Welltower, Inc. REIT | 4,124 | 333,590 | ||
Weyerhaeuser Co. REIT | 6,055 | 202,903 | ||
WP Carey, Inc. REIT | 2,585 | 174,643 | ||
Zillow Group, Inc. Class A* | 576 | 28,339 |
Shares | Value | |||
Zillow Group, Inc. Class CΔ* | 1,218 | $ 61,217 | ||
7,620,271 | ||||
Utilities — 5.0% | ||||
AES Corporation (The) | 2,762 | 57,256 | ||
Alliant Energy Corporation | 1,125 | 59,040 | ||
Ameren Corporation | 1,679 | 137,124 | ||
American Electric Power Co., Inc. | 4,147 | 349,177 | ||
American Water Works Co., Inc. | 1,776 | 253,524 | ||
Atmos Energy CorporationΔ | 1,538 | 178,931 | ||
Avangrid, Inc. | 1,393 | 52,488 | ||
CenterPoint Energy, Inc. | 4,585 | 133,653 | ||
CMS Energy CorporationΔ | 2,613 | 153,514 | ||
Consolidated Edison, Inc. | 3,493 | 315,767 | ||
Constellation Energy Corporation | 2,403 | 219,995 | ||
Dominion Energy, Inc. | 7,552 | 391,118 | ||
DTE Energy Co. | 1,700 | 187,034 | ||
Duke Energy Corporation | 9,016 | 809,096 | ||
Edison International | 2,536 | 176,125 | ||
Entergy Corporation | 1,262 | 122,881 | ||
Essential Utilities, Inc. | 2,356 | 94,028 | ||
Evergy, Inc. | 1,627 | 95,049 | ||
Eversource Energy | 2,957 | 209,711 | ||
Exelon Corporation | 8,246 | 335,942 | ||
FirstEnergy Corporation | 3,450 | 134,136 | ||
National Fuel Gas Co. | 469 | 24,088 | ||
NextEra Energy, Inc. | 16,371 | 1,214,728 | ||
NiSource, Inc. | 3,384 | 92,552 | ||
NRG Energy, Inc. | 1,827 | 68,312 | ||
OGE Energy Corporation | 248 | 8,906 | ||
PG&E Corporation* | 12,987 | 224,415 | ||
Pinnacle West Capital Corporation | 616 | 50,179 | ||
PPL CorporationΔ | 4,140 | 109,544 | ||
Public Service Enterprise Group, Inc. | 4,061 | 254,259 | ||
Sempra Energy | 2,681 | 390,327 | ||
Southern Co. (The) | 9,661 | 678,685 | ||
UGI Corporation | 1,214 | 32,742 | ||
Vistra Corporation | 2,406 | 63,158 | ||
WEC Energy Group, Inc. | 3,437 | 303,281 | ||
Xcel Energy, Inc. | 3,973 | 247,001 | ||
8,227,766 | ||||
Total Common Stocks (Cost $143,704,714) | 147,439,351 |
FOREIGN COMMON STOCKS — 5.6% | |||
Bermuda — 0.0% | |||
RenaissanceRe Holdings, Ltd. | 298 | 55,583 | |
Brazil — 0.1% | |||
NU Holdings, Ltd. Class A* | 5,100 | 40,239 | |
XP, Inc. Class A* | 2,335 | 54,779 | |
95,018 | |||
Canada — 0.1% | |||
Brookfield Renewable Corporation Class A | 1,679 | 52,922 | |
RB Global, Inc. | 387 | 23,220 |
Shares | Value | |||
SSR Mining, Inc. | 1,640 | $ 23,255 | ||
99,397 | ||||
Curacao — 0.4% | ||||
Schlumberger NV | 12,039 | 591,356 | ||
Ireland — 3.4% | ||||
Aon PLC Class A | 1,564 | 539,893 | ||
Eaton Corporation PLC | 3,280 | 659,608 | ||
Horizon Therapeutics PLC* | 581 | 59,756 | ||
ICON PLC* | 553 | 138,361 | ||
Jazz Pharmaceuticals PLC* | 3,815 | 472,945 | ||
Johnson Controls International PLC | 6,140 | 418,380 | ||
Linde PLC | 3,710 | 1,413,807 | ||
Medtronic PLC | 12,365 | 1,089,356 | ||
nVent Electric PLC | 1,046 | 54,047 | ||
Pentair PLC | 1,088 | 70,285 | ||
STERIS PLC | 964 | 216,881 | ||
Trane Technologies PLC | 1,501 | 287,081 | ||
Willis Towers Watson PLC | 897 | 211,243 | ||
5,631,643 | ||||
Jersey — 0.4% | ||||
Amcor PLC | 15,748 | 157,165 | ||
Aptiv PLC* | 1,772 | 180,904 | ||
Clarivate PLCΔ* | 2,929 | 27,913 | ||
Ferguson PLC | 1,391 | 218,818 | ||
Janus Henderson Group PLC | 927 | 25,261 | ||
610,061 | ||||
Netherlands — 0.3% | ||||
CNH Industrial NV | 6,828 | 98,323 | ||
LyondellBasell Industries NV Class A | 2,645 | 242,890 | ||
QIAGEN NVΔ* | 2,450 | 110,324 | ||
451,537 | ||||
Switzerland — 0.5% | ||||
Chubb, Ltd. | 3,811 | 733,846 | ||
Garmin, Ltd. | 1,326 | 138,289 | ||
872,135 | ||||
United Arab Emirates — 0.0% | ||||
GLOBALFOUNDRIES, Inc.* | 321 | 20,730 | ||
United Kingdom — 0.4% | ||||
Royalty Pharma PLC Class A | 18,653 | 573,393 | ||
Sensata Technologies Holding PLC | 466 | 20,965 | ||
TechnipFMC PLCΔ* | 3,609 | 59,982 | ||
654,340 | ||||
Total Foreign Common Stocks (Cost $8,343,425) | 9,081,800 |
MUTUAL FUNDS — 1.6% | |||
iShares Russell 1000 Value ETFΔ (Cost $2,592,379) | 17,000 | 2,683,110 | |
MONEY MARKET FUNDS — 2.6% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 3,917,827 | 3,917,827 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 382,843 | $ 382,843 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 1,552 | 1,552 | ||
Total Money Market Funds (Cost $4,302,222) | 4,302,222 | |||
TOTAL INVESTMENTS — 100.1% (Cost $158,942,740) | 163,506,483 | |||
Liabilities in Excess of Other Assets — (0.1)% | (167,121) | |||
NET ASSETS — 100.0% | $163,339,362 |
% | |
Financials | 19.3 |
Health Care | 14.6 |
Industrials | 13.0 |
Information Technology | 8.7 |
Consumer Staples | 7.9 |
Energy | 7.7 |
Utilities | 5.1 |
Consumer Discretionary | 5.1 |
Communication Services | 5.0 |
Materials | 4.8 |
Real Estate | 4.7 |
Money Market Funds | 2.6 |
Mutual Funds | 1.6 |
100.1 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2023 | 17 | $3,815,012 | $112,679 | ||||
S&P 500® Micro E-Mini | 09/2023 | 19 | 426,384 | 13,160 | ||||
Total Futures Contracts outstanding at June 30, 2023 | $4,241,396 | $125,839 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $147,439,351 | $147,439,351 | $ — | $ — | |||
Foreign Common Stocks | 9,081,800 | 9,081,800 | — | — | |||
Money Market Funds | 4,302,222 | 4,302,222 | — | — | |||
Mutual Funds | 2,683,110 | 2,683,110 | — | — | |||
Total Assets - Investments in Securities | $163,506,483 | $163,506,483 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 125,839 | $ 125,839 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 125,839 | $ 125,839 | $ — | $ — |
*** | 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 — 83.7% | ||||
Communication Services — 5.9% | ||||
Alphabet, Inc. Class C* | 50,852 | $ 6,151,566 | ||
Comcast Corporation Class A | 535,062 | 22,231,826 | ||
Electronic Arts, Inc. | 51,535 | 6,684,090 | ||
Fox Corporation Class A | 75,770 | 2,576,180 | ||
Paramount Global Class BΔ | 64,669 | 1,028,884 | ||
Verizon Communications, Inc. | 281,877 | 10,483,006 | ||
Walt Disney Co. (The)* | 58,504 | 5,223,237 | ||
Warner Bros Discovery, Inc.* | 222,311 | 2,787,780 | ||
57,166,569 | ||||
Consumer Discretionary — 4.8% | ||||
Aramark | 153,538 | 6,609,811 | ||
Darden Restaurants, Inc. | 31,655 | 5,288,917 | ||
Dick's Sporting Goods, Inc. | 24,539 | 3,243,810 | ||
General Motors Co. | 52,699 | 2,032,074 | ||
Lennar Corporation Class A | 54,987 | 6,890,421 | ||
Lithia Motors, Inc.Δ | 22,418 | 6,817,538 | ||
Lowe’s Cos., Inc. | 27,613 | 6,232,254 | ||
Ralph Lauren CorporationΔ | 29,087 | 3,586,427 | ||
Starbucks Corporation | 54,134 | 5,362,514 | ||
46,063,766 | ||||
Consumer Staples — 6.6% | ||||
Church & Dwight Co., Inc. | 23,303 | 2,335,660 | ||
Colgate-Palmolive Co. | 129,519 | 9,978,144 | ||
Conagra Brands, Inc. | 213,657 | 7,204,514 | ||
Dollar General Corporation | 52,839 | 8,971,005 | ||
Kenvue, Inc.Δ* | 116,749 | 3,084,509 | ||
Keurig Dr. Pepper, Inc. | 44,793 | 1,400,677 | ||
Kimberly-Clark Corporation | 53,898 | 7,441,158 | ||
Lamb Weston Holdings, Inc. | 33,111 | 3,806,109 | ||
Mondelez International, Inc. Class A | 84,273 | 6,146,873 | ||
PepsiCo, Inc. | 22,197 | 4,111,328 | ||
Target Corporation | 38,120 | 5,028,028 | ||
Walmart, Inc. | 28,005 | 4,401,826 | ||
63,909,831 | ||||
Energy — 5.6% | ||||
Baker Hughes Co.Δ | 113,944 | 3,601,770 | ||
Chevron Corporation | 33,431 | 5,260,368 | ||
Exxon Mobil Corporation | 155,428 | 16,669,653 | ||
Halliburton Co. | 239,398 | 7,897,740 | ||
Hess Corporation | 57,765 | 7,853,151 | ||
Phillips 66Δ | 73,553 | 7,015,485 | ||
Pioneer Natural Resources Co. | 25,599 | 5,303,601 | ||
53,601,768 | ||||
Financials — 19.8% | ||||
Allstate Corporation (The) | 130,512 | 14,231,028 | ||
American Express Co. | 20,037 | 3,490,445 | ||
American International Group, Inc. | 148,548 | 8,547,452 | ||
Ameriprise Financial, Inc. | 13,076 | 4,343,324 | ||
Apollo Global Management, Inc.Δ | 54,979 | 4,222,937 | ||
Bank of New York Mellon Corporation (The) | 159,431 | 7,097,868 | ||
Berkshire Hathaway, Inc. Class B* | 87,767 | 29,928,547 | ||
BlackRock, Inc. | 15,262 | 10,548,179 | ||
Charles Schwab Corporation (The) | 151,932 | 8,611,506 | ||
Cincinnati Financial Corporation | 30,024 | 2,921,936 | ||
Fidelity National Information Services, Inc. | 257,701 | 14,096,245 | ||
Fiserv, Inc.* | 42,729 | 5,390,263 | ||
Intercontinental Exchange, Inc. | 37,015 | 4,185,656 |
Shares | Value | |||
JPMorgan Chase & Co. | 91,764 | $ 13,346,156 | ||
M&T Bank Corporation | 72,279 | 8,945,249 | ||
Marsh & McLennan Cos., Inc. | 29,753 | 5,595,944 | ||
MetLife, Inc. | 58,870 | 3,327,921 | ||
Morgan Stanley | 35,005 | 2,989,427 | ||
Northern Trust Corporation | 57,384 | 4,254,450 | ||
Progressive Corporation (The) | 36,484 | 4,829,387 | ||
Reinsurance Group of America, Inc. | 53,559 | 7,428,098 | ||
Truist Financial Corporation | 145,176 | 4,406,092 | ||
U.S. Bancorp | 143,970 | 4,756,769 | ||
Wells Fargo & Co. | 314,477 | 13,421,878 | ||
190,916,757 | ||||
Health Care — 9.4% | ||||
Amgen, Inc. | 11,067 | 2,457,095 | ||
Avantor, Inc.* | 277,380 | 5,697,385 | ||
Becton, Dickinson and Co. | 15,990 | 4,221,520 | ||
Centene Corporation* | 68,355 | 4,610,545 | ||
Cigna Group (The) | 17,619 | 4,943,891 | ||
CVS Health Corporation | 110,092 | 7,610,660 | ||
Elevance Health, Inc. | 23,508 | 10,444,369 | ||
GE HealthCare Technologies, Inc. | 33,606 | 2,730,151 | ||
Gilead Sciences, Inc. | 46,954 | 3,618,745 | ||
Henry Schein, Inc.* | 80,421 | 6,522,143 | ||
McKesson Corporation | 14,044 | 6,001,142 | ||
Molina Healthcare, Inc.* | 8,311 | 2,503,606 | ||
Quest Diagnostics, Inc. | 55,229 | 7,762,988 | ||
UnitedHealth Group, Inc. | 15,704 | 7,547,971 | ||
Zimmer Biomet Holdings, Inc. | 92,044 | 13,401,607 | ||
90,073,818 | ||||
Industrials — 9.8% | ||||
AECOM | 25,832 | 2,187,712 | ||
Fastenal Co. | 75,725 | 4,467,018 | ||
General Electric Co. | 46,322 | 5,088,472 | ||
J.B. Hunt Transport Services, Inc. | 66,673 | 12,069,813 | ||
Norfolk Southern Corporation | 19,010 | 4,310,708 | ||
Oshkosh Corporation | 52,204 | 4,520,344 | ||
Paychex, Inc. | 38,352 | 4,290,438 | ||
Raytheon Technologies Corporation | 127,620 | 12,501,655 | ||
Southwest Airlines Co. | 324,005 | 11,732,221 | ||
Stanley Black & Decker, Inc.Δ | 41,180 | 3,858,978 | ||
Textron, Inc. | 55,046 | 3,722,761 | ||
United Parcel Service, Inc. Class B | 78,589 | 14,087,078 | ||
Vertiv Holdings Co. | 443,143 | 10,976,652 | ||
93,813,850 | ||||
Information Technology — 10.7% | ||||
Akamai Technologies, Inc.* | 7,749 | 696,403 | ||
Apple, Inc. | 55,622 | 10,788,999 | ||
Broadcom, Inc. | 19,758 | 17,138,682 | ||
Cisco Systems, Inc. | 180,183 | 9,322,668 | ||
Cognizant Technology Solutions Corporation Class A | 85,238 | 5,564,337 | ||
Corning, Inc. | 46,962 | 1,645,548 | ||
F5, Inc.* | 42,809 | 6,261,244 | ||
International Business Machines Corporation | 27,350 | 3,659,704 | ||
Juniper Networks, Inc. | 87,658 | 2,746,325 | ||
Microsoft Corporation | 17,925 | 6,104,179 | ||
ON Semiconductor Corporation* | 48,745 | 4,610,302 | ||
Oracle Corporation | 63,352 | 7,544,590 | ||
QUALCOMM, Inc. | 62,969 | 7,495,830 | ||
Salesforce, Inc.* | 10,324 | 2,181,048 |
Shares | Value | |||
Skyworks Solutions, Inc. | 47,168 | $ 5,221,026 | ||
Texas Instruments, Inc. | 63,835 | 11,491,577 | ||
102,472,462 | ||||
Materials — 4.8% | ||||
Air Products and Chemicals, Inc. | 56,601 | 16,953,698 | ||
Axalta Coating Systems, Ltd.* | 214,693 | 7,044,077 | ||
DuPont de Nemours, Inc. | 114,386 | 8,171,736 | ||
Freeport-McMoRan, Inc. | 82,804 | 3,312,160 | ||
Packaging Corporation of America | 46,264 | 6,114,250 | ||
Sonoco Products Co. | 84,499 | 4,987,131 | ||
46,583,052 | ||||
Real Estate — 1.7% | ||||
Crown Castle, Inc. REIT | 33,612 | 3,829,751 | ||
Jones Lang LaSalle, Inc.* | 14,108 | 2,198,027 | ||
Public Storage REIT | 21,064 | 6,148,160 | ||
Simon Property Group, Inc. REIT | 21,196 | 2,447,714 | ||
Weyerhaeuser Co. REIT | 63,212 | 2,118,234 | ||
16,741,886 | ||||
Utilities — 4.6% | ||||
AES Corporation (The)Δ | 137,005 | 2,840,114 | ||
Atmos Energy CorporationΔ | 87,423 | 10,170,792 | ||
Dominion Energy, Inc. | 67,548 | 3,498,311 | ||
Duke Energy Corporation | 109,224 | 9,801,762 | ||
Edison InternationalΔ | 77,757 | 5,400,223 | ||
Entergy Corporation | 31,866 | 3,102,792 | ||
NiSource, Inc. | 41,305 | 1,129,692 | ||
Pinnacle West Capital Corporation | 101,832 | 8,295,235 | ||
44,238,921 | ||||
Total Common Stocks (Cost $718,634,776) | 805,582,680 |
FOREIGN COMMON STOCKS — 12.9% | |||
Canada — 0.8% | |||
Enbridge, Inc.Δ | 215,015 | 7,987,807 | |
France — 1.1% | |||
TotalEnergies SE ADRΔ | 187,618 | 10,814,302 | |
Germany — 0.4% | |||
Siemens AG | 19,693 | 3,282,840 | |
Ireland — 4.9% | |||
Johnson Controls International PLC | 76,464 | 5,210,257 | |
Medtronic PLC | 305,806 | 26,941,509 | |
nVent Electric PLC | 94,316 | 4,873,308 | |
STERIS PLC | 11,824 | 2,660,163 | |
Willis Towers Watson PLC | 31,815 | 7,492,432 | |
47,177,669 | |||
Japan — 0.3% | |||
Nintendo Co., Ltd. ADR | 272,108 | 3,096,589 | |
Jersey — 1.0% | |||
Aptiv PLC* | 89,280 | 9,114,595 | |
Netherlands — 0.5% | |||
Koninklijke Ahold Delhaize NV | 141,732 | 4,832,073 | |
Singapore — 0.5% | |||
Flex, Ltd.* | 182,781 | 5,052,067 | |
Switzerland — 2.2% | |||
Nestle SA ADR | 35,515 | 4,274,230 |
Shares | Value | |||
Novartis AG | 29,793 | $ 3,003,714 | ||
Roche Holding AG | 27,650 | 8,446,247 | ||
TE Connectivity, Ltd. | 38,398 | 5,381,864 | ||
21,106,055 | ||||
United Kingdom — 1.2% | ||||
Unilever PLC ADRΔ | 225,582 | 11,759,590 | ||
Total Foreign Common Stocks (Cost $116,866,138) | 124,223,587 |
MUTUAL FUNDS — 0.8% | |||
iShares Russell 1000 Value ETFΔ (Cost $7,077,308) | 44,466 | 7,018,069 | |
MONEY MARKET FUNDS — 3.4% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 25,247,022 | 25,247,022 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 6,961,394 | 6,961,394 | |
Northern Institutional U.S. Government Portfolio (Shares), 4.91%Ø | 92,186 | 92,186 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 578,828 | 578,828 | |
Total Money Market Funds (Cost $32,879,430) | 32,879,430 | ||
TOTAL INVESTMENTS — 100.8% (Cost $875,457,652) | 969,703,766 | ||
Liabilities in Excess of Other Assets — (0.8)% | (7,285,872) | ||
NET ASSETS — 100.0% | $962,417,894 |
% | |
Financials | 20.6 |
Health Care | 13.7 |
Information Technology | 11.8 |
Industrials | 11.2 |
Consumer Staples | 8.7 |
Energy | 7.5 |
Communication Services | 6.2 |
Consumer Discretionary | 5.8 |
Materials | 4.8 |
Utilities | 4.6 |
Money Market Funds | 3.4 |
Real Estate | 1.7 |
Mutual Funds | 0.8 |
100.8 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2023 | 33 | $7,405,613 | $210,660 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/29/23 | U.S. Dollars | 11,274,605 | British Pounds | 8,872,762 | MLIB | $ 4,316 | ||||||
09/29/23 | U.S. Dollars | 4,733,720 | Euro | 4,314,135 | MSCS | 4,271 | ||||||
09/29/23 | U.S. Dollars | 4,733,370 | Euro | 4,314,136 | MLIB | 3,922 | ||||||
09/29/23 | U.S. Dollars | 11,255,426 | Swiss Francs | 9,974,277 | MSCS | 1,996 | ||||||
09/29/23 | Euro | 385,405 | U.S. Dollars | 420,758 | JPM | 1,750 | ||||||
Subtotal Appreciation | $16,255 | |||||||||||
09/29/23 | U.S. Dollars | 9,180,275 | Euro | 8,374,940 | JPM | $ (904) | ||||||
Subtotal Depreciation | $ (904) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $15,351 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $805,582,680 | $805,582,680 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Germany | 3,282,840 | — | 3,282,840 | — | |||
Netherlands | 4,832,073 | — | 4,832,073 | — | |||
Switzerland | 21,106,055 | 9,656,094 | 11,449,961 | — | |||
Other ^^ | 95,002,619 | 95,002,619 | — | — | |||
Total Foreign Common Stocks | 124,223,587 | 104,658,713 | 19,564,874 | — | |||
Money Market Funds | 32,879,430 | 32,879,430 | — | — | |||
Mutual Funds | 7,018,069 | 7,018,069 | — | — | |||
Total Assets - Investments in Securities | $969,703,766 | $950,138,892 | $19,564,874 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 16,255 | $ — | $ 16,255 | $ — | |||
Futures Contracts | 210,660 | 210,660 | — | — | |||
Total Assets - Other Financial Instruments | $ 226,915 | $ 210,660 | $ 16,255 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (904) | $ — | $ (904) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (904) | $ — | $ (904) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency 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 — 94.4% | ||||
Communication Services — 10.3% | ||||
Alphabet, Inc. Class A* | 47,438 | $ 5,678,329 | ||
Alphabet, Inc. Class C* | 40,907 | 4,948,520 | ||
Charter Communications, Inc. Class A* | 854 | 313,734 | ||
Iridium Communications, Inc. | 938 | 58,268 | ||
Liberty Broadband Corporation* | 137 | 10,975 | ||
Live Nation Entertainment, Inc.Δ* | 287 | 26,149 | ||
Meta Platforms, Inc. Class A* | 17,601 | 5,051,135 | ||
Netflix, Inc.* | 3,464 | 1,525,857 | ||
Nexstar Media Group, Inc. Class A | 97 | 16,155 | ||
Pinterest, Inc. Class A* | 4,699 | 128,471 | ||
Playtika Holding Corporation* | 453 | 5,255 | ||
ROBLOX Corporation Class A* | 3,775 | 152,132 | ||
Roku, Inc.* | 157 | 10,042 | ||
Spotify Technology SA* | 1,103 | 177,087 | ||
Trade Desk, Inc. (The) Class A* | 3,458 | 267,027 | ||
World Wrestling Entertainment, Inc. Class A | 371 | 40,242 | ||
ZoomInfo Technologies, Inc.* | 1,046 | 26,558 | ||
18,435,936 | ||||
Consumer Discretionary — 15.2% | ||||
Airbnb, Inc. Class A* | 3,251 | 416,648 | ||
Amazon.com, Inc.* | 71,671 | 9,343,032 | ||
AutoZone, Inc.* | 127 | 316,657 | ||
Best Buy Co., Inc. | 248 | 20,324 | ||
Booking Holdings, Inc.* | 294 | 793,897 | ||
Bright Horizons Family Solutions, Inc.* | 70 | 6,471 | ||
Burlington Stores, Inc.* | 482 | 75,862 | ||
CarMax, Inc.Δ* | 86 | 7,198 | ||
Chipotle Mexican Grill, Inc.* | 222 | 474,858 | ||
Choice Hotels International, Inc.Δ | 278 | 32,671 | ||
Coupang, Inc.* | 8,661 | 150,701 | ||
Crocs, Inc.* | 433 | 48,686 | ||
Darden Restaurants, Inc. | 585 | 97,742 | ||
Deckers Outdoor Corporation* | 198 | 104,477 | ||
Domino’s Pizza, Inc. | 270 | 90,987 | ||
DoorDash, Inc. Class A* | 1,818 | 138,932 | ||
eBay, Inc. | 359 | 16,044 | ||
Etsy, Inc.* | 556 | 47,043 | ||
Expedia Group, Inc.* | 871 | 95,279 | ||
Five Below, Inc.* | 413 | 81,171 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 654 | 67,990 | ||
H&R Block, Inc. | 1,223 | 38,977 | ||
Hilton Worldwide Holdings, Inc. | 1,148 | 167,091 | ||
Home Depot, Inc. (The) | 8,165 | 2,536,376 | ||
Lowe’s Cos., Inc. | 3,528 | 796,270 | ||
Lululemon Athletica, Inc.* | 868 | 328,538 | ||
Marriott International, Inc. Class A | 2,080 | 382,075 | ||
McDonald’s Corporation | 2,524 | 753,187 | ||
Murphy U.S.A., Inc. | 118 | 36,711 | ||
NIKE, Inc. Class B | 5,034 | 555,603 | ||
Norwegian Cruise Line Holdings, Ltd.* | 1,153 | 25,101 | ||
NVR, Inc.* | 2 | 12,701 |
Shares | Value | |||
O’Reilly Automotive, Inc.* | 404 | $ 385,941 | ||
Peloton Interactive, Inc. Class A* | 2,924 | 22,486 | ||
Planet Fitness, Inc. Class A* | 450 | 30,348 | ||
Polaris, Inc.Δ | 24 | 2,902 | ||
Pool Corporation | 277 | 103,775 | ||
RH* | 18 | 5,933 | ||
Ross Stores, Inc. | 2,423 | 271,691 | ||
Royal Caribbean Cruises, Ltd.Δ* | 555 | 57,576 | ||
Service Corporation International | 468 | 30,228 | ||
Starbucks Corporation | 9,137 | 905,111 | ||
Tesla, Inc.* | 21,945 | 5,744,543 | ||
Texas Roadhouse, Inc. | 486 | 54,568 | ||
TJX Cos., Inc. (The) | 9,170 | 777,524 | ||
TopBuild Corporation* | 33 | 8,779 | ||
Tractor Supply Co. | 849 | 187,714 | ||
Travel + Leisure Co. | 386 | 15,571 | ||
Ulta Beauty, Inc.* | 399 | 187,767 | ||
Vail Resorts, Inc. | 104 | 26,183 | ||
Valvoline, Inc. | 360 | 13,504 | ||
Victoria's Secret & Co.* | 263 | 4,584 | ||
Wayfair, Inc. Class AΔ* | 267 | 17,358 | ||
Wendy's Co. (The) | 1,644 | 35,757 | ||
Williams-Sonoma, Inc. | 96 | 12,013 | ||
Wingstop, Inc. | 228 | 45,636 | ||
Wyndham Hotels & Resorts, Inc. | 239 | 16,388 | ||
YETI Holdings, Inc.* | 280 | 10,875 | ||
Yum! Brands, Inc. | 1,988 | 275,437 | ||
27,309,492 | ||||
Consumer Staples — 4.4% | ||||
BJ's Wholesale Club Holdings, Inc.* | 617 | 38,877 | ||
Celsius Holdings, Inc.* | 424 | 63,257 | ||
Church & Dwight Co., Inc. | 1,767 | 177,106 | ||
Clorox Co. (The) | 1,007 | 160,153 | ||
Coca-Cola Co. (The) | 17,063 | 1,027,534 | ||
Costco Wholesale Corporation | 3,581 | 1,927,939 | ||
Dollar General Corporation | 1,894 | 321,563 | ||
Estee Lauder Cos., Inc. (The) Class A | 669 | 131,378 | ||
Hershey Co. (The) | 999 | 249,450 | ||
Kimberly-Clark Corporation | 2,568 | 354,538 | ||
Lamb Weston Holdings, Inc. | 1,075 | 123,571 | ||
Monster Beverage Corporation* | 5,958 | 342,228 | ||
PepsiCo, Inc. | 8,175 | 1,514,174 | ||
Performance Food Group Co.* | 277 | 16,687 | ||
Procter & Gamble Co. (The) | 4,340 | 658,552 | ||
Sysco Corporation | 4,221 | 313,198 | ||
Target Corporation | 3,777 | 498,186 | ||
7,918,391 | ||||
Energy — 0.4% | ||||
APA Corporation | 1,788 | 61,096 | ||
Cheniere Energy, Inc. | 1,882 | 286,741 | ||
Halliburton Co. | 1,716 | 56,611 | ||
Hess Corporation | 1,266 | 172,113 | ||
New Fortress Energy, Inc. | 351 | 9,400 | ||
ONEOK, Inc. | 280 | 17,282 | ||
Ovintiv, Inc.Δ | 653 | 24,860 | ||
Targa Resources Corporation | 1,566 | 119,172 |
Shares | Value | |||
Texas Pacific Land Corporation | 44 | $ 57,926 | ||
805,201 | ||||
Financials — 6.1% | ||||
American Express Co. | 1,438 | 250,500 | ||
Ameriprise Financial, Inc. | 804 | 267,057 | ||
Apollo Global Management, Inc. | 4,193 | 322,064 | ||
Arch Capital Group, Ltd.* | 583 | 43,637 | ||
Ares Management Corporation Class A | 1,231 | 118,607 | ||
Arthur J. Gallagher & Co. | 277 | 60,821 | ||
Blackstone, Inc. | 5,702 | 530,115 | ||
Block, Inc.* | 1,555 | 103,516 | ||
Blue Owl Capital, Inc. | 717 | 8,353 | ||
Brown & Brown, Inc. | 591 | 40,684 | ||
Equitable Holdings, Inc. | 2,559 | 69,502 | ||
Euronet Worldwide, Inc.* | 182 | 21,361 | ||
Everest Re Group, Ltd. | 79 | 27,007 | ||
FactSet Research Systems, Inc. | 300 | 120,195 | ||
First Citizens BancShares, Inc. Class A | 6 | 7,701 | ||
Fiserv, Inc.* | 1,273 | 160,589 | ||
FleetCor Technologies, Inc.* | 536 | 134,579 | ||
Jack Henry & Associates, Inc. | 233 | 38,988 | ||
Kinsale Capital Group, Inc. | 173 | 64,737 | ||
KKR & Co., Inc. | 1,272 | 71,232 | ||
Lincoln National Corporation | 267 | 6,878 | ||
LPL Financial Holdings, Inc. | 610 | 132,632 | ||
MarketAxess Holdings, Inc. | 299 | 78,164 | ||
Marsh & McLennan Cos., Inc. | 3,404 | 640,224 | ||
Mastercard, Inc. Class A | 6,682 | 2,628,031 | ||
Moody’s Corporation | 1,185 | 412,048 | ||
Morningstar, Inc. | 147 | 28,822 | ||
MSCI, Inc. | 323 | 151,581 | ||
PayPal Holdings, Inc.* | 8,097 | 540,313 | ||
Primerica, Inc. | 153 | 30,257 | ||
Progressive Corporation (The) | 3,690 | 488,445 | ||
Ryan Specialty Holdings, Inc.* | 638 | 28,640 | ||
S&P Global, Inc. | 200 | 80,178 | ||
Shift4 Payments, Inc. Class AΔ* | 282 | 19,151 | ||
Toast, Inc. Class AΔ* | 2,731 | 61,639 | ||
Tradeweb Markets, Inc. Class A | 511 | 34,993 | ||
Visa, Inc. Class AΔ | 12,989 | 3,084,628 | ||
Western Union Co. (The) | 22 | 258 | ||
WEX, Inc.* | 223 | 40,602 | ||
10,948,729 | ||||
Health Care — 10.1% | ||||
10X Genomics, Inc. Class A* | 604 | 33,727 | ||
Abbott Laboratories | 1,392 | 151,756 | ||
Agilent Technologies, Inc. | 2,403 | 288,961 | ||
agilon health, Inc.Δ* | 2,522 | 43,731 | ||
Align Technology, Inc.* | 608 | 215,013 | ||
Alnylam Pharmaceuticals, Inc.* | 1,131 | 214,822 | ||
AmerisourceBergen Corporation | 1,362 | 262,090 | ||
Amgen, Inc. | 3,758 | 834,351 | ||
Apellis Pharmaceuticals, Inc.* | 1,057 | 96,293 | ||
BioMarin Pharmaceutical, Inc.* | 1,126 | 97,602 | ||
Bruker Corporation | 1,212 | 89,591 |
Shares | Value | |||
Cardinal Health, Inc. | 1,048 | $ 99,109 | ||
Certara, Inc.* | 504 | 9,178 | ||
Chemed Corporation | 82 | 44,417 | ||
Cigna Group (The) | 299 | 83,899 | ||
DaVita, Inc.* | 415 | 41,695 | ||
Dexcom, Inc.* | 3,124 | 401,465 | ||
Doximity, Inc. Class AΔ* | 274 | 9,321 | ||
Edwards Lifesciences Corporation* | 5,045 | 475,895 | ||
Elevance Health, Inc. | 324 | 143,950 | ||
Eli Lilly and Co. | 6,868 | 3,220,955 | ||
Exact Sciences Corporation* | 726 | 68,171 | ||
Exelixis, Inc.* | 6,344 | 121,234 | ||
GE HealthCare Technologies, Inc. | 294 | 23,885 | ||
HCA Healthcare, Inc. | 330 | 100,148 | ||
Humana, Inc. | 476 | 212,834 | ||
IDEXX Laboratories, Inc.* | 638 | 320,423 | ||
Illumina, Inc.* | 411 | 77,058 | ||
Incyte Corporation* | 3,125 | 194,531 | ||
Inspire Medical Systems, Inc.* | 227 | 73,693 | ||
Insulet CorporationΔ* | 553 | 159,452 | ||
Intuitive Surgical, Inc.* | 2,826 | 966,322 | ||
Ionis Pharmaceuticals, Inc.Δ* | 2,667 | 109,427 | ||
IQVIA Holdings, Inc.* | 1,544 | 347,045 | ||
Karuna Therapeutics, Inc.* | 434 | 94,113 | ||
Maravai LifeSciences Holdings, Inc. Class A* | 994 | 12,355 | ||
Masimo Corporation* | 378 | 62,200 | ||
McKesson Corporation | 418 | 178,616 | ||
Medpace Holdings, Inc.* | 181 | 43,471 | ||
Mettler-Toledo International, Inc.* | 201 | 263,640 | ||
Molina Healthcare, Inc.* | 304 | 91,577 | ||
Natera, Inc.* | 1,411 | 68,659 | ||
Neurocrine Biosciences, Inc.* | 1,637 | 154,369 | ||
Penumbra, Inc.* | 275 | 94,616 | ||
Regeneron Pharmaceuticals, Inc.* | 192 | 137,960 | ||
Repligen Corporation* | 187 | 26,453 | ||
ResMed, Inc. | 1,236 | 270,066 | ||
Roivant Sciences, Ltd.Δ* | 3,198 | 32,236 | ||
Sarepta Therapeutics, Inc.* | 994 | 113,833 | ||
Seagen, Inc.* | 1,462 | 281,377 | ||
Shockwave Medical, Inc.* | 291 | 83,054 | ||
Sotera Health Co.* | 125 | 2,355 | ||
Stryker Corporation | 839 | 255,970 | ||
Tandem Diabetes Care, Inc.* | 305 | 7,485 | ||
Thermo Fisher Scientific, Inc. | 1,973 | 1,029,413 | ||
Ultragenyx Pharmaceutical, Inc.* | 1,280 | 59,046 | ||
UnitedHealth Group, Inc. | 6,287 | 3,021,784 | ||
Veeva Systems, Inc. Class A* | 1,215 | 240,242 | ||
Vertex Pharmaceuticals, Inc.* | 2,305 | 811,153 | ||
Waters Corporation* | 536 | 142,865 | ||
West Pharmaceutical Services, Inc. | 629 | 240,574 | ||
Zoetis, Inc. | 4,099 | 705,889 | ||
18,157,415 | ||||
Industrials — 5.7% | ||||
A.O. Smith Corporation | 234 | 17,031 | ||
Advanced Drainage Systems, Inc.Δ | 436 | 49,608 | ||
Allison Transmission Holdings, Inc. | 19 | 1,073 |
Shares | Value | |||
American Airlines Group, Inc.Δ* | 1,345 | $ 24,129 | ||
Armstrong World Industries, Inc. | 72 | 5,289 | ||
Automatic Data Processing, Inc. | 2,967 | 652,117 | ||
Axon Enterprise, Inc.* | 499 | 97,365 | ||
Boeing Co. (The)* | 592 | 125,007 | ||
Booz Allen Hamilton Holding Corporation | 1,241 | 138,496 | ||
Broadridge Financial Solutions, Inc. | 834 | 138,135 | ||
C.H. Robinson Worldwide, Inc. | 593 | 55,950 | ||
Caterpillar, Inc. | 3,144 | 773,581 | ||
Ceridian HCM Holding, Inc.Δ* | 103 | 6,898 | ||
ChargePoint Holdings, Inc.Δ* | 917 | 8,060 | ||
Cintas Corporation | 640 | 318,131 | ||
Copart, Inc.* | 3,303 | 301,267 | ||
CSX Corporation | 2,523 | 86,034 | ||
Deere & Co. | 2,074 | 840,364 | ||
Delta Air Lines, Inc.* | 491 | 23,342 | ||
Donaldson Co., Inc. | 105 | 6,564 | ||
EMCOR Group, Inc. | 124 | 22,913 | ||
Equifax, Inc. | 616 | 144,945 | ||
Expeditors International of Washington, Inc. | 167 | 20,229 | ||
Fastenal Co. | 3,555 | 209,709 | ||
FTI Consulting, Inc.* | 121 | 23,014 | ||
Genpact, Ltd. | 801 | 30,094 | ||
Graco, Inc. | 502 | 43,348 | ||
HEICO Corporation | 359 | 63,521 | ||
HEICO Corporation Class A | 496 | 69,738 | ||
Honeywell International, Inc. | 879 | 182,393 | ||
Hubbell, Inc. | 153 | 50,729 | ||
IDEX Corporation | 18 | 3,875 | ||
Illinois ToolWorks, Inc. | 2,058 | 514,829 | ||
J.B. Hunt Transport Services, Inc. | 180 | 32,585 | ||
KBR, Inc. | 382 | 24,853 | ||
Landstar System, Inc. | 234 | 45,054 | ||
Lincoln Electric Holdings, Inc.Δ | 469 | 93,157 | ||
Lockheed Martin Corporation | 1,842 | 848,020 | ||
Lyft, Inc. Class A* | 1,304 | 12,505 | ||
Northrop Grumman Corporation | 87 | 39,655 | ||
Old Dominion Freight Line, Inc. | 756 | 279,531 | ||
Otis Worldwide Corporation | 154 | 13,708 | ||
Paychex, Inc. | 2,832 | 316,816 | ||
Paycom Software, Inc. | 371 | 119,180 | ||
Paylocity Holding Corporation* | 293 | 54,067 | ||
Quanta Services, Inc.Δ | 371 | 72,883 | ||
Rockwell Automation, Inc. | 850 | 280,033 | ||
Rollins, Inc. | 1,806 | 77,351 | ||
SiteOne Landscape Supply, Inc.* | 59 | 9,874 | ||
Tetra Tech, Inc. | 83 | 13,590 | ||
Toro Co. (The) | 733 | 74,509 | ||
TransDigm Group, Inc. | 63 | 56,333 | ||
Trex Co., Inc.Δ* | 643 | 42,155 | ||
Uber Technologies, Inc.* | 15,594 | 673,193 | ||
Union Pacific Corporation | 2,254 | 461,213 | ||
United Parcel Service, Inc. Class B | 1,761 | 315,659 | ||
United Rentals, Inc. | 112 | 49,881 | ||
Valmont Industries, Inc. | 28 | 8,149 | ||
Verisk Analytics, Inc. | 1,169 | 264,229 |
Shares | Value | |||
W.W. Grainger, Inc. | 345 | $ 272,064 | ||
Waste Management, Inc. | 3,110 | 539,336 | ||
Watsco, Inc.Δ | 68 | 25,940 | ||
WillScot Mobile Mini Holdings Corporation* | 504 | 24,086 | ||
Xylem, Inc. | 111 | 12,501 | ||
10,199,888 | ||||
Information Technology — 40.6% | ||||
Adobe, Inc.* | 3,653 | 1,786,280 | ||
Advanced Micro Devices, Inc.* | 7,138 | 813,090 | ||
Allegro MicroSystems, Inc.* | 447 | 20,178 | ||
Alteryx, Inc. Class A* | 387 | 17,570 | ||
Amphenol Corporation Class A | 2,470 | 209,826 | ||
ANSYS, Inc.* | 559 | 184,621 | ||
Apple, Inc. | 118,744 | 23,032,774 | ||
Applied Materials, Inc. | 5,595 | 808,701 | ||
AppLovin Corporation Class AΔ* | 544 | 13,997 | ||
Arista Networks, Inc.* | 2,075 | 336,274 | ||
Atlassian Corporation Class A* | 1,113 | 186,773 | ||
Autodesk, Inc.* | 1,723 | 352,543 | ||
Bentley Systems, Inc. Class BΔ | 1,263 | 68,492 | ||
Broadcom, Inc. | 3,250 | 2,819,147 | ||
Cadence Design Systems, Inc.* | 2,184 | 512,192 | ||
CDW Corporation | 1,079 | 197,996 | ||
Cloudflare, Inc. Class A* | 2,339 | 152,900 | ||
Confluent, Inc. Class A* | 1,501 | 53,000 | ||
Crowdstrike Holdings, Inc. Class A* | 1,791 | 263,044 | ||
Datadog, Inc. Class A* | 2,129 | 209,451 | ||
DocuSign, Inc.* | 1,770 | 90,429 | ||
DoubleVerify Holdings, Inc.* | 867 | 33,744 | ||
Dropbox, Inc. Class A* | 1,845 | 49,206 | ||
Dynatrace, Inc.* | 1,850 | 95,220 | ||
Enphase Energy, Inc.Δ* | 1,031 | 172,672 | ||
Entegris, Inc. | 79 | 8,755 | ||
EPAM Systems, Inc.* | 399 | 89,675 | ||
Fair Isaac Corporation* | 195 | 157,796 | ||
Five9, Inc.* | 486 | 40,071 | ||
Fortinet, Inc.* | 5,159 | 389,969 | ||
Gartner, Inc.* | 603 | 211,237 | ||
Gen Digital, Inc. | 1,826 | 33,872 | ||
Gitlab, Inc. Class A* | 443 | 22,642 | ||
Globant SA* | 384 | 69,012 | ||
GoDaddy, Inc. Class A* | 463 | 34,785 | ||
HashiCorp, Inc. Class A* | 817 | 21,389 | ||
HP, Inc. | 1,973 | 60,591 | ||
HubSpot, Inc.* | 340 | 180,911 | ||
Intuit, Inc. | 2,191 | 1,003,894 | ||
Jabil, Inc. | 521 | 56,232 | ||
Keysight Technologies, Inc.* | 338 | 56,598 | ||
KLA Corporation | 1,058 | 513,151 | ||
Lam Research Corporation | 987 | 634,503 | ||
Lattice Semiconductor Corporation* | 936 | 89,922 | ||
Manhattan Associates, Inc.* | 442 | 88,347 | ||
Microchip Technology, Inc. | 3,086 | 276,475 | ||
Microsoft Corporation | 59,231 | 20,170,525 | ||
MongoDB, Inc.Δ* | 520 | 213,715 | ||
Monolithic Power Systems, Inc. | 362 | 195,563 |
Shares | Value | |||
Motorola Solutions, Inc. | 1,156 | $ 339,032 | ||
National Instruments Corporation | 532 | 30,537 | ||
NetApp, Inc. | 830 | 63,412 | ||
New Relic, Inc.* | 350 | 22,904 | ||
Nutanix, Inc. Class A* | 917 | 25,722 | ||
NVIDIA Corporation | 18,885 | 7,988,733 | ||
Okta, Inc.* | 52 | 3,606 | ||
Oracle Corporation | 5,033 | 599,380 | ||
Palantir Technologies, Inc. Class AΔ* | 15,650 | 239,914 | ||
Palo Alto Networks, Inc.Δ* | 2,373 | 606,325 | ||
Pegasystems, Inc. | 132 | 6,508 | ||
Procore Technologies, Inc.* | 635 | 41,319 | ||
PTC, Inc.* | 543 | 77,269 | ||
Pure Storage, Inc. Class A* | 2,110 | 77,690 | ||
QUALCOMM, Inc. | 7,718 | 918,751 | ||
RingCentral, Inc. Class A* | 475 | 15,547 | ||
Salesforce, Inc.* | 5,762 | 1,217,280 | ||
ServiceNow, Inc.* | 1,635 | 918,821 | ||
Smartsheet, Inc. Class A* | 711 | 27,203 | ||
Snowflake, Inc. Class A* | 2,490 | 438,190 | ||
Splunk, Inc.* | 1,177 | 124,868 | ||
Synopsys, Inc.* | 1,230 | 535,554 | ||
Teradata Corporation* | 688 | 36,746 | ||
Teradyne, Inc.Δ | 942 | 104,873 | ||
Texas Instruments, Inc. | 2,955 | 531,959 | ||
Twilio, Inc. Class A* | 353 | 22,458 | ||
Tyler Technologies, Inc.* | 269 | 112,030 | ||
Ubiquiti, Inc.Δ | 16 | 2,812 | ||
UiPath, Inc. Class AΔ* | 2,306 | 38,210 | ||
Unity Software, Inc.Δ* | 906 | 39,339 | ||
Universal Display Corporation | 150 | 21,620 | ||
VeriSign, Inc.* | 31 | 7,005 | ||
VMware, Inc. Class A* | 1,746 | 250,883 | ||
Vontier Corporation | 219 | 7,054 | ||
Workday, Inc. Class A* | 1,575 | 355,777 | ||
Zebra Technologies Corporation Class A* | 28 | 8,283 | ||
Zscaler, Inc.* | 735 | 107,530 | ||
73,064,894 | ||||
Materials — 0.6% | ||||
Avery Dennison Corporation | 199 | 34,188 | ||
Eagle Materials, Inc. | 216 | 40,267 | ||
Ecolab, Inc. | 1,554 | 290,116 | ||
FMC Corporation | 132 | 13,773 | ||
Graphic Packaging Holding Co. | 1,018 | 24,463 | ||
PPG Industries, Inc. | 460 | 68,218 | ||
RPM International, Inc. | 160 | 14,357 | ||
Scotts Miracle-Gro Co. (The) | 70 | 4,388 | ||
Sealed Air Corporation | 435 | 17,400 | ||
Sherwin-Williams Co. (The) | 1,615 | 428,815 | ||
Southern Copper Corporation | 638 | 45,770 | ||
Vulcan Materials Co. | 294 | 66,279 | ||
1,048,034 | ||||
Real Estate — 0.9% | ||||
American Tower Corporation REIT | 3,704 | 718,354 |
Shares | Value | |||
CoStar Group, Inc.* | 1,276 | $ 113,564 | ||
Crown Castle, Inc. REIT | 539 | 61,414 | ||
Equinix, Inc. REIT | 385 | 301,817 | ||
Equity LifeStyle Properties, Inc. REIT | 686 | 45,886 | ||
Extra Space Storage, Inc. REITΔ | 124 | 18,457 | ||
Iron Mountain, Inc. REIT | 1,257 | 71,423 | ||
Lamar Advertising Co. Class A REIT | 504 | 50,022 | ||
Public Storage REIT | 759 | 221,537 | ||
SBA Communications Corporation REIT | 61 | 14,137 | ||
Simon Property Group, Inc. REIT | 718 | 82,915 | ||
1,699,526 | ||||
Utilities — 0.1% | ||||
AES Corporation (The) | 3,421 | 70,917 | ||
Vistra Corporation | 1,415 | 37,144 | ||
108,061 | ||||
Total Common Stocks (Cost $143,462,126) | 169,695,567 |
FOREIGN COMMON STOCKS — 1.4% | |||
Bermuda — 0.0% | |||
RenaissanceRe Holdings, Ltd. | 163 | 30,403 | |
Brazil — 0.1% | |||
NU Holdings, Ltd. Class A* | 12,726 | 100,408 | |
Canada — 0.1% | |||
RB Global, Inc. | 1,039 | 62,340 | |
Ireland — 1.2% | |||
Accenture PLC Class A | 5,032 | 1,552,775 | |
Allegion PLC | 471 | 56,529 | |
Horizon Therapeutics PLC* | 2,329 | 239,538 | |
ICON PLC* | 110 | 27,522 | |
Jazz Pharmaceuticals PLC* | 516 | 63,968 | |
Linde PLC | 409 | 155,862 | |
Trane Technologies PLC | 587 | 112,270 | |
2,208,464 | |||
Jersey — 0.0% | |||
Novocure, Ltd.* | 838 | 34,777 | |
Netherlands — 0.0% | |||
Elastic NV* | 512 | 32,829 | |
Total Foreign Common Stocks (Cost $2,232,399) | 2,469,221 |
MUTUAL FUNDS — 0.8% | |||
iShares Russell 1000 Growth ETFΔ (Cost $1,386,489) | 5,625 | 1,547,887 | |
MONEY MARKET FUNDS — 3.3% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 5,614,693 | 5,614,693 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 272,781 | 272,781 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 6 | $ 6 | ||
Total Money Market Funds (Cost $5,887,480) | 5,887,480 | |||
TOTAL INVESTMENTS — 99.9% (Cost $152,968,494) | 179,600,155 | |||
Other Assets in Excess of Liabilities — 0.1% | 136,501 | |||
NET ASSETS — 100.0% | $179,736,656 |
% | |
Information Technology | 41.5 |
Consumer Discretionary | 15.2 |
Communication Services | 10.3 |
Health Care | 10.2 |
Financials | 6.2 |
Industrials | 5.9 |
Consumer Staples | 4.4 |
Money Market Funds | 3.3 |
Real Estate | 0.9 |
Mutual Funds | 0.8 |
Materials | 0.7 |
Energy | 0.4 |
Utilities | 0.1 |
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 | 09/2023 | 24 | $5,385,900 | $71,469 | ||||
S&P 500® Micro E-Mini | 09/2023 | 17 | 381,501 | 11,775 | ||||
Total Futures Contracts outstanding at June 30, 2023 | $5,767,401 | $83,244 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $169,695,567 | $169,695,567 | $ — | $ — | |||
Foreign Common Stocks | 2,469,221 | 2,469,221 | — | — | |||
Money Market Funds | 5,887,480 | 5,887,480 | — | — | |||
Mutual Funds | 1,547,887 | 1,547,887 | — | — | |||
Total Assets - Investments in Securities | $179,600,155 | $179,600,155 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 83,244 | $ 83,244 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 83,244 | $ 83,244 | $ — | $ — |
*** | 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 — 92.1% | ||||
Communication Services — 12.8% | ||||
Alphabet, Inc. Class A* | 461,838 | $ 55,282,008 | ||
Alphabet, Inc. Class C* | 225,404 | 27,267,122 | ||
Live Nation Entertainment, Inc.Δ* | 91,592 | 8,344,947 | ||
Meta Platforms, Inc. Class A* | 169,348 | 48,599,489 | ||
Netflix, Inc.* | 67,726 | 29,832,626 | ||
Trade Desk, Inc. (The) Class A* | 44,330 | 3,423,163 | ||
Walt Disney Co. (The)* | 94,564 | 8,442,674 | ||
181,192,029 | ||||
Consumer Discretionary — 15.0% | ||||
Airbnb, Inc. Class A* | 21,593 | 2,767,359 | ||
Amazon.com, Inc.* | 632,889 | 82,503,410 | ||
AutoZone, Inc.* | 1,916 | 4,777,278 | ||
Chipotle Mexican Grill, Inc.* | 7,984 | 17,077,776 | ||
DoorDash, Inc. Class A* | 22,191 | 1,695,836 | ||
Etsy, Inc.* | 3,139 | 265,591 | ||
Floor & Decor Holdings, Inc. Class AΔ* | 14,149 | 1,470,930 | ||
Lowe’s Cos., Inc. | 33,564 | 7,575,395 | ||
Marriott International, Inc. Class A | 53,085 | 9,751,184 | ||
MercadoLibre, Inc.* | 5,081 | 6,018,953 | ||
NIKE, Inc. Class B | 93,829 | 10,355,907 | ||
O’Reilly Automotive, Inc.* | 10,315 | 9,853,919 | ||
Starbucks Corporation | 178,588 | 17,690,927 | ||
Tapestry, Inc.Δ | 40,284 | 1,724,155 | ||
Tesla, Inc.Δ* | 121,165 | 31,717,362 | ||
Yum China Holdings, Inc. | 40,225 | 2,272,712 | ||
Yum! Brands, Inc. | 34,371 | 4,762,102 | ||
212,280,796 | ||||
Consumer Staples — 3.6% | ||||
Costco Wholesale Corporation | 27,030 | 14,552,412 | ||
Estee Lauder Cos., Inc. (The) Class A | 47,698 | 9,366,933 | ||
Monster Beverage Corporation* | 452,657 | 26,000,618 | ||
Target Corporation | 7,923 | 1,045,044 | ||
50,965,007 | ||||
Energy — 0.7% | ||||
Cheniere Energy, Inc. | 13,447 | 2,048,785 | ||
ConocoPhillips | 24,816 | 2,571,186 | ||
Pioneer Natural Resources Co.Δ | 23,780 | 4,926,740 | ||
9,546,711 | ||||
Financials — 7.2% | ||||
Apollo Global Management, Inc.Δ | 118,436 | 9,097,069 | ||
Blackstone, Inc. | 30,529 | 2,838,281 | ||
Block, Inc.* | 125,648 | 8,364,388 | ||
Carlyle Group, Inc. (The) | 173,552 | 5,544,987 | ||
Charles Schwab Corporation (The) | 10,871 | 616,168 | ||
FactSet Research Systems, Inc. | 13,088 | 5,243,707 | ||
Mastercard, Inc. Class A | 84,151 | 33,096,588 | ||
Morgan Stanley | 30,110 | 2,571,394 | ||
MSCI, Inc. | 1,499 | 703,466 | ||
PayPal Holdings, Inc.* | 66,558 | 4,441,415 | ||
SEI Investments Co. | 74,559 | 4,445,208 | ||
Visa, Inc. Class AΔ | 100,698 | 23,913,761 | ||
100,876,432 |
Shares | Value | |||
Health Care — 9.9% | ||||
10X Genomics, Inc. Class A* | 22,099 | $ 1,234,008 | ||
Align Technology, Inc.* | 17,786 | 6,289,841 | ||
Alnylam Pharmaceuticals, Inc.* | 5,429 | 1,031,184 | ||
Dexcom, Inc.* | 54,704 | 7,030,011 | ||
Edwards Lifesciences Corporation* | 11,865 | 1,119,225 | ||
Eli Lilly and Co. | 18,361 | 8,610,942 | ||
Exact Sciences Corporation* | 49,030 | 4,603,917 | ||
HCA Healthcare, Inc. | 17,911 | 5,435,630 | ||
Illumina, Inc.* | 29,781 | 5,583,640 | ||
Intuitive Surgical, Inc.* | 58,349 | 19,951,857 | ||
McKesson Corporation | 13,050 | 5,576,395 | ||
Moderna, Inc.* | 6,456 | 784,404 | ||
Regeneron Pharmaceuticals, Inc.* | 20,566 | 14,777,494 | ||
Sarepta Therapeutics, Inc.* | 10,790 | 1,235,671 | ||
Seagen, Inc.* | 5,725 | 1,101,834 | ||
Thermo Fisher Scientific, Inc. | 1,529 | 797,756 | ||
Ultragenyx Pharmaceutical, Inc.* | 14,252 | 657,445 | ||
UnitedHealth Group, Inc. | 45,920 | 22,070,989 | ||
Veeva Systems, Inc. Class A* | 50,829 | 10,050,418 | ||
Vertex Pharmaceuticals, Inc.* | 26,352 | 9,273,532 | ||
Zoetis, Inc. | 74,690 | 12,862,365 | ||
140,078,558 | ||||
Industrials — 5.4% | ||||
Boeing Co. (The)* | 86,074 | 18,175,386 | ||
Copart, Inc.* | 148,963 | 13,586,915 | ||
CoStar Group, Inc.* | 179,595 | 15,983,955 | ||
Deere & Co. | 15,539 | 6,296,247 | ||
Equifax, Inc.Δ | 5,019 | 1,180,971 | ||
Expeditors International of Washington, Inc. | 49,675 | 6,017,133 | ||
Rockwell Automation, Inc. | 7,752 | 2,553,896 | ||
TransDigm Group, Inc. | 3,332 | 2,979,375 | ||
Uber Technologies, Inc.* | 217,549 | 9,391,590 | ||
76,165,468 | ||||
Information Technology — 36.9% | ||||
Adobe, Inc.* | 10,811 | 5,286,471 | ||
Advanced Micro Devices, Inc.* | 148,204 | 16,881,918 | ||
Amphenol Corporation Class A | 44,373 | 3,769,486 | ||
Apple, Inc. | 525,780 | 101,985,547 | ||
Atlassian Corporation Class A* | 13,406 | 2,249,661 | ||
Autodesk, Inc.* | 50,097 | 10,250,347 | ||
Broadcom, Inc. | 7,829 | 6,791,109 | ||
Cloudflare, Inc. Class AΔ* | 19,420 | 1,269,485 | ||
Cognizant Technology Solutions Corporation Class A | 25,330 | 1,653,542 | ||
Datadog, Inc. Class A* | 22,266 | 2,190,529 | ||
Entegris, Inc. | 18,946 | 2,099,596 | ||
First Solar, Inc.* | 28,273 | 5,374,415 | ||
HubSpot, Inc.* | 5,565 | 2,961,081 | ||
Intuit, Inc. | 38,052 | 17,435,046 | ||
Lam Research Corporation | 24,087 | 15,484,569 | ||
Microsoft Corporation | 420,056 | 143,045,870 | ||
MongoDB, Inc.Δ* | 4,857 | 1,996,178 | ||
NVIDIA Corporation | 166,443 | 70,408,718 | ||
Oracle Corporation | 219,508 | 26,141,208 |
Shares | Value | |||
Palo Alto Networks, Inc.Δ* | 53,563 | $ 13,685,882 | ||
QUALCOMM, Inc. | 48,093 | 5,724,991 | ||
Salesforce, Inc.* | 143,566 | 30,329,753 | ||
ServiceNow, Inc.* | 27,250 | 15,313,682 | ||
Snowflake, Inc. Class A* | 12,145 | 2,137,277 | ||
Synopsys, Inc.* | 9,896 | 4,308,817 | ||
Texas Instruments, Inc. | 32,685 | 5,883,954 | ||
Workday, Inc. Class A* | 27,330 | 6,173,574 | ||
520,832,706 | ||||
Materials — 0.6% | ||||
Freeport-McMoRan, Inc. | 76,100 | 3,044,000 | ||
Martin Marietta Materials, Inc. | 8,102 | 3,740,612 | ||
Sherwin-Williams Co. (The) | 5,271 | 1,399,556 | ||
8,184,168 | ||||
Total Common Stocks (Cost $986,697,342) | 1,300,121,875 |
FOREIGN COMMON STOCKS — 4.6% | |||
Canada — 1.0% | |||
Shopify, Inc. Class AΔ* | 213,944 | 13,820,782 | |
China — 0.3% | |||
Alibaba Group Holding, Ltd. ADRΔ* | 41,144 | 3,429,352 | |
Ireland — 2.3% | |||
Accenture PLC Class A | 56,597 | 17,464,702 | |
Linde PLC | 32,575 | 12,413,681 | |
Trane Technologies PLC | 16,328 | 3,122,894 | |
33,001,277 | |||
Netherlands — 0.2% | |||
ASML Holding NV (NASDAQ Exchange) | 4,467 | 3,237,458 | |
Singapore — 0.1% | |||
Sea, Ltd. ADR* | 22,175 | 1,287,037 | |
Switzerland — 0.7% | |||
Novartis AG ADR | 49,679 | 5,013,108 | |
Roche Holding AG ADRΔ | 113,010 | 4,316,982 | |
9,330,090 | |||
Total Foreign Common Stocks (Cost $61,894,680) | 64,105,996 |
Shares | Value | |||
MONEY MARKET FUNDS — 3.5% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 46,126,299 | $ 46,126,299 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 3,538,384 | 3,538,384 | ||
Northern Institutional U.S. Government Portfolio (Shares), 4.91%Ø | 178,408 | 178,408 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 1,705 | 1,705 | ||
Total Money Market Funds (Cost $49,844,796) | 49,844,796 | |||
TOTAL INVESTMENTS — 100.2% (Cost $1,098,436,818) | 1,414,072,667 | |||
Liabilities in Excess of Other Assets — (0.2)% | (2,604,536) | |||
NET ASSETS — 100.0% | $1,411,468,131 |
% | |
Information Technology | 39.3 |
Consumer Discretionary | 15.3 |
Communication Services | 12.9 |
Health Care | 10.6 |
Financials | 7.2 |
Industrials | 5.6 |
Consumer Staples | 3.6 |
Money Market Funds | 3.5 |
Materials | 1.5 |
Energy | 0.7 |
100.2 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 09/2023 | 66 | $14,811,225 | $137,440 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $1,300,121,875 | $1,300,121,875 | $ — | $ — | |||
Foreign Common Stocks | 64,105,996 | 64,105,996 | — | — | |||
Money Market Funds | 49,844,796 | 49,844,796 | — | — | |||
Total Assets - Investments in Securities | $1,414,072,667 | $1,414,072,667 | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 137,440 | $ 137,440 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 137,440 | $ 137,440 | $ — | $ — |
*** | 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 — 91.7% | ||||
Communication Services — 1.8% | ||||
ATN International, Inc.Δ | 18,868 | $ 690,569 | ||
Bandwidth, Inc. Class A* | 23,935 | 327,431 | ||
Cable One, Inc. | 2,993 | 1,966,640 | ||
Cardlytics, Inc.* | 4,400 | 27,808 | ||
DHI Group, Inc.* | 3,603 | 13,799 | ||
Entravision Communications Corporation Class AΔ | 263,386 | 1,156,264 | ||
IAC, Inc.* | 9,900 | 621,720 | ||
Integral Ad Science Holding Corporation* | 160,700 | 2,889,386 | ||
Outbrain, Inc.Δ* | 3,681 | 18,110 | ||
Playtika Holding CorporationΔ* | 32,969 | 382,440 | ||
Sphere Entertainment Co.Δ* | 15,375 | 421,121 | ||
Spok Holdings, Inc. | 11,371 | 151,121 | ||
Stagwell, Inc.* | 46,443 | 334,854 | ||
Townsquare Media, Inc. Class AΔ | 22,147 | 263,771 | ||
TrueCar, Inc.* | 22,532 | 50,922 | ||
United States Cellular CorporationΔ* | 25,554 | 450,517 | ||
Yelp, Inc.* | 50,165 | 1,826,508 | ||
Ziff Davis, Inc.Δ* | 31,192 | 2,185,312 | ||
13,778,293 | ||||
Consumer Discretionary — 11.9% | ||||
1-800-Flowers.com, Inc. Class AΔ* | 40,831 | 318,482 | ||
1stdibs.com, Inc.* | 2,800 | 10,472 | ||
2U, Inc.* | 55,089 | 222,009 | ||
Aaron's Co., Inc. (The) | 25,671 | 362,988 | ||
American Axle & Manufacturing Holdings, Inc.Δ* | 94,806 | 784,046 | ||
American Outdoor Brands, Inc.* | 1,453 | 12,612 | ||
American Public Education, Inc.* | 1,530 | 7,252 | ||
Atmus Filtration Technologies, Inc.Δ* | 57,442 | 1,261,426 | ||
Barnes & Noble Education, Inc.* | 12,983 | 16,359 | ||
Bloomin' Brands, Inc.Δ | 86,505 | 2,326,119 | ||
Bluegreen Vacations Holding CorporationΔ | 4,226 | 150,657 | ||
Boot Barn Holdings, Inc.* | 25,700 | 2,176,533 | ||
Bowlero Corporation* | 31,021 | 361,084 | ||
Brinker International, Inc.* | 25,824 | 945,158 | ||
Brunswick Corporation | 43,778 | 3,792,926 | ||
Capri Holdings, Ltd.* | 59,106 | 2,121,314 | ||
Cavco Industries, Inc.* | 2,307 | 680,565 | ||
Chegg, Inc.* | 22,050 | 195,804 | ||
Chuy's Holdings, Inc.* | 27,007 | 1,102,426 | ||
Cooper-Standard Holdings, Inc.Δ* | 4,876 | 69,532 | ||
Dana, Inc. | 165,152 | 2,807,584 | ||
Dave & Buster's Entertainment, Inc.Δ* | 102,084 | 4,548,863 | ||
Duluth Holdings, Inc. Class B* | 2,200 | 13,816 | ||
European Wax Center, Inc. Class AΔ* | 124,500 | 2,319,435 | ||
Genesco, Inc.* | 4,381 | 109,700 | ||
G-III Apparel Group, Ltd.* | 33,417 | 643,946 | ||
Goodyear Tire & Rubber Co. (The)* | 65,723 | 899,091 | ||
GoPro, Inc. Class A* | 125,458 | 519,396 | ||
Grand Canyon Education, Inc.* | 1,236 | 127,568 |
Shares | Value | |||
Helen of Troy, Ltd.Δ* | 11,502 | $ 1,242,446 | ||
Hibbett, Inc. | 15,106 | 548,197 | ||
Hilton Grand Vacations, Inc.Δ* | 60,400 | 2,744,576 | ||
Hooker Furnishings CorporationΔ | 2,692 | 50,233 | ||
Jack in the Box, Inc. | 11,844 | 1,155,145 | ||
KB Home | 54,179 | 2,801,596 | ||
Lands' End, Inc.* | 16,027 | 124,370 | ||
Laureate Education, Inc. | 72,524 | 876,815 | ||
La-Z-Boy, Inc. | 44,058 | 1,261,821 | ||
Lear Corporation | 2,749 | 394,619 | ||
Leslie's, Inc.Δ* | 148,000 | 1,389,720 | ||
Malibu Boats, Inc. Class A* | 68,116 | 3,995,685 | ||
MarineMax, Inc.Δ* | 55,552 | 1,897,656 | ||
National Vision Holdings, Inc.* | 35,938 | 872,934 | ||
OneWater Marine, Inc. Class AΔ* | 47,249 | 1,712,304 | ||
Penske Automotive Group, Inc.Δ | 8,441 | 1,406,524 | ||
Planet Fitness, Inc. Class A* | 30,900 | 2,083,896 | ||
Red Robin Gourmet Burgers, Inc.Δ* | 21,136 | 292,311 | ||
