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: January 31, 2023
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)
■ Hartford Core Bond ETF |
■ Hartford Large Cap Growth ETF |
■ Hartford Municipal Opportunities ETF |
■ Hartford Schroders Commodity Strategy ETF |
■ Hartford Schroders ESG US Equity ETF |
■ Hartford Schroders Tax-Aware Bond ETF |
■ Hartford Short Duration ETF |
■ Hartford Sustainable Income 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. Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results. |
2 | The Consumer Price Index (CPI) in the United States is defined by the Bureau of Labor Statistics as a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. |
January 31, 2023 (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 Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Core Bond ETF (NAV Return) | -2.68% | -9.58% | -2.45% |
Core Bond ETF (Market Price Return) | -2.16% | -9.27% | -2.34% |
Bloomberg US Aggregate Bond Index | -2.37% | -8.36% | -2.41% |
1 | Not annualized. |
2 | Inception: 02/19/2020 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 21.7% |
Corporate Bonds | 22.8 |
Foreign Government Obligations | 1.4 |
Municipal Bonds | 0.8 |
U.S. Government Agencies(2) | 34.7 |
U.S. Government Securities | 42.7 |
Total | 124.1% |
Short-Term Investments | 0.2 |
Other Assets & Liabilities | (24.3) |
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) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2023. |
2 |
January 31, 2023 (Unaudited)
Inception 11/09/2021 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks capital appreciation. |
Average Annual Total Returns | |||
for the Periods Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Large Cap Growth ETF (NAV Return) | 0.62% | -21.32% | -29.47% |
Large Cap Growth ETF (Market Price Return) | 0.69% | -21.24% | -29.38% |
Russell 1000 Growth Index | -4.71% | -16.02% | -18.94% |
1 | Not annualized. |
2 | Inception: 11/09/2021 |
Composition by Sector(1) | |
as of 01/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 11.4% |
Consumer Discretionary | 21.8 |
Consumer Staples | 1.1 |
Energy | 1.8 |
Financials | 5.1 |
Health Care | 16.3 |
Industrials | 4.5 |
Information Technology | 34.9 |
Materials | 1.8 |
Total | 98.7% |
Short-Term Investments | 0.2 |
Other Assets & Liabilities | 1.1 |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
3 |
January 31, 2023 (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 Ended 01/31/2023 | ||||
Six Months1 | 1 Year | 5 Years | Since Inception2 | |
Municipal Opportunities ETF (NAV Return) | 0.38% | -3.62% | 2.22% | 2.05% |
Municipal Opportunities ETF (Market Price Return) | 0.53% | -3.54% | 2.18% | 2.07% |
Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index | 0.93% | -1.42% | 2.07% | 1.85% |
1 | Not annualized. |
2 | Inception: 12/13/2017 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Municipal Bonds | Percentage of Net Assets |
Airport | 6.3% |
Development | 3.4 |
Education | 1.1 |
Facilities | 0.1 |
General Obligation | 9.6 |
Higher Education | 4.5 |
Housing | 0.8 |
Medical | 12.4 |
Multifamily Housing | 0.3 |
Nursing Homes | 4.3 |
Other (2) | 20.6 |
Pollution | 0.4 |
Power | 4.9 |
School District | 4.9 |
Single Family Housing | 6.9 |
Student Loan | 1.6 |
Tobacco | 2.1 |
Transportation | 10.1 |
Utilities | 2.6 |
Water | 1.8 |
Total | 98.7% |
U.S. Government Agencies(3) | 0.3 |
Short-Term Investments | 0.3 |
Other Assets & Liabilities | 0.7 |
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. |
(3) | All, or a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2023. |
4 |
January 31, 2023 (Unaudited)
Inception 09/14/2021 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 to provide long-term total return. |
Average Annual Total Returns | |||
for the Periods Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Commodity Strategy ETF (NAV Return) | -9.95% | 3.82% | 9.04% |
Commodity Strategy ETF (Market Price Return) | -9.98% | 3.87% | 9.11% |
Bloomberg Commodity Index Total Return | -6.45% | 6.20% | 12.10% |
1 | Not annualized. |
2 | Inception: 09/14/2021 |
Composition by Sector(1) | |
as of 01/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Materials | 0.0% * |
Short-Term Investments | 87.2 |
Other Assets & Liabilities | 12.8 |
Total | 100.0% |
* | Percentage rounds to zero. |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
5 |
January 31, 2023 (Unaudited)
Inception 08/10/2021 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 long-term capital appreciation. |
Average Annual Total Returns | |||
for the Periods Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
ESG US Equity ETF (NAV Return) | 0.93% | -7.19% | -4.43% |
ESG US Equity ETF (Market Price Return) | 1.02% | -7.19% | -4.43% |
Russell 1000 Index | -0.14% | -8.55% | -5.37% |
1 | Not annualized. |
2 | Inception: 08/10/2021 |
Composition by Sector(1) | |
as of 01/31/2023 | |
Sector | Percentage of Net Assets |
Equity Securities | |
Communication Services | 7.5% |
Consumer Discretionary | 14.4 |
Consumer Staples | 8.8 |
Energy | 5.6 |
Financials | 11.0 |
Health Care | 15.1 |
Industrials | 10.9 |
Information Technology | 21.8 |
Materials | 2.1 |
Real Estate | 1.3 |
Utilities | 1.1 |
Total | 99.6% |
Short-Term Investments | 1.2 |
Other Assets & Liabilities | (0.8) |
Total | 100.0% |
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
6 |
January 31, 2023 (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 Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Tax-Aware Bond ETF (NAV Return) | 0.61% | -3.17% | 1.92% |
Tax-Aware Bond ETF (Market Price Return) | 0.76% | -3.07% | 1.95% |
Bloomberg Municipal Bond Index | 0.73% | -3.25% | 2.12% |
1 | Not annualized. |
2 | Inception: 04/18/2018 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Corporate Bonds | 7.2% |
Municipal Bonds | 72.6 |
U.S. Government Securities | 6.3 |
Total | 86.1% |
Short-Term Investments | 14.8 |
Other Assets & Liabilities | (0.9) |
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. |
7 |
January 31, 2023 (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 Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Short Duration ETF (NAV Return) | 1.23% | -1.93% | 1.92% |
Short Duration ETF (Market Price Return) | 1.20% | -1.95% | 1.92% |
Bloomberg 1-3 Year US Government/Credit Index | -0.32% | -2.21% | 1.14% |
1 | Not annualized. |
2 | Inception: 05/30/2018 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Category | Percentage of Net Assets |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 25.8% |
Corporate Bonds | 44.0 |
Senior Floating Rate Interests | 18.9 |
U.S. Government Agencies(2) | 3.8 |
U.S. Government Securities | 5.4 |
Total | 97.9% |
Short-Term Investments | 0.1 |
Other Assets & Liabilities | 2.0 |
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 January 31, 2023. |
8 |
January 31, 2023 (Unaudited)
Inception 09/21/2021 Sub-advised by Wellington Management Company LLP | Investment objective – The Fund seeks to provide current income and long-term total return, within a sustainability framework. |
Average Annual Total Returns | |||
for the Periods Ended 01/31/2023 | |||
Six Months1 | 1 Year | Since Inception2 | |
Sustainable Income ETF (NAV Return) | 3.20% | -6.78% | -8.01% |
Sustainable Income ETF (Market Price Return) | 3.22% | -6.78% | -7.75% |
Bloomberg US Aggregate Bond Index | -2.37% | -8.36% | -8.40% |
1 | Not annualized. |
2 | Inception: 09/21/2021 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Category | Percentage of Net Assets |
Equity Securities | |
Convertible Preferred Stocks | 0.5% |
Escrows | 0.6 |
Preferred Stocks | 0.1 |
Total | 1.2% |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 7.9% |
Convertible Bonds | 2.6 |
Corporate Bonds | 34.0 |
Foreign Government Obligations | 16.1 |
Senior Floating Rate Interests | 12.6 |
U.S. Government Agencies(2) | 10.8 |
U.S. Government Securities | 23.2 |
Total | 107.2% |
Short-Term Investments | 0.0 * |
Other Assets & Liabilities | (8.4) |
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 January 31, 2023. |
9 |
January 31, 2023 (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 Ended 01/31/2023 | ||||
Six Months1 | 1 Year | 5 Years | Since Inception2 | |
Total Return Bond ETF (NAV Return) | -1.54% | -9.24% | 1.19% | 1.03% |
Total Return Bond ETF (Market Price Return) | -0.83% | -8.87% | 1.24% | 1.09% |
Bloomberg US Aggregate Bond Index | -2.37% | -8.36% | 0.86% | 0.68% |
1 | Not annualized. |
2 | Inception: 09/27/2017 |
Composition by Security Type(1) | |
as of 01/31/2023 | |
Category | Percentage of Net Assets |
Equity Securities | |
Common Stocks | 0.0% * |
Fixed Income Securities | |
Asset & Commercial Mortgage-Backed Securities | 22.6% |
Corporate Bonds | 25.2 |
Foreign Government Obligations | 3.2 |
Municipal Bonds | 1.2 |
Senior Floating Rate Interests | 0.0 * |
U.S. Government Agencies(2) | 40.8 |
U.S. Government Securities | 25.7 |
Total | 118.7% |
Short-Term Investments | 0.2 |
Purchased Options | 0.0 * |
Other Assets & Liabilities | (18.9) |
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 January 31, 2023. |
10 |
Bloomberg 1-3 Year US Government/Credit Index (reflects no deduction for fees, expenses or taxes) is comprised of the US Government/Credit component of the Bloomberg US Aggregate Bond Index. The 1-3 Year Government/Credit Index includes securities in the 1-3 year maturity range in the Government/Credit Index. |
Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index (reflects no deduction for fees, expenses or taxes) is a sub-index of the Bloomberg Municipal Bond Index. It is a rules-based market value-weighted index of bonds with maturities of 1 year to 17 years engineered for the tax-exempt bond market. |
Bloomberg Municipal Bond Index (reflects no deduction for fees, expenses or taxes) is designed to cover the USD-denominated long-term tax-exempt bond market. |
Bloomberg US Aggregate Bond Index (reflects no deduction for fees, expenses or taxes) is composed of securities that cover the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. |
Bloomberg Commodity Index Total Return (reflects no deduction for fees, expenses or taxes) is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index ("BCOM"). This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) US Treasury Bills. |
Russell 1000 Growth Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
Russell 1000 Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest US companies based on total market capitalizations. |
Additional Information Regarding Bloomberg Index(es). “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 Hartford Funds Management Company, LLC ("HFMC"). The Funds are 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 Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds 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 Funds. Bloomberg has no obligation to take the needs of HFMC or the owners of the |
Funds 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 Funds to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to the Funds' customers, in connection with the administration, marketing or trading of the Funds. |
BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HFMC, OWNERS OF THE FUNDS 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 EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE 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 INJURY OR DAMAGES --WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE --ARISING IN CONNECTION WITH THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA OR VALUES RELATING THERETO --WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. |
11 |
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Expenses Paid During the Period August 1, 2022 through January 31, 2023 | Beginning Account Value August 1, 2022 | Ending Account Value January 31, 2023 | Expenses Paid During the Period August 1, 2022 through January 31, 2023 | Annualized expense ratio | |||||||
Hartford Core Bond ETF | $ 1,000.00 | $ 973.20 | $ 1.44 | $ 1,000.00 | $ 1,023.74 | $ 1.48 | 0.29% | ||||||
Hartford Large Cap Growth ETF | $ 1,000.00 | $ 1,006.20 | $ 2.98 | $ 1,000.00 | $ 1,022.23 | $ 3.01 | 0.59% | ||||||
Hartford Municipal Opportunities ETF | $ 1,000.00 | $ 1,003.80 | $ 1.46 | $ 1,000.00 | $ 1,023.74 | $ 1.48 | 0.29% | ||||||
Hartford Schroders Commodity Strategy ETF (Consolidated) | $ 1,000.00 | $ 900.50 | $ 4.26 | $ 1,000.00 | $ 1,020.72 | $ 4.53 | 0.89% | ||||||
Hartford Schroders ESG US Equity ETF | $ 1,000.00 | $ 1,009.30 | $ 1.98 | $ 1,000.00 | $ 1,023.24 | $ 1.99 | 0.39% | ||||||
Hartford Schroders Tax-Aware Bond ETF | $ 1,000.00 | $ 1,006.10 | $ 1.97 | $ 1,000.00 | $ 1,023.24 | $ 1.99 | 0.39% | ||||||
Hartford Short Duration ETF | $ 1,000.00 | $ 1,012.30 | $ 1.47 | $ 1,000.00 | $ 1,023.74 | $ 1.48 | 0.29% | ||||||
Hartford Sustainable Income ETF | $ 1,000.00 | $ 1,032.00 | $ 2.77 | $ 1,000.00 | $ 1,022.48 | $ 2.75 | 0.54% | ||||||
Hartford Total Return Bond ETF | $ 1,000.00 | $ 984.60 | $ 1.45 | $ 1,000.00 | $ 1,023.74 | $ 1.48 | 0.29% |
12 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% | |||
Asset-Backed - Automobile - 1.0% | |||
$ 30,000 | American Credit Acceptance Receivables Trust 4.55%, 10/13/2026(1) | $ 29,634 | |
140,000 | DT Auto Owner Trust 5.19%, 10/16/2028 | 139,878 | |
Exeter Automobile Receivables Trust | |||
155,000 | 4.57%, 01/15/2027 | 152,655 | |
87,000 | 6.03%, 08/16/2027 | 88,253 | |
Flagship Credit Auto Trust | |||
259,000 | 4.69%, 07/17/2028(1) | 254,566 | |
77,000 | 5.05%, 01/18/2028 | 76,991 | |
45,000 | GLS Auto Receivables Issuer Trust 4.92%, 01/15/2027(1) | 44,594 | |
105,000 | Prestige Auto Receivables Trust 1.62%, 11/16/2026(1) | 102,716 | |
Santander Drive Auto Receivables Trust | |||
380,000 | 4.42%, 11/15/2027 | 374,384 | |
120,000 | 4.43%, 03/15/2027 | 118,396 | |
85,000 | 4.72%, 06/15/2027 | 84,403 | |
160,000 | 4.98%, 02/15/2028 | 159,613 | |
350,000 | 5.95%, 01/17/2028 | 357,185 | |
Westlake Automobile Receivables Trust | |||
105,000 | 1.65%, 02/17/2026(1) | 99,994 | |
280,000 | 4.31%, 09/15/2027(1) | 274,288 | |
90,000 | 5.41%, 01/18/2028 | 90,055 | |
2,447,605 | |||
Asset-Backed - Credit Card - 0.0% | |||
110,000 | Mercury Financial Credit Card Master Trust 1.54%, 03/20/2026(1) | 110,000 | |
Asset-Backed - Finance & Insurance - 4.8% | |||
380,000 | Bain Capital Credit CLO Ltd. 6.00%, 07/25/2034, 3 mo. USD LIBOR + 1.180%(1)(2) | 374,395 | |
563,475 | Barings CLO Ltd. 6.00%, 10/20/2030, 3 mo. USD LIBOR + 1.190%(1)(2) | 558,912 | |
64,699 | BHG Securitization Trust 0.90%, 10/17/2034(1) | 61,210 | |
BlueMountain CLO Ltd. | |||
460,000 | 5.87%, 11/20/2034, 3 mo. USD LIBOR + 1.190%(1)(2) | 452,065 | |
250,000 | 5.91%, 04/20/2034, 3 mo. USD LIBOR + 1.100%(1)(2) | 246,198 | |
470,000 | 5.95%, 04/19/2034, 3 mo. USD LIBOR + 1.150%(1)(2) | 463,474 | |
246,409 | Carlyle Global Market Strategies CLO Ltd. 5.66%, 05/15/2031, 3 mo. USD LIBOR + 1.050%(1)(2) | 244,167 | |
270,000 | Carlyle U.S. CLO Ltd. 5.83%, 04/20/2031, 3 mo. USD LIBOR + 1.020%(1)(2) | 267,002 | |
300,000 | CIFC Funding Ltd. 5.98%, 10/20/2034, 3 mo. USD LIBOR + 1.170%(1)(2) | 295,919 | |
Dryden CLO Ltd. | |||
270,000 | 5.81%, 04/15/2031, 3 mo. USD LIBOR + 1.020%(1)(2) | 267,752 | |
410,000 | 5.89%, 07/17/2034, 3 mo. USD LIBOR + 1.100%(1)(2) | 403,387 | |
640,000 | FS Rialto 5.71%, 11/16/2036, 1 mo. USD LIBOR + 1.250%(1)(2) | 612,578 | |
785,000 | Galaxy XXIV CLO Ltd. 5.91%, 01/15/2031, 3 mo. USD LIBOR + 1.120%(1)(2) | 778,524 | |
Madison Park Funding Ltd. | |||
385,000 | 5.91%, 07/17/2034, 3 mo. USD LIBOR + 1.120%(1)(2) | 379,553 | |
270,000 | 6.05%, 01/15/2033, 3 mo. USD LIBOR + 1.260%(1)(2) | 268,017 | |
250,000 | Magnetite Ltd. 5.91%, 07/20/2031, 3 mo. USD LIBOR + 1.100%(1)(2) | 247,989 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Asset-Backed - Finance & Insurance - 4.8% - (continued) | |||
$ 40,763 | Marlette Funding Trust 0.65%, 12/15/2031(1) | $ 40,299 | |
330,000 | MF1 Ltd. 6.06%, 02/19/2037, 3 mo. USD SOFR + 1.750%(1)(2) | 314,393 | |
Octagon Investment Partners Ltd. | |||
785,000 | 5.65%, 02/14/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 775,384 | |
255,000 | 6.00%, 04/15/2035, 3 mo. USD SOFR + 1.340%(1)(2) | 245,959 | |
Progress Residential Trust | |||
404,035 | 1.51%, 10/17/2038(1) | 357,111 | |
107,485 | 4.45%, 06/17/2039(1) | 104,364 | |
345,000 | Regatta Funding Ltd. 5.97%, 04/20/2034, 3 mo. USD LIBOR + 1.160%(1)(2) | 340,139 | |
395,000 | RR LLC 5.94%, 07/15/2035, 3 mo. USD LIBOR + 1.150%(1)(2) | 389,916 | |
340,000 | RR Ltd. 5.90%, 07/15/2036, 3 mo. USD LIBOR + 1.110%(1)(2) | 335,137 | |
Sound Point CLO Ltd. | |||
785,000 | 5.79%, 04/15/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 771,435 | |
390,000 | 5.89%, 04/25/2034, 3 mo. USD LIBOR + 1.070%(1)(2) | 380,529 | |
129,700 | Upstart Securitization Trust 0.84%, 09/20/2031(1) | 126,056 | |
Venture CLO Ltd. | |||
390,000 | 5.92%, 04/15/2034, 3 mo. USD LIBOR + 1.130%(1)(2) | 377,685 | |
660,000 | 5.94%, 07/15/2032, 3 mo. USD LIBOR + 1.150%(1)(2) | 648,615 | |
150,000 | 6.03%, 04/15/2034, 3 mo. USD LIBOR + 1.240%(1)(2) | 145,886 | |
250,000 | Voya CLO Ltd. 5.98%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(1)(2) | 248,487 | |
300,000 | Wellfleet CLO Ltd. 5.98%, 07/20/2032, 3 mo. USD LIBOR + 1.170%(1)(2) | 293,027 | |
11,815,564 | |||
Commercial Mortgage-Backed Securities - 3.8% | |||
235,000 | 245 Park Avenue Trust 3.51%, 06/05/2037(1) | 215,001 | |
120,000 | Barclays Commercial Mortgage Trust 4.60%, 06/15/2055(3) | 119,336 | |
BBCMS Mortgage Trust | |||
175,000 | 5.44%, 12/15/2055(3) | 185,401 | |
55,000 | 5.71%, 12/15/2055(3) | 59,453 | |
Benchmark Mortgage Trust | |||
561,567 | 1.52%, 01/15/2054(3)(4) | 48,500 | |
617,315 | 1.79%, 07/15/2053(3)(4) | 48,246 | |
180,638 | BX Commercial Mortgage Trust 5.51%, 10/15/2036, 1 mo. USD SOFR + 1.034%(1)(2) | 179,850 | |
59,908 | Citigroup Commercial Mortgage Trust 3.61%, 11/10/2048 | 58,499 | |
Commercial Mortgage Trust | |||
100,000 | 2.82%, 01/10/2039(1) | 87,691 | |
35,000 | 3.18%, 02/10/2048 | 33,674 | |
150,000 | 3.31%, 03/10/2048 | 144,116 | |
110,000 | 3.38%, 01/10/2039(1) | 94,191 | |
210,000 | 3.61%, 08/10/2049(1)(3) | 199,951 | |
30,000 | CSAIL Commercial Mortgage Trust 4.36%, 11/15/2051(3) | 29,432 | |
97,732 | CSMC Trust 2.26%, 08/15/2037(1) | 88,771 | |
280,000 | DBGS Mortgage Trust 4.47%, 10/15/2051 | 271,940 | |
DBJPM Mortgage Trust | |||
467,890 | 1.71%, 09/15/2053(3)(4) | 32,288 | |
32,202 | 3.04%, 05/10/2049 | 31,104 |
13 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Commercial Mortgage-Backed Securities - 3.8% - (continued) | |||
$ 154,128 | FirstKey Homes Trust 4.15%, 05/17/2039(1) | $ 149,121 | |
FREMF Mortgage Trust | |||
295,000 | 3.61%, 04/25/2048(1)(3) | 285,047 | |
90,000 | 3.67%, 11/25/2049(1)(3) | 86,680 | |
230,000 | 3.76%, 07/25/2026(1)(3) | 218,495 | |
225,000 | 3.95%, 06/25/2049(1)(3) | 215,379 | |
315,000 | 4.16%, 08/25/2047(1)(3) | 308,182 | |
GS Mortgage Securities Trust | |||
375,000 | 3.44%, 11/10/2049(3) | 354,462 | |
45,000 | 5.21%, 08/15/2036, 1 mo. USD SOFR + 0.731%(1)(2) | 44,699 | |
200,000 | Hawaii Hotel Trust 5.61%, 05/15/2038, 1 mo. USD LIBOR + 1.150%(1)(2) | 196,492 | |
1,097,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.82%, 08/15/2049 | 1,020,968 | |
JPMBB Commercial Mortgage Securities Trust | |||
56,544 | 3.56%, 12/15/2048 | 54,994 | |
635,000 | 3.58%, 03/17/2049 | 609,417 | |
JPMDB Commercial Mortgage Securities Trust | |||
99,333 | 2.95%, 06/15/2049 | 95,483 | |
632,000 | 3.14%, 12/15/2049 | 591,360 | |
142,704 | 3.24%, 10/15/2050 | 136,889 | |
486,570 | Life Mortgage Trust 5.16%, 03/15/2038, 1 mo. USD LIBOR + 0.700%(1)(2) | 474,942 | |
210,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 203,465 | |
50,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 46,644 | |
Wells Fargo Commercial Mortgage Trust | |||
360,000 | 3.15%, 05/15/2048 | 344,498 | |
719,000 | 3.43%, 03/15/2059 | 686,374 | |
55,759 | 3.52%, 12/15/2048 | 54,231 | |
420,000 | 3.64%, 03/15/2050 | 397,413 | |
235,000 | 3.81%, 12/15/2048 | 227,327 | |
Wells Fargo N.A. | |||
3,996,435 | 0.64%, 11/15/2062(3)(4) | 140,149 | |
958,118 | 0.94%, 02/15/2052(3)(4) | 40,407 | |
1,484,283 | 1.34%, 11/15/2053(3)(4) | 110,327 | |
1,253,812 | 1.76%, 03/15/2063(3)(4) | 124,332 | |
170,000 | 2.04%, 02/15/2054 | 140,104 | |
145,000 | 4.41%, 11/15/2061(3) | 142,790 | |
5,230 | WFRBS Commercial Mortgage Trust 2.98%, 06/15/2046 | 5,201 | |
9,433,316 | |||
Other Asset-Backed Securities - 3.2% | |||
Affirm Asset Securitization Trust | |||
25,447 | 1.90%, 01/15/2025(1) | 24,963 | |
9,633 | 3.46%, 10/15/2024(1) | 9,562 | |
130,000 | Amur Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) | 129,237 | |
100,000 | Arbor Realty Commercial Real Estate Notes Ltd. 5.55%, 05/15/2036, 1 mo. USD LIBOR + 1.100%(1)(2) | 98,198 | |
150,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 144,595 | |
711,112 | DB Master Finance LLC 4.35%, 05/20/2049(1) | 678,844 | |
Domino's Pizza Master Issuer LLC | |||
152,288 | 2.66%, 04/25/2051(1) | 132,714 | |
436,500 | 3.67%, 10/25/2049(1) | 392,998 | |
209,000 | 4.12%, 07/25/2047(1) | 198,952 | |
270,000 | KKR CLO Ltd. 5.79%, 04/15/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 267,719 | |
172,498 | Navient Private Education Refi Loan Trust 0.97%, 12/16/2069(1) | 149,282 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Other Asset-Backed Securities - 3.2% - (continued) | |||
$ 330,000 | New Residential Advance Receivables Trust 1.43%, 08/15/2053(1) | $ 319,931 | |
305,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(1) | 295,232 | |
Pretium Mortgage Credit Partners LLC | |||
194,153 | 1.74%, 07/25/2051(1) | 177,555 | |
534,886 | 1.84%, 09/25/2051(1) | 485,719 | |
129,192 | 1.87%, 07/25/2051(1) | 114,302 | |
248,057 | 1.99%, 02/25/2061(1) | 228,334 | |
451,121 | 2.36%, 10/27/2060(1) | 420,454 | |
546,567 | 2.49%, 10/25/2051(1) | 499,353 | |
Progress Residential Trust | |||
145,000 | 3.20%, 04/17/2039(1) | 134,752 | |
399,297 | 4.44%, 05/17/2041(1) | 384,178 | |
180,000 | 4.75%, 10/27/2039(1) | 177,156 | |
100,000 | Regional Management Issuance Trust 2.34%, 10/15/2030(1) | 93,657 | |
59,692 | SCF Equipment Leasing LLC 1.19%, 10/20/2027(1) | 58,559 | |
27,815 | SoFi Consumer Loan Program Trust 0.49%, 09/25/2030(1) | 27,184 | |
60,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(1) | 54,564 | |
75,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 66,962 | |
655,000 | Tricon Residential Trust 3.86%, 04/17/2039(1) | 624,864 | |
44,820 | Upstart Securitization Trust 0.83%, 07/20/2031(1) | 43,946 | |
235,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 210,713 | |
272,821 | VOLT CIII LLC 1.99%, 08/25/2051(1) | 254,932 | |
213,230 | VOLT XCIII LLC 1.89%, 02/27/2051(1) | 191,359 | |
160,442 | VOLT XCIV LLC 2.24%, 02/27/2051(1) | 150,198 | |
194,980 | VOLT XCIX LLC 2.12%, 04/25/2051(1) | 177,103 | |
111,095 | VOLT XCV LLC 2.24%, 03/27/2051(1) | 102,509 | |
201,925 | Wendy's Funding LLC 2.37%, 06/15/2051(1) | 170,901 | |
99,000 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 87,521 | |
7,779,002 | |||
Whole Loan Collateral CMO - 8.9% | |||
339,718 | 510 Asset Backed Trust 2.12%, 06/25/2061(1) | 309,020 | |
Angel Oak Mortgage Trust | |||
101,795 | 0.91%, 01/25/2066(1)(3) | 86,829 | |
343,140 | 0.95%, 07/25/2066(1)(3) | 296,972 | |
64,855 | 0.99%, 04/25/2053(1)(3) | 59,963 | |
83,159 | 0.99%, 04/25/2066(1)(3) | 69,526 | |
217,824 | 1.04%, 01/20/2065(1)(3) | 178,896 | |
169,181 | 1.07%, 05/25/2066(1)(3) | 143,709 | |
485,429 | 1.46%, 09/25/2066(1)(3) | 401,021 | |
33,172 | 1.47%, 06/25/2065(1)(3) | 30,069 | |
52,524 | 1.69%, 04/25/2065(1)(3) | 48,431 | |
244,574 | 1.82%, 11/25/2066(1)(3) | 207,825 | |
625,496 | 2.88%, 12/25/2066(1) | 570,837 | |
1,246 | Angel Oak Mortgage Trust LLC 3.65%, 09/25/2048(1)(3) | 1,241 | |
28,608 | Arroyo Mortgage Trust 3.81%, 01/25/2049(1)(3) | 26,784 | |
165,012 | BINOM Securitization Trust 2.03%, 06/25/2056(1)(3) | 147,316 | |
BRAVO Residential Funding Trust | |||
59,979 | 0.94%, 02/25/2049(1)(3) | 52,819 | |
83,655 | 0.97%, 03/25/2060(1)(3) | 79,403 | |
413,346 | 1.62%, 03/01/2061(1) | 373,825 | |
Bunker Hill Loan Depositary Trust | |||
59,690 | 1.72%, 02/25/2055(1)(3) | 57,038 | |
28,242 | 2.88%, 07/25/2049(1) | 26,467 |
14 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Whole Loan Collateral CMO - 8.9% - (continued) | |||
$ 77,068 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | $ 64,871 | |
438,850 | CIM Trust 1.43%, 07/25/2061(1)(3) | 391,856 | |
COLT Mortgage Loan Trust | |||
42,241 | 0.80%, 07/27/2054(1) | 36,468 | |
133,975 | 0.91%, 06/25/2066(1)(3) | 108,988 | |
213,372 | 0.92%, 08/25/2066(1)(3) | 174,059 | |
403,883 | 0.96%, 09/27/2066(1)(3) | 326,792 | |
502,786 | 1.11%, 10/25/2066(1)(3) | 417,919 | |
55,921 | 1.33%, 10/26/2065(1)(3) | 50,539 | |
257,256 | 1.39%, 01/25/2065(1)(3) | 224,312 | |
36,018 | 1.51%, 04/27/2065(1)(3) | 33,811 | |
563,251 | 2.28%, 12/27/2066(1)(3) | 503,630 | |
97,254 | 4.30%, 03/25/2067(1)(3) | 92,617 | |
68,844 | Connecticut Avenue Securities Trust 6.86%, 07/25/2042, 1 mo. USD SOFR + 2.550%(1)(2) | 69,533 | |
CSMC Trust | |||
100,841 | 0.83%, 03/25/2056(1)(3) | 85,172 | |
206,056 | 0.94%, 05/25/2066(1)(3) | 165,898 | |
503,113 | 1.17%, 07/25/2066(1)(3) | 410,443 | |
178,047 | 1.18%, 02/25/2066(1)(3) | 148,158 | |
92,055 | 1.21%, 05/25/2065(1) | 84,289 | |
82,872 | 1.80%, 12/27/2060(1)(3) | 74,597 | |
252,077 | 1.84%, 10/25/2066(1)(3) | 207,133 | |
170,650 | 2.00%, 01/25/2060(1)(3) | 151,250 | |
605,619 | 2.27%, 11/25/2066(1)(3) | 536,064 | |
Deephaven Residential Mortgage Trust | |||
30,073 | 0.72%, 05/25/2065(1)(3) | 27,104 | |
60,001 | 0.90%, 04/25/2066(1)(3) | 52,009 | |
Ellington Financial Mortgage Trust | |||
36,885 | 0.80%, 02/25/2066(1)(3) | 30,707 | |
63,221 | 0.93%, 06/25/2066(1)(3) | 51,688 | |
27,182 | 1.18%, 10/25/2065(1)(3) | 24,609 | |
349,979 | 1.24%, 09/25/2066(1)(3) | 284,519 | |
281,445 | 2.21%, 01/25/2067(1)(3) | 242,510 | |
586,682 | FirstKey Homes Trust 4.25%, 07/17/2039(1) | 565,449 | |
GCAT Trust | |||
116,095 | 0.87%, 01/25/2066(1)(3) | 105,475 | |
118,363 | 1.04%, 05/25/2066(1)(3) | 100,931 | |
348,612 | 1.09%, 08/25/2066(1)(3) | 285,005 | |
493,195 | 1.26%, 07/25/2066(1)(3) | 397,902 | |
23,930 | 1.56%, 04/25/2065(1) | 21,623 | |
187,959 | 1.92%, 08/25/2066(1)(3) | 168,311 | |
10,702 | 2.25%, 01/25/2060(1) | 10,128 | |
Imperial Fund Mortgage Trust | |||
194,289 | 1.07%, 09/25/2056(1)(3) | 159,338 | |
593,688 | 2.09%, 01/25/2057(1)(3) | 484,973 | |
660,700 | 3.64%, 03/25/2067(1) | 617,097 | |
Legacy Mortgage Asset Trust | |||
95,966 | 1.65%, 11/25/2060(1) | 81,045 | |
85,158 | 1.75%, 04/25/2061(1) | 72,605 | |
114,385 | 1.75%, 07/25/2061(1) | 106,502 | |
MetLife Securitization Trust | |||
41,249 | 3.75%, 03/25/2057(1)(3) | 39,128 | |
40,094 | 3.75%, 04/25/2058(1)(3) | 39,032 | |
MFA Trust | |||
25,253 | 1.01%, 01/26/2065(1)(3) | 23,331 | |
147,599 | 1.03%, 11/25/2064(1)(3) | 122,649 | |
74,723 | 1.15%, 04/25/2065(1)(3) | 70,183 | |
Mill City Mortgage Loan Trust | |||
92,339 | 3.25%, 10/25/2069(1)(3) | 88,456 | |
29,987 | 3.50%, 05/25/2058(1)(3) | 29,320 | |
New Residential Mortgage Loan Trust | |||
84,824 | 0.94%, 07/25/2055(1)(3) | 73,228 | |
59,339 | 0.94%, 10/25/2058(1)(3) | 53,757 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Whole Loan Collateral CMO - 8.9% - (continued) | |||
$ 404,213 | 1.16%, 11/27/2056(1)(3) | $ 339,383 | |
20,559 | 1.65%, 05/24/2060(1)(3) | 18,890 | |
554,108 | 2.28%, 04/25/2061(1)(3) | 489,689 | |
97,768 | 3.50%, 12/25/2057(1)(3) | 93,341 | |
16,069 | 3.75%, 03/25/2056(1)(3) | 14,880 | |
44,327 | 3.75%, 11/25/2058(1)(3) | 41,766 | |
190,691 | 4.00%, 03/25/2057(1)(3) | 180,274 | |
206,004 | 4.00%, 12/25/2057(1)(3) | 196,642 | |
248,565 | NMLT Trust 1.19%, 05/25/2056(1)(3) | 198,568 | |
OBX Trust | |||
249,851 | 1.05%, 07/25/2061(1)(3) | 198,606 | |
167,735 | 1.07%, 02/25/2066(1)(3) | 140,302 | |
496,275 | 2.31%, 11/25/2061(1)(3) | 436,695 | |
Preston Ridge Partners Mortgage Trust LLC | |||
93,371 | 1.32%, 07/25/2051(1) | 84,235 | |
241,236 | 1.74%, 09/25/2026(1)(3) | 222,207 | |
159,075 | 1.79%, 06/25/2026(1) | 146,369 | |
243,716 | 1.79%, 07/25/2026(1) | 225,754 | |
272,975 | 1.87%, 04/25/2026(1) | 251,886 | |
373,586 | 1.87%, 08/25/2026(1) | 344,117 | |
64,167 | 2.12%, 03/25/2026(1)(3) | 60,731 | |
54,093 | 2.36%, 11/25/2025(1) | 52,157 | |
476,023 | 2.36%, 10/25/2026(1) | 442,125 | |
62,210 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(3) | 57,412 | |
19,693 | Seasoned Credit Risk Transfer Trust 2.50%, 08/25/2059 | 18,215 | |
Starwood Mortgage Residential Trust | |||
47,704 | 0.94%, 05/25/2065(1)(3) | 44,404 | |
423,468 | 1.16%, 08/25/2056(1)(3) | 355,170 | |
137,389 | 1.22%, 05/25/2065(1)(3) | 122,267 | |
21,183 | 1.49%, 04/25/2065(1)(3) | 19,902 | |
384,676 | 1.92%, 11/25/2066(1)(3) | 328,433 | |
190,000 | Toorak Mortgage Corp. Ltd. 2.24%, 06/25/2024(1) | 180,638 | |
Towd Point Mortgage Trust | |||
119,873 | 1.75%, 10/25/2060(1) | 107,390 | |
177,803 | 2.16%, 01/25/2052(1)(3) | 173,919 | |
62,525 | 2.75%, 10/25/2056(1)(3) | 61,593 | |
164,872 | 2.75%, 06/25/2057(1)(3) | 157,241 | |
87,098 | 2.75%, 07/25/2057(1)(3) | 84,800 | |
153,005 | 2.75%, 10/25/2057(1)(3) | 146,150 | |
49,634 | 2.90%, 10/25/2059(1)(3) | 46,228 | |
358,855 | 2.92%, 11/30/2060(1)(3) | 290,461 | |
37,969 | 3.25%, 03/25/2058(1)(3) | 36,583 | |
191,452 | 3.73%, 03/25/2058(1)(3) | 184,285 | |
167,660 | TRK Trust 1.15%, 07/25/2056(1)(3) | 145,490 | |
VCAT LLC | |||
134,083 | 1.74%, 05/25/2051(1) | 119,325 | |
735,675 | 1.87%, 08/25/2051(1) | 674,893 | |
515,632 | 1.92%, 09/25/2051(1) | 478,715 | |
54,425 | 2.12%, 03/27/2051(1) | 51,568 | |
Verus Securitization Trust | |||
80,520 | 0.92%, 02/25/2064(1)(3) | 71,392 | |
172,176 | 0.94%, 07/25/2066(1)(3) | 141,238 | |
439,446 | 1.01%, 09/25/2066(1)(3) | 367,830 | |
69,846 | 1.03%, 02/25/2066(1)(3) | 60,529 | |
54,002 | 1.22%, 05/25/2065(1) | 49,563 | |
36,176 | 1.50%, 05/25/2065(1) | 33,353 | |
267,133 | 1.82%, 11/25/2066(1)(3) | 232,197 | |
532,241 | 1.83%, 10/25/2066(1)(3) | 460,520 |
15 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.7% - (continued) | |||
Whole Loan Collateral CMO - 8.9% - (continued) | |||
$ 37,504 | 2.69%, 11/25/2059(1)(3) | $ 35,796 | |
379,944 | 2.72%, 01/25/2067(1) | 341,039 | |
21,812,160 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $58,063,594) | $ 53,397,647 | ||
CORPORATE BONDS - 22.8% | |||
Aerospace/Defense - 0.4% | |||
346,000 | Boeing Co. 5.04%, 05/01/2027 | $ 348,897 | |
100,000 | L3Harris Technologies, Inc. 4.40%, 06/15/2028 | 98,603 | |
155,000 | Lockheed Martin Corp. 4.95%, 10/15/2025 | 157,310 | |
270,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 275,005 | |
879,815 | |||
Agriculture - 0.5% | |||
BAT Capital Corp. | |||
96,000 | 4.74%, 03/16/2032 | 88,493 | |
253,000 | 7.75%, 10/19/2032 | 281,393 | |
Cargill, Inc. | |||
255,000 | 2.13%, 11/10/2031(1) | 208,619 | |
170,000 | 4.00%, 06/22/2032(1) | 163,172 | |
Philip Morris International, Inc. | |||
315,000 | 5.13%, 11/17/2027 | 321,399 | |
110,000 | 5.63%, 11/17/2029 | 114,634 | |
155,000 | Reynolds American, Inc. 5.70%, 08/15/2035 | 147,836 | |
1,325,546 | |||
Beverages - 0.1% | |||
31,000 | Anheuser-Busch InBev Worldwide, Inc. 4.35%, 06/01/2040 | 28,745 | |
200,000 | Diageo Capital plc 2.00%, 04/29/2030 | 170,138 | |
198,883 | |||
Biotechnology - 0.6% | |||
CSL Finance plc | |||
230,000 | 4.05%, 04/27/2029(1) | 222,367 | |
230,000 | 4.25%, 04/27/2032(1) | 223,889 | |
250,000 | Gilead Sciences, Inc. 1.65%, 10/01/2030 | 205,720 | |
Royalty Pharma plc | |||
180,000 | 1.75%, 09/02/2027 | 156,205 | |
280,000 | 2.15%, 09/02/2031 | 222,152 | |
440,000 | 2.20%, 09/02/2030 | 357,765 | |
1,388,098 | |||
Chemicals - 0.3% | |||
366,000 | Celanese U.S. Holdings LLC 6.17%, 07/15/2027 | 370,212 | |
Sherwin-Williams Co. | |||
302,000 | 2.30%, 05/15/2030 | 257,552 | |
2,000 | 2.95%, 08/15/2029 | 1,794 | |
629,558 | |||
Commercial Banks - 7.6% | |||
Bank of America Corp. | |||
435,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 3 mo. USD SOFR + 1.370% thereafter)(5) | 349,085 | |
155,000 | 2.57%, 10/20/2032, (2.57% fixed rate until 10/20/2031; 3 mo. USD SOFR + 1.210% thereafter)(5) | 127,994 | |
1,705,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.320% thereafter)(5) | 1,435,838 | |
671,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD LIBOR + 1.210% thereafter)(5) | 632,804 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 300,000 | 4.95%, 07/22/2028, (4.95% fixed rate until 07/22/2027; 3 mo. USD SOFR + 2.040% thereafter)(5) | $ 300,041 | |
150,000 | 5.02%, 07/22/2033, (5.02% fixed rate until 07/22/2032; 3 mo. USD SOFR + 2.160% thereafter)(5) | 149,615 | |
55,000 | Bank of New York Mellon Corp. 4.71%, 02/01/2034 | 54,622 | |
255,000 | Barclays plc 7.39%, 11/02/2028, (7.39% fixed rate until 11/02/2027; 12 mo. USD CMT + 3.300% thereafter)(5) | 276,132 | |
BNP Paribas S.A. | |||
400,000 | 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(1)(5) | 372,729 | |
225,000 | 5.13%, 01/13/2029 | 226,533 | |
250,000 | BPCE S.A. 2.05%, 10/19/2027, (2.05% fixed rate until 10/19/2026; 3 mo. USD SOFR + 1.087% thereafter)(1)(5) | 220,904 | |
400,000 | Credit Agricole S.A. 5.30%, 07/12/2028 | 407,615 | |
250,000 | Credit Suisse AG 7.50%, 02/15/2028 | 262,102 | |
Credit Suisse Group AG | |||
250,000 | 6.44%, 08/11/2028, (6.44% fixed rate until 08/11/2027; 3 mo. USD SOFR + 3.700% thereafter)(1)(5) | 241,418 | |
815,000 | 6.54%, 08/12/2033, (6.54% fixed rate until 08/12/2032; 3 mo. USD SOFR + 3.920% thereafter)(1)(5) | 779,199 | |
150,000 | Deutsche Bank AG 6.72%, 01/18/2029, (6.72% fixed rate until 01/18/2028; 3 mo. USD SOFR + 3.180% thereafter)(5) | 157,595 | |
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)(5) | 43,912 | |
200,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.248% thereafter)(5) | 162,812 | |
816,000 | 2.60%, 02/07/2030 | 708,223 | |
470,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.281% thereafter)(5) | 392,095 | |
55,000 | 2.65%, 10/21/2032, (2.65% fixed rate until 10/21/2031; 3 mo. USD SOFR + 1.264% thereafter)(5) | 45,249 | |
80,000 | 3.10%, 02/24/2033, (3.10% fixed rate until 02/24/2032; 3 mo. USD SOFR + 1.410% thereafter)(5) | 68,346 | |
65,000 | 4.48%, 08/23/2028, (4.48% fixed rate until 08/23/2027; 3 mo. USD SOFR + 1.725% thereafter)(5) | 63,770 | |
HSBC Holdings plc | |||
200,000 | 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD SOFR + 1.290% thereafter)(5) | 176,978 | |
230,000 | 2.21%, 08/17/2029, (2.21% fixed rate until 08/17/2028; 3 mo. USD SOFR + 1.285% thereafter)(5) | 194,702 | |
200,000 | 2.80%, 05/24/2032, (2.80% fixed rate until 05/24/2031; 3 mo. USD SOFR + 1.187% thereafter)(5) | 164,183 | |
405,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(5) | 391,672 |
16 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 200,000 | 4.76%, 03/29/2033, (4.76% fixed rate until 03/29/2032; 3 mo. USD SOFR + 2.530% thereafter)(5) | $ 184,083 | |
445,000 | 5.21%, 08/11/2028, (5.21% fixed rate until 08/11/2027; 3 mo. USD SOFR + 2.610% thereafter)(5) | 446,442 | |
610,000 | 5.40%, 08/11/2033, (5.40% fixed rate until 08/11/2032; 3 mo. USD SOFR + 2.870% thereafter)(5) | 607,626 | |
JP Morgan Chase & Co. | |||
1,178,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 3 mo. USD SOFR + 1.160% thereafter)(5) | 1,120,913 | |
480,000 | 2.55%, 11/08/2032, (2.55% fixed rate until 11/08/2031; 3 mo. USD SOFR + 1.180% thereafter)(5) | 397,176 | |
825,000 | 2.58%, 04/22/2032, (2.58% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.250% thereafter)(5) | 692,656 | |
77,000 | 4.49%, 03/24/2031, (4.49% fixed rate until 03/24/2030; 3 mo. USD SOFR + 3.790% thereafter)(5) | 75,011 | |
45,000 | 4.59%, 04/26/2033, (4.59% fixed rate until 04/26/2032; 3 mo. USD SOFR + 1.800% thereafter)(5) | 43,570 | |
390,000 | 4.85%, 07/25/2028, (4.85% fixed rate until 07/25/2027; 3 mo. USD SOFR + 1.990% thereafter)(5) | 389,416 | |
85,000 | 4.91%, 07/25/2033, (4.91% fixed rate until 07/25/2032; 3 mo. USD SOFR + 2.080% thereafter)(5) | 84,394 | |
78,000 | KeyCorp. 2.55%, 10/01/2029 | 67,727 | |
Morgan Stanley | |||
160,000 | 1.59%, 05/04/2027, (1.59% fixed rate until 05/04/2026; 3 mo. USD SOFR + 0.879% thereafter)(5) | 143,590 | |
245,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(5) | 193,334 | |
95,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 3 mo. USD SOFR + 1.020% thereafter)(5) | 75,270 | |
475,000 | 2.48%, 01/21/2028, (2.48% fixed rate until 01/21/2027; 3 mo. USD SOFR + 1.000% thereafter)(5) | 432,442 | |
160,000 | 2.51%, 10/20/2032, (2.51% fixed rate until 10/20/2031; 3 mo. USD SOFR + 1.200% thereafter)(5) | 131,791 | |
317,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(5) | 274,487 | |
91,000 | 3.97%, 07/22/2038, (3.97% fixed rate until 07/22/2037; 3 mo. USD LIBOR + 1.455% thereafter)(5) | 81,117 | |
495,000 | 4.21%, 04/20/2028, (4.21% fixed rate until 04/20/2027; 3 mo. USD SOFR + 1.610% thereafter)(5) | 479,847 | |
35,000 | 4.89%, 07/20/2033, (4.89% fixed rate until 07/20/2032; 3 mo. USD SOFR + 2.076% thereafter)(5) | 34,576 | |
255,000 | 5.12%, 02/01/2029, (5.12% fixed rate until 02/01/2028; 3 mo. USD SOFR + 1.730% thereafter)(5) | 257,360 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Commercial Banks - 7.6% - (continued) | |||
$ 40,000 | 5.95%, 01/19/2038, 5 year USD CMT + 2.430% | $ 40,717 | |
Societe Generale S.A. | |||
610,000 | 6.22%, 06/15/2033, (6.22% fixed rate until 06/15/2032; 12 mo. USD CMT + 3.200% thereafter)(1)(5) | 604,191 | |
305,000 | 6.45%, 01/10/2029, (6.45% fixed rate until 01/10/2028; 12 mo. USD CMT + 2.550% thereafter)(1)(5) | 315,854 | |
200,000 | Standard Chartered plc 7.77%, 11/16/2028, (7.77% fixed rate until 11/16/2027; 12 mo. USD CMT + 3.450% thereafter)(1)(5) | 220,823 | |
110,000 | State Street Corp. 5.82%, 11/04/2028, (5.82% fixed rate until 11/04/2027; 3 mo. USD SOFR + 1.715% thereafter)(5) | 115,349 | |
Truist Financial Corp. | |||
160,000 | 1.89%, 06/07/2029, (1.89% fixed rate until 06/07/2028; 3 mo. USD SOFR + 0.862% thereafter)(5) | 138,119 | |
150,000 | 4.87%, 01/26/2029 | 150,631 | |
45,000 | 5.12%, 01/26/2034 | 45,451 | |
205,000 | UBS Group AG 4.75%, 05/12/2028, (4.75% fixed rate until 05/12/2027; 12 mo. USD CMT + 1.750% thereafter)(1)(5) | 201,219 | |
Wells Fargo & Co. | |||
489,000 | 2.41%, 10/30/2025, (2.41% fixed rate until 10/30/2024; 3 mo. USD SOFR + 1.087% thereafter)(5) | 466,640 | |
310,000 | 3.35%, 03/02/2033, (3.35% fixed rate until 03/02/2032; 3 mo. USD SOFR + 1.500% thereafter)(5) | 272,861 | |
265,000 | 3.91%, 04/25/2026, (3.91% fixed rate until 04/25/2025; 3 mo. USD SOFR + 1.320% thereafter)(5) | 258,773 | |
295,000 | 4.81%, 07/25/2028, (4.81% fixed rate until 07/25/2027; 3 mo. USD SOFR + 1.980% thereafter)(5) | 293,906 | |
735,000 | 4.90%, 07/25/2033, (4.90% fixed rate until 07/25/2032; 3 mo. USD SOFR + 2.100% thereafter)(5) | 730,345 | |
161,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD SOFR + 4.502% thereafter)(5) | 157,767 | |
18,631,642 | |||
Commercial Services - 0.1% | |||
Howard University (AGM Insured) | |||
100,000 | 2.90%, 10/01/2031 | 83,911 | |
70,000 | 3.48%, 10/01/2041 | 54,154 | |
138,065 | |||
Diversified Financial Services - 0.3% | |||
Capital One Financial Corp. | |||
530,000 | 5.25%, 07/26/2030, (5.25% fixed rate until 07/26/2029; 3 mo. USD SOFR + 2.600% thereafter)(5) | 520,010 | |
45,000 | 5.47%, 02/01/2029, (5.47% fixed rate until 02/01/2028; 3 mo. USD SOFR + 2.080% thereafter)(5)(6) | 45,209 | |
Intercontinental Exchange, Inc. | |||
75,000 | 4.35%, 06/15/2029 | 73,878 | |
40,000 | 4.60%, 03/15/2033 | 39,504 | |
30,000 | 4.95%, 06/15/2052 | 29,419 | |
708,020 |
17 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Electric - 3.4% | |||
Alabama Power Co. | |||
$ 100,000 | 3.45%, 10/01/2049 | $ 76,519 | |
42,000 | 4.15%, 08/15/2044 | 36,897 | |
417,000 | Berkshire Hathaway Energy Co. 3.25%, 04/15/2028 | 395,223 | |
195,000 | Consolidated Edison Co. of New York, Inc. 3.20%, 12/01/2051 | 144,167 | |
Dominion Energy, Inc. | |||
49,000 | 3.38%, 04/01/2030 | 44,557 | |
100,000 | 5.38%, 11/15/2032 | 102,615 | |
Duke Energy Corp. | |||
1,180,000 | 2.55%, 06/15/2031 | 998,427 | |
120,000 | 3.75%, 09/01/2046 | 94,854 | |
280,000 | 4.50%, 08/15/2032 | 271,562 | |
162,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 119,518 | |
205,000 | Enel Finance International N.V. 5.00%, 06/15/2032(1) | 195,145 | |
314,000 | Evergy, Inc. 2.90%, 09/15/2029 | 278,584 | |
Georgia Power Co. | |||
71,000 | 4.30%, 03/15/2042 | 63,672 | |
55,000 | 4.70%, 05/15/2032 | 54,488 | |
297,000 | ITC Holdings Corp. 2.95%, 05/14/2030(1) | 260,095 | |
National Rural Utilities Cooperative Finance Corp. | |||
235,000 | 4.15%, 12/15/2032 | 224,524 | |
295,000 | 4.80%, 03/15/2028 | 297,225 | |
NextEra Energy Capital Holdings, Inc. | |||
504,000 | 2.25%, 06/01/2030 | 425,757 | |
445,000 | 4.63%, 07/15/2027 | 445,018 | |
254,000 | Oglethorpe Power Corp. 5.05%, 10/01/2048 | 232,240 | |
Pacific Gas and Electric Co. | |||
800,000 | 2.50%, 02/01/2031 | 643,943 | |
175,000 | 3.25%, 06/01/2031 | 148,214 | |
95,000 | 4.55%, 07/01/2030 | 88,382 | |
220,000 | 4.95%, 07/01/2050 | 182,621 | |
480,000 | 5.45%, 06/15/2027 | 481,168 | |
45,000 | 6.15%, 01/15/2033 | 46,135 | |
50,000 | 6.75%, 01/15/2053 | 52,084 | |
Puget Energy, Inc. | |||
324,000 | 3.65%, 05/15/2025 | 310,337 | |
102,000 | 4.10%, 06/15/2030 | 93,885 | |
Sempra Energy | |||
47,000 | 3.40%, 02/01/2028 | 44,481 | |
162,000 | 4.00%, 02/01/2048 | 135,257 | |
Southern California Edison Co. | |||
232,000 | 2.25%, 06/01/2030 | 197,815 | |
75,000 | 2.75%, 02/01/2032 | 64,768 | |
72,000 | 2.85%, 08/01/2029 | 64,147 | |
166,000 | 3.65%, 02/01/2050 | 129,515 | |
2,000 | 4.00%, 04/01/2047 | 1,668 | |
75,000 | 5.85%, 11/01/2027 | 78,827 | |
Southern Co. | |||
4,000 | 3.25%, 07/01/2026 | 3,800 | |
713,000 | 3.70%, 04/30/2030 | 665,544 | |
100,000 | Xcel Energy, Inc. 4.60%, 06/01/2032 | 98,752 | |
8,292,430 | |||
Entertainment - 0.4% | |||
Warnermedia Holdings, Inc. | |||
495,000 | 4.28%, 03/15/2032(1) | 438,779 | |
660,000 | 5.14%, 03/15/2052(1) | 545,445 | |
984,224 | |||
Food - 0.1% | |||
337,000 | Conagra Brands, Inc. 4.85%, 11/01/2028 | 336,449 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Gas - 0.3% | |||
$ 65,000 | Boston Gas Co. 3.76%, 03/16/2032(1) | $ 58,964 | |
325,000 | Brooklyn Union Gas Co. 4.87%, 08/05/2032(1) | 314,372 | |
NiSource, Inc. | |||
55,000 | 1.70%, 02/15/2031 | 43,619 | |
317,000 | 3.49%, 05/15/2027 | 303,676 | |
132,000 | 3.60%, 05/01/2030 | 121,802 | |
842,433 | |||
Hand/Machine Tools - 0.2% | |||
Regal Rexnord Corp. | |||
365,000 | 6.05%, 04/15/2028 | 369,925 | |
165,000 | 6.30%, 02/15/2030(1) | 167,886 | |
537,811 | |||
Healthcare - Products - 0.4% | |||
400,000 | Alcon Finance Corp. 3.00%, 09/23/2029(1) | 356,362 | |
GE HealthCare Technologies, Inc. | |||
195,000 | 5.65%, 11/15/2027(1) | 201,624 | |
195,000 | 5.86%, 03/15/2030(1) | 206,527 | |
370,000 | GSK Consumer Healthcare Capital U.S. LLC 3.38%, 03/24/2029 | 340,515 | |
1,105,028 | |||
Healthcare - Services - 0.6% | |||
117,000 | CommonSpirit Health 2.76%, 10/01/2024 | 113,007 | |
Elevance Health, Inc. | |||
25,000 | 2.25%, 05/15/2030 | 21,279 | |
107,000 | 2.88%, 09/15/2029 | 96,411 | |
10,000 | 5.35%, 10/15/2025 | 10,154 | |
45,000 | Humana, Inc. 5.88%, 03/01/2033 | 48,032 | |
225,000 | Kaiser Foundation Hospitals 2.81%, 06/01/2041 | 173,053 | |
92,000 | Quest Diagnostics, Inc. 2.80%, 06/30/2031 | 79,680 | |
105,000 | Sutter Health 3.36%, 08/15/2050 | 78,310 | |
UnitedHealth Group, Inc. | |||
87,000 | 4.75%, 07/15/2045 | 86,877 | |
35,000 | 4.95%, 05/15/2062 | 34,936 | |
277,000 | 5.30%, 02/15/2030 | 290,866 | |
190,000 | 5.35%, 02/15/2033 | 201,765 | |
65,000 | 5.88%, 02/15/2053 | 73,960 | |
65,000 | 6.05%, 02/15/2063 | 75,520 | |
1,383,850 | |||
Insurance - 0.8% | |||
100,000 | Aon Corp. / Aon Global Holdings plc 3.90%, 02/28/2052 | 81,970 | |
350,000 | Athene Global Funding 2.65%, 10/04/2031(1) | 278,418 | |
290,000 | Brighthouse Financial Global Funding 1.75%, 01/13/2025(1) | 269,228 | |
Corebridge Financial, Inc. | |||
165,000 | 3.85%, 04/05/2029(1) | 153,672 | |
