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:811-23207
Brinker Capital Destinations Trust
(Exact name of registrant as specified in charter)
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, Delaware 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code:1 (610) 407-5500
Date of fiscal year end:
February 28
Date of reporting period:
August 31, 2019
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 rules.
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
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President, Brinker Capital Destinations Trust
August 31, 2019
Fund | | | Total Return(2) | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(3) | | | Expense Paid During the Period(4) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 3.10% | | | | | $ | 1,000.00 | | | | | $ | 1,031.01 | | | | | | 0.83% | | | | | $ | 4.25 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 3.28% | | | | | | 1,000.00 | | | | | | 1,032.77 | | | | | | 0.68% | | | | | | 3.54 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 1.50% | | | | | | 1,000.00 | | | | | | 1,015.03 | | | | | | 1.06% | | | | | | 5.38 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 1.63% | | | | | | 1,000.00 | | | | | | 1,016.30 | | | | | | 0.91% | | | | | | 4.68 | | |
Destinations International Equity Fund – Class I | | | | | 2.85% | | | | | | 1,000.00 | | | | | | 1,028.55 | | | | | | 1.17% | | | | | | 5.98 | | |
Destinations International Equity Fund – Class Z | | | | | 3.06% | | | | | | 1,000.00 | | | | | | 1,030.59 | | | | | | 1.02% | | | | | | 5.27 | | |
Destinations Equity Income Fund – Class I | | | | | 1.43% | | | | | | 1,000.00 | | | | | | 1,014.31 | | | | | | 1.39% | | | | | | 7.06 | | |
Destinations Equity Income Fund – Class Z | | | | | 1.63% | | | | | | 1,000.00 | | | | | | 1,016.30 | | | | | | 1.24% | | | | | | 6.30 | | |
Destinations Real Assets Fund – Class I | | | | | (36.70)% | | | | | | 1,000.00 | | | | | | 632.97 | | | | | | 1.22% | | | | | | 5.02 | | |
Destinations Real Assets Fund – Class Z | | | | | (36.62)% | | | | | | 1,000.00 | | | | | | 633.85 | | | | | | 1.07% | | | | | | 4.49 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 6.00% | | | | | | 1,000.00 | | | | | | 1,060.01 | | | | | | 0.80% | | | | | | 4.15 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 6.13% | | | | | | 1,000.00 | | | | | | 1,061.28 | | | | | | 0.65% | | | | | | 3.43 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 1.80% | | | | | | 1,000.00 | | | | | | 1,018.03 | | | | | | 0.93% | | | | | | 4.73 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 1.84% | | | | | | 1,000.00 | | | | | | 1,018.43 | | | | | | 0.78% | | | | | | 4.02 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 2.98% | | | | | | 1,000.00 | | | | | | 1,029.82 | | | | | | 1.00% | | | | | | 5.12 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 3.01% | | | | | | 1,000.00 | | | | | | 1,030.10 | | | | | | 0.85% | | | | | | 4.35 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.05% | | | | | | 1,000.00 | | | | | | 1,050.55 | | | | | | 0.80% | | | | | | 4.13 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.12% | | | | | | 1,000.00 | | | | | | 1,051.18 | | | | | | 0.65% | | | | | | 3.36 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | (0.36)% | | | | | | 1,000.00 | | | | | | 996.39 | | | | | | 1.31% | | | | | | 6.59 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | (0.32)% | | | | | | 1,000.00 | | | | | | 996.83 | | | | | | 1.16% | | | | | | 5.89 | | |
Fund | | | Hypothethical Annualized Total Return | | | Beginning Account Value | | | Ending Account Value | | | Annualized Expense Ratios(2) | | | Expense Paid During the Period(3) | | |||||||||||||||
Destinations Large Cap Equity Fund – Class I | | | | | 5.00% | | | | | $ | 1,000.00 | | | | | $ | 1,021.02 | | | | | | 0.83% | | | | | $ | 4.23 | | |
Destinations Large Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.73 | | | | | | 0.68% | | | | | | 3.52 | | |
Destinations Small-Mid Cap Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.86 | | | | | | 1.06% | | | | | | 5.40 | | |
Destinations Small-Mid Cap Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.57 | | | | | | 0.91% | | | | | | 4.69 | | |
Destinations International Equity Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.31 | | | | | | 1.17% | | | | | | 5.96 | | |
Destinations International Equity Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.01 | | | | | | 1.02% | | | | | | 5.24 | | |
Destinations Equity Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.20 | | | | | | 1.39% | | | | | | 7.07 | | |
Destinations Equity Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.95 | | | | | | 1.24% | | | | | | 6.31 | | |
Destinations Real Assets Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.06 | | | | | | 1.22% | | | | | | 6.21 | | |
Destinations Real Assets Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.71 | | | | | | 1.07% | | | | | | 5.55 | | |
Destinations Core Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.17 | | | | | | 0.80% | | | | | | 4.08 | | |
Destinations Core Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.88 | | | | | | 0.65% | | | | | | 3.36 | | |
Destinations Low Duration Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.52 | | | | | | 0.93% | | | | | | 4.74 | | |
Destinations Low Duration Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.22 | | | | | | 0.78% | | | | | | 4.02 | | |