Savers Value Village, Inc.* | 80,300 | 1,903,110 | ||
SeaWorld Entertainment, Inc.* | 15,222 | 852,584 | ||
Skyline Champion Corporation* | 63,081 | 4,128,651 | ||
Solo Brands, Inc. Class AΔ* | 99,934 | 565,626 | ||
Sonic Automotive, Inc. Class AΔ | 15,999 | 762,672 | ||
Steven Madden, Ltd.Δ | 87,237 | 2,851,778 | ||
Stitch Fix, Inc. Class AΔ* | 30,184 | 116,208 | ||
Stoneridge, Inc.* | 10,950 | 206,407 | ||
Tapestry, Inc.Δ | 64,738 | 2,770,786 | ||
Taylor Morrison Home Corporation Class A* | 115,270 | 5,621,718 | ||
Texas Roadhouse, Inc. | 26,034 | 2,923,098 | ||
Tilly's, Inc. Class AΔ* | 11,636 | 81,568 | ||
Topgolf Callaway Brands CorporationΔ* | 138,900 | 2,757,165 | ||
Tri Pointe Homes, Inc.* | 49,208 | 1,616,975 | ||
Unifi, Inc.* | 8,699 | 70,201 | ||
Universal Electronics, Inc.Δ* | 10,232 | 98,432 | ||
Vera Bradley, Inc.* | 24,425 | 156,076 | ||
Visteon Corporation* | 19,400 | 2,786,034 | ||
Vizio Holding Corporation Class AΔ* | 67,734 | 457,204 | ||
VOXX International CorporationΔ* | 487 | 6,078 | ||
Wendy's Co. (The) | 45,380 | 987,015 | ||
Wingstop, Inc. | 7,800 | 1,561,248 | ||
YETI Holdings, Inc.* | 54,701 | 2,124,587 | ||
89,163,232 | ||||
Consumer Staples — 2.2% | ||||
Andersons, Inc. (The) | 8,588 | 396,336 | ||
BJ's Wholesale Club Holdings, Inc.Δ* | 49,600 | 3,125,296 | ||
Edgewell Personal Care Co. | 101,652 | 4,199,244 | ||
Fresh Del Monte Produce, Inc. | 2,884 | 74,148 | ||
Hain Celestial Group, Inc. (The)* | 15,053 | 188,313 | ||
Herbalife Nutrition, Ltd.Δ* | 7,397 | 97,936 | ||
J&J Snack Foods CorporationΔ | 17,963 | 2,844,621 | ||
Nature's Sunshine Products, Inc.Δ* | 6,033 | 82,350 | ||
Simply Good Foods Co. (The)* | 64,600 | 2,363,714 | ||
SpartanNash Co. | 4,764 | 107,238 |
Shares | Value | |||
Spectrum Brands Holdings, Inc. | 38,984 | $ 3,042,701 | ||
16,521,897 | ||||
Energy — 5.3% | ||||
Atlas Energy Solutions, Inc. Class A | 4,250 | 73,780 | ||
Bristow Group, Inc.* | 5,719 | 164,307 | ||
Cactus, Inc. Class A | 135,504 | 5,734,529 | ||
California Resources Corporation | 27,840 | 1,260,874 | ||
Centrus Energy Corporation Class A* | 3,846 | 125,226 | ||
ChampionX Corporation | 134,562 | 4,176,804 | ||
DHT Holdings, Inc. | 31,905 | 272,150 | ||
Dorian LPG, Ltd. | 28,399 | 728,434 | ||
Earthstone Energy, Inc. Class AΔ* | 141,445 | 2,021,249 | ||
Enviva, Inc.Δ | 40,190 | 436,062 | ||
Gulfport Energy Corporation* | 2,582 | 271,291 | ||
Magnolia Oil & Gas Corporation Class AΔ | 185,899 | 3,885,289 | ||
Matador Resources Co. | 81,900 | 4,285,008 | ||
NexTier Oilfield Solutions, Inc.Δ* | 225,616 | 2,017,007 | ||
Northern Oil and Gas, Inc.Δ | 34,126 | 1,171,204 | ||
Oil States International, Inc.* | 4,900 | 36,603 | ||
Patterson-UTI Energy, Inc.Δ | 312,380 | 3,739,189 | ||
PDC Energy, Inc. | 45,479 | 3,235,376 | ||
Permian Resources CorporationΔ | 192,623 | 2,111,148 | ||
ProPetro Holding Corporation* | 32,857 | 270,742 | ||
REX American Resources Corporation* | 8,931 | 310,888 | ||
SM Energy Co. | 11,240 | 355,521 | ||
Southwestern Energy Co.Δ* | 382,770 | 2,300,448 | ||
Vital Energy, Inc.Δ* | 2,873 | 129,716 | ||
World Fuel Services Corporation | 36,730 | 759,576 | ||
39,872,421 | ||||
Financials — 17.4% | ||||
1st Source Corporation | 2,371 | 99,416 | ||
Amalgamated Financial CorporationΔ | 5,613 | 90,313 | ||
A-Mark Precious Metals, Inc.Δ | 50,133 | 1,876,729 | ||
Amerant Bancorp, Inc. | 700 | 12,033 | ||
American Equity Investment Life Holding Co. | 30,121 | 1,569,605 | ||
Ameris BancorpΔ | 51,057 | 1,746,660 | ||
Associated Banc-CorpΔ | 69,979 | 1,135,759 | ||
Atlantic Union Bankshares CorporationΔ | 9,044 | 234,692 | ||
AvidXchange Holdings, Inc.* | 101,000 | 1,048,380 | ||
Axis Capital Holdings, Ltd. | 64,069 | 3,448,834 | ||
Banc of California, Inc. | 17,244 | 199,686 | ||
BankUnited, Inc.Δ | 75,739 | 1,632,175 | ||
Banner Corporation | 4,593 | 200,576 | ||
BCB Bancorp, Inc. | 3,597 | 42,229 | ||
Berkshire Hills Bancorp, Inc. | 19,328 | 400,669 | ||
Brighthouse Financial, Inc.* | 6,350 | 300,673 | ||
BRP Group, Inc. Class A* | 49,182 | 1,218,730 | ||
Byline Bancorp, Inc.Δ | 5,576 | 100,870 | ||
Capital Bancorp, Inc.Δ | 1,785 | 32,309 | ||
Capital City Bank Group, Inc. | 2,673 | 81,901 | ||
Capstar Financial Holdings, Inc. | 6,280 | 77,056 | ||
Carter Bankshares, Inc.Δ* | 3,931 | 58,140 | ||
Central Pacific Financial Corporation | 16,956 | 266,379 |
Shares | Value | |||
City Holding Co.Δ | 16,061 | $1,445,329 | ||
CNO Financial Group, Inc.Δ | 61,840 | 1,463,753 | ||
Columbia Banking System, Inc.Δ | 61,988 | 1,257,117 | ||
Community Trust Bancorp, Inc. | 4,089 | 145,446 | ||
Compass Diversified Holdings | 151,925 | 3,295,253 | ||
ConnectOne Bancorp, Inc. | 19,901 | 330,158 | ||
Customers Bancorp, Inc.Δ* | 31,987 | 967,927 | ||
CVB Financial CorporationΔ | 72,226 | 959,161 | ||
Donegal Group, Inc. Class AΔ | 3,754 | 54,170 | ||
Donnelley Financial Solutions, Inc.* | 26,319 | 1,198,304 | ||
Eastern Bankshares, Inc. | 10,000 | 122,700 | ||
eHealth, Inc.* | 7,141 | 57,414 | ||
Employers Holdings, Inc. | 14,312 | 535,412 | ||
Enact Holdings, Inc. | 12,666 | 318,297 | ||
Encore Capital Group, Inc.Δ* | 4,598 | 223,555 | ||
Enova International, Inc.* | 17,609 | 935,390 | ||
Enstar Group, Ltd.* | 645 | 157,535 | ||
Enterprise Financial Services Corporation | 22,869 | 894,178 | ||
Essent Group, Ltd. | 51,444 | 2,407,579 | ||
Euronet Worldwide, Inc.* | 18,538 | 2,175,805 | ||
EVERTEC, Inc. | 105,570 | 3,888,143 | ||
EZCORP, Inc. Class AΔ* | 39,340 | 329,669 | ||
FB Financial Corporation | 4,292 | 120,391 | ||
Financial Institutions, Inc. | 5,832 | 91,796 | ||
First BanCorpΔ | 37,224 | 1,107,414 | ||
First BanCorp (New York Exchange)Δ | 345,825 | 4,225,982 | ||
First Financial Bancorp | 66,416 | 1,357,543 | ||
First Financial Corporation | 6,168 | 200,275 | ||
First Foundation, Inc. | 72,388 | 287,380 | ||
First Internet BancorpΔ | 6,526 | 96,911 | ||
First Interstate BancSystem, Inc. Class A | 115,117 | 2,744,389 | ||
First Merchants Corporation | 23,227 | 655,698 | ||
First Mid Bancshares, Inc. | 2,751 | 66,409 | ||
First of Long Island Corporation (The) | 701 | 8,426 | ||
First Savings Financial Group, Inc. | 1,014 | 13,385 | ||
Five Star Bancorp | 1,647 | 36,843 | ||
Flywire Corporation* | 77,100 | 2,393,184 | ||
FNB CorporationΔ | 285,062 | 3,261,109 | ||
Focus Financial Partners, Inc. Class A* | 52,215 | 2,741,810 | ||
FS Bancorp, Inc. | 1,863 | 56,020 | ||
Great Southern Bancorp, Inc.Δ | 2,381 | 120,788 | ||
Green Dot Corporation Class A* | 23,374 | 438,029 | ||
Greenlight Capital Re, Ltd. Class AΔ* | 4,206 | 44,310 | ||
Guaranty Bancshares, Inc.Δ | 812 | 21,989 | ||
Hamilton Lane, Inc. Class A | 86,129 | 6,888,597 | ||
Hanmi Financial Corporation | 19,040 | 284,267 | ||
Hanover Insurance Group, Inc. (The) | 3,148 | 355,818 | ||
HarborOne Bancorp, Inc. | 20,668 | 179,398 | ||
HBT Financial, Inc. | 4,674 | 86,189 | ||
Heartland Financial U.S.A., Inc. | 3,468 | 96,653 | ||
Home Bancorp, Inc.Δ | 116 | 3,852 | ||
Home BancShares, Inc. | 144,529 | 3,295,261 | ||
HomeStreet, Inc.Δ | 21,523 | 127,416 | ||
HomeTrust Bancshares, Inc.Δ | 4,892 | 102,194 |
Shares | Value | |||
Horace Mann Educators Corporation | 2,869 | $ 85,095 | ||
Horizon Bancorp, Inc. | 9,805 | 102,070 | ||
Independent Bank Corporation | 23,363 | 1,039,887 | ||
Independent Bank Corporation (NASDAQ Exchange) | 6,466 | 109,663 | ||
Independent Bank Group, Inc. | 46,293 | 1,598,497 | ||
Investar Holding Corporation | 1,686 | 20,417 | ||
Jackson Financial, Inc. Class A | 32,913 | 1,007,467 | ||
James River Group Holdings, Ltd. | 11,932 | 217,878 | ||
LendingClub Corporation* | 16,521 | 161,080 | ||
Macatawa Bank Corporation | 1,740 | 16,147 | ||
Marqeta, Inc. Class A* | 103,300 | 503,071 | ||
Mercantile Bank CorporationΔ | 1,975 | 54,550 | ||
Merchants BancorpΔ | 6,203 | 158,673 | ||
Mercury General Corporation | 11,136 | 337,087 | ||
Metropolitan Bank Holding CorporationΔ* | 590 | 20,491 | ||
Midland States Bancorp, Inc. | 7,685 | 153,008 | ||
MVB Financial CorporationΔ | 62,800 | 1,323,824 | ||
Navient Corporation | 71,233 | 1,323,509 | ||
NBT Bancorp, Inc.Δ | 3,056 | 97,334 | ||
NMI Holdings, Inc. Class A* | 100,866 | 2,604,360 | ||
Northrim BanCorp, Inc. | 2,187 | 86,015 | ||
OceanFirst Financial Corporation | 4,348 | 67,916 | ||
Ocwen Financial CorporationΔ* | 1,128 | 33,806 | ||
OFG Bancorp | 24,754 | 645,584 | ||
Old National Bancorp | 425,158 | 5,926,703 | ||
Old Second Bancorp, Inc.Δ | 6,988 | 91,263 | ||
Origin Bancorp, Inc. | 23,926 | 701,032 | ||
Pacific Premier Bancorp, Inc. | 138,062 | 2,855,122 | ||
Pathward Financial, Inc. | 15,046 | 697,533 | ||
Peapack-Gladstone Financial Corporation | 7,342 | 198,821 | ||
PJT Partners, Inc. Class AΔ | 26,300 | 1,831,532 | ||
PRA Group, Inc.* | 2,660 | 60,781 | ||
Premier Financial Corporation | 16,443 | 263,417 | ||
Primis Financial Corporation | 6,786 | 57,138 | ||
Priority Technology Holdings, Inc.Δ* | 112,600 | 407,612 | ||
ProAssurance CorporationΔ | 158,666 | 2,394,270 | ||
PROG Holdings, Inc.* | 42,139 | 1,353,505 | ||
Provident Bancorp, Inc.Δ | 100 | 828 | ||
Provident Financial Services, Inc.Δ | 39,711 | 648,878 | ||
QCR Holdings, Inc. | 15,810 | 648,684 | ||
Radian Group, Inc.Δ | 9,417 | 238,062 | ||
RBB Bancorp | 4,966 | 59,294 | ||
Regional Management Corporation | 3,594 | 109,617 | ||
Reinsurance Group of America, Inc. | 4,976 | 690,121 | ||
Selective Insurance Group, Inc.Δ | 43,860 | 4,208,367 | ||
Selectquote, Inc.* | 28,962 | 56,476 | ||
Sierra BancorpΔ | 824 | 13,983 | ||
Skyward Specialty Insurance Group, Inc.* | 1,280 | 32,512 | ||
SLM CorporationΔ | 23,297 | 380,207 | ||
SmartFinancial, Inc. | 2,141 | 46,053 | ||
South Plains Financial, Inc. | 2,538 | 57,130 | ||
Southern First Bancshares, Inc.Δ* | 2,479 | 61,355 | ||
SouthState CorporationΔ | 73,593 | 4,842,419 | ||
Stewart Information Services Corporation | 3,482 | 143,249 |
Shares | Value | |||
StoneX Group, Inc.* | 5,533 | $ 459,682 | ||
Texas Capital Bancshares, Inc.* | 25,924 | 1,335,086 | ||
Third Coast Bancshares, Inc.Δ* | 1,876 | 29,772 | ||
Towne Bank/Portsmouth VA | 21,620 | 502,449 | ||
Trustmark Corporation | 2,912 | 61,501 | ||
UMB Financial CorporationΔ | 47,283 | 2,879,535 | ||
United Community Banks, Inc. | 56,103 | 1,402,014 | ||
United Fire Group, Inc. | 6,708 | 152,003 | ||
Universal Insurance Holdings, Inc. | 20,389 | 314,602 | ||
Univest Financial Corporation | 4,789 | 86,585 | ||
Valley National BancorpΔ | 458,143 | 3,550,608 | ||
Veritex Holdings, Inc. | 31,115 | 557,892 | ||
Victory Capital Holdings, Inc. Class A | 116,600 | 3,677,564 | ||
Washington Federal, Inc.Δ | 6,914 | 183,359 | ||
Waterstone Financial, Inc. | 8,432 | 122,180 | ||
WesBanco, Inc. | 54,551 | 1,397,051 | ||
Western New England Bancorp, Inc.Δ | 1,620 | 9,461 | ||
WSFS Financial CorporationΔ | 52,868 | 1,994,181 | ||
Zions Bancorp NAΔ | 19,710 | 529,411 | ||
130,634,164 | ||||
Health Care — 12.0% | ||||
2seventy bio, Inc.* | 31,001 | 313,730 | ||
Addus HomeCare Corporation* | 14,740 | 1,366,398 | ||
Adicet Bio, Inc.Δ* | 3,250 | 7,898 | ||
Agios Pharmaceuticals, Inc.Δ* | 55,411 | 1,569,240 | ||
American Well Corporation Class A* | 96,775 | 203,228 | ||
Amicus Therapeutics, Inc.* | 177,045 | 2,223,685 | ||
AMN Healthcare Services, Inc.* | 2,979 | 325,069 | ||
AnaptysBio, Inc.Δ* | 15,385 | 312,931 | ||
AngioDynamics, Inc.* | 21,429 | 223,504 | ||
ANI Pharmaceuticals, Inc.* | 3,568 | 192,065 | ||
Apellis Pharmaceuticals, Inc.Δ* | 21,605 | 1,968,216 | ||
Artivion, Inc.Δ* | 83,776 | 1,440,109 | ||
Atea Pharmaceuticals, Inc.* | 12,349 | 46,185 | ||
Athira Pharma, Inc.* | 5,900 | 17,405 | ||
AtriCure, Inc.* | 93,001 | 4,590,529 | ||
Avanos Medical, Inc.* | 2,226 | 56,897 | ||
Azenta, Inc.Δ* | 25,659 | 1,197,762 | ||
BioCryst Pharmaceuticals, Inc.Δ* | 12,758 | 89,816 | ||
Bluebird Bio, Inc.Δ* | 93,471 | 307,520 | ||
Blueprint Medicines Corporation* | 38,698 | 2,445,714 | ||
C4 Therapeutics, Inc.* | 46,561 | 128,043 | ||
Cara Therapeutics, Inc.Δ* | 55,920 | 158,254 | ||
CareDx, Inc.Δ* | 37,661 | 320,119 | ||
Caribou Biosciences, Inc.Δ* | 20,518 | 87,202 | ||
Castle Biosciences, Inc.Δ* | 11,900 | 163,268 | ||
Century Therapeutics, Inc.Δ* | 7,178 | 22,682 | ||
Certara, Inc.Δ* | 37,300 | 679,233 | ||
Chimerix, Inc.* | 26,700 | 32,307 | ||
Community Health Systems, Inc.* | 14,500 | 63,800 | ||
Computer Programs and Systems, Inc.* | 9,362 | 231,148 | ||
CONMED CorporationΔ | 19,638 | 2,668,608 | ||
Cross Country Healthcare, Inc.* | 5,281 | 148,290 | ||
Cue Health, Inc.Δ* | 4,600 | 1,697 | ||
Day One Biopharmaceuticals, Inc.* | 79,100 | 944,454 | ||
Deciphera Pharmaceuticals, Inc.* | 16,423 | 231,236 |
Shares | Value | |||
Embecta CorporationΔ | 57,200 | $1,235,520 | ||
Emergent BioSolutions, Inc.Δ* | 57,539 | 422,912 | ||
Enanta Pharmaceuticals, Inc.* | 14,029 | 300,221 | ||
Enovis Corporation* | 21,672 | 1,389,609 | ||
Envista Holdings Corporation* | 33,966 | 1,149,409 | ||
EQRx, Inc.Δ* | 129,533 | 240,931 | ||
Exelixis, Inc.* | 37,384 | 714,408 | ||
Fate Therapeutics, Inc.* | 86,832 | 413,320 | ||
FibroGen, Inc.* | 5,606 | 15,136 | ||
Halozyme Therapeutics, Inc.* | 60,357 | 2,177,077 | ||
Health Catalyst, Inc.* | 62,069 | 775,863 | ||
HealthEquity, Inc.* | 44,400 | 2,803,416 | ||
HealthStream, Inc. | 9,165 | 225,092 | ||
Inogen, Inc.* | 23,567 | 272,199 | ||
Insmed, Inc.Δ* | 87,859 | 1,853,825 | ||
Inspire Medical Systems, Inc.* | 15,866 | 5,150,738 | ||
Intra-Cellular Therapies, Inc.* | 60,886 | 3,855,302 | ||
iTeos Therapeutics, Inc.* | 15,686 | 207,683 | ||
Kezar Life Sciences, Inc.Δ* | 13,200 | 32,340 | ||
Kodiak Sciences, Inc.Δ* | 4,275 | 29,498 | ||
Lantheus Holdings, Inc.Δ* | 14,710 | 1,234,463 | ||
Ligand Pharmaceuticals, Inc.* | 21,128 | 1,523,329 | ||
Lyell Immunopharma, Inc.Δ* | 1,928 | 6,131 | ||
MacroGenics, Inc.Δ* | 7,692 | 41,152 | ||
Merit Medical Systems, Inc.* | 32,886 | 2,750,585 | ||
MoonLake ImmunotherapeuticsΔ* | 2,300 | 117,300 | ||
NanoString Technologies, Inc.* | 14,600 | 59,130 | ||
Nektar Therapeutics* | 200,543 | 115,352 | ||
NeoGenomics, Inc.* | 64,489 | 1,036,338 | ||
NGM Biopharmaceuticals, Inc.Δ* | 27,800 | 72,002 | ||
Nurix Therapeutics, Inc.Δ* | 3,859 | 38,551 | ||
NuVasive, Inc.* | 33,495 | 1,393,057 | ||
Nuvation Bio, Inc.Δ* | 5,400 | 9,720 | ||
Omnicell, Inc.Δ* | 20,694 | 1,524,527 | ||
OraSure Technologies, Inc.* | 53,725 | 269,162 | ||
Owens & Minor, Inc.* | 4,308 | 82,024 | ||
Pacific Biosciences of California, Inc.Δ* | 115,288 | 1,533,330 | ||
Pediatrix Medical Group, Inc.* | 23,848 | 338,880 | ||
Phreesia, Inc.* | 57,800 | 1,792,378 | ||
Precigen, Inc.Δ* | 4,100 | 4,715 | ||
Prestige Consumer Healthcare, Inc.* | 57,990 | 3,446,346 | ||
PTC Therapeutics, Inc.* | 109,271 | 4,444,052 | ||
Quanterix Corporation* | 20,771 | 468,386 | ||
Reata Pharmaceuticals, Inc. Class AΔ* | 26,700 | 2,722,332 | ||
REGENXBIO, Inc.* | 18,057 | 360,959 | ||
Sangamo Therapeutics, Inc.* | 8,443 | 10,976 | ||
Seer, Inc.* | 21,900 | 93,513 | ||
Shockwave Medical, Inc.Δ* | 14,008 | 3,998,023 | ||
Silk Road Medical, Inc.Δ* | 31,300 | 1,016,937 | ||
Supernus Pharmaceuticals, Inc.* | 66,838 | 2,009,150 | ||
Sutro Biopharma, Inc.Δ* | 52,543 | 244,325 | ||
Tango Therapeutics, Inc.* | 25,029 | 83,096 | ||
Tarsus Pharmaceuticals, Inc.Δ* | 6,800 | 122,876 | ||
Tenet Healthcare Corporation* | 1,896 | 154,296 | ||
Theravance Biopharma, Inc.Δ* | 4,924 | 50,963 | ||
TransMedics Group, Inc.* | 32,204 | 2,704,492 |
Shares | Value | |||
Travere Therapeutics, Inc.Δ* | 130,987 | $ 2,011,960 | ||
Treace Medical Concepts, Inc.* | 87,300 | 2,233,134 | ||
Vanda Pharmaceuticals, Inc.Δ* | 42,979 | 283,232 | ||
Veradigm, Inc.Δ* | 79,907 | 1,006,828 | ||
ViewRay, Inc.Δ* | 103,500 | 36,453 | ||
Y-mAbs Therapeutics, Inc.* | 7,000 | 47,530 | ||
Zimvie, Inc.* | 27,359 | 307,242 | ||
Zymeworks, Inc.Δ* | 2,100 | 18,144 | ||
89,860,112 | ||||
Industrials — 19.9% | ||||
ABM Industries, Inc. | 47,710 | 2,034,831 | ||
ACV Auctions, Inc. Class A* | 126,500 | 2,184,655 | ||
AerSale Corporation* | 459 | 6,747 | ||
AGCO Corporation | 5,104 | 670,768 | ||
Allegiant Travel Co.* | 12,698 | 1,603,503 | ||
Ameresco, Inc. Class AΔ* | 32,630 | 1,586,797 | ||
Applied Industrial Technologies, Inc. | 23,334 | 3,379,463 | ||
ArcBest CorporationΔ | 12,589 | 1,243,793 | ||
Argan, Inc.Δ | 7,968 | 314,019 | ||
ASGN, Inc.* | 43,711 | 3,305,863 | ||
Astec Industries, Inc. | 9,474 | 430,499 | ||
AZEK Co., Inc. (The)* | 85,100 | 2,577,679 | ||
Babcock & Wilcox Enterprises, Inc.* | 5,500 | 32,450 | ||
Barnes Group, Inc. | 20,143 | 849,833 | ||
Barrett Business Services, Inc.Δ | 10,375 | 904,700 | ||
Beacon Roofing Supply, Inc.Δ* | 35,056 | 2,908,947 | ||
Boise Cascade Co. | 66,313 | 5,991,380 | ||
BrightView Holdings, Inc.* | 103,210 | 741,048 | ||
Brink's Co. (The) | 50,464 | 3,422,973 | ||
Casella Waste Systems, Inc. Class A* | 101,853 | 9,212,604 | ||
CECO Environmental Corporation* | 19,164 | 256,031 | ||
Chart Industries, Inc.Δ* | 7,955 | 1,271,129 | ||
Columbus McKinnon Corporation | 45,895 | 1,865,632 | ||
Conduent, Inc.* | 83,987 | 285,556 | ||
CoreCivic, Inc. REIT* | 92,792 | 873,173 | ||
Covenant Logistics Group, Inc. | 10,532 | 461,618 | ||
Deluxe Corporation | 75,688 | 1,323,026 | ||
Driven Brands Holdings, Inc.* | 144,000 | 3,896,640 | ||
DXP Enterprises, Inc.* | 25,467 | 927,253 | ||
Dycom Industries, Inc.Δ* | 6,955 | 790,436 | ||
EMCOR Group, Inc. | 21,700 | 4,009,726 | ||
Encore Wire CorporationΔ | 8,724 | 1,622,053 | ||
Enviri Corporation* | 52,439 | 517,573 | ||
Esab Corporation | 82,438 | 5,485,424 | ||
ESCO Technologies, Inc.Δ | 14,209 | 1,472,479 | ||
ExlService Holdings, Inc.* | 45,204 | 6,828,516 | ||
Exponent, Inc. | 30,900 | 2,883,588 | ||
Federal Signal CorporationΔ | 65,091 | 4,167,777 | ||
Global Industrial Co. | 6,313 | 175,312 | ||
GMS, Inc.* | 37,604 | 2,602,197 | ||
Great Lakes Dredge & Dock Corporation* | 4,335 | 35,374 | ||
Hawaiian Holdings, Inc.Δ* | 38,300 | 412,491 | ||
Hayward Holdings, Inc.* | 68,940 | 885,879 | ||
Heidrick & Struggles International, Inc. | 6,306 | 166,920 | ||
Hexcel Corporation | 40,800 | 3,101,616 |
Shares | Value | |||
Hillman Solutions Corporation* | 213,347 | $ 1,922,256 | ||
Hub Group, Inc. Class A* | 33,053 | 2,654,817 | ||
IBEX Holdings, Ltd.* | 26,942 | 571,979 | ||
Insteel Industries, Inc. | 500 | 15,560 | ||
ITT, Inc. | 35,800 | 3,336,918 | ||
Kadant, Inc. | 11,946 | 2,653,207 | ||
Kaman Corporation | 7,675 | 186,733 | ||
Karat Packaging, Inc. | 11,399 | 208,032 | ||
KBR, Inc.Δ | 20,806 | 1,353,638 | ||
Kelly Services, Inc. Class A | 6,696 | 117,917 | ||
Korn FerryΔ | 47,875 | 2,371,727 | ||
Leonardo DRS, Inc.Δ* | 14,669 | 254,360 | ||
Manitowoc Co., Inc. (The)* | 35,776 | 673,662 | ||
Marten Transport, Ltd. | 59,000 | 1,268,500 | ||
Matrix Service Co.* | 12,165 | 71,652 | ||
Mistras Group, Inc.* | 2,181 | 16,837 | ||
MYR Group, Inc.* | 18,740 | 2,592,492 | ||
NOW, Inc.* | 48,496 | 502,419 | ||
NV5 Global, Inc.* | 4,897 | 542,441 | ||
OPENLANE, Inc.* | 46,768 | 711,809 | ||
Oshkosh Corporation | 4,470 | 387,057 | ||
Parsons CorporationΔ* | 10,324 | 496,997 | ||
Paycor HCM, Inc.Δ* | 122,100 | 2,890,107 | ||
Powell Industries, Inc. | 6,430 | 389,594 | ||
Primoris Services Corporation | 14,893 | 453,790 | ||
Proterra, Inc.Δ* | 63,281 | 75,937 | ||
Proto Labs, Inc.* | 15,778 | 551,599 | ||
Quanex Building Products CorporationΔ | 4,202 | 112,824 | ||
Radiant Logistics, Inc.* | 11,050 | 74,256 | ||
RBC Bearings, Inc.* | 9,400 | 2,044,218 | ||
Regal Beloit Corporation | 25,353 | 3,901,827 | ||
Resideo Technologies, Inc.Δ* | 39,030 | 689,270 | ||
Resources Connection, Inc. | 9,534 | 149,779 | ||
REV Group, Inc. | 14,072 | 186,595 | ||
Saia, Inc.Δ* | 7,850 | 2,687,918 | ||
Steelcase, Inc. Class A | 58,428 | 450,480 | ||
Sun Country Airlines Holdings, Inc.Δ* | 81,819 | 1,839,291 | ||
Tetra Tech, Inc. | 24,327 | 3,983,303 | ||
Timken Co. (The) | 44,915 | 4,111,070 | ||
Titan Machinery, Inc.* | 4,911 | 144,874 | ||
Trinity Industries, Inc.Δ | 23,623 | 607,347 | ||
TrueBlue, Inc.Δ* | 19,573 | 346,638 | ||
TuSimple Holdings, Inc. Class AΔ* | 32,819 | 54,479 | ||
Tutor Perini CorporationΔ* | 33,610 | 240,311 | ||
Werner Enterprises, Inc. | 58,565 | 2,587,402 | ||
WESCO International, Inc. | 5,413 | 969,252 | ||
WillScot Mobile Mini Holdings Corporation* | 72,729 | 3,475,719 | ||
Zurn Water Solutions CorporationΔ | 157,124 | 4,225,064 | ||
149,873,925 | ||||
Information Technology — 11.2% | ||||
Adeia, Inc. | 50,114 | 551,755 | ||
Allegro MicroSystems, Inc.Δ* | 49,800 | 2,247,972 | ||
Avnet, Inc. | 73,317 | 3,698,843 | ||
Belden, Inc.Δ | 9,158 | 875,963 | ||
Benchmark Electronics, Inc.Δ | 15,467 | 399,513 |
Shares | Value | |||
Box, Inc. Class AΔ* | 57,791 | $1,697,900 | ||
Brightcove, Inc.* | 2,000 | 8,020 | ||
Cerence, Inc.Δ* | 30,592 | 894,204 | ||
Cirrus Logic, Inc.* | 6,604 | 534,990 | ||
Coherent CorporationΔ* | 102,888 | 5,245,230 | ||
Cohu, Inc.* | 46,248 | 1,922,067 | ||
Comtech Telecommunications Corporation | 14,601 | 133,453 | ||
Consensus Cloud Solutions, Inc.Δ* | 5,760 | 178,560 | ||
Daktronics, Inc.* | 10,921 | 69,894 | ||
Digital Turbine, Inc.Δ* | 64,055 | 594,430 | ||
Dropbox, Inc. Class AΔ* | 35,810 | 955,053 | ||
EverCommerce, Inc.Δ* | 15,069 | 178,417 | ||
FARO Technologies, Inc.* | 14,617 | 236,795 | ||
Ichor Holdings, Ltd.Δ* | 35,623 | 1,335,863 | ||
Informatica, Inc. Class A* | 19,446 | 359,751 | ||
Instructure Holdings, Inc.Δ* | 50,087 | 1,260,189 | ||
Kulicke & Soffa Industries, Inc. | 101,412 | 6,028,943 | ||
KVH Industries, Inc.* | 3,865 | 35,326 | ||
Kyndryl Holdings, Inc.* | 6,100 | 81,008 | ||
LiveRamp Holdings, Inc.* | 34,439 | 983,578 | ||
MACOM Technology Solutions Holdings, Inc.Δ* | 57,451 | 3,764,764 | ||
MaxLinear, Inc.* | 53,828 | 1,698,812 | ||
MKS Instruments, Inc.Δ | 9,862 | 1,066,082 | ||
NETGEAR, Inc.* | 12,949 | 183,358 | ||
New Relic, Inc.* | 30,400 | 1,989,376 | ||
nLight, Inc.* | 14,315 | 220,737 | ||
Nutanix, Inc. Class A* | 28,574 | 801,501 | ||
ON24, Inc. | 3,486 | 28,306 | ||
Onto Innovation, Inc.Δ* | 22,500 | 2,620,575 | ||
PowerSchool Holdings, Inc. Class AΔ* | 244,700 | 4,683,558 | ||
Progress Software CorporationΔ | 22,089 | 1,283,371 | ||
Q2 Holdings, Inc.* | 75,891 | 2,345,032 | ||
Quantum Corporation* | 15,067 | 16,272 | ||
Rapid7, Inc.* | 37,557 | 1,700,581 | ||
Ribbon Communications, Inc.* | 78,529 | 219,096 | ||
ScanSource, Inc.* | 9,150 | 270,474 | ||
SecureWorks Corporation Class A* | 5,384 | 38,926 | ||
Semtech CorporationΔ* | 55,783 | 1,420,235 | ||
Silicon Laboratories, Inc.* | 16,841 | 2,656,499 | ||
Smartsheet, Inc. Class A* | 56,100 | 2,146,386 | ||
SolarWinds Corporation* | 33,690 | 345,659 | ||
Sprout Social, Inc. Class AΔ* | 62,186 | 2,870,506 | ||
SPS Commerce, Inc.Δ* | 10,711 | 2,057,155 | ||
Squarespace, Inc. Class A* | 22,714 | 716,400 | ||
Synaptics, Inc.Δ* | 34,300 | 2,928,534 | ||
Teradata Corporation* | 57,350 | 3,063,064 | ||
Turtle Beach Corporation* | 4,100 | 47,765 | ||
Unisys Corporation* | 35,329 | 140,609 | ||
Upland Software, Inc.* | 27,068 | 97,445 | ||
Varonis Systems, Inc.* | 67,279 | 1,792,985 | ||
Verint Systems, Inc.Δ* | 42,404 | 1,486,684 | ||
Vertex, Inc. Class AΔ* | 133,700 | 2,607,150 | ||
Vontier Corporation | 32,999 | 1,062,898 | ||
Workiva, Inc.Δ* | 40,854 | 4,153,218 | ||
Xerox Holdings CorporationΔ | 76,752 | 1,142,837 |
Shares | Value | |||
Xperi, Inc.Δ* | 25,412 | $ 334,168 | ||
84,508,735 | ||||
Materials — 3.8% | ||||
Alpha Metallurgical Resources, Inc.Δ | 1,463 | 240,459 | ||
Avient Corporation | 43,200 | 1,766,880 | ||
Balchem Corporation | 3,628 | 489,091 | ||
Clearwater Paper Corporation* | 12,232 | 383,106 | ||
Ecovyst, Inc.* | 48,471 | 555,478 | ||
Element Solutions, Inc. | 35,566 | 682,867 | ||
Graphic Packaging Holding Co.Δ | 163,499 | 3,928,881 | ||
Huntsman Corporation | 38,995 | 1,053,645 | ||
Ingevity Corporation* | 10,889 | 633,304 | ||
Kaiser Aluminum CorporationΔ | 18,703 | 1,339,883 | ||
Koppers Holdings, Inc. | 5,291 | 180,423 | ||
Minerals Technologies, Inc. | 79,443 | 4,583,067 | ||
MP Materials CorporationΔ* | 2,930 | 67,038 | ||
Olympic Steel, Inc. | 10,100 | 494,900 | ||
Pactiv Evergreen, Inc.Δ | 134,514 | 1,018,271 | ||
Quaker Chemical CorporationΔ | 9,088 | 1,771,251 | ||
Rayonier Advanced Materials, Inc.Δ* | 44,455 | 190,268 | ||
Ryerson Holding CorporationΔ | 18,551 | 804,742 | ||
Schnitzer Steel Industries, Inc. Class A | 17,570 | 526,924 | ||
Summit Materials, Inc. Class A* | 98,144 | 3,714,751 | ||
SunCoke Energy, Inc. | 69,369 | 545,934 | ||
Valhi, Inc.Δ | 1,339 | 17,206 | ||
Warrior Met Coal, Inc. | 30,657 | 1,194,090 | ||
Worthington Industries, Inc. | 38,330 | 2,662,785 | ||
28,845,244 | ||||
Real Estate — 4.8% | ||||
Apple Hospitality REIT, Inc. | 76,222 | 1,151,714 | ||
Armada Hoffler Properties, Inc. REITΔ | 111,011 | 1,296,609 | ||
CareTrust REIT, Inc.Δ | 40,535 | 805,025 | ||
Chatham Lodging Trust REIT | 13,446 | 125,855 | ||
CTO Realty Growth, Inc. REITΔ | 9,981 | 171,074 | ||
DiamondRock Hospitality Co. REITΔ | 183,038 | 1,466,134 | ||
Douglas Elliman, Inc.Δ | 34,044 | 75,578 | ||
Easterly Government Properties, Inc. REITΔ | 41,817 | 606,347 | ||
Equity Commonwealth REIT | 58,946 | 1,194,246 | ||
Forestar Group, Inc.* | 10,845 | 244,555 | ||
Four Corners Property Trust, Inc. REIT | 116,570 | 2,960,878 | ||
Hersha Hospitality Trust REIT | 34,888 | 212,468 | ||
Highwoods Properties, Inc. REITΔ | 56,201 | 1,343,766 | ||
Independence Realty Trust, Inc. REIT | 128,424 | 2,339,885 | ||
Kennedy-Wilson Holdings, Inc.Δ | 52,425 | 856,100 | ||
Kite Realty Group Trust REIT | 189,082 | 4,224,092 | ||
LXP Industrial Trust REIT | 172,506 | 1,681,934 | ||
National Health Investors, Inc. REIT | 15,886 | 832,744 | ||
National Storage Affiliates Trust REIT | 65,200 | 2,270,916 | ||
NETSTREIT CorporationΔ | 34,868 | 623,091 | ||
Opendoor Technologies, Inc.Δ* | 72,891 | 293,022 | ||
Pebblebrook Hotel Trust REITΔ | 123,211 | 1,717,561 |
Shares | Value | |||
Phillips Edison & Co., Inc. REITΔ | 42,528 | $ 1,449,354 | ||
Physicians Realty Trust REITΔ | 227,798 | 3,186,894 | ||
RLJ Lodging Trust REIT | 101,884 | 1,046,349 | ||
RPT Realty REIT | 117,601 | 1,228,930 | ||
Summit Hotel Properties, Inc. REITΔ | 46,738 | 304,264 | ||
Sunstone Hotel Investors, Inc. REIT | 104,018 | 1,052,662 | ||
UMH Properties, Inc. REITΔ | 53,664 | 857,551 | ||
Xenia Hotels & Resorts, Inc. REIT | 42,968 | 528,936 | ||
Zillow Group, Inc. Class A* | 3,448 | 169,642 | ||
36,318,176 | ||||
Utilities — 1.4% | ||||
ALLETE, Inc. | 11,417 | 661,843 | ||
Black Hills Corporation | 24,228 | 1,459,979 | ||
Northwest Natural Holding Co. | 21,708 | 934,529 | ||
NorthWestern Corporation | 31,392 | 1,781,810 | ||
NRG Energy, Inc. | 17,014 | 636,153 | ||
ONE Gas, Inc.Δ | 17,781 | 1,365,759 | ||
Southwest Gas Holdings, Inc. | 25,610 | 1,630,077 | ||
Spire, Inc.Δ | 27,255 | 1,729,057 | ||
Vistra Corporation | 19,194 | 503,843 | ||
10,703,050 | ||||
Total Common Stocks (Cost $648,011,470) | 690,079,249 |
FOREIGN COMMON STOCKS — 4.0% | |||
Bermuda — 0.1% | |||
Fidelis Insurance Holdings, Ltd.* | 54,853 | 748,743 | |
SiriusPoint, Ltd.* | 10,121 | 91,393 | |
840,136 | |||
Canada — 0.5% | |||
DIRTT Environmental SolutionsΔ* | 96,127 | 25,108 | |
IMAX Corporation* | 76,208 | 1,294,774 | |
Teekay Tankers, Ltd. Class AΔ | 21,646 | 827,527 | |
Xenon Pharmaceuticals, Inc.* | 42,000 | 1,617,000 | |
3,764,409 | |||
Cayman Islands — 0.1% | |||
Patria Investments, Ltd. Class A | 42,026 | 600,972 | |
Colombia — 0.2% | |||
Tecnoglass, Inc.Δ | 30,577 | 1,579,608 | |
Denmark — 0.3% | |||
Ascendis Pharma A/S ADRΔ* | 25,600 | 2,284,800 | |
Ireland — 0.2% | |||
Adient PLCΔ* | 25,298 | 969,419 | |
Trinseo PLCΔ | 22,164 | 280,818 | |
1,250,237 | |||
Israel — 1.0% | |||
CyberArk Software, Ltd.Δ* | 14,600 | 2,282,418 | |
Global-e Online, Ltd.Δ* | 52,600 | 2,153,444 | |
JFrog, Ltd.* | 119,900 | 3,321,230 | |
7,757,092 |
Shares | Value | |||
Jersey — 1.0% | ||||
WNS Holdings, Ltd. ADR* | 100,436 | $ 7,404,142 | ||
Monaco — 0.1% | ||||
Scorpio Tankers, Inc. | 18,589 | 877,958 | ||
Sweden — 0.1% | ||||
Loomis AB | 33,056 | 965,321 | ||
United Kingdom — 0.4% | ||||
Gates Industrial Corporation PLC* | 189,235 | 2,550,888 | ||
Luxfer Holdings PLC | 23,172 | 329,737 | ||
2,880,625 | ||||
Total Foreign Common Stocks (Cost $29,921,496) | 30,205,300 |
RIGHTS — 0.0% | |||
Aduro Biotech, Inc.†††* | 2,713 | — | |
Omniab, Inc.†††* | 7,376 | 1 | |
Omniab, Inc. (NASDAQ Exchange)†††* | 7,376 | 1 | |
Total Rights (Cost $—) | 2 | ||
MONEY MARKET FUNDS — 6.3% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 31,717,938 | 31,717,938 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 15,569,897 | 15,569,897 | |
Northern Institutional U.S. Government Portfolio (Shares), 4.91%Ø | 66,177 | 66,177 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 51,188 | 51,188 | |
Total Money Market Funds (Cost $47,405,200) | 47,405,200 | ||
TOTAL INVESTMENTS — 102.0% (Cost $725,338,166) | 767,689,751 | ||
Liabilities in Excess of Other Assets — (2.0)% | (15,070,471) | ||
NET ASSETS — 100.0% | $752,619,280 |
% | |
Industrials | 21.6 |
Financials | 17.6 |
Health Care | 12.5 |
Consumer Discretionary | 12.3 |
Information Technology | 11.9 |
Money Market Funds | 6.3 |
Energy | 5.5 |
Real Estate | 4.8 |
Materials | 3.9 |
Consumer Staples | 2.2 |
Communication Services | 2.0 |
Utilities | 1.4 |
Rights | —** |
102.0 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
E-Mini Russell 2000 Index | 09/2023 | 186 | $17,704,410 | $109,807 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/29/23 | U.S. Dollars | 873,977 | Swedish Kronor | 9,324,304 | UBS | $5,576 | ||||||
Subtotal Appreciation | $5,576 | |||||||||||
09/29/23 | U.S. Dollars | 67,187 | Swedish Kronor | 724,654 | UBS | $ (303) | ||||||
Subtotal Depreciation | $ (303) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $5,273 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $690,079,249 | $690,079,249 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Sweden | 965,321 | — | 965,321 | — | |||
Other ^^ | 29,239,979 | 29,239,979 | — | — | |||
Total Foreign Common Stocks | 30,205,300 | 29,239,979 | 965,321 | — | |||
Money Market Funds | 47,405,200 | 47,405,200 | — | — | |||
Rights | 2 | — | — | 2 | |||
Total Assets - Investments in Securities | $767,689,751 | $766,724,428 | $965,321 | $ 2 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 5,576 | $ — | $ 5,576 | $ — | |||
Futures Contracts | 109,807 | 109,807 | — | — | |||
Total Assets - Other Financial Instruments | $ 115,383 | $ 109,807 | $ 5,576 | $ — | |||
Liabilities: | |||||||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (303) | $ — | $ (303) | $ — | |||
Total Liabilities - Other Financial Instruments | $ (303) | $ — | $ (303) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts and forward foreign currency 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 | |||
FOREIGN COMMON STOCKS — 95.2% | ||||
Australia — 6.8% | ||||
Ampol, Ltd. | 9,256 | $ 184,902 | ||
ANZ Group Holdings, Ltd. | 155,132 | 2,455,707 | ||
APA Group | 56,822 | 367,636 | ||
ASX, Ltd. | 9,397 | 395,454 | ||
Aurizon Holdings, Ltd. | 144,275 | 377,453 | ||
BHP Group, Ltd. | 275,010 | 8,267,340 | ||
BlueScope Steel, Ltd. | 21,263 | 292,639 | ||
Brambles, Ltd. | 107,348 | 1,032,212 | ||
Cochlear, Ltd. | 5,986 | 917,104 | ||
Coles Group, Ltd. | 97,380 | 1,195,718 | ||
Commonwealth Bank of Australia | 93,381 | 6,251,559 | ||
Computershare, Ltd. | 31,223 | 487,267 | ||
CSL, Ltd. | 32,664 | 6,048,680 | ||
Dexus REIT | 65,896 | 343,174 | ||
Fortescue Metals Group, Ltd. | 86,232 | 1,279,573 | ||
Goodman Group REIT | 96,925 | 1,302,948 | ||
GPT Group (The) REIT | 15,364 | 42,514 | ||
IDP Education, Ltd.Δ | 17,951 | 265,833 | ||
Insurance Australia Group, Ltd. | 115,449 | 439,039 | ||
Macquarie Group, Ltd. | 19,625 | 2,335,137 | ||
Medibank Pvt., Ltd. | 179,765 | 422,264 | ||
Mineral Resources, Ltd. | 7,000 | 335,249 | ||
Mirvac Group REIT | 260,355 | 393,162 | ||
National Australia Bank, Ltd. | 154,242 | 2,712,787 | ||
Newcrest Mining, Ltd. | 40,166 | 716,498 | ||
Northern Star Resources, Ltd. | 45,766 | 372,850 | ||
Orica, Ltd. | 17,805 | 176,390 | ||
Origin Energy, Ltd. | 81,077 | 455,698 | ||
Pilbara Minerals, Ltd.Δ | 120,000 | 394,400 | ||
Qantas Airways, Ltd.* | 66,392 | 275,136 | ||
QBE Insurance Group, Ltd. | 75,406 | 787,302 | ||
REA Group, Ltd. | 4,130 | 396,741 | ||
Rio Tinto, Ltd. | 16,350 | 1,252,078 | ||
Santos, Ltd. | 155,840 | 779,744 | ||
Scentre Group REIT | 265,947 | 470,331 | ||
SEEK, Ltd. | 16,462 | 240,486 | ||
Sonic Healthcare, Ltd. | 45,006 | 1,070,317 | ||
South32, Ltd. | 212,814 | 535,780 | ||
Stockland REIT | 133,688 | 359,391 | ||
Suncorp Group, Ltd. | 68,156 | 612,397 | ||
Telstra Corporation, Ltd. | 341,734 | 980,332 | ||
Transurban Group | 182,153 | 1,734,345 | ||
Vicinity Centres REIT | 216,299 | 266,376 | ||
Wesfarmers, Ltd. | 62,996 | 2,076,934 | ||
Westpac Banking Corporation | 173,355 | 2,468,335 | ||
WiseTech Global, Ltd. | 6,300 | 337,921 | ||
Woodside Energy Group, Ltd. | 102,306 | 2,366,499 | ||
Woolworths Group, Ltd. | 69,504 | 1,841,594 | ||
59,113,226 | ||||
Austria — 0.2% | ||||
Erste Group Bank AG | 21,419 | 751,333 | ||
OMV AG | 10,806 | 458,847 | ||
Verbund AG | 5,255 | 421,586 | ||
voestalpine AG | 4,506 | 161,929 | ||
1,793,695 | ||||
Belgium — 0.6% | ||||
Ageas SA/NV | 10,480 | 424,851 |
Shares | Value | |||
D'ieteren Group | 2,641 | $ 467,418 | ||
Elia Group SA/NVΔ | 2,782 | 353,464 | ||
Groupe Bruxelles Lambert NV | 5,725 | 451,323 | ||
KBC Group NV | 13,105 | 914,740 | ||
Sofina SAΔ | 865 | 179,331 | ||
Solvay SA | 4,910 | 549,036 | ||
UCB SA | 19,739 | 1,750,030 | ||
Umicore SA | 9,507 | 265,808 | ||
Warehouses De Pauw CVA REIT | 12,473 | 342,542 | ||
5,698,543 | ||||
Denmark — 2.6% | ||||
AP Moeller - Maersk A/S Class A | 649 | 1,131,662 | ||
AP Moeller - Maersk A/S Class B | 610 | 1,072,531 | ||
Chr. Hansen Holding A/S | 13,414 | 932,522 | ||
Coloplast A/S Class B | 13,701 | 1,714,491 | ||
Danske Bank A/S* | 97,273 | 2,369,222 | ||
Demant A/SΔ* | 18,113 | 766,668 | ||
DSV A/S | 18,994 | 3,989,530 | ||
Genmab A/S* | 7,330 | 2,777,760 | ||
Novozymes A/S, B SharesΔ | 27,803 | 1,297,263 | ||
Orsted A/S 144AΔ | 20,730 | 1,965,252 | ||
Pandora A/S | 15,325 | 1,369,774 | ||
ROCKWOOL International A/S, B SharesΔ | 1,073 | 277,485 | ||
Tryg A/S | 43,880 | 950,266 | ||
Vestas Wind Systems A/SΔ* | 96,690 | 2,570,729 | ||
23,185,155 | ||||
Finland — 1.2% | ||||
Elisa OYJ | 7,229 | 385,916 | ||
Fortum OYJΔ | 22,487 | 300,932 | ||
Kesko OYJ, B Shares | 12,949 | 243,859 | ||
Kone OYJ Class B | 19,989 | 1,044,317 | ||
Neste OYJ | 21,037 | 809,993 | ||
Nokia OYJ | 358,262 | 1,501,067 | ||
Nordea Bank Abp (NASDAQ Exchange) | 1,819 | 19,814 | ||
Nordea Bank Abp (Stockholm Exchange) | 182,960 | 1,992,924 | ||
Orion OYJ Class B | 17,254 | 716,059 | ||
Sampo OYJ, A Shares | 35,114 | 1,577,056 | ||
Stora Enso OYJ, R Shares | 34,560 | 400,963 | ||
UPM-Kymmene OYJΔ | 41,906 | 1,248,666 | ||
10,241,566 | ||||
France — 10.6% | ||||
Accor SA | 16,778 | 624,333 | ||
Aeroports de Paris | 2,268 | 325,894 | ||
Air Liquide SA | 35,542 | 6,373,928 | ||
Alstom SAΔ | 13,681 | 408,388 | ||
Arkema SA | 2,715 | 256,015 | ||
AXA SA | 97,306 | 2,875,521 | ||
BioMerieux | 2,876 | 301,973 | ||
BNP Paribas SA | 59,911 | 3,780,741 | ||
Bollore SE | 40,000 | 249,451 | ||
Bouygues SA | 11,283 | 379,035 | ||
Bureau Veritas SA | 15,449 | 423,844 | ||
Capgemini SE | 9,756 | 1,847,226 | ||
Carrefour SA | 43,085 | 816,492 | ||
Cie de St-Gobain | 26,241 | 1,597,720 |
Shares | Value | |||
Cie Generale des Etablissements Michelin SCA | 65,523 | $ 1,938,258 | ||
Credit Agricole SA | 30,092 | 357,308 | ||
Danone SA | 50,297 | 3,082,374 | ||
Dassault Aviation SA | 2,825 | 565,992 | ||
Dassault Systemes SE | 37,571 | 1,664,808 | ||
Edenred | 19,978 | 1,338,213 | ||
Eiffage SA | 8,654 | 903,552 | ||
Engie SA | 92,715 | 1,543,975 | ||
EssilorLuxottica SA | 22,374 | 4,219,073 | ||
Eurazeo SE | 3,083 | 217,061 | ||
Gecina SA REIT | 2,894 | 308,728 | ||
Getlink SE | 33,090 | 563,121 | ||
Hermes International | 2,518 | 5,473,426 | ||
Ipsen SA | 7,320 | 881,154 | ||
Kering SA | 5,668 | 3,129,864 | ||
Klepierre REITΔ | 14,221 | 353,309 | ||
L’Oreal SA | 15,003 | 6,998,541 | ||
Legrand SA | 16,102 | 1,597,381 | ||
Orange SA | 150,729 | 1,761,486 | ||
Publicis Groupe SA | 12,484 | 1,001,919 | ||
Renault SA | 22,966 | 969,018 | ||
Safran SA | 18,996 | 2,976,858 | ||
Sanofi | 74,351 | 8,004,316 | ||
Sartorius Stedim Biotech | 3,225 | 805,456 | ||
Schneider Electric SE | 28,838 | 5,239,194 | ||
Societe Generale SA | 28,734 | 747,263 | ||
Sodexo SA | 8,568 | 943,486 | ||
Teleperformance | 3,388 | 568,351 | ||
Thales SA | 6,325 | 947,668 | ||
TotalEnergies SE | 138,911 | 7,974,136 | ||
Unibail-Rodamco-Westfield CDI* | 10,140 | 26,143 | ||
Unibail-Rodamco-Westfield REITΔ* | 6,095 | 321,477 | ||
Valeo | 12,169 | 261,503 | ||
Veolia Environnement SA | 31,981 | 1,012,373 | ||
Vinci SA | 27,022 | 3,139,832 | ||
Vivendi SE | 35,000 | 321,317 | ||
Wendel SE | 525 | 53,921 | ||
Worldline SA 144A* | 13,200 | 483,385 | ||
92,955,801 | ||||
Germany — 7.7% | ||||
adidas AG | 11,209 | 2,175,982 | ||
Allianz SE | 23,578 | 5,491,876 | ||
BASF SE | 49,106 | 2,385,728 | ||
Bayerische Motoren Werke AG | 18,094 | 2,225,690 | ||
Bechtle AG | 3,882 | 154,164 | ||
Beiersdorf AG | 11,389 | 1,508,172 | ||
Brenntag SE | 7,869 | 613,924 | ||
Carl Zeiss Meditec AG | 4,095 | 442,851 | ||
Commerzbank AG | 49,702 | 550,989 | ||
Continental AG | 4,960 | 374,730 | ||
Covestro AG 144A* | 8,920 | 464,132 | ||
Daimler Truck Holding AG | 22,258 | 802,226 | ||
Delivery Hero SE 144A* | 7,927 | 349,740 | ||
Deutsche Bank AG | 104,927 | 1,103,073 | ||
Deutsche Boerse AG | 11,154 | 2,059,191 | ||
Deutsche Lufthansa AG* | 49,931 | 511,970 | ||
Deutsche Post AG | 54,831 | 2,679,167 | ||
Deutsche Telekom AG | 204,528 | 4,462,498 |
Shares | Value | |||
E.ON SE | 94,768 | $ 1,210,605 | ||
Evonik Industries AG | 13,302 | 253,467 | ||
Fresenius Medical Care AG & Co. KGaA | 15,717 | 751,133 | ||
Fresenius SE & Co. KGaA | 37,197 | 1,031,725 | ||
GEA Group AG | 7,555 | 316,298 | ||
Hannover Rueck SE | 3,483 | 739,436 | ||
HeidelbergCement AG | 9,249 | 760,625 | ||
HelloFresh SE* | 7,006 | 173,277 | ||
Henkel AG & Co. KGaA | 17,407 | 1,225,352 | ||
Infineon Technologies AG | 67,044 | 2,761,023 | ||
LEG Immobilien SE* | 1,506 | 86,894 | ||
Mercedes-Benz Group AG | 52,967 | 4,263,382 | ||
MTU Aero Engines AG | 2,932 | 760,470 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 8,326 | 3,125,686 | ||
Nemetschek SE | 785 | 58,606 | ||
Puma SE | 13,626 | 821,105 | ||
Rheinmetall AG | 2,384 | 653,102 | ||
RWE AG | 27,660 | 1,205,321 | ||
SAP SE | 59,183 | 8,084,837 | ||
Siemens AG | 41,317 | 6,887,580 | ||
Siemens Energy AG* | 18,963 | 335,300 | ||
Siemens Healthineers AG 144A | 25,788 | 1,461,544 | ||
Symrise AG | 6,729 | 705,553 | ||
Telefonica Deutschland Holding AG | 56,298 | 158,451 | ||
Volkswagen AG | 1,304 | 217,962 | ||
Vonovia SE | 23,337 | 455,763 | ||
Zalando SE 144A* | 10,454 | 301,485 | ||
67,162,085 | ||||
Hong Kong — 2.3% | ||||
AIA Group, Ltd. | 652,000 | 6,622,038 | ||
BOC Hong Kong Holdings, Ltd. | 214,500 | 657,084 | ||
CK Asset Holdings, Ltd. | 161,057 | 894,955 | ||
CLP Holdings, Ltd. | 56,000 | 436,162 | ||
ESR Cayman, Ltd. 144AΔ | 132,400 | 228,026 | ||
Futu Holdings, Ltd. ADRΔ* | 2,522 | 100,224 | ||
Hang Lung Properties, Ltd. | 117,000 | 181,053 | ||
Hang Seng Bank, Ltd. | 34,300 | 488,968 | ||
Henderson Land Development Co., Ltd. | 71,275 | 212,258 | ||
HKT Trust & HKT, Ltd. | 289,000 | 336,503 | ||
Hong Kong & China Gas Co., Ltd. | 562,138 | 486,806 | ||
Hong Kong Exchanges and Clearing, Ltd. | 64,997 | 2,462,672 | ||
Hongkong Land Holdings, Ltd. | 52,200 | 204,115 | ||
Jardine Matheson Holdings, Ltd. | 13,200 | 669,375 | ||
Link REIT | 154,304 | 859,029 | ||
MTR Corporation, Ltd. | 183,463 | 844,585 | ||
Power Assets Holdings, Ltd. | 86,500 | 454,080 | ||
Sino Land Co., Ltd. | 357,163 | 439,706 | ||
SITC International Holdings Co., Ltd. | 59,000 | 108,039 | ||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 109,500 | 1,383,490 | ||
Swire Pacific, Ltd. Class A | 22,500 | 172,860 | ||
Swire Properties, Ltd. | 63,800 | 157,195 | ||
Techtronic Industries Co., Ltd. | 71,500 | 781,896 | ||
WH Group, Ltd. 144A | 585,591 | 311,871 |
Shares | Value | |||
Wharf Real Estate Investment Co., Ltd. | 115,000 | $ 576,996 | ||
Xinyi Glass Holdings, Ltd.Δ | 96,000 | 150,079 | ||
20,220,065 | ||||
Ireland — 0.7% | ||||
Bank of Ireland Group PLC | 60,000 | 572,846 | ||
CRH PLC | 42,988 | 2,371,533 | ||
DCC PLC | 5,616 | 314,168 | ||
James Hardie Industries PLC CDIΔ* | 25,315 | 675,302 | ||
Kerry Group PLC Class A | 15,874 | 1,549,351 | ||
Kingspan Group PLC | 7,807 | 519,664 | ||
Smurfit Kappa Group PLC | 17,166 | 572,917 | ||
6,575,781 | ||||
Israel — 0.6% | ||||
Azrieli Group, Ltd. | 1,239 | 69,998 | ||
Bank Hapoalim BM | 76,213 | 628,498 | ||
Bank Leumi Le-Israel BM | 72,431 | 542,769 | ||
Check Point Software Technologies, Ltd.* | 6,172 | 775,327 | ||
CyberArk Software, Ltd.* | 2,381 | 372,222 | ||
Elbit Systems, Ltd. | 1,618 | 338,668 | ||
ICL Group, Ltd. | 5,905 | 32,411 | ||
Israel Discount Bank, Ltd. Class A | 52,953 | 264,544 | ||
Mizrahi Tefahot Bank, Ltd. | 11,154 | 372,987 | ||
Nice, Ltd.* | 3,728 | 767,287 | ||
Teva Pharmaceutical Industries, Ltd. ADR* | 91,181 | 686,593 | ||
Tower Semiconductor, Ltd.* | 8,803 | 325,175 | ||
Wix.com, Ltd.* | 2,346 | 183,551 | ||
5,360,030 | ||||
Italy — 1.9% | ||||
Amplifon SpAΔ | 15,067 | 552,655 | ||
Assicurazioni Generali SpA | 54,358 | 1,105,423 | ||
DiaSorin SpA | 692 | 72,085 | ||
Enel SpA | 380,480 | 2,565,358 | ||
Eni SpA | 160,136 | 2,305,381 | ||
FinecoBank Banca Fineco SpA | 27,715 | 373,061 | ||
Infrastrutture Wireless Italiane SpA 144AΔ | 26,318 | 347,405 | ||
Intesa Sanpaolo SpA | 830,817 | 2,178,195 | ||
Mediobanca Banca di Credito Finanziario SpA | 21,353 | 255,649 | ||
Moncler SpA | 13,822 | 956,313 | ||
Nexi SpA 144A* | 24,702 | 193,806 | ||
Poste Italiane SpA 144A | 25,999 | 281,645 | ||
Prysmian SpA | 12,256 | 512,591 | ||
Recordati Industria Chimica e Farmaceutica SpA | 16,364 | 781,754 | ||
Snam SpA | 116,668 | 609,748 | ||
Terna - Rete Elettrica NazionaleΔ | 90,920 | 775,472 | ||
UniCredit SpA | 106,639 | 2,479,738 | ||
16,346,279 | ||||
Japan — 21.5% | ||||
Advantest Corporation | 8,900 | 1,198,688 | ||
Aeon Co., Ltd.Δ | 32,800 | 671,629 | ||
AGC, Inc.Δ | 9,300 | 334,576 | ||
Aisin Corporation | 3,600 | 111,171 | ||
Ajinomoto Co., Inc. | 33,800 | 1,346,486 |
Shares | Value | |||
Asahi Intecc Co., Ltd. | 7,400 | $ 145,691 | ||
Asahi Kasei Corporation | 28,600 | 193,653 | ||
Bandai Namco Holdings, Inc. | 35,400 | 819,769 | ||
Bridgestone Corporation | 41,300 | 1,696,674 | ||
Brother Industries, Ltd. | 21,000 | 307,368 | ||
Canon, Inc.Δ | 66,900 | 1,758,576 | ||
Capcom Co., Ltd. | 17,600 | 697,672 | ||
Central Japan Railway Co. | 7,300 | 914,627 | ||
Chugai Pharmaceutical Co., Ltd. | 68,800 | 1,959,357 | ||
Dai Nippon Printing Co., Ltd. | 11,500 | 326,665 | ||
Daifuku Co., Ltd. | 14,100 | 290,401 | ||
Dai-ichi Life Holdings, Inc. | 49,600 | 943,387 | ||
Daiichi Sankyo Co., Ltd. | 117,500 | 3,733,478 | ||
Daikin Industries, Ltd. | 15,200 | 3,114,560 | ||
Daito Trust Construction Co., Ltd. | 3,500 | 354,570 | ||
Daiwa House Industry Co., Ltd. | 21,900 | 578,641 | ||
Daiwa House REIT Investment Corporation | 101 | 193,652 | ||
Denso Corporation | 29,500 | 1,989,838 | ||
Dentsu Group, Inc. | 11,700 | 384,780 | ||
Disco Corporation | 5,700 | 903,712 | ||
East Japan Railway Co. | 17,300 | 959,345 | ||
Eisai Co., Ltd. | 22,700 | 1,538,472 | ||
ENEOS Holdings, Inc. | 55,150 | 189,563 | ||
FANUC Corporation | 49,000 | 1,720,177 | ||
Fast Retailing Co., Ltd. | 11,000 | 2,821,223 | ||
Fuji Electric Co., Ltd. | 5,000 | 220,125 | ||
FUJIFILM Holdings Corporation | 21,500 | 1,281,038 | ||
Fujitsu, Ltd. | 9,900 | 1,281,881 | ||
GLP J-REITΔ | 17 | 16,768 | ||
GMO Payment Gateway, Inc.Δ | 1,900 | 149,035 | ||
Hamamatsu Photonics KK | 6,400 | 314,198 | ||
Hankyu Hanshin Holdings, Inc. | 14,100 | 466,204 | ||
Hikari Tsushin, Inc. | 1,200 | 172,238 | ||
Hirose Electric Co., Ltd. | 1,805 | 240,308 | ||
Hitachi, Ltd. | 50,200 | 3,121,261 | ||
Honda Motor Co., Ltd. | 100,600 | 3,047,563 | ||
Hoya Corporation | 25,600 | 3,063,456 | ||
Ibiden Co., Ltd. | 4,100 | 233,280 | ||
Inpex CorporationΔ | 52,800 | 580,085 | ||
Isuzu Motors, Ltd. | 25,100 | 304,494 | ||
ITOCHU Corporation | 61,300 | 2,434,931 | ||
Japan Exchange Group, Inc. | 25,800 | 451,461 | ||
Japan Metropolitan Fund Invest REIT | 469 | 313,801 | ||
Japan Post Holdings Co., Ltd. | 105,100 | 755,380 | ||
Japan Real Estate Investment Corporation REIT | 83 | 315,863 | ||
JFE Holdings, Inc. | 24,900 | 355,984 | ||
JSR Corporation | 6,200 | 178,164 | ||
Kansai Electric Power Co., Inc. (The) | 4,800 | 60,223 | ||
Kao Corporation | 34,100 | 1,237,486 | ||
KDDI Corporation | 95,000 | 2,933,896 | ||
Keisei Electric Railway Co., Ltd. | 5,400 | 223,826 | ||
Keyence Corporation | 10,900 | 5,179,208 | ||
Kikkoman Corporation | 9,000 | 513,978 | ||
Kintetsu Group Holdings Co., Ltd. | 18,100 | 626,844 | ||
Kobayashi Pharmaceutical Co., Ltd. | 2,300 | 125,059 | ||
Kobe Bussan Co., Ltd. | 8,600 | 223,214 | ||
Koito Manufacturing Co., Ltd. | 8,600 | 156,065 | ||
Komatsu, Ltd. | 54,200 | 1,466,002 |
Shares | Value | |||
Konami Holdings Corporation | 5,500 | $ 288,426 | ||
Kose Corporation | 1,400 | 134,581 | ||
Kubota Corporation | 52,500 | 768,541 | ||
Kyocera Corporation | 18,900 | 1,027,444 | ||
Kyowa Kirin Co., Ltd. | 53,600 | 993,490 | ||
Lasertec CorporationΔ | 4,200 | 634,689 | ||
Lixil Corporation | 12,900 | 164,193 | ||
M3, Inc. | 36,000 | 784,966 | ||
Marubeni Corporation | 83,500 | 1,423,175 | ||
MatsukiyoCocokara & Co. | 9,000 | 505,541 | ||
Mazda Motor Corporation | 20,700 | 200,049 | ||
McDonald’s Holdings Co. Japan, Ltd.Δ | 18,000 | 699,816 | ||
MEIJI Holdings Co., Ltd. | 16,000 | 357,294 | ||
MINEBEA MITSUMI, Inc. | 14,700 | 278,810 | ||
MISUMI Group, Inc. | 13,600 | 273,810 | ||
Mitsubishi Chemical Group Corporation | 63,200 | 380,125 | ||
Mitsubishi Corporation | 67,300 | 3,253,747 | ||
Mitsubishi Electric Corporation | 95,700 | 1,352,896 | ||
Mitsubishi Estate Co., Ltd. | 66,800 | 793,606 | ||
Mitsubishi Heavy Industries, Ltd. | 14,700 | 686,567 | ||
Mitsubishi UFJ Financial Group, Inc. | 590,700 | 4,354,093 | ||
Mitsui & Co., Ltd. | 81,600 | 3,088,383 | ||
Mitsui Chemicals, Inc. | 9,400 | 277,072 | ||
Mitsui Fudosan Co., Ltd. | 52,400 | 1,044,406 | ||
Mitsui OSK Lines, Ltd.Δ | 4,400 | 105,860 | ||
Mizuho Financial Group, Inc. | 122,590 | 1,873,846 | ||
MonotaRO Co., Ltd.Δ | 11,900 | 151,968 | ||
MS&AD Insurance Group Holdings, Inc. | 24,200 | 856,978 | ||
Murata Manufacturing Co., Ltd. | 30,300 | 1,740,460 | ||
NEC Corporation | 11,400 | 553,043 | ||
Nexon Co., Ltd. | 24,400 | 467,911 | ||
Nidec Corporation | 22,800 | 1,256,404 | ||
Nintendo Co., Ltd. | 61,000 | 2,780,888 | ||
Nippon Building Fund, Inc. REIT | 69 | 271,321 | ||
NIPPON EXPRESS HOLDINGS, INC. | 4,000 | 225,633 | ||
Nippon Paint Holdings Co., Ltd. | 41,100 | 340,144 | ||
Nippon Prologis REIT, Inc. | 121 | 243,186 | ||
Nippon Sanso Holdings Corporation | 8,800 | 191,188 | ||
Nippon Shinyaku Co., Ltd. | 9,600 | 392,772 | ||
Nippon Steel Corporation | 37,900 | 793,220 | ||
Nippon Telegraph & Telephone Corporation | 1,725,000 | 2,041,203 | ||
Nippon Yusen KK | 25,500 | 566,321 | ||
Nissan Chemical Corporation | 5,900 | 254,406 | ||