55,000 | 3.90%, 04/05/2032(1) | 49,964 | |
415,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 355,689 | |
180,000 | Marsh & McLennan Cos., Inc. 4.75%, 03/15/2039 | 176,325 | |
470,000 | Metropolitan Life Global Funding I 2.40%, 01/11/2032(1) | 394,867 | |
309,000 | Willis North America, Inc. 2.95%, 09/15/2029 | 272,055 | |
2,032,188 | |||
Internet - 0.1% | |||
425,000 | Amazon.com, Inc. 4.10%, 04/13/2062 | 370,243 | |
Investment Company Security - 0.2% | |||
525,000 | Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 456,734 |
18 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
IT Services - 0.0% | |||
$ 125,000 | International Business Machines Corp. 2.72%, 02/09/2032 | $ 108,278 | |
Machinery-Diversified - 0.2% | |||
630,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 548,429 | |
Media - 1.3% | |||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||
40,000 | 3.50%, 03/01/2042 | 27,605 | |
315,000 | 3.90%, 06/01/2052 | 213,595 | |
667,000 | 4.20%, 03/15/2028 | 633,391 | |
380,000 | 4.40%, 12/01/2061 | 264,817 | |
190,000 | 4.80%, 03/01/2050 | 149,211 | |
173,000 | 5.13%, 07/01/2049 | 142,430 | |
Comcast Corp. | |||
59,000 | 2.94%, 11/01/2056 | 39,952 | |
434,000 | 3.20%, 07/15/2036 | 370,370 | |
130,000 | 3.75%, 04/01/2040 | 114,550 | |
220,000 | Cox Communications, Inc. 2.60%, 06/15/2031(1) | 182,073 | |
Discovery Communications LLC | |||
23,000 | 4.13%, 05/15/2029 | 21,080 | |
100,000 | 4.65%, 05/15/2050 | 77,718 | |
362,000 | 5.20%, 09/20/2047 | 300,839 | |
70,000 | 5.30%, 05/15/2049 | 59,015 | |
Paramount Global | |||
60,000 | 4.20%, 06/01/2029 | 55,554 | |
230,000 | 4.20%, 05/19/2032 | 197,710 | |
165,000 | 4.38%, 03/15/2043 | 121,126 | |
196,000 | 4.95%, 01/15/2031 | 180,499 | |
57,000 | 5.85%, 09/01/2043 | 50,572 | |
3,202,107 | |||
Mining - 0.1% | |||
260,000 | Anglo American Capital plc 3.88%, 03/16/2029(1) | 241,636 | |
Office/Business Equipment - 0.1% | |||
CDW LLC / CDW Finance Corp. | |||
80,000 | 2.67%, 12/01/2026 | 71,857 | |
110,000 | 3.28%, 12/01/2028 | 96,582 | |
70,000 | 3.57%, 12/01/2031 | 60,126 | |
228,565 | |||
Oil & Gas - 0.7% | |||
BP Capital Markets America, Inc. | |||
95,000 | 2.72%, 01/12/2032 | 82,802 | |
130,000 | 2.94%, 06/04/2051 | 92,500 | |
130,000 | 3.38%, 02/08/2061 | 96,687 | |
132,000 | 3.63%, 04/06/2030 | 125,308 | |
95,000 | ConocoPhillips Co. 3.80%, 03/15/2052 | 80,703 | |
Diamondback Energy, Inc. | |||
145,000 | 6.25%, 03/15/2033 | 153,962 | |
30,000 | 6.25%, 03/15/2053 | 31,192 | |
Equinor ASA | |||
222,000 | 3.63%, 04/06/2040 | 193,428 | |
21,000 | 3.70%, 04/06/2050 | 17,766 | |
Exxon Mobil Corp. | |||
202,000 | 4.23%, 03/19/2040 | 192,343 | |
2,000 | 4.33%, 03/19/2050 | 1,871 | |
196,000 | Hess Corp. 7.30%, 08/15/2031 | 219,002 | |
60,000 | Ovintiv, Inc. 7.38%, 11/01/2031 | 66,435 | |
Shell International Finance B.V. | |||
190,000 | 3.00%, 11/26/2051 | 138,650 | |
175,000 | 3.25%, 04/06/2050 | 135,635 | |
1,628,284 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Oil & Gas Services - 0.1% | |||
$ 90,000 | Halliburton Co. 4.85%, 11/15/2035 | $ 87,839 | |
81,000 | Schlumberger Holdings Corp. 4.30%, 05/01/2029(1) | 77,961 | |
165,800 | |||
Pharmaceuticals - 0.2% | |||
AbbVie, Inc. | |||
227,000 | 3.20%, 11/21/2029 | 210,347 | |
144,000 | 4.25%, 11/21/2049 | 128,029 | |
CVS Health Corp. | |||
7,000 | 4.13%, 04/01/2040 | 6,091 | |
110,000 | 4.30%, 03/25/2028 | 107,853 | |
124,000 | 5.13%, 07/20/2045 | 118,821 | |
571,141 | |||
Pipelines - 1.3% | |||
Energy Transfer L.P. | |||
187,000 | 5.30%, 04/01/2044 | 171,050 | |
175,000 | 5.55%, 02/15/2028 | 177,840 | |
135,000 | 5.75%, 02/15/2033 | 138,623 | |
Enterprise Products Operating LLC | |||
50,000 | 2.80%, 01/31/2030 | 44,221 | |
153,000 | 4.80%, 02/01/2049 | 140,951 | |
214,000 | 5.35%, 01/31/2033 | 221,919 | |
MPLX L.P. | |||
39,000 | 4.13%, 03/01/2027 | 37,756 | |
180,000 | 4.95%, 09/01/2032 | 176,757 | |
35,000 | 4.95%, 03/14/2052 | 30,829 | |
55,000 | 5.20%, 03/01/2047 | 50,467 | |
62,000 | 5.20%, 12/01/2047 | 56,301 | |
ONEOK, Inc. | |||
170,000 | 3.10%, 03/15/2030 | 149,182 | |
35,000 | 3.40%, 09/01/2029 | 31,308 | |
80,000 | 4.55%, 07/15/2028 | 77,906 | |
80,000 | 6.10%, 11/15/2032 | 83,919 | |
42,000 | 6.35%, 01/15/2031 | 44,527 | |
Plains All American Pipeline L.P. / PAA Finance Corp. | |||
60,000 | 3.55%, 12/15/2029 | 53,724 | |
105,000 | 3.80%, 09/15/2030 | 95,182 | |
Sabine Pass Liquefaction LLC | |||
45,000 | 4.20%, 03/15/2028 | 43,405 | |
117,000 | 4.50%, 05/15/2030 | 113,308 | |
Targa Resources Corp. | |||
5,000 | 4.20%, 02/01/2033 | 4,519 | |
170,000 | 5.20%, 07/01/2027 | 170,671 | |
120,000 | 6.13%, 03/15/2033 | 124,854 | |
340,000 | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. 4.00%, 01/15/2032 | 296,802 | |
TransCanada PipeLines Ltd. | |||
185,000 | 2.50%, 10/12/2031 | 153,468 | |
123,000 | 4.10%, 04/15/2030 | 116,938 | |
2,000 | 4.75%, 05/15/2038 | 1,893 | |
95,000 | Transcontinental Gas Pipe Line Co. LLC 3.25%, 05/15/2030 | 85,428 | |
Williams Cos., Inc. | |||
100,000 | 2.60%, 03/15/2031 | 84,428 | |
220,000 | 4.65%, 08/15/2032 | 214,121 | |
3,192,297 | |||
Real Estate Investment Trusts - 0.2% | |||
195,000 | American Tower Corp. 3.65%, 03/15/2027 | 184,972 |
19 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Real Estate Investment Trusts - 0.2% - (continued) | |||
VICI Properties L.P. | |||
$ 180,000 | 4.95%, 02/15/2030 | $ 173,948 | |
230,000 | 5.13%, 05/15/2032 | 220,018 | |
578,938 | |||
Retail - 0.3% | |||
Lowe's Cos., Inc. | |||
40,000 | 3.75%, 04/01/2032 | 37,001 | |
110,000 | 5.63%, 04/15/2053 | 112,866 | |
302,000 | McDonald's Corp. 3.63%, 09/01/2049 | 246,021 | |
240,000 | O'Reilly Automotive, Inc. 4.70%, 06/15/2032 | 238,873 | |
634,761 | |||
Semiconductors - 0.7% | |||
Broadcom, Inc. | |||
97,000 | 3.14%, 11/15/2035(1) | 74,993 | |
328,000 | 3.19%, 11/15/2036(1) | 249,856 | |
360,000 | 3.42%, 04/15/2033(1) | 301,130 | |
92,000 | 3.47%, 04/15/2034(1) | 76,105 | |
Intel Corp. | |||
25,000 | 3.05%, 08/12/2051 | 17,203 | |
159,000 | 3.25%, 11/15/2049 | 114,373 | |
85,000 | 4.15%, 08/05/2032 | 81,030 | |
205,000 | 4.90%, 08/05/2052 | 192,565 | |
160,000 | Marvell Technology, Inc. 2.95%, 04/15/2031 | 134,957 | |
215,000 | NVIDIA Corp. 3.50%, 04/01/2040 | 186,146 | |
264,000 | NXP B.V. / NXP Funding LLC / NXP USA, Inc. 4.30%, 06/18/2029 | 253,375 | |
1,681,733 | |||
Software - 0.5% | |||
Oracle Corp. | |||
419,000 | 3.60%, 04/01/2040 | 330,861 | |
67,000 | 3.80%, 11/15/2037 | 56,100 | |
575,000 | 5.38%, 07/15/2040 | 560,201 | |
281,000 | 6.15%, 11/09/2029 | 299,964 | |
1,247,126 | |||
Telecommunications - 0.5% | |||
AT&T, Inc. | |||
225,000 | 3.50%, 06/01/2041 | 180,039 | |
29,000 | 3.55%, 09/15/2055 | 21,108 | |
325,000 | 3.65%, 06/01/2051 | 248,381 | |
49,000 | 3.65%, 09/15/2059 | 35,662 | |
101,000 | 3.80%, 12/01/2057 | 76,164 | |
72,000 | Rogers Communications, Inc. 4.55%, 03/15/2052(1) | 60,154 | |
T-Mobile USA, Inc. | |||
55,000 | 2.05%, 02/15/2028 | 48,345 | |
125,000 | 3.00%, 02/15/2041 | 92,750 | |
120,000 | 5.20%, 01/15/2033 | 122,099 | |
Verizon Communications, Inc. | |||
300,000 | 2.36%, 03/15/2032 | 246,381 | |
105,000 | 2.65%, 11/20/2040 | 75,541 | |
35,000 | 2.85%, 09/03/2041 | 25,814 | |
50,000 | 3.85%, 11/01/2042 | 42,301 | |
20,000 | 4.00%, 03/22/2050 | 16,797 | |
1,291,536 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 22.8% - (continued) | |||
Trucking & Leasing - 0.2% | |||
$ 455,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | $ 429,542 | |
195,000 | Penske Truck Leasing Co. L.P. / PTL Finance Corp. 4.40%, 07/01/2027(1) | 189,869 | |
619,411 | |||
Total Corporate Bonds (cost $61,976,237) | $ 56,181,059 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 1.4% | |||
Bermuda - 0.1% | |||
400,000 | Bermuda Government International Bond 2.38%, 08/20/2030(7) | $ 342,000 | |
Hungary - 0.1% | |||
255,000 | Hungary Government International Bond 5.25%, 06/16/2029(1) | 250,920 | |
Mexico - 0.3% | |||
Mexico Government International Bond | |||
200,000 | 4.28%, 08/14/2041 | 163,926 | |
230,000 | 4.75%, 03/08/2044 | 196,206 | |
255,000 | 4.88%, 05/19/2033 | 244,771 | |
604,903 | |||
Panama - 0.3% | |||
Panama Government International Bond | |||
400,000 | 3.87%, 07/23/2060 | 267,381 | |
650,000 | 4.50%, 04/16/2050 | 508,858 | |
776,239 | |||
Philippines - 0.1% | |||
200,000 | Philippine Government International Bond 5.00%, 07/17/2033 | 203,218 | |
Romania - 0.3% | |||
Romanian Government International Bond | |||
312,000 | 3.00%, 02/27/2027(1) | 282,369 | |
466,000 | 3.00%, 02/14/2031(7) | 383,085 | |
665,454 | |||
Saudi Arabia - 0.1% | |||
215,000 | Saudi Government International Bond 4.88%, 07/18/2033(1) | 218,763 | |
United Arab Emirates - 0.1% | |||
390,000 | Finance Department Government of Sharjah 3.63%, 03/10/2033(7) | 326,461 | |
Total Foreign Government Obligations (cost $4,126,633) | $ 3,387,958 | ||
MUNICIPAL BONDS - 0.8% | |||
Airport - 0.1% | |||
205,000 | Dallas, TX, Fort Worth International Airport Rev 4.51%, 11/01/2051 | $ 195,376 | |
Development - 0.1% | |||
390,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | 381,499 | |
General - 0.3% | |||
340,000 | Commonwealth of Massachusetts 4.11%, 07/15/2031 | 335,957 | |
County of Riverside, CA, Rev | |||
55,000 | 2.96%, 02/15/2027 | 51,686 | |
55,000 | 3.07%, 02/15/2028 | 51,128 |
20 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 0.8% - (continued) | |||
General - 0.3% - (continued) | |||
$ 65,000 | Dist of Columbia Rev 3.43%, 04/01/2042 | $ 51,347 | |
230,000 | Florida State Board of Administration Finance Corp., Rev 1.26%, 07/01/2025 | 212,307 | |
702,425 | |||
General Obligation - 0.1% | |||
180,000 | State of California, GO Taxable 7.30%, 10/01/2039 | 229,372 | |
Higher Education - 0.0% | |||
Marshall University, WV, (AGM Insured) | |||
10,000 | 2.91%, 05/01/2026 | 9,470 | |
10,000 | 3.63%, 05/01/2034 | 8,868 | |
18,338 | |||
Transportation - 0.2% | |||
40,000 | Chicago, IL, Transit Auth Rev 3.91%, 12/01/2040 | 35,404 | |
Metropolitan Transportation Auth, NY, Rev | |||
15,000 | 4.75%, 11/15/2045 | 14,960 | |
40,000 | 5.18%, 11/15/2049 | 36,897 | |
115,000 | 6.81%, 11/15/2040 | 126,836 | |
85,000 | New York State Thruway Auth Rev 2.90%, 01/01/2035 | 74,562 | |
205,000 | Port Auth of New York & New Jersey Rev 1.09%, 07/01/2023 | 201,892 | |
490,551 | |||
Total Municipal Bonds (cost $2,204,956) | $ 2,017,561 | ||
U.S. GOVERNMENT AGENCIES - 34.7% | |||
Mortgage-Backed Agencies - 34.7% | |||
FHLMC - 4.3% | |||
229,149 | 0.88%, 11/25/2030(3)(4) | $ 12,005 | |
1,408,839 | 1.12%, 06/25/2030(3)(4) | 91,234 | |
13,440 | 1.13%, 12/15/2027 | 12,598 | |
98,452 | 1.13%, 01/25/2030(3)(4) | 5,982 | |
15,460 | 1.25%, 12/15/2027 | 14,511 | |
1,537,074 | 1.38%, 06/25/2030(3)(4) | 120,752 | |
1,096,253 | 1.43%, 05/25/2030(3)(4) | 89,573 | |
1,227,535 | 1.57%, 05/25/2030(3)(4) | 109,093 | |
174,324 | 1.70%, 04/25/2030(3)(4) | 16,057 | |
497,341 | 2.00%, 07/25/2050 | 433,581 | |
230,090 | 2.00%, 10/01/2051 | 193,972 | |
2,363,647 | 2.00%, 12/01/2051 | 1,992,630 | |
7,946,299 | 2.00%, 01/01/2052 | 6,696,428 | |
22,016 | 2.50%, 12/15/2042 | 20,242 | |
989,997 | 2.50%, 09/01/2051 | 869,002 | |
10,677,660 | |||
FNMA - 5.0% | |||
62,016 | 1.25%, 02/25/2028 | 58,041 | |
14,136 | 1.50%, 09/25/2027 | 13,323 | |
145,659 | 2.00%, 10/01/2051 | 122,817 | |
504,289 | 2.00%, 11/01/2051 | 424,745 | |
5,875,972 | 2.00%, 04/01/2052 | 4,942,973 | |
971,012 | 2.50%, 02/01/2052 | 849,731 | |
1,275,895 | 2.50%, 05/01/2052 | 1,116,075 | |
1,048,191 | 2.50%, 06/01/2052 | 916,263 | |
983,807 | 2.50%, 07/01/2052 | 859,970 | |
822,513 | 2.50%, 08/01/2052 | 718,975 | |
282,000 | 3.00%, 12/25/2045 | 244,722 | |
419,326 | 3.00%, 10/25/2046 | 385,029 | |
313,000 | 3.00%, 03/25/2047 | 270,841 | |
204,664 | 3.00%, 03/01/2050 | 187,816 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 34.7% - (continued) | |||
Mortgage-Backed Agencies - 34.7% - (continued) | |||
FNMA - 5.0% - (continued) | |||
$ 493,623 | 3.50%, 11/25/2042 | $ 466,430 | |
735,000 | 4.50%, 12/25/2041 | 743,814 | |
12,321,565 | |||
GNMA - 7.2% | |||
2,300,000 | 2.00%, 02/21/2053 | 1,986,625 | |
5,875,000 | 2.50%, 02/21/2053(8) | 5,234,717 | |
4,700,000 | 3.00%, 02/21/2053(8) | 4,313,987 | |
3,375,000 | 3.50%, 02/21/2053 | 3,189,705 | |
3,000,000 | 4.00%, 02/21/2053 | 2,911,523 | |
17,636,557 | |||
UMBS - 18.2% | |||
2,600,000 | 1.50%, 02/15/2038 | 2,301,406 | |
300,000 | 1.50%, 02/15/2053(8) | 239,496 | |
1,050,000 | 2.00%, 02/15/2053(8) | 882,861 | |
1,300,000 | 2.50%, 02/15/2038 | 1,214,738 | |
6,172,000 | 2.50%, 02/15/2053(8) | 5,393,750 | |
750,000 | 3.00%, 02/15/2038 | 718,623 | |
1,975,000 | 3.00%, 02/15/2053(8) | 1,791,499 | |
4,600,000 | 3.50%, 02/15/2053(8) | 4,310,973 | |
3,450,000 | 4.00%, 02/15/2053(8) | 3,327,229 | |
24,847,000 | 4.50%, 02/15/2053(8) | 24,514,111 | |
44,694,686 | |||
Total U.S. Government Agencies (cost $86,025,671) | $ 85,330,468 | ||
U.S. GOVERNMENT SECURITIES - 42.7% | |||
U.S. Treasury Securities - 42.7% | |||
U.S. Treasury Bonds - 12.3% | |||
431,009 | 0.13%, 02/15/2052(9) | $ 296,074 | |
399,517 | 0.25%, 02/15/2050(9) | 287,648 | |
1,452,000 | 1.13%, 08/15/2040 | 959,511 | |
1,570,000 | 1.25%, 05/15/2050 | 914,218 | |
1,495,000 | 1.38%, 11/15/2040 | 1,030,499 | |
1,010,000 | 1.38%, 08/15/2050 | 606,907 | |
2,455,000 | 1.63%, 11/15/2050 | 1,574,461 | |
630,000 | 2.00%, 02/15/2050 | 446,266 | |
528,000 | 2.38%, 11/15/2049(10) | 407,179 | |
1,935,000 | 2.88%, 05/15/2052 | 1,654,425 | |
7,170,000 | 3.00%, 02/15/2047 | 6,263,387 | |
1,525,000 | 3.00%, 02/15/2048 | 1,333,005 | |
2,390,000 | 3.00%, 08/15/2052 | 2,098,345 | |
2,095,000 | 3.13%, 02/15/2043 | 1,892,783 | |
400,000 | 3.13%, 05/15/2048 | 357,891 | |
1,780,000 | 3.38%, 08/15/2042 | 1,676,259 | |
1,840,000 | 3.63%, 02/15/2044 | 1,787,819 | |
1,464,000 | 3.75%, 11/15/2043 | 1,451,190 | |
275,000 | 3.88%, 08/15/2040 | 282,058 | |
2,285,000 | 4.00%, 11/15/2042 | 2,352,122 | |
2,330,000 | 4.00%, 11/15/2052 | 2,472,349 | |
30,144,396 | |||
U.S. Treasury Notes - 30.4% | |||
2,240,527 | 0.25%, 07/15/2029(9) | 2,095,855 | |
13,515,000 | 0.38%, 11/30/2025 | 12,235,299 | |
4,545,000 | 0.50%, 02/28/2026 | 4,101,507 | |
5,260,000 | 0.50%, 04/30/2027 | 4,602,500 | |
3,314,872 | 0.63%, 07/15/2032(9) | 3,128,022 | |
1,345,000 | 0.75%, 04/30/2026 | 1,218,276 | |
1,891,766 | 0.75%, 07/15/2028(9) | 1,832,814 | |
2,725,000 | 1.13%, 08/31/2028 | 2,380,649 | |
3,218,325 | 1.13%, 01/15/2033(9) | 3,171,748 | |
2,042,000 | 1.50%, 01/31/2027 | 1,872,578 |
21 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT SECURITIES - 42.7% - (continued) | |||
U.S. Treasury Securities - 42.7% - (continued) | |||
U.S. Treasury Notes - 30.4% - (continued) | |||
$ 7,425,000 | 1.75%, 01/31/2029 | $ 6,677,859 | |
455,000 | 2.75%, 05/31/2029 | 432,641 | |
4,565,000 | 2.75%, 08/15/2032 | 4,283,254 | |
1,840,000 | 2.88%, 06/15/2025 | 1,790,766 | |
14,785,000 | 2.88%, 05/15/2028(10)(11) | 14,226,520 | |
1,835,000 | 2.88%, 05/15/2032 | 1,742,677 | |
455,000 | 3.25%, 06/30/2029 | 445,278 | |
8,545,000 | 4.13%, 09/30/2027 | 8,704,217 | |
74,942,460 | |||
Total U.S. Government Securities (cost $118,342,530) | $ 105,086,856 | ||
Total Long-Term Investments (cost $330,739,621) | $ 305,401,549 | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Repurchase Agreements - 0.2% | |||
557,836 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $557,902; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $569,052 | $ 557,836 | |
Total Short-Term Investments (cost $557,836) | $ 557,836 | ||
Total Investments (cost $331,297,457) | 124.3% | $ 305,959,385 | |
Other Assets and Liabilities | (24.3)% | (59,739,393) | |
Total Net Assets | 100.0% | $ 246,219,992 |
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. |
(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 January 31, 2023, the aggregate value of these securities was $55,852,231, representing 22.7% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2023. 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) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(6) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of this security was $45,000 at January 31, 2023. |
(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 January 31, 2023, the aggregate value of these securities was $1,051,546, representing 0.4% of net assets. |
(8) | Represents or includes a TBA transaction. |
(9) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(10) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2023, the market value of securities pledged was $1,273,183. |
(11) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2023, the market value of securities pledged was $663,936. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury Long Bond Future | 8 | 03/22/2023 | $ 1,039,000 | $ (9,640) | ||||
Short position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 59 | 03/31/2023 | $ 12,133,258 | $ (25,434) | ||||
U.S. Treasury 5-Year Note Future | 299 | 03/31/2023 | 32,663,414 | (307,540) | ||||
U.S. Treasury 10-Year Note Future | 60 | 03/22/2023 | 6,870,938 | (92,399) | ||||
U.S. Treasury 10-Year Ultra Future | 64 | 03/22/2023 | 7,757,000 | (144,194) | ||||
U.S. Treasury Ultra Bond Future | 23 | 03/22/2023 | 3,260,250 | (145,049) | ||||
Total | $ (714,616) | |||||||
Total futures contracts | $ (724,256) |
22 |
January 31, 2023 (Unaudited)
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
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.S39 | USD | 5,415,000 | 1.00% | 12/20/2027 | Quarterly | $ 72,992 | $ 66,984 | $ (6,008) | |||||||
Total centrally cleared credit default swap contracts | $ 72,992 | $ 66,984 | $ (6,008) |
(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 Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value † | Unrealized Appreciation/ (Depreciation) | |||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 380,000 | 03/15/2053 | Annual | $ 4,478 | $ — | $ ���7,423 | $ 2,945 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 2,590,000 | 03/15/2053 | Annual | 7,832 | — | 5,518 | (2,314) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 12,310 | $ — | $ 12,941 | $ 631 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 53,397,647 | $ — | $ 53,397,647 | $ — | ||||
Corporate Bonds | 56,181,059 | — | 56,181,059 | — | ||||
Foreign Government Obligations | 3,387,958 | — | 3,387,958 | — | ||||
Municipal Bonds | 2,017,561 | — | 2,017,561 | — | ||||
U.S. Government Agencies | 85,330,468 | — | 85,330,468 | — | ||||
U.S. Government Securities | 105,086,856 | — | 105,086,856 | — | ||||
Short-Term Investments | 557,836 | — | 557,836 | — | ||||
Swaps - Interest Rate(2) | 2,945 | — | 2,945 | — | ||||
Total | $ 305,962,330 | $ — | $ 305,962,330 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (724,256) | $ (724,256) | $ — | $ — | ||||
Swaps - Interest Rate(2) | (2,314) | — | (2,314) | — | ||||
Swaps - Credit Default(2) | (6,008) | — | (6,008) | — | ||||
Total | $ (732,578) | $ (724,256) | $ (8,322) | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
23 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.2% | |||
Automobiles & Components - 2.8% | |||
8,759 | Tesla, Inc.* | $ 1,517,234 | |
7,091 | Thor Industries, Inc. | 675,985 | |
2,193,219 | |||
Capital Goods - 3.0% | |||
22,571 | Johnson Controls International plc | 1,570,265 | |
5,445 | Middleby Corp.* | 846,425 | |
2,416,690 | |||
Commercial & Professional Services - 1.5% | |||
15,825 | CoStar Group, Inc.* | 1,232,767 | |
Consumer Durables & Apparel - 1.5% | |||
3,953 | Lululemon Athletica, Inc.* | 1,213,097 | |
Consumer Services - 7.4% | |||
7,978 | Airbnb, Inc. Class A* | 886,436 | |
17,297 | Aramark | 770,235 | |
458 | Booking Holdings, Inc.* | 1,114,818 | |
4,193 | Domino's Pizza, Inc. | 1,480,129 | |
48,473 | DraftKings, Inc. Class A* | 726,610 | |
15,885 | Las Vegas Sands Corp.* | 937,215 | |
5,915,443 | |||
Diversified Financials - 2.6% | |||
3,120 | CME Group, Inc. | 551,179 | |
20,762 | Tradeweb Markets, Inc. Class A | 1,547,600 | |
2,098,779 | |||
Energy - 1.8% | |||
4,093 | Cheniere Energy, Inc. | 625,369 | |
5,942 | EOG Resources, Inc. | 785,830 | |
1,411,199 | |||
Food, Beverage & Tobacco - 1.1% | |||
8,533 | Monster Beverage Corp.* | 888,115 | |
Health Care Equipment & Services - 9.3% | |||
8,293 | DexCom, Inc.* | 888,097 | |
8,626 | Hologic, Inc.* | 701,898 | |
2,862 | Humana, Inc. | 1,464,485 | |
6,400 | Insulet Corp.* | 1,838,848 | |
5,193 | Intuitive Surgical, Inc.* | 1,275,868 | |
7,223 | Veeva Systems, Inc. Class A* | 1,231,883 | |
7,401,079 | |||
Materials - 1.8% | |||
5,058 | Albemarle Corp. | 1,423,574 | |
Media & Entertainment - 11.4% | |||
33,921 | Alphabet, Inc. Class A* | 3,352,752 | |
11,976 | Meta Platforms, Inc. Class A* | 1,784,065 | |
3,068 | Netflix, Inc.* | 1,085,642 | |
6,005 | Take-Two Interactive Software, Inc.* | 679,946 | |
12,980 | Walt Disney Co.* | 1,408,200 | |
26,517 | ZoomInfo Technologies, Inc. Class A* | 748,575 | |
9,059,180 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 7.0% | |||
10,747 | Agilent Technologies, Inc. | 1,634,404 | |
6,784 | Eli Lilly & Co. | 2,334,714 | |
13,970 | Exact Sciences Corp.* | 943,254 | |
2,577 | United Therapeutics Corp.* | 678,189 | |
5,590,561 | |||
Retailing - 10.1% | |||
50,557 | Amazon.com, Inc.* | 5,213,943 | |
2,294 | Etsy, Inc.* | 315,609 | |
6,949 | Ross Stores, Inc. | 821,302 | |
3,355 | Ulta Beauty, Inc.* | 1,724,336 | |
8,075,190 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 96.2% - (continued) | |||
Semiconductors & Semiconductor Equipment - 6.0% | |||
4,675 | First Solar, Inc.* | $ 830,280 | |
15,580 | NVIDIA Corp. | 3,043,864 | |
2,914 | SolarEdge Technologies, Inc.* | 929,945 | |
4,804,089 | |||
Software & Services - 18.6% | |||
17,962 | Block, Inc.* | 1,467,855 | |
11,428 | DocuSign, Inc.* | 692,994 | |
6,211 | Mastercard, Inc. Class A | 2,301,797 | |
16,955 | Microsoft Corp. | 4,201,618 | |
10,866 | Okta, Inc.* | 799,846 | |
4,753 | Paycom Software, Inc.* | 1,539,687 | |
10,185 | salesforce.com, Inc.* | 1,710,774 | |
11,853 | Workday, Inc. Class A* | 2,150,490 | |
14,865,061 | |||
Technology Hardware & Equipment - 10.3% | |||
37,088 | Apple, Inc. | 5,351,427 | |
16,216 | Arista Networks, Inc.* | 2,043,540 | |
33,473 | Flex Ltd.* | 781,595 | |
8,176,562 | |||
Total Common Stocks (cost $77,955,644) | $ 76,764,605 | ||
EXCHANGE-TRADED FUNDS - 2.5% | |||
Other Investment Pools & Funds - 2.5% | |||
8,350 | iShares Russell 1000 Growth ETF | $ 1,937,868 | |
Total Exchange-Traded Funds (cost $1,802,870) | $ 1,937,868 | ||
Total Long-Term Investments (cost $79,758,514) | $ 78,702,473 | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Repurchase Agreements - 0.2% | |||
$ 181,359 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $181,381; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $185,029 | $ 181,359 | |
Total Short-Term Investments (cost $181,359) | $ 181,359 | ||
Total Investments (cost $79,939,873) | 98.9% | $ 78,883,832 | |
Other Assets and Liabilities | 1.1% | 906,011 | |
Total Net Assets | 100.0% | $ 79,789,843 |
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. | |
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. |
* | Non-income producing. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
24 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 2,193,219 | $ 2,193,219 | $ — | $ — | ||||
Capital Goods | 2,416,690 | 2,416,690 | — | — | ||||
Commercial & Professional Services | 1,232,767 | 1,232,767 | — | — | ||||
Consumer Durables & Apparel | 1,213,097 | 1,213,097 | — | — | ||||
Consumer Services | 5,915,443 | 5,915,443 | — | — | ||||
Diversified Financials | 2,098,779 | 2,098,779 | — | — | ||||
Energy | 1,411,199 | 1,411,199 | — | — | ||||
Food, Beverage & Tobacco | 888,115 | 888,115 | — | — | ||||
Health Care Equipment & Services | 7,401,079 | 7,401,079 | — | — | ||||
Materials | 1,423,574 | 1,423,574 | — | — | ||||
Media & Entertainment | 9,059,180 | 9,059,180 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 5,590,561 | 5,590,561 | — | — | ||||
Retailing | 8,075,190 | 8,075,190 | — | — | ||||
Semiconductors & Semiconductor Equipment | 4,804,089 | 4,804,089 | — | — | ||||
Software & Services | 14,865,061 | 14,865,061 | — | — | ||||
Technology Hardware & Equipment | 8,176,562 | 8,176,562 | — | — | ||||
Exchange-Traded Funds | 1,937,868 | 1,937,868 | — | — | ||||
Short-Term Investments | 181,359 | — | 181,359 | — | ||||
Total | $ 78,883,832 | $ 78,702,473 | $ 181,359 | $ — |
(1) | For the six-month period ended January 31, 2023, there were no transfers in and out of Level 3. |
25 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% | |||
Alabama - 2.6% | |||
Black Belt Energy Gas Dist, AL, Rev | |||
$ 2,000,000 | 5.25%, 12/01/2027 | $ 2,123,654 | |
1,335,000 | 5.25%, 02/01/2053 | 1,431,801 | |
100,000 | Jefferson County, AL, Board of Education 5.00%, 02/01/2042 | 106,755 | |
90,000 | Jefferson County, AL, GO 5.00%, 04/01/2024 | 92,651 | |
2,000,000 | Lower Alabama Gas Dist, Rev 5.00%, 09/01/2028 | 2,123,054 | |
415,000 | Southeast Energy Auth, AL, Cooperative Dist Rev 5.50%, 01/01/2053(1) | 451,781 | |
1,590,000 | State of Alabama Docks Department Rev, (AGM Insured) 5.00%, 10/01/2026 | 1,702,328 | |
665,000 | State of Alabama, Troy University Rev, (BAM Insured) 5.00%, 11/01/2023 | 677,313 | |
8,709,337 | |||
Alaska - 0.4% | |||
1,225,000 | Northern, AK, Tobacco Securitization Corp. Rev 4.00%, 06/01/2039 | 1,197,667 | |
Arizona - 2.4% | |||
6,000,000 | Arizona Industrial Dev Auth Rev 1.20%, 02/01/2048 | 6,000,000 | |
500,000 | City of Phoenix, AZ, Civic Improvement Corp. Rev 5.00%, 07/01/2037 | 541,051 | |
Maricopa County, AZ, Industrial Dev Auth Rev | |||
600,000 | 4.00%, 09/01/2037 | 611,613 | |
230,000 | 4.00%, 10/15/2047(2) | 194,390 | |
195,000 | 5.00%, 09/01/2031 | 218,445 | |
480,000 | Tempe, AZ, Industrial Dev Auth Rev 1.13%, 12/01/2026 | 418,628 | |
7,984,127 | |||
California - 7.0% | |||
1,500,000 | ABAG Finance Auth for Nonprofit Corps., CA, Rev 5.00%, 08/01/2043 | 1,510,009 | |
205,000 | Alameda County Oakland, CA, Unified School Dist, GO, (AGM Insured) 4.00%, 08/01/2034 | 215,918 | |
795,000 | Bay Area Toll Auth, CA, Rev 1.96%, 04/01/2056(1)(3) | 772,920 | |
755,000 | California Community Choice Financing Auth Rev 5.00%, 12/01/2053 | 806,071 | |
205,000 | California Enterprise Dev Auth Rev 5.00%, 08/01/2045 | 211,330 | |
California Municipal Finance Auth Rev, (BAM Insured) | |||
180,000 | 4.00%, 05/15/2034 | 187,024 | |
600,000 | 4.00%, 05/15/2037 | 605,393 | |
245,000 | California Public Finance Auth Rev 2.38%, 11/15/2028(2) | 230,670 | |
835,000 | California State University Rev 0.55%, 11/01/2049(1) | 745,403 | |
California State, GO Taxable | |||
1,500,000 | 1.05%, 05/01/2040(1) | 1,500,000 | |
185,000 | 4.00%, 11/01/2041 | 186,606 | |
185,000 | Cathedral City, CA, Redev Successor Agency, (BAM Insured) 4.00%, 08/01/2032 | 200,148 | |
City of Fontana, CA, | |||
500,000 | 4.00%, 09/01/2041 | 473,106 | |
450,000 | 4.00%, 09/01/2046 | 409,060 | |
525,000 | 4.00%, 09/01/2051 | 465,759 | |
800,000 | City of Los Angeles, CA, Department of Airports Rev 4.00%, 05/15/2036 | 811,160 | |
110,000 | Foothill-Eastern Transportation Corridor Agency, CA, Rev 5.00%, 01/15/2030 | 122,845 | |
150,000 | Fresno, CA, Unified School Dist, GO 0.00%, 08/01/2032(4) | 109,084 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
California - 7.0% - (continued) | |||
Golden State Tobacco Securitization Corp., CA, Rev | |||
$ 5,670,000 | 0.00%, 06/01/2066(4) | $ 713,883 | |
500,000 | 5.00%, 06/01/2032 | 575,614 | |
2,000,000 | Los Angeles, CA, Department of Water & Power Rev 5.00%, 07/01/2025 | 2,135,566 | |
100,000 | Romoland, CA, School Dist 5.00%, 09/01/2043 | 103,219 | |
5,000,000 | San Diego County, CA, Regional Transportation Commission Rev 1.05%, 04/01/2038(1) | 5,000,000 | |
San Francisco, CA, City & County Airport Comm-San Francisco International Airport Rev | |||
345,000 | 4.00%, 05/01/2039 | 340,591 | |
265,000 | 5.00%, 05/01/2050 | 275,372 | |
San Joaquin Hills, CA, Transportation Corridor Agency Rev, (NATL Insured) | |||
80,000 | 0.00%, 01/15/2026(4) | 72,932 | |
215,000 | 0.00%, 01/15/2032(4) | 155,460 | |
70,000 | 0.00%, 01/15/2035(4) | 43,992 | |
1,760,000 | 4.00%, 01/15/2034 | 1,871,370 | |
University of California Rev | |||
1,150,000 | 5.00%, 05/15/2032 | 1,427,002 | |
595,000 | 5.00%, 05/15/2036 | 707,277 | |
22,984,784 | |||
Colorado - 3.5% | |||
1,970,000 | City & County of Denver, CO, Airport System Rev 5.50%, 11/15/2032 | 2,392,819 | |
Colorado Health Facs Auth Rev | |||
105,000 | 4.00%, 12/01/2040 | 94,693 | |
875,000 | 5.00%, 11/01/2033 | 991,852 | |
835,000 | 5.00%, 08/01/2044 | 869,256 | |
875,000 | Colorado Housing and Finance Auth Rev, (GNMA Insured) 3.00%, 05/01/2051 | 862,795 | |
2,815,000 | Colorado School of Mines Rev, (AGM Insured) 5.25%, 12/01/2052 | 3,100,655 | |
160,000 | Denver, CO, Convention Center Hotel Auth Rev 5.00%, 12/01/2031 | 166,707 | |
365,000 | E-470 Public Highway, CO, Auth Rev 3.23%, 09/01/2039, 3 mo. USD SOFR + 0.350%(3) | 363,441 | |
1,030,000 | Park Creek, CO, Metropolitan Dist Rev 5.00%, 12/01/2029 | 1,156,609 | |
300,000 | Public Auth for Colorado Energy Rev 6.50%, 11/15/2038 | 371,659 | |
Regional, CO, Transportation Dist Rev | |||
400,000 | 5.00%, 07/15/2029 | 437,312 | |
500,000 | 5.00%, 01/15/2030 | 549,528 | |
100,000 | 5.00%, 07/15/2032 | 110,742 | |
195,000 | University of Colorado, Rev 2.00%, 06/01/2051(1) | 191,071 | |
11,659,139 | |||
Connecticut - 3.1% | |||
100,000 | City of Bridgeport, CT, GO, (BAM Insured) 5.00%, 07/15/2034 | 111,607 | |
Connecticut Housing Finance Auth Rev | |||
5,400,000 | 1.49%, 11/15/2050(1) | 5,400,000 | |
550,000 | 4.25%, 05/15/2042 | 558,322 | |
Connecticut State Health & Educational Facs Auth Rev | |||
1,060,000 | 1.10%, 07/01/2049(1) | 1,012,032 | |
470,000 | 5.00%, 07/01/2030 | 536,712 | |
315,000 | 5.00%, 07/01/2031 | 362,982 | |
State of Connecticut, GO | |||
845,000 | 3.00%, 06/01/2038 | 776,459 | |
380,000 | 5.00%, 11/15/2025 | 408,185 | |
500,000 | 5.00%, 04/15/2029 | 553,903 | |
325,000 | 5.00%, 09/15/2032 | 393,128 | |
10,113,330 |
26 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Delaware - 0.1% | |||
$ 200,000 | Delaware River & Bay Auth Rev 5.00%, 01/01/2037 | $ 231,151 | |
District of Columbia - 0.4% | |||
Dist of Columbia Rev | |||
250,000 | 5.00%, 07/01/2037 | 232,710 | |
455,000 | 5.00%, 07/01/2042 | 409,473 | |
500,000 | Metropolitan Washington, DC, Airports Auth, Dulles Toll Road Rev. 5.00%, 10/01/2033 | 556,812 | |
1,198,995 | |||
Florida - 5.0% | |||
500,000 | Alachua County, FL, School Board, (AGM Insured) 5.00%, 07/01/2028 | 560,081 | |
270,000 | Broward County, FL, Airport System Rev 4.00%, 10/01/2044 | 260,482 | |
185,000 | Capital Projects Finance Auth, FL, Rev 5.00%, 10/01/2027 | 191,041 | |
125,000 | City of Atlantic Beach, FL, Health Care Facs Auth Rev 5.00%, 11/15/2043 | 122,771 | |
400,000 | City of Pompano Beach, FL, Rev 2.00%, 01/01/2029 | 340,316 | |
280,000 | City of Tampa, FL, Rev 4.00%, 07/01/2038 | 283,828 | |
5,555,000 | City of West Palm Beach, FL, Utility System Rev, (AGC Insured) 1.73%, 10/01/2038(1) | 5,555,000 | |
445,000 | Escambia County, FL, Health Facs Auth Rev 4.00%, 08/15/2045 | 422,840 | |
1,000,000 | Greater Orlando, FL, Aviation Auth Rev 5.00%, 10/01/2037 | 1,054,496 | |
Miami-Dade County, FL, Aviation Rev | |||
1,500,000 | 5.00%, 10/01/2033 | 1,540,524 | |
1,085,000 | 5.00%, 10/01/2035(5) | 1,207,459 | |
200,000 | 5.00%, 10/01/2036(5) | 220,556 | |
680,000 | Orange County, FL, Convention Center/Orlando Rev 5.00%, 10/01/2024 | 708,487 | |
475,000 | Orange County, FL, Health Facs Auth Rev 5.00%, 10/01/2037(5) | 530,075 | |
950,000 | Orlando, FL, Utilities Commission Rev 1.25%, 10/01/2046(1) | 826,322 | |
Polk County, FL, Industrial Dev Auth Rev | |||
510,000 | 5.00%, 01/01/2029 | 512,845 | |
190,000 | 5.00%, 01/01/2055 | 168,260 | |
35,000 | Putnam County, FL, Dev Auth Rev 5.00%, 03/15/2042 | 38,012 | |
500,000 | Seminole County, FL, Industrial Dev Auth Rev 3.75%, 11/15/2025 | 472,593 | |
155,000 | Village Community, FL, Dev Dist No. 13 2.55%, 05/01/2031 | 133,972 | |
1,245,000 | Village Community, FL, Dev Dist No. 14 5.13%, 05/01/2037 | 1,255,019 | |
16,404,979 | |||
Georgia - 4.1% | |||
100,000 | Appling County, GA, Dev Auth Rev 1.50%, 01/01/2038(1) | 95,391 | |
Burke County, GA, Dev Auth Rev | |||
400,000 | 1.50%, 01/01/2040(1) | 381,563 | |
200,000 | 3.00%, 11/01/2045(1) | 200,000 | |
Main Street Natural Gas, Inc., GA, Rev | |||
560,000 | 4.00%, 12/01/2023 | 563,277 | |
2,950,000 | 4.00%, 05/01/2052 | 2,955,781 | |
3,000,000 | 4.00%, 07/01/2052(1) | 3,057,661 | |
200,000 | 5.50%, 09/15/2023 | 202,444 | |
Municipal Electric Auth, GA, Rev, (AGM Insured) | |||
840,000 | 4.00%, 01/01/2041 | 841,613 | |
1,000,000 | 5.00%, 01/01/2028 | 1,071,688 | |
1,000,000 | 5.00%, 07/01/2048 | 1,066,135 | |
520,000 | 5.00%, 07/01/2052 | 541,327 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Georgia - 4.1% - (continued) | |||
$ 215,000 | 5.00%, 01/01/2056 | $ 220,321 | |
2,300,000 | State of Georgia, GO 5.00%, 08/01/2024 | 2,391,644 | |
13,588,845 | |||
Hawaii - 0.0% | |||
100,000 | State of Hawaii Airports System Rev 5.00%, 07/01/2031 | 109,333 | |
Idaho - 0.2% | |||
820,000 | Idaho Health Facs Auth Rev 4.00%, 03/01/2046 | 787,874 | |
Illinois - 7.5% | |||
Chicago, IL, Board of Education, GO, (NATL Insured) | |||
105,000 | 0.00%, 12/01/2023(4) | 102,138 | |
110,000 | 0.00%, 12/01/2026(4) | 96,355 | |
380,000 | 4.00%, 12/01/2047 | 333,307 | |
250,000 | 5.00%, 12/01/2024 | 255,600 | |
500,000 | 5.00%, 12/01/2028 | 527,610 | |
1,000,000 | 5.00%, 12/01/2032 | 1,061,083 | |
400,000 | 5.00%, 12/01/2046 | 398,449 | |
250,000 | Chicago, IL, Board of Education, Rev 5.00%, 04/01/2033 | 259,648 | |
Chicago, IL, O'Hare International Airport Rev | |||
650,000 | 4.50%, 01/01/2048 | 654,371 | |
255,000 | 5.00%, 01/01/2032 | 294,824 | |
Chicago, IL, Transit Auth Rev | |||
445,000 | 5.00%, 06/01/2024 | 458,026 | |
275,000 | 5.00%, 12/01/2045 | 289,956 | |
City of Chicago, IL, GO, (NATL Insured) | |||
500,000 | 0.00%, 01/01/2026(4) | 453,316 | |
400,000 | 5.00%, 01/01/2024 | 404,906 | |
City of Chicago, IL, Wastewater Transmission Rev | |||
90,000 | 5.00%, 01/01/2027 | 91,693 | |
90,000 | 5.50%, 01/01/2030 | 99,063 | |
1,385,000 | City of Granite, IL, Rev 1.25%, 05/01/2027 | 1,227,548 | |
265,000 | Cook County, IL, GO 5.00%, 11/15/2032 | 305,571 | |
335,000 | Cook County, IL, Sales Tax Rev 5.00%, 11/15/2030 | 386,912 | |
640,000 | Illinois Finance Auth Rev 4.00%, 07/15/2039 | 656,243 | |
1,155,000 | Illinois Housing Dev Auth Rev 1.90%, 08/01/2023 | 1,149,996 | |
Illinois State Finance Auth Rev | |||
235,000 | 5.00%, 08/15/2033 | 273,240 | |
150,000 | 5.00%, 11/15/2045 | 151,312 | |
305,000 | 5.00%, 05/15/2050(1) | 312,878 | |
320,000 | Illinois State Toll Highway Auth, Taxable Rev 4.00%, 01/01/2040 | 326,104 | |
625,000 | Kane County, IL, School Dist No. 131 Aurora East Side, GO, (AGM Insured) 5.00%, 12/01/2025 | 668,259 | |
100,000 | Kane McHenry Cook & DeKalb Counties, IL, Unified School Dist No. 300, GO 5.00%, 01/01/2032 | 108,820 | |
Kendall Kane & Will Counties, IL, Unified School Dist, GO, (AGM Insured) | |||
150,000 | 0.00%, 02/01/2027(4) | 133,564 | |
515,000 | 5.00%, 02/01/2025 | 539,660 | |
Metropolitan Pier & Exposition Auth, IL, Rev, (NATL Insured) | |||
205,000 | 0.00%, 12/15/2025(4) | 186,952 | |
595,000 | 4.00%, 12/15/2042 | 556,527 | |
Regional Transportation, IL, Auth Rev | |||
150,000 | 5.00%, 06/01/2024 | 155,209 | |
685,000 | 6.00%, 07/01/2024 | 706,806 | |
Sales Tax Securitization Corp., IL, Rev | |||
785,000 | 4.00%, 01/01/2038 | 787,032 | |
1,785,000 | 5.00%, 01/01/2026 | 1,905,351 | |
115,000 | 5.00%, 06/15/2027 | 120,558 |
27 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Illinois - 7.5% - (continued) | |||
$ 500,000 | 5.00%, 01/01/2029 | $ 550,668 | |
550,000 | 5.00%, 01/01/2030 | 625,277 | |
1,830,000 | 5.00%, 01/01/2037(5) | 1,969,545 | |
State of Illinois, GO | |||
450,000 | 5.00%, 12/01/2024 | 466,738 | |
1,010,000 | 5.00%, 11/01/2025 | 1,062,905 | |
300,000 | 5.00%, 11/01/2027 | 323,299 | |
535,000 | 5.00%, 03/01/2029 | 582,604 | |
505,000 | 5.00%, 10/01/2031 | 552,580 | |
465,000 | 5.00%, 12/01/2034 | 490,398 | |
325,000 | 5.00%, 03/01/2046 | 334,120 | |
750,000 | 5.25%, 12/01/2030 | 806,959 | |
550,000 | 5.50%, 03/01/2042 | 598,407 | |
100,000 | Village of Bolingbrook, IL, GO, (AGM Insured) 5.00%, 01/01/2028 | 111,572 | |
24,913,959 | |||
Indiana - 0.1% | |||
271,715 | City of Evansville, IN, Rev, (FNMA Insured) 3.00%, 06/01/2034 | 247,324 | |
195,000 | Crown Point, IN, Multi School Building Corp. Rev 5.00%, 01/15/2029 | 223,790 | |
471,114 | |||
Iowa - 3.2% | |||
8,000,000 | Iowa Finance Auth Rev 1.15%, 07/01/2041 | 8,000,000 | |
State of Iowa Finance Auth Rev | |||
830,000 | 5.00%, 12/01/2023 | 843,993 | |
350,000 | 5.00%, 12/01/2025 | 368,042 | |
575,000 | 5.00%, 02/15/2027 | 623,093 | |
830,000 | State of Iowa Tobacco Settlement Auth Rev 4.00%, 06/01/2049 | 829,963 | |
10,665,091 | |||
Kentucky - 0.1% | |||
110,000 | Kentucky Bond Dev Corp. Rev 5.00%, 09/01/2023 | 111,521 | |
100,000 | Kentucky Public Energy Auth Rev 4.00%, 01/01/2049(1) | 99,991 | |
211,512 | |||
Louisiana - 0.4% | |||
325,000 | East Baton Rouge, LA, Sewerage Commission Rev 1.30%, 02/01/2041(1) | 286,716 | |
305,000 | Parish of St. John the Baptist, LA, Rev 2.38%, 06/01/2037(1) | 288,578 | |
265,000 | Regional Transportation Auth, LA, Sales Tax Rev, (AGM Insured) 5.00%, 01/01/2027 | 291,254 | |
495,000 | State of Louisiana Gasoline & Fuels Tax Rev 3.51%, 05/01/2043, 3 mo. USD SOFR + 0.500%(3) | 484,789 | |
1,351,337 | |||
Maine - 0.1% | |||
275,000 | Maine Health & Higher Educational Facs Auth Rev, (AGM Insured) 4.00%, 07/01/2035 | 284,689 | |
Maryland - 0.2% | |||
775,000 | Maryland Community Dev Administration Rev 3.00%, 09/01/2051 | 761,169 | |
Massachusetts - 3.3% | |||
1,230,000 | Massachusetts Clean Water Trust Rev 5.00%, 02/01/2024 | 1,262,194 | |
Massachusetts Educational Financing Auth Rev | |||
600,000 | 5.00%, 07/01/2024 | 617,023 | |
1,000,000 | 5.00%, 01/01/2025 | 1,033,257 | |
100,000 | 5.00%, 07/01/2026 | 106,258 | |
110,000 | 5.00%, 07/01/2027 | 118,795 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Massachusetts - 3.3% - (continued) | |||
Massachusetts State Dev Finance Agency Rev | |||
$ 405,000 | 2.26%, 07/01/2049(2)(3) | $ 399,490 | |
3,500,000 | 4.00%, 07/15/2036 | 3,623,898 | |
120,000 | 5.00%, 07/15/2023(2) | 120,860 | |
130,000 | 5.00%, 07/15/2024(2) | 132,845 | |
1,000,000 | 5.00%, 07/01/2025 | 1,053,509 | |
680,000 | 5.00%, 07/01/2031 | 719,194 | |
675,000 | 5.00%, 07/01/2034 | 725,272 | |
350,000 | 5.00%, 07/01/2044 | 355,466 | |
100,000 | 5.00%, 07/01/2048 | 102,917 | |
380,000 | 5.00%, 10/01/2057(2) | 361,972 | |
10,732,950 | |||
Michigan - 1.2% | |||
Michigan Finance Auth Rev | |||
1,250,000 | 4.00%, 11/15/2046 | 1,207,383 | |
750,000 | 5.00%, 11/01/2032 | 847,804 | |
Michigan State Housing Dev Auth Rev | |||
705,000 | 4.25%, 06/01/2049 | 716,504 | |
425,000 | 4.25%, 12/01/2049 | 432,979 | |
275,000 | New Haven, MI, Community Schools, GO, (Q-SBLF Insured) 5.00%, 05/01/2032 | 316,315 | |
500,000 | Wayne County, MI, Airport Auth Rev 5.00%, 12/01/2025 | 528,559 | |
4,049,544 | |||
Minnesota - 0.9% | |||
575,000 | Duluth, MN, Independent School Dist No. 709, (SCP Insured) 5.00%, 02/01/2025 | 601,045 | |
390,078 | Freddie Mac Multifamily Certificates, MN, Rev 2.54%, 06/25/2037 | 325,691 | |
750,000 | Minnesota Higher Education Facs Auth Rev 3.00%, 10/01/2038 | 669,815 | |
Minnesota Housing Finance Agency Rev, (GNMA/FNMA/FHLMC Insured) | |||
515,000 | 5.05%, 07/01/2031 | 550,525 | |
530,000 | 5.05%, 01/01/2032 | 567,920 | |
200,000 | St. Francis, MN, Independent School Dist No. 15, GO, (SCP Insured) 4.00%, 02/01/2030 | 200,000 | |
2,914,996 | |||
Mississippi - 0.3% | |||
1,000,000 | State of Mississippi Rev 5.00%, 10/15/2029 | 1,114,969 | |
Missouri - 1.9% | |||
400,000 | City of St. Louis, MO, Airport Rev 5.00%, 07/01/2031 | 441,369 | |
Health & Educational Facs Auth of the State of Missouri Rev | |||
850,000 | 4.00%, 01/01/2050(1) | 830,237 | |
555,000 | 5.00%, 06/01/2032 | 658,182 | |
510,000 | Kansas City, MO, Industrial Dev Auth Rev 5.00%, 03/01/2032 | 559,784 | |
500,000 | Kirkwood, MO, Industrial Dev Auth Retirement Community Rev 5.25%, 05/15/2042 | 447,454 | |
Missouri Housing Dev Commission Rev, (GNMA/FNMA/FHLMC Insured) | |||
605,000 | 3.50%, 11/01/2050 | 605,766 | |
1,745,000 | 4.25%, 05/01/2047 | 1,777,995 | |
St. Louis County, MO, Industrial Dev Auth Rev | |||
445,000 | 4.00%, 12/15/2046 | 340,254 | |
650,000 | 5.00%, 09/01/2028 | 662,965 | |
6,324,006 | |||
Nebraska - 1.4% | |||
1,500,000 | Central Plains Energy Project, NE, Rev 4.00%, 12/01/2049(1) | 1,519,102 |
28 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Nebraska - 1.4% - (continued) | |||
Nebraska Investment Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
$ 1,910,000 | 3.00%, 09/01/2050 | $ 1,880,343 | |
830,000 | 3.00%, 03/01/2052 | 814,949 | |
300,000 | Washington County, NE, Rev 0.90%, 09/01/2030(1) | 286,539 | |
4,500,933 | |||
Nevada - 1.5% | |||
265,000 | City of North Las Vegas, NV 4.50%, 06/01/2039 | 255,319 | |
280,000 | City of Reno, NV, Sales Tax Rev, (AGM Insured) 5.00%, 06/01/2033 | 310,603 | |
55,000 | City of Sparks, NV, Rev 2.50%, 06/15/2024(2) | 53,653 | |
2,850,000 | Clark County, NV, Department of Aviation Rev 5.00%, 07/01/2026 | 3,037,890 | |
250,000 | Clark County, NV, Passenger Facs Charge Rev 5.00%, 07/01/2028 | 285,190 | |
300,000 | Clark County, NV, School Dist, GO 5.00%, 06/15/2035 | 333,535 | |
Las Vegas, NV, New Convention Center Auth Rev | |||
200,000 | 5.00%, 07/01/2029 | 206,462 | |
500,000 | 5.00%, 07/01/2034 | 561,320 | |
5,043,972 | |||
New Hampshire - 0.5% | |||
1,295,000 | National Finance Auth, NH, Rev 4.00%, 12/01/2028 | 1,341,398 | |
80,000 | New Hampshire Business Finance Auth Rev 4.00%, 01/01/2041 | 69,064 | |
215,000 | New Hampshire Health and Education Facs Auth Rev 5.00%, 08/01/2059 | 234,618 | |
1,645,080 | |||
New Jersey - 1.7% | |||
New Jersey Economic Dev Auth Rev | |||
515,000 | 5.00%, 06/15/2023 | 519,324 | |
755,000 | 5.00%, 11/01/2034 | 866,219 | |
430,000 | New Jersey Higher Education Student Assistance Auth Rev 5.00%, 12/01/2025 | 451,808 | |
125,000 | New Jersey Transportation Trust Fund Auth Rev 5.00%, 12/15/2023 | 127,424 | |
New Jersey Turnpike Auth Rev | |||
250,000 | 4.00%, 01/01/2033 | 263,908 | |
295,000 | 4.00%, 01/01/2042 | 297,781 | |
385,000 | 5.00%, 01/01/2033 | 431,082 | |
Newark, NJ, Board of Education, GO | |||
295,000 | 5.00%, 07/15/2024 | 304,806 | |
325,000 | 5.00%, 07/15/2027 | 357,751 | |
State of New Jersey, GO | |||
340,000 | 5.00%, 06/01/2025 | 360,586 | |
1,000,000 | 5.00%, 06/01/2027 | 1,061,823 | |
Tobacco Settlement Financing Corp., NJ, Rev | |||
340,000 | 5.00%, 06/01/2024 | 347,407 | |
250,000 | 5.00%, 06/01/2029 | 270,210 | |
5,660,129 | |||
New Mexico - 0.1% | |||
155,000 | City of Santa Fe, NM, Rev 5.00%, 05/15/2049 | 131,189 | |
55,000 | New Mexico Mortgage Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 01/01/2049 | 55,583 | |
186,772 | |||
New York - 13.0% | |||
230,000 | Brookhaven, NY, Local Dev Corp. Rev 1.63%, 11/01/2025 | 214,722 | |
City of New York, NY, GO | |||
1,675,000 | 1.63%, 08/01/2044(1) | 1,675,000 | |
465,000 | 5.00%, 08/01/2026 | 509,857 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
New York - 13.0% - (continued) | |||
$ 500,000 | 5.00%, 08/01/2028 | $ 568,548 | |
280,000 | 5.00%, 10/01/2033 | 342,046 | |
530,000 | 5.00%, 04/01/2036 | 582,508 | |
��� 20,000 | Huntington, NY, Local Dev Corp. Rev 3.00%, 07/01/2025 | 19,369 | |
Long Island, NY, Power Auth Rev | |||
500,000 | 0.85%, 09/01/2050(1) | 471,783 | |
295,000 | 5.00%, 09/01/2033 | 334,831 | |
Metropolitan Transportation Auth, NY, Rev | |||
2,000,000 | 5.00%, 11/15/2029 | 2,059,786 | |
265,000 | 5.00%, 11/15/2032 | 272,428 | |
2,695,000 | 5.00%, 11/15/2033 | 2,734,701 | |
1,000,000 | 5.00%, 11/15/2045(1) | 1,092,319 | |
575,000 | 5.00%, 11/15/2052 | 586,612 | |
New York City, NY, Industrial Dev Agency Rev, (AGM Insured) | |||
