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: 811-23222
HARTFORD FUNDS EXCHANGE-TRADED TRUST
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon, Esquire
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110-2605
Registrant’s telephone number, including area code: (610) 386-4068
Date of fiscal year end: July 31
Date of reporting period: July 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a)
Income ETFs
■ Hartford Core Bond ETF |
■ Hartford Municipal Opportunities ETF |
■ Hartford Schroders Tax-Aware Bond ETF |
■ Hartford Short Duration ETF |
■ Hartford Total Return Bond ETF |
President
Hartford Funds
1 S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance is not indicative of future results. | |
2 USAFacts.org, “What’s the nation’s progress on vaccinations?” |
July 31, 2021 (Unaudited)
Inception 02/19/2020 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks to provide long-term total return. |
Average Annual Total Returns | ||
for the Periods Ending 07/31/2021 | ||
1 Year | Since Inception1 | |
Core Bond ETF (NAV Return) | -0.59% | 4.30% |
Core Bond ETF (Market Price Return) | -0.57% | 4.38% |
Bloomberg U.S. Aggregate Bond Index | -0.70% | 3.34% |
1 | Inception: 02/19/2020 |
2 |
July 31, 2021 (Unaudited)
Manager Discussion
3 |
July 31, 2021 (Unaudited)
Composition by Security Type(1) | |
as of 07/31/2021 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 12.9% |
Corporate Bonds | 28.3 |
Foreign Government Obligations | 1.5 |
Municipal Bonds | 0.5 |
U.S. Government Agencies(2) | 35.3 |
U.S. Government Securities | 48.2 |
Total | 126.7% |
Short-Term Investments | 6.5 |
Purchased Options | 0.0 * |
Other Assets & Liabilities | (33.2) |
Total | 100.0% |
* | Percentage rounds to zero. |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All or a portion of the securities categorized as U.S. Government Agencies were agency mortgage-backed securities as of July 31, 2021. |
4 |
July 31, 2021 (Unaudited)
Inception 12/13/2017 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks to provide current income that is generally exempt from federal income taxes and long-term total return. |
Average Annual Total Returns | ||
for the Periods Ending 07/31/2021 | ||
1 Year | Since Inception1 | |
Municipal Opportunities ETF (NAV Return) | 4.40% | 4.82% |
Municipal Opportunities ETF (Market Price Return) | 4.24% | 4.82% |
Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index | 2.40% | 3.87% |
1 | Inception: 12/13/2017 |
5 |
July 31, 2021 (Unaudited)
Manager Discussion
6 |
July 31, 2021 (Unaudited)
7 |
July 31, 2021 (Unaudited)
Composition of Municipal Bonds(1) | |
as of 07/31/2021 | |
Municipal Bonds | Percentage of Net Assets |
Airport | 5.7% |
Development | 4.2 |
Education | 2.4 |
General Obligation | 9.0 |
Higher Education | 3.4 |
Housing | 2.3 |
Medical | 4.6 |
Mello-Roos District | 1.0 |
Multifamily Housing | 0.5 |
Nursing Homes | 7.4 |
Other (2) | 18.3 |
Pollution | 0.7 |
Power | 6.3 |
School District | 4.8 |
Single Family Housing | 7.2 |
Student Loan | 2.9 |
Tobacco | 2.2 |
Transportation | 8.7 |
Utilities | 3.9 |
Water | 0.8 |
Total | 96.3% |
Short-Term Investments | 3.4 |
Other Assets & Liabilities | 0.3 |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | Other refers to Special Tax District Bonds, Tax Increment Bonds and certain Community Development District bonds. |
8 |
July 31, 2021 (Unaudited)
Inception 04/18/2018 Sub-advised by Schroder Investment Management North America Inc. and its sub-sub-adviser, Schroder Investment Management North America Limited | Investment objective – The Fund seeks total return on an after-tax basis. |
Average Annual Total Returns | ||
for the Periods Ending 07/31/2021 | ||
1 Year | Since Inception1 | |
Tax-Aware Bond ETF (NAV Return) | 1.64% | 4.78% |
Tax-Aware Bond ETF (Market Price Return) | 1.12% | 4.79% |
Bloomberg Municipal Bond Index | 3.29% | 5.15% |
1 | Inception: 04/18/2018 |
9 |
July 31, 2021 (Unaudited)
Manager Discussion
10 |
July 31, 2021 (Unaudited)
Composition by Security Type(1) | |
as of 07/31/2021 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Corporate Bonds | 31.1% |
Municipal Bonds | 55.1 |
U.S. Government Securities | 13.1 |
Total | 99.3% |
Short-Term Investments | 2.3 |
Other Assets & Liabilities | (1.6) |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
11 |
July 31, 2021 (Unaudited)
Inception 05/30/2018 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks to provide current income and long-term total return. |
Average Annual Total Returns | ||
for the Periods Ending 07/31/2021 | ||
1 Year | Since Inception1 | |
Short Duration ETF (NAV Return) | 2.69% | 3.77% |
Short Duration ETF (Market Price Return) | 2.64% | 3.77% |
Bloomberg 1-3 Year U.S. Government/Credit Index | 0.43% | 2.85% |
1 | Inception: 05/30/2018 |
12 |
July 31, 2021 (Unaudited)
Manager Discussion
13 |
July 31, 2021 (Unaudited)
Composition by Security Type(1) | |
as of 07/31/2021 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 21.5% |
Corporate Bonds | 46.6 |
Municipal Bonds | 0.2 |
Senior Floating Rate Interests | 19.6 |
U.S. Government Agencies(2) | 7.1 |
U.S. Government Securities | 2.7 |
Total | 97.7% |
Short-Term Investments | 3.9 |
Other Assets & Liabilities | (1.6) |
Total | 100.0% |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All or a portion of the securities categorized as U.S. Government Agencies were agency mortgage-backed securities as of July 31, 2021. |
14 |
July 31, 2021 (Unaudited)
Inception 09/27/2017 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks a competitive total return, with income as a secondary objective. |
Average Annual Total Returns | ||
for the Periods Ending 07/31/2021 | ||
1 Year | Since Inception1 | |
Total Return Bond ETF (NAV Return) | 1.26% | 4.85% |
Total Return Bond ETF (Market Price Return) | 1.38% | 4.89% |
Bloomberg U.S. Aggregate Bond Index | -0.70% | 4.13% |
1 | Inception: 09/27/2017 |
15 |
July 31, 2021 (Unaudited)
Manager Discussion
16 |
July 31, 2021 (Unaudited)
Composition by Security Type(1) | |
as of 07/31/2021 | |
Category | Percentage of Net Assets |
Equity Securities | |
Common Stocks | 0.0% * |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 21.3% |
Corporate Bonds | 32.6 |
Foreign Government Obligations | 6.5 |
Municipal Bonds | 1.6 |
Senior Floating Rate Interests | 6.0 |
U.S. Government Agencies(2) | 39.6 |
U.S. Government Securities | 22.5 |
Total | 130.1% |
Short-Term Investments | 1.3 |
Purchased Options | 0.0 * |
Other Assets & Liabilities | (31.4) |
Total | 100.0% |
* | Percentage rounds to zero. |
(1) | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
(2) | All or a portion of the securities categorized as U.S. Government Agencies were agency mortgage-backed securities as of July 31, 2021. |
17 |
Bloomberg 1-3 Year U.S. Government/Credit Index* is comprised of the U.S. Government/Credit component of the U.S. Aggregate Index. The 1-3 Year Government/Credit Index includes securities in the 1-3 year maturity range in the Government/Credit Index. Effective August 24, 2021, “Barclays” was removed from the index’s name. |
Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index* is a sub-index of the Bloomberg Municipal Bond Index. It is a rules-based market value-weighted index of bonds with maturities of one year to 17 years engineered for the tax-exempt bond market. Effective August 24, 2021, “Barclays” was removed from the index’s name. |
Bloomberg Municipal Bond Index* is an unmanaged index of municipal bonds with maturities greater than two years. Effective August 24, 2021, “Barclays” was removed from the index’s name. |
Bloomberg U.S. Aggregate Bond Index* is composed of securities that are Securities and Exchange Commission registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. Effective August 24, 2021, “Barclays” was removed from the index’s name. |
“Bloomberg®” and the above referenced Bloomberg index(es) are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”), and have been licensed for use for certain purposes by HFMC.The Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly. The only relationship of Bloomberg to HFMC is the licensing of certain trademarks, trade names and service marks and of the above referenced Bloomberg index (es), which is determined, composed and calculated by BISL without regard to HFMC or the Fund. Bloomberg has no obligation to take the needs of HFMC or the owners of the Fund into consideration in determining, composing or calculating the above referenced Bloomberg index (es). Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Fund to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to the Fund’s customers, in connection with the administration, marketing or trading of the Fund. |
BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE ABOVE REFERENCED BLOOMBERGINDEX (ES) OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONSTHEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HFMC, OWNERS OF THE FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE ABOVE REFERENCED BLOOMBERG INDEX (ES)OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLYDISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THEABOVE REFERENCED BLOOMBERG INDEX (ES) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TOTHE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES,CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURYOR DAMAGES—WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE—ARISING INCONNECTION WITH THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA OR VALUES RELATING THERETO—WHETHERARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. |
* Reflects no deduction for fees, expenses or taxes. |
18 |
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses paid during the period February 1, 2021 through July 31, 2021 | Beginning Account Value February 1, 2021 | Ending Account Value July 31, 2021 | Expenses paid during the period February 1, 2021 through July 31, 2021 | Annualized expense ratio | |||||||
Hartford Core Bond ETF | $ 1,000.00 | $ 1,001.80 | $ 1.44 | $ 1,000.00 | $ 1,023.36 | $ 1.45 | 0.29% | ||||||
Hartford Municipal Opportunities ETF | $ 1,000.00 | $ 1,015.10 | $ 1.45 | $ 1,000.00 | $ 1,023.36 | $ 1.45 | 0.29% | ||||||
Hartford Schroders Tax-Aware Bond ETF | $ 1,000.00 | $ 1,004.30 | $ 1.94 | $ 1,000.00 | $ 1,022.86 | $ 1.96 | 0.39% | ||||||
Hartford Short Duration ETF | $ 1,000.00 | $ 1,005.00 | $ 1.44 | $ 1,000.00 | $ 1,023.36 | $ 1.45 | 0.29% | ||||||
Hartford Total Return Bond ETF | $ 1,000.00 | $ 1,005.10 | $ 1.44 | $ 1,000.00 | $ 1,023.36 | $ 1.45 | 0.29% |
19 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9% | |||
Asset-Backed - Automobile - 0.1% | |||
$ 30,292 | American Credit Acceptance Receivables Trust 0.62%, 10/13/2023(1) | $ 30,308 | |
105,000 | Prestige Auto Receivables Trust 1.62%, 11/16/2026(1) | 106,310 | |
105,000 | Westlake Automobile Receivables Trust 1.65%, 02/17/2026(1) | 106,703 | |
243,321 | |||
Asset-Backed - Credit Card - 0.0% | |||
110,000 | Mercury Financial Credit Card Master Trust 1.54%, 03/20/2026(1) | 110,446 | |
Asset-Backed - Finance & Insurance - 1.4% | |||
BlueMountain CLO Ltd. | |||
250,000 | 1.23%, 04/20/2034, 3 mo. USD LIBOR + 1.100%(1)(2) | 250,129 | |
470,000 | 1.35%, 04/19/2034, 3 mo. USD LIBOR + 1.150%(1)(2) | 470,078 | |
Carlyle U.S. CLO Ltd. | |||
270,000 | 1.15%, 04/20/2031, 3 mo. USD LIBOR + 1.020%(1)(2) | 269,737 | |
250,000 | 1.25%, 04/20/2034, 3 mo. USD LIBOR + 1.080%(1)(2) | 250,217 | |
270,000 | Dryden 55 CLO Ltd. 1.15%, 04/15/2031, 3 mo. USD LIBOR + 1.020%(1)(2) | 269,916 | |
270,000 | KKR CLO Ltd. 1.13%, 04/15/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 270,017 | |
270,000 | Madison Park Funding Ltd. 1.39%, 01/15/2033, 3 mo. USD LIBOR + 1.260%(1)(2) | 270,862 | |
340,000 | Redding Ridge Asset Management LLC 1.19%, 07/15/2036, 3 mo. USD LIBOR + 1.110%(1)(2) | 340,197 | |
345,000 | Regatta Funding Ltd. 1.29%, 04/20/2034, 3 mo. USD LIBOR + 1.160%(1)(2) | 345,178 | |
390,000 | Sound Point CLO Ltd. 1.21%, 04/25/2034, 3 mo. USD LIBOR + 1.070%(1)(2) | 389,899 | |
Towd Point Mortgage Trust | |||
282,072 | 2.75%, 10/25/2057(1)(3) | 288,272 | |
69,575 | 3.25%, 03/25/2058(1)(3) | 72,035 | |
150,000 | Venture CLO Ltd. 1.38%, 04/15/2034, 3 mo. USD LIBOR + 1.240%(1)(2) | 150,179 | |
3,636,716 | |||
Commercial Mortgage-Backed Securities - 2.7% | |||
Benchmark Mortgage Trust | |||
563,374 | 1.52%, 01/15/2054(3)(4) | 67,357 | |
619,404 | 1.79%, 07/15/2053(3)(4) | 69,626 | |
BX Commercial Mortgage Trust | |||
336,445 | 0.89%, 12/15/2036, 1 mo. USD LIBOR + 0.800%(1)(2) | 336,868 | |
214,481 | 1.01%, 10/15/2036, 1 mo. USD LIBOR + 0.920%(1)(2) | 214,952 | |
87,843 | Citigroup Commercial Mortgage Trust 3.61%, 11/10/2048 | 92,636 | |
Commercial Mortgage Trust | |||
35,000 | 3.18%, 02/10/2048 | 37,618 | |
150,000 | 3.31%, 03/10/2048 | 162,093 | |
210,000 | 3.61%, 08/10/2049(1)(3) | 224,982 | |
30,000 | CSAIL Commercial Mortgage Trust 4.36%, 11/15/2051(3) | 33,800 | |
100,000 | CSMC Trust 2.26%, 08/15/2037(1) | 103,709 | |
DBJPM Mortgage Trust | |||
469,397 | 1.71%, 09/15/2053(3)(4) | 47,795 | |
46,905 | 3.04%, 05/10/2049 | 49,336 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9% - (continued) | |||
Commercial Mortgage-Backed Securities - 2.7% - (continued) | |||
FREMF Mortgage Trust | |||
$ 295,000 | 3.59%, 04/25/2048(1)(3) | $ 319,229 | |
90,000 | 3.67%, 11/25/2049(1)(3) | 96,799 | |
230,000 | 3.76%, 07/25/2026(1)(3) | 250,972 | |
225,000 | 3.94%, 06/25/2049(1)(3) | 249,828 | |
315,000 | 4.15%, 08/25/2047(1)(3) | 343,019 | |
375,000 | GS Mortgage Securities Trust 3.44%, 11/10/2049(3) | 414,232 | |
200,000 | Hawaii Hotel Trust 1.24%, 05/15/2038, 1 mo. USD LIBOR + 1.150%(1)(2) | 200,434 | |
JPMBB Commercial Mortgage Securities Trust | |||
143,220 | 2.95%, 06/15/2049 | 150,554 | |
150,000 | 3.24%, 10/15/2050 | 161,646 | |
86,149 | 3.56%, 12/15/2048 | 91,255 | |
635,000 | 3.58%, 03/15/2049 | 696,331 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
100,000 | 2.92%, 02/15/2046 | 102,729 | |
210,000 | 3.53%, 12/15/2047 | 226,498 | |
150,000 | One Market Plaza Trust 3.61%, 02/10/2032(1) | 152,631 | |
50,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 52,128 | |
100,000 | VNDO Mortgage Trust 3.00%, 11/15/2030(1) | 102,485 | |
Wells Fargo Commercial Mortgage Trust | |||
360,000 | 3.15%, 05/15/2048 | 386,734 | |
86,767 | 3.52%, 12/15/2048 | 91,660 | |
420,000 | 3.64%, 03/15/2050 | 469,790 | |
235,000 | 3.81%, 12/15/2048 | 260,952 | |
Wells Fargo N.A. | |||
4,032,276 | 0.65%, 11/15/2062(3)(4) | 193,204 | |
1,502,632 | 1.35%, 11/15/2053(3)(4) | 154,900 | |
1,281,321 | 1.79%, 03/15/2063(3)(4) | 174,802 | |
170,000 | 2.04%, 02/15/2054 | 172,305 | |
145,000 | 4.41%, 11/15/2061(3) | 171,039 | |
49,297 | WFRBS Commercial Mortgage Trust 2.98%, 06/15/2046 | 50,331 | |
7,177,259 | |||
Other Asset-Backed Securities - 3.2% | |||
Affirm Asset Securitization Trust | |||
114,412 | 1.90%, 01/15/2025(1) | 115,305 | |
47,109 | 3.46%, 10/15/2024(1) | 47,712 | |
100,000 | Arbor Realty Collateralized Loan Obligation Ltd. 1.19%, 05/15/2036, 1 mo. USD LIBOR + 1.100%(1)(2) | 100,063 | |
150,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 150,026 | |
380,000 | Bain Capital Credit CLO Ltd. 1.32%, 07/25/2034, 3 mo. USD LIBOR + 1.180%(1)(2)(5) | 380,109 | |
137,416 | Bayview Mortgage Fund Trust 3.50%, 01/28/2058(1)(3) | 138,909 | |
Bayview Opportunity Master Fund Trust | |||
105,922 | 3.50%, 06/28/2057(1)(3) | 108,328 | |
165,482 | 4.00%, 10/28/2064(1)(3) | 169,037 | |
246,409 | Carlyle Global Market Strategies CLO Ltd. 1.21%, 05/15/2031, 3 mo. USD LIBOR + 1.050%(1)(2) | 246,588 | |
300,000 | CIFC Funding Ltd. 1.78%, 08/24/2032, 3 mo. USD LIBOR + 1.650%(1)(2) | 300,565 | |
16,066 | Consumer Loan Underlying Bond CLUB Credit Trust 2.26%, 03/15/2028(1) | 16,122 | |
154,612 | Domino's Pizza Master Issuer LLC 2.66%, 04/25/2051(1) | 161,306 |
20 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9% - (continued) | |||
Other Asset-Backed Securities - 3.2% - (continued) | |||
$ 385,000 | Madison Park Funding Ltd. 1.25%, 07/17/2034, 3 mo. USD LIBOR + 1.120%(1)(2) | $ 385,223 | |
250,000 | Magnetite Ltd. 1.23%, 07/20/2031, 3 mo. USD LIBOR + 1.100%(1)(2) | 250,279 | |
17,667 | Marlette Funding Trust 2.39%, 12/17/2029(1) | 17,745 | |
81,933 | Mill City Mortgage Loan Trust 3.50%, 05/25/2058(1)(3) | 83,586 | |
235,000 | Navient Private Education Refi Loan Trust 0.97%, 12/16/2069(1) | 234,978 | |
330,000 | New Residential Advance Receivables Trust 1.43%, 08/15/2053(1) | 330,792 | |
305,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(1) | 305,897 | |
270,000 | Octagon Investment Partners Ltd. 1.46%, 10/15/2032, 3 mo. USD LIBOR + 1.330%(1)(2) | 270,386 | |
250,000 | Palmer Square CLO Ltd. 1.83%, 07/15/2031, 3 mo. USD LIBOR + 1.700%(1)(2) | 250,378 | |
150,000 | Pretium Mortgage Credit Partners LLC 1.87%, 07/25/2051(1)(6) | 150,158 | |
100,000 | Regional Management Issuance Trust 2.34%, 10/15/2030(1) | 102,088 | |
395,000 | RR LLC 1.23%, 07/15/2035, 3 mo. USD LIBOR + 1.150%(1)(2) | 395,470 | |
150,000 | SCF Equipment Leasing 1.19%, 10/20/2027(1) | 150,948 | |
60,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(1) | 60,421 | |
75,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 75,294 | |
Towd Point Mortgage Trust | |||
170,479 | 1.75%, 10/25/2060(1) | 172,836 | |
42,969 | 2.75%, 08/25/2055(1)(3) | 43,317 | |
255,907 | 2.75%, 10/25/2056(1)(3) | 259,735 | |
303,034 | 2.75%, 06/25/2057(1)(3) | 311,549 | |
225,076 | 2.75%, 07/25/2057(1)(3) | 229,286 | |
74,077 | 2.90%, 10/25/2059(1)(3) | 76,766 | |
292,268 | 3.72%, 03/25/2058(1)(3) | 308,125 | |
180,000 | Upstart Securitization Trust 0.83%, 07/20/2031(1) | 180,015 | |
235,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 237,085 | |
211,096 | VCAT LLC 1.74%, 05/25/2051(1)(6) | 211,515 | |
390,000 | Venture CLO Ltd. 1.31%, 04/15/2034, 3 mo. USD LIBOR + 1.130%(1)(2) | 390,130 | |
233,089 | VOLT XCIX LLC 2.12%, 04/25/2051(1)(6) | 236,411 | |
178,136 | VOLT XCV LLC 2.24%, 03/27/2051(1)(6) | 180,711 | |
300,000 | Wellfleet CLO Ltd. 1.34%, 07/20/2032, 3 mo. USD LIBOR + 1.170%(1)(2) | 299,923 | |
205,000 | Wendy's Funding LLC 2.37%, 06/15/2051(1) | 208,510 | |
99,750 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 103,608 | |
8,447,235 | |||
Packaging & Containers - 0.4% | |||
235,000 | 245 Park Avenue Trust 3.51%, 06/05/2037(1) | 259,708 | |
230,000 | Tricolor Auto Securitization Trust 0.74%, 04/15/2024(1) | 229,999 | |
660,000 | Venture CLO Ltd. 1.26%, 07/15/2032 | 660,000 | |
1,149,707 | |||
Telecommunications - 0.0% | |||
61,469 | GCAT Trust 1.56%, 04/25/2065(1)(6) | 61,751 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9% - (continued) | |||
Trucking & Leasing - 0.2% | |||
$ 410,000 | Dryden 86 CLO Ltd. 1.24%, 07/17/2034, 3 mo. USD LIBOR + 1.100%(1)(2)(5) | $ 410,160 | |
Whole Loan Collateral CMO - 4.9% | |||
Angel Oak Mortgage Trust | |||
231,099 | 0.91%, 01/25/2066(1)(3) | 234,685 | |
165,868 | 0.99%, 04/25/2053(1)(3) | 165,940 | |
167,138 | 0.99%, 04/25/2066(1)(3) | 168,277 | |
301,184 | 1.07%, 05/25/2066(1)(3) | 301,695 | |
87,372 | 1.47%, 06/25/2065(1)(3) | 87,837 | |
129,272 | 1.69%, 04/25/2065(1)(3) | 130,427 | |
75,521 | Angel Oak Mortgage Trust LLC 3.65%, 09/25/2048(1)(3) | 75,972 | |
58,950 | Arroyo Mortgage Trust 3.81%, 01/25/2049(1)(3) | 60,102 | |
117,282 | BRAVO Residential Funding Trust 0.94%, 02/25/2049(1)(3) | 117,447 | |
Bunker Hill Loan Depositary Trust | |||
138,533 | 1.72%, 02/25/2055(1)(3) | 140,148 | |
56,456 | 2.88%, 07/25/2049(1)(6) | 57,269 | |
274,000 | COLT Funding LLC 0.92%, 08/25/2066(1)(3) | 274,511 | |
COLT Mortgage Loan Trust | |||
111,392 | 0.80%, 07/27/2054(1)(3) | 111,217 | |
204,657 | 0.91%, 06/25/2066(1)(3) | 204,167 | |
52,814 | 1.26%, 09/25/2065(1)(3) | 52,979 | |
161,043 | 1.33%, 10/26/2065(1)(3) | 161,297 | |
327,685 | 1.39%, 01/25/2065(1)(3) | 330,961 | |
127,706 | 1.51%, 04/27/2065(1)(3) | 127,966 | |
290,000 | Credit Suisse Mortgage Capital Certificates 0.94%, 05/25/2066(1)(3) | 289,998 | |
CSMC Trust | |||
150,615 | 0.83%, 03/25/2056(1)(3) | 152,752 | |
337,456 | 1.18%, 02/25/2066(1)(3) | 342,812 | |
224,217 | 1.21%, 05/25/2065(1)(6) | 225,522 | |
102,770 | 1.80%, 12/27/2060(1)(3) | 103,365 | |
242,628 | 2.00%, 01/25/2060(1)(3) | 249,123 | |
Deephaven Residential Mortgage Trust | |||
80,298 | 0.72%, 05/25/2065(1)(3) | 80,238 | |
100,970 | 0.90%, 04/25/2066(1)(3) | 100,871 | |
100,330 | 1.69%, 05/25/2065(1) | 100,801 | |
Ellington Financial Mortgage Trust | |||
81,232 | 0.80%, 02/25/2066(1)(3) | 81,020 | |
97,186 | 0.93%, 06/25/2066(1)(3) | 97,471 | |
70,747 | 1.18%, 10/25/2065(1)(3) | 70,850 | |
1,944 | Galton Funding Mortgage Trust 3.50%, 11/25/2057(1)(3) | 1,944 | |
GCAT Trust | |||
272,819 | 0.87%, 01/25/2066(1)(3) | 276,944 | |
194,357 | 1.04%, 05/25/2066(1)(3) | 194,357 | |
45,953 | 2.25%, 01/25/2060(1)(6) | 46,584 | |
Legacy Mortgage Asset Trust | |||
106,792 | 1.75%, 04/25/2061(1)(6) | 108,268 | |
137,294 | 1.75%, 07/25/2061(1)(6) | 137,580 | |
MetLife Securitization Trust | |||
60,546 | 3.75%, 03/25/2057(1)(3) | 63,090 | |
78,643 | 3.75%, 04/25/2058(1)(3) | 81,027 | |
MFA Trust | |||
66,107 | 1.01%, 01/26/2065(1)(3) | 66,186 | |
187,264 | 1.15%, 04/25/2065(1)(3) | 189,986 | |
142,932 | Mill City Mortgage Loan Trust 3.25%, 10/25/2069(1)(3) | 150,950 |
21 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.9% - (continued) | |||
Whole Loan Collateral CMO - 4.9% - (continued) | |||
New Residential Mortgage Loan Trust | |||
$ 170,425 | 0.94%, 07/25/2055(1)(3) | $ 170,625 | |
140,874 | 0.94%, 09/25/2058(1)(3) | 141,707 | |
56,272 | 1.65%, 05/24/2060(1)(3) | 56,888 | |
166,840 | 3.50%, 12/25/2057(1)(3) | 172,678 | |
24,983 | 3.75%, 03/25/2056(1)(3) | 26,397 | |
66,627 | 3.75%, 11/25/2058(1)(3) | 71,677 | |
286,653 | 4.00%, 03/25/2057(1)(3) | 307,455 | |
304,216 | 4.00%, 12/25/2057(1)(3) | 326,116 | |
317,390 | NMLT Trust 1.19%, 05/25/2056(1)(3) | 317,462 | |
328,590 | OBX Trust 1.07%, 02/25/2066(1)(3) | 328,956 | |
Preston Ridge Partners Mortgage Trust LLC | |||
140,000 | 1.32%, 07/25/2051(1)(3)(5) | 139,999 | |
193,633 | 1.79%, 06/25/2026(1)(6) | 193,726 | |
350,000 | 1.79%, 07/25/2026 | 349,998 | |
373,776 | 1.87%, 04/25/2026(1)(6) | 378,276 | |
97,983 | 2.12%, 03/25/2026(1)(3) | 99,353 | |
79,830 | 2.36%, 11/25/2025(1)(6) | 80,110 | |
189,767 | 2.86%, 09/25/2025(1)(6) | 190,878 | |
382,756 | Pretium Mortgage Credit Partners LLC 1.99%, 02/25/2061(1)(6) | 383,059 | |
168,141 | RCO VII Mortgage LLC 1.87%, 05/25/2026(1)(6) | 168,292 | |
145,380 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(3) | 145,155 | |
28,649 | Seasoned Credit Risk Transfer Trust 2.50%, 08/25/2059 | 29,720 | |
Starwood Mortgage Residential Trust | |||
114,670 | 0.94%, 05/25/2065(1)(3) | 115,401 | |
58,080 | 1.49%, 04/25/2065(1)(3) | 58,329 | |
303,928 | Starwood Residential Mortgage Trust 1.22%, 05/25/2065(1)(3) | 304,757 | |
Toorak Mortgage Corp. Ltd. | |||
253,000 | 1.15%, 07/25/2056(1)(3) | 253,265 | |
190,000 | 2.24%, 06/25/2024(1)(6) | 190,276 | |
381,279 | Towd Point Mortgage Trust 2.92%, 11/30/2060(1)(3) | 389,759 | |
88,794 | VCAT LLC 2.12%, 03/27/2051(1)(6) | 89,078 | |
Verus Securitization Trust | |||
178,555 | 0.92%, 02/25/2064(1)(3) | 178,880 | |
246,000 | 0.94%, 07/25/2066(1)(3) | 246,024 | |
134,858 | 1.03%, 02/25/2066(1)(3) | 134,904 | |
113,472 | 1.22%, 05/25/2065(1)(6) | 113,737 | |
91,778 | 1.50%, 05/25/2065(1)(6) | 92,446 | |
98,871 | 2.69%, 11/25/2059(1)(3) | 100,601 | |
254,838 | VOLT XCIII LLC 1.89%, 02/27/2051(1)(6) | 254,724 | |
193,930 | VOLT XCIV LLC 2.24%, 02/27/2051(1)(6) | 194,249 | |
73,343 | VOLT XCVIII LLC 2.12%, 04/25/2051(1)(6) | 74,378 | |
986,061 | Wells Fargo N.A. 0.96%, 02/15/2052(3)(4) | 57,838 | |
12,941,809 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $34,092,283) | $ 34,178,404 | ||
CORPORATE BONDS - 28.3% | |||
Aerospace/Defense - 0.5% | |||
366,000 | Boeing Co. 5.04%, 05/01/2027 | $ 423,610 | |
L3Harris Technologies, Inc. | |||
72,000 | 3.85%, 06/15/2023 | 76,394 | |
100,000 | 4.40%, 06/15/2028 | 116,767 | |
102,000 | Lockheed Martin Corp. 3.80%, 03/01/2045 | 120,913 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Aerospace/Defense - 0.5% - (continued) | |||
$ 255,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | $ 342,430 | |
252,000 | United Technologies Corp. 4.45%, 11/16/2038 | 311,683 | |
1,391,797 | |||
Agriculture - 0.2% | |||
64,000 | Altria Group, Inc. 3.88%, 09/16/2046 | 64,760 | |
112,000 | Archer-Daniels-Midland Co. 3.25%, 03/27/2030 | 125,399 | |
BAT Capital Corp. | |||
215,000 | 2.26%, 03/25/2028 | 216,272 | |
55,000 | 3.46%, 09/06/2029 | 58,811 | |
95,000 | BAT International Finance plc 1.67%, 03/25/2026 | 95,945 | |
561,187 | |||
Auto Manufacturers - 0.1% | |||
294,000 | General Motors Co. 6.13%, 10/01/2025 | 347,944 | |
Beverages - 0.8% | |||
Anheuser-Busch InBev Worldwide, Inc. | |||
692,000 | 3.75%, 07/15/2042 | 771,441 | |
31,000 | 4.35%, 06/01/2040 | 37,504 | |
Coca-Cola Co. | |||
330,000 | 2.25%, 01/05/2032 | 344,310 | |
110,000 | 3.00%, 03/05/2051 | 118,857 | |
104,000 | Constellation Brands, Inc. 3.60%, 02/15/2028 | 116,200 | |
400,000 | Diageo Capital plc 2.00%, 04/29/2030 | 406,776 | |
PepsiCo, Inc. | |||
314,000 | 1.63%, 05/01/2030 | 314,506 | |
5,000 | 2.63%, 03/19/2027 | 5,413 | |
109,000 | 3.63%, 03/19/2050 | 130,395 | |
2,245,402 | |||
Biotechnology - 0.3% | |||
142,000 | Amgen, Inc. 2.45%, 02/21/2030 | 148,600 | |
Gilead Sciences, Inc. | |||
500,000 | 1.65%, 10/01/2030 | 491,989 | |
5,000 | 3.65%, 03/01/2026 | 5,540 | |
Royalty Pharma plc | |||
15,000 | 1.75%, 09/02/2027(1) | 15,083 | |
105,000 | 2.20%, 09/02/2030(1) | 104,393 | |
765,605 | |||
Chemicals - 0.2% | |||
Air Products and Chemicals, Inc. | |||
5,000 | 1.50%, 10/15/2025 | 5,139 | |
15,000 | 1.85%, 05/15/2027 | 15,554 | |
209,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 225,512 | |
LYB International Finance LLC | |||
45,000 | 1.25%, 10/01/2025 | 45,251 | |
150,000 | 3.80%, 10/01/2060 | 167,574 | |
Sherwin-Williams Co. | |||
67,000 | 2.30%, 05/15/2030 | 69,234 | |
2,000 | 2.95%, 08/15/2029 | 2,177 | |
530,441 | |||
Commercial Banks - 6.7% | |||
Bank of America Corp. | |||
315,000 | 1.66%, 03/11/2027, (1.66% fixed rate until 03/11/2026; 3 mo. USD LIBOR + 0.910% thereafter)(7) | 319,951 | |
435,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 3 mo. USD LIBOR + 0.825% thereafter)(7) | 428,175 |
22 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Commercial Banks - 6.7% - (continued) | |||
$ 432,000 | 2.46%, 10/22/2025, (2.46% fixed rate until 10/22/2024; 3 mo. USD LIBOR + 0.870% thereafter)(7) | $ 452,644 | |
1,105,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.320% thereafter)(7) | 1,153,556 | |
485,000 | 3.00%, 12/20/2023, (3.00% fixed rate until 12/20/2022; 3 mo. USD LIBOR + 0.790% thereafter)(7) | 502,059 | |
155,000 | 3.31%, 04/22/2042, (3.31% fixed rate until 04/22/2041; 3 mo. USD SOFR + 1.580% thereafter)(7) | 166,807 | |
161,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD LIBOR + 1.210% thereafter)(7) | 183,040 | |
503,000 | 4.08%, 03/20/2051, (4.08% fixed rate until 03/20/2050; 3 mo. USD LIBOR + 3.150% thereafter)(7) | 607,944 | |
400,000 | BNP Paribas S.A. 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(1)(7) | 413,748 | |
Citigroup, Inc. | |||
200,000 | 0.98%, 05/01/2025, (0.98% fixed rate until 05/01/2024; 3 mo. USD LIBOR + 0.669% thereafter)(7) | 201,076 | |
270,000 | 1.46%, 06/09/2027, (1.46% fixed rate until 06/09/2026; 3 mo. USD LIBOR + 0.770% thereafter)(7) | 270,238 | |
681,000 | 3.20%, 10/21/2026 | 741,654 | |
1,040,000 | 3.70%, 01/12/2026 | 1,154,581 | |
Goldman Sachs Group, Inc. | |||
55,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 3 mo. USD SOFR + 1.090% thereafter)(7) | 54,117 | |
190,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.248% thereafter)(7) | 192,806 | |
931,000 | 2.60%, 02/07/2030 | 971,566 | |
460,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.281% thereafter)(7) | 475,658 | |
67,000 | 4.02%, 10/31/2038, (4.02% fixed rate until 10/31/2037; 3 mo. USD LIBOR + 1.373% thereafter)(7) | 79,441 | |
HSBC Holdings plc | |||
815,000 | 0.98%, 05/24/2025, (0.98% fixed rate until 05/24/2024; 3 mo. USD SOFR + 0.708% thereafter)(7) | 817,093 | |
200,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD LIBOR + 1.290% thereafter)(7) | 201,144 | |
205,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(7) | 238,341 | |
JP Morgan Chase & Co. | |||
1,643,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD LIBOR + 1.160% thereafter)(7) | 1,714,494 | |
825,000 | 2.58%, 04/22/2032, (2.58% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.250% thereafter)(7) | 857,226 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Commercial Banks - 6.7% - (continued) | |||
$ 85,000 | 3.11%, 04/22/2041, (3.11% fixed rate until 04/22/2040; 3 mo. USD SOFR + 2.460% thereafter)(7) | $ 90,337 | |
130,000 | 3.16%, 04/22/2042, (3.16% fixed rate until 04/22/2041; 3 mo. USD SOFR + 1.460% thereafter)(7) | 138,230 | |
95,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(7) | 101,060 | |
77,000 | 4.49%, 03/24/2031, (4.49% fixed rate until 03/24/2030; 3 mo. USD SOFR + 3.790% thereafter)(7) | 92,004 | |
218,000 | KeyCorp. 2.55%, 10/01/2029 | 230,995 | |
Morgan Stanley | |||
160,000 | 1.59%, 05/04/2027, (1.59% fixed rate until 05/04/2026; 3 mo. USD SOFR + 0.879% thereafter)(7) | 162,366 | |
235,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(7) | 228,203 | |
95,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 3 mo. USD SOFR + 1.020% thereafter)(7) | 93,251 | |
317,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(7) | 333,819 | |
700,000 | 3.88%, 01/27/2026 | 784,704 | |
91,000 | 3.97%, 07/22/2038, (3.97% fixed rate until 07/22/2037; 3 mo. USD LIBOR + 1.455% thereafter)(7) | 107,397 | |
400,000 | 4.30%, 01/27/2045 | 499,255 | |
136,000 | PNC Financial Services Group, Inc. 2.55%, 01/22/2030 | 144,024 | |
164,000 | Santander Holdings USA, Inc. 3.40%, 01/18/2023 | 170,579 | |
State Street Corp. | |||
177,000 | 2.35%, 11/01/2025, (2.35% fixed rate until 11/01/2024; 3 mo. USD SOFR + 0.940% thereafter)(7) | 186,569 | |
172,000 | 2.90%, 03/30/2026, (2.90% fixed rate until 03/30/2025; 3 mo. USD SOFR + 2.600% thereafter)(7) | 184,368 | |
500,000 | Truist Bank 2.25%, 03/11/2030 | 517,659 | |
160,000 | Truist Financial Corp. 1.89%, 06/07/2029, (1.89% fixed rate until 06/07/2028; 3 mo. USD LIBOR + 0.862% thereafter)(7) | 163,233 | |
Wells Fargo & Co. | |||
958,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD LIBOR + 1.087% thereafter)(7) | 1,001,694 | |
181,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD SOFR + 4.502% thereafter)(7) | 251,812 | |
17,678,918 | |||
Commercial Services - 0.2% | |||
Global Payments, Inc. | |||
162,000 | 2.90%, 05/15/2030 | 171,949 | |
162,000 | 3.20%, 08/15/2029 | 175,278 | |
70,000 | Howard University 3.48%, 10/01/2041 | 73,482 | |
100,000 | Howard University (AGM Insured) 2.90%, 10/01/2031 | 104,396 | |
525,105 |
23 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Construction Materials - 0.1% | |||
$ 159,000 | Carrier Global Corp. 2.24%, 02/15/2025 | $ 166,376 | |
Diversified Financial Services - 0.4% | |||
444,000 | BlackRock, Inc. 1.90%, 01/28/2031 | 452,405 | |
400,000 | BOC Aviation USA Corp. 1.63%, 04/29/2024(1) | 403,492 | |
150,000 | Mastercard, Inc. 2.95%, 03/15/2051 | 158,721 | |
1,014,618 | |||
Electric - 3.7% | |||
Alabama Power Co. | |||
100,000 | 3.45%, 10/01/2049 | 112,293 | |
42,000 | 4.15%, 08/15/2044 | 51,556 | |
397,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 442,069 | |
154,000 | Commonwealth Edison Co. 2.55%, 06/15/2026 | 164,739 | |
1,273,000 | Dominion Energy, Inc. 2.85%, 08/15/2026 | 1,369,124 | |
Duke Energy Corp. | |||
1,025,000 | 2.55%, 06/15/2031 | 1,058,883 | |
615,000 | 2.65%, 09/01/2026 | 654,964 | |
162,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 175,527 | |
200,000 | Enel Finance International N.V. 1.38%, 07/12/2026(1) | 201,186 | |
124,000 | Evergy, Inc. 2.90%, 09/15/2029 | 133,203 | |
Exelon Corp. | |||
100,000 | 3.95%, 06/15/2025 | 110,338 | |
105,000 | 4.70%, 04/15/2050 | 136,214 | |
Georgia Power Co. | |||
99,000 | 2.10%, 07/30/2023 | 102,384 | |
356,000 | 4.30%, 03/15/2042 | 424,960 | |
297,000 | ITC Holdings Corp. 2.95%, 05/14/2030(1) | 317,230 | |
454,000 | NextEra Energy Capital Holdings, Inc. 2.25%, 06/01/2030 | 465,892 | |
354,000 | Oglethorpe Power Corp. 5.05%, 10/01/2048 | 452,259 | |
112,000 | Oncor Electric Delivery Co. LLC 2.95%, 04/01/2025 | 119,966 | |
585,000 | Pacific Gas and Electric Co. 2.50%, 02/01/2031 | 551,287 | |
660,000 | Public Service Enterprise Group, Inc. 1.60%, 08/15/2030 | 635,978 | |
Puget Energy, Inc. | |||
469,000 | 3.65%, 05/15/2025 | 507,080 | |
77,000 | 4.10%, 06/15/2030 | 87,323 | |
Sempra Energy | |||
47,000 | 3.40%, 02/01/2028 | 51,926 | |
162,000 | 4.00%, 02/01/2048 | 185,885 | |
464,000 | Sierra Pacific Power Co. 2.60%, 05/01/2026 | 495,742 | |
Southern California Edison Co. | |||
42,000 | 2.25%, 06/01/2030 | 42,209 | |
72,000 | 2.85%, 08/01/2029 | 75,854 | |
246,000 | 3.65%, 02/01/2050 | 250,605 | |
132,000 | 4.00%, 04/01/2047 | 139,598 | |
Southern Co. | |||
4,000 | 3.25%, 07/01/2026 | 4,370 | |
252,000 | 3.70%, 04/30/2030 | 283,337 | |
9,803,981 | |||
Environmental Control - 0.0% | |||
50,000 | Waste Management, Inc. 2.00%, 06/01/2029 | 51,330 | |
Food - 0.4% | |||
247,000 | Conagra Brands, Inc. 4.85%, 11/01/2028 | 296,542 | |
257,000 | General Mills, Inc. 2.88%, 04/15/2030 | 276,305 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Food - 0.4% - (continued) | |||
Hormel Foods Corp. | |||
$ 105,000 | 0.65%, 06/03/2024 | $ 105,340 | |
20,000 | 1.70%, 06/03/2028 | 20,335 | |
265,000 | Mondelez International, Inc. 1.50%, 02/04/2031(8) | 254,414 | |
952,936 | |||
Gas - 0.3% | |||
62,000 | Dominion Energy Gas Holdings LLC 2.50%, 11/15/2024 | 65,033 | |
NiSource, Inc. | |||
647,000 | 3.49%, 05/15/2027 | 719,377 | |
77,000 | 3.60%, 05/01/2030 | 86,098 | |
870,508 | |||
Healthcare - Products - 0.5% | |||
400,000 | Alcon Finance Corp. 3.00%, 09/23/2029(1) | 426,980 | |
Boston Scientific Corp. | |||
337,000 | 1.90%, 06/01/2025 | 349,262 | |
324,000 | 3.75%, 03/01/2026 | 361,587 | |
67,000 | Thermo Fisher Scientific, Inc. 2.95%, 09/19/2026 | 72,865 | |
1,210,694 | |||
Healthcare - Services - 0.7% | |||
Anthem, Inc. | |||
25,000 | 2.25%, 05/15/2030 | 25,664 | |
107,000 | 2.88%, 09/15/2029 | 115,250 | |
71,000 | 4.38%, 12/01/2047 | 88,875 | |
117,000 | CommonSpirit Health 2.76%, 10/01/2024 | 123,235 | |
520,000 | HCA, Inc. 2.38%, 07/15/2031 | 524,893 | |
130,000 | Humana, Inc. 2.15%, 02/03/2032 | 130,411 | |
Kaiser Foundation Hospitals | |||
190,000 | 2.81%, 06/01/2041 | 198,921 | |
95,000 | 3.00%, 06/01/2051 | 100,509 | |
112,000 | Quest Diagnostics, Inc. 2.80%, 06/30/2031 | 118,933 | |
60,000 | Sutter Health 3.36%, 08/15/2050 | 65,316 | |
UnitedHealth Group, Inc. | |||
220,000 | 2.30%, 05/15/2031 | 228,916 | |
87,000 | 4.75%, 07/15/2045 | 116,689 | |
1,837,612 | |||
Household Products - 0.0% | |||
72,000 | Estee Lauder Cos., Inc. 2.60%, 04/15/2030 | 77,049 | |
Insurance - 0.7% | |||
611,000 | American International Group, Inc. 2.50%, 06/30/2025 | 644,816 | |
197,000 | Berkshire Hathaway Finance Corp. 4.20%, 08/15/2048 | 247,988 | |
470,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 474,089 | |
Marsh & McLennan Cos., Inc. | |||
86,000 | 3.88%, 03/15/2024 | 93,075 | |
180,000 | 4.75%, 03/15/2039 | 234,858 | |
5,000 | New York Life Insurance Co. 3.75%, 05/15/2050(1) | 5,790 | |
172,000 | Progressive Corp. 3.20%, 03/26/2030 | 191,574 | |
44,000 | Willis North America, Inc. 2.95%, 09/15/2029 | 46,584 | |
1,938,774 |
24 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Internet - 0.3% | |||
$ 400,000 | Alphabet, Inc. 2.05%, 08/15/2050 | $ 361,937 | |
306,000 | Amazon.com, Inc. 3.15%, 08/22/2027 | 339,472 | |
225,000 | Tencent Holdings Ltd. 2.39%, 06/03/2030(1) | 226,063 | |
927,472 | |||
Iron/Steel - 0.1% | |||
175,000 | Vale Overseas Ltd. 3.75%, 07/08/2030 | 187,250 | |
IT Services - 0.7% | |||
Apple, Inc. | |||
211,000 | 1.13%, 05/11/2025 | 213,742 | |
270,000 | 1.20%, 02/08/2028 | 267,824 | |
211,000 | 2.20%, 09/11/2029 | 220,750 | |
620,000 | 2.65%, 02/08/2051 | 617,514 | |
600,000 | International Business Machines Corp. 1.95%, 05/15/2030 | 601,948 | |
1,921,778 | |||
Machinery - Construction & Mining - 0.1% | |||
187,000 | Caterpillar, Inc. 2.60%, 04/09/2030 | 201,195 | |
Machinery-Diversified - 0.3% | |||
John Deere Capital Corp. | |||
31,000 | 1.20%, 04/06/2023 | 31,508 | |
74,000 | 2.60%, 03/07/2024 | 77,983 | |
670,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 707,174 | |
816,665 | |||
Media - 1.5% | |||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||
355,000 | 2.30%, 02/01/2032 | 348,417 | |
37,000 | 2.80%, 04/01/2031 | 38,268 | |
45,000 | 3.90%, 06/01/2052 | 46,569 | |
652,000 | 4.20%, 03/15/2028 | 741,975 | |
380,000 | 4.40%, 12/01/2061 | 416,974 | |
108,000 | 5.13%, 07/01/2049 | 130,849 | |
Comcast Corp. | |||
456,000 | 3.20%, 07/15/2036 | 496,610 | |
5,000 | 3.40%, 07/15/2046 | 5,461 | |
115,000 | 3.75%, 04/01/2040 | 133,199 | |
32,000 | 4.70%, 10/15/2048 | 41,940 | |
425,000 | 4.75%, 03/01/2044 | 554,807 | |
35,000 | 4.95%, 10/15/2058 | 49,415 | |
155,000 | Cox Communications, Inc. 2.60%, 06/15/2031(1) | 159,546 | |
Discovery Communications LLC | |||
95,000 | 3.95%, 06/15/2025 | 104,639 | |
100,000 | 4.65%, 05/15/2050 | 118,586 | |
210,000 | 5.20%, 09/20/2047 | 265,748 | |
62,000 | 5.30%, 05/15/2049 | 79,667 | |
126,000 | ViacomCBS, Inc. 4.95%, 01/15/2031 | 154,110 | |
3,886,780 | |||
Miscellaneous Manufacturing - 0.5% | |||
567,000 | General Electric Co. 3.63%, 05/01/2030 | 639,911 | |
25,000 | Ingersoll-Rand Luxembourg Finance S.A. 4.50%, 03/21/2049 | 31,952 | |
550,000 | Siemens Financieringsmaatschappij N.V. 1.20%, 03/11/2026(1) | 554,249 | |
1,226,112 | |||
Oil & Gas - 0.8% | |||
BP Capital Markets America, Inc. | |||
55,000 | 2.94%, 06/04/2051 | 53,810 | |
10,000 | 3.06%, 06/17/2041 | 10,298 | |
255,000 | 3.38%, 02/08/2061 | 264,809 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Oil & Gas - 0.8% - (continued) | |||
$ 132,000 | 3.63%, 04/06/2030 | $ 149,424 | |
Equinor ASA | |||
222,000 | 3.63%, 04/06/2040 | 254,694 | |
66,000 | 3.70%, 04/06/2050 | 77,619 | |
Exxon Mobil Corp. | |||
217,000 | 4.23%, 03/19/2040 | 264,628 | |
2,000 | 4.33%, 03/19/2050 | 2,527 | |
141,000 | Hess Corp. 7.30%, 08/15/2031 | 192,714 | |
175,000 | Marathon Petroleum Corp. 4.70%, 05/01/2025 | 197,106 | |
415,000 | Qatar Petroleum Industry 2.25%, 07/12/2031(1) | 419,877 | |
250,000 | Shell International Finance B.V. 3.25%, 04/06/2050 | 271,441 | |
2,158,947 | |||
Pharmaceuticals - 1.6% | |||
AbbVie, Inc. | |||
419,000 | 3.20%, 11/21/2029 | 459,560 | |
389,000 | 4.25%, 11/21/2049 | 476,410 | |
Astrazeneca Finance LLC | |||
230,000 | 1.20%, 05/28/2026 | 231,937 | |
155,000 | 1.75%, 05/28/2028 | 157,655 | |
Bristol-Myers Squibb Co. | |||
190,000 | 0.75%, 11/13/2025 | 189,852 | |
175,000 | 2.55%, 11/13/2050 | 170,375 | |
87,000 | 3.40%, 07/26/2029 | 98,517 | |
565,000 | Cigna Corp. 1.25%, 03/15/2026 | 569,443 | |
CVS Health Corp. | |||
7,000 | 4.13%, 04/01/2040 | 8,276 | |
364,000 | 5.13%, 07/20/2045 | 480,685 | |
229,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 253,278 | |
Johnson & Johnson | |||
134,000 | 2.45%, 03/01/2026 | 143,497 | |
107,000 | 3.55%, 03/01/2036 | 127,256 | |
Novartis Capital Corp. | |||
134,000 | 2.00%, 02/14/2027 | 140,157 | |
67,000 | 2.20%, 08/14/2030 | 70,344 | |
Pfizer, Inc. | |||
277,000 | 1.70%, 05/28/2030 | 279,843 | |
62,000 | 2.63%, 04/01/2030 | 67,145 | |
62,000 | Shire Acquisitions Investments Ireland DAC 2.88%, 09/23/2023 | 64,820 | |
200,000 | Takeda Pharmaceutical Co., Ltd. 2.05%, 03/31/2030 | 201,584 | |
4,190,634 | |||
Pipelines - 0.7% | |||
111,000 | Energy Transfer Operating L.P. 3.75%, 05/15/2030 | 120,978 | |
373,000 | Enterprise Products Operating LLC 4.80%, 02/01/2049 | 471,358 | |
200,000 | Galaxy Pipeline Assets Bidco Ltd. 2.94%, 09/30/2040(1) | 201,438 | |
MPLX L.P. | |||
74,000 | 4.13%, 03/01/2027 | 83,393 | |
30,000 | 4.70%, 04/15/2048 | 35,207 | |
55,000 | 5.20%, 03/01/2047 | 68,187 | |
62,000 | 5.20%, 12/01/2047 | 75,651 | |
Sabine Pass Liquefaction LLC | |||
45,000 | 4.20%, 03/15/2028 | 51,002 | |
42,000 | 4.50%, 05/15/2030 | 49,073 | |
432,000 | Sunoco Logistics Partners Operations L.P. 5.30%, 04/01/2044 | 510,914 |
25 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Pipelines - 0.7% - (continued) | |||
$ 67,000 | Texas Eastern Transmission L.P. 2.80%, 10/15/2022(1) | $ 68,372 | |
TransCanada PipeLines Ltd. | |||
113,000 | 4.10%, 04/15/2030 | 130,754 | |
2,000 | 4.75%, 05/15/2038 | 2,469 | |
1,868,796 | |||
Real Estate Investment Trusts - 0.3% | |||
American Tower Corp. | |||
35,000 | 1.50%, 01/31/2028 | 34,483 | |
17,000 | 2.10%, 06/15/2030 | 16,998 | |
182,000 | 2.40%, 03/15/2025 | 190,509 | |
Equinix, Inc. | |||
5,000 | 1.80%, 07/15/2027 | 5,098 | |
365,000 | 2.00%, 05/15/2028 | 372,612 | |
VEREIT Operating Partnership L.P. | |||
10,000 | 2.20%, 06/15/2028 | 10,316 | |
10,000 | 2.85%, 12/15/2032 | 10,713 | |
40,000 | 3.40%, 01/15/2028 | 44,115 | |
684,844 | |||
Retail - 0.3% | |||
127,000 | AutoZone, Inc. 3.63%, 04/15/2025(8) | 138,916 | |
Home Depot, Inc. | |||
110,000 | 3.30%, 04/15/2040 | 122,791 | |
157,000 | 3.50%, 09/15/2056 | 181,002 | |
37,000 | Lowe's Cos., Inc. 3.70%, 04/15/2046 | 41,397 | |
McDonald's Corp. | |||
31,000 | 3.35%, 04/01/2023 | 32,459 | |
182,000 | 3.63%, 09/01/2049 | 206,555 | |
112,000 | Starbucks Corp. 3.80%, 08/15/2025 | 124,409 | |
847,529 | |||
Semiconductors - 1.2% | |||
2,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd. 3.88%, 01/15/2027 | 2,217 | |
Broadcom, Inc. | |||
20,000 | 2.60%, 02/15/2033(1) | 19,884 | |
545,000 | 3.42%, 04/15/2033(1) | 580,648 | |
92,000 | 3.47%, 04/15/2034(1) | 97,841 | |