Nissan Motor Co., Ltd.Δ | 112,800 | 462,946 | ||
Nisshin Seifun Group, Inc. | 16,300 | 201,482 | ||
Nissin Foods Holdings Co., Ltd. | 7,700 | 636,675 | ||
Nitori Holdings Co., Ltd. | 4,000 | 449,177 | ||
Nitto Denko Corporation | 7,100 | 527,003 | ||
Nomura Holdings, Inc. | 29,400 | 112,088 | ||
Nomura Real Estate Master Fund, Inc. REIT | 184 | 212,223 | ||
Nomura Research Institute, Ltd. | 18,157 | 501,631 | ||
NTT Data Corporation | 31,300 | 438,854 | ||
Obic Co., Ltd. | 3,600 | 577,830 | ||
Oji Holdings Corporation | 23,900 | 89,364 | ||
Olympus Corporation | 79,900 | 1,264,446 |
Shares | Value | |||
Omron Corporation | 8,300 | $ 509,635 | ||
Ono Pharmaceutical Co., Ltd. | 52,300 | 943,671 | ||
Oracle Corporation | 700 | 52,062 | ||
Oriental Land Co., Ltd. | 60,500 | 2,358,652 | ||
ORIX Corporation | 63,200 | 1,152,528 | ||
Osaka Gas Co., Ltd. | 15,000 | 229,917 | ||
Otsuka Corporation | 6,900 | 268,766 | ||
Otsuka Holdings Co., Ltd. | 66,000 | 2,420,990 | ||
Pan Pacific International Holdings Corporation | 18,800 | 336,702 | ||
Panasonic Holdings Corporation | 118,600 | 1,454,265 | ||
Recruit Holdings Co., Ltd. | 75,000 | 2,393,651 | ||
Renesas Electronics Corporation* | 63,600 | 1,200,279 | ||
Resona Holdings, Inc. | 94,500 | 452,464 | ||
Ricoh Co., Ltd. | 26,200 | 223,273 | ||
Rohm Co., Ltd. | 4,100 | 388,369 | ||
SBI Holdings, Inc. | 9,400 | 181,288 | ||
Secom Co., Ltd. | 12,500 | 845,981 | ||
Seiko Epson Corporation | 18,200 | 284,142 | ||
Sekisui House, Ltd. | 33,600 | 678,707 | ||
Seven & i Holdings Co., Ltd. | 46,700 | 2,017,541 | ||
SG Holdings Co., Ltd. | 13,100 | 186,862 | ||
Shimadzu Corporation | 12,300 | 380,176 | ||
Shimano, Inc. | 3,600 | 602,666 | ||
Shin-Etsu Chemical Co., Ltd. | 100,500 | 3,358,504 | ||
Shionogi & Co., Ltd. | 27,200 | 1,147,281 | ||
Shiseido Co., Ltd. | 21,800 | 988,188 | ||
SMC Corporation | 2,900 | 1,611,710 | ||
SoftBank Corporation | 155,200 | 1,658,359 | ||
SoftBank Group Corporation | 62,600 | 2,952,192 | ||
Sompo Holdings, Inc. | 14,400 | 646,117 | ||
Sony Group CorporationΔ | 70,400 | 6,355,023 | ||
Square Enix Holdings Co., Ltd. | 1,300 | 60,486 | ||
Subaru Corporation | 32,200 | 606,448 | ||
SUMCO CorporationΔ | 15,200 | 215,645 | ||
Sumitomo Corporation | 54,900 | 1,164,702 | ||
Sumitomo Electric Industries, Ltd. | 65,100 | 797,617 | ||
Sumitomo Metal Mining Co., Ltd. | 10,900 | 351,876 | ||
Sumitomo Mitsui Financial Group, Inc. | 64,500 | 2,764,434 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 7,000 | 248,329 | ||
Sumitomo Realty & Development Co., Ltd. | 9,600 | 237,897 | ||
Suntory Beverage & Food, Ltd. | 38,700 | 1,402,942 | ||
Suzuki Motor Corporation | 17,300 | 627,346 | ||
Sysmex Corporation | 14,500 | 993,206 | ||
T&D Holdings, Inc. | 22,500 | 329,982 | ||
Taisei Corporation | 13,300 | 464,680 | ||
Takeda Pharmaceutical Co., Ltd. | 128,236 | 4,029,503 | ||
TDK Corporation | 19,900 | 776,196 | ||
Terumo Corporation | 55,100 | 1,754,916 | ||
TIS, Inc. | 14,800 | 370,819 | ||
Tobu Railway Co., Ltd. | 11,900 | 319,077 | ||
Tokio Marine Holdings, Inc. | 104,700 | 2,413,709 | ||
Tokyo Electric Power Co. Holdings, Inc.* | 56,100 | 205,765 | ||
Tokyo Electron, Ltd. | 22,500 | 3,240,641 | ||
Tokyo Gas Co., Ltd. | 23,400 | 510,532 | ||
Tokyu CorporationΔ | 27,000 | 325,643 | ||
TOPPAN, Inc. | 15,000 | 324,175 |
Shares | Value | |||
Toray Industries, Inc. | 89,700 | $ 500,115 | ||
Toshiba Corporation | 22,800 | 715,449 | ||
Toyota Industries Corporation | 6,500 | 465,687 | ||
Toyota Motor Corporation | 578,480 | 9,297,382 | ||
Toyota Tsusho Corporation | 10,000 | 499,761 | ||
Trend Micro, Inc. | 8,500 | 411,455 | ||
Unicharm Corporation | 26,300 | 977,963 | ||
USS Co., Ltd. | 22,100 | 365,881 | ||
West Japan Railway Co. | 9,300 | 386,806 | ||
Yakult Honsha Co., Ltd. | 11,500 | 727,330 | ||
Yamaha Corporation | 5,400 | 208,012 | ||
Yamaha Motor Co., Ltd. | 14,300 | 411,099 | ||
Yamato Holdings Co., Ltd. | 11,600 | 210,259 | ||
Yaskawa Electric Corporation | 11,200 | 516,355 | ||
Yokogawa Electric Corporation | 22,800 | 422,054 | ||
Z Holdings CorporationΔ | 129,000 | 310,902 | ||
ZOZO, Inc. | 5,700 | 118,244 | ||
187,949,192 | ||||
Jersey — 0.8% | ||||
Experian PLC | 66,013 | 2,533,645 | ||
Glencore PLC | 577,393 | 3,273,753 | ||
WPP PLC | 75,700 | 793,472 | ||
6,600,870 | ||||
Luxembourg — 0.2% | ||||
ArcelorMittal SA | 34,529 | 942,094 | ||
Eurofins Scientific SEΔ | 12,824 | 814,938 | ||
1,757,032 | ||||
Netherlands — 6.2% | ||||
Adyen NV 144A* | 1,167 | 2,020,857 | ||
Aegon NVΔ | 116,084 | 589,287 | ||
AerCap Holdings NV* | 6,500 | 412,880 | ||
Airbus SE | 31,375 | 4,536,253 | ||
Akzo Nobel NV | 10,566 | 863,804 | ||
Argenx SE* | 4,146 | 1,616,922 | ||
ASM International NV | 2,234 | 948,566 | ||
ASML Holding NV | 21,877 | 15,868,014 | ||
CNH Industrial NV | 30,290 | 436,861 | ||
Euronext NV 144A | 4,841 | 329,260 | ||
EXOR NV | 6,961 | 621,440 | ||
Ferrari NV | 7,866 | 2,571,772 | ||
Ferrovial S.E. | 29,456 | 931,165 | ||
IMCD NV | 2,480 | 356,899 | ||
ING Groep NV | 200,643 | 2,704,988 | ||
JDE Peet's NVΔ | 20,956 | 623,360 | ||
Just Eat Takeaway.com NV 144AΔ* | 6,526 | 100,034 | ||
Koninklijke Ahold Delhaize NV | 69,313 | 2,363,090 | ||
Koninklijke KPN NV | 184,467 | 658,543 | ||
Koninklijke Philips NVΔ* | 98,766 | 2,140,028 | ||
NN Group NVΔ | 15,646 | 579,178 | ||
OCI NV* | 10,264 | 246,531 | ||
Prosus NV* | 44,785 | 3,279,792 | ||
QIAGEN NV* | 25,509 | 1,146,629 | ||
Stellantis NV | 165,970 | 2,917,885 | ||
STMicroelectronics NV | 37,246 | 1,857,585 | ||
Tenaris SA | 20,000 | 299,181 | ||
Universal Music Group NVΔ | 34,973 | 776,918 | ||
Wolters Kluwer NV | 17,451 | 2,215,814 | ||
54,013,536 |
Shares | Value | |||
New Zealand — 0.3% | ||||
Auckland International Airport, Ltd.* | 81,891 | $ 430,376 | ||
EBOS Group, Ltd. | 10,882 | 245,875 | ||
Fisher & Paykel Healthcare Corporation, Ltd. | 48,659 | 732,695 | ||
Spark New Zealand, Ltd. | 145,344 | 454,825 | ||
Xero, Ltd.Δ* | 5,756 | 461,170 | ||
2,324,941 | ||||
Norway — 0.6% | ||||
Aker BP ASAΔ | 14,477 | 339,651 | ||
DNB Bank ASA | 51,370 | 960,655 | ||
Equinor ASA | 59,657 | 1,737,145 | ||
Gjensidige Forsikring ASA | 8,027 | 128,591 | ||
Kongsberg Gruppen ASA | 2,955 | 134,317 | ||
Mowi ASA | 26,051 | 413,326 | ||
Norsk Hydro ASA | 67,659 | 403,333 | ||
Orkla ASA | 106,700 | 767,219 | ||
Salmar ASA | 6,863 | 276,565 | ||
Telenor ASA | 8,257 | 83,722 | ||
Yara International ASA | 10,434 | 368,653 | ||
5,613,177 | ||||
Portugal — 0.2% | ||||
EDP - Energias de Portugal SA | 154,225 | 753,801 | ||
Galp Energia SGPS SAΔ | 27,004 | 315,566 | ||
Jeronimo Martins SGPS SA | 19,382 | 533,946 | ||
1,603,313 | ||||
Singapore — 1.2% | ||||
CapitaLand Ascendas REIT | 157,957 | 318,816 | ||
CapitaLand Integrated Commercial Trust REIT | 425,903 | 603,563 | ||
Capitaland Investment, Ltd. | 174,460 | 428,639 | ||
DBS Group Holdings, Ltd. | 90,460 | 2,112,493 | ||
Grab Holdings, Ltd. Class AΔ* | 55,000 | 188,650 | ||
Keppel Corporation, Ltd. | 84,500 | 420,535 | ||
Mapletree Logistics Trust REIT | 7,947 | 9,558 | ||
Oversea-Chinese Banking Corporation, Ltd. | 165,140 | 1,502,277 | ||
Sea, Ltd. ADR* | 18,281 | 1,061,029 | ||
Seatrium, Ltd.* | 1,612,685 | 149,577 | ||
Singapore Airlines, Ltd. | 190,850 | 1,011,129 | ||
Singapore Telecommunications, Ltd. | 454,500 | 841,812 | ||
United Overseas Bank, Ltd. | 56,959 | 1,181,971 | ||
UOL Group, Ltd. | 7,561 | 36,038 | ||
Wilmar International, Ltd. | 258,000 | 726,841 | ||
10,592,928 | ||||
Spain — 2.6% | ||||
Acciona SA | 827 | 140,416 | ||
ACS Actividades de Construccion y Servicios SAΔ | 9,489 | 333,670 | ||
Aena SME SA 144A | 3,930 | 636,058 | ||
Amadeus IT Group SA* | 23,463 | 1,786,717 | ||
Banco Bilbao Vizcaya Argentaria SA | 326,478 | 2,508,234 | ||
Banco Santander SA | 896,523 | 3,319,052 | ||
CaixaBank SA | 262,455 | 1,087,172 | ||
Cellnex Telecom SA 144A* | 30,895 | 1,248,275 | ||
EDP Renovaveis SAΔ | 18,830 | 376,289 | ||
Enagas SAΔ | 227 | 4,461 | ||
Endesa SAΔ | 13,556 | 291,286 |
Shares | Value | |||
Grifols SAΔ* | 31,106 | $ 399,054 | ||
Iberdrola SA | 340,036 | 4,440,463 | ||
Industria de Diseno Textil SA | 68,714 | 2,665,265 | ||
Naturgy Energy Group SA | 15,059 | 448,916 | ||
Redeia Corporation SAΔ | 23,715 | 398,816 | ||
Repsol SAΔ | 75,615 | 1,099,744 | ||
Telefonica SA | 305,885 | 1,241,881 | ||
22,425,769 | ||||
Sweden — 2.8% | ||||
Alfa Laval AB | 14,717 | 536,841 | ||
Assa Abloy AB, B Shares | 57,054 | 1,371,405 | ||
Atlas Copco AB, A Shares | 166,397 | 2,402,254 | ||
Atlas Copco AB, B Shares | 76,912 | 958,976 | ||
Boliden AB | 12,271 | 355,591 | ||
Embracer Group AB* | 27,006 | 67,536 | ||
Epiroc AB, A Shares | 31,158 | 590,190 | ||
Epiroc AB, B Shares | 20,075 | 324,923 | ||
EQT AB | 12,795 | 246,326 | ||
Essity AB, B Shares | 63,277 | 1,685,172 | ||
Fastighets AB Balder, B SharesΔ* | 28,806 | 105,475 | ||
Getinge AB, B SharesΔ | 12,152 | 213,190 | ||
H & M Hennes & Mauritz AB, B Shares | 42,435 | 729,768 | ||
Hexagon AB, B Shares | 134,111 | 1,649,609 | ||
Industrivarden AB, A SharesΔ | 1,009 | 27,984 | ||
Industrivarden AB, C SharesΔ | 18,571 | 512,460 | ||
Investment AB Latour, B SharesΔ | 9,171 | 182,072 | ||
Investor AB, A SharesΔ | 26,426 | 528,872 | ||
Investor AB, B Shares | 96,085 | 1,922,189 | ||
Kinnevik AB, B Shares* | 10,870 | 150,783 | ||
L E Lundbergforetagen AB, B Shares | 5,888 | 250,738 | ||
Nibe Industrier AB, B Shares | 74,413 | 707,545 | ||
Sagax AB, B SharesΔ | 11,741 | 232,181 | ||
Sandvik AB | 51,379 | 1,003,134 | ||
Securitas AB, B SharesΔ | 23,710 | 194,748 | ||
Skandinaviska Enskilda Banken AB, A Shares | 79,780 | 882,388 | ||
Skanska AB, B Shares | 13,311 | 186,760 | ||
SKF AB, B Shares | 17,959 | 312,945 | ||
Svenska Cellulosa AB SCA, B SharesΔ | 49,432 | 630,999 | ||
Svenska Handelsbanken AB, A SharesΔ | 86,629 | 725,280 | ||
Swedbank AB, A Shares | 41,659 | 703,042 | ||
Swedish Orphan Biovitrum AB* | 13,475 | 263,373 | ||
Tele2 AB, B Shares | 37,286 | 308,366 | ||
Telefonaktiebolaget LM Ericsson, B Shares | 166,228 | 903,166 | ||
Telia Co. ABΔ | 126,527 | 277,582 | ||
Volvo AB, B Shares | 95,875 | 1,984,136 | ||
24,127,999 | ||||
Switzerland — 10.2% | ||||
ABB, Ltd. | 52,933 | 2,082,429 | ||
Alcon, Inc. | 39,578 | 3,283,485 | ||
Bachem Holding AG Class BΔ | 3,310 | 289,015 | ||
Baloise Holding AG | 2,546 | 374,497 | ||
Barry Callebaut AG | 404 | 780,560 | ||
Chocoladefabriken Lindt & Spruengli AG | 65 | 817,244 |
Shares | Value | |||
Chocoladefabriken Lindt & Spruengli AG (Swiss Exchange) | 8 | $ 992,952 | ||
Cie Financiere Richemont SA | 30,877 | 5,245,015 | ||
Clariant AG* | 4,630 | 66,980 | ||
Coca-Cola HBC AG CDI* | 53,299 | 1,589,903 | ||
DSM-Firmenich AG | 9,526 | 1,025,132 | ||
EMS-Chemie Holding AGΔ | 227 | 172,023 | ||
Geberit AG | 1,229 | 644,099 | ||
Givaudan SA | 396 | 1,313,509 | ||
Holcim, Ltd. (Swiss Exchange)* | 30,626 | 2,064,414 | ||
Julius Baer Group, Ltd. | 11,052 | 697,464 | ||
Kuehne + Nagel International AG | 2,099 | 621,780 | ||
Logitech International SA | 9,124 | 544,567 | ||
Lonza Group AG | 4,846 | 2,896,516 | ||
Nestle SA | 149,472 | 17,980,227 | ||
Novartis AG | 121,422 | 12,241,698 | ||
Partners Group Holding AG | 1,137 | 1,072,010 | ||
Roche Holding AG | 42,356 | 12,938,490 | ||
Roche Holding AG (Swiss Exchange)Δ | 2,216 | 727,687 | ||
SGS SA | 4,725 | 446,990 | ||
SIG Group AG* | 6,984 | 192,945 | ||
Sika AG | 8,090 | 2,316,981 | ||
Sonova Holding AG | 3,089 | 824,261 | ||
Straumann Holding AG | 10,370 | 1,686,225 | ||
Swatch Group AG (The) | 13,947 | 767,016 | ||
Swiss Life Holding AG | 1,832 | 1,072,979 | ||
Swiss Prime Site AG | 4,457 | 387,162 | ||
Swiss Re AG | 16,099 | 1,622,181 | ||
Swisscom AG | 1,391 | 868,180 | ||
Temenos AG | 3,832 | 305,126 | ||
UBS Group AG | 172,874 | 3,503,926 | ||
VAT Group AG 144A | 1,112 | 460,606 | ||
Zurich Insurance Group AG | 8,111 | 3,858,310 | ||
88,774,584 | ||||
United Kingdom — 13.4% | ||||
3i Group PLC | 66,813 | 1,656,091 | ||
abrdn PLCΔ | 114,480 | 317,910 | ||
Admiral Group PLC | 8,048 | 213,141 | ||
Anglo American PLC | 72,180 | 2,055,218 | ||
Antofagasta PLC | 23,559 | 438,132 | ||
Ashtead Group PLC | 24,479 | 1,697,151 | ||
Associated British Foods PLC | 48,376 | 1,225,020 | ||
Auto Trader Group PLC 144AΔ | 54,162 | 420,542 | ||
Aviva PLC | 188,579 | 948,789 | ||
BAE Systems PLC | 197,243 | 2,325,741 | ||
Barclays PLC | 1,098,843 | 2,146,691 | ||
Barratt Developments PLC | 90,118 | 473,635 | ||
Berkeley Group Holdings PLC | 15,143 | 754,878 | ||
BP PLC | 1,037,542 | 6,040,962 | ||
British Land Co. PLC (The) REIT | 54,570 | 210,442 | ||
BT Group PLC | 453,308 | 705,408 | ||
Bunzl PLC | 26,142 | 996,221 | ||
Burberry Group PLC | 55,860 | 1,507,298 | ||
CK Hutchison Holdings, Ltd. | 212,500 | 1,296,961 | ||
CK Infrastructure Holdings, Ltd. | 35,000 | 185,643 | ||
Coca-Cola Europacific Partners PLC | 33,569 | 2,162,851 | ||
Compass Group PLC | 143,434 | 4,016,604 | ||
Croda International PLC | 8,431 | 602,686 |
Shares | Value | |||
Haleon PLC | 361,639 | $ 1,484,336 | ||
Halma PLC | 38,546 | 1,115,728 | ||
Hargreaves Lansdown PLCΔ | 23,678 | 245,452 | ||
Hikma Pharmaceuticals PLC | 41,006 | 986,800 | ||
HSBC Holdings PLC | 1,171,835 | 9,278,406 | ||
Informa PLC | 87,112 | 804,320 | ||
InterContinental Hotels Group PLCΔ | 22,571 | 1,560,256 | ||
Intertek Group PLC | 16,272 | 882,072 | ||
J Sainsbury PLCΔ | 118,172 | 403,969 | ||
JD Sports Fashion PLC | 259,615 | 482,260 | ||
Johnson Matthey PLCΔ | 13,222 | 293,525 | ||
Kingfisher PLC | 252,818 | 745,115 | ||
Land Securities Group PLC REIT | 93,472 | 683,455 | ||
Legal & General Group PLC | 335,080 | 970,158 | ||
Lloyds Banking Group PLC | 4,085,048 | 2,264,541 | ||
London Stock Exchange Group PLC | 27,951 | 2,974,920 | ||
M&G PLCΔ | 174,268 | 424,110 | ||
Mondi PLC | 49,454 | 754,491 | ||
National Grid PLC | 236,940 | 3,141,439 | ||
NatWest Group PLC | 356,433 | 1,089,435 | ||
Next PLC | 11,694 | 1,025,402 | ||
Ocado Group PLCΔ* | 22,804 | 165,019 | ||
Pearson PLC | 41,042 | 430,278 | ||
Persimmon PLC | 15,563 | 202,781 | ||
Phoenix Group Holdings PLCΔ | 52,209 | 353,244 | ||
Prudential PLC | 159,227 | 2,248,826 | ||
Reckitt Benckiser Group PLC | 51,635 | 3,880,415 | ||
RELX PLC | 123,017 | 4,103,937 | ||
Rentokil Initial PLC | 164,319 | 1,284,763 | ||
Rio Tinto PLC | 66,199 | 4,206,927 | ||
Rolls-Royce Holdings PLC* | 419,124 | 805,977 | ||
Sage Group PLC (The) | 115,730 | 1,359,471 | ||
Schroders PLC | 111,805 | 622,042 | ||
Segro PLC REIT | 80,953 | 738,277 | ||
Severn Trent PLC | 25,238 | 822,766 | ||
Shell PLC | 393,541 | 11,739,993 | ||
Smith & Nephew PLC | 86,838 | 1,400,986 | ||
Smiths Group PLC | 48,466 | 1,013,994 | ||
Spirax-Sarco Engineering PLC | 6,430 | 847,501 | ||
SSE PLC | 62,340 | 1,461,879 | ||
St. James’s Place PLC | 37,454 | 517,972 | ||
Standard Chartered PLC (London Exchange) | 147,424 | 1,282,603 | ||
Taylor Wimpey PLC | 203,676 | 266,081 | ||
Tesco PLC | 610,319 | 1,925,280 | ||
Unilever PLC | 159,554 | 8,308,654 | ||
United Utilities Group PLC | 72,451 | 885,895 | ||
Vodafone Group PLC | 1,511,364 | 1,424,959 | ||
Whitbread PLC | 28,617 | 1,231,865 | ||
117,540,590 | ||||
Total Foreign Common Stocks (Cost $757,467,534) | 831,976,157 |
FOREIGN PREFERRED STOCKS — 0.5% | |||
Germany — 0.5% | |||
Bayerische MotorenWerke AG 8.52% ◊ | 7,785 | 887,139 |
Shares | Value | |||
Dr. Ing hc F Porsche AG 1.01% 144A | 6,210 | $ 771,460 | ||
Henkel AG & Co. KGaA 2.53% ◊ | 8,912 | 712,749 | ||
Porsche Automobil Holding SE 4.63% ◊ | 2,334 | 140,669 | ||
Sartorius AG 1.44% ◊ | 2,399 | 831,155 | ||
Volkswagen AG 7.13% ◊ | 11,005 | 1,479,872 | ||
Total Foreign Preferred Stocks (Cost $4,785,729) | 4,823,044 | |||
MONEY MARKET FUNDS — 5.2% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 27,631,066 | 27,631,066 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 17,473,666 | 17,473,666 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 1,484 | 1,484 | ||
Total Money Market Funds (Cost $45,106,216) | 45,106,216 | |||
TOTAL INVESTMENTS — 100.9% (Cost $807,359,479) | 881,905,417 | |||
Liabilities in Excess of Other Assets — (0.9)% | (8,275,911) | |||
NET ASSETS — 100.0% | $873,629,506 |
% | |
Financials | 17.6 |
Industrials | 16.1 |
Health Care | 12.4 |
Consumer Discretionary | 11.9 |
Consumer Staples | 9.3 |
Information Technology | 8.1 |
Materials | 7.3 |
Money Market Funds | 5.2 |
Energy | 4.2 |
Communication Services | 3.9 |
Utilities | 3.3 |
Real Estate | 1.6 |
100.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 09/2023 | 336 | $36,212,400 | $150,729 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Foreign Common Stocks: | |||||||
Hong Kong | $ 20,220,065 | $ 100,224 | $ 20,119,841 | $ — | |||
Israel | 5,360,030 | 2,017,693 | 3,342,337 | — | |||
Japan | 187,949,192 | 699,816 | 187,249,376 | — | |||
Netherlands | 54,013,536 | 1,967,405 | 52,046,131 | — | |||
Singapore | 10,592,928 | 1,249,679 | 9,343,249 | — | |||
Switzerland | 88,774,584 | 1,025,132 | 87,749,452 | — | |||
United Kingdom | 117,540,590 | 2,162,851 | 115,377,739 | — | |||
Other ^^ | 347,525,232 | — | 347,525,232 | — | |||
Total Foreign Common Stocks | 831,976,157 | 9,222,800 | 822,753,357 | — | |||
Foreign Preferred Stocks | 4,823,044 | — | 4,823,044 | — | |||
Money Market Funds | 45,106,216 | 45,106,216 | — | — | |||
Total Assets - Investments in Securities | $881,905,417 | $54,329,016 | $827,576,401 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 150,729 | $ 150,729 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 150,729 | $ 150,729 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
Shares | Value | |||
COMMON STOCKS — 3.2% | ||||
Financials — 1.9% | ||||
Arch Capital Group, Ltd.* | 60,451 | $ 4,524,757 | ||
Axis Capital Holdings, Ltd. | 68,664 | 3,696,183 | ||
Everest Re Group, Ltd. | 34,403 | 11,761,010 | ||
19,981,950 | ||||
Health Care — 0.6% | ||||
Mettler-Toledo International, Inc.* | 2,740 | 3,593,894 | ||
ResMed, Inc. | 14,920 | 3,260,020 | ||
6,853,914 | ||||
Information Technology — 0.7% | ||||
Atlassian Corporation Class A* | 32,410 | 5,438,722 | ||
EPAM Systems, Inc.* | 11,340 | 2,548,665 | ||
7,987,387 | ||||
Total Common Stocks (Cost $35,933,971) | 34,823,251 |
FOREIGN COMMON STOCKS — 85.4% | |||
Australia — 2.4% | |||
ASX, Ltd.‡‡ | 2,477 | 104,240 | |
BHP Group, Ltd.‡‡ | 158,283 | 4,758,297 | |
BlueScope Steel, Ltd.‡‡ | 220,156 | 3,029,968 | |
CSL, Ltd. | 25,144 | 4,656,136 | |
Dexus REIT‡‡ | 60,007 | 312,506 | |
Goodman Group REIT‡‡ | 53,845 | 723,830 | |
GPT Group (The) REIT | 112,950 | 312,543 | |
Incitec Pivot, Ltd. | 1,177,194 | 2,154,096 | |
JB Hi-Fi, Ltd. | 95,824 | 2,804,454 | |
Mirvac Group REIT‡‡ | 382,582 | 577,737 | |
Newcrest Mining, Ltd. | 10,210 | 182,130 | |
Pilbara Minerals, Ltd. | 100,412 | 330,020 | |
Qantas Airways, Ltd.* | 275,415 | 1,141,352 | |
Rio Tinto, Ltd.‡‡ | 5,159 | 395,075 | |
Scentre Group REIT‡‡ | 200,985 | 355,444 | |
Sonic Healthcare, Ltd. | 42,185 | 1,003,229 | |
Stockland REIT‡‡ | 222,407 | 597,893 | |
Vicinity Centres REIT‡‡ | 362,344 | 446,234 | |
Wesfarmers, Ltd. | 8,410 | 277,272 | |
Whitehaven Coal, Ltd. | 336,243 | 1,507,325 | |
25,669,781 | |||
Belgium — 0.2% | |||
Groupe Bruxelles Lambert NV‡‡ | 446 | 35,160 | |
KBC Group NV | 4,274 | 298,329 | |
Proximus SADP | 231,407 | 1,725,662 | |
2,059,151 | |||
Brazil — 0.4% | |||
Lojas Renner SA* | 1,159,377 | 4,857,170 | |
Canada — 3.5% | |||
Agnico Eagle Mines, Ltd. | 50,375 | 2,517,743 | |
Canadian National Railway Co.Δ | 58,459 | 7,077,631 | |
Canadian Pacific Kansas City, Ltd. | 109,890 | 8,875,815 |
Shares | Value | |||
Kinross Gold Corporation | 687,281 | $ 3,278,819 | ||
Thomson Reuters CorporationΔ | 37,360 | 5,044,129 | ||
Toronto-Dominion Bank (The) | 121,715 | 7,544,079 | ||
Waste Connections, Inc. | 26,781 | 3,827,808 | ||
38,166,024 | ||||
China — 0.7% | ||||
Baidu, Inc. Class A* | 343,278 | 5,854,874 | ||
Meituan Class B 144A* | 17,180 | 269,398 | ||
PICC Property & Casualty Co., Ltd. Class H | 1,460,195 | 1,625,865 | ||
7,750,137 | ||||
Denmark — 1.0% | ||||
AP Moeller - Maersk A/S Class B | 1,835 | 3,226,384 | ||
Danske Bank A/S* | 13,012 | 316,926 | ||
DSV A/S | 25,490 | 5,353,960 | ||
ISS A/S | 76,044 | 1,608,677 | ||
10,505,947 | ||||
Finland — 0.3% | ||||
Nokia OYJ | 689,265 | 2,887,923 | ||
Nordea Bank Abp (Stockholm Exchange) | 15,380 | 167,529 | ||
3,055,452 | ||||
France — 11.0% | ||||
Air Liquide SA | 48,280 | 8,658,298 | ||
AXA SA | 129,801 | 3,835,791 | ||
Bureau Veritas SA | 170,803 | 4,685,987 | ||
Capgemini SEΔ | 48,944 | 9,267,183 | ||
Cie Generale des Etablissements Michelin SCA | 167,489 | 4,954,548 | ||
Danone SA | 134,756 | 8,258,313 | ||
Engie SA | 333,813 | 5,558,961 | ||
Hermes International | 5,764 | 12,529,320 | ||
L’Oreal SA | 24,809 | 11,572,807 | ||
SanofiΔ | 125,860 | 13,549,559 | ||
Schneider Electric SE | 115,844 | 21,046,160 | ||
SCOR SE | 158,079 | 4,647,119 | ||
TotalEnergies SE | 188,050 | 10,794,942 | ||
119,358,988 | ||||
Germany — 7.6% | ||||
adidas AG | 21,386 | 4,151,623 | ||
Bayerische Motoren Werke AG | 30,232 | 3,718,750 | ||
Beiersdorf AG | 65,619 | 8,689,501 | ||
BioNTech SE ADR* | 35,610 | 3,843,387 | ||
Daimler Truck Holding AG | 179,027 | 6,452,518 | ||
Deutsche Bank AG | 315,996 | 3,321,993 | ||
Deutsche Boerse AG | 70,165 | 12,953,480 | ||
Deutsche Lufthansa AG* | 253,604 | 2,600,342 | ||
Deutsche Post AG | 118,614 | 5,795,748 | ||
E.ON SE‡‡ | 144,479 | 1,845,633 | ||
Fresenius SE & Co. KGaA‡‡ | 5,845 | 162,121 | ||
HOCHTIEF AG | 616 | 53,296 | ||
Infineon Technologies AG‡‡ | 22,642 | 932,449 |
Shares | Value | |||
Mercedes-Benz Group AG | 21,409 | $ 1,723,238 | ||
Muenchener Rueckversicherungs-Gesellschaft AG | 1,049 | 393,808 | ||
SAP SE | 133,776 | 18,274,794 | ||
Siemens AG | 34,725 | 5,788,688 | ||
Siemens Energy AG* | 3,521 | 62,258 | ||
TeamViewer AG 144A* | 52,505 | 843,933 | ||
thyssenkrupp AG | 151,421 | 1,185,997 | ||
Vonovia SE | 8,772 | 171,314 | ||
82,964,871 | ||||
Guatemala — 0.1% | ||||
Millicom International Cellular SA SDR* | 66,541 | 1,018,193 | ||
Hong Kong — 2.3% | ||||
AIA Group, Ltd. | 1,327,526 | 13,483,017 | ||
Alibaba Group Holding, Ltd.* | 417,459 | 4,345,678 | ||
Tencent Holdings, Ltd. | 167,100 | 7,085,237 | ||
24,913,932 | ||||
India — 1.9% | ||||
HDFC Bank, Ltd. | 344,910 | 7,157,854 | ||
HDFC Bank, Ltd. ADRΔ | 120,438 | 8,394,529 | ||
ICICI Bank, Ltd. ADR | 220,060 | 5,078,985 | ||
20,631,368 | ||||
Ireland — 5.9% | ||||
Accenture PLC Class A | 14,050 | 4,335,549 | ||
Aon PLC Class A | 21,540 | 7,435,608 | ||
CRH PLC | 102,097 | 5,632,418 | ||
ICON PLC* | 24,450 | 6,117,390 | ||
Linde PLC | 10,560 | 4,024,205 | ||
Medtronic PLC | 122,566 | 10,798,065 | ||
Ryanair Holdings PLC ADR* | 72,552 | 8,024,251 | ||
STERIS PLC | 23,080 | 5,192,538 | ||
Willis Towers Watson PLC | 54,954 | 12,941,667 | ||
64,501,691 | ||||
Israel — 0.9% | ||||
Check Point Software Technologies, Ltd.* | 73,538 | 9,237,844 | ||
Italy — 0.6% | ||||
Eni SpA‡‡ | 35,232 | 507,214 | ||
Leonardo SpA | 136,408 | 1,548,897 | ||
UniCredit SpA | 118,081 | 2,745,805 | ||
Unipol Gruppo SpA | 338,003 | 1,806,290 | ||
6,608,206 | ||||
Japan — 19.3% | ||||
Advantest Corporation | 14,300 | 1,925,981 | ||
Aeon Co., Ltd.Δ | 11,500 | 235,480 | ||
Ajinomoto Co., Inc. | 15,800 | 629,422 | ||
Bandai Namco Holdings, Inc. | 19,600 | 453,883 | ||
Bridgestone Corporation | 16,500 | 677,848 | ||
Brother Industries, Ltd. | 23,400 | 342,496 | ||
Canon, Inc. | 19,100 | 502,075 | ||
Central Japan Railway Co. | 2,800 | 350,816 | ||
Chugai Pharmaceutical Co., Ltd. | 15,400 | 438,577 | ||
Concordia Financial Group, Ltd. | 96,400 | 376,911 |
Shares | Value | |||
Dai-ichi Life Holdings, Inc. | 24,300 | $ 462,184 | ||
Daiichi Sankyo Co., Ltd. | 35,800 | 1,137,519 | ||
Daikin Industries, Ltd. | 43,100 | 8,831,418 | ||
Daito Trust Construction Co., Ltd.‡‡ | 94,308 | 9,553,935 | ||
Daiwa House Industry Co., Ltd.‡‡ | 32,090 | 847,881 | ||
Denso Corporation | 10,000 | 674,521 | ||
Disco Corporation | 3,300 | 523,202 | ||
East Japan Railway Co. | 9,000 | 499,081 | ||
Eisai Co., Ltd.Δ | 79,650 | 5,398,205 | ||
ENEOS Holdings, Inc. | 93,300 | 320,693 | ||
FANUC Corporation | 17,700 | 621,370 | ||
Fast Retailing Co., Ltd. | 2,900 | 743,777 | ||
Fuji Electric Co., Ltd. | 21,736 | 956,929 | ||
FUJIFILM Holdings Corporation | 7,700 | 458,790 | ||
Fujitsu, Ltd. | 15,400 | 1,994,037 | ||
Hakuhodo DY Holdings, Inc. | 31,600 | 333,566 | ||
Hankyu Hanshin Holdings, Inc. | 13,400 | 443,059 | ||
Haseko Corporation‡‡ | 4,900 | 60,380 | ||
Hitachi Construction Machinery Co., Ltd. | 49,401 | 1,389,033 | ||
Hitachi, Ltd.‡‡ | 15,800 | 982,389 | ||
Honda Motor Co., Ltd. | 32,800 | 993,639 | ||
Hoya Corporation | 56,000 | 6,701,310 | ||
Ibiden Co., Ltd. | 5,100 | 290,177 | ||
IHI Corporation | 25,795 | 699,622 | ||
Iida Group Holdings Co., Ltd. | 134,782 | 2,277,659 | ||
Inpex Corporation | 23,800 | 261,478 | ||
Isetan Mitsukoshi Holdings, Ltd. | 16,500 | 167,741 | ||
ITOCHU Corporation | 25,300 | 1,004,955 | ||
Japan Airlines Co., Ltd. | 7,100 | 153,953 | ||
Japan Exchange Group, Inc. | 257,665 | 4,508,749 | ||
Japan Metropolitan Fund Invest REIT | 178 | 119,097 | ||
Japan Post Holdings Co., Ltd. | 66,600 | 478,671 | ||
Japan Post Insurance Co., Ltd. | 151,392 | 2,275,259 | ||
Japan Real Estate Investment Corporation REIT | 123 | 468,086 | ||
JFE Holdings, Inc. | 227,962 | 3,259,072 | ||
JSR Corporation | 11,200 | 321,845 | ||
Kajima Corporation | 6,406 | 96,722 | ||
Kao Corporation | 23,500 | 852,813 | ||
Kawasaki Kisen Kaisha, Ltd. | 48,435 | 1,187,626 | ||
KDDI Corporation | 27,700 | 855,462 | ||
Keyence Corporation | 14,900 | 7,079,835 | ||
Kikkoman Corporation | 7,500 | 428,315 | ||
Kintetsu Group Holdings Co., Ltd. | 11,800 | 408,661 | ||
Kobayashi Pharmaceutical Co., Ltd. | 12,200 | 663,359 | ||
Komatsu, Ltd. | 28,500 | 770,868 | ||
Kubota Corporation | 480,019 | 7,026,940 | ||
Kuraray Co., Ltd. | 60,519 | 589,200 | ||
Kurita Water Industries, Ltd. | 9,000 | 345,531 | ||
Kyocera Corporation | 7,900 | 429,461 | ||
Lasertec CorporationΔ | 2,200 | 332,456 | ||
Lawson, Inc. | 5,500 | 243,869 | ||
Lion Corporation | 65,000 | 606,016 | ||
Lixil Corporation | 23,800 | 302,929 | ||
M3, Inc. | 8,300 | 180,978 | ||
Makita Corporation | 170,773 | 4,827,118 | ||
MatsukiyoCocokara & Co. | 6,500 | 365,113 |
Shares | Value | |||
Mazda Motor Corporation | 12,435 | $ 120,174 | ||
McDonald’s Holdings Co. Japan, Ltd. | 15,200 | 590,956 | ||
MINEBEA MITSUMI, Inc. | 221,371 | 4,198,665 | ||
MISUMI Group, Inc. | 16,200 | 326,156 | ||
Mitsubishi Chemical Group Corporation | 69,700 | 419,220 | ||
Mitsubishi Corporation | 98,734 | 4,773,483 | ||
Mitsubishi Electric Corporation | 45,300 | 640,399 | ||
Mitsubishi Estate Co., Ltd.‡‡ | 52,869 | 628,101 | ||
Mitsubishi Gas Chemical Co., Inc. | 14,639 | 213,250 | ||
Mitsubishi Heavy Industries, Ltd. | 8,600 | 401,665 | ||
Mitsubishi Motors Corporation | 788,548 | 2,757,341 | ||
Mitsubishi UFJ Financial Group, Inc. | 215,300 | 1,586,992 | ||
Mitsui & Co., Ltd. | 78,127 | 2,956,937 | ||
Mitsui Chemicals, Inc. | 13,800 | 406,766 | ||
Mitsui Fudosan Co., Ltd.‡‡ | 41,614 | 829,426 | ||
Mizuho Financial Group, Inc. | 59,000 | 901,843 | ||
Murata Manufacturing Co., Ltd. | 8,300 | 476,760 | ||
NEC Corporation | 9,200 | 446,315 | ||
Nexon Co., Ltd. | 11,900 | 228,203 | ||
NGK Insulators, Ltd. | 14,909 | 178,126 | ||
Nidec Corporation | 6,300 | 347,164 | ||
Nikon Corporation | 58,271 | 756,526 | ||
Nintendo Co., Ltd. | 20,200 | 920,884 | ||
Nippon Building Fund, Inc. REIT | 20 | 78,644 | ||
NIPPON EXPRESS HOLDINGS, INC. | 11,494 | 648,356 | ||
Nippon Shinyaku Co., Ltd. | 11,100 | 454,143 | ||
Nippon Steel Corporation | 173,646 | 3,634,286 | ||
Nippon Telegraph & Telephone Corporation | 560,000 | 662,652 | ||
Nisshin Seifun Group, Inc. | 26,700 | 330,034 | ||
Nitori Holdings Co., Ltd. | 2,500 | 280,736 | ||
Nomura Holdings, Inc. | 134,300 | 512,021 | ||
NSK, Ltd. | 62,400 | 399,376 | ||
Obayashi Corporation | 128,964 | 1,115,324 | ||
Obic Co., Ltd. | 2,600 | 417,322 | ||
Olympus Corporation | 23,300 | 368,731 | ||
Omron Corporation | 6,700 | 411,392 | ||
Ono Pharmaceutical Co., Ltd. | 19,900 | 359,064 | ||
Oracle Corporation | 700 | 52,062 | ||
Oriental Land Co., Ltd. | 36,300 | 1,415,192 | ||
ORIX Corporation | 33,700 | 614,560 | ||
Osaka Gas Co., Ltd. | 21,900 | 335,679 | ||
Otsuka Corporation | 2,300 | 89,589 | ||
Otsuka Holdings Co., Ltd. | 14,700 | 539,220 | ||
Panasonic Holdings Corporation | 267,000 | 3,273,936 | ||
Persol Holdings Co., Ltd. | 18,400 | 333,000 | ||
Pola Orbis Holdings, Inc. | 27,800 | 405,357 | ||
Recruit Holdings Co., Ltd. | 23,500 | 750,011 | ||
Renesas Electronics Corporation* | 56,700 | 1,070,060 | ||
Ricoh Co., Ltd. | 82,403 | 702,228 | ||
SCSK Corporation | 3,400 | 53,506 | ||
Secom Co., Ltd. | 6,700 | 453,446 | ||
Sekisui Chemical Co., Ltd. | 41,900 | 605,337 | ||
Sekisui House, Ltd. | 228,597 | 4,617,568 |
Shares | Value | |||
Seven & i Holdings Co., Ltd. | 11,100 | $ 479,544 | ||
Shimamura Co., Ltd. | 26,936 | 2,546,888 | ||
Shimano, Inc. | 4,800 | 803,555 | ||
Shin-Etsu Chemical Co., Ltd. | 31,800 | 1,062,691 | ||
Shionogi & Co., Ltd. | 10,500 | 442,884 | ||
Shiseido Co., Ltd. | 11,300 | 512,226 | ||
SMC Corporation | 16,100 | 8,947,767 | ||
SoftBank Corporation | 63,300 | 676,380 | ||
SoftBank Group Corporation | 15,400 | 726,258 | ||
Sohgo Security Services Co., Ltd. | 39,945 | 226,186 | ||
Sojitz Corporation‡‡ | 78,460 | 1,736,343 | ||
Sony Group Corporation | 22,100 | 1,994,972 | ||
Subaru Corporation | 68,444 | 1,289,059 | ||
SUMCO Corporation | 19,900 | 282,325 | ||
Sumitomo Corporation | 95,779 | 2,031,949 | ||
Sumitomo Electric Industries, Ltd. | 37,400 | 458,232 | ||
Sumitomo Forestry Co., Ltd. | 75,836 | 1,842,017 | ||
Sumitomo Heavy Industries, Ltd. | 40,701 | 974,845 | ||
Sumitomo Metal Mining Co., Ltd. | 6,600 | 213,062 | ||
Sumitomo Mitsui Financial Group, Inc. | 27,600 | 1,182,921 | ||
Sumitomo Mitsui Trust Holdings, Inc. | 241,700 | 8,574,449 | ||
Sumitomo Realty & Development Co., Ltd.‡‡ | 6,455 | 159,961 | ||
Suzuki Motor Corporation | 11,800 | 427,901 | ||
Sysmex Corporation | 4,400 | 301,387 | ||
T&D Holdings, Inc. | 23,900 | 350,514 | ||
Takeda Pharmaceutical Co., Ltd. | 32,600 | 1,024,375 | ||
TDK Corporation | 10,600 | 413,451 | ||
Terumo Corporation | 191,600 | 6,102,395 | ||
THK Co., Ltd. | 42,823 | 881,417 | ||
Tokio Marine Holdings, Inc. | 323,697 | 7,462,371 | ||
Tokyo Electron, Ltd.‡‡ | 9,100 | 1,310,659 | ||
Tokyo Gas Co., Ltd. | 17,800 | 388,354 | ||
Tokyu CorporationΔ | 33,900 | 408,864 | ||
TOPPAN, Inc. | 25,900 | 559,742 | ||
Toshiba Corporation | 12,400 | 389,104 | ||
Tosoh Corporation | 29,600 | 350,113 | ||
Toyota Motor Corporation | 190,900 | 3,068,162 | ||
Toyota Tsusho Corporation | 14,177 | 708,511 | ||
Trend Micro, Inc. | 7,800 | 377,570 | ||
Unicharm Corporation | 7,400 | 275,168 | ||
USS Co., Ltd. | 24,600 | 407,270 | ||
Welcia Holdings Co., Ltd. | 2,700 | 56,239 | ||
Yakult Honsha Co., Ltd. | 6,900 | 436,398 | ||
Yamada Holdings Co., Ltd. | 684,188 | 2,014,008 | ||
Z Holdings CorporationΔ | 41,500 | 100,019 | ||
Zensho Holdings Co., Ltd. | 2,900 | 128,931 | ||
ZOZO, Inc. | 7,400 | 153,510 | ||
209,089,174 | ||||
Jersey — 1.8% | ||||
Experian PLC | 370,458 | 14,218,551 | ||
Ferguson PLC | 32,960 | 5,206,085 | ||
19,424,636 |
Shares | Value | |||
Luxembourg — 0.2% | ||||
ArcelorMittal SA | 68,709 | $ 1,874,666 | ||
Mexico — 0.5% | ||||
Fomento Economico Mexicano SAB de CV ADR | 49,639 | 5,501,987 | ||
Netherlands — 4.8% | ||||
Adyen NV 144A* | 4,570 | 7,913,722 | ||
Akzo Nobel NV | 114,330 | 9,346,843 | ||
ASM International NVΔ | 12,310 | 5,226,878 | ||
ASML Holding NV | 2,390 | 1,733,535 | ||
ASML Holding NV (NASDAQ Exchange) | 7,900 | 5,725,525 | ||
ASR Nederland NV‡‡ | 16,543 | 746,147 | ||
Euronext NV 144A | 60,938 | 4,144,694 | ||
Ferrari NVΔ | 27,370 | 8,948,563 | ||
ING Groep NV‡‡ | 52,396 | 706,382 | ||
Koninklijke Ahold Delhaize NV | 8,491 | 289,484 | ||
NN Group NV | 80,658 | 2,985,771 | ||
OCI NV* | 53,925 | 1,295,225 | ||
Signify NV 144A | 1,973 | 55,311 | ||
Stellantis NV | 187,457 | 3,295,644 | ||
52,413,724 | ||||
Norway — 0.3% | ||||
DNB Bank ASA | 16,606 | 310,544 | ||
Equinor ASA | 119,332 | 3,474,813 | ||
3,785,357 | ||||
Peru — 0.2% | ||||
Credicorp, Ltd. | 14,399 | 2,125,868 | ||
Portugal — 0.4% | ||||
Galp Energia SGPS SAΔ | 355,197 | 4,150,794 | ||
Singapore — 0.8% | ||||
CapitaLand Integrated Commercial Trust REIT‡‡ | 204,670 | 290,046 | ||
City Developments, Ltd. | 49,908 | 248,940 | ||
Singapore Airlines, Ltd. | 104,000 | 550,995 | ||
Singapore Exchange, Ltd.‡‡ | 770,676 | 5,488,142 | ||
Wilmar International, Ltd. | 668,844 | 1,884,276 | ||
8,462,399 | ||||
South Korea — 1.8% | ||||
Hana Financial Group, Inc. | 135,333 | 4,040,030 | ||
KB Financial Group, Inc. | 204,459 | 7,420,778 | ||
Samsung Electronics Co., Ltd. GDR | 6,223 | 8,626,458 | ||
20,087,266 | ||||
Spain — 1.0% | ||||
Amadeus IT Group SA* | 94,549 | 7,199,944 | ||
Banco Bilbao Vizcaya Argentaria SA | 535,786 | 4,116,285 | ||
11,316,229 | ||||
Sweden — 0.9% | ||||
Assa Abloy AB, B Shares | 107,564 | 2,585,512 | ||
Atlas Copco AB, A Shares | 224,920 | 3,247,144 | ||
Atlas Copco AB, B Shares | 29,823 | 371,847 | ||
Billerud AB | 15,711 | 119,570 |
Shares | Value | |||
H & M Hennes & Mauritz AB, B Shares | 18,254 | $ 313,920 | ||
Investor AB, B Shares‡‡ | 24,240 | 484,923 | ||
Skanska AB, B Shares | 3,845 | 53,947 | ||
Svenska Handelsbanken AB, A Shares | 75,387 | 631,159 | ||
Swedbank AB, A Shares | 84,591 | 1,427,568 | ||
Volvo AB, B Shares | 12,355 | 255,687 | ||
9,491,277 | ||||
Switzerland — 10.0% | ||||
ABB, Ltd. | 93,946 | 3,695,916 | ||
Barry Callebaut AG | 257 | 496,545 | ||
Chubb, Ltd. | 66,911 | 12,884,382 | ||
Nestle SA‡‡ | 187,963 | 22,610,371 | ||
Novartis AG‡‡ | 166,460 | 16,782,404 | ||
Roche Holding AG‡‡ | 64,943 | 19,838,142 | ||
Sika AG | 40,667 | 11,647,054 | ||
Swatch Group AG (The) | 9,358 | 2,736,207 | ||
Swiss Re AG | 17,588 | 1,772,216 | ||
UBS Group AG | 354,052 | 7,176,163 | ||
Zurich Insurance Group AG | 19,600 | 9,323,497 | ||
108,962,897 | ||||
Taiwan — 0.9% | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 100,606 | 10,153,158 | ||
Turkey — 0.0% | ||||
Yapi ve Kredi Bankasi AS | 1 | — | ||
United Kingdom — 3.7% | ||||
BAE Systems PLC | 328,830 | 3,877,316 | ||
BP PLC ADR | 204,162 | 7,204,877 | ||
Compass Group PLC | 492,285 | 13,785,532 | ||
Haleon PLC | 1,151,590 | 4,726,667 | ||
Liberty Global PLC Class A* | 283,125 | 4,773,487 | ||
Lloyds Banking Group PLC‡‡ | 3,874,416 | 2,147,778 | ||
Schroders PLC | 1 | 6 | ||
Vodafone Group PLC ADRΔ | 346,208 | 3,271,666 | ||
39,787,329 | ||||
Total Foreign Common Stocks (Cost $853,028,987) | 927,925,516 |
FOREIGN PREFERRED STOCKS — 1.3% | |||
Brazil — 0.5% | |||
Itau Unibanco Holding SA * | 958,562 | 5,685,469 | |
Germany — 0.8% | |||
Henkel AG & Co. KGaA 2.53% ◊ | 73,142 | 5,849,624 | |
Porsche Automobil Holding SE 4.63% ‡‡◊ | 2,838 | 171,045 |
Shares | Value | |||
Volkswagen AG 7.13% ◊ | 17,044 | $ 2,291,953 | ||
8,312,622 | ||||
Total Foreign Preferred Stocks (Cost $14,354,743) | 13,998,091 | |||
MONEY MARKET FUNDS — 6.1% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 39,553,007 | 39,553,007 | ||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 2,260,250 | 2,260,250 | ||
Northern Institutional U.S. Government Portfolio (Shares), 4.91%Ø | 50 | 50 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 24,277,728 | 24,277,728 | ||
Total Money Market Funds (Cost $66,091,035) | 66,091,035 | |||
TOTAL INVESTMENTS — 96.0% (Cost $969,408,736) | 1,042,837,893 | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.0)% | ||||
United Kingdom — (0.0)% | ||||
Ocado Group PLC* | (47,886) | (346,524) | ||
TOTAL SECURITIES SOLD SHORT — (0.0)% (Proceeds $(803,636)) | (346,524) | |||
Other Assets in Excess of Liabilities — 4.0% | 43,574,489 | |||
NET ASSETS — 100.0% | $1,086,065,858 |
% | |
Financials | 21.1 |
Industrials | 17.5 |
Consumer Discretionary | 10.5 |
Health Care | 10.0 |
Information Technology | 9.7 |
Consumer Staples | 7.1 |
Materials | 6.3 |
Money Market Funds | 6.1 |
Communication Services | 2.7 |
Energy | 2.6 |
Real Estate | 1.7 |
Utilities | 0.7 |
Foreign Common Stocks Sold Short | —** |
96.0 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CAC40 10 Euro | 07/2023 | (217) | $(17,547,354) | $ (183,023) | ||||
IBEX 35 Index | 07/2023 | (12) | (1,250,515) | (20,843) | ||||
OMXS30 Index | 07/2023 | (612) | (13,143,245) | (142,514) | ||||
Hang Seng Index | 07/2023 | (7) | (840,027) | 9,596 | ||||
MSCI Singapore Index | 07/2023 | 3 | 64,086 | 170 | ||||
Topix Index® | 09/2023 | 251 | 39,799,577 | 1,214,966 | ||||
S&P/TSX 60 Index | 09/2023 | (83) | (15,269,870) | (238,515) | ||||
DAX Index | 09/2023 | (26) | (11,541,405) | (174,747) | ||||
FTSE 100 Index | 09/2023 | 247 | 23,656,933 | (195,567) | ||||
FTSE/MIB Index | 09/2023 | 227 | 35,127,919 | 862,294 | ||||
MSCI EAFE Index | 09/2023 | 294 | 31,685,850 | (97,301) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $ 70,741,949 | $1,034,516 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | Euro | 78,264,000 | U.S. Dollars | 84,312,106 | CITI | $1,446,558 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | U.S. Dollars | 41,719,368 | Japanese Yen | 5,766,701,000 | CITI | $ 1,229,988 | ||||||
09/20/23 | British Pounds | 34,176,000 | U.S. Dollars | 42,467,652 | CITI | 944,358 | ||||||
09/20/23 | Australian Dollars | 33,053,000 | U.S. Dollars | 21,761,777 | CITI | 308,049 | ||||||
09/20/23 | Norwegian Kroner | 74,199,291 | U.S. Dollars | 6,875,890 | CITI | 56,886 | ||||||
09/20/23 | U.S. Dollars | 7,229,743 | Euro | 6,557,000 | CITI | 44,836 | ||||||
09/20/23 | Danish Kroner | 10,951,000 | U.S. Dollars | 1,590,646 | CITI | 22,533 | ||||||
09/20/23 | Swedish Kronor | 21,367,833 | U.S. Dollars | 1,967,750 | CITI | 21,400 | ||||||
09/20/23 | Israeli Shekels | 3,561,250 | U.S. Dollars | 961,582 | CITI | 2,260 | ||||||
09/20/23 | U.S. Dollars | 457,054 | Singapore Dollars | 614,000 | CITI | 1,603 | ||||||
09/20/23 | U.S. Dollars | 40,484 | Israeli Shekels | 147,000 | CITI | 699 | ||||||
09/20/23 | U.S. Dollars | 174,783 | Danish Kroner | 1,183,000 | CITI | 517 | ||||||
09/20/23 | U.S. Dollars | 290,164 | Hong Kong Dollars | 2,267,000 | CITI | 304 | ||||||
09/20/23 | Singapore Dollars | 20,000 | U.S. Dollars | 14,793 | CITI | 43 | ||||||
Subtotal Appreciation | $ 4,080,034 | |||||||||||
09/20/23 | U.S. Dollars | 15,213 | Hong Kong Dollars | 119,000 | CITI | $ (2) | ||||||
09/20/23 | Singapore Dollars | 350,000 | U.S. Dollars | 260,719 | CITI | (1,097) | ||||||
09/20/23 | Danish Kroner | 2,236,000 | U.S. Dollars | 331,455 | CITI | (2,073) | ||||||
09/20/23 | British Pounds | 2,865,000 | U.S. Dollars | 3,641,949 | CITI | (2,687) | ||||||
09/20/23 | Israeli Shekels | 1,362,750 | U.S. Dollars | 374,521 | CITI | (5,697) | ||||||
09/20/23 | U.S. Dollars | 551,372 | Danish Kroner | 3,794,000 | CITI | (7,517) | ||||||
09/20/23 | Hong Kong Dollars | 43,616,987 | U.S. Dollars | 5,584,702 | CITI | (7,815) | ||||||
09/20/23 | Swiss Francs | 3,020,000 | U.S. Dollars | 3,413,069 | CITI | (9,109) | ||||||
09/20/23 | Swedish Kronor | 28,034,500 | U.S. Dollars | 2,618,886 | CITI | (9,130) | ||||||
09/20/23 | U.S. Dollars | 3,498,946 | Japanese Yen | 500,000,000 | CITI | (11,673) | ||||||
09/20/23 | U.S. Dollars | 4,565,980 | Swedish Kronor | 49,264,333 | CITI | (20,080) | ||||||
09/20/23 | U.S. Dollars | 7,868,703 | Euro | 7,208,000 | CITI | (29,545) | ||||||
09/20/23 | Japanese Yen | 440,000,000 | U.S. Dollars | 3,195,155 | CITI | (105,810) | ||||||
09/20/23 | Norwegian Kroner | 93,800,709 | U.S. Dollars | 8,901,662 | CITI | (137,437) | ||||||
09/20/23 | U.S. Dollars | 29,182,560 | New Zealand Dollars | 48,112,000 | CITI | (333,429) | ||||||
09/20/23 | Australian Dollars | 30,024,000 | U.S. Dollars | 20,434,163 | CITI | (386,831) | ||||||
09/20/23 | U.S. Dollars | 13,172,726 | Norwegian Kroner | 145,379,000 | CITI | (410,692) | ||||||
09/20/23 | U.S. Dollars | 36,276,695 | Swiss Francs | 32,556,000 | CITI | (418,439) | ||||||
Subtotal Depreciation | $(1,899,063) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $ 2,180,971 |
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 | ||||||||||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 9/15/2023 | JPM | CHF | 1,245,970 | $ 5,235 | $ — | $ 5,235 | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 9/15/2023 | GSM | CHF | 339,810 | 1,828 | — | 1,828 | ||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate + 0% | MSCI Japan Net Return JPY Index (Monthly) | 9/20/2023 | GSC | JPY | 417,246,384 | 29,566 | — | 29,566 | ||||||||
Financing Index: Euro Short Term Rate + 0.12% | MSCI Italy Net Return EUR Index (Monthly) | 9/20/2023 | GSC | EUR | 3,245,509 | 98,059 | — | 98,059 |
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) | ||||||||
MSCI Switzerland Net Return CHF Index (Monthly) | Financing Index: Swiss Average Rate Overnight - 0.54% | 9/20/2023 | GSC | CHF | 2,286,916 | $ 12,339 | $ — | $ 12,339 | ||||||||
Subtotal Appreciation | $ 147,027 | $ — | $ 147,027 | |||||||||||||
Increase in total return of AEX Index (At Termination) | Decrease in total return of AEX Index (At Termination) | 7/21/2023 | CITI | EUR | 14,728,990 | $(103,948) | $ — | $(103,948) | ||||||||
Financing Index: 1-Day SONIA + 0.42% | MSCI United Kingdom Net Return GBP Index (Monthly) | 9/20/2023 | GSC | GBP | 666,864 | (9,218) | — | (9,218) | ||||||||
Financing Index: 1-Month TELBOR - 0.1% | Tel Aviv Interbank Offered Rate (Monthly) | 9/20/2023 | GSC | ILS | 4,910,061 | (49,871) | — | (49,871) | ||||||||
MSCI Australia Net Return AUD Index (Monthly) | Financing Index: 1-Month ASX BBSW - 0.1% | 9/20/2023 | GSC | AUD | 2,174,037 | (55) | — | (55) | ||||||||
Subtotal Depreciation | $(163,092) | $ — | $(163,092) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2023 | $ (16,065) | $ — | $ (16,065) |
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).* | 39-56 months maturity ranging from 09/04/2026 - 02/14/2028 | GSC | $11,145,883 | $ 44,038 | $ — | $ 44,038 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SSARON minus a specified spread (-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 43-59 months maturity ranging from 01/06/2027 - 05/26/2028 | GSC | 2,077,212 | 192,599 | — | 192,599 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-1.25 to -0.35%), which is denominated in DKK based on the local currencies of the positions within the swap (Monthly). | 26-59 months maturity ranging from 08/08/2025 - 05/26/2028 | GSC | 6,634,862 | 34,261 | — | 34,261 | ||||||
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). | 57 months to maturity 03/03/2028 | GSC | 3,324,888 | 22,106 | — | 22,106 | ||||||
Subtotal Appreciation | $293,004 | $ — | $293,004 |
* 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 | ||||
Mineral Resources, Ltd. | (50,951) | $ 3,663,115 | $ (54,220) | (123.12)% | ||||
Lynas Rare Earths, Ltd. | (260,721) | 1,798,469 | 134,607 | 305.66 | ||||
James Hardie Industries PLC CDI | (42,478) | 1,701,030 | (59,713) | (135.59) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Alumina, Ltd. | (966,000) | $ 1,344,985 | $ 9,702 | 22.03% | ||||
Domino’s Pizza Enterprises, Ltd. | (20,672) | 964,691 | (4,509) | (10.24) | ||||
Cleanaway Waste Management, Ltd. | (289,541) | 751,936 | 9,166 | 20.81 | ||||
Reece, Ltd. | (38,794) | 725,473 | (226) | (0.51) | ||||
IDP Education, Ltd. | (8,825) | 196,184 | 9,231 | 20.96 | ||||
$11,145,883 | $ 44,038 | 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 NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 53-58 months maturity ranging from 11/03/2027 - 04/21/2028 | GSC | $ 13,728,771 | $ (7,342) | $ — | $ (7,342) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays 1-Month SORA plus a specified spread (0.40%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 57 months to maturity 03/23/2028 | GSC | 333,017 | (14,325) | — | (14,325) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread(-0.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 26-60 months maturity ranging from 08/08/2025 - 06/27/2028 | GSC | 49,285,352 | (107,266) | — | (107,266) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 26-59 months maturity ranging from 08/08/2025 - 05/25/2028 | GSC | 50,011,723 | (122,394) | — | (122,394) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the 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).** | 26-60 months maturity ranging from 08/08/2025 - 06/12/2028 | GSC | 33,225,556 | (628,343) | — | (628,343) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread(-0.30%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).*** | 26-60 months maturity ranging from 08/08/2025 - 06/27/2028 | GSC | 1,847,924,935 | (681,880) | — | (681,880) | ||||||
Subtotal Depreciation | $(1,561,550) | $ — | $(1,561,550) | |||||||||
Net Total Return Basket Swaps | $(1,268,546) | $ — | $(1,268,546) |
* 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 | ||||
Sanofi | 32,119 | $ 3,168,801 | $ 108,644 | (101.28)% | ||||
Repsol SA | 233,274 | 3,109,179 | (43,460) | 40.52 | ||||
Sodexo SA | 29,111 | 2,937,708 | (36,696) | 34.21 | ||||
Ferrari NV | (8,672) | 2,598,324 | (216,150) | 201.51 | ||||
adidas AG | (14,078) | 2,504,522 | (271,588) | 253.19 | ||||
Cellnex Telecom SA | (65,773) | 2,435,372 | 1,301 | (1.21) | ||||
Rexel SA | 107,026 | 2,423,967 | 187,271 | (174.59) | ||||
Dassault Aviation SA | 11,753 | 2,157,924 | 219,695 | (204.81) | ||||
Eiffage SA | 22,265 | 2,130,368 | (78,755) | 73.42 | ||||
Renault SA | 53,511 | 2,069,117 | 322,741 | (300.88) | ||||
TotalEnergies SE | 39,211 | 2,062,769 | (76,611) | 71.42 | ||||
Delivery Hero SE | (42,124) | 1,703,183 | (212,939) | 198.51 | ||||
Covestro AG | (33,276) | 1,586,730 | (311,519) | 290.42 | ||||
STMicroelectronics NV | 31,140 | 1,423,257 | 62,160 | (57.95) | ||||
Unibail-Rodamco-Westfield REIT | (28,391) | 1,372,309 | (43,100) | 40.18 | ||||
Banco de Sabadell SA | 1,158,304 | 1,223,851 | 70,440 | (65.67) | ||||
Orange SA | 112,772 | 1,207,756 | 20,211 | (18.84) | ||||
Mapfre SA | 627,080 | 1,142,459 | (30,259) | 28.21 | ||||
Industria de Diseno Textil SA | 31,453 | 1,118,029 | 76,909 | (71.70) | ||||
Faurecia SE (Euronext Paris Exchange) | (50,373) | 1,089,496 | 24,311 | (22.66) | ||||
Nexi SpA | (150,224) | 1,080,116 | 4,168 | (3.89) | ||||
Rubis | 35,551 | 791,457 | (104,599) | 97.51 | ||||
BNP Paribas SA | 12,414 | 717,923 | 22,604 | (21.07) | ||||
Compagnie De Saint Gobain | 12,597 | 702,883 | 31,648 | (29.50) | ||||
Telefonica | 188,738 | 702,226 | (8,508) | 7.93 | ||||
Valeo | (33,104) | 651,925 | 36,690 | (34.20) | ||||
Ipsen SA | 5,289 | 583,459 | (4,436) | 4.14 | ||||
Axa SA | 19,718 | 533,993 | 15,573 | (14.52) | ||||
Eurofins Scientific | (7,494) | 436,426 | 13,632 | (12.71) | ||||
Reply SPA | (4,180) | 435,516 | (1,130) | 1.05 | ||||
Sartorius Stedim Biotech | (1,837) | 420,453 | 63,065 | (58.79) | ||||
Hera SpA | (136,164) | 371,361 | 7,335 | (6.84) | ||||
Brembo SpA | (26,838) | 365,010 | 15,627 | (14.57) | ||||
Adyen NV | (215) | 341,192 | (10,283) | 9.59 | ||||
DiaSorin SpA | (3,340) | 318,845 | 5,068 | (4.72) | ||||
Societe Generale SA | 13,133 | 312,995 | 6,721 | (6.27) | ||||
Iberdrola SA | 23,131 | 276,817 | 11,442 | (10.67) | ||||
Credit Agricole SA | 19,529 | 212,504 | 671 | (0.63) | ||||
Brunello Cucinelli SpA | (2,031) | 163,874 | 4,493 | (4.19) | ||||
EDP - Energias de Portugal SA | 21,496 | 96,284 | (4,071) | 3.79 | ||||