670,000 | 3.00%, 01/01/2033 | 661,081 | |
150,000 | 5.00%, 03/01/2030 | 172,098 | |
500,000 | New York City, NY, Municipal Water Finance Auth Rev 5.00%, 06/15/2040 | 549,753 | |
New York City, NY, Transitional Finance Auth, Future Tax Secured Rev | |||
500,000 | 4.00%, 05/01/2035 | 527,468 | |
185,000 | 4.00%, 11/01/2035 | 194,036 | |
580,000 | 4.00%, 11/01/2036 | 600,984 | |
2,305,000 | 4.00%, 02/01/2038 | 2,361,705 | |
1,000,000 | 4.00%, 11/01/2038 | 1,025,131 | |
465,000 | 5.00%, 11/01/2033 | 551,082 | |
570,000 | 5.00%, 05/01/2038 | 631,861 | |
1,200,000 | New York City, NY, Water & Sewer System Rev 3.00%, 06/15/2040 | 1,059,334 | |
New York Liberty Dev Corp. Rev | |||
450,000 | 0.95%, 11/15/2027 | 390,317 | |
405,000 | 3.00%, 02/15/2042 | 338,580 | |
2,175,000 | 5.00%, 11/15/2044(2) | 2,163,409 | |
New York State Dormitory Auth Rev | |||
1,000,000 | 3.00%, 03/15/2041 | 857,176 | |
1,650,000 | 4.00%, 03/15/2038 | 1,681,327 | |
2,000,000 | 4.00%, 05/01/2039 | 2,010,955 | |
675,000 | 4.00%, 03/15/2040 | 679,316 | |
2,250,000 | 5.00%, 03/15/2036 | 2,308,150 | |
105,000 | 5.00%, 05/01/2037 | 115,697 | |
1,000,000 | 5.00%, 05/01/2052 | 1,055,133 | |
New York State Urban Dev Corp. Rev | |||
2,000,000 | 4.00%, 03/15/2037 | 2,046,702 | |
585,000 | 5.00%, 03/15/2023 | 586,842 | |
515,000 | 5.00%, 03/15/2038 | 559,653 | |
New York Transportation Dev Corp. Rev | |||
440,000 | 4.00%, 12/01/2038 | 421,693 | |
130,000 | 5.00%, 12/01/2024 | 134,404 | |
650,000 | 5.00%, 12/01/2030 | 718,915 | |
195,000 | 5.00%, 12/01/2031 | 218,818 | |
515,000 | 5.00%, 12/01/2032 | 576,981 | |
Port Auth of New York & New Jersey Rev | |||
500,000 | 3.00%, 10/01/2027 | 502,315 | |
185,000 | 4.00%, 07/15/2040 | 187,292 | |
800,000 | 5.00%, 11/15/2035 | 834,999 | |
835,000 | 5.00%, 01/15/2037 | 932,841 | |
700,000 | 5.00%, 11/01/2038 | 755,316 | |
1,300,000 | State of New York Mortgage Agency 5.00%, 10/01/2048 | 1,386,063 | |
390,000 | Syracuse, NY, Industrial Dev Agency Rev 5.00%, 01/01/2031 | 314,973 |
29 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
New York - 13.0% - (continued) | |||
$ 260,000 | Triborough Bridge & Tunnel Auth, NY, Rev 5.00%, 11/15/2049 | $ 283,346 | |
1,050,000 | Westchester County, NY, Local Dev Rev 3.20%, 07/01/2028(2) | 994,959 | |
42,855,215 | |||
North Carolina - 0.8% | |||
North Carolina Medical Care Commission Retirement Facs Rev | |||
515,000 | 2.88%, 10/01/2026 | 487,169 | |
145,000 | 5.00%, 01/01/2039 | 131,502 | |
210,000 | 5.00%, 01/01/2044 | 208,376 | |
North Carolina Medical Care Commission Retirement Finance Auth Rev, First Mortgage Galloway Ridge | |||
255,000 | 4.00%, 01/01/2025 | 249,439 | |
1,455,000 | 4.00%, 09/01/2051 | 1,179,922 | |
395,000 | 5.00%, 01/01/2038 | 398,807 | |
2,655,215 | |||
Ohio - 3.9% | |||
250,000 | Allen County, OH, Hospital Facs Rev 5.00%, 12/01/2029 | 286,879 | |
American Municipal Power, Inc, OH, Rev | |||
1,000,000 | 4.00%, 02/15/2036 | 1,038,467 | |
1,000,000 | 4.00%, 02/15/2037 | 1,025,322 | |
1,245,000 | Buckeye, OH, Tobacco Settlement Finance Auth Rev 5.00%, 06/01/2055 | 1,187,129 | |
100,000 | Cleveland, OH, Department of Public Utilities Rev, (AGM Insured) 5.00%, 11/15/2030 | 112,764 | |
845,000 | Ohio Air Quality Dev Auth Rev 4.00%, 09/01/2030(1) | 863,499 | |
805,000 | Ohio Higher Educational Facility Commission Rev 5.00%, 07/01/2035(5) | 897,665 | |
Ohio Housing Finance Agency Rev | |||
485,000 | 3.00%, 03/01/2052 | 477,897 | |
2,000,000 | 5.75%, 03/01/2054 | 2,202,853 | |
600,000 | Southern Ohio Port Auth Rev 6.50%, 12/01/2030(2) | 468,070 | |
3,500,000 | State of Ohio 5.00%, 03/01/2032 | 4,296,439 | |
12,856,984 | |||
Oklahoma - 0.0% | |||
Oklahoma Dev Finance Auth Rev | |||
30,000 | 5.25%, 08/15/2048 | 27,561 | |
30,000 | 5.50%, 08/15/2057 | 28,752 | |
56,313 | |||
Oregon - 1.8% | |||
30,000 | Benton & Linn Counties, OR, Consolidated School Dist No. 509J & 509A Corvallis, GO, (School Board Guaranty Insured) 5.00%, 06/15/2038 | 33,022 | |
20,000 | Marion County, OR, School Dist No. 15 North Marion, GO, (School Board Guaranty Insured) 0.00%, 06/15/2037(4) | 11,133 | |
115,000 | Multnomah & Clackamas Counties, OR, School Dist No. 10 JT Gresham-Barlow, GO, (School Board Guaranty Insured) 0.00%, 06/15/2038(4) | 59,926 | |
Port of Portland, OR, Airport Rev | |||
270,000 | 5.00%, 07/01/2029 | 302,158 | |
575,000 | 5.00%, 07/01/2030 | 649,647 | |
1,000,000 | 5.00%, 07/01/2044 | 1,051,987 | |
Salem Hospital Facs Auth, OR, Rev | |||
40,000 | 5.00%, 05/15/2038 | 40,052 | |
30,000 | 5.00%, 05/15/2048 | 28,995 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Oregon - 1.8% - (continued) | |||
$ 150,000 | Salem-Keizer, OR, School Dist No. 24J, GO, (School Bond Guaranty Insured) 5.00%, 06/15/2023 | $ 151,455 | |
State of Oregon Housing & Community Services Department Rev | |||
60,000 | 4.50%, 01/01/2049 | 60,964 | |
865,000 | 4.50%, 07/01/2049 | 879,827 | |
State of Oregon, GO | |||
80,000 | 4.00%, 12/01/2048 | 80,641 | |
2,065,000 | 5.00%, 06/01/2032 | 2,542,606 | |
100,000 | Washington Clackamas & Yamhill Counties, OR, School Dist No. 88J, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2034(4) | 65,527 | |
5,957,940 | |||
Pennsylvania - 2.0% | |||
135,000 | Armstrong, PA, School Dist, GO, (BAM State Aid Withholding Insured) 4.00%, 03/15/2035 | 142,110 | |
565,000 | City of Philadelphia, PA, GO 5.00%, 02/01/2035 | 625,985 | |
585,000 | City of Philadelphia, PA, Hospital & Higher Education Facs Auth Rev, (AGM Insured) 5.00%, 07/01/2037 | 645,485 | |
100,000 | Commonwealth Finance Auth, PA, Rev 5.00%, 06/01/2027 | 109,421 | |
265,000 | Delaware Valley Regional Finance Auth, PA, Rev 5.75%, 07/01/2032 | 332,226 | |
590,000 | Erie, PA, City School Dist, GO, (AGM State Aid Withholding Insured) 5.00%, 04/01/2028 | 659,999 | |
345,000 | Lancaster County, PA, Industrial Dev Auth Rev 4.00%, 07/01/2056 | 262,829 | |
Montgomery County, PA, Industrial Dev Auth Rev | |||
230,000 | 5.00%, 12/01/2030 | 234,718 | |
240,000 | 5.00%, 12/01/2044 | 248,691 | |
100,000 | 5.00%, 12/01/2046 | 100,115 | |
Pennsylvania Higher Educational Facs Auth Rev | |||
250,000 | 5.00%, 05/01/2025 | 262,976 | |
750,000 | 5.00%, 05/01/2037 | 792,420 | |
560,000 | Pennsylvania Housing Finance Agency Rev 4.00%, 10/01/2038 | 560,170 | |
150,000 | Pennsylvania Turnpike Commission Rev 5.00%, 12/01/2030 | 168,170 | |
610,000 | Philadelphia, PA, School Dist, GO, (State Aid Withholding Insured) 5.00%, 09/01/2032 | 690,163 | |
15,000 | Pittsburgh, PA, Water & Sewer Auth Rev, (AGM Insured) 5.00%, 09/01/2034 | 17,044 | |
280,000 | School Dist of Philadelphia, GO, (NATL State Aid Withholding Insured) 5.00%, 06/01/2027 | 306,138 | |
375,000 | Wilkes-Barre Area, PA, School Dist, GO, (BAM State Aid Withholding Insured) 5.00%, 04/15/2059 | 392,057 | |
6,550,717 | |||
Puerto Rico - 1.9% | |||
2,950,000 | Commonwealth of Puerto Rico, GO 5.63%, 07/01/2027 | 3,089,805 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Rev | |||
193,000 | 0.00%, 07/01/2024(4) | 181,668 | |
3,119,000 | 0.00%, 07/01/2029(4) | 2,333,718 | |
625,000 | 5.00%, 07/01/2058 | 615,780 | |
6,220,971 | |||
Rhode Island - 0.5% | |||
445,000 | Rhode Island Commerce Corp. Rev 5.00%, 05/15/2026 | 482,258 |
30 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Rhode Island - 0.5% - (continued) | |||
Rhode Island Student Loan Auth Rev | |||
$ 400,000 | 5.00%, 12/01/2027 | $ 436,003 | |
765,000 | 5.00%, 12/01/2028 | 844,600 | |
1,762,861 | |||
South Carolina - 0.7% | |||
580,000 | Piedmont, SC, Municipal Power Agency Rev 5.00%, 01/01/2025 | 603,676 | |
410,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC, Rev 5.00%, 12/01/2029 | 432,515 | |
South Carolina State Public Service Auth Rev | |||
500,000 | 4.00%, 12/01/2034 | 511,215 | |
625,000 | 4.00%, 12/01/2038 | 625,148 | |
175,000 | 5.00%, 12/01/2025 | 185,977 | |
2,358,531 | |||
South Dakota - 0.8% | |||
South Dakota Housing Dev Auth Rev | |||
605,000 | 4.50%, 11/01/2048 | 618,190 | |
290,000 | 6.00%, 05/01/2054(5) | 323,939 | |
1,785,000 | South Dakota State Educational Enhancement Funding Corp. Rev 5.00%, 06/01/2026 | 1,799,698 | |
2,741,827 | |||
Tennessee - 1.0% | |||
110,000 | Chattanooga, TN, Health Educational & Housing Facs Board Rev 5.00%, 08/01/2044 | 114,513 | |
1,175,000 | Metropolitan Gov't Nashville & Davidson County, TN, Health & Educational Facs Board Rev 5.00%, 07/01/2031 | 1,325,927 | |
590,000 | Metropolitan Nashville Airport Auth, TN, Rev 5.50%, 07/01/2040 | 667,897 | |
Tennessee Energy Acquisition Corp. Rev | |||
300,000 | 5.00%, 02/01/2023 | 300,000 | |
295,000 | 5.00%, 02/01/2025 | 300,402 | |
590,000 | 5.00%, 02/01/2027 | 609,735 | |
80,000 | Tennessee Housing Dev Agency Rev 4.00%, 01/01/2049 | 80,819 | |
3,399,293 | |||
Texas - 10.9% | |||
Arlington, TX, Higher Education Finance Corp. Rev, (PSF-GTD Insured) | |||
450,000 | 5.00%, 08/15/2037 | 515,421 | |
805,000 | 5.00%, 08/15/2040 | 906,571 | |
160,000 | Austin, TX, Bergstrom Landhost Enterprises, Inc. Rev 5.00%, 10/01/2029 | 171,713 | |
500,000 | Brazos, TX, Higher Education Auth, Inc. Rev 5.00%, 04/01/2025 | 519,016 | |
Central Texas Regional Mobility Auth Rev | |||
1,425,000 | 4.00%, 01/01/2035 | 1,497,889 | |
505,000 | 4.00%, 01/01/2036 | 524,401 | |
1,490,000 | 5.00%, 01/01/2046 | 1,618,774 | |
City of Austin, TX, Airport System Rev. | |||
1,025,000 | 5.00%, 11/15/2032 | 1,182,881 | |
500,000 | 5.00%, 11/15/2039 | 548,705 | |
535,000 | City of Dallas, TX, GO 5.00%, 02/15/2028 | 591,179 | |
City of Dallas, TX, Hotel Occupancy Tax Rev | |||
1,525,000 | 4.00%, 08/15/2033 | 1,551,395 | |
100,000 | 4.00%, 08/15/2034 | 101,352 | |
1,135,000 | City of Houston, TX, Combined Utility System Rev, (AGM Insured) 0.00%, 12/01/2024(4) | 1,079,643 | |
City of Houston, TX, Hotel Occupancy Tax & Special Rev, (AGM-CR AMBAC Insured) | |||
750,000 | 0.00%, 09/01/2025(4) | 696,052 | |
425,000 | 4.00%, 09/01/2026 | 446,050 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Texas - 10.9% - (continued) | |||
City of San Antonio, TX, Electric & Gas Systems Rev | |||
$ 555,000 | 1.75%, 02/01/2049(1) | $ 534,214 | |
770,000 | 5.00%, 02/01/2023 | 770,000 | |
290,000 | 5.00%, 02/01/2035 | 340,687 | |
425,000 | Clear Creek, TX, Independent School Dist, GO, (PSF-GTD Insured) 0.28%, 02/15/2038(1) | 404,434 | |
1,000,000 | Eagle Mountain & Saginaw Independent School, TX, Dist, GO, (PSF-GTD Insured) 5.00%, 08/15/2033 | 1,215,908 | |
Fort Worth Independent School Dist, TX, GO, (PSF-GTD Insured) | |||
1,000,000 | 5.00%, 02/15/2031 | 1,191,824 | |
500,000 | 5.00%, 02/15/2033 | 602,400 | |
1,305,000 | Grand Parkway, TX, Transportation Corp. Rev 5.00%, 10/01/2052(1) | 1,324,124 | |
615,000 | Harris County - Houston, TX, Sports Auth Rev 5.00%, 11/15/2033 | 631,642 | |
400,000 | Hidalgo County, TX, Regional Mobility Auth Rev 5.00%, 12/01/2030 | 430,236 | |
100,000 | Kerrville, TX, Health Facs Dev Corp. Rev 5.00%, 08/15/2024 | 103,064 | |
675,000 | Lower Colorado River, TX, Auth Rev 5.00%, 05/15/2038 | 752,058 | |
New Hope, TX, Cultural Education Facs Finance Corp. Rev | |||
250,000 | 4.00%, 11/01/2055 | 189,653 | |
500,000 | 5.00%, 11/01/2046 | 411,915 | |
2,625,000 | North East, TX, Independent School Dist GO, (PSF-GTD Insured) 2.00%, 08/01/2052(1) | 2,612,479 | |
3,000,000 | North Texas Tollway Auth Rev 4.13%, 01/01/2040 | 3,044,460 | |
1,250,000 | Northside, TX, Independent School Dist GO, (PSF-GTD Insured) 2.00%, 06/01/2052(1) | 1,194,634 | |
2,000,000 | San Antonio, TX, Water System Rev 1.00%, 05/01/2043(1) | 1,814,022 | |
3,270,000 | Texas Municipal Gas Acquisition & Supply Corp. Rev 6.25%, 12/15/2026 | 3,475,262 | |
500,000 | Texas Public Finance Auth Rev 4.00%, 02/01/2034 | 540,526 | |
200,000 | Texas Transportation Commission Rev 0.00%, 08/01/2038(4) | 94,362 | |
2,000,000 | Texas Transportation Commission State Highway Fund Rev 0.43%, 04/01/2025 | 1,878,697 | |
Uptown, TX, Dev Auth | |||
220,000 | 4.00%, 09/01/2032 | 219,836 | |
250,000 | 4.00%, 09/01/2035 | 243,206 | |
35,970,685 | |||
Utah - 1.4% | |||
1,000,000 | Salt Lake City, UT, Corp. Airport Rev 5.00%, 07/01/2029 | 1,094,633 | |
590,000 | Salt Lake County, UT, Hospital Rev, (AMBAC Insured) 5.13%, 02/15/2033 | 617,137 | |
1,500,000 | Utah County, UT, Hosp Rev 5.00%, 05/15/2045 | 1,530,279 | |
1,250,000 | Utah Transit Auth Rev, (AGM Insured) 5.25%, 06/15/2029 | 1,452,015 | |
4,694,064 | |||
Virginia - 1.8% | |||
945,000 | Halifax County, VA, Industrial Dev Auth Rev 1.65%, 12/01/2041(1) | 918,247 | |
750,000 | Henrico County, VA, Economic Dev Auth Rev 5.00%, 10/01/2047 | 798,077 | |
850,000 | Virginia Commonwealth Transportation Board Rev 4.00%, 05/15/2030 | 869,267 | |
Virginia Small Business Financing Auth Rev | |||
1,000,000 | 4.00%, 01/01/2033 | 1,022,386 |
31 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 98.7% - (continued) | |||
Virginia - 1.8% - (continued) | |||
$ 1,100,000 | 4.00%, 07/01/2034 | $ 1,114,731 | |
835,000 | 5.00%, 07/01/2035 | 906,693 | |
350,000 | 5.00%, 12/31/2047 | 363,407 | |
5,992,808 | |||
Washington - 1.7% | |||
500,000 | King County, WA, School Dist No. 210 Federal Way GO, (School Board Guaranty Insured) 4.00%, 12/01/2036 | 517,302 | |
1,500,000 | Port of Seattle, WA, Rev 4.00%, 08/01/2040 | 1,477,573 | |
State of Washington, GO | |||
1,105,000 | 4.00%, 07/01/2035 | 1,183,011 | |
460,000 | 5.00%, 08/01/2044 | 510,589 | |
1,500,000 | Washington Health Care Facs Auth Rev 4.00%, 08/01/2044 | 1,443,345 | |
500,000 | Washington State Housing Finance Commission Rev 5.00%, 01/01/2031(2) | 468,537 | |
5,600,357 | |||
West Virginia - 0.7% | |||
West Virginia Economic Dev Auth Rev | |||
390,000 | 2.55%, 03/01/2040(1) | 384,859 | |
1,870,000 | 3.75%, 12/01/2042(1) | 1,873,454 | |
2,258,313 | |||
Wisconsin - 2.6% | |||
Public Finance Auth, WI, Rev | |||
505,000 | 4.00%, 10/01/2041 | 428,832 | |
835,000 | 4.00%, 10/01/2046(1) | 881,663 | |
305,000 | 4.00%, 01/01/2047 | 274,280 | |
170,000 | 4.00%, 07/01/2050 | 155,504 | |
75,000 | 5.00%, 09/01/2025(2) | 74,800 | |
1,000,000 | 5.00%, 07/01/2036 | 1,067,221 | |
225,000 | 5.00%, 07/01/2036 | 241,692 | |
100,000 | 5.00%, 07/01/2037 | 106,517 | |
485,000 | 5.00%, 07/01/2038 | 513,679 | |
750,000 | 5.00%, 10/01/2043(2) | 666,660 | |
465,000 | 5.00%, 10/01/2044 | 481,664 | |
1,205,000 | 5.00%, 02/01/2052 | 1,170,661 | |
University of Wisconsin Hospitals & Clinics Rev | |||
310,000 | 4.00%, 04/01/2035 | 323,635 | |
220,000 | 4.00%, 04/01/2039 | 222,270 | |
120,000 | Wisconsin Center Dist, Rev, (AGM Insured) 0.00%, 12/15/2029(4) | 95,598 | |
Wisconsin Health & Educational Facs Auth Rev | |||
595,000 | 4.00%, 08/15/2046 | 502,273 | |
500,000 | 4.00%, 01/01/2057 | 359,110 | |
840,000 | 5.00%, 11/01/2039 | 746,244 | |
200,000 | Wisconsin Housing & Economic Dev Auth Rev 0.50%, 11/01/2050(1) | 188,597 | |
8,500,900 | |||
Total Municipal Bonds (cost $334,569,735) | $ 326,234,777 | ||
U.S. GOVERNMENT AGENCIES - 0.3% | |||
Mortgage-Backed Agencies - 0.3% | |||
FHLMC - 0.3% | |||
1,155,000 | 3.15%, 10/15/2036 | $ 1,024,759 | |
Total U.S. Government Agencies (cost $1,176,964) | $ 1,024,759 | ||
Total Long-Term Investments (cost $335,746,699) | $ 327,259,536 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.3% | |||
Repurchase Agreements - 0.3% | |||
$ 1,046,421 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $1,046,545; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $1,067,383 | $ 1,046,421 | |
Total Short-Term Investments (cost $1,046,421) | $ 1,046,421 | ||
Total Investments (cost $336,793,120) | 99.3% | $ 328,305,957 | |
Other Assets and Liabilities | 0.7% | 2,270,029 | |
Total Net Assets | 100.0% | $ 330,575,986 |
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) | 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. |
(2) | 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 January 31, 2023, the aggregate value of these securities was $6,330,315, representing 1.9% of net assets. |
(3) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2023. Base lending rates may be subject to a floor or cap. |
(4) | Security is a zero-coupon bond. |
(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 $4,075,359 at January 31, 2023. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
32 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 326,234,777 | $ — | $ 326,234,777 | $ — | ||||
U.S. Government Agencies | 1,024,759 | — | 1,024,759 | — | ||||
Short-Term Investments | 1,046,421 | — | 1,046,421 | — | ||||
Total | $ 328,305,957 | $ — | $ 328,305,957 | $ — |
(1) | For the six-month period ended January 31, 2023, there were no transfers in and out of Level 3. |
33 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 0.0% | |||
Materials - 0.0% | |||
878 | Aclara Resources, Inc.* | $ 293 | |
Total Common Stocks (cost $1,239) | $ 293 | ||
SHORT-TERM INVESTMENTS - 87.2% | |||
Other Investment Pools & Funds - 4.6% | |||
2,083,735 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 4.27%(1) | $ 2,083,735 | |
U.S. Treasury Securities - 82.6% | |||
U.S. Treasury Bills – 82.6% | |||
$ 1,390,000 | 3.43%, 02/09/2023(2) | 1,388,824 | |
2,070,000 | 3.69%, 02/09/2023(2) | 2,068,120 | |
2,360,000 | 3.97%, 03/02/2023(2) | 2,352,319 | |
3,950,000 | 3.99%, 03/09/2023(2) | 3,934,081 | |
3,600,000 | 4.02%, 03/02/2023(2) | 3,588,152 | |
3,280,000 | 4.07%, 03/16/2023(2) | 3,263,974 | |
2,100,000 | 4.08%, 03/16/2023(2) | 2,089,716 | |
3,150,000 | 4.24%, 03/23/2023(2) | 3,131,450 | |
4,730,000 | 4.43%, 03/30/2023(2) | 4,696,965 | |
5,500,000 | 4.48%, 04/06/2023(2) | 5,456,208 | |
5,620,000 | 4.54%, 04/13/2023(2) | 5,569,929 | |
37,539,738 | |||
Total Short-Term Investments (cost $39,623,898) | $ 39,623,473 | ||
Total Investments (cost $39,625,137) | 87.2% | $ 39,623,766 | |
Other Assets and Liabilities | 12.8% | 5,803,089 | |
Total Net Assets | 100.0% | $ 45,426,855 |
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. | |
The Consolidated Schedule of Investments includes investments held by Hartford Schroders Cayman Commodity Strategy Fund, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related instruments. The Fund may invest up to 25% of its total assets in the Subsidiary. As of January 31, 2023, the Fund invested 15.6% of its total assets in the Subsidiary. | |
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. |
* | Non-income producing. |
(1) | Current yield as of period end. |
(2) | The rate shown represents current yield to maturity. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Brent Crude Oil Future | 36 | 03/31/2023 | $ 3,066,120 | $ 83,976 | ||||
Coffee "C" Futures | 20 | 03/21/2023 | 1,363,125 | 121,493 | ||||
Copper Future | 26 | 03/29/2023 | 2,746,900 | 204,436 | ||||
Corn Future | 55 | 03/14/2023 | 1,869,313 | 23,877 | ||||
Cotton No. 2 Future | 15 | 03/09/2023 | 646,650 | 5,299 | ||||
Gasoline RBOB Future | 10 | 02/28/2023 | 1,078,056 | 121,972 | ||||
Gold 100oz Future | 35 | 04/26/2023 | 6,808,550 | 127,151 | ||||
KC Hard Red Winter Wheat Future | 18 | 03/14/2023 | 790,875 | (41,812) | ||||
Lean Hogs Future | 19 | 04/17/2023 | 656,830 | (17,411) | ||||
LME Nickel Future | 10 | 03/13/2023 | 1,814,760 | 101,760 | ||||
LME Zinc Future | 24 | 03/13/2023 | 2,039,256 | 158,881 | ||||
Low Sulphur Gas Oil Future | 16 | 03/10/2023 | 1,439,600 | 26,800 | ||||
Natural Gas Future | 109 | 02/24/2023 | 2,925,560 | (2,674,204) | ||||
NY Harbor ULSD Future | 8 | 02/28/2023 | 1,056,653 | 12,051 | ||||
Primary Aluminum Future | 40 | 03/13/2023 | 2,628,500 | 193,090 | ||||
Silver Future | 21 | 03/29/2023 | 2,502,780 | 47,484 | ||||
Soybean Future | 28 | 03/14/2023 | 2,153,200 | 79,429 | ||||
Soybean Meal Future | 36 | 03/14/2023 | 1,743,120 | 62,072 | ||||
Soybean Oil Future | 39 | 03/14/2023 | 1,458,522 | 11,557 | ||||
Sugar No. 11 Future | 52 | 02/28/2023 | 1,267,302 | 172,159 | ||||
Wheat Future | 56 | 03/14/2023 | 2,131,500 | (66,930) | ||||
WTI Crude Future | 44 | 02/21/2023 | 3,470,280 | (60,907) | ||||
Total | $ (1,307,777) |
34 |
January 31, 2023 (Unaudited)
Futures Contracts Outstanding at January 31, 2023 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
LME Nickel Future | 3 | 03/13/2023 | $ 544,428 | $ (54,460) | ||||
LME Zinc Future | 8 | 03/13/2023 | 679,752 | (51,541) | ||||
Primary Aluminum Future | 10 | 03/13/2023 | 657,125 | (52,032) | ||||
Total | $ (158,033) | |||||||
Total futures contracts | $ (1,465,810) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Materials | $ 293 | $ 293 | $ — | $ — | ||||
Short-Term Investments | 39,623,473 | 2,083,735 | 37,539,738 | — | ||||
Futures Contracts(2) | 1,553,487 | 1,553,487 | — | — | ||||
Total | $ 41,177,253 | $ 3,637,515 | $ 37,539,738 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (3,019,297) | $ (3,019,297) | $ — | $ — | ||||
Total | $ (3,019,297) | $ (3,019,297) | $ — | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
35 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% | |||
Automobiles & Components - 0.9% | |||
488 | Tesla, Inc.* | $ 84,531 | |
Banks - 2.3% | |||
172 | Bank of America Corp. | 6,103 | |
25 | Citizens Financial Group, Inc. | 1,083 | |
109 | Comerica, Inc. | 7,991 | |
264 | Fifth Third Bancorp | 9,581 | |
241 | Huntington Bancshares, Inc. | 3,656 | |
377 | JP Morgan Chase & Co. | 52,765 | |
107 | M&T Bank Corp. | 16,692 | |
26 | PNC Financial Services Group, Inc. | 4,301 | |
160 | Popular, Inc. | 10,982 | |
152 | Regions Financial Corp. | 3,578 | |
400 | Synovus Financial Corp. | 16,780 | |
295 | Truist Financial Corp. | 14,570 | |
1,288 | U.S. Bancorp | 64,142 | |
40 | Zions Bancorp NA | 2,126 | |
214,350 | |||
Capital Goods - 7.6% | |||
498 | 3M Co. | 57,309 | |
38 | A.O. Smith Corp. | 2,573 | |
197 | AECOM | 17,192 | |
414 | Air Lease Corp. | 18,618 | |
577 | Allison Transmission Holdings, Inc. | 26,011 | |
48 | AMETEK, Inc. | 6,956 | |
498 | Builders FirstSource, Inc.* | 39,691 | |
190 | Caterpillar, Inc. | 47,935 | |
71 | Cummins, Inc. | 17,717 | |
62 | Deere & Co. | 26,216 | |
134 | Eaton Corp. plc | 21,736 | |
503 | Emerson Electric Co. | 45,381 | |
303 | Fortive Corp. | 20,613 | |
801 | General Electric Co. | 64,464 | |
34 | Hubbell, Inc. | 7,783 | |
45 | IDEX Corp. | 10,786 | |
77 | Illinois Tool Works, Inc. | 18,175 | |
718 | Masco Corp. | 38,198 | |
18 | Nordson Corp. | 4,379 | |
773 | Otis Worldwide Corp. | 63,564 | |
87 | PACCAR, Inc. | 9,510 | |
48 | Rockwell Automation, Inc. | 13,537 | |
36 | Sensata Technologies Holding plc | 1,831 | |
43 | United Rentals, Inc.* | 18,961 | |
670 | Westinghouse Air Brake Technologies Corp. | 69,553 | |
214 | WillScot Mobile Mini Holdings Corp.* | 10,370 | |
15 | WW Grainger, Inc. | 8,842 | |
40 | Xylem, Inc. | 4,160 | |
692,061 | |||
Commercial & Professional Services - 1.6% | |||
107 | Cintas Corp. | 47,480 | |
440 | Dun & Bradstreet Holdings, Inc. | 6,446 | |
36 | ManpowerGroup, Inc. | 3,138 | |
487 | Republic Services, Inc. | 60,787 | |
33 | Robert Half International, Inc. | 2,771 | |
153 | Waste Management, Inc. | 23,674 | |
144,296 | |||
Consumer Durables & Apparel - 1.4% | |||
114 | Garmin Ltd. | 11,272 | |
1,884 | Newell Brands, Inc. | 30,069 | |
53 | NIKE, Inc. Class B | 6,748 | |
2 | NVR, Inc.* | 10,540 | |
1,433 | Tapestry, Inc. | 65,302 | |
123,931 | |||
Consumer Services - 5.3% | |||
733 | Airbnb, Inc. Class A* | 81,444 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Consumer Services - 5.3% - (continued) | |||
40 | Booking Holdings, Inc.* | $ 97,364 | |
539 | Expedia Group, Inc.* | 61,608 | |
1,561 | H&R Block, Inc. | 60,848 | |
335 | McDonald's Corp. | 89,579 | |
397 | Starbucks Corp. | 43,328 | |
382 | Yum! Brands, Inc. | 49,855 | |
484,026 | |||
Diversified Financials - 4.2% | |||
373 | American Express Co. | 65,249 | |
484 | Annaly Capital Management, Inc. | 11,360 | |
313 | Berkshire Hathaway, Inc. Class B* | 97,506 | |
44 | Capital One Financial Corp. | 5,236 | |
146 | Charles Schwab Corp. | 11,303 | |
484 | Discover Financial Services | 56,497 | |
780 | Equitable Holdings, Inc. | 25,015 | |
366 | Evercore, Inc. Class A | 47,510 | |
5 | Goldman Sachs Group, Inc. | 1,829 | |
131 | Moody's Corp. | 42,280 | |
24 | Morgan Stanley | 2,336 | |
18 | MSCI, Inc. | 9,568 | |
1,047 | Rithm Capital Corp. REIT | 9,852 | |
385,541 | |||
Energy - 5.6% | |||
166 | Baker Hughes Co. | 5,269 | |
154 | Cheniere Energy, Inc. | 23,530 | |
46 | Chesapeake Energy Corp. | 3,989 | |
524 | Chevron Corp. | 91,186 | |
375 | ConocoPhillips | 45,701 | |
273 | Devon Energy Corp. | 17,265 | |
180 | EOG Resources, Inc. | 23,805 | |
1,416 | Exxon Mobil Corp. | 164,270 | |
200 | Marathon Petroleum Corp. | 25,704 | |
129 | Occidental Petroleum Corp. | 8,358 | |
91 | Pioneer Natural Resources Co. | 20,962 | |
1,125 | Schlumberger Ltd. | 64,102 | |
1 | Texas Pacific Land Corp. | 1,996 | |
129 | Valero Energy Corp. | 18,064 | |
514,201 | |||
Food & Staples Retailing - 2.6% | |||
2,818 | Albertsons Cos., Inc. Class A | 59,742 | |
159 | Costco Wholesale Corp. | 81,271 | |
226 | Kroger Co. | 10,087 | |
606 | Walmart, Inc. | 87,185 | |
238,285 | |||
Food, Beverage & Tobacco - 4.7% | |||
413 | Archer-Daniels-Midland Co. | 34,217 | |
217 | Campbell Soup Co. | 11,269 | |
1,633 | Coca-Cola Co. | 100,135 | |
767 | General Mills, Inc. | 60,102 | |
278 | Hershey Co. | 62,439 | |
72 | JM Smucker Co. | 11,002 | |
176 | Kellogg Co. | 12,070 | |
103 | Keurig Dr Pepper, Inc. | 3,634 | |
662 | Kraft Heinz Co. | 26,831 | |
253 | Mondelez International, Inc. Class A | 16,556 | |
553 | PepsiCo., Inc. | 94,574 | |
432,829 | |||
Health Care Equipment & Services - 4.6% | |||
604 | Abbott Laboratories | 66,772 | |
84 | AmerisourceBergen Corp. | 14,193 | |
49 | Becton Dickinson and Co. | 12,359 | |
32 | Boston Scientific Corp.* | 1,480 | |
17 | Cigna Corp. | 5,383 | |
304 | CVS Health Corp. | 26,819 |
36 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Health Care Equipment & Services - 4.6% - (continued) | |||
72 | DaVita, Inc.* | $ 5,932 | |
31 | Elevance Health, Inc. | 15,500 | |
33 | Encompass Health Corp. | 2,061 | |
759 | Enovis Corp.* | 47,779 | |
26 | HCA Healthcare, Inc. | 6,632 | |
70 | Hologic, Inc.* | 5,696 | |
143 | Humana, Inc. | 73,173 | |
7 | Intuitive Surgical, Inc.* | 1,720 | |
92 | Medtronic plc | 7,699 | |
22 | QuidelOrtho Corp.* | 1,883 | |
21 | Stryker Corp. | 5,330 | |
228 | UnitedHealth Group, Inc. | 113,815 | |
41 | Veeva Systems, Inc. Class A* | 6,993 | |
421,219 | |||
Household & Personal Products - 1.5% | |||
463 | Church & Dwight Co., Inc. | 37,438 | |
311 | Colgate-Palmolive Co. | 23,179 | |
548 | Procter & Gamble Co. | 78,024 | |
138,641 | |||
Insurance - 4.5% | |||
140 | Allstate Corp. | 17,986 | |
320 | American Financial Group, Inc. | 45,629 | |
130 | Aon plc Class A | 41,428 | |
14 | Arthur J Gallagher & Co. | 2,740 | |
376 | Brown & Brown, Inc. | 22,019 | |
168 | Chubb Ltd. | 38,218 | |
51 | CNA Financial Corp. | 2,222 | |
32 | Erie Indemnity Co. Class A | 7,819 | |
26 | Everest Re Group Ltd. | 9,092 | |
139 | Globe Life, Inc. | 16,798 | |
123 | Lincoln National Corp. | 4,358 | |
56 | Loews Corp. | 3,443 | |
344 | Marsh & McLennan Cos., Inc. | 60,169 | |
107 | MetLife, Inc. | 7,813 | |
512 | Progressive Corp. | 69,811 | |
18 | Prudential Financial, Inc. | 1,889 | |
102 | Reinsurance Group of America, Inc. | 15,480 | |
64 | Travelers Cos., Inc. | 12,232 | |
268 | Unum Group | 11,264 | |
228 | WR Berkley Corp. | 15,992 | |
406,402 | |||
Materials - 2.1% | |||
67 | Dow, Inc. | 3,976 | |
867 | DuPont de Nemours, Inc. | 64,115 | |
35,565 | Ginkgo Bioworks Holdings, Inc.*(1) | 69,352 | |
24 | Linde plc | 7,943 | |
421 | Louisiana-Pacific Corp. | 28,666 | |
39 | Nucor Corp. | 6,592 | |
38 | Sherwin-Williams Co. | 8,990 | |
189,634 | |||
Media & Entertainment - 6.8% | |||
2,861 | Alphabet, Inc. Class A* | 282,781 | |
614 | Altice USA, Inc. Class A* | 3,009 | |
8 | Cable One, Inc. | 6,319 | |
143 | Charter Communications, Inc. Class A* | 54,956 | |
2,651 | Comcast Corp. Class A | 104,317 | |
85 | Electronic Arts, Inc. | 10,938 | |
947 | Meta Platforms, Inc. Class A* | 141,075 | |
131 | Pinterest, Inc. Class A* | 3,444 | |
324 | ROBLOX Corp. Class A* | 12,056 | |
618,895 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 10.5% | |||
714 | AbbVie, Inc. | 105,494 | |
278 | Amgen, Inc. | 70,167 |
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Pharmaceuticals, Biotechnology & Life Sciences - 10.5% - (continued) | |||
4 | Biogen, Inc.* | $ 1,164 | |
9 | Bio-Rad Laboratories, Inc. Class A* | 4,207 | |
1,159 | Bristol-Myers Squibb Co. | 84,201 | |
75 | Danaher Corp. | 19,829 | |
283 | Eli Lilly & Co. | 97,394 | |
891 | Gilead Sciences, Inc. | 74,791 | |
9 | Illumina, Inc.* | 1,928 | |
64 | Incyte Corp.* | 5,449 | |
922 | Johnson & Johnson | 150,673 | |
1,074 | Merck & Co., Inc. | 115,358 | |
2,247 | Organon & Co. | 67,702 | |
1,982 | Pfizer, Inc. | 87,525 | |
20 | Regeneron Pharmaceuticals, Inc.* | 15,169 | |
30 | Thermo Fisher Scientific, Inc. | 17,110 | |
131 | Vertex Pharmaceuticals, Inc.* | 42,326 | |
960,487 | |||
Real Estate - 1.3% | |||
74 | American Tower Corp. REIT | 16,531 | |
164 | Crown Castle, Inc. REIT | 24,290 | |
10 | Equinix, Inc. REIT | 7,381 | |
147 | Prologis, Inc. REIT | 19,004 | |
9 | Public Storage REIT | 2,739 | |
7 | Realty Income Corp. REIT | 475 | |
55 | SBA Communications Corp. REIT | 16,364 | |
152 | Simon Property Group, Inc. REIT | 19,526 | |
284 | Zillow Group, Inc. REIT, Class C* | 12,556 | |
118,866 | |||
Retailing - 6.8% | |||
1,819 | Amazon.com, Inc.* | 187,594 | |
17 | AutoZone, Inc.* | 41,460 | |
1,133 | Bath & Body Works, Inc. | 52,129 | |
5 | Dollar General Corp. | 1,168 | |
6 | Dollar Tree, Inc.* | 901 | |
186 | DoorDash, Inc. Class A* | 10,773 | |
335 | Home Depot, Inc. | 108,597 | |
359 | Lowe's Cos., Inc. | 74,762 | |
66 | O'Reilly Automotive, Inc.* | 52,295 | |
31 | Target Corp. | 5,336 | |
787 | TJX Cos., Inc. | 64,424 | |
28 | Ulta Beauty, Inc.* | 14,391 | |
23 | Williams-Sonoma, Inc. | 3,104 | |
616,934 | |||
Semiconductors & Semiconductor Equipment - 3.0% | |||
170 | Broadcom, Inc. | 99,452 | |
6 | Enphase Energy, Inc.* | 1,328 | |
226 | GLOBALFOUNDRIES, Inc.*(1) | 13,397 | |
408 | Intel Corp. | 11,530 | |
99 | Microchip Technology, Inc. | 7,684 | |
375 | NVIDIA Corp. | 73,264 | |
101 | QUALCOMM, Inc. | 13,454 | |
298 | Texas Instruments, Inc. | 52,809 | |
272,918 | |||
Software & Services - 9.6% | |||
205 | Accenture plc Class A | 57,205 | |
14 | Adobe, Inc.* | 5,185 | |
228 | Atlassian Corp. Class A* | 36,849 | |
7 | Autodesk, Inc.* | 1,506 | |
34 | Cadence Design Systems, Inc.* | 6,216 | |
1,128 | Cognizant Technology Solutions Corp. Class A | 75,294 | |
438 | Concentrix Corp. | 62,113 | |
38 | Crowdstrike Holdings, Inc. Class A* | 4,024 | |
17 | Datadog, Inc. Class A* | 1,272 | |
252 | Dropbox, Inc. Class A* | 5,854 | |
435 | International Business Machines Corp. | 58,608 | |
163 | Mastercard, Inc. Class A | 60,408 |
37 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
COMMON STOCKS - 99.6% - (continued) | |||
Software & Services - 9.6% - (continued) | |||
1,577 | Microsoft Corp. | $ 390,796 | |
17 | Palo Alto Networks, Inc.* | 2,697 | |
24 | ServiceNow, Inc.* | 10,923 | |
104 | Snowflake, Inc. Class A* | 16,270 | |
347 | Unity Software, Inc.* | 12,325 | |
314 | Visa, Inc. Class A | 72,286 | |
879,831 | |||
Technology Hardware & Equipment - 9.2% | |||
4,222 | Apple, Inc. | 609,192 | |
2,798 | Cisco Systems, Inc. | 136,179 | |
20 | F5, Inc.* | 2,953 | |
1,178 | Hewlett Packard Enterprise Co. | 19,001 | |
182 | Motorola Solutions, Inc. | 46,776 | |
76 | NetApp, Inc. | 5,033 | |
806 | Pure Storage, Inc. Class A* | 23,326 | |
842,460 | |||
Telecommunication Services - 0.7% | |||
2,013 | AT&T, Inc. | 41,005 | |
470 | Verizon Communications, Inc. | 19,538 | |
60,543 | |||
Transportation - 1.7% | |||
15 | Expeditors International of Washington, Inc. | 1,622 | |
372 | Lyft, Inc. Class A* | 6,045 | |
98 | Ryder System, Inc. | 9,252 | |
2,458 | Uber Technologies, Inc.* | 76,026 | |
317 | United Parcel Service, Inc. Class B | 58,718 | |
151,663 | |||
Utilities - 1.1% | |||
61 | American Water Works Co., Inc. | 9,546 | |
354 | Consolidated Edison, Inc. | 33,740 | |
112 | Essential Utilities, Inc. | 5,234 | |
39 | Eversource Energy | 3,211 | |
1,070 | Exelon Corp. | 45,143 | |
95 | NextEra Energy, Inc. | 7,090 | |
103,964 | |||
Total Common Stocks (cost $8,880,309) | $ 9,096,508 |
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 1.2% | |||
Other Investment Pools & Funds - 0.3% | |||
29,572 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 4.27%(2) | $ 29,572 | |
Securities Lending Collateral - 0.9% | |||
11,998 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.24%(2) | 11,998 | |
39,994 | HSBC US Government Money Market Fund, 4.22%(2) | 39,994 | |
11,998 | Invesco Government & Agency Portfolio, Institutional Class, 4.32%(2) | 11,998 | |
11,998 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.13%(2) | 11,998 | |
75,988 | |||
Total Short-Term Investments (cost $105,560) | $ 105,560 | ||
Total Investments (cost $8,985,869) | 100.8% | $ 9,202,068 | |
Other Assets and Liabilities | (0.8)% | (69,225) | |
Total Net Assets | 100.0% | $ 9,132,843 |
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. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
S&P 500 (E-Mini) Future | 1 | 03/17/2023 | $ 20,450 | $ 929 | ||||
Total futures contracts | $ 929 |
38 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 84,531 | $ 84,531 | $ — | $ — | ||||
Banks | 214,350 | 214,350 | — | — | ||||
Capital Goods | 692,061 | 692,061 | — | — | ||||
Commercial & Professional Services | 144,296 | 144,296 | — | — | ||||
Consumer Durables & Apparel | 123,931 | 123,931 | — | — | ||||
Consumer Services | 484,026 | 484,026 | — | — | ||||
Diversified Financials | 385,541 | 385,541 | — | — | ||||
Energy | 514,201 | 514,201 | — | — | ||||
Food & Staples Retailing | 238,285 | 238,285 | — | — | ||||
Food, Beverage & Tobacco | 432,829 | 432,829 | — | — | ||||
Health Care Equipment & Services | 421,219 | 421,219 | — | — | ||||
Household & Personal Products | 138,641 | 138,641 | — | — | ||||
Insurance | 406,402 | 406,402 | — | — | ||||
Materials | 189,634 | 189,634 | — | — | ||||
Media & Entertainment | 618,895 | 618,895 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 960,487 | 960,487 | — | — | ||||
Real Estate | 118,866 | 118,866 | — | — | ||||
Retailing | 616,934 | 616,934 | — | — | ||||
Semiconductors & Semiconductor Equipment | 272,918 | 272,918 | — | — | ||||
Software & Services | 879,831 | 879,831 | — | — | ||||
Technology Hardware & Equipment | 842,460 | 842,460 | — | — | ||||
Telecommunication Services | 60,543 | 60,543 | — | — | ||||
Transportation | 151,663 | 151,663 | — | — | ||||
Utilities | 103,964 | 103,964 | — | — | ||||
Short-Term Investments | 105,560 | 105,560 | — | — | ||||
Futures Contracts(2) | 929 | 929 | — | — | ||||
Total | $ 9,202,997 | $ 9,202,997 | $ — | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
39 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 7.2% | |||
Beverages - 0.3% | |||
$ 253,000 | Constellation Brands, Inc. 5.00%, 02/02/2026 | $ 253,152 | |
Commercial Banks - 3.3% | |||
400,000 | Banco Santander S.A. 1.72%, 09/14/2027, (1.72% fixed rate until 09/14/2026; 12 mo. USD CMT + 0.900% thereafter)(1) | 350,785 | |
Barclays plc | |||
398,000 | 2.28%, 11/24/2027, (2.28% fixed rate until 11/24/2026; 12 mo. USD CMT + 1.050% thereafter)(1) | 355,665 | |
335,000 | 7.33%, 11/02/2026, (7.33% fixed rate until 11/02/2025; 12 mo. USD CMT + 3.050% thereafter)(1) | 351,499 | |
HSBC Holdings plc | |||
409,000 | 3.97%, 05/22/2030, (3.97% fixed rate until 05/22/2029; 3 mo. USD LIBOR + 1.610% thereafter)(1) | 376,377 | |
321,000 | 7.34%, 11/03/2026, (7.34% fixed rate until 11/03/2025; 3 mo. USD SOFR + 3.030% thereafter)(1) | 338,625 | |
264,000 | NatWest Group plc 7.47%, 11/10/2026, (7.47% fixed rate until 11/10/2025; 12 mo. USD CMT + 2.850% thereafter)(1) | 279,108 | |
757,000 | UniCredit S.p.A. 1.98%, 06/03/2027, (1.98% fixed rate until 06/03/2026; 12 mo. USD CMT + 1.200% thereafter)(1)(2) | 666,594 | |
2,718,653 | |||
Diversified Financial Services - 1.6% | |||
1,425,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45%, 10/29/2026 | 1,281,049 | |
Entertainment - 0.4% | |||
350,000 | Warnermedia Holdings, Inc. 3.76%, 03/15/2027(2) | 327,515 | |
Healthcare - Services - 1.1% | |||
670,000 | CommonSpirit Health 3.35%, 10/01/2029 | 599,663 | |
284,000 | Elevance Health, Inc. 4.90%, 02/08/2026 | 284,226 | |
883,889 | |||
Semiconductors - 0.5% | |||
Qorvo, Inc. | |||
273,000 | 1.75%, 12/15/2024(2) | 255,441 | |
195,000 | 4.38%, 10/15/2029 | 175,987 | |
431,428 | |||
Total Corporate Bonds (cost $6,384,874) | $ 5,895,686 | ||
MUNICIPAL BONDS - 72.6% | |||
Alabama - 2.6% | |||
Black Belt Energy Gas Dist, AL, Rev | |||
920,000 | 4.00%, 10/01/2049(3) | $ 922,661 | |
1,205,000 | 4.00%, 06/01/2051(3) | 1,217,173 | |
2,139,834 | |||
California - 11.8% | |||
205,000 | Alameda Corridor, CA, Transportation Auth Rev, (AGM Insured) 5.00%, 10/01/2052 | 226,282 | |
125,000 | Brentwood, CA, Union School Dist, GO 5.25%, 08/01/2052 | 142,533 | |
695,000 | California State Health Facs Finance Auth Rev 5.00%, 04/01/2033 | 778,005 | |
County of Sacramento, CA, Airport System Rev | |||
170,000 | 5.00%, 07/01/2033 | 199,219 | |
105,000 | 5.00%, 07/01/2034 | 121,577 | |
625,000 | Del Mar, CA, Union School Dist, GO 4.00%, 08/01/2046 | 637,471 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 72.6% - (continued) | |||
California - 11.8% - (continued) | |||
$ 565,000 | Fresno, CA, Unified School Dist, GO 4.00%, 08/01/2052 | $ 565,834 | |
700,000 | Golden State Tobacco Securitization Corp., CA, Rev 3.00%, 06/01/2046 | 650,958 | |
115,000 | Peralta, CA, Community College Dist, GO 5.50%, 08/01/2052 | 131,537 | |
1,205,000 | Regents of the University of California Medical Center, Pooled Rev 4.00%, 05/15/2053 | 1,211,515 | |
60,000 | San Diego, CA, Unified School Dist, GO 4.55%, 07/01/2052 | 62,732 | |
935,000 | San Francisco, CA, Bay Area Rapid Transit Dist, GO 4.25%, 08/01/2052 | 964,564 | |
105,000 | San Francisco, CA, Community College Dist, GO 2.02%, 06/15/2029 | 90,310 | |
970,000 | Sweetwater, CA, Union High School Dist, GO 5.00%, 08/01/2052 | 1,083,284 | |
865,000 | Victor Valley, CA, Community College Dist, GO 4.00%, 08/01/2050 | 865,047 | |
1,660,000 | Vista, CA, Unified School Dist GO, (BAM Insured) 5.25%, 08/01/2048 | 1,903,421 | |
9,634,289 | |||
Colorado - 2.5% | |||
575,000 | City & County of Denver, CO, Airport System Rev 5.25%, 11/15/2053 | 646,111 | |
895,000 | City of Colorado Springs, CO, Utilities System Rev 4.00%, 11/15/2051 | 880,944 | |
90,000 | Colorado Health Facs Auth Rev 5.25%, 11/01/2052 | 95,118 | |
430,000 | Colorado Housing and Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 3.50%, 05/01/2050 | 430,469 | |
2,052,642 | |||
Connecticut - 0.2% | |||
155,000 | Connecticut Housing Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 | 157,345 | |
District of Columbia - 3.7% | |||
2,090,000 | Dist of Columbia Water & Sewer Auth Rev 4.00%, 10/01/2047 | 2,098,528 | |
505,000 | Dist of Columbia, GO 5.00%, 06/01/2036 | 551,020 | |
340,000 | Metropolitan Washington, DC, Airports Auth Dulles Toll Road Rev 5.00%, 10/01/2034 | 374,849 | |
3,024,397 | |||
Florida - 3.7% | |||
2,745,000 | Broward County, FL, Convention Center Hotel Rev 4.00%, 01/01/2051 | 2,743,401 | |
Florida Housing Finance Corp. Rev, (GNMA/FNMA/FHLMC Insured) | |||
70,000 | 3.00%, 07/01/2051 | 69,050 | |
120,000 | 3.50%, 07/01/2051 | 120,081 | |
50,000 | 4.00%, 07/01/2049 | 50,412 | |
2,982,944 | |||
Georgia - 3.4% | |||
220,000 | Georgia Municipal Association, Inc. 5.00%, 12/01/2029 | 247,795 | |
Main Street Natural Gas, Inc., GA, Rev | |||
435,000 | 4.00%, 08/01/2048(3) | 437,466 | |
1,565,000 | 4.00%, 03/01/2050(3) | 1,574,401 | |
485,000 | 4.00%, 05/01/2052(3) | 485,950 | |
2,745,612 | |||
Illinois - 4.1% | |||
1,870,000 | Chicago O'Hare International Airport, IL, Rev 5.00%, 01/01/2033 | 2,150,694 |
40 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 72.6% - (continued) | |||
Illinois - 4.1% - (continued) | |||
Illinois Housing Dev Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
$ 915,000 | 3.75%, 04/01/2050 | $ 922,957 | |
85,000 | 4.50%, 10/01/2048 | 86,970 | |
175,000 | Railsplitter, IL, Tobacco Settlement Auth Rev 5.00%, 06/01/2027 | 188,773 | |
3,349,394 | |||
Indiana - 1.0% | |||
85,000 | Indiana Housing & Community Dev Auth Rev, (GNMA Insured) 4.00%, 07/01/2048 | 85,823 | |
705,000 | Indianapolis, IN, Local Public Improvement Bond Bank Rev 5.00%, 01/01/2053 | 766,808 | |
852,631 | |||
Iowa - 3.3% | |||
Iowa Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
1,130,000 | 3.00%, 01/01/2047 | 1,112,943 | |
1,460,000 | 3.00%, 07/01/2051 | 1,433,119 | |
90,000 | 3.25%, 07/01/2050 | 89,430 | |
50,000 | 4.00%, 07/01/2048 | 50,473 | |
2,685,965 | |||
Kentucky - 0.9% | |||
Kentucky Public Energy Auth Rev | |||
600,000 | 4.00%, 12/01/2049(3) | 601,654 | |
160,000 | 4.00%, 02/01/2050(3) | 160,445 | |
762,099 | |||
Louisiana - 1.5% | |||
25,000 | Louisiana Housing Corp. Rev 4.50%, 12/01/2047 | 25,515 | |
1,385,000 | Louisiana State Local Gov't Environmental Facs & Community Dev Auth Rev 2.50%, 04/01/2036 | 1,161,448 | |
1,186,963 | |||
Maine - 0.5% | |||
Maine Municipal Bond Bank Rev | |||
80,000 | 5.00%, 09/01/2029 | 92,742 | |
135,000 | 5.00%, 09/01/2031 | 159,228 | |
105,000 | 5.00%, 09/01/2032 | 123,585 | |
375,555 | |||
Maryland - 0.8% | |||
625,000 | Maryland State Transportation Auth Rev 4.00%, 07/01/2050 | 619,004 | |
Massachusetts - 0.1% | |||
120,000 | Commonwealth of Massachusetts, GO 3.00%, 02/01/2048 | 98,018 | |
Michigan - 0.1% | |||
70,000 | Michigan State Housing Dev Auth, Rev 3.75%, 06/01/2050 | 70,497 | |
Minnesota - 0.8% | |||
180,000 | Housing & Redev Auth of St. Paul, MN, Rev 3.50%, 12/01/2025(3) | 180,152 | |
435,000 | St. Paul, MN, Metropolitan Airports Commission Rev 4.25%, 01/01/2052 | 437,840 | |
617,992 | |||
Mississippi - 1.7% | |||
Mississippi Home Corp. Rev, (GNMA/FNMA/FHLMC Insured) | |||
1,185,000 | 3.00%, 12/01/2050 | 1,168,826 | |
230,000 | 3.25%, 12/01/2050 | 228,602 | |
1,397,428 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 72.6% - (continued) | |||
Missouri - 1.3% | |||
Missouri Housing Dev Commission Rev, (GNMA/FNMA/FHLMC Insured) | |||
$ 415,000 | 3.25%, 05/01/2051 | $ 412,272 | |
175,000 | 3.50%, 11/01/2050 | 175,222 | |
275,000 | 3.88%, 05/01/2050 | 278,089 | |
110,000 | 4.25%, 05/01/2049 | 111,927 | |
95,000 | 4.75%, 05/01/2049 | 97,805 | |
1,075,315 | |||
Nebraska - 0.8% | |||
Nebraska Investment Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
575,000 | 3.00%, 09/01/2050 | 567,134 | |
75,000 | 4.00%, 09/01/2048 | 75,737 | |
642,871 | |||
Nevada - 0.1% | |||
110,000 | Nevada Housing Division Rev, (GNMA/FNMA/FHLMC/COLL Insured) 4.00%, 10/01/2049 | 111,340 | |
New Jersey - 0.4% | |||
20,000 | Garden State, NJ, Preservation Trust Rev, (AGM Insured) 5.75%, 11/01/2028 | 22,318 | |
90,000 | New Jersey Economic Dev Auth, Rev 5.00%, 11/01/2026 | 97,598 | |
New Jersey Transportation Trust Fund Auth Rev | |||
25,000 | 4.00%, 06/15/2035 | 25,809 | |
150,000 | 5.00%, 12/15/2028 | 168,965 | |
314,690 | |||
New Mexico - 1.2% | |||
New Mexico Mortgage Finance Auth Rev, (GNMA/FNMA/FHLMC Insured) | |||
880,000 | 3.00%, 01/01/2051 | 866,911 | |
145,000 | 4.00%, 01/01/2049 | 146,597 | |
1,013,508 | |||
New York - 2.9% | |||
445,000 | New York City, NY, Transitional Finance Auth, Future Tax Secured Rev 4.00%, 08/01/2048 | 434,700 | |
950,000 | New York State Dormitory Auth Rev 3.00%, 03/15/2038 | 853,696 | |
310,000 | New York State Environmental Facs Corp. Rev 5.25%, 09/15/2052 | 355,578 | |
125,000 | New York Transportation Dev Corp. Rev 5.00%, 12/01/2028 | 137,376 | |
605,000 | Triborough Bridge & Tunnel Auth, NY, Rev 4.50%, 05/15/2052 | 627,221 | |
2,408,571 | |||
North Carolina - 0.9% | |||
755,000 | North Carolina Housing Finance Agency, Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 07/01/2050 | 766,044 | |
Ohio - 1.8% | |||
Ohio Housing Finance Agency Rev | |||
140,000 | 3.00%, 03/01/2052 | 137,950 | |
1,195,000 | 3.25%, 03/01/2050 | 1,188,446 | |
20,000 | 4.50%, 09/01/2048 | 20,415 | |