573,000 | 5.00%, 04/15/2030 | 683,438 | |
Intel Corp. | |||
129,000 | 2.45%, 11/15/2029 | 135,982 | |
154,000 | 3.25%, 11/15/2049 | 164,982 | |
325,000 | Marvell Technology, Inc. 2.95%, 04/15/2031(1) | 339,034 | |
297,000 | Microchip Technology, Inc. 2.67%, 09/01/2023 | 308,512 | |
NVIDIA Corp. | |||
105,000 | 1.55%, 06/15/2028 | 105,789 | |
280,000 | 3.50%, 04/01/2040 | 320,527 | |
44,000 | NXP B.V. / NXP Funding LLC 4.88%, 03/01/2024(1) | 48,368 | |
NXP B.V. / NXP Funding LLC / NXP USA, Inc. | |||
122,000 | 3.15%, 05/01/2027(1) | 131,793 | |
264,000 | 4.30%, 06/18/2029(1) | 306,346 | |
3,245,361 | |||
Software - 1.7% | |||
95,430 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | 97,773 | |
480,000 | Fidelity National Information Services, Inc. 2.25%, 03/01/2031 | 487,264 | |
Fiserv, Inc. | |||
393,000 | 2.25%, 06/01/2027 | 411,463 | |
537,000 | 3.20%, 07/01/2026 | 584,339 | |
Microsoft Corp. | |||
187,000 | 2.53%, 06/01/2050 | 186,693 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 28.3% - (continued) | |||
Software - 1.7% - (continued) | |||
$ 52,000 | 2.92%, 03/17/2052 | $ 55,987 | |
Oracle Corp. | |||
265,000 | 2.30%, 03/25/2028 | 274,950 | |
1,090,000 | 2.88%, 03/25/2031 | 1,149,830 | |
415,000 | 3.60%, 04/01/2040 | 443,560 | |
67,000 | 3.80%, 11/15/2037 | 74,296 | |
75,000 | 3.95%, 03/25/2051 | 83,304 | |
50,000 | 4.10%, 03/25/2061 | 56,372 | |
salesforce.com, Inc. | |||
465,000 | 1.95%, 07/15/2031 | 472,813 | |
112,000 | 3.25%, 04/11/2023 | 117,342 | |
4,495,986 | |||
Telecommunications - 1.8% | |||
AT&T, Inc. | |||
195,000 | 1.70%, 03/25/2026 | 198,013 | |
670,000 | 3.50%, 02/01/2061 | 668,644 | |
29,000 | 3.55%, 09/15/2055(1) | 29,922 | |
195,000 | 3.65%, 06/01/2051 | 206,454 | |
49,000 | 3.65%, 09/15/2059(1) | 50,519 | |
101,000 | 3.80%, 12/01/2057(1) | 107,182 | |
200,000 | NTT Finance Corp. 1.16%, 04/03/2026(1) | 200,599 | |
T-Mobile USA, Inc. | |||
360,000 | 1.50%, 02/15/2026 | 364,216 | |
55,000 | 2.05%, 02/15/2028 | 56,236 | |
230,000 | 3.00%, 02/15/2041 | 232,123 | |
134,000 | 3.50%, 04/15/2025 | 145,521 | |
149,000 | 3.88%, 04/15/2030 | 168,234 | |
247,000 | 4.50%, 04/15/2050 | 302,158 | |
Verizon Communications, Inc. | |||
105,000 | 2.65%, 11/20/2040 | 102,673 | |
480,000 | 3.40%, 03/22/2041 | 518,049 | |
145,000 | 3.55%, 03/22/2051 | 157,599 | |
5,000 | 4.00%, 03/22/2050 | 5,845 | |
106,000 | 4.13%, 08/15/2046 | 125,447 | |
895,000 | 4.50%, 08/10/2033 | 1,089,459 | |
167,000 | Vodafone Group plc 4.38%, 02/19/2043 | 196,882 | |
4,925,775 | |||
Transportation - 0.3% | |||
55,000 | Norfolk Southern Corp. 3.40%, 11/01/2049 | 59,218 | |
Union Pacific Corp. | |||
475,000 | 2.38%, 05/20/2031 | 493,309 | |
137,000 | 4.10%, 09/15/2067 | 165,888 | |
718,415 | |||
Trucking & Leasing - 0.2% | |||
455,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 454,545 | |
Water - 0.1% | |||
356,000 | American Water Capital Corp. 3.75%, 09/01/2028 | 408,275 | |
Total Corporate Bonds (cost $74,087,619) | $ 75,136,636 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 1.5% | |||
Chile - 0.2% | |||
Chile Government International Bond | |||
200,000 | 2.55%, 07/27/2033 | $ 202,982 | |
400,000 | 3.10%, 05/07/2041 | 403,396 | |
606,378 | |||
Mexico - 0.6% | |||
Mexico Government International Bond | |||
545,000 | 2.66%, 05/24/2031 | 535,631 |
26 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 1.5% - (continued) | |||
Mexico - 0.6% - (continued) | |||
$ 200,000 | 4.28%, 08/14/2041 | $ 211,438 | |
400,000 | 4.75%, 04/27/2032 | 458,984 | |
366,000 | 4.75%, 03/08/2044 | 405,246 | |
1,611,299 | |||
Panama - 0.3% | |||
Panama Government International Bond | |||
400,000 | 3.87%, 07/23/2060 | 413,092 | |
200,000 | 4.30%, 04/29/2053 | 222,502 | |
635,594 | |||
Peru - 0.1% | |||
Peruvian Government International Bond | |||
111,000 | 2.39%, 01/23/2026 | 113,591 | |
105,000 | 2.78%, 01/23/2031 | 105,419 | |
219,010 | |||
Saudi Arabia - 0.3% | |||
Saudi Government International Bond | |||
400,000 | 2.25%, 02/02/2033(1) | 392,564 | |
405,000 | 4.50%, 10/26/2046(9) | 475,320 | |
867,884 | |||
Total Foreign Government Obligations (cost $3,948,844) | $ 3,940,165 | ||
MUNICIPAL BONDS - 0.5% | |||
Development - 0.0% | |||
50,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | $ 55,840 | |
General - 0.2% | |||
40,000 | Chicago, IL, Transit Auth 3.91%, 12/01/2040 | 46,958 | |
County of Riverside, CA | |||
55,000 | 2.96%, 02/15/2027 | 60,013 | |
55,000 | 3.07%, 02/15/2028 | 60,586 | |
65,000 | Dist of Columbia Rev 3.43%, 04/01/2042 | 70,414 | |
230,000 | Florida State Board of Administration Finance Co. 1.26%, 07/01/2025 | 233,893 | |
471,864 | |||
General Obligation - 0.1% | |||
170,000 | California State, GO Taxable 7.30%, 10/01/2039 | 276,065 | |
Higher Education - 0.0% | |||
Marshall University, WV, (AGM Insured) | |||
10,000 | 2.91%, 05/01/2026 | 10,494 | |
10,000 | 3.63%, 05/01/2034 | 10,711 | |
21,205 | |||
Transportation - 0.2% | |||
Metropolitan Transportation Auth, NY, Rev | |||
15,000 | 4.75%, 11/15/2045 | 18,508 | |
40,000 | 5.18%, 11/15/2049 | 54,052 | |
115,000 | 6.81%, 11/15/2040 | 168,661 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 0.5% - (continued) | |||
Transportation - 0.2% - (continued) | |||
$ 55,000 | New York State Thruway Auth Rev 2.90%, 01/01/2035 | $ 59,951 | |
205,000 | Port Auth of New York & New Jersey Rev 1.09%, 07/01/2023 | 207,893 | |
509,065 | |||
Total Municipal Bonds (cost $1,277,149) | $ 1,334,039 | ||
U.S. GOVERNMENT AGENCIES - 35.3% | |||
Mortgage-Backed Agencies - 35.3% | |||
FHLMC - 0.2% | |||
229,802 | 0.88%, 11/25/2030(3)(4) | $ 16,504 | |
1,413,053 | 1.12%, 06/25/2030(3)(4) | 124,921 | |
24,480 | 1.13%, 12/15/2027 | 24,799 | |
99,798 | 1.13%, 02/25/2052(3)(4) | 8,374 | |
26,775 | 1.25%, 12/15/2027 | 27,235 | |
1,544,922 | 1.39%, 06/25/2030(3)(4) | 167,621 | |
1,099,122 | 1.43%, 05/25/2030(3)(4) | 123,331 | |
1,231,532 | 1.57%, 05/25/2030(3)(4) | 149,729 | |
174,730 | 1.70%, 04/25/2030(3)(4) | 22,287 | |
29,924 | 2.50%, 12/15/2042 | 31,408 | |
696,209 | |||
FNMA - 0.2% | |||
111,771 | 1.25%, 02/25/2028 | 113,510 | |
26,066 | 1.50%, 09/25/2027 | 26,626 | |
335,135 | 3.00%, 03/01/2050 | 351,175 | |
491,311 | |||
GNMA - 7.6% | |||
2,300,000 | 2.00%, 08/19/2051(10) | 2,355,344 | |
5,875,000 | 2.50%, 08/19/2051(10) | 6,106,558 | |
4,700,000 | 3.00%, 08/19/2051(10) | 4,917,742 | |
3,375,000 | 3.50%, 08/19/2051(10) | 3,544,145 | |
3,000,000 | 4.00%, 08/19/2051(10) | 3,172,383 | |
20,096,172 | |||
UMBS - 27.3% | |||
2,600,000 | 1.50%, 08/17/2036(10) | 2,648,953 | |
300,000 | 1.50%, 08/12/2051(10) | 296,801 | |
11,140,000 | 2.00%, 08/12/2051(10) | 11,356,272 | |
25,335,000 | 2.00%, 09/14/2051(10) | 25,771,435 | |
1,300,000 | 2.50%, 08/17/2036(10) | 1,361,911 | |
4,815,000 | 2.50%, 08/12/2051(10) | 5,013,054 | |
4,810,000 | 2.50%, 09/14/2051(10) | 4,997,327 | |
750,000 | 3.00%, 08/17/2036(10) | 789,053 | |
1,920,000 | 3.00%, 08/12/2051(10) | 2,012,250 | |
5,755,000 | 3.00%, 09/14/2051(10) | 6,018,921 | |
4,000,000 | 3.50%, 08/12/2051(10) | 4,239,219 | |
4,000,000 | 3.50%, 09/14/2051(10) | 4,230,312 | |
2,350,000 | 4.00%, 08/12/2051(10) | 2,510,828 | |
1,200,000 | 4.50%, 08/12/2051(10) | 1,293,046 | |
72,539,382 | |||
Total U.S. Government Agencies (cost $93,490,264) | $ 93,823,074 |
27 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT SECURITIES - 48.2% | |||
U.S. Treasury Securities - 48.2% | |||
U.S. Treasury Bonds - 10.8% | |||
$ 172,722 | 0.25%, 02/15/2050(11) | $ 203,497 | |
841,742 | 0.88%, 02/15/2047(11) | 1,123,013 | |
1,495,000 | 1.38%, 11/15/2040 | 1,388,248 | |
1,010,000 | 1.38%, 08/15/2050 | 886,788 | |
1,035,000 | 1.63%, 11/15/2050 | 967,078 | |
625,000 | 1.88%, 02/15/2041 | 631,738 | |
630,000 | 2.00%, 02/15/2050 | 642,526 | |
2,965,000 | 2.25%, 05/15/2041 | 3,180,889 | |
528,000 | 2.38%, 11/15/2049(12) | 583,069 | |
270,000 | 2.38%, 05/15/2051 | 299,405 | |
7,170,000 | 3.00%, 02/15/2047 | 8,807,337 | |
1,525,000 | 3.00%, 02/15/2048 | 1,880,694 | |
400,000 | 3.13%, 05/15/2048 | 504,594 | |
1,840,000 | 3.63%, 02/15/2044 | 2,449,284 | |
1,464,000 | 3.75%, 11/15/2043 | 1,979,316 | |
275,000 | 3.88%, 08/15/2040 | 371,551 | |
1,867,600 | 4.63%, 02/15/2040 | 2,750,552 | |
28,649,579 | |||
U.S. Treasury Notes - 37.4% | |||
2,000,000 | 0.13%, 03/31/2023 | 1,999,063 | |
2,250,000 | 0.13%, 05/15/2023 | 2,248,594 | |
13,555,000 | 0.13%, 06/30/2023 | 13,545,469 | |
1,249,919 | 0.13%, 07/15/2031(11) | 1,419,895 | |
6,915,000 | 0.25%, 06/15/2023 | 6,924,724 | |
7,085,000 | 0.38%, 04/30/2025(12) | 7,050,959 | |
20,565,000 | 0.38%, 11/30/2025 | 20,364,170 | |
4,545,000 | 0.50%, 02/28/2026 | 4,515,173 | |
5,260,000 | 0.50%, 04/30/2027 | 5,164,663 | |
700,000 | 0.63%, 05/15/2030 | 667,734 | |
1,830,000 | 0.63%, 08/15/2030 | 1,740,502 | |
1,345,000 | 0.75%, 04/30/2026 | 1,350,359 | |
3,725,000 | 0.88%, 11/15/2030 | 3,614,996 | |
69,518 | 1.00%, 02/15/2049(11) | 97,137 | |
1,720,000 | 1.13%, 02/28/2025 | 1,759,708 | |
3,600,000 | 1.38%, 01/31/2022 | 3,623,344 | |
702,000 | 1.38%, 01/31/2025 | 724,349 | |
4,482,000 | 1.50%, 01/31/2027 | 4,656,378 | |
1,008,000 | 2.75%, 06/30/2025 | 1,094,389 | |
14,785,000 | 2.88%, 05/15/2028 | 16,640,055 | |
99,201,661 | |||
Total U.S. Government Securities (cost $128,533,096) | $ 127,851,240 | ||
Total Long-Term Investments (Cost $335,429,255) | $ 336,263,558 | ||
SHORT-TERM INVESTMENTS - 6.5% | |||
Repurchase Agreements - 6.4% | |||
17,134,185 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/30/2021 at 0.020%, due on 08/02/2021 with a maturity value of $17,134,214; collateralized by U.S. Treasury Bond at 3.375%, maturing 05/15/2044, with a market value of $17,476,986 | $ 17,134,185 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 6.5% - (continued) | |||
Securities Lending Collateral - 0.1% | |||
59,723 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(13) | $ 59,723 | |
166,668 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(13) | 166,668 | |
20,001 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(13) | 20,001 | |
246,392 | |||
Total Short-Term Investments (cost $17,380,577) | $ 17,380,577 | ||
Total Investments Excluding Purchased Options (cost $352,809,832) | 133.2% | $ 353,644,135 | |
Total Purchased Options (cost $124,450) | 0.0% | $ 25,363 | |
Total Investments (cost $352,934,282) | 133.2% | $ 353,669,498 | |
Other Assets and Liabilities | (33.2)% | (88,166,885) | |
Total Net Assets | 100.0% | $ 265,502,613 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $35,400,179, representing 13.3% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2021. Base lending rates may be subject to a floor or cap. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Securities disclosed are interest-only strips. |
(5) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $929,999 at July 31, 2021. |
(6) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
28 |
July 31, 2021
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(8) | Represents entire or partial securities on loan. |
(9) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2021, the aggregate value of this security was $475,320, representing 0.2% of net assets. |
(10) | Represents or includes a TBA transaction. |
(11) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(12) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of July 31, 2021, the market value of securities pledged was $839,996. |
(13) | Current yield as of period end. |
OTC Swaptions Outstanding at July 31, 2021 | ||||||||||||||||||
Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | CBK | 2.20% | Pay | 03/14/2022 | USD | 3,500,000 | $ 12,433 | $ 62,388 | $ (49,955) | |||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | BOA | 2.20% | Pay | 03/14/2022 | USD | 3,640,000 | 12,930 | 62,062 | (49,132) | |||||||||
Total Put | $ 25,363 | $ 124,450 | $ (99,087) | |||||||||||||||
Written swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | BOA | 1.50% | Receive | 03/14/2022 | USD | (3,640,000) | $ (11,209) | $ (36,400) | $ 25,191 | |||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | CBK | 1.50% | Receive | 03/14/2022 | USD | (3,500,000) | (10,778) | (38,500) | 27,722 | |||||||||
Total Put | $ (21,987) | $ (74,900) | $ 52,913 |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at July 31, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury Ultra Bond Future | 14 | 09/21/2021 | $ 2,793,438 | $ 49,506 | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 192 | 09/30/2021 | $ 23,893,500 | $ (105,475) | ||||
U.S. Treasury 10-Year Note Future | 286 | 09/21/2021 | 38,453,594 | (362,225) | ||||
U.S. Treasury 10-Year Ultra Future | 34 | 09/21/2021 | 5,108,500 | (114,499) | ||||
U.S. Treasury Long Bond Future | 28 | 09/21/2021 | 4,612,125 | (234,489) | ||||
Total | $ (816,688) | |||||||
Total futures contracts | $ (767,182) |
29 |
July 31, 2021
Centrally Cleared Credit Default Swap Contracts Outstanding at July 31, 2021 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value † | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Sell protection: | |||||||||||||||
CDX.NA.IG.36.V1 | USD | 3,380,000 | 1.00% | 06/20/2026 | Quarterly | $ 76,315 | $ 82,192 | $ 5,877 | |||||||
Total centrally cleared credit default swap contracts | $ 76,315 | $ 82,192 | $ 5,877 |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 34,178,404 | $ — | $ 34,178,404 | $ — | ||||
Corporate Bonds | 75,136,636 | — | 75,136,636 | — | ||||
Foreign Government Obligations | 3,940,165 | — | 3,940,165 | — | ||||
Municipal Bonds | 1,334,039 | — | 1,334,039 | — | ||||
U.S. Government Agencies | 93,823,074 | — | 93,823,074 | — | ||||
U.S. Government Securities | 127,851,240 | — | 127,851,240 | — | ||||
Short-Term Investments | 17,380,577 | 246,392 | 17,134,185 | — | ||||
Purchased Options | 25,363 | — | 25,363 | — | ||||
Futures Contracts(2) | 49,506 | 49,506 | — | — | ||||
Swaps - Credit Default(2) | 5,877 | — | 5,877 | — | ||||
Total | $ 353,724,881 | $ 295,898 | $ 353,428,983 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (816,688) | $ (816,688) | $ — | $ — | ||||
Written Options | (21,987) | — | (21,987) | — | ||||
Total | $ (838,675) | $ (816,688) | $ (21,987) | $ — |
(1) | For the year ended July 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
30 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% | |||
Alabama - 1.4% | |||
$ 100,000 | Jefferson County, AL, Board of Education Special Tax 5.00%, 02/01/2042 | $ 123,488 | |
90,000 | Jefferson County, AL, GO 5.00%, 04/01/2024 | 101,273 | |
1,590,000 | State of Alabama Docks Department, (AGM Insured) 5.00%, 10/01/2026 | 1,933,696 | |
665,000 | State of Alabama, Troy University Rev, (BAM Insured) 5.00%, 11/01/2023 | 735,786 | |
2,894,243 | |||
Alaska - 0.3% | |||
420,000 | Northern Tobacco Securitization Corp. 4.00%, 06/01/2039 | 507,512 | |
Arizona - 0.5% | |||
Maricopa County, AZ, Industrial Dev Auth | |||
600,000 | 4.00%, 09/01/2037 | 733,193 | |
185,000 | 5.00%, 09/01/2031 | 236,975 | |
15,000 | Tempe, AZ, Industrial Dev Auth Rev 4.00%, 10/01/2023(1) | 15,007 | |
985,175 | |||
California - 9.6% | |||
205,000 | Alameda County, Oakland, CA, Unified School Dist, GO, (AGM Insured) 4.00%, 08/01/2034 | 239,293 | |
205,000 | California Enterprise Dev Auth 5.00%, 08/01/2045 | 256,737 | |
California Municipal Finance Auth | |||
180,000 | 4.00%, 05/15/2034 | 222,849 | |
600,000 | 4.00%, 05/15/2037 | 736,454 | |
245,000 | California Public Finance Auth 2.38%, 11/15/2028(1) | 249,147 | |
835,000 | California State University 0.55%, 11/01/2049(2) | 837,348 | |
1,500,000 | California State, GO Taxable 0.01%, 05/01/2040(2) | 1,500,000 | |
Cathedral City, CA, Redev Agency Successor Agency | |||
215,000 | 4.00%, 08/01/2021 | 215,000 | |
185,000 | 4.00%, 08/01/2032 | 224,271 | |
City of Fontana CA | |||
500,000 | 4.00%, 09/01/2041 | 578,994 | |
450,000 | 4.00%, 09/01/2046 | 516,670 | |
525,000 | 4.00%, 09/01/2051 | 600,616 | |
1,000,000 | City of Los Angeles, CA, Department of Airports 4.00%, 05/15/2035 | 1,231,356 | |
110,000 | Foothill-Eastern Transportation Corridor Agency, CA 5.00%, 01/15/2030 | 143,043 | |
150,000 | Fresno, CA, Unified School Dist, GO 0.01%, 08/01/2032(3) | 111,663 | |
500,000 | Golden State Tobacco Securitization Corp., CA 5.00%, 06/01/2032 | 626,068 | |
5,000,000 | Los Angeles Department of Water & Power 0.02%, 07/01/2050(2) | 5,000,000 | |
100,000 | Romoland, CA, School Dist Special Tax 5.00%, 09/01/2043 | 115,657 | |
5,000,000 | San Diego County Regional Transportation Commission 0.01%, 04/01/2038(2) | 5,000,000 | |
San Joaquin Hills, CA, Transportation Corridor Agency, (NATL Insured) | |||
80,000 | 0.00%, 01/15/2026(3) | 76,464 | |
215,000 | 0.00%, 01/15/2032(3) | 176,089 | |
70,000 | 0.00%, 01/15/2035(3) | 52,589 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
California - 9.6% - (continued) | |||
$ 185,000 | State of California, GO 4.00%, 11/01/2041 | $ 209,802 | |
1,070,000 | Tobacco Securitization Auth of Northern California 0.00%, 06/01/2060(3) | 270,376 | |
19,190,486 | |||
Colorado - 2.7% | |||
Colorado Health Facs Auth Rev | |||
105,000 | 4.00%, 12/01/2040 | 123,096 | |
835,000 | 5.00%, 08/01/2044 | 1,046,743 | |
995,000 | Colorado Housing and Finance Auth, (GNMA Insured) 3.00%, 05/01/2051 | 1,089,677 | |
160,000 | Denver, CO, Convention Center Hotel Auth 5.00%, 12/01/2031 | 189,517 | |
365,000 | E-470 Public Highway, CO, Auth Rev 0.38%, 09/01/2039, 1 mo. USD SOFR + 0.350%(2) | 365,496 | |
1,030,000 | Park Creek, CO, Metropolitan Dist Rev 5.00%, 12/01/2029 | 1,313,648 | |
Regional Transportation Dist | |||
400,000 | 5.00%, 07/15/2029 | 518,766 | |
500,000 | 5.00%, 01/15/2030 | 655,343 | |
100,000 | 5.00%, 07/15/2032 | 132,803 | |
5,435,089 | |||
Connecticut - 1.3% | |||
100,000 | City of Bridgeport, CT, GO, (BAM Insured) 5.00%, 07/15/2034 | 125,370 | |
810,000 | Connecticut Housing Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 | 896,608 | |
Connecticut State Health & Educational Facs Auth | |||
320,000 | 5.00%, 07/01/2026 | 380,044 | |
70,000 | 5.00%, 07/01/2031 | 92,027 | |
State of Connecticut, GO | |||
380,000 | 5.00%, 11/15/2025 | 455,582 | |
500,000 | 5.00%, 04/15/2029 | 621,105 | |
2,570,736 | |||
District of Columbia - 0.4% | |||
Dist of Columbia Rev | |||
250,000 | 5.00%, 07/01/2037 | 271,962 | |
455,000 | 5.00%, 07/01/2042 | 492,290 | |
764,252 | |||
Florida - 6.9% | |||
270,000 | Broward County, FL, Airport System Rev 4.00%, 10/01/2044 | 315,402 | |
185,000 | Capital Projects, FL, Finance Auth 5.00%, 10/01/2027 | 226,381 | |
125,000 | City of Atlantic Beach, FL, Health Care Facs Auth 5.00%, 11/15/2043 | 144,266 | |
5,750,000 | City of West Palm Beach, FL, Utility System Rev, (AGC Insured) 0.03%, 10/01/2038(2) | 5,750,000 | |
365,000 | Escambia County, FL, Health Facs Auth Rev 4.00%, 08/15/2050 | 424,897 | |
1,000,000 | Greater Orlando, FL, Aviation Auth 5.00%, 10/01/2037 | 1,224,167 | |
Orange County, FL, Convention Center/Orlando | |||
680,000 | 5.00%, 10/01/2024 | 778,974 | |
1,005,000 | 5.00%, 10/01/2027 | 1,264,051 | |
950,000 | Orlando, FL, Utilities Commission 1.25%, 10/01/2046(2) | 969,665 | |
720,000 | Palm Beach County, FL, Health Facs Auth 2.63%, 06/01/2025 | 743,218 |
31 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Florida - 6.9% - (continued) | |||
Polk County, FL, Industrial Dev Auth | |||
$ 645,000 | 5.00%, 01/01/2029 | $ 740,946 | |
190,000 | 5.00%, 01/01/2055 | 211,204 | |
35,000 | Putnam County, FL, Dev Auth 5.00%, 03/15/2042 | 42,513 | |
500,000 | Seminole County, FL, Industrial Dev Auth 3.75%, 11/15/2025 | 504,454 | |
445,000 | St. Louis County, MO, Industrial Dev Auth 4.00%, 12/15/2046 | 496,011 | |
13,836,149 | |||
Georgia - 2.6% | |||
100,000 | Appling County, GA, Dev Auth Rev 1.50%, 01/01/2038(2) | 102,763 | |
Burke County, GA, Dev Auth Rev | |||
400,000 | 1.50%, 01/01/2040(2) | 411,053 | |
1,730,000 | 1.55%, 12/01/2049(2) | 1,753,479 | |
200,000 | 3.00%, 11/01/2045(2) | 207,909 | |
200,000 | Main Street, GA, Natural Gas, Inc. 5.50%, 09/15/2023 | 221,737 | |
Municipal Electric Auth, GA, (AGM Insured) | |||
840,000 | 4.00%, 01/01/2041 | 986,336 | |
1,000,000 | 5.00%, 01/01/2028 | 1,206,425 | |
215,000 | 5.00%, 01/01/2056 | 265,711 | |
5,155,413 | |||
Hawaii - 0.1% | |||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 126,217 | |
Illinois - 12.2% | |||
Chicago, IL, Board of Education, GO, (NATL Insured) | |||
105,000 | 0.00%, 12/01/2023(3) | 103,407 | |
110,000 | 0.00%, 12/01/2026(3) | 103,408 | |
250,000 | 5.00%, 12/01/2024 | 285,894 | |
500,000 | 5.00%, 12/01/2028 | 637,029 | |
350,000 | 5.00%, 12/01/2032 | 458,063 | |
250,000 | 5.00%, 04/01/2033 | 309,600 | |
170,000 | 5.00%, 12/01/2033 | 221,825 | |
420,000 | 5.00%, 12/01/2034 | 546,378 | |
400,000 | 5.00%, 12/01/2046 | 492,743 | |
Chicago, IL, O'Hare International Airport | |||
370,000 | 5.00%, 01/01/2031 | 487,145 | |
630,000 | 5.00%, 01/01/2032 | 826,390 | |
Chicago, IL, Transit Auth | |||
1,490,000 | 5.00%, 12/01/2021 | 1,514,219 | |
445,000 | 5.00%, 06/01/2024 | 504,994 | |
275,000 | 5.00%, 12/01/2045 | 345,985 | |
130,000 | 5.25%, 12/01/2024 | 132,220 | |
105,000 | 5.25%, 12/01/2025 | 106,793 | |
City of Chicago, IL, GO, (NATL Insured) | |||
500,000 | 0.00%, 01/01/2026(3) | 467,610 | |
400,000 | 5.00%, 01/01/2024 | 442,594 | |
City of Chicago, IL, Wastewater Transmission Rev | |||
90,000 | 5.00%, 01/01/2027 | 100,099 | |
50,000 | 5.50%, 01/01/2030 | 62,019 | |
1,385,000 | City of Granite, IL, Rev 1.25%, 05/01/2027 | 1,400,397 | |
Cook County, IL, GO | |||
100,000 | 5.00%, 11/15/2021 | 101,395 | |
265,000 | 5.00%, 11/15/2032 | 354,188 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Illinois - 12.2% - (continued) | |||
$ 335,000 | County of Cook, IL, Sales Tax Rev 5.00%, 11/15/2030 | $ 447,601 | |
65,000 | Illinois Housing Dev Auth 4.00%, 02/01/2035 | 66,546 | |
Illinois State Finance Auth Rev | |||
235,000 | 5.00%, 08/15/2033 | 312,007 | |
150,000 | 5.00%, 11/15/2045 | 175,709 | |
305,000 | 5.00%, 05/15/2050(2) | 343,957 | |
620,000 | Kane County, IL, School Dist No. 131 Aurora East Side, GO, (AGM Insured) 5.00%, 12/01/2025 | 729,527 | |
100,000 | Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist No. 300, GO 5.00%, 01/01/2032 | 122,209 | |
Kendall Kane & Will Counties, IL, Unified School Dist, GO, (AGM Insured) | |||
150,000 | 0.00%, 02/01/2027(3) | 140,983 | |
515,000 | 5.00%, 02/01/2025 | 591,343 | |
Metropolitan Pier & Exposition Auth, IL, (NATL Insured) | |||
205,000 | 0.00%, 12/15/2025(3) | 195,077 | |
595,000 | 4.00%, 12/15/2042(4) | 692,069 | |
150,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2022 | 156,062 | |
Regional Transportation, IL, Auth Rev | |||
150,000 | 5.00%, 06/01/2024 | 168,319 | |
1,000,000 | 6.00%, 07/01/2024 | 1,101,818 | |
Sales Tax Securitization Corp., IL Rev | |||
500,000 | 5.00%, 01/01/2029 | 629,203 | |
455,000 | 5.00%, 01/01/2030 | 600,626 | |
985,000 | 5.00%, 01/01/2037 | 1,208,292 | |
State of Illinois, GO | |||
450,000 | 5.00%, 12/01/2024 | 517,066 | |
1,000,000 | 5.00%, 11/01/2025 | 1,184,578 | |
300,000 | 5.00%, 11/01/2027 | 372,747 | |
535,000 | 5.00%, 03/01/2029 | 683,160 | |
480,000 | 5.00%, 10/01/2031 | 628,386 | |
465,000 | 5.00%, 12/01/2034 | 565,397 | |
325,000 | 5.00%, 03/01/2046 | 412,706 | |
750,000 | 5.25%, 12/01/2030 | 934,000 | |
State of Illinois, Rev | |||
1,250,000 | 5.00%, 06/15/2022 | 1,298,695 | |
115,000 | 5.00%, 06/15/2027 | 137,623 | |
100,000 | Village of Bolingbrook, IL, GO, (AGM Insured) 5.00%, 01/01/2028 | 124,463 | |
24,544,564 | |||
Indiana - 0.2% | |||
277,502 | City of Evansville, IN, Rev, (FNMA Insured) 3.00%, 06/01/2034 | 298,070 | |
Iowa - 1.5% | |||
400,000 | Iowa Student Loan Liquidity Corp. 5.00%, 12/01/2022 | 425,100 | |
State of Iowa, Finance Auth Rev | |||
200,000 | 2.88%, 05/15/2049 | 201,957 | |
830,000 | 5.00%, 12/01/2023 | 918,416 | |
350,000 | 5.00%, 12/01/2025 | 409,713 |
32 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Iowa - 1.5% - (continued) | |||
$ 575,000 | 5.00%, 02/15/2027 | $ 712,617 | |
355,000 | State of Iowa, Tobacco Settlement Auth 4.00%, 06/01/2049 | 419,086 | |
3,086,889 | |||
Kentucky - 0.1% | |||
110,000 | Kentucky Bond Dev Corp. 5.00%, 09/01/2023 | 120,630 | |
100,000 | Kentucky Public Energy Auth 4.00%, 01/01/2049(2) | 111,187 | |
231,817 | |||
Louisiana - 0.5% | |||
325,000 | East Baton Rouge, LA, Sewerage Commission 1.30%, 02/01/2041(2) | 335,221 | |
305,000 | Parish of St. John the Baptist, LA 2.38%, 06/01/2037(2) | 323,090 | |
265,000 | Regional Transportation Auth, LA, Sales Tax Rev, (AGM Insured) 5.00%, 01/01/2027 | 325,679 | |
983,990 | |||
Maine - 0.3% | |||
305,000 | Finance Auth of Maine Rev, (AGM Insured) 5.00%, 12/01/2021 | 309,719 | |
275,000 | Maine Health & Higher Educational Facs Auth, (AGM Insured) 4.00%, 07/01/2035 | 341,022 | |
650,741 | |||
Maryland - 0.7% | |||
1,335,000 | Maryland Community Dev Administration 3.00%, 09/01/2051 | 1,467,478 | |
Massachusetts - 2.2% | |||
Massachusetts Dev Finance Agency, Rev | |||
120,000 | 5.00%, 07/15/2023(1) | 128,830 | |
130,000 | 5.00%, 07/15/2024(1) | 144,899 | |
660,000 | 5.00%, 07/01/2031 | 811,999 | |
575,000 | 5.00%, 07/01/2034 | 728,295 | |
350,000 | 5.00%, 07/01/2044 | 399,552 | |
380,000 | 5.00%, 10/01/2057(1) | 415,569 | |
Massachusetts Educational Financing Auth | |||
1,000,000 | 5.00%, 01/01/2025 | 1,150,536 | |
100,000 | 5.00%, 07/01/2026 | 120,465 | |
110,000 | 5.00%, 07/01/2027 | 135,711 | |
215,000 | Massachusetts Housing Finance Agency 3.00%, 12/01/2050 | 237,330 | |
Massachusetts State Dev Finance Agency | |||
100,000 | 5.00%, 07/01/2034 | 117,628 | |
100,000 | 5.00%, 07/01/2048 | 122,751 | |
4,513,565 | |||
Michigan - 2.3% | |||
345,000 | City of Detroit, MI, GO 5.00%, 04/01/2022 | 354,246 | |
Delton Kellogg Schools, MI, GO, (Q-SBLF Insured) | |||
605,000 | 5.00%, 05/01/2029 | 794,513 | |
625,000 | 5.00%, 05/01/2030 | 838,474 | |
Michigan State Housing Dev Auth | |||
975,000 | 4.25%, 06/01/2049 | 1,081,842 | |
580,000 | 4.25%, 12/01/2049 | 648,120 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Michigan - 2.3% - (continued) | |||
$ 275,000 | New Haven, MI, Community Schools, GO, (Q-SBLF Insured) 5.00%, 05/01/2032 | $ 358,883 | |
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 596,797 | |
4,672,875 | |||
Minnesota - 1.4% | |||
Duluth, MN, Independent School Dist No. 709, (SCP Insured) | |||
750,000 | 5.00%, 02/01/2022 | 766,217 | |
575,000 | 5.00%, 02/01/2025 | 658,520 | |
398,209 | Freddie Mac Multifamily, MN, Certificates 2.54%, 06/25/2037 | 429,093 | |
750,000 | Minnesota Higher Education Facs Auth 3.00%, 10/01/2038 | 841,655 | |
200,000 | St. Francis, MN, Independent School Dist No. 15, GO, (SCP Insured) 4.00%, 02/01/2030 | 210,260 | |
2,905,745 | |||
Mississippi - 0.6% | |||
1,000,000 | State of Mississippi 5.00%, 10/15/2029 | 1,271,826 | |
Missouri - 1.6% | |||
400,000 | City of St. Louis, MO, Airport Rev 5.00%, 07/01/2031 | 513,820 | |
510,000 | Kansas City, MO, Industrial Dev Auth 5.00%, 03/01/2032 | 648,078 | |
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community 5.25%, 05/15/2042 | 571,566 | |
710,000 | Missouri Housing Dev Commission Rev, (GNMA/FNMA/FHLMC Insured) 3.50%, 11/01/2050 | 790,314 | |
650,000 | St. Louis County, MO, Industrial Dev Auth 5.00%, 09/01/2028 | 759,424 | |
3,283,202 | |||
Nebraska - 1.3% | |||
2,095,000 | Nebraska Investment Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 3.00%, 09/01/2050 | 2,316,039 | |
300,000 | Washington County, NE, Rev 0.90%, 09/01/2030(2) | 305,619 | |
2,621,658 | |||
Nevada - 1.7% | |||
270,000 | City of North Las Vegas, NV 4.50%, 06/01/2039 | 307,565 | |
280,000 | City of Reno, NV, Sales Tax Rev, (AGM Insured) 5.00%, 06/01/2033 | 343,657 | |
120,000 | City of Sparks, NV 2.50%, 06/15/2024(1) | 122,281 | |
250,000 | County of Clark, NV, Passenger Facs Charge Rev 5.00%, 07/01/2028 | 322,922 | |
Las Vegas, NV, New Convention Center Auth Rev | |||
200,000 | 5.00%, 07/01/2029 | 223,285 | |
450,000 | 5.00%, 07/01/2034 | 571,512 | |
1,395,000 | Nevada Housing Division, (GNMA/FNMA/FHLMC Collateral Insured) 3.00%, 04/01/2051 | 1,541,153 | |
3,432,375 |
33 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
New Hampshire - 0.2% | |||
$ 80,000 | New Hampshire Business Finance Auth 4.00%, 01/01/2041 | $ 89,283 | |
215,000 | New Hampshire Health and Education Facs Auth Act Rev 5.00%, 08/01/2059 | 355,623 | |
444,906 | |||
New Jersey - 2.6% | |||
New Jersey Economic Dev Auth | |||
400,000 | 5.00%, 06/15/2022 | 416,637 | |
515,000 | 5.00%, 06/15/2023 | 561,213 | |
430,000 | New Jersey Higher Education Student Assistance Auth 5.00%, 12/01/2025 | 507,973 | |
New Jersey Transportation Trust Fund Auth | |||
125,000 | 5.00%, 12/15/2023 | 138,977 | |
760,000 | 5.00%, 06/15/2031 | 1,014,397 | |
New Jersey Turnpike Auth Rev | |||
250,000 | 4.00%, 01/01/2033 | 296,462 | |
295,000 | 4.00%, 01/01/2042 | 357,018 | |
Newark Board of Education | |||
295,000 | 5.00%, 07/15/2024 | 335,555 | |
325,000 | 5.00%, 07/15/2027 | 405,410 | |
340,000 | State of New Jersey, GO 5.00%, 06/01/2026 | 413,452 | |
Tobacco Settlement Financing Corp., NJ | |||
340,000 | 5.00%, 06/01/2024 | 384,832 | |
250,000 | 5.00%, 06/01/2029 | 318,485 | |
5,150,411 | |||
New Mexico - 0.1% | |||
155,000 | City of Santa Fe, NM, Rev 5.00%, 05/15/2049 | 176,036 | |
70,000 | New Mexico Mortgage Finance Auth, (GNMA/FNMA/FHLMC Insured) 4.00%, 01/01/2049 | 77,116 | |
253,152 | |||
New York - 11.7% | |||
540,000 | Brookhaven, NY, Local Dev Corp. 1.63%, 11/01/2025 | 563,624 | |
City of New York, NY, GO | |||
1,675,000 | 0.01%, 08/01/2044(2) | 1,675,000 | |
465,000 | 5.00%, 08/01/2026 | 570,747 | |
500,000 | 5.00%, 08/01/2028 | 636,890 | |
City of New York, NY, Rev | |||
185,000 | 4.00%, 11/01/2035 | 228,950 | |
580,000 | 4.00%, 11/01/2036 | 718,395 | |
105,000 | Huntington, NY, Local Dev Corp. 3.00%, 07/01/2025 | 109,818 | |
500,000 | Long Island, NY, Power Auth Rev 0.85%, 09/01/2050(2) | 502,876 | |
Metropolitan Transportation Auth, NY, Rev | |||
1,555,000 | 5.00%, 03/01/2022 | 1,597,839 | |
195,000 | 5.00%, 11/15/2033 | 256,504 | |
1,000,000 | 5.00%, 11/15/2045(2) | 1,314,892 | |
575,000 | 5.00%, 11/15/2052 | 708,091 | |
670,000 | New York City Industrial Dev Agency 3.00%, 01/01/2033 | 753,520 | |
665,000 | New York City Transitional Finance Auth, Future Tax Secured Rev 5.00%, 02/01/2035 | 892,632 | |
New York City, NY, Industrial Dev Agency | |||
1,350,000 | 5.00%, 07/01/2022 | 1,402,316 | |
120,000 | 5.00%, 03/01/2030 | 159,395 | |
New York City, NY, Transitional Finance Auth, Future Tax Secured Rev | |||
500,000 | 4.00%, 05/01/2035 | 619,488 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
New York - 11.7% - (continued) | |||
$ 465,000 | 5.00%, 11/01/2032 | $ 628,715 | |
725,000 | New York Liberty Dev Corp. 5.00%, 11/15/2044(1) | 804,013 | |
New York State Urban Dev Corp. Rev | |||
585,000 | 5.00%, 03/15/2023 | 631,622 | |
1,000,000 | 5.00%, 03/15/2032 | 1,344,971 | |
1,000,000 | 5.00%, 03/15/2037 | 1,314,832 | |
1,000,000 | 5.00%, 03/15/2038 | 1,310,801 | |
New York Transportation Dev Corp. Rev | |||
130,000 | 5.00%, 12/01/2024 | 149,881 | |
195,000 | 5.00%, 12/01/2031 | 261,736 | |
Port Auth of New York & New Jersey Rev | |||
185,000 | 4.00%, 07/15/2040 | 226,459 | |
700,000 | 5.00%, 11/01/2038 | 887,894 | |
390,000 | Syracuse, NY, Industrial Dev Agency 5.00%, 01/01/2031 | 392,281 | |
2,800,000 | Triborough, NY, Bridge & Tunnel Auth 0.03%, 11/01/2032(2) | 2,800,000 | |
23,464,182 | |||
North Carolina - 2.4% | |||
North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Galloway Ridge | |||
545,000 | 2.88%, 10/01/2026 | 549,329 | |
255,000 | 4.00%, 01/01/2025 | 272,341 | |
715,000 | 4.00%, 09/01/2046 | 834,840 | |
700,000 | 4.00%, 09/01/2051 | 813,245 | |
145,000 | 5.00%, 01/01/2039 | 165,444 | |
210,000 | 5.00%, 01/01/2044 | 243,702 | |
395,000 | North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Lutheran Retirement Ministries of Alamance County 5.00%, 01/01/2038 | 462,833 | |
1,500,000 | University of North Carolina at Chapel Hill 0.19%, 12/01/2041, 1 mo. USD LIBOR + 0.125%(2) | 1,500,001 | |
4,841,735 | |||
Ohio - 1.8% | |||
250,000 | Allen County, OH, Hospital Facs Rev 5.00%, 12/01/2029 | 330,864 | |
1,000,000 | American Municipal Power, Inc., OH Rev 2.30%, 02/15/2038(2) | 1,001,556 | |
1,270,000 | Buckeye, OH, Tobacco Settlement Finance Auth 5.00%, 06/01/2055 | 1,493,649 | |
100,000 | Cleveland, OH, Department of Public Utilities, (AGM Insured) 5.00%, 11/15/2030 | 125,731 | |
600,000 | Southern Ohio Port Auth Rev 6.50%, 12/01/2030(1) | 705,854 | |
3,657,654 | |||
Oklahoma - 0.5% | |||
Oklahoma Dev Finance Auth | |||
905,000 | 1.63%, 07/06/2023 | 914,780 | |
30,000 | 5.25%, 08/15/2048 | 36,854 | |
30,000 | 5.50%, 08/15/2057 | 37,176 | |
988,810 | |||
Oregon - 1.2% | |||
30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis, GO, (School Board Guaranty Insured) 5.00%, 06/15/2038 | 37,688 |
34 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Oregon - 1.2% - (continued) | |||
$ 20,000 | Marion County, OR, School Dist No. 15 North Marion, GO, (School Bond Guaranty) 0.00%, 06/15/2037(3) | $ 12,189 | |
115,000 | Multnomah & Clackamas Counties, OR, School Dist No. 10JT Gresham-Barlow, GO, (School Board Guaranty Insured) 0.00%, 06/15/2038(3) | 73,046 | |
270,000 | Port of Portland, OR, Airport Rev 5.00%, 07/01/2029 | 351,086 | |
Salem Hospital Facs Auth, OR Rev | |||
40,000 | 5.00%, 05/15/2038 | 46,655 | |
30,000 | 5.00%, 05/15/2048 | 34,631 | |
150,000 | Salem-Keizer, OR, School Dist No. 24J, GO, (School Bond Guaranty Insured) 5.00%, 06/15/2023(3) | 163,495 | |
State of Oregon Housing & Community Services Department | |||
85,000 | 4.50%, 01/01/2049 | 93,258 | |
1,170,000 | 4.50%, 07/01/2049 | 1,291,755 | |
130,000 | State of Oregon, GO 4.00%, 12/01/2048 | 141,084 | |
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2034(3) | 71,938 | |
2,316,825 | |||
Pennsylvania - 3.5% | |||
585,000 | Allegheny County, PA, Airport Auth 5.00%, 01/01/2026 | 596,410 | |
135,000 | Armstrong, PA, School Dist, GO, (BAM State Aid Withholding Insured) 4.00%, 03/15/2035 | 162,312 | |
565,000 | City of Philadelphia, PA, GO 5.00%, 02/01/2035 | 728,766 | |
100,000 | Commonwealth Finance Auth, PA 5.00%, 06/01/2027 | 124,460 | |
590,000 | Erie, PA, City School Dist, GO, (AGM State Aid Withholding Insured) 5.00%, 04/01/2028 | 741,962 | |
Montgomery County, PA, Industrial Dev Auth Rev | |||
230,000 | 5.00%, 12/01/2030 | 262,508 | |
240,000 | 5.00%, 12/01/2044 | 279,628 | |
100,000 | 5.00%, 12/01/2046 | 111,444 | |
Pennsylvania Higher Educational Facs Auth | |||
250,000 | 5.00%, 05/01/2025 | 293,678 | |
750,000 | 5.00%, 05/01/2037 | 929,991 | |
Pennsylvania Housing Finance Agency | |||
445,000 | 3.10%, 04/01/2023 | 447,033 | |
880,000 | 4.00%, 10/01/2038 | 927,481 | |
Pennsylvania Turnpike Commission Rev | |||
150,000 | 5.00%, 12/01/2030 | 188,573 | |
95,000 | 5.00%, 12/01/2037 | 101,215 | |
540,000 | Philadelphia, PA, School Dist, GO, (State Aid Withholding Insured) 5.00%, 09/01/2032 | 702,093 | |
15,000 | Pittsburgh, PA, Water & Sewer Auth, (AGM Insured) 5.00%, 09/01/2034 | 19,470 | |
375,000 | Wilkes-Barre Area, PA, School Dist, GO, (BAM State Aid Withholding Insured) 5.00%, 04/15/2059 | 467,431 | |
7,084,455 | |||
Puerto Rico - 0.4% | |||
625,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Rev 5.00%, 07/01/2058 | 728,769 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Rhode Island - 1.0% | |||
$ 445,000 | Rhode Island Commerce Corp. Rev 5.00%, 05/15/2026 | $ 539,429 | |
Rhode Island Student Loan Auth | |||
400,000 | 5.00%, 12/01/2027 | 495,506 | |
765,000 | 5.00%, 12/01/2028 | 966,456 | |
2,001,391 | |||
South Carolina - 1.5% | |||
390,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC 5.00%, 12/01/2029 | 452,733 | |
1,000,000 | South Carolina Port Auth 5.00%, 07/01/2033 | 1,254,925 | |
South Carolina State Public Service Auth | |||
500,000 | 4.00%, 12/01/2034 | 606,238 | |
500,000 | 5.00%, 12/01/2034 | 570,149 | |
125,000 | 5.00%, 12/01/2050 | 144,255 | |
3,028,300 | |||
South Dakota - 1.2% | |||
South Dakota Housing Dev Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
1,335,000 | 3.00%, 11/01/2051 | 1,466,532 | |
835,000 | 4.50%, 11/01/2048 | 932,203 | |
2,398,735 | |||
Tennessee - 1.0% | |||
110,000 | Chattanooga, TN, Health Educational & Housing Facs Board Rev 5.00%, 08/01/2044 | 137,894 | |
Tennessee Energy Acquisition Corp. | |||
500,000 | 5.00%, 02/01/2022 | 511,821 | |
300,000 | 5.00%, 02/01/2023 | 320,939 | |
295,000 | 5.00%, 02/01/2025 | 340,390 | |
470,000 | 5.00%, 02/01/2027 | 568,822 | |
125,000 | Tennessee Housing Dev Agency 4.00%, 01/01/2049 | 137,376 | |
2,017,242 | |||
Texas - 5.4% | |||
600,000 | Allen, TX, Independent School Dist, GO, (PSF-GTD Insured) 5.00%, 02/15/2029 | 785,188 | |
160,000 | Austin Bergstrom Landhost Ente Ausapt 5.00%, 10/01/2029 | 190,210 | |
500,000 | Brazos Higher Education Auth, Inc. 5.00%, 04/01/2025 | 567,167 | |
1,135,000 | City of Houston TX Combined Utility System Rev, (AGM Insured) 0.00%, 12/01/2024(3) | 1,121,437 | |
750,000 | City of Houston, TX, Hotel Occupancy Tax & Special, (AGM-CR AMBAC Insured) 0.00%, 09/01/2025(3) | 724,851 | |
425,000 | City of Houston, TX, Hotel Occupancy Tax & Special Rev 4.00%, 09/01/2026(4) | 494,861 | |
555,000 | City of San Antonio, TX, Electric & Gas Systems Rev 1.75%, 02/01/2049(2) | 587,234 | |
425,000 | Clear Creek, TX, Indep Sch Dist 0.28%, 02/15/2038 | 424,976 | |
215,000 | Dallas-Fort Worth, TX, International Airport Rev 5.00%, 11/01/2022 | 228,068 | |
600,000 | Harris County - Houston, TX, Sports Auth 5.00%, 11/15/2033 | 673,635 | |
1,880,000 | Harris County, TX, Cultural Education Facs Finance Corp. 3.00%, 10/01/2051 | 2,041,884 | |
100,000 | Kerrville, TX, Health Facs Dev Corp. 5.00%, 08/15/2024 | 113,459 |
35 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 96.3% - (continued) | |||
Texas - 5.4% - (continued) | |||
New Hope, TX, Cultural Education Facs Finance Corp. | |||
$ 250,000 | 4.00%, 11/01/2055 | $ 284,080 | |
500,000 | 5.00%, 11/01/2046 | 542,094 | |
1,000,000 | Texas Municipal Gas Acquisition & Supply Corp. III Rev 5.00%, 12/15/2032 | 1,376,057 | |
200,000 | Texas Transportation Commission 0.00%, 08/01/2038(3) | 109,562 | |
Uptown Dev Auth | |||
220,000 | 4.00%, 09/01/2032(4) | 267,291 | |
250,000 | 4.00%, 09/01/2035(4) | 300,743 | |
10,832,797 | |||
Utah - 2.7% | |||
Salt Lake City, UT, Corp. Airport Rev | |||
1,500,000 | 4.00%, 07/01/2038(4) | 1,811,318 | |
1,000,000 | 5.00%, 07/01/2029 | 1,267,511 | |
590,000 | Salt Lake County, UT, Rev, (AMBAC Insured) 5.13%, 02/15/2033 | 678,492 | |
1,250,000 | Utah Transit Auth, (AGM Insured) 5.25%, 06/15/2029 | 1,639,351 | |
5,396,672 | |||
Washington - 2.8% | |||
Port of Seattle, WA, Rev | |||
1,500,000 | 4.00%, 08/01/2040 | 1,812,868 | |
1,000,000 | 5.00%, 05/01/2033 | 1,202,024 | |
1,500,000 | State of Washington, GO 5.00%, 08/01/2034 | 2,009,093 | |
500,000 | Washington State Housing Finance Commission 5.00%, 01/01/2031(1) | 561,038 | |
5,585,023 | |||
West Virginia - 0.5% | |||
500,000 | West Virginia Parkways Auth 5.00%, 06/01/2030 | 673,910 | |
390,000 | West Virginia State Economic Dev Auth 2.55%, 03/01/2040(2) | 411,324 | |
1,085,234 | |||
Wisconsin - 3.4% | |||
Public Finance Auth, WI, (AGM Insured) | |||
170,000 | 4.00%, 07/01/2050 | 193,052 | |
100,000 | 5.00%, 09/01/2025(1) | 108,110 | |
1,000,000 | 5.00%, 07/01/2036 | 1,233,007 | |
225,000 | 5.00%, 07/01/2036 | 292,843 | |
100,000 | 5.00%, 07/01/2037 | 129,770 | |
485,000 | 5.00%, 07/01/2038 | 627,899 | |
750,000 | 5.00%, 10/01/2043(1) | 836,927 | |
465,000 | 5.00%, 10/01/2044 | 574,511 | |
120,000 | Wisconsin Center Dist, WI, (AGM Insured) 0.00%, 12/15/2029(3) | 106,913 | |
Wisconsin Health & Educational Facs Auth Rev | |||
200,000 | 0.50%, 11/01/2050(2) | 200,336 | |
795,000 | 3.00%, 03/01/2052 | 878,086 | |
595,000 | 4.00%, 08/15/2046 | 697,966 | |
840,000 | 5.00%, 11/01/2039 | 919,577 | |
6,798,997 | |||
Total Municipal Bonds (cost $185,035,554) | $ 193,505,357 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 3.4% | |||
Repurchase Agreements - 3.4% | |||
$ 6,847,464 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/30/2021 at 0.020%, due on 08/02/2021 with a maturity value of $6,847,475; collateralized by U.S. Treasury Bond at 1.875%, maturing 02/15/2041, with a market value of $6,984,474 | $ 6,847,464 | |
Total Short-Term Investments (cost $6,847,464) | $ 6,847,464 | ||
Total Investments (cost $191,883,018) | 99.7% | $ 200,352,821 | |
Other Assets and Liabilities | 0.3% | 689,752 | |
Total Net Assets | 100.0% | $ 201,042,573 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $4,091,675, representing 2.0% of net assets. |
(2) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(3) | Security is a zero-coupon bond. |
(4) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $3,561,335 at July 31, 2021. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
36 |
July 31, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 193,505,357 | $ — | $ 193,505,357 | $ — | ||||
Short-Term Investments | 6,847,464 | — | 6,847,464 | — | ||||
Total | $ 200,352,821 | $ — | $ 200,352,821 | $ — |
(1) | For the year ended July 31, 2021, there were no transfers in and out of Level 3. |
37 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 31.1% | |||
Aerospace/Defense - 1.0% | |||
$ 1,077,000 | Boeing Co. 1.43%, 02/04/2024 | $ 1,079,738 | |
Auto Manufacturers - 3.3% | |||
1,406,000 | BMW U.S. Capital LLC 0.58%, 04/01/2024, 3 mo. USD SOFR + 0.530%(1)(2) | 1,418,364 | |
884,000 | General Motors Financial Co., Inc. 1.05%, 03/08/2024 | 891,379 | |
1,218,000 | Hyundai Capital America 0.88%, 06/14/2024(1) | 1,215,548 | |
3,525,291 | |||
Commercial Banks - 12.5% | |||
1,400,000 | Banco Santander S.A. 0.70%, 06/30/2024, 12 mo. USD CMT + 0.450%(3) | 1,404,590 | |
1,365,000 | Barclays plc 1.01%, 12/10/2024, 12 mo. USD CMT + 0.800%(3) | 1,370,373 | |