Zalando SE | (2,715) | 71,754 | 778 | (0.73) | ||||
Banco Santander SA | 21,091 | 71,556 | 4,279 | (3.99) | ||||
Engie SA | 3,926 | 59,915 | 4,325 | (4.03) | ||||
Safran SA | 362 | 51,988 | 2,665 | (2.48) | ||||
Danone SA | 886 | 49,759 | 2,371 | (2.21) | ||||
$49,285,352 | $(107,266) | 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 | ||||
HSBC Holdings PLC | 623,491 | $ 3,887,168 | $ 176,614 | (28.11)% |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Shell PLC | 154,808 | $ 3,636,365 | $ 146,752 | (23.36)% | ||||
Carnival PLC | (190,106) | 2,501,174 | (976,401) | 155.39 | ||||
BP PLC | 491,859 | 2,254,952 | (30,537) | 4.86 | ||||
Barclays PLC | 1,427,118 | 2,195,280 | (52,008) | 8.28 | ||||
Centrica PLC | 1,642,441 | 2,039,140 | 198,157 | (31.54) | ||||
Unilever PLC | 48,806 | 2,001,209 | 98,637 | (15.70) | ||||
Marks & Spencer Group PLC | 1,035,708 | 1,999,019 | 56,977 | (9.07) | ||||
Antofagasta PLC | (126,544) | 1,852,969 | 9,977 | (1.59) | ||||
Vodafone Group PLC | 2,194,504 | 1,629,167 | (7,950) | 1.27 | ||||
Compass Group PLC | 73,137 | 1,612,651 | 28,915 | (4.60) | ||||
Whitbread PLC | 38,098 | 1,291,330 | 32,879 | (5.23) | ||||
InterContinental Hotels Group PLC | 20,705 | 1,126,981 | (2,983) | 0.48 | ||||
Barratt Developments PLC | 262,815 | 1,087,624 | (167,277) | 26.62 | ||||
Associated British Foods PLC | 43,827 | 873,879 | 84,735 | (13.49) | ||||
Reckitt Benckiser Group PLC | 11,937 | 706,359 | (19,759) | 3.15 | ||||
Ocado Group PLC | (86,491) | 492,823 | (200,363) | 31.89 | ||||
Pearson PLC | 57,610 | 475,570 | 3,309 | (0.53) | ||||
London Stock Exchange Group PLC | 3,917 | 328,267 | (14,381) | 2.29 | ||||
3i Group PLC | 16,377 | 319,635 | (3,026) | 0.48 | ||||
Haleon PLC | 77,158 | 249,364 | 1,574 | (0.25) | ||||
Rentokil Initial PLC | (36,222) | 222,999 | 13,371 | (2.13) | ||||
Harbour Energy PLC | (70,948) | 162,389 | 20,389 | (3.24) | ||||
Croda International PLC | (2,218) | 124,845 | (9,688) | 1.54 | ||||
Airtel Africa PLC | 81,716 | 88,090 | (16,453) | 2.62 | ||||
Coca-Cola HBC AG CDI | 2,823 | 66,307 | 197 | (0.03) | ||||
$33,225,556 | $(628,343) | 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 | ||||
JSR Corporation | (74,595) | $ 309,307,224 | $(454,460) | 66.65% | ||||
INPEX Corporation | (123,200) | 195,307,963 | 5,702 | (0.84) | ||||
Tokio Marine Holdings, Inc. | (56,100) | 186,617,472 | (14,297) | 2.10 | ||||
Baycurrent Consulting, Inc. | (30,030) | 162,935,998 | (46,773) | 6.86 | ||||
Sysmex Corporation | (13,600) | 134,419,315 | (10,196) | 1.50 | ||||
Eneos Holdings, Inc. | (257,800) | 127,862,026 | (24,431) | 3.58 | ||||
T&D Holdings, Inc. | (57,300) | 121,258,739 | (25,257) | 3.70 | ||||
Japan Airport Terminal Co., Ltd. | (16,962) | 110,705,103 | (5,331) | 0.78 | ||||
Denso Corporation | (10,700) | 104,143,162 | (43,210) | 6.34 | ||||
Asahi Intecc Co., Ltd. | (31,100) | 88,351,187 | (28,193) | 4.13 | ||||
Kansai Electric Power Co., Inc. (The) | (43,200) | 78,208,591 | (18,926) | 2.78 | ||||
Idemitsu Kosan Co., Ltd. | (25,300) | 73,250,706 | (3,640) | 0.53 | ||||
Tohoku Electric Power Co., Inc. | (50,600) | 45,148,983 | 1,392 | (0.20) | ||||
Capcom Co., Ltd. | (7,508) | 42,945,148 | (29,626) | 4.35 | ||||
Rakuten, Inc. | (44,600) | 22,424,882 | 12,796 | (1.88) | ||||
Osaka Gas Co., Ltd. | (9,000) | 19,905,538 | 2,226 | (0.33) | ||||
KDDI Corporation | (3,100) | 13,814,468 | 99 | (0.01) | ||||
GMO Payment Gateway, Inc. | (1,000) | 11,318,430 | 245 | (0.04) | ||||
$1,847,924,935 | $(681,880) | 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 | $ 34,823,251 | $ 34,823,251 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Brazil | 4,857,170 | 4,857,170 | — | — | |||
Canada | 38,166,024 | 38,166,024 | — | — | |||
Germany | 82,964,871 | 3,843,387 | 79,121,484 | — | |||
India | 20,631,368 | 13,473,514 | 7,157,854 | — | |||
Ireland | 64,501,691 | 58,869,273 | 5,632,418 | — | |||
Israel | 9,237,844 | 9,237,844 | — | — | |||
Japan | 209,089,174 | 590,956 | 208,498,218 | — | |||
Mexico | 5,501,987 | 5,501,987 | — | — | |||
Netherlands | 52,413,724 | 5,725,525 | 46,688,199 | — | |||
Peru | 2,125,868 | 2,125,868 | — | — | |||
Switzerland | 108,962,897 | 12,884,382 | 96,078,515 | — | |||
Taiwan | 10,153,158 | 10,153,158 | — | — | |||
United Kingdom | 39,787,329 | 15,250,030 | 24,537,299 | — | |||
Other ^^ | 279,532,411 | — | 279,532,411 | — | |||
Total Foreign Common Stocks | 927,925,516 | 180,679,118 | 747,246,398 | — | |||
Foreign Preferred Stocks: | |||||||
Brazil | 5,685,469 | 5,685,469 | — | — | |||
Germany | 8,312,622 | — | 8,312,622 | — | |||
Total Foreign Preferred Stocks | 13,998,091 | 5,685,469 | 8,312,622 | — | |||
Money Market Funds | 66,091,035 | 66,091,035 | — | — | |||
Total Assets - Investments in Securities | $1,042,837,893 | $287,278,873 | $755,559,020 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 4,080,034 | $ — | $ 4,080,034 | $ — | |||
Futures Contracts | 2,087,026 | 2,087,026 | — | — | |||
Swap Agreements | 440,031 | — | 440,031 | — | |||
Total Assets - Other Financial Instruments | $ 6,607,091 | $ 2,087,026 | $ 4,520,065 | $ — |
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 | $ (346,524) | $ — | $ (346,524) | $ — | |||
Total Liabilities - Investments in Securities | $ (346,524) | $ — | $ (346,524) | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $(1,899,063) | $ — | $(1,899,063) | $ — | |||
Futures Contracts | (1,052,510) | (1,052,510) | — | — | |||
Swap Agreements | (1,724,642) | — | (1,724,642) | — | |||
Total Liabilities - Other Financial Instruments | $(4,676,215) | $(1,052,510) | $(3,623,705) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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 — 2.1% | ||||
Consumer Discretionary — 2.1% | ||||
Coupang, Inc.Δ* | 180,848 | $ 3,146,755 | ||
MercadoLibre, Inc.* | 3,786 | 4,484,896 | ||
Samsonite International SA 144A* | 220,200 | 622,680 | ||
Yum China Holdings, Inc. | 134,220 | 7,583,430 | ||
15,837,761 | ||||
Materials — 0.0% | ||||
Southern Copper Corporation | 2,441 | 175,117 | ||
Total Common Stocks (Cost $15,447,094) | 16,012,878 |
FOREIGN COMMON STOCKS — 89.3% | |||
Brazil — 5.2% | |||
Atacadao SA | 511,600 | 1,197,744 | |
B3 SA - Brasil Bolsa Balcao | 1,923,600 | 5,869,386 | |
Banco Bradesco SA* | 824,300 | 2,525,475 | |
Banco BTG Pactual SA* | 332,732 | 2,193,104 | |
Banco do Brasil SA | 267,600 | 2,766,426 | |
BB Seguridade Participacoes SA | 188,300 | 1,209,270 | |
Caixa Seguridade Participacoes S/A | 287,924 | 619,360 | |
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 402,000 | 1,694,240 | |
JBS SA | 51,700 | 189,062 | |
Klabin SA | 466,100 | 2,125,008 | |
Localiza Rent a Car SA* | 186,587 | 2,668,924 | |
Magazine Luiza SA* | 2,466,618 | 1,741,191 | |
Odontoprev SA | 157,600 | 408,466 | |
Raia Drogasil SA | 1,137,020 | 7,012,280 | |
Rede D'Or Sao Luiz SA 144A* | 224,489 | 1,548,103 | |
Sendas Distribuidora SA | 119,500 | 343,910 | |
TIM SA | 84,400 | 258,054 | |
Ultrapar Participacoes SA | 107,900 | 427,255 | |
Vale SA | 200,000 | 2,687,858 | |
Vibra Energia SA* | 506,423 | 1,924,919 | |
39,410,035 | |||
Canada — 0.3% | |||
Parex Resources, Inc.Δ | 106,171 | 2,128,629 | |
Cayman Islands — 0.3% | |||
Patria Investments, Ltd. Class A | 147,339 | 2,106,948 | |
Chile — 0.8% | |||
Banco de Chile ADRΔ | 7,668 | 160,721 | |
Banco Santander Chile ADRΔ | 3,609 | 68,030 | |
Cencosud SA | 903,455 | 1,751,007 | |
Empresas CMPC SA | 221,413 | 423,630 | |
Enel Chile SA | 1,635,893 | 106,304 | |
Falabella SA | 1,619,094 | 3,887,417 | |
6,397,109 | |||
China — 17.1% | |||
360 Security Technology, Inc. Class A* | 26,600 | 45,974 | |
3SBio, Inc. 144A* | 325,500 | 327,543 | |
Agricultural Bank of China, Ltd. Class A | 82,800 | 40,229 |
Shares | Value | |||
Aier Eye Hospital Group Co., Ltd. Class A | 32,269 | $ 82,521 | ||
Alibaba Group Holding, Ltd. ADRΔ* | 133,261 | 11,107,304 | ||
Aluminum Corporation of China, Ltd. Class H | 434,000 | 187,847 | ||
Angel Yeast Co., Ltd. Class A | 1,700 | 8,478 | ||
Anhui Conch Cement Co., Ltd. Class A | 14,200 | 46,437 | ||
ANTA Sports Products, Ltd. | 37,400 | 384,320 | ||
Avary Holding Shenzhen Co., Ltd. Class A | 23,400 | 78,295 | ||
Baidu, Inc. Class A* | 76,350 | 1,302,209 | ||
Bank of China, Ltd. Class A | 41,100 | 22,110 | ||
Bank of Communications Co., Ltd. Class A | 110,200 | 88,010 | ||
Beijing Kingsoft Office Software, Inc. Class A* | 835 | 54,364 | ||
Beijing New Building Materials PLC Class A | 15,300 | 51,610 | ||
Beijing United Information Technology Co., Ltd. Class A | 6,380 | 32,455 | ||
Bilibili, Inc. ADRΔ* | 45,621 | 688,877 | ||
Bloomage Biotechnology Corporation, Ltd. Class A | 560 | 6,879 | ||
BYD Co., Ltd. Class A | 1,100 | 39,199 | ||
BYD Co., Ltd. Class H | 25,000 | 801,616 | ||
By-health Co., Ltd. Class A | 1,500 | 4,953 | ||
Changchun High & New Technology Industry Group, Inc. Class A | 3,300 | 62,021 | ||
China Avionics Systems Co., Ltd. Class A* | 4,453 | — | ||
China Cinda Asset Management Co., Ltd. Class H | 6,747,000 | 674,415 | ||
China CITIC Bank Corporation, Ltd. Class H | 3,108,000 | 1,461,250 | ||
China Communications Services Corporation, Ltd. Class H | 3,322,000 | 1,640,162 | ||
China Construction Bank Corporation Class H | 6,507,000 | 4,212,786 | ||
China Everbright Bank Co., Ltd. Class A | 22,800 | 9,634 | ||
China Feihe, Ltd. 144A | 591,000 | 329,879 | ||
China Gas Holdings, Ltd. | 53,400 | 61,244 | ||
China Hongqiao Group, Ltd. | 1,290,000 | 1,053,654 | ||
China Lesso Group Holdings, Ltd. | 740,000 | 487,673 | ||
China Literature, Ltd. 144A* | 157,000 | 662,161 | ||
China Medical System Holdings, Ltd. | 420,000 | 685,297 | ||
China Mengniu Dairy Co., Ltd.* | 167,000 | 631,141 | ||
China Merchants Bank Co., Ltd. Class A | 45,156 | 203,982 | ||
China Merchants Bank Co., Ltd. Class H | 216,000 | 985,196 | ||
China National Building Material Co., Ltd. Class H | 2,052,000 | 1,268,016 | ||
China National Chemical Engineering Co., Ltd. Class A | 39,700 | 45,287 | ||
China National Nuclear Power Co., Ltd. Class A | 64,100 | 62,241 | ||
China National Software & Service Co., Ltd. Class A | 12,610 | 81,455 | ||
China Oilfield Services, Ltd. Class H | 266,000 | 275,447 |
Shares | Value | |||
China Pacific Insurance Group Co., Ltd. Class A | 53,600 | $ 191,864 | ||
China Pacific Insurance Group Co., Ltd. Class H | 546,867 | 1,419,756 | ||
China Petroleum & Chemical Corporation Class A | 88,300 | 77,316 | ||
China Railway Group, Ltd. Class A | 155,300 | 162,245 | ||
China Railway Signal & Communication Corporation, Ltd. Class A | 13,568 | 10,837 | ||
China Resources Land, Ltd.Δ | 1,505,987 | 6,408,975 | ||
China Resources Microelectronics, Ltd. Class A | 1,964 | 14,190 | ||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. Class A | 1,400 | 11,682 | ||
China Shenhua Energy Co., Ltd. Class A | 28,200 | 119,383 | ||
China State Construction Engineering Corporation, Ltd. Class A | 346,700 | 273,912 | ||
China State Construction International Holdings, Ltd. | 650,000 | 742,970 | ||
China Yangtze Power Co., Ltd. Class A | 38,100 | 115,637 | ||
China Zheshang Bank Co., Ltd. Class A | 29,640 | 10,775 | ||
Chongqing Fuling Zhacai Group Co., Ltd. Class A | 65,130 | 164,361 | ||
Chongqing Zhifei Biological Products Co., Ltd. Class A | 20,850 | 127,076 | ||
CMOC Group, Ltd. Class A | 11,300 | 8,308 | ||
Contemporary Amperex Technology Co., Ltd. Class A | 29,618 | 935,084 | ||
COSCO SHIPPING Holdings Co., Ltd. Class A | 109,900 | 142,447 | ||
CSC Financial Co., Ltd. Class H 144A | 661,024 | 683,859 | ||
Daqin Railway Co., Ltd. Class A | 73,300 | 74,979 | ||
DaShenLin Pharmaceutical Group Co., Ltd. Class A | 27,384 | 105,675 | ||
Dongfeng Motor Group Co., Ltd. Class H | 2,206,000 | 1,011,178 | ||
Dongyue Group, Ltd. | 483,000 | 362,783 | ||
East Buy Holding, Ltd. 144AΔ* | 232,000 | 758,114 | ||
East Money Information Co., Ltd. Class A | 30,960 | 60,689 | ||
ENN Energy Holdings, Ltd. | 45,100 | 564,115 | ||
ENN Natural Gas Co., Ltd. Class A | 18,100 | 47,255 | ||
Focus Media Information Technology Co., Ltd. Class A | 75,800 | 71,027 | ||
Foshan Haitian Flavouring & Food Co., Ltd. Class A | 29,677 | 191,592 | ||
Foxconn Industrial Internet Co., Ltd. Class A | 72,500 | 251,285 | ||
Fuyao Glass Industry Group Co., Ltd. Class A | 333,000 | 1,644,456 | ||
G-bits Network Technology Xiamen Co., Ltd. Class A | 300 | 20,266 | ||
GCL Technology Holdings, Ltd. | 5,956,000 | 1,382,717 | ||
GF Securities Co., Ltd. Class A | 21,000 | 42,613 | ||
Gree Electric Appliances, Inc. of Zhuhai Class A | 49,400 | 248,457 | ||
Guangdong Haid Group Co., Ltd. Class A | 2,100 | 13,543 |
Shares | Value | |||
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class A | 30,800 | $ 135,122 | ||
Guangzhou Shiyuan Electronic Technology Co., Ltd. Class A | 2,100 | 19,337 | ||
Guangzhou Tinci Materials Technology Co., Ltd. Class A | 191,800 | 1,090,560 | ||
Guotai Junan Securities Co., Ltd. Class A | 9,600 | 18,512 | ||
H World Group, Ltd. ADR* | 3,029 | 117,465 | ||
Haidilao International Holding, Ltd. 144A | 484,000 | 1,070,323 | ||
Haier Smart Home Co., Ltd. Class A | 30,800 | 99,603 | ||
Haitian International Holdings, Ltd. | 100,000 | 234,532 | ||
Hangzhou Tigermed Consulting Co., Ltd. Class A* | 72,700 | 646,512 | ||
Heilongjiang Agriculture Co., Ltd. Class A | 7,600 | 13,954 | ||
Henan Shenhuo Coal & Power Co., Ltd. Class A | 69,800 | 125,023 | ||
Henan Shuanghui Investment & Development Co., Ltd. Class A | 66,100 | 222,945 | ||
Hengdian Group DMEGC Magnetics Co., Ltd. Class A | 63,400 | 159,074 | ||
Hithink RoyalFlush Information Network Co., Ltd. Class A | 900 | 21,754 | ||
Hoyuan Green Energy Co., Ltd. Class A | 1,300 | 13,362 | ||
Huadong Medicine Co., Ltd. Class A | 6,500 | 38,824 | ||
Huaibei Mining Holdings Co., Ltd. Class A | 53,200 | 84,405 | ||
Huatai Securities Co., Ltd. Class A | 66,900 | 127,025 | ||
Huaxia Bank Co., Ltd. Class A | 210,907 | 157,122 | ||
Hubei Jumpcan Pharmaceutical Co., Ltd. Class A | 25,400 | 101,609 | ||
Hubei Xingfa Chemicals Group Co., Ltd. Class A | 1,900 | 5,822 | ||
Hunan Valin Steel Co., Ltd. Class A | 118,700 | 78,014 | ||
Hundsun Technologies, Inc. Class A | 42,700 | 260,644 | ||
Imeik Technology Development Co., Ltd. Class A | 3,000 | 183,881 | ||
Industrial Bank Co., Ltd. Class A | 58,400 | 125,999 | ||
Inner Mongolia Yili Industrial Group Co., Ltd. Class A | 503,661 | 1,963,759 | ||
Inner Mongolia Yuan Xing Energy Co., Ltd. Class A | 13,200 | 13,068 | ||
Inspur Electronic Information Industry Co., Ltd. Class A | 2,500 | 16,679 | ||
JA Solar Technology Co., Ltd. Class A | 7,700 | 44,200 | ||
Jason Furniture Hangzhou Co., Ltd. Class A | 12,400 | 65,121 | ||
JD.com, Inc. ADR | 86,904 | 2,966,034 | ||
JD.com, Inc. Class A | 76,300 | 1,301,264 | ||
Jiangsu Hengli Hydraulic Co., Ltd. Class A | 1,200 | 10,633 | ||
Jiangsu Pacific Quartz Co., Ltd. Class A | 2,500 | 39,172 | ||
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. Class A | 1,800 | 8,916 | ||
Jiangxi Copper Co., Ltd. Class A | 6,600 | 17,300 | ||
Jizhong Energy Resources Co., Ltd. Class A | 13,700 | 12,035 |
Shares | Value | |||
Joincare Pharmaceutical Group Industry Co., Ltd. Class A | 29,300 | $ 51,294 | ||
Jointown Pharmaceutical Group Co., Ltd. Class A | 121,584 | 173,664 | ||
Kanzhun, Ltd. ADR* | 85,789 | 1,291,124 | ||
KE Holdings, Inc. ADR* | 51,786 | 769,022 | ||
Kingboard Holdings, Ltd. | 160,000 | 437,627 | ||
Kingdee International Software Group Co., Ltd.* | 83,000 | 111,456 | ||
Kunlun Energy Co., Ltd. | 1,074,000 | 846,053 | ||
Lepu Medical Technology Beijing Co., Ltd. Class A | 3,100 | 9,646 | ||
Lingyi iTech Guangdong Co. Class A* | 11,100 | 10,565 | ||
Livzon Pharmaceutical Group, Inc. Class A* | 2,000 | 10,720 | ||
Longfor Group Holdings, Ltd. 144A | 93,384 | 228,038 | ||
Mango Excellent Media Co., Ltd. Class A | 5,900 | 27,852 | ||
Meihua Holdings Group Co., Ltd. Class A | 118,200 | 145,433 | ||
Meituan Class B 144A* | 593,850 | 9,312,113 | ||
Metallurgical Corporation of China, Ltd. Class A | 364,700 | 199,445 | ||
Midea Group Co., Ltd. Class A | 619,693 | 5,033,316 | ||
Minth Group, Ltd. | 98,000 | 269,454 | ||
Montage Technology Co., Ltd. Class A | 1,970 | 15,610 | ||
NARI Technology Co., Ltd. Class A | 1,348,966 | 4,292,160 | ||
NetEase, Inc. | 62,100 | 1,202,810 | ||
NetEase, Inc. ADRΔ | 20,093 | 1,942,792 | ||
New China Life Insurance Co., Ltd. Class A | 11,300 | 57,270 | ||
New Oriental Education & Technology Group, Inc.* | 153,000 | 603,089 | ||
Ningbo Ronbay New Energy Technology Co., Ltd. Class A | 800 | 5,967 | ||
NIO, Inc. ADRΔ* | 36,022 | 349,053 | ||
Offshore Oil Engineering Co., Ltd. Class A | 23,100 | 18,614 | ||
Orient Securities Co., Ltd. Class A | 41,900 | 56,058 | ||
PDD Holdings, Inc. ADR* | 15,227 | 1,052,795 | ||
PetroChina Co., Ltd. Class A | 180,100 | 185,330 | ||
PICC Property & Casualty Co., Ltd. Class H | 292,000 | 325,129 | ||
Ping An Bank Co., Ltd. Class A | 63,600 | 98,502 | ||
Ping An Insurance Group Co. of China, Ltd. Class A | 45,100 | 288,137 | ||
Ping An Insurance Group Co. of China, Ltd. Class H | 1,372,996 | 8,769,212 | ||
Pingdingshan Tianan Coal Mining Co., Ltd. Class A | 35,500 | 36,847 | ||
Power Construction Corporation of China, Ltd. Class A | 25,500 | 20,159 | ||
SF Holding Co., Ltd. Class A | 10,000 | 62,105 | ||
Shaanxi Coal Industry Co., Ltd. Class A | 29,200 | 73,137 | ||
Shan Xi Hua Yang Group New Energy Co., Ltd. Class A | 56,400 | 61,429 | ||
Shandong Nanshan Aluminum Co., Ltd. Class A | 117,900 | 49,094 |
Shares | Value | |||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 1,129,600 | $1,482,208 | ||
Shanghai Aiko Solar Energy Co., Ltd. Class A | 20,160 | 85,427 | ||
Shanghai Baosight Software Co., Ltd. Class A | 1,920 | 13,447 | ||
Shanghai International Airport Co., Ltd. Class A* | 157,000 | 982,858 | ||
Shanghai International Port Group Co., Ltd. Class A | 51,400 | 37,179 | ||
Shanghai Junshi Biosciences Co., Ltd. Class A* | 1,216 | 6,454 | ||
Shanghai RAAS Blood Products Co., Ltd. Class A | 29,500 | 30,504 | ||
Shanxi Lu'an Environmental Energy Development Co., Ltd. Class A | 5,200 | 11,687 | ||
Shanxi Taigang Stainless Steel Co., Ltd. Class A | 72,300 | 38,563 | ||
Shenzhen Energy Group Co., Ltd. Class A | 6,900 | 6,261 | ||
Shenzhen Inovance Technology Co., Ltd. Class A | 313,726 | 2,778,554 | ||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 103,400 | 4,275,504 | ||
Shenzhen Transsion Holdings Co., Ltd. Class A | 1,226 | 24,832 | ||
Shenzhou International Group Holdings, Ltd. | 235,200 | 2,258,972 | ||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. Class A | 5,300 | 18,768 | ||
Sichuan Kelun Pharmaceutical Co., Ltd. Class A | 22,500 | 91,970 | ||
Sichuan Road and Bridge Group Co., Ltd. Class A | 21,560 | 29,107 | ||
Silergy Corporation | 26,000 | 323,887 | ||
Sinopharm Group Co., Ltd. Class H | 1,119,600 | 3,504,901 | ||
Sungrow Power Supply Co., Ltd. Class A | 32,499 | 523,087 | ||
Sunny Optical Technology Group Co., Ltd. | 231,700 | 2,323,167 | ||
Sunresin New Materials Co., Ltd. Class A | 34,050 | 292,690 | ||
Suzhou Dongshan Precision Manufacturing Co., Ltd. Class A | 43,300 | 154,663 | ||
TBEA Co., Ltd. Class A | 37,700 | 115,833 | ||
Tencent Music Entertainment Group ADR* | 22,026 | 162,552 | ||
Thunder Software Technology Co., Ltd. Class A | 2,200 | 29,247 | ||
Toly Bread Co., Ltd. Class A | 120,120 | 167,426 | ||
Tongcheng Travel Holdings, Ltd.* | 27,600 | 57,973 | ||
Tongling Nonferrous Metals Group Co., Ltd. Class A | 66,500 | 26,536 | ||
Tongwei Co., Ltd. Class A | 14,500 | 68,583 | ||
TravelSky Technology, Ltd. Class H | 147,000 | 250,421 | ||
Trina Solar Co., Ltd. Class A | 3,900 | 22,902 | ||
Trip.com Group, Ltd.* | 27,850 | 972,227 | ||
Unisplendour Corporation, Ltd. Class A | 1,600 | 7,028 | ||
Vipshop Holdings, Ltd. ADR* | 13,960 | 230,340 | ||
Western Mining Co., Ltd. Class A | 18,300 | 26,526 |
Shares | Value | |||
Western Superconducting Technologies Co., Ltd. Class A | 1,152 | $ 8,846 | ||
Will Semiconductor Co., Ltd. Class A | 94,703 | 1,282,317 | ||
Wuchan Zhongda Group Co., Ltd. Class A | 4,800 | 3,266 | ||
WuXi AppTec Co., Ltd. Class A | 11,900 | 102,258 | ||
WuXi AppTec Co., Ltd. Class H 144A | 48,300 | 387,098 | ||
Xiamen C&D, Inc. Class A | 84,100 | 126,358 | ||
Yealink Network Technology Corporation, Ltd. Class A | 24,580 | 118,708 | ||
Yifeng Pharmacy Chain Co., Ltd. Class A | 26,880 | 137,064 | ||
YongXing Special Materials Technology Co., Ltd. Class A | 2,180 | 18,842 | ||
YTO Express Group Co., Ltd. Class A | 1,255,100 | 2,516,599 | ||
Yunnan Aluminium Co., Ltd. Class A | 314,848 | 553,902 | ||
Yunnan Tin Co., Ltd. Class A | 15,800 | 33,911 | ||
Yunnan Yuntianhua Co., Ltd. Class A | 7,200 | 16,951 | ||
Zangge Mining Co., Ltd. Class A | 6,300 | 19,599 | ||
Zhejiang China Commodities City Group Co., Ltd. Class A | 10,300 | 12,102 | ||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. Class A | 8,600 | 32,418 | ||
Zhejiang NHU Co., Ltd. Class A | 7,700 | 16,330 | ||
Zhejiang Sanhua Intelligent Controls Co., Ltd. Class A | 135,830 | 566,837 | ||
Zhejiang Supor Co., Ltd. Class A | 4,500 | 30,999 | ||
Zhejiang Weixing New Building Materials Co., Ltd. Class A | 10,300 | 29,105 | ||
Zhongsheng Group Holdings, Ltd. | 106,500 | 408,843 | ||
Zhuzhou CRRC Times Electric Co., Ltd. Class A | 1,033 | 5,963 | ||
ZTE Corporation Class A | 40,900 | 256,576 | ||
ZTO Express Cayman, Inc. | 40,974 | 1,028,367 | ||
ZTO Express Cayman, Inc. ADR | 44,247 | 1,109,715 | ||
129,122,575 | ||||
Egypt — 0.0% | ||||
Commercial International Bank Egypt SAE | 194,400 | 322,419 | ||
Greece — 0.5% | ||||
JUMBO SA | 21,226 | 583,678 | ||
National Bank of Greece SA* | 106,479 | 692,157 | ||
Piraeus Financial Holdings SA* | 747,902 | 2,455,285 | ||
Sarantis SA | 22,681 | 185,135 | ||
3,916,255 | ||||
Hong Kong — 7.7% | ||||
AIA Group, Ltd. | 699,200 | 7,101,425 | ||
Alibaba Group Holding, Ltd.* | 659,196 | 6,862,119 | ||
China Merchants Port Holdings Co., Ltd. | 810,000 | 1,145,888 | ||
China Overseas Land & Investment, Ltd. | 161,000 | 352,211 | ||
China Resources Power Holdings Co., Ltd. | 116,000 | 262,736 | ||
China Taiping Insurance Holdings Co., Ltd. | 1,294,000 | 1,348,050 | ||
CITIC, Ltd. | 1,432,000 | 1,714,592 | ||
CSPC Pharmaceutical Group, Ltd. | 892,000 | 776,289 |
Shares | Value | |||
Hong Kong Exchanges and Clearing, Ltd. | 153,362 | $ 5,810,734 | ||
Lenovo Group, Ltd. | 1,218,000 | 1,276,314 | ||
Li Ning Co., Ltd. | 88,500 | 477,916 | ||
Sino Biopharmaceutical, Ltd. | 939,000 | 410,273 | ||
Techtronic Industries Co., Ltd. | 38,000 | 415,553 | ||
Tencent Holdings, Ltd. | 707,230 | 29,987,386 | ||
57,941,486 | ||||
Hungary — 0.3% | ||||
MOL Hungarian Oil & Gas PLC | 229,950 | 2,013,304 | ||
OTP Bank Nyrt PLC | 6,212 | 220,840 | ||
2,234,144 | ||||
India — 14.2% | ||||
Amber Enterprises India, Ltd.* | 8,524 | 234,858 | ||
Apollo Hospitals Enterprise, Ltd. | 7,328 | 456,148 | ||
Axis Bank, Ltd. | 367,515 | 4,434,566 | ||
Bank of Baroda | 312,063 | 726,720 | ||
Bharat Petroleum Corporation, Ltd. | 200,344 | 891,512 | ||
Bharti Airtel, Ltd. | 320,889 | 3,442,077 | ||
Cartrade Tech, Ltd.* | 13,549 | 79,872 | ||
CG Power & Industrial Solutions, Ltd. | 35,537 | 164,313 | ||
Coal India, Ltd. | 891,835 | 2,515,935 | ||
Coforge, Ltd. | 5,287 | 304,802 | ||
Computer Age Management Services, Ltd. | 17,468 | 469,070 | ||
Craftsman Automation, Ltd. | 2,860 | 140,650 | ||
Crompton Greaves Consumer Electricals, Ltd. | 82,328 | 291,055 | ||
DLF, Ltd. | 33,609 | 201,479 | ||
Dr. Reddy's Laboratories, Ltd. | 9,855 | 620,668 | ||
GAIL India, Ltd. | 426,039 | 546,460 | ||
Godrej Properties, Ltd.* | 26,084 | 499,981 | ||
HDFC Bank, Ltd. | 34,137 | 708,439 | ||
HDFC Life Insurance Co., Ltd. 144A | 219,245 | 1,741,714 | ||
Hindustan Aeronautics, Ltd. | 9,955 | 461,066 | ||
Hindustan Petroleum Corporation, Ltd. | 80,606 | 269,473 | ||
Housing Development Finance Corporation, Ltd. | 516,590 | 17,822,502 | ||
ICICI Bank, Ltd. | 340,516 | 3,898,563 | ||
ICICI Lombard General Insurance Co., Ltd. 144A | 18,674 | 306,322 | ||
Indian Hotels Co., Ltd. | 97,610 | 468,015 | ||
Indian Oil Corporation, Ltd. | 946,743 | 1,055,138 | ||
Info Edge India, Ltd. | 5,732 | 314,326 | ||
Infosys, Ltd. | 58,460 | 952,190 | ||
Jindal Steel & Power, Ltd. | 29,703 | 211,098 | ||
Kotak Mahindra Bank, Ltd. | 87,142 | 1,965,355 | ||
Larsen & Toubro, Ltd. | 217,185 | 6,567,131 | ||
Macrotech Developers, Ltd. 144A* | 107,050 | 889,214 | ||
Mahindra & Mahindra, Ltd. | 646,362 | 11,484,159 | ||
Marico, Ltd. | 1,167,155 | 7,565,007 | ||
Navin Fluorine International, Ltd. | 9,481 | 521,156 | ||
NTPC, Ltd. | 1,251,503 | 2,890,457 | ||
Oil & Natural Gas Corporation, Ltd. | 1,301,726 | 2,547,963 | ||
Petronet LNG, Ltd. | 767,359 | 2,087,117 |
Shares | Value | |||
Power Grid Corporation of India, Ltd. | 609,604 | $ 1,900,404 | ||
Reliance Industries, Ltd. | 198,864 | 6,198,807 | ||
Route Mobile, Ltd. | 19,136 | 372,448 | ||
SBI Life Insurance Co., Ltd. 144A | 231,436 | 3,692,317 | ||
Sona Blw Precision Forgings, Ltd. 144A | 63,628 | 401,190 | ||
Tata Consultancy Services, Ltd. | 227,853 | 9,206,935 | ||
Tata Consumer Products, Ltd. | 75,469 | 793,502 | ||
Tata Steel, Ltd. | 627,980 | 860,407 | ||
TeamLease Services, Ltd.* | 7,951 | 241,878 | ||
Vedanta, Ltd. | 720,845 | 2,455,203 | ||
Zomato, Ltd.* | 684,439 | 627,991 | ||
107,497,653 | ||||
Indonesia — 2.9% | ||||
PT Adaro Energy Indonesia Tbk | 13,913,300 | 2,070,681 | ||
PT Astra International Tbk | 1,956,600 | 887,472 | ||
PT Bank BTPN Syariah Tbk | 1,688,400 | 232,660 | ||
PT Bank Central Asia Tbk | 17,471,402 | 10,715,184 | ||
PT Bank Mandiri Persero Tbk | 3,576,428 | 1,244,623 | ||
PT Bank Negara Indonesia Persero Tbk | 348,800 | 214,007 | ||
PT BFI Finance Indonesia Tbk | 4,490,900 | 428,837 | ||
PT Indofood Sukses Makmur Tbk | 368,500 | 180,693 | ||
PT Map Aktif Adiperkasa* | 757,700 | 343,662 | ||
PT Pakuwon Jati Tbk | 7,248,500 | 235,790 | ||
PT Semen Indonesia Persero Tbk | 1,965,625 | 800,495 | ||
PT Telkom Indonesia Persero Tbk | 6,820,900 | 1,824,745 | ||
PT United Tractors Tbk | 1,525,660 | 2,366,143 | ||
21,544,992 | ||||
Kazakhstan — 0.1% | ||||
Kaspi.KZ JSC GDR 144A | 3,113 | 247,795 | ||
Kaspi.KZ JSC GDR (London Exchange) | 6,428 | 512,771 | ||
760,566 | ||||
Kuwait — 0.2% | ||||
Kuwait Finance House KSCP | 231,601 | 564,599 | ||
National Bank of Kuwait SAKP | 214,155 | 653,117 | ||
1,217,716 | ||||
Malaysia — 0.6% | ||||
AMMB Holdings Bhd | 229,300 | 178,150 | ||
Malayan Banking Bhd | 1,522,633 | 2,816,911 | ||
Malaysia Airports Holdings Bhd | 147,100 | 217,012 | ||
RHB Bank Bhd | 567,400 | 660,765 | ||
Sime Darby Plantation Bhd | 537,800 | 478,987 | ||
4,351,825 | ||||
Mexico — 3.0% | ||||
Alfa SAB de CV Series A | 1,813,400 | 1,121,920 | ||
Alpek SAB de CV | 670,600 | 666,408 | ||
Alsea SAB de CV* | 80,700 | 262,840 | ||
Arca Continental SAB de CV | 104,021 | 1,067,617 | ||
Banco del Bajio SA 144A | 173,600 | 530,323 | ||
Cemex SAB de CV ADR* | 140,447 | 994,365 | ||
Coca-Cola Femsa SAB de CV ADR | 8,571 | 714,050 |
Shares | Value | |||
Controladora AXTEL SAB de CV* | 1,327,242 | $ 17,059 | ||
Fibra Uno Administracion SA de CV REIT | 223,800 | 326,737 | ||
Fomento Economico Mexicano SAB de CV ADR | 91,700 | 10,164,028 | ||
Gentera SAB de CV | 210,950 | 225,653 | ||
Grupo Aeroportuario del Sureste SAB de CV ADR | 6,059 | 1,682,524 | ||
Grupo Financiero Banorte SAB de CV Series O | 250,749 | 2,062,889 | ||
Orbia Advance Corporation SAB de CV | 593,500 | 1,270,770 | ||
Prologis Property Mexico SA de CV REIT | 209,129 | 774,108 | ||
Promotora y Operadora de Infraestructura SAB de CV | 23,230 | 233,128 | ||
Wal-Mart de Mexico SAB de CV | 198,100 | 785,711 | ||
22,900,130 | ||||
Peru — 0.7% | ||||
Credicorp, Ltd. | 34,957 | 5,161,051 | ||
Philippines — 0.2% | ||||
BDO Unibank, Inc. | 202,524 | 507,137 | ||
Jollibee Foods Corporation | 74,760 | 324,350 | ||
Monde Nissin Corporation 144A | 2,833,900 | 411,979 | ||
SM Prime Holdings, Inc. | 473,200 | 282,399 | ||
1,525,865 | ||||
Poland — 0.6% | ||||
Bank Polska Kasa Opieki SA | 99,444 | 2,712,501 | ||
Dino Polska SA 144A* | 6,420 | 750,071 | ||
PGE Polska Grupa Energetyczna SA* | 389,596 | 695,646 | ||
Powszechna Kasa Oszczednosci Bank Polski SA | 7,535 | 67,062 | ||
4,225,280 | ||||
Qatar — 0.1% | ||||
Commercial Bank PSQC (The) | 60,247 | 96,710 | ||
Industries Qatar QSC | 17,530 | 54,542 | ||
Masraf Al Rayan QSC | 156,817 | 111,095 | ||
Qatar Islamic Bank SAQ | 47,247 | 231,199 | ||
Qatar National Bank QPSC | 150,622 | 640,659 | ||
1,134,205 | ||||
Russia — 0.0% | ||||
Gazprom PJSC ADR (London Exchange)†††* | 170,565 | — | ||
LUKOIL PJSC ADR†††* | 11,047 | — | ||
Magnit PJSC GDR†††* | 20,820 | — | ||
MMC Norilsk Nickel PJSC ADR†††* | 19,198 | — | ||
Mobile TeleSystems PJSC ADR†††* | 34,508 | — | ||
Novatek PJSC GDR†††* | 1,991 | — | ||
Novolipetsk Steel PJSC GDR†††* | 13,631 | — | ||
Rosneft Oil Co. PJSC GDR†††* | 16,843 | — | ||
Sberbank of Russia PJSC ADR†††* | 75,573 | — | ||
Severstal PAO GDR†††* | 18,988 | — | ||
Surgutneftegas PJSC ADR†††* | 17,904 | — |
Shares | Value | |||
Tatneft PJSC ADR†††* | 15,224 | $ — | ||
— | ||||
Saudi Arabia — 2.2% | ||||
Alinma Bank | 35,079 | 315,287 | ||
Arab National Bank | 28,366 | 200,022 | ||
Arabian Drilling Co.* | 22,799 | 936,104 | ||
Arabian Internet & Communications Services Co. | 6,385 | 550,660 | ||
Bank Al-Jazira | 118,393 | 579,663 | ||
Banque Saudi Fransi | 97,498 | 1,089,158 | ||
Bupa Arabia for Cooperative Insurance Co. | 1,858 | 91,941 | ||
Co for Cooperative Insurance (The) | 5,362 | 200,144 | ||
Elm Co. | 2,004 | 312,052 | ||
Jarir Marketing Co. | 14,910 | 65,902 | ||
National Industrialization Co.* | 199,411 | 798,164 | ||
Sahara International Petrochemical Co. | 70,077 | 699,847 | ||
Saudi Airlines Catering Co. | 63,861 | 1,687,817 | ||
Saudi Arabian Oil Co. 144A | 85,430 | 739,999 | ||
Saudi Basic Industries Corporation | 106,419 | 2,519,128 | ||
Saudi British Bank (The) | 202,698 | 2,063,826 | ||
Saudi Electricity Co. | 66,286 | 401,073 | ||
Saudi National Bank (The) | 321,358 | 3,169,466 | ||
Savola Group (The) | 5,627 | 62,587 | ||
16,482,840 | ||||
Singapore — 0.0% | ||||
Del Monte Pacific, Ltd. | 48,287 | 7,012 | ||
Nanofilm Technologies International, Ltd. | 182,806 | 183,603 | ||
TDCX, Inc. ADR* | 16,109 | 127,422 | ||
318,037 | ||||
Slovenia — 0.1% | ||||
Nova Ljubljanska Banka dd GDR | 29,163 | 467,457 | ||
South Africa — 2.2% | ||||
Absa Group, Ltd. | 176,957 | 1,579,398 | ||
African Rainbow Minerals, Ltd. | 43,385 | 457,722 | ||
Anglo American Platinum, Ltd. | 10,751 | 485,983 | ||
AngloGold Ashanti, Ltd. ADR | 50,395 | 1,062,831 | ||
Clicks Group, Ltd.Δ | 35,048 | 486,561 | ||
Exxaro Resources, Ltd. | 224,945 | 1,963,298 | ||
JSE, Ltd. | 37,593 | 181,761 | ||
Mr Price Group, Ltd. | 23,772 | 181,333 | ||
Naspers, Ltd. N Shares | 33,208 | 5,999,399 | ||
Nedbank Group, Ltd. | 48,185 | 585,196 | ||
Northam Platinum Holdings, Ltd.* | 41,667 | 277,791 | ||
Old Mutual, Ltd. | 4,404,784 | 2,836,474 | ||
Sanlam, Ltd. | 54,266 | 168,236 | ||
Sibanye Stillwater, Ltd. | 34,206 | 52,757 | ||
Standard Bank Group, Ltd. | 8,836 | 83,425 | ||
16,402,165 | ||||
South Korea — 11.0% | ||||
BGF retail Co., Ltd. | 7,734 | 1,027,354 | ||
DB Insurance Co., Ltd. | 6,170 | 350,441 | ||
Doosan Bobcat, Inc. | 38,860 | 1,737,044 | ||
GS Holdings Corporation | 36,291 | 1,011,521 |
Shares | Value | |||
Hana Financial Group, Inc. | 17,586 | $ 524,986 | ||
Hankook Tire & Technology Co., Ltd. | 2,254 | 59,136 | ||
Hanmi Pharm Co., Ltd. | 1,013 | 238,009 | ||
Hanon Systems | 195,481 | 1,363,013 | ||
Hanwha Aerospace Co., Ltd. | 8,755 | 847,917 | ||
HD Hyundai Co., Ltd. | 14,164 | 646,459 | ||
HD Korea Shipbuilding & Offshore Engineering Co., Ltd.* | 6,201 | 551,238 | ||
Hyundai Engineering & Construction Co., Ltd. | 49,127 | 1,428,069 | ||
Hyundai Glovis Co., Ltd. | 1,517 | 228,392 | ||
Hyundai Steel Co. | 83,362 | 2,148,124 | ||
Industrial Bank of Korea | 190,223 | 1,496,379 | ||
JYP Entertainment Corporation | 3,186 | 317,979 | ||
Kia Corporation | 54,355 | 3,661,409 | ||
Korea Aerospace Industries, Ltd. | 25,496 | 1,035,474 | ||
Korea Investment Holdings Co., Ltd. | 24,270 | 957,205 | ||
Korean Air Lines Co., Ltd. | 69,588 | 1,290,937 | ||
LG Chem, Ltd. | 1,502 | 764,611 | ||
LG Corporation | 64,568 | 4,329,954 | ||
LG Electronic, Inc. | 16,096 | 1,557,907 | ||
LG Uplus Corporation | 13,101 | 106,897 | ||
NAVER Corporation | 2,652 | 371,240 | ||
NCSoft Corporation | 870 | 195,919 | ||
NHN KCP Corporation | 2,502 | 19,164 | ||
Orion Corporation | 4,324 | 394,346 | ||
Pan Ocean Co., Ltd. | 190,613 | 753,490 | ||
Samsung Electronics Co., Ltd. | 419,259 | 23,085,777 | ||
Samsung Engineering Co., Ltd.* | 48,476 | 1,045,398 | ||
Samsung Fire & Marine Insurance Co., Ltd. | 42,765 | 7,462,727 | ||
Samsung Securities Co., Ltd. | 4,027 | 110,529 | ||
SD Biosensor, Inc. | 6,236 | 58,062 | ||
SK Hynix, Inc. | 196,513 | 17,266,498 | ||
SK Telecom Co., Ltd. | 45,147 | 1,597,560 | ||
S-Oil Corporation | 4,400 | 223,568 | ||
Woori Financial Group, Inc. | 287,170 | 2,579,611 | ||
82,844,344 | ||||
Taiwan — 14.2% | ||||
Accton Technology Corporation | 53,000 | 596,155 | ||
Advantech Co., Ltd. | 180,087 | 2,370,972 | ||
ASE Technology Holding Co., Ltd. | 663,000 | 2,357,726 | ||
ASPEED Technology, Inc. | 19,220 | 1,770,254 | ||
AUO Corporation | 1,001,800 | 601,211 | ||
Catcher Technology Co., Ltd. | 417,000 | 2,352,770 | ||
Chailease Holding Co., Ltd. | 81,956 | 538,844 | ||
Chang Hwa Commercial Bank, Ltd. | 837,000 | 501,738 | ||
China Development Financial Holding Corporation | 3,098,000 | 1,234,832 | ||
CTBC Financial Holding Co., Ltd. | 2,407,000 | 1,924,804 | ||
Delta Electronics, Inc. | 610,982 | 6,771,105 | ||
eMemory Technology, Inc. | 2,000 | 143,149 | ||
Eva Airways Corporation | 198,000 | 254,019 | ||
Feng TAY Enterprise Co., Ltd. | 16,000 | 101,218 | ||
Globalwafers Co., Ltd. | 13,000 | 208,632 | ||
Hon Hai Precision Industry Co., Ltd. | 512,000 | 1,861,499 | ||
Innolux Corporation | 165,000 | 81,213 | ||
Largan Precision Co., Ltd. | 2,000 | 137,195 |
Shares | Value | |||
Lite-On Technology Corporation | 56,000 | $ 186,477 | ||
MediaTek, Inc. | 191,396 | 4,236,714 | ||
Micro-Star International Co., Ltd. | 99,000 | 562,936 | ||
momo.com, Inc. | 7,840 | 173,745 | ||
Nien Made Enterprise Co., Ltd. | 46,000 | 507,049 | ||
Pou Chen Corporation | 1,454,000 | 1,473,789 | ||
President Chain Store Corporation | 659,000 | 5,984,407 | ||
Quanta Computer, Inc. | 559,000 | 2,730,080 | ||
Shanghai Commercial & Savings Bank, Ltd. (The) | 60,000 | 87,543 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,013,986 | 37,205,035 | ||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 192,444 | 19,421,449 | ||
Tong Hsing Electronic Industries, Ltd. | 45,748 | 269,992 | ||
Unimicron Technology Corporation | 394,734 | 2,244,719 | ||
United Microelectronics Corporation | 395,000 | 620,629 | ||
Voltronic Power Technology Corporation | 63,817 | 4,035,915 | ||
Winbond Electronics Corporation | 464,000 | 410,403 | ||
Wistron Corporation | 273,000 | 796,550 | ||
Wiwynn Corporation | 30,000 | 1,371,074 | ||
Zhen Ding Technology Holding, Ltd. | 188,000 | 635,728 | ||
106,761,570 | ||||
Thailand — 1.3% | ||||
Airports of Thailand PCL* | 957,900 | 1,945,249 | ||
Bangkok Dusit Medical Services PCL NVDR | 176,800 | 138,642 | ||
Central Pattana PCL | 895,200 | 1,653,803 | ||
Central Pattana PCL NVDR | 92,600 | 171,450 | ||
Electricity Generating PCL NVDR | 88,400 | 325,729 | ||
Indorama Ventures PCL NVDR | 872,000 | 844,157 | ||
Kasikornbank PCL | 224,000 | 820,270 | ||
Minor International PCL NVDR | 343,800 | 332,914 | ||
PTT Exploration & Production PCL | 648,500 | 2,744,074 | ||
PTT Exploration & Production PCL NVDR | 102,300 | 433,463 | ||
Thai Oil PCL NVDR | 578,700 | 724,071 | ||
10,133,822 | ||||
Turkey — 0.3% | ||||
Akbank TAS | 619,193 | 481,206 | ||
KOC Holding AS | 258,767 | 1,036,246 | ||
Turk Hava Yollari AO* | 82,417 | 613,918 | ||
2,131,370 | ||||
United Arab Emirates — 0.4% | ||||
Abu Dhabi Commercial Bank PJSC | 294,791 | 650,899 | ||
Americana Restaurants International PLC | 1,335,991 | 1,538,590 |
Shares | Value | |||
Salik Co. PJSC | 842,385 | $ 724,816 | ||
2,914,305 | ||||
United Kingdom — 2.8% | ||||
Anglo American PLC | 82,483 | 2,348,581 | ||
Antofagasta PLC | 450,585 | 8,379,287 | ||
Standard Chartered PLC (London Exchange) | 305,970 | 2,661,968 | ||
Unilever PLC | 147,999 | 7,706,936 | ||
21,096,772 | ||||
Total Foreign Common Stocks (Cost $683,662,458) | 673,451,565 |
FOREIGN PREFERRED STOCKS — 0.8% | |||
Brazil — 0.4% | |||
Itau Unibanco Holding SA * | 93,000 | 551,606 | |
Petroleo Brasileiro SA 12.82% ◊ | 372,900 | 2,300,544 | |
2,852,150 | |||
Chile — 0.4% | |||
Embotelladora Andina SA Class B 7.85% ◊ | 707,068 | 1,852,873 | |
Sociedad Quimica y Minera de Chile SA ADR 1.08% ◊Δ | 10,574 | 767,884 | |
2,620,757 | |||
Total Foreign Preferred Stocks (Cost $4,884,469) | 5,472,907 | ||
MONEY MARKET FUNDS — 6.7% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 22,167,567 | 22,167,567 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 7,123,365 | 7,123,365 |
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 21,353,542 | $ 21,353,542 | ||
Total Money Market Funds (Cost $50,644,474) | 50,644,474 | |||
TOTAL INVESTMENTS — 98.9% (Cost $754,638,495) | 745,581,824 | |||
Other Assets in Excess of Liabilities — 1.1% | 8,434,193 | |||
NET ASSETS — 100.0% | $754,016,017 |
% | |
Financials | 21.5 |
Information Technology | 19.9 |
Consumer Discretionary | 14.2 |
Industrials | 7.8 |
Consumer Staples | 7.3 |
Money Market Funds | 6.7 |
Communication Services | 6.3 |
Materials | 5.5 |
Energy | 4.7 |
Health Care | 2.3 |
Real Estate | 1.5 |
Utilities | 1.2 |
98.9 |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
SGX Nifty 50 Index | 07/2023 | (18) | $ (694,044) | $ (12,344) | ||||
FTSE Taiwan Index | 07/2023 | 39 | 2,253,420 | (7,354) | ||||
MSCI Singapore Index | 07/2023 | (501) | (10,702,374) | (14,023) | ||||
FTSE KLCI | 07/2023 | 110 | 1,620,836 | (16,287) | ||||
KOSPI2 Index | 09/2023 | 65 | 4,199,237 | (82,598) | ||||
Mexican Bolsa Index | 09/2023 | 6 | 191,862 | (5,160) | ||||
MSCI Emerging Markets | 09/2023 | 773 | 38,568,835 | (389,538) | ||||
FTSE/JSE Top 40 Index | 09/2023 | 79 | 2,981,275 | 37,280 | ||||
Thai SET50 Index | 09/2023 | (1,668) | (8,605,572) | (114,065) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $ 29,813,475 | $(604,089) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | Mexican Pesos | 292,653,479 | U.S. Dollars | 16,231,623 | CITI | $596,843 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | Colombian Pesos | 51,700,000,000 | U.S. Dollars | 11,538,433 | CITI | $ 576,687 | ||||||
09/20/23 | U.S. Dollars | 16,617,592 | Chinese Offshore Yuan | 117,077,521 | CITI | 398,533 | ||||||
09/20/23 | Brazilian Reals | 58,937,000 | U.S. Dollars | 11,814,139 | CITI | 311,615 | ||||||
09/20/23 | Indian Rupees | 2,142,532,000 | U.S. Dollars | 25,826,114 | CITI | 207,400 | ||||||
09/20/23 | U.S. Dollars | 8,787,847 | Israeli Shekels | 32,244,101 | CITI | 61,073 | ||||||
09/20/23 | U.S. Dollars | 13,029,754 | Singapore Dollars | 17,485,000 | CITI | 59,789 | ||||||
09/20/23 | Hungarian Forint | 739,656,000 | U.S. Dollars | 2,067,676 | CITI | 55,327 | ||||||
09/20/23 | Polish Zloty | 7,302,000 | U.S. Dollars | 1,737,584 | CITI | 50,980 | ||||||
09/20/23 | U.S. Dollars | 5,198,155 | South Korean Won | 6,765,741,287 | CITI | 40,069 | ||||||
09/20/23 | U.S. Dollars | 5,098,815 | Chilean Pesos | 4,105,281,221 | CITI | 29,035 | ||||||
09/20/23 | Euro | 1,064,000 | U.S. Dollars | 1,146,859 | CITI | 19,031 | ||||||
09/20/23 | U.S. Dollars | 4,036,171 | Mexican Pesos | 70,000,000 | CITI | 10,957 | ||||||
09/20/23 | U.S. Dollars | 522,405 | Thai Baht | 18,000,000 | CITI | 10,556 | ||||||
09/20/23 | U.S. Dollars | 1,785,726 | Hungarian Forint | 620,000,000 | CITI | 6,166 | ||||||
09/20/23 | Peruvian Nuevo Soles | 1,095,874 | U.S. Dollars | 294,416 | CITI | 5,715 | ||||||
09/20/23 | U.S. Dollars | 4,399,442 | Hong Kong Dollars | 34,376,142 | CITI | 4,093 | ||||||
09/20/23 | South African Rand | 25,000,000 | U.S. Dollars | 1,313,137 | CITI | 3,962 | ||||||
09/20/23 | Saudi Riyals | 15,129,939 | U.S. Dollars | 4,028,359 | CITI | 2,465 | ||||||
09/20/23 | Chilean Pesos | 80,692,722 | U.S. Dollars | 98,756 | CITI | 895 | ||||||
09/20/23 | Chinese Offshore Yuan | 2,275,000 | U.S. Dollars | 315,011 | CITI | 151 | ||||||
09/20/23 | U.S. Dollars | 34,058 | Euro | 31,000 | CITI | 90 | ||||||
09/20/23 | U.S. Dollars | 6,849 | Peruvian Nuevo Soles | 25,000 | CITI | 2 | ||||||
Subtotal Appreciation | $2,451,434 | |||||||||||
09/20/23 | Euro | 2,000 | U.S. Dollars | 2,192 | CITI | $ (1) | ||||||
09/20/23 | U.S. Dollars | 133,075 | Hong Kong Dollars | 1,040,930 | CITI | (19) | ||||||
09/20/23 | U.S. Dollars | 7,640 | Euro | 7,000 | CITI | (30) | ||||||
09/20/23 | Chilean Pesos | 47,359,389 | U.S. Dollars | 58,635 | CITI | (149) | ||||||
09/20/23 | U.S. Dollars | 28,242 | Thai Baht | 1,000,000 | CITI | (194) | ||||||
09/20/23 | U.S. Dollars | 2,654,250 | Singapore Dollars | 3,579,000 | CITI | (569) | ||||||
09/20/23 | U.S. Dollars | 52,515 | Peruvian Nuevo Soles | 194,000 | CITI | (616) | ||||||
09/20/23 | Singapore Dollars | 628,000 | U.S. Dollars | 466,519 | CITI | (683) | ||||||
09/20/23 | Colombian Pesos | 1,500,000,000 | U.S. Dollars | 352,271 | CITI | (769) | ||||||
09/20/23 | U.S. Dollars | 4,025,544 | Saudi Riyals | 15,118,997 | CITI | (2,364) | ||||||
09/20/23 | Indian Rupees | 250,000,000 | U.S. Dollars | 3,040,190 | CITI | (2,486) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (4,065) | ||||||
09/20/23 | U.S. Dollars | 1,477,761 | Chilean Pesos | 1,200,000,000 | CITI | (4,168) | ||||||
09/20/23 | U.S. Dollars | 3,731,443 | Israeli Shekels | 13,843,899 | CITI | (15,369) | ||||||
09/20/23 | Hong Kong Dollars | 106,109,562 | U.S. Dollars | 13,586,426 | CITI | (19,210) | ||||||
09/20/23 | Brazilian Reals | 32,140,000 | U.S. Dollars | 6,635,818 | CITI | (23,305) | ||||||
09/20/23 | U.S. Dollars | 737,467 | South African Rand | 14,538,000 | CITI | (28,453) | ||||||
09/20/23 | U.S. Dollars | 8,242,741 | Mexican Pesos | 144,000,000 | CITI | (37,698) | ||||||
09/20/23 | U.S. Dollars | 14,564,605 | South Korean Won | 19,154,312,713 | CITI | (38,317) | ||||||
09/20/23 | Thai Baht | 85,269,624 | U.S. Dollars | 2,483,045 | CITI | (58,312) | ||||||
09/20/23 | Indonesian Rupiahs | 166,578,875,790 | U.S. Dollars | 11,144,247 | CITI | (83,742) | ||||||
09/20/23 | South African Rand | 178,000,000 | U.S. Dollars | 9,485,588 | CITI | (107,842) | ||||||
09/20/23 | U.S. Dollars | 6,878,608 | Philippine Pesos | 387,287,000 | CITI | (113,032) | ||||||
09/20/23 | U.S. Dollars | 7,655,728 | Hungarian Forint | 2,710,000,000 | CITI | (122,669) | ||||||
09/20/23 | U.S. Dollars | 5,321,099 | Brazilian Reals | 26,751,000 | CITI | (182,677) | ||||||
09/20/23 | South Korean Won | 8,100,000,000 | U.S. Dollars | 6,358,773 | CITI | (183,470) | ||||||
09/20/23 | U.S. Dollars | 20,729,213 | Czech Republic Koruna | 458,900,000 | CITI | (259,264) | ||||||
09/20/23 | Chinese Offshore Yuan | 107,168,341 | U.S. Dollars | 15,147,524 | CITI | (301,209) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (330,265) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | Taiwan Dollars | 571,477,890 | U.S. Dollars | 18,786,266 | CITI | �� | $ (387,205) | |||||
Subtotal Depreciation | $(2,308,152) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $ 143,282 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Financing Index: Overnight Bank Funding Rate + 0.4% | MSCI Saudi Arabia Index Futures (Monthly) | 9/20/2023 | GSC | USD | 3,557,168 | $ 322 | $ — | $ 322 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.15% | 9/20/2023 | CITI | USD | 108,028 | 6,152 | — | 6,152 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.1% | 9/20/2023 | CITI | SGD | 5,552,824 | 41,438 | — | 41,438 | ||||||||
Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 9/21/2023 | CITI | ZAR | 657,050 | 414 | — | 414 | ||||||||
Subtotal Appreciation | $ 48,326 | $ — | $ 48,326 | |||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 7/19/2023 | CITI | TWD | 204,801,400 | $(117,634) | $ — | $(117,634) | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 7/28/2023 | CITI | HKD | 69,883,000 | (109,396) | — | (109,396) | ||||||||
Decrease in total return of Bovespa Index (At Termination) | Increase in total return of Bovespa Index (At Termination) | 8/16/2023 | CITI | BRL | 66,697,965 | (105,839) | — | (105,839) | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 9/14/2023 | CITI | KRW | 10,470,375,000 | (107,474) | — | (107,474) | ||||||||
Financing Index: 1-Month SAFE South Africa JIBAR - 0.35% | MSCI South Africa Net Return ZAR Index (Monthly) | 9/20/2023 | CITI | ZAR | 23,216,996 | (25,303) | — | (25,303) | ||||||||
Financing Index: 1-Month TELBOR - 0.1% | Tel Aviv Interbank Offered Rate (Monthly) | 9/20/2023 | GSC | ILS | 1,843,678 | (19,800) | — | (19,800) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.2% | MSCI Mexico Net MXN Index (Monthly) | 9/20/2023 | CITI | MXN | 33,192,036 | (45,642) | — | (45,642) | ||||||||
MSCI Poland Net Return PLN Index (Monthly) | Financing Index: 1-Month WIBOR - 0.7% | 9/20/2023 | CITI | PLN | 7,918,867 | (24,458) | — | (24,458) | ||||||||
Subtotal Depreciation | $(555,546) | $ — | $(555,546) | |||||||||||||
Net Total Return Swaps outstanding at June 30, 2023 | $(507,220) | $ — | $(507,220) |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks: | |||||||
Consumer Discretionary | $ 15,837,761 | $ 15,215,081 | $ 622,680 | $ — | |||
Materials | 175,117 | 175,117 | — | — | |||
Total Common Stocks | 16,012,878 | 15,390,198 | 622,680 | — | |||
Foreign Common Stocks: | |||||||
Brazil | 39,410,035 | 39,410,035 | — | — | |||
Canada | 2,128,629 | 2,128,629 | — | — | |||
Cayman Islands | 2,106,948 | 2,106,948 | — | — | |||
Chile | 6,397,109 | 6,397,109 | — | — | |||
China | 129,122,575 | 21,882,955 | 107,239,620 | — | |||
Greece | 3,916,255 | 583,678 | 3,332,577 | — | |||
Indonesia | 21,544,992 | 343,662 | 21,201,330 | — | |||
Mexico | 22,900,130 | 22,900,130 | — | — | |||
Peru | 5,161,051 | 5,161,051 | — | — | |||
Saudi Arabia | 16,482,840 | 1,228,189 | 15,254,651 | — | |||
Singapore | 318,037 | 127,422 | 190,615 | — | |||
South Africa | 16,402,165 | 7,562,148 | 8,840,017 | — | |||
Taiwan | 106,761,570 | 19,421,449 | 87,340,121 | — | |||
United Arab Emirates | 2,914,305 | 2,189,489 | 724,816 | — | |||
Other ^^ | 297,884,924 | — | 297,884,924 | —** | |||
Total Foreign Common Stocks | 673,451,565 | 131,442,894 | 542,008,671 | — | |||
Foreign Preferred Stocks | 5,472,907 | 5,472,907 | — | — | |||
Money Market Funds | 50,644,474 | 50,644,474 | — | — | |||
Total Assets - Investments in Securities | $745,581,824 | $202,950,473 | $542,631,351 | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 2,451,434 | $ — | $ 2,451,434 | $ — | |||
Futures Contracts | 37,280 | 37,280 | — | — | |||
Swap Agreements | 48,326 | — | 48,326 | — | |||
Total Assets - Other Financial Instruments | $ 2,537,040 | $ 37,280 | $ 2,499,760 | $ — |
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 | $(2,308,152) | $ — | $(2,308,152) | $ — | |||
Futures Contracts | (641,369) | (641,369) | — | — | |||
Swap Agreements | (555,546) | — | (555,546) | — | |||
Total Liabilities - Other Financial Instruments | $(3,505,067) | $(641,369) | $(2,863,698) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