Destinations Global Fixed Income Opportunities Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.16 | | | | | | 1.00% | | | | | | 5.09 | | |
Destinations Global Fixed Income Opportunities Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,020.92 | | | | | | 0.85% | | | | | | 4.33 | | |
Destinations Municipal Fixed Income Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.17 | | | | | | 0.80% | | | | | | 4.08 | | |
Destinations Municipal Fixed Income Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,021.93 | | | | | | 0.65% | | | | | | 3.31 | | |
Destinations Multi Strategy Alternatives Fund – Class I | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,018.60 | | | | | | 1.31% | | | | | | 6.67 | | |
Destinations Multi Strategy Alternatives Fund – Class Z | | | | | 5.00% | | | | | | 1,000.00 | | | | | | 1,019.31 | | | | | | 1.16% | | | | | | 5.96 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 98.3% | | ||||||||||||
| BASIC MATERIALS – 2.2% | | ||||||||||||
| Chemicals – 1.7% | | ||||||||||||
| | | 7,603 | | | | Air Products & Chemicals Inc. | | | | $ | 1,717,670 | | |
| | | 3,526 | | | | Albemarle Corp.(a) | | | | | 217,660 | | |
| | | 39,642 | | | | Celanese Corp., Class A Shares | | | | | 4,494,213 | | |
| | | 292,158 | | | | CF Industries Holdings Inc. | | | | | 14,079,094 | | |
| | | 84,910 | | | | Dow Inc. | | | | | 3,619,713 | | |
| | | 315,518 | | | | DuPont de Nemours Inc. | | | | | 21,433,138 | | |
| | | 63,039 | | | | Eastman Chemical Co. | | | | | 4,120,859 | | |
| | | 8,761 | | | | Ecolab Inc. | | | | | 1,807,482 | | |
| | | 4,543 | | | | FMC Corp. | | | | | 392,197 | | |
| | | 3,470 | | | | International Flavors & Fragrances Inc. | | | | | 380,832 | | |
| | | 37,002 | | | | Linde PLC | | | | | 6,990,048 | | |
| | | 9,607 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 743,390 | | |
| | | 241,683 | | | | Mosaic Co. | | | | | 4,444,550 | | |
| | | 8,083 | | | | PPG Industries Inc. | | | | | 895,516 | | |
| | | 2,793 | | | | Sherwin-Williams Co. | | | | | 1,471,213 | | |
| | | | | | | Total Chemicals | | | | | 66,807,575 | | |
| Forest Products & Paper – 0.1% | | ||||||||||||
| | | 111,779 | | | | International Paper Co. | | | | | 4,370,559 | | |
| Iron/Steel – 0.0% | | ||||||||||||
| | | 10,841 | | | | Nucor Corp. | | | | | 530,992 | | |
| Mining – 0.4% | | ||||||||||||
| | | 338,373 | | | | Freeport-McMoRan Inc. | | | | | 3,109,648 | | |
| | | 235,858 | | | | Newmont Goldcorp Corp. | | | | | 9,408,376 | | |
| | | | | | | Total Mining | | | | | 12,518,024 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 84,227,150 | | |
| COMMUNICATIONS – 17.7% | | ||||||||||||
| Advertising – 0.2% | | ||||||||||||
| | | 12,790 | | | | Interpublic Group of Cos., Inc. | | | | | 254,265 | | |
| | | 74,397 | | | | Omnicom Group Inc. | | | | | 5,658,636 | | |
| | | | | | | Total Advertising | | | | | 5,912,901 | | |
| Internet – 12.2% | | ||||||||||||
| | | 270,998 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 47,432,780 | | |
| | | 36,886 | | | | Alphabet Inc., Class A Shares* | | | | | 43,913,890 | | |
| | | 36,320 | | | | Alphabet Inc., Class C Shares* | | | | | 43,151,792 | | |
| | | 68,249 | | | | Amazon.com Inc.* | | | | | 121,230,016 | | |
| | | 15,670 | | | | Baidu Inc., ADR* | | | | | 1,637,045 | | |
| | | 19,444 | | | | Booking Holdings Inc.* | | | | | 38,234,876 | | |
| | | 29,394 | | | | eBay Inc. | | | | | 1,184,284 | | |
| | | 4,781 | | | | Expedia Group Inc. | | | | | 622,008 | | |
| | | 2,034 | | | | F5 Networks Inc.* | | | | | 261,837 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Internet – (continued) | | ||||||||||||
| | | 507,233 | | | | Facebook Inc., Class A Shares* | | | | $ | 94,177,951 | | |
| | | 21,240 | | | | IAC/InterActiveCorp* | | | | | 5,408,554 | | |
| | | 77,900 | | | | JD.com Inc., ADR* | | | | | 2,375,950 | | |
| | | 3,610 | | | | MercadoLibre Inc.* | | | | | 2,146,506 | | |
| | | 56,730 | | | | Netflix Inc.* | | | | | 16,664,438 | | |
| | | 12,837 | | | | Palo Alto Networks Inc.* | | | | | 2,613,870 | | |
| | | 232,259 | | | | Symantec Corp. | | | | | 5,400,022 | | |
| | | 302,500 | | | | Tencent Holdings Ltd. | | | | | 12,530,784 | | |
| | | 225,943 | | | | Tencent Music Entertainment Group, ADR* | | | | | 3,005,042 | | |
| | | 102,662 | | | | TripAdvisor Inc.* | | | | | 3,900,129 | | |
| | | 119,599 | | | | Twitter Inc.* | | | | | 5,100,897 | | |
| | | 22,331 | | | | VeriSign Inc.* | | | | | 4,552,174 | | |
| | | | | | | Total Internet | | | | | 455,544,845 | | |
| Media – 2.1% | | ||||||||||||
| | | 99,644 | | | | CBS Corp., Class B Shares | | | | | 4,191,027 | | |
| | | 17,551 | | | | Charter Communications Inc., Class A Shares* | | | | | 7,188,714 | | |
| | | 472,093 | | | | Comcast Corp., Class A Shares | | | | | 20,894,836 | | |
| | | 5,452 | | | | Discovery Inc., Class A Shares* | | | | | 150,475 | | |
| | | 13,154 | | | | Discovery Inc., Class C Shares* | | | | | 342,399 | | |
| | | 7,969 | | | | DISH Network Corp., Class A Shares* | | | | | 267,440 | | |
| | | 148,131 | | | | Fox Corp., Class A Shares | | | | | 4,913,505 | | |
| | | 5,424 | | | | Fox Corp., Class B Shares | | | | | 177,907 | | |
| | | 14,393 | | | | News Corp., Class A Shares | | | | | 197,904 | | |
| | | 3,678 | | | | News Corp., Class B Shares | | | | | 52,080 | | |
| | | 11,907 | | | | Viacom Inc., Class B Shares | | | | | 297,437 | | |
| | | 291,021 | | | | Walt Disney Co. | | | | | 39,945,542 | | |
| | | | | | | Total Media | | | | | 78,619,266 | | |
| Telecommunications – 3.2% | | ||||||||||||