295,000 | Ohio Turnpike & Infrastructure Commission Rev 0.00%, 02/15/2041(4) | 139,209 | |
1,486,020 | |||
Oklahoma - 0.2% | |||
140,000 | Oklahoma Housing Finance Agency Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 03/01/2050 | 142,174 |
41 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 72.6% - (continued) | |||
Pennsylvania - 1.3% | |||
$ 145,000 | Allegheny County, PA, Sanitary Auth Rev 5.00%, 06/01/2053 | $ 158,682 | |
110,000 | Geisinger, PA, Health System Auth Rev 5.00%, 02/15/2032 | 119,010 | |
Pennsylvania Turnpike Commission Rev | |||
75,000 | 5.00%, 12/01/2032 | 88,262 | |
75,000 | 5.00%, 12/01/2033 | 87,649 | |
Philadelphia, PA, Gas Works Co. Rev, (AGM Insured) | |||
105,000 | 5.00%, 08/01/2029 | 119,979 | |
220,000 | 5.00%, 08/01/2030 | 255,567 | |
195,000 | 5.00%, 08/01/2033 | 224,896 | |
1,054,045 | |||
South Carolina - 0.1% | |||
45,000 | Tobacco Settlement Rev Mgmt Auth, SC, Rev 6.38%, 05/15/2030 | 55,509 | |
Tennessee - 2.3% | |||
75,000 | Jackson, TN, Health Educational & Housing Facility Board Rev 3.00%, 12/01/2026(3) | 75,201 | |
15,000 | Metropolitan Gov't Nashville & Davidson County, TN, Health & Educational Facility Board, Rev, (NATL Insured) 4.88%, 11/01/2028 | 16,187 | |
305,000 | Metropolitan Nashville, TN, Airport Auth Rev 5.00%, 07/01/2052 | 333,447 | |
1,395,000 | Tennergy Corp., TN, Rev 4.00%, 12/01/2051(3) | 1,398,196 | |
85,000 | Tennessee Housing Dev Agency Rev 4.50%, 07/01/2049 | 87,073 | |
1,910,104 | |||
Texas - 14.9% | |||
Arlington, TX, Higher Education Finance Corp. Rev, (PSF-GTD Insured) | |||
145,000 | 5.00%, 08/15/2030 | 169,304 | |
105,000 | 5.00%, 08/15/2031 | 124,306 | |
145,000 | 5.00%, 08/15/2032 | 173,311 | |
680,000 | 5.00%, 08/15/2033 | 772,580 | |
260,000 | Bexar County, TX, Hospital Dist, GO 4.25%, 02/15/2052 | 263,286 | |
1,235,000 | Bullard, TX, Independent School Dist GO, (PSF-GTD Insured) 4.00%, 02/15/2052 | 1,224,906 | |
325,000 | City of Houston, TX, Airport System Rev 5.00%, 07/01/2030 | 384,219 | |
790,000 | Cleburne, TX, Independent School Dist, GO, (PSF-GTD Insured) 3.00%, 02/15/2046 | 674,042 | |
Clifton, TX, Higher Education Finance Corp., Rev, (PSF-GTD Insured) | |||
45,000 | 5.00%, 08/15/2028 | 50,816 | |
80,000 | 5.00%, 08/15/2029 | 91,729 | |
60,000 | 5.00%, 08/15/2030 | 69,967 | |
765,000 | College of the Mainland, TX, GO 4.00%, 08/15/2049 | 765,750 | |
305,000 | Cypress-Fairbanks, TX, Independent School Dist, GO, (PSF-GTD Insured) 4.00%, 02/15/2033 | 332,323 | |
825,000 | Dallas, TX, Independent School Dist, GO 4.00%, 02/15/2053(5) | 820,804 | |
505,000 | Harris County, TX, GO 5.00%, 10/01/2038 | 548,717 | |
365,000 | Lamar, TX, Consolidated Independent School Dist, (PSF-GTD Insured) 3.00%, 02/15/2051 | 299,554 | |
440,000 | Lower Colorado River, TX, Auth Rev 5.00%, 05/15/2029 | 507,606 | |
745,000 | Montgomery, TX, Independent School Dist GO, (PSF-GTD Insured) 4.25%, 02/15/2052 | 756,246 | |
Newark, TX, Higher Education Finance Corp. Rev, (PSF-GTD Insured) | |||
655,000 | 4.00%, 06/15/2047 | 658,088 |
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 72.6% - (continued) | |||
Texas - 14.9% - (continued) | |||
$ 150,000 | 4.00%, 06/15/2052 | $ 149,171 | |
20,000 | 5.00%, 08/15/2052 | 21,636 | |
465,000 | Northwest, TX, Independent School Dist, GO, (PSF-GTD Insured) 5.00%, 02/15/2048 | 519,853 | |
185,000 | Sabine-Neches, TX, Navigation Dist, GO 5.25%, 02/15/2052 | 203,947 | |
805,000 | Temple, TX, Independent School Dist, GO, (PSF-GTD Insured) 4.25%, 02/01/2047 | 827,402 | |
Texas Department of Housing & Community Affairs Rev, (GNMA Insured) | |||
545,000 | 3.00%, 01/01/2052 | 536,048 | |
305,000 | 3.50%, 03/01/2051 | 305,589 | |
110,000 | 4.00%, 03/01/2050 | 112,036 | |
60,000 | 4.75%, 03/01/2049 | 61,434 | |
330,000 | Texas Municipal Gas Acquisition & Supply Corp. Rev 5.00%, 12/15/2028 | 350,133 | |
440,000 | White Settlement, TX, Independent School Dist GO, (PSF-GTD Insured) 4.13%, 08/15/2052 | 442,958 | |
12,217,761 | |||
Virginia - 1.4% | |||
1,150,000 | Loudoun County, VA, Economic Dev Auth Rev 4.00%, 10/01/2052 | 1,155,343 | |
Washington - 0.2% | |||
170,000 | Washington State Housing Finance Commission Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 12/01/2048 | 171,768 | |
Wyoming - 0.1% | |||
75,000 | Wyoming Community Dev Auth Rev 4.00%, 06/01/2043 | 75,727 | |
Total Municipal Bonds (cost $60,682,902) | $ 59,353,399 | ||
U.S. GOVERNMENT SECURITIES - 6.3% | |||
U.S. Treasury Securities - 6.3% | |||
U.S. Treasury Bonds - 3.2% | |||
2,651,000 | 3.38%, 08/15/2042 | $ 2,496,497 | |
121,000 | 4.00%, 11/15/2042 | 124,554 | |
2,621,051 | |||
U.S. Treasury Notes - 3.1% | |||
160,000 | 3.88%, 12/31/2027 | 161,550 | |
368,000 | 4.13%, 11/15/2032 | 386,055 | |
161,000 | 4.38%, 10/31/2024 | 160,987 | |
1,839,000 | 4.50%, 11/15/2025 | 1,864,430 | |
2,573,022 | |||
Total U.S. Government Securities (cost $5,170,234) | $ 5,194,073 | ||
Total Long-Term Investments (cost $72,238,010) | $ 70,443,158 | ||
SHORT-TERM INVESTMENTS - 14.8% | |||
Other Investment Pools & Funds - 1.8% | |||
1,482,169 | Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 4.27%(6) | $ 1,482,169 | |
U.S. Treasury Securities - 13.0% | |||
U.S. Treasury Bills – 13.0 | |||
176,000 | 4.71%, 07/13/2023(7) | 172,381 | |
1,247,000 | 4.75%, 07/13/2023(7) | 1,221,356 | |
814,000 | 4.81%, 07/13/2023(7) | 797,260 | |
1,748,000 | 4.83%, 07/13/2023(7) | 1,712,052 | |
2,900,000 | 4.61%, 11/30/2023(7) | 2,791,571 |
42 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 14.8% - (continued) | |||
U.S. Treasury Securities - 13.0% - (continued) | |||
U.S. Treasury Bills – 13.0 - (continued) | |||
$ 285,000 | 4.62%, 11/30/2023(7) | $ 274,344 | |
355,000 | 4.69%, 11/30/2023(7) | 341,727 | |
114,000 | 4.73%, 11/30/2023(7) | 109,738 | |
3,320,000 | 4.73%, 01/25/2024(7) | 3,172,709 | |
10,593,138 | |||
Total Short-Term Investments (cost $12,074,873) | $ 12,075,307 | ||
Total Investments (cost $84,312,883) | 100.9% | $ 82,518,465 | |
Other Assets and Liabilities | (0.9)% | (745,884) | |
Total Net Assets | 100.0% | $ 81,772,581 |
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. |
(1) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(2) | 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 January 31, 2023, the aggregate value of these securities was $1,249,550, representing 1.5% of net assets. |
(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 zero-coupon bond. |
(5) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of this security was $826,848 at January 31, 2023. |
(6) | Current yield as of period end. |
(7) | The rate shown represents current yield to maturity. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 5,895,686 | $ — | $ 5,895,686 | $ — | ||||
Municipal Bonds | 59,353,399 | — | 59,353,399 | — | ||||
U.S. Government Securities | 5,194,073 | — | 5,194,073 | — | ||||
Short-Term Investments | 12,075,307 | 1,482,169 | 10,593,138 | — | ||||
Total | $ 82,518,465 | $ 1,482,169 | $ 81,036,296 | $ — |
(1) | For the six-month period ended January 31, 2023, there were no transfers in and out of Level 3. |
43 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.8% | |||
Asset-Backed - Automobile - 1.0% | |||
$ 105,000 | Avid Automobile Receivables Trust 1.18%, 08/15/2025(1) | $ 103,603 | |
129,764 | FHF Trust 4.43%, 01/18/2028(1) | 127,192 | |
175,000 | Hertz Vehicle Financing LLC 1.21%, 12/26/2025(1) | 162,763 | |
214,059 | Lendbuzz Securitization Trust 1.46%, 06/15/2026(1) | 205,852 | |
599,410 | |||
Asset-Backed - Credit Card - 0.6% | |||
125,000 | Evergreen Credit Card Trust 5.61%, 07/15/2026(1) | 123,192 | |
240,000 | Mercury Financial Credit Card Master Trust 1.54%, 03/20/2026(1) | 240,000 | |
363,192 | |||
Asset-Backed - Finance & Insurance - 3.6% | |||
285,000 | Apidos CLO 5.82%, 04/20/2031, 3 mo. USD LIBOR + 1.010%(1)(2) | 282,405 | |
185,149 | Aqua Finance Trust 1.54%, 07/17/2046(1) | 166,160 | |
250,000 | Carbone CLO Ltd. 5.95%, 01/20/2031, 3 mo. USD LIBOR + 1.140%(1)(2) | 247,973 | |
CIFC Funding Ltd. | |||
250,000 | 5.85%, 04/20/2031, 3 mo. USD LIBOR + 1.040%(1)(2) | 247,714 | |
250,000 | 5.93%, 01/22/2031, 3 mo. USD LIBOR + 1.110%(1)(2) | 248,175 | |
375,000 | Cologix Data Centers US Issuer LLC 3.30%, 12/26/2051(1) | 334,774 | |
455,400 | DB Master Finance LLC 2.05%, 11/20/2051(1) | 401,397 | |
41,519 | FCI Funding LLC 1.13%, 04/15/2033(1) | 40,220 | |
244,837 | Octagon Investment Partners 30 Ltd. 5.81%, 03/17/2030, 3 mo. USD LIBOR + 1.000%(1)(2) | 242,387 | |
2,211,205 | |||
Commercial Mortgage-Backed Securities - 2.6% | |||
395,000 | CityLine Commercial Mortgage Trust 2.78%, 11/10/2031(1)(3) | 381,282 | |
225,000 | FREMF Mortgage Trust 3.85%, 01/25/2048(1)(3) | 218,693 | |
GS Mortgage Securities Trust | |||
240,000 | 2.75%, 02/10/2037(1) | 222,296 | |
239,570 | 2.78%, 10/10/2049 | 229,809 | |
575,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | 536,408 | |
1,588,488 | |||
Other Asset-Backed Securities - 8.2% | |||
62,463 | Affirm Asset Securitization Trust 1.07%, 08/15/2025(1) | 60,681 | |
150,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 144,595 | |
321,248 | Benefit Street Partners CLO Ltd. 5.74%, 10/15/2030, 3 mo. USD LIBOR + 0.950%(1)(2) | 317,666 | |
175,000 | BSPRT Issuer Ltd. 5.78%, 02/15/2037, 1 mo. USD SOFR + 1.500%(1)(2) | 171,043 | |
351,737 | Carlyle Global Market Strategies CLO Ltd. 5.79%, 07/20/2031, 3 mo. USD LIBOR + 0.980%(1)(2) | 348,089 | |
300,000 | CIFC Funding Ltd. 5.94%, 07/15/2036, 3 mo. USD LIBOR + 1.150%(1)(2) | 296,176 | |
400,000 | KKR CLO Ltd. 5.97%, 01/15/2031, 3 mo. USD LIBOR + 1.180%(1)(2) | 397,043 | |
370,271 | LCM XXIV Ltd. 5.79%, 03/20/2030, 3 mo. USD LIBOR + 0.980%(1)(2) | 366,941 | |
297,358 | Neuberger Berman Loan Advisers CLO Ltd. 5.82%, 04/19/2030, 3 mo. USD LIBOR + 1.020%(1)(2) | 295,267 | |
134,737 | Progress Residential Trust 1.05%, 04/17/2038(1) | 119,271 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.8% - (continued) | |||
Other Asset-Backed Securities - 8.2% - (continued) | |||
$ 183,804 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(1) | $ 147,237 | |
100,000 | SoFi Consumer Loan Program Trust 1.30%, 09/25/2030(1) | 94,583 | |
95,000 | Stack Infrastructure Issuer LLC 1.88%, 03/26/2046(1) | 83,814 | |
Vantage Data Centers Issuer LLC | |||
300,000 | 1.65%, 09/15/2045(1) | 268,996 | |
295,000 | 2.17%, 10/15/2046(1) | 259,750 | |
325,833 | 4.20%, 11/15/2043(1) | 318,903 | |
325,000 | Venture CLO Ltd. 5.97%, 07/15/2032, 3 mo. USD LIBOR + 1.180%(1)(2) | 320,565 | |
Voya CLO Ltd. | |||
349,287 | 5.81%, 04/17/2030, 3 mo. USD LIBOR + 1.020%(1)(2) | 346,145 | |
325,000 | 5.85%, 04/15/2031, 3 mo. USD LIBOR + 1.060%(1)(2) | 322,372 | |
375,000 | 5.89%, 04/25/2031, 3 mo. USD SOFR + 1.232%(1)(2) | 371,275 | |
5,050,412 | |||
Whole Loan Collateral CMO - 9.8% | |||
Angel Oak Mortgage Trust | |||
107,498 | 1.04%, 01/20/2065(1)(3) | 88,286 | |
222,334 | 1.46%, 09/25/2066(1)(3) | 183,674 | |
19,429 | 2.47%, 12/25/2059(1)(3) | 18,423 | |
87,391 | 2.53%, 01/26/2065(1)(3) | 81,299 | |
24,934 | 2.59%, 10/25/2049(1)(3) | 23,970 | |
5,998 | Angel Oak Mortgage Trust LLC 2.99%, 07/26/2049(1)(3) | 5,957 | |
147,181 | Arroyo Mortgage Trust 2.96%, 10/25/2048(1)(3) | 135,916 | |
37,477 | Bravo Residential Funding Trust 3.50%, 03/25/2058(1) | 36,461 | |
COLT Mortgage Loan Trust | |||
51,038 | 0.91%, 06/25/2066(1)(3) | 41,519 | |
273,215 | 0.96%, 09/27/2066(1)(3) | 221,065 | |
340,231 | 1.11%, 10/25/2066(1)(3) | 282,802 | |
304,646 | 1.39%, 01/25/2065(1)(3) | 265,633 | |
253,228 | 1.40%, 10/25/2066(1)(3) | 217,115 | |
CSMC Trust | |||
264,449 | 1.02%, 04/25/2066(1)(3) | 228,444 | |
208,054 | 1.17%, 07/25/2066(1)(3) | 169,732 | |
59,171 | 2.24%, 02/25/2050(1)(3) | 54,926 | |
46,613 | Deephaven Residential Mortgage Trust 0.72%, 05/25/2065(1)(3) | 42,011 | |
Ellington Financial Mortgage Trust | |||
36,885 | 0.80%, 02/25/2066(1)(3) | 30,707 | |
24,270 | 1.18%, 10/25/2065(1)(3) | 21,973 | |
133,004 | Fannie Mae Connecticut Avenue Securities 10.41%, 10/25/2028, 1 mo. USD LIBOR + 5.900%(2) | 138,802 | |
247,048 | FirstKey Homes Trust 1.27%, 10/19/2037(1) | 224,331 | |
GCAT Trust | |||
235,929 | 1.09%, 08/25/2066(1)(3) | 192,883 | |
336,269 | 1.26%, 07/25/2066(1)(3) | 271,297 | |
131,240 | 1.47%, 04/25/2065(1)(3) | 123,854 | |
42,810 | 2.25%, 01/25/2060(1)(4) | 40,511 | |
Imperial Fund Mortgage Trust | |||
130,574 | 1.07%, 06/25/2056(1)(3) | 110,075 | |
156,926 | 1.07%, 09/25/2056(1)(3) | 128,697 | |
174,353 | 1.60%, 11/25/2056(1)(3) | 147,019 | |
194,304 | IMS Ecuadorian Mortgage Trust 3.40%, 08/18/2043(1) | 184,818 | |
MFA Trust | |||
94,516 | 0.85%, 01/25/2056(1)(3) | 83,710 | |
45,455 | 1.01%, 01/26/2065(1)(3) | 41,995 | |
133,289 | 1.91%, 11/25/2056(1)(3) | 112,202 |
44 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.8% - (continued) | |||
Whole Loan Collateral CMO - 9.8% - (continued) | |||
Mill City Mortgage Loan Trust | |||
$ 20,066 | 3.25%, 05/25/2062(1)(3) | $ 19,406 | |
13,947 | 3.50%, 05/25/2058(1)(3) | 13,637 | |
158,144 | 3.50%, 08/25/2058(1)(3) | 151,908 | |
New Residential Mortgage Loan Trust | |||
44,954 | 0.94%, 10/25/2058(1)(3) | 40,725 | |
61,294 | 3.92%, 09/25/2057(1)(3) | 57,375 | |
170,337 | 4.00%, 02/25/2057(1)(3) | 161,654 | |
122,347 | 5.26%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(2) | 119,814 | |
OBX Trust | |||
123,061 | 1.05%, 07/25/2061(1)(3) | 97,821 | |
49,263 | 3.50%, 12/25/2049(1)(3) | 45,059 | |
269,715 | Onslow Bay Mortgage Loan Trust 1.96%, 10/25/2061(1)(3) | 225,348 | |
73,363 | Preston Ridge Partners Mortgage Trust LLC 1.32%, 07/25/2051(1)(4) | 66,185 | |
1,402 | Sequoia Mortgage Trust 4.50%, 08/25/2048(1)(3) | 1,365 | |
229,257 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(3) | 196,968 | |
Starwood Mortgage Residential Trust | |||
114,618 | 1.13%, 06/25/2056(1)(3) | 93,136 | |
11,753 | 2.28%, 02/25/2050(1)(3) | 11,310 | |
Towd Point Mortgage Trust | |||
134,143 | 1.75%, 10/25/2060(1) | 120,175 | |
112,093 | 2.16%, 01/25/2052(1)(3) | 109,645 | |
96,143 | 3.25%, 07/25/2058(1)(3) | 92,607 | |
35,385 | 3.75%, 05/25/2058(1)(3) | 33,964 | |
107,355 | TRK Trust 1.15%, 07/25/2056(1)(3) | 93,160 | |
Verus Securitization Trust | |||
214,089 | 1.01%, 09/25/2066(1)(3) | 179,199 | |
18,171 | 2.42%, 01/25/2060(1)(4) | 17,243 | |
35,864 | 2.69%, 11/25/2059(1)(3) | 34,231 | |
119,461 | Visio Trust 1.28%, 05/25/2056(1) | 110,058 | |
6,042,100 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $17,232,588) | $ 15,854,807 | ||
CORPORATE BONDS - 44.0% | |||
Aerospace/Defense - 0.3% | |||
225,000 | Boeing Co. 2.20%, 02/04/2026 | $ 207,574 | |
Agriculture - 0.2% | |||
100,000 | BAT International Finance plc 3.95%, 06/15/2025(1) | 97,178 | |
Auto Manufacturers - 2.1% | |||
Ford Motor Credit Co. LLC | |||
200,000 | 3.37%, 11/17/2023 | 196,337 | |
200,000 | 3.38%, 11/13/2025 | 187,460 | |
General Motors Financial Co., Inc. | |||
250,000 | 1.25%, 01/08/2026 | 223,907 | |
205,000 | 2.90%, 02/26/2025 | 195,653 | |
157,000 | 4.00%, 10/06/2026 | 151,023 | |
400,000 | Stellantis Finance U.S., Inc. 1.71%, 01/29/2027(1) | 352,163 | |
1,306,543 | |||
Beverages - 0.5% | |||
325,000 | JDE Peet's N.V. 1.38%, 01/15/2027(1) | 281,529 | |
Biotechnology - 0.9% | |||
100,000 | Illumina, Inc. 5.80%, 12/12/2025 | 101,852 | |
525,000 | Royalty Pharma plc 1.20%, 09/02/2025 | 475,759 | |
577,611 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 44.0% - (continued) | |||
Chemicals - 0.8% | |||
$ 175,000 | Celanese U.S. Holdings LLC 6.05%, 03/15/2025 | $ 176,497 | |
339,000 | LYB International Finance LLC 1.25%, 10/01/2025 | 306,767 | |
483,264 | |||
Commercial Banks - 11.2% | |||
200,000 | AIB Group plc 7.58%, 10/14/2026, (7.58% fixed rate until 10/14/2025; 3 mo. USD SOFR + 3.456% thereafter)(1)(5) | 206,869 | |
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)(5) | 256,328 | |
300,000 | 1.20%, 10/24/2026, (1.20% fixed rate until 10/24/2025; 3 mo. USD SOFR + 1.010% thereafter)(5) | 270,306 | |
350,000 | 2.02%, 02/13/2026, (2.02% fixed rate until 02/13/2025; 3 mo. USD LIBOR + 0.640% thereafter)(5) | 328,362 | |
100,000 | 5.08%, 01/20/2027 | 100,238 | |
200,000 | Bank of Ireland Group plc 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 12 mo. USD CMT + 2.650% thereafter)(1)(5) | 201,570 | |
200,000 | Banque Federative du Credit Mutuel S.A. 4.75%, 07/13/2027(1) | 198,182 | |
250,000 | Barclays plc 2.28%, 11/24/2027, (2.28% fixed rate until 11/24/2026; 12 mo. USD CMT + 1.050% thereafter)(5) | 223,408 | |
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)(5) | 179,141 | |
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)(5) | 225,165 | |
250,000 | 4.75%, 07/19/2027(1) | 247,964 | |
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)(5) | 245,608 | |
325,000 | Credit Suisse AG 1.25%, 08/07/2026 | 272,913 | |
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)(5) | 207,011 | |
305,000 | 2.59%, 09/11/2025, (2.59% fixed rate until 09/11/2024; 3 mo. USD SOFR + 1.560% thereafter)(1)(5) | 278,823 | |
295,000 | Danske Bank A/S 1.55%, 09/10/2027, (1.55% fixed rate until 09/10/2026; 12 mo. USD CMT + 0.730% thereafter)(1)(5) | 259,062 | |
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)(5) | 141,641 | |
240,000 | 2.55%, 01/07/2028, (2.55% fixed rate until 01/07/2027; 3 mo. USD SOFR + 1.318% thereafter)(5) | 213,942 | |
115,000 | Goldman Sachs Group, Inc. 4.39%, 06/15/2027, (4.39% fixed rate until 06/15/2026; 3 mo. USD SOFR + 1.510% thereafter)(5) | 112,581 | |
495,000 | HSBC Holdings plc 1.59%, 05/24/2027, (1.59% fixed rate until 05/24/2026; 3 mo. USD SOFR + 1.290% thereafter)(5) | 438,020 |
45 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 44.0% - (continued) | |||
Commercial Banks - 11.2% - (continued) | |||
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)(5) | $ 311,331 | |
75,000 | 4.32%, 04/26/2028, (4.32% fixed rate until 04/26/2027; 3 mo. USD SOFR + 1.560% thereafter)(5) | 73,258 | |
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)(5) | 137,601 | |
330,000 | Manufacturers & Traders Trust Co. 4.65%, 01/27/2026 | 329,162 | |
210,000 | Morgan Stanley 2.63%, 02/18/2026, (2.63% fixed rate until 02/18/2025; 3 mo. USD SOFR + 0.940% thereafter)(5) | 199,465 | |
200,000 | NatWest Group plc 4.80%, 04/05/2026 | 199,030 | |
200,000 | Societe Generale S.A. 4.68%, 06/15/2027(1) | 198,564 | |
355,000 | UBS Group AG 1.49%, 08/10/2027, (1.49% fixed rate until 08/10/2026; 12 mo. USD CMT + 0.850% thereafter)(1)(5) | 312,189 | |
Wells Fargo & Co. | |||
275,000 | 3.00%, 10/23/2026 | 259,197 | |
275,000 | 3.53%, 03/24/2028, (3.53% fixed rate until 03/24/2027; 3 mo. USD SOFR + 1.510% thereafter)(5) | 261,073 | |
6,888,004 | |||
Commercial Services - 1.3% | |||
200,000 | Ashtead Capital, Inc. 1.50%, 08/12/2026(1) | 175,833 | |
Global Payments, Inc. | |||
500,000 | 1.20%, 03/01/2026 | 444,062 | |
205,000 | 2.65%, 02/15/2025 | 195,422 | |
815,317 | |||
Diversified Financial Services - 4.1% | |||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | |||
250,000 | 1.75%, 10/29/2024 | 233,053 | |
150,000 | 1.75%, 01/30/2026 | 134,816 | |
205,000 | 2.45%, 10/29/2026 | 184,291 | |
Aviation Capital Group LLC | |||
200,000 | 3.88%, 05/01/2023(1) | 198,798 | |
250,000 | 4.88%, 10/01/2025(1) | 240,420 | |
Avolon Holdings Funding Ltd. | |||
375,000 | 2.88%, 02/15/2025(1) | 351,565 | |
250,000 | 5.13%, 10/01/2023(1) | 248,380 | |
75,000 | Capital One Financial Corp. 5.47%, 02/01/2029, (5.47% fixed rate until 02/01/2028; 3 mo. USD SOFR + 2.080% thereafter)(5)(6) | 75,348 | |
230,000 | Corebridge Global Funding 0.90%, 09/22/2025(1) | 207,579 | |
175,000 | Intercontinental Exchange, Inc. 4.00%, 09/15/2027 | 172,405 | |
275,000 | LeasePlan Corp. N.V. 2.88%, 10/24/2024(1) | 260,857 | |
100,000 | Navient Corp. 5.88%, 10/25/2024 | 98,904 | |
90,000 | OneMain Finance Corp. 6.13%, 03/15/2024 | 89,232 | |
2,495,648 | |||
Electric - 1.6% | |||
212,000 | Cleco Corporate Holdings LLC 3.74%, 05/01/2026 | 201,997 | |
150,000 | Edison International 4.70%, 08/15/2025 | 147,740 | |
40,000 | ITC Holdings Corp. 4.95%, 09/22/2027(1) | 40,340 | |
305,000 | Pacific Gas and Electric Co. 1.70%, 11/15/2023 | 297,078 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 44.0% - (continued) | |||
Electric - 1.6% - (continued) | |||
$ 195,000 | Public Service Enterprise Group, Inc. 5.85%, 11/15/2027 | $ 204,411 | |
100,000 | WEC Energy Group, Inc. 4.75%, 01/15/2028 | 100,350 | |
991,916 | |||
Electronics - 0.3% | |||
150,000 | Flex Ltd. 6.00%, 01/15/2028 | 155,570 | |
Entertainment - 0.9% | |||
75,000 | Caesars Entertainment, Inc. 6.25%, 07/01/2025(1) | 74,655 | |
Warnermedia Holdings, Inc. | |||
240,000 | 3.64%, 03/15/2025(1) | 231,348 | |
295,000 | 3.76%, 03/15/2027(1) | 276,049 | |
582,052 | |||
Food - 1.2% | |||
471,000 | Conagra Brands, Inc. 4.60%, 11/01/2025 | 467,156 | |
275,000 | Kraft Heinz Foods Co. 3.00%, 06/01/2026 | 261,337 | |
728,493 | |||
Gas - 0.2% | |||
115,000 | EQT Corp. 5.68%, 10/01/2025 | 115,075 | |
Hand/Machine Tools - 0.5% | |||
Regal Rexnord Corp. | |||
85,000 | 6.05%, 02/15/2026 | 86,283 | |
245,000 | 6.05%, 04/15/2028 | 248,306 | |
334,589 | |||
Healthcare - Services - 0.7% | |||
175,000 | HCA, Inc. 3.13%, 03/15/2027(1) | 162,445 | |
325,000 | Humana, Inc. 1.35%, 02/03/2027 | 285,735 | |
448,180 | |||
Insurance - 1.6% | |||
50,000 | Aon Corp. / Aon Global Holdings plc 2.85%, 05/28/2027 | 46,788 | |
200,000 | Athene Global Funding 1.73%, 10/02/2026(1) | 174,453 | |
225,000 | Corebridge Financial, Inc. 3.65%, 04/05/2027(1) | 214,436 | |
200,000 | Equitable Financial Life Global Funding 1.00%, 01/09/2026(1) | 178,996 | |
250,000 | Principal Life Global Funding II 1.25%, 08/16/2026(1) | 220,508 | |
175,000 | Radian Group, Inc. 6.63%, 03/15/2025 | 175,000 | |
1,010,181 | |||
Internet - 0.8% | |||
Expedia Group, Inc. | |||
100,000 | 4.63%, 08/01/2027 | 98,286 | |
100,000 | 6.25%, 05/01/2025(1) | 101,555 | |
300,000 | Netflix, Inc. 3.63%, 06/15/2025(1) | 288,750 | |
488,591 | |||
Investment Company Security - 1.4% | |||
FS KKR Capital Corp. | |||
500,000 | 1.65%, 10/12/2024 | 463,333 | |
100,000 | 3.25%, 07/15/2027 | 86,742 | |
325,000 | Owl Rock Capital Corp. 2.63%, 01/15/2027 | 280,190 | |
830,265 | |||
Iron/Steel - 0.2% | |||
100,000 | Steel Dynamics, Inc. 5.00%, 12/15/2026 | 99,258 | |
IT Services - 0.6% | |||
275,000 | DXC Technology Co. 1.80%, 09/15/2026 | 242,862 | |
150,000 | Seagate HDD Cayman 4.75%, 06/01/2023 | 149,392 | |
392,254 | |||
Lodging - 1.7% | |||
235,000 | Genting New York LLC / GENNY Capital, Inc. 3.30%, 02/15/2026(1) | 210,092 |
46 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 44.0% - (continued) | |||
Lodging - 1.7% - (continued) | |||
$ 160,000 | Hyatt Hotels Corp. 1.80%, 10/01/2024 | $ 151,636 | |
450,000 | Las Vegas Sands Corp. 3.20%, 08/08/2024 | 432,964 | |
250,000 | MGM Resorts International 6.00%, 03/15/2023 | 249,898 | |
1,044,590 | |||
Media - 0.3% | |||
175,000 | Discovery Communications LLC 3.45%, 03/15/2025 | 168,210 | |
Miscellaneous Manufacturing - 0.5% | |||
300,000 | Trane Technologies Luxembourg Finance S.A. 3.50%, 03/21/2026 | 287,522 | |
Office/Business Equipment - 0.5% | |||
CDW LLC / CDW Finance Corp. | |||
235,000 | 2.67%, 12/01/2026 | 211,079 | |
105,000 | 4.13%, 05/01/2025 | 101,331 | |
312,410 | |||
Oil & Gas - 1.1% | |||
535,000 | Aker BP ASA 3.00%, 01/15/2025(1) | 512,520 | |
200,000 | Var Energi ASA 5.00%, 05/18/2027(1) | 191,869 | |
704,389 | |||
Packaging & Containers - 1.0% | |||
300,000 | Berry Global, Inc. 1.57%, 01/15/2026 | 270,902 | |
350,000 | Silgan Holdings, Inc. 1.40%, 04/01/2026(1) | 312,928 | |
583,830 | |||
Pharmaceuticals - 1.0% | |||
Teva Pharmaceutical Finance Netherlands III B.V. | |||
225,000 | 2.80%, 07/21/2023 | 221,800 | |
400,000 | 4.75%, 05/09/2027 | 370,013 | |
591,813 | |||
Pipelines - 1.3% | |||
Energy Transfer L.P. | |||
556,000 | 2.90%, 05/15/2025 | 530,173 | |
120,000 | 4.20%, 09/15/2023 | 119,091 | |
120,000 | Targa Resources Corp. 5.20%, 07/01/2027 | 120,473 | |
769,737 | |||
Real Estate Investment Trusts - 1.6% | |||
265,000 | Brandywine Operating Partnership L.P. 4.10%, 10/01/2024 | 256,642 | |
180,000 | Mid-America Apartments L.P. 1.10%, 09/15/2026 | 158,816 | |
SBA Tower Trust | |||
80,000 | 1.63%, 05/15/2051(1) | 69,760 | |
155,000 | 2.84%, 01/15/2050(1) | 146,468 | |
100,000 | VICI Properties L.P. 4.38%, 05/15/2025 | 97,784 | |
300,000 | VICI Properties L.P. / VICI Note Co., Inc. 4.25%, 12/01/2026(1) | 283,094 | |
1,012,564 | |||
Retail - 0.3% | |||
185,000 | Nordstrom, Inc. 2.30%, 04/08/2024 | 175,587 | |
Semiconductors - 0.7% | |||
250,000 | Microchip Technology, Inc. 0.98%, 09/01/2024 | 234,013 | |
200,000 | Skyworks Solutions, Inc. 1.80%, 06/01/2026 | 178,568 | |
412,581 | |||
Software - 0.5% | |||
100,000 | Open Text Corp. 6.90%, 12/01/2027(1) | 102,500 | |
30,000 | Oracle Corp. 5.80%, 11/10/2025 | 30,821 | |
150,000 | PTC, Inc. 3.63%, 02/15/2025(1) | 143,810 | |
277,131 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 44.0% - (continued) | |||
Telecommunications - 1.1% | |||
$ 225,000 | Rogers Communications, Inc. 3.20%, 03/15/2027(1) | $ 211,280 | |
450,000 | Telecom Italia S.p.A. 5.30%, 05/30/2024(1) | 438,235 | |
649,515 | |||
Trucking & Leasing - 1.0% | |||
385,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 363,458 | |
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | |||
150,000 | 1.20%, 11/15/2025(1) | 134,154 | |
140,000 | 5.70%, 02/01/2028 | 143,304 | |
640,916 | |||
Total Corporate Bonds (cost $28,881,845) | $ 26,959,887 | ||
SENIOR FLOATING RATE INTERESTS - 18.9%(7) | |||
Advertising - 0.2% | |||
114,425 | ABG Intermediate Holdings 2 LLC 8.16%, 12/21/2028, 1 mo. USD SOFR + 3.500% | $ 113,424 | |
Aerospace/Defense - 0.5% | |||
109,725 | Spirit Aerosystems, Inc. 9.18%, 01/15/2027, 1 mo. USD SOFR + 4.500% | 109,752 | |
188,899 | TransDigm, Inc. 6.98%, 12/09/2025, 3 mo. USD SOFR + 2.250% | 188,406 | |
298,158 | |||
Airlines - 0.3% | |||
100,000 | American Airlines, Inc. 9.56%, 04/20/2028, 3 mo. USD LIBOR + 4.750% | 102,609 | |
114,000 | SkyMiles IP Ltd. 8.56%, 10/20/2027, 3 mo. USD LIBOR + 3.750% | 117,777 | |
220,386 | |||
Apparel - 0.3% | |||
167,500 | Crocs, Inc. 7.80%, 02/20/2029, 1 mo. USD SOFR + 3.500% | 166,296 | |
Commercial Services - 1.8% | |||
99,500 | Amentum Government Services Holdings LLC 8.12%, 02/15/2029, 3 mo. USD SOFR + 4.000% | 97,883 | |
123,437 | APX Group, Inc. 8.04%, 07/10/2028, 3 mo. USD LIBOR + 3.250% | 122,003 | |
EUR 155,000 | Boels Topholding B.V. 5.07%, 02/06/2027, 3 mo. EURIBOR + 3.250% | 164,730 | |
$ 189,558 | Trans Union LLC 6.32%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 188,373 | |
207,186 | United Rentals, Inc. 6.32%, 10/31/2025, 1 mo. USD LIBOR + 1.750% | 207,134 | |
EUR 205,000 | Verisure Holding AB 5.38%, 03/27/2028, 3 mo. EURIBOR + 3.250% | 210,981 | |
$ 107,333 | WEX, Inc. 6.82%, 03/31/2028, 1 mo. USD LIBOR + 2.250% | 106,971 | |
1,098,075 | |||
Construction Materials - 1.0% | |||
175,050 | Ingersoll-Rand Services Co. 6.41%, 03/01/2027, 1 mo. USD SOFR + 1.750% | 174,330 | |
194,000 | Quikrete Holdings, Inc. 7.19%, 02/01/2027, 1 mo. USD LIBOR + 2.625% | 192,739 | |
119,748 | Standard Industries, Inc. 6.43%, 09/22/2028, 6 mo. USD LIBOR + 2.500% | 119,598 | |
138,600 | Zurn Holdings, Inc. 6.57%, 10/04/2028, 1 mo. USD LIBOR + 2.000% | 138,392 | |
625,059 |
47 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 18.9%(7) - (continued) | |||
Distribution/Wholesale - 0.6% | |||
$ 214,785 | American Builders & Contractors Supply Co., Inc. 6.57%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | $ 214,396 | |
146,364 | Core & Main L.P. 7.15%, 07/27/2028, 6 mo. USD LIBOR + 2.500% | 145,677 | |
360,073 | |||
Diversified Financial Services - 0.5% | |||
162,390 | Fleetcor Technologies Operating Co. LLC 6.32%, 04/28/2028, 1 mo. USD LIBOR + 1.750% | 161,755 | |
130,000 | Setanta Aircraft Leasing Designated Activity Co. 6.73%, 11/05/2028, 3 mo. USD LIBOR + 2.000% | 129,722 | |
291,477 | |||
Electric - 0.1% | |||
92,247 | ExGen Renewables IV LLC 7.24%, 12/15/2027, 3 mo. USD LIBOR + 2.500% | 92,032 | |
Electronics - 0.1% | |||
97,964 | II-VI, Inc. 7.32%, 07/02/2029, 1 mo. USD LIBOR + 2.750% | 97,505 | |
Engineering & Construction - 0.2% | |||
123,129 | Brown Group Holding LLC 7.05%, 06/07/2028, 1 mo. USD LIBOR + 2.500% | 122,418 | |
Entertainment - 1.3% | |||
105,000 | Caesars Entertainment Corp. 0.00%, 01/20/2030, 1 mo. USD SOFR + 3.250%(8) | 104,854 | |
140,000 | Formula One Holdings Ltd. 7.81%, 01/15/2030, 3 mo. USD SOFR + 3.250% | 140,321 | |
144,275 | Penn National Gaming, Inc. 7.41%, 05/03/2029, 1 mo. USD SOFR + 2.750% | 144,075 | |
203,975 | Scientific Games International, Inc. 7.58%, 04/14/2029, 1 mo. USD SOFR + 3.000% | 203,210 | |
196,445 | UFC Holdings LLC 7.57%, 04/29/2026, 3 mo. USD LIBOR + 2.750% | 195,278 | |
787,738 | |||
Environmental Control - 0.1% | |||
99,302 | Covanta Holding Corp. 7.06%, 11/30/2028, 1 mo. USD LIBOR + 2.500% | 99,338 | |
Food - 0.2% | |||
114,256 | U.S. Foods, Inc. 7.32%, 11/22/2028, 1 mo. USD LIBOR + 2.750% | 114,304 | |
Healthcare - Products - 0.7% | |||
EUR 98,500 | Avantor Funding, Inc. 4.63%, 06/12/2028, 1 mo. EURIBOR + 2.500% | 105,925 | |
$ 103,714 | Medline Borrower L.P. 7.82%, 10/23/2028, 1 mo. USD LIBOR + 3.250% | 100,588 | |
209,125 | Sunshine Luxembourg S.a.r.l. 8.48%, 10/01/2026, 3 mo. USD LIBOR + 3.750% | 204,681 | |
411,194 | |||
Insurance - 1.5% | |||
154,676 | Acrisure LLC 8.07%, 02/15/2027, 1 mo. USD LIBOR + 3.500% | 148,900 | |
Asurion LLC | |||
224,425 | 7.57%, 11/03/2024, 1 mo. USD LIBOR + 3.000% | 221,864 | |
110,000 | 9.82%, 01/20/2029, 1 mo. USD LIBOR + 5.250% | 91,782 | |
140,385 | Hub International Ltd. 7.82%, 04/25/2025, 3 mo. USD LIBOR + 3.000% | 140,140 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 18.9%(7) - (continued) | |||
Insurance - 1.5% - (continued) | |||
$ 198,334 | Sedgwick Claims Management Services, Inc. 7.82%, 12/31/2025, 1 mo. USD LIBOR + 3.250% | $ 197,315 | |
115,318 | USI, Inc. 8.33%, 11/22/2029, 3 mo. USD SOFR + 3.750% | 115,290 | |
915,291 | |||
Internet - 1.0% | |||
182,225 | Endure Digital, Inc. 7.88%, 02/10/2028, 1 mo. USD LIBOR + 3.500% | 171,596 | |
143,545 | Go Daddy Operating Co. LLC 7.81%, 11/09/2029, 1 mo. USD SOFR + 3.250% | 143,922 | |
98,734 | MH Sub I LLC 8.32%, 09/13/2024, 1 mo. USD LIBOR + 3.750% | 97,606 | |
186,450 | NortonLifeLock, Inc. 6.66%, 09/12/2029, 1 mo. USD SOFR + 2.000% | 185,905 | |
599,029 | |||
Leisure Time - 0.8% | |||
241,073 | Carnival Corp. 7.57%, 06/30/2025, 1 mo. USD LIBOR + 3.000% | 236,941 | |
162,525 | Hayward Industries, Inc. 7.07%, 05/30/2028, 1 mo. USD LIBOR + 2.500% | 160,291 | |
71,757 | SRAM LLC 7.32%, 05/18/2028, 1 mo. USD LIBOR + 2.750% | 70,860 | |
468,092 | |||
Lodging - 0.3% | |||
182,655 | Caesars Resort Collection LLC 7.32%, 12/23/2024, 1 mo. USD LIBOR + 2.750% | 182,414 | |
Media - 0.7% | |||
97,750 | Banijay Entertainment S.A.S 8.12%, 03/01/2025, 3 mo. USD LIBOR + 3.750% | 97,567 | |
206,592 | CSC Holdings LLC 8.82%, 01/17/2028, 3 mo. USD SOFR + 4.500% | 195,618 | |
115,000 | Virgin Media Bristol LLC 7.71%, 01/31/2029, 1 mo. USD LIBOR + 3.250% | 114,964 | |
408,149 | |||
Packaging & Containers - 0.5% | |||
187,625 | Berlin Packaging LLC 8.14%, 03/11/2028, 3 mo. USD LIBOR + 3.750% | 184,929 | |
149,250 | Clydesdale Acquisition Holdings, Inc. 8.84%, 04/13/2029, 1 mo. USD SOFR + 4.175% | 146,426 | |
331,355 | |||
Pharmaceuticals - 1.1% | |||
234,460 | Elanco Animal Health, Inc. 6.12%, 08/01/2027, 1 mo. USD LIBOR + 1.750% | 230,650 | |
196,246 | Gainwell Acquisition Corp. 8.73%, 10/01/2027, 3 mo. USD LIBOR + 4.000% | 191,324 | |
132,637 | Horizon Therapeutics USA, Inc. 6.31%, 03/15/2028, 3 mo. USD LIBOR + 1.750% | 132,637 | |
102,146 | Jazz Financing Lux S.a.r.l. 8.07%, 05/05/2028, 1 mo. USD LIBOR + 3.500% | 102,002 | |
656,613 | |||
Pipelines - 0.1% | |||
98,052 | Oryx Midstream Services Permian Basin LLC 7.92%, 10/05/2028, 3 mo. USD LIBOR + 3.250% | 97,684 | |
Retail - 2.0% | |||
242,726 | B.C. Unlimited Liability Co. 6.32%, 11/19/2026, 1 mo. USD LIBOR + 1.750% | 239,780 | |
165,628 | Great Outdoors Group LLC 8.32%, 03/06/2028, 1 mo. USD LIBOR + 3.750% | 162,605 |
48 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 18.9%(7) - (continued) | |||
Retail - 2.0% - (continued) | |||
$ 103,162 | IRB Holding Corp. 7.69%, 12/15/2027, 1 mo. USD SOFR + 3.000% | $ 102,002 | |
118,293 | LBM Acquisition LLC 8.85%, 12/17/2027, 6 mo. USD LIBOR + 3.750% | 106,587 | |
142,825 | Michaels Cos., Inc. 8.98%, 04/15/2028, 3 mo. USD LIBOR + 4.250% | 130,953 | |
98,250 | Petco Health and Wellness Co., Inc. 7.98%, 03/03/2028, 3 mo. USD SOFR + 3.250% | 97,135 | |
108,350 | PetSmart, Inc. 8.41%, 02/11/2028, 1 mo. USD LIBOR + 3.750% | 107,470 | |
122,382 | Pilot Travel Centers LLC 6.66%, 08/04/2028, 1 mo. USD SOFR + 2.000% | 122,042 | |
192,075 | SRS Distribution, Inc. 8.07%, 06/02/2028, 1 mo. USD LIBOR + 3.500% | 184,976 | |
1,253,550 | |||
Semiconductors - 0.6% | |||
230,000 | Entegris, Inc. 7.58%, 07/06/2029, 1 mo. USD SOFR + 3.000% | 230,720 | |
124,688 | MKS Instruments, Inc. 7.36%, 08/17/2029, 1 mo. USD SOFR + 2.750% | 124,331 | |
355,051 | |||
Software - 2.4% | |||
258,869 | Dun & Bradstreet Corp. 7.77%, 02/06/2026, 1 mo. USD LIBOR + 3.250% | 258,176 | |
185,638 | Hyland Software, Inc. 8.07%, 07/01/2024, 1 mo. USD LIBOR + 3.500% | 184,984 | |
184,075 | McAfee LLC 8.18%, 03/01/2029, 1 mo. USD SOFR + 3.750% | 173,377 | |
140,000 | Open Text Corp. 0.00%, 11/16/2029, 1 mo. USD SOFR + 3.500%(8) | 139,685 | |
120,576 | Peraton Corp. 8.32%, 02/01/2028, 1 mo. USD LIBOR + 3.750% | 119,823 | |
148,125 | Polaris Newco LLC 8.73%, 06/02/2028, 3 mo. USD LIBOR + 4.000% | 140,579 | |
242,678 | SS&C Technologies, Inc. 6.32%, 04/16/2025, 1 mo. USD LIBOR + 1.750% | 242,071 | |
191,697 | Zelis Healthcare Corp. 8.07%, 09/30/2026, 1 mo. USD LIBOR + 3.500% | 191,089 | |
1,449,784 | |||
Total Senior Floating Rate Interests (cost $11,752,837) | $ 11,614,489 | ||
U.S. GOVERNMENT AGENCIES - 3.8% | |||
Mortgage-Backed Agencies - 3.8% | |||
FHLMC - 1.8% | |||
163,777 | 1.00%, 05/25/2033 | $ 148,335 | |
458,092 | 1.00%, 01/15/2041 | 408,678 | |
498,364 | 1.00%, 06/15/2044 | 457,307 | |
40,207 | 1.50%, 01/15/2027 | 39,286 | |
39,661 | 3.50%, 09/15/2043 | 38,795 | |
26,113 | 3.75%, 05/15/2039(4) | 25,850 | |
1,118,251 | |||
FNMA - 1.1% | |||
90,531 | 2.00%, 12/25/2042 | 79,483 | |
37,823 | 2.55%, 07/25/2044 | 36,125 | |
25,433 | 3.00%, 04/25/2043 | 24,788 | |
78,185 | 3.00%, 05/25/2047 | 74,613 | |
240,981 | 3.50%, 10/25/2035 | 230,869 | |
180,078 | 3.50%, 07/25/2045 | 175,304 | |
65,028 | 3.50%, 07/25/2054 | 63,322 | |
684,504 | |||
GNMA - 0.9% | |||
140,681 | 2.00%, 05/20/2046 | 123,390 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 3.8% - (continued) | |||
Mortgage-Backed Agencies - 3.8% - (continued) | |||
GNMA - 0.9% - (continued) | |||
$ 329,644 | 2.50%, 10/20/2041 | $ 309,718 | |
79,712 | 2.50%, 07/20/2042 | 75,629 | |
508,737 | |||
Total U.S. Government Agencies (cost $2,494,257) | $ 2,311,492 | ||
U.S. GOVERNMENT SECURITIES - 5.4% | |||
U.S. Treasury Securities - 5.4% | |||
U.S. Treasury Notes - 5.4% | |||
970,000 | 0.38%, 07/15/2024 | $ 913,808 | |
2,000,000 | 1.50%, 02/15/2025 | 1,894,610 | |
400,000 | 2.63%, 05/31/2027 | 382,656 | |
100,000 | 3.25%, 06/30/2027 | 98,133 | |
Total U.S. Government Securities (cost $3,445,237) | $ 3,289,207 | ||
Total Long-Term Investments (cost $63,806,764) | $ 60,029,882 | ||
SHORT-TERM INVESTMENTS - 0.1% | |||
Repurchase Agreements - 0.1% | |||
36,480 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $36,484; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $37,305 | $ 36,480 | |
Total Short-Term Investments (cost $36,480) | $ 36,480 | ||
Total Investments (cost $63,843,244) | 98.0% | $ 60,066,362 | |
Other Assets and Liabilities | 2.0% | 1,243,140 | |
Total Net Assets | 100.0% | $ 61,309,502 |
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 January 31, 2023, the aggregate value of these securities was $25,881,950, representing 42.2% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2023. 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. |
49 |
January 31, 2023 (Unaudited)
(5) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(6) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of this security was $75,000 at January 31, 2023. |
(7) | 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 London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). 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 January 31, 2023. |
(8) | Represents an unsettled loan commitment. The coupon rate will be determined at time of settlement. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 52 | 03/31/2023 | $ 10,693,719 | $ 41,147 | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 41 | 03/31/2023 | $ 4,478,930 | $ (47,660) | ||||
U.S. Treasury 10-Year Note Future | 10 | 03/22/2023 | 1,145,156 | (19,084) | ||||
Total | $ (66,744) | |||||||
Total futures contracts | $ (25,597) |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
222,000 | EUR | 240,071 | USD | TDB | 02/06/2023 | $ 1,137 | ||||
236,103 | USD | 222,000 | EUR | TDB | 02/06/2023 | (5,105) | ||||
643,419 | USD | 588,613 | EUR | TDB | 02/28/2023 | 2,996 | ||||
240,514 | USD | 222,000 | EUR | TDB | 03/07/2023 | (1,139) | ||||
Total foreign currency contracts | $ (2,111) |
50 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 15,854,807 | $ — | $ 15,854,807 | $ — | ||||
Corporate Bonds | 26,959,887 | — | 26,959,887 | — | ||||
Senior Floating Rate Interests | 11,614,489 | — | 11,614,489 | — | ||||
U.S. Government Agencies | 2,311,492 | — | 2,311,492 | — | ||||
U.S. Government Securities | 3,289,207 | — | 3,289,207 | — | ||||
Short-Term Investments | 36,480 | — | 36,480 | — | ||||
Foreign Currency Contracts(2) | 4,133 | — | 4,133 | — | ||||
Futures Contracts(2) | 41,147 | 41,147 | — | — | ||||
Total | $ 60,111,642 | $ 41,147 | $ 60,070,495 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (6,244) | $ — | $ (6,244) | $ — | ||||
Futures Contracts(2) | (66,744) | (66,744) | — | — | ||||
Total | $ (72,988) | $ (66,744) | $ (6,244) | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
51 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.9% | |||
Asset-Backed - Finance & Insurance - 2.0% | |||
$ 549,000 | AMMC CLO Ltd. 10.57%, 04/25/2031, 3 mo. USD LIBOR + 5.750%(1)(2) | $ 483,718 | |
180,000 | FS Rialto Issuer LLC 7.07%, 08/17/2037, 1 mo. USD SOFR + 2.580%(1)(2) | 177,837 | |
105,000 | Pretium Mortgage Credit Partners LLC 5.07%, 07/25/2051(1)(3) | 94,756 | |
200,000 | VCAT LLC 3.97%, 09/25/2051(1)(3) | 169,579 | |
925,890 | |||
Commercial Mortgage-Backed Securities - 0.0% | |||
19,771 | BX Trust 8.18%, 08/15/2039, 1 mo. USD SOFR + 3.697%(1)(2) | 19,870 | |
Other Asset-Backed Securities - 0.8% | |||
150,000 | Avant Loans Funding Trust 6.54%, 09/15/2031(1) | 146,957 | |
250,000 | Invesco U.S. CLO Ltd. 13.00%, 04/22/2035(2) | 245,000 | |
391,957 | |||
Whole Loan Collateral CMO - 5.1% | |||
Connecticut Avenue Securities Trust | |||
108,406 | 7.76%, 01/25/2040, 1 mo. USD LIBOR + 3.250%(1)(2) | 104,387 | |
15,000 | 7.91%, 07/25/2042, 1 mo. USD SOFR + 3.600%(1)(2) | 15,319 | |
230,000 | 7.91%, 10/25/2039, 1 mo. USD LIBOR + 3.400%(1)(2) | 227,557 | |
167,694 | 8.61%, 07/25/2039, 1 mo. USD LIBOR + 4.100%(1)(2) | 170,116 | |
200,000 | 8.86%, 07/25/2031, 1 mo. USD LIBOR + 4.350%(1)(2) | 207,626 | |
85,000 | 9.06%, 09/25/2042, 1 mo. USD SOFR + 4.750%(1)(2) | 88,473 | |
207,250 | 9.76%, 06/25/2039, 1 mo. USD LIBOR + 5.250%(1)(2) | 215,281 | |
155,000 | 9.91%, 07/25/2042, 1 mo. USD SOFR + 5.600%(1)(2) | 158,488 | |
Fannie Mae Connecticut Avenue Securities | |||
180,000 | 8.11%, 01/25/2030, 1 mo. USD LIBOR + 3.600%(2) | 184,301 | |
165,000 | 8.26%, 03/25/2031, 1 mo. USD LIBOR + 3.750%(2) | 170,646 | |
65,000 | 10.01%, 09/25/2029, 1 mo. USD LIBOR + 5.500%(2) | 71,701 | |
165,000 | Home Re Ltd. 9.81%, 10/25/2034, 1 mo. USD SOFR + 5.500%(1)(2) | 165,003 | |
200,000 | Preston Ridge Partners Mortgage Trust LLC 3.60%, 09/25/2026(1)(4) | 171,155 | |
Pretium Mortgage Credit Partners LLC | |||
200,000 | 3.97%, 09/25/2051(1)(3) | 177,314 | |
100,000 | 5.44%, 01/25/2052(1)(3) | 90,944 | |
200,000 | RCO VII Mortgage LLC 3.84%, 09/25/2026(1)(3) | 179,314 | |
2,397,625 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $3,879,215) | $ 3,735,342 | ||
CONVERTIBLE BONDS - 2.6% | |||
Airlines - 0.1% | |||
52,000 | JetBlue Airways Corp. 0.50%, 04/01/2026 | $ 41,106 | |
Auto Manufacturers - 0.1% | |||
105,000 | Arrival S.A. 3.50%, 12/01/2026(1) | 27,300 | |
10,000 | Ford Motor Co. 0.00%, 03/15/2026(5) | 10,150 | |
37,450 |
Shares or Principal Amount | Market Value† | ||
CONVERTIBLE BONDS - 2.6% - (continued) | |||
Commercial Services - 0.3% | |||
$ 68,000 | Block, Inc. 0.13%, 03/01/2025 | $ 69,020 | |
EUR 100,000 | Nexi S.p.A. 1.75%, 04/24/2027(6) | 94,837 | |
163,857 | |||
Diversified Financial Services - 0.1% | |||
$ 50,000 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. 0.00%, 08/15/2023(5) | 49,375 | |
Electric - 0.1% | |||
37,000 | Atlantica Sustainable Infrastructure Jersey Ltd. 4.00%, 07/15/2025 | 36,242 | |
Energy-Alternate Sources - 0.5% | |||
18,000 | Enphase Energy, Inc. 0.00%, 03/01/2028(5) | 19,355 | |
50,000 | Maxeon Solar Technologies Ltd. 6.50%, 07/15/2025 | 68,725 | |
70,000 | NextEra Energy Partners L.P. 0.00%, 11/15/2025(1)(5) | 71,610 | |
30,000 | SolarEdge Technologies, Inc. 0.00%, 09/15/2025(5) | 40,275 | |
30,000 | Stem, Inc. 0.50%, 12/01/2028(1) | 20,165 | |
220,130 | |||
Healthcare - Products - 0.3% | |||
43,000 | Insulet Corp. 0.38%, 09/01/2026 | 59,362 | |
103,000 | NuVasive, Inc. 0.38%, 03/15/2025 | 91,927 | |
151,289 | |||
Internet - 0.4% | |||
ETSY, Inc. | |||
22,000 | 0.13%, 10/01/2026 | 37,697 | |
37,000 | 0.25%, 06/15/2028 | 33,278 | |
25,000 | MercadoLibre, Inc. 2.00%, 08/15/2028 | 68,250 | |
6,000 | Sea Ltd. 2.38%, 12/01/2025 | 6,341 | |
40,000 | Shopify, Inc. 0.13%, 11/01/2025 | 35,060 | |
180,626 | |||
IT Services - 0.1% | |||
40,000 | Rapid7, Inc. 2.25%, 05/01/2025 | 40,280 | |
Leisure Time - 0.0% | |||
5,000 | Carnival Corp. 5.75%, 12/01/2027(1) | 5,570 | |
Machinery-Diversified - 0.2% | |||
86,000 | Middleby Corp. 1.00%, 09/01/2025 | 112,187 | |
Pharmaceuticals - 0.1% | |||
34,000 | Ascendis Pharma A/S 2.25%, 04/01/2028(1) | 35,360 | |
Software - 0.3% | |||
55,000 | Ceridian HCM Holding, Inc. 0.25%, 03/15/2026 | 49,913 | |
40,000 | Health Catalyst, Inc. 2.50%, 04/15/2025 | 37,376 | |
65,000 | Splunk, Inc. 1.13%, 06/15/2027 | 55,939 | |
143,228 | |||
Total Convertible Bonds (cost $1,344,160) | $ 1,216,700 | ||
CORPORATE BONDS - 34.0% | |||
Advertising - 0.5% | |||
Lamar Media Corp. | |||
125,000 | 3.63%, 01/15/2031 | $ 106,145 | |
145,000 | 3.75%, 02/15/2028 | 131,463 | |
237,608 |
52 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 34.0% - (continued) | |||
Agriculture - 0.5% | |||
$ 140,000 | Darling Ingredients, Inc. 6.00%, 06/15/2030(1) | $ 139,296 | |
200,000 | Kernel Holding S.A. 6.75%, 10/27/2027(6) | 82,000 | |
221,296 | |||
Auto Manufacturers - 1.2% | |||
Ford Motor Co. | |||
55,000 | 3.25%, 02/12/2032 | 43,646 | |
10,000 | 4.75%, 01/15/2043 | 7,809 | |
Ford Motor Credit Co. LLC | |||
200,000 | 4.54%, 08/01/2026 | 188,916 | |
200,000 | 4.95%, 05/28/2027 | 190,745 | |
115,000 | General Motors Co. 5.40%, 10/15/2029 | 113,976 | |
545,092 | |||
Auto Parts & Equipment - 0.4% | |||
EUR 200,000 | Faurecia SE 3.75%, 06/15/2028(6) | 191,449 | |
Beverages - 0.4% | |||
$ 216,000 | Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL 5.25%, 04/27/2029(1) | 207,423 | |
Chemicals - 0.1% | |||
65,000 | Avient Corp. 7.13%, 08/01/2030(1) | 65,481 | |
Commercial Banks - 0.8% | |||
EUR 200,000 | Cooperatieve Rabobank UA 4.38%, 06/29/2027, (4.38% fixed rate until 06/29/2027; 5 year EUR Swap + 4.679% thereafter)(6)(7)(8) | 200,166 | |
$ 200,000 | UBS Group AG 4.88%, 02/12/2027, (4.88% fixed rate until 02/12/2027; 5 year USD CMT + 3.404% thereafter)(6)(7)(8) | 179,780 | |
379,946 | |||
Commercial Services - 3.0% | |||
Block, Inc. | |||
45,000 | 2.75%, 06/01/2026 | 40,898 | |
150,000 | 3.50%, 06/01/2031 | 125,253 | |
EUR 200,000 | Loxam SAS 3.25%, 01/14/2025(6) | 208,066 | |