** | Level 3 security has zero value. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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, 2023 (Unaudited) |
Defensive Market Strategies® Fund | Impact Equity Fund | Equity Index Fund | Value Equity Index Fund | ||||
Assets | |||||||
Investments in securities of unaffiliated issuers, at value | $1,336,874,035 | $112,018,489 | $3,369,038,403 | $159,588,656 | |||
Investments in securities of affiliated issuers, at value | 30,258,494 | 4,287,158 | 53,474,911 | 3,917,827 | |||
Total investments, at value(1), (2) | 1,367,132,529 | 116,305,647 | 3,422,513,314 | 163,506,483 | |||
Cash | 100,862 | 270,725 | 1,618,510 | 235,772 | |||
Cash collateral for derivatives | — | — | — | — | |||
Deposits with broker for futures contracts | 50,986 | — | 526,400 | 21,283 | |||
Foreign currency(3) | 337 | 100,249 | — | — | |||
Receivables: | |||||||
Dividends | 532,175 | 84,333 | 1,915,035 | 153,638 | |||
Reclaims | 368,876 | 37,898 | — | 1,613 | |||
Interest | 1,758,255 | — | 12 | 2 | |||
Securities lending | 68,555 | 133 | 19,188 | 1,737 | |||
From advisor | — | 2,106 | — | 4,412 | |||
Investment securities sold | 1,030,810 | — | — | — | |||
Fund shares sold | 93,873 | 2 | 673,190 | 31 | |||
Variation margin on futures contracts | 58,782 | 27,630 | 502,913 | 49,613 | |||
Unrealized appreciation on foreign currency exchange contracts | 11,369 | — | — | — | |||
Unrealized appreciation on swap agreements | — | — | — | — | |||
Prepaid expenses and other assets | 50,175 | 78,362 | 92,568 | 24,315 | |||
Total Assets | 1,371,257,584 | 116,907,085 | 3,427,861,130 | 163,998,899 | |||
Liabilities | |||||||
Cash Overdraft | — | — | — | — | |||
Securities sold short, at value(4) | — | — | — | — | |||
Options written, at value(5) | 1,926,588 | — | — | — | |||
Unrealized depreciation on foreign currency exchange contracts | 800 | — | — | — | |||
Unrealized depreciation on swap agreements | — | — | — | — | |||
Collateral held for securities on loan, at value | 12,393,585 | — | 135,500 | 382,843 | |||
Collateral from counterparty | — | — | — | — | |||
Due to broker | — | 9 | — | — | |||
Payables: | |||||||
Investment securities purchased | 517,124 | 3 | — | 63,137 | |||
Fund shares redeemed | 418,954 | 75,027 | 1,186,115 | 136,309 | |||
Variation margin on centrally cleared swaps | — | — | — | — | |||
Foreign capital gains taxes | — | — | — | — | |||
Accrued expenses: | |||||||
Investment advisory fees | 671,010 | 59,601 | 239,141 | 12,683 | |||
Shareholder servicing fees | 76,363 | 3,093 | 175,421 | 2,017 | |||
Trustee fees | 3,299 | 90 | 7,014 | 344 | |||
Other expenses | 118,882 | 22,435 | 338,190 | 62,204 | |||
Total Liabilities | 16,126,605 | 160,258 | 2,081,381 | 659,537 | |||
Net Assets | $1,355,130,979 | $116,746,827 | $3,425,779,749 | $163,339,362 | |||
Net Assets Consist of: | |||||||
Paid-in-capital | $1,394,246,584 | $108,945,164 | $2,053,148,053 | $155,002,054 | |||
Distributable earnings (loss) | (39,115,605) | 7,801,663 | 1,372,631,696 | 8,337,308 | |||
Net Assets | $1,355,130,979 | $116,746,827 | $3,425,779,749 | $163,339,362 | |||
Net Asset Value: | |||||||
$0.001 par value, unlimited shares authorized | |||||||
Net assets applicable to the Institutional Class | $ 978,086,032 | $101,301,224 | $2,549,801,490 | $153,086,698 | |||
Institutional shares outstanding | 87,613,362 | 9,452,525 | 54,872,192 | 14,489,182 | |||
Net asset value, offering and redemption price per Institutional share | $ 11.16 | $ 10.72 | $ 46.47 | $ 10.57 | |||
Net assets applicable to the Investor Class | $ 377,044,947 | $ 15,445,603 | $ 875,978,259 | $ 10,252,664 | |||
Investor shares outstanding | 33,816,808 | 1,443,156 | 18,844,136 | 971,214 | |||
Net asset value, offering and redemption price per Investor share | $ 11.15 | $ 10.70 | $ 46.49 | $ 10.56 | |||
(1)Investments in securities of unaffiliated issuers, at cost | $1,360,413,305 | $104,656,602 | $2,032,983,450 | $155,024,913 | |||
Investments in securities of affiliated issuers, at cost | 30,258,494 | 4,287,158 | 53,474,911 | 3,917,827 | |||
Total investments, at cost | $1,390,671,799 | $108,943,760 | $2,086,458,361 | $158,942,740 | |||
(2)Includes securities loaned of: | $ 164,685,550 | $ 1,311,817 | $ 110,209,037 | $ 6,443,492 | |||
(3)Foreign currency, at cost | $ 338 | $ 100,297 | $ — | $ — | |||
(4)Proceeds from securities sold short | $ — | $ — | $ — | $ — | |||
(5)Premiums received on options written | $ 4,093,061 | $ — | $ — | $ — | |||
(6)Net of $(117,005) and $(2,352,500) accrued foreign capital gains taxed on appreciated securities for International Equity Fund and Emerging Markets Equity Fund, respectively. |
Value Equity Fund | Growth Equity Index Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||
$944,456,744 | $173,985,462 | $1,367,946,368 | $735,971,813 | $854,274,351 | $1,003,284,886 | $723,414,257 | ||||||
25,247,022 | 5,614,693 | 46,126,299 | 31,717,938 | 27,631,066 | 39,553,007 | 22,167,567 | ||||||
969,703,766 | 179,600,155 | 1,414,072,667 | 767,689,751 | 881,905,417 | 1,042,837,893 | 745,581,824 | ||||||
377,205 | — | — | — | — | — | — | ||||||
— | — | — | — | — | 17,969,978 | 8,731,003 | ||||||
8 | 208,016 | 777,000 | 1,180,073 | 1,160,020 | 12,050,443 | 2,911,771 | ||||||
— | — | — | — | 3,496,290 | 10,018,083 | 3,616,033 | ||||||
1,204,411 | 65,693 | 300,998 | 726,978 | 1,314,767 | 1,700,099 | 3,212,404 | ||||||
43,784 | — | 203,336 | — | 2,878,948 | 5,142,555 | 33,472 | ||||||
2,617 | — | 829 | 953 | 5 | 58,787 | 81,951 | ||||||
18,858 | 830 | 4,703 | 12,368 | 16,719 | 7,922 | 3,424 | ||||||
— | 4,154 | — | — | 1,800 | — | — | ||||||
2,125,440 | — | 1,604,966 | 2,680,885 | 974 | 4,342,897 | 1,631,466 | ||||||
240,557 | 142,183 | 433,325 | 382,132 | 265,724 | 265,657 | 626,689 | ||||||
86,625 | 41,813 | 173,250 | 52,080 | 425,728 | 221,005 | 199,136 | ||||||
16,255 | — | — | 5,576 | — | 4,080,034 | 2,451,434 | ||||||
— | — | — | — | — | 440,031 | 48,326 | ||||||
50,690 | 26,181 | 88,112 | 51,693 | 16,352 | 36,506 | 31,564 | ||||||
973,870,216 | 180,089,025 | 1,417,659,186 | 772,782,489 | 891,482,744 | 1,099,171,890 | 769,160,497 | ||||||
— | — | — | — | — | 1,385,590 | — | ||||||
— | — | — | — | — | 346,524 | — | ||||||
— | — | — | — | — | — | — | ||||||
904 | — | — | 303 | — | 1,899,063 | 2,308,152 | ||||||
— | — | — | — | — | 1,724,642 | 555,546 | ||||||
6,961,394 | 272,781 | 3,538,384 | 15,569,897 | 17,473,666 | 2,260,250 | 7,123,365 | ||||||
— | — | — | — | — | 1,987,257 | 494,416 | ||||||
— | — | — | — | — | — | — | ||||||
3,426,244 | — | 811,669 | 3,719,624 | 78 | 1,719,327 | 752,313 | ||||||
402,646 | 425 | 867,245 | 196,538 | 147,460 | 555,023 | 630,887 | ||||||
— | — | — | — | — | 36,138 | — | ||||||
— | — | — | — | — | 117,001 | 2,352,500 | ||||||
478,881 | 13,987 | 706,787 | 522,958 | 78,649 | 669,093 | 522,410 | ||||||
76,252 | 5,442 | 143,874 | 54,184 | 2,602 | 65,857 | 21,340 | ||||||
3,649 | 347 | 5,583 | 3,772 | 190 | 3,471 | 2,215 | ||||||
102,352 | 59,387 | 117,513 | 95,933 | 150,593 | 336,796 | 381,336 | ||||||
11,452,322 | 352,369 | 6,191,055 | 20,163,209 | 17,853,238 | 13,106,032 | 15,144,480 | ||||||
$962,417,894 | $179,736,656 | $1,411,468,131 | $752,619,280 | $873,629,506 | $1,086,065,858 | $754,016,017 | ||||||
$854,384,466 | $152,115,625 | $1,104,105,541 | $713,796,940 | $796,718,575 | $1,008,656,944 | $834,938,412 | ||||||
108,033,428 | 27,621,031 | 307,362,590 | 38,822,340 | 76,910,931 | 77,408,914 (6) | (80,922,395) (6) | ||||||
$962,417,894 | $179,736,656 | $1,411,468,131 | $752,619,280 | $873,629,506 | $1,086,065,858 | $754,016,017 | ||||||
$583,601,604 | $150,195,844 | $ 693,416,576 | $482,368,821 | $860,785,547 | $ 760,445,374 | $650,125,723 | ||||||
32,943,040 | 12,741,047 | 30,608,913 | 29,554,641 | 77,857,438 | 55,294,089 | 73,756,562 | ||||||
$ 17.72 | $ 11.79 | $ 22.65 | $ 16.32 | $ 11.06 | $ 13.75 | $ 8.81 | ||||||
$378,816,290 | $ 29,540,812 | $ 718,051,555 | $270,250,459 | $ 12,843,959 | $ 325,620,484 | $103,890,294 | ||||||
21,406,575 | 2,504,723 | 32,395,527 | 16,754,974 | 1,160,556 | 23,728,939 | 11,847,089 | ||||||
$ 17.70 | $ 11.79 | $ 22.17 | $ 16.13 | $ 11.07 | $ 13.72 | $ 8.77 | ||||||
$850,210,630 | $147,353,801 | $1,052,310,519 | $693,620,228 | $780,128,413 | $ 929,855,729 | $732,470,928 | ||||||
25,247,022 | 5,614,693 | 46,126,299 | 31,717,938 | 27,231,066 | 39,553,007 | 22,167,567 | ||||||
$875,457,652 | $152,968,494 | $1,098,436,818 | $725,338,166 | $807,359,479 | $ 969,408,736 | $754,638,495 | ||||||
$ 64,587,444 | $ 5,742,066 | $ 85,167,180 | $137,014,124 | $ 26,570,373 | $ 17,560,487 | $ 21,140,422 | ||||||
$ — | $ — | $ — | $ — | $ 3,488,686 | $ 10,052,747 | $ 3,685,986 | ||||||
$ — | $ — | $ — | $ — | $ — | $ 803,636 | $ — | ||||||
$ — | $ — | $ — | $ — | $ — | $ — | $ — | ||||||
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
Defensive Market Strategies® Fund | Impact Equity Fund(1) | Equity Index Fund | Value Equity Index Fund | ||||
Investment Income | |||||||
Dividends | $ 5,174,416 | $ 766,205 | $ 25,672,270 | $1,701,391 | |||
Non Cash Dividends | — | — | — | — | |||
Income distributions received from affiliated funds | 987,045 | 119,880 | 1,428,328 | 110,886 | |||
Interest | 11,231,463 | 1,460 | 83,620 | 6,817 | |||
Securities lending, net | 415,743 | 260 | 97,428 | 10,453 | |||
Less foreign taxes withheld | (63,268) | (50,288) | (148,728) | (423) | |||
Total Investment Income | 17,745,399 | 837,517 | 27,132,918 | 1,829,124 | |||
Expenses | |||||||
Investment advisory fees | 3,981,078 | 287,246 | 1,377,028 | 74,851 | |||
Transfer agent fees: | |||||||
Institutional shares | 2,602 | 1,142 | 2,802 | 1,813 | |||
Investor shares | 17,500 | 3,461 | 37,536 | 6,092 | |||
Custodian fees | 43,606 | 11,187 | 26,955 | 21,154 | |||
Shareholder servicing fees: | |||||||
Investor shares | 453,751 | 14,934 | 1,005,735 | 12,437 | |||
Accounting and administration fees | 91,885 | 9,430 | 221,635 | 12,958 | |||
Professional fees | 64,194 | 59,552 | 52,112 | 51,345 | |||
Blue sky fees: | |||||||
Institutional shares | 8,148 | 10,347 | 8,565 | 4,813 | |||
Investor shares | 9,412 | 10,361 | 13,873 | 5,094 | |||
Trustees expenses | 3,694 | 90 | 7,899 | 252 | |||
Line of credit facility fees | 2,566 | 209 | 6,251 | 305 | |||
S&P license fees | — | — | 147,953 | — | |||
MSCI license fees | — | — | — | — | |||
Dividends on securities sold short | — | — | — | — | |||
Other expenses | 68,628 | 20,295 | 99,697 | 29,641 | |||
Total Expenses | 4,747,064 | 428,254 | 3,008,041 | 220,755 | |||
Expenses waived/reimbursed(2) | — | (9,641) | — | (52,181) | |||
Fees paid indirectly | — | — | — | — | |||
Net Expenses | 4,747,064 | 418,613 | 3,008,041 | 168,574 | |||
Net Investment Income | 12,998,335 | 418,904 | 24,124,877 | 1,660,550 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) from: | |||||||
Investment securities (net of capital gains taxes of $(107,998) and $(1,338,290) for International Equity Fund and Emerging Markets Equity Fund, respectively) | 8,828,790 | (150,494) | 28,114,557 | 2,831,934 | |||
Futures transactions | (647,582) | (48,964) | 6,128,141 | 569,104 | |||
Swap agreements | — | — | — | — | |||
Option contracts written | 32,515,347 | — | — | — | |||
Forward foreign currency contracts | (425,425) | (765) | — | — | |||
Foreign currency | (14,926) | 186,561 | — | — | |||
Net realized gain (loss) | 40,256,204 | (13,662) | 34,242,698 | 3,401,038 | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investment securities (net of estimated capital gains taxes of $(117,005) and $(2,352,500) for International Equity Fund and Emerging Markets Fund, respectively) | 10,547,558 | 7,361,887 | 438,653,797 | 2,726,907 | |||
Investment securities sold short | — | — | — | — | |||
Futures | 1,437,827 | 34,392 | 3,041,380 | 345,145 | |||
Swap agreements | — | — | — | — | |||
Option contracts written | 1,190,415 | — | — | — | |||
Option contracts purchased | 21,206,909 | — | — | — | |||
Forward foreign currency contracts | 175,750 | — | — | — | |||
Foreign currency | 8,444 | 142 | — | — | |||
Net change in unrealized appreciation (depreciation) | 34,566,903 | 7,396,421 | 441,695,177 | 3,072,052 | |||
Net Realized and Unrealized Gain | 74,823,107 | 7,382,759 | 475,937,875 | 6,473,090 | |||
Net Increase in Net Assets Resulting from Operations | $87,821,442 | $7,801,663 | $500,062,752 | $8,133,640 |
(1) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. | |
(2) | See Note 3c in Notes to Financial Statements. |
Value Equity Fund | Growth Equity Index Fund | Growth Equity Fund | Small Cap Equity Fund | International Equity Index Fund | International Equity Fund | Emerging Markets Equity Fund | ||||||
$11,117,769 | $ 750,360 | $ 4,458,726 | $ 5,123,977 | $18,670,542 | $ 19,405,749 | $ 12,636,778 | ||||||
— | — | — | — | — | — | 1,617,316 | ||||||
757,961 | 122,912 | 754,123 | 685,670 | 515,799 | 1,388,700 | 551,774 | ||||||
17,153 | 7,599 | 5,206 | 20,133 | 34,848 | 348,570 | 41,961 | ||||||
72,133 | 5,448 | 40,910 | 103,469 | 131,055 | 74,054 | 23,649 | ||||||
(191,420) | (19) | (13,529) | (1,176) | (1,517,637) | (1,831,725) | (1,465,220) | ||||||
11,773,596 | 886,300 | 5,245,436 | 5,932,073 | 17,834,607 | 19,385,348 | 13,406,258 | ||||||
2,895,153 | 75,755 | 3,967,530 | 3,095,854 | 465,118 | 3,994,555 | 3,070,214 | ||||||
2,387 | 1,813 | 2,506 | 2,594 | 2,093 | 2,690 | 2,560 | ||||||
11,629 | 6,116 | 24,561 | 15,991 | 6,076 | 18,300 | 9,124 | ||||||
23,184 | 19,552 | 25,775 | 46,048 | 94,455 | 258,527 | 661,883 | ||||||
476,737 | 18,314 | 778,618 | 332,899 | 13,568 | 387,767 | 125,488 | ||||||
66,014 | 14,081 | 88,345 | 51,622 | 59,054 | 74,318 | 60,851 | ||||||
51,857 | 51,343 | 51,896 | 59,636 | 59,228 | 64,173 | 56,421 | ||||||
8,175 | 4,842 | 8,183 | 8,063 | 10,150 | 7,750 | 7,865 | ||||||
8,825 | 4,896 | 9,329 | 8,632 | 8,949 | 8,343 | 8,821 | ||||||
3,906 | 279 | 6,135 | 4,179 | 368 | 3,909 | 2,508 | ||||||
1,882 | 306 | 2,505 | 1,399 | 1,655 | 2,098 | 1,416 | ||||||
— | — | — | — | — | — | — | ||||||
— | — | — | — | 138,228 | — | — | ||||||
— | — | — | — | — | 678 | — | ||||||
53,122 | 29,167 | 76,379 | 58,746 | 3,504 | 77,119 | 76,437 | ||||||
3,602,871 | 226,464 | 5,041,762 | 3,685,663 | 862,446 | 4,900,227 | 4,083,588 | ||||||
— | (49,595) | — | — | (11,381) | — | — | ||||||
(2,830) | — | (4,788) | (19,644) | — | — | (2,242) | ||||||
3,600,041 | 176,869 | 5,036,974 | 3,666,019 | 851,065 | 4,900,227 | 4,081,346 | ||||||
8,173,555 | 709,431 | 208,462 | 2,266,054 | 16,983,542 | 14,485,121 | 9,324,912 | ||||||
29,904,114 | 251,396 | 46,456,692 | 3,454,807 | (3,359,241) | 25,106,644 | (11,468,077) | ||||||
1,220,494 | 407,931 | 933,018 | 475,256 | 1,749,113 | 10,125,091 | 2,017,751 | ||||||
— | — | — | — | — | 3,793,270 | (459,555) | ||||||
— | — | — | — | — | — | — | ||||||
(1,007,513) | — | — | 33,955 | — | (1,304,808) | 3,219,378 | ||||||
51,833 | — | — | 103 | (96,504) | (34,952) | (243,761) | ||||||
30,168,928 | 659,327 | 47,389,710 | 3,964,121 | (1,706,632) | 37,685,245 | (6,934,264) | ||||||
4,070,279 | 38,265,696 | 281,804,180 | 41,096,458 | 78,908,592 | 74,257,959 | 49,964,996 | ||||||
— | — | — | — | — | 8,935 | — | ||||||
210,660 | 406,041 | 137,440 | 109,807 | 758,176 | 2,248,564 | (346,720) | ||||||
— | — | — | — | — | (5,182,482) | (229,122) | ||||||
— | — | — | — | — | — | — | ||||||
— | — | — | — | — | — | — | ||||||
122,200 | — | — | 597 | — | 1,283,754 | 1,062,657 | ||||||
(37) | — | — | — | 13,110 | (4,133) | (43,478) | ||||||
4,403,102 | 38,671,737 | 281,941,620 | 41,206,862 | 79,679,878 | 72,612,597 | 50,408,333 | ||||||
34,572,030 | 39,331,064 | 329,331,330 | 45,170,983 | 77,973,246 | 110,297,842 | 43,474,069 | ||||||
$42,745,585 | $40,040,495 | $329,539,792 | $47,437,037 | $94,956,788 | $124,782,963 | $ 52,798,981 |
STATEMENTS OF CHANGES IN NET ASSETS |
Defensive Market Strategies® Fund | Impact Equity Fund | ||||
For the Six Months Ended | For the Year Ended | For the Period Ended | |||
06/30/23 | 12/31/22 | 06/30/23 (2) | |||
(Unaudited) | (Unaudited) | ||||
Operations: | |||||
Net investment income | $ 12,998,335 | $ 8,012,102 | $ 418,904 | ||
Net realized gain (loss) on investment securities, foreign currency and derivatives | 40,256,204 | (36,627,183) | (13,662) | ||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 34,566,903 | (138,150,724) | 7,396,421 | ||
Net increase (decrease) in net assets resulting from operations | 87,821,442 | (166,765,805) | 7,801,663 | ||
Distributions to Shareholders: | |||||
Distributions paid | |||||
Institutional shares | (14,976,877) | (147,211,492) | — | ||
Investor shares | (5,345,990) | (58,420,824) | — | ||
Return of capital | |||||
Institutional shares | — | — | — | ||
Investor shares | — | — | — | ||
Total distributions | (20,322,867) | (205,632,316) | — | ||
Capital Share Transactions: | |||||
Proceeds from shares sold | |||||
Institutional shares | 41,737,238 | 99,084,688 | 98,408,150 | ||
Investor shares | 26,761,017 | 56,413,322 | 14,515,754 | ||
Reinvestment of dividends and distributions | |||||
Institutional shares | 14,962,599 | 147,097,825 | — | ||
Investor shares | 5,176,482 | 57,884,320 | — | ||
Total proceeds from shares sold and reinvested | 88,637,336 | 360,480,155 | 112,923,904 | ||
Value of shares redeemed | |||||
Institutional shares | (35,309,606) | (123,704,784) | (3,892,529) | ||
Investor shares | (29,816,876) | (104,112,137) | (86,211) | ||
Total value of shares redeemed | (65,126,482) | (227,816,921) | (3,978,740) | ||
Net increase from capital share transactions(1) | 23,510,854 | 132,663,234 | 108,945,164 | ||
Total increase (decrease) in net assets | 91,009,429 | (239,734,887) | 116,746,827 | ||
Net Assets: | |||||
Beginning of Period | 1,264,121,550 | 1,503,856,437 | — | ||
End of Period | $1,355,130,979 | $1,264,121,550 | $116,746,827 |
(1) | See Note 6 in Notes to Financial Statements. | |
(2) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. |
Equity Index Fund | Value Equity Index Fund | Value Equity Fund | ||||||||
For the Six Months Ended | For the Year Ended | For the Six Months Ended | For the Period Ended | For the Six Months Ended | For the Year Ended | |||||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 (1) | 06/30/23 | 12/31/22 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 24,124,877 | $ 41,247,579 | $ 1,660,550 | $ 1,053,732 | $ 8,173,555 | $ 17,374,682 | |||||
34,242,698 | 15,018,959 | 3,401,038 | (59,477) | 30,168,928 | 118,345,855 | |||||
441,695,177 | (678,761,142) | 3,072,052 | 1,617,530 | 4,403,102 | (227,196,774) | |||||
500,062,752 | (622,494,604) | 8,133,640 | 2,611,785 | 42,745,585 | (91,476,237) | |||||
(15,598,122) | (57,947,628) | (1,257,659) | (1,015,078) | (2,897,090) | (92,445,869) | |||||
(4,381,906) | (17,631,530) | (96,726) | (45,412) | (1,432,535) | (62,130,910) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
(19,980,028) | (75,579,158) | (1,354,385) | (1,060,490) | (4,329,625) | (154,576,779) | |||||
103,298,086 | 540,825,846 | 11,354,880 | 142,365,294 | 32,273,717 | 58,096,137 | |||||
57,625,055 | 156,353,113 | 6,001,107 | 10,642,022 | 16,816,971 | 78,848,890 | |||||
15,357,610 | 56,905,289 | 1,257,659 | 1,015,078 | 2,894,114 | 92,392,428 | |||||
4,344,796 | 17,474,895 | 96,727 | 45,395 | 1,430,288 | 62,061,046 | |||||
180,625,547 | 771,559,143 | 18,710,373 | 154,067,789 | 53,415,090 | 291,398,501 | |||||
(153,953,283) | (269,956,517) | (6,860,640) | (4,022,161) | (33,092,329) | (407,906,024) | |||||
(68,785,509) | (152,270,340) | (5,242,202) | (1,644,347) | (53,374,921) | (89,038,002) | |||||
(222,738,792) | (422,226,857) | (12,102,842) | (5,666,508) | (86,467,250) | (496,944,026) | |||||
(42,113,245) | 349,332,286 | 6,607,531 | 148,401,281 | (33,052,160) | (205,545,525) | |||||
437,969,479 | (348,741,476) | 13,386,786 | 149,952,576 | 5,363,800 | (451,598,541) | |||||
2,987,810,270 | 3,336,551,746 | 149,952,576 | — | 957,054,094 | 1,408,652,635 | |||||
$3,425,779,749 | $2,987,810,270 | $163,339,362 | $149,952,576 | $962,417,894 | $ 957,054,094 |
(1) | For the period August 31, 2022 (commencement of operations) through December 31, 2022. |
STATEMENTS OF CHANGES IN NET ASSETS |
Growth Equity Index Fund | Growth Equity Fund | ||||||
For the Six Months Ended | For the Period Ended | For the Six Months Ended | For the Year Ended | ||||
06/30/23 | 12/31/22 (1) | 06/30/23 | 12/31/22 | ||||
(Unaudited) | (Unaudited) | ||||||
Operations: | |||||||
Net investment income (loss) | $ 709,431 | $ 449,776 | $ 208,462 | $ (1,087,693) | |||
Net realized gain on investment securities, foreign currency and derivatives | 659,327 | 114,825 | 47,389,710 | 22,155,646 | |||
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 38,671,737 | (11,956,832) | 281,941,620 | (729,818,975) | |||
Net increase (decrease) in net assets resulting from operations | 40,040,495 | (11,392,231) | 329,539,792 | (708,751,022) | |||
Distributions to Shareholders: | |||||||
Distributions paid | |||||||
Institutional shares | (482,155) | (460,655) | (364,137) | (73,820,250) | |||
Investor shares | (95,302) | (3,483) | — | (62,355,365) | |||
Return of capital | |||||||
Institutional shares | — | — | — | — | |||
Investor shares | — | — | — | — | |||
Total distributions | (577,457) | (464,138) | (364,137) | (136,175,615) | |||
Capital Share Transactions: | |||||||
Proceeds from shares sold | |||||||
Institutional shares | 6,803,179 | 143,186,598 | 34,831,070 | 245,567,662 | |||
Investor shares | 20,820,645 | 9,394,844 | 35,978,390 | 65,401,542 | |||
Reinvestment of dividends and distributions | |||||||
Institutional shares | 482,155 | 460,656 | 362,456 | 73,788,671 | |||
Investor shares | 95,221 | 3,213 | — | 62,246,525 | |||
Total proceeds from shares sold and reinvested | 28,201,200 | 153,045,311 | 71,171,916 | 447,004,400 | |||
Value of shares redeemed | |||||||
Institutional shares | (24,825,701) | (198,613) | (122,636,562) | (355,477,062) | |||
Investor shares | (2,353,159) | (1,739,051) | (41,365,429) | (159,109,366) | |||
Total value of shares redeemed | (27,178,860) | (1,937,664) | (164,001,991) | (514,586,428) | |||
Net increase (decrease) from capital share transactions(1) | 1,022,340 | 151,107,647 | (92,830,075) | (67,582,028) | |||
Total increase (decrease) in net assets | 40,485,378 | 139,251,278 | 236,345,580 | (912,508,665) | |||
Net Assets: | |||||||
Beginning of Period | 139,251,278 | — | 1,175,122,551 | 2,087,631,216 | |||
End of Period | $179,736,656 | $139,251,278 | $1,411,468,131 | $1,175,122,551 |
(1) | See Note 6 in Notes to Financial Statements. | |
(1) | For the period August 31, 2022 (commencement of operations) through December 31, 2022. |
Small Cap Equity Fund | International Equity Index Fund | International 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 | |||||
06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | 06/30/23 | 12/31/22 | |||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||
$ 2,266,054 | $ 2,085,413 | $ 16,983,542 | $ 23,381,739 | $ 14,485,121 | $ 15,784,424 | |||||
3,964,121 | 14,726,983 | (1,706,632) | (12,173,169) | 37,685,245 | (23,714,915) | |||||
41,206,862 | (169,703,864) | 79,679,878 | (132,675,908) | 72,612,597 | (203,916,050) | |||||
47,437,037 | (152,891,468) | 94,956,788 | (121,467,338) | 124,782,963 | (211,846,541) | |||||
— | (20,795,442) | — | (23,117,160) | — | (14,335,043) | |||||
— | (12,291,323) | — | (206,368) (1) | — | (4,919,095) | |||||
— | — | — | — | — | — | |||||
— | — | — | — | — | — | |||||
— | (33,086,765) | — | (23,323,528) | — | (19,254,138) | |||||
50,380,126 | 61,742,485 | 37,669,249 | 188,800,230 | 32,365,255 | 75,793,784 | |||||
20,054,153 | 28,792,945 | 7,580,379 | 9,092,425 (1) | 22,831,051 | 40,647,704 | |||||
— | 20,730,693 | — | 22,987,331 | — | 14,062,820 | |||||
— | 12,169,460 | — | 195,254 (1) | — | 4,861,099 | |||||
70,434,279 | 123,435,583 | 45,249,628 | 221,075,240 | 55,196,306 | 135,365,407 | |||||
(24,117,420) | (64,770,146) | (57,868,758) | (114,075,522) | (93,375,785) | (175,336,358) | |||||
(27,088,424) | (56,973,765) | (3,828,201) | (982,850) (1) | (25,080,895) | (50,039,936) | |||||
(51,205,844) | (121,743,911) | (61,696,959) | (115,058,372) | (118,456,680) | (225,376,294) | |||||
19,228,435 | 1,691,672 | (16,447,331) | 106,016,868 | (63,260,374) | (90,010,887) | |||||
66,665,472 | (184,286,561) | 78,509,457 | (38,773,998) | 61,522,589 | (321,111,566) | |||||
685,953,808 | 870,240,369 | 795,120,049 | 833,894,047 | 1,024,543,269 | 1,345,654,835 | |||||
$752,619,280 | $ 685,953,808 | $873,629,506 | $ 795,120,049 | $1,086,065,858 | $1,024,543,269 |
(1) | Investor Class was launched on April 29, 2022. |
Emerging Markets Equity Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/23 | 12/31/22 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 9,324,912 | $ 16,349,972 | |
Net realized loss on investment securities, foreign currency and derivatives | (6,934,264) | (61,282,119) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 50,408,333 | (132,982,997) | |
Net increase (decrease) in net assets resulting from operations | 52,798,981 | (177,915,144) | |
Distributions to Shareholders: | |||
Distributions paid | |||
Institutional shares | — | (11,508,709) | |
Investor shares | — | (1,505,227) | |
Return of capital | |||
Institutional shares | — | (1,481,061) | |
Investor shares | — | (226,017) | |
Total distributions | — | (14,721,014) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 31,519,146 | 108,993,697 | |
Investor shares | 14,973,464 | 29,141,905 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 12,985,293 | |
Investor shares | — | 1,727,625 | |
Total proceeds from shares sold and reinvested | 46,492,610 | 152,848,520 | |
Value of shares redeemed | |||
Institutional shares | (41,177,021) | (55,883,329) | |
Investor shares | (12,075,111) | (22,595,589) | |
Total value of shares redeemed | (53,252,132) | (78,478,918) | |
Net increase (decrease) from capital share transactions(1) | (6,759,522) | 74,369,602 | |
Total increase (decrease) in net assets | 46,039,459 | (118,266,556) | |
Net Assets: | |||
Beginning of Period | 707,976,558 | 826,243,114 | |
End of Period | $754,016,017 | $ 707,976,558 |
(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 | |||||||||
Defensive Market Strategies® Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $10.60 | $0.11 | $ 0.62 | $ 0.73 | $(0.17) | $ — | $(0.17) | $11.16 | 6.92% | $ 978,086 | 0.66% | 0.66% | 2.08% | 29% | ||||||||
2022 | 14.30 | 0.08 | (1.75) | (1.67) | (0.05) | (1.98) | (2.03) | 10.60 | (11.19) | 907,990 | 0.66 | 0.66 | 0.69 | 36 | ||||||||
2021 | 14.14 | 0.07 | 1.62 | 1.69 | (0.11) | (1.42) | (1.53) | 14.30 | 12.15 | 1,049,002 | 0.65 | 0.65 | 0.48 | 79 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $10.59 | $0.10 | $ 0.62 | $ 0.72 | $(0.16) | $ — | $(0.16) | $11.15 | 6.81% | $ 377,045 | 0.92% | 0.92% | 1.81% | 29% | ||||||||
2022 | 14.30 | 0.05 | (1.75) | (1.70) | (0.03) | (1.98) | (2.01) | 10.59 | (11.40) | 356,132 | 0.93 | 0.93 | 0.40 | 36 | ||||||||
2021 | 14.15 | 0.03 | 1.61 | 1.64 | (0.07) | (1.42) | (1.49) | 14.30 | 11.79 | 454,854 | 0.92 | 0.92 | 0.21 | 79 | ||||||||
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 | ||||||||
Impact Equity Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(2) | $10.00 | $0.04 | $ 0.68 | $ 0.72 | $ — | $ — | $ — | $10.72 | 7.20% | $ 101,301 | 0.87% | 0.87% | 0.93% | 23% | ||||||||
Investor Class | ||||||||||||||||||||||
2023(2) | $10.00 | $0.03 | $ 0.67 | $ 0.70 | $ — | $ — | $ — | $10.70 | 7.00% | $ 15,446 | 1.21% | 1.37% | 0.59% | 23% | ||||||||
Equity Index Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $40.02 | $0.34 | $ 6.39 | $ 6.73 | $(0.28) | $ — | $(0.28) | $46.47 | 16.83% | $2,549,802 | 0.12% | 0.12% | 1.58% | 2% | ||||||||
2022 | 50.59 | 0.62 | (10.10) | (9.48) | (0.61) | (0.48) | (1.09) | 40.02 | (18.70) | 2,226,390 | 0.12 | 0.12 | 1.45 | 4 | ||||||||
2021 | 40.83 | 0.56 | 10.86 | 11.42 | (0.54) | (1.12) | (1.66) | 50.59 | 28.28 | 2,403,001 | 0.12 | 0.12 | 1.21 | 4 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $40.05 | $0.28 | $ 6.39 | $ 6.67 | $(0.23) | $ — | $(0.23) | $46.49 | 16.67% | $ 875,978 | 0.39% | 0.39% | 1.32% | 2% | ||||||||
2022 | 50.61 | 0.51 | (10.10) | (9.59) | (0.49) | (0.48) | (0.97) | 40.05 | (18.91) | 761,420 | 0.39 | 0.39 | 1.17 | 4 | ||||||||
2021 | 40.85 | 0.44 | 10.86 | 11.30 | (0.42) | (1.12) | (1.54) | 50.61 | 27.95 | 933,551 | 0.39 | 0.39 | 0.95 | 4 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | For the period January 27, 2023 (commencement of operations) through June 30, 2023. 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 Index Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $10.11 | $ 0.11 | $ 0.44 | $ 0.55 | $(0.09) | $ — | $(0.09) | $10.57 | 5.42% | $ 153,087 | 0.20% | 0.25% | 2.16% | 13% | ||||||||
2022(2) | 10.00 | 0.07 | 0.11 | 0.18 | (0.07) | — | (0.07) | 10.11 | 1.84 | 140,881 | 0.20 | 0.44 | 2.18 | 3 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $10.13 | $ 0.10 | $ 0.43 | $ 0.53 | $(0.10) | $ — | $(0.10) | $10.56 | 5.26% | $ 10,252 | 0.47% | 0.74% | 1.90% | 13% | ||||||||
2022(2) | 10.00 | 0.07 | 0.11 | 0.18 | (0.05) | — | (0.05) | 10.13 | 1.77 | 9,072 | 0.47 | 2.00 | 1.95 | 3 | ||||||||
Value Equity Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $17.02 | $ 0.16 | $ 0.63 | $ 0.79 | $(0.09) | $ — | $(0.09) | $17.72 | 4.63% | $ 583,602 | 0.66%(3) | 0.66% | 1.84% | 23% | ||||||||
2022 | 21.37 | 0.32 | (1.64) | (1.32) | (0.48) | (2.55) | (3.03) | 17.02 | (5.96) | 558,078 | 0.64(3) | 0.64 | 1.60 | 34 | ||||||||
2021 | 19.35 | 0.30 | 4.38 | 4.68 | (0.40) | (2.26) | (2.66) | 21.37 | 24.61 | 971,586 | 0.64(3) | 0.64 | 1.35 | 38 | ||||||||
2020 | 19.02 | 0.30 | 0.42 | 0.72 | (0.15) | (0.24) | (0.39) | 19.35 | 4.19 | 896,523 | 0.64(3) | 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(3) | 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(3) | 0.57 | 1.75 | 38 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $17.01 | $ 0.13 | $ 0.63 | $ 0.76 | $(0.07) | $ — | $(0.07) | $17.70 | 4.45% | $ 378,816 | 0.92%(3) | 0.92% | 1.58% | 23% | ||||||||
2022 | 21.35 | 0.27 | (1.63) | (1.36) | (0.43) | (2.55) | (2.98) | 17.01 | (6.16) | 398,976 | 0.91(3) | 0.91 | 1.36 | 34 | ||||||||
2021 | 19.34 | 0.24 | 4.37 | 4.61 | (0.34) | (2.26) | (2.60) | 21.35 | 24.27 | 437,067 | 0.90(3) | 0.90 | 1.09 | 38 | ||||||||
2020 | 19.04 | 0.26 | 0.40 | 0.66 | (0.12) | (0.24) | (0.36) | 19.34 | 3.89 | 342,014 | 0.90(3) | 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(3) | 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(3) | 0.84 | 1.50 | 38 | ||||||||
Growth Equity Index Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $ 9.20 | $ 0.05 | $ 2.58 | $ 2.63 | $(0.04) | $ — | $(0.04) | $11.79 | 28.56% | $ 150,196 | 0.20% | 0.25% | 0.93% | 15% | ||||||||
2022(2) | 10.00 | 0.03 | (0.80) | (0.77) | (0.03) | (—)† | (0.03) | 9.20 | (7.68) | 132,092 | 0.20 | 0.45 | 0.97 | 2 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $ 9.22 | $ 0.04 | $ 2.57 | $ 2.61 | $(0.04) | $ — | $(0.04) | $11.79 | 28.32% | $ 29,541 | 0.47% | 0.66% | 0.66% | 15% | ||||||||
2022(2) | 10.00 | 0.02 | (0.80) | (0.78) | (—)† | (—)† | — | 9.22 | (7.76) | 7,159 | 0.47 | 2.23 | 0.74 | 2 | ||||||||
Growth Equity Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $17.56 | $ 0.02 | $ 5.08 | $ 5.10 | $(0.01) | $ — | $(0.01) | $22.65 | 29.06% | $ 693,417 | 0.66%(4) | 0.66% | 0.16% | 27% | ||||||||
2022 | 29.92 | 0.01 | (10.32) | (10.31) | — | (2.05) | (2.05) | 17.56 | (34.50) | 611,961 | 0.66(4) | 0.66 | 0.05 | 66 | ||||||||
2021 | 30.63 | (0.06) | 5.44 | 5.38 | — | (6.09) | (6.09) | 29.92 | 17.68 | 1,108,031 | 0.68(4) | 0.68 | (0.17) | 25 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $17.20 | $(0.01) | $ 4.98 | $ 4.97 | $ — | $ — | $ — | $22.17 | 28.90% | $ 718,051 | 0.92%(4) | 0.92% | (0.10)% | 27% | ||||||||
2022 | 29.44 | (0.04) | (10.15) | (10.19) | — | (2.05) | (2.05) | 17.20 | (34.66) | 563,162 | 0.92(4) | 0.92 | (0.21) | 66 | ||||||||
2021 | 30.29 | (0.14) | 5.38 | 5.24 | — | (6.09) | (6.09) | 29.44 | 17.41 | 979,600 | 0.94(4) | 0.94 | (0.43) | 25 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | For the period August 31, 2022 (commencement of operations) through December 31, 2022. All ratios for the period have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(3) | The ratio for the Value Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2018, 2019, 2020, 2021, 2022 and for the six months ended June 30, 2023. |
(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 2018, 2019, 2020, 2021, 2022 and for the six months ended June 30, 2023. |
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 | ||||||||||||||||||||||
2023(1) | $15.29 | $ 0.06 | $ 0.97 | $ 1.03 | $ — | $ — | $ — | $16.32 | 6.74% | $482,369 | 0.92%(2) | 0.93% | 0.73% | 23% | ||||||||
2022 | 19.54 | 0.07 | (3.54) | (3.47) | (0.06) | (0.72) | (0.78) | 15.29 | (17.80) | 424,994 | 0.92(2) | 0.93 | 0.39 | 54 | ||||||||
2021 | 18.67 | 0.02 | 4.03 | 4.05 | (0.02) | (3.16) | (3.18) | 19.54 | 22.09 | 519,549 | 0.90(2) | 0.91 | 0.08 | 54 | ||||||||
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) | (2.09) | — | (3.23) | (3.23) | 13.04 | (12.01) | 256,242 | 0.98(2) | 0.99 | 0.20 | 172 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $15.13 | $ 0.04 | $ 0.96 | $ 1.00 | $ — | $ — | $ — | $16.13 | 6.61% | $270,250 | 1.19%(2) | 1.20% | 0.46% | 23% | ||||||||
2022 | 19.35 | 0.03 | (3.51) | (3.48) | (0.02) | (0.72) | (0.74) | 15.13 | (18.05) | 260,960 | 1.19(2) | 1.20 | 0.12 | 54 | ||||||||
2021 | 18.54 | (0.04) | 4.01 | 3.97 | — | (3.16) | (3.16) | 19.35 | 21.79 | 350,691 | 1.16(2) | 1.17 | (0.18) | 54 | ||||||||
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) | (2.13) | — | (3.23) | (3.23) | 13.01 | (12.22) | 231,456 | 1.24(2) | 1.25 | (0.06) | 172 | ||||||||
International Equity Index Fund | ||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||
2023(1) | $ 9.87 | $ 0.22 | $ 0.97 | $ 1.19 | $ — | $ — | $ — | $11.06 | 12.06% | $860,786 | 0.20% | 0.20% | 4.07% | 3% | ||||||||
2022 | 12.06 | 0.32 | (2.21) | (1.89) | (0.26) | (0.04) | (0.30) | 9.87 | (15.69) | 787,046 | 0.21 | 0.21 | 3.05 | 14 | ||||||||
2021 | 11.53 | 0.31 | 0.88 | 1.19 | (0.35) | (0.31) | (0.66) | 12.06 | 10.43 | 833,894 | 0.22 | 0.22 | 2.52 | 18 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $ 9.89 | $ 0.21 | $ 0.97 | $ 1.18 | $ — | $ — | $ — | $11.07 | 11.93% | $ 12,844 | 0.50% | 0.71% | 3.97% | 3% | ||||||||
2022(3) | 10.43 | 0.15 | (0.43) | (0.28) | (0.22) | (0.04) | (0.26) | 9.89 | (2.73) | 8,074 | 0.50 | 1.45 | 2.36 | 14 | ||||||||
# | Calculated using the average shares outstanding method. |
† | Amount represents less than $0.005 per share. |
(1) | For the six months ended June 30, 2023, 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 0.00% and 0.01% for the Institutional and Investor Class, respectively, for the year 2018. For the years 2019, 2020, 2021, and 2022 and for the six months ended June 30, 2023, the effect of fees paid indirectly decreased the ratio by 0.01%. |
(3) | Inception date was April 29, 2022. 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# | Realized and Unrealized Gain (Loss) on Investments | Total Income From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Return of capital | 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 | |||||||||||||||||||||||
2023(1) | $12.23 | $0.19 | $ 1.33 | $ 1.52 | $ — | $ — | $ — | $ — | $13.75 | 12.43% | $760,445 | 0.85%(2) | 0.85%(2) | 2.83% | 36% | ||||||||
2022 | 14.85 | 0.19 | (2.57) | (2.38) | (0.19) | (0.05) | — | (0.24) | 12.23 | (16.01) | 732,342 | 0.85(2) | 0.85(2) | 1.52 | 58 | ||||||||
2021 | 14.70 | 0.14 | 1.25 | 1.39 | (0.18) | (1.06) | — | (1.24) | 14.85 | 9.61 | 987,439 | 0.87(2) | 0.87(2) | 0.90 | 37 | ||||||||
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 | ||||||||
Investor Class | |||||||||||||||||||||||
2023(1) | $12.22 | $0.17 | $ 1.33 | $ 1.50 | $ — | $ — | $ — | $ — | $13.72 | 12.27% | $325,621 | 1.12%(2) | 1.12%(2) | 2.58% | 36% | ||||||||
2022 | 14.84 | 0.15 | (2.56) | (2.41) | (0.16) | (0.05) | — | (0.21) | 12.22 | (16.25) | 292,201 | 1.13(2) | 1.13(2) | 1.22 | 58 | ||||||||
2021 | 14.69 | 0.10 | 1.25 | 1.35 | (0.14) | (1.06) | — | (1.20) | 14.84 | 9.35 | 358,216 | 1.14(2) | 1.14(2) | 0.64 | 37 | ||||||||
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 | ||||||||
Emerging Markets Equity Fund | |||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||
2023(1) | $ 8.21 | $0.11 | $ 0.49 | $ 0.60 | $ — | $ — | $ — | $ — | $ 8.81 | 7.31% | $650,126 | 1.08%(5) | 1.08% | 2.61% | 33% | ||||||||
2022 | 10.67 | 0.21 | (2.49) | (2.28) | (0.16) | — | (0.02) | (0.18) | 8.21 | (21.38) | 613,701 | 1.10(5) | 1.10 | 2.31 | 62 | ||||||||
2021 | 12.33 | 0.11 | (0.34) | (0.23) | (0.08) | (1.35) | — | (1.43) | 10.67 | (1.85) | 714,818 | 1.04(5) | 1.04 | 0.86 | 62 | ||||||||
2020 | 10.19 | 0.07 | 2.19 | 2.26 | (0.12) | — | — | (0.12) | 12.33 | 22.15 | 685,246 | 1.11(5) | 1.11 | 0.70 | 67 | ||||||||
2019 | 8.71 | 0.18(6) | 1.57 | 1.75 | (0.27) | — | — | (0.27) | 10.19 | 20.06 | 457,074 | 1.19(5) | 1.19 | 1.92(6) | 92 | ||||||||
2018 | 11.00 | 0.13 | (2.36) | (2.23) | (0.06) | — | — | (0.06) | 8.71 | (20.26) | 359,815 | 1.30(5) | 1.21 | 1.26 | 155 | ||||||||
Investor Class | |||||||||||||||||||||||
2023(1) | $ 8.18 | $0.10 | $ 0.49 | $ 0.59 | $ — | $ — | $ — | $ — | $ 8.77 | 7.21% | $103,890 | 1.37%(5) | 1.37% | 2.30% | 33% | ||||||||
2022 | 10.63 | 0.18 | (2.48) | (2.30) | (0.13) | — | (0.02) | (0.15) | 8.18 | (21.61) | 94,276 | 1.40(5) | 1.40 | 2.00 | 62 | ||||||||
2021 | 12.29 | 0.08 | (0.34) | (0.26) | (0.05) | (1.35) | — | (1.40) | 10.63 | (2.12) | 111,425 | 1.33(5) | 1.33 | 0.60 | 62 | ||||||||
2020 | 10.20 | 0.03 | 2.17 | 2.20 | (0.11) | — | — | (0.11) | 12.29 | 21.60 | 96,362 | 1.51(5) | 1.51 | 0.30 | 67 | ||||||||
2019 | 8.72 | 0.14(6) | 1.57 | 1.71 | (0.23) | — | — | (0.23) | 10.20 | 19.64 | 75,866 | 1.57(5) | 1.57 | 1.48(6) | 92 | ||||||||
2018 | 11.00 | 0.10 | (2.35) | (2.25) | (0.03) | — | — | (0.03) | 8.72 | (20.49) | 65,354 | 1.56(5) | 1.52 | 0.96 | 155 | ||||||||
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2023, all ratios have been annualized with the exception of total return and portfolio turnover which have not been annualized. |
(2) | 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, 2020, 2021 and 2022, the effect of dividend expense on securities sold short increased the ratio by 0.19%, 0.06%, 0.00% and 0.00%. For the six months ended June 30, 2023, the effect of dividend expense on securities sold short increased 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 Emerging Markets Equity Fund includes the effect of fees paid indirectly which decreased the ratio by 0.00% for the years 2018, 2019, 2020, 2021, 2022 and for the six months ended June 30, 2023. |
(6) | 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 — 61.7% | ||||
Real Estate — 61.7% | ||||
Agree Realty Corporation REIT | 84,235 | $ 5,508,127 | ||
Alexandria Real Estate Equities, Inc. REIT | 3,007 | 341,264 | ||
American Homes 4 Rent Class A REIT | 73,840 | 2,617,628 | ||
Americold Realty Trust REIT | 66,581 | 2,150,566 | ||
AvalonBay Communities, Inc. REIT | 52,887 | 10,009,923 | ||
Boston Properties, Inc. REIT | 24,944 | 1,436,525 | ||
Camden Property Trust REIT | 11,623 | 1,265,396 | ||
Centerspace REITΔ | 17,659 | 1,083,556 | ||
CTO Realty Growth, Inc. REITΔ | 48,092 | 824,297 | ||
Digital Realty Trust, Inc. REITΔ | 69,473 | 7,910,891 | ||
EastGroup Properties, Inc. REIT | 18,865 | 3,274,964 | ||
EPR Properties REIT | 19,848 | 928,886 | ||
Equinix, Inc. REIT | 16,829 | 13,192,926 | ||
Equity LifeStyle Properties, Inc. REIT | 45,863 | 3,067,776 | ||
Essential Properties Realty Trust, Inc. REIT | 126,832 | 2,985,625 | ||
Essex Property Trust, Inc. REIT | 11,319 | 2,652,042 | ||
Extra Space Storage, Inc. REITΔ | 36,959 | 5,501,347 | ||
Highwoods Properties, Inc. REIT | 22,770 | 544,431 | ||
Invitation Homes, Inc. REIT | 79,544 | 2,736,314 | ||
Iron Mountain, Inc. REIT | 43,423 | 2,467,295 | ||
Kimco Realty Corporation REIT | 286,587 | 5,651,496 | ||
Kite Realty Group Trust REIT | 183,680 | 4,103,411 | ||
Life Storage, Inc. REIT | 15,683 | 2,085,212 | ||
Medical Properties Trust, Inc. REITΔ | 165,326 | 1,530,919 | ||
Mid-America Apartment Communities, Inc. REIT | 19,894 | 3,021,103 | ||
NETSTREIT Corporation | 121,297 | 2,167,577 | ||
NNN REIT, Inc.Δ | 78,762 | 3,370,226 | ||
Omega Healthcare Investors, Inc. REITΔ | 65,067 | 1,996,906 | ||
Park Hotels & Resorts, Inc. REITΔ | 55,990 | 717,792 | ||
Physicians Realty Trust REIT | 76,790 | 1,074,292 | ||
Postal Realty Trust, Inc. Class A REITΔ | 9,597 | 141,172 | ||
Prologis, Inc. REIT | 167,480 | 20,538,072 | ||
Public Storage REIT | 24,920 | 7,273,650 | ||
Realty Income Corporation REIT | 57,338 | 3,428,239 | ||
Ryman Hospitality Properties, Inc. REIT | 44,713 | 4,154,732 | ||
SBA Communications Corporation REIT | 2,019 | 467,923 | ||
Simon Property Group, Inc. REIT | 45,360 | 5,238,173 | ||
Spirit Realty Capital, Inc. REIT | 69,508 | 2,737,225 | ||
Sun Communities, Inc. REIT | 18,614 | 2,428,382 | ||
Terreno Realty Corporation REIT | 9,956 | 598,356 | ||
UDR, Inc. REITΔ | 59,545 | 2,558,053 | ||
Urban Edge Properties REITΔ | 91,138 | 1,406,259 | ||
Ventas, Inc. REIT | 45,480 | 2,149,840 | ||
Welltower, Inc. REIT | 137,276 | 11,104,256 | ||
WP Carey, Inc. REIT | 28,590 | 1,931,540 | ||
162,374,585 | ||||
Total Common Stocks (Cost $162,671,203) | 162,374,585 |
Shares | Value | |||
FOREIGN COMMON STOCKS — 34.8% | ||||
Australia — 3.7% | ||||
Abacus Property Group REIT | 143,967 | $ 258,498 | ||
Centuria Industrial REIT | 155,547 | 322,161 | ||
Goodman Group REIT | 43,826 | 589,146 | ||
GPT Group (The) REIT | 627,235 | 1,735,614 | ||
HomeCo Daily Needs REIT | 741,877 | 582,790 | ||
Ingenia Communities Group REITΔ | 199,289 | 530,632 | ||
Mirvac Group REIT | 690,335 | 1,042,474 | ||
Region RE, Ltd. REIT | 1,160,747 | 1,760,413 | ||
Scentre Group REIT | 1,156,437 | 2,045,174 | ||
Stockland REIT | 311,839 | 838,312 | ||
9,705,214 | ||||
Belgium — 0.4% | ||||
Aedifica SA REIT | 6,521 | 418,167 | ||
VGP NVΔ | 7,031 | 687,887 | ||
1,106,054 | ||||
Canada — 2.6% | ||||
Boardwalk REIT | 19,712 | 925,374 | ||
Canadian Apartment Properties REIT | 34,309 | 1,317,196 | ||
Chartwell Retirement Residences | 281,887 | 2,015,074 | ||
Granite REIT | 19,288 | 1,141,192 | ||
RioCan REIT | 95,268 | 1,386,501 | ||
6,785,337 | ||||
France — 1.3% | ||||
Gecina SA REIT | 7,281 | 776,726 | ||
ICADE REIT | 14,619 | 610,121 | ||
Klepierre REITΔ | 76,005 | 1,888,281 | ||
Unibail-Rodamco-Westfield REITΔ* | 3,119 | 164,510 | ||
3,439,638 | ||||
Germany — 1.7% | ||||
Aroundtown SA* | 58,636 | 67,619 | ||
LEG Immobilien SE* | 5,484 | 316,420 | ||
Sirius Real Estate, Ltd. | 432,872 | 469,209 | ||
TAG Immobilien AG* | 11,775 | 111,351 | ||
Vonovia SE | 175,228 | 3,422,140 | ||
4,386,739 | ||||
Hong Kong — 4.8% | ||||
CK Asset Holdings, Ltd. | 401,456 | 2,230,795 | ||
Hongkong Land Holdings, Ltd. | 170,719 | 667,554 | ||
Hysan Development Co., Ltd. | 137,000 | 334,804 | ||
Link REIT | 706,559 | 3,933,501 | ||
New World Development Co., Ltd.Δ | 108,933 | 269,233 | ||
Sun Hung Kai Properties, Ltd. | 8,500 | 107,394 | ||
Sun Hung Kai Properties, Ltd. (Hong Kong Exchange) | 303,619 | 3,836,108 | ||
SUNeVision Holdings, Ltd. | 502,429 | 256,890 | ||
Wharf Holdings, Ltd. (The) | 177,000 | 420,586 | ||
Wharf Real Estate Investment Co., Ltd. | 145,406 | 729,554 | ||
12,786,419 | ||||
Ireland — 0.0% | ||||
Irish Residential Properties REIT PLC | 10,667 | 11,140 |
Shares | Value | |||
Japan — 9.8% | ||||
Activia Properties, Inc. REIT | 587 | $ 1,641,506 | ||
CRE Logistics REIT, Inc. | 353 | 436,818 | ||
Hulic Reit, Inc.Δ | 542 | 605,737 | ||
Industrial & Infrastructure Fund Investment Corporation REITΔ | 1,231 | 1,295,908 | ||
Invincible Investment Corporation REIT | 1,933 | 768,406 | ||
Japan Excellent, Inc. REIT | 701 | 610,010 | ||
Japan Metropolitan Fund Invest REIT | 733 | 490,439 | ||
Japan Real Estate Investment Corporation REIT | 36 | 137,001 | ||
Keihanshin Building Co., Ltd. | 85,000 | 682,843 | ||
Kenedix Office Investment Corporation REIT | 247 | 594,367 | ||
Kenedix Residential Next Investment Corporation REIT | 366 | 595,273 | ||
Kenedix Retail REIT Corporation | 613 | 1,235,540 | ||
LaSalle Logiport REIT | 646 | 677,788 | ||
Mitsubishi Estate Co., Ltd. | 359,107 | 4,266,308 | ||
Mitsui Fudosan Co., Ltd. | 152,003 | 3,029,634 | ||
Mitsui Fudosan Logistics Park, Inc. REIT | 41 | 142,395 | ||
Mori Trust REIT, Inc. | 3,603 | 1,800,492 | ||
Nippon Building Fund, Inc. REIT | 151 | 593,759 | ||
Nippon Prologis REIT, Inc. | 1,023 | 2,056,027 | ||
NIPPON REIT Investment Corporation | 422 | 1,001,155 | ||
Orix JREIT, Inc. | 782 | 962,640 | ||
Sekisui House REIT, Inc. | 1,192 | 694,200 | ||
Sumitomo Realty & Development Co., Ltd. | 30,562 | 757,356 | ||
Takara Leben Real Estate Investment Corporation REITΔ | 442 | 296,415 | ||
TOC Co., Ltd. | 32,200 | 141,553 | ||
Tokyo Tatemono Co., Ltd. | 10,472 | 134,854 | ||
Tokyu Fudosan Holdings Corporation | 40,700 | 233,284 | ||
25,881,708 | ||||
Netherlands — 0.4% | ||||
CTP NV 144A | 35,244 | 458,495 | ||
Eurocommercial Properties NV REIT | 11,156 | 259,125 | ||
NSI NV REIT | 11,640 | 259,747 | ||
977,367 | ||||
Norway — 0.1% | ||||
Entra ASA 144A | 23,906 | 217,106 | ||
Singapore — 3.4% | ||||
CapitaLand Ascendas REIT | 960,645 | 1,938,941 | ||
CapitaLand Ascott Trust | 1 | 1 | ||
Capitaland India Trust | 33,089 | 27,949 | ||
CapitaLand Integrated Commercial Trust REIT | 117,195 | 166,082 | ||
Capitaland Investment, Ltd. | 894,815 | 2,198,511 | ||
Digital Core REIT Management Pte, Ltd.Δ | 2,194,199 | 1,045,733 | ||
Frasers Logistics & Commercial Trust REIT | 1,208,800 | 1,119,284 |
Shares | Value | |||
Mapletree Logistics Trust REIT | 1,309,032 | $ 1,574,436 | ||
Mapletree Pan Asia Commercial Trust REIT | 769,567 | 925,808 | ||
8,996,745 | ||||
Spain — 0.6% | ||||
Arima Real Estate SOCIMI SA REIT* | 22,802 | 213,981 | ||
Inmobiliaria Colonial Socimi SA REITΔ | 30,320 | 183,840 | ||
Merlin Properties Socimi SA REIT | 130,121 | 1,114,533 | ||
1,512,354 | ||||
Sweden — 1.4% | ||||
Castellum ABΔ | 143,901 | 1,377,499 | ||
Catena AB | 10,972 | 402,252 | ||
Fabege ABΔ | 106,960 | 770,576 | ||
Fastighets AB Balder, B SharesΔ* | 238,729 | 874,126 | ||
Sagax AB, B Shares | 10,092 | 199,572 | ||
Samhallsbyggnadsbolaget i Norden ABΔ | 83,662 | 32,068 | ||
Wihlborgs Fastigheter AB | 6,461 | 46,766 | ||
3,702,859 | ||||
Switzerland — 0.7% | ||||
Mobimo Holding AG | 970 | 261,662 | ||
PSP Swiss Property AG | 14,164 | 1,582,644 | ||
1,844,306 | ||||
United Kingdom — 3.9% | ||||
Big Yellow Group PLC REIT | 56,331 | 768,683 | ||
British Land Co. PLC (The) REIT | 471,001 | 1,816,351 | ||
Derwent London PLC REIT | 18,225 | 474,400 | ||
Grainger PLC | 487,611 | 1,406,972 | ||
Great Portland Estates PLC REIT | 53,526 | 282,109 | ||
Hammerson PLC REIT | 980,719 | 310,133 | ||
Life Science Reit PLC REIT | 350,659 | 302,829 | ||
PRS REIT PLC (The) | 224,217 | 228,943 | ||
Safestore Holdings PLC REIT | 41,654 | 450,867 | ||
Segro PLC REIT | 213,917 | 1,950,885 | ||
Shaftesbury Capital PLC REIT | 332,191 | 485,587 | ||
Tritax Big Box REIT PLC | 432,752 | 688,734 | ||
Tritax EuroBox PLC 144A | 342,213 | 222,501 | ||
UNITE Group PLC (The) REIT | 81,231 | 899,826 | ||
10,288,820 | ||||