| | | 1,768 | | | | Arista Networks Inc.* | | | | | 400,664 | | |
| | | 1,429,904 | | | | AT&T Inc. | | | | | 50,418,415 | | |
| | | 32,584 | | | | CenturyLink Inc. | | | | | 370,806 | | |
| | | 665,214 | | | | Cisco Systems Inc. | | | | | 31,138,668 | | |
| | | 281,570 | | | | Corning Inc. | | | | | 7,841,725 | | |
| | | 11,556 | | | | Juniper Networks Inc. | | | | | 267,637 | | |
| | | 27,847 | | | | Motorola Solutions Inc. | | | | | 5,037,801 | | |
| | | 10,921 | | | | T-Mobile US Inc.* | | | | | 852,384 | | |
| | | 416,639 | | | | Verizon Communications Inc. | | | | | 24,231,724 | | |
| | | | | | | Total Telecommunications | | | | | 120,559,824 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 660,636,836 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – 6.7% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 4,076 | | | | Alaska Air Group Inc. | | | | $ | 243,419 | | |
| | | 14,054 | | | | American Airlines Group Inc. | | | | | 369,761 | | |
| | | 110,971 | | | | Delta Air Lines Inc. | | | | | 6,420,782 | | |
| | | 17,056 | | | | Southwest Airlines Co. | | | | | 892,370 | | |
| | | 7,886 | | | | United Airlines Holdings Inc.* | | | | | 664,868 | | |
| | | | | | | Total Airlines | | | | | 8,591,200 | | |
| Apparel – 1.3% | | ||||||||||||
| | | 363,986 | | | | Canada Goose Holdings Inc.*(a) | | | | | 13,576,678 | | |
| | | 4,868 | | | | Capri Holdings Ltd.* | | | | | 128,418 | | |
| | | 12,898 | | | | Hanesbrands Inc. | | | | | 176,187 | | |
| | | 367,143 | | | | NIKE Inc., Class B Shares | | | | | 31,023,584 | | |
| | | 56,659 | | | | PVH Corp. | | | | | 4,294,752 | | |
| | | 1,766 | | | | Ralph Lauren Corp., Class A Shares | | | | | 156,008 | | |
| | | 9,780 | | | | Tapestry Inc. | | | | | 201,957 | | |
| | | 6,741 | | | | Under Armour Inc., Class A Shares* | | | | | 125,450 | | |
| | | 7,087 | | | | Under Armour Inc., Class C Shares* | | | | | 119,912 | | |
| | | 11,248 | | | | VF Corp. | | | | | 921,773 | | |
| | | | | | | Total Apparel | | | | | 50,724,719 | | |
| Auto Manufacturers – 0.4% | | ||||||||||||
| | | 38,075 | | | | Ferrari NV | | | | | 6,006,331 | | |
| | | 135,344 | | | | Ford Motor Co. | | | | | 1,241,105 | | |
| | | 190,244 | | | | General Motors Co. | | | | | 7,056,150 | | |
| | | 11,965 | | | | PACCAR Inc. | | | | | 784,425 | | |
| | | | | | | Total Auto Manufacturers | | | | | 15,088,011 | | |
| Auto Parts & Equipment – 0.2% | | ||||||||||||
| | | 100,069 | | | | Aptiv PLC | | | | | 8,322,739 | | |
| | | 6,917 | | | | BorgWarner Inc. | | | | | 225,701 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 8,548,440 | | |
| Distribution/Wholesale – 0.1% | | ||||||||||||
| | | 6,927 | | | | Copart Inc.* | | | | | 522,226 | | |
| | | 19,767 | | | | Fastenal Co. | | | | | 605,266 | | |
| | | 10,554 | | | | LKQ Corp.* | | | | | 277,254 | | |
| | | 1,560 | | | | WW Grainger Inc. | | | | | 426,894 | | |
| | | | | | | Total Distribution/Wholesale | | | | | 1,831,640 | | |
| Home Builders – 0.3% | | ||||||||||||
| | | 11,678 | | | | DR Horton Inc. | | | | | 577,711 | | |
| | | 129,857 | | | | Lennar Corp., Class A Shares | | | | | 6,622,707 | | |
| | | 884 | | | | NVR Inc.* | | | | | 3,181,516 | | |
| | | 8,422 | | | | PulteGroup Inc. | | | | | 284,663 | | |
| | | | | | | Total Home Builders | | | | | 10,666,597 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Home Furnishings – 0.0% | | ||||||||||||
| | | 4,674 | | | | Leggett & Platt Inc. | | | | $ | 173,826 | | |
| | | 2,128 | | | | Whirlpool Corp. | | | | | 295,984 | | |
| | | | | | | Total Home Furnishings | | | | | 469,810 | | |
| Housewares – 0.0% | | ||||||||||||
| | | 14,327 | | | | Newell Brands Inc. | | | | | 237,828 | | |
| Leisure Time – 0.5% | | ||||||||||||
| | | 146,676 | | | | Carnival Corp. | | | | | 6,465,478 | | |
| | | 5,853 | | | | Harley-Davidson Inc. | | | | | 186,711 | | |
| | | 7,403 | | | | Norwegian Cruise Line Holdings Ltd.* | | | | | 375,702 | | |
| | | 159,315 | | | | Planet Fitness Inc., Class A Shares* | | | | | 11,249,232 | | |
| | | 5,937 | | | | Royal Caribbean Cruises Ltd. | | | | | 619,111 | | |
| | | | | | | Total Leisure Time | | | | | 18,896,234 | | |
| Lodging – 0.5% | | ||||||||||||
| | | 9,965 | | | | Hilton Worldwide Holdings Inc. | | | | | 920,467 | | |
| | | 80,664 | | | | Las Vegas Sands Corp. | | | | | 4,474,432 | | |
| | | 9,596 | | | | Marriott International Inc., Class A Shares | | | | | 1,209,672 | | |
| | | 138,460 | | | | MGM Resorts International | | | | | 3,885,188 | | |
| | | 53,408 | | | | Wynn Resorts Ltd. | | | | | 5,882,891 | | |
| | | | | | | Total Lodging | | | | | 16,372,650 | | |
| Retail – 3.2% | | ||||||||||||
| | | 2,468 | | | | Advance Auto Parts Inc. | | | | | 340,461 | | |
| | | 843 | | | | AutoZone Inc.* | | | | | 928,725 | | |
| | | 8,020 | | | | Best Buy Co., Inc. | | | | | 510,473 | | |
| | | 5,888 | | | | CarMax Inc.* | | | | | 490,353 | | |
| | | 835 | | | | Chipotle Mexican Grill Inc., Class A Shares* | | | | | 700,081 | | |
| | | 15,189 | | | | Costco Wholesale Corp. | | | | | 4,477,110 | | |
| | | 4,241 | | | | Darden Restaurants Inc. | | | | | 513,076 | | |
| | | 26,194 | | | | Dollar General Corp. | | | | | 4,088,621 | | |
| | | 221,075 | | | | Dollar Tree Inc.* | | | | | 22,445,745 | | |
| | | 171,226 | | | | Dollarama Inc. | | | | | 6,553,213 | | |
| | | 7,663 | | | | Gap Inc. | | | | | 120,999 | | |
| | | 5,036 | | | | Genuine Parts Co. | | | | | 454,700 | | |
| | | 38,002 | | | | Home Depot Inc. | | | | | 8,661,036 | | |
| | | 5,605 | | | | Kohl’s Corp. | | | | | 264,892 | | |