706,000 | Canadian Imperial Bank of Commerce 2.61%, 07/22/2023, (2.61% fixed rate until 07/22/2022; 3 mo. USD LIBOR + 0.785% thereafter)(3) | 721,525 | |
Goldman Sachs Group, Inc. | |||
442,000 | 0.55%, 09/10/2024, 3 mo. USD SOFR + 0.500%(2) | 442,223 | |
1,877,000 | 0.62%, 03/08/2024, 3 mo. USD SOFR + 0.580%(2) | 1,883,240 | |
609,000 | HSBC Holdings plc 3.97%, 05/22/2030, 3 mo. USD LIBOR + 1.610%(3) | 686,451 | |
JP Morgan Chase & Co. | |||
953,000 | 0.63%, 03/16/2024, 3 mo. USD SOFR + 0.580%(2) | 959,160 | |
855,000 | 0.94%, 04/22/2027, 3 mo. USD SOFR + 0.885%(2) | 866,991 | |
746,000 | 2.08%, 04/22/2026, (2.08% fixed rate until 04/22/2025; 3 mo. USD SOFR + 1.850% thereafter)(3) | 773,632 | |
1,553,000 | Macquarie Group Ltd. 0.97%, 09/23/2027, 3 mo. USD SOFR + 0.920%(1)(2) | 1,556,835 | |
622,000 | NatWest Markets plc 0.80%, 08/12/2024(1) | 621,351 | |
763,000 | Truist Financial Corp. 2.20%, 03/16/2023 | 785,668 | |
1,157,000 | UniCredit S.p.A. 1.98%, 06/03/2027, 12 mo. USD CMT + 1.200%(1)(3) | 1,159,478 | |
13,231,517 | |||
Gas - 0.5% | |||
485,000 | CenterPoint Energy, Inc. 0.70%, 03/02/2023 | 485,138 | |
Healthcare - Services - 1.9% | |||
580,000 | CommonSpirit Health 3.35%, 10/01/2029 | 636,593 | |
1,398,000 | Humana, Inc. 0.65%, 08/03/2023 | 1,398,267 | |
2,034,860 | |||
Oil & Gas - 0.8% | |||
888,000 | Diamondback Energy, Inc. 0.90%, 03/24/2023 | 887,790 | |
Pharmaceuticals - 1.6% | |||
823,000 | AmerisourceBergen Corp. 0.74%, 03/15/2023 | 824,545 | |
777,000 | CVS Health Corp. 3.75%, 04/01/2030 | 883,030 | |
1,707,575 | |||
Pipelines - 0.4% | |||
399,000 | Enbridge, Inc. 0.43%, 02/17/2023, 3 mo. USD SOFR + 0.400%(2) | 399,745 | |
Real Estate Investment Trusts - 3.0% | |||
665,000 | Boston Properties L.P. 3.40%, 06/21/2029 | 731,510 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 31.1% - (continued) | |||
Real Estate Investment Trusts - 3.0% - (continued) | |||
$ 1,869,000 | Crown Castle International Corp. 1.05%, 07/15/2026 | $ 1,843,522 | |
326,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 343,759 | |
221,000 | Vornado Realty L.P. 2.15%, 06/01/2026 | 226,257 | |
3,145,048 | |||
Retail - 0.7% | |||
685,000 | McDonald's Corp. 1.45%, 09/01/2025 | 700,209 | |
Semiconductors - 0.5% | |||
554,000 | Broadcom, Inc. 1.95%, 02/15/2028(1) | 558,294 | |
Software - 2.9% | |||
1,148,000 | Oracle Corp. 2.80%, 04/01/2027 | 1,227,299 | |
VMware, Inc. | |||
1,058,000 | 1.00%, 08/15/2024 | 1,061,354 | |
798,000 | 1.40%, 08/15/2026 | 800,549 | |
3,089,202 | |||
Telecommunications - 2.0% | |||
1,031,000 | AT&T, Inc. 0.69%, 03/25/2024, 3 mo. USD SOFR + 0.640%(2) | 1,033,361 | |
1,027,000 | Verizon Communications, Inc. 0.55%, 03/22/2024, 3 mo. USD SOFR + 0.500%(2) | 1,033,737 | |
2,067,098 | |||
Total Corporate Bonds (cost $32,480,144) | $ 32,911,505 | ||
MUNICIPAL BONDS - 55.1% | |||
Alabama - 2.4% | |||
Black Belt Energy Gas Dist, AL | |||
920,000 | 4.00%, 10/01/2049(4) | $ 1,071,392 | |
1,205,000 | 4.00%, 06/01/2051(4) | 1,517,459 | |
2,588,851 | |||
California - 2.4% | |||
California County, CA, Tobacco Securitization Agency | |||
20,000 | 4.00%, 06/01/2022 | 20,631 | |
25,000 | 4.00%, 06/01/2023 | 26,715 | |
695,000 | California State Health Facs Finance Auth Rev 5.00%, 04/01/2033 | 916,925 | |
City of El Cajon, CA | |||
50,000 | 0.93%, 04/01/2024 | 49,902 | |
70,000 | 1.18%, 04/01/2025 | 69,912 | |
City of Los Angeles, CA, Department of Airports | |||
110,000 | 0.85%, 05/15/2026 | 109,036 | |
110,000 | 1.10%, 05/15/2027 | 109,013 | |
130,000 | 1.25%, 05/15/2028 | 128,344 | |
City of Pomona, CA | |||
35,000 | 4.00%, 08/01/2023 | 37,149 | |
55,000 | 4.00%, 08/01/2024 | 59,729 | |
City of Riverside, CA | |||
35,000 | 1.90%, 06/01/2023 | 35,845 | |
65,000 | 2.11%, 06/01/2024 | 67,290 | |
County of Sacramento, CA, Airport System Rev | |||
195,000 | 5.00%, 12/01/2022 | 207,804 | |
95,000 | 5.00%, 07/01/2032 | 127,241 | |
170,000 | 5.00%, 07/01/2033 | 226,438 | |
105,000 | 5.00%, 07/01/2034 | 139,307 |
38 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
California - 2.4% - (continued) | |||
$ 50,000 | MSR Public Power Agency, CA, (NATL Insured) 6.00%, 07/01/2022 | $ 52,676 | |
San Francisco, CA, Community College Dist, GO | |||
80,000 | 1.33%, 06/15/2026 | 81,211 | |
105,000 | 2.02%, 06/15/2029 | 108,995 | |
2,574,163 | |||
Colorado - 1.7% | |||
690,000 | Adams County, CO, School Dist, GO, (State Aid Withholding Insured) 5.00%, 12/01/2029 | 921,002 | |
225,000 | City & County of Denver, CO, Airport System Rev 5.00%, 11/15/2032 | 302,601 | |
525,000 | Colorado Housing and Finance Auth, (GNMA/FNMA/FHLMC Insured) 3.50%, 05/01/2050 | 581,383 | |
1,804,986 | |||
Connecticut - 0.3% | |||
225,000 | Connecticut Housing Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 | 249,058 | |
25,000 | State of Connecticut, GO 4.00%, 06/01/2023 | 26,799 | |
275,857 | |||
Delaware - 0.4% | |||
Delaware Transportation Auth | |||
150,000 | 5.00%, 09/01/2029 | 197,069 | |
50,000 | 5.00%, 07/01/2032 | 67,423 | |
135,000 | 5.00%, 09/01/2033 | 178,873 | |
443,365 | |||
District of Columbia - 2.0% | |||
895,000 | Dist of Columbia Water & Sewer Auth Rev 5.00%, 10/01/2052 | 1,083,511 | |
505,000 | Dist of Columbia, GO 5.00%, 06/01/2036 | 625,691 | |
340,000 | Metropolitan Washington, DC, Airports Auth Dulles Toll Road Rev 5.00%, 10/01/2034 | 439,189 | |
2,148,391 | |||
Florida - 0.7% | |||
County of Miami-Dade FL | |||
120,000 | 1.00%, 10/01/2024 | 121,724 | |
115,000 | 1.15%, 10/01/2025 | 116,470 | |
140,000 | County of Miami-Dade FL Aviation Rev 1.23%, 10/01/2025 | 141,242 | |
Florida Housing Finance Corp. Rev, (GNMA/FNMA/FHLMC Insured) | |||
80,000 | 3.00%, 07/01/2051 | 87,507 | |
130,000 | 3.50%, 07/01/2051 | 144,240 | |
75,000 | 4.00%, 07/01/2049 | 81,844 | |
693,027 | |||
Georgia - 2.4% | |||
220,000 | Georgia Municipal Association, Inc. 5.00%, 12/01/2029 | 277,198 | |
Main Street, GA, Natural Gas, Inc. | |||
435,000 | 4.00%, 08/01/2048(4) | 469,454 | |
1,565,000 | 4.00%, 03/01/2050(4) | 1,814,257 | |
2,560,909 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
Hawaii - 0.2% | |||
$ 170,000 | State of Hawaii Airports System Rev 5.00%, 01/01/2030 | $ 221,425 | |
Illinois - 5.2% | |||
Chicago Transit Auth Capital Grant Receipts Rev | |||
120,000 | 5.00%, 06/01/2022 | 124,788 | |
75,000 | 5.00%, 06/01/2023 | 81,536 | |
65,000 | Chicago, IL, Metropolitan Water Reclamation Dist, GO 5.25%, 12/01/2032 | 91,826 | |
1,870,000 | Chicago, IL, O'Hare International Airport 5.00%, 01/01/2033 | 2,445,617 | |
Illinois Housing Dev Auth, (GNMA/FNMA/FHLMC Insured) | |||
1,785,000 | 3.75%, 04/01/2050 | 1,984,598 | |
115,000 | 4.50%, 10/01/2048 | 128,787 | |
175,000 | Railsplitter, IL, Tobacco Settlement Auth 5.00%, 06/01/2027 | 211,418 | |
Rock Island County, IL, School Dist No. 41, GO, (BAM Insured) | |||
25,000 | 4.00%, 12/01/2023 | 26,981 | |
25,000 | 5.00%, 12/01/2024 | 28,590 | |
85,000 | Southwestern Illinois Dev Auth 6.38%, 11/01/2023 | 91,403 | |
State of Illinois, GO | |||
155,000 | 4.00%, 03/01/2024 | 169,337 | |
130,000 | 5.00%, 03/01/2024 | 145,356 | |
5,530,237 | |||
Indiana - 0.1% | |||
120,000 | Indiana Housing & Community Dev Auth Rev, (GNMA Insured) 4.00%, 07/01/2048 | 131,620 | |
Iowa - 1.5% | |||
Iowa Finance Auth, (GNMA/FNMA/FHLMC Insured) | |||
1,260,000 | 3.00%, 01/01/2047 | 1,383,942 | |
115,000 | 3.25%, 07/01/2050 | 126,844 | |
65,000 | 4.00%, 07/01/2048 | 71,260 | |
1,582,046 | |||
Kentucky - 2.4% | |||
Kentucky Public Energy Auth | |||
600,000 | 4.00%, 12/01/2049(4) | 674,674 | |
1,555,000 | 4.00%, 02/01/2050(4) | 1,852,222 | |
2,526,896 | |||
Louisiana - 2.7% | |||
30,000 | Louisiana Housing Corp. Rev 4.50%, 12/01/2047 | 33,436 | |
2,735,000 | Louisiana State Local Gov't Environmental Facs & Community Dev Auth Rev 2.50%, 04/01/2036 | 2,824,535 | |
2,857,971 | |||
Maine - 0.6% | |||
Maine Municipal Bond Bank | |||
80,000 | 5.00%, 09/01/2029 | 105,467 | |
135,000 | 5.00%, 09/01/2031 | 180,165 | |
105,000 | 5.00%, 09/01/2032 | 139,695 | |
145,000 | Maine State Housing Auth 4.00%, 11/15/2048 | 158,409 | |
583,736 |
39 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
Massachusetts - 0.2% | |||
Massachusetts Educational Financing Auth | |||
$ 60,000 | 3.17%, 07/01/2025 | $ 64,585 | |
45,000 | 3.27%, 07/01/2026 | 48,945 | |
50,000 | 3.38%, 07/01/2027 | 54,773 | |
168,303 | |||
Michigan - 0.1% | |||
85,000 | Michigan State Housing Dev Auth 3.75%, 06/01/2050 | 94,080 | |
Minnesota - 1.6% | |||
1,555,000 | Minnesota Housing Finance Agency Rev, (GNMA/FNMA/FHLMC Insured) 3.00%, 01/01/2051 | 1,700,254 | |
Mississippi - 1.8% | |||
Mississippi Home Corp., (GNMA/FNMA/FHLMC Insured) | |||
1,290,000 | 3.00%, 12/01/2050 | 1,417,556 | |
265,000 | 3.25%, 12/01/2050 | 291,699 | |
180,000 | State of Mississippi, GO 5.00%, 06/01/2031 | 240,665 | |
1,949,920 | |||
Missouri - 1.4% | |||
Missouri Housing Dev Commission Rev, (GNMA/FNMA/FHLMC Insured) | |||
470,000 | 3.25%, 05/01/2051 | 520,256 | |
195,000 | 3.50%, 11/01/2050 | 217,058 | |
340,000 | 3.88%, 05/01/2050 | 379,141 | |
145,000 | 4.25%, 05/01/2049 | 161,410 | |
140,000 | 4.75%, 05/01/2049 | 158,022 | |
1,435,887 | |||
Montana - 0.9% | |||
890,000 | Montana Board of Housing Rev 3.50%, 06/01/2050 | 983,238 | |
Nebraska - 0.8% | |||
Nebraska Investment Finance Auth Rev | |||
695,000 | 3.00%, 09/01/2050 | 759,085 | |
105,000 | 4.00%, 09/01/2048 | 115,140 | |
874,225 | |||
Nevada - 0.2% | |||
145,000 | Nevada Housing Division, (GNMA/FNMA/FHLMC/COLL Insured) 4.00%, 10/01/2049 | 161,128 | |
New Jersey - 0.9% | |||
20,000 | Garden State, NJ, Preservation Trust, (AGM Insured) 5.75%, 11/01/2028 | 24,981 | |
New Jersey Economic Dev Auth | |||
40,000 | 5.00%, 06/15/2023 | 43,599 | |
40,000 | 5.00%, 06/15/2024 | 45,278 | |
160,000 | 5.00%, 03/01/2026 | 171,927 | |
90,000 | 5.00%, 11/01/2026 | 109,734 | |
New Jersey Transportation Trust Fund Auth | |||
25,000 | 4.00%, 06/15/2035 | 30,080 | |
410,000 | 5.00%, 12/15/2028 | 524,136 | |
949,735 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
New Mexico - 1.2% | |||
New Mexico Mortgage Finance Auth, (GNMA/FNMA/FHLMC Insured) | |||
$ 1,045,000 | 3.00%, 01/01/2051 | $ 1,145,322 | |
75,000 | 4.00%, 01/01/2049 | 82,743 | |
1,228,065 | |||
New York - 3.6% | |||
1,010,000 | City of New York, NY, GO 5.00%, 08/01/2033 | 1,342,837 | |
580,000 | New York City Transitional Finance Auth, Future Tax Secured Rev 5.00%, 05/01/2033 | 781,656 | |
New York Transportation Dev Corp. | |||
80,000 | 1.36%, 12/01/2021 | 80,234 | |
120,000 | 1.61%, 12/01/2022 | 121,587 | |
125,000 | 5.00%, 12/01/2028 | 161,976 | |
Port Auth of New York & New Jersey Rev | |||
185,000 | 5.00%, 07/15/2031 | 236,581 | |
805,000 | 5.00%, 07/15/2033 | 1,073,219 | |
3,798,090 | |||
North Carolina - 1.0% | |||
950,000 | North Carolina Housing Finance Agency, (GNMA/FNMA/FHLMC Insured) 4.00%, 07/01/2050 | 1,064,611 | |
North Dakota - 0.7% | |||
640,000 | North Dakota Housing Finance Agency 3.75%, 07/01/2050 | 709,105 | |
Ohio - 2.0% | |||
Ohio Housing Finance Agency | |||
145,000 | 3.00%, 03/01/2052 | 159,821 | |
1,320,000 | 3.25%, 03/01/2050 | 1,456,858 | |
135,000 | 4.50%, 09/01/2048 | 150,206 | |
295,000 | Ohio Turnpike & Infrastructure Commission Rev 0.00%, 02/15/2041(5) | 191,207 | |
95,000 | State of Ohio, GO 5.00%, 05/01/2032 | 127,290 | |
2,085,382 | |||
Oklahoma - 0.2% | |||
185,000 | Oklahoma Housing Finance Agency, (GNMA/FNMA/FHLMC Insured) 4.00%, 03/01/2050 | 208,342 | |
Pennsylvania - 1.4% | |||
110,000 | Geisinger, PA, Health System Auth Rev 5.00%, 02/15/2032 | 134,536 | |
410,000 | Pennsylvania Housing Finance Agency 3.50%, 04/01/2049 | 441,405 | |
Pennsylvania Turnpike Commission Rev | |||
75,000 | 5.00%, 12/01/2032 | 101,207 | |
75,000 | 5.00%, 12/01/2033 | 100,550 | |
Philadelphia, PA, Gas Works Co., (AGM Insured) | |||
105,000 | 5.00%, 08/01/2029 | 136,765 | |
220,000 | 5.00%, 08/01/2030 | 292,156 | |
195,000 | 5.00%, 08/01/2033 | 256,145 | |
1,462,764 | |||
Rhode Island - 1.4% | |||
1,350,000 | Rhode Island Housing & Mortgage Finance Corp. 3.75%, 10/01/2049 | 1,492,353 | |
South Carolina - 0.9% | |||
605,000 | Patriots Energy Group Financing Agency, SC 4.00%, 10/01/2048(4) | 656,119 |
40 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
South Carolina - 0.9% - (continued) | |||
$ 205,000 | South Carolina Jobs-Economic Dev Auth 3.75%, 01/01/2050 | $ 230,540 | |
45,000 | Tobacco Settlement Rev Mgmt Auth, SC 6.38%, 05/15/2030 | 63,569 | |
950,228 | |||
South Dakota - 0.1% | |||
South Dakota Conservancy Dist | |||
45,000 | 5.00%, 08/01/2029 | 59,831 | |
45,000 | 5.00%, 08/01/2030 | 60,902 | |
120,733 | |||
Tennessee - 0.1% | |||
15,000 | Metropolitan Gov't Nashville & Davidson County, TN, Health & Educational Facs Bd, (NATL Insured) 4.88%, 11/01/2028 | 17,496 | |
120,000 | Tennessee Housing Dev Agency 4.50%, 07/01/2049 | 134,699 | |
152,195 | |||
Texas - 7.1% | |||
680,000 | Arlington, TX, Higher Education Finance Corp., (PSF-GTD Insured) 5.00%, 08/15/2033 | 883,916 | |
70,000 | Bexar County, TX, Hospital Dist, GO 5.00%, 02/15/2030 | 88,918 | |
City of Houston, TX, Airport System Rev | |||
585,000 | 5.00%, 07/01/2029 | 772,134 | |
325,000 | 5.00%, 07/01/2030 | 437,459 | |
305,000 | Cypress-Fairbanks, TX, Independent School Dist, GO, (PSF-GTD Insured) 4.00%, 02/15/2033 | 378,662 | |
110,000 | Dallas-Fort Worth, TX, International Airport Rev 2.04%, 11/01/2024 | 114,823 | |
505,000 | Harris County, TX, GO 5.00%, 10/01/2038 | 627,006 | |
Lower Colorado River, TX, Auth Rev | |||
440,000 | 5.00%, 05/15/2029 | 574,846 | |
940,000 | 5.00%, 05/15/2030 | 1,251,767 | |
Northside, TX, Independent School Dist, GO, (PSF-GTD Insured) | |||
15,000 | 5.00%, 02/15/2026 | 18,023 | |
55,000 | 5.00%, 02/15/2030 | 73,306 | |
Texas Department of Housing & Community Affairs Rev, (GNMA Insured) | |||
580,000 | 3.00%, 01/01/2052 | 643,573 | |
350,000 | 3.50%, 03/01/2051 | 394,638 | |
120,000 | 4.00%, 03/01/2050 | 136,548 | |
85,000 | 4.75%, 03/01/2049 | 94,675 | |
330,000 | Texas Municipal Gas Acquisition & Supply Corp. 5.00%, 12/15/2028 | 423,649 | |
495,000 | University of Texas, Permanent University Fund Rev 5.00%, 07/01/2027 | 601,909 | |
7,515,852 | |||
Utah - 0.6% | |||
520,000 | University of Utah Rev 5.00%, 08/01/2030 | 685,929 | |
Virginia - 0.6% | |||
490,000 | Fairfax County, VA, Water Auth Rev 5.00%, 04/01/2029 | 612,051 | |
Washington - 1.2% | |||
730,000 | State of Washington, GO 5.00%, 08/01/2030 | 966,909 | |
235,000 | Washington State Housing Finance Commission Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 12/01/2048 | 258,409 | |
1,225,318 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 55.1% - (continued) | |||
Wyoming - 0.1% | |||
$ 115,000 | Wyoming Community Dev Auth 4.00%, 06/01/2043 | $ 126,066 | |
Total Municipal Bonds (cost $56,084,014) | $ 58,277,334 | ||
U.S. GOVERNMENT SECURITIES - 13.1% | |||
U.S. Treasury Securities - 13.1% | |||
U.S. Treasury Notes - 13.1% | |||
11,504,600 | 0.13%, 01/15/2024 | $ 11,466,850 | |
2,386,200 | 0.50%, 02/28/2026 | 2,370,541 | |
Total U.S. Government Securities (cost $13,806,077) | $ 13,837,391 | ||
Total Long-Term Investments (Cost $102,370,235) | $ 105,026,230 | ||
SHORT-TERM INVESTMENTS - 2.3% | |||
Other Investment Pools & Funds - 2.3% | |||
2,390,927 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 0.01%(6) | $ 2,390,927 | |
Total Short-Term Investments (cost $2,390,927) | $ 2,390,927 | ||
Total Investments (cost $104,761,162) | 101.6% | $ 107,417,157 | |
Other Assets and Liabilities | (1.6)% | (1,709,458) | |
Total Net Assets | 100.0% | $ 105,707,699 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $6,529,870, representing 6.2% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2021. Base lending rates may be subject to a floor or cap. |
(3) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(4) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(5) | Security is a zero-coupon bond. |
(6) | Current yield as of period end. |
41 |
July 31, 2021
Futures Contracts Outstanding at July 31, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 62 | 09/30/2021 | $ 7,715,609 | $ (36,933) | ||||
U.S. Treasury 10-Year Note Future | 30 | 09/21/2021 | 4,033,594 | (69,902) | ||||
Total futures contracts | $ (106,835) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 32,911,505 | $ — | $ 32,911,505 | $ — | ||||
Municipal Bonds | 58,277,334 | — | 58,277,334 | — | ||||
U.S. Government Securities | 13,837,391 | — | 13,837,391 | — | ||||
Short-Term Investments | 2,390,927 | 2,390,927 | — | — | ||||
Total | $ 107,417,157 | $ 2,390,927 | $ 105,026,230 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (106,835) | $ (106,835) | $ — | $ — | ||||
Total | $ (106,835) | $ (106,835) | $ — | $ — |
(1) | For the year ended July 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
42 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% | |||
Asset-Backed - Automobile - 0.1% | |||
$ 175,000 | Hertz Vehicle Financing LLC 1.21%, 12/26/2025(1) | $ 176,172 | |
Asset-Backed - Credit Card - 0.2% | |||
240,000 | Mercury Financial Credit Card Master Trust 1.54%, 03/20/2026(1) | 240,973 | |
Asset-Backed - Finance & Insurance - 3.3% | |||
285,000 | Apidos CLO 1.14%, 04/20/2031, 3 mo. USD LIBOR + 1.010%(1)(2) | 285,104 | |
250,000 | Carbone CLO Ltd. 1.27%, 01/20/2031, 3 mo. USD LIBOR + 1.140%(1)(2) | 250,165 | |
CIFC Funding Ltd. | |||
250,000 | 1.00%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(1)(2) | 250,089 | |
250,000 | 1.25%, 01/22/2031, 3 mo. USD LIBOR + 1.110%(1)(2) | 250,302 | |
56,513 | Conn's Receivables Funding LLC 1.71%, 06/16/2025(1) | 56,563 | |
DB Master Finance LLC | |||
338,625 | 3.63%, 11/20/2047(1) | 341,666 | |
373,350 | 3.79%, 05/20/2049(1) | 377,181 | |
116,839 | FCI Funding LLC 1.13%, 04/15/2033(1) | 117,080 | |
400,000 | KKR CLO Ltd. 1.31%, 01/15/2031, 3 mo. USD LIBOR + 1.180%(1)(2) | 400,136 | |
305,000 | Neuberger Berman Loan Advisers CLO Ltd. 1.15%, 04/19/2030, 3 mo. USD LIBOR + 1.020%(1)(2) | 305,041 | |
250,000 | Octagon Investment Partners Ltd. 1.13%, 03/17/2030, 3 mo. USD LIBOR + 1.000%(1)(2) | 250,267 | |
291,750 | Planet Fitness Master Issuer LLC 4.26%, 09/05/2048(1) | 292,803 | |
462,334 | Sonic Capital LLC 4.03%, 02/20/2048(1) | 475,080 | |
Towd Point Mortgage Trust | |||
160,854 | 2.75%, 10/25/2057(1)(3) | 164,390 | |
155,302 | 3.25%, 03/25/2058(1)(3) | 160,792 | |
330,933 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(1) | 345,587 | |
4,322,246 | |||
Commercial Mortgage-Backed Securities - 1.9% | |||
395,000 | CityLine Commercial Mortgage Trust 2.78%, 11/10/2031(1)(3) | 408,821 | |
225,000 | FREMF Mortgage Trust 3.85%, 01/25/2048(1)(3) | 244,489 | |
GS Mortgage Securities Trust | |||
240,000 | 2.75%, 02/10/2037(1) | 252,838 | |
346,847 | 2.78%, 10/10/2049 | 363,669 | |
380,000 | 3.12%, 11/10/2045 | 389,522 | |
125,000 | Natixis Commercial Mortgage Securities Trust 2.51%, 10/15/2036(1) | 129,005 | |
575,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 599,469 | |
2,387,813 | |||
Other Asset-Backed Securities - 6.5% | |||
Affirm Asset Securitization Trust | |||
100,000 | 0.88%, 08/15/2025(1) | 100,221 | |
198,546 | 1.07%, 08/15/2025(1) | 198,871 | |
165,596 | 1.90%, 01/15/2025(1) | 166,889 | |
150,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 150,026 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) | |||
Other Asset-Backed Securities - 6.5% - (continued) | |||
$ 450,000 | Bain Capital Credit CLO Ltd. 1.10%, 04/23/2031, 3 mo. USD LIBOR + 0.960%(1)(2) | $ 450,002 | |
360,000 | Carlyle Global Market Strategies CLO Ltd. 1.12%, 07/20/2031, 3 mo. USD LIBOR + 0.980%(1)(2) | 360,040 | |
300,000 | CIFC Funding Ltd. 1.26%, 07/15/2036, 3 mo. USD LIBOR + 1.150%(1)(2) | 300,032 | |
250,000 | Crossroads Asset Trust 0.82%, 03/20/2024(1) | 250,340 | |
390,000 | LCM XXIV Ltd. 1.11%, 03/20/2030, 3 mo. USD LIBOR + 0.980%(1)(2) | 390,168 | |
450,000 | Madison Park Funding Ltd. 1.13%, 07/21/2030, 3 mo. USD LIBOR + 1.000%(1)(2) | 449,768 | |
100,000 | Marlette Funding Trust 1.06%, 09/15/2031(1) | 100,089 | |
Mill City Mortgage Loan Trust | |||
41,094 | 3.25%, 05/25/2062(1)(3) | 42,031 | |
272,780 | 3.47%, 08/25/2058(1)(3) | 282,788 | |
38,109 | 3.50%, 05/25/2058(1)(3) | 38,877 | |
640,000 | Neuberger Berman Loan Advisers CLO Ltd. 1.06%, 10/18/2029, 3 mo. USD LIBOR + 0.930%(1)(2) | 639,648 | |
405,000 | Palmer Square Loan Funding Ltd. 0.95%, 07/20/2029, 3 mo. USD LIBOR + 0.800%(1)(2) | 405,081 | |
135,000 | Progress Residential Trust 1.05%, 04/17/2038(1) | 133,513 | |
215,094 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(1) | 215,122 | |
260,000 | SCF Equipment Leasing 0.83%, 08/21/2028(1) | 260,079 | |
73,207 | SoFi Consumer Loan Program Trust 2.02%, 01/25/2029(1) | 73,775 | |
95,000 | Stack Infrastructure Issuer LLC 1.88%, 03/26/2046(1) | 95,842 | |
Symphony CLO Ltd. | |||
185,930 | 1.08%, 07/14/2026, 3 mo. USD LIBOR + 0.950%(1)(2) | 186,105 | |
250,000 | 1.09%, 04/16/2031, 3 mo. USD LIBOR + 0.960%(1)(2) | 249,628 | |
667,875 | Taco Bell Funding LLC 4.32%, 11/25/2048(1) | 669,244 | |
Towd Point Mortgage Trust | |||
190,774 | 1.75%, 10/25/2060(1) | 193,412 | |
417,523 | 2.90%, 10/25/2059(1)(3) | 432,682 | |
375,936 | 3.00%, 01/25/2058(1)(3) | 385,849 | |
187,270 | 3.25%, 07/25/2058(1)(3) | 190,855 | |
53,837 | 3.75%, 05/25/2058(1)(3) | 56,786 | |
28,228 | Upstart Securitization Trust 2.90%, 09/20/2029(1) | 28,262 | |
Vantage Data Centers Issuer LLC | |||
300,000 | 1.65%, 09/15/2045(1) | 302,662 | |
220,687 | 3.19%, 07/15/2044(1) | 228,703 | |
397,495 | Voya CLO Ltd. 1.15%, 04/17/2030, 3 mo. USD LIBOR + 1.020%(1)(2) | 397,733 | |
8,425,123 | |||
Whole Loan Collateral CMO - 9.5% | |||
Angel Oak Mortgage Trust | |||
260,186 | 0.99%, 04/25/2053(1)(3) | 260,298 | |
189,455 | 1.07%, 05/25/2066(1)(3) | 189,776 | |
52,852 | 2.47%, 12/25/2059(1)(3) | 53,093 | |
204,926 | 2.53%, 01/26/2065(1)(3) | 208,250 | |
82,380 | 2.59%, 10/25/2049(1)(3) | 82,635 | |
131,794 | Angel Oak Mortgage Trust LLC 2.99%, 07/26/2049(1)(3) | 132,869 |
43 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) | |||
Whole Loan Collateral CMO - 9.5% - (continued) | |||
Arroyo Mortgage Trust | |||
$ 131,501 | 1.18%, 10/25/2048(1)(3) | $ 131,616 | |
311,674 | 2.96%, 10/25/2048(1)(3) | 316,553 | |
Bravo Residential Funding Trust | |||
154,012 | 2.75%, 11/25/2059(1)(3) | 155,346 | |
123,740 | 3.50%, 03/25/2058(1) | 126,581 | |
244,111 | Colombia Cent CLO Ltd. 1.28%, 10/25/2028, 3 mo. USD LIBOR + 1.150%(1)(2) | 244,247 | |
125,000 | COLT Funding LLC 0.92%, 08/25/2066(1)(3) | 125,233 | |
COLT Mortgage Loan Trust | |||
166,455 | 0.80%, 07/27/2054(1) | 166,194 | |
289,931 | 0.86%, 05/25/2065(1)(3) | 289,634 | |
77,964 | 0.91%, 06/25/2066(1)(3) | 77,778 | |
113,549 | 1.26%, 09/25/2065(1)(3) | 113,904 | |
388,048 | 1.39%, 01/25/2065(1)(3) | 391,927 | |
255,206 | 1.85%, 03/25/2065(1)(3) | 256,484 | |
137,502 | 2.49%, 02/25/2050(1)(3) | 138,103 | |
87,297 | 2.58%, 11/25/2049(1)(3) | 87,546 | |
CSMC Trust | |||
288,761 | 0.81%, 05/25/2065(1)(3) | 288,974 | |
228,204 | 0.83%, 03/25/2056(1)(3) | 231,442 | |
443,644 | 1.02%, 04/25/2066(1)(3) | 444,237 | |
224,678 | 1.10%, 05/25/2066(1)(3) | 224,732 | |
265,521 | 1.21%, 05/25/2065(1)(4) | 267,066 | |
346,611 | 2.00%, 01/25/2060(1)(3) | 355,890 | |
134,536 | 2.24%, 02/25/2050(1)(3) | 136,399 | |
Deephaven Residential Mortgage Trust | |||
124,461 | 0.72%, 05/25/2065(1)(3) | 124,369 | |
150,050 | 2.34%, 01/25/2060(1)(3) | 151,586 | |
Ellington Financial Mortgage Trust | |||
81,232 | 0.80%, 02/25/2066(1)(3) | 81,020 | |
63,167 | 1.18%, 10/25/2065(1)(3) | 63,259 | |
256,591 | Fannie Mae Connecticut Avenue Securities 5.99%, 10/25/2028, 1 mo. USD LIBOR + 5.900%(2) | 270,624 | |
249,448 | FirstKey Homes Trust 1.27%, 10/19/2037(1) | 250,316 | |
GCAT Trust | |||
281,344 | 0.87%, 01/25/2066(1)(3) | 285,598 | |
145,768 | 1.04%, 05/25/2066(1)(3) | 145,768 | |
324,718 | 1.47%, 04/25/2065(1)(3) | 324,292 | |
183,813 | 2.25%, 01/25/2060(1)(4) | 186,337 | |
59,187 | Home Re Ltd. 1.69%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(1)(2) | 59,187 | |
215,240 | Imperial Fund Mortgage Trust 1.07%, 06/25/2056(1)(3) | 215,437 | |
200,000 | IMS Ecuadorian Mortgage Trust 3.40%, 08/18/2043(1)(5)(6) | 207,500 | |
MFA Trust | |||
224,218 | 0.85%, 01/25/2056(1)(3) | 223,521 | |
118,993 | 1.01%, 01/26/2065(1)(3) | 119,134 | |
191,335 | 1.15%, 04/25/2065(1)(3) | 194,116 | |
433,369 | Mill City Mortgage Loan Trust 1.13%, 11/25/2060(1)(3) | 435,832 | |
31,164 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 31,184 | |
New Residential Mortgage Loan Trust | |||
205,157 | 0.84%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(2) | 205,665 | |
106,723 | 0.94%, 09/25/2058(1)(3) | 107,354 | |
180,056 | 2.46%, 01/26/2060(1)(3) | 182,673 | |
252,866 | 4.00%, 02/25/2057(1)(3) | 271,088 | |
97,787 | 4.00%, 09/25/2057(1)(3) | 103,162 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) | |||
Whole Loan Collateral CMO - 9.5% - (continued) | |||
$ 99,825 | OBX Trust 3.50%, 12/25/2049(1)(3) | $ 101,896 | |
110,000 | Preston Ridge Partners Mortgage Trust LLC 1.32%, 07/25/2051(1)(3) | 109,999 | |
13,206 | Sequoia Mortgage Trust 4.50%, 08/25/2048(1)(3) | 13,477 | |
340,454 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(3) | 340,437 | |
54,078 | Spruce Hill Mortgage Loan Trust 3.40%, 04/29/2049(1)(3) | 54,675 | |
Starwood Mortgage Residential Trust | |||
204,541 | 1.13%, 06/25/2056(1)(3) | 204,879 | |
165,721 | 2.28%, 02/25/2050(1)(3) | 167,684 | |
214,308 | Starwood Residential Mortgage Trust 1.22%, 05/25/2065(1)(3) | 214,893 | |
162,000 | Toorak Mortgage Corp. Ltd. 1.15%, 07/25/2056(1)(3) | 162,169 | |
Verus Securitization Trust | |||
306,667 | 0.82%, 10/25/2063(1)(3) | 306,610 | |
169,896 | 0.82%, 01/25/2066(1)(3) | 169,714 | |
151,396 | 1.02%, 04/25/2064(1)(3) | 151,875 | |
136,645 | 1.03%, 02/25/2066(1)(3) | 136,691 | |
78,256 | 2.42%, 01/25/2060(1)(4) | 79,387 | |
94,548 | 2.69%, 11/25/2059(1)(3) | 96,204 | |
210,334 | Visio Trust 1.28%, 05/25/2056(1) | 210,042 | |
12,256,461 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $27,720,739) | $ 27,808,788 | ||
CORPORATE BONDS - 46.6% | |||
Aerospace/Defense - 0.2% | |||
300,000 | Boeing Co. 2.20%, 02/04/2026 | $ 302,640 | |
Agriculture - 0.4% | |||
450,000 | BAT Capital Corp. 2.79%, 09/06/2024 | 472,370 | |
Auto Manufacturers - 2.4% | |||
225,000 | Daimler Finance NA LLC 1.45%, 03/02/2026(1) | 227,635 | |
325,000 | Ford Motor Co. 8.50%, 04/21/2023 | 360,825 | |
275,000 | Ford Motor Credit Co. LLC 3.35%, 11/01/2022 | 281,248 | |
General Motors Financial Co., Inc. | |||
200,000 | 1.25%, 01/08/2026 | 199,845 | |
190,000 | 1.70%, 08/18/2023 | 193,876 | |
500,000 | 2.90%, 02/26/2025 | 530,581 | |
200,000 | 3.45%, 04/10/2022 | 203,126 | |
307,000 | 4.00%, 10/06/2026 | 340,531 | |
50,000 | Hyundai Capital America 4.13%, 06/08/2023(1) | 52,919 | |
Volkswagen Group of America Finance LLC | |||
400,000 | 4.25%, 11/13/2023(1) | 431,360 | |
200,000 | 4.63%, 11/13/2025(1) | 227,362 | |
3,049,308 | |||
Beverages - 0.5% | |||
200,000 | Bacardi Ltd. 4.45%, 05/15/2025(1) | 222,832 | |
425,000 | Coca-Cola European Partners plc 1.50%, 01/15/2027(1) | 425,410 | |
648,242 |
44 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Biotechnology - 0.3% | |||
Royalty Pharma plc | |||
$ 175,000 | 0.75%, 09/02/2023(1) | $ 175,627 | |
225,000 | 1.20%, 09/02/2025(1) | 224,977 | |
400,604 | |||
Chemicals - 0.8% | |||
Celanese U.S. Holdings LLC | |||
80,000 | 3.50%, 05/08/2024 | 85,543 | |
280,000 | 4.63%, 11/15/2022 | 294,357 | |
345,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 346,927 | |
300,000 | Sherwin-Williams Co. 4.20%, 01/15/2022 | 302,296 | |
1,029,123 | |||
Commercial Banks - 11.5% | |||
Bank of America Corp. | |||
275,000 | 0.98%, 09/25/2025, (0.98% fixed rate until 09/25/2024; 3 mo. USD SOFR + 0.910% thereafter)(7) | 275,431 | |
300,000 | 1.20%, 10/24/2026, (1.20% fixed rate until 10/24/2025; 3 mo. USD SOFR + 1.010% thereafter)(7) | 299,389 | |
350,000 | 2.02%, 02/13/2026, (2.02% fixed rate until 02/13/2025; 3 mo. USD LIBOR + 0.640% thereafter)(7) | 360,902 | |
275,000 | 3.88%, 08/01/2025 | 306,651 | |
Barclays plc | |||
250,000 | 1.01%, 12/10/2024, (1.01% fixed rate until 12/10/2023; 12 mo. USD CMT + 0.800% thereafter)(2)(7) | 250,984 | |
325,000 | 3.68%, 01/10/2023 | 329,615 | |
200,000 | BNP Paribas S.A. 1.32%, 01/13/2027, (1.32% fixed rate until 01/13/2026; 3 mo. USD SOFR + 1.004% thereafter)(1)(7) | 198,124 | |
BPCE S.A. | |||
250,000 | 1.65%, 10/06/2026, (1.65% fixed rate until 10/06/2025; 3 mo. USD SOFR + 1.520% thereafter)(1)(7) | 252,276 | |
250,000 | 4.00%, 09/12/2023(1) | 267,555 | |
CIT Group, Inc. | |||
135,000 | 5.00%, 08/15/2022 | 140,751 | |
340,000 | 5.00%, 08/01/2023 | 367,098 | |
Citigroup, Inc. | |||
200,000 | 0.78%, 10/30/2024, (0.78% fixed rate until 10/30/2023; 3 mo. USD SOFR + 0.686% thereafter)(7) | 200,819 | |
100,000 | 0.98%, 05/01/2025, (0.98% fixed rate until 05/01/2024; 3 mo. USD LIBOR + 0.669% thereafter)(7) | 100,538 | |
400,000 | 1.12%, 01/28/2027, (1.12% fixed rate until 01/28/2026; 3 mo. USD SOFR + 0.765% thereafter)(7) | 396,552 | |
350,000 | 3.30%, 04/27/2025 | 381,247 | |
250,000 | Cooperatieve Rabobank UA 1.00%, 09/24/2026, (1.00% fixed rate until 09/24/2025; 12 mo. USD CMT + 0.730% thereafter)(1)(7) | 249,085 | |
275,000 | Credit Agricole S.A. 1.25%, 01/26/2027, (1.25% fixed rate until 01/26/2026; 3 mo. USD SOFR + 0.892% thereafter)(1)(7) | 272,765 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Commercial Banks - 11.5% - (continued) | |||
Credit Suisse Group AG | |||
$ 250,000 | 1.31%, 02/02/2027, (1.31% fixed rate until 02/02/2026; 3 mo. USD SOFR + 0.980% thereafter)(1)(7) | $ 246,306 | |
305,000 | 2.59%, 09/11/2025, (2.59% fixed rate until 09/11/2024; 3 mo. USD SOFR + 1.560% thereafter)(1)(7) | 317,977 | |
250,000 | 3.57%, 01/09/2023(1) | 253,433 | |
200,000 | Danske Bank A/S 3.88%, 09/12/2023(1) | 212,753 | |
Deutsche Bank AG | |||
150,000 | 1.45%, 04/01/2025, (1.45% fixed rate until 04/01/2024; 3 mo. USD SOFR + 1.131% thereafter)(7) | 151,199 | |
100,000 | 4.25%, 10/14/2021 | 100,757 | |
250,000 | Discover Bank 2.45%, 09/12/2024 | 261,873 | |
150,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 157,556 | |
Goldman Sachs Group, Inc. | |||
185,000 | 1.09%, 12/09/2026, (1.09% fixed rate until 12/09/2025; 3 mo. USD SOFR + 0.789% thereafter)(7) | 183,745 | |
250,000 | 1.54%, 09/10/2027, (1.54% fixed rate until 09/10/2026; 3 mo. USD SOFR + 0.818% thereafter)(7) | 251,341 | |
HSBC Holdings plc | |||
495,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD LIBOR + 1.290% thereafter)(7) | 497,831 | |
350,000 | 2.63%, 11/07/2025, (2.63% fixed rate until 11/07/2024; 3 mo. USD SOFR + 1.402% thereafter)(7) | 366,558 | |
200,000 | ING Groep N.V. 1.73%, 04/01/2027, (1.73% fixed rate until 04/01/2026; 3 mo. USD SOFR + 1.005% thereafter)(7) | 203,598 | |
Intesa Sanpaolo S.p.A. | |||
200,000 | 3.13%, 07/14/2022(1) | 204,904 | |
400,000 | 3.25%, 09/23/2024(1) | 425,818 | |
JP Morgan Chase & Co. | |||
350,000 | 1.04%, 02/04/2027, (1.04% fixed rate until 02/04/2026; 3 mo. USD SOFR + 0.695% thereafter)(7) | 346,458 | |
200,000 | 1.05%, 11/19/2026, (1.05% fixed rate until 11/19/2025; 3 mo. USD SOFR + 0.800% thereafter)(7) | 198,772 | |
400,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD LIBOR + 1.160% thereafter)(7) | 417,406 | |
300,000 | 2.97%, 01/15/2023 | 303,625 | |
250,000 | 3.90%, 07/15/2025 | 277,196 | |
200,000 | 4.13%, 12/15/2026 | 227,411 | |
315,000 | KeyBank NA 3.40%, 05/20/2026 | 346,108 | |
155,000 | Macquarie Group Ltd. 1.34%, 01/12/2027, (1.34% fixed rate until 01/12/2026; 3 mo. USD SOFR + 1.069% thereafter)(1)(7) | 154,685 | |
Morgan Stanley | |||
480,000 | 0.86%, 10/21/2025, (0.86% fixed rate until 10/21/2024; 3 mo. USD SOFR + 0.745% thereafter)(7) | 480,283 | |
250,000 | 0.99%, 12/10/2026, (0.99% fixed rate until 12/10/2025; 3 mo. USD SOFR + 0.720% thereafter)(7) | 247,164 | |
200,000 | 4.00%, 07/23/2025 | 222,598 |
45 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Commercial Banks - 11.5% - (continued) | |||
$ 300,000 | National Bank of Canada 0.55%, 11/15/2024, (0.55% fixed rate until 11/15/2023; 12 mo. USD CMT + 0.400% thereafter)(2)(7) | $ 299,526 | |
200,000 | Natwest Group plc 1.64%, 06/14/2027, (1.64% fixed rate until 06/14/2026; 1 mo. USD LIBOR + 0.900% thereafter)(2)(7) | 201,068 | |
200,000 | NatWest Markets plc 0.80%, 08/12/2024(1) | 199,791 | |
Santander Holdings USA, Inc. | |||
275,000 | 3.50%, 06/07/2024 | 294,320 | |
125,000 | 3.70%, 03/28/2022 | 127,286 | |
Standard Chartered plc | |||
200,000 | 1.46%, 01/14/2027, (1.46% fixed rate until 01/14/2026; 1 mo. USD LIBOR + 1.000% thereafter)(1)(7) | 198,998 | |
375,000 | 4.25%, 01/20/2023, (4.25% fixed rate until 01/20/2022; 3 mo. USD LIBOR + 1.150% thereafter)(1)(7) | 381,593 | |
300,000 | UBS Group AG 4.13%, 04/15/2026(1) | 337,900 | |
UniCredit S.p.A. | |||
200,000 | 1.98%, 06/03/2027, (1.98% fixed rate until 06/03/2026; 12 mo. USD CMT + 1.200% thereafter)(1)(7) | 200,428 | |
200,000 | 3.75%, 04/12/2022(1) | 204,245 | |
350,000 | 6.57%, 01/14/2022(1) | 358,946 | |
300,000 | Wells Fargo & Co. 2.16%, 02/11/2026, (2.16% fixed rate until 02/11/2025; 3 mo. USD LIBOR + 0.750% thereafter)(7) | 312,355 | |
14,823,593 | |||
Commercial Services - 1.1% | |||
Global Payments, Inc. | |||
600,000 | 1.20%, 03/01/2026 | 599,377 | |
255,000 | 2.65%, 02/15/2025 | 268,839 | |
Howard University | |||
75,000 | 2.42%, 10/01/2024 | 77,239 | |
261,000 | 2.52%, 10/01/2025 | 270,445 | |
135,000 | 2.80%, 10/01/2023 | 140,570 | |
60,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 63,780 | |
1,420,250 | |||
Construction Materials - 0.2% | |||
275,000 | Carrier Global Corp. 2.24%, 02/15/2025 | 287,756 | |
Diversified Financial Services - 2.7% | |||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | |||
150,000 | 1.75%, 01/30/2026 | 149,065 | |
150,000 | 4.13%, 07/03/2023 | 158,679 | |
75,000 | Air Lease Corp. 2.63%, 07/01/2022 | 76,386 | |
325,000 | Ally Financial, Inc. 3.88%, 05/21/2024 | 351,400 | |
200,000 | Aviation Capital Group LLC 3.88%, 05/01/2023(1) | 209,352 | |
Avolon Holdings Funding Ltd. | |||
375,000 | 2.88%, 02/15/2025(1) | 388,616 | |
250,000 | 5.13%, 10/01/2023(1) | 270,204 | |
200,000 | BOC Aviation USA Corp. 1.63%, 04/29/2024(1) | 201,746 | |
300,000 | CNA Financial Corp. 7.25%, 11/15/2023 | 344,377 | |
430,000 | International Lease Finance Corp. 5.88%, 08/15/2022 | 453,052 | |
275,000 | LeasePlan Corp. N.V. 2.88%, 10/24/2024(1) | 288,863 | |
Synchrony Financial | |||
180,000 | 2.85%, 07/25/2022 | 183,928 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Diversified Financial Services - 2.7% - (continued) | |||
$ 95,000 | 4.38%, 03/19/2024 | $ 103,436 | |
350,000 | Western Union Co. 1.35%, 03/15/2026 | 350,078 | |
3,529,182 | |||
Electric - 1.4% | |||
300,000 | AES Corp. 1.38%, 01/15/2026(1) | 299,416 | |
112,000 | Cleco Corporate Holdings LLC 3.74%, 05/01/2026 | 123,218 | |
200,000 | Dominion Energy, Inc. 3.07%, 08/15/2024(2)(4) | 212,818 | |
Edison International | |||
200,000 | 2.40%, 09/15/2022 | 203,154 | |
250,000 | 2.95%, 03/15/2023 | 257,847 | |
155,000 | Evergy, Inc. 2.45%, 09/15/2024 | 163,045 | |
125,000 | Exelon Corp. 3.50%, 06/01/2022 | 127,935 | |
150,000 | FirstEnergy Corp. 3.60%, 07/15/2022 | 151,879 | |
95,000 | ITC Holdings Corp. 4.05%, 07/01/2023 | 100,247 | |
125,000 | Public Service Enterprise Group, Inc. 0.80%, 08/15/2025 | 124,274 | |
1,763,833 | |||
Electronics - 0.7% | |||
250,000 | Jabil, Inc. 1.70%, 04/15/2026 | 253,495 | |
275,000 | Roper Technologies, Inc. 2.35%, 09/15/2024 | 287,573 | |
400,000 | SYNNEX Corp. 1.25%, 08/09/2024(1) | 400,088 | |
941,156 | |||
Environmental Control - 0.1% | |||
115,000 | Republic Services, Inc. 0.88%, 11/15/2025 | 114,189 | |
Food - 0.7% | |||
Conagra Brands, Inc. | |||
225,000 | 4.30%, 05/01/2024 | 246,554 | |
150,000 | 4.60%, 11/01/2025 | 170,541 | |
275,000 | Kraft Heinz Foods Co. 3.00%, 06/01/2026 | 292,066 | |
175,000 | Sysco Corp. 5.65%, 04/01/2025 | 202,906 | |
912,067 | |||
Gas - 0.2% | |||
240,000 | NiSource, Inc. 0.95%, 08/15/2025 | 238,644 | |
Healthcare - Products - 0.1% | |||
180,000 | Boston Scientific Corp. 3.45%, 03/01/2024 | 192,378 | |
Healthcare - Services - 1.8% | |||
205,000 | Anthem, Inc. 2.38%, 01/15/2025 | 215,355 | |
340,000 | Bon Secours Mercy Health, Inc. 1.35%, 06/01/2025 | 345,395 | |
CommonSpirit Health | |||
160,000 | 1.55%, 10/01/2025 | 162,249 | |
555,000 | 2.76%, 10/01/2024 | 584,575 | |
HCA, Inc. | |||
125,000 | 4.75%, 05/01/2023 | 133,773 | |
350,000 | 5.00%, 03/15/2024 | 387,172 | |
325,000 | Humana, Inc. 1.35%, 02/03/2027 | 325,477 | |
110,000 | PeaceHealth Obligated Group 1.38%, 11/15/2025 | 111,756 | |
2,265,752 | |||
Home Builders - 0.6% | |||
Lennar Corp. | |||
200,000 | 4.75%, 11/15/2022 | 208,250 | |
112,000 | 4.88%, 12/15/2023 | 121,660 | |
250,000 | 5.38%, 10/01/2022 | 263,126 | |
175,000 | Toll Brothers Finance Corp. 5.88%, 02/15/2022 | 177,188 | |
770,224 |
46 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Insurance - 0.9% | |||
$ 190,000 | Allstate Corp. 0.75%, 12/15/2025 | $ 189,574 | |
35,000 | Brighthouse Financial Global Funding 1.00%, 04/12/2024(1) | 35,242 | |
200,000 | Equitable Financial Life Global Funding 1.00%, 01/09/2026(1) | 198,454 | |
350,000 | Globe Life, Inc. 7.88%, 05/15/2023 | 393,942 | |
165,000 | Marsh & McLennan Cos., Inc. 3.88%, 03/15/2024 | 178,575 | |
175,000 | Radian Group, Inc. 6.63%, 03/15/2025 | 196,000 | |
1,191,787 | |||
Internet - 0.3% | |||
Netflix, Inc. | |||
350,000 | 3.63%, 06/15/2025(1) | 375,795 | |
75,000 | 5.50%, 02/15/2022 | 76,969 | |
452,764 | |||
Investment Company Security - 0.2% | |||
225,000 | Owl Rock Capital Corp. 2.63%, 01/15/2027 | 227,578 | |
Iron/Steel - 0.5% | |||
599,000 | Steel Dynamics, Inc. 2.80%, 12/15/2024 | 632,410 | |
IT Services - 0.6% | |||
400,000 | Hewlett Packard Enterprise Co. 2.25%, 04/01/2023 | 410,812 | |
150,000 | Seagate HDD Cayman 4.75%, 06/01/2023 | 159,563 | |
250,000 | SYNNEX Corp. 1.75%, 08/09/2026 | 249,736 | |
820,111 | |||
Lodging - 0.7% | |||
235,000 | Genting New York LLC 3.30%, 02/15/2026(1) | 236,278 | |
450,000 | Las Vegas Sands Corp. 3.20%, 08/08/2024 | 469,849 | |
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 264,063 | |
970,190 | |||
Media - 0.7% | |||
200,000 | Charter Communications Operating LLC / Charter Communications Operating Capital 4.50%, 02/01/2024 | 217,609 | |
345,000 | Comcast Corp. 3.70%, 04/15/2024 | 373,811 | |
47,000 | Cox Communications, Inc. 3.15%, 08/15/2024(1) | 50,143 | |
175,000 | Discovery Communications LLC 3.45%, 03/15/2025 | 188,763 | |
65,000 | Fox Corp. 4.03%, 01/25/2024 | 70,283 | |
900,609 | |||
Mining - 0.1% | |||
100,000 | Glencore Funding LLC 3.00%, 10/27/2022(1) | 102,707 | |
Miscellaneous Manufacturing - 0.4% | |||
250,000 | Siemens Financieringsmaatschappij N.V. 1.20%, 03/11/2026(1) | 251,931 | |
300,000 | Trane Technologies Luxembourg Finance S.A. 3.50%, 03/21/2026 | 330,776 | |
582,707 | |||
Office/Business Equipment - 0.2% | |||
105,000 | CDW LLC / CDW Finance Corp. 4.13%, 05/01/2025 | 108,816 | |
100,000 | Xerox Corp. 4.07%, 03/17/2022 | 101,500 | |
210,316 | |||
Oil & Gas - 2.1% | |||
535,000 | Aker BP ASA 3.00%, 01/15/2025(1) | 565,798 | |
400,000 | Cimarex Energy Co. 4.38%, 06/01/2024 | 434,604 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Oil & Gas - 2.1% - (continued) | |||
$ 350,000 | Diamondback Energy, Inc. 0.90%, 03/24/2023 | $ 349,917 | |
374,000 | Hess Corp. 3.50%, 07/15/2024 | 397,070 | |
225,000 | Phillips 66 0.90%, 02/15/2024 | 225,197 | |
355,000 | Pioneer Natural Resources Co. 0.75%, 01/15/2024 | 355,086 | |
Valero Energy Corp. | |||
150,000 | 2.70%, 04/15/2023 | 155,359 | |
200,000 | 2.85%, 04/15/2025 | 212,024 | |
2,695,055 | |||
Oil & Gas Services - 0.3% | |||
375,000 | Schlumberger Holdings Corp. 3.75%, 05/01/2024(1) | 403,583 | |
Packaging & Containers - 0.6% | |||
Berry Global, Inc. | |||
175,000 | 0.95%, 02/15/2024(1) | 175,219 | |
300,000 | 1.57%, 01/15/2026(1) | 301,740 | |
350,000 | Silgan Holdings, Inc. 1.40%, 04/01/2026(1) | 348,250 | |
825,209 | |||
Pharmaceuticals - 1.3% | |||
465,000 | AbbVie, Inc. 2.95%, 11/21/2026 | 503,856 | |
CVS Health Corp. | |||
100,000 | 2.63%, 08/15/2024 | 105,504 | |
41,000 | 3.70%, 03/09/2023 | 43,073 | |
Elanco Animal Health, Inc. | |||
450,000 | 4.91%, 08/27/2021 | 450,810 | |
105,000 | 5.27%, 08/28/2023 | 112,350 | |
425,000 | Teva Pharmaceutical Finance Netherlands B.V. 2.80%, 07/21/2023 | 420,112 | |
1,635,705 | |||
Pipelines - 2.6% | |||
Energy Transfer L.P. | |||
145,000 | 2.90%, 05/15/2025 | 152,923 | |
120,000 | 4.20%, 09/15/2023 | 128,052 | |
135,000 | 4.50%, 04/15/2024 | 146,895 | |
200,000 | 5.00%, 10/01/2022 | 207,777 | |
93,000 | EQM Midstream Partners L.P. 4.75%, 07/15/2023 | 96,952 | |
305,000 | Gray Oak Pipeline LLC 2.00%, 09/15/2023(1) | 311,313 | |
MPLX L.P. | |||
100,000 | 3.38%, 03/15/2023 | 104,348 | |
200,000 | 3.50%, 12/01/2022 | 207,442 | |
450,000 | Phillips 66 Partners L.P. 2.45%, 12/15/2024 | 468,955 | |
500,000 | Plains All American Pipeline L.P. / PAA Finance Corp. 3.60%, 11/01/2024 | 534,588 | |
650,000 | Western Midstream Operating L.P. 4.00%, 07/01/2022 | 656,500 | |
262,000 | Williams Cos., Inc. 4.30%, 03/04/2024 | 283,839 | |
3,299,584 | |||
Real Estate Investment Trusts - 3.0% | |||
American Tower Corp. | |||
200,000 | 1.60%, 04/15/2026 | 203,039 | |
215,000 | 2.75%, 01/15/2027 | 228,820 | |
150,000 | 3.38%, 05/15/2024 | 160,466 | |
100,000 | 5.00%, 02/15/2024 | 110,628 | |
500,000 | Boston Properties L.P. 3.20%, 01/15/2025 | 536,274 | |
265,000 | Brandywine Operating Partnership L.P. 4.10%, 10/01/2024 | 286,804 | |
300,000 | Crown Castle International Corp. 3.15%, 07/15/2023 | 314,740 |
47 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Real Estate Investment Trusts - 3.0% - (continued) | |||
Equinix, Inc. | |||
$ 225,000 | 1.00%, 09/15/2025 | $ 224,739 | |
290,000 | 1.45%, 05/15/2026 | 291,484 | |