Total Foreign Common Stocks (Cost $108,296,850) | 91,641,806 |
RIGHTS — 0.0% | |||
Capitaland India Trust* (Cost $—) | 3,937 | 233 | |
MONEY MARKET FUNDS — 3.7% | |||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø∞ | 7,563,999 | 7,563,999 |
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.13%ا | 2,233,818 | $ 2,233,818 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 33,677 | 33,677 | ||
Total Money Market Funds (Cost $9,831,494) | 9,831,494 | |||
TOTAL INVESTMENTS — 100.2% (Cost $280,799,547) | 263,848,118 | |||
Liabilities in Excess of Other Assets — (0.2)% | (414,073) | |||
NET ASSETS — 100.0% | $263,434,045 |
% | |
Real Estate | 95.6 |
Money Market Funds | 3.7 |
Health Care | 0.8 |
Information Technology | 0.1 |
Rights | —** |
100.2 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
E-Mini S&P MidCap 400 | 09/2023 | 20 | $5,288,200 | $80,585 |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Investments in Securities: | |||||||
Common Stocks | $162,374,585 | $162,374,585 | $ — | $ — | |||
Foreign Common Stocks: | |||||||
Canada | 6,785,337 | 6,785,337 | — | — | |||
Germany | 4,386,739 | 469,209 | 3,917,530 | — | |||
Netherlands | 977,367 | 259,747 | 717,620 | — | |||
Spain | 1,512,354 | 213,981 | 1,298,373 | — | |||
United Kingdom | 10,288,820 | 3,016,573 | 7,272,247 | — | |||
Other ^^ | 67,691,189 | — | 67,691,189 | — | |||
Total Foreign Common Stocks | 91,641,806 | 10,744,847 | 80,896,959 | — | |||
Money Market Funds | 9,831,494 | 9,831,494 | — | — | |||
Rights | 233 | 233 | — | — | |||
Total Assets - Investments in Securities | $263,848,118 | $182,951,159 | $80,896,959 | $ — | |||
Other Financial Instruments*** | |||||||
Futures Contracts | $ 80,585 | $ 80,585 | $ — | $ — | |||
Total Assets - Other Financial Instruments | $ 80,585 | $ 80,585 | $ — | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, which are valued at the unrealized appreciation (depreciation) on the investment. Further details regarding the value of these investments can be found in the preceding "Futures Contracts outstanding" disclosure. |
STATEMENTS OF ASSETS AND LIABILITIES | June 30, 2023 (Unaudited) |
Global Real Estate Securities Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $256,284,119 |
Investments in securities of affiliated issuers, at value | 7,563,999 |
Total investments, at value(1), (2) | 263,848,118 |
Deposits with broker for futures contracts | 233,413 |
Foreign currency(3) | 748,520 |
Receivables: | |
Dividends | 1,116,582 |
Reclaims | 112,045 |
Interest | 74 |
Securities lending | 3,870 |
Investment securities sold | 1,007,163 |
Fund shares sold | 22,909 |
Variation margin on futures contracts | 23,330 |
Prepaid expenses and other assets | 31,469 |
Total Assets | 267,147,493 |
Liabilities | |
Collateral held for securities on loan, at value | 2,233,818 |
Payables: | |
Investment securities purchased | 1,224,778 |
Fund shares redeemed | 30,923 |
Accrued expenses: | |
Investment advisory fees | 145,396 |
Shareholder servicing fees | 16,141 |
Trustee fees | 2,245 |
Other expenses | 60,147 |
Total Liabilities | 3,713,448 |
Net Assets | $263,434,045 |
Net Assets Consist of: | |
Paid-in-capital | $303,053,951 |
Distributable earnings (loss) | (39,619,906) |
Net Assets | $263,434,045 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $184,065,844 |
Institutional shares outstanding | 22,106,693 |
Net asset value, offering and redemption price per Institutional share | $ 8.33 |
Net assets applicable to the Investor Class | $ 79,368,201 |
Investor shares outstanding | 9,488,611 |
Net asset value, offering and redemption price per Investor share | $ 8.36 |
(1)Investments in securities of unaffiliated issuers, at cost | $273,235,548 |
Investments in securities of affiliated issuers, at cost | 7,563,999 |
Total investments, at cost | $280,799,547 |
(2)Includes securities loaned of: | $ 18,502,405 |
(3)Foreign currency, at cost | $ 747,157 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
Global Real Estate Securities Fund | |
Investment Income | |
Dividends | $ 5,430,866 |
Income distributions received from affiliated funds | 187,567 |
Interest | 74 |
Securities lending, net | 24,705 |
Less foreign taxes withheld | (180,971) |
Total Investment Income | 5,462,241 |
Expenses | |
Investment advisory fees | 869,338 |
Transfer agent fees: | |
Institutional shares | 2,464 |
Investor shares | 9,649 |
Custodian fees | 70,901 |
Shareholder servicing fees: | |
Investor shares | 101,899 |
Accounting and administration fees | 20,152 |
Professional fees | 59,220 |
Blue sky fees: | |
Institutional shares | 7,490 |
Investor shares | 7,624 |
Trustees expenses | 2,484 |
Line of credit facility fees | 497 |
Other expenses | 41,181 |
Total Expenses | 1,192,899 |
Fees paid indirectly | (21,999) |
Net Expenses | 1,170,900 |
Net Investment Income | 4,291,341 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (8,210,943) |
Futures transactions | 726,145 |
Forward foreign currency contracts | 4,782 |
Foreign currency | (82,499) |
Net realized loss | (7,562,515) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 10,155,444 |
Futures | 80,585 |
Foreign currency | (4,887) |
Net change in unrealized appreciation (depreciation) | 10,231,142 |
Net Realized and Unrealized Gain | 2,668,627 |
Net Increase in Net Assets Resulting from Operations | $ 6,959,968 |
STATEMENTS OF CHANGES IN NET ASSETS |
Global Real Estate Securities Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/23 | 12/31/22 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 4,291,341 | $ 5,969,647 | |
Net realized loss on investment securities, foreign currency and derivatives | (7,562,515) | (6,293,730) | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 10,231,142 | (83,362,596) | |
Net increase (decrease) in net assets resulting from operations | 6,959,968 | (83,686,679) | |
Distributions to Shareholders: | |||
Distributions paid | |||
Institutional shares | (4,553,390) | (5,350,565) | |
Investor shares | (1,873,475) | (2,439,747) | |
Return of capital | |||
Institutional shares | — | — | |
Investor shares | — | — | |
Total distributions | (6,426,865) | (7,790,312) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 20,121,743 | 28,461,267 | |
Investor shares | 6,113,828 | 17,225,372 | |
Reinvestment of dividends and distributions | |||
Institutional shares | 4,481,735 | 5,280,916 | |
Investor shares | 1,855,432 | 2,426,742 | |
Total proceeds from shares sold and reinvested | 32,572,738 | 53,394,297 | |
Value of shares redeemed | |||
Institutional shares | (5,299,662) | (28,603,573) | |
Investor shares | (9,284,478) | (25,635,960) | |
Total value of shares redeemed | (14,584,140) | (54,239,533) | |
Net increase (decrease) from capital share transactions(1) | 17,988,598 | (845,236) | |
Total increase (decrease) in net assets | 18,521,701 | (92,322,227) | |
Net Assets: | |||
Beginning of Period | 244,912,344 | 337,234,571 | |
End of Period | $263,434,045 | $244,912,344 |
(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 | ||||||||||||||||||||||
2023(1) | $ 8.30 | $0.15 | $ 0.09 | $ 0.24 | $(0.18) | $(0.03) | $(0.21) | $ 8.33 | 2.92% | $184,066 | 0.82%(2) | 0.84% | 3.47% | 68% | ||||||||
2022 | 11.53 | 0.22 | (3.17) | (2.95) | (0.14) | (0.14) | (0.28) | 8.30 | (25.66) | 164,351 | 0.83(2) | 0.84 | 2.30 | 102 | ||||||||
2021 | 9.47 | 0.17 | 2.63 | 2.80 | (0.40) | (0.34) | (0.74) | 11.53 | 29.97 | 218,705 | 0.79(2) | 0.80 | 1.59 | 105 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $ 8.34 | $0.13 | $ 0.09 | $ 0.22 | $(0.17) | $(0.03) | $(0.20) | $ 8.36 | 2.64% | $ 79,368 | 1.11%(2) | 1.13% | 3.12% | 68% | ||||||||
2022 | 11.58 | 0.19 | (3.18) | (2.99) | (0.11) | (0.14) | (0.25) | 8.34 | (25.88) | 80,561 | 1.12(2) | 1.13 | 1.97 | 102 | ||||||||
2021 | 9.51 | 0.14 | 2.64 | 2.78 | (0.37) | (0.34) | (0.71) | 11.58 | 29.61 | 118,530 | 1.07(2) | 1.08 | 1.31 | 105 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2023, 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 2018, 2019, 2020, 2021 and 2022 and 0.02% for the six months ended June 30, 2023. |
Par | Value | |||
CORPORATE BONDS — 15.3% | ||||
8x8, Inc. | ||||
0.50%, 02/01/24‡‡ CONV | $471,000 | $449,777 | ||
Affirm Holdings, Inc. | ||||
0.00%, 11/15/26 CONV » | 225,000 | 167,198 | ||
Air Transport Services Group, Inc. | ||||
1.13%, 10/15/24‡‡ CONV | 520,000 | 493,792 | ||
Airbnb, Inc. | ||||
0.00%, 03/15/26‡‡ CONV » | 303,000 | 264,974 | ||
American Airlines Group, Inc. | ||||
6.50%, 07/01/25 CONV | 670,000 | 861,620 | ||
Apollo Commercial Real Estate Finance, Inc. | ||||
5.38%, 10/15/23 CONV | 971,000 | 971,607 | ||
Arbor Realty Trust, Inc. | ||||
7.50%, 08/01/25 144A CONV | 403,000 | 403,403 | ||
Array Technologies, Inc. | ||||
1.00%, 12/01/28 CONV | 460,000 | 527,390 | ||
Beauty Health Co. (The) | ||||
1.25%, 10/01/26 144A ‡‡ CONV | 536,000 | 423,105 | ||
Bentley Systems, Inc. | ||||
0.38%, 07/01/27‡‡ CONV | 406,000 | 368,648 | ||
Bloom Energy Corporation | ||||
3.00%, 06/01/28 144A ‡‡ CONV | 414,000 | 472,547 | ||
Cable One, Inc. | ||||
1.13%, 03/15/28‡‡ CONV | 511,000 | 387,082 | ||
Ceridian HCM Holding, Inc. | ||||
0.25%, 03/15/26 CONV | 231,000 | 204,389 | ||
Cheesecake Factory, Inc. (The) | ||||
0.38%, 06/15/26‡‡ CONV | 635,000 | 535,781 | ||
Chegg, Inc. | ||||
0.13%, 03/15/25‡‡ CONV | 477,000 | 422,622 | ||
Coherus Biosciences, Inc. | ||||
1.50%, 04/15/26‡‡ CONV | 217,000 | 135,083 | ||
Collegium Pharmaceutical, Inc. | ||||
2.88%, 02/15/29 144A ‡‡ CONV | 445,000 | 383,429 | ||
CONMED Corporation | ||||
2.25%, 06/15/27 CONV | 510,000 | 571,710 | ||
CryoPort, Inc. | ||||
0.75%, 12/01/26 144A ‡‡ CONV | 461,000 | 368,819 | ||
Duke Energy Corporation | ||||
4.13%, 04/15/26 144A ‡‡ CONV | 530,000 | 518,870 | ||
Envestnet, Inc. | ||||
0.75%, 08/15/25‡‡ CONV | 215,000 | 198,338 | ||
2.63%, 12/01/27 144A CONV | 231,000 | 243,474 | ||
EZCORP, Inc. | ||||
3.75%, 12/15/29 144A ‡‡ CONV | 404,000 | 399,476 | ||
Five9, Inc. | ||||
0.50%, 06/01/25‡‡ CONV | 163,000 | 157,540 | ||
Granite Point Mortgage Trust, Inc. | ||||
6.38%, 10/01/23‡‡ CONV | 550,000 | 539,038 | ||
Greenbrier Cos., Inc. (The) | ||||
2.88%, 04/15/28‡‡ CONV | 504,000 | 498,708 | ||
Haemonetics Corporation | ||||
0.00%, 03/01/26‡‡ CONV » | 580,000 | 496,421 | ||
Halozyme Therapeutics, Inc. | ||||
0.25%, 03/01/27 CONV | 582,000 | 486,300 |
Par | Value | |||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | ||||
0.00%, 08/15/23 CONV » | $510,000 | $507,449 | ||
Helix Energy Solutions Group, Inc. | ||||
6.75%, 02/15/26‡‡ CONV | 250,000 | 331,500 | ||
Herbalife, Ltd. | ||||
2.63%, 03/15/24‡‡ CONV | 472,000 | 458,312 | ||
i3 Verticals LLC | ||||
1.00%, 02/15/25‡‡ CONV | 433,000 | 400,254 | ||
Illumina, Inc. | ||||
0.00%, 08/15/23 CONV » | 461,000 | 460,073 | ||
Insmed, Inc. | ||||
0.75%, 06/01/28‡‡ CONV | 669,000 | 564,469 | ||
Integer Holdings Corporation | ||||
2.13%, 02/15/28 144A ‡‡ CONV | 240,000 | 283,920 | ||
Jamf Holding Corporation | ||||
0.13%, 09/01/26‡‡ CONV | 276,000 | 237,900 | ||
Jazz Investments I, Ltd. | ||||
1.50%, 08/15/24‡‡ CONV | 373,000 | 356,079 | ||
JetBlue Airways Corporation | ||||
0.50%, 04/01/26‡‡ CONV | 597,000 | 493,274 | ||
Kaman Corporation | ||||
3.25%, 05/01/24‡‡ CONV | 265,000 | 256,520 | ||
LendingTree, Inc. | ||||
0.50%, 07/15/25‡‡ CONV | 642,000 | 500,760 | ||
Liberty Media Corporation | ||||
3.75%, 03/15/28 144A ‡‡ CONV | 593,000 | 649,335 | ||
Liberty TripAdvisor Holdings, Inc. | ||||
0.50%, 06/30/51 144A ‡‡ CONV | 577,000 | 455,541 | ||
Live Nation Entertainment, Inc. | ||||
3.13%, 01/15/29 144A ‡‡ CONV | 400,000 | 441,800 | ||
Lumentum Holdings, Inc. | ||||
0.50%, 12/15/26‡‡ CONV | 507,000 | 449,900 | ||
Lyft, Inc. | ||||
1.50%, 05/15/25 CONV | 677,000 | 609,638 | ||
Magnite, Inc. | ||||
0.25%, 03/15/26‡‡ CONV | 544,000 | 462,944 | ||
Marcus Corporation (The) | ||||
5.00%, 09/15/25 144A CONV | 125,000 | 187,250 | ||
Marriott Vacations Worldwide Corporation | ||||
3.25%, 12/15/27 144A ‡‡ CONV | 168,000 | 159,432 | ||
Mesa Laboratories, Inc. | ||||
1.38%, 08/15/25‡‡ CONV | 234,000 | 209,992 | ||
MFA Financial, Inc. | ||||
6.25%, 06/15/24‡‡ CONV | 956,000 | 952,417 | ||
Mirum Pharmaceuticals, Inc. | ||||
4.00%, 05/01/29 144A ‡‡ CONV | 405,000 | 456,232 | ||
Mitek Systems, Inc. | ||||
0.75%, 02/01/26 CONV | 377,000 | 330,774 | ||
New Mountain Finance Corporation | ||||
5.75%, 08/15/23 CONV | 506,000 | 504,760 | ||
NextGen Healthcare, Inc. | ||||
3.75%, 11/15/27 144A ‡‡ CONV | 405,000 | 394,672 | ||
NRG Energy, Inc. | ||||
2.75%, 06/01/48‡‡ CONV | 308,000 | 326,634 |
Par | Value | |||
Oak Street Health, Inc. | ||||
0.00%, 03/15/26 CONV » | $523,000 | $ 521,954 | ||
Patrick Industries, Inc. | ||||
1.75%, 12/01/28‡‡ CONV | 356,000 | 347,456 | ||
Pebblebrook Hotel Trust REIT | ||||
1.75%, 12/15/26‡‡ CONV | 625,000 | 530,703 | ||
PennyMac Corporation | ||||
5.50%, 11/01/24‡‡ CONV | 915,000 | 863,531 | ||
5.50%, 03/15/26 CONV | 250,000 | 223,125 | ||
Perficient, Inc. | ||||
0.13%, 11/15/26 CONV | 549,000 | 452,973 | ||
Progress Software Corporation | ||||
1.00%, 04/15/26 CONV | 186,000 | 204,600 | ||
Q2 Holdings, Inc. | ||||
0.75%, 06/01/26‡‡ CONV | 416,000 | 361,478 | ||
Redwood Trust, Inc. | ||||
4.75%, 08/15/23 CONV | 240,000 | 239,708 | ||
5.63%, 07/15/24‡‡ CONV | 573,000 | 549,387 | ||
Repay Holdings Corporation | ||||
0.00%, 02/01/26 144A CONV » | 240,000 | 196,944 | ||
RingCentral, Inc. | ||||
0.00%, 03/01/25 CONV » | 462,000 | 427,119 | ||
Royal Caribbean Cruises, Ltd. | ||||
6.00%, 08/15/25 144A ‡‡ CONV | 231,000 | 508,893 | ||
RWT Holdings, Inc. | ||||
5.75%, 10/01/25‡‡ CONV | 390,000 | 341,240 | ||
Sabre GLBL, Inc. | ||||
4.00%, 04/15/25‡‡ CONV | 346,000 | 273,641 | ||
Snap, Inc. | ||||
0.00%, 05/01/27 CONV » | 575,000 | 428,375 | ||
SoFi Technologies, Inc. | ||||
0.00%, 10/15/26 144A ‡‡ CONV » | 807,000 | 627,039 | ||
Spirit Airlines, Inc. | ||||
1.00%, 05/15/26‡‡ CONV | 705,000 | 573,165 | ||
Splunk, Inc. | ||||
0.50%, 09/15/23 CONV | 540,000 | 536,490 | ||
Summit Hotel Properties, Inc. REIT | ||||
1.50%, 02/15/26‡‡ CONV | 624,000 | 533,168 | ||
Sunnova Energy International, Inc. | ||||
0.25%, 12/01/26 CONV | 380,000 | 299,630 | ||
2.63%, 02/15/28 144A CONV | 321,000 | 263,586 | ||
Two Harbors Investment Corporation | ||||
6.25%, 01/15/26‡‡ CONV | 682,000 | 610,390 | ||
Upstart Holdings, Inc. | ||||
0.25%, 08/15/26 CONV | 627,000 | 431,062 | ||
Upwork, Inc. | ||||
0.25%, 08/15/26 CONV | 622,000 | 506,859 | ||
Verint Systems, Inc. | ||||
0.25%, 04/15/26 CONV | 450,000 | 398,812 | ||
Wayfair, Inc. | ||||
1.00%, 08/15/26‡‡ CONV | 421,000 | 348,404 | ||
WisdomTree, Inc. | ||||
5.75%, 08/15/28 144A ‡‡ CONV | 395,000 | 410,800 | ||
Ziff Davis, Inc. | ||||
1.75%, 11/01/26 144A ‡‡ CONV | 482,000 | 451,875 | ||
Total Corporate Bonds (Cost $36,447,155) | 35,855,379 |
Par | Value | |||
FOREIGN BONDS — 0.3% | ||||
China — 0.2% | ||||
PDD Holdings, Inc. | ||||
0.00%, 12/01/25 CONV » | $ 506,000 | $ 492,565 | ||
Jersey — 0.1% | ||||
Encore Capital Europe Finance, Ltd. | ||||
4.50%, 09/01/23‡‡ CONV | 219,000 | 243,638 | ||
Total Foreign Bonds (Cost $704,280) | 736,203 | |||
MORTGAGE-BACKED SECURITIES — 5.2% | ||||
Federal Home Loan Mortgage Corporation | ||||
6.00%, 01/01/53 | 967,158 | 978,599 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4248 | ||||
(Floating, 6.00% - ICE LIBOR USD 1M, 6.00% Cap), 0.81%, 09/15/43† IO | 212,700 | 16,831 | ||
Federal Home Loan Mortgage Corporation REMIC, Series 4468 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 0.91%, 05/15/45† IO | 212,466 | 18,998 | ||
Federal National Mortgage Association REMIC, Series 2017-31 | ||||
(Floating, 6.10% - ICE LIBOR USD 1M, 6.10% Cap), 0.95%, 05/25/47† IO | 303,600 | 32,720 | ||
Federal National Mortgage Association REMIC, Series 2018-17 | ||||
(Floating, 3.45% - ICE LIBOR USD 1M, 2.50% Cap), 0.00%, 03/25/48† IO | 1,647,801 | 25,969 | ||
Federal National Mortgage Association REMIC, Series 2018-8 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 1.00%, 02/25/48† IO | 174,140 | 17,423 | ||
Federal National Mortgage Association STRIP, Series 405 | ||||
(Floating, 5.05% - ICE LIBOR USD 1M, 5.05% Cap), 0.00%, 10/25/40† IO | 541,442 | 32,024 | ||
Government National Mortgage Association | ||||
4.00%, 05/20/48 | 992,551 | 952,691 | ||
2.50%, 06/20/51 | 210,935 | 180,741 | ||
2.50%, 09/20/51 | 959,562 | 820,189 | ||
2.50%, 10/20/51 | 413,977 | 352,625 | ||
2.50%, 11/20/51 | 589,020 | 505,091 | ||
2.50%, 12/20/51 | 553,466 | 473,333 | ||
2.50%, 01/20/52 | 165,185 | 140,704 | ||
3.50%, 07/01/53 TBA | 1,000,000 | 923,086 | ||
5.00%, 07/01/53 TBA | 1,000,000 | 982,734 | ||
5.50%, 07/01/53 TBA | 4,000,000 | 3,981,562 |
Par | Value | |||
Government National Mortgage Association, Series 2015-110 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 0.55%, 08/20/45† IO | $119,857 | $11,244 | ||
Government National Mortgage Association, Series 2018-124 | ||||
(Floating, 6.20% - ICE LIBOR USD 1M, 6.20% Cap), 1.04%, 09/20/48† IO | 355,855 | 35,520 | ||
Government National Mortgage Association, Series 2018-139 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 0.99%, 10/20/48† IO | 137,559 | 12,815 | ||
Government National Mortgage Association, Series 2018-7 | ||||
(Floating, 5.70% - ICE LIBOR USD 1M, 5.70% Cap), 0.54%, 01/20/48† IO | 299,691 | 24,501 | ||
Government National Mortgage Association, Series 2019-1 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.89%, 01/20/49† IO | 157,866 | 13,009 | ||
Government National Mortgage Association, Series 2019-110 | ||||
0.94%, 09/20/49† IO | 598,297 | 47,794 | ||
Government National Mortgage Association, Series 2019-111 | ||||
(Floating, 6.15% - ICE LIBOR USD 1M, 6.15% Cap), 0.99%, 01/20/49† IO | 447,401 | 40,180 | ||
Government National Mortgage Association, Series 2019-151 | ||||
3.50%, 10/20/49 IO | 667,964 | 96,604 | ||
3.50%, 12/20/49 IO | 391,477 | 62,301 | ||
Government National Mortgage Association, Series 2019-20 | ||||
(Floating, 3.79% - ICE LIBOR USD 1M, 3.79% Cap), 0.00%, 02/20/49† IO | 352,120 | 7,109 | ||
Government National Mortgage Association, Series 2019-6 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.90%, 01/20/49† IO | 132,790 | 11,053 | ||
Government National Mortgage Association, Series 2020-146 | ||||
2.50%, 10/20/50 IO | 307,446 | 40,225 | ||
Government National Mortgage Association, Series 2020-21 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.90%, 02/20/50† IO | 309,056 | 32,767 | ||
Government National Mortgage Association, Series 2020-55 | ||||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.90%, 04/20/50† IO | 506,897 | 51,750 | ||
3.50%, 04/20/50 IO | 285,872 | 46,390 |
Par | Value | |||
Government National Mortgage Association, Series 2020-61 | ||||
(Floating, 6.44% - ICE LIBOR USD 1M, 6.44% Cap), 1.28%, 07/20/43† IO | $ 476,563 | $ 41,423 | ||
(Floating, 6.05% - ICE LIBOR USD 1M, 6.05% Cap), 0.89%, 08/20/49† IO | 668,651 | 62,245 | ||
Government National Mortgage Association, Series 2020-78 | ||||
4.00%, 06/20/50 IO | 536,946 | 99,114 | ||
Government National Mortgage Association, Series 2020-79 | ||||
4.00%, 06/20/50 IO | 140,844 | 23,198 | ||
Uniform Mortgage Backed Securities | ||||
4.50%, 07/01/53 TBA | 1,000,000 | 961,484 | ||
Total Mortgage-Backed Securities (Cost $12,971,424) | 12,156,046 |
Number of Contracts | Notional Amount | |||
PURCHASED OPTION — 0.0% | ||||
Call Swaption — 0.0% | ||||
Pay 6-Month EURIBOR (Semiannually); Receive 1.977% (Annually); Interest Rate Swap Maturing 12/05/2033 EUR, Strike Price $1.98, Expires 12/01/23 (CITI) | 1 | $2,220,000 | 5,386 | |
Total Purchased Options (Premiums paid $50,499) | 5,386 |
Par | |||
U.S. TREASURY OBLIGATIONS — 19.0% | |||
U.S. Treasury Bills | |||
4.40%, 07/06/23Ω | $4,300,000 | 4,298,229 | |
4.70%, 07/13/23Ω | 7,760,000 | 7,749,219 | |
4.94%, 07/27/23Ω | 3,300,000 | 3,288,975 | |
4.87%, 08/10/23Ω | 5,480,000 | 5,450,340 | |
5.04%, 08/17/23Ω | 5,300,000 | 5,265,835 | |
5.14%, 08/24/23Ω | 4,300,000 | 4,267,858 | |
5.15%, 08/31/23Ω | 4,500,000 | 4,461,969 | |
5.06%, 09/07/23Ω | 9,810,000 | 9,717,737 | |
Total U.S. Treasury Obligations (Cost $44,487,448) | 44,500,162 |
Shares | |||
COMMON STOCKS — 7.7% | |||
Communication Services — 0.0% | |||
Escrow NII Holdings, Inc.††† * | 76,167 | 19,803 | |
Consumer Discretionary — 1.7% | |||
AutoZone, Inc.* | 64 | 159,575 |
Shares | Value | |||
Best Buy Co., Inc. | 4,150 | $ 340,093 | ||
Chewy, Inc. Class A* | 3,798 | 149,907 | ||
Dick's Sporting Goods, Inc. | 2,161 | 285,663 | ||
eBay, Inc. | 4,358 | 194,759 | ||
Etsy, Inc.* | 1,286 | 108,808 | ||
Genuine Parts Co. | 1,041 | 176,168 | ||
Home Depot, Inc. (The) | 311 | 96,609 | ||
Lowe’s Cos., Inc. | 2,812 | 634,668 | ||
Macy’s, Inc. | 10,285 | 165,074 | ||
MercadoLibre, Inc.* | 22 | 26,061 | ||
Murphy U.S.A., Inc. | 660 | 205,333 | ||
O’Reilly Automotive, Inc.* | 295 | 281,814 | ||
Penske Automotive Group, Inc. | 694 | 115,641 | ||
Pool Corporation | 101 | 37,839 | ||
TJX Cos., Inc. (The) | 305 | 25,861 | ||
Tractor Supply Co. | 431 | 95,294 | ||
Ulta Beauty, Inc.* | 567 | 266,827 | ||
Victoria's Secret & Co.* | 5,162 | 89,974 | ||
Williams-Sonoma, Inc. | 2,885 | 361,029 | ||
3,816,997 | ||||
Consumer Staples — 1.1% | ||||
Casey’s General Stores, Inc. | 770 | 187,788 | ||
Church & Dwight Co., Inc. | 1,011 | 101,332 | ||
Colgate-Palmolive Co. | 5,740 | 442,209 | ||
Costco Wholesale Corporation | 111 | 59,760 | ||
Energizer Holdings, Inc. | 446 | 14,977 | ||
Kimberly-Clark Corporation | 1,181 | 163,049 | ||
Kroger Co. (The) | 9,124 | 428,828 | ||
Sprouts Farmers Market, Inc.* | 6,275 | 230,481 | ||
Sysco Corporation | 1,629 | 120,872 | ||
U.S. Foods Holding Corporation* | 2,808 | 123,552 | ||
Walmart, Inc. | 4,784 | 751,949 | ||
2,624,797 | ||||
Financials — 1.4% | ||||
Aflac, Inc. | 2,924 | 204,095 | ||
American Financial Group, Inc. | 1,796 | 213,275 | ||
American International Group, Inc. | 1,945 | 111,915 | ||
Arch Capital Group, Ltd.* | 1,552 | 116,167 | ||
Axis Capital Holdings, Ltd. | 660 | 35,528 | ||
Brighthouse Financial, Inc.* | 539 | 25,522 | ||
CNA Financial Corporation | 1,688 | 65,191 | ||
CNO Financial Group, Inc. | 5,036 | 119,202 | ||
Erie Indemnity Co. Class A | 1,002 | 210,430 | ||
Fidelity National Financial, Inc. | 4,425 | 159,300 | ||
Hartford Financial Services Group, Inc. (The) | 1,867 | 134,461 | ||
Loews Corporation | 2,038 | 121,016 | ||
Marsh & McLennan Cos., Inc. | 719 | 135,230 | ||
Old Republic International Corporation | 7,381 | 185,780 | ||
Primerica, Inc. | 1,119 | 221,294 | ||
Principal Financial Group, Inc. | 2,404 | 182,319 | ||
Reinsurance Group of America, Inc. | 246 | 34,118 | ||
RLI Corporation | 2,996 | 408,864 | ||
Selective Insurance Group, Inc. | 231 | 22,165 |
Shares | Value | |||
Travelers Cos., Inc. (The) | 655 | $ 113,747 | ||
Unum Group | 4,133 | 197,144 | ||
W.R. Berkley Corporation | 5,279 | 314,417 | ||
3,331,180 | ||||
Information Technology — 1.6% | ||||
Amphenol Corporation Class A | 1,020 | 86,649 | ||
Apple, Inc. | 4,027 | 781,117 | ||
Arista Networks, Inc.* | 950 | 153,957 | ||
Arrow Electronics, Inc.* | 619 | 88,659 | ||
Belden, Inc. | 1,393 | 133,241 | ||
Calix, Inc.* | 1,206 | 60,192 | ||
CDW Corporation | 749 | 137,442 | ||
Cisco Systems, Inc. | 12,919 | 668,429 | ||
Cognex Corporation | 745 | 41,735 | ||
F5, Inc.* | 1,417 | 207,250 | ||
IPG Photonics Corporation | 311 | 42,240 | ||
Keysight Technologies, Inc.* | 2,647 | 443,240 | ||
Littelfuse, Inc. | 152 | 44,279 | ||
NetApp, Inc. | 2,745 | 209,718 | ||
Pure Storage, Inc. Class A* | 3,635 | 133,841 | ||
Super Micro Computer, Inc.* | 433 | 107,925 | ||
Trimble, Inc.* | 2,004 | 106,092 | ||
Vishay Intertechnology, Inc. | 7,845 | 230,643 | ||
Vontier Corporation | 1,334 | 42,968 | ||
3,719,617 | ||||
Materials — 1.8% | ||||
Albemarle Corporation | 287 | 64,027 | ||
AptarGroup, Inc. | 562 | 65,113 | ||
Cabot Corporation | 1,413 | 94,516 | ||
CF Industries Holdings, Inc. | 1,913 | 132,800 | ||
Commercial Metals Co. | 2,595 | 136,653 | ||
Eastman Chemical Co. | 962 | 80,539 | ||
Element Solutions, Inc. | 8,361 | 160,531 | ||
FMC Corporation‡‡ | 270 | 28,172 | ||
Graphic Packaging Holding Co. | 30,554 | 734,213 | ||
Greif, Inc. Class A | 252 | 17,360 | ||
Huntsman Corporation | 3,260 | 88,085 | ||
Ingevity Corporation* | 1,659 | 96,487 | ||
Louisiana-Pacific Corporation | 270 | 20,245 | ||
Mosaic Co. (The) | 19,614 | 686,490 | ||
NewMarket Corporation | 297 | 119,430 | ||
Nucor Corporation | 624 | 102,324 | ||
Packaging Corporation of America | 327 | 43,216 | ||
Reliance Steel & Aluminum Co. | 1,561 | 423,952 | ||
RPM International, Inc. | 1,537 | 137,915 | ||
Sherwin-Williams Co. (The) | 698 | 185,333 | ||
Silgan Holdings, Inc. | 791 | 37,090 | ||
Steel Dynamics, Inc. | 5,464 | 595,193 | ||
Westlake Corporation | 1,052 | 125,682 | ||
Westrock Co. | 2,009 | 58,402 | ||
4,233,768 |
Shares | Value | |||
Real Estate — 0.1% | ||||
Jones Lang LaSalle, Inc.* | 878 | $ 136,792 | ||
Total Common Stocks (Cost $15,924,273) | 17,882,954 | |||
FOREIGN COMMON STOCKS — 0.3% | ||||
Ireland — 0.1% | ||||
Aon PLC Class A | 264 | 91,133 | ||
Willis Towers Watson PLC | 207 | 48,748 | ||
139,881 | ||||
Jersey — 0.0% | ||||
Amcor PLC | 2,344 | 23,393 | ||
Netherlands — 0.1% | ||||
LyondellBasell Industries NV Class A | 1,536 | 141,051 | ||
Switzerland — 0.1% | ||||
Chubb, Ltd. | 489 | 94,162 | ||
TE Connectivity, Ltd. | 1,392 | 195,103 | ||
289,265 | ||||
Total Foreign Common Stocks (Cost $545,753) | 593,590 | |||
PREFERRED STOCKS — 0.7% | ||||
Fluor Corporation | ||||
6.50% CONV | 226 | 308,637 | ||
Lyondellbasell Advanced Polymers, Inc. | ||||
6.00% CONV | 12 | 10,140 | ||
NCR Corporation | ||||
PIK, 5.50% CONV 1 | 250 | 276,675 | ||
New York Community Capital Trust V | ||||
6.00% CONV | 10,163 | 411,093 | ||
New York Mortgage Trust, Inc. | ||||
(Variable, U.S. SOFR + 6.13%), 6.88% † | 1,598 | 29,419 | ||
Ready Capital Corporation | ||||
7.00% CONV | 19,725 | 495,492 | ||
Total Preferred Stocks (Cost $1,675,720) | 1,531,456 | |||
MUTUAL FUNDS — 0.1% | ||||
ProShares Short 20+ Year Treasury (Cost $191,704) | 9,591 | 208,029 | ||
MONEY MARKET FUNDS — 48.6% | ||||
GuideStone Money Market Fund, 4.99% (Institutional Class)Ø ∞ | 9,121,068 | 9,121,068 | ||
Northern Institutional U.S. Government Portfolio (Shares), 4.91%Ø | 363 | 363 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 4.95%Ø | 104,342,594 | 104,342,594 | ||
Total Money Market Funds (Cost $113,464,025) | 113,464,025 | |||
TOTAL INVESTMENTS —97.2% (Cost $226,462,281) | 226,933,230 | |||
COMMON STOCKS SOLD SHORT — (3.5)% | ||||
Communication Services — (0.4)% | ||||
Cable One, Inc. | (44) | (28,912) |
Shares | Value | |||
Liberty Media Corporation Class A * | (10,777) | $ (353,594) | ||
Live Nation Entertainment, Inc. * | (2,639) | (240,439) | ||
Magnite, Inc. * | (859) | (11,725) | ||
Marcus Corporation (The) | (10,300) | (152,749) | ||
Snap, Inc. Class A * | (657) | (7,779) | ||
TripAdvisor, Inc. * | (821) | (13,538) | ||
Ziff Davis, Inc. * | (2,272) | (159,176) | ||
(967,912) | ||||
Consumer Discretionary — (0.4)% | ||||
Airbnb, Inc. Class A * | (212) | (27,170) | ||
Cheesecake Factory, Inc. (The) | (2,882) | (99,659) | ||
Marriott Vacations Worldwide Corporation | (460) | (56,451) | ||
Patrick Industries, Inc. | (2,444) | (195,520) | ||
Royal Caribbean Cruises, Ltd. * | (4,359) | (452,203) | ||
Sabre Corporation * | (33,798) | (107,816) | ||
Wayfair, Inc. Class A * | (1,240) | (80,612) | ||
(1,019,431) | ||||
Consumer Staples — (0.0)% | ||||
Beauty Health Co. (The) * | (3,797) | (31,781) | ||
Energy — (0.1)% | ||||
Helix Energy Solutions Group, Inc. * | (23,300) | (171,954) | ||
Financials — (0.3)% | ||||
Encore Capital Group, Inc. * | (3,769) | (183,249) | ||
EZCORP, Inc. Class A * | (27,989) | (234,548) | ||
I3 Verticals, Inc. Class A * | (3,065) | (70,066) | ||
New York Community Bancorp, Inc. | (1,473) | (16,556) | ||
SoFi Technologies, Inc. * | (13,187) | (109,980) | ||
WisdomTree, Inc. | (23,035) | (158,020) | ||
(772,419) | ||||
Health Care — (0.7)% | ||||
Coherus Biosciences, Inc. * | (3,385) | (14,454) | ||
Collegium Pharmaceutical, Inc. * | (7,890) | (169,556) | ||
CONMED Corporation | (2,474) | (336,192) | ||
CryoPort, Inc. * | (461) | (7,952) | ||
Haemonetics Corporation * | (904) | (76,967) | ||
Halozyme Therapeutics, Inc. * | (3,026) | (109,148) | ||
Insmed, Inc. * | (14,216) | (299,958) | ||
Integer Holdings Corporation * | (2,136) | (189,271) | ||
Mesa Laboratories, Inc. | (172) | (22,102) | ||
Mirum Pharmaceuticals, Inc. * | (9,736) | (251,870) | ||
NextGen Healthcare, Inc. * | (8,869) | (143,855) | ||
(1,621,325) | ||||
Industrials — (0.8)% | ||||
Air Transport Services Group, Inc. * | (3,535) | (66,705) | ||
American Airlines Group, Inc. * | (24,809) | (445,073) | ||
Array Technologies, Inc. * | (15,523) | (350,820) | ||
Bloom Energy Corporation Class A * | (16,034) | (262,156) | ||
Fluor Corporation * | (9,145) | (270,692) | ||
Greenbrier Cos., Inc. (The) | (5,443) | (234,593) | ||
JetBlue Airways Corporation * | (5,393) | (47,782) | ||
Spirit Airlines, Inc. | (5,024) | (86,212) | ||
Upwork, Inc. * | (949) | (8,864) | ||
(1,772,897) |
Shares | Value | |||
Information Technology — (0.5)% | ||||
Bentley Systems, Inc. Class B | (2,716) | $ (147,289) | ||
Ceridian HCM Holding, Inc. * | (585) | (39,177) | ||
Envestnet, Inc. * | (2,689) | (159,592) | ||
Five9, Inc. * | (460) | (37,927) | ||
Jamf Holding Corporation * | (1,940) | (37,869) | ||
Lumentum Holdings, Inc. * | (1,910) | (108,354) | ||
Mitek Systems, Inc. * | (7,238) | (78,460) | ||
NCR Corporation * | (4,580) | (115,416) | ||
Perficient, Inc. * | (878) | (73,164) | ||
Progress Software Corporation | (2,341) | (136,012) | ||
Q2 Holdings, Inc. * | (1,165) | (35,999) | ||
Verint Systems, Inc. * | (2,573) | (90,209) | ||
(1,059,468) | ||||
Real Estate — (0.1)% | ||||
Pebblebrook Hotel Trust REIT | (10,903) | (151,988) | ||
Summit Hotel Properties, Inc. REIT | (18,343) | (119,413) | ||
(271,401) | ||||
Utilities — (0.2)% | ||||
Duke Energy Corporation | (1,170) | (104,996) | ||
NRG Energy, Inc. | (4,105) | (153,486) | ||
Sunnova Energy International, Inc. * | (12,149) | (222,448) | ||
(480,930) | ||||
Total Common Stocks Sold Short (Proceeds $(7,920,085)) | (8,169,518) | |||
FOREIGN COMMON STOCKS SOLD SHORT — (0.0)% | ||||
Ireland — (0.0)% | ||||
Jazz Pharmaceuticals PLC * (Proceeds $(22,461)) | (165) | (20,455) | ||
RIGHTS SOLD SHORT — 0.0% | ||||
Ligand Pharmaceuticals, Inc. * (Proceeds $—) | (58) | — | ||
TOTAL SECURITIES SOLD SHORT —(3.5)% (Proceeds $(7,942,546)) | (8,189,973) |
Number of Contracts | Notional Amount | |||
WRITTEN OPTIONS — (0.3)% | ||||
Call Swaptions — (0.0)% | ||||
Pay 1.484% (Annually); Receive 6-Month EURIBOR (Semiannually); Interest Rate Swap Maturing 12/05/2053 EUR, Strike Price $1.48, Expires 12/01/23 (CITI) | (1) | $(900,000) | (3,063) |
Number of Contracts | Notional Amount | Value | |||
Pay 3.025% (Annually); Receive 1-Day SOFR (Annually); Interest Rate Swap Maturing 05/14/2025 USD, Strike Price $3.03, Expires 05/10/24 (BOA) | (1) | $(37,800,000) | $ (65,386) | ||
(68,449) | |||||
Put Swaption — (0.3)% | |||||
Pay 1-Day SOFR (Annually); Receive 3.025% (Annually); Interest Rate Swap Maturing 05/14/2025 USD, Strike Price $3.03, Expires 05/10/24 (BOA) | (1) | (37,800,000) | (545,326) | ||
Total Written Options (Premiums received $ (520,273)) | (613,775) | ||||
Other Assets in Excess of Liabilities — 6.6% | 15,511,554 | ||||
NET ASSETS — 100.0% | $233,641,036 |
% | |
Money Market Funds | 48.6 |
U.S. Treasury Obligations | 19.0 |
Corporate Bonds | 15.3 |
Mortgage-Backed Securities | 5.2 |
Financials | 1.9 |
Materials | 1.9 |
Information Technology | 1.8 |
Consumer Discretionary | 1.7 |
Consumer Staples | 1.1 |
Foreign Bonds | 0.3 |
Industrials | 0.2 |
Mutual Funds | 0.1 |
Real Estate | 0.1 |
Foreign Common Stocks Sold Short | —** |
Rights Sold Short | — |
Purchased Option | —** |
Communication Services | —** |
Written Options | (0.3) |
Common Stocks Sold Short | (3.5) |
93.4 | |
**Rounds to less than 0.05% |
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Brazilian Reals/U.S. Dollars | 07/2023 | 1 | $ 20,750 | $ (185) | ||||
30-Year Euro-Buxl | 09/2023 | (1) | (152,332) | 758 | ||||
Euro-Bobl | 09/2023 | (57) | (7,196,978) | 47,600 | ||||
Euro-BTP | 09/2023 | (1) | (126,699) | (485) | ||||
Euro-Bund | 09/2023 | (3) | (437,811) | (2,790) | ||||
Euro-OAT | 09/2023 | 1 | 140,110 | (976) | ||||
3-Month Euribor | 09/2023 | (7) | (1,834,935) | 2,754 | ||||
Australian Dollars/U.S. Dollars | 09/2023 | (164) | (10,951,920) | 208,354 | ||||
British Pounds/U.S. Dollars | 09/2023 | (39) | (3,095,381) | (13,896) | ||||
Mexican Pesos/U.S. Dollars | 09/2023 | (1) | (28,740) | (190) | ||||
New Zealand Dollars/U.S. Dollars | 09/2023 | (4) | (245,460) | 925 | ||||
South African Rand/U.S. Dollars | 09/2023 | 2 | 52,700 | (745) | ||||
Swiss Francs/U.S. Dollars | 09/2023 | (1) | (140,794) | (1,166) | ||||
U.S. Dollars/Norwegian Kroner | 09/2023 | 1 | 99,706 | 828 | ||||
U.S. Dollars/Swedish Kronor | 09/2023 | 1 | 99,665 | 1,013 | ||||
10-Year Bond | 09/2023 | (4) | (369,972) | 1,757 | ||||
10-Year U.S. Treasury Note | 09/2023 | (40) | (4,490,625) | 36,210 | ||||
Canadian Dollars/U.S. Dollars | 09/2023 | (8) | (605,040) | (2,556) | ||||
Euro/U.S. Dollars | 09/2023 | (87) | (11,911,387) | (110,644) | ||||
Japanese Yen/U.S. Dollars | 09/2023 | (70) | (6,135,937) | 212,005 | ||||
U.S. Treasury Long Bond | 09/2023 | (9) | (1,142,156) | (866) | ||||
Ultra 10-Year U.S. Treasury Note | 09/2023 | (11) | (1,302,813) | 12,255 | ||||
Ultra Long U.S. Treasury Bond | 09/2023 | (67) | (9,126,656) | (25,322) | ||||
Long GILT | 09/2023 | (4) | (484,124) | 3,297 | ||||
2-Year U.S. Treasury Note | 09/2023 | (8) | (1,626,750) | 6,759 | ||||
5-Year U.S. Treasury Note | 09/2023 | (29) | (3,105,719) | 673 | ||||
3-Month SONIA Index | 12/2023 | (144) | (42,999,664) | 276,418 | ||||
3-Month SONIA Index | 09/2024 | 19 | 5,664,216 | (16,283) | ||||
3-Month SONIA Index | 12/2024 | 163 | 48,701,695 | (481,923) | ||||
Total Futures Contracts outstanding at June 30, 2023 | $(52,733,051) | $ 153,579 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
08/16/23 | Mexican Pesos | 56,969,242 | U.S. Dollars | 3,171,550 | MSCS | $125,592 | ||||||
08/29/23 | Canadian Dollars | 3,970,263 | U.S. Dollars | 2,946,371 | MSCS | 53,540 | ||||||
08/08/23 | British Pounds | 1,914,000 | U.S. Dollars | 2,389,035 | MSCS | 42,334 | ||||||
08/17/23 | U.S. Dollars | 4,597,338 | Swedish Kronor | 49,132,564 | MSCS | 31,189 | ||||||
08/30/23 | Australian Dollars | 6,698,809 | U.S. Dollars | 4,447,538 | MSCS | 22,849 | ||||||
09/20/23 | U.S. Dollars | 739,536 | Chinese Offshore Yuan | 5,240,529 | MSCS | 13,552 | ||||||
09/20/23 | Euro | 709,450 | U.S. Dollars | 764,358 | MSCS | 13,030 | ||||||
08/31/23 | U.S. Dollars | 385,419 | Japanese Yen | 53,353,313 | MSCS | 12,011 | ||||||
09/20/23 | U.S. Dollars | 2,272,918 | British Pounds | 1,780,563 | MSCS | 11,160 | ||||||
09/20/23 | U.S. Dollars | 177,000 | Turkish Lira | 4,495,582 | MSCS | 10,732 | ||||||
09/20/23 | New Zealand Dollars | 2,203,094 | U.S. Dollars | 1,341,634 | MSCS | 9,931 | ||||||
09/20/23 | Swiss Francs | 911,751 | U.S. Dollars | 1,017,849 | MSCS | 9,822 | ||||||
09/20/23 | U.S. Dollars | 375,479 | South Korean Won | 481,823,741 | MSCS | 8,145 | ||||||
09/19/23 | U.S. Dollars | 1,224,622 | Euro | 1,111,584 | MSCS | 6,653 | ||||||
08/24/23 | Czech Republic Koruna | 10,052,115 | U.S. Dollars | 454,295 | MSCS | 5,970 |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/20/23 | Canadian Dollars | 891,152 | U.S. Dollars | 667,605 | MSCS | $ 5,967 | ||||||
09/20/23 | British Pounds | 360,719 | U.S. Dollars | 453,102 | MSCS | 5,101 | ||||||
09/20/23 | U.S. Dollars | 100,723 | Israeli Shekels | 359,477 | MSCS | 3,431 | ||||||
07/13/23 | U.S. Dollars | 235,633 | Chilean Pesos | 186,538,435 | MSCS | 3,420 | ||||||
09/05/23 | South African Rand | 1,974,033 | U.S. Dollars | 100,909 | MSCS | 3,250 | ||||||
09/20/23 | U.S. Dollars | 121,165 | South African Rand | 2,246,967 | MSCS | 2,786 | ||||||
09/20/23 | U.S. Dollars | 252,000 | Australian Dollars | 373,758 | MSCS | 2,438 | ||||||
09/20/23 | Mexican Pesos | 2,247,896 | U.S. Dollars | 127,000 | MSCS | 2,261 | ||||||
09/20/23 | Japanese Yen | 117,602,884 | U.S. Dollars | 823,692 | MSCS | 2,026 | ||||||
09/20/23 | U.S. Dollars | 126,000 | Japanese Yen | 17,658,508 | MSCS | 2,015 | ||||||
09/20/23 | New Zealand Dollars | 204,500 | Australian Dollars | 185,000 | MSCS | 1,931 | ||||||
09/20/23 | U.S. Dollars | 729,326 | Euro | 664,093 | MSCS | 1,639 | ||||||
09/20/23 | Euro | 116,000 | Swedish Kronor | 1,349,484 | MSCS | 1,484 | ||||||
09/11/23 | Swiss Francs | 155,313 | U.S. Dollars | 173,650 | MSCS | 1,240 | ||||||
09/20/23 | U.S. Dollars | 796,830 | Swedish Kronor | 8,546,471 | MSCS | 1,232 | ||||||
09/20/23 | Norwegian Kroner | 1,227,664 | U.S. Dollars | 113,671 | MSCS | 1,036 | ||||||
09/20/23 | South African Rand | 1,681,536 | U.S. Dollars | 87,674 | MSCS | 916 | ||||||
09/20/23 | Polish Zloty | 124,657 | U.S. Dollars | 29,707 | MSCS | 827 | ||||||
09/20/23 | Swedish Kronor | 1,570,752 | U.S. Dollars | 145,562 | MSCS | 660 | ||||||
09/20/23 | Canadian Dollars | 375,886 | Euro | 258,739 | MSCS | 595 | ||||||
09/20/23 | Euro | 115,000 | New Zealand Dollars | 204,654 | MSCS | 460 | ||||||
09/20/23 | Czech Republic Koruna | 813,157 | U.S. Dollars | 36,735 | MSCS | 456 | ||||||
09/01/23 | Israeli Shekels | 422,582 | U.S. Dollars | 113,903 | MSCS | 369 | ||||||
09/26/23 | Polish Zloty | 380,943 | U.S. Dollars | 92,967 | MSCS | 315 | ||||||
09/20/23 | U.S. Dollars | 126,000 | Swiss Francs | 111,542 | MSCS | 277 | ||||||
09/20/23 | Polish Zloty | 516,242 | Czech Republic Koruna | 2,760,502 | MSCS | 194 | ||||||
09/20/23 | U.S. Dollars | 100,650 | New Zealand Dollars | 164,000 | MSCS | 39 | ||||||
Subtotal Appreciation | $422,875 | |||||||||||
08/23/23 | U.S. Dollars | 82,167 | Norwegian Kroner | 880,314 | MSCS | $ (13) | ||||||
09/20/23 | British Pounds | 102,637 | Euro | 119,000 | MSCS | (21) | ||||||
09/20/23 | Euro | 116,000 | Czech Republic Koruna | 2,780,671 | MSCS | (70) | ||||||
07/13/23 | U.S. Dollars | 237,495 | Taiwan Dollars | 7,408,181 | MSCS | (340) | ||||||
09/20/23 | Swiss Francs | 218,979 | U.S. Dollars | 247,165 | MSCS | (345) | ||||||
09/20/23 | Euro | 232,983 | Swedish Kronor | 2,746,267 | MSCS | (359) | ||||||
09/01/23 | U.S. Dollars | 82,469 | Israeli Shekels | 306,626 | MSCS | (446) | ||||||
09/13/23 | South Korean Won | 46,590,617 | U.S. Dollars | 35,962 | MSCS | (457) | ||||||
09/26/23 | U.S. Dollars | 154,168 | Polish Zloty | 631,719 | MSCS | (523) | ||||||
09/11/23 | U.S. Dollars | 74,034 | Swiss Francs | 66,216 | MSCS | (529) | ||||||
07/13/23 | U.S. Dollars | 126,000 | Chilean Pesos | 101,675,700 | MSCS | (571) | ||||||
08/17/23 | U.S. Dollars | 76,242 | Swedish Kronor | 826,690 | MSCS | (587) | ||||||
09/20/23 | Polish Zloty | 511,321 | U.S. Dollars | 126,000 | MSCS | (756) | ||||||
09/20/23 | New Zealand Dollars | 371,350 | Euro | 208,703 | MSCS | (871) | ||||||
07/13/23 | Chilean Pesos | 101,690,704 | U.S. Dollars | 127,608 | MSCS | (1,018) | ||||||
09/20/23 | Euro | 300,000 | British Pounds | 259,703 | MSCS | (1,159) | ||||||
09/15/23 | New Zealand Dollars | 293,088 | U.S. Dollars | 181,220 | MSCS | (1,411) | ||||||
09/20/23 | Israeli Shekels | 274,922 | U.S. Dollars | 76,000 | MSCS | (1,593) | ||||||
09/20/23 | Euro | 317,612 | U.S. Dollars | 349,984 | MSCS | (1,957) | ||||||
09/20/23 | Singapore Dollars | 950,894 | U.S. Dollars | 707,339 | MSCS | (1,988) | ||||||
09/20/23 | South African Rand | 3,634,374 | U.S. Dollars | 193,541 | MSCS | (2,067) | ||||||
09/20/23 | U.S. Dollars | 203,200 | Swiss Francs | 182,291 | MSCS | (2,267) | ||||||
09/20/23 | Norwegian Kroner | 6,199,615 | Euro | 530,844 | MSCS | (2,420) | ||||||
09/20/23 | U.S. Dollars | 183,584 | South African Rand | 3,540,072 | MSCS | (2,921) | ||||||
09/20/23 | Turkish Lira | 3,321,360 | U.S. Dollars | 126,000 | MSCS | (3,160) | ||||||
09/20/23 | U.S. Dollars | 257,624 | Mexican Pesos | 4,538,323 | MSCS | (3,344) | ||||||
07/17/23 | South Korean Won | 133,546,147 | U.S. Dollars | 104,791 | MSCS | (3,357) |
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
09/19/23 | Euro | 600,629 | U.S. Dollars | 661,707 | MSCS | $ (3,595) | ||||||
07/13/23 | Taiwan Dollars | 7,795,200 | U.S. Dollars | 254,081 | MSCS | (3,821) | ||||||
09/20/23 | Canadian Dollars | 748,061 | U.S. Dollars | 569,416 | MSCS | (3,998) | ||||||
09/20/23 | Swedish Kronor | 7,789,402 | U.S. Dollars | 729,932 | MSCS | (4,810) | ||||||
09/20/23 | U.S. Dollars | 2,024,809 | Swedish Kronor | 21,814,481 | MSCS | (5,920) | ||||||
08/24/23 | U.S. Dollars | 454,318 | Czech Republic Koruna | 10,052,115 | MSCS | (5,947) | ||||||
09/20/23 | Swedish Kronor | 7,528,752 | Euro | 646,982 | MSCS | (8,080) | ||||||
09/20/23 | U.S. Dollars | 1,614,513 | Canadian Dollars | 2,148,636 | MSCS | (9,521) | ||||||
09/20/23 | U.S. Dollars | 861,242 | British Pounds | 687,284 | MSCS | (11,779) | ||||||
09/20/23 | Australian Dollars | 3,111,892 | U.S. Dollars | 2,090,199 | MSCS | (12,357) | ||||||
09/20/23 | British Pounds | 1,331,303 | U.S. Dollars | 1,703,502 | MSCS | (12,417) | ||||||
09/20/23 | U.S. Dollars | 2,914,462 | New Zealand Dollars | 4,771,252 | MSCS | (12,629) | ||||||
09/20/23 | Chinese Offshore Yuan | 7,111,952 | U.S. Dollars | 998,158 | MSCS | (12,920) | ||||||
09/20/23 | U.S. Dollars | 697,292 | Norwegian Kroner | 7,640,614 | MSCS | (16,605) | ||||||
08/31/23 | Japanese Yen | 69,671,535 | U.S. Dollars | 506,169 | MSCS | (18,553) | ||||||
08/30/23 | U.S. Dollars | 4,453,547 | Australian Dollars | 6,707,872 | MSCS | (22,889) | ||||||
08/08/23 | U.S. Dollars | 1,557,711 | British Pounds | 1,246,091 | MSCS | (25,209) | ||||||
09/20/23 | U.S. Dollars | 2,131,544 | Euro | 1,970,820 | MSCS | (28,004) | ||||||
08/17/23 | Swedish Kronor | 49,247,021 | U.S. Dollars | 4,607,713 | MSCS | (30,927) | ||||||
09/20/23 | Japanese Yen | 158,963,344 | U.S. Dollars | 1,158,749 | MSCS | (42,629) | ||||||
08/29/23 | U.S. Dollars | 3,179,073 | Canadian Dollars | 4,285,454 | MSCS | (58,996) | ||||||
08/16/23 | U.S. Dollars | 3,137,574 | Mexican Pesos | 56,369,512 | MSCS | (124,858) | ||||||
Subtotal Depreciation | $(511,014) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at June 30, 2023 | $ (88,139) |
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) | 13.95% (Upon termination) | 1/2/2024 | BRL | 12,231,240 | $ 17,793 | $ (1,614) | $ 19,407 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 22,114,689 | 51,196 | (17,245) | 68,441 | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 3/11/2025 | USD | 24,050,000 | 148,027 | 12 | 148,015 | |||||||
3.27% (Annually) | 1-Day SOFR (Annually) | 5/14/2025 | USD | 23,250,000 | 243,587 | 152,006 | 91,581 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 1,332 | (174) | 1,506 | |||||||
3.50% (Annually) | 1-Day ESTR (Annually) | 9/20/2025 | EUR | 11,520,000 | 11,830 | 3,715 | 8,115 | |||||||
3.50% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 9/20/2025 | AUD | 16,260,000 | 194,787 | 172,403 | 22,384 | |||||||
5.00% (Semiannually) | 3-Month New Zealand BBR FRA (Quarterly) | 9/20/2025 | NZD | 11,190,000 | 44,474 | 26,740 | 17,734 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 9/20/2025 | CNY | 67,550,000 | 22,587 | 2,151 | 20,436 | |||||||
9.25% (Quarterly) | 3-Month JIBAR (Quarterly) | 9/20/2025 | ZAR | 46,675,000 | (34,533) | (36,942) | 2,409 | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 4.25% (Semiannually) | 9/20/2025 | CAD | 20,230,000 | (100,420) | (110,435) | 10,015 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.92% (Upon termination) | 1/2/2026 | BRL | 5,983,532 | 85,535 | 51,575 | 33,960 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 5,876,469 | 19,980 | 308 | 19,672 | |||||||
3.50% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 5/17/2026 | AUD | 12,080,000 | 126,648 | 28,982 | 97,666 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.23% (Upon termination) | 1/4/2027 | BRL | 2,595,749 | 15,736 | (36,729) | 52,465 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 1,954,887 | 43,168 | (6,797) | 49,965 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,502,187 | 32,583 | — | 32,583 |
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) | 12.53% (Upon termination) | 1/4/2027 | BRL | 1,483,606 | $ 26,080 | $ — | $ 26,080 | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.19% (Semiannually) | 3/24/2028 | CAD | 8,060,000 | (7,782) | (16,969) | 9,187 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 23,400,000 | (28,212) | (100,699) | 72,487 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 8.25% (Lunar) | 9/13/2028 | MXN | 80,565,000 | 21,697 | 2,151 | 19,546 | |||||||
2.50% (Quarterly) | Thai Overnight Repurchase Rate (Quarterly) | 9/20/2028 | THB | 40,320,000 | (1,448) | (3,814) | 2,366 | |||||||
3.00% (Annually) | 1-Day ESTR (Annually) | 9/20/2028 | EUR | 2,050,000 | (4,171) | (17,089) | 12,918 | |||||||
3.00% (Semiannually) | Singapore Domestic Interbank Overnight Rate (Semiannually) | 9/20/2028 | SGD | 4,680,000 | 42,788 | 15,407 | 27,381 | |||||||
3.25% (Annually) | 6-Month EURIBOR (Semiannually) | 9/20/2028 | EUR | 5,720,000 | (10,908) | (19,806) | 8,898 | |||||||
3.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 9/20/2028 | AUD | 4,060,000 | 66,409 | 63,890 | 2,519 | |||||||
6.00% (Semiannually) | 1-Day MIBOR (Semiannually) | 9/20/2028 | INR | 249,020,000 | 36,354 | 2,757 | 33,597 | |||||||
6-Month PRIBOR (Semiannually) | 4.50% (Annually) | 9/20/2028 | CZK | 59,775,000 | 23,610 | 16,621 | 6,989 | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.50% (Quarterly) | 9/20/2028 | CNY | 37,860,000 | 17,405 | (8,880) | 26,285 | |||||||
Swiss Average Overnight Rate (Annually) | 2.00% (Annually) | 9/20/2028 | CHF | 2,250,000 | 21,876 | 14,857 | 7,019 | |||||||
2.35% (Annually) | 6-Month EURIBOR (Semiannually) | 7/4/2029 | EUR | 950,000 | 28,391 | 15,439 | 12,952 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 10,300,000 | 182,021 | 138,866 | 43,155 | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.32% (Semiannually) | 3/23/2033 | CAD | 5,200,000 | 35,746 | 26,354 | 9,392 | |||||||
3.06% (Annually) | 1-Day SOFR (Annually) | 3/27/2033 | USD | 4,080,000 | 11,882 | 1,636 | 10,246 | |||||||
2.00% (Annually) | Swiss Average Overnight Rate (Annually) | 9/20/2033 | CHF | 7,400,000 | 171,112 | 36,939 | 134,173 | |||||||
3.00% (Annually) | 3-Month STIBOR (Quarterly) | 9/20/2033 | SEK | 53,500,000 | 20,795 | (52,283) | 73,078 | |||||||
3.25% (Annually) | 1-Day SONIA (Annually) | 9/20/2033 | GBP | 500,000 | 52,833 | 48,054 | 4,779 | |||||||
3.50% (Annually) | 6-Month NIBOR (Semiannually) | 9/20/2033 | NOK | 28,900,000 | 72,999 | 31,100 | 41,899 | |||||||
3-Month JIBAR (Quarterly) | 10.50% (Quarterly) | 9/20/2033 | ZAR | 30,825,000 | 87,245 | 29,282 | 57,963 | |||||||
6-Month ASX BBSW (Semiannually) | 4.00% (Semiannually) | 9/20/2033 | AUD | 10,140,000 | (218,938) | (243,780) | 24,842 | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 9/20/2033 | EUR | 110,000 | (2,616) | (2,845) | 229 | |||||||
6-Month PRIBOR (Semiannually) | 4.25% (Annually) | 9/20/2033 | CZK | 23,795,000 | 18,263 | 5,302 | 12,961 | |||||||
6-Month WIBOR (Semiannually) | 5.50% (Annually) | 9/20/2033 | PLN | 7,775,000 | 74,371 | 30,197 | 44,174 | |||||||
7.25% (Annually) | 6-Month BUBOR (Semiannually) | 9/20/2033 | HUF | 606,275,000 | 61,962 | 3,752 | 58,210 | |||||||