| | | 7,386 | | | | L Brands Inc. | | | | | 121,943 | | |
| | | 184,705 | | | | Lowe’s Cos., Inc. | | | | | 20,723,901 | | |
| | | 10,161 | | | | Macy’s Inc. | | | | | 149,977 | | |
| | | 43,490 | | | | McDonald’s Corp. | | | | | 9,479,515 | | |
| | | 4,088 | | | | Nordstrom Inc.(a) | | | | | 118,429 | | |
| | | 2,699 | | | | O’Reilly Automotive Inc.* | | | | | 1,035,768 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Retail – (continued) | | ||||||||||||
| | | 22,370 | | | | Restaurant Brands International Inc. | | | | $ | 1,754,927 | | |
| | | 12,640 | | | | Ross Stores Inc. | | | | | 1,339,966 | | |
| | | 67,366 | | | | Starbucks Corp. | | | | | 6,504,861 | | |
| | | 68,263 | | | | Target Corp. | | | | | 7,306,871 | | |
| | | 3,637 | | | | Tiffany & Co. | | | | | 308,672 | | |
| | | 41,970 | | | | TJX Cos., Inc. | | | | | 2,307,091 | | |
| | | 4,127 | | | | Tractor Supply Co. | | | | | 420,459 | | |
| | | 1,944 | | | | Ulta Beauty Inc.* | | | | | 462,147 | | |
| | | 27,242 | | | | Walgreens Boots Alliance Inc. | | | | | 1,394,518 | | |
| | | 48,658 | | | | Walmart Inc. | | | | | 5,559,663 | | |
| | | 125,773 | | | | Yum China Holdings Inc. | | | | | 5,713,867 | | |
| | | 43,528 | | | | Yum! Brands Inc. | | | | | 5,083,200 | | |
| | | | | | | Total Retail | | | | | 120,335,260 | | |
| Textiles – 0.0% | | ||||||||||||
| | | 2,088 | | | | Mohawk Industries Inc.* | | | | | 248,242 | | |
| Toys/Games/Hobbies – 0.0% | | ||||||||||||
| | | 3,924 | | | | Hasbro Inc. | | | | | 433,484 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 252,444,115 | | |
| CONSUMER NON-CYCLICAL – 23.5% | | ||||||||||||
| Agriculture – 0.9% | | ||||||||||||
| | | 147,930 | | | | Altria Group Inc. | | | | | 6,470,458 | | |
| | | 480,696 | | | | Archer-Daniels-Midland Co. | | | | | 18,290,483 | | |
| | | 112,471 | | | | Philip Morris International Inc. | | | | | 8,108,035 | | |
| | | | | | | Total Agriculture | | | | | 32,868,976 | | |
| Beverages – 0.9% | | ||||||||||||
| | | 72,564 | | | | Brown-Forman Corp., Class B Shares | | | | | 4,280,551 | | |
| | | 132,609 | | | | Coca-Cola Co. | | | | | 7,298,799 | | |
| | | 5,775 | | | | Constellation Brands Inc., Class A Shares | | | | | 1,180,121 | | |
| | | 6,370 | | | | Molson Coors Brewing Co., Class B Shares | | | | | 327,163 | | |
| | | 91,004 | | | | Monster Beverage Corp.* | | | | | 5,339,205 | | |
| | | 98,182 | | | | PepsiCo Inc. | | | | | 13,424,425 | | |
| | | | | | | Total Beverages | | | | | 31,850,264 | | |
| Biotechnology – 2.6% | | ||||||||||||
| | | 183,214 | | | | Alexion Pharmaceuticals Inc.* | | | | | 18,460,643 | | |
| | | 40,398 | | | | Amgen Inc. | | | | | 8,427,831 | | |
| | | 28,943 | | | | Biogen Inc.* | | | | | 6,360,224 | | |
| | | 24,358 | | | | Celgene Corp.* | | | | | 2,357,854 | | |
| | | 25,689 | | | | Corteva Inc. | | | | | 753,202 | | |
| | | 157,049 | | | | Exact Sciences Corp.* | | | | | 18,723,382 | | |
| | | 43,820 | | | | Gilead Sciences Inc. | | | | | 2,784,323 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 75,427 | | | | Illumina Inc.* | | | | $ | 21,220,632 | | |
| | | 6,052 | | | | Incyte Corp.* | | | | | 495,175 | | |
| | | 209,283 | | | | Nektar Therapeutics, Class A Shares* | | | | | 3,677,102 | | |
| | | 2,716 | | | | Regeneron Pharmaceuticals Inc.* | | | | | 787,776 | | |
| | | 86,520 | | | | Vertex Pharmaceuticals Inc.* | | | | | 15,575,330 | | |
| | | | | | | Total Biotechnology | | | | | 99,623,474 | | |
| Commercial Services – 3.4% | | ||||||||||||
| | | 15,032 | | | | Automatic Data Processing Inc. | | | | | 2,553,035 | | |
| | | 2,988 | | | | Cintas Corp. | | | | | 788,235 | | |
| | | 49,240 | | | | Equifax Inc. | | | | | 7,207,751 | | |
| | | 2,953 | | | | FleetCor Technologies Inc.* | | | | | 881,175 | | |
| | | 3,090 | | | | Gartner Inc.* | | | | | 413,040 | | |
| | | 5,412 | | | | Global Payments Inc. | | | | | 898,284 | | |
| | | 147,429 | | | | H&R Block Inc. | | | | | 3,570,730 | | |
| | | 12,423 | | | | IHS Markit Ltd.* | | | | | 815,073 | | |
| | | 11,829 | | | | MarketAxess Holdings Inc. | | | | | 4,703,447 | | |
| | | 5,617 | | | | Moody’s Corp. | | | | | 1,210,913 | | |
| | | 213,822 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | | 24,247,415 | | |
| | | 11,841 | | | | Nielsen Holdings PLC | | | | | 245,819 | | |
| | | 289,345 | | | | PayPal Holdings Inc.* | | | | | 31,553,072 | | |
| | | 126,098 | | | | Quanta Services Inc. | | | | | 4,274,722 | | |
| | | 3,986 | | | | Robert Half International Inc. | | | | | 213,131 | | |
| | | 5,277 | | | | Rollins Inc. | | | | | 173,138 | | |
| | | 29,641 | | | | S&P Global Inc. | | | | | 7,712,292 | | |
| | | 279,432 | | | | Square Inc., Class A Shares* | | | | | 17,280,075 | | |
| | | 66,954 | | | | Total System Services Inc. | | | | | 8,986,566 | | |
| | | 83,460 | | | | TransUnion | | | | | 6,981,429 | | |
| | | 2,731 | | | | United Rentals Inc.* | | | | | 307,401 | | |
| | | 5,653 | | | | Verisk Analytics Inc., Class A Shares | | | | | 913,186 | | |
| | | | | | | Total Commercial Services | | | | | 125,929,929 | | |
| Cosmetics/Personal Care – 0.7% | | ||||||||||||
| | | 138,751 | | | | Colgate-Palmolive Co. | | | | | 10,288,387 | | |
| | | 14,924 | | | | Coty Inc., Class A Shares | | | | | 142,524 | | |
| | | 7,573 | | | | Estee Lauder Cos., Inc., Class A Shares | | | | | 1,499,378 | | |
| | | 86,633 | | | | Procter & Gamble Co. | | | | | 10,415,885 | | |
| | | 69,852 | | | | Unilever NV, Class NY Registered Shares, ADR | | | | | 4,337,111 | | |