240,000 | Federal Realty Investment Trust 1.25%, 02/15/2026 | 240,914 | |
SBA Tower Trust | |||
80,000 | 1.63%, 05/15/2051(1) | 80,956 | |
155,000 | 2.84%, 01/15/2050(1) | 161,667 | |
100,000 | Simon Property Group L.P. 2.75%, 06/01/2023 | 103,751 | |
400,000 | Ventas Realty L.P. 2.65%, 01/15/2025 | 421,790 | |
375,000 | VEREIT Operating Partnership L.P. 4.63%, 11/01/2025 | 426,667 | |
100,000 | Vornado Realty L.P. 2.15%, 06/01/2026 | 102,379 | |
3,895,118 | |||
Retail - 0.5% | |||
400,000 | 7-eleven, Inc. 0.80%, 02/10/2024(1) | 400,068 | |
185,000 | Nordstrom, Inc. 2.30%, 04/08/2024 | 185,679 | |
585,747 | |||
Semiconductors - 1.9% | |||
Broadcom, Inc. | |||
150,000 | 3.63%, 10/15/2024 | 162,638 | |
275,000 | 4.70%, 04/15/2025 | 308,925 | |
295,000 | KLA Corp. 4.65%, 11/01/2024 | 329,446 | |
290,000 | Marvell Technology, Inc. 1.65%, 04/15/2026(1) | 292,103 | |
Microchip Technology, Inc. | |||
360,000 | 0.97%, 02/15/2024(1) | 360,653 | |
250,000 | 0.98%, 09/01/2024(1) | 249,637 | |
NXP B.V. / NXP Funding LLC | |||
425,000 | 4.63%, 06/01/2023(1) | 455,221 | |
155,000 | 4.88%, 03/01/2024(1) | 170,386 | |
75,000 | Skyworks Solutions, Inc. 1.80%, 06/01/2026 | 76,353 | |
2,405,362 | |||
Software - 0.7% | |||
Fidelity National Information Services, Inc. | |||
225,000 | 0.60%, 03/01/2024 | 224,827 | |
200,000 | 1.15%, 03/01/2026 | 200,242 | |
215,000 | Oracle Corp. 1.65%, 03/25/2026 | 218,966 | |
300,000 | VMware, Inc. 1.00%, 08/15/2024 | 300,951 | |
944,986 | |||
Telecommunications - 1.7% | |||
AT&T, Inc. | |||
125,000 | 3.00%, 06/30/2022 | 127,512 | |
150,000 | 4.13%, 02/17/2026 | 168,742 | |
150,000 | Nokia Oyj 3.38%, 06/12/2022 | 153,315 | |
300,000 | Sprint Communications, Inc. 6.00%, 11/15/2022 | 317,559 | |
270,000 | Sprint Corp. 7.25%, 09/15/2021 | 271,755 | |
35,938 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 3.36%, 03/20/2023(1) | 36,063 | |
450,000 | Telecom Italia S.p.A. 5.30%, 05/30/2024(1) | 487,958 | |
100,000 | T-Mobile USA, Inc. 3.50%, 04/15/2025 | 108,598 | |
Verizon Communications, Inc. | |||
250,000 | 0.85%, 11/20/2025 | 248,611 | |
250,000 | 1.45%, 03/20/2026 | 253,360 | |
2,173,473 | |||
Transportation - 0.3% | |||
355,000 | TTX Co. 3.60%, 01/15/2025(1) | 389,366 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 46.6% - (continued) | |||
Trucking & Leasing - 1.3% | |||
DAE Funding LLC | |||
$ 385,000 | 1.55%, 08/01/2024(1) | $ 384,615 | |
325,000 | 5.25%, 11/15/2021(1) | 327,974 | |
250,000 | GATX Corp. 4.35%, 02/15/2024 | 271,404 | |
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | |||
150,000 | 1.20%, 11/15/2025(1) | 149,552 | |
175,000 | 2.70%, 03/14/2023(1) | 180,700 | |
110,000 | 2.70%, 11/01/2024(1) | 115,781 | |
250,000 | 4.13%, 08/01/2023(1) | 265,584 | |
1,695,610 | |||
Total Corporate Bonds (cost $58,951,711) | $ 60,201,288 | ||
MUNICIPAL BONDS - 0.2% | |||
General - 0.1% | |||
100,000 | Chicago, IL, Transit Auth 2.21%, 12/01/2025 | $ 104,698 | |
Trans - Rail - 0.1% | |||
210,000 | Chicago, IL, Transit Auth 5.37%, 12/01/2022 | 223,725 | |
Total Municipal Bonds (cost $317,516) | $ 328,423 | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) | |||
Aerospace/Defense - 0.4% | |||
268,650 | Great Outdoors Group LLC 5.00%, 03/06/2028, 1 mo. USD LIBOR + 4.250% | $ 268,784 | |
191,820 | TransDigm, Inc. 2.34%, 12/09/2025, 1 mo. USD LIBOR + 2.250% | 188,293 | |
457,077 | |||
Airlines - 0.3% | |||
100,000 | AAdvantage Loyalty IP Ltd. 5.50%, 04/20/2028, 1 mo. USD LIBOR + 4.750% | 102,675 | |
100,000 | Air Canada 0.00%, 07/28/2028, 1 mo. USD LIBOR + 3.500%(9) | 100,167 | |
120,000 | SkyMiles IP Ltd. 4.75%, 10/20/2027, 3 mo. USD LIBOR + 3.750% | 126,634 | |
104,738 | United Airlines, Inc. 4.50%, 04/21/2028, 1 mo. USD LIBOR + 3.750% | 104,777 | |
434,253 | |||
Apparel - 0.1% | |||
100,000 | Birkenstock GmbH & Co. KG 4.25%, 04/27/2028, 1 mo. USD LIBOR + 3.750% | 99,708 | |
Auto Parts & Equipment - 0.4% | |||
100,000 | Adient U.S. LLC 3.59%, 04/08/2028, 1 mo. USD LIBOR + 3.500% | 99,875 | |
116,977 | Altra Industrial Motion Corp. 2.09%, 10/01/2025, 3 mo. USD LIBOR + 2.000% | 116,100 | |
Clarios Global L.P. | |||
EUR 145,013 | 3.25%, 04/30/2026, 3 mo. EURIBOR + 3.250% | 170,280 | |
$ 163,558 | 3.34%, 04/30/2026, 1 mo. USD LIBOR + 3.250% | 162,100 | |
548,355 | |||
Beverages - 0.2% | |||
212,318 | Sunshine Luxembourg S.a.r.l. 4.50%, 10/01/2026, 1 mo. USD LIBOR + 3.750% | 212,318 | |
Chemicals - 0.6% | |||
144,813 | H.B. Fuller Co. 2.08%, 10/20/2024, 3 mo. USD LIBOR + 2.000% | 144,672 |
48 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Chemicals - 0.6% - (continued) | |||
$ 100,000 | INEOS Styrolution U.S. Holding LLC 3.25%, 01/29/2026, 1 mo. USD LIBOR + 2.750% | $ 99,600 | |
EUR 76,852 | Messer Industries GmbH 2.50%, 03/01/2026, 3 mo. EURIBOR + 2.500% | 90,134 | |
Starfruit Finco B.V | |||
$ 79,834 | 2.84%, 10/01/2025, 1 mo. USD LIBOR + 2.750% | 78,751 | |
EUR 94,414 | 3.00%, 10/01/2025, 3 mo. EURIBOR + 3.000% | 110,649 | |
$ 200,000 | Univar Solutions USA Inc. 2.09%, 06/03/2028, 1 mo. USD LIBOR + 2.000% | 198,458 | |
98,500 | Univar, Inc. 2.09%, 07/01/2026, 1 mo. USD LIBOR + 2.000% | 97,900 | |
820,164 | |||
Commercial Services - 2.5% | |||
319,200 | AlixPartners LLP 3.25%, 02/04/2028, 1 mo. USD LIBOR + 2.750% | 317,026 | |
125,000 | APX Group, Inc. 0.00%, 07/10/2028, 1 mo. USD LIBOR + 3.500%(9) | 124,000 | |
EUR 200,000 | Biogroup-LCD 3.50%, 01/28/2028, 3 mo. EURIBOR + 3.500% | 235,234 | |
155,000 | Boels Topholding B.V. 3.25%, 02/05/2027, 3 mo. EURIBOR + 3.250% | 182,420 | |
$ 121,859 | BrightView Landscapes LLC 2.63%, 08/15/2025, 3 mo. USD LIBOR + 2.500% | 120,031 | |
217,800 | Deerfield Dakota Holding LLC 4.75%, 04/09/2027, 1 mo. USD LIBOR + 3.750% | 217,665 | |
496,008 | Dun & Bradstreet Corp. 3.34%, 02/06/2026, 1 mo. USD LIBOR + 3.250% | 491,588 | |
EUR 135,000 | LGC Group Holdings Ltd. 3.75%, 04/21/2027, 1 mo. EURIBOR + 2.750% | 157,390 | |
$ 197,000 | Quikrete Holdings, Inc. 2.59%, 02/01/2027, 1 mo. USD LIBOR + 2.500% | 194,455 | |
192,900 | Trans Union LLC 1.84%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 190,408 | |
511,982 | United Rentals, Inc. 1.84%, 10/31/2025, 3 mo. USD LIBOR + 1.750% | 513,344 | |
Verisure Holding AB | |||
EUR 100,000 | 3.50%, 07/20/2026, 6 mo. EURIBOR + 4.000% | 117,794 | |
205,000 | 3.50%, 03/27/2028, 3 mo. EURIBOR + 3.500% | 241,594 | |
$ 100,000 | Verscend Holding Corp. 4.09%, 08/27/2025, 1 mo. USD LIBOR + 4.000% | 99,725 | |
3,202,674 | |||
Construction Materials - 0.1% | |||
170,000 | ACProducts, Inc. 4.75%, 05/05/2028, 1 mo. USD LIBOR + 4.250% | 168,752 | |
Distribution/Wholesale - 0.2% | |||
218,115 | American Builders & Contractors Supply Co., Inc. 2.09%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 215,389 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Diversified Financial Services - 0.2% | |||
$ 120,000 | Fleetcor Technologies Operating Co. LLC 1.84%, 04/28/2028, 1 mo. USD LIBOR + 1.750% | $ 118,972 | |
200,000 | Russell Investments U.S. Inst'l Holdco, Inc. 4.00%, 05/30/2025, 1 mo. USD LIBOR + 3.000% | 199,000 | |
317,972 | |||
Electric - 0.1% | |||
97,750 | ExGen Renewables LLC 3.50%, 12/15/2027, 1 mo. USD LIBOR + 2.500% | 97,485 | |
Electrical Components & Equipment - 0.2% | |||
123,421 | Brookfield WEC Holdings, Inc. 3.25%, 08/01/2025, 1 mo. USD LIBOR + 2.750% | 121,569 | |
99,500 | Energizer Holdings, Inc. 2.75%, 12/22/2027, 1 mo. USD LIBOR + 2.250% | 98,754 | |
220,323 | |||
Engineering & Construction - 0.1% | |||
109,725 | ADMI Corp. 3.63%, 12/23/2027, 1 mo. USD LIBOR + 3.125% | 107,832 | |
Entertainment - 0.2% | |||
99,250 | Banijay Entertainment S.A.S 3.85%, 03/01/2025, 1 mo. USD LIBOR + 3.750% | 98,816 | |
161,225 | Crown Finance U.S., Inc. 3.50%, 02/28/2025, 1 mo. USD LIBOR + 2.500% | 129,951 | |
99,231 | Scientific Games International, Inc. 2.84%, 08/14/2024, 1 mo. USD LIBOR + 2.750% | 97,646 | |
326,413 | |||
Environmental Control - 0.3% | |||
339,394 | Clean Harbors, Inc. 1.84%, 06/28/2024, 3 mo. USD LIBOR + 1.750% | 339,024 | |
Food - 0.6% | |||
182,583 | B&G Foods, Inc. 2.59%, 10/10/2026, 1 mo. USD LIBOR + 2.500% | 182,242 | |
Froneri International Ltd. | |||
99,000 | 2.34%, 01/29/2027, 1 mo. USD LIBOR + 2.250% | 97,144 | |
EUR 120,000 | 2.38%, 01/29/2027, 3 mo. EURIBOR + 2.375% | 139,198 | |
$ 172,369 | Hostess Brands LLC 3.00%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 171,267 | |
219,716 | U.S. Foods, Inc. 1.84%, 06/27/2023, 1 mo. USD LIBOR + 1.750% | 216,798 | |
806,649 | |||
Food Service - 0.1% | |||
193,500 | Aramark Services, Inc. 1.84%, 03/11/2025, 1 mo. USD LIBOR + 1.750% | 190,174 | |
Gas - 0.1% | |||
168,646 | Messer Industries GmbH 2.65%, 03/01/2026, 3 mo. USD LIBOR + 2.500% | 166,924 | |
Hand/Machine Tools - 0.1% | |||
104,213 | Applecaramel Buyer LLC 4.50%, 10/19/2027, 1 mo. USD LIBOR + 4.000% | 104,213 | |
Healthcare - Products - 0.4% | |||
EUR 100,000 | Avantor Funding, Inc. 2.75%, 06/12/2028, 1 mo. EURIBOR + 2.750% | 118,080 |
49 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Healthcare - Products - 0.4% - (continued) | |||
Avantor, Inc. | |||
$ 172,903 | 2.50%, 11/21/2024, 1 mo. USD LIBOR + 2.000% | $ 172,254 | |
159,200 | 2.75%, 11/08/2027, 1 mo. USD LIBOR + 2.250% | 158,570 | |
115,000 | WW International, Inc. 4.00%, 04/13/2028, 1 mo. USD LIBOR + 3.500% | 114,641 | |
563,545 | |||
Healthcare - Services - 0.9% | |||
EUR 100,000 | Elsan SAS 0.00%, 06/16/2028, 3 mo. EURIBOR + 3.500%(9) | 118,051 | |
$ 98,250 | Emerald TopCo, Inc. 3.63%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | 97,114 | |
99,494 | Ensemble RCM LLC 3.88%, 08/03/2026, 3 mo. USD LIBOR + 3.750% | 99,339 | |
136,068 | Gentiva Health Services, Inc. 2.88%, 07/02/2025, 1 mo. USD LIBOR + 2.750% | 135,473 | |
120,000 | Heartland Dental, LLC 4.09%, 04/30/2025, 1 mo. USD LIBOR + 4.000% | 119,500 | |
100,000 | ICON Luxembourg S.a r.l. 3.00%, 07/03/2028, 1 mo. USD LIBOR + 2.500% | 99,750 | |
EUR 184,300 | IQVIA, Inc. 2.00%, 06/11/2025, 1 mo. EURIBOR + 2.000% | 216,904 | |
$ 107,980 | MPH Acquisition Holdings LLC 3.75%, 06/07/2023, 1 mo. USD LIBOR + 2.750% | 107,158 | |
194,512 | PPD, Inc. 2.75%, 01/13/2028, 1 mo. USD LIBOR + 2.250% | 193,888 | |
1,187,177 | |||
Home Furnishings - 0.1% | |||
99,500 | Weber-Stephen Products LLC 4.30%, 10/30/2027, 1 mo. USD LIBOR + 3.250% | 99,190 | |
Household Products - 0.2% | |||
121,536 | Diamond (BC) B.V. 3.09%, 09/06/2024, 3 mo. USD LIBOR + 3.000% | 120,429 | |
86,629 | Reynolds Consumer Products LLC 1.84%, 02/04/2027, 1 mo. USD LIBOR + 1.750% | 85,644 | |
206,073 | |||
Insurance - 1.1% | |||
257,571 | Acrisure LLC 3.61%, 02/15/2027, 1 mo. USD LIBOR + 3.500% | 252,741 | |
Asurion LLC | |||
110,000 | 0.00%, 01/20/2029, 1 mo. USD LIBOR + 5.250%(9) | 109,347 | |
227,950 | 3.09%, 11/03/2024, 1 mo. USD LIBOR + 3.000% | 224,068 | |
105,000 | 5.34%, 01/31/2028, 1 mo. USD LIBOR + 5.250% | 104,400 | |
243,108 | Hub International Ltd. 2.88%, 04/25/2025, 1 mo. USD LIBOR + 2.750% | 239,374 | |
126,741 | NFP Corp. 4.17%, 02/15/2027, 1 mo. USD LIBOR + 3.250% | 124,411 | |
312,000 | Sedgwick Claims Management Services, Inc. 3.34%, 12/31/2025, 3 mo. USD LIBOR + 3.250% | 306,930 | |
1,361,271 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
IT Services - 0.4% | |||
$ 185,000 | Endure Digital, Inc. 4.25%, 02/10/2028, 1 mo. USD LIBOR + 3.500% | $ 181,357 | |
242,576 | Science Applications International Corp. 1.97%, 10/31/2025, 1 mo. USD LIBOR + 1.875% | 240,340 | |
107,008 | Tempo Acquisition LLC 3.75%, 11/02/2026, 1 mo. USD LIBOR + 3.250% | 106,785 | |
528,482 | |||
Leisure Time - 1.2% | |||
242,586 | Caesars Resort Collection LLC 2.84%, 12/22/2024, 3 mo. USD LIBOR + 2.750% | 239,670 | |
244,782 | Carnival Corp. 3.75%, 06/30/2025, 1 mo. USD LIBOR + 3.000%(9) | 242,794 | |
225,000 | Delta (LUX) S.a.r.l. 3.50%, 02/01/2024, 3 mo. USD LIBOR + 2.500% | 222,937 | |
165,000 | Hayward Industries, Inc. 3.25%, 05/12/2028, 1 mo. USD LIBOR + 2.750% | 163,432 | |
104,475 | IRB Holding Corp. 4.25%, 12/15/2027, 1 mo. USD LIBOR + 3.250% | 104,046 | |
100,000 | MajorDrive Holdings LLC 4.50%, 05/12/2028, 1 mo. USD LIBOR + 4.000% | 99,650 | |
218,279 | Penn National Gaming, Inc. 3.00%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 216,278 | |
99,997 | SRAM LLC 0.27%, 05/12/2028, 1 mo. USD LIBOR + 2.750% | 99,372 | |
203,314 | UFC Holdings LLC 3.50%, 04/29/2026, 1 mo. USD LIBOR + 3.000% | 201,885 | |
1,590,064 | |||
Lodging - 0.1% | |||
195,954 | Boyd Gaming Corp. 2.33%, 09/15/2023, 3 mo. USD LIBOR + 2.250% | 195,362 | |
Machinery - Construction & Mining - 0.1% | |||
EUR 100,000 | Concorde Midco Ltd. 4.00%, 03/01/2028, 3 mo. EURIBOR + 4.000% | 118,453 | |
Machinery-Diversified - 0.1% | |||
$ 100,000 | Core & Main L.P. 0.00%, 07/27/2028, 1 mo. USD LIBOR + 3.500%(9) | 98,875 | |
Media - 2.0% | |||
98,428 | Alliance Laundry Systems LLC 4.25%, 10/08/2027, 1 mo. USD LIBOR + 3.500% | 98,290 | |
210,000 | Cable One, Inc. 2.09%, 05/03/2028, 1 mo. USD LIBOR + 2.000% | 207,060 | |
309,532 | CSC Holdings LLC 2.34%, 01/15/2026, 3 mo. USD LIBOR + 2.250% | 303,728 | |
102,575 | E.W. Scripps Co. 3.75%, 01/07/2028, 1 mo. USD LIBOR + 3.000% | 102,222 | |
365,346 | Gray Television, Inc. 2.60%, 01/02/2026, 3 mo. USD LIBOR + 2.500% | 361,740 | |
146,222 | MTN Infrastructure TopCo, Inc. 4.00%, 11/15/2024, 3 mo. USD LIBOR + 3.000% | 145,970 | |
Nexstar Broadcasting, Inc. | |||
153,127 | 2.34%, 01/17/2024, 3 mo. USD LIBOR + 2.250% | 151,931 | |
176,863 | 2.60%, 09/18/2026, 1 mo. USD LIBOR + 2.500% | 175,070 | |
114,040 | Sinclair Television Group, Inc. 2.60%, 09/30/2026, 1 mo. USD LIBOR + 2.500% | 112,222 |
50 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Media - 2.0% - (continued) | |||
$ 157,608 | Terrier Media Buyer, Inc. 3.59%, 12/17/2026, 1 mo. USD LIBOR + 3.500% | $ 155,923 | |
180,000 | UPC Financing Partnership 3.09%, 01/31/2029, 1 mo. USD LIBOR + 3.000% | 178,040 | |
193,541 | Vertical Midco GmbH 4.40%, 07/30/2027, 1 mo. USD LIBOR + 4.250% | 193,026 | |
Virgin Media Bristol LLC | |||
EUR 115,000 | 3.25%, 01/31/2029, 3 mo. EURIBOR + 3.250% | 136,052 | |
$ 115,000 | 3.34%, 01/31/2029, 1 mo. USD LIBOR + 3.250% | 114,393 | |
EUR 145,000 | Ziggo B.V. 3.00%, 01/31/2029, 3 mo. EURIBOR + 3.000% | 169,907 | |
2,605,574 | |||
Miscellaneous Manufacturing - 0.4% | |||
$ 148,843 | Core & Main L.P. 0.00%, 08/01/2024, 3 mo. USD LIBOR, 3 mo. USD LIBOR + 2.750% | 148,595 | |
177,750 | Ingersoll-Rand Services Co. 1.84%, 03/01/2027, 1 mo. USD LIBOR + 1.750% | 174,389 | |
217,651 | USI, Inc. 3.15%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 215,167 | |
538,151 | |||
Oil & Gas - 0.4% | |||
185,000 | DT Midstream, Inc. 2.50%, 06/26/2028, 1 mo. USD LIBOR + 2.000% | 184,438 | |
300,000 | Pilot Travel Centers LLC 0.00%, 07/29/2028, 1 mo. USD LIBOR + 3.500%(9) | 298,500 | |
482,938 | |||
Oil & Gas Services - 0.1% | |||
97,998 | Lower Cadence Holdings LLC 4.09%, 05/22/2026, 3 mo. USD LIBOR + 4.000% | 97,859 | |
Packaging & Containers - 0.4% | |||
130,553 | Flex Acquisition Co., Inc. 3.39%, 06/29/2025, 3 mo. USD LIBOR + 3.250% | 128,565 | |
199,500 | Proampac PG Borrower LLC 4.32%, 11/03/2025, 1 mo. USD LIBOR + 3.750% | 199,125 | |
74,377 | Reynolds Group Holdings, Inc. 2.84%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 74,098 | |
TricorBraun Holdings, Inc. | |||
33,971 | 3.32%, 03/03/2028, 1 mo. USD LIBOR + 3.250%(10) | 33,610 | |
151,029 | 3.75%, 03/03/2028, 1 mo. USD LIBOR + 3.250% | 149,425 | |
584,823 | |||
Pharmaceuticals - 1.0% | |||
184,469 | Bausch Health Cos., Inc. 2.84%, 11/27/2025, 3 mo. USD LIBOR + 2.750% | 182,521 | |
350,634 | Elanco Animal Health, Inc. 1.85%, 08/02/2027, 1 mo. USD LIBOR + 1.750% | 343,934 | |
199,249 | Gainwell Acquisition Corp. 4.75%, 10/01/2027, 1 mo. USD LIBOR + 4.000% | 199,062 | |
100,000 | HCRX Investments Holdco L.P. 0.00%, 07/14/2028, 1 mo. USD LIBOR + 2.250%(9) | 99,531 | |
134,663 | Horizon Therapeutics USA, Inc. 2.50%, 03/15/2028, 1 mo. USD LIBOR + 2.000% | 133,249 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Pharmaceuticals - 1.0% - (continued) | |||
$ 100,000 | IQVIA, Inc. 1.84%, 03/07/2024, 1 mo. USD LIBOR + 1.750% | $ 99,575 | |
115,000 | Jazz Financing Lux S.a.r.l. 4.00%, 05/05/2028, 1 mo. USD LIBOR + 3.500% | 115,108 | |
125,000 | Organon & Co. 3.50%, 06/02/2028, 1 mo. USD LIBOR + 3.000% | 124,610 | |
1,297,590 | |||
Real Estate - 0.2% | |||
146,250 | Belron Finance U.S. LLC 2.44%, 11/13/2025, 1 mo. USD LIBOR + 2.250% | 144,605 | |
100,000 | VICI Properties LLC 1.84%, 12/20/2024, 1 mo. USD LIBOR + 1.750% | 98,886 | |
243,491 | |||
Retail - 1.0% | |||
246,480 | B.C. Unlimited Liability Co. 1.84%, 11/19/2026, 1 mo. USD LIBOR + 1.750% | 241,550 | |
EUR 110,000 | Blitz GmbH 3.50%, 04/28/2028, 3 mo. EURIBOR + 3.500% | 129,379 | |
$ 100,000 | Foundation Building Materials Holding Co. LLC 3.75%, 02/03/2028, 1 mo. USD LIBOR + 3.250% | 98,750 | |
99,250 | Harbor Freight Tools USA, Inc. 3.25%, 10/19/2027, 1 mo. USD LIBOR + 2.750% | 98,707 | |
LBM Acquisition LLC | |||
21,880 | 0.00%, 12/17/2027, 1 mo. USD LIBOR + 3.750%(9) | 21,662 | |
98,216 | 4.50%, 12/17/2027, 1 mo. USD LIBOR + 3.750% | 97,233 | |
145,000 | Michaels Cos., Inc. 5.00%, 04/15/2028, 1 mo. USD LIBOR + 4.250% | 145,000 | |
99,750 | Petco Health and Wellness Co., Inc. 4.00%, 03/03/2028, 1 mo. USD LIBOR + 3.250% | 99,282 | |
110,000 | PetSmart, Inc. 4.50%, 02/12/2028, 1 mo. USD LIBOR + 3.750% | 109,890 | |
195,000 | SRS Distribution, Inc. 4.25%, 06/02/2028, 1 mo. USD LIBOR + 3.750% | 193,497 | |
1,234,950 | |||
Software - 2.1% | |||
95,422 | CCC Information Services, Inc. 4.00%, 04/29/2024, 1 mo. USD LIBOR + 3.000% | 95,332 | |
154,334 | Change Healthcare Holdings LLC 3.50%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 154,028 | |
272,309 | DCert Buyer, Inc. 4.09%, 10/16/2026, 3 mo. USD LIBOR + 4.000% | 271,704 | |
146,085 | Go Daddy Operating Co. LLC 1.84%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 144,332 | |
188,546 | Hyland Software, Inc. 4.25%, 07/01/2024, 1 mo. USD LIBOR + 3.500% | 188,467 | |
110,000 | Ingram Micro, Inc. 0.00%, 06/30/2028, 1 mo. USD LIBOR + 3.500%(9) | 110,000 | |
124,687 | Peraton Corp. 4.50%, 02/01/2028, 1 mo. USD LIBOR + 3.750% | 124,493 | |
119,700 | Playtika Holding Corp. 2.84%, 03/13/2028, 1 mo. USD LIBOR + 2.750% | 118,728 | |
150,000 | Polaris Newco LLC 4.50%, 06/02/2028, 1 mo. USD LIBOR + 4.000% | 149,813 | |
100,000 | Proofpoint, Inc. 0.00%, 06/09/2028, 1 mo. USD LIBOR + 3.250%(9) | 98,950 |
51 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 19.6%(8) - (continued) | |||
Software - 2.1% - (continued) | |||
$ 145,000 | RealPage, Inc. 3.75%, 04/22/2028, 1 mo. USD LIBOR + 3.250% | $ 144,021 | |
23,229 | SS&C European Holdings S.a.r.l. 1.84%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 22,867 | |
398,641 | SS&C Technologies, Inc. 1.84%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 392,268 | |
98,250 | Ultimate Software Group, Inc. 3.84%, 05/04/2026, 3 mo. USD LIBOR + 3.750% | 98,146 | |
209,475 | WEX, Inc. 2.34%, 03/31/2028, 1 mo. USD LIBOR + 2.250% | 207,001 | |
345,388 | Zelis Healthcare Corp. 3.60%, 09/30/2026, 1 mo. USD LIBOR + 3.500% | 343,316 | |
2,663,466 | |||
Telecommunications - 0.2% | |||
99,750 | Frontier Communications Corp. 4.50%, 01/05/2028, 1 mo. USD LIBOR + 3.750% | 99,563 | |
125,000 | Telenet Financing USD LLC 2.09%, 04/30/2028, 6 mo. USD LIBOR + 2.000% | 122,639 | |
222,202 | |||
Transportation - 0.4% | |||
99,750 | CP Atlas Buyer, Inc. 4.25%, 11/23/2027, 1 mo. USD LIBOR + 3.750% | 99,241 | |
246,875 | Genesee & Wyoming, Inc. 2.15%, 12/30/2026, 1 mo. USD LIBOR + 2.000% | 244,468 | |
219,982 | Savage Enterprises LLC 3.10%, 08/01/2025, 1 mo. USD LIBOR + 3.000% | 219,197 | |
562,906 | |||
Total Senior Floating Rate Interests (cost $25,401,040) | $ 25,318,141 | ||
U.S. GOVERNMENT AGENCIES - 7.1% | |||
Mortgage-Backed Agencies - 7.1% | |||
FHLMC - 3.2% | |||
35,670 | 0.84%, 10/25/2048, 1 mo. USD LIBOR + 0.750%(1)(2) | $ 35,670 | |
241,114 | 1.00%, 05/25/2033 | 244,521 | |
669,148 | 1.00%, 01/15/2041 | 677,320 | |
832,324 | 1.00%, 06/15/2044 | 843,249 | |
325,000 | 1.13%, 08/12/2021 | 325,097 | |
129,698 | 1.50%, 01/15/2027 | 131,753 | |
245,484 | 2.00%, 09/15/2041 | 251,872 | |
221,956 | 3.00%, 01/01/2033 | 236,299 | |
439,697 | 3.50%, 03/01/2032 | 472,210 | |
100,048 | 3.50%, 09/15/2043 | 103,942 | |
96,536 | 3.75%, 05/15/2039(4) | 98,588 | |
230,490 | 4.00%, 03/01/2031 | 248,617 | |
482,171 | 4.79%, 04/25/2028, 1 mo. USD LIBOR + 4.700%(2) | 498,515 | |
4,167,653 | |||
FNMA - 2.3% | |||
63,678 | 2.00%, 07/25/2039 | 63,890 | |
136,778 | 2.00%, 12/25/2042 | 139,848 | |
262,864 | 2.50%, 03/25/2035 | 272,277 | |
87,898 | 2.55%, 07/25/2044 | 90,195 | |
212,307 | 3.00%, 11/01/2032 | 226,006 | |
417,626 | 3.00%, 02/25/2043 | 433,101 | |
83,140 | 3.00%, 04/25/2043 | 85,833 | |
163,197 | 3.00%, 05/25/2047 | 168,462 | |
513,475 | 3.25%, 11/25/2043 | 531,413 | |
104,348 | 3.50%, 03/01/2033 | 111,877 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 7.1% - (continued) | |||
Mortgage-Backed Agencies - 7.1% - (continued) | |||
FNMA - 2.3% - (continued) | |||
$ 354,708 | 3.50%, 10/25/2035 | $ 383,549 | |
324,261 | 3.50%, 07/25/2045 | 337,386 | |
139,542 | 3.50%, 07/25/2054 | 145,895 | |
2,989,732 | |||
GNMA - 0.7% | |||
206,535 | 2.00%, 05/20/2046 | 214,060 | |
510,376 | 2.50%, 10/20/2041 | 528,979 | |
111,968 | 2.50%, 07/20/2042 | 117,509 | |
860,548 | |||
UMBS - 0.9% | |||
1,050,000 | 3.50%, 08/17/2036(11) | 1,121,768 | |
1,121,768 | |||
Total U.S. Government Agencies (cost $8,918,830) | $ 9,139,701 | ||
U.S. GOVERNMENT SECURITIES - 2.7% | |||
U.S. Treasury Securities - 2.7% | |||
U.S. Treasury Notes - 2.7% | |||
3,000,000 | 0.25%, 04/15/2023 | $ 3,004,805 | |
500,000 | 0.25%, 06/15/2024 | 498,867 | |
Total U.S. Government Securities (cost $3,500,358) | $ 3,503,672 | ||
Total Long-Term Investments (Cost $124,810,194) | $ 126,300,013 | ||
SHORT-TERM INVESTMENTS - 3.9% | |||
Repurchase Agreements - 3.9% | |||
4,996,763 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2021 at 0.020%, due on 08/02/2021 with a maturity value of $4,996,771; collateralized by U.S. Treasury Bond at 1.875%, maturing 02/15/2041, with a market value of $5,096,704 | $ 4,996,763 | |
Total Short-Term Investments (cost $4,996,763) | $ 4,996,763 | ||
Total Investments (cost $129,806,957) | 101.6% | $ 131,296,776 | |
Other Assets and Liabilities | (1.6)% | (2,055,394) | |
Total Net Assets | 100.0% | $ 129,241,382 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
52 |
July 31, 2021
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $43,669,369, representing 33.8% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2021. Base lending rates may be subject to a floor or cap. |
(3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(4) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(5) | This security is valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Trustees. At July 31, 2021, the aggregate fair value of this security was $207,500, which represented 0.2% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Trustees. |
(6) | Investment valued using significant unobservable inputs. |
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(8) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the LIBOR, and secondarily the prime rate offered by one or more major United States banks (the "Prime Rate") and the certificate of deposit rate or other base lending rates used by commercial lenders. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of July 31, 2021. |
(9) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(10) | This security, or a portion of this security, has unfunded loan commitments. As of July 31, 2021, the aggregate value of the unfunded commitment was $33,610, which rounds to 0.0% of total net assets. |
(11) | Represents or includes a TBA transaction. |
Futures Contracts Outstanding at July 31, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 89 | 09/30/2021 | $ 19,638,406 | $ (960) | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 88 | 09/30/2021 | $ 10,951,188 | $ (57,559) | ||||
U.S. Treasury 10-Year Note Future | 10 | 09/21/2021 | 1,344,531 | (25,098) | ||||
Total | $ (82,657) | |||||||
Total futures contracts | $ (83,617) |
Foreign Currency Contracts Outstanding at July 31, 2021 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ Depreciation | ||||||
222,000 | EUR | 263,648 | USD | BNP | 08/04/2021 | $ (380) | ||||
265,309 | USD | 222,000 | EUR | BCLY | 08/04/2021 | 2,041 | ||||
3,120,633 | USD | 2,643,843 | EUR | BNP | 08/31/2021 | (16,312) | ||||
263,822 | USD | 222,000 | EUR | BNP | 09/07/2021 | 378 | ||||
Total foreign currency contracts | $ (14,273) |
53 |
July 31, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 27,808,788 | $ — | $ 27,601,288 | $ 207,500 | ||||
Corporate Bonds | 60,201,288 | — | 60,201,288 | — | ||||
Municipal Bonds | 328,423 | — | 328,423 | — | ||||
Senior Floating Rate Interests | 25,318,141 | — | 25,318,141 | — | ||||
U.S. Government Agencies | 9,139,701 | — | 9,139,701 | — | ||||
U.S. Government Securities | 3,503,672 | — | 3,503,672 | — | ||||
Short-Term Investments | 4,996,763 | — | 4,996,763 | — | ||||
Foreign Currency Contracts(2) | 2,419 | — | 2,419 | — | ||||
Total | $ 131,299,195 | $ — | $ 131,091,695 | $ 207,500 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (16,692) | $ — | $ (16,692) | $ — | ||||
Futures Contracts(2) | (83,617) | (83,617) | — | — | ||||
Total | $ (100,309) | $ (83,617) | $ (16,692) | $ — |
(1) | For the year ended July 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
54 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% | |||
Asset-Backed - Automobile - 0.3% | |||
$ 889,946 | Chesapeake Funding LLC 1.95%, 09/15/2031(1) | $ 900,320 | |
645,000 | Credit Acceptance Auto Loan Trust 1.00%, 05/15/2030(1) | 647,700 | |
220,000 | Santander Drive Auto Receivables Trust 1.48%, 01/15/2027 | 223,230 | |
1,010,000 | Tricolor Auto Securitization Trust 1.00%, 06/17/2024(1) | 1,009,915 | |
610,000 | Westlake Automobile Receivables Trust 1.65%, 02/17/2026(1) | 619,896 | |
3,401,061 | |||
Asset-Backed - Credit Card - 0.2% | |||
1,170,000 | Evergreen Credit Card Trust 1.90%, 09/16/2024(1) | 1,192,508 | |
865,000 | Mercury Financial Credit Card Master Trust 1.54%, 03/20/2026(1) | 868,507 | |
2,061,015 | |||
Asset-Backed - Finance & Insurance - 3.1% | |||
281,647 | Aaset Trust 3.35%, 01/16/2040(1) | 279,401 | |
53,521 | Bayview Koitere Fund Trust 3.50%, 07/28/2057(1)(2) | 54,909 | |
35,923 | Bayview Opportunity Master Fund Trust 3.50%, 10/28/2057(1)(2) | 36,245 | |
BlueMountain CLO Ltd. | |||
1,440,000 | 1.23%, 04/20/2034, 3 mo. USD LIBOR + 1.100%(1)(3) | 1,440,743 | |
2,850,000 | 1.35%, 04/19/2034, 3 mo. USD LIBOR + 1.150%(1)(3) | 2,850,473 | |
3,300,000 | Buckhorn Park CLO Ltd. 1.24%, 07/18/2034, 3 mo. USD LIBOR + 1.120%(1)(3)(4) | 3,300,356 | |
936,202 | Carlyle Global Market Strategies CLO Ltd. 1.13%, 01/15/2031, 3 mo. USD LIBOR + 1.000%(1)(3) | 935,377 | |
Carlyle U.S. CLO Ltd. | |||
2,047,000 | 1.23%, 04/15/2034, 3 mo. USD LIBOR + 1.060%(1)(3) | 2,048,752 | |
1,010,000 | 1.25%, 04/20/2034, 3 mo. USD LIBOR + 1.080%(1)(3) | 1,010,877 | |
366,432 | CF Hippolyta LLC 1.99%, 07/15/2060(1) | 374,117 | |
330,000 | CIFC Funding Ltd. 1.00%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(1)(3) | 330,118 | |
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(1) | 396,918 | |
731,962 | DB Master Finance LLC 3.79%, 05/20/2049(1) | 739,472 | |
133,815 | Drug Royalty L.P. 1.73%, 10/15/2031, 3 mo. USD LIBOR + 1.600%(1)(3) | 132,560 | |
1,529,846 | Dryden Senior Loan Fund 1.13%, 04/15/2029, 3 mo. USD LIBOR + 1.000%(1)(3) | 1,530,138 | |
280,000 | GMF Floorplan Owner Revolving Trust 0.68%, 08/15/2025(1) | 281,459 | |
246,972 | Magnetite Ltd. 0.93%, 01/15/2028, 3 mo. USD LIBOR + 0.800%(1)(3) | 247,066 | |
256,394 | NRZ Excess Spread-Collateralized Notes 3.84%, 12/25/2025(1) | 259,353 | |
2,025,000 | Redding Ridge Asset Management LLC 1.19%, 07/15/2036, 3 mo. USD LIBOR + 1.110%(1)(3) | 2,026,173 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Asset-Backed - Finance & Insurance - 3.1% - (continued) | |||
$ 2,065,000 | Regatta Funding Ltd. 1.29%, 04/20/2034, 3 mo. USD LIBOR + 1.160%(1)(3) | $ 2,066,066 | |
Sound Point CLO Ltd. | |||
250,000 | 1.20%, 01/26/2031, 3 mo. USD LIBOR + 1.070%(1)(3) | 250,013 | |
2,270,000 | 1.21%, 04/25/2034, 3 mo. USD LIBOR + 1.070%(1)(3) | 2,269,414 | |
950,000 | 1.28%, 04/18/2031, 3 mo. USD LIBOR + 1.150%(1)(3) | 949,455 | |
2,280,000 | Thompson Park CLO Ltd. 1.20%, 04/15/2034, 3 mo. USD LIBOR + 1.000%(1)(3) | 2,279,412 | |
Towd Point Mortgage Trust | |||
1,339,070 | 2.75%, 10/25/2057(1)(2) | 1,368,504 | |
1,361,685 | 3.25%, 03/25/2058(1)(2) | 1,409,828 | |
515,953 | Treman Park CLO Ltd. 1.20%, 10/20/2028, 3 mo. USD LIBOR + 1.070%(1)(3) | 516,469 | |
983,067 | Vantage Data Centers Issuer LLC 4.20%, 11/16/2043(1) | 1,026,596 | |
915,000 | Venture CLO Ltd. 1.38%, 04/15/2034, 3 mo. USD LIBOR + 1.240%(1)(3) | 916,092 | |
864,964 | Voya CLO Ltd. 1.03%, 01/18/2029, 3 mo. USD LIBOR + 0.900%(1)(3) | 865,200 | |
593,475 | Wendy's Funding LLC 3.88%, 03/15/2048(1) | 634,205 | |
32,825,761 | |||
Commercial Mortgage-Backed Securities - 4.3% | |||
965,000 | BAMLL Commercial Mortgage Securities Trust 3.11%, 11/05/2032(1) | 1,007,532 | |
Benchmark Mortgage Trust | |||
11,608,451 | 0.51%, 01/15/2051(2)(5) | 311,802 | |
20,691,710 | 0.51%, 07/15/2051(2)(5) | 541,096 | |
8,940,391 | 1.23%, 03/15/2062(2)(5) | 674,218 | |
3,656,934 | 1.52%, 01/15/2054(2)(5) | 437,225 | |
1,868,202 | 1.79%, 07/15/2053(2)(5) | 210,001 | |
1,907,985 | BX Commercial Mortgage Trust 1.01%, 10/15/2036, 1 mo. USD LIBOR + 0.920%(1)(3) | 1,912,176 | |
580,000 | BX Trust 1.86%, 05/15/2035, 1 mo. USD LIBOR + 1.770%(1)(3) | 580,533 | |
785,000 | CAMB Commercial Mortgage Trust 2.64%, 12/15/2037, 1 mo. USD LIBOR + 2.550%(1)(3) | 787,694 | |
1,527,000 | CD Mortgage Trust 3.63%, 02/10/2050 | 1,699,437 | |
Citigroup Commercial Mortgage Trust | |||
1,300,000 | 3.62%, 07/10/2047 | 1,400,225 | |
766,000 | 4.12%, 11/15/2049(2) | 805,667 | |
136,072 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(1)(2) | 140,475 | |
Commercial Mortgage Trust | |||
10,524,049 | 0.56%, 02/10/2047(2)(5) | 129,019 | |
996,381 | 2.94%, 01/10/2046 | 1,021,137 | |
700,000 | 3.18%, 02/10/2035(1) | 748,690 | |
1,470,000 | 3.61%, 08/10/2049(1)(2) | 1,574,871 | |
1,120,000 | 3.69%, 08/10/2047 | 1,207,674 | |
900,000 | 3.80%, 08/10/2047 | 977,285 | |
1,095,125 | 3.96%, 03/10/2047 | 1,177,721 | |
360,000 | 4.24%, 02/10/2047(2) | 388,136 | |
1,000,000 | 4.25%, 07/10/2045(2) | 1,061,398 | |
13,292,097 | CSAIL Commercial Mortgage Trust 0.75%, 06/15/2057(2)(5) | 306,763 |
55 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Commercial Mortgage-Backed Securities - 4.3% - (continued) | |||
DBJPM Mortgage Trust | |||
$ 3,959,918 | 1.71%, 09/15/2053(2)(5) | $ 403,207 | |
2,660,000 | 2.89%, 08/10/2049 | 2,860,276 | |
GS Mortgage Securities Trust | |||
6,624,055 | 0.67%, 02/13/2053(2)(5) | 311,906 | |
2,000,000 | 3.05%, 05/10/2049 | 2,158,488 | |
2,440,000 | 3.43%, 08/10/2050 | 2,707,974 | |
890,000 | 3.63%, 11/10/2047 | 963,733 | |
100,000 | 4.07%, 01/10/2047 | 107,027 | |
415,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.81%, 01/16/2037(1) | 434,461 | |
JPMBB Commercial Mortgage Securities Trust | |||
858,821 | 3.36%, 07/15/2045 | 887,343 | |
100,000 | 3.93%, 09/15/2047 | 108,959 | |
100,000 | 4.00%, 04/15/2047 | 107,392 | |
2,050,000 | JPMCC Commercial Mortgage Securities Trust 3.72%, 03/15/2050 | 2,298,886 | |
365,000 | Life Mortgage Trust 1.49%, 03/15/2038, 1 mo. USD LIBOR + 1.400%(1)(3) | 365,173 | |
1,410,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 1,520,772 | |
4,113,810 | Morgan Stanley Capital Trust 1.34%, 06/15/2050(2)(5) | 233,205 | |
670,000 | MTRO Commercial Mortgage Trust 1.89%, 12/15/2033, 1 mo. USD LIBOR + 1.800%(1)(3) | 659,949 | |
1,005,120 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | 1,040,757 | |
807,234 | Wells Fargo Commercial Mortgage Trust 2.92%, 10/15/2045 | 821,564 | |
Wells Fargo N.A. | |||
5,769,242 | 0.60%, 11/15/2062(2)(5) | 250,225 | |
14,145,283 | 0.65%, 11/15/2062(2)(5) | 677,761 | |
6,990,679 | 0.73%, 11/15/2050(2)(5) | 276,400 | |
16,107,503 | 0.73%, 02/15/2061(2)(5) | 651,339 | |
4,407,356 | 0.80%, 11/15/2054(2)(5) | 181,681 | |
11,072,043 | 0.89%, 01/15/2063(2)(5) | 714,537 | |
3,485,783 | 0.90%, 05/15/2062(2)(5) | 208,921 | |
7,343,914 | 1.79%, 03/15/2063(2)(5) | 1,001,880 | |
1,790,000 | 3.44%, 09/15/2060 | 1,992,177 | |
WF-RBS Commercial Mortgage Trust | |||
1,170,000 | 2.88%, 12/15/2045 | 1,196,639 | |
1,025,000 | 3.61%, 11/15/2047 | 1,105,822 | |
100,000 | 4.00%, 05/15/2047 | 108,024 | |
100,000 | 4.05%, 03/15/2047 | 107,551 | |
45,564,804 | |||
Other Asset-Backed Securities - 4.6% | |||
Affirm Asset Securitization Trust | |||
671,418 | 1.90%, 01/15/2025(1) | 676,659 | |
294,428 | 3.46%, 10/15/2024(1) | 298,198 | |
685,693 | Ajax Mortgage Loan Trust 2.12%, 01/25/2061(1)(6) | 695,378 | |
375,000 | Arbor Realty Collateralized Loan Obligation Ltd. 1.19%, 05/15/2036, 1 mo. USD LIBOR + 1.100%(1)(3) | 375,237 | |
187,642 | Atlas Senior Loan Fund Ltd. 1.00%, 04/20/2028, 3 mo. USD LIBOR + 0.870%(1)(3) | 187,658 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Other Asset-Backed Securities - 4.6% - (continued) | |||
$ 820,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | $ 820,144 | |
2,400,000 | Bain Capital Credit CLO Ltd. 1.32%, 07/25/2034, 3 mo. USD LIBOR + 1.180%(1)(3)(4) | 2,400,691 | |
204,381 | CF Hippolyta LLC 1.98%, 03/15/2061(1) | 207,599 | |
970,000 | CIFC Funding Ltd. 1.13%, 04/18/2031, 3 mo. USD LIBOR + 1.000%(1)(3) | 970,063 | |
260,000 | Dewolf Park CLO Ltd. 1.34%, 10/15/2030, 3 mo. USD LIBOR + 1.210%(1)(3) | 259,935 | |
Domino's Pizza Master Issuer LLC | |||
942,637 | 2.66%, 04/25/2051(1) | 983,444 | |
413,700 | 3.67%, 10/25/2049(1) | 450,122 | |
48,625 | 4.12%, 07/25/2048(1) | 50,642 | |
Madison Park Funding Ltd. | |||
247,677 | 1.08%, 04/19/2030, 3 mo. USD LIBOR + 0.950%(1)(3) | 247,743 | |
2,310,000 | 1.25%, 07/17/2034, 3 mo. USD LIBOR + 1.120%(1)(3) | 2,311,340 | |
440,000 | Marlette Funding Trust 1.06%, 09/15/2031(1) | 440,392 | |
38,031 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(1)(2) | 38,556 | |
2,490,000 | Nassau LLC 1.35%, 08/26/2034, 3 mo. USD LIBOR + 1.250%(1)(3)(4) | 2,490,269 | |
890,000 | Navient Private Education Refi Loan Trust 0.97%, 12/16/2069(1) | 889,918 | |
2,205,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(1) | 2,211,483 | |
729,044 | OCP CLO Ltd. 1.25%, 10/18/2028, 3 mo. USD LIBOR + 1.120%(1)(3) | 729,078 | |
544,072 | OZLM Ltd. 1.41%, 10/20/2031, 3 mo. USD LIBOR + 1.280%(1)(3) | 544,170 | |
Pretium Mortgage Credit Partners LLC | |||
940,000 | 1.87%, 07/25/2051(1)(6) | 940,991 | |
1,260,846 | 1.99%, 06/27/2060(1)(6) | 1,261,436 | |
2,365,000 | RR LLC 1.23%, 07/15/2035, 3 mo. USD LIBOR + 1.150%(1)(3) | 2,367,812 | |
215,094 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(1) | 215,122 | |
310,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(1) | 312,173 | |
490,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 491,922 | |
2,590,000 | Symphony CLO Ltd. 1.17%, 04/19/2034, 3 mo. USD LIBOR + 0.980%(1)(3) | 2,591,463 | |
860,230 | TICP CLO Ltd. 0.97%, 04/20/2028, 3 mo. USD LIBOR + 0.840%(1)(3) | 857,676 | |
Towd Point Mortgage Trust | |||
1,156,819 | 1.75%, 10/25/2060(1) | 1,172,815 | |
562,408 | 2.75%, 10/25/2056(1)(2) | 570,821 | |
1,003,027 | 2.75%, 06/25/2057(1)(2) | 1,031,210 | |
1,340,114 | 2.90%, 10/25/2059(1)(2) | 1,388,770 | |
163,861 | 3.25%, 07/25/2058(1)(2) | 166,998 | |
75,372 | 3.75%, 05/25/2058(1)(2) | 79,500 | |
705,000 | Upstart Securitization Trust 0.83%, 07/20/2031(1) | 705,057 | |
1,640,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 1,654,549 | |
1,350,032 | VCAT LLC 1.74%, 05/25/2051(1)(6) | 1,352,712 | |
2,270,000 | Venture CLO Ltd. 1.31%, 04/15/2034, 3 mo. USD LIBOR + 1.130%(1)(3) | 2,270,756 |
56 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Other Asset-Backed Securities - 4.6% - (continued) | |||
$ 2,145,000 | Vericrest Opportunity Loan Transferee 1.87%, 07/25/2051(1)(6) | $ 2,146,356 | |
958,302 | VOLT C LLC 1.99%, 05/25/2051(1)(6) | 970,824 | |
1,373,560 | VOLT XCIX LLC 2.12%, 04/25/2051(1)(6) | 1,393,136 | |
1,305,121 | VOLT XCV LLC 2.24%, 03/27/2051(1)(6) | 1,323,987 | |
705,000 | Voya CLO Ltd. 1.32%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(1)(3) | 705,314 | |
1,830,000 | Wellfleet CLO Ltd. 1.34%, 07/20/2032, 3 mo. USD LIBOR + 1.170%(1)(3) | 1,829,528 | |
2,160,000 | Wendy's Funding LLC 2.37%, 06/15/2051(1) | 2,196,979 | |
244,388 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 253,840 | |
48,530,466 | |||
Whole Loan Collateral CMO - 8.8% | |||
2,371,721 | 510 Asset-Backed Trust 2.24%, 06/25/2061(1)(6) | 2,375,719 | |
Angel Oak Mortgage Trust | |||
1,337,859 | 0.91%, 01/25/2066(1)(2) | 1,358,621 | |
1,070,013 | 0.99%, 04/25/2053(1)(2) | 1,070,475 | |
1,011,623 | 0.99%, 04/25/2066(1)(2) | 1,018,516 | |
1,918,835 | 1.07%, 05/25/2066(1)(2) | 1,922,090 | |
64,073 | Bear Stearns Adjustable Rate Mortgage Trust 2.43%, 08/25/2035(2) | 63,769 | |
Bellemeade Re Ltd. | |||
112,143 | 1.19%, 07/25/2029, 1 mo. USD LIBOR + 1.100%(1)(3) | 112,189 | |
59,134 | 1.39%, 03/25/2029, 1 mo. USD LIBOR + 1.300%(1)(3) | 59,142 | |
725,409 | BRAVO Residential Funding Trust 0.94%, 02/25/2049(1)(2) | 726,430 | |
35,340 | CIM Trust 3.00%, 04/25/2057(1)(2) | 35,888 | |
1,270,000 | COLT Funding LLC 1.34%, 08/25/2066(1)(2) | 1,270,350 | |
COLT Mortgage Loan Trust | |||
648,097 | 0.80%, 07/27/2054(1)(2) | 647,081 | |
1,291,287 | 0.91%, 06/25/2066(1)(2) | 1,288,196 | |
Connecticut Avenue Securities Trust | |||
222,584 | 2.19%, 06/25/2039, 1 mo. USD LIBOR + 2.100%(1)(3) | 223,094 | |
337,656 | 2.24%, 11/25/2039, 1 mo. USD LIBOR + 2.150%(1)(3) | 336,802 | |
266,285 | 2.39%, 08/25/2031, 1 mo. USD LIBOR + 2.300%(1)(3) | 268,253 | |
1,130,000 | Credit Suisse Mortgage Capital Certificates 0.94%, 05/25/2066(1)(2) | 1,129,991 | |
CSMC Trust | |||
484,442 | 0.81%, 05/25/2065(1)(2) | 484,799 | |
885,433 | 0.83%, 03/25/2056(1)(2) | 897,994 | |
2,285,857 | 1.10%, 05/25/2066(1)(2) | 2,286,402 | |
1,955,516 | 1.18%, 02/25/2066(1)(2) | 1,986,552 | |
649,348 | 1.80%, 12/27/2060(1)(2) | 653,107 | |
Deephaven Residential Mortgage Trust | |||
625,054 | 0.90%, 04/25/2066(1)(2) | 624,437 | |
1,167,891 | 2.34%, 01/25/2060(1)(2) | 1,179,844 | |
266,420 | 2.79%, 10/25/2059(1)(2) | 268,167 | |
149,008 | Eagle RE Ltd. 1.79%, 11/25/2028, 1 mo. USD LIBOR + 1.700%(1)(3) | 149,417 | |
Ellington Financial Mortgage Trust | |||
308,680 | 0.80%, 02/25/2066(1)(2) | 307,878 | |
546,186 | 0.93%, 06/25/2066(1)(2) | 547,788 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Whole Loan Collateral CMO - 8.8% - (continued) | |||
Fannie Mae Connecticut Avenue Securities | |||
$ 128,254 | 2.29%, 08/25/2030, 1 mo. USD LIBOR + 2.200%(3) | $ 129,661 | |
142,868 | 2.34%, 07/25/2030, 1 mo. USD LIBOR + 2.250%(3) | 144,471 | |
154,635 | 2.44%, 01/25/2031, 1 mo. USD LIBOR + 2.350%(3) | 156,453 | |
108,798 | 2.69%, 05/25/2024, 1 mo. USD LIBOR + 2.600%(3) | 109,507 | |
670,015 | 3.09%, 07/25/2024, 1 mo. USD LIBOR + 3.000%(3) | 674,981 | |
607,461 | 3.64%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(3) | 628,896 | |
1,117,205 | 4.34%, 01/25/2029, 1 mo. USD LIBOR + 4.250%(3) | 1,167,199 | |
470,621 | 4.44%, 05/25/2029, 1 mo. USD LIBOR + 4.350%(3) | 493,229 | |
722,785 | 4.49%, 01/25/2024, 1 mo. USD LIBOR + 4.400%(3) | 746,710 | |
363,272 | 4.99%, 11/25/2024, 1 mo. USD LIBOR + 4.900%(3) | 375,340 | |
605,670 | 5.09%, 11/25/2024, 1 mo. USD LIBOR + 5.000%(3) | 620,603 | |
541,724 | 5.09%, 07/25/2025, 1 mo. USD LIBOR + 5.000%(3) | 551,993 | |
1,098,452 | 5.64%, 04/25/2028, 1 mo. USD LIBOR + 5.550%(3) | 1,152,932 | |
842,689 | 5.79%, 04/25/2028, 1 mo. USD LIBOR + 5.700%(3) | 891,552 | |
267,543 | 6.09%, 09/25/2028, 1 mo. USD LIBOR + 6.000%(3) | 281,008 | |
1,675,480 | GCAT 1.09%, 05/25/2066(1)(2) | 1,679,494 | |
GCAT Trust | |||
1,564,445 | 0.87%, 01/25/2066(1)(2) | 1,588,100 | |
1,209,872 | 1.04%, 05/25/2066(1)(2) | 1,209,872 | |
288,537 | Home Re Ltd. 1.69%, 10/25/2028, 1 mo. USD LIBOR + 1.600%(1)(3) | 288,537 | |
Legacy Mortgage Asset Trust | |||
645,604 | 1.75%, 04/25/2061(1)(6) | 654,528 | |
853,184 | 1.75%, 07/25/2061(1)(6) | 854,962 | |
LSTAR Securities Investment Ltd. | |||
1,817,883 | 1.80%, 03/02/2026, 1 mo. USD LIBOR + 1.700%(1)(3) | 1,817,674 | |
1,374,078 | 1.90%, 02/01/2026, 1 mo. USD LIBOR + 1.800%(1)(3) | 1,374,071 | |
835,030 | MetLife Securitization Trust 3.75%, 03/25/2057(1)(2) | 870,110 | |
MFA Trust | |||
224,764 | 1.01%, 01/26/2065(1)(2) | 225,031 | |
1,115,444 | 1.15%, 04/25/2065(1)(2) | 1,131,653 | |
230,256 | Mortgage Insurance-Linked Notes 1.99%, 11/26/2029, 1 mo. USD LIBOR + 1.900%(1)(3) | 230,256 | |
453,436 | New Residential Mortgage LLC 3.79%, 07/25/2054(1) | 453,725 | |
New Residential Mortgage Loan Trust | |||
267,680 | 0.84%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 268,343 | |
990,991 | 0.94%, 07/25/2055(1)(2) | 992,150 | |
840,976 | 0.94%, 09/25/2058(1)(2) | 845,950 | |
851,633 | 3.50%, 12/25/2057(1)(2) | 881,432 | |
482,227 | 4.00%, 04/25/2057(1)(2) | 519,553 | |
518,441 | 4.00%, 08/27/2057(1)(2) | 554,986 |
57 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Whole Loan Collateral CMO - 8.8% - (continued) | |||
$ 664,235 | 4.00%, 09/25/2057(1)(2) | $ 700,749 | |
2,016,646 | NMLT Trust 1.19%, 05/25/2056(1)(2) | 2,017,106 | |
1,897,061 | OBX Trust 1.07%, 02/25/2066(1)(2) | 1,899,172 | |
OZLM Ltd. | |||
238,635 | 1.14%, 07/17/2029, 3 mo. USD LIBOR + 1.010%(1)(3) | 238,772 | |
289,083 | 1.18%, 04/30/2027, 3 mo. USD LIBOR + 1.050%(1)(3) | 289,180 | |
PMT Credit Risk Transfer Trust | |||
377,538 | 2.09%, 03/27/2024, 1 mo. USD LIBOR + 2.000%(1)(3) | 376,888 | |
739,740 | 2.99%, 02/27/2024, 1 mo. USD LIBOR + 2.900%(1)(3) | 753,042 | |
Preston Ridge Partners Mortgage Trust LLC | |||