3.00% (Annually) | 1-Day SOFR (Annually) | 5/20/2034 | USD | 1,430,000 | 38,821 | 29,393 | 9,428 | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 9,120,000 | 72,321 | 29,320 | 43,001 | |||||||
6-Month EURIBOR (Semiannually) | 2.86% (Annually) | 7/4/2037 | EUR | 7,080,000 | 28,739 | 23,827 | 4,912 | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 25,550,000 | (328,683) | (356,281) | 27,598 | |||||||
1-Day SOFR (Annually) | 2.72% (Annually) | 8/11/2037 | USD | 17,660,000 | (339,879) | (381,379) | 41,500 | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 13,710,000 | 31,307 | (11,050) | 42,357 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 28,550,000 | 924,198 | 500,101 | 424,097 | |||||||
1.56% (Annually) | 6-Month EURIBOR (Semiannually) | 7/6/2052 | EUR | 5,440,000 | 230,193 | 2,321 | 227,872 | |||||||
Subtotal Appreciation | $ 2,381,091 | $ 80,647 | $ 2,300,444 | |||||||||||
12.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,496,046 | $ (1,289) | $ 1,905 | $ (3,194) | |||||||
12.71% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 1,437,365 | (7,447) | (262) | (7,185) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 8,356,958 | (63,364) | (89) | (63,275) | |||||||
4.00% (Annually) | 1-Day SONIA (Annually) | 3/7/2025 | GBP | 19,520,000 | (479,570) | (8,377) | (471,193) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 9.25% (Lunar) | 9/17/2025 | MXN | 14,400,000 | (420) | 256 | (676) | |||||||
1-Day CLP-TNA (Semiannually) | 6.50% (Semiannually) | 9/20/2025 | CLP | 411,115,000 | (6,604) | (6,355) | (249) | |||||||
3-Month STIBOR (Quarterly) | 3.50% (Annually) | 9/20/2025 | SEK | 173,780,000 | (150,675) | (102,905) | (47,770) | |||||||
4.25% (Annually) | 3-Month TELBOR (Quarterly) | 9/20/2025 | ILS | 11,175,000 | (6,451) | (4,115) | (2,336) | |||||||
1-Day SOFR (Annually) | 3.00% (Annually) | 5/20/2026 | USD | 6,230,000 | (107,193) | (30,668) | (76,525) | |||||||
1-Day SOFR (Annually) | 2.92% (Annually) | 3/27/2028 | USD | 6,190,000 | (64,246) | 5,006 | (69,252) | |||||||
1-Day ESTR (Annually) | 3.00% (Annually) | 4/13/2028 | EUR | 6,420,000 | (2,178) | 88,942 | (91,120) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 23,400,000 | 35,753 | 115,926 | (80,173) | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 9/20/2028 | JPY | 3,828,000,000 | (326,227) | (312,661) | (13,566) | |||||||
1-Day SOFR (Annually) | 3.75% (Annually) | 9/20/2028 | USD | 8,530,000 | (23,670) | 48,853 | (72,523) | |||||||
1-Day SOFR (Annually) | 3.60% (Annually) | 9/20/2028 | USD | 3,730,000 | (35,202) | 10,754 | (45,956) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
3-Month KWCDC (Quarterly) | 3.25% (Quarterly) | 9/20/2028 | KRW | 8,368,580,000 | $ (67,602) | $ (9,600) | $ (58,002) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.50% (Semiannually) | 9/20/2028 | NZD | 4,170,000 | (13,262) | (8,362) | (4,900) | |||||||
5.00% (Annually) | 6-Month WIBOR (Semiannually) | 9/20/2028 | PLN | 8,010,000 | (10,842) | (7,146) | (3,696) | |||||||
1-Day SOFR (Annually) | 3.42% (Annually) | 3/31/2030 | USD | 16,800,000 | (240,495) | (1,683) | (238,812) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (3,226) | 307 | (3,533) | |||||||
8.25% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 9/7/2033 | MXN | 15,095,000 | (15,869) | (2,660) | (13,209) | |||||||
0.75% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 9/20/2033 | JPY | 2,025,000,000 | (214,625) | (176,667) | (37,958) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 9/20/2033 | USD | 3,890,178 | (1,236) | 16,829 | (18,065) | |||||||
3.75% (Annually) | 3-Month TELBOR (Quarterly) | 9/20/2033 | ILS | 4,575,000 | (13,219) | (421) | (12,798) | |||||||
3.75% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 9/20/2033 | CAD | 3,470,000 | (74,508) | (48,366) | (26,142) | |||||||
3-Month KWCDC (Quarterly) | 3.25% (Quarterly) | 9/20/2033 | KRW | 2,285,330,000 | (24,124) | (5,508) | (18,616) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.50% (Semiannually) | 9/20/2033 | NZD | 2,360,000 | 3,208 | 7,953 | (4,745) | |||||||
5.00% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 9/20/2033 | CLP | 904,175,000 | (8,910) | — | (8,910) | |||||||
6-Month ASX BBSW (Semiannually) | 4.00% (Semiannually) | 5/17/2034 | AUD | 2,810,000 | (56,463) | (25,513) | (30,950) | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 11,160,000 | (296,433) | (266,948) | (29,485) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (5,571) | 512 | (6,083) | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 21,760,000 | 312,119 | 340,682 | (28,563) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 16,710,000 | (438,176) | (208,133) | (230,043) | |||||||
2.17% (Annually) | 1-Day SOFR (Annually) | 8/11/2052 | USD | 9,040,000 | 409,396 | 463,323 | (53,927) | |||||||
2.56% (Annually) | 1-Day SOFR (Annually) | 5/11/2053 | USD | 10,980,000 | (63,762) | 10,327 | (74,089) | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 4,640,000 | (22,838) | 6,469 | (29,307) | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 9/20/2053 | EUR | 1,760,000 | 7,602 | 56,808 | (49,206) | |||||||
Subtotal Depreciation | $(2,077,619) | $ (51,587) | $(2,026,032) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at June 30, 2023 | $ 303,472 | $ 29,060 | $ 274,412 |
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 1-Month LIBOR plus or minus a specified spread(-8.06% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 35-60 months maturity ranging from 05/26/2026 - 06/29/2028 | GSC | $139,364,802 | $(1,036,224) | $— | $(1,036,224) |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Marriott International, Inc. Class A | 3,925 | $ 720,983 | $ 16,636 | (1.61)% | ||||
Alphabet, Inc. Class A | 5,500 | 658,350 | (15,573) | 1.50 | ||||
MGIC Investment Corporation | 41,463 | 654,701 | (3,903) | 0.38 | ||||
General Electric Co. | (5,933) | 651,740 | (20,705) | 2.00 | ||||
Applied Materials, Inc. | 4,439 | 641,613 | 35,886 | (3.46) | ||||
Hilton Worldwide Holdings, Inc. | (3,994) | 581,327 | (14,769) | 1.43 | ||||
Nexstar Media Group, Inc. Class A | 3,384 | 563,605 | 2,138 | (0.21) | ||||
Intel Corporation | (16,481) | 551,125 | (33,434) | 3.23 | ||||
Crane Holdings Co. | (6,162) | 549,157 | (52,446) | 5.06 | ||||
Ball Corporation | (9,418) | 548,222 | (51,319) | 4.95 | ||||
New York Times Co. (The) Class A | 13,803 | 543,562 | 34,082 | (3.29) |
Common Stocks | Shares | Notional | Unrealized Appreciation (Depreciation) | Percentage of Swap Value | ||||
Kilroy Realty Corporation REIT | 17,377 | $ 522,874 | $ 1,324 | (0.13)% | ||||
Welltower, Inc. REIT | (6,230) | 503,945 | (518) | 0.05 | ||||
Ingersoll-Rand, Inc. | (7,700) | 503,272 | (21,235) | 2.05 | ||||
NVIDIA Corporation | (1,162) | 491,549 | (40,016) | 3.86 | ||||
Jabil, Inc. | (4,511) | 486,872 | (59,160) | 5.71 | ||||
Nordson Corporation | 1,947 | 483,206 | 29,936 | (2.89) | ||||
Landstar System, Inc. | 2,492 | 479,810 | 11,732 | (1.13) | ||||
Rollins, Inc. | 10,980 | 470,273 | 21,185 | (2.04) | ||||
Monolithic Power Systems, Inc. | 869 | 469,460 | 32,259 | (3.11) | ||||
Edwards Lifesciences Corporation | 4,941 | 466,085 | 49,522 | (4.78) | ||||
Morgan Stanley | (5,451) | 465,515 | 2,533 | (0.24) | ||||
Carnival Corporation | (24,561) | 462,484 | (140,248) | 13.53 | ||||
KLA Corporation | 952 | 461,739 | 17,347 | (1.67) | ||||
Robert Half International, Inc. | 6,125 | 460,722 | 14,214 | (1.37) | ||||
AGCO Corporation | 3,464 | 455,239 | 28,706 | (2.77) | ||||
JPMorgan Chase & Co. | (3,126) | 454,645 | (12,712) | 1.23 | ||||
Cintas Corporation | 905 | 449,857 | 13,996 | (1.35) | ||||
Chemed Corporation | 826 | 447,419 | 5,715 | (0.55) | ||||
Aramark | (10,277) | 442,425 | (27,319) | 2.64 | ||||
NNN REIT, Inc. | 10,301 | 440,780 | (5,006) | 0.48 | ||||
Adobe, Inc. | 901 | 440,580 | 31,692 | (3.06) | ||||
Raymond James Financial, Inc. | 4,076 | 422,967 | 32,013 | (3.09) | ||||
Highwoods Properties, Inc. REIT | 17,375 | 415,436 | 22,490 | (2.17) | ||||
Prologis, Inc. REIT | (3,354) | 411,301 | (3,501) | 0.34 | ||||
Neogen Corporation | (18,686) | 406,420 | (58,631) | 5.66 | ||||
Coterra Energy, Inc. | 16,021 | 405,331 | 10,087 | (0.97) | ||||
SL Green Realty Corporation REIT | (13,465) | 404,623 | (38,343) | 3.70 | ||||
Progressive Corporation (The) | (3,056) | 404,523 | (3,581) | 0.35 | ||||
Old Dominion Freight Line, Inc. | 1,091 | 403,397 | 65,783 | (6.35) | ||||
W.W. Grainger, Inc. | 511 | 402,969 | 41,761 | (4.03) | ||||
Dropbox, Inc. Class A | 15,013 | 400,397 | 40,075 | (3.87) | ||||
Marathon Petroleum Corporation | 3,424 | 399,238 | 11,338 | (1.09) | ||||
Americold Realty Trust REIT | (12,352) | 398,970 | (30,166) | 2.91 | ||||
Union Pacific Corporation | (1,943) | 397,577 | (7,937) | 0.77 | ||||
Playtika Holding Corporation | 34,227 | 397,033 | 13,775 | (1.33) | ||||
Entegris, Inc. | (3,580) | 396,736 | (5,340) | 0.52 | ||||
Ventas, Inc. REIT | (8,324) | 393,475 | (12,026) | 1.16 | ||||
Visa, Inc. Class A | 1,654 | 392,792 | 21,064 | (2.03) | ||||
NextEra Energy, Inc. | (5,268) | 390,886 | 204 | (0.02) | ||||
Other | (863,967) | 115,597,595 | (985,829) | 95.10 | ||||
$139,364,802 | $(1,036,224) | 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 | $ 19,803 | $ — | $ — | $ 19,803 | |||
Other ^^ | 17,863,151 | 17,863,151 | — | — | |||
Total Common Stocks | 17,882,954 | 17,863,151 | — | 19,803 | |||
Corporate Bonds | 35,855,379 | — | 35,855,379 | — | |||
Foreign Bonds | 736,203 | — | 736,203 | — | |||
Foreign Common Stocks | 593,590 | 593,590 | — | — | |||
Money Market Funds | 113,464,025 | 113,464,025 | — | — | |||
Mortgage-Backed Securities | 12,156,046 | — | 12,156,046 | — | |||
Mutual Funds | 208,029 | 208,029 | — | — | |||
Preferred Stocks: | |||||||
Information Technology | 276,675 | — | 276,675 | — | |||
Materials | 10,140 | — | 10,140 | — | |||
Other ^^ | 1,244,641 | 1,244,641 | — | — | |||
Total Preferred Stocks | 1,531,456 | 1,244,641 | 286,815 | — | |||
Purchased Option: | |||||||
Call Swaption | 5,386 | 5,386 | — | — | |||
U.S. Treasury Obligations | 44,500,162 | — | 44,500,162 | — | |||
Total Assets - Investments in Securities | $226,933,230 | $133,378,822 | $93,534,605 | $ 19,803 | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ 422,875 | $ — | $ 422,875 | $ — | |||
Futures Contracts | 811,606 | 811,606 | — | — | |||
Swap Agreements | 2,300,444 | — | 2,300,444 | — | |||
Total Assets - Other Financial Instruments | $ 3,534,925 | $ 811,606 | $ 2,723,319 | $ — |
Total Value | Level 1 Quoted Prices | Level 2 Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Liabilities: | |||||||
Investments in Securities: | |||||||
Common Stocks Sold Short | $(8,169,518) | $(8,169,518) | $ — | $ — | |||
Foreign Common Stocks Sold Short | (20,455) | (20,455) | — | — | |||
Rights Sold Short | — | — | — | — | |||
Written Options: | |||||||
Call Swaptions | (68,449) | (68,449) | — | — | |||
Put Swaption | (545,326) | (545,326) | — | — | |||
Total Written Options | (613,775) | (613,775) | — | — | |||
Total Liabilities - Investments in Securities | $(8,803,748) | $(8,803,748) | $ — | $ — | |||
Other Financial Instruments*** | |||||||
Forward Foreign Currency Contracts | $ (511,014) | $ — | $ (511,014) | $ — | |||
Futures Contracts | (658,027) | (658,027) | — | — | |||
Swap Agreements | (3,062,256) | — | (3,062,256) | — | |||
Total Liabilities - Other Financial Instruments | $(4,231,297) | $ (658,027) | $(3,573,270) | $ — |
^^ | Classifications as defined in the Schedule of Investments. |
*** | Other financial instruments are derivative instruments, such as futures contracts, forward foreign currency 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, 2023 (Unaudited) |
Strategic Alternatives Fund | |
Assets | |
Investments in securities of unaffiliated issuers, at value | $217,812,162 |
Investments in securities of affiliated issuers, at value | 9,121,068 |
Total investments, at value(1) | 226,933,230 |
Cash | 8,658,729 |
Cash collateral for derivatives | 13,489,693 |
Deposits with broker for futures contracts | 3,625,646 |
Foreign currency(2) | 129,122 |
Upfront premiums paid from swap agreements | 2,680,312 |
Receivables: | |
Dividends | 63,685 |
Reclaims | 1,717 |
Interest | 618,186 |
From advisor | 45,683 |
Investment securities sold | 2,302,888 |
Fund shares sold | 43,805 |
Variation margin on centrally cleared swaps | 41,704 |
Unrealized appreciation on foreign currency exchange contracts | 422,875 |
Prepaid expenses and other assets | 24,179 |
Total Assets | 259,081,454 |
Liabilities | |
Securities sold short, at value(3) | 8,189,973 |
Options written, at value(4) | 613,775 |
Upfront premiums received from swap agreements | 2,651,252 |
Unrealized depreciation on foreign currency exchange contracts | 511,014 |
Unrealized depreciation on swap agreements | 1,036,224 |
Collateral from counterparty | 2,077,737 |
Payables: | |
Investment securities purchased | 9,587,607 |
Dividends on short sales | 109 |
Fund shares redeemed | 49,481 |
Variation margin on centrally cleared swaps | 3,726 |
Variation margin on futures contracts | 378,799 |
Accrued expenses: | |
Investment advisory fees | 174,097 |
Shareholder servicing fees | 8,081 |
Trustee fees | 1,231 |
Other expenses | 157,312 |
Total Liabilities | 25,440,418 |
Net Assets | $233,641,036 |
Net Assets Consist of: | |
Paid-in-capital | $236,849,891 |
Distributable earnings (loss) | (3,208,855) |
Net Assets | $233,641,036 |
Net Asset Value: | |
$0.001 par value, unlimited shares authorized | |
Net assets applicable to the Institutional Class | $194,458,931 |
Institutional shares outstanding | 19,470,167 |
Net asset value, offering and redemption price per Institutional share | $ 9.99 |
Net assets applicable to the Investor Class | $ 39,182,105 |
Investor shares outstanding | 3,951,903 |
Net asset value, offering and redemption price per Investor share | $ 9.91 |
(1)Investments in securities of unaffiliated issuers, at cost | $217,341,213 |
Investments in securities of affiliated issuers, at cost | 9,121,068 |
Total investments, at cost | $226,462,281 |
(2)Foreign currency, at cost | $ 129,125 |
(3)Proceeds from securities sold short | $ 7,942,546 |
(4)Premiums received on options written | $ 520,273 |
STATEMENTS OF OPERATIONS | For the Six Months Ended June 30, 2023 (Unaudited) |
Strategic Alternatives Fund | |
Investment Income | |
Dividends | $ 1,973,419 |
Income distributions received from affiliated funds | 252,606 |
Interest | 2,633,243 |
Total Investment Income | 4,859,268 |
Expenses | |
Investment advisory fees | 1,131,995 |
Transfer agent fees: | |
Institutional shares | 2,281 |
Investor shares | 7,107 |
Custodian fees | 398,053 |
Shareholder servicing fees: | |
Investor shares | 50,652 |
Accounting and administration fees | 20,068 |
Professional fees | 72,962 |
Blue sky fees: | |
Trustees expenses | 1,374 |
Line of credit facility fees | 514 |
Dividends on securities sold short | 54,111 |
Other expenses | 32,836 |
Total Expenses | 1,771,953 |
Expenses waived/reimbursed | (345,742) |
Net Expenses | 1,426,211 |
Net Investment Income | 3,433,057 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) from: | |
Investment securities | (1,040,483) |
Investment securities sold short | 986,886 |
Futures transactions | (572,041) |
Swap agreements | (1,113,793) |
Option contracts written | 256,069 |
Option contracts purchased | 1,629 |
Forward foreign currency contracts | 22,492 |
Foreign currency | 14,851 |
Net realized loss | (1,444,390) |
Net change in unrealized appreciation (depreciation) on: | |
Investment securities | 4,185,496 |
Investment securities sold short | (1,678,759) |
Futures | 505,713 |
Swap agreements | (1,106,535) |
Option contracts written | 5,048 |
Option contracts purchased | 14,942 |
Forward foreign currency contracts | (66,624) |
Foreign currency | 491 |
Net change in unrealized appreciation (depreciation) | 1,859,772 |
Net Realized and Unrealized Gain | 415,382 |
Net Increase in Net Assets Resulting from Operations | $ 3,848,439 |
STATEMENTS OF CHANGES IN NET ASSETS |
Strategic Alternatives Fund | |||
For the Six Months Ended | For the Year Ended | ||
06/30/23 | 12/31/22 | ||
(Unaudited) | |||
Operations: | |||
Net investment income | $ 3,433,057 | $ 898,907 | |
Net realized gain (loss) on investment securities, foreign currency and derivatives | (1,444,390) | 3,178,134 | |
Net change in unrealized appreciation (depreciation) on investment securities, foreign currency and derivatives | 1,859,772 | (6,567,047) | |
Net increase (decrease) in net assets resulting from operations | 3,848,439 | (2,490,006) | |
Distributions to Shareholders: | |||
Distributions paid | |||
Institutional shares | — | (9,783,955) | |
Investor shares | — | (1,902,911) | |
Return of capital | |||
Institutional shares | — | — | |
Investor shares | — | — | |
Total distributions | — | (11,686,866) | |
Capital Share Transactions: | |||
Proceeds from shares sold | |||
Institutional shares | 15,424,809 | 68,880,884 | |
Investor shares | 5,597,384 | 42,431,998 | |
Reinvestment of dividends and distributions | |||
Institutional shares | — | 8,379,830 | |
Investor shares | — | 1,902,455 | |
Total proceeds from shares sold and reinvested | 21,022,193 | 121,595,167 | |
Value of shares redeemed | |||
Institutional shares | (60,746,141) | (141,393,501) | |
Investor shares | (17,828,339) | (30,360,422) | |
Total value of shares redeemed | (78,574,480) | (171,753,923) | |
Net decrease from capital share transactions(1) | (57,552,287) | (50,158,756) | |
Total decrease in net assets | (53,703,848) | (64,335,628) | |
Net Assets: | |||
Beginning of Period | 287,344,884 | 351,680,512 | |
End of Period | $233,641,036 | $ 287,344,884 |
(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 | ||||||||||||||||||||||
2023(1) | $ 9.82 | $ 0.14 | $ 0.03 | $ 0.17 | $ — | $ — | $ — | $ 9.99 | 1.73% | $194,459 | 1.15%(2) | 1.43%(2) | 2.93% | 364% | ||||||||
2022 | 10.29 | 0.03 | (0.09) | (0.06) | (0.04) | (0.37) | (0.41) | 9.82 | (0.56) | 236,559 | 1.15(2) | 1.36(2) | 0.31 | 327 | ||||||||
2021 | 9.96 | (0.05) | 0.54 | 0.49 | (0.02) | (0.14) | (0.16) | 10.29 | 4.96 | 312,466 | 1.09(2) | 1.17(2) | (0.46) | 377 | ||||||||
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 | ||||||||
Investor Class | ||||||||||||||||||||||
2023(1) | $ 9.76 | $ 0.13 | $ 0.02 | $ 0.15 | $ — | $ — | $ — | $ 9.91 | 1.54% | $ 39,182 | 1.45%(2) | 1.74%(2) | 2.63% | 364% | ||||||||
2022 | 10.23 | 0.01 | (0.10) | (0.09) | (0.01) | (0.37) | (0.38) | 9.76 | (0.91) | 50,786 | 1.46(2) | 1.67(2) | 0.06 | 327 | ||||||||
2021 | 9.92 | (0.08) | 0.53 | 0.45 | — | (0.14) | (0.14) | 10.23 | 4.57 | 39,214 | 1.41(2) | 1.52(2) | (0.76) | 377 | ||||||||
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 | ||||||||
# | Calculated using the average shares outstanding method. |
(1) | For the six months ended June 30, 2023, 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%, 0.04%, and 0.05% for the years 2018, 2019, 2020, 2021, 2022 and for the six months ended June 30, 2023. |
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Money Market | ||||||||
Bank of Nova Scotia | $ 100,000,000 | $ (100,000,000) | $ — | $ — | ||||
BNP Paribas | 126,000,000 | (126,000,000) | — | — | ||||
Citigroup Global Markets, Inc. | 100,000,000 | (100,000,000) | — | — | ||||
Goldman Sachs & Co. | 100,000,000 | (100,000,000) | — | — | ||||
Mitsubishi UFJ Securities USA, Inc. | 100,000,000 | (100,000,000) | — | — | ||||
Mizuho Securities USA, Inc. | 99,000,000 | (99,000,000) | — | — |
Fund/Counterparty | Repurchase Agreements | Fair Value of Non-cash Collateral Received(1) | Cash Collateral Received | Net Amount(2) | ||||
Morgan Stanley | $ 100,000,000 | $ (100,000,000) | $ — | $ — | ||||
Natixis S.A. | 105,000,000 | (105,000,000) | — | — | ||||
TD Securities USA LLC | 95,000,000 | (95,000,000) | — | — | ||||
Total Repurchase Agreements | $ 925,000,000 | $ (925,000,000) | $ — | $ — | ||||
Low-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $ 2,200,000 | $ (2,200,000) | $ — | $ — | ||||
Deutsche Bank Securities, Inc. | 2,000,000 | (2,000,000) | — | — | ||||
Total Repurchase Agreements | $ 4,200,000 | $ (4,200,000) | $ — | $ — | ||||
Medium-Duration Bond | ||||||||
Citigroup Global Markets, Inc. | $ 119,400,000 | $ (119,400,000) | $ — | $ — | ||||
Deutsche Bank Securities Inc. | 118,700,000 | (118,700,000) | — | — | ||||
Total Repurchase Agreements | $ 238,100,000 | $ (238,100,000) | $ — | $ — |
Fund | Assets | Liabilities | ||
MyDestination 2045 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 64,688 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 64,688 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 64,688 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
MyDestination 2055 | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 41,556 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 41,556 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,556 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Balanced Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 73,431 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 73,431 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 73,431 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Growth Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 77,535 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 77,535 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 77,535 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Aggressive Allocation | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 102,700 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 102,700 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 102,700 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Low-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 163,897 | ||
Forward foreign currency contracts | 49,804 | 528,401 | ||
Swap agreements | 23,612 | — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 73,416 | 692,298 | ||
Derivatives not subject to an ISDA MA or similar agreement | 20,661 | 169,782 | ||
Total assets and liabilities subject to an ISDA MA | $ 52,755 | $ 522,516 | ||
Medium-Duration Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 32,187 | $ — | ||
Forward foreign currency contracts | 3,978,634 | 2,728,137 | ||
Options | 1,052,111 | 2,041,377 | ||
Centrally cleared swaps | — | 2,501 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 5,062,932 | 4,772,015 | ||
Derivatives not subject to an ISDA MA or similar agreement | 956,350 | 813,995 | ||
Total assets and liabilities subject to an ISDA MA | $ 4,106,582 | $ 3,958,020 | ||
Global Bond | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 60,867 | $ — | ||
Forward foreign currency contracts | 7,553,155 | 12,088,604 | ||
Options | 753 | — | ||
Centrally cleared swaps | — | 9,751 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 7,614,775 | 12,098,355 | ||
Derivatives not subject to an ISDA MA or similar agreement | 61,620 | 9,751 | ||
Total assets and liabilities subject to an ISDA MA | $ 7,553,155 | $12,088,604 |
Fund | Assets | Liabilities | ||
Defensive Market Strategies® | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 58,782 | $ — | ||
Forward foreign currency contracts | 11,369 | 800 | ||
Options | 63,043,835 | 1,926,588 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 63,113,986 | 1,927,388 | ||
Derivatives not subject to an ISDA MA or similar agreement | 63,113,986 | 1,927,388 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Impact Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 27,630 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 27,630 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 27,630 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 502,913 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 502,913 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 502,913 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 49,613 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 49,613 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 49,613 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Value Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 86,625 | $ — | ||
Forward foreign currency contracts | 16,255 | 904 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 102,880 | 904 | ||
Derivatives not subject to an ISDA MA or similar agreement | 102,880 | 904 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Growth Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 41,813 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 41,813 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,813 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — |
Fund | Assets | Liabilities | ||
Growth Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 173,250 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 173,250 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 173,250 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Small Cap Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 52,080 | $ — | ||
Forward foreign currency contracts | 5,576 | 303 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 57,656 | 303 | ||
Derivatives not subject to an ISDA MA or similar agreement | 57,656 | 303 | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity Index | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 425,728 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 425,728 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 425,728 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
International Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 221,005 | $ — | ||
Forward foreign currency contracts | 4,080,034 | 1,899,063 | ||
Centrally cleared swaps | — | 36,138 | ||
Swap agreements | 440,031 | 1,724,642 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 4,741,070 | 3,659,843 | ||
Derivatives not subject to an ISDA MA or similar agreement | 221,005 | 36,138 | ||
Total assets and liabilities subject to an ISDA MA | $ 4,520,065 | $ 3,623,705 | ||
Emerging Markets Equity | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 199,136 | $ — | ||
Forward foreign currency contracts | 2,451,434 | 2,308,152 | ||
Swap agreements | 48,326 | 555,546 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 2,698,896 | 2,863,698 | ||
Derivatives not subject to an ISDA MA or similar agreement | 199,136 | — | ||
Total assets and liabilities subject to an ISDA MA | $ 2,499,760 | $ 2,863,698 |
Fund | Assets | Liabilities | ||
Global Real Estate Securities | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ 23,330 | $ — | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 23,330 | — | ||
Derivatives not subject to an ISDA MA or similar agreement | 23,330 | — | ||
Total assets and liabilities subject to an ISDA MA | $ — | $ — | ||
Strategic Alternatives | ||||
Derivative Financial Instruments: | ||||
Futures contracts | $ — | $ 378,799 | ||
Forward foreign currency contracts | 422,875 | 511,014 | ||
Options | 5,386 | 613,775 | ||
Centrally cleared swaps | 41,704 | 3,726 | ||
Swap agreements | — | 1,036,224 | ||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 469,965 | 2,543,538 | ||
Derivatives not subject to an ISDA MA or similar agreement | 41,704 | 382,525 | ||
Total assets and liabilities subject to an ISDA MA | $ 428,261 | $ 2,161,013 |
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* | $ 23,612 | $ — | $ 23,612 | $ (21,000) | $ 2,612 | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 29,143 | (522,516) | (493,373) | 200,964 | (292,409) | |||||
Total Derivatives | $ 52,755 | $ (522,516) | $ (469,761) | $ 179,964 | $(289,797) | |||||
Medium-Duration Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 161,812 | $(1,048,452) | $ (886,640) | $ 760,000 | $(126,640) | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | 3,619,887 | (1,210,308) | 2,409,579 | (2,153,556) | 256,023 | |||||
Sub-adviser C | ||||||||||
Other Counterparties* | 284,269 | (1,515,210) | (1,230,941) | 307,000 | (923,941) | |||||
Sub-adviser D | ||||||||||
Other Counterparties* | 40,614 | (184,050) | (143,436) | 148,860 | 5,424 | |||||
Total Derivatives | $4,106,582 | $(3,958,020) | $ 148,562 | $ (937,696) | $(789,134) |
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 | |||||
Global Bond | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $ 475,231 | $ (5,009,871) | $(4,534,640) | $ 121,783 | $(4,412,857) | |||||
Sub-adviser B | ||||||||||
SC | 1,049,408 | (1,790,720) | (741,312) | 45,000 | (696,312) | |||||
Other Counterparties* | 6,028,516 | (5,286,947) | 741,569 | (999,896) | (258,327) | |||||
7,077,924 | (7,077,667) | 257 | (954,896) | (954,639) | ||||||
Sub-adviser C | ||||||||||
Other Counterparties* | — | (1,066) | (1,066) | — | (1,066) | |||||
Total Derivatives | $7,553,155 | $(12,088,604) | $(4,535,449) | $ (833,113) | $(5,368,562) | |||||
International Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $4,520,065 | $ (3,623,705) | $ 896,360 | $ (896,360) | $ — | |||||
Total Derivatives | $4,520,065 | $ (3,623,705) | $ 896,360 | $ (896,360) | $ — | |||||
Emerging Markets Equity | ||||||||||
Sub-adviser A | ||||||||||
Other Counterparties* | $2,499,760 | $ (2,529,368) | $ (29,608) | $ 29,608 | $ — | |||||
Sub-adviser B | ||||||||||
Other Counterparties* | — | (334,330) | (334,330) | — | (334,330) | |||||
Total Derivatives | $2,499,760 | $ (2,863,698) | $ (363,938) | $ 29,608 | $ (334,330) | |||||
Strategic Alternatives | ||||||||||
Sub-adviser B | ||||||||||
Other Counterparties* | $ 428,261 | $ (1,124,789) | $ (696,528) | $ 675,815 | $ (20,713) | |||||
Sub-adviser E | ||||||||||
Other Counterparties* | — | (1,036,224) | (1,036,224) | 1,036,224 | — | |||||
Total Derivatives | $ 428,261 | $ (2,161,013) | $(1,732,752) | $1,712,039 | $ (20,713) |
Location on the Statements of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Interest rate contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* | |||
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | |||
Foreign exchange contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | |||
Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements | ||
Equity contracts | Investments in securities of unaffiliated issuers, at value | Options written, at value | ||
Receivables: Variation margin* | Payables: Variation margin* |
Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2045 | ||||||||||
Futures | $ 64,456 | $ — | $ — | $ — | $ 64,456 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 51,141 | $ — | $ — | $ — | $ 51,141 | |||||
Balanced Allocation | ||||||||||
Futures | $ 98,643 | $ 336 | $ — | $ — | $ 98,307 | |||||
Growth Allocation | ||||||||||
Futures | $ 71,291 | $ 1,383 | $ — | $ — | $ 69,908 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 94,776 | $ — | $ — | $ — | $ 94,776 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 49,804 | $ — | $ 49,804 | $ — | $ — | |||||
Futures | 1,558,857 | 1,558,857 | — | — | — | |||||
Swaps | 23,612 | — | — | 23,612 | — | |||||
Totals | $ 1,632,273 | $ 1,558,857 | $ 49,804 | $ 23,612 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 3,978,634 | $ — | $ 3,978,634 | $ — | $ — | |||||
Futures | 1,872,851 | 1,872,851 | — | — | — | |||||
Purchased Options | 1,052,111 | 1,052,111 | — | — | — | |||||
Swaps | 7,527,408 | 6,911,429 | — | 615,979 | — | |||||
Totals | $ 14,431,004 | $ 9,836,391 | $ 3,978,634 | $ 615,979 | $ — |
Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Global Bond | ||||||||||
Forwards | $ 7,553,155 | $ — | $ 7,553,155 | $ — | $ — | |||||
Futures | 285,941 | 285,941 | — | — | — | |||||
Purchased Options | 753 | 753 | — | — | — | |||||
Totals | $ 7,839,849 | $ 286,694 | $ 7,553,155 | $ — | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 11,369 | $ — | $ 11,369 | $ — | $ — | |||||
Futures | 34,658 | 34,658 | — | — | — | |||||
Purchased Options | 63,043,835 | — | — | — | 63,043,835 | |||||
Totals | $ 63,089,862 | $ 34,658 | $ 11,369 | $ — | $ 63,043,835 | |||||
Impact Equity | ||||||||||
Futures | $ 34,392 | $ — | $ 1,453 | $ — | $ 32,939 | |||||
Equity Index | ||||||||||
Futures | $ 679,264 | $ — | $ — | $ — | $ 679,264 | |||||
Value Equity Index | ||||||||||
Futures | $ 125,839 | $ — | $ — | $ — | $ 125,839 | |||||
Value Equity | ||||||||||
Forwards | $ 16,255 | $ — | $ 16,255 | $ — | $ — | |||||
Futures | 210,660 | — | — | — | 210,660 | |||||
Totals | $ 226,915 | $ — | $ 16,255 | $ — | $ 210,660 | |||||
Growth Equity Index | ||||||||||
Futures | $ 83,244 | $ — | $ — | $ — | $ 83,244 | |||||
Growth Equity | ||||||||||
Futures | $ 137,440 | $ — | $ — | $ — | $ 137,440 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 5,576 | $ — | $ 5,576 | $ — | $ — | |||||
Futures | 109,807 | — | — | — | 109,807 | |||||
Totals | $ 115,383 | $ — | $ 5,576 | $ — | $ 109,807 | |||||
International Equity Index | ||||||||||
Futures | $ 150,729 | $ — | $ — | $ — | $ 150,729 | |||||
International Equity | ||||||||||
Forwards | $ 4,080,034 | $ — | $ 4,080,034 | $ — | $ — | |||||
Futures | 2,087,026 | — | — | — | 2,087,026 | |||||
Swaps | 440,031 | — | — | — | 440,031 | |||||
Totals | $ 6,607,091 | $ — | $ 4,080,034 | $ — | $ 2,527,057 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 2,451,434 | $ — | $ 2,451,434 | $ — | $ — | |||||
Futures | 37,280 | — | — | — | 37,280 | |||||
Swaps | 48,326 | — | — | — | 48,326 | |||||
Totals | $ 2,537,040 | $ — | $ 2,451,434 | $ — | $ 85,606 |
Asset Derivative Value | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 80,585 | $ — | $ — | $ — | $ 80,585 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 422,875 | $ — | $ 422,875 | $ — | $ — | |||||
Futures | 811,606 | 811,606 | — | — | — | |||||
Purchased Options | 5,386 | 5,386 | — | — | — | |||||
Swaps | 2,300,444 | 2,300,444 | — | — | — | |||||
Totals | $ 3,540,311 | $ 3,117,436 | $ 422,875 | $ — | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2045 | ||||||||||
Futures | $ 1,118 | $ 1,118 | $ — | $ — | $ — | |||||
MyDestination 2055 | ||||||||||
Futures | $ 722 | $ 722 | $ — | $ — | $ — | |||||
Balanced Allocation | ||||||||||
Futures | $ 40,436 | $ 36,223 | $ — | $ — | $ 4,213 | |||||
Growth Allocation | ||||||||||
Futures | $ 7,987 | $ 5,350 | $ — | $ — | $ 2,637 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 3,396 | $ — | $ — | $ — | $ 3,396 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 528,401 | $ — | $ 528,401 | $ — | $ — | |||||
Futures | 4,592,876 | 4,592,876 | — | — | — | |||||
Swaps | 298,040 | — | — | 298,040 | — | |||||
Totals | $ 5,419,317 | $ 4,592,876 | $ 528,401 | $ 298,040 | $ — | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 2,728,137 | $ — | $ 2,728,137 | $ — | $ — | |||||
Futures | 4,224,716 | 4,224,716 | — | — | — | |||||
Written Options | 2,041,377 | 2,041,377 | — | — | — | |||||
Swaps | 8,531,222 | 7,210,182 | — | 1,321,040 | — | |||||
Totals | $ 17,525,452 | $ 13,476,275 | $ 2,728,137 | $ 1,321,040 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ 12,088,604 | $ — | $ 12,088,604 | $ — | $ — | |||||
Futures | 1,847,727 | 1,847,727 | — | — | — | |||||
Swaps | 1,261,209 | 180,392 | — | 1,080,817 | — | |||||
Totals | $ 15,197,540 | $ 2,028,119 | $ 12,088,604 | $ 1,080,817 | $ — |
Liabilities Derivative Value | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 800 | $ — | $ 800 | $ — | $ — | |||||
Futures | 942,265 | 942,265 | — | — | — | |||||
Written Options | 1,926,588 | — | — | — | 1,926,588 | |||||
Totals | $ 2,869,653 | $ 942,265 | $ 800 | $ — | $ 1,926,588 | |||||
Value Equity | ||||||||||
Forwards | $ 904 | $ — | $ 904 | $ — | $ — | |||||
Small Cap Equity | ||||||||||
Forwards | $ 303 | $ — | $ 303 | $ — | $ — | |||||
International Equity | ||||||||||
Forwards | $ 1,899,063 | $ — | $ 1,899,063 | $ — | $ — | |||||
Futures | 1,052,510 | — | — | — | 1,052,510 | |||||
Swaps | 1,724,642 | — | — | — | 1,724,642 | |||||
Totals | $ 4,676,215 | $ — | $ 1,899,063 | $ — | $ 2,777,152 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 2,308,152 | $ — | $ 2,308,152 | $ — | $ — | |||||
Futures | 641,369 | — | — | — | 641,369 | |||||
Swaps | 555,546 | — | — | — | 555,546 | |||||
Totals | $ 3,505,067 | $ — | $ 2,308,152 | $ — | $ 1,196,915 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 511,014 | $ — | $ 511,014 | $ — | $ — | |||||
Futures | 658,027 | 658,027 | — | — | — | |||||
Written Options | 613,775 | 613,775 | — | — | — | |||||
Swaps | 3,062,256 | 2,026,032 | — | — | 1,036,224 | |||||
Totals | $ 4,845,072 | $ 3,297,834 | $ 511,014 | $ — | $ 1,036,224 |
Derivative Type | Location on the Statements of Operations | |
Interest rate contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Swap agreements | ||
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Futures | ||
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net change in unrealized appreciation (depreciation) on: Foreign currency | ||
Net change in unrealized appreciation (depreciation) on: Option contracts written | ||
Net change in unrealized appreciation (depreciation) on: Option contracts purchased | ||
Credit contracts | Net realized gain (loss) from: Swap agreements | |
Net change in unrealized appreciation (depreciation) on: Swap agreements | ||
Equity contracts | Net realized gain (loss) from: Futures transactions | |
Net realized gain (loss) from: Option contracts written | ||
Net realized gain (loss) from: Option contracts purchased | ||
Net unrealized appreciation (depreciation) on: Futures | ||
Net unrealized appreciation (depreciation) on: Option contracts written | ||
Net unrealized appreciation (depreciation) on: Option contracts purchased |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2035 | ||||||||||
Futures | $ 38,842 | $ 42,639 | $ — | $ — | $ (3,797) | |||||
MyDestination 2045 | ||||||||||
Futures | $ 94,678 | $ (15,402) | $ — | $ — | $ 110,080 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 61,657 | $ (302) | $ — | $ — | $ 61,959 | |||||
Balanced Allocation | ||||||||||
Futures | $ 108,547 | $ 31,041 | $ — | $ — | $ 77,506 | |||||
Growth Allocation | ||||||||||
Futures | $ 71,139 | $ (4,770) | $ — | $ — | $ 75,909 | |||||
Aggressive Allocation | ||||||||||
Futures | $ (5,093) | $ — | $ — | $ — | $ (5,093) | |||||
Low-Duration Bond | ||||||||||
Forwards | $ (928,687) | $ — | $ (928,687) | $ — | $ — | |||||
Futures | (990,054) | (990,054) | — | — | — | |||||
Swaps | (2,564,762) | (2,682,302) | — | 117,540 | — | |||||
Totals | $ (4,483,503) | $ (3,672,356) | $ (928,687) | $ 117,540 | $ — |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 494,294 | $ — | $ 494,294 | $ — | $ — | |||||
Futures | 908,664 | 908,664 | — | — | — | |||||
Purchased Options | (2,856,277) | (2,856,277) | — | — | — | |||||
Swaps | 2,552,963 | 1,878,436 | — | 674,527 | — | |||||
Written Options | 1,831,322 | 1,811,747 | 19,575 | — | — | |||||
Totals | $ 2,930,966 | $ 1,742,570 | $ 513,869 | $ 674,527 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (4,517,533) | $ — | $ (4,517,533) | $ — | $ — | |||||
Futures | (1,734,397) | (1,734,397) | — | — | — | |||||
Purchased Options | (48,271) | (48,271) | — | — | — | |||||
Swaps | (396,437) | (16,495) | — | (379,942) | — | |||||
Totals | $ (6,696,638) | $ (1,799,163) | $ (4,517,533) | $ (379,942) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ (425,425) | $ — | $ (425,425) | $ — | $ — | |||||
Futures | (647,582) | (1,460,852) | — | — | 813,270 | |||||
Written Options | 32,515,347 | — | — | — | 32,515,347 | |||||
Totals | $ 31,442,340 | $ (1,460,852) | $ (425,425) | $ — | $ 33,328,617 | |||||
Impact Equity | ||||||||||
Forwards | $ (765) | $ — | $ (765) | $ — | $ — | |||||
Futures | (48,964) | — | — | — | (48,964) | |||||
Totals | $ (49,729) | $ — | $ (765) | $ — | $ (48,964) | |||||
Equity Index | ||||||||||
Futures | $ 6,128,141 | $ — | $ — | $ — | $ 6,128,141 | |||||
Value Equity Index | ||||||||||
Futures | $ 569,104 | $ — | $ — | $ — | $ 569,104 | |||||
Value Equity | ||||||||||
Forwards | $ (1,007,513) | $ — | $ (1,007,513) | $ — | $ — | |||||
Futures | 1,220,494 | — | — | — | 1,220,494 | |||||
Totals | $ 212,981 | $ — | $ (1,007,513) | $ — | $ 1,220,494 | |||||
Growth Equity Index | ||||||||||
Futures | $ 407,931 | $ — | $ — | $ — | $ 407,931 | |||||
Growth Equity | ||||||||||
Futures | $ 933,018 | $ — | $ — | $ — | $ 933,018 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 33,955 | $ — | $ 33,955 | $ — | $ — | |||||
Futures | 475,256 | — | — | — | 475,256 | |||||
Totals | $ 509,211 | $ — | $ 33,955 | $ — | $ 475,256 | |||||
International Equity Index | ||||||||||
Futures | $ 1,749,113 | $ — | $ — | $ — | $ 1,749,113 |
Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ (1,304,808) | $ — | $ — | $ — | $ (1,304,808) | |||||
Futures | 10,125,091 | — | — | — | 10,125,091 | |||||
Swaps | 3,793,270 | — | — | — | 3,793,270 | |||||
Totals | $ 12,613,553 | $ — | $ — | $ — | $ 12,613,553 | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 3,219,378 | $ — | $ 3,219,378 | $ — | $ — | |||||
Futures | 2,017,751 | — | — | — | 2,017,751 | |||||
Swaps | (459,555) | — | — | — | (459,555) | |||||
Totals | $ 4,777,574 | $ — | $ 3,219,378 | $ — | $ 1,558,196 | |||||
Global Real Estate Securities | ||||||||||
Forwards | $ 4,782 | $ — | $ 4,782 | $ — | $ — | |||||
Futures | 726,145 | — | — | — | 726,145 | |||||
Totals | $ 730,927 | $ — | $ 4,782 | $ — | $ 726,145 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ 22,492 | $ — | $ 22,492 | $ — | $ — | |||||
Futures | (572,041) | 923,165 | (531,227) | — | (963,979) | |||||
Purchased Options | 1,629 | 1,629 | — | — | — | |||||
Swaps | (1,113,793) | (100,763) | — | 25,968 | (1,038,998) | |||||
Written Options | 256,069 | 256,069 | — | — | — | |||||
Totals | $ (1,405,644) | $ 1,080,100 | $ (508,735) | $ 25,968 | $ (2,002,977) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
MyDestination 2045 | ||||||||||
Futures | $ 63,338 | $ — | $ — | $ — | $ 63,338 | |||||
MyDestination 2055 | ||||||||||
Futures | $ 50,419 | $ (722) | $ — | $ — | $ 51,141 | |||||
Balanced Allocation | ||||||||||
Futures | $ 58,207 | $ (35,887) | $ — | $ — | $ 94,094 | |||||
Growth Allocation | ||||||||||
Futures | $ 63,304 | $ (3,967) | $ — | $ — | $ 67,271 | |||||
Aggressive Allocation | ||||||||||
Futures | $ 91,380 | $ — | $ — | $ — | $ 91,380 | |||||
Low-Duration Bond | ||||||||||
Forwards | $ 729,225 | $ — | $ 729,225 | $ — | $ — | |||||
Futures | (3,645,289) | (3,645,289) | — | — | — | |||||
Swaps | 2,014,325 | 2,591,836 | — | (577,511) | — | |||||
Totals | $ (901,739) | $ (1,053,453) | $ 729,225 | $ (577,511) | $ — |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
Medium-Duration Bond | ||||||||||
Forwards | $ 1,865,821 | $ — | $ 1,865,821 | $ — | $ — | |||||
Futures | (4,079,116) | (4,079,116) | — | — | — | |||||
Purchased Options | 269,089 | 269,089 | — | — | — | |||||
Swaps | (2,961,685) | (3,033,672) | — | 71,987 | — | |||||
Written Options | (702,904) | (702,904) | — | — | — | |||||
Totals | $ (5,608,795) | $ (7,546,603) | $ 1,865,821 | $ 71,987 | $ — | |||||
Global Bond | ||||||||||
Forwards | $ (2,244,751) | $ — | $ (2,244,751) | $ — | $ — | |||||
Futures | (323,523) | (323,523) | — | — | — | |||||
Purchased Options | 32,225 | (8,877) | 41,102 | — | — | |||||
Swaps | (542,675) | 36,244 | — | (578,919) | — | |||||
Totals | $ (3,078,724) | $ (296,156) | $ (2,203,649) | $ (578,919) | $ — | |||||
Defensive Market Strategies® | ||||||||||
Forwards | $ 175,750 | $ — | $ 175,750 | $ — | $ — | |||||
Futures | 1,437,827 | (752,515) | — | — | 2,190,342 | |||||
Purchased Options | 21,206,909 | — | — | — | 21,206,909 | |||||
Written Options | 1,190,415 | — | — | — | 1,190,415 | |||||
Totals | $ 24,010,901 | $ (752,515) | $ 175,750 | $ — | $ 24,587,666 | |||||
Impact Equity | ||||||||||
Futures | $ 34,392 | $ — | $ — | $ — | $ 34,392 | |||||
Equity Index | ||||||||||
Futures | $ 3,041,380 | $ — | $ — | $ — | $ 3,041,380 | |||||
Value Equity Index | ||||||||||
Futures | $ 345,145 | $ — | $ — | $ — | $ 345,145 | |||||
Value Equity | ||||||||||
Forwards | $ 122,200 | $ — | $ 122,200 | $ — | $ — | |||||
Futures | 210,660 | — | — | — | 210,660 | |||||
Totals | $ 332,860 | $ — | $ 122,200 | $ — | $ 210,660 | |||||
Growth Equity Index | ||||||||||
Futures | $ 406,041 | $ — | $ — | $ — | $ 406,041 | |||||
Growth Equity | ||||||||||
Futures | $ 137,440 | $ — | $ — | $ — | $ 137,440 | |||||
Small Cap Equity | ||||||||||
Forwards | $ 597 | $ — | $ 597 | $ — | $ — | |||||
Futures | 109,807 | — | — | — | 109,807 | |||||
Totals | $ 110,404 | $ — | $ 597 | $ — | $ 109,807 | |||||
International Equity Index | ||||||||||
Futures | $ 758,176 | $ — | $ — | $ — | $ 758,176 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||
Fund | Total Value at 6/30/23 | Interest Rate Contracts | Foreign Exchange Contracts | Credit Contracts | Equity Contracts | |||||
International Equity | ||||||||||
Forwards | $ 1,283,754 | $ — | $ — | $ — | $ 1,283,754 | |||||
Futures | 2,248,564 | — | — | — | 2,248,564 | |||||
Swaps | (5,182,482) | — | — | — | (5,182,482) | |||||
Totals | $ (1,650,164) | $ — | $ — | $ — | $ (1,650,164) | |||||
Emerging Markets Equity | ||||||||||
Forwards | $ 1,062,657 | $ — | $ 1,062,657 | $ — | $ — | |||||
Futures | (346,720) | — | — | — | (346,720) | |||||
Swaps | (229,122) | — | — | — | (229,122) | |||||
Totals | $ 486,815 | $ — | $ 1,062,657 | $ — | $ (575,842) | |||||
Global Real Estate Securities | ||||||||||
Futures | $ 80,585 | $ — | $ — | $ — | $ 80,585 | |||||
Strategic Alternatives | ||||||||||
Forwards | $ (66,624) | $ — | $ (66,624) | $ — | $ — | |||||
Futures | 505,713 | (254,650) | 668,361 | — | 92,002 | |||||
Purchased Options | 14,942 | 14,942 | — | — | — | |||||
Swaps | (1,106,535) | (103,593) | — | — | (1,002,942) | |||||
Written Options | 5,048 | 5,048 | — | — | — | |||||
Totals | $ (647,456) | $ (338,253) | $ 601,737 | $ — | $ (910,940) |
Fund | Number of transactions | Average notional market value of contracts | |
Low-Duration Bond | 93 | $2,243,856 | |
Medium-Duration Bond | 287 | 2,508,262 | |
Global Bond | 1,268 | 2,988,373 | |
Defensive Market Strategies® | 85 | 947,075 | |
Impact Equity | 1 | 10,056 | |
Value Equity | 71 | 1,727,187 | |
Small Cap Equity | 30 | 95,295 | |
International Equity Index | 2 | 265,728 | |
International Equity | 1,282 | 1,972,524 | |
Emerging Markets Equity | 1,949 | 801,812 | |
Global Real Estate Securities | 5 | 181,034 | |
Strategic Alternatives | 1,172 | 330,824 |
Fund | Long average notional market value of contracts | Short average notional market value of contracts | |
MyDestination 2035 | $ 787,810 | $ — | |
MyDestination 2045 | 735,076 | — | |
MyDestination 2055 | 379,008 | — | |
Balanced Allocation | 434,256 | — | |
Growth Allocation | 434,657 | — | |
Aggressive Allocation | 945,880 | — | |
Low-Duration Bond | 13,903,979 | 2,843,249 | |
Medium-Duration Bond | 2,752,920 | 2,181,567 | |
Global Bond | 1,992,796 | 1,241,124 | |
Defensive Market Strategies® | 12,224,224 | — | |
Impact Equity | 1,102,385 | — | |
Equity Index | 5,632,828 | — | |
Value Equity Index | 984,716 | — | |
Value Equity | 8,425,701 | — | |
Growth Equity Index | 731,906 | — | |
Growth Equity | 9,124,004 | — | |
Small Cap Equity | 4,291,879 | — | |
International Equity Index | 1,351,823 | — | |
International Equity | 3,744,832 | 2,883,665 | |
Emerging Markets Equity | 1,816,229 | 1,291,280 | |
Global Real Estate Securities | 1,994,804 | — | |
Strategic Alternatives | 1,377,926 | 1,363,518 |