| | | | | | | Total Cosmetics/Personal Care | | | | | 26,683,285 | | |
| Food – 1.6% | | ||||||||||||
| | | 6,257 | | | | Campbell Soup Co. | | | | | 281,565 | | |
| | | 951,692 | | | | Conagra Brands Inc. | | | | | 26,989,985 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Food – (continued) | | ||||||||||||
| | | 20,681 | | | | General Mills Inc. | | | | $ | 1,112,638 | | |
| | | 4,820 | | | | Hershey Co. | | | | | 763,873 | | |
| | | 9,228 | | | | Hormel Foods Corp. | | | | | 393,205 | | |
| | | 3,860 | | | | JM Smucker Co. | | | | | 405,918 | | |
| | | 8,698 | | | | Kellogg Co. | | | | | 546,234 | | |
| | | 20,972 | | | | Kraft Heinz Co. | | | | | 535,206 | | |
| | | 27,861 | | | | Kroger Co. | | | | | 659,749 | | |
| | | 4,933 | | | | Lamb Weston Holdings Inc | | | | | 347,234 | | |
| | | 4,183 | | | | McCormick & Co., Inc., | | | | | 681,285 | | |
| | | 431,854 | | | | Mondelez International Inc., Class A Shares | | | | | 23,846,978 | | |
| | | 16,164 | | | | Sysco Corp. | | | | | 1,201,470 | | |
| | | 10,182 | | | | Tyson Foods Inc., Class A Shares | | | | | 947,333 | | |
| | | | | | | Total Food | | | | | 58,712,673 | | |
| Healthcare-Products – 4.7% | | ||||||||||||
| | | 282,331 | | | | Abbott Laboratories | | | | | 24,088,481 | | |
| | | 21,528 | | | | ABIOMED Inc.* | | | | | 4,156,411 | | |
| | | 60,612 | | | | Alcon Inc.* | | | | | 3,692,568 | | |
| | | 74,730 | | | | Align Technology Inc.* | | | | | 13,683,810 | | |
| | | 16,292 | | | | Baxter International Inc. | | | | | 1,432,881 | | |
| | | 70,028 | | | | Becton Dickinson & Co. | | | | | 17,781,510 | | |
| | | 143,034 | | | | Boston Scientific Corp.* | | | | | 6,111,843 | | |
| | | 1,682 | | | | Cooper Cos., Inc. | | | | | 520,999 | | |
| | | 21,760 | | | | Danaher Corp. | | | | | 3,091,878 | | |
| | | 8,081 | | | | DENTSPLY SIRONA Inc. | | | | | 421,424 | | |
| | | 94,481 | | | | Edwards Lifesciences Corp.* | | | | | 20,959,665 | | |
| | | 5,175 | | | | Henry Schein Inc.* | | | | | 318,884 | | |
| | | 9,158 | | | | Hologic Inc.* | | | | | 452,130 | | |
| | | 82,718 | | | | IDEXX Laboratories Inc.* | | | | | 23,966,713 | | |
| | | 22,160 | | | | Intuitive Surgical Inc.* | | | | | 11,331,294 | | |
| | | 199,772 | | | | Medtronic PLC | | | | | 21,553,401 | | |
| | | 4,873 | | | | ResMed Inc. | | | | | 678,809 | | |
| | | 64,536 | | | | Stryker Corp. | | | | | 14,240,514 | | |
| | | 1,564 | | | | Teleflex Inc. | | | | | 569,171 | | |
| | | 13,760 | | | | Thermo Fisher Scientific Inc. | | | | | 3,949,946 | | |
| | | 38,497 | | | | Varian Medical Systems Inc.* | | | | | 4,077,987 | | |
| | | 7,073 | | | | Zimmer Biomet Holdings Inc. | | | | | 984,562 | | |
| | | | | | | Total Healthcare-Products | | | | | 178,064,881 | | |
| Healthcare-Services – 2.4% | | ||||||||||||
| | | 49,524 | | | | Anthem Inc. | | | | | 12,951,517 | | |
| | | 115,472 | | | | Centene Corp.* | | | | | 5,383,305 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Healthcare-Services – (continued) | | ||||||||||||
| | | 69,682 | | | | DaVita Inc.* | | | | $ | 3,927,974 | | |
| | | 48,335 | | | | HCA Healthcare Inc. | | | | | 5,809,867 | | |
| | | 13,902 | | | | Humana Inc. | | | | | 3,937,185 | | |
| | | 5,466 | | | | IQVIA Holdings Inc.* | | | | | 848,050 | | |
| | | 26,860 | | | | Laboratory Corp. of America Holdings* | | | | | 4,500,662 | | |
| | | 4,620 | | | | Quest Diagnostics Inc. | | | | | 472,949 | | |
| | | 187,390 | | | | UnitedHealth Group Inc. | | | | | 43,849,260 | | |
| | | 2,887 | | | | Universal Health Services Inc., Class B Shares | | | | | 417,402 | | |
| | | 28,991 | | | | WellCare Health Plans Inc.* | | | | | 7,849,023 | | |
| | | | | | | Total Healthcare-Services | | | | | 89,947,194 | | |
| Household Products/Wares – 0.1% | | ||||||||||||
| | | 2,885 | | | | Avery Dennison Corp. | | | | | 333,419 | | |
| | | 8,473 | | | | Church & Dwight Co., Inc. | | | | | 675,976 | | |
| | | 4,399 | | | | Clorox Co. | | | | | 695,746 | | |
| | | 11,874 | | | | Kimberly-Clark Corp. | | | | | 1,675,540 | | |
| | | | | | | Total Household Products/Wares | | | | | 3,380,681 | | |
| Pharmaceuticals – 6.2% | | ||||||||||||
| | | 111,225 | | | | AbbVie Inc. | | | | | 7,311,932 | | |
| | | 10,733 | | | | Allergan PLC | | | | | 1,714,275 | | |
| | | 67,169 | | | | AmerisourceBergen Corp., Class A Shares | | | | | 5,525,994 | | |
| | | 598,246 | | | | Bristol-Myers Squibb Co. | | | | | 28,757,685 | | |
| | | 357,433 | | | | Cardinal Health Inc. | | | | | 15,416,085 | | |
| | | 160,003 | | | | Cigna Corp. | | | | | 24,635,662 | | |
| | | 319,368 | | | | CVS Health Corp. | | | | | 19,455,899 | | |
| | | 64,493 | | | | Eli Lilly & Co. | | | | | 7,285,774 | | |
| | | 270,366 | | | | Johnson & Johnson | | | | | 34,704,180 | | |
| | | 6,556 | | | | McKesson Corp. | | | | | 906,498 | | |
| | | 400,139 | | | | Merck & Co., Inc. | | | | | 34,600,019 | | |
| | | 232,451 | | | | Mylan NV* | | | | | 4,525,821 | | |
| | | 100,834 | | | | Novartis AG, ADR | | | | | 9,086,152 | | |
| | | 3,997 | | | | Perrigo Co. PLC | | | | | 186,980 | | |
| | | 834,898 | | | | Pfizer Inc. | | | | | 29,680,624 | | |
| | | 77,373 | | | | Sarepta Therapeutics Inc.* | | | | | 6,975,176 | | |
| | | 16,532 | | | | Zoetis Inc., Class A Shares | | | | | 2,089,975 | | |
| | | | | | | Total Pharmaceuticals | | | | | 232,858,731 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 879,920,088 | | |
| ENERGY – 4.8% | | ||||||||||||
| Oil & Gas – 4.0% | | ||||||||||||