560,000 | 1.32%, 07/25/2051(1)(2)(4) | 559,995 | |
1,226,345 | 1.79%, 06/25/2026(1)(6) | 1,226,929 | |
1,375,000 | 1.79%, 07/25/2026 | 1,374,992 | |
2,247,485 | 1.87%, 04/25/2026(1)(6) | 2,274,537 | |
569,236 | 2.12%, 03/25/2026(1)(2) | 577,194 | |
319,318 | 2.36%, 11/25/2025(1)(6) | 320,442 | |
1,093,225 | 2.86%, 09/25/2025(1)(6) | 1,099,624 | |
384,610 | 3.50%, 10/25/2024(1)(2) | 386,379 | |
2,424,769 | Pretium Mortgage Credit Partners LLC 1.99%, 02/25/2061(1)(6) | 2,426,687 | |
1,052,082 | RCO VII Mortgage LLC 1.87%, 05/25/2026(1)(6) | 1,053,024 | |
829,728 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(2) | 828,445 | |
Seasoned Credit Risk Transfer Trust | |||
850,145 | 2.50%, 08/25/2059 | 898,228 | |
499,841 | 3.50%, 08/25/2057(2) | 526,941 | |
551,857 | 3.50%, 11/25/2057 | 612,077 | |
1,458,993 | 3.50%, 07/25/2058 | 1,625,134 | |
683,310 | 3.50%, 08/25/2058 | 739,927 | |
2,236,339 | 3.50%, 10/25/2058 | 2,480,029 | |
2,008,876 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(2) | 2,008,777 | |
Starwood Mortgage Residential Trust | |||
679,528 | 0.94%, 05/25/2065(1)(2) | 683,860 | |
2,058,378 | 1.13%, 06/25/2056(1)(2) | 2,061,786 | |
1,761,226 | Starwood Residential Mortgage Trust 1.22%, 05/25/2065(1)(2) | 1,766,030 | |
Structured Agency Credit Risk Trust | |||
3,755 | 0.84%, 09/25/2048, 1 mo. USD LIBOR + 0.750%(1)(3) | 3,755 | |
766,681 | 1.74%, 04/25/2043, 1 mo. USD LIBOR + 1.650%(1)(3) | 768,230 | |
55,000 | 2.19%, 09/25/2048, 1 mo. USD LIBOR + 2.100%(1)(3) | 55,823 | |
Toorak Mortgage Corp. Ltd. | |||
957,000 | 1.15%, 07/25/2056(1)(2) | 958,002 | |
1,210,000 | 2.24%, 06/25/2024(1)(6) | 1,211,758 | |
2,262,924 | Towd Point Mortgage Trust 2.92%, 11/30/2060(1)(2) | 2,313,256 | |
920,000 | Triangle Re Ltd. 2.14%, 10/25/2033, 1 mo. USD LIBOR + 2.050%(1)(3) | 923,429 | |
417,331 | VCAT LLC 2.12%, 03/27/2051(1)(6) | 418,667 | |
Verus Securitization Trust | |||
520,096 | 0.82%, 10/25/2063(1)(2) | 520,000 | |
1,039,584 | 0.92%, 02/25/2064(1)(2) | 1,041,476 | |
967,000 | 0.94%, 07/25/2066(1)(2) | 967,095 | |
823,440 | 1.03%, 02/25/2066(1)(2) | 823,719 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.3% - (continued) | |||
Whole Loan Collateral CMO - 8.8% - (continued) | |||
$ 1,444,081 | VOLT XCIII LLC 1.89%, 02/27/2051(1)(6) | $ 1,443,438 | |
1,139,336 | VOLT XCIV LLC 2.24%, 02/27/2051(1)(6) | 1,141,215 | |
1,153,802 | VOLT XCVII LLC 2.24%, 04/25/2051(1)(6) | 1,169,448 | |
430,489 | VOLT XCVIII LLC 2.12%, 04/25/2051(1)(6) | 436,564 | |
93,859,774 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $224,127,164) | $ 226,242,881 | ||
CORPORATE BONDS - 32.6% | |||
Advertising - 0.0% | |||
Lamar Media Corp. | |||
75,000 | 3.75%, 02/15/2028 | $ 76,125 | |
80,000 | 4.88%, 01/15/2029 | 84,600 | |
160,725 | |||
Aerospace/Defense - 0.4% | |||
Boeing Co. | |||
680,000 | 5.04%, 05/01/2027 | 787,035 | |
755,000 | 5.15%, 05/01/2030 | 900,382 | |
L3Harris Technologies, Inc. | |||
355,000 | 2.90%, 12/15/2029 | 381,661 | |
605,000 | 3.85%, 06/15/2023 | 641,921 | |
255,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 342,430 | |
50,000 | Raytheon Technologies Corp. 4.63%, 11/16/2048 | 65,781 | |
United Technologies Corp. | |||
885,000 | 3.95%, 08/16/2025 | 985,910 | |
415,000 | 4.45%, 11/16/2038 | 513,287 | |
4,618,407 | |||
Agriculture - 0.3% | |||
540,000 | Altria Group, Inc. 3.70%, 02/04/2051 | 526,891 | |
BAT Capital Corp. | |||
15,000 | 2.26%, 03/25/2028 | 15,089 | |
685,000 | 2.79%, 09/06/2024 | 719,051 | |
915,000 | BAT International Finance plc 1.67%, 03/25/2026 | 924,108 | |
645,000 | Kernel Holding S.A. 6.50%, 10/17/2024(7) | 686,248 | |
2,871,387 | |||
Airlines - 0.0% | |||
190,000 | United Airlines, Inc. 4.63%, 04/15/2029(1) | 196,023 | |
Apparel - 0.2% | |||
480,000 | Hanesbrands, Inc. 4.88%, 05/15/2026(1) | 517,488 | |
1,384,000 | William Carter Co. 5.63%, 03/15/2027(1) | 1,448,010 | |
1,965,498 | |||
Auto Manufacturers - 0.4% | |||
995,000 | General Motors Co. 6.13%, 10/01/2025 | 1,177,566 | |
General Motors Financial Co., Inc. | |||
425,000 | 1.25%, 01/08/2026 | 424,670 | |
2,035,000 | 1.50%, 06/10/2026 | 2,041,015 | |
3,643,251 | |||
Auto Parts & Equipment - 0.0% | |||
261,000 | Clarios Global L.P. / Clarios U.S. Finance Co. 6.25%, 05/15/2026(1) | 276,008 | |
Beverages - 0.7% | |||
290,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.70%, 02/01/2036 | 360,279 |
58 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Beverages - 0.7% - (continued) | |||
Anheuser-Busch InBev Worldwide, Inc. | |||
$ 205,000 | 3.75%, 07/15/2042 | $ 228,534 | |
480,000 | 4.60%, 04/15/2048 | 596,288 | |
1,803,000 | 5.45%, 01/23/2039 | 2,399,917 | |
Coca-Cola Co. | |||
1,510,000 | 2.25%, 01/05/2032 | 1,575,478 | |
150,000 | 3.00%, 03/05/2051 | 162,077 | |
Constellation Brands, Inc. | |||
505,000 | 2.25%, 08/01/2031 | 508,655 | |
5,000 | 2.65%, 11/07/2022 | 5,142 | |
170,000 | 2.88%, 05/01/2030 | 180,688 | |
672,000 | 3.15%, 08/01/2029 | 726,516 | |
160,000 | 4.65%, 11/15/2028 | 189,943 | |
414,000 | Diageo Capital plc 2.00%, 04/29/2030 | 421,013 | |
7,354,530 | |||
Biotechnology - 0.5% | |||
Amgen, Inc. | |||
195,000 | 1.90%, 02/21/2025 | 202,897 | |
1,770,000 | 2.30%, 02/25/2031 | 1,824,845 | |
165,000 | Baxalta, Inc. 3.60%, 06/23/2022 | 168,860 | |
1,480,000 | Gilead Sciences, Inc. 1.65%, 10/01/2030 | 1,456,287 | |
Royalty Pharma plc | |||
60,000 | 1.75%, 09/02/2027(1) | 60,331 | |
885,000 | 2.15%, 09/02/2031 | 870,561 | |
380,000 | 2.20%, 09/02/2030(1) | 377,805 | |
4,961,586 | |||
Chemicals - 0.2% | |||
200,000 | Chemours Co. 5.38%, 05/15/2027(8) | 217,000 | |
785,000 | DuPont de Nemours, Inc. 4.21%, 11/15/2023 | 847,018 | |
435,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 437,429 | |
160,000 | Olin Corp. 5.13%, 09/15/2027 | 166,600 | |
1,668,047 | |||
Commercial Banks - 6.0% | |||
Bank of America Corp. | |||
995,000 | 2.09%, 06/14/2029, (2.09% fixed rate until 06/14/2028; 3 mo. USD SOFR + 1.060% thereafter)(9) | 1,012,879 | |
680,000 | 2.46%, 10/22/2025, (2.46% fixed rate until 10/22/2024; 3 mo. USD LIBOR + 0.870% thereafter)(9) | 712,495 | |
830,000 | 2.50%, 02/13/2031, (2.50% fixed rate until 02/13/2030; 3 mo. USD LIBOR + 0.990% thereafter)(9) | 854,405 | |
1,005,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD LIBOR + 1.180% thereafter)(9) | 1,089,051 | |
1,490,000 | 3.31%, 04/22/2042, (3.31% fixed rate until 04/22/2041; 3 mo. USD SOFR + 1.580% thereafter)(9) | 1,603,500 | |
105,000 | 3.37%, 01/23/2026, (3.37% fixed rate until 01/23/2025; 3 mo. USD LIBOR + 0.810% thereafter)(9) | 113,054 | |
3,720,000 | 3.71%, 04/24/2028, (3.71% fixed rate until 04/24/2027; 3 mo. USD LIBOR + 1.512% thereafter)(9) | 4,138,550 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Commercial Banks - 6.0% - (continued) | |||
$ 860,000 | 3.86%, 07/23/2024, (3.86% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.940% thereafter)(9) | $ 914,953 | |
1,880,000 | 4.08%, 03/20/2051, (4.08% fixed rate until 03/20/2050; 3 mo. USD LIBOR + 3.150% thereafter)(9) | 2,272,237 | |
665,000 | Bank of New York Mellon Corp. 2.10%, 10/24/2024 | 696,659 | |
BNP Paribas S.A. | |||
655,000 | 1.32%, 01/13/2027, (1.32% fixed rate until 01/13/2026; 3 mo. USD SOFR + 1.004% thereafter)(1)(9) | 648,856 | |
850,000 | 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(1)(9) | 879,215 | |
550,000 | China Construction Bank Corp. 0.88%, 09/24/2021, 3 mo. USD LIBOR + 0.750%(3)(7) | 550,312 | |
Citigroup, Inc. | |||
870,000 | 2.56%, 05/01/2032, (2.56% fixed rate until 05/01/2031; 3 mo. USD SOFR + 1.167% thereafter)(9) | 898,665 | |
540,000 | 2.88%, 07/24/2023, (2.88% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.950% thereafter)(9) | 552,814 | |
1,705,000 | 3.20%, 10/21/2026 | 1,856,857 | |
1,150,000 | 3.70%, 01/12/2026 | 1,276,700 | |
440,000 | 3.98%, 03/20/2030, (3.98% fixed rate until 03/20/2029; 3 mo. USD LIBOR + 1.338% thereafter)(9) | 500,798 | |
695,000 | 4.41%, 03/31/2031, (4.41% fixed rate until 03/31/2030; 3 mo. USD SOFR + 3.914% thereafter)(9) | 815,809 | |
250,000 | Credit Suisse AG 0.48%, 02/04/2022, 3 mo. USD SOFR + 0.450%(3) | 250,358 | |
Credit Suisse Group AG | |||
350,000 | 3.09%, 05/14/2032, (3.09% fixed rate until 05/14/2031; 3 mo. USD SOFR + 1.730% thereafter)(1)(9) | 365,186 | |
1,225,000 | 6.25%, 12/29/2049, (6.25% fixed rate until 12/18/2024; 5 year USD Swap + 3.455% thereafter)(7)(9) | 1,336,720 | |
Danske Bank A/S | |||
510,000 | 5.00%, 01/12/2022(1) | 519,838 | |
530,000 | 5.38%, 01/12/2024(1) | 586,720 | |
590,000 | Fifth Third Bancorp 2.38%, 01/28/2025 | 619,720 | |
Goldman Sachs Group, Inc. | |||
480,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 3 mo. USD SOFR + 1.090% thereafter)(9) | 472,291 | |
1,205,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.248% thereafter)(9) | 1,222,799 | |
1,605,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.281% thereafter)(9) | 1,659,632 | |
100,000 | 2.91%, 07/24/2023, (2.91% fixed rate until 07/24/2022; 3 mo. USD LIBOR + 0.990% thereafter)(9) | 102,339 | |
2,505,000 | 3.50%, 11/16/2026 | 2,734,993 |
59 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Commercial Banks - 6.0% - (continued) | |||
$ 260,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.158% thereafter)(9) | $ 292,719 | |
145,000 | 6.75%, 10/01/2037 | 214,202 | |
HSBC Holdings plc | |||
780,000 | 0.98%, 05/24/2025, (0.98% fixed rate until 05/24/2024; 3 mo. USD SOFR + 0.708% thereafter)(9) | 782,003 | |
435,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD LIBOR + 1.290% thereafter)(9) | 437,488 | |
1,555,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(9) | 1,807,903 | |
JP Morgan Chase & Co. | |||
445,000 | 2.58%, 04/22/2032, (2.58% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.250% thereafter)(9) | 462,383 | |
885,000 | 2.96%, 05/13/2031, (2.96% fixed rate until 05/13/2030; 3 mo. USD SOFR + 2.515% thereafter)(9) | 940,722 | |
575,000 | 3.11%, 04/22/2041, (3.11% fixed rate until 04/22/2040; 3 mo. USD SOFR + 2.460% thereafter)(9) | 611,100 | |
410,000 | 3.11%, 04/22/2051, (3.11% fixed rate until 04/22/2050; 3 mo. USD SOFR + 2.440% thereafter)(9) | 427,019 | |
1,830,000 | 3.16%, 04/22/2042, (3.16% fixed rate until 04/22/2041; 3 mo. USD SOFR + 1.460% thereafter)(9) | 1,945,853 | |
230,000 | 3.22%, 03/01/2025, (3.22% fixed rate until 03/01/2024; 3 mo. USD LIBOR + 1.155% thereafter)(9) | 244,063 | |
1,760,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD LIBOR + 1.160% thereafter)(9) | 1,978,385 | |
2,465,000 | 3.80%, 07/23/2024, (3.80% fixed rate until 07/23/2023; 3 mo. USD LIBOR + 0.890% thereafter)(9) | 2,622,231 | |
935,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD LIBOR + 1.245% thereafter)(9) | 1,045,801 | |
460,000 | 4.01%, 04/23/2029, (4.00% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.120% thereafter)(9) | 524,352 | |
Morgan Stanley | |||
1,305,000 | 1.59%, 05/04/2027, (1.59% fixed rate until 05/04/2026; 3 mo. USD SOFR + 0.879% thereafter)(9) | 1,324,294 | |
1,510,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(9) | 1,466,326 | |
960,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 3 mo. USD SOFR + 1.020% thereafter)(9) | 942,324 | |
775,000 | 2.24%, 07/21/2032, (2.24% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.178% thereafter)(9) | 780,458 | |
745,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(9) | 784,528 | |
2,145,000 | 3.13%, 07/27/2026 | 2,331,704 | |
75,000 | 4.00%, 07/23/2025 | 83,474 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Commercial Banks - 6.0% - (continued) | |||
$ 525,000 | 5.00%, 11/24/2025 | $ 606,365 | |
635,000 | PNC Financial Services Group, Inc. 2.20%, 11/01/2024 | 666,301 | |
470,000 | Santander Holdings USA, Inc. 3.70%, 03/28/2022 | 478,596 | |
State Street Corp. | |||
1,050,000 | 2.35%, 11/01/2025, (2.35% fixed rate until 11/01/2024; 3 mo. USD SOFR + 0.940% thereafter)(9) | 1,106,766 | |
320,000 | 2.90%, 03/30/2026, (2.90% fixed rate until 03/30/2025; 3 mo. USD SOFR + 2.600% thereafter)(9) | 343,010 | |
UBS Group AG | |||
680,000 | 2.65%, 02/01/2022(1) | 687,902 | |
1,325,000 | 7.00%, 02/19/2025, (7.00% fixed rate until 02/19/2025; 5 year USD Swap + 4.866% thereafter)(7)(9) | 1,525,406 | |
650,000 | UniCredit S.p.A. 6.57%, 01/14/2022(1) | 666,614 | |
Wells Fargo & Co. | |||
1,735,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD LIBOR + 1.087% thereafter)(9) | 1,814,133 | |
1,165,000 | 3.00%, 04/22/2026 | 1,263,474 | |
140,000 | 3.00%, 10/23/2026 | 151,683 | |
410,000 | 3.75%, 01/24/2024 | 440,757 | |
230,000 | 4.75%, 12/07/2046 | 295,161 | |
260,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD SOFR + 4.502% thereafter)(9) | 361,719 | |
63,715,624 | |||
Commercial Services - 1.1% | |||
Ashtead Capital, Inc. | |||
425,000 | 4.00%, 05/01/2028(1) | 447,312 | |
1,400,000 | 4.38%, 08/15/2027(1) | 1,466,500 | |
200,000 | 5.25%, 08/01/2026(1) | 208,000 | |
352,000 | Equifax, Inc. 2.60%, 12/15/2025 | 374,395 | |
Gartner, Inc. | |||
185,000 | 3.63%, 06/15/2029(1) | 189,394 | |
660,000 | 3.75%, 10/01/2030(1) | 678,150 | |
1,499,000 | 4.50%, 07/01/2028(1) | 1,585,192 | |
Howard University | |||
100,000 | 2.39%, 10/01/2027 | 103,595 | |
100,000 | 2.70%, 10/01/2029 | 102,708 | |
325,000 | 2.80%, 10/01/2030 | 335,757 | |
265,000 | 3.48%, 10/01/2041 | 278,184 | |
105,000 | Howard University (AGM Insured) 2.90%, 10/01/2031 | 109,616 | |
1,330,000 | IHS Markit Ltd. 4.13%, 08/01/2023 | 1,413,790 | |
Service Corp. International | |||
1,845,000 | 3.38%, 08/15/2030 | 1,840,203 | |
1,656,000 | 5.13%, 06/01/2029 | 1,788,480 | |
United Rentals North America, Inc. | |||
80,000 | 4.88%, 01/15/2028 | 84,480 | |
380,000 | 5.88%, 09/15/2026 | 392,532 | |
11,398,288 | |||
Construction Materials - 0.3% | |||
980,000 | Builders FirstSource, Inc. 5.00%, 03/01/2030(1) | 1,042,475 | |
Standard Industries, Inc. | |||
330,000 | 3.38%, 01/15/2031(1) | 319,985 |
60 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Construction Materials - 0.3% - (continued) | |||
$ 1,790,000 | 4.38%, 07/15/2030(1) | $ 1,843,700 | |
155,000 | 4.75%, 01/15/2028(1) | 161,341 | |
3,367,501 | |||
Diversified Financial Services - 0.6% | |||
2,405,000 | BOC Aviation USA Corp. 1.63%, 04/29/2024(1) | 2,425,996 | |
700,000 | Capital One Financial Corp. 3.90%, 01/29/2024 | 753,786 | |
605,000 | GE Capital Funding LLC 4.40%, 05/15/2030 | 711,079 | |
491,000 | GE Capital International Funding Co. 4.42%, 11/15/2035 | 601,689 | |
385,000 | Mastercard, Inc. 2.95%, 03/15/2051 | 407,384 | |
80,000 | Navient Corp. 6.13%, 03/25/2024 | 86,800 | |
1,585,000 | Power Finance Corp. Ltd. 3.95%, 04/23/2030(1) | 1,631,361 | |
6,618,095 | |||
Electric - 3.2% | |||
495,000 | AES Corp. 3.30%, 07/15/2025(1) | 528,809 | |
Alabama Power Co. | |||
615,000 | 3.45%, 10/01/2049 | 690,605 | |
335,000 | 4.15%, 08/15/2044 | 411,217 | |
40,000 | Appalachian Power Co. 6.38%, 04/01/2036 | 56,735 | |
Berkshire Hathaway Energy Co. | |||
410,000 | 1.65%, 05/15/2031 | 401,549 | |
495,000 | 3.25%, 04/15/2028 | 551,195 | |
290,000 | Centrais Eletricas Brasileiras S.A. 3.63%, 02/04/2025(1) | 299,280 | |
Cleco Corporate Holdings LLC | |||
625,000 | 3.38%, 09/15/2029 | 657,851 | |
20,000 | 4.97%, 05/01/2046 | 24,702 | |
Commonwealth Edison Co. | |||
420,000 | 3.65%, 06/15/2046 | 486,264 | |
35,000 | 4.00%, 03/01/2048 | 42,826 | |
115,000 | Connecticut Light & Power Co. 4.00%, 04/01/2048 | 142,449 | |
465,000 | Dominion Energy, Inc. 3.38%, 04/01/2030 | 515,258 | |
Duke Energy Carolinas LLC | |||
375,000 | 2.55%, 04/15/2031 | 395,970 | |
710,000 | 4.25%, 12/15/2041 | 877,927 | |
Duke Energy Corp. | |||
1,620,000 | 2.55%, 06/15/2031 | 1,673,551 | |
405,000 | 2.65%, 09/01/2026 | 431,318 | |
Duke Energy Indiana LLC | |||
725,000 | 2.75%, 04/01/2050 | 719,562 | |
435,000 | 3.25%, 10/01/2049 | 471,322 | |
480,000 | Duquesne Light Holdings, Inc. 2.78%, 01/07/2032(1)(4) | 491,412 | |
805,000 | Enel Finance International N.V. 1.38%, 07/12/2026(1) | 809,775 | |
195,000 | Evergy Metro, Inc. 2.25%, 06/01/2030 | 201,042 | |
Evergy, Inc. | |||
640,000 | 2.45%, 09/15/2024 | 673,217 | |
295,000 | 2.90%, 09/15/2029 | 316,895 | |
1,160,000 | Exelon Corp. 3.95%, 06/15/2025 | 1,279,922 | |
FirstEnergy Corp. | |||
637,000 | 2.25%, 09/01/2030 | 628,273 | |
1,270,000 | 3.40%, 03/01/2050 | 1,275,162 | |
610,000 | 5.60%, 07/15/2047 | 766,361 | |
Georgia Power Co. | |||
1,035,000 | 2.10%, 07/30/2023 | 1,070,378 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Electric - 3.2% - (continued) | |||
$ 785,000 | 4.30%, 03/15/2042 | $ 937,061 | |
IPALCO Enterprises, Inc. | |||
460,000 | 3.70%, 09/01/2024 | 496,271 | |
2,257,000 | 4.25%, 05/01/2030 | 2,567,099 | |
ITC Holdings Corp. | |||
505,000 | 2.95%, 05/14/2030(1) | 539,397 | |
30,000 | 3.25%, 06/30/2026 | 32,768 | |
465,000 | Jersey Central Power & Light Co. 2.75%, 03/01/2032(1) | 486,066 | |
MidAmerican Energy Co. | |||
155,000 | 3.15%, 04/15/2050 | 167,291 | |
45,000 | 3.65%, 08/01/2048 | 52,672 | |
145,000 | National Rural Utilities Cooperative Finance Corp. 3.40%, 02/07/2028 | 160,960 | |
155,000 | NextEra Energy Operating Partners L.P. 3.88%, 10/15/2026(1) | 163,137 | |
NRG Energy, Inc. | |||
560,000 | 2.00%, 12/02/2025(1) | 575,860 | |
585,000 | 2.45%, 12/02/2027(1) | 597,590 | |
160,000 | Oglethorpe Power Corp. 3.75%, 08/01/2050 | 174,730 | |
145,000 | Oncor Electric Delivery Co. LLC 5.75%, 03/15/2029 | 184,049 | |
Pacific Gas and Electric Co. | |||
955,000 | 2.50%, 02/01/2031 | 899,964 | |
425,000 | 4.50%, 07/01/2040 | 428,613 | |
PacifiCorp | |||
101,000 | 4.13%, 01/15/2049 | 123,166 | |
110,000 | 4.15%, 02/15/2050 | 136,423 | |
345,000 | Public Service Electric & Gas Co. 3.80%, 03/01/2046 | 413,839 | |
Public Service Enterprise Group, Inc. | |||
290,000 | 1.60%, 08/15/2030 | 279,445 | |
575,000 | 2.88%, 06/15/2024 | 610,335 | |
Puget Energy, Inc. | |||
650,000 | 3.65%, 05/15/2025 | 702,776 | |
850,000 | 4.10%, 06/15/2030 | 963,957 | |
Sempra Energy | |||
700,000 | 3.40%, 02/01/2028 | 773,361 | |
220,000 | 3.80%, 02/01/2038 | 249,746 | |
70,000 | 4.00%, 02/01/2048 | 80,321 | |
Southern California Edison Co. | |||
220,000 | 2.25%, 06/01/2030 | 221,093 | |
555,000 | 2.85%, 08/01/2029 | 584,710 | |
175,000 | 3.65%, 02/01/2050 | 178,276 | |
179,000 | 4.00%, 04/01/2047 | 189,303 | |
96,000 | 4.13%, 03/01/2048 | 105,087 | |
Southern Co. | |||
115,000 | 2.95%, 07/01/2023 | 119,980 | |
1,038,000 | 3.25%, 07/01/2026 | 1,133,968 | |
505,000 | 3.70%, 04/30/2030 | 567,799 | |
20,000 | 4.40%, 07/01/2046 | 24,067 | |
120,000 | Union Electric Co. 4.00%, 04/01/2048 | 146,952 | |
1,050,000 | Zorlu Yenilenebilir Enerji AS 9.00%, 06/01/2026(1) | 1,039,542 | |
33,998,501 |
61 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Energy-Alternate Sources - 0.1% | |||
$ 470,000 | FS Luxembourg S.a.r.l. 10.00%, 12/15/2025(1) | $ 525,230 | |
545,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(1) | 594,050 | |
1,119,280 | |||
Engineering & Construction - 0.1% | |||
1,147,336 | International Airport Finance S.A. 12.00%, 03/15/2033(1) | 1,244,859 | |
Entertainment - 0.3% | |||
2,590,000 | WMG Acquisition Corp. 3.88%, 07/15/2030(1) | 2,661,225 | |
Environmental Control - 0.3% | |||
Clean Harbors, Inc. | |||
2,680,000 | 4.88%, 07/15/2027(1) | 2,810,650 | |
45,000 | 5.13%, 07/15/2029(1) | 48,938 | |
350,000 | Waste Management, Inc. 2.00%, 06/01/2029 | 359,308 | |
3,218,896 | |||
Food - 0.3% | |||
Conagra Brands, Inc. | |||
40,000 | 4.30%, 05/01/2024 | 43,832 | |
210,000 | 4.60%, 11/01/2025 | 238,757 | |
475,000 | 4.85%, 11/01/2028 | 570,274 | |
65,000 | 5.40%, 11/01/2048 | 89,150 | |
400,000 | Kellogg Co. 3.40%, 11/15/2027 | 443,601 | |
50,000 | Kraft Heinz Foods Co. 4.25%, 03/01/2031 | 57,514 | |
695,000 | MARB BondCo plc 3.95%, 01/29/2031(1) | 675,540 | |
835,000 | NBM U.S. Holdings, Inc. 7.00%, 05/14/2026(1) | 887,663 | |
155,000 | Post Holdings, Inc. 5.63%, 01/15/2028(1) | 163,137 | |
196,000 | Sysco Corp. 5.95%, 04/01/2030 | 253,896 | |
150,000 | TreeHouse Foods, Inc. 4.00%, 09/01/2028 | 150,188 | |
3,573,552 | |||
Food Service - 0.0% | |||
140,000 | Aramark Services, Inc. 5.00%, 02/01/2028(1) | 145,443 | |
Forest Products & Paper - 0.4% | |||
Suzano Austria GmbH | |||
1,815,000 | 3.13%, 01/15/2032(4) | 1,798,665 | |
2,230,000 | 5.00%, 01/15/2030 | 2,525,475 | |
4,324,140 | |||
Gas - 0.2% | |||
AmeriGas Partners L.P. / AmeriGas Finance Corp. | |||
85,000 | 5.63%, 05/20/2024 | 92,757 | |
260,000 | 5.88%, 08/20/2026 | 291,200 | |
NiSource, Inc. | |||
585,000 | 3.49%, 05/15/2027 | 650,441 | |
1,190,000 | 3.60%, 05/01/2030 | 1,330,611 | |
2,365,009 | |||
Healthcare - Products - 0.6% | |||
Alcon Finance Corp. | |||
981,000 | 2.75%, 09/23/2026(1) | 1,044,795 | |
635,000 | 3.00%, 09/23/2029(1) | 677,831 | |
Boston Scientific Corp. | |||
440,000 | 1.90%, 06/01/2025 | 456,010 | |
1,105,000 | 3.75%, 03/01/2026 | 1,233,188 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Healthcare - Products - 0.6% - (continued) | |||
$ 350,000 | Hill-Rom Holdings, Inc. 4.38%, 09/15/2027(1) | $ 365,116 | |
1,730,000 | Hologic, Inc. 4.63%, 02/01/2028(1) | 1,825,150 | |
185,000 | Teleflex, Inc. 4.25%, 06/01/2028(1) | 192,863 | |
5,794,953 | |||
Healthcare - Services - 1.0% | |||
Centene Corp. | |||
315,000 | 4.25%, 12/15/2027 | 332,325 | |
2,415,000 | 4.63%, 12/15/2029 | 2,646,719 | |
105,000 | CommonSpirit Health 3.35%, 10/01/2029 | 115,245 | |
HCA, Inc. | |||
1,585,000 | 2.38%, 07/15/2031 | 1,599,914 | |
240,000 | 3.50%, 09/01/2030 | 260,628 | |
410,000 | Humana, Inc. 2.15%, 02/03/2032 | 411,297 | |
Kaiser Foundation Hospitals | |||
370,000 | 2.81%, 06/01/2041 | 387,373 | |
610,000 | 3.00%, 06/01/2051 | 645,373 | |
1,950,000 | Rede D'or Finance S.a.r.l. 4.50%, 01/22/2030(1) | 1,986,582 | |
325,000 | Sutter Health 3.36%, 08/15/2050 | 353,797 | |
UnitedHealth Group, Inc. | |||
180,000 | 2.38%, 08/15/2024 | 189,741 | |
670,000 | 2.75%, 05/15/2040 | 692,891 | |
200,000 | 3.50%, 08/15/2039 | 227,290 | |
166,000 | 3.75%, 10/15/2047 | 195,750 | |
10,044,925 | |||
Home Builders - 0.2% | |||
870,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 1,018,848 | |
155,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc. 5.63%, 03/01/2024(1) | 167,594 | |
435,000 | Toll Brothers Finance Corp. 4.88%, 11/15/2025 | 485,569 | |
1,672,011 | |||
Insurance - 1.0% | |||
1,530,000 | American International Group, Inc. 2.50%, 06/30/2025 | 1,614,679 | |
665,000 | Aon Corp. 2.20%, 11/15/2022 | 681,132 | |
Brighthouse Financial, Inc. | |||
155,000 | 4.70%, 06/22/2047 | 173,956 | |
1,755,000 | 5.63%, 05/15/2030 | 2,157,054 | |
1,365,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 1,376,875 | |
110,000 | Genworth Holdings, Inc. 4.90%, 08/15/2023 | 110,550 | |
Marsh & McLennan Cos., Inc. | |||
420,000 | 3.88%, 03/15/2024 | 454,555 | |
425,000 | 4.38%, 03/15/2029 | 503,397 | |
260,000 | 4.75%, 03/15/2039 | 339,239 | |
64,000 | Massachusetts Mutual Life Insurance Co. 3.73%, 10/15/2070(1) | 70,507 | |
155,000 | MGIC Investment Corp. 5.25%, 08/15/2028 | 164,777 | |
920,000 | New York Life Global Funding 2.00%, 01/22/2025(1) | 957,647 | |
80,000 | New York Life Insurance Co. 3.75%, 05/15/2050(1) | 92,639 | |
Unum Group | |||
85,000 | 4.13%, 06/15/2051 | 86,567 | |
730,000 | 4.50%, 12/15/2049 | 787,074 | |
10,000 | Voya Financial, Inc. 4.80%, 06/15/2046 | 12,902 |
62 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Insurance - 1.0% - (continued) | |||
Willis North America, Inc. | |||
$ 230,000 | 2.95%, 09/15/2029 | $ 243,505 | |
325,000 | 3.60%, 05/15/2024 | 349,025 | |
530,000 | 4.50%, 09/15/2028 | 617,038 | |
10,793,118 | |||
Internet - 0.6% | |||
Alibaba Group Holding Ltd. | |||
265,000 | 3.40%, 12/06/2027 | 289,734 | |
245,000 | 4.20%, 12/06/2047 | 286,749 | |
655,000 | Amazon.com, Inc. 3.88%, 08/22/2037 | 793,054 | |
Go Daddy Operating Co. LLC | |||
410,000 | 3.50%, 03/01/2029(1) | 408,975 | |
1,467,000 | 5.25%, 12/01/2027(1) | 1,538,780 | |
2,170,000 | NortonLifeLock, Inc. 5.00%, 04/15/2025(1) | 2,197,125 | |
Tencent Holdings Ltd. | |||
330,000 | 2.39%, 06/03/2030(1) | 331,559 | |
785,000 | 3.84%, 04/22/2051(1) | 846,932 | |
6,692,908 | |||
Iron/Steel - 0.2% | |||
320,000 | Commercial Metals Co. 5.38%, 07/15/2027 | 335,878 | |
Metinvest B.V. | |||
EUR 440,000 | 5.63%, 06/17/2025(1) | 549,144 | |
$ 200,000 | 7.75%, 10/17/2029(1) | 220,000 | |
747,000 | Vale Overseas Ltd. 3.75%, 07/08/2030 | 799,290 | |
1,904,312 | |||
IT Services - 0.7% | |||
Apple, Inc. | |||
1,515,000 | 2.20%, 09/11/2029 | 1,585,009 | |
970,000 | 3.35%, 02/09/2027 | 1,080,948 | |
190,000 | 3.45%, 02/09/2045 | 215,164 | |
2,905,000 | Booz Allen Hamilton, Inc. 3.88%, 09/01/2028(1) | 2,963,100 | |
235,000 | HP, Inc. 2.20%, 06/17/2025 | 244,423 | |
International Business Machines Corp. | |||
490,000 | 1.95%, 05/15/2030 | 491,591 | |
280,000 | 2.95%, 05/15/2050 | 285,180 | |
655,000 | Leidos, Inc. 3.63%, 05/15/2025 | 713,164 | |
150,000 | Western Digital Corp. 4.75%, 02/15/2026 | 166,500 | |
7,745,079 | |||
Lodging - 0.1% | |||
485,000 | Las Vegas Sands Corp. 3.50%, 08/18/2026 | 510,700 | |
Machinery - Construction & Mining - 0.0% | |||
185,000 | BWX Technologies, Inc. 4.13%, 04/15/2029(1) | 189,389 | |
Machinery-Diversified - 0.1% | |||
885,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 934,102 | |
Media - 1.6% | |||
CCO Holdings LLC / CCO Holdings Capital Corp. | |||
775,000 | 4.25%, 02/01/2031(1) | 798,250 | |
80,000 | 5.00%, 02/01/2028(1) | 83,902 | |
475,000 | 5.13%, 05/01/2027(1) | 496,969 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | |||
65,000 | 3.70%, 04/01/2051 | 65,674 | |
560,000 | 4.80%, 03/01/2050 | 656,261 | |
535,000 | 5.05%, 03/30/2029 | 637,946 | |
915,000 | 5.38%, 05/01/2047 | 1,130,971 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Media - 1.6% - (continued) | |||
$ 475,000 | 5.75%, 04/01/2048 | $ 612,928 | |
1,595,000 | 6.48%, 10/23/2045 | 2,242,033 | |
Comcast Corp. | |||
330,000 | 3.20%, 07/15/2036 | 359,389 | |
225,000 | 3.25%, 11/01/2039 | 245,340 | |
1,040,000 | 3.75%, 04/01/2040 | 1,204,581 | |
180,000 | 4.05%, 11/01/2052 | 217,524 | |
290,000 | 4.60%, 10/15/2038 | 364,588 | |
90,000 | 4.65%, 07/15/2042 | 114,575 | |
70,000 | 4.75%, 03/01/2044 | 91,380 | |
70,000 | 4.95%, 10/15/2058 | 98,829 | |
Cox Communications, Inc. | |||
650,000 | 2.60%, 06/15/2031(1) | 669,062 | |
302,000 | 3.15%, 08/15/2024(1) | 322,196 | |
CSC Holdings LLC | |||
1,905,000 | 3.38%, 02/15/2031(1) | 1,809,750 | |
440,000 | 4.13%, 12/01/2030(1) | 441,100 | |
Discovery Communications LLC | |||
390,000 | 3.95%, 06/15/2025 | 429,571 | |
112,000 | 5.30%, 05/15/2049 | 143,915 | |
1,395,000 | 6.35%, 06/01/2040 | 1,954,396 | |
230,000 | DISH DBS Corp. 5.88%, 07/15/2022 | 238,050 | |
280,000 | Sirius XM Radio, Inc. 4.13%, 07/01/2030(1) | 288,870 | |
TEGNA, Inc. | |||
160,000 | 4.63%, 03/15/2028 | 164,800 | |
32,000 | 5.50%, 09/15/2024(1) | 32,448 | |
185,000 | Time Warner Cable LLC 6.55%, 05/01/2037 | 254,544 | |
200,000 | Vertical U.S. Newco, Inc. 5.25%, 07/15/2027(1) | 211,210 | |
360,000 | ViacomCBS, Inc. 4.38%, 03/15/2043 | 424,938 | |
Videotron Ltd. | |||
80,000 | 5.13%, 04/15/2027(1) | 83,400 | |
200,000 | 5.38%, 06/15/2024(1) | 220,482 | |
17,109,872 | |||
Mining - 0.0% | |||
120,000 | Kaiser Aluminum Corp. 4.63%, 03/01/2028(1) | 125,278 | |
Miscellaneous Manufacturing - 0.0% | |||
120,000 | Ingersoll-Rand Luxembourg Finance S.A. 4.50%, 03/21/2049 | 153,369 | |
Office/Business Equipment - 0.3% | |||
CDW LLC / CDW Finance Corp. | |||
3,178,000 | 3.25%, 02/15/2029 | 3,188,582 | |
120,000 | 4.25%, 04/01/2028 | 124,618 | |
275,000 | Xerox Holdings Corp. 5.50%, 08/15/2028(1) | 290,109 | |
3,603,309 | |||
Oil & Gas - 1.4% | |||
Apache Corp. | |||
25,000 | 4.25%, 01/15/2030 | 26,063 | |
130,000 | 4.88%, 11/15/2027 | 139,725 | |
BP Capital Markets America, Inc. | |||
275,000 | 2.94%, 06/04/2051 | 269,049 | |
230,000 | 3.06%, 06/17/2041 | 236,853 | |
410,000 | 3.38%, 02/08/2061 | 425,771 | |
780,000 | 3.63%, 04/06/2030 | 882,963 | |
Continental Resources, Inc. | |||
40,000 | 4.38%, 01/15/2028 | 44,300 | |
110,000 | 5.75%, 01/15/2031(1) | 132,583 | |
Energean Israel Finance Ltd. | |||
495,000 | 4.50%, 03/30/2024(1)(7) | 503,630 |
63 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Oil & Gas - 1.4% - (continued) | |||
$ 350,000 | 4.88%, 03/30/2026(1)(7) | $ 357,770 | |
710,000 | 5.88%, 03/30/2031(1)(7) | 727,260 | |
Equinor ASA | |||
990,000 | 1.75%, 01/22/2026 | 1,023,248 | |
380,000 | 3.63%, 04/06/2040 | 435,963 | |
255,000 | 3.70%, 04/06/2050 | 299,891 | |
725,000 | Exxon Mobil Corp. 4.23%, 03/19/2040 | 884,124 | |
Hess Corp. | |||
185,000 | 7.13%, 03/15/2033 | 250,757 | |
520,000 | 7.30%, 08/15/2031 | 710,717 | |
1,075,000 | Leviathan Bond Ltd. 6.50%, 06/30/2027(1)(7) | 1,183,829 | |
Lundin Energy Finance B.V. | |||
335,000 | 2.00%, 07/15/2026(1) | 338,753 | |
1,065,000 | 3.10%, 07/15/2031(1) | 1,088,049 | |
710,000 | Marathon Petroleum Corp. 4.70%, 05/01/2025 | 799,687 | |
Occidental Petroleum Corp. | |||
10,000 | 3.40%, 04/15/2026 | 10,100 | |
17,000 | 6.13%, 01/01/2031 | 20,083 | |
5,000 | 6.38%, 09/01/2028 | 5,825 | |
Ovintiv, Inc. | |||
26,000 | 6.50%, 08/15/2034 | 34,638 | |
25,000 | 6.50%, 02/01/2038 | 33,954 | |
5,000 | 7.20%, 11/01/2031 | 6,676 | |
50,000 | 7.38%, 11/01/2031 | 67,480 | |
1,850,000 | Qatar Petroleum Industry 2.25%, 07/12/2031(1) | 1,871,741 | |
Saudi Arabian Oil Co. | |||
200,000 | 1.63%, 11/24/2025(1) | 202,020 | |
760,000 | 2.88%, 04/16/2024(1) | 798,131 | |
265,000 | Shell International Finance B.V. 3.25%, 04/06/2050 | 287,728 | |
125,000 | Suncor Energy, Inc. 3.75%, 03/04/2051 | 138,344 | |
390,000 | Sunoco L.P. / Sunoco Finance Corp. 5.88%, 03/15/2028 | 410,475 | |
600,000 | Tullow Oil plc 7.00%, 03/01/2025(1) | 518,280 | |
15,166,460 | |||
Oil & Gas Services - 0.0% | |||
240,000 | Halliburton Co. 4.85%, 11/15/2035 | 286,443 | |
Packaging & Containers - 0.3% | |||
400,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. 4.13%, 08/15/2026(1) | 413,000 | |
2,140,000 | Ball Corp. 4.00%, 11/15/2023 | 2,269,545 | |
250,000 | Graphic Packaging International LLC 3.50%, 03/01/2029(1) | 248,393 | |
Owens-Brockway Glass Container, Inc. | |||
80,000 | 5.38%, 01/15/2025(1) | 85,050 | |
430,000 | 5.88%, 08/15/2023(1) | 460,638 | |
3,476,626 | |||
Pharmaceuticals - 1.2% | |||
AbbVie, Inc. | |||
985,000 | 2.95%, 11/21/2026 | 1,067,307 | |
405,000 | 3.20%, 11/21/2029 | 444,205 | |
485,000 | 4.25%, 11/21/2049 | 593,982 | |
320,000 | 4.63%, 10/01/2042 | 401,691 | |
2,005,000 | Astrazeneca Finance LLC 1.75%, 05/28/2028 | 2,039,343 | |
Bausch Health Cos., Inc. | |||
220,000 | 5.75%, 08/15/2027(1) | 231,550 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Pharmaceuticals - 1.2% - (continued) | |||
$ 35,000 | 7.00%, 01/15/2028(1) | $ 36,750 | |
Bayer U.S. Finance LLC | |||
705,000 | 4.25%, 12/15/2025(1) | 787,622 | |
200,000 | 4.88%, 06/25/2048(1) | 256,903 | |
Bristol-Myers Squibb Co. | |||
1,400,000 | 0.75%, 11/13/2025 | 1,398,907 | |
345,000 | 2.55%, 11/13/2050 | 335,882 | |
160,000 | 3.20%, 06/15/2026 | 176,176 | |
1,570,000 | Cigna Corp. 1.25%, 03/15/2026 | 1,582,345 | |
CVS Health Corp. | |||
625,000 | 4.13%, 04/01/2040 | 738,931 | |
185,000 | 5.05%, 03/25/2048 | 246,261 | |
15,000 | 5.13%, 07/20/2045 | 19,808 | |
875,000 | GlaxoSmithKline Capital, Inc. 3.63%, 05/15/2025 | 967,766 | |
200,000 | Organon Finance LLC 4.13%, 04/30/2028(1) | 205,082 | |
1,145,000 | Teva Pharmaceutical Finance Netherlands B.V. 3.15%, 10/01/2026 | 1,098,742 | |
12,629,253 | |||
Pipelines - 1.0% | |||
Cheniere Energy Partners L.P. | |||
20,000 | 4.50%, 10/01/2029 | 21,575 | |
60,000 | 5.63%, 10/01/2026 | 61,957 | |
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 184,725 | |
Energy Transfer Operating L.P. | |||
545,000 | 5.15%, 02/01/2043 | 630,544 | |
160,000 | 5.15%, 03/15/2045 | 186,118 | |
1,915,000 | 6.13%, 12/15/2045 | 2,456,813 | |
75,000 | 6.25%, 04/15/2049 | 98,784 | |
Enterprise Products Operating LLC | |||
230,000 | 4.25%, 02/15/2048 | 271,292 | |
270,000 | 4.95%, 10/15/2054 | 348,936 | |
EQM Midstream Partners L.P. | |||
60,000 | 5.50%, 07/15/2028 | 64,950 | |
55,000 | 6.50%, 07/01/2027(1) | 61,737 | |
Galaxy Pipeline Assets Bidco Ltd. | |||
1,188,000 | 2.16%, 03/31/2034(1) | 1,176,275 | |
2,235,000 | 2.63%, 03/31/2036(1) | 2,213,545 | |
831,000 | 2.94%, 09/30/2040(1) | 836,977 | |
MPLX L.P. | |||
285,000 | 1.75%, 03/01/2026 | 289,507 | |
155,000 | 5.20%, 03/01/2047 | 192,163 | |
80,000 | 5.20%, 12/01/2047 | 97,614 | |
484,000 | NGPL PipeCo LLC 3.25%, 07/15/2031(1) | 504,080 | |
230,000 | Sabine Pass Liquefaction LLC 4.50%, 05/15/2030 | 268,733 | |
140,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. 4.88%, 02/01/2031(1) | 151,375 | |
Venture Global Calcasieu Pass LLC | |||
90,000 | 3.88%, 08/15/2029(1)(4) | 92,025 | |
105,000 | 4.13%, 08/15/2031(1)(4) | 108,675 | |
Western Midstream Operating L.P. | |||
40,000 | 4.75%, 08/15/2028 | 43,397 | |
150,000 | 5.30%, 02/01/2030 | 168,380 | |
10,530,177 | |||
Real Estate Investment Trusts - 0.5% | |||
685,000 | American Tower Corp. 2.40%, 03/15/2025 | 717,025 | |
Equinix, Inc. | |||
315,000 | 2.00%, 05/15/2028 | 321,569 |
64 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Real Estate Investment Trusts - 0.5% - (continued) | |||
$ 430,000 | 2.50%, 05/15/2031 | $ 445,584 | |
GLP Capital L.P. / GLP Financing II, Inc. | |||
1,095,000 | 4.00%, 01/15/2031 | 1,197,591 | |
360,000 | 5.30%, 01/15/2029 | 424,217 | |
430,000 | 5.75%, 06/01/2028 | 516,576 | |
675,000 | SBA Tower Trust 2.84%, 01/15/2050(1) | 704,035 | |
VEREIT Operating Partnership L.P. | |||
40,000 | 2.20%, 06/15/2028 | 41,265 | |
50,000 | 2.85%, 12/15/2032 | 53,563 | |
150,000 | 3.40%, 01/15/2028 | 165,430 | |
VICI Properties L.P. / VICI Note Co., Inc. | |||
50,000 | 3.75%, 02/15/2027(1) | 51,437 | |
70,000 | 4.25%, 12/01/2026(1) | 72,820 | |
4,711,112 | |||
Retail - 0.6% | |||
1011778 BC ULC / New Red Finance, Inc. | |||
140,000 | 3.50%, 02/15/2029(1) | 139,231 | |
165,000 | 3.88%, 01/15/2028(1) | 166,203 | |
225,000 | AutoZone, Inc. 3.63%, 04/15/2025(8) | 246,111 | |
1,494,000 | FirstCash, Inc. 4.63%, 09/01/2028(1) | 1,553,267 | |
825,000 | Home Depot, Inc. 3.30%, 04/15/2040 | 920,935 | |
160,000 | KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC 4.75%, 06/01/2027(1) | 167,200 | |
490,000 | Lithia Motors, Inc. 4.63%, 12/15/2027(1) | 521,237 | |
555,000 | Lowe's Cos., Inc. 1.70%, 10/15/2030 | 542,740 | |
McDonald's Corp. | |||
580,000 | 3.35%, 04/01/2023 | 607,301 | |
210,000 | 3.63%, 09/01/2049 | 238,333 | |
800,000 | 4.20%, 04/01/2050 | 986,236 | |
185,000 | Suburban Propane Partners L.P. / Suburban Energy Finance Corp. 5.88%, 03/01/2027 | 193,787 | |
6,282,581 | |||
Semiconductors - 1.3% | |||
Broadcom, Inc. | |||
2,165,000 | 3.42%, 04/15/2033(1) | 2,306,609 | |
523,000 | 3.47%, 04/15/2034(1) | 556,204 | |
1,910,000 | 5.00%, 04/15/2030 | 2,278,127 | |
155,000 | Entegris, Inc. 4.38%, 04/15/2028(1) | 162,750 | |
Intel Corp. | |||
340,000 | 3.10%, 02/15/2060 | 350,484 | |
145,000 | 4.10%, 05/19/2046 | 174,867 | |
Marvell Technology, Inc. | |||
1,400,000 | 2.45%, 04/15/2028(1) | 1,447,272 | |
705,000 | 2.95%, 04/15/2031(1) | 735,444 | |
Microchip Technology, Inc. | |||
1,020,000 | 2.67%, 09/01/2023 | 1,059,538 | |
45,000 | 4.25%, 09/01/2025 | 47,404 | |
660,000 | NVIDIA Corp. 3.50%, 04/01/2040 | 755,527 | |
NXP B.V. / NXP Funding LLC | |||
262,000 | 4.63%, 06/01/2023(1) | 280,631 | |
1,243,000 | 4.88%, 03/01/2024(1) | 1,366,384 | |
299,000 | 5.35%, 03/01/2026(1) | 350,417 | |
240,000 | 5.55%, 12/01/2028(1) | 297,032 | |
NXP B.V. / NXP Funding LLC / NXP USA, Inc. | |||
285,000 | 3.15%, 05/01/2027(1) | 307,878 | |
136,000 | 4.30%, 06/18/2029(1) | 157,815 | |
40,000 | Qorvo, Inc. 3.38%, 04/01/2031(1) | 41,521 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Semiconductors - 1.3% - (continued) | |||
QUALCOMM, Inc. | |||
$ 149,000 | 4.65%, 05/20/2035 | $ 192,543 | |
421,000 | 4.80%, 05/20/2045 | 569,269 | |
13,437,716 | |||
Software - 1.6% | |||
3,055,000 | Black Knight InfoServ LLC 3.63%, 09/01/2028(1) | 3,061,278 | |
615,523 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | 630,634 | |
641,000 | CDK Global, Inc. 5.25%, 05/15/2029(1) | 697,088 | |
220,000 | Fair Isaac Corp. 4.00%, 06/15/2028(1) | 229,834 | |
240,000 | Fidelity National Information Services, Inc. 2.25%, 03/01/2031 | 243,632 | |
Fiserv, Inc. | |||
375,000 | 2.25%, 06/01/2027 | 392,617 | |
675,000 | 3.20%, 07/01/2026 | 734,504 | |
530,000 | IQVIA, Inc. 5.00%, 05/15/2027(1) | 552,525 | |
Microsoft Corp. | |||
27,000 | 2.68%, 06/01/2060 | 27,188 | |
405,000 | 2.92%, 03/17/2052 | 436,051 | |
133,000 | 3.04%, 03/17/2062 | 145,459 | |
MSCI, Inc. | |||
15,000 | 3.63%, 09/01/2030(1) | 15,769 | |
2,603,000 | 5.38%, 05/15/2027(1) | 2,762,434 | |
330,000 | Open Text Corp. 5.88%, 06/01/2026(1) | 340,758 | |
Oracle Corp. | |||
400,000 | 2.30%, 03/25/2028 | 415,019 | |
835,000 | 2.88%, 03/25/2031 | 880,833 | |
1,550,000 | 3.85%, 04/01/2060 | 1,657,945 | |
1,185,000 | 3.95%, 03/25/2051 | 1,316,211 | |
425,000 | 4.10%, 03/25/2061 | 479,167 | |
1,715,000 | SS&C Technologies, Inc. 5.50%, 09/30/2027(1) | 1,815,070 | |
16,834,016 | |||
Telecommunications - 2.2% | |||
2,100,000 | Apple, Inc. 1.40%, 08/05/2028 | 2,091,175 | |
AT&T, Inc. | |||
1,290,000 | 3.50%, 02/01/2061 | 1,287,390 | |
772,000 | 3.55%, 09/15/2055(1) | 796,557 | |
310,000 | 3.65%, 06/01/2051 | 328,209 | |
326,000 | 3.65%, 09/15/2059(1) | 336,103 | |
1,998,000 | 3.80%, 12/01/2057(1) | 2,120,289 | |
185,000 | 4.50%, 03/09/2048 | 221,238 | |
Nokia Oyj | |||
1,370,000 | 4.38%, 06/12/2027 | 1,510,425 | |
60,000 | 6.63%, 05/15/2039 | 82,200 | |
1,120,000 | NTT Finance Corp. 1.16%, 04/03/2026(1) | 1,123,357 | |
300,000 | Sprint Corp. 7.13%, 06/15/2024 | 344,925 | |
160,000 | Telecom Italia Capital S.A. 6.00%, 09/30/2034 | 183,904 | |
900,000 | Telefonica Celular del Paraguay S.A. 5.88%, 04/15/2027(1) | 945,000 | |
T-Mobile USA, Inc. | |||
1,840,000 | 2.05%, 02/15/2028 | 1,881,345 | |
65,000 | 3.38%, 04/15/2029(1) | 67,677 | |
1,365,000 | 3.50%, 04/15/2025 | 1,482,363 | |
75,000 | 3.50%, 04/15/2031(1) | 78,661 | |
890,000 | 3.88%, 04/15/2030 | 1,004,890 | |
325,000 | 4.50%, 04/15/2050 | 397,576 | |
885,000 | VEON Holdings B.V. 3.38%, 11/25/2027(1) | 892,248 |
65 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 32.6% - (continued) | |||
Telecommunications - 2.2% - (continued) | |||
Verizon Communications, Inc. | |||
$ 925,000 | 2.65%, 11/20/2040 | $ 904,502 | |
1,775,000 | 3.40%, 03/22/2041 | 1,915,701 | |
965,000 | 4.50%, 08/10/2033 | 1,174,668 | |
1,210,000 | 4.81%, 03/15/2039 | 1,552,758 | |
270,000 | Vmed UK Financing plc 4.25%, 01/31/2031(1) | 267,300 | |
545,000 | Vodafone Group plc 6.15%, 02/27/2037 | 761,862 | |
23,752,323 | |||
Transportation - 0.2% | |||
Union Pacific Corp. | |||
1,120,000 | 2.38%, 05/20/2031 | 1,163,172 | |
600,000 | 2.97%, 09/16/2062 | 594,022 | |
1,757,194 | |||
Trucking & Leasing - 0.3% | |||
1,615,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 1,613,385 | |
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | |||
1,105,000 | 2.70%, 11/01/2024(1) | 1,163,072 | |
625,000 | 4.00%, 07/15/2025(1) | 692,390 | |
3,468,847 | |||
Water - 0.0% | |||
185,000 | American Water Capital Corp. 4.15%, 06/01/2049 | 230,550 | |
Total Corporate Bonds (cost $328,139,485) | $ 345,302,498 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 6.5% | |||
Angola - 0.1% | |||
Angolan Government International Bond | |||
580,000 | 8.00%, 11/26/2029(7) | $ 599,650 | |
510,000 | 8.25%, 05/09/2028(7) | 535,500 | |
1,135,150 | |||
Argentina - 0.0% | |||
Argentine Republic Government International Bond | |||
16,465 | 1.00%, 07/09/2029 | 6,314 | |
782,972 | 1.13%, 07/09/2035(3)(6) | 253,683 | |
259,997 | |||
Benin - 0.1% | |||
EUR 1,130,000 | Benin Government International Bond 4.95%, 01/22/2035(1) | 1,299,192 | |
Bermuda - 0.0% | |||
$ 255,000 | Bermuda Government International Bond 2.38%, 08/20/2030(1) | 255,638 | |
Brazil - 0.4% | |||
BRL 20,100,000 | Brazil Notas do Tesouro Nacional 10.00%, 01/01/2031 | 4,009,031 | |
Chile - 0.3% | |||
Chile Government International Bond | |||
EUR 1,820,000 | 1.25%, 01/22/2051 | 1,953,476 | |
$ 1,460,000 | 3.10%, 05/07/2041 | 1,472,395 | |
3,425,871 |
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 6.5% - (continued) | |||
Colombia - 0.5% | |||
Colombia Government International Bond | |||
$ 3,035,000 | 3.88%, 04/25/2027 | $ 3,211,758 | |
1,175,000 | 5.00%, 06/15/2045 | 1,227,981 | |
200,000 | 5.20%, 05/15/2049 | 215,536 | |
510,000 | 5.63%, 02/26/2044 | 569,359 | |
5,224,634 | |||
Croatia - 0.2% | |||
EUR 1,790,000 | Croatia Government International Bond 1.50%, 06/17/2031(7) | 2,252,211 | |
Dominican Republic - 0.2% | |||
$ 1,615,000 | Dominican Republic International Bond 6.40%, 06/05/2049(1) | 1,753,906 | |
Egypt - 0.1% | |||
Egypt Government International Bond | |||
210,000 | 7.63%, 05/29/2032(1) | 221,512 | |
200,000 | 8.50%, 01/31/2047(7) | 206,539 | |
200,000 | 8.88%, 05/29/2050(1) | 212,822 | |
640,873 | |||
Ghana - 0.1% | |||
440,000 | Ghana Government International Bond 6.38%, 02/11/2027(1) | 432,507 | |
Hungary - 0.3% | |||
EUR 2,465,000 | Hungary Government International Bond 1.63%, 04/28/2032(7) | 3,134,515 | |
Indonesia - 0.3% | |||
Indonesia Government International Bond | |||
2,040,000 | 1.10%, 03/12/2033 | 2,369,138 | |
100,000 | 2.15%, 07/18/2024(7) | 125,102 | |
145,000 | 2.63%, 06/14/2023(7) | 179,864 | |
2,674,104 | |||
Ivory Coast - 0.1% | |||
845,000 | Ivory Coast Government International Bond 4.88%, 01/30/2032(7) | 1,011,620 | |
Jordan - 0.1% | |||
$ 790,000 | Jordan Government International Bond 5.85%, 07/07/2030(7) | 817,176 | |
Macedonia - 0.2% | |||
North Macedonia Government International Bond | |||
EUR 770,000 | 2.75%, 01/18/2025(7) | 963,467 | |
985,000 | 3.68%, 06/03/2026(1) | 1,292,849 | |
2,256,316 | |||
Mexico - 1.3% | |||
MXN 130,602,100 | Mexican Bonos 7.75%, 05/29/2031 | 6,976,537 | |
Mexico Government International Bond | |||
EUR 200,000 | 1.13%, 01/17/2030 | 232,416 | |