200,000 | PeopleCert Wisdom Issuer plc 5.75%, 09/15/2026(6) | 203,091 | |
$ 250,000 | StoneCo Ltd. 3.95%, 06/16/2028(6) | 189,625 | |
EUR 255,000 | Techem Verwaltungsgesellschaft 675 mbH 2.00%, 07/15/2025(6) | 256,518 | |
United Rentals North America, Inc. | |||
$ 85,000 | 3.75%, 01/15/2032 | 73,193 | |
75,000 | 4.88%, 01/15/2028 | 72,515 | |
EUR 255,000 | Verisure Holding AB 3.25%, 02/15/2027(6) | 244,413 | |
1,413,572 | |||
Construction Materials - 0.2% | |||
$ 125,000 | Standard Industries, Inc. 4.75%, 01/15/2028(1) | 117,100 | |
Distribution/Wholesale - 0.5% | |||
125,000 | American Builders & Contractors Supply Co., Inc. 4.00%, 01/15/2028(1) | 114,161 | |
EUR 120,000 | Parts Europe S.A. 6.50%, 07/16/2025(6) | 131,003 | |
245,164 | |||
Diversified Financial Services - 1.4% | |||
$ 189,000 | Charles Schwab Corp. 4.00%, 06/01/2026, (4.00% fixed rate until 06/01/2026; 5 year USD CMT + 3.168% thereafter)(7)(8) | 174,144 | |
Credit Acceptance Corp. | |||
50,000 | 5.13%, 12/31/2024(1) | 46,705 | |
80,000 | 6.63%, 03/15/2026 | 73,000 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 34.0% - (continued) | |||
Diversified Financial Services - 1.4% - (continued) | |||
OneMain Finance Corp. | |||
$ 70,000 | 5.38%, 11/15/2029 | $ 61,292 | |
120,000 | 6.88%, 03/15/2025 | 119,054 | |
250,000 | Unifin Financiera S.A.B. de C.V. 9.88%, 01/28/2029(6)(9) | 7,500 | |
200,000 | United Wholesale Mortgage LLC 5.50%, 04/15/2029(1) | 171,970 | |
653,665 | |||
Electric - 2.2% | |||
Clearway Energy Operating LLC | |||
15,000 | 3.75%, 01/15/2032(1) | 12,378 | |
145,000 | 4.75%, 03/15/2028(1) | 136,764 | |
200,000 | Instituto Costarricense de Electricidad 6.75%, 10/07/2031(1) | 193,600 | |
162,160 | Star Energy Geothermal Wayang Windu Ltd. 6.75%, 04/24/2033(6) | 157,497 | |
200,000 | Vena Energy Capital Pte Ltd. 3.13%, 02/26/2025(6) | 186,155 | |
400,000 | Zorlu Yenilenebilir Enerji AS 9.00%, 06/01/2026(6) | 332,508 | |
1,018,902 | |||
Electrical Components & Equipment - 0.4% | |||
EUR 100,000 | Energizer Gamma Acquisition B.V. 3.50%, 06/30/2029(6) | 88,257 | |
$ 100,000 | Energizer Holdings, Inc. 4.38%, 03/31/2029(1) | 86,555 | |
174,812 | |||
Energy-Alternate Sources - 2.4% | |||
200,000 | Adani Green Energy UP Ltd. / Prayatna Developers Pvt Ltd. / Parampujya Solar Energ 6.25%, 12/10/2024(6) | 185,565 | |
193,500 | Continuum Energy Levanter Pte Ltd. 4.50%, 02/09/2027(6) | 174,179 | |
215,000 | Energo-Pro AS 8.50%, 02/04/2027(1) | 204,250 | |
200,000 | FS Luxembourg S.a.r.l. 10.00%, 12/15/2025(6) | 201,991 | |
200,000 | Greenko Mauritius Ltd. 6.25%, 02/21/2023(6) | 199,100 | |
200,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(6) | 190,913 | |
1,155,998 | |||
Engineering & Construction - 0.7% | |||
EUR 200,000 | Cellnex Telecom S.A. 1.75%, 10/23/2030(6) | 176,066 | |
$ 200,000 | IHS Holding Ltd. 6.25%, 11/29/2028(1) | 163,416 | |
339,482 | |||
Entertainment - 0.3% | |||
95,000 | Caesars Entertainment, Inc. 6.25%, 07/01/2025(1) | 94,564 | |
35,000 | Cinemark USA, Inc. 5.25%, 07/15/2028(1) | 28,700 | |
123,264 | |||
Environmental Control - 0.3% | |||
10,000 | Clean Harbors, Inc. 6.38%, 02/01/2031(1) | 10,187 | |
150,000 | Stericycle, Inc. 3.88%, 01/15/2029(1) | 133,089 | |
143,276 | |||
Forest Products & Paper - 0.4% | |||
200,000 | Suzano Austria GmbH 7.00%, 03/16/2047(6) | 208,408 | |
Healthcare - Products - 0.8% | |||
EUR 200,000 | Avantor Funding, Inc. 3.88%, 07/15/2028(6) | 200,404 | |
$ 220,000 | Medline Borrower L.P. 3.88%, 04/01/2029(1) | 187,671 | |
388,075 |
53 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 34.0% - (continued) | |||
Healthcare - Services - 1.9% | |||
EUR 100,000 | Catalent Pharma Solutions, Inc. 2.38%, 03/01/2028(6) | $ 89,871 | |
145,000 | Chrome Bidco SASU 3.50%, 05/31/2028(6) | 130,501 | |
HCA, Inc. | |||
$ 50,000 | 5.38%, 09/01/2026 | 50,243 | |
20,000 | 5.63%, 09/01/2028 | 20,306 | |
10,000 | 7.50%, 11/15/2095 | 11,078 | |
IQVIA, Inc. | |||
EUR 100,000 | 2.25%, 01/15/2028(1) | 94,361 | |
$ 200,000 | 5.00%, 05/15/2027(1) | 193,985 | |
200,000 | Rede D'or Finance S.a.r.l. 4.50%, 01/22/2030(6) | 175,000 | |
135,000 | Tenet Healthcare Corp. 6.13%, 06/15/2030(1) | 130,984 | |
896,329 | |||
Household Products/Wares - 0.3% | |||
145,000 | Prestige Brands, Inc. 5.13%, 01/15/2028(1) | 138,511 | |
Insurance - 0.2% | |||
115,000 | MGIC Investment Corp. 5.25%, 08/15/2028 | 108,410 | |
Internet - 0.4% | |||
205,000 | Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.50%, 03/01/2029(1) | 176,812 | |
IT Services - 0.1% | |||
68,000 | McAfee Corp. 7.38%, 02/15/2030(1) | 56,703 | |
Leisure Time - 0.3% | |||
Carnival Corp. | |||
60,000 | 6.00%, 05/01/2029(1) | 47,400 | |
25,000 | 10.50%, 06/01/2030(1) | 24,062 | |
60,000 | MajorDrive Holdings LLC 6.38%, 06/01/2029(1) | 47,400 | |
118,862 | |||
Media - 1.2% | |||
125,000 | Cable One, Inc. 4.00%, 11/15/2030(1) | 103,192 | |
15,000 | DISH Network Corp. 11.75%, 11/15/2027(1) | 15,590 | |
Videotron Ltd. | |||
65,000 | 3.63%, 06/15/2029(1) | 56,555 | |
CAD 170,000 | 5.63%, 06/15/2025 | 126,208 | |
$ 200,000 | VTR Finance N.V. 6.38%, 07/15/2028(6) | 82,440 | |
EUR 210,000 | Ziggo B.V. 2.88%, 01/15/2030(6) | 186,448 | |
570,433 | |||
Metal Fabricate/Hardware - 0.4% | |||
Advanced Drainage Systems, Inc. | |||
$ 145,000 | 5.00%, 09/30/2027(1) | 138,021 | |
30,000 | 6.38%, 06/15/2030(1) | 29,808 | |
167,829 | |||
Mining - 0.8% | |||
300,000 | Constellium SE 3.75%, 04/15/2029(1) | 256,443 | |
115,000 | FMG Resources August 2006 Pty Ltd. 6.13%, 04/15/2032(1) | 112,125 | |
368,568 | |||
Multi-National - 0.4% | |||
European Investment Bank | |||
BRL 690,000 | 9.25%, 01/28/2027(6) | 125,006 | |
EGP 2,000,000 | 10.00%, 12/06/2023(6) | 61,138 | |
186,144 | |||
Office/Business Equipment - 0.3% | |||
Xerox Holdings Corp. | |||
$ 105,000 | 5.00%, 08/15/2025(1) | 97,671 | |
50,000 | 5.50%, 08/15/2028(1) | 42,406 | |
140,077 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 34.0% - (continued) | |||
Packaging & Containers - 0.8% | |||
Ball Corp. | |||
EUR 100,000 | 1.50%, 03/15/2027 | $ 96,115 | |
$ 90,000 | 5.25%, 07/01/2025 | 89,560 | |
20,000 | Clydesdale Acquisition Holdings, Inc. 6.63%, 04/15/2029(1) | 19,721 | |
200,000 | SAN Miguel Industrias Pet S.A. / NG PET R&P Latin America S.A. 3.50%, 08/02/2028(6) | 172,074 | |
377,470 | |||
Pharmaceuticals - 1.0% | |||
63,000 | Owens & Minor, Inc. 6.63%, 04/01/2030(1) | 55,711 | |
Teva Pharmaceutical Finance Netherlands II B.V. | |||
EUR 200,000 | 3.75%, 05/09/2027 | 196,032 | |
220,000 | 4.38%, 05/09/2030 | 205,438 | |
457,181 | |||
Real Estate - 2.2% | |||
CIFI Holdings Group Co., Ltd. | |||
$ 650,000 | 4.38%, 04/12/2027(6) | 195,487 | |
200,000 | 4.45%, 08/17/2026(6) | 61,497 | |
200,000 | 5.95%, 10/20/2025(6) | 61,907 | |
Country Garden Holdings Co., Ltd. | |||
400,000 | 3.88%, 10/22/2030(6) | 232,287 | |
200,000 | 5.13%, 01/14/2027(6) | 134,009 | |
EUR 100,000 | Emeria SASU 7.75%, 03/31/2028 | 108,605 | |
$ 400,000 | KWG Group Holdings Ltd. 6.00%, 08/14/2026(6) | 148,000 | |
200,000 | Times China Holdings Ltd. 6.20%, 03/22/2026(6) | 38,326 | |
250,000 | Yuzhou Group Holdings Co., Ltd. 6.35%, 01/13/2027(6)(9) | 37,188 | |
1,017,306 | |||
REITS - 0.4% | |||
200,000 | Trust Fibra Uno 6.39%, 01/15/2050(6) | 175,800 | |
Retail - 1.2% | |||
200,000 | Jollibee Worldwide Pte Ltd. 3.90%, 01/23/2025, (3.90% fixed rate until 01/23/2025; 5 year USD CMT + 4.784% thereafter)(6)(7)(8) | 186,420 | |
148,000 | LBM Acquisition LLC 6.25%, 01/15/2029(1) | 111,305 | |
110,000 | Michaels Cos., Inc. 5.25%, 05/01/2028(1) | 91,730 | |
115,000 | Specialty Building Products Holdings LLC / SBP Finance Corp. 6.38%, 09/30/2026(1) | 103,452 | |
95,000 | Yum! Brands, Inc. 3.63%, 03/15/2031 | 81,020 | |
573,927 | |||
Software - 0.6% | |||
122,000 | AthenaHealth Group, Inc. 6.50%, 02/15/2030(1) | 101,107 | |
Open Text Corp. | |||
165,000 | 3.88%, 02/15/2028(1) | 142,972 | |
15,000 | 3.88%, 12/01/2029(1) | 12,476 | |
35,000 | Open Text Holdings, Inc. 4.13%, 12/01/2031(1) | 28,456 | |
285,011 | |||
Telecommunications - 2.8% | |||
200,000 | AXIAN Telecom Co. 7.38%, 02/16/2027(1) | 184,250 | |
Frontier Communications Holdings LLC | |||
80,000 | 5.00%, 05/01/2028(1) | 72,244 | |
95,000 | 5.88%, 10/15/2027(1) | 90,717 | |
6,547 | 5.88%, 11/01/2029 | 5,344 | |
25,000 | 6.75%, 05/01/2029(1) | 21,438 | |
200,000 | Liquid Telecommunications Financing plc 5.50%, 09/04/2026(6) | 152,556 |
54 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 34.0% - (continued) | |||
Telecommunications - 2.8% - (continued) | |||
$ 180,000 | Millicom International Cellular S.A. 6.25%, 03/25/2029(6) | $ 166,950 | |
200,000 | MTN Mauritius Investments Ltd. 6.50%, 10/13/2026(6) | 203,000 | |
100,000 | Nokia Oyj 4.38%, 06/12/2027 | 96,000 | |
170,000 | Telecom Argentina S.A. 8.00%, 07/18/2026(6) | 161,069 | |
230,000 | VTR Comunicaciones S.p.A. 5.13%, 01/15/2028(6) | 159,362 | |
1,312,930 | |||
Toys/Games/Hobbies - 0.2% | |||
Mattel, Inc. | |||
40,000 | 3.38%, 04/01/2026(1) | 37,300 | |
60,000 | 5.88%, 12/15/2027(1) | 59,850 | |
97,150 | |||
Transportation - 1.2% | |||
170,000 | First Student Bidco, Inc. / First Transit Parent, Inc. 4.00%, 07/31/2029(1) | 141,541 | |
230,000 | Rumo Luxembourg S.a.r.l. 5.25%, 01/10/2028(6) | 220,846 | |
200,000 | Shriram Finance Ltd. 4.40%, 03/13/2024(6) | 192,750 | |
555,137 | |||
Water - 0.8% | |||
400,000 | Aegea Finance S.a.r.l. 6.75%, 05/20/2029(1) | 397,680 | |
Total Corporate Bonds (cost $19,342,769) | $ 16,008,283 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 16.1% | |||
Benin - 0.4% | |||
EUR 200,000 | Benin Government International Bond 4.88%, 01/19/2032(6) | $ 170,510 | |
Bulgaria - 0.1% | |||
100,000 | Bulgaria Government International Bond 1.38%, 09/23/2050(6) | 60,515 | |
Chile - 0.2% | |||
CLP 85,000,000 | Bonos de la Tesoreria de la Republica en pesos 4.70%, 09/01/2030(1)(6) | 101,061 | |
Colombia - 1.1% | |||
Colombia Government International Bond | |||
EUR 100,000 | 3.88%, 03/22/2026 | 104,250 | |
$ 440,000 | 5.00%, 06/15/2045 | 308,292 | |
COP 581,200,000 | Colombian TES 7.00%, 06/30/2032 | 89,392 | |
501,934 | |||
Czech Republic - 0.2% | |||
CZK 2,430,000 | Czech Republic Government Bond 2.50%, 08/25/2028(6) | 98,495 | |
Ghana - 0.1% | |||
$ 200,000 | Ghana Government International Bond 6.38%, 02/11/2027(6) | 74,000 | |
Hungary - 0.6% | |||
HUF 56,850,000 | Hungary Government Bond 3.00%, 08/21/2030 | 113,276 | |
Hungary Government International Bond | |||
EUR 45,000 | 1.50%, 11/17/2050(6) | 26,691 | |
150,000 | 1.63%, 04/28/2032(6) | 123,488 | |
263,455 | |||
Indonesia - 0.5% | |||
$ 230,000 | Indonesia Government International Bond 4.63%, 04/15/2043(6) | 215,673 |
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 16.1% - (continued) | |||
Ivory Coast - 0.4% | |||
EUR 200,000 | Ivory Coast Government International Bond 5.88%, 10/17/2031(6) | $ 182,456 | |
Japan - 6.9% | |||
Japan Treasury Discount Bill | |||
JPY 100,000,000 | (0.19%), 03/10/2023(10)(11) | 769,070 | |
100,000,000 | (0.16%), 04/20/2023(10)(11) | 769,225 | |
100,000,000 | (0.13%), 03/06/2023(10)(11) | 769,057 | |
125,000,000 | (0.12%), 04/10/2023(10)(11) | 961,479 | |
3,268,831 | |||
Mexico - 1.1% | |||
Mexico Government International Bond | |||
EUR 150,000 | 1.13%, 01/17/2030 | 134,454 | |
200,000 | 1.45%, 10/25/2033 | 158,655 | |
100,000 | 2.13%, 10/25/2051 | 62,654 | |
$ 206,000 | 5.00%, 04/27/2051 | 176,548 | |
532,311 | |||
North Macedonia - 0.6% | |||
North Macedonia Government International Bond | |||
EUR 100,000 | 3.68%, 06/03/2026(1) | 100,405 | |
200,000 | 3.68%, 06/03/2026(6) | 200,811 | |
301,216 | |||
Panama - 0.3% | |||
$ 200,000 | Panama Government International Bond 4.50%, 04/01/2056 | 152,074 | |
Peru - 0.5% | |||
225,000 | Fondo MIVIVIENDA S.A. 4.63%, 04/12/2027(1) | 218,450 | |
Philippines - 0.1% | |||
EUR 100,000 | Philippine Government International Bond 1.75%, 04/28/2041 | 72,896 | |
Poland - 0.2% | |||
PLN 500,000 | Republic of Poland Government Bond 3.75%, 05/25/2027 | 105,592 | |
Romania - 0.8% | |||
Romanian Government International Bond | |||
EUR 80,000 | 2.12%, 07/16/2031(6) | 63,317 | |
81,000 | 2.75%, 04/14/2041(1) | 52,407 | |
30,000 | 2.75%, 04/14/2041(6) | 19,410 | |
354,000 | 2.88%, 04/13/2042(6) | 228,888 | |
364,022 | |||
Senegal - 0.2% | |||
100,000 | Senegal Government International Bond 5.38%, 06/08/2037(1) | 75,942 | |
South Africa - 0.4% | |||
ZAR 1,630,000 | Republic of South Africa Government Bond 8.00%, 01/31/2030 | 85,692 | |
$ 100,000 | Republic of South Africa Government International Bond 6.25%, 03/08/2041 | 88,147 | |
173,839 | |||
Sri Lanka - 0.3% | |||
Sri Lanka Government International Bond | |||
200,000 | 5.75%, 04/18/2023(6)(9) | 67,966 | |
200,000 | 6.85%, 03/14/2024(6)(9) | 67,872 | |
135,838 | |||
Supranational - 1.0% | |||
INR 8,800,000 | Asian Development Bank 6.20%, 10/06/2026 | 105,069 |
55 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 16.1% - (continued) | |||
Supranational - 1.0% - (continued) | |||
CNY 810,000 | European Bank for Reconstruction & Development 2.00%, 01/21/2025 | $ 117,299 | |
European Investment Bank | |||
IDR 1,670,000,000 | 5.75%, 01/24/2025(6) | 111,315 | |
MXN 2,485,000 | 7.50%, 07/30/2023 | 128,149 | |
461,832 | |||
Ukraine - 0.1% | |||
Ukraine Government International Bond | |||
$ 200,000 | 7.25%, 03/15/2035(6)(9) | 38,975 | |
100,000 | 7.75%, 09/01/2029(6)(9) | 21,987 | |
60,962 | |||
Total Foreign Government Obligations (cost $8,830,051) | $ 7,591,904 | ||
SENIOR FLOATING RATE INTERESTS - 12.6%(12) | |||
Commercial Services - 1.9% | |||
221,445 | APX Group, Inc. 8.04%, 07/10/2028, 3 mo. USD LIBOR + 3.250% | $ 218,872 | |
EUR 250,000 | Techem Verwaltungsgesellschaft 675 mbH 5.36%, 07/15/2025, 6 mo. EURIBOR + 2.625% | 264,572 | |
$ 195,536 | Trans Union LLC 6.32%, 11/16/2026, 1 mo. USD LIBOR + 1.750% | 194,314 | |
EUR 200,000 | Verisure Holding AB 5.38%, 03/27/2028, 3 mo. EURIBOR + 3.250% | 205,835 | |
883,593 | |||
Distribution/Wholesale - 0.4% | |||
$ 196,695 | American Builders & Contractors Supply Co., Inc. 6.57%, 01/15/2027, 1 mo. USD LIBOR + 2.000% | 196,339 | |
Electronics - 0.3% | |||
EUR 150,000 | Zephyr German BidCo GmbH 5.68%, 03/10/2028, 3 mo. EURIBOR + 3.500% | 152,828 | |
Environmental Control - 0.4% | |||
$ 198,000 | Clean Harbors, Inc. 6.57%, 10/08/2028, 1 mo. USD LIBOR + 2.000% | 198,198 | |
Food - 0.3% | |||
114,256 | U.S. Foods, Inc. 7.32%, 11/22/2028, 1 mo. USD LIBOR + 2.750% | 114,303 | |
Healthcare - Products - 1.0% | |||
197,182 | Agiliti Health, Inc. 7.13%, 01/04/2026, 1 mo. USD LIBOR + 2.750% | 196,689 | |
187,011 | Avantor Funding, Inc. 6.82%, 11/08/2027, 1 mo. USD LIBOR + 2.250% | 186,801 | |
99,250 | Medline Borrower L.P. 7.82%, 10/23/2028, 1 mo. USD LIBOR + 3.250% | 96,259 | |
479,749 | |||
Healthcare - Services - 0.9% | |||
147,744 | Catalent Pharma Solutions, Inc. 6.56%, 02/22/2028, 1 mo. USD LIBOR + 2.000% | 146,974 | |
250,000 | IQVIA, Inc. 6.48%, 06/11/2025, 3 mo. USD LIBOR + 1.750% | 249,610 | |
396,584 | |||
Home Builders - 0.2% | |||
113,850 | Installed Building Products, Inc. 6.82%, 12/14/2028, 1 mo. USD LIBOR + 2.250% | 112,797 | |
Insurance - 0.2% | |||
98,741 | Hub International Ltd. 8.06%, 04/25/2025, 3 mo. USD LIBOR + 3.250% | 98,608 |
Shares or Principal Amount | Market Value† | ||
SENIOR FLOATING RATE INTERESTS - 12.6%(12) - (continued) | |||
Internet - 0.7% | |||
$ 170,579 | Go Daddy Operating Co. LLC 7.81%, 11/09/2029, 1 mo. USD SOFR + 3.250% | $ 171,028 | |
173,250 | Proofpoint, Inc. 7.98%, 08/31/2028, 3 mo. USD LIBOR + 3.250% | 169,704 | |
340,732 | |||
Leisure Time - 0.4% | |||
196,257 | Hayward Industries, Inc. 7.07%, 05/30/2028, 1 mo. USD LIBOR + 2.500% | 193,559 | |
Machinery-Diversified - 0.4% | |||
196,085 | Gardner Denver, Inc. 6.41%, 03/01/2027, 1 mo. USD SOFR + 1.750% | 195,279 | |
Packaging & Containers - 1.1% | |||
318,400 | Clydesdale Acquisition Holdings, Inc. 8.84%, 04/13/2029, 1 mo. USD SOFR + 4.175% | 312,376 | |
197,253 | Proampac PG Borrower LLC 8.43%, 11/03/2025, 3 mo. USD LIBOR + 3.750% | 192,617 | |
504,993 | |||
Pharmaceuticals - 1.4% | |||
EUR 234,875 | Grifols S.A. 4.23%, 11/15/2027, 3 mo. EURIBOR + 2.250% | 246,158 | |
290,000 | IVC Acquisition Ltd. 6.29%, 02/13/2026, 6 mo. EURIBOR + 4.000% | 296,615 | |
$ 138,241 | Packaging Coordinators Midco, Inc. 8.23%, 11/30/2027, 3 mo. USD LIBOR + 3.750% | 135,451 | |
678,224 | |||
Retail - 0.5% | |||
246,247 | LBM Acquisition LLC 8.85%, 12/17/2027, 6 mo. USD LIBOR + 3.750% | 221,879 | |
Semiconductors - 0.4% | |||
199,500 | MKS Instruments, Inc. 7.36%, 08/17/2029, 1 mo. USD SOFR + 2.750% | 198,929 | |
Software - 1.5% | |||
200,000 | DCert Buyer, Inc. 11.70%, 02/19/2029, 6 mo. USD LIBOR + 7.000% | 182,500 | |
154,225 | McAfee LLC 8.18%, 03/01/2029, 1 mo. USD SOFR + 3.750% | 145,261 | |
171,351 | Surf Holdings LLC 8.23%, 03/05/2027, 3 mo. USD LIBOR + 3.500% | 168,750 | |
196,487 | Zelis Healthcare Corp. 8.07%, 09/30/2026, 1 mo. USD LIBOR + 3.500% | 195,865 | |
692,376 | |||
Telecommunications - 0.2% | |||
142,940 | Xplornet Communications, Inc. 8.57%, 10/02/2028, 1 mo. USD LIBOR + 4.000% | 112,974 | |
Transportation - 0.4% | |||
198,539 | First Student Bidco, Inc. 7.73%, 07/21/2028, 3 mo. USD LIBOR + 3.000% | 187,207 | |
Total Senior Floating Rate Interests (cost $6,210,944) | $ 5,959,151 | ||
U.S. GOVERNMENT AGENCIES - 10.8% | |||
Mortgage-Backed Agencies - 10.8% | |||
FHLMC - 2.2% | |||
65,000 | 8.66%, 04/25/2042, 1 mo. USD SOFR + 4.350%(1)(2) | $ 64,513 | |
138,715 | 8.76%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(2) | 141,825 | |
115,000 | 9.56%, 03/25/2042, 1 mo. USD SOFR + 5.250%(1)(2) | 114,592 |
56 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 10.8% - (continued) | |||
Mortgage-Backed Agencies - 10.8% - (continued) | |||
FHLMC - 2.2% - (continued) | |||
$ 250,000 | 9.66%, 10/25/2029, 1 mo. USD LIBOR + 5.150%(2) | $ 269,287 | |
150,000 | 10.06%, 09/25/2042, 1 mo. USD SOFR + 5.750%(1)(2) | 157,407 | |
155,000 | 10.31%, 07/25/2042, 1 mo. USD SOFR + 6.000%(1)(2) | 156,549 | |
139,465 | 10.51%, 08/25/2050, 1 mo. USD LIBOR + 6.000%(1)(2) | 149,067 | |
1,053,240 | |||
FNMA - 0.1% | |||
25,000 | 9.56%, 03/25/2042, 1 mo. USD SOFR + 5.250%(1)(2) | 25,296 | |
44,000 | 11.31%, 04/25/2042, 1 mo. USD SOFR + 7.000%(1)(2) | 43,643 | |
68,939 | |||
UMBS - 8.5% | |||
428,000 | 2.50%, 02/15/2053(13) | 374,032 | |
3,660,000 | 4.50%, 02/15/2053(13) | 3,610,965 | |
3,984,997 | |||
Total U.S. Government Agencies (cost $5,074,916) | $ 5,107,176 | ||
U.S. GOVERNMENT SECURITIES - 23.2% | |||
U.S. Treasury Securities - 23.2% | |||
U.S. Treasury Bonds - 6.6% | |||
122,993 | 0.13%, 02/15/2052(14) | $ 84,488 | |
202,653 | 0.25%, 02/15/2050(14) | 145,908 | |
529,000 | 1.13%, 08/15/2040 | 349,574 | |
1,095,000 | 2.50%, 05/15/2046(15) | 873,348 | |
845,000 | 4.00%, 11/15/2042 | 869,822 | |
755,000 | 4.00%, 11/15/2052 | 801,126 | |
3,124,266 | |||
U.S. Treasury Notes - 16.6% | |||
406,420 | 0.13%, 07/15/2030(14)(16) | 372,914 | |
762,361 | 0.25%, 07/15/2029(14) | 713,135 | |
1,519,210 | 1.13%, 01/15/2033(14) | 1,497,223 | |
2,380,000 | 1.88%, 02/15/2032(16) | 2,082,686 | |
320,000 | 2.88%, 05/15/2032 | 303,900 | |
1,000,000 | 3.25%, 06/30/2029 | 978,633 | |
990,000 | 3.50%, 09/15/2025 | 977,934 | |
890,000 | 3.88%, 11/30/2027 | 898,761 | |
7,825,186 | |||
Total U.S. Government Securities (cost $11,231,027) | $ 10,949,452 | ||
CONVERTIBLE PREFERRED STOCKS - 0.5% | |||
Automobiles & Components - 0.1% | |||
545 | Aptiv plc Series A, 5.50% | $ 68,664 | |
Health Care Equipment & Services - 0.2% | |||
1,400 | Becton Dickinson and Co. Series B, 6.00% | 70,504 | |
Pharmaceuticals, Biotechnology & Life Sciences - 0.2% | |||
55 | Danaher Corp. Series B, 5.00% | 73,920 | |
Total Convertible Preferred Stocks (cost $242,683) | $ 213,088 | ||
ESCROWS - 0.6%(17) | |||
Consumer Services - 0.2% | |||
100,000 | Grifols Escrow Issuer S.A. Expires 10/15/2028(6) | $ 91,996 |
Shares or Principal Amount | Market Value† | ||
ESCROWS - 0.6%(17) - (continued) | |||
Media & Entertainment - 0.4% | |||
225,000 | Scripps Escrow, Inc. Expires 07/15/2027(1) | $ 199,724 | |
Total Escrows (cost $330,854) | $ 291,720 | ||
PREFERRED STOCKS - 0.1% | |||
Utilities - 0.1% | |||
1,049 | NextEra Energy, Inc., 6.93% | $ 50,300 | |
Total Preferred Stocks (cost $51,139) | $ 50,300 | ||
Total Long-Term Investments (cost $56,537,758) | $ 51,123,116 | ||
SHORT-TERM INVESTMENTS - 0.0% | |||
Repurchase Agreements - 0.0% | |||
$ 11,410 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $11,411; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $11,670 | $ 11,410 | |
Total Short-Term Investments (cost $11,410) | $ 11,410 | ||
Total Investments (cost $56,549,168) | 108.4% | $ 51,134,526 | |
Other Assets and Liabilities | (8.4)% | (3,961,664) | |
Total Net Assets | 100.0% | $ 47,172,862 |
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 January 31, 2023, the aggregate value of these securities was $10,230,044, representing 21.7% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2023. Base lending rates may be subject to a floor or cap. |
(3) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(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. |
57 |
January 31, 2023 (Unaudited)
(6) | 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 January 31, 2023, the aggregate value of these securities was $9,804,849, representing 20.8% of net assets. |
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(8) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
(9) | Non-income producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
(10) | Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar. |
(11) | The rate shown represents current yield to maturity. |
(12) | 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 London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). 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 January 31, 2023. |
(13) | Represents or includes a TBA transaction. |
(14) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(15) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2023, the market value of securities pledged was $446,644. |
(16) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2023, the market value of securities pledged was $461,158. |
(17) | Share amount represents shares of the issuer previously held that resulted in receipt of the escrow. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 10-Year Note Future | 68 | 03/22/2023 | $ 7,787,063 | $ 88,072 | ||||
U.S. Treasury 10-Year Ultra Future | 11 | 03/22/2023 | 1,333,234 | 1,712 | ||||
U.S. Treasury Ultra Bond Future | 9 | 03/22/2023 | 1,275,750 | 53,854 | ||||
Total | $ 143,638 | |||||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 22 | 03/22/2023 | $ 2,081,703 | $ (18,010) | ||||
Euro BUXL 30-Year Bond Future | 5 | 03/08/2023 | 781,956 | 56,980 | ||||
Euro-BOBL Future | 7 | 03/08/2023 | 891,756 | 11,157 | ||||
Euro-BUND Future | 9 | 03/08/2023 | 1,337,340 | 36,551 | ||||
Euro-Schatz Future | 15 | 03/08/2023 | 1,722,665 | 12,590 | ||||
U.S. Treasury 2-Year Note Future | 41 | 03/31/2023 | 8,431,586 | (16,740) | ||||
U.S. Treasury 5-Year Note Future | 35 | 03/31/2023 | 3,823,476 | (19,604) | ||||
U.S. Treasury Long Bond Future | 3 | 03/22/2023 | 389,625 | (5,429) | ||||
Total | $ 57,495 | |||||||
Total futures contracts | $ 201,133 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
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.EM.39.V1 | USD | 195,000 | (5.00%) | 12/20/2027 | Quarterly | $ 1,247 | $ (6,400) | $ (7,647) |
58 |
January 31, 2023 (Unaudited)
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 – (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 indices – (continued): | |||||||||||||||
Sell protection: | |||||||||||||||
CDX.NA.HY.39.V1 | USD | 640,000 | 5.00% | 12/20/2027 | Quarterly | $ 16,589 | $ 21,006 | $ 4,417 | |||||||
ITRAXX-XOVERS.38.V1 | EUR | 2,075,000 | 5.00% | 12/20/2027 | Quarterly | (195,029) | 88,688 | 283,717 | |||||||
Total | $ (178,440) | $ 109,694 | $ 288,134 | ||||||||||||
Total centrally cleared credit default swap contracts | $ (177,193) | $ 103,294 | $ 280,487 |
(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 Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value † | Unrealized Appreciation/ (Depreciation) | |||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 190,000 | 03/15/2053 | Annual | $ 2,217 | $ — | $ 3,711 | $ 1,494 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 550,000 | 03/15/2053 | Annual | 1,784 | — | 1,172 | (612) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 4,001 | $ — | $ 4,883 | $ 882 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
15,072,000 | DKK | 2,185,801 | USD | SSG | 03/15/2023 | $ 21,438 | ||||
91,000 | EUR | 97,038 | USD | MSC | 03/15/2023 | 2,071 | ||||
135,089 | USD | 200,000 | AUD | BCLY | 03/15/2023 | (6,086) | ||||
128,176 | USD | 171,000 | CAD | TDB | 02/28/2023 | 1 | ||||
135,827 | USD | 185,000 | CAD | MSC | 03/15/2023 | (2,860) | ||||
2,143,882 | USD | 15,072,000 | DKK | MSC | 03/15/2023 | (63,357) | ||||
4,037,948 | USD | 3,694,000 | EUR | TDB | 02/28/2023 | 18,803 | ||||
108,854 | USD | 100,000 | EUR | JPM | 02/28/2023 | 53 | ||||
54,393 | USD | 50,000 | EUR | GSC | 02/28/2023 | (8) | ||||
2,389,271 | USD | 2,258,000 | EUR | BCLY | 03/15/2023 | (69,937) | ||||
285,814 | USD | 233,000 | GBP | BNP | 03/15/2023 | (1,312) | ||||
730,783 | USD | 100,000,000 | JPY | JPM | 03/06/2023 | (41,776) | ||||
708,838 | USD | 100,000,000 | JPY | BNP | 03/10/2023 | (64,184) | ||||
274,136 | USD | 37,000,000 | JPY | BNP | 03/15/2023 | (12,097) | ||||
954,960 | USD | 125,000,000 | JPY | UBS | 04/10/2023 | (15,543) | ||||
712,409 | USD | 100,000,000 | JPY | CBK | 04/20/2023 | (65,054) | ||||
Total foreign currency contracts | $ (299,848) |
59 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 3,735,342 | $ — | $ 3,735,342 | $ — | ||||
Convertible Bonds | 1,216,700 | — | 1,216,700 | — | ||||
Corporate Bonds | 16,008,283 | — | 16,008,283 | — | ||||
Foreign Government Obligations | 7,591,904 | — | 7,591,904 | — | ||||
Senior Floating Rate Interests | 5,959,151 | — | 5,959,151 | — | ||||
U.S. Government Agencies | 5,107,176 | — | 5,107,176 | — | ||||
U.S. Government Securities | 10,949,452 | — | 10,949,452 | — | ||||
Convertible Preferred Stocks | 213,088 | 213,088 | — | — | ||||
Escrows | 291,720 | — | 291,720 | — | ||||
Preferred Stocks | 50,300 | 50,300 | — | — | ||||
Short-Term Investments | 11,410 | — | 11,410 | — | ||||
Foreign Currency Contracts(2) | 42,366 | — | 42,366 | — | ||||
Futures Contracts(2) | 260,916 | 260,916 | — | — | ||||
Swaps - Credit Default(2) | 288,134 | — | 288,134 | — | ||||
Swaps - Interest Rate(2) | 1,494 | — | 1,494 | — | ||||
Total | $ 51,727,436 | $ 524,304 | $ 51,203,132 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (342,214) | $ — | $ (342,214) | $ — | ||||
Futures Contracts(2) | (59,783) | (59,783) | — | — | ||||
Swaps - Interest Rate(2) | (612) | — | (612) | — | ||||
Swaps - Credit Default(2) | (7,647) | — | (7,647) | — | ||||
Total | $ (410,256) | $ (59,783) | $ (350,473) | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
60 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% | |||
Asset-Backed - Automobile - 1.0% | |||
$ 32,893 | Chesapeake Funding LLC 1.95%, 09/15/2031(1) | $ 32,879 | |
645,000 | Credit Acceptance Auto Loan Trust 1.00%, 05/15/2030(1) | 619,867 | |
555,000 | DT Auto Owner Trust 5.19%, 10/16/2028 | 554,516 | |
Exeter Automobile Receivables Trust | |||
760,000 | 4.57%, 01/15/2027 | 748,501 | |
362,000 | 6.03%, 08/16/2027 | 367,214 | |
310,000 | Flagship Credit Auto Trust 5.05%, 01/18/2028 | 309,964 | |
195,000 | GLS Auto Receivables Issuer Trust 4.92%, 01/15/2027(1) | 193,242 | |
280,000 | GMF Floorplan Owner Revolving Trust 0.68%, 08/15/2025(1) | 273,281 | |
Santander Drive Auto Receivables Trust | |||
220,000 | 1.48%, 01/15/2027 | 211,271 | |
1,540,000 | 4.42%, 11/15/2027 | 1,517,239 | |
350,000 | 4.72%, 06/15/2027 | 347,542 | |
650,000 | 4.98%, 02/15/2028 | 648,426 | |
1,430,000 | 5.95%, 01/17/2028 | 1,459,356 | |
517,168 | Tricolor Auto Securitization Trust 1.00%, 06/17/2024(1) | 516,077 | |
Westlake Automobile Receivables Trust | |||
610,000 | 1.65%, 02/17/2026(1) | 580,919 | |
1,180,000 | 4.31%, 09/15/2027(1) | 1,155,927 | |
355,000 | 5.41%, 01/18/2028 | 355,218 | |
9,891,439 | |||
Asset-Backed - Credit Card - 0.2% | |||
Mercury Financial Credit Card Master Trust | |||
865,000 | 1.54%, 03/20/2026(1) | 865,000 | |
1,500,000 | 2.50%, 09/21/2026(1) | 1,389,105 | |
2,254,105 | |||
Asset-Backed - Finance & Insurance - 4.8% | |||
51,922 | Atlas Senior Loan Fund Ltd. 5.68%, 04/20/2028, 3 mo. USD LIBOR + 0.870%(1)(2) | 51,663 | |
2,400,000 | Bain Capital Credit CLO Ltd. 6.00%, 07/25/2034, 3 mo. USD LIBOR + 1.180%(1)(2) | 2,364,600 | |
263,972 | BHG Securitization Trust 0.90%, 10/17/2034(1) | 249,736 | |
1,440,000 | BlueMountain CLO Ltd. 5.91%, 04/20/2034, 3 mo. USD LIBOR + 1.100%(1)(2) | 1,418,102 | |
3,300,000 | Buckhorn Park CLO Ltd. 5.91%, 07/18/2034, 3 mo. USD LIBOR + 1.120%(1)(2) | 3,255,437 | |
936,202 | Carlyle Global Market Strategies CLO Ltd. 5.79%, 01/15/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 928,244 | |
2,047,000 | Carlyle U.S. CLO Ltd. 5.85%, 04/15/2034, 3 mo. USD LIBOR + 1.060%(1)(2) | 2,017,599 | |
CIFC Funding Ltd. | |||
287,946 | 5.67%, 04/19/2029, 3 mo. USD LIBOR + 0.870%(1)(2) | 285,459 | |
970,000 | 5.79%, 04/18/2031, 3 mo. USD LIBOR + 1.000%(1)(2) | 960,596 | |
375,000 | Cirrus Funding Ltd. 4.80%, 01/25/2037(1) | 365,425 | |
3,282,893 | Galaxy XXIII CLO Ltd. 5.69%, 04/24/2029, 3 mo. USD LIBOR + 0.870%(1)(2) | 3,251,301 | |
Madison Park Funding Ltd. | |||
211,664 | 5.75%, 04/19/2030, 3 mo. USD LIBOR + 0.950%(1)(2) | 210,381 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Asset-Backed - Finance & Insurance - 4.8% - (continued) | |||
$ 1,750,000 | 5.91%, 07/17/2034, 3 mo. USD LIBOR + 1.120%(1)(2) | $ 1,725,241 | |
191,550 | Magnetite Ltd. 5.59%, 01/15/2028, 3 mo. USD LIBOR + 0.800%(1)(2) | 189,256 | |
1,300,000 | MF1 Ltd. 6.06%, 02/19/2037, 3 mo. USD SOFR + 1.750%(1)(2) | 1,238,517 | |
2,490,000 | Nassau Ltd. 6.04%, 08/26/2034, 3 mo. USD LIBOR + 1.250%(1)(2) | 2,401,010 | |
925,000 | OCP CLO Ltd. 5.90%, 04/18/2033, 3 mo. USD SOFR + 1.270%(1)(2) | 915,547 | |
OZLM Ltd. | |||
155,406 | 5.80%, 07/17/2029, 3 mo. USD LIBOR + 1.010%(1)(2) | 154,032 | |
550,000 | 5.91%, 10/20/2031, 3 mo. USD LIBOR + 1.100%(1)(2) | 543,434 | |
Progress Residential Trust | |||
1,715,902 | 1.51%, 10/17/2038(1) | 1,516,621 | |
453,826 | 4.45%, 06/17/2039(1) | 440,648 | |
2,065,000 | Regatta Funding Ltd. 5.97%, 04/20/2034, 3 mo. USD LIBOR + 1.160%(1)(2) | 2,035,906 | |
2,365,000 | RR LLC 5.94%, 07/15/2035, 3 mo. USD LIBOR + 1.150%(1)(2) | 2,334,562 | |
2,025,000 | RR Ltd. 5.90%, 07/15/2036, 3 mo. USD LIBOR + 1.110%(1)(2) | 1,996,036 | |
Sound Point CLO Ltd. | |||
250,000 | 5.89%, 01/26/2031, 3 mo. USD LIBOR + 1.070%(1)(2) | 248,175 | |
2,270,000 | 5.89%, 04/25/2034, 3 mo. USD LIBOR + 1.070%(1)(2) | 2,214,873 | |
950,000 | 5.94%, 04/18/2031, 3 mo. USD LIBOR + 1.150%(1)(2) | 934,860 | |
2,590,000 | Symphony CLO Ltd. 5.78%, 04/19/2034, 3 mo. USD LIBOR + 0.980%(1)(2) | 2,541,233 | |
2,365,000 | THL Credit Wind River CLO Ltd. 6.24%, 10/20/2033, 3 mo. USD LIBOR + 1.430%(1)(2) | 2,340,229 | |
2,280,000 | Thompson Park CLO Ltd. 5.79%, 04/15/2034, 3 mo. USD LIBOR + 1.000%(1)(2) | 2,242,592 | |
150,908 | TICP CLO Ltd. 5.65%, 04/20/2028, 3 mo. USD LIBOR + 0.840%(1)(2) | 150,212 | |
Venture CLO Ltd. | |||
2,270,000 | 5.92%, 04/15/2034, 3 mo. USD LIBOR + 1.130%(1)(2) | 2,198,320 | |
915,000 | 6.03%, 04/15/2034, 3 mo. USD LIBOR + 1.240%(1)(2) | 889,907 | |
Voya CLO Ltd. | |||
514,897 | 5.69%, 01/18/2029, 3 mo. USD LIBOR + 0.900%(1)(2) | 511,129 | |
705,000 | 5.98%, 10/18/2031, 3 mo. USD LIBOR + 1.190%(1)(2) | 700,733 | |
1,830,000 | Wellfleet CLO Ltd. 5.98%, 07/20/2032, 3 mo. USD LIBOR + 1.170%(1)(2) | 1,787,464 | |
47,609,080 | |||
Commercial Mortgage-Backed Securities - 4.4% | |||
965,000 | BAMLL Commercial Mortgage Securities Trust 3.11%, 11/05/2032(1) | 890,830 | |
520,000 | Barclays Commercial Mortgage Trust 4.60%, 06/15/2055(3) | 517,121 | |
BBCMS Mortgage Trust | |||
715,000 | 5.44%, 12/15/2055(3) | 757,496 | |
235,000 | 5.71%, 12/15/2055(3) | 254,026 | |
Benchmark Mortgage Trust | |||
20,266,175 | 0.51%, 07/15/2051(3)(4) | 339,702 | |
8,608,590 | 0.56%, 01/15/2051(3)(4) | 169,240 |
61 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Commercial Mortgage-Backed Securities - 4.4% - (continued) | |||
$ 8,877,112 | 1.22%, 03/15/2062(3)(4) | $ 457,235 | |
3,645,206 | 1.52%, 01/15/2054(3)(4) | 314,817 | |
1,861,901 | 1.79%, 07/15/2053(3)(4) | 145,516 | |
2,200,000 | 3.88%, 02/15/2051(3) | 2,115,430 | |
1,180,000 | BPR Trust 7.71%, 08/15/2024, 1 mo. USD SOFR + 3.232%(1)(2) | 1,176,293 | |
BX Commercial Mortgage Trust | |||
1,606,928 | 5.51%, 10/15/2036, 1 mo. USD SOFR + 1.034%(1)(2) | 1,599,913 | |
580,000 | 6.23%, 05/15/2035, 1 mo. USD LIBOR + 1.770%(1)(2) | 563,265 | |
1,196,161 | BX Trust 6.93%, 08/15/2039, 1 mo. USD SOFR + 2.451%(1)(2) | 1,198,030 | |
785,000 | CAMB Commercial Mortgage Trust 7.01%, 12/15/2037, 1 mo. USD LIBOR + 2.550%(1)(2) | 761,390 | |
1,527,000 | CD Mortgage Trust 3.63%, 02/10/2050 | 1,449,419 | |
Citigroup Commercial Mortgage Trust | |||
1,300,000 | 3.62%, 07/10/2047 | 1,260,634 | |
766,000 | 4.08%, 11/15/2049(3) | 662,140 | |
74,371 | Citigroup Mortgage Loan Trust 3.25%, 03/25/2061(1)(3) | 70,833 | |
Commercial Mortgage Trust | |||
9,995,904 | 0.51%, 02/10/2047(3)(4) | 34,516 | |
389,000 | 2.82%, 01/10/2039(1) | 341,119 | |
700,000 | 3.18%, 02/10/2035(1) | 655,806 | |
1,470,000 | 3.61%, 08/10/2049(1)(3) | 1,399,659 | |
900,000 | 3.80%, 08/10/2047 | 874,845 | |
395,000 | 3.90%, 01/10/2039(1)(3) | 330,757 | |
1,095,125 | 3.96%, 03/10/2047 | 1,076,048 | |
360,000 | 4.24%, 02/10/2047(3) | 355,876 | |
725,657 | 4.27%, 07/10/2045(3) | 723,817 | |
12,247,315 | CSAIL Commercial Mortgage Trust 0.72%, 06/15/2057(3)(4) | 147,835 | |
DBJPM Mortgage Trust | |||
3,947,200 | 1.71%, 09/15/2053(3)(4) | 272,391 | |
2,660,000 | 2.89%, 08/10/2049 | 2,472,497 | |
2,479,528 | Extended Stay America Trust 5.54%, 07/15/2038, 1 mo. USD LIBOR + 1.080%(1)(2) | 2,444,018 | |
FirstKey Homes Trust | |||
2,046,849 | 1.38%, 09/17/2038(1) | 1,798,061 | |
671,204 | 4.15%, 05/17/2039(1) | 649,398 | |
GS Mortgage Securities Trust | |||
6,594,906 | 0.67%, 02/13/2053(3)(4) | 214,399 | |
2,000,000 | 3.05%, 05/10/2049 | 1,882,519 | |
2,440,000 | 3.43%, 08/10/2050 | 2,299,234 | |
890,000 | 3.63%, 11/10/2047 | 859,067 | |
100,000 | 4.07%, 01/10/2047 | 98,059 | |
190,000 | 5.21%, 08/15/2036, 1 mo. USD SOFR + 0.731%(1)(2) | 188,730 | |
415,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.81%, 01/16/2037(1) | 379,052 | |
JPMBB Commercial Mortgage Securities Trust | |||
81,574 | 3.36%, 07/15/2045 | 81,070 | |
100,000 | 3.93%, 09/15/2047 | 97,654 | |
100,000 | 4.00%, 04/15/2047 | 97,971 | |
2,050,000 | JPMCC Commercial Mortgage Securities Trust 3.72%, 03/15/2050 | 1,948,149 | |
358,784 | Life Mortgage Trust 5.86%, 03/15/2038, 1 mo. USD LIBOR + 1.400%(1)(2) | 342,797 | |
1,410,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 1,366,125 | |
3,944,084 | Morgan Stanley Capital Trust 1.32%, 06/15/2050(3)(4) | 144,729 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Commercial Mortgage-Backed Securities - 4.4% - (continued) | |||
$ 303,680 | UBS-Barclays Commercial Mortgage Trust 3.24%, 04/10/2046 | $ 302,088 | |
Wells Fargo N.A. | |||
5,731,867 | 0.59%, 11/15/2062(3)(4) | 183,598 | |
14,019,552 | 0.64%, 11/15/2062(3)(4) | 491,646 | |
15,633,002 | 0.69%, 02/15/2061(3)(4) | 439,237 | |
5,833,117 | 0.71%, 11/15/2050(3)(4) | 159,109 | |
3,581,979 | 0.77%, 11/15/2054(3)(4) | 107,194 | |
11,025,089 | 0.88%, 01/15/2063(3)(4) | 514,112 | |
3,456,585 | 0.89%, 05/15/2062(3)(4) | 147,636 | |
7,186,246 | 1.76%, 03/15/2063(3)(4) | 712,611 | |
1,790,000 | 3.44%, 09/15/2060 | 1,689,605 | |
WF-RBS Commercial Mortgage Trust | |||
1,025,000 | 3.61%, 11/15/2047 | 992,785 | |
100,000 | 4.00%, 05/15/2047 | 97,769 | |
100,000 | 4.05%, 03/15/2047 | 98,285 | |
44,215,203 | |||
Other Asset-Backed Securities - 2.9% | |||
151,943 | Aaset Trust 3.35%, 01/16/2040(1) | 123,086 | |
Affirm Asset Securitization Trust | |||
149,333 | 1.90%, 01/15/2025(1) | 146,496 | |
60,208 | 3.46%, 10/15/2024(1) | 59,762 | |
565,000 | Amur Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) | 561,686 | |
375,000 | Arbor Realty Commercial Real Estate Notes Ltd. 5.55%, 05/15/2036, 1 mo. USD LIBOR + 1.100%(1)(2) | 368,244 | |
820,000 | Avant Loans Funding Trust 1.21%, 07/15/2030(1) | 790,453 | |
CF Hippolyta Issuer LLC | |||
193,858 | 1.98%, 03/15/2061(1) | 165,507 | |
343,234 | 1.99%, 07/15/2060(1) | 291,304 | |
Domino's Pizza Master Issuer LLC | |||
928,462 | 2.66%, 04/25/2051(1) | 809,126 | |
407,400 | 3.67%, 10/25/2049(1) | 366,798 | |
47,875 | 4.12%, 07/25/2048(1) | 45,834 | |
410,165 | Marlette Funding Trust 1.06%, 09/15/2031(1) | 401,101 | |
653,290 | Navient Private Education Refi Loan Trust 0.97%, 12/16/2069(1) | 565,367 | |
2,205,000 | NRZ Advance Receivables Trust 1.48%, 09/15/2053(1) | 2,134,381 | |
155,358 | NRZ Excess Spread-Collateralized Notes 3.84%, 12/25/2025(1) | 141,932 | |
Pretium Mortgage Credit Partners LLC | |||
782,778 | 1.74%, 07/25/2051(1)(5) | 715,855 | |
809,605 | 1.87%, 07/25/2051(1)(5) | 716,295 | |
913,359 | 1.99%, 06/27/2060(1)(5) | 840,603 | |
1,571,450 | 1.99%, 02/25/2061(1)(5) | 1,446,504 | |
Progress Residential Trust | |||
640,000 | 3.20%, 04/17/2039(1) | 594,767 | |
1,746,924 | 4.44%, 05/17/2041(1) | 1,680,778 | |
755,000 | 4.75%, 10/27/2039(1) | 743,073 | |
183,804 | Sapphire Aviation Finance Ltd. 3.23%, 03/15/2040(1) | 147,237 | |
310,000 | Stack Infrastructure Issuer LLC 1.89%, 08/25/2045(1) | 281,914 | |
490,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 437,482 | |
175,544 | Upstart Securitization Trust 0.83%, 07/20/2031(1) | 172,121 | |
Vantage Data Centers Issuer LLC | |||
1,640,000 | 1.65%, 09/15/2045(1) | 1,470,509 | |
967,917 | 4.20%, 11/15/2043(1) | 947,331 | |
1,674,881 | Vericrest Opportunity Loan Transferee 1.87%, 08/25/2051(1)(5) | 1,484,604 | |
588,384 | VOLT C LLC 1.99%, 05/25/2051(1)(5) | 534,531 |
62 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Other Asset-Backed Securities - 2.9% - (continued) | |||
$ 1,208,302 | VOLT XCIII LLC 1.89%, 02/27/2051(1)(5) | $ 1,084,366 | |
942,595 | VOLT XCIV LLC 2.24%, 02/27/2051(1)(5) | 882,414 | |
1,148,992 | VOLT XCIX LLC 2.12%, 04/25/2051(1)(5) | 1,043,641 | |
813,939 | VOLT XCV LLC 2.24%, 03/27/2051(1)(5) | 751,033 | |
942,969 | VOLT XCVII LLC 2.24%, 04/25/2051(1)(5) | 846,372 | |
Wendy's Funding LLC | |||
2,127,600 | 2.37%, 06/15/2051(1) | 1,800,709 | |
3,274,140 | 2.78%, 06/15/2051(1) | 2,671,420 | |
584,250 | 3.88%, 03/15/2048(1) | 542,924 | |
242,550 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 214,427 | |
29,021,987 | |||
Whole Loan Collateral CMO - 9.3% | |||
1,517,226 | 510 Asset Backed Trust 2.24%, 06/25/2061(1)(5) | 1,398,497 | |
445,315 | Ajax Mortgage Loan Trust 2.12%, 01/25/2061(1)(5) | 421,800 | |
Angel Oak Mortgage Trust | |||
589,302 | 0.91%, 01/25/2066(1)(3) | 502,665 | |
1,390,778 | 0.95%, 07/25/2066(1)(3) | 1,203,656 | |
418,381 | 0.99%, 04/25/2053(1)(3) | 386,822 | |
503,328 | 0.99%, 04/25/2066(1)(3) | 420,818 | |
1,077,849 | 1.07%, 05/25/2066(1)(3) | 915,566 | |
540,317 | 1.24%, 01/20/2065(1)(3) | 435,346 | |
990,757 | 1.82%, 11/25/2066(1)(3) | 841,889 | |
2,606,233 | 2.88%, 12/25/2066(1)(5) | 2,378,489 | |
45,536 | Bear Stearns Adjustable Rate Mortgage Trust 4.23%, 08/25/2035(3) | 41,081 | |
667,550 | BINOM Securitization Trust 2.03%, 06/25/2056(1)(3) | 595,959 | |
BRAVO Residential Funding Trust | |||
370,979 | 0.94%, 02/25/2049(1)(3) | 326,694 | |
334,019 | 0.97%, 03/25/2060(1)(3) | 317,042 | |
1,684,001 | 1.62%, 03/01/2061(1)(5) | 1,522,990 | |
497,090 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | 418,418 | |
2,608,228 | CHNGE Mortgage Trust 3.76%, 03/25/2067(1)(3) | 2,491,224 | |
COLT Mortgage Loan Trust | |||
245,767 | 0.80%, 07/27/2054(1) | 212,179 | |
845,318 | 0.91%, 06/25/2066(1)(3) | 687,660 | |
1,635,332 | 0.96%, 09/27/2066(1)(3) | 1,323,189 | |
988,988 | 1.34%, 08/25/2066(1)(3) | 792,968 | |
2,430,993 | 1.40%, 10/25/2066(1)(3) | 2,084,299 | |
2,562,577 | 2.28%, 12/27/2066(1)(3) | 2,291,326 | |
426,065 | 4.30%, 03/25/2067(1)(3) | 405,750 | |
Connecticut Avenue Securities Trust | |||
197,203 | 6.66%, 11/25/2039, 1 mo. USD LIBOR + 2.150%(1)(2) | 195,608 | |
27,231 | 6.81%, 08/25/2031, 1 mo. USD LIBOR + 2.300%(1)(2) | 27,231 | |
344,222 | 6.86%, 07/25/2042, 1 mo. USD SOFR + 2.550%(1)(2) | 347,664 | |
CSMC Trust | |||
241,611 | 0.81%, 05/25/2065(1)(3) | 205,571 | |
592,826 | 0.83%, 03/25/2056(1)(3) | 500,705 | |
802,907 | 0.94%, 05/25/2066(1)(3) | 646,430 | |
1,286,093 | 1.10%, 05/25/2066(1)(3) | 1,055,639 | |
1,031,761 | 1.18%, 02/25/2066(1)(3) | 858,557 | |
523,624 | 1.80%, 12/27/2060(1)(3) | 471,337 | |
1,016,852 | 1.84%, 10/25/2066(1)(3) | 835,554 | |
2,789,516 | 2.27%, 11/25/2066(1)(3) | 2,469,144 | |
371,437 | Deephaven Residential Mortgage Trust 0.90%, 04/25/2066(1)(3) | 321,960 | |
149,008 | Eagle RE Ltd. 6.21%, 11/25/2028, 1 mo. USD LIBOR + 1.700%(1)(2) | 148,834 |
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Whole Loan Collateral CMO - 9.3% - (continued) | |||
Ellington Financial Mortgage Trust | |||
$ 140,163 | 0.80%, 02/25/2066(1)(3) | $ 116,686 | |
355,300 | 0.93%, 06/25/2066(1)(3) | 290,485 | |
1,134,714 | 2.21%, 01/25/2067(1)(3) | 977,739 | |
Fannie Mae Connecticut Avenue Securities | |||
92,304 | 6.71%, 08/25/2030, 1 mo. USD LIBOR + 2.200%(2) | 92,534 | |
114,050 | 6.86%, 01/25/2031, 1 mo. USD LIBOR + 2.350%(2) | 115,054 | |
394,593 | 8.06%, 07/25/2029, 1 mo. USD LIBOR + 3.550%(2) | 403,140 | |
327,694 | 8.86%, 05/25/2029, 1 mo. USD LIBOR + 4.350%(2) | 338,532 | |
461,217 | 8.91%, 01/25/2024, 1 mo. USD LIBOR + 4.400%(2) | 474,172 | |
218,610 | 9.41%, 11/25/2024, 1 mo. USD LIBOR + 4.900%(2) | 227,137 | |
81,354 | 9.51%, 11/25/2024, 1 mo. USD LIBOR + 5.000%(2) | 82,285 | |
150,465 | 9.51%, 07/25/2025, 1 mo. USD LIBOR + 5.000%(2) | 157,306 | |
2,485,941 | FirstKey Homes Trust 4.25%, 07/17/2039(1) | 2,395,971 | |
GCAT Trust | |||
665,733 | 0.87%, 01/25/2066(1)(3) | 604,835 | |
736,808 | 1.04%, 05/25/2066(1)(3) | 628,292 | |
1,001,228 | 1.09%, 05/25/2066(1)(3) | 827,011 | |
1,408,531 | 1.09%, 08/25/2066(1)(3) | 1,151,537 | |
762,087 | 1.92%, 08/25/2066(1)(3) | 682,423 | |
Imperial Fund Mortgage Trust | |||
788,364 | 1.07%, 09/25/2056(1)(3) | 646,547 | |
2,740,510 | 3.64%, 03/25/2067(1)(5) | 2,559,647 | |
Legacy Mortgage Asset Trust | |||
383,865 | 1.65%, 11/25/2060(1)(5) | 324,179 | |
514,817 | 1.75%, 04/25/2061(1)(5) | 438,929 | |
710,823 | 1.75%, 07/25/2061(1)(5) | 661,836 | |
818,136 | LSTAR Securities Investment Ltd. 6.17%, 02/01/2026, 1 mo. USD LIBOR + 1.800%(1)(2) | 764,917 | |
568,897 | MetLife Securitization Trust 3.75%, 03/25/2057(1)(3) | 539,640 | |
MFA Trust | |||
85,859 | 1.01%, 01/26/2065(1)(3) | 79,325 | |
595,762 | 1.03%, 11/25/2064(1)(3) | 495,055 | |
445,090 | 1.15%, 04/25/2065(1)(3) | 418,045 | |
15,885 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(1)(3) | 15,395 | |
New Residential Mortgage Loan Trust | |||
493,238 | 0.94%, 07/25/2055(1)(3) | 425,810 | |
354,234 | 0.94%, 10/25/2058(1)(3) | 320,916 | |
2,520,982 | 2.28%, 04/25/2061(1)(3) | 2,227,898 | |
499,055 | 3.50%, 12/25/2057(1)(3) | 476,455 | |
416,351 | 3.92%, 09/25/2057(1)(3) | 389,727 | |
318,751 | 4.00%, 04/25/2057(1)(3) | 303,671 | |
351,626 | 4.00%, 08/27/2057(1)(3) | 333,354 | |
159,634 | 5.26%, 01/25/2048, 1 mo. USD LIBOR + 0.750%(1)(2) | 156,329 | |
1,579,344 | NMLT Trust 1.19%, 05/25/2056(1)(3) | 1,261,670 | |
OBX Trust | |||
995,675 | 1.05%, 07/25/2061(1)(3) | 791,462 | |
968,390 | 1.07%, 02/25/2066(1)(3) | 810,010 | |
2,285,722 | 2.31%, 11/25/2061(1)(3) | 2,011,309 | |
417,998 | PMT Credit Risk Transfer Trust 7.42%, 02/27/2024, 1 mo. USD LIBOR + 2.900%(1)(2) | 404,831 |
63 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 22.6% - (continued) | |||
Whole Loan Collateral CMO - 9.3% - (continued) | |||