| | | 12,902 | | | | Apache Corp. | | | | | 278,296 | | |
| | | 14,576 | | | | Cabot Oil & Gas Corp. | | | | | 249,541 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| ENERGY – (continued) | | ||||||||||||
| Oil & Gas – (continued) | | ||||||||||||
| | | 65,792 | | | | Chevron Corp. | | | | $ | 7,745,034 | | |
| | | 3,503 | | | | Cimarex Energy Co. | | | | | 149,859 | | |
| | | 60,447 | | | | Concho Resources Inc. | | | | | 4,421,698 | | |
| | | 314,978 | | | | ConocoPhillips | | | | | 16,435,552 | | |
| | | 14,981 | | | | Devon Energy Corp. | | | | | 329,432 | | |
| | | 5,313 | | | | Diamondback Energy Inc | | | | | 521,099 | | |
| | | 20,043 | | | | EOG Resources Inc. | | | | | 1,486,990 | | |
| | | 218,180 | | | | Exxon Mobil Corp. | | | | | 14,940,967 | | |
| | | 3,500 | | | | Helmerich & Payne Inc. | | | | | 131,565 | | |
| | | 205,940 | | | | Hess Corp. | | | | | 12,963,923 | | |
| | | 5,306 | | | | HollyFrontier Corp. | | | | | 235,374 | | |
| | | 1,248,624 | | | | Marathon Oil Corp. | | | | | 14,783,708 | | |
| | | 250,775 | | | | Marathon Petroleum Corp. | | | | | 12,340,638 | | |
| | | 16,137 | | | | Noble Energy Inc. | | | | | 364,374 | | |
| | | 511,056 | | | | Occidental Petroleum Corp. | | | | | 22,220,715 | | |
| | | 125,012 | | | | Phillips 66 | | | | | 12,329,933 | | |
| | | 148,327 | | | | Pioneer Natural Resources Co. | | | | | 18,306,518 | | |
| | | 105,075 | | | | Valero Energy Corp. | | | | | 7,910,046 | | |
| | | | | | | Total Oil & Gas | | | | | 148,145,262 | | |
| Oil & Gas Services – 0.7% | | ||||||||||||
| | | 125,708 | | | | Apergy Corp.* | | | | | 3,265,894 | | |
| | | 17,433 | | | | Baker Hughes a GE Co., Class A Shares | | | | | 378,122 | | |
| | | 926,115 | | | | Halliburton Co. | | | | | 17,448,006 | | |
| | | 12,999 | | | | National Oilwell Varco Inc. | | | | | 265,570 | | |
| | | 147,770 | | | | Schlumberger Ltd. | | | | | 4,792,181 | | |
| | | 14,257 | | | | TechnipFMC PLC | | | | | 354,144 | | |
| | | | | | | Total Oil & Gas Services | | | | | 26,503,917 | | |
| Pipelines – 0.1% | | ||||||||||||
| | | 66,539 | | | | Kinder Morgan Inc. | | | | | 1,348,745 | | |
| | | 14,256 | | | | ONEOK Inc. | | | | | 1,016,168 | | |
| | | 41,852 | | | | Williams Cos., Inc. | | | | | 987,707 | | |
| | | | | | | Total Pipelines | | | | | 3,352,620 | | |
| | | | | | | TOTAL ENERGY | | | | | 178,001,799 | | |
| FINANCIAL – 16.3% | | ||||||||||||
| Banks – 5.1% | | ||||||||||||
| | | 1,134,881 | | | | Bank of America Corp. | | | | | 31,220,576 | | |
| | | 374,035 | | | | Bank of New York Mellon Corp. | | | | | 15,731,912 | | |
| | | 362,758 | | | | BB&T Corp. | | | | | 17,285,419 | | |
| | | 342,943 | | | | Citigroup Inc. | | | | | 22,068,382 | | |
| | | 16,073 | | | | Citizens Financial Group Inc. | | | | | 542,303 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 5,552 | | | | Comerica Inc. | | | | $ | 342,281 | | |
| | | 26,788 | | | | Fifth Third Bancorp | | | | | 708,543 | | |
| | | 5,656 | | | | First Republic Bank | | | | | 507,456 | | |
| | | 113,300 | | | | Goldman Sachs Group Inc. | | | | | 23,103,003 | | |
| | | 35,816 | | | | Huntington Bancshares Inc. | | | | | 474,562 | | |
| | | 313,339 | | | | JPMorgan Chase & Co. | | | | | 34,423,423 | | |
| | | 35,637 | | | | KeyCorp | | | | | 591,574 | | |
| | | 4,702 | | | | M&T Bank Corp. | | | | | 687,480 | | |
| | | 222,829 | | | | Morgan Stanley | | | | | 9,245,175 | | |
| | | 7,401 | | | | Northern Trust Corp. | | | | | 650,770 | | |
| | | 15,590 | | | | PNC Financial Services Group Inc. | | | | | 2,010,019 | | |
| | | 35,494 | | | | Regions Financial Corp. | | | | | 518,922 | | |
| | | 47,754 | | | | Signature Bank | | | | | 5,570,504 | | |
| | | 12,778 | | | | State Street Corp. | | | | | 655,639 | | |
| | | 15,120 | | | | SunTrust Banks Inc. | | | | | 930,031 | | |
| | | 1,799 | | | | SVB Financial Group* | | | | | 350,121 | | |
| | | 229,073 | | | | US Bancorp | | | | | 12,069,856 | | |
| | | 230,908 | | | | Wells Fargo & Co. | | | | | 10,753,386 | | |
| | | 6,440 | | | | Zions Bancorp NA | | | | | 264,620 | | |
| | | | | | | Total Banks | | | | | 190,705,957 | | |
| Diversified Financial Services – 4.2% | | ||||||||||||
| | | 1,896 | | | | Affiliated Managers Group Inc. | | | | | 145,290 | | |
| | | 1,555 | | | | Alliance Data Systems Corp. | | | | | 191,187 | | |
| | | 45,430 | | | | American Express Co. | | | | | 5,468,409 | | |
| | | 26,193 | | | | Ameriprise Financial Inc. | | | | | 3,378,373 | | |
| | | 282,464 | | | | Ant International Co., Ltd., Class C Shares, Private Placement*(b)(c)@ | | | | | 1,584,623 | | |
| | | 4,112 | | | | BlackRock Inc., Class A Shares | | | | | 1,737,567 | | |
| | | 45,450 | | | | Capital One Financial Corp. | | | | | 3,936,879 | | |
| | | 35,240 | | | | Cboe Global Markets Inc. | | | | | 4,199,198 | | |
| | | 577,541 | | | | Charles Schwab Corp. | | | | | 22,102,494 | | |
| | | 12,364 | | | | CME Group Inc., Class A Shares | | | | | 2,686,574 | | |
| | | 11,260 | | | | Discover Financial Services | | | | | 900,462 | | |
| | | 8,644 | | | | E*TRADE Financial Corp. | | | | | 360,800 | | |
| | | 9,963 | | | | Franklin Resources Inc. | | | | | 261,828 | | |
| | | 64,037 | | | | Intercontinental Exchange Inc. | | | | | 5,986,179 | | |
| | | 13,533 | | | | Invesco Ltd. | | | | | 212,468 | | |
| | | 10,051 | | | | Jefferies Financial Group Inc. | | | | | 187,351 | | |
| | | 37,767 | | | | LPL Financial Holdings Inc. | | | | | 2,830,637 | | |
| | | 111,673 | | | | Mastercard Inc., Class A Shares | | | | | 31,421,432 | | |