3,000,000 | 1.45%, 10/25/2033 | 3,377,394 | |
$ 305,000 | 3.75%, 04/19/2071 | 281,286 | |
530,000 | 3.77%, 05/24/2061 | 494,050 | |
1,315,000 | 4.28%, 08/14/2041 | 1,390,205 | |
1,045,000 | 4.75%, 04/27/2032 | 1,199,096 | |
90,000 | 4.75%, 03/08/2044 | 99,651 | |
14,050,635 |
66 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 6.5% - (continued) | |||
Morocco - 0.1% | |||
EUR 1,035,000 | Morocco Government International Bond 2.00%, 09/30/2030(7) | $ 1,220,474 | |
Panama - 0.3% | |||
Panama Government International Bond | |||
$ 1,945,000 | 3.87%, 07/23/2060 | 2,008,660 | |
465,000 | 4.30%, 04/29/2053 | 517,317 | |
200,000 | 4.50%, 04/16/2050 | 227,580 | |
2,753,557 | |||
Peru - 0.1% | |||
Peruvian Government International Bond | |||
270,000 | 2.39%, 01/23/2026 | 276,302 | |
1,156,000 | 3.30%, 03/11/2041 | 1,127,123 | |
1,403,425 | |||
Philippines - 0.3% | |||
Philippine Government International Bond | |||
EUR 2,045,000 | 1.20%, 04/28/2033 | 2,428,257 | |
620,000 | 1.75%, 04/28/2041 | 728,763 | |
3,157,020 | |||
Romania - 0.5% | |||
Romanian Government International Bond | |||
1,265,000 | 2.63%, 12/02/2040(1) | 1,467,612 | |
750,000 | 2.75%, 04/14/2041(7) | 873,165 | |
750,000 | 3.38%, 02/08/2038(7) | 966,723 | |
1,024,000 | 4.63%, 04/03/2049(7) | 1,513,641 | |
4,821,141 | |||
Russia - 0.3% | |||
RUB 269,620,000 | Russian Federal Bond - OFZ 5.90%, 03/12/2031 | 3,468,584 | |
Saudi Arabia - 0.3% | |||
Saudi Government International Bond | |||
EUR 785,000 | 2.00%, 07/09/2039(7) | 965,760 | |
$ 2,079,000 | 2.25%, 02/02/2033(1) | 2,040,351 | |
3,006,111 | |||
Senegal - 0.1% | |||
Senegal Government International Bond | |||
EUR 440,000 | 4.75%, 03/13/2028(7) | 545,219 | |
$ 590,000 | 6.25%, 05/23/2033(7) | 625,341 | |
1,170,560 | |||
Serbia - 0.1% | |||
EUR 1,200,000 | Serbia International Bond 1.65%, 03/03/2033(1) | 1,398,740 | |
Tunisia - 0.0% | |||
390,000 | Banque Centrale de Tunisie International Bond 6.75%, 10/31/2023(1) | 408,631 | |
United Arab Emirates - 0.1% | |||
$ 1,460,000 | Finance Department Government of Sharjah 3.63%, 03/10/2033(1) | 1,456,350 | |
Total Foreign Government Obligations (cost $69,139,452) | $ 68,897,969 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 1.6% | |||
Development - 0.2% | |||
$ 2,080,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | $ 2,322,943 | |
Education - 0.1% | |||
Chicago, IL, Board of Education, GO | |||
270,000 | 6.04%, 12/01/2029 | 320,750 | |
220,000 | 6.14%, 12/01/2039 | 273,872 | |
594,622 | |||
General - 0.7% | |||
250,000 | Chicago, IL, Transit Auth 3.91%, 12/01/2040 | 293,488 | |
County of Riverside, CA | |||
1,625,000 | 2.86%, 02/15/2026 | 1,753,218 | |
1,630,000 | 3.07%, 02/15/2028 | 1,795,545 | |
1,430,000 | Florida State Board of Administration Finance Co. 1.26%, 07/01/2025 | 1,454,202 | |
1,530,000 | Philadelphia, PA, Auth Industrial Dev, (NATL Insured) 6.55%, 10/15/2028 | 2,011,429 | |
7,307,882 | |||
General Obligation - 0.2% | |||
California State, GO Taxable | |||
335,000 | 7.30%, 10/01/2039(8) | 544,011 | |
10,000 | 7.55%, 04/01/2039 | 17,353 | |
60,000 | 7.63%, 03/01/2040 | 102,771 | |
State of Illinois, GO | |||
516,727 | 4.95%, 06/01/2023(8) | 549,824 | |
120,000 | 5.00%, 01/01/2023 | 125,831 | |
250,000 | 6.88%, 07/01/2025 | 283,567 | |
1,623,357 | |||
School District - 0.0% | |||
380,000 | Chicago, IL, Board of Education, GO 6.32%, 11/01/2029 | 472,580 | |
Transportation - 0.3% | |||
Metropolitan Transportation Auth, NY, Rev | |||
700,000 | 5.00%, 11/15/2050 | 875,624 | |
1,940,000 | 5.18%, 11/15/2049 | 2,621,505 | |
3,497,129 | |||
Utility - Electric - 0.1% | |||
506,000 | Municipal Electric Auth, GA 6.64%, 04/01/2057 | 785,336 | |
Total Municipal Bonds (cost $14,563,105) | $ 16,603,849 | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) | |||
Advertising - 0.0% | |||
280,013 | Clear Channel Outdoor Holdings, Inc. 3.63%, 08/21/2026, 1 mo. USD LIBOR + 3.500% | $ 271,612 | |
Aerospace/Defense - 0.1% | |||
215,461 | Dynasty Acquisition Co., Inc. 3.65%, 04/06/2026, 1 mo. USD LIBOR + 3.500% | 207,870 | |
422,875 | Great Outdoors Group LLC 5.00%, 03/06/2028, 1 mo. USD LIBOR + 4.250% | 423,086 |
67 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Aerospace/Defense - 0.1% - (continued) | |||
TransDigm, Inc. | |||
$ 315,311 | 2.34%, 05/30/2025, 1 mo. USD LIBOR + 2.250% | $ 309,456 | |
146,261 | 2.34%, 12/09/2025, 1 mo. USD LIBOR + 2.250% | 143,572 | |
99,750 | Watlow Electric Manufacturing Co. 4.50%, 03/02/2028, 1 mo. USD LIBOR + 4.000% | 99,625 | |
1,183,609 | |||
Airlines - 0.1% | |||
175,000 | AAdvantage Loyalty IP Ltd. 5.50%, 04/20/2028, 1 mo. USD LIBOR + 4.750% | 179,681 | |
115,000 | Air Canada 0.00%, 07/28/2028, 1 mo. USD LIBOR + 3.500%(11) | 115,192 | |
147,750 | Kestrel Bidco, Inc. 4.00%, 12/11/2026, 3 mo. USD LIBOR + 3.000% | 142,435 | |
115,000 | Mileage Plus Holdings LLC 6.25%, 06/20/2027, 1 mo. USD LIBOR + 5.250% | 121,714 | |
160,000 | SkyMiles IP Ltd. 4.75%, 10/20/2027, 3 mo. USD LIBOR + 3.750% | 168,845 | |
214,463 | United Airlines, Inc. 4.50%, 04/21/2028, 1 mo. USD LIBOR + 3.750% | 214,544 | |
942,411 | |||
Apparel - 0.0% | |||
175,000 | Birkenstock GmbH & Co. KG 4.25%, 04/27/2028, 1 mo. USD LIBOR + 3.750% | 174,489 | |
Auto Parts & Equipment - 0.2% | |||
165,000 | Adient U.S. LLC 3.59%, 04/08/2028, 1 mo. USD LIBOR + 3.500% | 164,794 | |
1,223,040 | Altra Industrial Motion Corp. 2.09%, 10/01/2025, 3 mo. USD LIBOR + 2.000% | 1,213,867 | |
377,527 | Clarios Global L.P. 3.34%, 04/30/2026, 1 mo. USD LIBOR + 3.250% | 374,163 | |
First Brands Group LLC | |||
69,232 | 6.00%, 03/30/2027, 1 mo. USD LIBOR + 5.000% | 69,903 | |
125,000 | 9.50%, 03/30/2028, 1 mo. USD LIBOR + 8.500% | 125,937 | |
99,750 | Truck Hero, Inc. 4.50%, 01/31/2028, 1 mo. USD LIBOR + 3.750% | 99,351 | |
2,048,015 | |||
Beverages - 0.0% | |||
325,883 | Sunshine Luxembourg S.a.r.l. 4.50%, 10/01/2026, 1 mo. USD LIBOR + 3.750% | 325,883 | |
Chemicals - 0.2% | |||
1,235,257 | Axalta Coating Systems U.S. Holdings, Inc. 1.90%, 06/01/2024, 3 mo. USD LIBOR + 1.750% | 1,220,508 | |
180,399 | Element Solutions, Inc. 2.09%, 01/31/2026, 1 mo. USD LIBOR + 2.000% | 179,400 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Chemicals - 0.2% - (continued) | |||
$ 97,250 | LTI Holdings, Inc. 3.59%, 09/06/2025, 3 mo. USD LIBOR + 3.500% | $ 95,457 | |
179,627 | Starfruit Finco B.V 2.84%, 10/01/2025, 1 mo. USD LIBOR + 2.750% | 177,189 | |
98,500 | Univar, Inc. 2.09%, 07/01/2026, 1 mo. USD LIBOR + 2.000% | 97,900 | |
1,770,454 | |||
Commercial Services - 0.6% | |||
319,200 | AlixPartners LLP 3.25%, 02/04/2028, 1 mo. USD LIBOR + 2.750% | 317,026 | |
212,216 | Allied Universal Holdco LLC 4.25%, 05/12/2028, 1 mo. USD LIBOR + 3.750% | 211,891 | |
Amentum Government Services Holdings LLC | |||
99,000 | 3.59%, 01/29/2027, 1 mo. USD LIBOR + 3.500% | 98,227 | |
99,750 | 5.50%, 01/29/2027, 1 mo. USD LIBOR + 4.750% | 99,719 | |
245,000 | APX Group, Inc. 0.00%, 07/10/2028, 1 mo. USD LIBOR + 3.500%(11) | 243,040 | |
145,674 | AVSC Holding Corp. 4.25%, 03/03/2025, 3 mo. USD LIBOR + 3.250% | 129,786 | |
EUR 425,000 | Biogroup-LCD 3.50%, 01/28/2028, 3 mo. EURIBOR + 3.500% | 499,873 | |
$ 341,206 | Blackhawk Network Holdings, Inc. 3.09%, 06/15/2025, 3 mo. USD LIBOR + 3.000% | 336,149 | |
EUR 225,000 | Boels Topholding B.V. 3.25%, 02/05/2027, 3 mo. EURIBOR + 3.250% | 264,804 | |
$ 389,950 | BrightView Landscapes LLC 2.63%, 08/15/2025, 3 mo. USD LIBOR + 2.500% | 384,101 | |
282,150 | Deerfield Dakota Holding LLC 4.75%, 04/09/2027, 1 mo. USD LIBOR + 3.750% | 281,975 | |
894,007 | Dun & Bradstreet Corp. 3.34%, 02/06/2026, 1 mo. USD LIBOR + 3.250% | 886,042 | |
EUR 115,000 | LGC Group Holdings Ltd. 3.75%, 04/21/2027, 1 mo. EURIBOR + 2.750% | 134,073 | |
$ 246,250 | Quikrete Holdings, Inc. 2.59%, 02/01/2027, 1 mo. USD LIBOR + 2.500% | 243,068 | |
1,606,757 | Trans Union LLC 1.84%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 1,585,998 | |
Verisure Holding AB | |||
EUR 285,000 | 3.50%, 07/20/2026, 6 mo. EURIBOR + 4.000% | 335,712 | |
410,000 | 3.50%, 03/27/2028, 3 mo. EURIBOR + 3.500% | 483,188 | |
$ 100,000 | Verscend Holding Corp. 4.09%, 08/27/2025, 1 mo. USD LIBOR + 4.000% | 99,725 | |
6,634,397 |
68 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Construction Materials - 0.1% | |||
$ 305,000 | ACProducts, Inc. 4.75%, 05/05/2028, 1 mo. USD LIBOR + 4.250% | $ 302,761 | |
459,575 | Cornerstone Building Brands, Inc. 3.75%, 04/12/2028, 1 mo. USD LIBOR + 3.250% | 457,994 | |
760,755 | |||
Distribution/Wholesale - 0.2% | |||
1,717,690 | American Builders & Contractors Supply Co., Inc. 2.09%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 1,696,218 | |
Diversified Financial Services - 0.1% | |||
1,020,000 | Fleetcor Technologies Operating Co. LLC 1.84%, 04/28/2028, 1 mo. USD LIBOR + 1.750% | 1,011,259 | |
HighTower Holdings LLC | |||
38,000 | 4.00%, 04/30/2028, 1 mo. USD LIBOR + 4.000%(12) | 38,012 | |
152,000 | 4.75%, 04/30/2028, 1 mo. USD LIBOR + 4.000% | 152,047 | |
325,000 | Russell Investments U.S. Inst'l Holdco, Inc. 4.00%, 05/30/2025, 1 mo. USD LIBOR + 3.000% | 323,375 | |
1,524,693 | |||
Electrical Components & Equipment - 0.0% | |||
100,000 | Anticimex International AB 0.00%, 07/21/2028, 1 mo. USD LIBOR + 3.500%(11) | 99,625 | |
304,271 | Brookfield WEC Holdings, Inc. 3.25%, 08/01/2025, 1 mo. USD LIBOR + 2.750% | 299,707 | |
399,332 | |||
Energy-Alternate Sources - 0.0% | |||
291,524 | BCP Renaissance Parent LLC 4.50%, 10/31/2024, 3 mo. USD LIBOR + 3.500% | 287,516 | |
Engineering & Construction - 0.1% | |||
204,487 | ADMI Corp. 3.63%, 12/23/2027, 1 mo. USD LIBOR + 3.125% | 200,960 | |
246,061 | Brand Energy & Infrastructure Services, Inc. 5.25%, 06/21/2024, 3 mo. USD LIBOR + 4.250% | 241,166 | |
103,057 | Brown Group Holding LLC 3.25%, 06/07/2028, 1 mo. USD LIBOR + 2.750% | 102,241 | |
544,367 | |||
Entertainment - 0.1% | |||
99,250 | Banijay Entertainment S.A.S 3.85%, 03/01/2025, 1 mo. USD LIBOR + 3.750% | 98,816 | |
283,161 | Crown Finance U.S., Inc. 3.50%, 02/28/2025, 1 mo. USD LIBOR + 2.500% | 228,234 | |
205,000 | J&J Ventures Gaming LLC 4.75%, 04/26/2028, 1 mo. USD LIBOR + 4.000% | 205,513 | |
532,563 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Food - 0.1% | |||
Froneri International Ltd. | |||
$ 158,400 | 2.34%, 01/29/2027, 1 mo. USD LIBOR + 2.250% | $ 155,430 | |
EUR 120,000 | 2.38%, 01/29/2027, 3 mo. EURIBOR + 2.375% | 139,198 | |
$ 172,368 | Hostess Brands LLC 3.00%, 08/03/2025, 1 mo. USD LIBOR + 2.250% | 171,267 | |
U.S. Foods, Inc. | |||
201,848 | 1.84%, 06/27/2023, 1 mo. USD LIBOR + 1.750% | 199,167 | |
122,812 | 2.09%, 09/13/2026, 3 mo. USD LIBOR + 2.000% | 120,526 | |
785,588 | |||
Food Service - 0.0% | |||
275,000 | Aramark Services, Inc. 1.84%, 03/11/2025, 1 mo. USD LIBOR + 1.750% | 270,273 | |
Hand/Machine Tools - 0.0% | |||
173,688 | Applecaramel Buyer LLC 4.50%, 10/19/2027, 1 mo. USD LIBOR + 4.000% | 173,688 | |
Healthcare - Products - 0.1% | |||
318,400 | Avantor, Inc. 2.75%, 11/08/2027, 1 mo. USD LIBOR + 2.250% | 317,139 | |
105,000 | Insulet Corp. 3.75%, 05/04/2028, 1 mo. USD LIBOR + 3.250% | 104,935 | |
238,297 | Surf Holdings LLC 3.63%, 03/05/2027, 1 mo. USD LIBOR + 3.500% | 235,583 | |
190,000 | WW International, Inc. 4.00%, 04/13/2028, 1 mo. USD LIBOR + 3.500% | 189,407 | |
847,064 | |||
Healthcare - Services - 0.3% | |||
130,000 | ADMI Corp. 0.00%, 12/23/2027, 1 mo. USD LIBOR + 3.500%(11) | 129,318 | |
EUR 135,000 | Elsan SAS 0.00%, 06/16/2028, 3 mo. EURIBOR + 3.500% | 159,369 | |
$ 98,250 | Emerald TopCo, Inc. 3.63%, 07/24/2026, 1 mo. USD LIBOR + 3.500% | 97,114 | |
149,240 | Ensemble RCM LLC 3.88%, 08/03/2026, 3 mo. USD LIBOR + 3.750% | 149,008 | |
292,500 | Envision Healthcare Corp. 3.84%, 10/10/2025, 3 mo. USD LIBOR + 3.750% | 249,663 | |
165,000 | Heartland Dental, LLC 4.09%, 04/30/2025, 1 mo. USD LIBOR + 4.000% | 164,312 | |
100,000 | ICON Luxembourg S.a r.l. 3.00%, 07/03/2028, 1 mo. USD LIBOR + 2.500% | 99,750 | |
112,678 | MED ParentCo L.P. 4.34%, 08/31/2026, 1 mo. USD LIBOR + 4.250% | 112,481 | |
312,668 | MPH Acquisition Holdings LLC 3.75%, 06/07/2023, 1 mo. USD LIBOR + 2.750% | 310,288 | |
223,478 | Pathway Vet Alliance LLC 3.84%, 03/31/2027, 1 mo. USD LIBOR + 3.750% | 222,144 | |
259,350 | PPD, Inc. 2.75%, 01/13/2028, 1 mo. USD LIBOR + 2.250% | 258,517 |
69 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Healthcare - Services - 0.3% - (continued) | |||
$ 399,000 | Surgery Center Holdings, Inc. 4.50%, 08/31/2026, 1 mo. USD LIBOR + 3.750% | $ 398,573 | |
263,250 | Universal Health Services, Inc. 1.84%, 10/31/2025, 3 mo. USD LIBOR + 1.750% | 262,592 | |
2,613,129 | |||
Home Builders - 0.0% | |||
285,000 | Tecta America Corp. 5.00%, 04/01/2028, 1 mo. USD LIBOR + 4.250% | 284,644 | |
Home Furnishings - 0.0% | |||
154,225 | Weber-Stephen Products LLC 4.30%, 10/30/2027, 1 mo. USD LIBOR + 3.250% | 153,744 | |
Household Products - 0.0% | |||
395,642 | Diamond (BC) B.V. 3.09%, 09/06/2024, 3 mo. USD LIBOR + 3.000% | 392,038 | |
Insurance - 0.2% | |||
243,766 | Acrisure LLC 3.61%, 02/15/2027, 1 mo. USD LIBOR + 3.500% | 239,195 | |
Asurion LLC | |||
215,000 | 0.00%, 01/20/2029, 1 mo. USD LIBOR + 5.250%(11) | 213,723 | |
392,170 | 3.34%, 12/23/2026, 1 mo. USD LIBOR + 3.250% | 384,633 | |
240,000 | 5.34%, 01/31/2028, 1 mo. USD LIBOR + 5.250% | 238,630 | |
364,662 | Hub International Ltd. 2.88%, 04/25/2025, 1 mo. USD LIBOR + 2.750% | 359,060 | |
198,749 | Ryan Specialty Group LLC 3.75%, 09/01/2027, 1 mo. USD LIBOR + 3.250% | 197,693 | |
Sedgwick Claims Management Services, Inc. | |||
419,250 | 3.34%, 12/31/2025, 3 mo. USD LIBOR + 3.250% | 412,437 | |
295,492 | 3.84%, 09/03/2026, 1 mo. USD LIBOR + 3.750% | 292,854 | |
2,338,225 | |||
IT Services - 0.2% | |||
265,000 | Endure Digital, Inc. 4.25%, 02/10/2028, 1 mo. USD LIBOR + 3.500% | 259,782 | |
100,000 | KKR Apple Bidco LLC 0.00%, 07/13/2028, 1 mo. USD LIBOR + 3.000%(11) | 99,250 | |
200,000 | Panther Commercial Holdings L.P. 5.00%, 01/07/2028, 1 mo. USD LIBOR + 4.500% | 199,900 | |
1,444,959 | Science Applications International Corp. 1.97%, 10/31/2025, 1 mo. USD LIBOR + 1.875% | 1,431,636 | |
258,139 | Tempo Acquisition LLC 3.75%, 11/02/2026, 1 mo. USD LIBOR + 3.250% | 257,602 | |
2,248,170 | |||
Leisure Time - 0.2% | |||
Caesars Resort Collection LLC | |||
271,924 | 2.84%, 12/22/2024, 3 mo. USD LIBOR + 2.750% | 268,656 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Leisure Time - 0.2% - (continued) | |||
$ 109,175 | 4.59%, 07/21/2025, 1 mo. USD LIBOR + 4.500% | $ 109,175 | |
138,600 | Carnival Corp. 3.75%, 06/30/2025, 1 mo. USD LIBOR + 3.000% | 137,475 | |
425,000 | Delta (LUX) S.a.r.l. 3.50%, 02/01/2024, 3 mo. USD LIBOR + 2.500% | 421,103 | |
100,000 | Great Canadian Gaming Corp. 0.00%, 11/01/2026, 1 mo. USD LIBOR + 4.000%(11) | 99,938 | |
215,000 | Hayward Industries, Inc. 3.25%, 05/12/2028, 1 mo. USD LIBOR + 2.750% | 212,957 | |
99,500 | IRB Holding Corp. 4.25%, 12/15/2027, 1 mo. USD LIBOR + 3.250% | 99,091 | |
180,000 | MajorDrive Holdings LLC 4.50%, 05/12/2028, 1 mo. USD LIBOR + 4.000% | 179,370 | |
218,279 | Penn National Gaming, Inc. 3.00%, 10/15/2025, 3 mo. USD LIBOR + 2.250% | 216,278 | |
98,182 | SRAM LLC 0.27%, 05/12/2028, 1 mo. USD LIBOR + 2.750% | 97,568 | |
248,849 | UFC Holdings LLC 3.50%, 04/29/2026, 1 mo. USD LIBOR + 3.000% | 247,099 | |
2,088,710 | |||
Lodging - 0.1% | |||
231,878 | Boyd Gaming Corp. 2.33%, 09/15/2023, 3 mo. USD LIBOR + 2.250% | 231,178 | |
114,033 | Hilton Worldwide Finance LLC 1.84%, 06/22/2026, 3 mo. USD LIBOR + 1.750% | 112,559 | |
172,805 | Station Casinos LLC 2.50%, 02/08/2027, 1 mo. USD LIBOR + 2.250% | 169,805 | |
513,542 | |||
Machinery-Construction & Mining - 0.1% | |||
170,000 | Artera Services LLC 0.00%, 03/06/2025, 1 mo. USD LIBOR + 3.500%(11) | 168,990 | |
EUR 185,000 | Concorde Midco Ltd. 4.00%, 03/01/2028, 3 mo. EURIBOR + 4.000% | 219,138 | |
$ 123,905 | Pro Mach Group, Inc. 4.50%, 03/07/2025, 1 mo. USD LIBOR + 3.500% | 123,673 | |
511,801 | |||
Machinery-Diversified - 0.0% | |||
200,000 | Welbilt, Inc. 2.59%, 10/23/2025, 3 mo. USD LIBOR + 2.500% | 198,000 | |
Media - 0.4% | |||
EUR 130,000 | Adevinta ASA 0.00%, 04/20/2028, 1 mo. USD LIBOR + 3.250%(11) | 153,736 | |
$ 123,036 | Alliance Laundry Systems LLC 4.25%, 10/08/2027, 1 mo. USD LIBOR + 3.500% | 122,862 | |
245,000 | Cable One, Inc. 2.09%, 05/03/2028, 1 mo. USD LIBOR + 2.000% | 241,570 | |
378,361 | Charter Communications Operating LLC 1.85%, 02/01/2027, 1 mo. USD LIBOR + 1.750% | 373,870 | |
342,151 | CSC Holdings LLC 2.59%, 04/15/2027, 1 mo. USD LIBOR + 2.500% | 337,262 | |
E.W. Scripps Co. | |||
148,116 | 3.31%, 05/01/2026, 1 mo. USD LIBOR + 2.563% | 146,984 |
70 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Media - 0.4% - (continued) | |||
$ 93,250 | 3.75%, 01/07/2028, 1 mo. USD LIBOR + 3.000% | $ 92,929 | |
237,900 | Gray Television, Inc. 2.60%, 01/02/2026, 3 mo. USD LIBOR + 2.500% | 235,552 | |
6,346 | Houghton Mifflin Harcourt Publishing Co. 7.25%, 11/22/2024, 1 mo. USD LIBOR + 6.250% | 6,342 | |
119,397 | MH Sub LLC 4.75%, 09/15/2024, 1 mo. USD LIBOR + 3.750% | 119,269 | |
292,443 | MTN Infrastructure TopCo, Inc. 4.00%, 11/15/2024, 3 mo. USD LIBOR + 3.000% | 291,940 | |
Shutterfly, Inc. | |||
92,624 | 0.00%, 09/25/2026, 1 mo. USD LIBOR + 5.000%(11) | 92,596 | |
22,376 | 0.00%, 09/25/2026, 1 mo. USD LIBOR + 5.000%(11)(12) | 22,369 | |
241,337 | Terrier Media Buyer, Inc. 3.59%, 12/17/2026, 1 mo. USD LIBOR + 3.500% | 238,757 | |
260,000 | UPC Financing Partnership 3.09%, 01/31/2029, 1 mo. USD LIBOR + 3.000% | 257,169 | |
Vertical Midco GmbH | |||
EUR 100,000 | 4.25%, 07/29/2027, 3 mo. EURIBOR + 4.250% | 118,527 | |
$ 347,382 | 4.40%, 07/30/2027, 1 mo. USD LIBOR + 4.250% | 346,458 | |
EUR 155,000 | Virgin Media Bristol LLC 3.25%, 01/31/2029, 3 mo. EURIBOR + 3.250% | 183,374 | |
$ 197,884 | William Morris Endeavor Entertainment LLC 2.85%, 05/18/2025, 3 mo. USD LIBOR + 2.750% | 192,055 | |
150,000 | Ziggo Financing Partnership 2.59%, 04/30/2028, 1 mo. USD LIBOR + 2.500% | 147,396 | |
3,721,017 | |||
Miscellaneous Manufacturing - 0.2% | |||
1,627,270 | Ingersoll-Rand Services Co. 1.84%, 03/01/2027, 1 mo. USD LIBOR + 1.750% | 1,596,498 | |
148,111 | Momentive Performance Materials USA LLC 3.35%, 05/15/2024, 3 mo. USD LIBOR + 3.250% | 146,938 | |
291,914 | USI, Inc. 3.15%, 05/16/2024, 3 mo. USD LIBOR + 3.000% | 288,583 | |
2,032,019 | |||
Oil & Gas - 0.0% | |||
EUR 150,000 | EG Group Ltd. 0.00%, 04/10/2027, 1 mo. USD LIBOR + 7.000%(11) | 178,167 | |
$ 172,779 | NorthRiver Midstream Finance L.P. 3.39%, 10/01/2025, 3 mo. USD LIBOR + 3.250% | 171,074 | |
349,241 | |||
Oil & Gas Services - 0.0% | |||
107,798 | Lower Cadence Holdings LLC 4.09%, 05/22/2026, 3 mo. USD LIBOR + 4.000% | 107,645 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Packaging & Containers - 0.1% | |||
$ 437,652 | Flex Acquisition Co., Inc. 4.00%, 02/23/2028, 1 mo. USD LIBOR + 3.500% | $ 433,617 | |
254,362 | Proampac PG Borrower LLC 4.32%, 11/03/2025, 1 mo. USD LIBOR + 3.750% | 253,884 | |
120,556 | Reynolds Group Holdings, Inc. 2.84%, 02/05/2023, 1 mo. USD LIBOR + 2.750% | 120,104 | |
TricorBraun Holdings, Inc. | |||
55,088 | 3.32%, 03/03/2028, 1 mo. USD LIBOR + 3.250%(12) | 54,503 | |
244,912 | 3.75%, 03/03/2028, 1 mo. USD LIBOR + 3.250% | 242,311 | |
1,104,419 | |||
Pharmaceuticals - 0.5% | |||
Bausch Health Cos., Inc. | |||
157,140 | 2.84%, 11/27/2025, 3 mo. USD LIBOR + 2.750% | 155,481 | |
87,747 | 3.09%, 06/02/2025, 3 mo. USD LIBOR + 3.000% | 87,089 | |
1,854,874 | Elanco Animal Health, Inc. 1.85%, 08/02/2027, 1 mo. USD LIBOR + 1.750% | 1,819,427 | |
244,086 | Endo Luxembourg Finance Co. S.a r.l. 5.75%, 03/25/2028, 1 mo. USD LIBOR + 5.000% | 237,801 | |
249,062 | Gainwell Acquisition Corp. 4.75%, 10/01/2027, 1 mo. USD LIBOR + 4.000% | 248,828 | |
120,000 | HCRX Investments Holdco L.P. 0.00%, 07/14/2028, 1 mo. USD LIBOR + 2.250%(11) | 119,437 | |
204,487 | Horizon Therapeutics USA, Inc. 2.50%, 03/15/2028, 1 mo. USD LIBOR + 2.000% | 202,340 | |
1,440,000 | IQVIA, Inc. 1.84%, 03/07/2024, 1 mo. USD LIBOR + 1.750% | 1,433,880 | |
230,000 | Jazz Financing Lux S.a.r.l. 4.00%, 05/05/2028, 1 mo. USD LIBOR + 3.500% | 230,216 | |
265,000 | Organon & Co. 3.50%, 06/02/2028, 1 mo. USD LIBOR + 3.000% | 264,173 | |
4,798,672 | |||
Real Estate - 0.0% | |||
195,000 | Belron Finance U.S. LLC 2.44%, 11/13/2025, 1 mo. USD LIBOR + 2.250% | 192,806 | |
230,000 | VICI Properties LLC 1.84%, 12/20/2024, 1 mo. USD LIBOR + 1.750% | 227,438 | |
420,244 | |||
Retail - 0.6% | |||
135,000 | At Home Group, Inc. 0.00%, 06/24/2028, 1 mo. USD LIBOR + 4.250%(11) | 134,888 | |
2,386,294 | B.C. Unlimited Liability Co. 1.84%, 11/19/2026, 1 mo. USD LIBOR + 1.750% | 2,338,568 | |
301,010 | Beacon Roofing Supply, Inc. 2.59%, 05/19/2028, 1 mo. USD LIBOR + 2.500% | 298,265 |
71 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Retail - 0.6% - (continued) | |||
EUR 130,000 | Blitz GmbH 3.50%, 04/28/2028, 3 mo. EURIBOR + 3.500% | $ 152,902 | |
$ 144,760 | EG Group Ltd. 0.00%, 03/31/2026, 1 mo. USD LIBOR + 4.250%(11) | 144,670 | |
140,000 | Foundation Building Materials Holding Co. LLC 3.75%, 02/03/2028, 1 mo. USD LIBOR + 3.250% | 138,250 | |
290,655 | Harbor Freight Tools USA, Inc. 3.25%, 10/19/2027, 1 mo. USD LIBOR + 2.750% | 289,065 | |
126,407 | IRB Holding Corp. 3.75%, 02/05/2025, 1 mo. USD LIBOR + 2.750% | 125,660 | |
670,641 | KFC Holding Co. 1.84%, 03/15/2028, 1 mo. USD LIBOR + 1.750% | 670,044 | |
LBM Acquisition LLC | |||
159,316 | 0.00%, 12/17/2027, 1 mo. USD LIBOR + 3.750%(11) | 157,167 | |
66,667 | 0.00%, 12/17/2027, 1 mo. USD LIBOR + 3.750%(11)(12) | 65,722 | |
116,631 | 4.50%, 12/17/2027, 1 mo. USD LIBOR + 3.750% | 115,464 | |
199,000 | Les Schwab Tire Centers 4.00%, 11/02/2027, 1 mo. USD LIBOR + 3.250% | 198,503 | |
245,000 | Michaels Cos., Inc. 5.00%, 04/15/2028, 1 mo. USD LIBOR + 4.250% | 245,000 | |
184,537 | Petco Health and Wellness Co., Inc. 4.00%, 03/03/2028, 1 mo. USD LIBOR + 3.250% | 183,672 | |
270,000 | PetSmart, Inc. 4.50%, 02/12/2028, 1 mo. USD LIBOR + 3.750% | 269,730 | |
375,000 | SRS Distribution, Inc. 4.25%, 06/02/2028, 1 mo. USD LIBOR + 3.750% | 372,109 | |
224,758 | Staples, Inc. 5.18%, 04/16/2026, 3 mo. USD LIBOR + 5.000% | 217,735 | |
6,117,414 | |||
Software - 0.9% | |||
146,115 | CCC Information Services, Inc. 4.00%, 04/29/2024, 1 mo. USD LIBOR + 3.000% | 145,978 | |
206,334 | Change Healthcare Holdings LLC 3.50%, 03/01/2024, 1 mo. USD LIBOR + 2.500% | 205,925 | |
391,592 | DCert Buyer, Inc. 4.09%, 10/16/2026, 3 mo. USD LIBOR + 4.000% | 390,723 | |
118,787 | Epicor Software Corp. 4.00%, 07/30/2027, 1 mo. USD LIBOR + 3.250% | 118,363 | |
1,664,801 | Go Daddy Operating Co. LLC 1.84%, 02/15/2024, 1 mo. USD LIBOR + 1.750% | 1,644,824 | |
469,076 | Hyland Software, Inc. 4.25%, 07/01/2024, 1 mo. USD LIBOR + 3.500% | 468,879 | |
190,000 | Ingram Micro, Inc. 0.00%, 06/30/2028, 1 mo. USD LIBOR + 3.500%(11) | 190,000 | |
33,368 | MA Finance Co. LLC 2.84%, 06/21/2024, 3 mo. USD LIBOR + 2.750% | 32,839 | |
99,248 | Navicure, Inc. 4.09%, 10/22/2026, 1 mo. USD LIBOR + 4.000% | 98,814 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Software - 0.9% - (continued) | |||
$ 229,425 | Peraton Corp. 4.50%, 02/01/2028, 1 mo. USD LIBOR + 3.750% | $ 229,067 | |
325,000 | Polaris Newco LLC 4.50%, 06/02/2028, 1 mo. USD LIBOR + 4.000% | 324,594 | |
170,000 | Proofpoint, Inc. 0.00%, 06/09/2028, 1 mo. USD LIBOR + 3.250%(11) | 168,215 | |
285,000 | RealPage, Inc. 3.75%, 04/22/2028, 1 mo. USD LIBOR + 3.250% | 283,076 | |
225,333 | Seattle Spinco, Inc. 2.84%, 06/21/2024, 3 mo. USD LIBOR + 2.750% | 221,766 | |
370,000 | Signal Parent, Inc. 4.25%, 04/03/2028, 1 mo. USD LIBOR + 3.500% | 362,600 | |
403,219 | SS&C European Holdings S.a.r.l. 1.84%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 396,941 | |
2,052,646 | SS&C Technologies, Inc. 1.84%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 2,019,992 | |
Ultimate Software Group, Inc. | |||
196,994 | 3.84%, 05/04/2026, 3 mo. USD LIBOR + 3.750% | 196,785 | |
143,914 | 4.00%, 05/04/2026, 1 mo. USD LIBOR + 3.250% | 143,749 | |
1,466,325 | WEX, Inc. 2.34%, 03/31/2028, 1 mo. USD LIBOR + 2.250% | 1,449,008 | |
642,770 | Zelis Healthcare Corp. 3.60%, 09/30/2026, 1 mo. USD LIBOR + 3.500% | 638,913 | |
9,731,051 | |||
Telecommunications - 0.1% | |||
145,833 | Altice France S.A. 3.81%, 01/31/2026, 3 mo. USD LIBOR + 3.688% | 143,873 | |
206,850 | CenturyLink, Inc. 2.34%, 03/15/2027, 1 mo. USD LIBOR + 2.250% | 203,348 | |
144,638 | Frontier Communications Corp. 4.50%, 01/05/2028, 1 mo. USD LIBOR + 3.750% | 144,367 | |
EUR 270,000 | Lorca Finco plc 4.25%, 09/17/2027, 3 mo. EURIBOR + 4.250% | 320,431 | |
$ 170,000 | Telenet Financing USD LLC 2.09%, 04/30/2028, 6 mo. USD LIBOR + 2.000% | 166,789 | |
Zayo Group Holdings, Inc. | |||
376,980 | 3.09%, 03/09/2027, 1 mo. USD LIBOR + 3.000% | 370,587 | |
EUR 98,750 | 3.25%, 03/09/2027, 3 mo. EURIBOR + 3.250% | 115,524 | |
1,464,919 | |||
Textiles - 0.0% | |||
$ 243,750 | ASP Unifrax Holdings, Inc. 3.90%, 12/12/2025, 3 mo. USD LIBOR + 3.750% | 238,614 | |
Transportation - 0.1% | |||
199,500 | CP Atlas Buyer, Inc. 4.25%, 11/23/2027, 1 mo. USD LIBOR + 3.750% | 198,483 |
72 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 6.0%(10) - (continued) | |||
Transportation - 0.1% - (continued) | |||
$ 260,000 | First Student Bidco, Inc. 0.00%, 07/21/2028, 1 mo. USD LIBOR + 3.000%(11) | 258,008 | |
109,725 | PODS LLC 3.75%, 03/31/2028, 1 mo. USD LIBOR + 3.000% | $ 109,091 | |
388,628 | Savage Enterprises LLC 3.10%, 08/01/2025, 1 mo. USD LIBOR + 3.000% | 387,241 | |
952,823 | |||
Total Senior Floating Rate Interests (cost $63,825,809) | $ 63,553,008 | ||
U.S. GOVERNMENT AGENCIES - 39.6% | |||
Mortgage-Backed Agencies - 39.6% | |||
FHLMC - 2.3% | |||
3,115,350 | 0.48%, 01/25/2034(2)(5) | $ 154,307 | |
1,580,465 | 0.64%, 10/25/2026(2)(5) | 45,982 | |
6,585,460 | 0.72%, 12/25/2030(2)(5) | 399,585 | |
3,353,000 | 0.75%, 06/25/2027(2)(5) | 133,045 | |
92,049 | 0.84%, 03/25/2030, 1 mo. USD LIBOR + 0.750%(3) | 92,049 | |
1,478,726 | 0.88%, 11/25/2030(2)(5) | 106,200 | |
2,612,141 | 1.03%, 10/25/2030(2)(5) | 212,980 | |
4,279,103 | 1.12%, 06/25/2030(2)(5) | 378,295 | |
3,482,938 | 1.13%, 02/25/2052(2)(5) | 292,256 | |
31,948 | 1.29%, 10/25/2029, 1 mo. USD LIBOR + 1.200%(3) | 31,969 | |
3,327,342 | 1.43%, 05/25/2030(2)(5) | 373,355 | |
2,081,456 | 1.57%, 05/25/2030(2)(5) | 253,062 | |
378,879 | 1.75%, 10/15/2042 | 389,133 | |
496,355 | 1.89%, 07/25/2030, 1 mo. USD LIBOR + 1.800%(3) | 499,142 | |
460,997 | 1.94%, 09/25/2049, 1 mo. USD LIBOR + 1.850%(1)(3) | 462,499 | |
614,849 | 2.14%, 07/25/2049, 1 mo. USD LIBOR + 2.050%(1)(3) | 621,144 | |
1,140,174 | 2.44%, 02/25/2049, 1 mo. USD LIBOR + 2.350%(1)(3) | 1,148,413 | |
181,141 | 2.54%, 03/25/2049, 1 mo. USD LIBOR + 2.450%(1)(3) | 183,649 | |
2,252,591 | 3.00%, 10/01/2032 | 2,383,631 | |
6,143 | 3.00%, 05/15/2041 | 6,572 | |
136,569 | 3.00%, 07/01/2047 | 144,320 | |
211,371 | 3.00%, 01/01/2048 | 222,092 | |
1,474,535 | 3.00%, 08/01/2050 | 1,547,315 | |
1,002,589 | 3.50%, 05/15/2034(5) | 88,888 | |
1,262,231 | 3.50%, 10/15/2042 | 1,326,919 | |
1,073,848 | 3.50%, 12/01/2046 | 1,149,865 | |
740,724 | 3.50%, 01/01/2047 | 801,109 | |
232,703 | 3.50%, 03/15/2047 | 253,929 | |
211,123 | 3.50%, 06/01/2047 | 224,925 | |
233,820 | 3.50%, 12/01/2047 | 253,284 | |
280,262 | 3.50%, 01/01/2048 | 298,544 | |
442,512 | 3.50%, 12/01/2048 | 470,376 | |
1,791,628 | 3.50%, 07/01/2051 | 1,911,313 | |
621,976 | 4.00%, 05/01/2038 | 668,272 | |
700,562 | 4.00%, 05/25/2040(5) | 84,131 | |
15,422 | 4.00%, 01/01/2042 | 16,926 | |
220,769 | 4.00%, 03/01/2042 | 243,555 | |
6,889 | 4.00%, 04/01/2042 | 7,562 | |
25,989 | 4.00%, 06/01/2042 | 28,637 | |
375,038 | 4.00%, 11/01/2047 | 403,482 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 39.6% - (continued) | |||
Mortgage-Backed Agencies - 39.6% - (continued) | |||
FHLMC - 2.3% - (continued) | |||
$ 687,829 | 4.00%, 12/01/2047 | $ 750,936 | |
730,821 | 4.34%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(3) | 749,937 | |
598,468 | 5.00%, 09/01/2031 | 656,571 | |
300,642 | 5.00%, 07/01/2035 | 342,175 | |
152,644 | 5.00%, 09/01/2035 | 173,791 | |
16,964 | 5.00%, 10/01/2035 | 19,301 | |
16,251 | 5.00%, 11/01/2035 | 18,501 | |
127,378 | 5.00%, 12/01/2035 | 144,945 | |
7,278 | 5.00%, 06/01/2036 | 8,279 | |
490,780 | 5.00%, 09/15/2036(5) | 87,614 | |
144,677 | 5.00%, 11/01/2036 | 164,511 | |
112,013 | 5.00%, 12/01/2036 | 127,431 | |
124,617 | 5.00%, 02/01/2037 | 141,487 | |
66,024 | 5.00%, 02/01/2038 | 75,111 | |
95,658 | 5.00%, 02/01/2039 | 108,818 | |
225,963 | 5.00%, 02/15/2048(5) | 44,254 | |
103,946 | 5.00%, 09/01/2048 | 114,081 | |
68,718 | 5.00%, 10/01/2048 | 75,131 | |
70,562 | 5.00%, 12/01/2048 | 77,465 | |
56,402 | 5.00%, 02/01/2049 | 61,679 | |
441,045 | 5.24%, 11/25/2028, 1 mo. USD LIBOR + 5.150%(3) | 456,766 | |
16,623 | 5.50%, 02/01/2029 | 18,546 | |
16,910 | 5.50%, 03/01/2035 | 19,627 | |
18,206 | 5.50%, 12/01/2038 | 20,315 | |
675,365 | 5.50%, 05/15/2040(5) | 156,134 | |
616,393 | 5.50%, 06/15/2046(5) | 123,231 | |
569,424 | 5.50%, 10/15/2046(5) | 117,673 | |
724,053 | 5.50%, 02/01/2049 | 808,205 | |
100,652 | 5.50%, 03/01/2049 | 112,353 | |
582,894 | 5.64%, 07/25/2028, 1 mo. USD LIBOR + 5.550%(3) | 609,984 | |
24,697,564 | |||
FNMA - 4.1% | |||
243,848 | 0.00%, 06/25/2041(13)(14) | 229,995 | |
2,621,549 | 0.33%, 01/25/2030(2)(5) | 56,277 | |
6,803,071 | 1.21%, 06/25/2034(2)(5) | 681,688 | |
3,333,809 | 1.44%, 05/25/2029(2)(5) | 324,784 | |
4,669 | 2.00%, 09/25/2041 | 4,816 | |
8,123 | 2.00%, 12/25/2041 | 8,403 | |
560,234 | 2.00%, 03/25/2044 | 577,485 | |
573,455 | 2.00%, 05/25/2044 | 592,930 | |
7,469 | 2.50%, 12/25/2041 | 7,711 | |
12,621 | 2.50%, 03/25/2046 | 13,275 | |
370,000 | 2.88%, 11/01/2027 | 407,883 | |
1,441,870 | 3.00%, 04/25/2033(5) | 102,111 | |
333,766 | 3.00%, 08/01/2033 | 352,988 | |
582,919 | 3.00%, 08/25/2042 | 625,909 | |
791,462 | 3.00%, 11/25/2042 | 835,877 | |
11,785 | 3.00%, 02/25/2043 | 12,252 | |
106,592 | 3.00%, 01/25/2046 | 115,340 | |
1,527,580 | 3.00%, 02/25/2047 | 1,612,045 | |
93,675 | 3.00%, 05/25/2047 | 96,697 | |
667,819 | 3.00%, 08/25/2049 | 703,185 | |
2,018,072 | 3.00%, 07/01/2051 | 2,122,514 | |
37,917 | 3.00%, 12/25/2054 | 39,740 | |
345,000 | 3.16%, 08/01/2027 | 384,653 | |
887,912 | 3.50%, 08/25/2033(5) | 95,065 | |
744,557 | 3.50%, 04/25/2034(5) | 44,411 | |
1,810,825 | 3.50%, 05/01/2037 | 1,945,530 | |
1,158,166 | 3.50%, 11/25/2039(5) | 123,416 |
73 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 39.6% - (continued) | |||
Mortgage-Backed Agencies - 39.6% - (continued) | |||
FNMA - 4.1% - (continued) | |||
$ 6,243 | 3.50%, 05/25/2042 | $ 6,735 | |
258,354 | 3.50%, 07/25/2044 | 269,036 | |
345,818 | 3.50%, 12/01/2045 | 372,149 | |
330,056 | 3.50%, 01/01/2046 | 354,544 | |
251,234 | 3.50%, 03/01/2046 | 270,138 | |
1,149,583 | 3.50%, 12/01/2046 | 1,249,207 | |
461,494 | 3.50%, 05/01/2047 | 495,536 | |
686,218 | 3.50%, 09/01/2047 | 730,080 | |
546,147 | 3.50%, 01/01/2048 | 578,474 | |
492,937 | 3.50%, 02/01/2048 | 524,969 | |
67,791 | 3.50%, 02/25/2048 | 71,114 | |
102,476 | 3.50%, 06/01/2048 | 108,667 | |
673,611 | 3.50%, 07/01/2048 | 722,826 | |
146,454 | 3.50%, 11/01/2048 | 155,156 | |
425,493 | 3.50%, 03/25/2049 | 459,250 | |
957,291 | 3.50%, 04/25/2049 | 1,045,912 | |
1,874,406 | 3.50%, 01/01/2050 | 1,991,789 | |
1,000,728 | 3.50%, 05/25/2053 | 1,057,336 | |
460,486 | 3.50%, 07/25/2054 | 481,454 | |
1,030,332 | 3.50%, 05/01/2056 | 1,124,283 | |
468,469 | 3.50%, 05/25/2056 | 491,636 | |
973,250 | 3.50%, 11/25/2057 | 1,047,840 | |
1,605,724 | 3.50%, 05/01/2058 | 1,743,089 | |
97,164 | 4.00%, 08/01/2038 | 105,022 | |
3,567 | 4.00%, 11/01/2040 | 3,916 | |
50,927 | 4.00%, 02/01/2041 | 56,117 | |
607,358 | 4.00%, 06/01/2041 | 663,064 | |
7,524 | 4.00%, 09/01/2041 | 8,299 | |
11,075 | 4.00%, 10/01/2041 | 12,098 | |
257,881 | 4.00%, 01/01/2042 | 283,086 | |
306,371 | 4.00%, 02/01/2042 | 337,765 | |
84,926 | 4.00%, 05/01/2042 | 93,087 | |
3,547 | 4.00%, 09/01/2042 | 3,983 | |
1,505,786 | 4.00%, 01/01/2043 | 1,660,765 | |
28,818 | 4.00%, 10/01/2043 | 31,577 | |
899,542 | 4.00%, 10/01/2047 | 968,790 | |
483,685 | 4.00%, 11/01/2047 | 520,011 | |
796,378 | 4.00%, 01/01/2049 | 851,530 | |
1,163,764 | 4.00%, 09/01/2049 | 1,245,087 | |
809,976 | 4.50%, 04/01/2048 | 879,821 | |
577,439 | 4.50%, 09/25/2048(5) | 84,555 | |
375,597 | 4.50%, 04/01/2049 | 405,072 | |
1,248,233 | 4.50%, 01/01/2051 | 1,393,278 | |
16,915 | 5.00%, 02/01/2036 | 19,254 | |
6,372 | 5.00%, 03/01/2036 | 7,251 | |
488,199 | 5.00%, 06/25/2048(5) | 86,309 | |
551,564 | 5.50%, 08/25/2038(5) | 109,736 | |
524,087 | 5.50%, 04/25/2044(5) | 94,599 | |
402,632 | 6.50%, 03/25/2045(5) | 100,467 | |
3,035,000 | 4.50%, 08/19/2051(15) | 3,225,634 | |
2,065,000 | 5.00%, 08/19/2051(15) | 2,218,262 | |
42,936,635 | |||
GNMA - 8.9% | |||
185,785 | 1.75%, 09/20/2043 | 189,585 | |
341,849 | 2.00%, 01/20/2042 | 349,437 | |
219,366 | 2.00%, 06/16/2042 | 226,813 | |
8,130,000 | 2.00%, 08/19/2051(15) | 8,325,628 | |
133,195 | 2.50%, 05/20/2040 | 136,735 | |
2,083,112 | 2.50%, 05/20/2051 | 2,165,705 | |
13,357,235 | 2.50%, 06/20/2051 | 13,885,608 | |
11,200,000 | 2.50%, 08/19/2051(15) | 11,641,437 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 39.6% - (continued) | |||
Mortgage-Backed Agencies - 39.6% - (continued) | |||
GNMA - 8.9% - (continued) | |||
$ 898,828 | 3.00%, 02/20/2047 | $ 955,355 | |
239,101 | 3.00%, 10/20/2047 | 247,937 | |
31,764,000 | 3.00%, 08/19/2051(15) | 33,235,566 | |
393,838 | 3.50%, 11/20/2042 | 421,263 | |
915,078 | 3.50%, 06/20/2046 | 974,070 | |
199,994 | 3.50%, 07/20/2046 | 212,944 | |
208,086 | 3.50%, 10/20/2046 | 221,954 | |
905,640 | 3.50%, 02/20/2047 | 964,170 | |
248,974 | 3.50%, 05/20/2047 | 264,276 | |
260,112 | 3.50%, 07/20/2047 | 275,684 | |
194,984 | 3.50%, 11/20/2047 | 206,804 | |
240,858 | 3.50%, 03/20/2048 | 255,260 | |
10,783,000 | 3.50%, 08/19/2051(15) | 11,323,414 | |
539,930 | 3.88%, 08/15/2042 | 600,136 | |
530,929 | 4.00%, 09/20/2042(5) | 66,966 | |
339,616 | 4.00%, 12/20/2044(5) | 55,164 | |
830,597 | 4.00%, 08/20/2045 | 906,013 | |
132,539 | 4.00%, 09/20/2047 | 141,856 | |
37,838 | 4.00%, 04/20/2048 | 40,292 | |
1,914,447 | 4.00%, 07/20/2048 | 2,035,784 | |
495,596 | 4.00%, 06/20/2049 | 528,317 | |
1,739,000 | 4.00%, 08/19/2051(15) | 1,838,925 | |
1,080,501 | 4.50%, 06/16/2043(5) | 208,010 | |
525,305 | 4.50%, 05/20/2045(5) | 92,600 | |
775,243 | 4.50%, 08/20/2045(5) | 145,622 | |
862,375 | 4.50%, 12/16/2046(5) | 137,774 | |
561,947 | 4.50%, 05/20/2048(5) | 82,607 | |
380,561 | 4.50%, 06/20/2048(5) | 69,973 | |
444,349 | 5.00%, 12/20/2043(5) | 96,446 | |
1,248,572 | 5.00%, 07/16/2044(5) | 190,095 | |
429,543 | 5.00%, 11/16/2046(5) | 75,463 | |
410,638 | 5.00%, 06/16/2047(5) | 69,384 | |
516,553 | 5.00%, 11/16/2047(5) | 90,977 | |
373,040 | 5.50%, 02/20/2044(5) | 60,286 | |
296,894 | 5.50%, 09/15/2045 | 349,359 | |
404,974 | 5.50%, 09/20/2045(5) | 86,895 | |
94,448,589 | |||
UMBS - 24.3% | |||
3,540,000 | 1.50%, 08/17/2036(15) | 3,606,652 | |
1,210,000 | 1.50%, 08/12/2051(15) | 1,197,096 | |
20,000 | 2.00%, 08/17/2036(15) | 20,752 | |
72,188,000 | 2.00%, 08/12/2051(15) | 73,589,462 | |
65,910,000 | 2.00%, 09/14/2051(15) | 67,045,403 | |
3,725,000 | 2.50%, 08/17/2036(15) | 3,902,398 | |
19,750,000 | 2.50%, 08/12/2051(15) | 20,562,373 | |
19,745,000 | 2.50%, 09/14/2051(15) | 20,513,975 | |
2,981,000 | 3.00%, 08/17/2036(15) | 3,136,222 | |
14,986,000 | 3.00%, 08/12/2051(15) | 15,706,030 | |
18,010,000 | 3.00%, 09/14/2051(15) | 18,835,927 | |
5,506,000 | 3.50%, 08/12/2051(15) | 5,835,285 | |
5,505,000 | 3.50%, 09/14/2051(15) | 5,821,968 | |
7,290,000 | 4.00%, 08/12/2051(15) | 7,788,909 | |
9,155,000 | 4.50%, 08/12/2051(15) | 9,864,863 | |
257,427,315 | |||
Total U.S. Government Agencies (cost $417,072,366) | $ 419,510,103 | ||
U.S. GOVERNMENT SECURITIES - 22.5% | |||
U.S. Treasury Securities - 22.5% | |||
U.S. Treasury Bonds - 12.8% | |||
4,403,816 | 0.88%, 02/15/2047(16) | $ 5,875,367 |
74 |
July 31, 2021
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT SECURITIES - 22.5% - (continued) | |||
U.S. Treasury Securities - 22.5% - (continued) | |||
U.S. Treasury Bonds - 12.8% - (continued) | |||
$ 551,137 | 1.00%, 02/15/2048(16) | $ 762,262 | |
4,420,000 | 1.25%, 05/15/2050 | 3,760,971 | |
6,780,000 | 1.38%, 11/15/2040 | 6,295,866 | |
4,060,000 | 1.88%, 02/15/2051 | 4,026,378 | |
14,775,000 | 2.25%, 05/15/2041 | 15,850,805 | |
1,695,000 | 2.25%, 08/15/2049 | 1,821,926 | |
2,980,000 | 2.38%, 05/15/2051 | 3,304,541 | |
3,145,000 | 2.88%, 08/15/2045 | 3,756,432 | |
2,525,000 | 3.00%, 11/15/2045 | 3,084,347 | |
11,845,000 | 3.00%, 02/15/2047 | 14,549,917 | |
1,395,000 | 3.00%, 02/15/2048 | 1,720,373 | |
2,645,000 | 3.13%, 08/15/2044 | 3,274,324 | |
1,390,000 | 3.13%, 05/15/2048 | 1,753,463 | |
6,010,000 | 3.38%, 05/15/2044 | 7,724,728 | |
7,574,900 | 3.63%, 08/15/2043 | 10,040,293 | |
23,825,000 | 3.63%, 02/15/2044(17)(18) | 31,714,239 | |
7,640,000 | 3.75%, 11/15/2043 | 10,329,220 | |
5,075,000 | 6.50%, 11/15/2026 | 6,589,769 | |
136,235,221 | |||
U.S. Treasury Notes - 9.7% | |||
7,670,245 | 0.13%, 07/15/2031(16) | 8,713,318 | |
1,700,000 | 0.25%, 05/15/2024 | 1,696,812 | |
1,916,286 | 0.38%, 01/15/2027(16) | 2,163,033 | |
3,000,000 | 0.38%, 09/30/2027 | 2,907,305 | |
3,000,000 | 0.63%, 11/30/2027 | 2,945,625 | |
22,330,000 | 0.63%, 05/15/2030 | 21,300,726 | |
17,405,000 | 0.63%, 08/15/2030 | 16,553,787 | |
530,709 | 0.75%, 07/15/2028(16) | 623,874 | |
1,801,253 | 0.88%, 01/15/2029(16) | 2,138,331 | |
16,285,000 | 0.88%, 11/15/2030 | 15,804,083 | |
652,401 | 1.00%, 02/15/2049(16) | 911,595 | |
930,100 | 1.25%, 05/31/2028 | 946,377 | |
24,785,000 | 1.63%, 05/15/2031 | 25,664,093 | |
102,368,959 | |||
Total U.S. Government Securities (cost $229,545,357) | $ 238,604,180 | ||
COMMON STOCKS - 0.0% | |||
Energy - 0.0% | |||
934 | Foresight Energy LLC | $ 8,407 | |
Total Common Stocks (cost $8,444) | $ 8,407 | ||
Total Long-Term Investments (Cost $1,346,421,182) | $ 1,378,722,895 | ||
SHORT-TERM INVESTMENTS - 1.3% | |||
Repurchase Agreements - 1.1% | |||
12,309,975 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/30/2021 at 0.020%, due on 08/02/2021 with a maturity value of $12,309,996; collateralized by U.S. Treasury Bond at 1.875%, maturing 02/15/2041, with a market value of $12,556,192 | $ 12,309,975 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 1.3% - (continued) | |||
Securities Lending Collateral - 0.2% | |||
419,538 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(19) | $ 419,538 | |
1,170,804 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.03%(19) | 1,170,804 | |
140,505 | Invesco Government & Agency Portfolio, Institutional Class, 0.03%(19) | 140,505 | |
1,730,847 | |||
Total Short-Term Investments (cost $14,040,822) | $ 14,040,822 | ||
Total Investments Excluding Purchased Options (cost $1,360,462,004) | 131.4% | $ 1,392,763,717 | |
Total Purchased Options (cost $845,986) | 0.0% | $ 173,205 | |
Total Investments (cost $1,361,307,990) | 131.4% | $ 1,392,936,922 | |
Other Assets and Liabilities | (31.4)% | (332,965,765) | |
Total Net Assets | 100.0% | $ 1,059,971,157 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. | |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. | |
See “Glossary” for abbreviation descriptions. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $292,447,757, representing 27.6% of net assets. |
(2) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(3) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2021. Base lending rates may be subject to a floor or cap. |
(4) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $11,216,347 at July 31, 2021. |
(5) | Securities disclosed are interest-only strips. |
(6) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
75 |
July 31, 2021
(7) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2021, the aggregate value of these securities was $23,407,142, representing 2.2% of net assets. |
(8) | Represents entire or partial securities on loan. |
(9) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2021. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(10) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the LIBOR, and secondarily the prime rate offered by one or more major United States banks (the "Prime Rate") and the certificate of deposit rate or other base lending rates used by commercial lenders. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of July 31, 2021. |
(11) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
(12) | This security, or a portion of this security, has unfunded loan commitments. As of July 31, 2021, the aggregate value of the unfunded commitment was $180,606, which rounds to 0.0% of total net assets. |
(13) | Security disclosed is principal-only strips. |
(14) | Security is a zero-coupon bond. |
(15) | Represents or includes a TBA transaction. |
(16) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(17) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of July 31, 2021, the market value of securities pledged was $4,259,625. |
(18) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of July 31, 2021, the market value of securities pledged was $4,525,852. |
(19) | Current yield as of period end. |
OTC Swaptions Outstanding at July 31, 2021 | |||||||||||||||||
Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased swaptions: | |||||||||||||||||
Put | |||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | BOA | 2.20% | Receive | 03/14/2022 | USD | 48,760,000 | $ 173,205 | $ 845,986 | $ (672,781) | ||||||||
Written swaptions: | |||||||||||||||||
Put | |||||||||||||||||
3 Month USD-LIBOR-BBA-Interest Rate Swap Expiring 03/14/22* | BOA | 1.50% | Receive | 03/14/2022 | USD | (48,760,000) | $ (150,146) | $ (487,600) | $ 337,454 |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at July 31, 2021 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Euro-OAT Future | 92 | 09/08/2021 | $ 17,681,881 | $ 397,061 | ||||