Preston Ridge Partners Mortgage Trust LLC | |||
$ 373,486 | 1.32%, 07/25/2051(1)(5) | $ 336,942 | |
1,007,475 | 1.79%, 06/25/2026(1)(5) | 927,001 | |
957,454 | 1.79%, 07/25/2026(1)(5) | 886,892 | |
1,641,550 | 1.87%, 04/25/2026(1)(5) | 1,514,602 | |
372,780 | 2.12%, 03/25/2026(1)(3) | 352,816 | |
216,370 | 2.36%, 11/25/2025(1)(5) | 208,627 | |
1,780,542 | 2.36%, 10/25/2026(1)(5) | 1,653,750 | |
846,044 | 2.49%, 10/25/2026(1)(5) | 790,192 | |
355,050 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(3) | 327,670 | |
Seasoned Credit Risk Transfer Trust | |||
668,773 | 2.50%, 08/25/2059 | 580,393 | |
331,330 | 3.50%, 08/25/2057(3) | 318,059 | |
514,282 | 3.50%, 11/25/2057 | 484,420 | |
1,365,288 | 3.50%, 07/25/2058 | 1,278,660 | |
548,017 | 3.50%, 08/25/2058 | 519,003 | |
1,887,529 | 3.50%, 10/25/2058 | 1,771,825 | |
1,352,752 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(3) | 1,162,227 | |
Starwood Mortgage Residential Trust | |||
282,691 | 0.94%, 05/25/2065(1)(3) | 263,137 | |
1,153,447 | 1.13%, 06/25/2056(1)(3) | 937,270 | |
796,153 | 1.22%, 05/25/2065(1)(3) | 708,519 | |
1,561,838 | 1.92%, 11/25/2066(1)(3) | 1,333,481 | |
63,968 | Structured Agency Credit Risk Trust 6.16%, 04/25/2043, 1 mo. USD LIBOR + 1.650%(1)(2) | 63,968 | |
1,210,000 | Toorak Mortgage Corp. Ltd. 2.24%, 06/25/2024(1)(5) | 1,150,377 | |
Towd Point Mortgage Trust | |||
813,423 | 1.75%, 10/25/2060(1) | 728,721 | |
744,068 | 2.16%, 01/25/2052(1)(3) | 727,813 | |
137,412 | 2.75%, 10/25/2056(1)(3) | 135,363 | |
545,718 | 2.75%, 06/25/2057(1)(3) | 520,460 | |
726,355 | 2.75%, 10/25/2057(1)(3) | 693,810 | |
897,930 | 2.90%, 10/25/2059(1)(3) | 836,308 | |
2,129,837 | 2.92%, 11/30/2060(1)(3) | 1,723,911 | |
743,105 | 3.25%, 03/25/2058(1)(3) | 715,976 | |
84,125 | 3.25%, 07/25/2058(1)(3) | 81,031 | |
49,539 | 3.75%, 05/25/2058(1)(3) | 47,550 | |
858,400 | Triangle Re Ltd. 6.21%, 02/25/2034, 3 mo. USD SOFR + 1.900%(1)(2) | 856,942 | |
634,191 | TRK Trust 1.15%, 07/25/2056(1)(3) | 550,332 | |
VCAT LLC | |||
857,506 | 1.74%, 05/25/2051(1)(5) | 763,126 | |
255,798 | 2.12%, 03/27/2051(1)(5) | 242,368 | |
Verus Securitization Trust | |||
187,413 | 0.82%, 10/25/2063(1)(3) | 169,193 | |
468,807 | 0.92%, 02/25/2064(1)(3) | 415,661 | |
2,216,590 | 0.94%, 07/25/2066(1)(3) | 1,818,298 | |
2,557,802 | 1.01%, 09/25/2066(1)(3) | 2,140,960 | |
426,474 | 1.03%, 02/25/2066(1)(3) | 369,590 | |
1,079,089 | 1.82%, 11/25/2066(1)(3) | 937,962 | |
2,120,839 | 1.83%, 10/25/2066(1)(3) | 1,835,050 | |
1,723,317 | 2.72%, 01/25/2067(1)(5) | 1,546,855 | |
92,349,768 | |||
Total Asset & Commercial Mortgage-Backed Securities (cost $244,499,034) | $ 225,341,582 | ||
CORPORATE BONDS - 25.2% | |||
Advertising - 0.0% | |||
80,000 | Lamar Media Corp. 4.88%, 01/15/2029 | $ 75,290 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Aerospace/Defense - 0.3% | |||
Boeing Co. | |||
$ 10,000 | 3.65%, 03/01/2047 | $ 7,340 | |
257,000 | 5.04%, 05/01/2027 | 259,152 | |
698,000 | 5.15%, 05/01/2030 | 701,976 | |
L3Harris Technologies, Inc. | |||
105,000 | 2.90%, 12/15/2029 | 92,856 | |
785,000 | 3.85%, 06/15/2023 | 781,539 | |
10,000 | 4.85%, 04/27/2035 | 9,753 | |
725,000 | Lockheed Martin Corp. 5.10%, 11/15/2027 | 751,202 | |
155,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 157,874 | |
2,761,692 | |||
Agriculture - 0.4% | |||
BAT Capital Corp. | |||
98,700 | 3.56%, 08/15/2027 | 91,890 | |
516,000 | 4.74%, 03/16/2032 | 475,652 | |
1,496,000 | BAT International Finance plc 4.45%, 03/16/2028 | 1,429,143 | |
1,045,000 | Kernel Holding S.A. 6.50%, 10/17/2024(6) | 485,925 | |
Philip Morris International, Inc. | |||
106,000 | 4.88%, 11/15/2043 | 97,713 | |
1,035,000 | 5.13%, 11/17/2027 | 1,056,025 | |
455,000 | 5.63%, 11/17/2029 | 474,167 | |
4,110,515 | |||
Apparel - 0.2% | |||
260,000 | Hanesbrands, Inc. 4.88%, 05/15/2026(1) | 243,279 | |
1,904,000 | William Carter Co. 5.63%, 03/15/2027(1) | 1,852,293 | |
2,095,572 | |||
Auto Manufacturers - 0.1% | |||
150,000 | Daimler Truck Finance North America LLC 5.13%, 01/19/2028(1) | 151,195 | |
General Motors Financial Co., Inc. | |||
20,000 | 1.50%, 06/10/2026 | 17,760 | |
493,000 | 3.60%, 06/21/2030 | 432,941 | |
95,000 | 4.00%, 10/06/2026 | 91,383 | |
693,279 | |||
Auto Parts & Equipment - 0.0% | |||
385,000 | Autozone, Inc. 4.75%, 08/01/2032 | 384,023 | |
Beverages - 0.2% | |||
120,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.70%, 02/01/2036 | 118,598 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
386,000 | 4.60%, 04/15/2048 | 362,967 | |
788,000 | 5.45%, 01/23/2039 | 822,744 | |
30,000 | 5.55%, 01/23/2049 | 32,008 | |
Constellation Brands, Inc. | |||
100,000 | 3.50%, 05/09/2027 | 95,967 | |
5,000 | 3.60%, 02/15/2028 | 4,745 | |
925,000 | Keurig Dr Pepper, Inc. 3.95%, 04/15/2029 | 888,605 | |
2,325,634 | |||
Biotechnology - 0.3% | |||
CSL Finance plc | |||
483,000 | 4.05%, 04/27/2029(1) | 466,971 | |
435,000 | 4.25%, 04/27/2032(1) | 423,441 | |
Royalty Pharma plc | |||
100,000 | 1.20%, 09/02/2025 | 90,621 | |
1,969,000 | 2.15%, 09/02/2031 | 1,562,206 | |
581,000 | 2.20%, 09/02/2030 | 472,413 | |
18,000 | 3.35%, 09/02/2051 | 12,036 | |
3,027,688 |
64 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Chemicals - 0.1% | |||
$ 825,000 | Celanese U.S. Holdings LLC 6.17%, 07/15/2027 | $ 834,495 | |
Commercial Banks - 6.3% | |||
Bank of America Corp. | |||
155,000 | 1.90%, 07/23/2031, (1.90% fixed rate until 07/23/2030; 3 mo. USD SOFR + 1.530% thereafter)(7) | 124,997 | |
130,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 3 mo. USD SOFR + 1.370% thereafter)(7) | 104,324 | |
2,076,000 | 2.50%, 02/13/2031, (2.50% fixed rate until 02/13/2030; 3 mo. USD LIBOR + 0.990% thereafter)(7) | 1,762,016 | |
1,054,000 | 2.57%, 10/20/2032, (2.57% fixed rate until 10/20/2031; 3 mo. USD SOFR + 1.210% thereafter)(7) | 870,358 | |
515,000 | 2.59%, 04/29/2031, (2.59% fixed rate until 04/29/2030; 3 mo. USD SOFR + 2.150% thereafter)(7) | 439,740 | |
4,010,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.320% thereafter)(7) | 3,376,957 | |
835,000 | 3.19%, 07/23/2030, (3.19% fixed rate until 07/23/2029; 3 mo. USD LIBOR + 1.180% thereafter)(7) | 747,156 | |
761,000 | 3.71%, 04/24/2028, (3.71% fixed rate until 04/24/2027; 3 mo. USD LIBOR + 1.512% thereafter)(7) | 724,739 | |
5,000 | 4.08%, 03/20/2051, (4.08% fixed rate until 03/20/2050; 3 mo. USD LIBOR + 3.150% thereafter)(7) | 4,276 | |
831,000 | 4.95%, 07/22/2028, (4.95% fixed rate until 07/22/2027; 3 mo. USD SOFR + 2.040% thereafter)(7) | 831,113 | |
239,000 | 5.02%, 07/22/2033, (5.02% fixed rate until 07/22/2032; 3 mo. USD SOFR + 2.160% thereafter)(7) | 238,387 | |
1,975,000 | Bank of Ireland Group plc 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 12 mo. USD CMT + 2.650% thereafter)(1)(7) | 1,990,507 | |
165,000 | Bank of New York Mellon Corp. 4.71%, 02/01/2034 | 163,867 | |
Barclays plc | |||
245,000 | 5.75%, 08/09/2033, (5.75% fixed rate until 08/09/2032; 12 mo. USD CMT + 3.000% thereafter)(7) | 246,112 | |
550,000 | 7.39%, 11/02/2028, (7.39% fixed rate until 11/02/2027; 12 mo. USD CMT + 3.300% thereafter)(7) | 595,580 | |
BNP Paribas S.A. | |||
200,000 | 2.16%, 09/15/2029, (2.16% fixed rate until 09/15/2028; 3 mo. USD SOFR + 1.218% thereafter)(1)(7) | 169,363 | |
1,050,000 | 2.22%, 06/09/2026, (2.22% fixed rate until 06/09/2025; 3 mo. USD SOFR + 2.074% thereafter)(1)(7) | 978,413 | |
570,000 | 2.59%, 01/20/2028, (2.59% fixed rate until 01/20/2027; 3 mo. USD SOFR + 1.228% thereafter)(1)(7) | 516,174 | |
1,275,000 | 4.38%, 03/01/2033, (4.38% fixed rate until 03/01/2028; 5 year USD Swap + 1.483% thereafter)(1)(7) | 1,170,262 | |
555,000 | 5.13%, 01/13/2029 | 558,781 | |
605,000 | Credit Suisse AG 7.50%, 02/15/2028 | 634,286 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Commercial Banks - 6.3% - (continued) | |||
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)(7) | $ 265,408 | |
295,000 | 4.28%, 01/09/2028(1) | 259,888 | |
525,000 | 6.44%, 08/11/2028, (6.44% fixed rate until 08/11/2027; 3 mo. USD SOFR + 3.700% thereafter)(1)(7) | 506,979 | |
3,105,000 | 6.54%, 08/12/2033, (6.54% fixed rate until 08/12/2032; 3 mo. USD SOFR + 3.920% thereafter)(1)(7) | 2,968,605 | |
530,000 | Danske Bank A/S 5.38%, 01/12/2024(1) | 530,160 | |
Deutsche Bank AG | |||
700,000 | 2.31%, 11/16/2027, (2.31% fixed rate until 11/16/2026; 3 mo. USD SOFR + 1.219% thereafter)(7) | 617,809 | |
560,000 | 6.72%, 01/18/2029, (6.72% fixed rate until 01/18/2028; 3 mo. USD SOFR + 3.180% thereafter)(7) | 588,355 | |
Goldman Sachs Group, Inc. | |||
1,575,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.248% thereafter)(7) | 1,282,142 | |
1,855,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 3 mo. USD SOFR + 1.281% thereafter)(7) | 1,547,522 | |
140,000 | 2.65%, 10/21/2032, (2.65% fixed rate until 10/21/2031; 3 mo. USD SOFR + 1.264% thereafter)(7) | 115,180 | |
10,000 | 3.10%, 02/24/2033, (3.10% fixed rate until 02/24/2032; 3 mo. USD SOFR + 1.410% thereafter)(7) | 8,543 | |
130,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.158% thereafter)(7) | 122,544 | |
2,015,000 | 4.22%, 05/01/2029, (4.22% fixed rate until 05/01/2028; 3 mo. USD LIBOR + 1.301% thereafter)(7) | 1,939,852 | |
15,000 | 6.25%, 02/01/2041 | 16,954 | |
HSBC Holdings plc | |||
630,000 | 2.21%, 08/17/2029, (2.21% fixed rate until 08/17/2028; 3 mo. USD SOFR + 1.285% thereafter)(7) | 533,315 | |
780,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD LIBOR + 1.535% thereafter)(7) | 754,331 | |
1,485,000 | 4.76%, 03/29/2033, (4.76% fixed rate until 03/29/2032; 3 mo. USD SOFR + 2.530% thereafter)(7) | 1,366,816 | |
2,940,000 | 5.40%, 08/11/2033, (5.40% fixed rate until 08/11/2032; 3 mo. USD SOFR + 2.870% thereafter)(7) | 2,928,560 | |
128,000 | 6.80%, 06/01/2038 | 137,714 | |
JP Morgan Chase & Co. | |||
1,385,000 | 1.47%, 09/22/2027, (1.47% fixed rate until 09/22/2026; 3 mo. USD SOFR + 0.765% thereafter)(7) | 1,224,989 | |
745,000 | 2.55%, 11/08/2032, (2.55% fixed rate until 11/08/2031; 3 mo. USD SOFR + 1.180% thereafter)(7) | 616,450 | |
300,000 | 2.96%, 05/13/2031, (2.96% fixed rate until 05/13/2030; 3 mo. USD SOFR + 2.515% thereafter)(7) | 259,704 |
65 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Commercial Banks - 6.3% - (continued) | |||
$ 1,416,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD LIBOR + 1.160% thereafter)(7) | $ 1,314,618 | |
490,000 | 3.96%, 01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD LIBOR + 1.245% thereafter)(7) | 478,307 | |
852,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD LIBOR + 1.120% thereafter)(7) | 814,881 | |
1,870,000 | 4.32%, 04/26/2028, (4.32% fixed rate until 04/26/2027; 3 mo. USD SOFR + 1.560% thereafter)(7) | 1,826,556 | |
220,000 | 4.59%, 04/26/2033, (4.59% fixed rate until 04/26/2032; 3 mo. USD SOFR + 1.800% thereafter)(7) | 213,007 | |
1,224,000 | 4.85%, 07/25/2028, (4.85% fixed rate until 07/25/2027; 3 mo. USD SOFR + 1.990% thereafter)(7) | 1,222,168 | |
240,000 | 4.91%, 07/25/2033, (4.91% fixed rate until 07/25/2032; 3 mo. USD SOFR + 2.080% thereafter)(7) | 238,288 | |
5,000 | 5.71%, 07/23/2024, 3 mo. USD LIBOR + 0.890%(2) | 5,012 | |
Morgan Stanley | |||
27,000 | 0.86%, 10/21/2025, (0.86% fixed rate until 10/21/2024; 3 mo. USD SOFR + 0.745% thereafter)(7) | 25,015 | |
719,000 | 1.59%, 05/04/2027, (1.59% fixed rate until 05/04/2026; 3 mo. USD SOFR + 0.879% thereafter)(7) | 645,257 | |
1,467,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 3 mo. USD SOFR + 1.034% thereafter)(7) | 1,157,637 | |
820,000 | 2.24%, 07/21/2032, (2.24% fixed rate until 07/21/2031; 3 mo. USD SOFR + 1.178% thereafter)(7) | 662,213 | |
1,172,000 | 2.48%, 01/21/2028, (2.48% fixed rate until 01/21/2027; 3 mo. USD SOFR + 1.000% thereafter)(7) | 1,066,995 | |
100,000 | 2.51%, 10/20/2032, (2.51% fixed rate until 10/20/2031; 3 mo. USD SOFR + 1.200% thereafter)(7) | 82,369 | |
504,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 3 mo. USD SOFR + 1.143% thereafter)(7) | 436,409 | |
625,000 | 3.62%, 04/01/2031, (3.62% fixed rate until 04/01/2030; 3 mo. USD SOFR + 3.120% thereafter)(7) | 573,643 | |
1,156,000 | 4.21%, 04/20/2028, (4.21% fixed rate until 04/20/2027; 3 mo. USD SOFR + 1.610% thereafter)(7) | 1,120,614 | |
745,000 | 4.43%, 01/23/2030, (4.43% fixed rate until 01/23/2029; 3 mo. USD LIBOR + 1.628% thereafter)(7) | 723,843 | |
30,000 | 4.89%, 07/20/2033, (4.89% fixed rate until 07/20/2032; 3 mo. USD SOFR + 2.076% thereafter)(7) | 29,637 | |
760,000 | 5.12%, 02/01/2029, (5.12% fixed rate until 02/01/2028; 3 mo. USD SOFR + 1.730% thereafter)(7) | 767,034 | |
120,000 | 5.95%, 01/19/2038, 5 year USD CMT + 2.430% | 122,151 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Commercial Banks - 6.3% - (continued) | |||
$ 160,000 | PNC Financial Services Group, Inc. 5.07%, 01/24/2034, (5.07% fixed rate until 01/24/2033; 3 mo. USD SOFR + 1.933% thereafter)(7) | $ 160,868 | |
Societe Generale S.A. | |||
2,705,000 | 6.22%, 06/15/2033, (6.22% fixed rate until 06/15/2032; 12 mo. USD CMT + 3.200% thereafter)(1)(7) | 2,679,240 | |
1,155,000 | 6.45%, 01/10/2029, (6.45% fixed rate until 01/10/2028; 12 mo. USD CMT + 2.550% thereafter)(1)(7) | 1,196,103 | |
Standard Chartered plc | |||
200,000 | 6.30%, 01/09/2029, (6.30% fixed rate until 01/09/2028; 12 mo. USD CMT + 2.450% thereafter)(1)(7) | 208,171 | |
1,375,000 | 7.77%, 11/16/2028, (7.77% fixed rate until 11/16/2027; 12 mo. USD CMT + 3.450% thereafter)(1)(7) | 1,518,157 | |
Truist Financial Corp. | |||
590,000 | 4.87%, 01/26/2029 | 592,481 | |
170,000 | 5.12%, 01/26/2034 | 171,705 | |
UBS Group AG | |||
755,000 | 4.75%, 05/12/2028, (4.75% fixed rate until 05/12/2027; 12 mo. USD CMT + 1.750% thereafter)(1)(7) | 741,073 | |
395,000 | 5.71%, 01/12/2027 | 399,651 | |
Wells Fargo & Co. | |||
89,000 | 2.19%, 04/30/2026, (2.19% fixed rate until 04/30/2025; 3 mo. USD SOFR + 2.000% thereafter)(7) | 83,686 | |
200,000 | 2.88%, 10/30/2030, (2.88% fixed rate until 10/30/2029; 3 mo. USD SOFR + 1.432% thereafter)(7) | 176,578 | |
790,000 | 3.00%, 04/22/2026 | 749,208 | |
254,000 | 3.00%, 10/23/2026 | 239,404 | |
1,153,000 | 3.35%, 03/02/2033, (3.35% fixed rate until 03/02/2032; 3 mo. USD SOFR + 1.500% thereafter)(7) | 1,014,865 | |
713,000 | 3.91%, 04/25/2026, (3.91% fixed rate until 04/25/2025; 3 mo. USD SOFR + 1.320% thereafter)(7) | 696,247 | |
664,000 | 4.81%, 07/25/2028, (4.81% fixed rate until 07/25/2027; 3 mo. USD SOFR + 1.980% thereafter)(7) | 661,537 | |
2,738,000 | 4.90%, 07/25/2033, (4.90% fixed rate until 07/25/2032; 3 mo. USD SOFR + 2.100% thereafter)(7) | 2,720,659 | |
322,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD SOFR + 4.502% thereafter)(7) | 315,533 | |
62,690,048 | |||
Commercial Services - 1.0% | |||
Ashtead Capital, Inc. | |||
425,000 | 4.00%, 05/01/2028(1) | 398,933 | |
1,400,000 | 4.38%, 08/15/2027(1) | 1,340,125 | |
400,000 | 5.50%, 08/11/2032(1) | 400,223 | |
205,000 | 5.55%, 05/30/2033 | 205,333 | |
1,971,000 | Gartner, Inc. 4.50%, 07/01/2028(1) | 1,872,430 | |
Howard University (AGM Insured) | |||
100,000 | 2.39%, 10/01/2027 | 88,733 | |
100,000 | 2.70%, 10/01/2029 | 86,304 | |
325,000 | 2.80%, 10/01/2030 | 277,014 | |
105,000 | 2.90%, 10/01/2031 | 88,107 | |
265,000 | 3.48%, 10/01/2041 | 205,010 |
66 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Commercial Services - 1.0% - (continued) | |||
Service Corp. International | |||
$ 1,855,000 | 3.38%, 08/15/2030 | $ 1,558,831 | |
2,781,000 | 5.13%, 06/01/2029 | 2,663,093 | |
United Rentals North America, Inc. | |||
270,000 | 3.75%, 01/15/2032 | 232,494 | |
80,000 | 4.88%, 01/15/2028 | 77,350 | |
9,493,980 | |||
Construction Materials - 0.5% | |||
2,330,000 | Builders FirstSource, Inc. 5.00%, 03/01/2030(1) | 2,172,580 | |
Standard Industries, Inc. | |||
549,000 | 3.38%, 01/15/2031(1) | 436,081 | |
2,610,000 | 4.38%, 07/15/2030(1) | 2,231,207 | |
155,000 | 4.75%, 01/15/2028(1) | 145,204 | |
4,985,072 | |||
Diversified Financial Services - 0.3% | |||
Capital One Financial Corp. | |||
1,605,000 | 5.25%, 07/26/2030, (5.25% fixed rate until 07/26/2029; 3 mo. USD SOFR + 2.600% thereafter)(7) | 1,574,747 | |
19,000 | 5.27%, 05/10/2033, (5.27% fixed rate until 05/10/2032; 3 mo. USD SOFR + 2.370% thereafter)(7) | 18,553 | |
130,000 | 5.47%, 02/01/2029, (5.47% fixed rate until 02/01/2028; 3 mo. USD SOFR + 2.080% thereafter)(7)(8) | 130,603 | |
Intercontinental Exchange, Inc. | |||
240,000 | 4.35%, 06/15/2029 | 236,409 | |
110,000 | 4.60%, 03/15/2033 | 108,638 | |
90,000 | 4.95%, 06/15/2052 | 88,256 | |
275,000 | OneMain Finance Corp. 6.13%, 03/15/2024 | 272,654 | |
600,000 | Synchrony Financial 7.25%, 02/02/2033 | 599,095 | |
3,028,955 | |||
Electric - 2.4% | |||
693,000 | AES Corp. 3.30%, 07/15/2025(1) | 660,503 | |
Alabama Power Co. | |||
470,000 | 3.45%, 10/01/2049 | 359,639 | |
333,000 | 4.15%, 08/15/2044 | 292,542 | |
Berkshire Hathaway Energy Co. | |||
275,000 | 1.65%, 05/15/2031 | 220,296 | |
15,000 | 4.50%, 02/01/2045 | 13,879 | |
Cleco Corporate Holdings LLC | |||
784,000 | 3.38%, 09/15/2029 | 674,488 | |
97,000 | 4.97%, 05/01/2046 | 85,673 | |
Consolidated Edison Co. of New York, Inc. | |||
220,000 | 3.20%, 12/01/2051 | 162,650 | |
12,000 | 3.95%, 04/01/2050 | 10,199 | |
160,000 | 4.00%, 11/15/2057 | 131,794 | |
Dominion Energy, Inc. | |||
95,000 | 3.38%, 04/01/2030 | 86,386 | |
975,000 | 5.38%, 11/15/2032 | 1,000,499 | |
765,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 694,897 | |
Duke Energy Corp. | |||
1,143,000 | 2.55%, 06/15/2031 | 967,120 | |
77,700 | 3.75%, 09/01/2046 | 61,418 | |
750,000 | 4.50%, 08/15/2032 | 727,399 | |
Duke Energy Indiana LLC | |||
220,000 | 2.75%, 04/01/2050 | 148,322 | |
921,000 | 3.25%, 10/01/2049 | 679,479 | |
Duke Energy Progress LLC | |||
107,000 | 3.70%, 10/15/2046 | 86,215 | |
225,000 | 4.00%, 04/01/2052 | 190,983 | |
255,000 | Edison International 6.95%, 11/15/2029 | 276,286 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Electric - 2.4% - (continued) | |||
$ 490,000 | Emera, Inc. 6.75%, 06/15/2076, (6.75% fixed rate until 06/15/2026; 3 mo. USD LIBOR + 5.440% thereafter)(7) | $ 481,245 | |
525,000 | Enel Finance International N.V. 5.00%, 06/15/2032(1) | 499,762 | |
Evergy Metro, Inc. | |||
182,000 | 2.25%, 06/01/2030 | 154,457 | |
21,000 | 4.13%, 04/01/2049 | 17,983 | |
Evergy, Inc. | |||
368,000 | 2.45%, 09/15/2024 | 352,329 | |
208,000 | 2.90%, 09/15/2029 | 184,539 | |
Georgia Power Co. | |||
473,000 | 4.30%, 03/15/2042 | 424,180 | |
70,000 | 4.70%, 05/15/2032 | 69,348 | |
248,000 | IPALCO Enterprises, Inc. 3.70%, 09/01/2024 | 241,255 | |
ITC Holdings Corp. | |||
621,000 | 2.95%, 05/14/2030(1) | 543,835 | |
55,000 | 3.25%, 06/30/2026 | 52,146 | |
9,000 | 3.35%, 11/15/2027 | 8,511 | |
National Rural Utilities Cooperative Finance Corp. | |||
169,000 | 3.40%, 02/07/2028 | 160,042 | |
5,000 | 3.45%, 06/15/2025 | 4,849 | |
680,000 | 4.80%, 03/15/2028 | 685,130 | |
NextEra Energy Capital Holdings, Inc. | |||
15,000 | 1.90%, 06/15/2028 | 13,111 | |
1,200,000 | 4.63%, 07/15/2027 | 1,200,049 | |
890,000 | NRG Energy, Inc. 2.45%, 12/02/2027(1) | 762,772 | |
Oglethorpe Power Corp. | |||
484,000 | 4.50%, 04/01/2047(1) | 410,840 | |
17,000 | 5.05%, 10/01/2048 | 15,544 | |
Pacific Gas and Electric Co. | |||
830,500 | 2.50%, 02/01/2031 | 668,494 | |
245,000 | 4.40%, 03/01/2032 | 221,466 | |
464,000 | 4.50%, 07/01/2040 | 380,718 | |
2,109,000 | 4.95%, 07/01/2050 | 1,750,668 | |
290,000 | 5.25%, 03/01/2052 | 250,595 | |
750,000 | 5.90%, 06/15/2032 | 752,289 | |
190,000 | 6.15%, 01/15/2033 | 194,791 | |
Puget Energy, Inc. | |||
40,000 | 2.38%, 06/15/2028 | 35,224 | |
130,000 | 3.65%, 05/15/2025 | 124,518 | |
620,000 | 4.10%, 06/15/2030 | 570,672 | |
Sempra Energy | |||
713,000 | 3.40%, 02/01/2028 | 674,789 | |
605,000 | 4.00%, 02/01/2048 | 505,128 | |
79,000 | 4.13%, 04/01/2052, (4.13% fixed rate until 01/01/2027; 5 year USD CMT + 2.868% thereafter)(7) | 68,694 | |
Southern California Edison Co. | |||
930,000 | 2.75%, 02/01/2032 | 803,117 | |
13,000 | 4.05%, 03/15/2042 | 10,977 | |
680,000 | 4.70%, 06/01/2027 | 682,209 | |
270,000 | 5.85%, 11/01/2027 | 283,775 | |
Southern Co. | |||
100,000 | 0.60%, 02/26/2024 | 95,528 | |
1,213,000 | 3.25%, 07/01/2026 | 1,152,220 | |
5,000 | 4.25%, 07/01/2036 | 4,584 | |
153,000 | Union Electric Co. 4.00%, 04/01/2048 | 129,983 | |
Xcel Energy, Inc. | |||
100,000 | 1.75%, 03/15/2027 | 89,839 | |
59,000 | 4.00%, 06/15/2028 | 57,477 | |
408,000 | 4.60%, 06/01/2032 | 402,910 | |
23,723,259 |
67 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Energy-Alternate Sources - 0.2% | |||
$ 1,430,000 | Energo-Pro AS 8.50%, 02/04/2027(1) | $ 1,358,500 | |
470,000 | FS Luxembourg S.a.r.l. 10.00%, 12/15/2025(1) | 474,679 | |
545,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(1) | 520,238 | |
2,353,417 | |||
Engineering & Construction - 0.2% | |||
735,000 | IHS Holding Ltd. 6.25%, 11/29/2028(1) | 600,554 | |
International Airport Finance S.A. | |||
1,124,666 | 12.00%, 03/15/2033(1)(9) | 1,127,982 | |
518,324 | 12.00%, 03/15/2033(6) | 519,852 | |
2,248,388 | |||
Entertainment - 0.5% | |||
Warnermedia Holdings, Inc. | |||
958,000 | 4.28%, 03/15/2032(1) | 849,192 | |
2,070,000 | 5.14%, 03/15/2052(1) | 1,710,715 | |
2,730,000 | WMG Acquisition Corp. 3.88%, 07/15/2030(1) | 2,406,495 | |
4,966,402 | |||
Environmental Control - 0.2% | |||
1,971,000 | Clean Harbors, Inc. 4.88%, 07/15/2027(1) | 1,901,581 | |
Food - 0.2% | |||
Conagra Brands, Inc. | |||
107,000 | 4.30%, 05/01/2024 | 105,863 | |
135,000 | 5.40%, 11/01/2048 | 132,458 | |
245,000 | Mondelez International, Inc. 3.00%, 03/17/2032 | 216,631 | |
NBM U.S. Holdings, Inc. | |||
835,000 | 7.00%, 05/14/2026(1) | 834,340 | |
575,000 | 7.00%, 05/14/2026(6) | 574,546 | |
1,863,838 | |||
Gas - 0.1% | |||
NiSource, Inc. | |||
52,000 | 1.70%, 02/15/2031 | 41,240 | |
76,000 | 2.95%, 09/01/2029 | 67,921 | |
934,000 | 3.60%, 05/01/2030 | 861,839 | |
971,000 | |||
Hand/Machine Tools - 0.2% | |||
Regal Rexnord Corp. | |||
1,425,000 | 6.05%, 04/15/2028 | 1,444,230 | |
650,000 | 6.30%, 02/15/2030(1) | 661,368 | |
2,105,598 | |||
Healthcare - Products - 0.7% | |||
Alcon Finance Corp. | |||
806,000 | 2.75%, 09/23/2026(1) | 748,185 | |
435,000 | 3.00%, 09/23/2029(1) | 387,544 | |
255,000 | 5.38%, 12/06/2032(1) | 266,215 | |
200,000 | 5.75%, 12/06/2052(1) | 214,426 | |
1,550,000 | Avantor Funding, Inc. 4.63%, 07/15/2028(1) | 1,458,628 | |
100,000 | Baxter International, Inc. 2.60%, 08/15/2026 | 93,026 | |
995,000 | Baxter International, Inc. 2.54%, 02/01/2032 | 811,990 | |
GE HealthCare Technologies, Inc. | |||
585,000 | 5.65%, 11/15/2027(1) | 604,871 | |
355,000 | 5.86%, 03/15/2030(1) | 375,986 | |
GSK Consumer Healthcare Capital U.S. LLC | |||
730,000 | 3.38%, 03/24/2029 | 671,827 | |
255,000 | 3.63%, 03/24/2032 | 232,727 | |
647,000 | Hologic, Inc. 4.63%, 02/01/2028(1) | 616,573 | |
6,481,998 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Healthcare - Services - 0.8% | |||
Centene Corp. | |||
$ 470,000 | 2.45%, 07/15/2028 | $ 407,415 | |
215,000 | 4.25%, 12/15/2027 | 206,333 | |
1,805,000 | 4.63%, 12/15/2029 | 1,711,086 | |
Humana, Inc. | |||
100,000 | 1.35%, 02/03/2027 | 87,918 | |
945,000 | 3.70%, 03/23/2029 | 888,566 | |
5,000 | 4.63%, 12/01/2042 | 4,588 | |
Kaiser Foundation Hospitals | |||
1,000 | 2.81%, 06/01/2041 | 769 | |
795,000 | 3.00%, 06/01/2051 | 583,047 | |
352,000 | Sutter Health 3.36%, 08/15/2050 | 262,526 | |
UnitedHealth Group, Inc. | |||
100,000 | 1.15%, 05/15/2026 | 90,413 | |
1,043,000 | 2.75%, 05/15/2040 | 805,157 | |
11,000 | 3.85%, 06/15/2028 | 10,722 | |
738,000 | 4.00%, 05/15/2029 | 722,160 | |
110,000 | 4.45%, 12/15/2048 | 103,714 | |
125,000 | 4.95%, 05/15/2062 | 124,773 | |
1,000,000 | 5.25%, 02/15/2028 | 1,040,656 | |
740,000 | 5.35%, 02/15/2033 | 785,823 | |
60,000 | 5.88%, 02/15/2053 | 68,271 | |
140,000 | 6.05%, 02/15/2063 | 162,657 | |
8,066,594 | |||
Home Builders - 0.1% | |||
112,000 | PulteGroup, Inc. 5.50%, 03/01/2026 | 112,970 | |
Taylor Morrison Communities, Inc. | |||
170,000 | 5.13%, 08/01/2030(1) | 155,465 | |
1,191,000 | 5.75%, 01/15/2028(1) | 1,155,288 | |
65,000 | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc. 5.63%, 03/01/2024(1) | 64,625 | |
1,488,348 | |||
Insurance - 0.6% | |||
Athene Global Funding | |||
890,000 | 2.65%, 10/04/2031(1) | 707,976 | |
1,810,000 | 2.72%, 01/07/2029(1) | 1,548,326 | |
Corebridge Financial, Inc. | |||
150,000 | 3.90%, 04/05/2032(1) | 136,266 | |
2,060,000 | 6.88%, 12/15/2052, (6.88% fixed rate until 09/15/2027; 5 year USD CMT + 3.846% thereafter)(1)(7) | 2,038,480 | |
1,639,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 1,404,760 | |
260,000 | Marsh & McLennan Cos., Inc. 4.75%, 03/15/2039 | 254,691 | |
6,090,499 | |||
Internet - 0.6% | |||
3,015,000 | Gen Digital, Inc. 5.00%, 04/15/2025(1) | 2,954,700 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. | |||
775,000 | 3.50%, 03/01/2029(1) | 668,437 | |
2,383,000 | 5.25%, 12/01/2027(1) | 2,306,220 | |
5,929,357 | |||
Iron/Steel - 0.1% | |||
495,000 | ArcelorMittal S.A. 6.80%, 11/29/2032 | 519,029 | |
Metinvest B.V. | |||
EUR 440,000 | 5.63%, 06/17/2025(1) | 258,953 | |
$ 200,000 | 7.75%, 10/17/2029(1) | 97,758 | |
Steel Dynamics, Inc. | |||
45,000 | 3.25%, 10/15/2050 | 32,695 | |
195,000 | 3.45%, 04/15/2030 | 178,810 | |
1,087,245 |
68 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
IT Services - 0.2% | |||
$ 2,505,000 | Booz Allen Hamilton, Inc. 3.88%, 09/01/2028(1) | $ 2,266,349 | |
Machinery-Diversified - 0.1% | |||
868,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 755,614 | |
Media - 1.4% | |||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||
10,000 | 3.50%, 06/01/2041 | 7,000 | |
529,000 | 3.50%, 03/01/2042 | 365,070 | |
75,000 | 4.20%, 03/15/2028 | 71,221 | |
1,234,000 | 5.05%, 03/30/2029 | 1,199,759 | |
997,000 | 5.13%, 07/01/2049 | 820,824 | |
930,000 | 5.38%, 05/01/2047 | 789,899 | |
802,000 | 5.75%, 04/01/2048 | 710,334 | |
1,204,000 | 6.48%, 10/23/2045 | 1,181,161 | |
Comcast Corp. | |||
100,000 | 2.65%, 08/15/2062 | 62,206 | |
2,000 | 2.89%, 11/01/2051 | 1,386 | |
201,000 | 3.20%, 07/15/2036 | 171,531 | |
473,000 | 3.75%, 04/01/2040 | 416,784 | |
Cox Communications, Inc. | |||
645,000 | 2.60%, 06/15/2031(1) | 533,804 | |
67,000 | 3.15%, 08/15/2024(1) | 64,979 | |
Discovery Communications LLC | |||
75,600 | 3.95%, 03/20/2028 | 70,523 | |
15,000 | 4.00%, 09/15/2055 | 10,253 | |
444,000 | 5.20%, 09/20/2047 | 368,985 | |
793,000 | 5.30%, 05/15/2049 | 668,559 | |
1,173,000 | 6.35%, 06/01/2040 | 1,157,802 | |
Paramount Global | |||
23,000 | 4.00%, 01/15/2026 | 22,291 | |
55,000 | 4.20%, 06/01/2029 | 50,924 | |
680,000 | 4.20%, 05/19/2032 | 584,534 | |
126,000 | 4.38%, 03/15/2043 | 92,496 | |
79,000 | 4.90%, 08/15/2044 | 61,840 | |
1,664,000 | 4.95%, 01/15/2031 | 1,532,399 | |
595,000 | 5.25%, 04/01/2044 | 482,307 | |
Sirius XM Radio, Inc. | |||
2,075,000 | 3.13%, 09/01/2026(1) | 1,867,418 | |
75,000 | 4.00%, 07/15/2028(1) | 66,758 | |
141,000 | 4.13%, 07/01/2030(1) | 120,738 | |
13,553,785 | |||
Mining - 0.1% | |||
1,085,000 | Anglo American Capital plc 2.63%, 09/10/2030(1) | 919,832 | |
508,000 | Freeport Indonesia PT 5.32%, 04/14/2032(1) | 482,662 | |
1,402,494 | |||
Office/Business Equipment - 0.3% | |||
CDW LLC / CDW Finance Corp. | |||
225,000 | 2.67%, 12/01/2026 | 202,097 | |
2,674,000 | 3.25%, 02/15/2029 | 2,316,229 | |
210,000 | 3.28%, 12/01/2028 | 184,384 | |
195,000 | 3.57%, 12/01/2031 | 167,495 | |
19,000 | 4.25%, 04/01/2028 | 17,642 | |
2,887,847 | |||
Oil & Gas - 1.2% | |||
Aker BP ASA | |||
420,000 | 3.10%, 07/15/2031(1) | 355,919 | |
165,000 | 4.00%, 01/15/2031(1) | 150,059 | |
BP Capital Markets America, Inc. | |||
390,000 | 2.94%, 06/04/2051 | 277,499 | |
31,000 | 3.00%, 02/24/2050 | 22,477 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Oil & Gas - 1.2% - (continued) | |||
$ 100,000 | 3.06%, 06/17/2041 | $ 79,449 | |
731,000 | 3.63%, 04/06/2030 | 693,943 | |
181,000 | ConocoPhillips Co. 4.03%, 03/15/2062 | 154,750 | |
287,000 | Continental Resources, Inc. 5.75%, 01/15/2031(1) | 281,084 | |
Diamondback Energy, Inc. | |||
210,000 | 6.25%, 03/15/2033 | 222,979 | |
480,000 | 6.25%, 03/15/2053 | 499,080 | |
Ecopetrol S.A. | |||
780,000 | 4.63%, 11/02/2031 | 616,902 | |
725,000 | 8.88%, 01/13/2033 | 744,212 | |
Energean Israel Finance Ltd. | |||
495,000 | 4.50%, 03/30/2024(1)(6) | 482,625 | |
709,000 | 5.88%, 03/30/2031(1)(6) | 639,873 | |
Equinor ASA | |||
175,000 | 3.25%, 11/18/2049 | 136,342 | |
200,000 | 3.70%, 04/06/2050 | 169,196 | |
5,000 | 5.10%, 08/17/2040 | 5,191 | |
719,000 | Hess Corp. 7.30%, 08/15/2031 | 803,380 | |
1,225,000 | Leviathan Bond Ltd. 6.50%, 06/30/2027(1)(6) | 1,205,094 | |
Ovintiv, Inc. | |||
180,000 | 6.50%, 08/15/2034 | 190,974 | |
545,000 | 6.63%, 08/15/2037 | 572,577 | |
Shell International Finance B.V. | |||
8,000 | 2.88%, 11/26/2041 | 6,184 | |
552,000 | 3.00%, 11/26/2051 | 402,815 | |
99,000 | 3.25%, 04/06/2050 | 76,731 | |
22,000 | 3.88%, 11/13/2028 | 21,590 | |
600,000 | Tullow Oil plc 7.00%, 03/01/2025(1) | 426,461 | |
1,170,000 | Var Energi ASA 7.50%, 01/15/2028(1) | 1,221,219 | |
2,025,000 | Viper Energy Partners L.P. 5.38%, 11/01/2027(1) | 1,959,187 | |
12,417,792 | |||
Packaging & Containers - 0.3% | |||
3,265,000 | Ball Corp. 4.00%, 11/15/2023 | 3,218,604 | |
Pharmaceuticals - 0.0% | |||
CVS Health Corp. | |||
315,000 | 4.13%, 04/01/2040 | 274,107 | |
52,000 | 5.13%, 07/20/2045 | 49,828 | |
323,935 | |||
Pipelines - 1.0% | |||
180,000 | DCP Midstream Operating L.P. 3.88%, 03/15/2023 | 179,282 | |
Energy Transfer L.P. | |||
75,100 | 4.25%, 04/01/2024 | 74,239 | |
415,000 | 5.15%, 02/01/2043 | 370,256 | |
540,000 | 5.55%, 02/15/2028 | 548,764 | |
415,000 | 5.75%, 02/15/2033 | 426,139 | |
136,000 | 5.95%, 12/01/2025 | 138,968 | |
9,000 | 6.10%, 02/15/2042 | 8,825 | |
Enterprise Products Operating LLC | |||
7,000 | 4.90%, 05/15/2046 | 6,565 | |
245,000 | 4.95%, 10/15/2054 | 224,001 | |
310,000 | 5.35%, 01/31/2033 | 321,472 | |
EQM Midstream Partners L.P. | |||
60,000 | 5.50%, 07/15/2028 | 55,350 | |
55,000 | 6.50%, 07/01/2027(1) | 54,011 | |
551,889 | Galaxy Pipeline Assets Bidco Ltd. 2.94%, 09/30/2040(1) | 450,820 | |
MPLX L.P. | |||
286,000 | 1.75%, 03/01/2026 | 259,757 | |
5,000 | 4.90%, 04/15/2058 | 4,227 | |
505,000 | 4.95%, 09/01/2032 | 495,902 | |
480,000 | 4.95%, 03/14/2052 | 422,804 |
69 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Pipelines - 1.0% - (continued) | |||
$ 484,000 | NGPL PipeCo LLC 3.25%, 07/15/2031(1) | $ 408,552 | |
ONEOK, Inc. | |||
747,000 | 3.10%, 03/15/2030 | 655,522 | |
465,000 | 3.40%, 09/01/2029 | 415,945 | |
205,000 | 4.55%, 07/15/2028 | 199,635 | |
60,000 | 6.00%, 06/15/2035 | 59,765 | |
385,000 | 6.10%, 11/15/2032 | 403,859 | |
Plains All American Pipeline L.P. / PAA Finance Corp. | |||
794,000 | 3.80%, 09/15/2030 | 719,760 | |
214,000 | 4.90%, 02/15/2045 | 179,500 | |
Targa Resources Corp. | |||
503,000 | 4.20%, 02/01/2033 | 454,624 | |
330,000 | 6.13%, 03/15/2033 | 343,348 | |
465,000 | 6.25%, 07/01/2052 | 468,644 | |
Transcontinental Gas Pipe Line Co. LLC | |||
365,000 | 3.25%, 05/15/2030 | 328,224 | |
35,000 | 4.00%, 03/15/2028 | 33,730 | |
Williams Cos., Inc. | |||
104,000 | 3.90%, 01/15/2025 | 101,817 | |
85,000 | 4.00%, 09/15/2025 | 83,068 | |
60,000 | 4.50%, 11/15/2023 | 59,792 | |
535,000 | 4.65%, 08/15/2032 | 520,702 | |
9,477,869 | |||
Real Estate Investment Trusts - 0.6% | |||
American Tower Corp. | |||
100,000 | 1.45%, 09/15/2026 | 88,478 | |
345,000 | 3.65%, 03/15/2027 | 327,258 | |
Crown Castle, Inc. | |||
695,000 | 2.90%, 03/15/2027 | 645,050 | |
5,000 | 4.75%, 05/15/2047 | 4,492 | |
600,000 | 5.00%, 01/11/2028 | 605,363 | |
605,000 | EPR Properties 4.95%, 04/15/2028 | 546,096 | |
GLP Capital L.P. / GLP Financing II, Inc. | |||
6,000 | 4.00%, 01/15/2030 | 5,420 | |
890,000 | 4.00%, 01/15/2031 | 785,610 | |
260,000 | 5.30%, 01/15/2029 | 253,172 | |
158,000 | 5.75%, 06/01/2028 | 160,937 | |
675,000 | SBA Tower Trust 2.84%, 01/15/2050(1) | 637,844 | |
VICI Properties L.P. | |||
1,293,000 | 4.95%, 02/15/2030 | 1,249,525 | |
350,000 | 5.13%, 05/15/2032 | 334,810 | |
5,644,055 | |||
Retail - 0.7% | |||
70,000 | AutoZone, Inc. 3.13%, 04/21/2026 | 66,802 | |
FirstCash, Inc. | |||
2,699,000 | 4.63%, 09/01/2028(1) | 2,411,846 | |
810,000 | 5.63%, 01/01/2030(1) | 741,095 | |
Gap, Inc. | |||
2,024,000 | 3.63%, 10/01/2029(1) | 1,553,420 | |
1,726,000 | 3.88%, 10/01/2031(1) | 1,285,715 | |
O'Reilly Automotive, Inc. | |||
22,000 | 4.35%, 06/01/2028 | 21,784 | |
390,000 | 4.70%, 06/15/2032 | 388,169 | |
6,468,831 | |||
Semiconductors - 0.5% | |||
Broadcom, Inc. | |||
100,000 | 3.19%, 11/15/2036(1) | 76,176 | |
1,026,000 | 3.42%, 04/15/2033(1) | 858,221 | |
110,000 | 3.63%, 10/15/2024 | 107,731 | |
1,270,000 | 4.00%, 04/15/2029(1) | 1,186,597 | |
Intel Corp. | |||
669,000 | 3.05%, 08/12/2051 | 460,346 | |
615,000 | 4.90%, 08/05/2052 | 577,694 |
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Semiconductors - 0.5% - (continued) | |||
Marvell Technology, Inc. | |||
$ 611,000 | 2.45%, 04/15/2028 | $ 534,507 | |
265,000 | 2.95%, 04/15/2031 | 223,523 | |
40,000 | 4.88%, 06/22/2028 | 39,461 | |
NVIDIA Corp. | |||
628,000 | 3.50%, 04/01/2040 | 543,719 | |
5,000 | 3.50%, 04/01/2050 | 4,068 | |
80,000 | NXP B.V. / NXP Funding LLC 5.55%, 12/01/2028 | 81,987 | |
NXP B.V. / NXP Funding LLC / NXP USA, Inc. | |||
95,000 | 3.15%, 05/01/2027 | 88,404 | |
101,000 | 4.30%, 06/18/2029 | 96,935 | |
Qorvo, Inc. | |||
245,000 | 3.38%, 04/01/2031(1) | 202,612 | |
19,000 | 4.38%, 10/15/2029 | 17,147 | |
5,099,128 | |||
Software - 1.3% | |||
3,175,000 | Black Knight InfoServ LLC 3.63%, 09/01/2028(1) | 2,824,353 | |
752,000 | Fair Isaac Corp. 4.00%, 06/15/2028(1) | 693,472 | |
MSCI, Inc. | |||
584,000 | 3.63%, 11/01/2031(1) | 499,211 | |
341,000 | 3.88%, 02/15/2031(1) | 300,830 | |
395,000 | 4.00%, 11/15/2029(1) | 359,450 | |
Open Text Corp. | |||
2,395,000 | 3.88%, 12/01/2029(1) | 1,991,982 | |
895,000 | 6.90%, 12/01/2027(1) | 917,375 | |
380,000 | Open Text Holdings, Inc. 4.13%, 12/01/2031(1) | 308,951 | |
Oracle Corp. | |||
151,000 | 3.60%, 04/01/2040 | 119,236 | |
614,000 | 3.60%, 04/01/2050 | 449,319 | |
6,000 | 3.80%, 11/15/2037 | 5,024 | |
1,144,000 | 3.85%, 04/01/2060 | 820,831 | |
95,000 | 4.00%, 07/15/2046 | 75,004 | |
295,000 | 4.00%, 11/15/2047 | 232,577 | |
35,000 | 4.13%, 05/15/2045 | 28,281 | |
888,000 | 6.15%, 11/09/2029 | 947,928 | |
2,260,000 | SS&C Technologies, Inc. 5.50%, 09/30/2027(1) | 2,173,574 | |
12,747,398 | |||
Telecommunications - 0.5% | |||
AT&T, Inc. | |||
781,000 | 3.55%, 09/15/2055 | 568,455 | |
45,000 | 3.65%, 06/01/2051 | 34,391 | |
1,787,000 | 3.80%, 12/01/2057 | 1,347,573 | |
5,000 | 4.75%, 05/15/2046 | 4,586 | |
Rogers Communications, Inc. | |||
100,000 | 2.90%, 11/15/2026 | 92,972 | |
35,000 | 3.80%, 03/15/2032(1) | 31,420 | |
6,000 | 4.30%, 02/15/2048 | 4,852 | |
565,000 | 4.55%, 03/15/2052(1) | 472,045 | |
T-Mobile USA, Inc. | |||
647,000 | 2.05%, 02/15/2028 | 568,717 | |
100,000 | 3.75%, 04/15/2027 | 96,034 | |
76,000 | 3.88%, 04/15/2030 | 70,979 | |
230,000 | 5.20%, 01/15/2033 | 234,023 | |
5,000 | 5.80%, 09/15/2062 | 5,218 | |
Verizon Communications, Inc. | |||
12,000 | 1.75%, 01/20/2031 | 9,643 | |
934,000 | 2.36%, 03/15/2032 | 767,067 | |
100,000 | 2.55%, 03/21/2031 | 84,937 | |
744,000 | 2.65%, 11/20/2040 | 535,262 | |
35,000 | 2.88%, 11/20/2050 | 23,534 | |
4,951,708 |
70 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
CORPORATE BONDS - 25.2% - (continued) | |||
Trucking & Leasing - 0.4% | |||
$ 1,615,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | $ 1,524,638 | |
Penske Truck Leasing Co. L.P. / PTL Finance Corp. | |||
885,000 | 2.70%, 11/01/2024(1) | 843,542 | |
955,000 | 4.00%, 07/15/2025(1) | 922,605 | |
600,000 | 4.40%, 07/01/2027(1) | 584,213 | |
3,874,998 | |||
Total Corporate Bonds (cost $270,820,578) | $ 250,874,174 | ||
FOREIGN GOVERNMENT OBLIGATIONS - 3.2% | |||
Angola - 0.1% | |||
Angolan Government International Bond | |||
580,000 | 8.00%, 11/26/2029(6) | $ 537,637 | |
290,000 | 8.75%, 04/14/2032(1) | 267,864 | |
805,501 | |||
Benin - 0.1% | |||
Benin Government International Bond | |||
EUR 1,130,000 | 4.95%, 01/22/2035(1) | 894,680 | |
560,000 | 4.95%, 01/22/2035(6) | 443,381 | |
1,338,061 | |||
Bermuda - 0.1% | |||
Bermuda Government International Bond | |||
$ 455,000 | 2.38%, 08/20/2030(1) | 389,025 | |
825,000 | 5.00%, 07/15/2032(1) | 828,267 | |
1,217,292 | |||
Brazil - 0.4% | |||
BRL 22,100,000 | Brazil Notas do Tesouro Nacional 10.00%, 01/01/2031 | 3,722,616 | |
Chile - 0.1% | |||
EUR 935,000 | Chile Government International Bond 1.25%, 01/22/2051 | 555,496 | |
Colombia - 0.2% | |||
Colombia Government International Bond | |||
$ 1,175,000 | 5.00%, 06/15/2045 | 823,280 | |
200,000 | 5.20%, 05/15/2049 | 140,693 | |
1,410,000 | 5.63%, 02/26/2044 | 1,072,870 | |
2,036,843 | |||
Egypt - 0.0% | |||
200,000 | Egypt Government International Bond 8.50%, 01/31/2047(6) | 140,779 | |
Ghana - 0.0% | |||
204,000 | Ghana Government International Bond 6.38%, 02/11/2027(1) | 75,480 | |
Hungary - 0.3% | |||
Hungary Government International Bond | |||
EUR 2,980,000 | 1.63%, 04/28/2032(6) | 2,453,304 | |
$ 525,000 | 6.75%, 09/25/2052(1) | 553,875 | |
3,007,179 | |||
Indonesia - 0.2% | |||
Indonesia Government International Bond | |||
EUR 2,600,000 | 1.10%, 03/12/2033 | 2,100,460 | |
100,000 | 2.15%, 07/18/2024(6) | 106,413 | |
145,000 | 2.63%, 06/14/2023(6) | 157,080 | |
2,363,953 | |||
Ivory Coast - 0.1% | |||
845,000 | Ivory Coast Government International Bond 4.88%, 01/30/2032(6) | 718,293 |
Shares or Principal Amount | Market Value† | ||
FOREIGN GOVERNMENT OBLIGATIONS - 3.2% - (continued) | |||
Mexico - 0.3% | |||
Mexico Government International Bond | |||
EUR 200,000 | 1.13%, 01/17/2030 | $ 179,272 | |
3,000,000 | 1.45%, 10/25/2033 | 2,379,818 | |
$ 330,000 | 6.35%, 02/09/2035 | 350,283 | |
2,909,373 | |||
North Macedonia - 0.2% | |||
North Macedonia Government International Bond | |||
EUR 770,000 | 2.75%, 01/18/2025(6) | 782,708 | |
985,000 | 3.68%, 06/03/2026(1) | 988,992 | |
500,000 | 3.68%, 06/03/2026(6) | 502,027 | |
2,273,727 | |||
Panama - 0.2% | |||
Panama Government International Bond | |||
$ 2,645,000 | 3.87%, 07/23/2060 | 1,768,055 | |
400,000 | 4.50%, 01/19/2063 | 298,044 | |
2,066,099 | |||
Philippines - 0.2% | |||
Philippine Government International Bond | |||
EUR 1,400,000 | 1.20%, 04/28/2033 | 1,173,924 | |
420,000 | 1.75%, 04/28/2041 | 306,162 | |
$ 305,000 | 5.00%, 07/17/2033 | 309,907 | |
1,789,993 | |||
Romania - 0.5% | |||
Romanian Government International Bond | |||
EUR 1,265,000 | 2.63%, 12/02/2040(1) | 817,072 | |
2,145,000 | 2.75%, 04/14/2041(6) | 1,387,813 | |
750,000 | 3.38%, 02/08/2038(6) | 576,324 | |
1,589,000 | 4.63%, 04/03/2049(6) | 1,286,748 | |
$ 392,000 | 7.63%, 01/17/2053 | 422,488 | |
4,490,445 | |||
Saudi Arabia - 0.1% | |||
Saudi Government International Bond | |||
EUR 1,325,000 | 2.00%, 07/09/2039(6) | 1,072,067 | |
$ 250,000 | 5.00%, 01/18/2053(1) | 238,185 | |
1,310,252 | |||
United Arab Emirates - 0.1% | |||
1,460,000 | Finance Department Government of Sharjah 3.63%, 03/10/2033(1) | 1,222,137 | |
Total Foreign Government Obligations (cost $43,693,882) | $ 32,043,519 | ||
MUNICIPAL BONDS - 1.2% | |||
Development - 0.2% | |||
1,705,000 | New York Transportation Dev Corp. Rev 4.25%, 09/01/2035 | $ 1,667,836 | |
General - 0.4% | |||
1,630,000 | County of Riverside, CA, Rev 3.07%, 02/15/2028 | 1,515,237 | |
1,430,000 | Florida State Board of Administration Finance Corp., Rev 1.26%, 07/01/2025 | 1,319,995 | |
1,530,000 | Philadelphia, PA, Auth Industrial Dev Rev, (NATL Insured) 6.55%, 10/15/2028 | 1,641,096 | |
4,476,328 | |||
General Obligation - 0.1% | |||
10,000 | California State, GO Taxable 7.55%, 04/01/2039 | 13,316 | |
335,000 | State of California, GO Taxable 7.30%, 10/01/2039 | 426,888 |
71 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
MUNICIPAL BONDS - 1.2% - (continued) | |||
General Obligation - 0.1% - (continued) | |||
State of Illinois, GO | |||
$ 276,818 | 4.95%, 06/01/2023 | $ 276,784 | |
190,000 | 6.88%, 07/01/2025 | 194,789 | |
911,777 | |||
School District - 0.2% | |||
Chicago, IL, Board of Education, GO | |||
270,000 | 6.04%, 12/01/2029 | 263,541 | |
220,000 | 6.14%, 12/01/2039 | 204,460 | |
1,335,000 | 6.32%, 11/01/2029 | 1,324,816 | |
1,792,817 | |||
Transportation - 0.3% | |||
250,000 | Chicago, IL, Transit Auth Rev 3.91%, 12/01/2040 | 221,277 | |
Metropolitan Transportation Auth, NY, Rev | |||
600,000 | 5.00%, 11/15/2050 | 614,674 | |
1,840,000 | 5.18%, 11/15/2049 | 1,697,236 | |
2,533,187 | |||
Utility - Electric - 0.0% | |||
367,000 | Municipal Electric Auth, GA, Rev 6.64%, 04/01/2057 | 417,815 | |
Total Municipal Bonds (cost $12,693,382) | $ 11,799,760 | ||
SENIOR FLOATING RATE INTERESTS - 0.0%(10) | |||
Entertainment - 0.0% | |||
Crown Finance U.S., Inc. | |||
281,601 | 4.00%, 02/28/2025, 3 mo. USD LIBOR + 2.500% | $ 46,430 | |
139,269 | 14.62%, 09/07/2023, 3 mo. USD SOFR + 10.000% | 140,301 | |
186,731 | |||
Healthcare - Services - 0.0% | |||
148,875 | EyeCare Partners LLC 8.48%, 11/15/2028, 3 mo. USD LIBOR + 3.750% | 123,641 | |
Total Senior Floating Rate Interests (cost $557,943) | $ 310,372 | ||
U.S. GOVERNMENT AGENCIES - 40.8% | |||
Mortgage-Backed Agencies - 40.8% | |||
FHLMC - 4.0% | |||
3,108,791 | 0.48%, 01/25/2034(3)(4) | $ 116,622 | |
1,563,056 | 0.64%, 10/25/2026(3)(4) | 28,543 | |
6,572,205 | 0.72%, 12/25/2030(3)(4) | 291,973 | |
3,306,494 | 0.75%, 06/25/2027(3)(4) | 89,519 | |
1,474,524 | 0.88%, 11/25/2030(3)(4) | 77,247 | |
677,709 | 1.00%, 10/25/2040 | 549,858 | |
1,310,775 | 1.00%, 02/25/2051 | 1,124,140 | |
2,588,028 | 1.02%, 10/25/2030(3)(4) | 154,214 | |
4,266,342 | 1.12%, 06/25/2030(3)(4) | 276,280 | |
3,435,986 | 1.13%, 01/25/2030(3)(4) | 208,765 | |
3,318,656 | 1.43%, 05/25/2030(3)(4) | 271,161 | |
5,580,926 | 1.50%, 05/15/2037 | 339,867 | |
2,074,701 | 1.57%, 05/25/2030(3)(4) | 184,381 | |
259,095 | 1.75%, 10/15/2042 | 227,636 | |
197,035 | 2.00%, 12/01/2040 | 173,134 | |
1,145,065 | 2.00%, 05/01/2041 | 1,006,158 | |
1,285,834 | 2.00%, 12/01/2041 | 1,118,686 | |
750,233 | 2.00%, 10/01/2050 | 634,297 | |
943,394 | 2.00%, 02/01/2051 | 801,911 | |
4,649,348 | 2.00%, 03/01/2051 | 3,934,586 | |
1,566,108 | 2.00%, 04/01/2051 | 1,321,940 | |
866,121 | 2.00%, 05/01/2051 | 741,019 | |
369,143 | 2.00%, 08/01/2051 | 311,389 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 40.8% - (continued) | |||
Mortgage-Backed Agencies - 40.8% - (continued) | |||
FHLMC - 4.0% - (continued) | |||
$ 375,648 | 2.00%, 11/01/2051 | $ 318,250 | |
1,352,464 | 2.00%, 01/01/2052 | 1,139,312 | |
1,455,222 | 2.00%, 04/01/2052 | 1,235,659 | |
3,148,023 | 2.50%, 04/25/2036(4) | 326,960 | |
551,261 | 2.50%, 05/01/2050 | 489,310 | |
679,187 | 2.50%, 06/01/2050 | 599,420 | |
1,677,957 | 2.50%, 06/25/2050(4) | 247,980 | |
2,039,740 | 2.50%, 07/01/2050 | 1,800,181 | |
1,082,291 | 2.50%, 08/01/2050 | 955,371 | |
566,179 | 2.50%, 09/01/2050 | 499,788 | |
403,661 | 2.50%, 05/01/2051 | 355,508 | |
365,812 | 2.50%, 08/01/2051 | 321,767 | |
623,249 | 2.50%, 10/01/2051 | 545,619 | |
1,720,286 | 2.50%, 03/15/2052(4) | 252,529 | |
455,697 | 2.50%, 04/01/2052 | 398,911 | |
1,407,696 | 3.00%, 10/01/2032 | 1,362,568 | |
4,350 | 3.00%, 05/15/2041 | 4,096 | |
840,629 | 3.00%, 06/15/2044(11) | 758,575 | |
515,812 | 3.00%, 07/15/2045 | 464,509 | |
97,633 | 3.00%, 07/01/2047 | 90,374 | |
143,542 | 3.00%, 01/01/2048 | 132,290 | |
1,224,737 | 3.00%, 07/01/2050 | 1,125,840 | |
816,174 | 3.00%, 08/01/2050 | 744,067 | |
1,207,005 | 3.00%, 10/01/2051 | 1,106,862 | |
460,975 | 3.00%, 01/01/2052 | 422,336 | |
589,865 | 3.00%, 05/01/2052 | 539,443 | |
1,425,726 | 3.50%, 01/15/2033(4) | 155,866 | |
596,483 | 3.50%, 05/15/2034(4) | 49,098 | |
729,511 | 3.50%, 10/15/2042 | 679,000 | |
241,570 | 3.50%, 10/15/2045 | 224,201 | |
723,778 | 3.50%, 12/01/2046 | 692,482 | |
666,239 | 3.50%, 12/15/2046 | 628,925 | |
462,557 | 3.50%, 01/01/2047 | 446,252 | |
245,228 | 3.50%, 03/15/2047 | 229,361 | |
134,254 | 3.50%, 06/01/2047 | 128,454 | |
164,111 | 3.50%, 12/01/2047 | 156,792 | |
176,054 | 3.50%, 01/01/2048 | 168,430 | |
254,334 | 3.50%, 12/01/2048 | 242,724 | |
374,227 | 4.00%, 05/01/2038 | 368,212 | |
468,628 | 4.00%, 05/25/2040(4) | 69,406 | |