| | | 3,856 | | | | Nasdaq Inc. | | | | | 384,983 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Diversified Financial Services – (continued) | | ||||||||||||
| | | 39,512 | | | | Raymond James Financial Inc. | | | | $ | 3,102,087 | | |
| | | 22,076 | | | | Synchrony Financial | | | | | 707,536 | | |
| | | 8,073 | | | | T Rowe Price Group Inc. | | | | | 893,035 | | |
| | | 115,458 | | | | TD Ameritrade Holding Corp. | | | | | 5,127,490 | | |
| | | 319,895 | | | | Visa Inc., Class A Shares | | | | | 57,843,414 | | |
| | | 15,741 | | | | Western Union Co. | | | | | 348,191 | | |
| | | | | | | Total Diversified Financial Services | | | | | 155,998,487 | | |
| Equity Real Estate Investment Trusts (REITs) – 1.5% | | ||||||||||||
| | | 3,901 | | | | Alexandria Real Estate Equities Inc. | | | | | 584,526 | | |
| | | 15,267 | | | | American Tower Corp. | | | | | 3,514,311 | | |
| | | 5,128 | | | | Apartment Investment & Management Co., Class A Shares | | | | | 261,528 | | |
| | | 4,815 | | | | AvalonBay Communities Inc. | | | | | 1,023,477 | | |
| | | 5,337 | | | | Boston Properties Inc. | | | | | 685,377 | | |
| | | 29,028 | | | | Crown Castle International Corp. | | | | | 4,213,995 | | |
| | | 7,194 | | | | Digital Realty Trust Inc. | | | | | 889,394 | | |
| | | 11,996 | | | | Duke Realty Corp. | | | | | 399,107 | | |
| | | 2,904 | | | | Equinix Inc. | | | | | 1,615,437 | | |
| | | 235,609 | | | | Equity Residential | | | | | 19,970,219 | | |
| | | 2,270 | | | | Essex Property Trust Inc. | | | | | 729,260 | | |
| | | 4,300 | | | | Extra Space Storage Inc. | | | | | 524,256 | | |
| | | 2,477 | | | | Federal Realty Investment Trust | | | | | 320,053 | | |
| | | 16,375 | | | | HCP Inc. | | | | | 568,376 | | |
| | | 25,251 | | | | Host Hotels & Resorts Inc. | | | | | 405,026 | | |
| | | 9,608 | | | | Iron Mountain Inc. | | | | | 306,015 | | |
| | | 15,032 | | | | Kimco Realty Corp. | | | | | 276,288 | | |
| | | 3,801 | | | | Macerich Co. | | | | | 108,443 | | |
| | | 3,872 | | | | Mid-America Apartment Communities Inc. | | | | | 490,505 | | |
| | | 21,786 | | | | Prologis Inc. | | | | | 1,821,745 | | |
| | | 5,184 | | | | Public Storage | | | | | 1,372,412 | | |
| | | 10,873 | | | | Realty Income Corp. | | | | | 802,536 | | |
| | | 5,704 | | | | Regency Centers Corp. | | | | | 367,965 | | |
| | | 3,911 | | | | SBA Communications Corp., Class A Shares | | | | | 1,026,364 | | |
| | | 56,017 | | | | Simon Property Group Inc. | | | | | 8,343,172 | | |
| | | 2,812 | | | | SL Green Realty Corp. | | | | | 225,579 | | |
| | | 9,679 | | | | UDR Inc. | | | | | 466,334 | | |
| | | 12,759 | | | | Ventas Inc. | | | | | 936,383 | | |
| | | 5,877 | | | | Vornado Realty Trust | | | | | 355,382 | | |
| | | 13,986 | | | | Welltower Inc. | | | | | 1,252,586 | | |
| | | 180,782 | | | | Weyerhaeuser Co. | | | | | 4,756,374 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 58,612,425 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – 5.1% | | ||||||||||||
| | | 25,796 | | | | Aflac Inc. | | | | $ | 1,294,443 | | |
| | | 191,614 | | | | Allstate Corp. | | | | | 19,619,357 | | |
| | | 582,690 | | | | American International Group Inc. | | | | | 30,323,188 | | |
| | | 8,307 | | | | Aon PLC | | | | | 1,618,619 | | |
| | | 6,507 | | | | Arthur J Gallagher & Co. | | | | | 590,250 | | |
| | | 69,420 | | | | Assurant Inc. | | | | | 8,538,660 | | |
| | | 344,733 | | | | Berkshire Hathaway Inc., Class B Shares* | | | | | 70,122,140 | | |
| | | 73,621 | | | | Chubb Ltd. | | | | | 11,505,490 | | |
| | | 5,143 | | | | Cincinnati Financial Corp. | | | | | 578,536 | | |
| | | 1,354 | | | | Everest Re Group Ltd. | | | | | 319,381 | | |
| | | 3,402 | | | | Globe Life Inc. | | | | | 303,663 | | |
| | | 134,269 | | | | Hartford Financial Services Group Inc. | | | | | 7,825,197 | | |
| | | 7,294 | | | | Lincoln National Corp. | | | | | 385,707 | | |
| | | 9,420 | | | | Loews Corp. | | | | | 452,819 | | |
| | | 202,461 | | | | Marsh & McLennan Cos., Inc. | | | | | 20,223,829 | | |
| | | 32,719 | | | | MetLife Inc. | | | | | 1,449,452 | | |
| | | 8,986 | | | | Principal Financial Group Inc. | | | | | 478,235 | | |
| | | 20,170 | | | | Progressive Corp. | | | | | 1,528,886 | | |
| | | 13,904 | | | | Prudential Financial Inc. | | | | | 1,113,571 | | |
| | | 8,961 | | | | Travelers Cos., Inc. | | | | | 1,316,909 | | |
| | | 7,179 | | | | Unum Group | | | | | 182,418 | | |
| | | 170,824 | | | | Voya Financial Inc. | | | | | 8,425,040 | | |
| | | 11,311 | | | | Willis Towers Watson PLC | | | | | 2,239,239 | | |
| | | | | | | Total Insurance | | | | | 190,435,029 | | |
| Private Equity – 0.2% | | ||||||||||||
| | | 113,859 | | | | Brookfield Asset Management Inc., Class A Shares(a) | | | | | 5,876,263 | | |
| Real Estate – 0.2% | | ||||||||||||
| | | 10,851 | | | | CBRE Group Inc., Class A Shares* | | | | | 567,182 | | |
| | | 54,319 | | | | Jones Lang LaSalle Inc. | | | | | 7,281,462 | | |
| | | | | | | Total Real Estate | | | | | 7,848,644 | | |
| Savings & Loans – 0.0% | | ||||||||||||
| | | 13,276 | | | | People’s United Financial Inc. | | | | | 190,776 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 609,667,581 | | |
| INDUSTRIAL – 8.7% | | ||||||||||||
| Aerospace/Defense – 3.7% | | ||||||||||||
| | | 14,200 | | | | Arconic Inc. | | | | | 366,928 | | |
| | | 89,478 | | | | Boeing Co. | | | | | 32,578,045 | | |
| | | 30,437 | | | | General Dynamics Corp. | | | | | 5,821,685 | | |