U.S. Treasury 2-Year Note Future | 238 | 09/30/2021 | 52,516,187 | 19,510 | ||||
U.S. Treasury Ultra Bond Future | 94 | 09/21/2021 | 18,755,938 | 350,821 | ||||
Total | $ 767,392 | |||||||
Short position contracts: | ||||||||
Australian 10-Year Bond Future | 109 | 09/15/2021 | $ 11,649,320 | $ (340,333) | ||||
Euro-BTP Future | 96 | 09/08/2021 | 17,562,732 | (442,373) | ||||
Euro-BUND Future | 200 | 09/08/2021 | 41,875,318 | (1,005,662) | ||||
Euro-BUXL 30-Year Bond Future | 45 | 09/08/2021 | 11,474,743 | (428,927) | ||||
Long Gilt Future | 84 | 09/28/2021 | 15,158,104 | (291,624) | ||||
U.S. Treasury 5-Year Note Future | 621 | 09/30/2021 | 77,280,539 | (320,861) | ||||
U.S. Treasury 10-Year Note Future | 176 | 09/21/2021 | 23,663,750 | (80,196) |
76 |
July 31, 2021
Futures Contracts Outstanding at July 31, 2021 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts – (continued): | ||||||||
U.S. Treasury 10-Year Ultra Future | 483 | 09/21/2021 | $ 72,570,750 | $ (1,995,648) | ||||
U.S. Treasury Long Bond Future | 257 | 09/21/2021 | 42,332,719 | (2,119,715) | ||||
Total | $ (7,025,339) | |||||||
Total futures contracts | $ (6,257,947) |
TBA Sale Commitments Outstanding at July 31, 2021 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
GNMA, 4.00% | $ 2,650,000 | 08/19/2051 | $ (2,802,272) | $ (1,553) | ||||
UMBS, 1.50% | 4,100,000 | 08/17/2036 | (4,177,195) | (25,304) | ||||
Total TBA sale commitments (proceeds receivable $6,952,609) | $ (6,979,467) | $ (26,857) | ||||||
At July 31, 2021, the aggregate market value of TBA Sale Commitments represents (0.7%) of total net assets. |
OTC Credit Default Swap Contracts Outstanding at July 31, 2021 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on indices: | |||||||||||||||||||
Sell protection: | |||||||||||||||||||
CMBX.NA.BB.8 | GSC | USD | 1,312,797 | 5.00% | 10/17/2057 | Monthly | $ — | $ (229,801) | $ (463,673) | $ (233,872) | |||||||||
CMBX.NA.BBB.6 | DEUT | USD | 175,000 | 3.00% | 05/11/2063 | Monthly | — | (23,604) | (46,164) | (22,560) | |||||||||
CMBX.NA.BBB.6 | MLI | USD | 1,035,000 | 3.00% | 05/11/2063 | Monthly | — | (62,359) | (273,024) | (210,665) | |||||||||
CMBX.NA.BBB.6 | MSC | USD | 2,775,000 | 3.00% | 05/11/2063 | Monthly | — | (360,822) | (732,253) | (371,431) | |||||||||
Total OTC credit default swap contracts | $ — | $ (676,586) | $ (1,515,114) | $ (838,528) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Credit Default Swap Contracts Outstanding at July 31, 2021 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value † | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Buy protection: | |||||||||||||||
CDX.NA.HY.36.V1 | USD | 6,330,000 | (5.00%) | 06/20/2026 | Quarterly | $ (618,792) | $ (624,836) | $ (6,044) | |||||||
Sell protection: | |||||||||||||||
CDX.EM.35.V1 | USD | 6,805,000 | 1.00% | 06/20/2026 | Quarterly | $ (234,632) | $ (194,875) | $ 39,757 | |||||||
CDX.NA.IG.36.V1 | USD | 1,565,000 | 1.00% | 06/20/2026 | Quarterly | 32,231 | 39,811 | 7,580 | |||||||
Total | $ (202,401) | $ (155,064) | $ 47,337 |
77 |
July 31, 2021
Centrally Cleared Credit Default Swap Contracts Outstanding at July 31, 2021 – (continued) | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value † | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on single-name issues: | |||||||||||||||
Sell protection: | |||||||||||||||
Indonesia Republic (BBB) | USD | 2,420,000 | 1.00% | 06/20/2026 | Quarterly | $ 12,190 | $ 24,396 | $ 12,206 | |||||||
Panama Republic (BBB) | USD | 985,000 | 1.00% | 06/20/2026 | Quarterly | 7,316 | 13,831 | 6,515 | |||||||
Republic of Brazil (BB-) | USD | 820,000 | 1.00% | 06/20/2026 | Quarterly | (24,877) | (27,865) | (2,988) | |||||||
Russian Federation (BBB-) | USD | 790,000 | 1.00% | 06/20/2026 | Quarterly | 1,873 | 5,595 | 3,722 | |||||||
United Mexican States (BBB) | USD | 890,000 | 1.00% | 06/20/2026 | Quarterly | 879 | 2,712 | 1,833 | |||||||
Total | $ (2,619) | $ 18,669 | $ 21,288 | ||||||||||||
Total centrally cleared credit default swap contracts | $ (823,812) | $ (761,231) | $ 62,581 |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Foreign Currency Contracts Outstanding at July 31, 2021 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ Depreciation | ||||||
1,490,000 | AUD | 1,101,455 | USD | SCB | 09/15/2021 | $ (5,970) | ||||
1,186,637 | USD | 1,529,000 | AUD | MSC | 09/15/2021 | 62,478 | ||||
2,166,546 | USD | 11,060,000 | BRL | GSC | 09/15/2021 | 31,174 | ||||
3,555,183 | USD | 3,012,000 | EUR | BNP | 08/31/2021 | (18,583) | ||||
24,367,030 | USD | 20,005,000 | EUR | CBK | 09/15/2021 | 623,411 | ||||
1,009,747 | USD | 828,000 | EUR | JPM | 09/15/2021 | 27,007 | ||||
916,122 | USD | 751,000 | EUR | MSC | 09/15/2021 | 24,772 | ||||
727,561 | USD | 616,000 | EUR | SSG | 09/15/2021 | (3,560) | ||||
2,593,756 | USD | 2,195,000 | EUR | BCLY | 09/15/2021 | (11,455) | ||||
2,617,710 | USD | 2,216,000 | EUR | WEST | 09/15/2021 | (12,426) | ||||
4,726,597 | USD | 94,410,000 | MXN | BCLY | 09/15/2021 | 2,235 | ||||
1,972,371 | USD | 145,630,000 | RUB | GSC | 09/15/2021 | (2,916) | ||||
Total foreign currency contracts | $ 716,167 |
78 |
July 31, 2021
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 226,242,881 | $ — | $ 226,242,881 | $ — | ||||
Corporate Bonds | 345,302,498 | — | 345,302,498 | — | ||||
Foreign Government Obligations | 68,897,969 | — | 68,897,969 | — | ||||
Municipal Bonds | 16,603,849 | — | 16,603,849 | — | ||||
Senior Floating Rate Interests | 63,553,008 | — | 63,553,008 | — | ||||
U.S. Government Agencies | 419,510,103 | — | 419,510,103 | — | ||||
U.S. Government Securities | 238,604,180 | — | 238,604,180 | — | ||||
Common Stocks | ||||||||
Energy | 8,407 | 8,407 | — | — | ||||
Short-Term Investments | 14,040,822 | 1,730,847 | 12,309,975 | — | ||||
Purchased Options | 173,205 | — | 173,205 | — | ||||
Foreign Currency Contracts(2) | 771,077 | — | 771,077 | — | ||||
Futures Contracts(2) | 767,392 | 767,392 | — | — | ||||
Swaps - Credit Default(2) | 71,613 | — | 71,613 | — | ||||
Total | $ 1,394,547,004 | $ 2,506,646 | $ 1,392,040,358 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (54,910) | $ — | $ (54,910) | $ — | ||||
Futures Contracts(2) | (7,025,339) | (7,025,339) | — | — | ||||
Swaps - Credit Default(2) | (847,560) | — | (847,560) | — | ||||
TBA Sale Commitments | (6,979,467) | — | (6,979,467) | — | ||||
Written Options | (150,146) | — | (150,146) | — | ||||
Total | $ (15,057,422) | $ (7,025,339) | $ (8,032,083) | $ — |
(1) | For the year ended July 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
79 |
Counterparty Abbreviations: | |
BCLY | Barclays |
BNP | BNP Paribas Securities Services |
BOA | Bank of America Securities LLC |
CBK | Citibank NA |
HSBC | HSBC Bank USA |
RBS | RBS Greenwich Capital |
UBS | UBS AG |
WEST | Westpac International |
GSC | Goldman Sachs & Co. |
DEUT | Deutsche Bank Securities, Inc. |
MLI | Merrill Lynch International |
MSC | Morgan Stanley |
SSG | State Street Global Markets LLC |
SCB | Standard Chartered Bank |
JPM | JP Morgan Chase & Co. |
Currency Abbreviations: | |
BRL | Brazil Real |
EUR | Euro Member Countries |
MXN | Mexican Peso |
RUB | Russia Ruble |
USD | United States Dollar |
Index Abbreviations: | |
CMT | Constant Maturity Treasury Index |
CMBX.NA | Markit Commercial Mortgage-Backed North American |
CDX.EM | Credit Derivatives Emerging Markets |
CDX.NA.IG | Credit Derivatives North American Investment Grade |
Municipal Abbreviations: | |
Auth | Authority |
Dev | Development |
Dist | District |
Facs | Facilities |
GO | General Obligation |
PA | Port Authority |
Redev | Redevelpoment |
Rev | Revenue |
VA | Veterans Administration |
Other Abbreviations: | |
AGC | Assured Guarantee Corp. |
AGM | Assured Guaranty Municipal |
AMBAC | American Municipal Bond Assurance Co. |
BAM | Build America Mutual Assurance Corp. |
CD | Certificate of Deposit |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CR | Custodial Receipts |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MSCI | Morgan Stanley Capital International |
NATL | National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
SCP | State Credit Enhancement Program |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS | Uniform Mortgage-Backed Securities |
80 |
July 31, 2021
Hartford Core Bond ETF | Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||
Assets: | |||||||||
Investments in securities, at market value(1) | $ 336,535,313 | $ 193,505,357 | $ 107,417,157 | $ 126,300,013 | $ 1,380,626,947 | ||||
Repurchase agreements | 17,134,185 | 6,847,464 | — | 4,996,763 | 12,309,975 | ||||
Cash | 4,406,702 | 3,836,648 | — | 2,209,093 | 6,174,694 | ||||
Cash collateral held for securities on loan | 12,968 | — | — | — | 91,097 | ||||
Foreign currency | — | — | — | 283,438 | 489,523 | ||||
Unrealized appreciation on foreign currency contracts | — | — | — | 2,419 | 771,077 | ||||
Receivables: | |||||||||
Investment securities sold | 27,115,477 | — | 1,043,787 | 429,686 | 203,071,577 | ||||
Fund shares sold | — | — | — | — | 10,290,976 | ||||
Dividends and interest | 1,173,784 | 1,348,449 | 618,442 | 560,966 | 6,124,995 | ||||
Securities lending income | — | — | — | — | 1,401 | ||||
Variation margin on futures contracts | — | — | 80,522 | 68,833 | — | ||||
Variation margin on centrally cleared swap contracts | — | — | — | — | 556 | ||||
Tax reclaims | — | — | 961 | 1,727 | — | ||||
Total assets | 386,378,429 | 205,537,918 | 109,160,869 | 134,852,938 | 1,619,952,818 | ||||
Liabilities: | |||||||||
Unrealized depreciation on foreign currency contracts | — | — | — | 16,692 | 54,910 | ||||
Obligation to return securities lending collateral | 259,360 | — | — | — | 1,821,944 | ||||
Unrealized depreciation on OTC swap contracts | — | — | — | — | 838,528 | ||||
Cash collateral due to broker on TBA sale commitments | — | — | — | — | 310,000 | ||||
TBA sale commitments, at market value | — | — | — | — | 6,979,467 | ||||
Unfunded loan commitments | — | — | — | 28,875 | 84,825 | ||||
Payables: | |||||||||
Investment securities purchased | 120,237,047 | 4,197,245 | 3,324,884 | 5,344,279 | 546,508,026 | ||||
Investment management fees | 52,709 | 48,796 | 34,623 | 30,618 | 253,069 | ||||
Variation margin on futures contracts | 117,703 | — | — | — | 411,269 | ||||
Variation margin on centrally cleared swap contrats | 4,719 | — | — | — | — | ||||
Distributions payable | 182,291 | 249,304 | 93,663 | 191,092 | 1,892,891 | ||||
Written options | 21,987 | — | — | — | 150,146 | ||||
OTC swap contracts premiums received | — | — | — | — | 676,586 | ||||
Total liabilities | 120,875,816 | 4,495,345 | 3,453,170 | 5,611,556 | 559,981,661 | ||||
Net assets | $ 265,502,613 | $ 201,042,573 | $ 105,707,699 | $ 129,241,382 | $ 1,059,971,157 | ||||
Summary of Net Assets: | |||||||||
Paid-in-capital | $ 265,137,217 | $ 192,739,171 | $ 102,049,501 | $ 127,649,430 | $ 1,025,926,936 | ||||
Distributable earnings (loss) | 365,396 | 8,303,402 | 3,658,198 | 1,591,952 | 34,044,221 | ||||
Net assets | 265,502,613 | 201,042,573 | 105,707,699 | 129,241,382 | 1,059,971,157 | ||||
Net asset value per share | 41.48 | 42.32 | 21.80 | 41.03 | 41.16 | ||||
Shares issued and outstanding | 6,400,000 | 4,750,000 | 4,850,000 | 3,150,000 | 25,750,000 | ||||
Cost of investments | $ 352,934,282 | $ 191,883,018 | $ 104,761,162 | $ 129,806,957 | $ 1,361,307,990 | ||||
Cost of foreign currency | $ — | $ — | $ — | $ 283,438 | $ 489,388 | ||||
Proceeds of TBA sale commitments | $ — | $ — | $ — | $ — | $ 6,952,609 | ||||
Written option contracts premiums received | $ 74,900 | $ — | $ — | $ — | $ 487,600 | ||||
(1) Includes Investment in securities on loan, at market value | $ 252,320 | $ — | $ — | $ — | $ 1,769,553 |
81 |
For the Year Ended July 31, 2021
Hartford Core Bond ETF | Hartford Municipal Opportunities ETF | Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Total Return Bond ETF | |||||
Investment Income: | |||||||||
Interest | $ 2,006,456 | $ 3,223,975 | $ 1,740,306 | $ 2,670,552 | $ 20,405,840 | ||||
Securities lending | — | — | — | 133 | 16,148 | ||||
Less: Foreign tax withheld | (118) | — | (163) | — | (425) | ||||
Total investment income, net | 2,006,338 | 3,223,975 | 1,740,143 | 2,670,685 | 20,421,563 | ||||
Expenses: | |||||||||
Investment management fees | 429,603 | 423,472 | 442,397 | 310,804 | 2,509,200 | ||||
Total expenses | 429,603 | 423,472 | 442,397 | 310,804 | 2,509,200 | ||||
Net Investment Income (Loss) | 1,576,735 | 2,800,503 | 1,297,746 | 2,359,881 | 17,912,363 | ||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||
Investments | 108,406 1 | (209,482) | 730,939 1 | 776,929 | 7,037,250 1 | ||||
Purchased options contracts | — | — | — | — | 21,161 | ||||
Futures contracts | 755,366 | — | 848,697 | 68,933 | 5,249,591 | ||||
Written options contracts | 38,315 | — | — | — | 1,650,375 | ||||
Swap contracts | 1,004 | — | — | — | (139,373) | ||||
Foreign currency contracts | — | — | — | (11,883) | 142,391 | ||||
Other foreign currency transactions | — | — | — | (6,517) | (93,504) | ||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 903,091 | (209,482) | 1,579,636 | 827,462 | 13,867,891 | ||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||
Investments | (2,115,394) | 4,054,093 | (875,929) | (527,658) | (15,524,375) | ||||
Purchased options contracts | (99,087) | — | — | — | (710,045) | ||||
Futures contracts | (594,231) | — | (4,516) | (53,790) | (4,767,012) | ||||
Written options contracts | 52,913 | — | — | — | 259,834 | ||||
Swap contracts | 36,444 | — | — | — | 912,080 | ||||
Foreign currency contracts | — | — | — | 23,132 | 846,845 | ||||
Translation of other assets and liabilities in foreign currencies | — | — | — | 12,710 | 54,508 | ||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (2,719,355) | 4,054,093 | (880,445) | (545,606) | (18,928,165) | ||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (1,816,264) | 3,844,611 | 699,191 | 281,856 | (5,060,274) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ (239,529) | $ 6,645,114 | $ 1,996,937 | $ 2,641,737 | $ 12,852,089 |
1 | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
82 |
For the Year Ended July 31, 2021
Hartford Core Bond ETF | Hartford Municipal Opportunities ETF | ||||||
For the Year Ended July 31, 2021 | For the Period Ended July 31, 2020(1) | For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 1,576,735 | $ 263,169 | $ 2,800,503 | $ 3,507,749 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 903,091 | 524,275 | (209,482) | 3,418,866 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (2,719,355) | 2,746,179 | 4,054,093 | (2,218,233) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (239,529) | 3,533,623 | 6,645,114 | 4,708,382 | |||
Distributions to Shareholders | (2,622,517) | (267,216) | (5,961,085) | (4,085,404) | |||
Fund Share Transactions: | |||||||
Sold | 144,816,846 | 134,854,721 | 94,043,807 | 68,918,072 | |||
Redeemed | (14,733,496) | (40) | — | (103,092,703) | |||
Other Capital | 94,078 | 66,143 | 23,511 | 70,014 | |||
Net increase (decrease) from capital share transactions | 130,177,428 | 134,920,824 | 94,067,318 | (34,104,617) | |||
Net Increase (Decrease) in Net Assets | 127,315,382 | 138,187,231 | 94,751,347 | (33,481,639) | |||
Net Assets: | |||||||
Beginning of period | 138,187,231 | — | 106,291,226 | 139,772,865 | |||
End of period | $ 265,502,613 | $ 138,187,231 | $ 201,042,573 | $ 106,291,226 |
(1) | Commenced operations on February 19, 2020. |
83 |
For the Year Ended July 31, 2021
Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | ||||||
For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 1,297,746 | $ 973,712 | $ 2,359,881 | $ 3,474,548 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 1,579,636 | 128,344 | 827,462 | (333,786) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (880,445) | 2,756,881 | (545,606) | 124,288 | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,996,937 | 3,858,937 | 2,641,737 | 3,265,050 | |||
Distributions to Shareholders | (1,644,315) | (1,312,440) | (2,445,966) | (3,544,221) | |||
Fund Share Transactions: | |||||||
Sold | 73,651,787 | 59,891,636 | 61,613,986 | 20,439,303 | |||
Redeemed | (44,543,164) | (13,556,025) | (20,509,616) | (42,222,963) | |||
Other Capital | 78,883 | 55,602 | 59,666 | 55,649 | |||
Net increase (decrease) from capital share transactions | 29,187,506 | 46,391,213 | 41,164,036 | (21,728,011) | |||
Net Increase (Decrease) in Net Assets | 29,540,128 | 48,937,710 | 41,359,807 | (22,007,182) | |||
Net Assets: | |||||||
Beginning of period | 76,167,571 | 27,229,861 | 87,881,575 | 109,888,757 | |||
End of period | $ 105,707,699 | $ 76,167,571 | $ 129,241,382 | $ 87,881,575 |
84 |
For the Year Ended July 31, 2021
Hartford Total Return Bond ETF | |||
For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | ||
Operations: | |||
Net investment income (loss) | $ 17,912,363 | $ 17,569,906 | |
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 13,867,891 | 22,527,381 | |
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (18,928,165) | 22,253,900 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,852,089 | 62,351,187 | |
Distributions to Shareholders | (36,110,981) | (36,786,478) | |
Fund Share Transactions: | |||
Sold | 410,130,689 | 187,500,806 | |
Redeemed | (24,491,561) | (106,603,304) | |
Other Capital | 281,657 | 326,139 | |
Net increase (decrease) from capital share transactions | 385,920,785 | 81,223,641 | |
Net Increase (Decrease) in Net Assets | 362,661,893 | 106,788,350 | |
Net Assets: | |||
Beginning of period | 697,309,264 | 590,520,914 | |
End of period | $ 1,059,971,157 | $ 697,309,264 |
85 |
—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000's) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | |||||||||||||||
Hartford Core Bond ETF | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2021 | |||||||||||||||||||||||||||||
$ 42.52 | $ 0.44 | $ (0.73) | $ (0.29) | $ 0.03 | $ (0.45) | $ (0.33) | $ (0.78) | $ 41.48 | (0.59)% | $ 265,503 | 0.29% | 0.29% | 1.06% | 30% (5) | |||||||||||||||
For the Period Ended July 31, 2020(6) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.21 | $ 2.50 | $ 2.71 | $ 0.05 | $ (0.24) | $ — | $ (0.24) | $ 42.52 | 6.91% (7) | $ 138,187 | 0.29% (8) | 0.29% (8) | 1.19% (8) | 26% (5) | |||||||||||||||
Hartford Municipal Opportunities ETF | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2021 | |||||||||||||||||||||||||||||
$ 42.52 | $ 0.80 | $ 0.98 | $ 1.78 | $ 0.01 | $ (0.79) | $ (1.20) | $ (1.99) | $ 42.32 | 4.40% | $ 201,043 | 0.29% | 0.29% | 1.92% | 17% | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 41.72 | $ 1.04 (9) | $ 0.95(9) | $ 1.99 | $ 0.02 | $ (1.06) | $ (0.15) | $ (1.21) | $ 42.52 | 4.90% | $ 106,291 | 0.29% | 0.29% | 2.49% (9) | 67% | |||||||||||||||
For the Year Ended July 31, 2019 | |||||||||||||||||||||||||||||
$ 39.72 | $ 1.07 | $ 1.92 | $ 2.99 | $ 0.02 | $ (1.01) | $ — | $ (1.01) | $ 41.72 | 7.68% | $ 139,773 | 0.29% | 0.29% | 2.65% | 32% | |||||||||||||||
For the Period Ended July 31, 2018(10) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.54 | $ (0.37) | $ 0.17 | $ 0.07 | $ (0.52) | $ — | $ (0.52) | $ 39.72 | 0.60% (7) | $ 11,916 | 0.34% (8) | 0.34% (8) | 2.18% (8) | 37% | |||||||||||||||
Hartford Schroders Tax-Aware Bond ETF | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2021 | |||||||||||||||||||||||||||||
$ 21.76 | $ 0.25 | $ 0.08 | $ 0.33 | $ 0.02 | $ (0.25) | $ (0.06) | $ (0.31) | $ 21.80 | 1.64% | $ 105,708 | 0.39% | 0.39% | 1.14% | 199% | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 20.95 | $ 0.35 | $ 0.91 | $ 1.26 | $ 0.02 | $ (0.37) | $ (0.10) | $ (0.47) | $ 21.76 | 6.18% | $ 76,168 | 0.39% | 0.39% | 1.67% | 165% | |||||||||||||||
For the Year Ended July 31, 2019 | |||||||||||||||||||||||||||||
$ 19.98 | $ 0.51 | $ 0.99 | $ 1.50 | $ — | $ (0.53) | $ — | $ (0.53) | $ 20.95 | 7.62% | $ 27,230 | 0.39% | 0.39% | 2.55% | 165% | |||||||||||||||
For the Period Ended July 31, 2018(11) | |||||||||||||||||||||||||||||
$ 20.00 | $ 0.11 | $ (0.06) | $ 0.05 | $ 0.02 | $ (0.09) | $ — | $ (0.09) | $ 19.98 | 0.37% (7) | $ 20,983 | 0.39% (8) | 0.39% (8) | 1.93% (8) | 60% | |||||||||||||||
Hartford Short Duration ETF | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2021 | |||||||||||||||||||||||||||||
$ 40.88 | $ 0.90 | $ 0.17 | $ 1.07 | $ 0.02 | $ (0.94) | $ — | $ (0.94) | $ 41.03 | 2.69% | $ 129,241 | 0.29% | 0.29% | 2.20% | 41% (12) | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 40.70 | $ 1.29 (9) | $ 0.20(9) | $ 1.49 | $ 0.02 | $ (1.33) | $ — | $ (1.33) | $ 40.88 | 3.78% | $ 87,882 | 0.29% | 0.29% | 3.19% (9) | 29% (12) | |||||||||||||||
For the Year Ended July 31, 2019 | |||||||||||||||||||||||||||||
$ 39.97 | $ 1.38 | $ 0.64 | $ 2.02 | $ 0.02 | $ (1.31) | $ — | $ (1.31) | $ 40.70 | 5.20% | $ 109,889 | 0.29% | 0.29% | 3.45% | 28% | |||||||||||||||
For the Period Ended July 31, 2018(13) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.19 | $ (0.09) | $ 0.10 | $ 0.02 | $ (0.15) | $ — | $ (0.15) | $ 39.97 | 0.31% (7) | $ 19,983 | 0.29% (8) | 0.29% (8) | 2.75% (8) | 1% | |||||||||||||||
Hartford Total Return Bond ETF | |||||||||||||||||||||||||||||
For the Year Ended July 31, 2021 | |||||||||||||||||||||||||||||
$ 42.52 | $ 0.85 | $ (0.35) | $ 0.50 | $ 0.01 | $ (0.91) | $ (0.96) | $ (1.87) | $ 41.16 | 1.26% | $ 1,059,971 | 0.29% | 0.29% | 2.07% | 49% (14) | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 40.87 | $ 1.13 (15) | $ 2.90(15) | $ 4.03 | $ 0.02 | $ (1.35) | $ (1.05) | $ (2.40) | $ 42.52 | 10.34% | $ 697,309 | 0.29% | 0.29% | 2.76% (15) | 79% (14) | |||||||||||||||
For the Year Ended July 31, 2019 | |||||||||||||||||||||||||||||
$ 38.99 | $ 1.30 | $ 1.77 | $ 3.07 | $ 0.05 | $ (1.24) | $ — | $ (1.24) | $ 40.87 | 8.14% | $ 590,521 | 0.29% | 0.29% | 3.30% | 54% |
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—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Distributions from Capital Gains | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000's) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | |||||||||||||||
Hartford Total Return Bond ETF – (continued) | |||||||||||||||||||||||||||||
For the Period Ended July 31, 2018(16) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.77 | $ (1.14) | $ (0.37) | $ 0.08 | $ (0.72) | $ — | $ (0.72) | $ 38.99 | (0.71)% (7) | $ 44,835 | 0.38% (8) | 0.38% (8) | 2.35% (8) | 46% |
FINANCIAL HIGHLIGHTS FOOTNOTES | |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at net asset value at the end of the distribution day. |
(3) | There were no waivers or reimbursements for the periods shown. |
(4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(5) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 362% and 177% for the year ended July 31, 2021 and the period ended July 31, 2020, respectively. |
(6) | Commenced operations on February 19, 2020. |
(7) | Not annualized. |
(8) | Annualized. |
(9) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 31, 2020 was an increase to net investment income per share for less than $0.005, decrease to net realized and unrealized gain (loss) on investments for less than $(0.005) and an increase to ratio of net investment income to average net assets of less than 0.005%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect this change in presentation. |
(10) | Commenced operations on December 13, 2017. |
(11) | Commenced operations on April 18, 2018. |
(12) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 53% and 41% for the years ended July 31, 2021 and July 31, 2020, respectively. |
(13) | Commenced operations on May 30, 2018. |
(14) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 499% and 659% for the years ended July 31, 2021 and July 31, 2020, respectively. |
(15) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 31, 2020 was a decrease to net investment income per share for less than $(0.005), increase to net realized and unrealized gain (loss) on investments for less than $0.005 and a decrease to ratio of net investment income to average net assets of (0.01)%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect a change in accounting standard. |
(16) | Commenced operations on September 27, 2017. |
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1. | Organization: |
Hartford Funds Exchange-Traded Trust (the "Trust") is an open-end registered management investment company comprised of five operational series as of July 31, 2021. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report. | |
Hartford Funds Exchange-Traded Trust: |
Hartford Core Bond ETF (the "Core Bond ETF") |
Hartford Municipal Opportunities ETF (the "Municipal Opportunities ETF") |
Hartford Schroders Tax-Aware Bond ETF (the "Tax-Aware Bond ETF") |
Hartford Short Duration ETF (the "Short Duration ETF") |
Hartford Total Return Bond ETF (the "Total Return Bond ETF") |
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
a) | Determination of Net Asset Value – The NAV of each Fund's shares is determined as the Exchange of the close of regular trading on the New York Stock Exchange (the "Exchange") (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
b) | Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Trustees (the "Board") of the Trust (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do |
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not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV. | |
Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund. | |
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost which approximates fair value. | |
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange. If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the close of the relevant exchange. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the close of the relevant exchange. Over-the-counter derivatives and other instruments that do not trade on an exchange are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund. | |
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
Investments in open-end mutual funds, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. | |
U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
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c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into. | |
Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. | |
Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable. |
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from securities in which a Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized or unrealized gain on investments in these securities, if applicable. |
e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements. | |
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates. |
f) | Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of each Fund is to pay dividends from net investment income, if any, monthly and realized gains, if any, at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code. |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes). |
3. | Securities and Other Investments: |
a) | Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities |
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may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund's Schedule of Investments. | |
b) | Investments Purchased on a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this period, such investments are subject to market fluctuations, and a Fund identifies investments segregated in its records with a value at least equal to the amount of the commitment. See each Fund’s Schedule of Investments, if applicable, for when-issued or delayed-delivery investments as of July 31, 2021. |
In connection with a Fund's ability to purchase investments on a when-issued or forward commitment basis, the Fund may enter into to-be announced (“TBA”) commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or receipt of the mortgage-backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. These transactions are excluded from a Fund's portfolio turnover rate. See each Fund's Schedule of Investments, if applicable, for TBA commitments as of July 31, 2021. |
c) | Senior Floating Rate Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the “Borrower”), are typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of Operations. |
Senior floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead to non-payment of income, which would result in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. See each Fund's Schedule of Investments, if applicable, for outstanding senior floating rate interests as of July 31, 2021. |
d) | Mortgage-Related and Other Asset-Backed Securities – A Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government. Mortgage-related and other asset-backed securities created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund's Schedule of Investments, if applicable, for mortgage-related and other asset-backed securities as of July 31, 2021. |
e) | Repurchase Agreements – A repurchase agreement is an agreement between two parties whereby one party sells the other a security at a specified price with a commitment to repurchase the security later at an agreed-upon price, date and interest payment. Each Fund is permitted to enter into fully collateralized repurchase agreements. The Trust has delegated to the sub-adviser(s), as applicable, the |
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responsibility of evaluating the creditworthiness of the banks and securities dealers with which the Funds will engage in repurchase agreements. The sub-adviser(s) will monitor such transactions to ensure that the value of underlying collateral will be at least equal to the total amount of the repurchase obligation as required by the valuation provision of the repurchase agreement, including the accrued interest. Repurchase agreements carry the risk that the market value of the securities declines below the repurchase price. A Fund could also lose money if it is unable to recover the securities and the value of any collateral held or assets segregated by the Fund to cover the transaction is less than the value of the securities. In the event the borrower commences bankruptcy proceedings, a court may characterize the transaction as a loan. If a Fund has not perfected a security interest in the underlying collateral, the Fund may be required to return the underlying collateral to the borrower’s estate and be treated as an unsecured creditor. As an unsecured creditor, the Fund could lose some or all of the principal and interest involved in the transaction. See each Fund's Schedule of Investments, if applicable, for repurchase agreements as of July 31, 2021. |
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as of period-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations. |
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During the year ended July 31, 2021, each of Core Bond ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF had used Futures Contracts. |
b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder. |
c) | Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon price during a specific period of time or on a specific date. Option contracts are either over-the-counter ("OTC") options or executed in a registered exchange (“exchange-traded options”). A Fund may write (sell) covered call and put options on futures, swaps (“swaptions”), securities, commodities or currencies. “Covered” means that so long as a Fund is obligated as the writer of an option, it will own either the underlying investments or currency or an option to purchase the same underlying investments or currency having an expiration date of the covered option and an exercise price equal to or less than the exercise price of the covered option, or will segregate or earmark cash or other liquid investments having, for written call options, a value equal to the greater of the exercise price or the market value of the underlying instrument and, for written put options, a value equal to the exercise price. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying instrument. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, swaps, investments or currency transactions to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying |
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instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
d) | Swap Contracts – A Fund may invest in swap contracts. Swap contracts are agreements to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified future intervals. Swap contracts are either privately negotiated in the over-the-counter market (“OTC swaps”) or cleared through a central counterparty or derivatives clearing organization (“centrally cleared swaps”). A Fund may enter into credit default, total return, cross-currency, interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts, investments or cash may be identified as collateral or margin in accordance with the terms of the respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or bankruptcy/insolvency. |
Swaps are valued in accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value (“variation margin”) on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swaps. OTC swap payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations. | |
Entering into these contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). | |
A Fund’s maximum risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities, as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances. | |
Credit Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy. | |
Under a credit default swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in |
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July 31, 2021
the Statements of Operations. A “buyer” of credit protection agrees to pay a counterparty to assume the credit risk of an issuer upon the occurrence of certain events. The “seller” of the protection receives periodic payments and agrees to assume the credit risk of an issuer upon the occurrence of certain events. Although specified events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A “seller’s” exposure is limited to the total notional amount of the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract. | |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as of year-end are disclosed in the notes to the Schedules of Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. | |
During the year ended July 31, 2021, each of Core Bond ETF and Total Return Bond ETF had entered into Credit Default Swap Contracts. | |
Interest Rate Swap Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a specified interest rate or benchmark (e.g. London Interbank Offered Rate (“LIBOR”), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost. | |
If an interest rate swap contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. |
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e) | Additional Derivative Instrument Information: |
Core Bond ETF | |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Investments in securities, at value (purchased options), market value | $ 25,363 | $ — | $ — | $ — | $ — | $ 25,363 | |||||
Unrealized appreciation on futures contracts(1) | 49,506 | — | — | — | — | 49,506 | |||||
Unrealized appreciation on swap contracts(2) | — | — | 5,877 | — | — | 5,877 | |||||
Total | $ 74,869 | $ — | $ 5,877 | $ — | $ — | $ 80,746 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 816,688 | $ — | $ — | $ — | $ — | $ 816,688 | |||||
Written options, market value | 21,987 | — | — | — | — | 21,987 | |||||
Total | $ 838,675 | $ — | $ — | $ — | $ — | $ 838,675 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
(2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ 755,366 | $ — | $ — | $ — | $ — | $ 755,366 | |||||
Net realized gain (loss) on written options contracts | 38,315 | — | — | — | — | 38,315 | |||||
Net realized gain (loss) on swap contracts | 4,939 | — | (3,935) | — | — | 1,004 | |||||
Total | $ 798,620 | $ — | $ (3,935) | $ — | $ — | $ 794,685 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of investments in purchased options contracts | $ (99,087) | $ — | $ — | $ — | $ — | $ (99,087) | |||||
Net change in unrealized appreciation (depreciation) of futures contracts | (594,231) | — | — | — | — | (594,231) | |||||
Net change in unrealized appreciation (depreciation) of written options contracts | 52,913 | — | — | — | — | 52,913 | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | 36,877 | — | (433) | — | — | 36,444 | |||||
Total | $ (603,528) | $ — | $ (433) | $ — | $ — | $ (603,961) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Purchased Options at Notional Amount | 2,975,000 | |
Futures Contracts Number of Long Contracts | 7 | |
Futures Contracts Number of Short Contracts | (203) | |
Written Options at Notional Amount | (5,608,333) | |
Swap Contracts at Notional Amount | $ 5,302,667 |
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The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 106,835 | $ — | $ — | $ — | $ — | $ 106,835 | |||||
Total | $ 106,835 | $ — | $ — | $ — | $ — | $ 106,835 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ 848,697 | $ — | $ — | $ — | $ — | $ 848,697 | |||||
Total | $ 848,697 | $ — | $ — | $ — | $ — | $ 848,697 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ (4,516) | $ — | $ — | $ — | $ — | $ (4,516) | |||||
Total | $ (4,516) | $ — | $ — | $ — | $ — | $ (4,516) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Short Contracts | (141) |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on foreign currency contracts | $ — | $ 2,419 | $ — | $ — | $ — | $ 2,419 | |||||
Total | $ — | $ 2,419 | $ — | $ — | $ — | $ 2,419 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 83,617 | $ — | $ — | $ — | $ — | $ 83,617 | |||||
Unrealized depreciation on foreign currency contracts | — | 16,692 | — | — | — | 16,692 | |||||
Total | $ 83,617 | $ 16,692 | $ — | $ — | $ — | $ 100,309 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
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July 31, 2021
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ 68,933 | $ — | $ — | $ — | $ — | $ 68,933 | |||||
Net realized gain (loss) on foreign currency contracts | — | (11,883) | — | — | — | (11,883) | |||||
Total | $ 68,933 | $ (11,883) | $ — | $ — | $ — | $ 57,050 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ (53,790) | $ — | $ — | $ — | $ — | $ (53,790) | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 23,132 | — | — | — | 23,132 | |||||
Total | $ (53,790) | $ 23,132 | $ — | $ — | $ — | $ (30,658) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 90 | |
Futures Contracts Number of Short Contracts | (72) | |
Foreign Currency Contracts Purchased at Contract Amount | $ 224,754 | |
Foreign Currency Contracts Sold at Contract Amount | $ 3,298,325 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Investments in securities, at value (purchased options), market value | $ 173,205 | $ — | $ — | $ — | $ — | $ 173,205 | |||||
Unrealized appreciation on futures contracts(1) | 767,392 | — | — | — | — | 767,392 | |||||
Unrealized appreciation on foreign currency contracts | — | 771,077 | — | — | — | 771,077 | |||||
Unrealized appreciation on swap contracts(2) | — | — | 71,613 | — | — | 71,613 | |||||
Total | $ 940,597 | $ 771,077 | $ 71,613 | $ — | $ — | $ 1,783,287 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 7,025,339 | $ — | $ — | $ — | $ — | $ 7,025,339 | |||||
Unrealized depreciation on foreign currency contracts | — | 54,910 | — | — | — | 54,910 | |||||
Written options, market value | 150,146 | — | — | — | — | 150,146 | |||||
Unrealized depreciation on swap contracts(2) | — | — | 847,560 | — | — | 847,560 | |||||
Total | $ 7,175,485 | $ 54,910 | $ 847,560 | $ — | $ — | $ 8,077,955 |
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
(2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
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July 31, 2021
The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on purchased options contracts | $ 21,161 | $ — | $ — | $ — | $ — | $ 21,161 | |||||
Net realized gain (loss) on futures contracts | 5,249,591 | — | — | — | — | 5,249,591 | |||||
Net realized gain (loss) on written options contracts | 1,650,375 | — | — | — | — | 1,650,375 | |||||
Net realized gain (loss) on swap contracts | 745,416 | — | (884,789) | — | — | (139,373) | |||||
Net realized gain (loss) on foreign currency contracts | — | 142,391 | — | — | — | 142,391 | |||||
Total | $ 7,666,543 | $ 142,391 | $ (884,789) | $ — | $ — | $ 6,924,145 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of investments in purchased options contracts | $ (710,045) | $ — | $ — | $ — | $ — | $ (710,045) | |||||
Net change in unrealized appreciation (depreciation) of futures contracts | (4,767,012) | — | — | — | — | (4,767,012) | |||||
Net change in unrealized appreciation (depreciation) of written options contracts | 259,834 | — | — | — | — | 259,834 | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | 696,867 | — | 215,213 | — | — | 912,080 | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | 846,845 | — | — | — | 846,845 | |||||
Total | $ (4,520,356) | $ 846,845 | $ 215,213 | $ — | $ — | $ (3,458,298) |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Purchased Options at Notional Amount | 24,064,667 | |
Futures Contracts Number of Long Contracts | 404 | |
Futures Contracts Number of Short Contracts | (1,078) | |
Written Options at Notional Amount | (92,376,333) | |
Swap Contracts at Notional Amount | $ 1,207,185,040 | |
Foreign Currency Contracts Purchased at Contract Amount | $ 741,072 | |
Foreign Currency Contracts Sold at Contract Amount | $ 27,803,324 |
f) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
98 |
July 31, 2021
The following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of July 31, 2021: | |