750,657 | 4.00%, 09/15/2041 | 732,868 | |
10,424 | 4.00%, 01/01/2042 | 10,286 | |
171,682 | 4.00%, 03/01/2042 | 169,587 | |
4,751 | 4.00%, 04/01/2042 | 4,689 | |
6,634 | 4.00%, 06/01/2042 | 6,566 | |
216,658 | 4.00%, 11/01/2047 | 213,243 | |
436,802 | 4.00%, 12/01/2047 | 436,994 | |
1,494,226 | 4.00%, 04/01/2049 | 1,463,846 | |
731,378 | 4.00%, 07/01/2049 | 717,349 | |
104,192 | 5.00%, 09/01/2035 | 106,948 | |
347,630 | 5.00%, 09/15/2036(4) | 60,986 | |
1,137,086 | 5.00%, 03/15/2045(4) | 244,072 | |
159,349 | 5.00%, 02/15/2048(4) | 33,107 | |
50,787 | 5.00%, 09/01/2048 | 51,764 | |
32,030 | 5.00%, 02/01/2049 | 32,617 | |
12,055 | 5.50%, 02/01/2029 | 12,250 | |
15,319 | 5.50%, 12/01/2038 | 15,568 | |
476,376 | 5.50%, 05/15/2040(4) | 96,530 | |
445,800 | 5.50%, 06/15/2046(4) | 89,923 | |
401,957 | 5.50%, 10/15/2046(4) | 78,211 | |
361,088 | 5.50%, 02/01/2049 | 372,252 | |
40,073 | 5.50%, 03/01/2049 | 41,312 | |
530,585 | 8.76%, 11/25/2023, 1 mo. USD LIBOR + 4.250%(2) | 542,481 | |
39,993,503 |
72 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 40.8% - (continued) | |||
Mortgage-Backed Agencies - 40.8% - (continued) | |||
FNMA - 14.1% | |||
$ 150,158 | 0.00%, 06/25/2041(12)(13) | $ 119,397 | |
2,429,219 | 0.31%, 01/25/2030(3)(4) | 27,669 | |
6,672,237 | 1.20%, 06/25/2034(3)(4) | 591,033 | |
4,463,735 | 1.39%, 05/25/2029(3)(4) | 249,117 | |
3,860,940 | 1.50%, 11/25/2035(4) | 228,033 | |
225,000 | 1.50%, 07/01/2051 | 179,966 | |
3,949,607 | 1.50%, 09/01/2051 | 3,158,494 | |
693,064 | 2.00%, 09/01/2040 | 609,007 | |
2,500,786 | 2.00%, 12/01/2040 | 2,197,459 | |
668,349 | 2.00%, 04/01/2041 | 587,275 | |
238,422 | 2.00%, 05/01/2041 | 209,501 | |
2,779 | 2.00%, 09/25/2041 | 2,556 | |
936,133 | 2.00%, 10/01/2041 | 814,449 | |
4,864 | 2.00%, 12/25/2041 | 4,443 | |
594,438 | 2.00%, 02/01/2042 | 522,333 | |
347,461 | 2.00%, 03/25/2044 | 320,435 | |
363,231 | 2.00%, 05/25/2044 | 331,544 | |
2,418,280 | 2.00%, 10/01/2050 | 2,051,107 | |
1,873,448 | 2.00%, 12/01/2050 | 1,583,874 | |
4,068,226 | 2.00%, 02/01/2051 | 3,436,853 | |
6,429,210 | 2.00%, 03/01/2051 | 5,428,768 | |
8,275,885 | 2.00%, 04/01/2051 | 6,989,918 | |
1,225,443 | 2.00%, 05/01/2051 | 1,034,591 | |
285,623 | 2.00%, 07/01/2051 | 240,995 | |
1,567,218 | 2.00%, 09/01/2051 | 1,326,774 | |
9,410,752 | 2.00%, 04/01/2052 | 7,927,262 | |
412,619 | 2.25%, 04/01/2033 | 351,976 | |
947,022 | 2.50%, 06/25/2045 | 786,255 | |
8,846 | 2.50%, 03/25/2046 | 8,211 | |
660,424 | 2.50%, 06/01/2050 | 583,133 | |
464,428 | 2.50%, 07/01/2050 | 409,907 | |
1,709,405 | 2.50%, 10/01/2050 | 1,522,816 | |
411,520 | 2.50%, 01/01/2051 | 364,199 | |
1,705,877 | 2.50%, 02/25/2051(4) | 275,134 | |
6,447,946 | 2.50%, 05/01/2051 | 5,672,967 | |
1,576,772 | 2.50%, 06/01/2051 | 1,380,840 | |
2,675,864 | 2.50%, 08/01/2051 | 2,367,194 | |
577,995 | 2.50%, 09/01/2051 | 508,797 | |
1,187,495 | 2.50%, 10/01/2051 | 1,039,642 | |
7,042,600 | 2.50%, 11/01/2051 | 6,266,122 | |
2,523,548 | 2.50%, 12/01/2051 | 2,227,623 | |
1,003,138 | 2.50%, 01/01/2052 | 887,204 | |
4,616,448 | 2.50%, 02/01/2052 | 4,054,900 | |
636,828 | 2.50%, 03/01/2052 | 560,550 | |
544,862 | 2.50%, 04/01/2052 | 478,818 | |
920,243 | 2.50%, 05/01/2052 | 810,658 | |
1,290,274 | 2.50%, 01/01/2057 | 1,127,942 | |
796,277 | 3.00%, 04/25/2033(4) | 55,138 | |
213,946 | 3.00%, 08/01/2033 | 207,098 | |
1,384,578 | 3.00%, 06/01/2038 | 1,332,033 | |
511,304 | 3.00%, 11/25/2042 | 468,076 | |
6,147 | 3.00%, 02/25/2043 | 5,875 | |
903,978 | 3.00%, 03/25/2043 | 826,437 | |
1,139,730 | 3.00%, 05/25/2043 | 1,047,280 | |
1,172,868 | 3.00%, 11/25/2044 | 1,072,122 | |
977,193 | 3.00%, 01/25/2045 | 881,923 | |
80,585 | 3.00%, 01/25/2046 | 75,614 | |
1,071,114 | 3.00%, 02/25/2047 | 1,003,847 | |
381,097 | 3.00%, 08/25/2049 | 352,716 | |
430,927 | 3.00%, 02/01/2050 | 397,933 | |
1,820,149 | 3.00%, 07/01/2050 | 1,680,783 | |
408,261 | 3.00%, 08/01/2050 | 378,992 | |
1,798,945 | 3.00%, 12/01/2050 | 1,657,449 | |
901,036 | 3.00%, 05/01/2051 | 836,456 | |
1,512,247 | 3.00%, 07/01/2051 | 1,377,253 | |
413,118 | 3.00%, 08/01/2051 | 378,896 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 40.8% - (continued) | |||
Mortgage-Backed Agencies - 40.8% - (continued) | |||
FNMA - 14.1% - (continued) | |||
$ 1,532,368 | 3.00%, 09/01/2051 | $ 1,400,122 | |
2,175,753 | 3.00%, 10/01/2051 | 1,991,068 | |
2,258,814 | 3.00%, 11/01/2051 | 2,059,337 | |
1,279,829 | 3.00%, 12/01/2051 | 1,165,577 | |
570,271 | 3.00%, 01/01/2052 | 522,190 | |
756,025 | 3.00%, 04/01/2052 | 692,205 | |
884,160 | 3.00%, 05/01/2052 | 805,852 | |
1,733,692 | 3.50%, 07/25/2033(4) | 151,447 | |
628,777 | 3.50%, 08/25/2033(4) | 69,096 | |
436,040 | 3.50%, 04/25/2034(4) | 25,471 | |
1,071,698 | 3.50%, 05/01/2037 | 1,049,727 | |
774,977 | 3.50%, 11/25/2039(4) | 74,791 | |
518,777 | 3.50%, 10/01/2041 | 500,445 | |
4,377 | 3.50%, 05/25/2042 | 4,190 | |
1,137,479 | 3.50%, 11/25/2042 | 1,074,817 | |
104,355 | 3.50%, 07/25/2044 | 101,833 | |
245,774 | 3.50%, 12/01/2045 | 235,113 | |
219,977 | 3.50%, 01/01/2046 | 210,802 | |
171,682 | 3.50%, 03/01/2046 | 164,793 | |
824,351 | 3.50%, 12/01/2046 | 795,198 | |
281,480 | 3.50%, 05/01/2047 | 269,416 | |
476,236 | 3.50%, 09/01/2047 | 455,008 | |
239,535 | 3.50%, 01/01/2048 | 228,316 | |
314,555 | 3.50%, 02/01/2048 | 300,751 | |
88,915 | 3.50%, 06/01/2048 | 84,832 | |
432,306 | 3.50%, 07/01/2048 | 413,218 | |
92,436 | 3.50%, 11/01/2048 | 88,297 | |
287,023 | 3.50%, 03/25/2049 | 275,563 | |
698,964 | 3.50%, 04/25/2049 | 676,097 | |
723,356 | 3.50%, 06/01/2049 | 695,049 | |
1,419,591 | 3.50%, 04/01/2052 | 1,335,967 | |
749,326 | 3.50%, 05/01/2056 | 706,063 | |
665,261 | 3.50%, 11/25/2057 | 641,097 | |
1,165,675 | 3.50%, 05/01/2058 | 1,102,686 | |
760,000 | 3.52%, 11/01/2032 | 726,228 | |
726,188 | 4.00%, 08/01/2038 | 718,760 | |
2,625 | 4.00%, 11/01/2040 | 2,590 | |
33,065 | 4.00%, 02/01/2041 | 32,601 | |
419,349 | 4.00%, 06/01/2041 | 409,678 | |
5,186 | 4.00%, 09/01/2041 | 5,117 | |
8,445 | 4.00%, 10/01/2041 | 8,333 | |
182,809 | 4.00%, 01/01/2042 | 180,394 | |
227,918 | 4.00%, 02/01/2042 | 224,909 | |
65,853 | 4.00%, 05/01/2042 | 64,983 | |
2,643 | 4.00%, 09/01/2042 | 2,648 | |
986,552 | 4.00%, 01/01/2043 | 973,522 | |
19,737 | 4.00%, 10/01/2043 | 19,476 | |
300,512 | 4.00%, 09/01/2047 | 294,744 | |
540,304 | 4.00%, 10/01/2047 | 530,491 | |
279,604 | 4.00%, 11/01/2047 | 274,618 | |
1,798,056 | 4.00%, 06/01/2048 | 1,769,312 | |
542,107 | 4.00%, 01/01/2049 | 530,920 | |
1,916,069 | 4.00%, 04/01/2049 | 1,895,013 | |
630,790 | 4.00%, 09/01/2049 | 617,525 | |
1,382,842 | 4.00%, 04/01/2050 | 1,351,971 | |
567,292 | 4.00%, 08/01/2051 | 553,906 | |
875,462 | 4.00%, 06/01/2052 | 849,165 | |
459,787 | 4.50%, 04/01/2048 | 462,651 | |
202,190 | 4.50%, 04/01/2049 | 203,241 | |
841,443 | 4.50%, 01/01/2051 | 844,739 | |
344,866 | 5.00%, 06/25/2048(4) | 58,634 | |
1,153,318 | 5.00%, 07/01/2052 | 1,156,814 | |
373,291 | 5.50%, 04/25/2044(4) | 65,100 | |
482,317 | 5.50%, 11/01/2052 | 491,487 | |
97,000 | 4.50%, 02/15/2038 | 97,609 | |
645,000 | 6.00%, 02/15/2053(14) | 662,183 |
73 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 40.8% - (continued) | |||
Mortgage-Backed Agencies - 40.8% - (continued) | |||
FNMA - 14.1% - (continued) | |||
$ 9,255,000 | 4.50%, 02/21/2053(14) | $ 9,181,258 | |
9,130,000 | 5.00%, 02/21/2053(14) | 9,182,783 | |
140,703,499 | |||
GNMA - 8.1% | |||
163,069 | 2.00%, 06/16/2042 | 150,736 | |
1,431,138 | 2.00%, 10/20/2050 | 1,244,673 | |
4,365,000 | 2.00%, 02/21/2053 | 3,770,269 | |
63,563 | 2.50%, 05/20/2040 | 61,242 | |
1,047,082 | 2.50%, 09/20/2051 | 934,390 | |
3,480,116 | 2.50%, 10/20/2051 | 3,104,743 | |
5,435,000 | 2.50%, 02/21/2053(14) | 4,842,670 | |
1,229,642 | 3.00%, 01/16/2044 | 1,129,487 | |
619,765 | 3.00%, 11/20/2045 | 551,512 | |
720,941 | 3.00%, 02/20/2047 | 672,856 | |
1,397,615 | 3.00%, 04/20/2051 | 1,288,467 | |
2,593,615 | 3.00%, 08/20/2051 | 2,392,805 | |
1,669,628 | 3.00%, 09/20/2051 | 1,539,363 | |
519,462 | 3.00%, 10/20/2051 | 476,781 | |
3,575,636 | 3.00%, 12/20/2051 | 3,292,878 | |
908,780 | 3.00%, 02/20/2052 | 843,026 | |
1,442,283 | 3.00%, 04/20/2052 | 1,325,992 | |
8,540,000 | 3.00%, 02/21/2053(14) | 7,838,606 | |
269,651 | 3.50%, 11/20/2042 | 256,515 | |
548,484 | 3.50%, 06/20/2046 | 525,824 | |
119,903 | 3.50%, 07/20/2046 | 114,949 | |
124,932 | 3.50%, 10/20/2046 | 119,772 | |
553,015 | 3.50%, 02/20/2047 | 530,169 | |
148,487 | 3.50%, 05/20/2047 | 142,739 | |
151,903 | 3.50%, 07/20/2047 | 145,651 | |
111,418 | 3.50%, 11/20/2047 | 106,625 | |
136,987 | 3.50%, 03/20/2048 | 131,183 | |
645,311 | 3.50%, 02/20/2049 | 619,449 | |
1,079,607 | 3.50%, 08/20/2052 | 1,020,257 | |
5,272,478 | 3.50%, 09/20/2052 | 4,982,626 | |
16,409,105 | 3.50%, 10/20/2052 | 15,507,007 | |
940,000 | 3.50%, 11/20/2052 | 888,266 | |
1,939,806 | 3.50%, 01/20/2053 | 1,833,933 | |
337,905 | 3.88%, 08/15/2042 | 334,048 | |
1,047,174 | 4.00%, 09/16/2042(4) | 214,096 | |
381,737 | 4.00%, 09/20/2042(4) | 56,026 | |
234,801 | 4.00%, 12/20/2044(4) | 39,201 | |
519,185 | 4.00%, 08/20/2045 | 512,646 | |
705,632 | 4.00%, 09/20/2047 | 696,136 | |
19,767 | 4.00%, 04/20/2048 | 19,447 | |
1,025,341 | 4.00%, 07/20/2048 | 1,007,427 | |
11,930,000 | 4.00%, 02/21/2053 | 11,578,158 | |
1,023,908 | 4.50%, 02/20/2040 | 1,044,154 | |
778,022 | 4.50%, 06/16/2043(4) | 144,705 | |
365,577 | 4.50%, 05/20/2045(4) | 67,562 | |
545,648 | 4.50%, 08/20/2045(4) | 105,331 | |
622,859 | 4.50%, 12/16/2046(4) | 107,647 | |
394,121 | 4.50%, 05/20/2048(4) | 64,345 | |
266,002 | 4.50%, 06/20/2048(4) | 48,206 | |
184,813 | 4.50%, 05/20/2052 | 183,566 | |
313,246 | 5.00%, 12/20/2043(4) | 62,684 | |
1,659,471 | 5.00%, 07/16/2044(4) | 285,938 | |
304,385 | 5.00%, 11/16/2046(4) | 51,807 | |
292,053 | 5.00%, 06/16/2047(4) | 51,574 | |
378,534 | 5.00%, 11/16/2047(4) | 68,485 | |
1,025,256 | 5.00%, 11/20/2049 | 1,042,075 | |
268,838 | 5.50%, 02/20/2044(4) | 40,127 | |
210,696 | 5.50%, 09/15/2045 | 220,329 | |
297,439 | 5.50%, 09/20/2045(4) | 65,481 | |
80,496,662 |
Shares or Principal Amount | Market Value† | ||
U.S. GOVERNMENT AGENCIES - 40.8% - (continued) | |||
Mortgage-Backed Agencies - 40.8% - (continued) | |||
UMBS - 14.6% | |||
$ 10,463,000 | 2.00%, 02/15/2053(14) | $ 8,797,503 | |
10,206,000 | 2.50%, 02/15/2053(14) | 8,919,087 | |
1,875,000 | 3.00%, 02/15/2038(14) | 1,796,558 | |
405,000 | 3.50%, 02/15/2038(14) | 394,669 | |
5,781,000 | 3.50%, 02/15/2053(14) | 5,417,768 | |
340,000 | 4.00%, 02/15/2038(14) | 337,636 | |
2,075,000 | 4.00%, 02/15/2053(14) | 2,001,159 | |
106,587,000 | 4.50%, 02/15/2053(14) | 105,158,997 | |
4,890,000 | 5.00%, 02/15/2053(14) | 4,901,652 | |
7,441,000 | 5.50%, 02/15/2053(14) | 7,553,487 | |
145,278,516 | |||
Total U.S. Government Agencies (cost $418,814,598) | $ 406,472,180 | ||
U.S. GOVERNMENT SECURITIES - 25.7% | |||
U.S. Treasury Securities - 25.7% | |||
U.S. Treasury Bonds - 11.1% | |||
1,186,076 | 0.13%, 02/15/2052(15) | $ 814,755 | |
4,192,032 | 0.25%, 02/15/2050(15) | 3,018,222 | |
8,680,000 | 1.13%, 08/15/2040 | 5,735,920 | |
23,740,000 | 1.25%, 05/15/2050 | 13,823,913 | |
12,400,000 | 1.63%, 11/15/2050 | 7,952,469 | |
5,305,000 | 2.75%, 11/15/2042 | 4,516,296 | |
3,145,000 | 2.88%, 08/15/2045 | 2,692,292 | |
56,000 | 2.88%, 05/15/2052 | 47,880 | |
2,525,000 | 3.00%, 11/15/2045 | 2,208,093 | |
1,395,000 | 3.00%, 02/15/2048 | 1,219,372 | |
9,945,000 | 3.00%, 08/15/2052 | 8,731,399 | |
3,365,000 | 3.13%, 02/15/2043 | 3,040,199 | |
2,645,000 | 3.13%, 08/15/2044 | 2,372,441 | |
1,390,000 | 3.13%, 05/15/2048 | 1,243,670 | |
9,205,000 | 3.38%, 08/15/2042 | 8,668,521 | |
6,010,000 | 3.38%, 05/15/2044 | 5,615,594 | |
8,845,000 | 3.63%, 02/15/2044(16) | 8,594,161 | |
14,100,000 | 4.00%, 11/15/2042 | 14,514,188 | |
14,330,000 | 4.00%, 11/15/2052 | 15,205,473 | |
110,014,858 | |||
U.S. Treasury Notes - 14.6% | |||
16,061,958 | 0.25%, 07/15/2029(15) | 15,024,832 | |
16,989,360 | 0.63%, 07/15/2032(15) | 16,031,718 | |
5,236,455 | 0.75%, 07/15/2028(15) | 5,073,276 | |
3,413,436 | 0.88%, 01/15/2029(15) | 3,316,534 | |
15,926,714 | 1.13%, 01/15/2033(15) | 15,696,212 | |
16,965,000 | 1.38%, 11/15/2031(17) | 14,264,516 | |
1,814,800 | 1.88%, 02/15/2032 | 1,588,092 | |
10,345,000 | 2.63%, 07/31/2029 | 9,756,628 | |
25,595,000 | 2.75%, 08/15/2032 | 24,015,309 | |
3,596,800 | 2.88%, 05/15/2032 | 3,415,836 | |
5,695,000 | 4.00%, 10/31/2029 | 5,826,029 | |
30,910,000 | 4.13%, 09/30/2027 | 31,485,940 | |
145,494,922 | |||
Total U.S. Government Securities (cost $276,868,114) | $ 255,509,780 | ||
COMMON STOCKS - 0.0% | |||
Energy - 0.0% | |||
934 | Foresight Energy LLC* | $ 9,808 | |
Total Common Stocks (cost $8,444) | $ 9,808 | ||
Total Long-Term Investments (cost $1,267,955,975) | $ 1,182,361,175 |
74 |
January 31, 2023 (Unaudited)
Shares or Principal Amount | Market Value† | ||
SHORT-TERM INVESTMENTS - 0.2% | |||
Repurchase Agreements - 0.2% | |||
$ 1,459,721 | Fixed Income Clearing Corp. Repurchase Agreement dated 01/31/2023 at 4.280%, due on 02/01/2023 with a maturity value of $1,459,895; collateralized by U.S. Treasury Note at 4.125%, maturing 01/31/2025, with a market value of $1,489,010 | $ 1,459,721 | |
Securities Lending Collateral - 0.0% | |||
31,950 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.24%(18) | 31,950 | |
106,500 | HSBC US Government Money Market Fund, 4.22%(18) | 106,500 | |
31,950 | Invesco Government & Agency Portfolio, Institutional Class, 4.32%(18) | 31,950 | |
31,950 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.13%(18) | 31,950 | |
202,350 | |||
Total Short-Term Investments (cost $1,662,071) | $ 1,662,071 | ||
Total Investments Excluding Purchased Options (cost $1,269,618,046) | 118.9% | $ 1,184,023,246 | |
Total Purchased Options (cost $145,797) | 0.0% | $ 131,237 | |
Total Investments (cost $1,269,763,843) | 118.9% | $ 1,184,154,483 | |
Other Assets and Liabilities | (18.9)% | (188,090,144) | |
Total Net Assets | 100.0% | $ 996,064,339 |
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. |
* | Non-income producing. |
(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 January 31, 2023, the aggregate value of these securities was $287,473,193, representing 28.9% of net assets. |
(2) | Variable rate securities; the rate reported is the coupon rate in effect at January 31, 2023. 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) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
(6) | 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 January 31, 2023, the aggregate value of these securities was $14,072,489, representing 1.4% of net assets. |
(7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2023. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
(8) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of this security was $130,000 at January 31, 2023. |
(9) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(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 London Interbank Offered Rate ("LIBOR") or the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). 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 January 31, 2023. |
(11) | These securities pay no principal or interest during their initial accrual period, but accrue additional principal at a specified coupon rate. |
(12) | Security disclosed is principal-only strips. |
(13) | Security is a zero-coupon bond. |
(14) | Represents or includes a TBA transaction. |
(15) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
(16) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2023, the market value of securities pledged was $5,246,859. |
(17) | All, or a portion of the security, was pledged as collateral in connection with OTC swap contracts. As of January 31, 2023, the market value of securities pledged was $2,009,561. |
(18) | Current yield as of period end. |
75 |
January 31, 2023 (Unaudited)
OTC Swaptions Outstanding at January 31, 2023 | ||||||||||||||||||
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: | ||||||||||||||||||
Call | ||||||||||||||||||
1D USD SOFR Compound * | DEUT | 2.99% | Pay | 01/17/2024 | USD | 1,957,000 | $ 56,341 | $ 72,899 | $ (16,558) | |||||||||
Put | ||||||||||||||||||
1D USD SOFR Compound * | DEUT | 2.99% | Pay | 01/17/2024 | USD | 1,957,000 | $ 74,896 | $ 72,898 | $ 1,998 | |||||||||
Total purchased OTC swaption contracts | $ 131,237 | $ 145,797 | $ (14,560) |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 420 | 03/31/2023 | $ 45,881,719 | $ 317,532 | ||||
U.S. Treasury Ultra Bond Future | 155 | 03/22/2023 | 21,971,250 | 724,107 | ||||
Total | $ 1,041,639 | |||||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 344 | 03/22/2023 | $ 32,550,260 | $ (288,258) | ||||
Euro BUXL 30-Year Bond Future | 71 | 03/08/2023 | 11,103,774 | 753,801 | ||||
Euro-BUND Future | 106 | 03/08/2023 | 15,750,895 | 384,181 | ||||
Euro-Schatz Future | 261 | 03/08/2023 | 29,974,375 | 219,054 | ||||
U.S. Treasury 2-Year Note Future | 627 | 03/31/2023 | 128,941,570 | (253,685) | ||||
U.S. Treasury 10-Year Note Future | 558 | 03/22/2023 | 63,899,719 | (654,251) | ||||
U.S. Treasury 10-Year Ultra Future | 101 | 03/22/2023 | 12,241,516 | (228,234) | ||||
U.S. Treasury Long Bond Future | 1 | 03/22/2023 | 129,875 | (1,408) | ||||
Total | $ (68,800) | |||||||
Total futures contracts | $ 972,839 |
TBA Sale Commitments Outstanding at January 31, 2023 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
UMBS, 3.00% | $ 10,058,000 | 02/25/2052 | $ (9,123,494) | $ (25,273) | ||||
UMBS, 4.00% | 7,906,000 | 02/13/2053 | (7,624,657) | (57,600) | ||||
UMBS, 5.00%(1) | 5,715,000 | 02/13/2053 | (5,728,618) | 11,385 | ||||
Total TBA sale commitments (proceeds receivable $22,405,281) | $ (22,476,769) | $ (71,488) | ||||||
At January 31, 2023, the aggregate market value of TBA Sale Commitments represents (2.3)% of total net assets. |
(1) | At January 31, 2023, the counterparty had deposited in a segregated account securities with a value of $452,000 in connection with TBA sales commitments. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
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.HY.39.V1 | USD | 6,760,000 | 5.00% | 12/20/2027 | Quarterly | $ 175,225 | $ 221,879 | $ 46,654 | |||||||
Total | $ 175,225 | $ 221,879 | $ 46,654 |
76 |
January 31, 2023 (Unaudited)
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 – (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: | |||||||||||||||
Buy protection: | |||||||||||||||
Brazil Republic | USD | 3,350,000 | (1.00%) | 06/20/2027 | Quarterly | $ 162,118 | $ 139,585 | $ (22,533) | |||||||
Total | $ 162,118 | $ 139,585 | $ (22,533) | ||||||||||||
Total centrally cleared credit default swap contracts | $ 337,343 | $ 361,464 | $ 24,121 |
(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 Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value † | Unrealized Appreciation/ (Depreciation) | |||||||||
2.99% Fixed | 12 Mo. USD SOFR | USD | 71,000 | 01/17/2034 | Annual | $ — | $ — | $ 276 | $ 276 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 4,030,000 | 03/15/2053 | Annual | 47,168 | — | 78,723 | 31,555 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 10,370,000 | 03/15/2053 | Annual | 27,115 | — | 22,094 | (5,021) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 74,283 | $ — | $ 101,093 | $ 26,810 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
466,000 | EUR | 496,316 | USD | MSC | 03/15/2023 | $ 11,208 | ||||
67,000 | EUR | 72,721 | USD | BCLY | 03/15/2023 | 249 | ||||
303,000 | EUR | 329,974 | USD | SSG | 03/15/2023 | 26 | ||||
483,000 | EUR | 526,126 | USD | JPM | 03/15/2023 | (86) | ||||
77,000 | EUR | 83,997 | USD | CBA | 03/15/2023 | (135) | ||||
3,540,875 | USD | 19,188,000 | BRL | GSC | 03/15/2023 | (197,472) | ||||
151,416 | USD | 138,519 | EUR | TDB | 02/28/2023 | 705 | ||||
20,546,885 | USD | 19,418,000 | EUR | BCLY | 03/15/2023 | (601,430) | ||||
Total foreign currency contracts | $ (786,935) |
77 |
January 31, 2023 (Unaudited)
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 225,341,582 | $ — | $ 225,341,582 | $ — | ||||
Corporate Bonds | 250,874,174 | — | 250,874,174 | — | ||||
Foreign Government Obligations | 32,043,519 | — | 32,043,519 | — | ||||
Municipal Bonds | 11,799,760 | — | 11,799,760 | — | ||||
Senior Floating Rate Interests | 310,372 | — | 310,372 | — | ||||
U.S. Government Agencies | 406,472,180 | — | 406,472,180 | — | ||||
U.S. Government Securities | 255,509,780 | — | 255,509,780 | — | ||||
Common Stocks | ||||||||
Energy | 9,808 | — | 9,808 | — | ||||
Short-Term Investments | 1,662,071 | 202,350 | 1,459,721 | — | ||||
Purchased Options | 131,237 | — | 131,237 | — | ||||
Foreign Currency Contracts(2) | 12,188 | — | 12,188 | — | ||||
Futures Contracts(2) | 2,398,675 | 2,398,675 | — | — | ||||
Swaps - Credit Default(2) | 46,654 | — | 46,654 | — | ||||
Swaps - Interest Rate(2) | 31,831 | — | 31,831 | — | ||||
Total | $ 1,186,643,831 | $ 2,601,025 | $ 1,184,042,806 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (799,123) | $ — | $ (799,123) | $ — | ||||
Futures Contracts(2) | (1,425,836) | (1,425,836) | — | — | ||||
Swaps - Interest Rate(2) | (5,021) | — | (5,021) | — | ||||
Swaps - Credit Default(2) | (22,533) | — | (22,533) | — | ||||
TBA Sale Commitments | (22,476,769) | — | (22,476,769) | — | ||||
Total | $ (24,729,282) | $ (1,425,836) | $ (23,303,446) | $ — |
(1) | For the six-month period ended January 31, 2023, 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. |
78 |
Counterparty Abbreviations: | |
BCLY | Barclays |
BNP | BNP Paribas Securities Services |
CBA | Commonwealth Bank of Australia |
CBK | Citibank NA |
DEUT | Deutsche Bank Securities, Inc. |
GSC | Goldman Sachs & Co. |
JPM | JP Morgan Chase & Co. |
MSC | Morgan Stanley |
SSG | State Street Global Markets LLC |
TDB | Toronto-Dominion Bank |
UBS | UBS AG |
Currency Abbreviations: | |
AUD | Australia Dollar |
BRL | Brazil Real |
CAD | Canadian Dollar |
CLP | Chile Peso |
CNY | China Yuan Renminbi |
COP | Colombia Peso |
CZK | Czech Republic Koruna |
DKK | Denmark Krone |
EGP | Egypt Pound |
EUR | Euro Member Countries |
GBP | British Pound |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
INR | Indian Rupee |
JPY | Japan Yen |
MXN | Mexican Peso |
PLN | Poland Zloty |
USD | United States Dollar |
ZAR | South Africa Rand |
Index Abbreviations: | |
CDX.EM | Credit Derivatives Emerging Markets |
CDX.NA.HY | Credit Derivatives North American High Yield |
CDX.NA.IG | Credit Derivatives North American Investment Grade |
CMT | Constant Maturity Treasury Index |
S&P | Standard & Poor's |
Municipal Abbreviations: | |
Auth | Authority |
Dev | Development |
Dist | District |
Facs | Facilities |
GO | General Obligation |
Mgmt | Management |
Redev | Redevelopment |
Rev | Revenue |
Other Abbreviations: | |
AGC | Assured Guarantee Corp. |
AGM | Assured Guaranty Municipal |
AMBAC | American Municipal Bond Assurance Co. |
BAM | Build America Mutual Assurance Corp. |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
COLL | Collateral |
CR | Custodial Receipts |
ETF | Exchange-Traded Fund |
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 |
LME | London Metal Exchange |
NATL | National Public Finance Guarantee Corp. |
PSF-GTD | Permanent School Fund Guaranteed |
PT | Perseroan Terbatas |
Q-SBLF | Qualified School Bond Loan Fund |
RBOB | Reformulated Blendstock for Oxygenate Blending |
REIT | Real Estate Investment Trust |
SCP | State Credit Enhancement Program |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
ULSD | Ultra-Low Sulfur Diesel |
UMBS | Uniform Mortgage-Backed Securities |
WTI | West Texas Intermediate |
79 |
January 31, 2023 (Unaudited)
Hartford Core Bond ETF | Hartford Large Cap Growth ETF | Hartford Municipal Opportunities ETF | Hartford Schroders Commodity Strategy ETF (Consolidated) | Hartford Schroders ESG US Equity ETF | |||||
Assets: | |||||||||
Investments in securities, at market value(1) | $ 305,401,549 | $ 78,702,473 | $ 327,259,536 | $ 39,623,766 | $ 9,202,068 | ||||
Repurchase agreements | 557,836 | 181,359 | 1,046,421 | — | — | ||||
Cash | 2,288,703 | 717,143 | 4,125,811 | — | — | ||||
Cash collateral due from broker on futures contracts | — | — | — | 5,160,880 | 1,060 | ||||
Cash collateral held for securities on loan | — | — | — | — | 3,999 | ||||
Foreign currency | 16 | — | — | 1,518 | — | ||||
Receivables: | |||||||||
From affiliates | — | — | — | 5,396 | — | ||||
Investment securities sold | 7,256,924 | 1,333,718 | 567,225 | — | — | ||||
Dividends and interest | 1,529,475 | 4,199 | 2,928,100 | 9,510 | 8,199 | ||||
Securities lending income | — | — | — | — | 141 | ||||
Variation margin on futures contracts | — | — | — | 632,297 | 289 | ||||
Tax reclaims | 401 | — | — | — | — | ||||
Other assets | — | — | — | 32,749 | — | ||||
Total assets | 317,034,904 | 80,938,892 | 335,927,093 | 45,466,116 | 9,215,756 | ||||
Liabilities: | |||||||||
Obligation to return securities lending collateral | — | — | — | — | 79,987 | ||||
Payables: | |||||||||
Investment securities purchased | 70,169,646 | 1,111,345 | 4,638,789 | — | — | ||||
Investment management fees | 60,067 | 37,704 | 81,740 | 39,261 | 2,926 | ||||
Variation margin on futures contracts | 101,958 | — | — | — | — | ||||
Variation margin on centrally cleared swap contracts | 5,666 | — | — | — | — | ||||
Distributions payable | 477,575 | — | 630,578 | — | — | ||||
Total liabilities | 70,814,912 | 1,149,049 | 5,351,107 | 39,261 | 82,913 | ||||
Net assets | $ 246,219,992 | $ 79,789,843 | $ 330,575,986 | $ 45,426,855 | $ 9,132,843 | ||||
Summary of Net Assets: | |||||||||
Paid-in-capital | $ 287,360,703 | $ 104,395,925 | $ 344,305,612 | $ 52,085,287 | $ 10,005,823 | ||||
Distributable earnings (loss) | (41,140,711) | (24,606,082) | (13,729,626) | (6,658,432) | (872,980) | ||||
Net assets | 246,219,992 | 79,789,843 | 330,575,986 | 45,426,855 | 9,132,843 | ||||
Net asset value per share | 35.17 | 13.03 | 38.44 | 16.67 | 22.83 | ||||
Shares issued and outstanding | 7,000,000 | 6,125,000 | 8,600,000 | 2,725,000 | 400,000 | ||||
Cost of investments | $ 331,297,457 | $ 79,939,873 | $ 336,793,120 | $ 39,625,137 | $ 8,985,869 | ||||
Cost of foreign currency | $ 15 | $ — | $ — | $ 1,622 | $ — | ||||
(1) Includes Investment in securities on loan, at market value | $ — | $ — | $ — | $ — | $ 81,877 |
80 |
January 31, 2023 (Unaudited)
Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Sustainable Income ETF | Hartford Total Return Bond ETF | ||||
Assets: | |||||||
Investments in securities, at market value(1) | $ 82,518,465 | $ 60,029,882 | $ 51,123,116 | $ 1,182,694,762 | |||
Repurchase agreements | — | 36,480 | 11,410 | 1,459,721 | |||
Cash | — | 253,714 | 136,784 | 6,382,193 | |||
Cash collateral due from broker on futures contracts | — | 80,795 | — | — | |||
Cash collateral held for securities on loan | — | — | — | 10,650 | |||
Foreign currency | — | 35,295 | 19,832 | 275,173 | |||
Unrealized appreciation on foreign currency contracts | — | 4,133 | 42,366 | 12,188 | |||
Receivables: | |||||||
Investment securities sold | 261,285 | 1,035,605 | 1,120,909 | 76,519,994 | |||
Dividends and interest | 775,034 | 340,495 | 514,635 | 6,790,079 | |||
Securities lending income | — | 133 | — | 289 | |||
Variation margin on futures contracts | — | — | 4,227 | — | |||
Variation margin on centrally cleared swap contracts | — | — | — | 27,928 | |||
Tax reclaims | 628 | 687 | 12,876 | 971 | |||
Total assets | 83,555,412 | 61,817,219 | 52,986,155 | 1,274,173,948 | |||
Liabilities: | |||||||
Unrealized depreciation on foreign currency contracts | — | 6,244 | 342,214 | 799,123 | |||
Obligation to return securities lending collateral | — | — | — | 213,000 | |||
Cash collateral due to broker on TBA sale commitments | — | — | — | 202,000 | |||
TBA sale commitments, at market value | — | — | — | 22,476,769 | |||
Payables: | |||||||
Investment securities purchased | 1,601,641 | 314,750 | 5,277,404 | 251,561,391 | |||
Investment management fees | 25,511 | 16,019 | 21,483 | 240,753 | |||
Variation margin on futures contracts | — | 1,228 | — | 198,072 | |||
Variation margin on centrally cleared swap contracts | — | — | 977 | — | |||
Distributions payable | 155,679 | 169,476 | 171,215 | 2,418,501 | |||
Total liabilities | 1,782,831 | 507,717 | 5,813,293 | 278,109,609 | |||
Net assets | $ 81,772,581 | $ 61,309,502 | $ 47,172,862 | $ 996,064,339 | |||
Summary of Net Assets: | |||||||
Paid-in-capital | $ 88,497,533 | $ 66,703,401 | $ 55,229,319 | $ 1,161,512,688 | |||
Distributable earnings (loss) | (6,724,952) | (5,393,899) | (8,056,457) | (165,448,349) | |||
Net assets | 81,772,581 | 61,309,502 | 47,172,862 | 996,064,339 | |||
Net asset value per share | 19.70 | 38.32 | 33.69 | 34.11 | |||
Shares issued and outstanding | 4,150,000 | 1,600,000 | 1,400,000 | 29,200,000 | |||
Cost of investments | $ 84,312,883 | $ 63,843,244 | $ 56,549,168 | $ 1,269,763,843 | |||
Cost of foreign currency | $ — | $ 35,295 | $ 19,696 | $ 275,390 | |||
Proceeds of TBA sale commitments | $ — | $ — | $ — | $ 22,405,281 | |||
(1) Includes Investment in securities on loan, at market value | $ — | $ — | $ — | $ 200,590 |
81 |
For the Six-Month Period Ended January 31, 2023 (Unaudited)
Hartford Core Bond ETF | Hartford Large Cap Growth ETF | Hartford Municipal Opportunities ETF | Hartford Schroders Commodity Strategy ETF (Consolidated) | Hartford Schroders ESG US Equity ETF | |||||
Investment Income: | |||||||||
Dividends | $ — | $ 204,238 | $ — | $ 5,702 | $ 99,756 | ||||
Interest | 3,543,270 | 24,725 | 4,281,681 | 600,299 | 567 | ||||
Securities lending | 60 | 278 | — | — | 415 | ||||
Less: Foreign tax withheld | — | (1,270) | — | (58) | (9) | ||||
Total investment income, net | 3,543,330 | 227,971 | 4,281,681 | 605,943 | 100,729 | ||||
Expenses: | |||||||||
Investment management fees | 346,957 | 222,582 | 433,052 | 231,418 | 17,273 | ||||
Custodian fees | — | — | — | 861 | — | ||||
Accounting services fees | — | — | — | 158 | — | ||||
Total expenses (before waivers, reimbursements and fees paid indirectly) | 346,957 | 222,582 | 433,052 | 232,437 | 17,273 | ||||
Management fee waivers | — | — | — | (33,798) | — | ||||
Commission recapture | — | (1,233) | — | — | — | ||||
Total waivers, reimbursements and fees paid indirectly | — | (1,233) | — | (33,798) | — | ||||
Total expenses | 346,957 | 221,349 | 433,052 | 198,639 | 17,273 | ||||
Net Investment Income (Loss) | 3,196,373 | 6,622 | 3,848,629 | 407,304 | 83,456 | ||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||
Investments | (9,911,200) (1) | (9,178,115) (1) | (826,845) | 91,955 | (643,481) | ||||
Futures contracts | 3,412,849 | — | — | (5,262,022) | (291) | ||||
Written options contracts | 442,577 | — | — | — | — | ||||
Swap contracts | (396,151) | — | — | — | — | ||||
Other foreign currency transactions | — | — | — | (439) | — | ||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (6,451,925) | (9,178,115) | (826,845) | (5,170,506) | (643,772) | ||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||
Investments | (3,381,633) | 9,628,051 | (76,019) | (46,124) | 637,040 | ||||
Futures contracts | 395,947 | — | — | 733,801 | 350 | ||||
Written options contracts | 17,636 | — | — | — | — | ||||
Swap contracts | (5,377) | — | — | — | — | ||||
Translation of other assets and liabilities in foreign currencies | — | — | — | 11 | — | ||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (2,973,427) | 9,628,051 | (76,019) | 687,688 | 637,390 | ||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (9,425,352) | 449,936 | (902,864) | (4,482,818) | (6,382) | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ (6,228,979) | $ 456,558 | $ 2,945,765 | $ (4,075,514) | $ 77,074 |
(1) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
82 |
For the Six-Month Period Ended January 31, 2023 (Unaudited)
Hartford Schroders Tax-Aware Bond ETF | Hartford Short Duration ETF | Hartford Sustainable Income ETF | Hartford Total Return Bond ETF | ||||
Investment Income: | |||||||
Dividends | $ — | $ — | $ 5,695 | $ — | |||
Interest | 1,125,603 | 1,266,943 | 1,183,701 | 18,443,046 | |||
Securities lending | — | 609 | — | 927 | |||
Less: Foreign tax withheld | — | — | (385) | — | |||
Total investment income, net | 1,125,603 | 1,267,552 | 1,189,011 | 18,443,973 | |||
Expenses: | |||||||
Investment management fees | 143,736 | 106,765 | 121,578 | 1,408,736 | |||
Total expenses | 143,736 | 106,765 | 121,578 | 1,408,736 | |||
Net Investment Income (Loss) | 981,867 | 1,160,787 | 1,067,433 | 17,035,237 | |||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||
Investments | (2,576,071) | (1,500,013) (1) | (1,302,067) | (38,381,194) (1) | |||
Futures contracts | — | (6,123) | 203,882 | 4,316,943 | |||
Written options contracts | — | — | 492,474 | 2,703,262 | |||
Swap contracts | — | — | (431,023) | (2,322,977) | |||
Foreign currency contracts | — | (43,506) | 148,950 | 815,776 | |||
Other foreign currency transactions | — | 27,051 | (84,029) | (95,295) | |||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (2,576,071) | (1,522,591) | (971,813) | (32,963,485) | |||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||
Investments | 1,807,921 | 862,345 | 1,281,766 | (1,318,223) | |||
Purchased options contracts | — | — | — | (14,560) | |||
Futures contracts | — | 75,384 | 406,014 | 6,135,761 | |||
Written options contracts | — | — | 25,179 | 105,774 | |||
Swap contracts | — | — | 263,075 | (325,886) | |||
Foreign currency contracts | — | (8,507) | (639,812) | (2,401,039) | |||
Translation of other assets and liabilities in foreign currencies | — | 10,866 | 12,932 | 22,892 | |||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 1,807,921 | 940,088 | 1,349,154 | 2,204,719 | |||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (768,150) | (582,503) | 377,341 | (30,758,766) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 213,717 | $ 578,284 | $ 1,444,774 | $ (13,723,529) |
(1) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
83 |
Hartford Core Bond ETF | Hartford Large Cap Growth ETF | ||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Year Ended July 31, 2022 | For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Period Ended July 31, 2022(1) | ||||
Operations: | |||||||
Net investment income (loss) | $ 3,196,373 | $ 3,697,424 | $ 6,622 | $ (164,773) | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (6,451,925) | (9,018,236) | (9,178,115) | (14,209,440) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (2,973,427) | (23,121,102) | 9,628,051 | (10,684,092) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,228,979) | (28,441,914) | 456,558 | (25,058,305) | |||
Distributions to Shareholders | (3,136,078) | (4,646,518) | — | — | |||
Fund Share Transactions: | |||||||
Sold | 13,766,271 | 46,707,732 | 2,735,157 | 106,067,640 | |||
Redeemed | (5,350,460) | (31,997,911) | (1,771,872) | (2,643,497) | |||
Other Capital | 6,143 | 39,093 | 55 | 4,107 | |||
Net increase (decrease) from capital share transactions | 8,421,954 | 14,748,914 | 963,340 | 103,428,250 | |||
Net Increase (Decrease) in Net Assets | (943,103) | (18,339,518) | 1,419,898 | 78,369,945 | |||
Net Assets: | |||||||
Beginning of period | 247,163,095 | 265,502,613 | 78,369,945 | — | |||
End of period | $ 246,219,992 | $ 247,163,095 | $ 79,789,843 | $ 78,369,945 |
(1) | Commenced operations on November 9, 2021. |
84 |
Hartford Municipal Opportunities ETF | Hartford Schroders Commodity Strategy ETF (Consolidated) | ||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Year Ended July 31, 2022 | For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Period Ended July 31, 2022(2) | ||||
Operations: | |||||||
Net investment income (loss) | $ 3,848,629 | $ 4,127,255 | $ 407,304 | $ (153,784) | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (826,845) | (4,331,211) | (5,170,506) | 13,111,263 | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (76,019) | (16,880,947) | 687,688 | (2,154,920) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,945,765 | (17,084,903) | (4,075,514) | 10,802,559 | |||
Distributions to Shareholders | (3,771,824) | (4,122,066) | (11,692,691) | — | |||
Fund Share Transactions: | |||||||
Sold | 82,986,699 | 154,794,634 | 15,666,165 | 57,498,527 | |||
Redeemed | (21,135,138) | (65,213,627) | (13,298,732) | (9,500,605) | |||
Other Capital | 61,581 | 72,292 | 4,345 | 22,801 | |||
Net increase (decrease) from capital share transactions | 61,913,142 | 89,653,299 | 2,371,778 | 48,020,723 | |||
Net Increase (Decrease) in Net Assets | 61,087,083 | 68,446,330 | (13,396,427) | 58,823,282 | |||
Net Assets: | |||||||
Beginning of period | 269,488,903 | 201,042,573 | 58,823,282 | — | |||
End of period | $ 330,575,986 | $ 269,488,903 | $ 45,426,855 | $ 58,823,282 |
(2) | Commenced operations on September 14, 2021. |
85 |
Hartford Schroders ESG US Equity ETF | Hartford Schroders Tax-Aware Bond ETF | ||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Period Ended July 31, 2022(3) | For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Year Ended July 31, 2022 | ||||
Operations: | |||||||
Net investment income (loss) | $ 83,456 | $ 130,907 | $ 981,867 | $ 1,477,875 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (643,772) | (440,295) | (2,576,071) | (2,353,348) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 637,390 | (420,262) | 1,807,921 | (6,151,499) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 77,074 | (729,650) | 213,717 | (7,026,972) | |||
Distributions to Shareholders | (89,337) | (131,067) | (965,814) | (2,569,586) | |||
Fund Share Transactions: | |||||||
Sold | — | 10,005,848 | 15,563,169 | 26,125,918 | |||
Redeemed | — | (25) | (18,403,219) | (36,936,455) | |||
Other Capital | — | — | 26,963 | 37,161 | |||
Net increase (decrease) from capital share transactions | — | 10,005,823 | (2,813,087) | (10,773,376) | |||
Net Increase (Decrease) in Net Assets | (12,263) | 9,145,106 | (3,565,184) | (20,369,934) | |||
Net Assets: | |||||||
Beginning of period | 9,145,106 | — | 85,337,765 | 105,707,699 | |||
End of period | $ 9,132,843 | $ 9,145,106 | $ 81,772,581 | $ 85,337,765 |
(3) | Commenced operations on August 10, 2021. |
86 |
Hartford Short Duration ETF | Hartford Sustainable Income ETF | ||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Year Ended July 31, 2022 | For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Period Ended July 31, 2022(4) | ||||
Operations: | |||||||
Net investment income (loss) | $ 1,160,787 | $ 2,040,314 | $ 1,067,433 | $ 1,150,789 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (1,522,591) | 161,158 | (971,813) | (1,426,126) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 940,088 | (6,125,986) | 1,349,154 | (6,578,121) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 578,284 | (3,924,514) | 1,444,774 | (6,853,458) | |||
Distributions to Shareholders | (1,194,127) | (2,433,610) | (1,420,711) | (1,227,062) | |||
Fund Share Transactions: | |||||||
Sold | — | 24,189,843 | 1,662,493 | 53,448,891 | |||
Redeemed | (20,859,473) | (64,332,148) | — | (39) | |||
Other Capital | 9,688 | 34,177 | 1,161 | 116,813 | |||
Net increase (decrease) from capital share transactions | (20,849,785) | (40,108,128) | 1,663,654 | 53,565,665 | |||
Net Increase (Decrease) in Net Assets | (21,465,628) | (46,466,252) | 1,687,717 | 45,485,145 | |||
Net Assets: | |||||||
Beginning of period | 82,775,130 | 129,241,382 | 45,485,145 | — | |||
End of period | $ 61,309,502 | $ 82,775,130 | $ 47,172,862 | $ 45,485,145 |
(4) | Commenced operations on September 21, 2021. |
87 |
Hartford Total Return Bond ETF | |||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | For the Year Ended July 31, 2022 | ||
Operations: | |||
Net investment income (loss) | $ 17,035,237 | $ 26,293,391 | |
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (32,963,485) | (42,492,016) | |
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 2,204,719 | (113,268,047) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | (13,723,529) | (129,466,672) | |
Distributions to Shareholders | (15,309,606) | (47,178,723) | |
Fund Share Transactions: | |||
Sold | 149,359,696 | 361,236,830 | |
Redeemed | (93,936,305) | (275,112,349) | |
Other Capital | 77,853 | 145,987 | |
Net increase (decrease) from capital share transactions | 55,501,244 | 86,270,468 | |
Net Increase (Decrease) in Net Assets | 26,468,109 | (90,374,927) | |
Net Assets: | |||
Beginning of period | 969,596,230 | 1,059,971,157 | |
End of period | $ 996,064,339 | $ 969,596,230 |
88 |
—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 (000s) | 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 Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 36.62 | $ 0.47 | $ (1.46) | $ (0.99) | $ — | $ (0.46) | $ — | $ (0.46) | $ 35.17 | (2.68)% (5) | $ 246,220 | 0.29% (6) | 0.29% (6) | 2.67% (6) | 28% (7) | |||||||||||||||
For the Year Ended July 31, 2022 | |||||||||||||||||||||||||||||
$ 41.48 | $ 0.55 | $ (4.72) | $ (4.17) | $ 0.01 | $ (0.56) | $ (0.14) | $ (0.70) | $ 36.62 | (10.11)% | $ 247,163 | 0.29% | 0.29% | 1.42% | 36% (7) | |||||||||||||||
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% (7) | |||||||||||||||
For the Period Ended July 31, 2020(8) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.21 | $ 2.50 | $ 2.71 | $ 0.05 | $ (0.24) | $ — | $ (0.24) | $ 42.52 | 6.91% (5) | $ 138,187 | 0.29% (6) | 0.29% (6) | 1.19% (6) | 26% (7) | |||||||||||||||
Hartford Large Cap Growth ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 12.95 | $ — | $ 0.08 | $ 0.08 | $ — | $ — | $ — | $ — | $ 13.03 | 0.62% (5) | $ 79,790 | 0.59% (6) | 0.59% (6) | 0.02% (6) | 48% | |||||||||||||||
For the Period Ended July 31, 2022(9) | |||||||||||||||||||||||||||||
$ 20.00 | $ (0.04) | $ (7.01) | $ (7.05) | $ 0.00 (10) | $ — | $ — | $ — | $ 12.95 | (35.25)% (5) | $ 78,370 | 0.59% (6) | 0.59% (6) | (0.38)% (6) | 90% | |||||||||||||||
Hartford Municipal Opportunities ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 38.78 | $ 0.49 | $ (0.37) | $ 0.12 | $ 0.01 | $ (0.47) | $ — | $ (0.47) | $ 38.44 | 0.38% (5) | $ 330,576 | 0.29% (6) | 0.29% (6) | 2.58% (6) | 6% | |||||||||||||||
For the Year Ended July 31, 2022 | |||||||||||||||||||||||||||||
$ 42.32 | $ 0.69 | $ (3.56) | $ (2.87) | $ 0.01 | $ (0.68) | $ — | $ (0.68) | $ 38.78 | (6.80)% | $ 269,489 | 0.29% | 0.29% | 1.73% | 37% | |||||||||||||||
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(11) | $ 0.95(11) | $ 1.99 | $ 0.02 | $ (1.06) | $ (0.15) | $ (1.21) | $ 42.52 | 4.90% | $ 106,291 | 0.29% | 0.29% | 2.49% (11) | 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(12) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.54 | $ (0.37) | $ 0.17 | $ 0.07 | $ (0.52) | $ — | $ (0.52) | $ 39.72 | 0.60% (5) | $ 11,916 | 0.34% (6) | 0.34% (6) | 2.18% (6) | 37% | |||||||||||||||
Hartford Schroders Commodity Strategy ETF (Consolidated) | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 25.03 | $ 0.17 | $ (2.26) | $ (2.09) | $ — | $ (6.27) | $ — | $ (6.27) | $ 16.67 | (9.95)% (5) | $ 45,427 | 1.04% (6) | 0.89% (6) | 1.82% (6) | 1% | |||||||||||||||
For the Period Ended July 31, 2022(13) | |||||||||||||||||||||||||||||
$ 20.00 | $ (0.09) | $ 5.11 | $ 5.02 | $ 0.01 | $ — | $ — | $ — | $ 25.03 | 25.15% (5) | $ 58,823 | 1.05% (6) | 0.89% (6) | (0.43)% (6) | 407% | |||||||||||||||
Hartford Schroders ESG US Equity ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 22.86 | $ 0.21 | $ (0.02) | $ 0.19 | $ — | $ (0.22) | $ — | $ (0.22) | $ 22.83 | 0.93% (5) | $ 9,133 | 0.39% (6) | 0.39% (6) | 1.88% (6) | 46% | |||||||||||||||
For the Period Ended July 31, 2022(14) | |||||||||||||||||||||||||||||
$ 25.00 | $ 0.33 | $ (2.14) | $ (1.81) | $ — | $ (0.33) | $ — | $ (0.33) | $ 22.86 | (7.33)% (5) | $ 9,145 | 0.39% (6) | 0.39% (6) | 1.39% (6) | 58% | |||||||||||||||
Hartford Schroders Tax-Aware Bond ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 19.85 | $ 0.26 | $ (0.16) | $ 0.10 | $ 0.01 | $ (0.26) | $ — | $ (0.26) | $ 19.70 | 0.61% (5) | $ 81,773 | 0.39% (6) | 0.39% (6) | 2.66% (6) | 67% | |||||||||||||||
For the Year Ended July 31, 2022 | |||||||||||||||||||||||||||||
$ 21.80 | $ 0.31 | $ (1.74) | $ (1.43) | $ 0.01 | $ (0.32) | $ (0.21) | $ (0.53) | $ 19.85 | (6.58)% | $ 85,338 | 0.39% | 0.39% | 1.51% | 116% |