Fund | Number of transactions | Average premiums paid and received | |
Medium-Duration Bond | 398 | $ 21,061 | |
Defensive Market Strategies® | 244 | 188,894 | |
Strategic Alternatives | 16 | 80,212 |
Fund | Buy protection average notional market value | Sell protection average notional market value | |
Low-Duration Bond | $4,604,375 | $ — | |
Medium-Duration Bond | 3,964,937 | 3,104,772 | |
Global Bond | 2,482,533 | — |
Fund | Paid fixed rate average notional market value | Received fixed rate average notional market value | |
Low-Duration Bond | $12,500,000 | $ — | |
Medium-Duration Bond | 3,360,421 | 3,060,430 | |
Strategic Alternatives | 2,811,212 | 2,473,478 |
Fund | Average notional market value of transactions |
International Equity | $1,341,966 |
Emerging Markets Equity | 155,417 |
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% | 0.17% | ||
Medium-Duration Bond | 0.13% | 0.20% | ||
Global Bond | 0.25% | 0.22% | ||
Impact Bond | 0.15% | 0.23% | ||
Defensive Market Strategies® | 0.33% | 0.28% | ||
Impact Equity | 0.33% | 0.30% | ||
Equity Index | 0.08% | 0.01% | ||
Value Equity Index | 0.08% | 0.02% | ||
Value Equity | 0.33% | 0.28% | ||
Growth Equity Index | 0.08% | 0.02% | ||
Growth Equity | 0.33% | 0.29% | ||
Small Cap Equity | 0.33% | 0.53% | ||
International Equity Index | 0.10% | 0.01% | ||
International Equity | 0.33% | 0.43% | ||
Emerging Markets Equity | 0.33% | 0.51% | ||
Global Real Estate Securities | 0.30% | 0.38% | ||
Strategic Alternatives | 0.40% | 0.55% |
For the Period January 1, 2023 to January 26, 2023 | For the Period January 27, 2023 to April 30, 2023 | For the Period May 1, 2023 to June 30, 2023 | ||||||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | Institutional Class | Investor Class | ||||||
MyDestination 2015 | 0.50% | 0.75% | 0.50% | 0.75% | 0.45% | 0.75% | ||||||
MyDestination 2025 | 0.50% | 0.75% | 0.50% | 0.75% | 0.45% | 0.75% | ||||||
MyDestination 2035 | 0.50% | 0.75% | 0.50% | 0.75% | 0.45% | 0.75% | ||||||
MyDestination 2045 | 0.50% | 0.75% | 0.50% | 0.75% | 0.45% | 0.75% | ||||||
MyDestination 2055 | 0.50% | 0.75% | 0.50% | 0.75% | 0.45% | 0.75% | ||||||
Impact Bond | N/A | N/A | 0.50% | 0.79% | 0.50% | 0.79% | ||||||
Impact Equity | N/A | N/A | N/A | 1.21% | N/A | 1.21% | ||||||
Value Equity Index | 0.20% | 0.47% | 0.20% | 0.47% | 0.20% | 0.47% | ||||||
Growth Equity Index | 0.20% | 0.47% | 0.20% | 0.47% | 0.20% | 0.47% | ||||||
International Equity Index | 0.22% | 0.50% | 0.22% | 0.50% | 0.22% | 0.50% | ||||||
Strategic Alternatives | 1.08% | 1.40% | 1.08% | 1.40% | 1.12% | 1.44% | ||||||
Institutional Class | Investor Class | |||||||||||||||
Fund | 2023 | 2024 | 2025 | 2026 | 2023 | 2024 | 2025 | 2026 | ||||||||
MyDestination 2015 | $109,694 | $ 44,635 | $ 70,345 | $ 36,710 | $360,893 | $110,648 | $161,238 | $37,438 | ||||||||
MyDestination 2025 | 130,599 | 44,948 | 103,517 | 88,280 | 380,688 | 119,203 | 228,539 | 68,720 | ||||||||
MyDestination 2035 | — | — | — | 41,792 | — | — | — | — | ||||||||
MyDestination 2045 | — | — | — | 5,173 | — | — | — | — | ||||||||
MyDestination 2055 | — | 3,246 | 8,332 | 13,643 | — | — | 19,777 | 12,683 | ||||||||
Impact Bond | N/A | N/A | N/A | 55,916 | N/A | N/A | N/A | 23,015 | ||||||||
Impact Equity | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 9,641 | ||||||||
Value Equity Index | N/A | N/A | 109,631 | 38,604 | N/A | N/A | 30,924 | 13,577 | ||||||||
Growth Equity Index | N/A | N/A | 111,101 | 35,984 | N/A | N/A | 30,987 | 13,611 | ||||||||
International Equity Index | — | — | — | — | — | — | 28,216 | 11,381 | ||||||||
Strategic Alternatives | — | 246,313 | 589,090 | 286,782 | — | 42,950 | 121,475 | 58,960 |
Fund | Expenses Paid Through Brokerage Service Agreements | |
Value Equity | $ 2,830 | |
Growth Equity | 4,788 | |
Small Cap Equity | 19,644 | |
Emerging Markets Equity | 2,242 | |
Global Real Estate Securities | 21,999 |
Fund | MyDestination 2015 Fund | MyDestination 2025 Fund | MyDestination 2035 Fund | MyDestination 2045 Fund | MyDestination 2055 Fund | |||||||
Money Market | 0.72% | 1.86% | 2.04% | 1.55% | 0.95% | |||||||
Low-Duration Bond | 11.18 | 23.25 | — | — | — | |||||||
Medium-Duration Bond | 7.22 | 15.83 | 15.17 | 5.14 | 1.13 | |||||||
Global Bond | 6.37 | 15.98 | 14.02 | 4.76 | 1.04 | |||||||
Defensive Market Strategies® | 5.23 | 16.00 | 10.34 | 4.54 | 1.98 | |||||||
Equity Index | 3.50 | 11.77 | 16.05 | 16.49 | 7.89 | |||||||
Small Cap Equity | 1.98 | 6.75 | 9.14 | 9.38 | 4.48 | |||||||
International Equity Index | 5.77 | 19.17 | 26.23 | 27.06 | 12.87 | |||||||
Emerging Markets Equity | 2.87 | 9.63 | 13.14 | 13.36 | 6.45 | |||||||
Global Real Estate Securities | 2.18 | 7.10 | 8.39 | 8.15 | 3.86 | |||||||
Strategic Alternatives | 2.73 | 7.19 | 4.32 | — | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Money Market | 0.44% | 2.27% | 1.79% | 1.75% | ||||||
Low-Duration Bond | 16.88 | 4.46 | 1.51 | — | ||||||
Medium-Duration Bond | 2.43 | 16.85 | 5.78 | — |
Fund | Conservative Allocation Fund | Balanced Allocation Fund | Growth Allocation Fund | Aggressive Allocation Fund | ||||||
Global Bond | 2.24% | 17.81% | 6.11% | —% | ||||||
Impact Bond | 27.34 | 31.34 | 24.86 | — | ||||||
Defensive Market Strategies® | 2.34 | 9.53 | 3.42 | — | ||||||
Impact Equity | 6.64 | 25.82 | 21.03 | 33.02 | ||||||
Value Equity Index | 3.45 | 19.57 | 28.35 | 37.86 | ||||||
Value Equity | 1.76 | 9.97 | 14.34 | 19.39 | ||||||
Growth Equity Index | 3.18 | 17.69 | 25.63 | 34.36 | ||||||
Growth Equity | 1.19 | 6.64 | 9.63 | 12.93 | ||||||
Small Cap Equity | 0.59 | 3.38 | 4.84 | 6.60 | ||||||
International Equity | 2.15 | 11.87 | 17.32 | 23.13 | ||||||
Emerging Markets Equity | 1.32 | 7.26 | 10.62 | 14.23 | ||||||
Global Real Estate Securities | 1.97 | 10.07 | 11.92 | — | ||||||
Strategic Alternatives | 8.96 | 20.79 | 10.27 | — |
Total Value at 12/31/22 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/23 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2015 | |||||||||||||||
Money Market | $ 7,072 | $ 33,898 | $ 29,463 | $ — | $ — | $ 11,507 | $ 198 | $ — | |||||||
Low-Duration Bond | 102,608 | 31,252 | 6,841 | (417) | 409 | 127,011 | 1,437 | — | |||||||
Medium-Duration Bond | 158,609 | 8,607 | 16,528 | (2,441) | 3,896 | 152,143 | 2,614 | — | |||||||
Global Bond | 34,697 | 3,054 | 1,800 | (333) | 583 | 36,201 | 284 | — | |||||||
Defensive Market Strategies® | 70,293 | 1,233 | 4,268 | (351) | 3,979 | 70,886 | 1,083 | — | |||||||
Equity Index | 114,186 | 2,415 | 14,408 | 4,750 | 13,054 | 119,997 | 736 | — | |||||||
International Equity Index | 49,747 | 2,124 | 7,344 | (4) | 5,897 | 50,420 | — | — | |||||||
Small Cap Equity | 14,231 | 1,506 | 1,873 | (168) | 1,232 | 14,928 | — | — | |||||||
Emerging Markets Equity | 22,064 | 260 | 2,294 | 410 | 1,215 | 21,655 | — | — | |||||||
Global Real Estate Securities | 5,195 | 540 | — | — | 12 | 5,747 | 120 | 23 | |||||||
Strategic Alternatives | 19,464 | 85 | 13,275 | (402) | 498 | 6,370 | — | — | |||||||
$ 598,166 | $ 84,974 | $ 98,094 | $ 1,044 | $ 30,775 | $ 616,865 | $ 6,472 | $ 23 | ||||||||
MyDestination 2025 | |||||||||||||||
Money Market | $ 22,258 | $ 59,523 | $ 51,909 | $ — | $ — | $ 29,872 | $ 539 | $ — | |||||||
Low-Duration Bond | 164,871 | 108,655 | 9,000 | (362) | 67 | 264,231 | 2,950 | — | |||||||
Medium-Duration Bond | 380,718 | 18,924 | 70,750 | (10,078) | 14,538 | 333,352 | 5,777 | — | |||||||
Global Bond | 89,998 | 4,970 | 4,850 | (843) | 1,548 | 90,823 | 699 | — | |||||||
Defensive Market Strategies® | 201,112 | 7,377 | 2,400 | (148) | 10,878 | 216,819 | 3,336 | — | |||||||
Equity Index | 377,965 | 4,880 | 38,701 | 10,329 | 48,879 | 403,352 | 2,480 | — | |||||||
International Equity Index | 165,677 | 1,301 | 18,900 | 31 | 19,449 | 167,558 | — | — | |||||||
Small Cap Equity | 46,218 | 2,307 | 800 | 121 | 3,162 | 51,008 | — | — | |||||||
Emerging Markets Equity | 71,728 | 1,500 | 5,896 | 868 | 4,402 | 72,602 | — | — | |||||||
Global Real Estate Securities | 17,454 | 1,278 | 100 | (24) | 87 | 18,695 | 392 | 75 | |||||||
Strategic Alternatives | 33,758 | 100 | 17,322 | (553) | 818 | 16,801 | — | — | |||||||
$1,571,757 | $210,815 | $220,628 | $ (659) | $103,828 | $1,665,113 | $16,173 | $ 75 |
Total Value at 12/31/22 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/23 | Dividend Income | Distributions of Realized Gains | ||||||||
MyDestination 2035 | |||||||||||||||
Money Market | $ 27,339 | $ 53,346 | $ 47,939 | $ — | $ — | $ 32,746 | $ 720 | $ — | |||||||
Medium-Duration Bond | 276,623 | 43,105 | 2,000 | (301) | 2,060 | 319,487 | 5,101 | — | |||||||
Global Bond | 69,066 | 10,190 | — | — | 437 | 79,693 | 598 | — | |||||||
Defensive Market Strategies® | 119,677 | 13,662 | — | — | 6,731 | 140,070 | 2,124 | — | |||||||
Equity Index | 491,626 | 7,416 | 27,600 | 7,702 | 70,713 | 549,857 | 3,366 | — | |||||||
International Equity Index | 213,526 | 5,100 | 14,650 | 362 | 24,903 | 229,241 | — | — | |||||||
Small Cap Equity | 58,664 | 6,966 | 1,000 | (81) | 4,505 | 69,054 | — | — | |||||||
Emerging Markets Equity | 90,960 | 2,700 | 1,273 | 154 | 6,585 | 99,126 | — | — | |||||||
Global Real Estate Securities | 18,353 | 3,651 | — | — | 68 | 22,072 | 462 | 89 | |||||||
Strategic Alternatives | 8,051 | 1,907 | — | — | 145 | 10,103 | — | — | |||||||
$1,373,885 | $148,043 | $ 94,462 | $ 7,836 | $116,147 | $1,551,449 | $12,371 | $ 89 | ||||||||
MyDestination 2045 | |||||||||||||||
Money Market | $ 20,898 | $ 45,311 | $ 41,345 | $ — | $ — | $ 24,864 | $ 542 | $ — | |||||||
Medium-Duration Bond | 91,289 | 19,122 | 2,800 | (315) | 891 | 108,187 | 1,716 | — | |||||||
Global Bond | 22,863 | 4,853 | 800 | (141) | 283 | 27,058 | 204 | — | |||||||
Defensive Market Strategies® | 52,967 | 5,676 | — | — | 2,893 | 61,536 | 940 | — | |||||||
Equity Index | 481,615 | 19,383 | 14,833 | 5,988 | 72,858 | 565,011 | 3,455 | — | |||||||
International Equity Index | 207,242 | 11,925 | 7,659 | 131 | 24,854 | 236,493 | — | — | |||||||
Small Cap Equity | 58,172 | 9,447 | 1,251 | 217 | 4,328 | 70,913 | — | — | |||||||
Emerging Markets Equity | 90,197 | 5,912 | 2,148 | 317 | 6,490 | 100,768 | — | — | |||||||
Global Real Estate Securities | 17,716 | 3,798 | 100 | (20) | 65 | 21,459 | 437 | 84 | |||||||
$1,042,959 | $125,427 | $ 70,936 | $ 6,177 | $112,662 | $1,216,289 | $ 7,294 | $ 84 | ||||||||
MyDestination 2055 | |||||||||||||||
Money Market | $ 10,867 | $ 38,307 | $ 33,908 | $ — | $ — | $ 15,266 | $ 250 | $ — | |||||||
Medium-Duration Bond | 19,148 | 4,639 | 168 | (38) | 126 | 23,707 | 371 | — | |||||||
Global Bond | 4,800 | 1,149 | 39 | (8) | 31 | 5,933 | 44 | — | |||||||
Defensive Market Strategies® | 21,593 | 4,091 | 68 | (14) | 1,228 | 26,830 | 410 | — | |||||||
Equity Index | 215,446 | 20,590 | 2,536 | 757 | 36,018 | 270,275 | 1,653 | — | |||||||
International Equity Index | 92,876 | 9,024 | 841 | (18) | 11,473 | 112,514 | — | — | |||||||
Small Cap Equity | 25,994 | 6,250 | 513 | 21 | 2,104 | 33,856 | — | — | |||||||
Emerging Markets Equity | 40,400 | 5,593 | 446 | (24) | 3,145 | 48,668 | — | — | |||||||
Global Real Estate Securities | 7,914 | 2,257 | 11 | (1) | 5 | 10,164 | 207 | 40 | |||||||
$ 439,038 | $ 91,900 | $ 38,530 | $ 675 | $ 54,130 | $ 547,213 | $ 2,935 | $ 40 |
Total Value at 12/31/22 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/23 | Dividend Income | Distributions of Realized Gains | ||||||||
Conservative Allocation | |||||||||||||||
Money Market | $ 5,318 | $ 25,248 | $ 23,543 | $ — | $ — | $ 7,023 | $ 126 | $ — | |||||||
Low-Duration Bond | 205,332 | 5,239 | 19,167 | (1,133) | 1,524 | 191,795 | 2,206 | — | |||||||
Medium-Duration Bond | 53,889 | 1,571 | 4,877 | (852) | 1,363 | 51,094 | 892 | — | |||||||
Global Bond | 13,906 | 102 | 1,387 | (249) | 372 | 12,744 | 101 | — | |||||||
Defensive Market Strategies® | 32,225 | 693 | 2,882 | (210) | 1,886 | 31,712 | 493 | — | |||||||
Global Impact | 12,892 | 54 | 13,713 | (1,290) | 2,057 | — | 54 | — | |||||||
Impact Bond | — | 17,604 | 516 | 1 | (294) | 16,795 | 247 | — | |||||||
Impact Equity | — | 8,109 | 893 | 14 | 520 | 7,750 | — | — | |||||||
Value Equity Index | 5,703 | 275 | 620 | 33 | 243 | 5,634 | 48 | — | |||||||
Value Equity | 16,984 | 1,010 | 1,793 | (149) | 888 | 16,940 | 85 | — | |||||||
Growth Equity Index | 5,283 | 39 | 1,015 | 85 | 1,325 | 5,717 | 18 | — | |||||||
Growth Equity | 16,352 | 558 | 4,267 | (2,116) | 6,521 | 17,048 | 9 | — | |||||||
Small Cap Equity | 4,412 | 377 | 675 | 69 | 265 | 4,448 | — | — | |||||||
International Equity | 23,754 | 1,250 | 4,543 | 393 | 2,467 | 23,321 | — | — | |||||||
Emerging Markets Equity | 10,210 | 569 | 1,639 | (266) | 1,051 | 9,925 | — | — | |||||||
Global Real Estate Securities | 4,883 | 524 | 250 | (41) | 65 | 5,181 | 109 | 21 | |||||||
Strategic Alternatives | 21,911 | 12 | 1,335 | (12) | 382 | 20,958 | — | — | |||||||
$ 433,054 | $ 63,234 | $ 83,115 | $ (5,723) | $ 20,635 | $ 428,085 | $ 4,388 | $ 21 | ||||||||
Balanced Allocation | |||||||||||||||
Money Market | $ 22,773 | $ 49,164 | $ 35,548 | $ — | $ — | $ 36,389 | $ 633 | $ — | |||||||
Low-Duration Bond | 50,157 | 1,946 | 1,450 | (75) | 156 | 50,734 | 575 | — | |||||||
Medium-Duration Bond | 349,728 | 18,621 | 16,300 | (2,628) | 5,464 | 354,885 | 6,041 | — | |||||||
Global Bond | 101,534 | 2,672 | 3,700 | (711) | 1,458 | 101,253 | 795 | — | |||||||
Defensive Market Strategies® | 126,481 | 1,994 | 5,985 | (456) | 7,050 | 129,084 | 1,994 | — | |||||||
Global Impact | 47,748 | 201 | 50,790 | (5,154) | 7,995 | — | 201 | — | |||||||
Impact Bond | — | 21,183 | 1,500 | (22) | (408) | 19,253 | 286 | — | |||||||
Impact Equity | — | 30,193 | 2,111 | 41 | 2,031 | 30,154 | — | — | |||||||
Value Equity Index | 30,678 | 1,364 | 1,501 | 54 | 1,389 | 31,984 | 264 | — | |||||||
Value Equity | 92,409 | 4,940 | 5,327 | (502) | 4,492 | 96,012 | 475 | — | |||||||
Growth Equity Index | 29,080 | 103 | 5,156 | 433 | 7,342 | 31,802 | 103 | — | |||||||
Growth Equity | 89,386 | 2,250 | 21,065 | (8,544) | 32,746 | 94,773 | 50 | — | |||||||
Small Cap Equity | 24,078 | 2,102 | 2,457 | (243) | 2,039 | 25,519 | — | — | |||||||
International Equity | 127,384 | 4,500 | 18,504 | (334) | 15,904 | 128,950 | — | — | |||||||
Emerging Markets Equity | 54,779 | 1,404 | 5,600 | 991 | 3,199 | 54,773 | — | — | |||||||
Global Real Estate Securities | 24,330 | 2,567 | 511 | (97) | 226 | 26,515 | 545 | 104 | |||||||
Strategic Alternatives | 48,412 | 1,023 | 1,627 | (18) | 847 | 48,637 | — | — | |||||||
$1,218,957 | $146,227 | $179,132 | $(17,265) | $ 91,930 | $1,260,717 | $11,962 | $104 |
Total Value at 12/31/22 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/23 | Dividend Income | Distributions of Realized Gains | ||||||||
Growth Allocation | |||||||||||||||
Money Market | $ 17,726 | $ 39,915 | $ 28,938 | $ — | $ — | $ 28,703 | $ 505 | $ — | |||||||
Low-Duration Bond | 16,766 | 1,154 | 750 | (33) | 61 | 17,198 | 194 | — | |||||||
Medium-Duration Bond | 114,420 | 14,421 | 7,950 | (1,287) | 2,191 | 121,795 | 2,030 | — | |||||||
Global Bond | 33,505 | 2,443 | 1,450 | (289) | 535 | 34,744 | 268 | — | |||||||
Defensive Market Strategies® | 44,404 | 707 | 1,135 | (237) | 2,552 | 46,291 | 707 | — | |||||||
Global Impact | 36,852 | 155 | 39,200 | (4,062) | 6,255 | — | 155 | — | |||||||
Impact Bond | — | 16,507 | 907 | (6) | (323) | 15,271 | 226 | — | |||||||
Impact Equity | — | 23,213 | 304 | — | 1,649 | 24,558 | — | — | |||||||
Value Equity Index | 43,743 | 1,564 | 991 | 36 | 1,983 | 46,334 | 380 | — | |||||||
Value Equity | 130,850 | 5,963 | 4,311 | (29) | 5,642 | 138,115 | 691 | — | |||||||
Growth Equity Index | 40,343 | 1,149 | 6,513 | 522 | 10,564 | 46,064 | 149 | — | |||||||
Growth Equity | 124,614 | 3,072 | 24,857 | (8,516) | 43,063 | 137,376 | 72 | — | |||||||
Small Cap Equity | 33,591 | 2,917 | 2,408 | (168) | 2,643 | 36,575 | — | — | |||||||
International Equity | 181,603 | 6,499 | 21,927 | (4,033) | 26,041 | 188,183 | — | — | |||||||
Emerging Markets Equity | 77,365 | 1,866 | 4,902 | 198 | 5,559 | 80,086 | — | — | |||||||
Global Real Estate Securities | 27,213 | 4,392 | 300 | (72) | 149 | 31,384 | 647 | 124 | |||||||
Strategic Alternatives | 23,977 | 305 | 651 | (19) | 428 | 24,040 | — | — | |||||||
$ 946,972 | $126,242 | $147,494 | $(17,995) | $108,992 | $1,016,717 | $ 6,024 | $124 | ||||||||
Aggressive Allocation | |||||||||||||||
Money Market | $ 14,586 | $ 42,956 | $ 29,435 | $ — | $ — | $ 28,107 | $ 451 | $ — | |||||||
Impact Equity | — | 36,585 | 564 | (2) | 2,545 | 38,564 | — | — | |||||||
Value Equity Index | 59,073 | 2,107 | 2,077 | 92 | 2,667 | 61,862 | 507 | — | |||||||
Value Equity | 177,598 | 8,779 | 7,218 | 19 | 7,568 | 186,746 | 923 | — | |||||||
Growth Equity Index | 55,660 | 2,200 | 10,979 | 581 | 14,292 | 61,754 | 200 | — | |||||||
Growth Equity | 175,316 | 2,347 | 39,631 | (13,302) | 59,803 | 184,533 | 98 | — | |||||||
Small Cap Equity | 45,126 | 3,895 | 2,460 | (152) | 3,488 | 49,897 | — | — | |||||||
International Equity | 245,838 | 7,450 | 31,465 | (5,642) | 35,190 | 251,371 | — | — | |||||||
Emerging Markets Equity | 105,618 | 4,072 | 10,350 | (739) | 8,745 | 107,346 | — | — | |||||||
$ 878,815 | $110,391 | $134,179 | $(19,145) | $134,298 | $ 970,180 | $ 2,179 | $ — | ||||||||
Low-Duration Bond | |||||||||||||||
Money Market | $ 21,270 | $513,956 | $514,128 | $ — | $ — | $ 21,098 | $ 733 | $ — | |||||||
Medium-Duration Bond | |||||||||||||||
Money Market | $ 71,772 | $535,153 | $552,413 | $ — | $ — | $ 54,512 | $ 1,420 | $ — | |||||||
Global Bond | |||||||||||||||
Money Market | $ 33,998 | $164,752 | $158,490 | $ — | $ — | $ 40,260 | $ 783 | $ — | |||||||
Impact Bond | |||||||||||||||
Money Market | $ — | $ 24,668 | $ 22,920 | $ — | $ — | $ 1,748 | $ 93 | $ — | |||||||
Defensive Market Strategies® | |||||||||||||||
Money Market | $ 28,530 | $199,546 | $197,818 | $ — | $ — | $ 30,258 | $ 987 | $ — |
Total Value at 12/31/22 | Purchases | Sales Proceeds | Net Realized Gains/(Losses) | Change in Unrealized Appreciation/ (Depreciation) | Total Value at 6/30/23 | Dividend Income | Distributions of Realized Gains | ||||||||
Impact Equity | |||||||||||||||
Money Market | $ — | $ 65,235 | $ 60,948 | $ — | $ — | $ 4,287 | $ 120 | $ — | |||||||
Equity Index | |||||||||||||||
Money Market | $ 102,717 | $246,859 | $296,101 | $ — | $ — | $ 53,475 | $ 1,428 | $ — | |||||||
Value Equity Index | |||||||||||||||
Money Market | $ 6,950 | $ 26,083 | $ 29,115 | $ — | $ — | $ 3,918 | $ 111 | $ — | |||||||
Value Equity | |||||||||||||||
Money Market | $ 37,901 | $171,656 | $184,310 | $ — | $ — | $ 25,247 | $ 758 | $ — | |||||||
Growth Equity Index | |||||||||||||||
Money Market | $ 10,051 | $ 36,955 | $ 41,391 | $ — | $ — | $ 5,615 | $ 123 | $ — | |||||||
Growth Equity | |||||||||||||||
Money Market | $ 53,072 | $271,552 | $278,498 | $ — | $ — | $ 46,126 | $ 754 | $ — | |||||||
Small Cap Equity | |||||||||||||||
Money Market | $ 27,482 | $124,135 | $119,899 | $ — | $ — | $ 31,718 | $ 686 | $ — | |||||||
International Equity Index | |||||||||||||||
Money Market | $ 25,347 | $105,741 | $103,457 | $ — | $ — | $ 27,631 | $ 516 | $ — | |||||||
International Equity | |||||||||||||||
Money Market | $ 55,955 | $480,479 | $496,881 | $ — | $ — | $ 39,553 | $ 1,389 | $ — | |||||||
Emerging Markets Equity | |||||||||||||||
Money Market | $ 21,531 | $113,112 | $112,475 | $ — | $ — | $ 22,168 | $ 552 | $ — | |||||||
Global Real Estate Securities | |||||||||||||||
Money Market | $ 9,921 | $ 99,478 | $101,835 | $ — | $ — | $ 7,564 | $ 188 | $ — | |||||||
Strategic Alternatives | |||||||||||||||
Money Market | $ 8,616 | $122,194 | $121,689 | $ — | $ — | $ 9,121 | $ 253 | $ — |
Fund | Value of Securities Loaned | Value of Non-cash Collateral | Value of Cash Collateral | Total Value of Collateral * | ||||
Low-Duration Bond | $106,334,582 | $ 99,631,956 | $ 9,655,607 | $109,287,563 | ||||
Medium-Duration Bond | 89,660,524 | 63,830,656 | 28,258,812 | 92,089,468 | ||||
Global Bond | 40,473,772 | 18,139,285 | 23,771,502 | 41,910,787 | ||||
Defensive Market Strategies® | 164,685,550 | 155,832,675 | 12,393,585 | 168,226,260 | ||||
Impact Equity | 1,311,817 | 1,346,141 | — | 1,346,141 | ||||
Equity Index | 110,209,037 | 111,306,767 | 135,500 | 111,442,267 | ||||
Value Equity Index | 6,443,492 | 6,143,784 | 382,843 | 6,526,627 | ||||
Value Equity | 64,587,444 | 58,509,359 | 6,961,394 | 65,470,753 | ||||
Growth Equity Index | 5,742,066 | 5,523,556 | 272,781 | 5,796,337 | ||||
Growth Equity | 85,167,180 | 82,519,167 | 3,538,384 | 86,057,551 | ||||
Small Cap Equity | 137,014,124 | 124,413,207 | 15,569,897 | 139,983,104 | ||||
International Equity Index | 26,570,373 | 10,355,535 | 17,473,666 | 27,829,201 | ||||
International Equity | 17,560,487 | 16,521,199 | 2,260,250 | 18,781,449 | ||||
Emerging Markets Equity | 21,140,422 | 14,826,608 | 7,123,365 | 21,949,973 | ||||
Global Real Estate Securities | 18,502,405 | 16,995,922 | 2,233,818 | 19,229,740 |
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 | $ 51,564,441 | $ 68,631,656 | $ 6,342,697 | $ 2,606,610 | ||||
MyDestination 2025 | 152,601,087 | 168,717,268 | 16,817,104 | 3,323,383 | ||||
MyDestination 2035 | 94,697,529 | 46,522,503 | — | — | ||||
MyDestination 2045 | 80,117,867 | 29,604,461 | — | — | ||||
MyDestination 2055 | 53,594,327 | 4,623,879 | — | — | ||||
Conservative Allocation | 24,274,632 | 45,861,535 | — | — | ||||
Balanced Allocation | 46,274,818 | 92,795,887 | — | — | ||||
Growth Allocation | 47,128,252 | 79,357,356 | — | — | ||||
Aggressive Allocation | 67,435,943 | 104,743,632 | — | — | ||||
Low-Duration Bond | 222,620,567 | 162,816,890 | 931,671,419 | 768,854,529 | ||||
Medium-Duration Bond | 157,244,774 | 145,077,304 | 3,755,929,799 | 3,733,614,562 | ||||
Global Bond | 40,538,661 | 35,467,256 | 113,038,625 | 98,942,581 | ||||
Impact Bond | 12,489,003 | 3,205,838 | 17,862,235 | 13,352,294 | ||||
Defensive Market Strategies® | 201,064,579 | 223,985,555 | 79,780,387 | 91,900,000 | ||||
Impact Equity | 57,854,273 | 22,967,690 | — | — | ||||
Equity Index | 83,281,768 | 58,196,059 | — | — | ||||
Value Equity Index | 30,995,867 | 19,824,857 | — | — | ||||
Value Equity | 213,892,726 | 227,417,644 | — | — | ||||
Growth Equity Index | 29,910,585 | 23,298,824 | — | — | ||||
Growth Equity | 342,520,578 | 428,516,934 | — | — | ||||
Small Cap Equity | 180,322,106 | 162,681,129 | — | — | ||||
International Equity Index | 25,805,378 | 27,584,946 | — | — | ||||
International Equity | 344,122,209 | 389,074,803 | — | — | ||||
Emerging Markets Equity | 221,381,411 | 219,940,148 | — | — | ||||
Global Real Estate Securities | 186,895,897 | 169,175,701 | — | — | ||||
Strategic Alternatives | 27,447,663 | 36,822,174 | 233,807,238 | 264,278,819 |
Six Months Ended 6/30/23 | Year Ended 12/31/22 | ||||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | |||||
MyDestination 2015 | |||||||||
Shares sold | 1,271,653 | 1,418,171 | 8,506,602 | 3,171,752 | |||||
Shares reinvested | — | — | 1,747,936 | 3,137,619 | |||||
Shares redeemed | (1,348,577) | (3,159,241) | (4,010,625) | (8,468,329) | |||||
Net increase (decrease) | (76,924) | (1,741,070) | 6,243,913 | (2,158,958) | |||||
MyDestination 2025 | |||||||||
Shares sold | 4,694,106 | 2,978,288 | 20,703,809 | 6,169,619 | |||||
Shares reinvested | — | — | 4,619,412 | 7,487,388 | |||||
Shares redeemed | (2,693,906) | (6,269,645) | (4,903,977) | (12,467,074) | |||||
Net increase (decrease) | 2,000,200 | (3,291,357) | 20,419,244 | 1,189,933 | |||||
MyDestination 2035 | |||||||||
Shares sold | 5,449,835 | 4,022,343 | 18,708,159 | 6,971,108 | |||||
Shares reinvested | — | — | 4,189,601 | 5,645,932 | |||||
Shares redeemed | (1,009,145) | (4,125,371) | (2,509,370) | (5,399,724) | |||||
Net increase (decrease) | 4,440,690 | (103,028) | 20,388,390 | 7,217,316 | |||||
MyDestination 2045 | |||||||||
Shares sold | 5,516,960 | 3,852,374 | 10,394,985 | 6,088,518 | |||||
Shares reinvested | — | — | 3,020,304 | 4,054,049 | |||||
Shares redeemed | (619,867) | (3,270,769) | (1,693,624) | (2,699,101) | |||||
Net increase (decrease) | 4,897,093 | 581,605 | 11,721,665 | 7,443,466 | |||||
MyDestination 2055 | |||||||||
Shares sold | 3,201,969 | 2,132,938 | 3,191,968 | 3,617,776 | |||||
Shares reinvested | — | — | 792,656 | 1,060,564 | |||||
Shares redeemed | (191,075) | (1,554,582) | (618,920) | (826,922) | |||||
Net increase (decrease) | 3,010,894 | 578,356 | 3,365,704 | 3,851,418 | |||||
Conservative Allocation | |||||||||
Shares sold | 829,714 | 666,965 | 2,819,742 | 2,778,612 | |||||
Shares reinvested | — | — | 453,854 | 1,454,123 | |||||
Shares redeemed | (1,015,463) | (2,608,760) | (5,909,164) | (7,065,981) | |||||
Net increase (decrease) | (185,749) | (1,941,795) | (2,635,568) | (2,833,246) | |||||
Balanced Allocation | |||||||||
Shares sold | 1,633,856 | 986,067 | 4,559,693 | 2,383,404 | |||||
Shares reinvested | — | — | 1,862,057 | 5,869,878 | |||||
Shares redeemed | (2,054,469) | (4,496,893) | (15,132,731) | (12,472,479) | |||||
Net increase (decrease) | (420,613) | (3,510,826) | (8,710,981) | (4,219,197) | |||||
Growth Allocation | |||||||||
Shares sold | 1,334,250 | 889,409 | 3,443,739 | 1,767,261 | |||||
Shares reinvested | — | — | 1,973,986 | 5,873,834 | |||||
Shares redeemed | (1,113,763) | (3,302,176) | (14,439,226) | (9,264,432) | |||||
Net increase (decrease) | 220,487 | (2,412,767) | (9,021,501) | (1,623,337) |
Six Months Ended 6/30/23 | Year Ended 12/31/22 | ||||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | |||||
Aggressive Allocation | |||||||||
Shares sold | 1,002,279 | 736,640 | 2,111,487 | 1,315,352 | |||||
Shares reinvested | — | — | 2,500,380 | 7,760,851 | |||||
Shares redeemed | (965,143) | (3,080,589) | (6,960,583) | (6,938,216) | |||||
Net increase (decrease) | 37,136 | (2,343,949) | (2,348,716) | 2,137,987 | |||||
Money Market | |||||||||
Shares sold | 2,987,904,183 | 92,910,083 | 6,874,995,603 | 464,431,471 | |||||
Shares reinvested | 8,305,391 | 11,380,041 | 4,659,638 | 6,450,251 | |||||
Shares redeemed | (2,981,335,325) | (84,690,382) | (6,984,269,683) | (402,783,948) | |||||
Net increase (decrease) | 14,874,249 | 19,599,742 | (104,614,442) | 68,097,774 | |||||
Low-Duration Bond | |||||||||
Shares sold | 15,556,161 | 3,257,112 | 17,910,281 | 7,563,125 | |||||
Shares reinvested | 815,560 | 173,853 | 1,193,162 | 302,208 | |||||
Shares redeemed | (5,393,970) | (2,578,842) | (19,561,367) | (9,168,175) | |||||
Net increase (decrease) | 10,977,751 | 852,123 | (457,924) | (1,302,842) | |||||
Medium-Duration Bond | |||||||||
Shares sold | 13,306,259 | 4,970,234 | 26,885,387 | 7,858,108 | |||||
Shares reinvested | 2,248,526 | 433,337 | 2,878,012 | 489,779 | |||||
Shares redeemed | (11,527,192) | (3,045,066) | (26,243,291) | (11,874,551) | |||||
Net increase (decrease) | 4,027,593 | 2,358,505 | 3,520,108 | (3,526,664) | |||||
Global Bond | |||||||||
Shares sold | 4,966,500 | 1,856,554 | 7,715,614 | 2,396,264 | |||||
Shares reinvested | 422,426 | 80,448 | 697,759 | 131,981 | |||||
Shares redeemed | (2,479,012) | (1,057,438) | (7,853,978) | (3,131,026) | |||||
Net increase (decrease) | 2,909,914 | 879,564 | 559,395 | (602,781) | |||||
Impact Bond1 | |||||||||
Shares sold | 5,497,548 | 1,041,306 | |||||||
Shares reinvested | 77,368 | 13,751 | |||||||
Shares redeemed | (297,060) | (57,500) | |||||||
Net increase (decrease) | 5,277,856 | 997,557 | |||||||
Defensive Market Strategies® | |||||||||
Shares sold | 3,841,159 | 2,465,784 | 7,990,961 | 4,756,059 | |||||
Shares reinvested | 1,346,769 | 466,350 | 14,407,231 | 5,669,375 | |||||
Shares redeemed | (3,226,381) | (2,745,444) | (10,128,292) | (8,607,452) | |||||
Net increase (decrease) | 1,961,547 | 186,690 | 12,269,900 | 1,817,982 | |||||
Impact Equity1 | |||||||||
Shares sold | 9,836,391 | 1,451,654 | |||||||
Shares reinvested | — | — | |||||||
Shares redeemed | (383,866) | (8,498) | |||||||
Net increase (decrease) | 9,452,525 | 1,443,156 |
Six Months Ended 6/30/23 | Year Ended 12/31/22 | ||||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | |||||
Equity Index | |||||||||
Shares sold | 2,428,286 | 1,342,234 | 12,752,274 | 3,590,940 | |||||
Shares reinvested | 333,501 | 94,288 | 1,443,049 | 442,762 | |||||
Shares redeemed | (3,516,732) | (1,605,066) | (6,066,700) | (3,466,858) | |||||
Net increase (decrease) | (754,945) | (168,544) | 8,128,623 | 566,844 | |||||
Value Equity Index2 | |||||||||
Shares sold | 1,095,253 | 577,762 | 14,231,133 | 1,054,807 | |||||
Shares reinvested | 119,891 | 9,221 | 101,406 | 4,526 | |||||
Shares redeemed | (660,505) | (511,473) | (397,996) | (163,629) | |||||
Net increase (decrease) | 554,639 | 75,510 | 13,934,543 | 895,704 | |||||
Value Equity | |||||||||
Shares sold | 1,898,739 | 975,300 | 2,882,096 | 3,949,332 | |||||
Shares reinvested | 164,829 | 81,545 | 5,310,194 | 3,575,910 | |||||
Shares redeemed | (1,906,307) | (3,111,531) | (20,871,820) | (4,533,432) | |||||
Net increase (decrease) | 157,261 | (2,054,686) | (12,679,530) | 2,991,810 | |||||
Growth Equity Index2 | |||||||||
Shares sold | 672,878 | 1,965,817 | 14,325,442 | 963,241 | |||||
Shares reinvested | 41,316 | 8,159 | 49,232 | 341 | |||||
Shares redeemed | (2,327,663) | (245,631) | (20,158) | (187,204) | |||||
Net increase (decrease) | (1,613,469) | 1,728,345 | 14,354,516 | 776,378 | |||||
Growth Equity | |||||||||
Shares sold | 1,795,939 | 1,815,960 | 10,657,475 | 3,111,055 | |||||
Shares reinvested | 16,088 | — | 4,062,386 | 3,495,032 | |||||
Shares redeemed | (6,047,111) | (2,167,931) | (16,903,460) | (7,133,911) | |||||
Net increase (decrease) | (4,235,084) | (351,971) | (2,183,599) | (527,824) | |||||
Small Cap Equity | |||||||||
Shares sold | 3,256,392 | 1,252,979 | 3,714,047 | 1,725,397 | |||||
Shares reinvested | — | — | 1,328,169 | 789,102 | |||||
Shares redeemed | (1,498,077) | (1,745,427) | (3,830,548) | (3,392,048) | |||||
Net increase (decrease) | 1,758,315 | (492,448) | 1,211,668 | (877,549) | |||||
International Equity Index3 | |||||||||
Shares sold | 3,505,174 | 706,123 | 19,059,814 | 897,958 | |||||
Shares reinvested | — | — | 2,330,387 | 19,789 | |||||
Shares redeemed | (5,414,456) | (361,918) | (10,745,667) | (101,396) | |||||
Net increase (decrease) | (1,909,282) | 344,205 | 10,644,534 | 816,351 | |||||
International Equity | |||||||||
Shares sold | 2,500,088 | 1,733,740 | 5,998,120 | 3,253,789 | |||||
Shares reinvested | — | — | 1,148,221 | 397,094 | |||||
Shares redeemed | (7,086,527) | (1,918,140) | (13,766,544) | (3,883,732) | |||||
Net increase (decrease) | (4,586,439) | (184,400) | (6,620,203) | (232,849) |
Six Months Ended 6/30/23 | Year Ended 12/31/22 | ||||||||
Fund | Institutional Class | Investor Class | Institutional Class | Investor Class | |||||
Emerging Markets Equity | |||||||||
Shares sold | 3,690,343 | 1,736,088 | 12,331,251 | 3,290,389 | |||||
Shares reinvested | — | — | 1,595,286 | 213,024 | |||||
Shares redeemed | (4,667,644) | (1,412,016) | (6,197,919) | (2,462,757) | |||||
Net increase (decrease) | (977,301) | 324,072 | 7,728,618 | 1,040,656 | |||||
Global Real Estate Securities | |||||||||
Shares sold | 2,398,887 | 711,434 | 3,057,694 | 1,762,139 | |||||
Shares reinvested | 534,814 | 220,360 | 612,383 | 279,563 | |||||
Shares redeemed | (616,878) | (1,098,979) | (2,848,041) | (2,623,179) | |||||
Net increase (decrease) | 2,316,823 | (167,185) | 822,036 | (581,477) | |||||
Strategic Alternatives | |||||||||
Shares sold | 1,556,633 | 567,907 | 6,779,653 | 4,180,255 | |||||
Shares reinvested | — | — | 848,697 | 194,330 | |||||
Shares redeemed | (6,181,092) | (1,817,024) | (13,912,587) | (3,006,927) | |||||
Net increase (decrease) | (4,624,459) | (1,249,117) | (6,284,237) | 1,367,658 |
1 | For the period January 27, 2023 (commencement of operations) through June 30, 2023. |
2 | For the period August 31, 2022 (commencement of operations) through June 30, 2023. |
3 | For the Investor Class only, the period of April 29, 2022 through June 30, 2023. |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
MyDestination 2015 | 2022 | $12,278,432 | $ 32,650,498 | $ — | $ 44,928,930 | |||||
2021 | 16,366,140 | 22,651,767 | — | 39,017,907 | ||||||
MyDestination 2025 | 2022 | 27,613,983 | 86,598,851 | — | 114,212,834 | |||||
2021 | 40,508,972 | 44,139,652 | — | 84,648,624 | ||||||
MyDestination 2035 | 2022 | 20,619,529 | 73,802,651 | — | 94,422,180 | |||||
2021 | 33,393,700 | 41,638,226 | — | 75,031,926 | ||||||
MyDestination 2045 | 2022 | 15,565,154 | 52,402,384 | — | 67,967,538 | |||||
2021 | 26,310,514 | 32,873,431 | — | 59,183,945 | ||||||
MyDestination 2055 | 2022 | 6,265,546 | 18,987,891 | — | 25,253,437 | |||||
2021 | 10,461,781 | 12,177,927 | — | 22,639,708 | ||||||
Conservative Allocation | 2022 | 6,900,535 | 13,094,388 | — | 19,994,923 | |||||
2021 | 9,264,362 | 11,278,760 | — | 20,543,122 | ||||||
Balanced Allocation | 2022 | 17,907,368 | 63,772,833 | — | 81,680,201 | |||||
2021 | 41,868,787 | 52,429,849 | — | 94,298,636 | ||||||
Growth Allocation | 2022 | 1,225,298 | 81,735,314 | — | 82,960,612 | |||||
2021 | 38,017,659 | 54,761,306 | — | 92,778,965 | ||||||
Aggressive Allocation | 2022 | 1,072,963 | 102,159,639 | — | 103,232,602 | |||||
2021 | 38,902,102 | 52,142,935 | — | 91,045,037 | ||||||
Money Market | 2022 | 23,591,357 | — | — | 23,591,357 | |||||
2021 | — | — | — | — | ||||||
Low-Duration Bond | 2022 | 19,504,200 | — | — | 19,504,200 | |||||
2021 | 10,274,701 | 481,506 | — | 10,756,207 | ||||||
Medium-Duration Bond | 2022 | 44,093,477 | — | — | 44,093,477 | |||||
2021 | 43,133,548 | 2,553,507 | — | 45,687,055 | ||||||
Global Bond | 2022 | 6,084,043 | 323,287 | 645,546 | 7,052,876 | |||||
2021 | 18,993,319 | 3,532,184 | — | 22,525,503 | ||||||
Defensive Market Strategies® | 2022 | 18,737,915 | 186,894,401 | — | 205,632,316 | |||||
2021 | 61,857,721 | 84,527,216 | — | 146,384,937 | ||||||
Equity Index | 2022 | 42,981,741 | 32,597,417 | — | 75,579,158 | |||||
2021 | 40,916,918 | 62,439,120 | — | 103,356,038 | ||||||
Value Equity Index | 2022 | 1,060,490 | — | — | 1,060,490 | |||||
Value Equity | 2022 | 26,459,616 | 128,117,163 | — | 154,576,779 | |||||
2021 | 53,580,516 | 104,857,148 | — | 158,437,664 | ||||||
Growth Equity Index | 2022 | 464,138 | — | — | 464,138 | |||||
Growth Equity | 2022 | 1,198,853 | 134,976,762 | — | 136,175,615 | |||||
2021 | 13,290,950 | 351,980,455 | — | 365,271,405 | ||||||
Small Cap Equity | 2022 | 2,824,239 | 30,262,526 | — | 33,086,765 | |||||
2021 | 63,621,325 | 58,500,598 | — | 122,121,923 |
Fund | Year | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distribution | |||||
International Equity Index | 2022 | $20,557,904 | $ 2,765,624 | $ — | $ 23,323,528 | |||||
2021 | 24,814,894 | 18,694,988 | — | 43,509,882 | ||||||
International Equity | 2022 | 18,001,181 | 1,252,957 | — | 19,254,138 | |||||
2021 | 49,827,532 | 54,284,848 | — | 104,112,380 | ||||||
Emerging Markets Equity | 2022 | 13,013,936 | — | 1,707,078 | 14,721,014 | |||||
2021 | 44,331,334 | 53,668,789 | — | 98,000,123 | ||||||
Global Real Estate Securities | 2022 | 4,183,549 | 3,606,763 | — | 7,790,312 | |||||
2021 | 16,177,915 | 4,012,374 | — | 20,190,289 | ||||||
Strategic Alternatives | 2022 | 10,078,085 | 1,608,781 | — | 11,686,866 | |||||
2021 | 4,747,893 | 493,166 | — | 5,241,059 |
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Qualified Late Year Losses | Net Unrealized Appreciation (Depreciation) | ||||
MyDestination 2015 | $ 372,778 | $ 2,126,592 | $ — | $ (65,891,495) | ||||
MyDestination 2025 | 949,755 | 5,193,586 | — | (133,183,661) | ||||
MyDestination 2035 | 670,071 | 7,991,276 | — | (86,286,614) | ||||
MyDestination 2045 | 455,040 | 5,030,193 | — | (28,301,894) | ||||
MyDestination 2055 | 169,674 | 2,167,067 | — | (20,396,642) | ||||
Conservative Allocation | 179,140 | 2,873,497 | — | (49,871,824) | ||||
Balanced Allocation | 642,126 | 16,749,235 | — | (223,678,435) | ||||
Growth Allocation | 11,858,240 | — | — | (182,548,270) | ||||
Aggressive Allocation | 10,093,709 | 7,517,721 | — | (187,030,834) | ||||
Money Market | 4,844 | — | — | (354) | ||||
Low-Duration Bond | — | — | (2,308,322) | (47,739,245) | ||||
Medium-Duration Bond | 4,734,630 | — | — | (243,066,012) | ||||
Global Bond | — | — | (315,358) | (84,862,500) | ||||
Defensive Market Strategies® | 11,665,076 | — | — | (38,202,580) | ||||
Equity Index | 230,515 | 2 | (694,324) | 893,012,779 | ||||
Value Equity Index | — | — | — | 1,836,834 | ||||
Value Equity | — | 91,471 | (6,255,135) | 75,781,132 | ||||
Growth Equity Index | — | — | — | (11,688,607) | ||||
Growth Equity | — | — | (8,268,206) | (13,544,858) | ||||
Small Cap Equity | 184,282 | — | (1,170,779) | (7,628,199) | ||||
International Equity Index | 3,026,523 | — | — | (9,324,923) | ||||
International Equity | 7,494,131 | — | — | (39,308,165) | ||||
Emerging Markets Equity | — | — | (1,526,483) | (83,021,793) | ||||
Global Real Estate Securities | 3,064,551 | 966,381 | — | (44,183,941) | ||||
Strategic Alternatives | 1,959,883 | — | (2,682,573) | (6,334,606) |
Fund | Federal Tax Cost | Net Unrealized Appreciation (Depreciation) | Appreciated Investments | Depreciated Investments | ||||
MyDestination 2015 | $ 699,612,660 | $ (36,336,866) | $ 13,666,553 | $ (50,003,419) | ||||
MyDestination 2025 | 1,764,918,303 | (30,834,713) | 83,597,733 | (114,432,446) | ||||
MyDestination 2035 | 1,521,882,855 | 29,566,573 | 120,479,631 | (90,913,058) | ||||
MyDestination 2045 | 1,138,487,502 | 83,956,088 | 130,627,933 | (46,671,845) | ||||
MyDestination 2055 | 513,585,336 | 33,677,639 | 50,118,048 | (16,440,409) | ||||
Conservative Allocation | 458,200,045 | (30,114,226) | 4,190,067 | (34,304,293) | ||||
Balanced Allocation | 1,395,845,131 | (135,069,613) | 15,297,905 | (150,367,518) | ||||
Growth Allocation | 1,092,989,682 | (76,209,399) | 15,105,138 | (91,314,537) | ||||
Aggressive Allocation | 1,024,006,206 | (53,732,349) | 16,354,073 | (70,086,422) | ||||
Money Market | 1,609,839,467 | — | — | — | ||||
Low-Duration Bond | 1,220,044,621 | (39,386,130) | 1,275,227 | (40,661,357) | ||||
Medium-Duration Bond | 2,665,571,523 | (205,181,206) | 18,741,954 | (223,923,160) | ||||
Global Bond | 654,349,744 | (71,902,027) | 12,122,830 | (84,024,857) | ||||
Impact Bond | 64,141,170 | (1,389,344) | 37,685 | (1,427,029) | ||||
Defensive Market Strategies® | 1,393,322,540 | (3,425,360) | 21,450,173 | (24,875,533) | ||||
Impact Equity | 109,071,712 | 7,268,327 | 10,320,726 | (3,052,399) | ||||
Equity Index | 2,090,420,427 | 1,332,772,151 | 1,421,311,063 | (88,538,912) | ||||
Value Equity Index | 158,992,947 | 4,639,375 | 12,766,274 | (8,126,899) | ||||
Value Equity | 891,203,989 | 78,725,788 | 119,325,233 | (40,599,445) | ||||
Growth Equity Index | 153,081,487 | 26,601,912 | 28,684,977 | (2,083,065) | ||||
Growth Equity | 1,147,816,619 | 266,393,488 | 297,630,264 | (31,236,776) | ||||
Small Cap Equity | 736,539,814 | 31,265,017 | 94,378,615 | (63,113,598) | ||||
International Equity Index | 812,266,130 | 69,790,016 | 124,485,883 | (54,695,867) | ||||
International Equity | 1,000,755,450 | 43,666,795 | 88,980,716 | (45,313,921) | ||||
Emerging Markets Equity | 777,991,764 | (32,827,279) | 41,169,170 | (73,996,449) | ||||
Global Real Estate Securities | 297,964,651 | (34,035,948) | 5,385,084 | (39,421,032) | ||||
Strategic Alternatives | 238,545,892 | (21,086,210) | 4,650,663 | (25,736,873) |
• | 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; |
• | each Fund remained primarily highly liquid, as the term is defined in the Rule; |
• | due to the highly liquid nature of each of the Funds, a highly liquid investment minimum had not been established for any Fund; |
• | there were no liquidity events that materially affected the ability of any Fund to sell portfolio securities without significantly affecting its market value in order to timely meet redemptions without dilution to ongoing shareholders; |
• | for one day during the Review Period, the Emerging Markets Equity Fund exceeded the 15% Threshold on illiquid investments, as those terms are defined in the Program, due to the Lunar New Year holiday, and the Committee discussed that this annual recurring event triggers an increase in illiquid securities of the Fund, which return to their normal liquidity categorizations upon the end of the holiday and the reopening of the impacted markets, and that the Fund can plan its liquidity risk management relating to the market closure in advance; the Board was given advance notice of this event; |
• | 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. |
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 | ||||
James D. Caldwell (1955) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2023 | Executive Vice President of TRT Holdings, Inc. (holding company of Omni Hotels), 2018 – present; Chief Executive Officer of Origins Behavioral HealthCare, LLC, 2018 – present; Chief Executive Officer and President of Omni Hotels and Resorts, 1996 –2018. | 27 | None |
Thomas G. Evans (1961) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2020 | President and Owner, Encompass Financial Services, Inc., 1985 – present; Trustee, GuideStone Financial Resources, 2010 – 2018. | 27 | None |
William Craig George (1958) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2004 | Senior Vice President and Regional Credit Officer, First National Bank, 2017 – present. | 27 | 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, 2015 – present; Certified Public Accountant, 1978 – present. | 27 | None |
Deanna A. Mankins (1971) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Trustee | Since 2023 | Chief Financial Officer, City of Zachary, 2019 – present; Tax Manager, Postlethwaite & Netterville, APAC, 2001 – 2019. | 27 | 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; Trustee, GuideStone Financial Resources, 2010 – 2018; Trustee, GuideStone Capital Management, LLC, 2011 – 2018; GuideStone Investment Services and GuideStone Resource Management, Inc., 2014 – 2018. | 27 | 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. | 27 | None |
INTERESTED TRUSTEE AND OFFICER | ||||
David S. Spika (1964) 5005 Lyndon B. Johnson Freeway Suite 2200 Dallas, TX 75244-6152 Executive Vice President | Since 20193 | Vice President and Chief Investment Officer GuideStone Financial Resources, 2021 – present; Vice President and Chief Strategic Investment Officer, GuideStone Financial Resources, 2016 – 2021. | N/A | 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 and Secretary | Since 20145 | Managing Director, Fund Operations, GuideStone Financial Resources, 2014 – 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. | 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 and Chief Legal Officer | Since 20176 | 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 |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Money Market | BlackRock Advisors, LLC | 1994 | $ 9.4Tr | |||
Low-Duration Bond | BlackRock Financial Management, Inc.1 | 1994 | $ 9.4Tr | |||
Pacific Investment Management Company LLC | 1971 | $ 1.8Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
Payden & Rygel | 1983 | $144.4B | ||||
Medium-Duration Bond | Goldman Sachs Asset Management, L.P. | 1984 | $ 2.5Tr | |||
Guggenheim Partners Investment Management, LLC | 2005 | $225.3B | ||||
Pacific Investment Management Company LLC | 1971 | $ 1.8Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
Western Asset Management Company, LLC | 1971 | $388.0B | ||||
Global Bond | Loomis, Sayles & Company, L.P. | 1926 | $310.3B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $443.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
Western Asset Management Company, LLC | 1971 | $388.0B | ||||
Defensive Market Strategies ® | American Century Investment Management, Inc. | 1958 | $214.9B | |||
Neuberger Berman Investment Advisers LLC | 2002 | $443.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
PGIM Quantitative Solutions LLC | 1975 | $ 95.2B | ||||
Shenkman Capital Management, Inc. | 1985 | $ 29.4B | ||||
Impact Bond | Parametric Portfolio Associates LLC | 1987 | $439.2B | |||
RBC Global Asset Management (U.S.) Inc. | 1983 | $418.0B | ||||
Impact Equity | Janus Henderson Investors US LLC | 1969 | $322.1B | |||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
Equity Index | Legal & General Investment Management America, Inc. | 2006 | $221.0B | |||
Value Equity Index | Legal & General Investment Management America, Inc. | 2006 | $221.0B | |||
Value Equity | American Century Investment Management, Inc. | 1958 | $214.9B | |||
Barrow, Hanley, Mewhinney & Strauss, LLC | 1979 | $ 46.1B | ||||
The London Company of Virginia, LLC | 1994 | $ 15.4B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
TCW Investment Management Company LLC | 1971 | $210.0B | ||||
Growth Equity Index | Legal & General Investment Management America, Inc. | 2006 | $221.0B | |||
Growth Equity | J.P. Morgan Investment Management Inc. | 1984 | $ 2.7Tr | |||
Loomis, Sayles & Company, L.P. | 1926 | $310.3B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
Sands Capital Management, LLC | 1992 | $ 51.0B | ||||
William Blair Investment Management, LLC | 2014 | $ 64.3B | ||||
Small Cap Equity | American Century Investment Management, Inc. | 1958 | $214.9B | |||
Delaware Investments Fund Advisers | 1929 | $575.6B | ||||
Jacobs Levy Equity Management, Inc. | 1986 | $ 17.7B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
TimesSquare Capital Management, LLC | 2000 | $ 8.6B | ||||
International Equity Index | Legal & General Investment Management America, Inc. | 2006 | $221.0B | |||
International Equity | Altrinsic Global Advisors, LLC | 2000 | $ 8.8B | |||
AQR Capital Management, LLC | 1998 | $ 96.9B | ||||
MFS Institutional Advisors, Inc. | 1924 | $589.0B | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
WCM Investment Management, LLC | 1976 | $ 80.4B | ||||
Emerging Markets Equity | AQR Capital Management, LLC | 1998 | $ 96.9B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.5Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
RBC Global Asset Management (U.K.) Limited | 2013 | $418.0B | ||||
Wellington Management Company LLP | 1928 | $ 1.2Tr |
Fund | Sub-Adviser | Firm Established | Total Assets Managed | |||
Global Real Estate Securities | Heitman Real Estate Securities LLC | 1989 | $ 52.2B | |||
RREEF America L.L.C. | 1975 | $ 52.0B | ||||
Strategic Alternatives Fund | AQR Capital Management, LLC | 1998 | $ 96.9B | |||
Goldman Sachs Asset Management, L.P. | 1984 | $ 2.5Tr | ||||
Parametric Portfolio Associates LLC | 1987 | $439.2B | ||||
P/E Global LLC | 2000 | $ 15.6B | ||||
SSI Investment Management LLC | 1973 | $ 2.0B | ||||
Custodian for GuideStone Funds Assets | The Northern Trust Company | 1889 | $ 11.3Tr | |||
All Funds, except the Money Market Fund | Parametric Portfolio Associates LLC | 1987 | $439.2B |
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) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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/ David S. Spika | |
David S. Spika, President | ||
(Principal Executive Officer) | ||
Date August 31, 2023 |
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/ David S. Spika | |
David S. Spika, President | ||
(Principal Executive Officer) | ||
Date August 31, 2023 | ||
By (Signature and Title)* | /s/ Patrick Pattison | |
Patrick Pattison, Vice President and Treasurer | ||
(Principal Financial Officer) | ||
Date August 31, 2023 |
* | Print the name and title of each signing officer under his or her signature. |