Core Bond ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ 49,506 | $ (816,688) | ||
Purchased options | 25,363 | — | ||
Swap contracts | 5,877 | — | ||
Written options | — | (21,987) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 80,746 | (838,675) | ||
Derivatives not subject to a MNA | (55,383) | 816,688 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 25,363 | $ (21,987) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Assets | |||||
Bank of America Securities LLC | $ 12,930 | $ (11,209) | $ — | $ — | $ 1,721 | |||||
Citibank NA | 12,433 | (10,778) | — | — | 1,655 | |||||
Total | $ 25,363 | $ (21,987) | $ — | $ — | $ 3,376 | |||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Liabilities | |||||
Bank of America Securities LLC | $ (11,209) | $ 11,209 | $ — | $ — | $ — | |||||
Citibank NA | (10,778) | 10,778 | — | — | — | |||||
Total | $ (21,987) | $ 21,987 | $ — | $ — | $ — |
Tax-Aware Bond ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (106,835) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (106,835) | ||
Derivatives not subject to a MNA | — | 106,835 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Short Duration ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ 2,419 | $ (16,692) | ||
Futures contracts | — | (83,617) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 2,419 | (100,309) | ||
Derivatives not subject to a MNA | — | 83,617 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 2,419 | $ (16,692) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Assets | |||||
Barclays | $ 2,041 | $ — | $ — | $ — | $ 2,041 | |||||
BNP Paribas Securities Services | 378 | (378) | — | — | — | |||||
Total | $ 2,419 | $ (378) | $ — | $ — | $ 2,041 | |||||
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July 31, 2021
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Liabilities | |||||
BNP Paribas Securities Services | $ (16,692) | $ 378 | $ — | $ — | $ (16,314) | |||||
Total | $ (16,692) | $ 378 | $ — | $ — | $ (16,314) |
Total Return Bond ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ 771,077 | $ (54,910) | ||
Futures contracts | 767,392 | (7,025,339) | ||
Purchased options | 173,205 | — | ||
Swap contracts | 71,613 | (847,560) | ||
Written options | — | (150,146) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 1,783,287 | (8,077,955) | ||
Derivatives not subject to a MNA | (839,005) | 7,034,371 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 944,282 | $ (1,043,584) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||
Bank of America Securities LLC | $ 173,205 | $ (150,146) | $ — | $ — | $ 23,059 | |||||
Barclays | 2,235 | (2,235) | — | — | — | |||||
Citibank NA | 623,411 | — | — | — | 623,411 | |||||
Goldman Sachs & Co. | 31,174 | (31,174) | — | — | — | |||||
JP Morgan Chase & Co. | 27,007 | — | — | — | 27,007 | |||||
Morgan Stanley | 87,250 | (87,250) | — | — | — | |||||
Total | $ 944,282 | $ (270,805) | $ — | $ — | $ 673,477 | |||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged | Net Amount of Liabilities | |||||
Bank of America Securities LLC | $ (150,146) | $ 150,146 | $ — | $ — | $ — | |||||
Barclays | (11,455) | 2,235 | — | — | (9,220) | |||||
BNP Paribas Securities Services | (18,583) | — | — | — | (18,583) | |||||
Deutsche Bank Securities, Inc. | (22,560) | — | — | — | (22,560) | |||||
Goldman Sachs & Co. | (236,788) | 31,174 | — | — | (205,614) | |||||
Merrill Lynch International | (210,665) | — | — | — | (210,665) | |||||
Morgan Stanley | (371,431) | 87,250 | — | — | (284,181) | |||||
Standard Chartered Bank | (5,970) | — | — | — | (5,970) | |||||
State Street Global Markets LLC | (3,560) | — | — | — | (3,560) | |||||
Westpac International | (12,426) | — | — | — | (12,426) | |||||
Total | $ (1,043,584) | $ 270,805 | $ — | $ — | $ (772,779) |
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. The Funds' prospectus provides details of its principal risks. | |
A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. The current ongoing outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of the ongoing COVID-19 pandemic remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic may have a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks. |
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Certain investments held by a Fund expose the Fund to various risks which may include, but are not limited to, interest rate, prepayment, and extension risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the values of certain fixed income securities held by a Fund are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e., yield) movements. Senior floating rate interests and securities subject to prepayment and extension risk generally offer less potential for gains when interest rates decline. Rising interest rates may cause prepayments to occur at a slower than expected rate, thereby effectively lengthening the maturity of the security and making the security more sensitive to interest rate changes. Prepayment and extension risk are major risks of mortgage-backed securities, senior floating rate interests and certain asset-backed securities. For certain asset-backed securities, the actual maturity may be less than the stated maturity shown in the Schedule of Investments, if applicable. As a result, the timing of income recognition relating to these securities may vary based upon the actual maturity. | |
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. These risks are heightened for investments in issuers from countries with less developed markets. | |
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings. | |
The Funds may invest in certain debt securities, derivatives or other financial instruments that utilize one or more London Interbank Offered Rates (collectively “LIBOR”), as a “benchmark” or “reference rate” for various interest rate calculations. The use of LIBOR is expected to be phased out by the end of 2021. However, it is possible that certain LIBORs may continue beyond 2021 and the most widely used LIBORs may continue until mid-2023. There remains uncertainty regarding the future use of certain LIBORs and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on a Fund or the LIBOR-based instruments in which the Fund invests cannot yet be determined. The transition process away from LIBOR may involve, among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR. The transition process may also result in a reduction in the value of certain instruments held by a Fund or reduce the effectiveness of related Fund transactions, such as hedges. Volatility, the potential reduction in value, and/or the hedge effectiveness of financial instruments may be heightened for financial instruments that do not include fallback provisions that address the cessation of LIBOR. Any potential effects of the transition away from LIBOR on the Fund or on financial instruments in which a Fund invests, as well as other unforeseen effects, could result in losses to the Fund. Since the usefulness of LIBOR as a benchmark or reference rate could deteriorate during the transition period, these effects could occur prior to and/or subsequent to the end of 2021, with respect to certain LIBORs or mid-2023 for the remaining LIBORs. | |
Credit risk depends largely on the perceived financial health of bond issuers. In general, the credit rating is inversely related to the credit risk of the issuer. Higher rated bonds generally are deemed to have less credit risk, while lower or unrated bonds are deemed to have higher risk of default. The share price, yield and total return of a fund that holds securities with higher credit risk may be more volatile than those of a fund that holds bonds with lower credit risk. A Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. |
6. | Federal Income Taxes: |
a) | Each Fund intends to continue to qualify as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code (“IRC”) by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2021. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to Passive Foreign Investment Companies ("PFICs"), Real Estate Investment Trusts ("REITs"), RICs, certain derivatives and partnerships. The character of distributions made during the year from net investment income or net realized gains |
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may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. | |
c) | Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the year ended July 31, 2021 and the year or period ended July 31, 2020 are as follows (as adjusted for dividends payable, if applicable): |
For the Year Ended July 31, 2021 | For the Year or Period Ended July 31, 2020 | |||||||||||
Fund | Tax Exempt Income | Ordinary Income | Long-Term Capital Gains(1) | Tax Exempt Income | Ordinary Income | Long-Term Capital Gains(1) | ||||||
Core Bond ETF(2) | $ — | $ 2,571,564 | $ 50,953 | $ — | $ 267,216 | $ — | ||||||
Municipal Opportunities ETF | 2,772,601 | 2,800 | 3,185,684 | 3,487,261 | 593,369 | 4,774 | ||||||
Tax-Aware Bond ETF | 887,189 | 598,258 | 158,868 | 571,151 | 623,757 | 117,532 | ||||||
Short Duration ETF | — | 2,445,966 | — | — | 3,544,221 | — | ||||||
Total Return Bond ETF | — | 34,912,293 | 1,198,688 | — | 36,786,478 | — |
(1) | The Funds designate these distributions as long-term capital gains dividends pursuant to IRC Sec 852(b)(3)(c) |
(2) | Commenced operations on February 19, 2020. |
Fund | Tax Exempt Income | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Other Temporary Differences(1) | Unrealized Appreciation (Depreciation) on Investments | Total Accumulated Earnings (Deficit) | |||||||
Core Bond ETF | $ — | $ 121,258 | $ 388,819 | $ — | $ (930,577) | $ 785,896 | $ 365,396 | |||||||
Municipal Opportunities ETF | 281,206 | — | — | (209,597) | (249,304) | 8,481,097 | 8,303,402 | |||||||
Tax-Aware Bond ETF | 93,524 | 281,244 | 746,563 | — | (114,543) | 2,651,410 | 3,658,198 | |||||||
Short Duration ETF | — | 303,881 | — | (10,903) | (191,092) | 1,490,066 | 1,591,952 | |||||||
Total Return Bond ETF | — | 8,524,735 | 6,512,318 | — | (12,475,689) | 31,482,857 | 34,044,221 |
(1) | The temporary differences noted above are comprised of distributions payable and straddle related deferrals. |
d) | Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as redemption in-kind transactions. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the Funds’ distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year ended July 31, 2021, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
Fund | Paid-in-Capital | Distributable Earnings (Loss) | ||
Core Bond ETF | $ 38,965 | $ (38,965) | ||
Tax-Aware Bond ETF | 219,191 | (219,191) | ||
Total Return Bond ETF | (196,834) | 196,834 |
e) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period of time. |
At July 31, 2021 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: | |
Fund | Short-Term Capital Loss Carryforward with No Expiration | Long-Term Capital Loss Carryforward with No Expiration | ||
Municipal Opportunities ETF | $ 167,218 | $ 42,379 | ||
Short Duration ETF | 10,903 | — |
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f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at July 31, 2021 is different from book purposes primarily due to wash sale deferrals. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation was also different from book purposes primarily due to wash sale loss deferrals and mark-to-market adjustments on swaps, forwards, futures and options. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below: |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Core Bond ETF | $ 352,936,515 | $ 2,482,235 | $ (1,696,339) | $ 785,896 | ||||
Municipal Opportunities ETF | 191,871,724 | 8,523,845 | (42,748) | 8,481,097 | ||||
Tax-Aware Bond ETF | 104,765,747 | 2,691,227 | (39,817) | 2,651,410 | ||||
Short Duration ETF | 129,806,957 | 1,770,423 | (280,604) | 1,489,819 | ||||
Total Return Bond ETF | 1,361,427,017 | 41,106,957 | (9,626,811) | 31,480,146 |
g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, Hartford Funds Management Company, LLC ("HFMC" or the "Investment Manager") reviews each Fund’s tax positions for all open tax years. As of July 31, 2021, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for 3 years, no examination is currently in progress. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended July 31, 2021, the Funds did not incur any interest or penalties. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. |
7. | Expenses: |
a) | Investment Management Agreement – HFMC serves as each Fund’s investment manager pursuant to an Investment Management Agreement with the Trust. HFMC is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). HFMC has overall investment supervisory responsibility for each Fund. In addition, HFMC provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. HFMC has contracted with Wellington Management Company LLP (“Wellington Management”) under a sub-advisory agreement pursuant to which Wellington Management performs the daily investment of the assets of each of Core Bond ETF, Municipal Opportunities ETF, Short Duration ETF, and Total Return Bond ETF in accordance with each Fund’s investment objective and policies. HFMC has contracted with Schroder Investment Management North America Inc. (“SIMNA”) under a sub-advisory agreement and SIMNA has contracted with Schroder Investment Management North America Limited (“SIMNA Ltd.”) under a sub-sub-advisory agreement with respect to Tax-Aware Bond ETF. SIMNA performs the daily investment of the assets of Tax-Aware Bond ETF in accordance with the Fund’s investment objective and policies and SIMNA may allocate assets to or from SIMNA Ltd. Each Fund pays a fee to HFMC, a portion of which may be used to compensate Wellington and SIMNA, as applicable. SIMNA pays the sub-sub-advisory fees to SIMNA Ltd. |
Under the Investment Management Agreement, the Investment Manager agrees to pay all expenses of the Trust, except (i) brokerage expenses and other expenses (such as stamp taxes and acquired fund fees and expenses) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) extraordinary expenses; (iv) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the management fee payable to the Investment Manager under the Investment Management Agreement. The payment or assumption by the Investment Manager of any expense of the Trust that the Investment Manager is not required by the Investment Management Agreement to pay or assume shall not obligate the Investment Manager to pay or assume the same or any similar expense of the Trust on any subsequent occasion. | |
The schedule below reflects the rates of compensation paid to HFMC for investment management services rendered as of July 31, 2021; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates: | |
Fund | Management Fee Rates | |
Core Bond ETF | 0.29% | |
Municipal Opportunities ETF | 0.29% | |
Tax-Aware Bond ETF | 0.39% | |
Short Duration ETF | 0.29% | |
Total Return Bond ETF | 0.29% |
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b) | Distribution Plans - Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. |
c) | Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year ended July 31, 2021, a portion of the Trust's Chief Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Management Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
8. | Securities Lending: |
The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; and cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. | |
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund. | |
The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. | |
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. | |
The following table presents the market value of each Fund's securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Funds as of July 31, 2021. | |
Fund | Investment Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities(1) | Collateral Posted by Borrower(2) | Net Amount(3) | |||
Core Bond ETF | $ 252,320 | $ (252,320) | $ — | |||
Municipal Opportunities ETF | — | — | — | |||
Tax-Aware Bond ETF | — | — | — | |||
Short Duration ETF | — | — | — | |||
Total Return Bond ETF | 1,769,553 | (1,769,553) | — |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. |
(2) | Collateral received in excess of the market value of securities on loan is not presented in this table. |
(3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
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Fund | Cash Collateral | Non-Cash Collateral | ||
Core Bond ETF | $ 259,360 | $ — | ||
Municipal Opportunities ETF | — | — | ||
Tax-Aware Bond ETF | — | — | ||
Short Duration ETF | — | — | ||
Total Return Bond ETF | 1,821,944 | — |
9. | Secured Borrowings: |
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of July 31, 2021. | |
Certain Transfers Accounted For As Secured Borrowings | |
Remaining Contractual Maturity of the Agreements | |
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | |||||
Core Bond ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Corporate Bonds | $ 259,360 | $ — | $ — | $ — | $ 259,360 | ||||
Total Borrowings | $ 259,360 | $ — | $ — | $ — | $ 259,360 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 259,360 | ||||||||
Total Return Bond ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Corporate Bonds | $ 469,281 | $ — | $ — | $ — | $ 469,281 | ||||
Municipal Bonds | 1,352,663 | — | — | — | 1,352,663 | ||||
Total Borrowings | $ 1,821,944 | $ — | $ — | $ — | $ 1,821,944 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 1,821,944 |
(1) | Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. |
10. | Custodian and Transfer Agent: |
State Street Bank and Trust Company ("State Street") serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement") dated December 31, 2014, as amended from time to time. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency and service agreement ("Transfer Agency and Service Agreement") dated February 13, 2018. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units. | |
For the services provided under the Custodian Agreement and Transfer Agency and Service Agreement, HFMC, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
11. | Affiliate Holdings: |
As of July 31, 2021, affiliated funds of funds and the 529 plan for which HFMC serves as the program manager (the “529 plan”) in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of their shares as a result of purchase and sale activity from these affiliated funds of funds and the 529 plan. Affiliated funds of funds and the 529 plan owned shares in the Funds listed below as follows: | |
Fund | Percentage of Fund | |
Core Bond ETF | 89% | |
Short Duration ETF | 35% | |
Total Return Bond ETF | 55% |
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12. | Investment Transactions: |
For the year ended July 31, 2021, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: | |
Fund | Cost of Purchases Excluding U.S. Government Obligations | Sales Proceeds Excluding U.S. Government Obligations | Cost of Purchases For U.S. Government Obligations | Sales Proceeds For U.S. Government Obligations | Total Cost of Purchases | Total Sales Proceeds | ||||||
Core Bond ETF | $ 87,989,596 | $ 33,218,881 | $ 88,536,841 | $ 8,116,534 | $ 176,526,437 | $ 41,335,415 | ||||||
Municipal Opportunities ETF | 111,377,484 | 24,519,671 | — | — | 111,377,484 | 24,519,671 | ||||||
Tax-Aware Bond ETF | 97,865,401 | 62,013,032 | 161,543,179 | 149,055,729 | 259,408,580 | 211,068,761 | ||||||
Short Duration ETF | 73,546,394 | 38,897,033 | 8,348,299 | 4,463,014 | 81,894,693 | 43,360,047 | ||||||
Total Return Bond ETF | 447,860,195 | 204,152,507 | 330,361,665 | 204,010,289 | 778,221,860 | 408,162,796 |
Fund | Cost of Purchases | Sales Proceeds | Realized Gain/(Loss) | |||
Core Bond ETF | $ — | $ 2,735,625 | $ 38,965 | |||
Tax-Aware Bond ETF | — | 12,969,708 | 219,191 | |||
Short Duration ETF | 3,580,369 | — | — | |||
Total Return Bond ETF | 76,483,163 | 24,014,300 | (196,834) |
13. | Share Transactions: |
Each Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units." Purchases of Creation Units are made by tendering a basket of designated securities to a Fund and redemption proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. | |
Purchase or redemption of Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a ‘‘Participating Party,’’ (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (‘‘Clearing Process’’), or (2) a participant of DTC (‘‘DTC Participant’’), and, in each case, must have executed an agreement (‘‘Participation Agreement’’) with the Distributor with respect to creations and redemptions of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. | |
Shares of Municipal Opportunities ETF, Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded throughout the day on the NYSE Arca and shares of Core Bond ETF and Short Duration ETF are listed and traded throughout the day on Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares. | |
Because each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Each Fund will only issue or redeem Creation Units to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or redeem Creation Units in return for a designated basket of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time. |
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The following information is for the year ended July 31, 2021 and the year or period ended July 31, 2020: | |
For the Year Ended July 31, 2021 | For the Year Ended July 31, 2020 | ||||||
Shares | Amount | Shares | Amount | ||||
Core Bond ETF(1) | |||||||
Shares Sold | 3,500,000 | $ 144,816,846 | 3,250,001 | $ 134,854,721 | |||
Shares Redeemed | (350,000) | (14,733,496) | (1) | (40) | |||
Other Capital | — | 94,078 | — | 66,143 | |||
Total Net Increase (Decrease) | 3,150,000 | 130,177,428 | 3,250,000 | 134,920,824 | |||
Municipal Opportunities ETF | |||||||
Shares Sold | 2,250,000 | $ 94,043,807 | 1,650,000 | $ 68,918,072 | |||
Shares Redeemed | — | — | (2,500,000) | (103,092,703) | |||
Other Capital | — | 23,511 | — | 70,014 | |||
Total Net Increase (Decrease) | 2,250,000 | 94,067,318 | (850,000) | (34,104,617) | |||
Tax-Aware Bond ETF | |||||||
Shares Sold | 3,400,000 | $ 73,651,787 | 2,850,000 | $ 59,891,636 | |||
Shares Redeemed | (2,050,000) | (44,543,164) | (650,000) | (13,556,025) | |||
Other Capital | — | 78,883 | — | 55,602 | |||
Total Net Increase (Decrease) | 1,350,000 | 29,187,506 | 2,200,000 | 46,391,213 | |||
Short Duration ETF | |||||||
Shares Sold | 1,500,000 | $ 61,613,986 | 500,000 | $ 20,439,303 | |||
Shares Redeemed | (500,000) | (20,509,616) | (1,050,000) | (42,222,963) | |||
Other Capital | — | 59,666 | — | 55,649 | |||
Total Net Increase (Decrease) | 1,000,000 | 41,164,036 | (550,000) | (21,728,011) | |||
Total Return Bond ETF | |||||||
Shares Sold | 9,950,000 | $ 410,130,689 | 4,600,000 | $ 187,500,806 | |||
Shares Redeemed | (600,000) | (24,491,561) | (2,650,000) | (106,603,304) | |||
Other Capital | — | 281,657 | — | 326,139 | |||
Total Net Increase (Decrease) | 9,350,000 | 385,920,785 | 1,950,000 | 81,223,641 |
(1) | Commenced operations on February 19, 2020. |
14. | Indemnifications: |
Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
15. | Recent Accounting Pronouncement: |
In March 2020, FASB issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848); Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. The guidance is applicable to contracts referencing LIBOR or another reference rate that is expected to be discontinued due to reference rate reform. The ASU is effective as of March 12, 2020 and generally can be applied through December 31, 2022. Management is evaluating the underlying securities referencing LIBOR or another reference rate that is expected to be discontinued over the period of time the ASU is effective. |
16. | Change in Independent Registered Public Accounting Firm: |
On November 6, 2019, the Trust, on behalf of each of Municipal Opportunities ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF, dismissed Ernst & Young LLP (“EY”) as the Funds’ independent registered public accounting firm effective upon the issuance of EY's report on the Funds' financial statements as of and for the fiscal year ended July 31, 2019. EY’s report on the Funds’ financial statements for the fiscal periods ended July 31, 2018 and July 31, 2019 contained no adverse opinion or disclaimer of opinion nor was EY’s report qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds’ fiscal periods ended on July 31, 2018 and July 31, 2019 and through November 6, 2019 (the “Covered Period”), (i) there were no disagreements with EY on any matter of accounting principles or practices, |
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July 31, 2021
financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Funds’ financial statements for the Covered Period, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. | |
On November 6, 2019, the Audit Committee of the Trust’s Board of Trustees participated in and approved the decision to engage PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm for each of Municipal Opportunities ETF, Tax-Aware Bond ETF, Short Duration ETF and Total Return Bond ETF for the fiscal year ended July 31, 2020. The selection of PwC does not reflect any disagreements with or dissatisfaction by the Trust or the Board of Trustees with the performance of the Funds’ prior independent registered public accounting firm, EY. During the Covered Period, neither the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K). PwC had also been appointed to serve as the independent registered public accounting firm for the Core Bond ETF for the fiscal year ended July 31, 2020. |
17. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements. |
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Fund | Statement of operations | Statement of changes in net assets | Financial highlights |
Hartford Municipal Opportunities ETF Hartford Schroders Tax-Aware Bond ETF Hartford Short Duration ETF Hartford Total Return Bond ETF | For the year ended July 31, 2021 | For the years ended July 31, 2021 and 2020 | For the years ended July 31, 2021 and 2020 |
Hartford Core Bond ETF | For the year ended July 31, 2021 | For the year ended July 31, 2021 and the period February 19, 2020 (commencement of operations) through July 31, 2020 | For the year ended July 31, 2021 and the period February 19, 2020 (commencement of operations) through July 31, 2020 |
109 |
• | the operation of the LRM Program (and related policies and procedures utilized in connection with management of the Funds’ liquidity risk); |
• | an assessment of the adequacy and effectiveness of the LRM Program’s (and related policies and procedures’) implementation; |
• | the operation, and assessment of the adequacy and effectiveness, of each Fund’s HLIM; |
• | whether the third-party liquidity vendor’s (“LRM Program Vendor”) processes for determining preliminary liquidity classifications, including the particular methodologies or factors used and metrics analyzed by the LRM Program Vendor, are sufficient under the Liquidity Rule and appropriate in light of each Fund’s specific circumstances; and |
• | any material changes to the LRM Program. |
110 |
NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
NON-INTERESTED TRUSTEES | ||||||||||
HILARY E. ACKERMANN (1956) | Trustee | Since 2017 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. | 74 | Ms. Ackermann served as a Director of Dynegy, Inc. from October 2012 until its acquisition in by Vistra Energy Corporation in 2018, and since that time she has served as a Director of Vistra. Ms. Ackermann serves as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to present. | |||||
ROBIN C. BEERY (1967) | Trustee | Since 2016 | Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March of 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014. | 74 | Ms. Beery serves as an independent Director of UMB Financial Corporation (January 2015 to present), has chaired the Compensation Committee since April 2017, and serves on the Audit Committee and the Risk Committee. | |||||
LYNN S. BIRDSONG† (1946) | Trustee and Chair of the Board | Trustee since 2017; Chair of the Board since 2019 | From January 1981 through December 2013, Mr. Birdsong was a partner in Birdsong Company, an advertising specialty firm. From 1979 to 2002, Mr. Birdsong was a Managing Director of Zurich Scudder Investments, an investment management firm. | 74 | None | |||||
DERRICK D. CEPHAS(4) (1952) | Trustee | Since 2020 | Mr. Cephas currently serves as Of Counsel to Squire Patton Boggs LLP, an international law firm with 45 offices in 20 countries. Until his retirement in October 2020, Mr. Cephas was a Partner of Weil, Gotshal & Manges LLP, an international law firm headquartered in New York, where he served as the Head of the Financial Institutions Practice (April 2011 to October 2020). | 74 | Mr. Cephas currently serves a Director of Signature Bank, a New York-based commercial bank, and is a member of the Credit Committee, Examining Committee and Risk Committee. | |||||
CHRISTINE R. DETRICK (1958) | Trustee | Since 2017 | Ms. Detrick served as a Senior Partner/Advisor at Bain & Company (a management consulting firm) from September 2002 to December 2012. | 74 | Ms. Detrick serves as a Director and Chair of the Nominating and Governance Committee of Reinsurance Group of America (from January 2014 to present). She also serves as a Director of Charles River Associates (May 2020 to present). | |||||
ANDREW A. JOHNSON(4) (1962) | Trustee | Since 2020 | Mr. Johnson currently serves as a Diversity and Inclusion Advisor at Neuberger Berman, a private, global investment management firm. Prior to his current role, Mr. Johnson served as Chief Investment Officer and Head of Global Investment Grade Fixed Income at Neuberger Berman (January 2009 to December 2018). | 74 | None | |||||
PAUL L. ROSENBERG(4) (1953) | Trustee | Since 2020 | Mr. Rosenberg is a Partner of The Bridgespan Group, a global nonprofit consulting firm that is a social impact advisor to nonprofits, non-governmental organizations, philanthropists and institutional investors (October 2007 to present). | 74 | None |
111 |
NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
LEMMA W. SENBET† (1946) | Trustee | Since 2017 | Dr. Senbet currently serves as the William E. Mayer Chair Professor of Finance in the Robert H. Smith School of Business at the University of Maryland, where he was chair of the Finance Department from 1998 to 2006. In June 2013, he began a sabbatical from the University to serve as Executive Director of the African Economic Research Consortium which focuses on economic policy research and training, which he completed in 2018. | 74 | None | |||||
DAVID SUNG (1953) | Trustee | Since 2016 | Mr. Sung was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 74 | Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present). | |||||
OFFICERS AND INTERESTED TRUSTEE | ||||||||||
JAMES E. DAVEY(5) (1964) | Trustee, President and Chief Executive Officer | Trustee since 2017; President and Chief Executive Officer since 2017 | Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Mr. Davey has served in various positions within The Hartford and its subsidiaries and joined The Hartford in 2002. Additionally, Mr. Davey serves as Director, Chairman, President, and Senior Managing Director for Hartford Funds Management Group, Inc. ("HFMG"). Mr. Davey also serves as President, Manager, Chairman of the Board, and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”); Manager, Chairman of the Board, and President of Lattice Strategies LLC (“Lattice”); Chairman of the Board, Manager, and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”); and Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”), each of which is an affiliate of HFMG. | 74 | None | |||||
ANDREW S. DECKER (1963) | AML Compliance Officer | Since 2016 | Mr. Decker serves as Chief Compliance Officer and AML Compliance Officer of HASCO (since April 2015) and Vice President of HASCO (since April 2018). Mr. Decker serves as AML Officer of HFD (since May 2015). Mr. Decker also serves as Vice President of HFMG (since April 2018). Prior to joining The Hartford, Mr. Decker served as Vice President and AML Officer at Janney Montgomery Scott (a broker dealer) from April 2011 to January 2015. | N/A | N/A | |||||
AMY N. FURLONG (1979) | Vice President | Since 2018 | Ms. Furlong serves as Vice President and Assistant Treasurer of HFMC (since September 2019). From 2018 through March 15, 2021, Ms. Furlong served as the Treasurer of the Trust. Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. | N/A | N/A | |||||
WALTER F. GARGER (1965) | Vice President and Chief Legal Officer | Since 2016 | Mr. Garger serves as Secretary, Managing Director and General Counsel of HFMG, HFMC, HFD, and HASCO (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice (since July 2016). Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995. | N/A | N/A | |||||
THEODORE J. LUCAS (1966) | Vice President | Since 2017 | Mr. Lucas serves as Executive Vice President of HFMG (since July 2016) and as Executive Vice President of Lattice (since June 2017). Previously, Mr. Lucas served as Managing Partner of Lattice (2003 to 2016). | N/A | N/A |
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NAME, YEAR OF BIRTH AND ADDRESS(1) | POSITION HELD WITH THE TRUST | TERM OF OFFICE(2) AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE | OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
JOSEPH G. MELCHER (1973) | Chief Compliance Officer and Vice President | Since 2016 | Mr. Melcher serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC, serves as Executive Vice President and Chief Compliance Officer of Lattice (since July 2016), serves as Executive Vice President of HFD (since December 2013), and has served as President and Chief Executive Officer of HFD (from April 2018 to June 2019). | N/A | N/A | |||||
VERNON J. MEYER (1964) | Vice President | Since 2016 | Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004. | N/A | N/A | |||||
DAVID A. NAAB (1985) | Vice President and Treasurer | Since March 15, 2021 | Mr. Naab serves as Vice President and Treasurer of the Trust. Prior to joining HFMC in 2021, Mr. Naab served in various positions as an associate, senior associate, manager, senior manager, and director within the investment management, financial services, and asset & wealth management practice groups of PricewaterhouseCoopers, LLP from 2007 to 2020. | N/A | N/A | |||||
ALICE A. PELLEGRINO (1960) | Vice President and Assistant Secretary | Since 2016 | Ms. Pellegrino serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice (since June 2017). Ms. Pellegrino is a Senior Counsel and has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007. | N/A | N/A | |||||
THOMAS R. PHILLIPS (1960) | Vice President and Secretary | Since 2017 | Mr. Phillips is Deputy General Counsel for HFMG and currently serves as Vice President (since February 2017) and Assistant Secretary (since June 2017) for HFMG. Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014–2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC. | N/A | N/A |
† | Effective as of December 31, 2021, Messrs. Birdsong and Senbet will retire as Trustees. |
(1) | The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087. |
(2) | Each Trustee holds an indefinite term until the Trustee's retirement, which must be no later than December 31 of the year in which the Trustee turns 75 years of age, or the Trustee's resignation, removal, or death prior to the Trustee's retirement. Each officer shall serve until his or her successor is elected and qualifies. |
(3) | The portfolios of the “Fund Complex” are operational series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Lattice Strategies Trust, Hartford Funds Exchange-Traded Trust, and Hartford Schroders Opportunistic Income Fund. |
(4) | Effective November 2, 2020, Messrs. Cephas, Johnson, and Rosenberg were elected to the Board of Trustees. |
(5) | “Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of HFMC or affiliated companies. |
113 |
114 |
a) | management; |
b) | use; and |
c) | protection; |
a) | service your Transactions with us; and |
b) | support our business functions. |
a) | You; |
b) | your Transactions with us; and |
c) | third parties such as a consumer-reporting agency. |
a) | your name; |
b) | your address; |
c) | your income; |
d) | your payment; or |
e) | your credit history; |
a) | our insurance companies; |
b) | our employee agents; |
c) | our brokerage firms; and |
d) | our administrators. |
a) | market our products; or |
b) | market our services; |
a) | independent agents; |
b) | brokerage firms; |
c) | insurance companies; |
d) | administrators; and |
e) | service providers; |
a) | taking surveys; |
b) | marketing our products or services; or |
c) | offering financial products or services under a joint agreement |
a) | cookies; |
b) | pixel tagging; or |
c) | other technologies; |
a) | “opt-out;” or |
b) | “opt-in;” |
a) | your authorization; or |
b) | as otherwise allowed or required by law. |
a) | underwriting policies; |
b) | paying claims; |
c) | developing new products; or |
d) | advising customers of our products and services. |
a) | the confidentiality; and |
b) | the integrity of; |
a) | secured files; |
b) | user authentication; |
c) | encryption; |
d) | firewall technology; and |
e) | the use of detection software. |
a) | identify information to be protected; |
b) | provide an adequate level of protection for that data; and |
c) | grant access to protected data only to those people who must use |
a) | credit history; |
b) | income; |
c) | financial benefits; or |
d) | policy or claim information. |
a) | your medical records; or |
b) | information about your illness, disability or injury. |
a) | Personal Financial Information; and |
b) | Personal Health Information. |
a) | your Application; |
b) | your request for us to pay a claim; and |
c) | your request for us to take an action on your account. |
a) | asking about; |
b) | applying for; or |
c) | obtaining; |
(b) Not applicable.
Item 2. Code of Ethics.
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. A copy of the code of ethics is filed herewith
Item 3. | Audit Committee Financial Expert. |
The Board of Trustees of the registrant (the “Board”) has designated David Sung as an Audit Committee Financial Expert. Mr. Sung is considered by the Board to be an independent trustee.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were:
$110,000 for the fiscal year ended July 31, 2021; $110,000 for the fiscal year ended July 31, 2020. | |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were:
$0 for the fiscal year ended July 31, 2021; $0 for the fiscal year ended July 31, 2020. | |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were:
$40,000 for the fiscal year ended July 31, 2021; $45,200 for the fiscal year ended July 31, 2020. Tax-related services are principally in connection with, but not limited to, general tax compliance services and excise tax review. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were:
$385 for the fiscal year ended July 31, 2021; $0 for the fiscal year ended July 31, 2020. | |
(e) | Pre-Approval Policies and Procedures
(1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the registrant may be pre-approved. The following are some main provisions from the Policy.
a. The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund.
b. The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting.
c. The Audit Committee shall pre-approve certain non-audit services to the Fund and its Service Affiliates pursuant to procedures set forth in the Policy.
d. The Audit Committee, from time to time, may designate one or more of its members who are Independent Trustees (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services.
e. The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex.
(2) One hundred percent of the services described in items 4(b) through 4(d) were approved in accordance with the Audit Committee’s Pre-Approval Policy. As a result, none of such services was approved pursuant to paragraph (c) (7) (i) (c) of Rule 2-01 of Regulation S-X. |
(f) | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the year ended July 31, 2021, were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. | |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were:
Non-Audit Fees: $40,385 for the fiscal year ended July 31, 2021; $45,200 for the fiscal year ended July 31, 2020. | |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant has an audit committee that was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are Hilary E. Ackermann, Lynn S. Birdsong, Derrick D. Cephas, Paul L. Rosenberg, and David Sung. |
(b) | Not applicable. |
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the annual report 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 trustees, 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 generally effective to provide reasonable assurance, 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 have materially affected, or are 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.
Not applicable.
Item 13. Exhibits.
(a)(1) | ||
(a)(2) | ||
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
HARTFORD FUNDS EXCHANGE-TRADED TRUST | ||||
Date: October 6, 2021 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer | ||||
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. | ||||
Date: October 6, 2021 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer | ||||
Date: October 6, 2021 | By: | /s/ David A. Naab | ||
David A. Naab | ||||
Treasurer | ||||
(Principal Financial and Principal Accounting Officer) |