89 |
—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 (000s) | 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 Schroders Tax-Aware Bond ETF – (continued) | |||||||||||||||||||||||||||||
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(15) | |||||||||||||||||||||||||||||
$ 20.00 | $ 0.11 | $ (0.06) | $ 0.05 | $ 0.02 | $ (0.09) | $ — | $ (0.09) | $ 19.98 | 0.37% (5) | $ 20,983 | 0.39% (6) | 0.39% (6) | 1.93% (6) | 60% | |||||||||||||||
Hartford Short Duration ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 38.50 | $ 0.60 | $ (0.15) | $ 0.45 | $ 0.01 | $ (0.64) | $ — | $ (0.64) | $ 38.32 | 1.23% (5) | $ 61,310 | 0.29% (6) | 0.29% (6) | 3.15% (6) | 5% (16) | |||||||||||||||
For the Year Ended July 31, 2022 | |||||||||||||||||||||||||||||
$ 41.03 | $ 0.77 | $ (2.41) | $ (1.64) | $ 0.01 | $ (0.85) | $ (0.05) | $ (0.90) | $ 38.50 | (4.01)% | $ 82,775 | 0.29% | 0.29% | 1.92% | 41% (16) | |||||||||||||||
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% (16) | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 40.70 | $ 1.29(11) | $ 0.20(11) | $ 1.49 | $ 0.02 | $ (1.33) | $ — | $ (1.33) | $ 40.88 | 3.78% | $ 87,882 | 0.29% | 0.29% | 3.19% (11) | 29% (16) | |||||||||||||||
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(17) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.19 | $ (0.09) | $ 0.10 | $ 0.02 | $ (0.15) | $ — | $ (0.15) | $ 39.97 | 0.31% (5) | $ 19,983 | 0.29% (6) | 0.29% (6) | 2.75% (6) | 1% | |||||||||||||||
Hartford Sustainable Income ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 33.69 | $ 0.78 | $ 0.25 | $ 1.03 | $ — | $ (1.03) | $ — | $ (1.03) | $ 33.69 | 3.20% (5) | $ 47,173 | 0.54% (6) | 0.54% (6) | 4.74% (6) | 31% (18) | |||||||||||||||
For the Period Ended July 31, 2022(19) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.91 | $ (6.35) | $ (5.44) | $ 0.09 | $ (0.96) | $ — | $ (0.96) | $ 33.69 | (13.52)% (5) | $ 45,485 | 0.54% (6) | 0.54% (6) | 2.87% (6) | 39% (18) | |||||||||||||||
Hartford Total Return Bond ETF | |||||||||||||||||||||||||||||
For the Six-Month Period Ended January 31, 2023 (Unaudited) | |||||||||||||||||||||||||||||
$ 35.19 | $ 0.59 | $ (1.14) | $ (0.55) | $ — | $ (0.53) | $ — | $ (0.53) | $ 34.11 | (1.54)% (5) | $ 996,064 | 0.29% (6) | 0.29% (6) | 3.51% (6) | 33% (20) | |||||||||||||||
For the Year Ended July 31, 2022 | |||||||||||||||||||||||||||||
$ 41.16 | $ 0.93 | $ (5.18) | $ (4.25) | $ 0.01 | $ (1.02) | $ (0.71) | $ (1.73) | $ 35.19 | (10.60)% | $ 969,596 | 0.29% | 0.29% | 2.46% | 61% (20) | |||||||||||||||
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% (20) | |||||||||||||||
For the Year Ended July 31, 2020 | |||||||||||||||||||||||||||||
$ 40.87 | $ 1.13(21) | $ 2.90(21) | $ 4.03 | $ 0.02 | $ (1.35) | $ (1.05) | $ (2.40) | $ 42.52 | 10.34% | $ 697,309 | 0.29% | 0.29% | 2.76% (21) | 79% (20) | |||||||||||||||
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% | |||||||||||||||
For the Period Ended July 31, 2018(22) | |||||||||||||||||||||||||||||
$ 40.00 | $ 0.77 | $ (1.14) | $ (0.37) | $ 0.08 | $ (0.72) | $ — | $ (0.72) | $ 38.99 | (0.71)% (5) | $ 44,835 | 0.38% (6) | 0.38% (6) | 2.35% (6) | 46% |
90 |
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) | Adjustments include waivers and reimbursements, if applicable. |
(4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 162% for the period ended January 31, 2023, 363%, 362% and 177% for the years ended July 31, 2022 and July 31, 2021 and the period ended July 31, 2020, respectively. |
(8) | Commenced operations on February 19, 2020. |
(9) | Commenced operations on November 9, 2021. |
(10) | Per share amount is less than $0.005. |
(11) | 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. |
(12) | Commenced operations on December 13, 2017. |
(13) | Commenced operations on September 14, 2021. |
(14) | Commenced operations on August 10, 2021. |
(15) | Commenced operations on April 18, 2018. |
(16) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 47% for the period ended January 31, 2023 and 47%, 53% and 41% for the years ended July 31, 2022, July 31, 2021 and July 31, 2020, respectively. |
(17) | Commenced operations on May 30, 2018. |
(18) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 92% for the period ended January 31, 2023 and 143% for the year ended July 31, 2022, respectively. |
(19) | Commenced operations on September 21, 2021. |
(20) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 208% for the period ended January 31, 2023, 450%, 499% and 659% for the years ended July 31, 2022, July 31, 2021 and July 31, 2020, respectively. |
(21) | 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. |
(22) | Commenced operations on September 27, 2017. |
91 |
January 31, 2023 (Unaudited)
1. | Organization: |
Hartford Funds Exchange-Traded Trust (the "Trust") is an open-end registered management investment company comprised of nine operational series as of January 31, 2023. 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 Large Cap Growth ETF (the "Large Cap Growth ETF") |
Hartford Municipal Opportunities ETF (the "Municipal Opportunities ETF") |
Hartford Schroders Commodity Strategy ETF (Consolidated) (the "Commodity Strategy ETF") |
Hartford Schroders ESG US Equity ETF (the "ESG US Equity ETF") |
Hartford Schroders Tax-Aware Bond ETF (the "Tax-Aware Bond ETF") |
Hartford Short Duration ETF (the "Short Duration ETF") |
Hartford Sustainable Income ETF (the "Sustainable Income 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 net asset value ("NAV") of each Fund's shares is determined as 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 the Exchange 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 from Authorized Participants 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 |
92 |
January 31, 2023 (Unaudited)
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. | |
With respect to a Fund's investments that do not have readily available market prices, the Trust's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). | |
If market prices are not readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures"). | |
The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. | |
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 ("Exchange Close"). 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 Exchange Close. 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 Exchange Close. Over-the-counter derivatives 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, sell or redeem 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. | |
Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded 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 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 |
93 |
January 31, 2023 (Unaudited)
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. |
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 (loss) 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 Core Bond ETF, Municipal Opportunities ETF, Tax-Aware Bond ETF, Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF is to pay dividends from net investment income, if any, monthly and realized gains, if any, at least once a year. The policy of Large Cap Growth ETF and Commodity Strategy ETF is to pay dividends from net investment income, if any, annually, and realized gains, if any, at least once a year. The policy of ESG US Equity ETF is to pay dividends from net investment income, if any, quarterly, 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. |
94 |
January 31, 2023 (Unaudited)
g) | Basis for Consolidation – The Commodity Strategy ETF may invest up to 25% of its total assets in a wholly-owned subsidiary of the Commodity Strategy ETF (the "Subsidiary"). The Subsidiary is organized under the laws of the Cayman Islands and is consolidated in the Commodity Strategy ETF’s financial statements. All intercompany balances, revenues, and expenses have been eliminated in consolidation. The Subsidiary acts as an investment vehicle in order to enter into certain investments (primarily commodities) for the Commodity Strategy ETF consistent with the investment objectives and policies specified in the Prospectus and Statement of Additional Information. |
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 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 January 31, 2023. |
A 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. See each Fund's Schedule of Investments, if applicable, for TBA commitments as of January 31, 2023. |
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 January 31, 2023. |
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. |
95 |
January 31, 2023 (Unaudited)
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 January 31, 2023. | |
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's Board has delegated to the sub-adviser(s), as applicable, the 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. 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 January 31, 2023. |
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 period ended January 31, 2023, each of Core Bond ETF, Commodity Strategy ETF, ESG US Equity ETF, Short Duration ETF, Sustainable Income 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. | |
During the period ended January 31, 2023, each of Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF had used Foreign Currency Contracts. |
96 |
January 31, 2023 (Unaudited)
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 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. |
During the period ended January 31, 2023, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had used Options Contracts. |
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 |
97 |
January 31, 2023 (Unaudited)
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 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 period ended January 31, 2023, each of Core Bond ETF, Sustainable Income 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. | |
During the period ended January 31, 2023, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had used Interest Rate Swap Contracts. |
98 |
January 31, 2023 (Unaudited)
e) | Additional Derivative Instrument Information: |
Core Bond ETF | |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on swap contracts(1) | $ — | $ — | $ 2,945 | $ — | $ — | $ 2,945 | |||||
Total | $ — | $ — | $ 2,945 | $ — | $ — | $ 2,945 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(2) | $ 724,256 | $ — | $ — | $ — | $ — | $ 724,256 | |||||
Unrealized depreciation on swap contracts(1) | 2,314 | — | 6,008 | — | — | 8,322 | |||||
Total | $ 726,570 | $ — | $ 6,008 | $ — | $ — | $ 732,578 |
(1) | 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. |
(2) | 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 period ended January 31, 2023: | |||||||||||
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 | $ 3,412,849 | $ — | $ — | $ — | $ — | $ 3,412,849 | |||||
Net realized gain (loss) on written options contracts | 442,577 | — | — | — | — | 442,577 | |||||
Net realized gain (loss) on swap contracts | 2 | — | (396,153) | — | — | (396,151) | |||||
Total | $ 3,855,428 | $ — | $ (396,153) | $ — | $ — | $ 3,459,275 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ 395,947 | $ — | $ — | $ — | $ — | $ 395,947 | |||||
Net change in unrealized appreciation (depreciation) of written options contracts | 17,636 | — | — | — | — | 17,636 | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | (2,314) | — | (3,063) | — | — | (5,377) | |||||
Total | $ 411,269 | $ — | $ (3,063) | $ — | $ — | $ 408,206 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 70 | |
Futures Contracts Number of Short Contracts | (471) | |
Written Options at Notional Amount | $ (23,218,333) | |
Swap Contracts at Notional Amount | $ 2,251,667 |
99 |
January 31, 2023 (Unaudited)
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ — | $ — | $ — | $ — | $ 1,553,487 | $ 1,553,487 | |||||
Total | $ — | $ — | $ — | $ — | $ 1,553,487 | $ 1,553,487 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ — | $ 3,019,297 | $ 3,019,297 | |||||
Total | $ — | $ — | $ — | $ — | $ 3,019,297 | $ 3,019,297 |
(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 period ended January 31, 2023: | |||||||||||
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 | $ — | $ — | $ — | $ — | $ (5,262,022) | $ (5,262,022) | |||||
Total | $ — | $ — | $ — | $ — | $ (5,262,022) | $ (5,262,022) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ — | $ 733,801 | $ 733,801 | |||||
Total | $ — | $ — | $ — | $ — | $ 733,801 | $ 733,801 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 695 | |
Futures Contracts Number of Short Contracts | (58) |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ — | $ — | $ — | $ 929 | $ — | $ 929 | |||||
Total | $ — | $ — | $ — | $ 929 | $ — | $ 929 |
(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. |
100 |
January 31, 2023 (Unaudited)
The Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2023: | |||||||||||
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 | $ — | $ — | $ — | $ (291) | $ — | $ (291) | |||||
Total | $ — | $ — | $ — | $ (291) | $ — | $ (291) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ 350 | $ — | $ 350 | |||||
Total | $ — | $ — | $ — | $ 350 | $ — | $ 350 |
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 2 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ 41,147 | $ — | $ — | $ — | $ — | $ 41,147 | |||||
Unrealized appreciation on foreign currency contracts | — | 4,133 | — | — | — | 4,133 | |||||
Total | $ 41,147 | $ 4,133 | $ — | $ — | $ — | $ 45,280 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 66,744 | $ — | $ — | $ — | $ — | $ 66,744 | |||||
Unrealized depreciation on foreign currency contracts | — | 6,244 | — | — | — | 6,244 | |||||
Total | $ 66,744 | $ 6,244 | $ — | $ — | $ — | $ 72,988 |
(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 period ended January 31, 2023: | |||||||||||
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 | $ (6,123) | $ — | $ — | $ — | $ — | $ (6,123) | |||||
Net realized gain (loss) on foreign currency contracts | — | (43,506) | — | — | — | (43,506) | |||||
Total | $ (6,123) | $ (43,506) | $ — | $ — | $ — | $ (49,629) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ 75,384 | $ — | $ — | $ — | $ — | $ 75,384 | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (8,507) | — | — | — | (8,507) | |||||
Total | $ 75,384 | $ (8,507) | $ — | $ — | $ — | $ 66,877 |
101 |
January 31, 2023 (Unaudited)
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 61 | |
Futures Contracts Number of Short Contracts | (60) | |
Foreign Currency Contracts Purchased at Contract Amount | $ 209,234 | |
Foreign Currency Contracts Sold at Contract Amount | $ 1,240,932 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
Risk Exposure Category | |||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Total | ||||||
Assets: | |||||||||||
Unrealized appreciation on futures contracts(1) | $ 260,916 | $ — | $ — | $ — | $ — | $ 260,916 | |||||
Unrealized appreciation on foreign currency contracts | — | 42,366 | — | — | — | 42,366 | |||||
Unrealized appreciation on swap contracts(2) | 1,494 | — | 288,134 | — | — | 289,628 | |||||
Total | $ 262,410 | $ 42,366 | $ 288,134 | $ — | $ — | $ 592,910 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 59,783 | $ — | $ — | $ — | $ — | $ 59,783 | |||||
Unrealized depreciation on foreign currency contracts | — | 342,214 | — | — | — | 342,214 | |||||
Unrealized depreciation on swap contracts(2) | 612 | — | 7,647 | — | — | 8,259 | |||||
Total | $ 60,395 | $ 342,214 | $ 7,647 | $ — | $ — | $ 410,256 |
(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 period ended January 31, 2023: | |||||||||||
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 | $ 203,882 | $ — | $ — | $ — | $ — | $ 203,882 | |||||
Net realized gain (loss) on written options contracts | 492,474 | — | — | — | — | 492,474 | |||||
Net realized gain (loss) on swap contracts | — | — | (431,023) | — | — | (431,023) | |||||
Net realized gain (loss) on foreign currency contracts | — | 148,950 | — | — | — | 148,950 | |||||
Total | $ 696,356 | $ 148,950 | $ (431,023) | $ — | $ — | $ 414,283 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ 406,014 | $ — | $ — | $ — | $ — | $ 406,014 | |||||
Net change in unrealized appreciation (depreciation) of written options contracts | 25,179 | — | — | — | — | 25,179 | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | 882 | — | 262,193 | — | — | 263,075 | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (639,812) | — | — | — | (639,812) | |||||
Total | $ 432,075 | $ (639,812) | $ 262,193 | $ — | $ — | $ 54,456 |
102 |
January 31, 2023 (Unaudited)
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 98 | |
Futures Contracts Number of Short Contracts | (82) | |
Written Options at Notional Amount | $ (5,137,333) | |
Swap Contracts at Notional Amount | $ 4,168,408 | |
Foreign Currency Contracts Purchased at Contract Amount | $ 593,383 | |
Foreign Currency Contracts Sold at Contract Amount | $ 12,113,007 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2023: | |||||||||||
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 | $ 131,237 | $ — | $ — | $ — | $ — | $ 131,237 | |||||
Unrealized appreciation on futures contracts(1) | 2,398,675 | — | — | — | — | 2,398,675 | |||||
Unrealized appreciation on foreign currency contracts | — | 12,188 | — | — | — | 12,188 | |||||
Unrealized appreciation on swap contracts(2) | 31,831 | — | 46,654 | — | — | 78,485 | |||||
Total | $ 2,561,743 | $ 12,188 | $ 46,654 | $ — | $ — | $ 2,620,585 | |||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ 1,425,836 | $ — | $ — | $ — | $ — | $ 1,425,836 | |||||
Unrealized depreciation on foreign currency contracts | — | 799,123 | — | — | — | 799,123 | |||||
Unrealized depreciation on swap contracts(2) | 5,021 | — | 22,533 | — | — | 27,554 | |||||
Total | $ 1,430,857 | $ 799,123 | $ 22,533 | $ — | $ — | $ 2,252,513 |
(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 period ended January 31, 2023: | |||||||||||
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 | $ 4,316,943 | $ — | $ — | $ — | $ — | $ 4,316,943 | |||||
Net realized gain (loss) on written options contracts | 2,703,262 | — | — | — | — | 2,703,262 | |||||
Net realized gain (loss) on swap contracts | 24,656 | — | (2,347,633) | — | — | (2,322,977) | |||||
Net realized gain (loss) on foreign currency contracts | — | 815,776 | — | — | — | 815,776 | |||||
Total | $ 7,044,861 | $ 815,776 | $ (2,347,633) | $ — | $ — | $ 5,513,004 | |||||
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 | $ (14,560) | $ — | $ — | $ — | $ — | $ (14,560) | |||||
Net change in unrealized appreciation (depreciation) of futures contracts | 6,135,761 | — | — | — | — | 6,135,761 | |||||
Net change in unrealized appreciation (depreciation) of written options contracts | 105,774 | — | — | — | — | 105,774 | |||||
Net change in unrealized appreciation (depreciation) of swap contracts | 85,647 | — | (411,533) | — | — | (325,886) | |||||
Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | (2,401,039) | — | — | — | (2,401,039) | |||||
Total | $ 6,312,622 | $ (2,401,039) | $ (411,533) | $ — | $ — | $ 3,500,050 |
103 |
January 31, 2023 (Unaudited)
Derivative Description | Average Notional Par, Contracts or Face Amount | |
Purchased Options at Notional Amount | $ 652,333 | |
Futures Contracts Number of Long Contracts | 1,239 | |
Futures Contracts Number of Short Contracts | (1,780) | |
Written Options at Notional Amount | $ (142,395,000) | |
Swap Contracts at Notional Amount | $ 14,836,833 | |
Foreign Currency Contracts Purchased at Contract Amount | $ 4,436,808 | |
Foreign Currency Contracts Sold at Contract Amount | $ 32,162,276 |
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. |
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 January 31, 2023: | |
Core Bond ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (724,256) | ||
Swap contracts | 2,945 | (8,322) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 2,945 | (732,578) | ||
Derivatives not subject to a MNA | (2,945) | 732,578 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Commodity Strategy ETF (Consolidated) | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ 1,553,487 | $ (3,019,297) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 1,553,487 | (3,019,297) | ||
Derivatives not subject to a MNA | (1,553,487) | 3,019,297 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
ESG US Equity ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ 929 | $ — | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 929 | — | ||
Derivatives not subject to a MNA | (929) | — | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
104 |
January 31, 2023 (Unaudited)
Short Duration ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ 4,133 | $ (6,244) | ||
Futures contracts | 41,147 | (66,744) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 45,280 | (72,988) | ||
Derivatives not subject to a MNA | (41,147) | 66,744 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 4,133 | $ (6,244) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||
Toronto-Dominion Bank | $ 4,133 | $ (4,133) | $ — | $ — | $ — | |||||
Total | $ 4,133 | $ (4,133) | $ — | $ — | $ — | |||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||
Toronto-Dominion Bank | $ (6,244) | $ 4,133 | $ — | $ — | $ (2,111) | |||||
Total | $ (6,244) | $ 4,133 | $ — | $ — | $ (2,111) |
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Sustainable Income ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ 42,366 | $ (342,214) | ||
Futures contracts | 260,916 | (59,783) | ||
Swap contracts | 289,628 | (8,259) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 592,910 | (410,256) | ||
Derivatives not subject to a MNA | (550,544) | 68,042 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 42,366 | $ (342,214) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||
JP Morgan Chase & Co. | $ 53 | $ (53) | $ — | $ — | $ — | |||||
Morgan Stanley | 2,071 | (2,071) | — | — | — | |||||
State Street Global Markets LLC | 21,438 | — | — | — | 21,438 | |||||
Toronto-Dominion Bank | 18,804 | — | — | — | 18,804 | |||||
Total | $ 42,366 | $ (2,124) | $ — | $ — | $ 40,242 | |||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||
Barclays | $ (76,023) | $ — | $ — | $ — | $ (76,023) | |||||
BNP Paribas Securities Services | (77,593) | — | — | — | (77,593) | |||||
Citibank NA | (65,054) | — | — | — | (65,054) | |||||
Goldman Sachs & Co. | (8) | — | — | — | (8) | |||||
JP Morgan Chase & Co. | (41,776) | 53 | — | — | (41,723) | |||||
Morgan Stanley | (66,217) | 2,071 | — | — | (64,146) | |||||
UBS AG | (15,543) | — | — | — | (15,543) | |||||
Total | $ (342,214) | $ 2,124 | $ — | $ — | $ (340,090) |
105 |
January 31, 2023 (Unaudited)
* | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Total Return Bond ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Foreign currency contracts | $ 12,188 | $ (799,123) | ||
Futures contracts | 2,398,675 | (1,425,836) | ||
Purchased options | 131,237 | — | ||
Swap contracts | 78,485 | (27,554) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 2,620,585 | (2,252,513) | ||
Derivatives not subject to a MNA | (2,477,160) | 1,453,390 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ 143,425 | $ (799,123) |
Counterparty | Gross Amount of Assets | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Assets | |||||
Barclays | $ 249 | $ (249) | $ — | $ — | $ — | |||||
Deutsche Bank Securities, Inc. | 131,237 | — | — | — | 131,237 | |||||
Morgan Stanley | 11,208 | — | — | — | 11,208 | |||||
State Street Global Markets LLC | 26 | — | — | — | 26 | |||||
Toronto-Dominion Bank | 705 | — | — | — | 705 | |||||
Total | $ 143,425 | $ (249) | $ — | $ — | $ 143,176 | |||||
Counterparty | Gross Amount of Liabilities | Financial Instruments and Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Liabilities | |||||
Barclays | $ (601,430) | $ 249 | $ — | $ — | $ (601,181) | |||||
Commonwealth Bank of Australia | (135) | — | — | — | (135) | |||||
Goldman Sachs & Co. | (197,472) | — | — | — | (197,472) | |||||
JP Morgan Chase & Co. | (86) | — | — | — | (86) | |||||
Total | $ (799,123) | $ 249 | $ — | $ — | $ (798,874) |
* | 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. Each Fund's prospectus provides details of its principal risks. | |
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. | |
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 outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, created supply chain disruptions and labor shortages, and impacted the financial health of individual companies and the market in significant and unforeseen ways. The future impact of COVID-19 remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic have had, and may continue to have, a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks. | |
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 |
106 |
January 31, 2023 (Unaudited)
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. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including imposition of sanctions, tariffs, or other governmental restrictions). 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 use of certain London Interbank Offered Rates (collectively, "LIBOR") was generally phased out by the end of 2021, and some regulated entities (such as banks) have ceased to enter into new LIBOR-based contracts beginning January 1, 2022. However, it is expected that the most widely used tenors of U.S. LIBOR may continue to be provided on a representative basis until mid-2023. In some instances, regulators may restrict new use of LIBOR prior to the actual cessation date. There remains uncertainty regarding the future use of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate (“SOFR”), which is a measure of the cost of borrowing cash overnight, collateralized by the U.S. Treasury securities and is intended to replace the U.S. dollar LIBOR). 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 mid-2023. | |
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. | |
Geopolitical events, including the invasion of Ukraine by Russia, have interjected uncertainty into the global financial markets. Investments in Russia are subject to political, economic, legal, market and currency risks, as well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions which affect companies in many sectors, including energy, financial services and defense, among others have adversely affected and could adversely affect the global energy and financial markets and, thus, have adversely affected and could affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions. |
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 |
107 |
January 31, 2023 (Unaudited)
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, 2023. 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) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
At July 31, 2022 (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 | ||
Large Cap Growth ETF | $ 13,309,406 | $ — | ||
Municipal Opportunities ETF | 3,080,578 | 1,454,243 | ||
Commodity Strategy ETF (Consolidated) | 127,996 | — | ||
Sustainable Income ETF | 1,859,957 | 469,196 |
c) | Tax Basis of Investment- The aggregate cost of investments for federal income tax purposes at January 31, 2023 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which consists of gross unrealized appreciation and depreciation, is disclosed below: |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Core Bond ETF | $ 331,297,457 | $ 1,255,387 | $ (27,323,092) | $ (26,067,705) | ||||
Large Cap Growth ETF | 79,939,873 | 5,756,616 | (6,812,657) | (1,056,041) | ||||
Municipal Opportunities ETF | 336,793,120 | 3,596,501 | (12,083,664) | (8,487,163) | ||||
Commodity Strategy ETF (Consolidated) | 39,625,137 | 1,553,487 | (3,020,668) | (1,467,181) | ||||
ESG US Equity ETF | 8,985,869 | 696,135 | (479,007) | 217,128 | ||||
Tax-Aware Bond ETF | 84,312,883 | 1,177,079 | (2,971,497) | (1,794,418) | ||||
Short Duration ETF | 63,843,244 | 134,672 | (3,939,262) | (3,804,590) | ||||
Sustainable Income ETF | 56,549,168 | 1,101,466 | (6,333,454) | (5,231,988) | ||||
Total Return Bond ETF | 1,269,763,843 | 8,702,907 | (94,146,920) | (85,444,013) |
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, Large Cap Growth ETF, Municipal Opportunities ETF, Short Duration ETF, Sustainable Income 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 with respect to Commodity Strategy ETF, ESG US Equity ETF, and Tax-Aware Bond ETF. SIMNA has contracted with Schroder Investment Management North America Limited ("SIMNA Ltd.") under sub-sub-advisory agreement with respect to Commodity Strategy ETF, ESG US Equity ETF and Tax-Aware Bond ETF. SIMNA performs the daily investment of the assets of such ETFs in accordance with each 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. |
108 |
January 31, 2023 (Unaudited)
Under the Investment Management Agreement, the Investment Manager agrees to pay all expenses of the Trust, except (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) 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 January 31, 2023; 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% | |
Large Cap Growth ETF | 0.59% | |
Municipal Opportunities ETF | 0.29% | |
Commodity Strategy ETF (Consolidated)(1) | 0.89% | |
ESG US Equity ETF | 0.39% | |
Tax-Aware Bond ETF | 0.39% | |
Short Duration ETF | 0.29% | |
Sustainable Income ETF | 0.54% | |
Total Return Bond ETF | 0.29% |
(1) | HFMC has contractually agreed to waive the management fee for Commodity Strategy ETF in an amount equal to the management fee paid to it by the Fund’s Subsidiary and the other expenses of the Subsidiary (exclusive of (i) interest and taxes; (ii) brokerage commissions and other expenses (such as stamp taxes) connected with the execution of portfolio transactions; (iii) legal fees in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith and any obligation which the Subsidiary may have to indemnify its officers and Trustees with respect thereto; (iv) such extraordinary non-recurring expenses as may arise; and (v) acquired fund fees and expenses). This waiver will remain in effect for as long as the Commodity Strategy ETF remains invested in the Subsidiary. For the period ended January 31, 2023, HFMC waived expenses in the amount of 0.15% of the Fund's average daily net assets. |
b) | Accounting Services Agreement - HFMC provides the Funds with accounting services pursuant to a fund accounting agreement by and between the Trust, on behalf of each Fund and HFMC. HFMC is not entitled to any compensation under this agreement. HFMC has delegated certain accounting and administrative services functions to State Street Bank and Trust Company ("State Street"). The cost and expenses of such delegation are born by HFMC, not the Funds. For the Commodity Strategy ETF, the Subsidiary incurs custodian fees and fund accounting fees, but the fees are born by HFMC through the management fee waiver. |
c) | Fees Paid Indirectly – The Large Cap Growth ETF Fund has entered into agreements with State Street Global Markets, LLC and Russell Implementation Services, Inc, to partially recapture non-discounted trade commissions. Such rebates are used to pay a portion of the Fund’s expenses. For the six-month period ended January 31, 2023, the amount is included in the Statement of Operations. |
For the six-month period ended January 31, 2023, the amount of fees recaptured did not impact the ratio of expenses to average net assets in the accompanying financial highlights. |
d) | 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. |
e) | 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 period ended January 31, 2023, 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. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit of a Fund by the Fund’s lending agent pursuant to |
109 |
January 31, 2023 (Unaudited)
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. The contractual maturities of the securities lending transactions are considered overnight and continuous. The Commodity Strategy ETF does not currently engage in securities lending. | |
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; (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also trigger adverse tax consequences for the Fund. | |
A Fund retains loan fees and the interest on cash collateral investments but is 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 applicable Fund). Upon termination of a loan, a Fund is 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. A Fund also receives 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 for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of January 31, 2023. | |
Fund | Investment Securities on Loan, at market value, Presented on the Statements of Assets and Liabilities | Cash Collateral(1) | Non-Cash Collateral(1) | |||
Core Bond ETF | $ — | $ — | $ — | |||
Large Cap Growth ETF | — | — | — | |||
Municipal Opportunities ETF | — | — | — | |||
ESG US Equity ETF | 81,877 | 79,987 | — | |||
Tax-Aware Bond ETF | — | — | — | |||
Short Duration ETF | — | — | — | |||
Sustainable Income ETF | — | — | — | |||
Total Return Bond ETF | 200,590 | 213,000 | — |
(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 due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
9. | 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. |
110 |
January 31, 2023 (Unaudited)
10. | Affiliate Holdings: |
As of January 31, 2023, affiliates of The Hartford had ownership of shares in certain Funds as follows: | |
Fund | Percentage of Fund | |
Large Cap Growth ETF | 10% | |
Commodity Strategy ETF (Consolidated) | 9% | |
ESG US Equity ETF | 49% | |
Sustainable Income ETF | 44% |
Fund | Percentage of Fund | |
Core Bond ETF | 79% | |
Large Cap Growth ETF | 65% | |
Commodity Strategy ETF (Consolidated) | 36% | |
Total Return Bond ETF | 47% |
11. | Beneficial Fund Ownership: |
As of January 31, 2023, to the knowledge of a Fund, the shareholders listed below beneficially held more than 25% of the shares outstanding of a Fund. | |
Fund | Shareholder | Percentage of Ownership | ||
ESG US Equity ETF | Schroder US Holdings, Inc | 49% | ||
Hartford Funds Management Company, LLC | 49% | |||
Sustainable Income ETF | Hartford Funds Management Company, LLC | 44% |
12. | Investment Transactions: |
For the period ended January 31, 2023, 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 | $ 24,368,486 | $ 43,160,440 | $ 46,794,743 | $ 22,493,143 | $ 71,163,229 | $ 65,653,583 | ||||||
Large Cap Growth ETF | 41,977,459 | 41,148,793 | — | — | 41,977,459 | 41,148,793 | ||||||
Municipal Opportunities ETF | 88,249,126 | 15,810,843 | — | — | 88,249,126 | 15,810,843 | ||||||
Commodity Strategy ETF (Consolidated) | 2,395 | 314,121 | — | — | 2,395 | 314,121 | ||||||
ESG US Equity ETF | 3,982,498 | 3,990,169 | — | — | 3,982,498 | 3,990,169 | ||||||
Tax-Aware Bond ETF | 15,861,153 | 29,854,195 | 31,276,629 | 30,478,867 | 47,137,782 | 60,333,062 | ||||||
Short Duration ETF | 3,370,165 | 11,014,496 | — | 1,297,271 | 3,370,165 | 12,311,767 | ||||||
Sustainable Income ETF | 3,299,367 | 4,093,046 | 11,026,265 | 7,946,024 | 14,325,632 | 12,039,070 | ||||||
Total Return Bond ETF | 87,983,397 | 190,905,398 | 255,753,041 | 124,183,968 | 343,736,438 | 315,089,366 |
Fund | Cost of Purchases | Sales Proceeds | Realized Gain/(Loss) | |||
Core Bond ETF | $ 7,676,199 | $ 2,941,208 | $ 10,133 | |||
Large Cap Growth ETF | 2,394,416 | 1,557,767 | 115,501 | |||
Municipal Opportunities ETF | 1,466,366 | — | — | |||
Short Duration ETF | — | 11,781,875 | (928,170) | |||
Sustainable Income ETF | 1,232,832 | — | — | |||
Total Return Bond ETF | 96,065,897 | 61,441,548 | (5,042,721) |
111 |
January 31, 2023 (Unaudited)
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, Commodity Strategy 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, Large Cap Growth ETF, ESG US Equity ETF, Short Duration ETF and Sustainable Income 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. | |
The following information is for the six-month period ended January 31, 2023 and the period ended July 31, 2022: | |
For the Period Ended January 31, 2023 | For the Period Ended July 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
Core Bond ETF | |||||||
Shares Sold | 400,000 | $ 13,766,271 | 1,200,000 | $ 46,707,732 | |||
Shares Redeemed | (150,000) | (5,350,460) | (850,000) | (31,997,911) | |||
Other Capital | — | 6,143 | — | 39,093 | |||
Total Net Increase (Decrease) | 250,000 | 8,421,954 | 350,000 | 14,748,914 | |||
Large Cap Growth ETF(1) | |||||||
Shares Sold | 225,000 | $ 2,735,157 | 6,200,001 | $ 106,067,640 | |||
Shares Redeemed | (150,000) | (1,771,872) | (150,001) | (2,643,497) | |||
Other Capital | — | 55 | — | 4,107 | |||
Total Net Increase (Decrease) | 75,000 | 963,340 | 6,050,000 | 103,428,250 | |||
Municipal Opportunities ETF | |||||||
Shares Sold | 2,200,000 | $ 82,986,699 | 3,900,000 | $ 154,794,634 | |||
Shares Redeemed | (550,000) | (21,135,138) | (1,700,000) | (65,213,627) | |||
Other Capital | — | 61,581 | — | 72,292 | |||
Total Net Increase (Decrease) | 1,650,000 | 61,913,142 | 2,200,000 | 89,653,299 | |||
Commodity Strategy ETF (Consolidated)(2) | |||||||
Shares Sold | 925,000 | $ 15,666,165 | 2,725,001 | $ 57,498,527 | |||
Shares Redeemed | (550,000) | (13,298,732) | (375,001) | (9,500,605) | |||
Other Capital | — | 4,345 | — | 22,801 | |||
Total Net Increase (Decrease) | 375,000 | 2,371,778 | 2,350,000 | 48,020,723 |
112 |
January 31, 2023 (Unaudited)
For the Period Ended January 31, 2023 | For the Period Ended July 31, 2022 | ||||||
Shares | Amount | Shares | Amount | ||||
ESG US Equity ETF(3) | |||||||
Shares Sold | — | $ — | 400,001 | $ 10,005,848 | |||
Shares Redeemed | — | — | (1) | (25) | |||
Other Capital | — | — | — | — | |||
Total Net Increase (Decrease) | — | — | 400,000 | 10,005,823 | |||
Tax-Aware Bond ETF | |||||||
Shares Sold | 800,000 | $ 15,563,169 | 1,250,000 | $ 26,125,918 | |||
Shares Redeemed | (950,000) | (18,403,219) | (1,800,000) | (36,936,455) | |||
Other Capital | — | 26,963 | — | 37,161 | |||
Total Net Increase (Decrease) | (150,000) | (2,813,087) | (550,000) | (10,773,376) | |||
Short Duration ETF | |||||||
Shares Sold | — | $ — | 600,000 | $ 24,189,843 | |||
Shares Redeemed | (550,000) | (20,859,473) | (1,600,000) | (64,332,148) | |||
Other Capital | — | 9,688 | — | 34,177 | |||
Total Net Increase (Decrease) | (550,000) | (20,849,785) | (1,000,000) | (40,108,128) | |||
Sustainable Income ETF(4) | |||||||
Shares Sold | 50,000 | $ 1,662,493 | 1,350,001 | $ 53,448,891 | |||
Shares Redeemed | — | — | (1) | (39) | |||
Other Capital | — | 1,161 | — | 116,813 | |||
Total Net Increase (Decrease) | 50,000 | 1,663,654 | 1,350,000 | 53,565,665 | |||
Total Return Bond ETF | |||||||
Shares Sold | 4,450,000 | $ 149,359,696 | 9,200,000 | $ 361,236,830 | |||
Shares Redeemed | (2,800,000) | (93,936,305) | (7,400,000) | (275,112,349) | |||
Other Capital | — | 77,853 | — | 145,987 | |||
Total Net Increase (Decrease) | 1,650,000 | 55,501,244 | 1,800,000 | 86,270,468 |
(1) | Commenced operations on November 9, 2021. |
(2) | Commenced operations on September 14, 2021. |
(3) | Commenced operations on August 10, 2021. |
(4) | Commenced operations on September 21, 2021. |
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, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU"), ASU 2020-04, which provides guidance to account for certain contract modifications prospectively to ease the potential burden in accounting associated with transitioning away from LIBOR (as discussed above) and other reference rates that are expected to be discontinued. The ASU is effective upon release of the update on March 12, 2020 through December 31, 2022. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. In December 2022, the FASB issued ASU 2022-06, which extends the sunset date established by ASU 2020-04 from December 31, 2022 to December 31, 2024 in order to capture the time period in which the aforementioned contract modifications may occur. Management is continuously evaluating the potential effect a discontinuation of LIBOR could have on the Funds' investments and has determined that it is unlikely the ASU's adoption will have a material impact on the Funds' financial statements. |
16. | Subsequent Events: |
In connection with the preparation of the financial statements of the Funds as of and for the six-month period ended January 31, 2023, events and transactions subsequent to January 31, 2023, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure. | |
The banking sector has recently been subject to increased market volatility. As a result, a Fund’s investments in the banking sector are subject to increased volatility risk. It is unknown whether such volatility will continue. |
113 |
114 |
115 |
116 |
117 |
118 |
• | The Board noted that the Fund’s performance was in the 4th quintile versus its peer universe for the 1-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile. |
• | The Board noted that the Fund’s performance was in the 3rd quintile versus its peer universe for the 1-year period and the 1st quintile for the 3-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period and above its benchmark for the 3-year period. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 4th quintile. |
• | The Board noted that the Fund’s performance was in the 3rd quintile versus its peer universe for the period since inception. The Board also noted that the Fund’s performance was in line with its benchmark for the period since inception. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 1st quintile of its expense group. |
• | The Board noted that the Fund’s performance was in the 5th quintile versus its peer universe for the 1- and 3-year periods. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period and in line with its benchmark for the 3-year period. |
• | The Board noted that the Fund’s contractual management fee was in the 3rd quintile of its expense group, while its actual management fee and total expenses were in the 4th quintile. |
119 |
• | The Board noted that the Fund’s performance was in the 2nd quintile versus its peer universe for the 1-year period and the 1st quintile for the 3-year period. The Board also noted that the Fund’s performance was above its benchmark for the 1- and 3-year periods. |
• | The Board noted that the Fund’s contractual management fee was in the 1st quintile of its expense group, while its actual management fee was in the 3rd quintile and its total expenses were in the 2nd quintile. |
• | The Board noted that the Fund’s performance was in the 5th quintile versus its peer universe for the period since inception. The Board also noted that the Fund’s performance was below its benchmark for the period since inception. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 3rd quintile of its expense group, while its total expenses were in the 2nd quintile. |
• | The Board noted that the Fund’s performance was in the 3rd quintile versus its peer universe for the 1-year period and the 2nd quintile for the 3-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period and above its benchmark for the 3-year period. |
• | The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group. |
120 |
121 |
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.
Not applicable to this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this semi-annual filing.
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 semi-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 is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(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: April 10, 2023 | 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: April 10, 2023 | By: | /s/ James E. Davey | ||
James E. Davey | ||||
President and Chief Executive Officer | ||||
Date: April 10, 2023 | By: | /s/ Amy N. Furlong | ||
Amy N. Furlong | ||||
Treasurer | ||||
(Principal Financial Officer and Principal Accounting Officer) |