| | | 57,526 | | | | L3Harris Technologies Inc. | | | | | 12,161,572 | | |
| | | 18,844 | | | | Lockheed Martin Corp. | | | | | 7,238,169 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Aerospace/Defense – (continued) | | ||||||||||||
| | | 95,408 | | | | Northrop Grumman Corp. | | | | $ | 35,097,741 | | |
| | | 128,345 | | | | Raytheon Co. | | | | | 23,784,895 | | |
| | | 1,690 | | | | TransDigm Group Inc. | | | | | 909,761 | | |
| | | 151,354 | | | | United Technologies Corp. | | | | | 19,712,345 | | |
| | | | | | | Total Aerospace/Defense | | | | | 137,671,141 | | |
| Building Materials – 0.7% | | ||||||||||||
| | | 5,070 | | | | Fortune Brands Home & Security Inc. | | | | | 258,874 | | |
| | | 27,485 | | | | Johnson Controls International PLC | | | | | 1,173,335 | | |
| | | 51,453 | | | | Martin Marietta Materials Inc. | | | | | 13,057,228 | | |
| | | 10,209 | | | | Masco Corp. | | | | | 415,812 | | |
| | | 89,117 | | | | Vulcan Materials Co. | | | | | 12,587,776 | | |
| | | | | | | Total Building Materials | | | | | 27,493,025 | | |
| Electrical Components & Equipment – 0.1% | | ||||||||||||
| | | 8,000 | | | | AMETEK Inc. | | | | | 687,440 | | |
| | | 21,198 | | | | Emerson Electric Co. | | | | | 1,263,189 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 1,950,629 | | |
| Electronics – 1.0% | | ||||||||||||
| | | 10,914 | | | | Agilent Technologies Inc. | | | | | 776,094 | | |
| | | 3,146 | | | | Allegion PLC | | | | | 302,865 | | |
| | | 10,318 | | | | Amphenol Corp., Class A Shares | | | | | 903,238 | | |
| | | 140,756 | | | | Avnet Inc. | | | | | 5,896,269 | | |
| | | 88,234 | | | | FLIR Systems Inc. | | | | | 4,347,289 | | |
| | | 87,373 | | | | Fortive Corp. | | | | | 6,194,746 | | |
| | | 4,005 | | | | Garmin Ltd. | | | | | 326,688 | | |
| | | 103,977 | | | | Honeywell International Inc. | | | | | 17,116,694 | | |
| | | 6,403 | | | | Keysight Technologies Inc.* | | | | | 620,195 | | |
| | | 862 | | | | Mettler-Toledo International Inc.* | | | | | 566,153 | | |
| | | 3,732 | | | | PerkinElmer Inc. | | | | | 308,636 | | |
| | | 11,511 | | | | TE Connectivity Ltd. | | | | | 1,050,033 | | |
| | | 2,520 | | | | Waters Corp.* | | | | | 533,963 | | |
| | | | | | | Total Electronics | | | | | 38,942,863 | | |
| Engineering & Construction – 0.0% | | ||||||||||||
| | | 3,934 | | | | Jacobs Engineering Group Inc. | | | | | 349,575 | | |
| Environmental Control – 0.6% | | ||||||||||||
| | | 5,724 | | | | Pentair PLC | | | | | 205,606 | | |
| | | 7,523 | | | | Republic Services Inc., Class A Shares | | | | | 671,428 | | |
| | | 172,402 | | | | Waste Management Inc. | | | | | 20,576,178 | | |
| | | | | | | Total Environmental Control | | | | | 21,453,212 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Hand/Machine Tools – 0.0% | | ||||||||||||
| | | 1,859 | | | | Snap-on Inc. | | | | $ | 276,396 | | |
| | | 5,234 | | | | Stanley Black & Decker Inc. | | | | | 695,389 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 971,785 | | |
| Machinery-Construction & Mining – 0.1% | | ||||||||||||
| | | 19,672 | | | | Caterpillar Inc. | | | | | 2,340,968 | | |
| Machinery-Diversified – 0.9% | | ||||||||||||
| | | 31,371 | | | | Cummins Inc. | | | | | 4,682,749 | | |
| | | 42,599 | | | | Deere & Co. | | | | | 6,599,011 | | |
| | | 4,970 | | | | Dover Corp. | | | | | 465,888 | | |
| | | 4,696 | | | | Flowserve Corp. | | | | | 200,425 | | |
| | | 64,106 | | | | Hexagon AB, Class B Shares | | | | | 2,847,936 | | |
| | | 2,613 | | | | IDEX Corp. | | | | | 430,387 | | |
| | | 4,163 | | | | Rockwell Automation Inc. | | | | | 636,065 | | |
| | | 26,822 | | | | Roper Technologies Inc. | | | | | 9,837,237 | | |
| | | 86,598 | | | | Wabtec Corp. | | | | | 5,993,448 | | |
| | | 6,117 | | | | Xylem Inc. | | | | | 468,624 | | |
| | | | | | | Total Machinery-Diversified | | | | | 32,161,770 | | |
| Miscellaneous Manufacturers – 0.5% | | ||||||||||||
| | | 19,909 | | | | 3M Co. | | | | | 3,219,684 | | |
| | | 88,881 | | | | AO Smith Corp. | | | | | 4,134,744 | | |
| | | 14,635 | | | | Eaton Corp. PLC | | | | | 1,181,337 | | |
| | | 480,828 | | | | General Electric Co. | | | | | 3,966,831 | | |
| | | 10,335 | | | | Illinois Tool Works Inc. | | | | | 1,548,803 | | |
| | | 8,254 | | | | Ingersoll-Rand PLC | | | | | 999,477 | | |
| | | 4,422 | | | | Parker-Hannifin Corp. | | | | | 733,035 | | |
| | | 96,910 | | | | Textron Inc. | | | | | 4,360,950 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 20,144,861 | | |
| Packaging & Containers – 0.0% | | ||||||||||||
| | | 55,384 | | | | Amcor PLC* | | | | | 543,871 | | |
| | | 11,732 | | | | Ball Corp. | | | | | 943,370 | | |
| | | 3,147 | | | | Packaging Corp. of America | | | | | 316,525 | | |
| | | 5,622 | | | | Sealed Air Corp. | | | | | 223,868 | | |
| | | 8,561 | | | | WestRock Co. | | | | | 292,615 | | |
| | | | | | | Total Packaging & Containers | | | | | 2,320,249 | | |
| Shipbuilding – 0.1% | | ||||||||||||
| | | 20,367 | | | | Huntington Ingalls Industries Inc. | | | | | 4,256,703 | | |
| Transportation – 1.0% | | ||||||||||||
| | | 4,674 | | | | CH Robinson Worldwide Inc. | | | | | 394,906 | | |
| | | 26,484 | | | | CSX Corp. | | | | | 1,774,958 | | |
| | | 5,865 | | | | Expeditors International of Washington Inc. | | | | | 417,002 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – (continued) | | ||||||||||||
| | | 51,099 | | | | FedEx Corp. | | | | $ | 8,104,812 | | |
| | | 36,496 | | | | JB Hunt Transport Services Inc. | | | | | 3,943,028 | | |
| | | 3,438 | | | | Kansas City Southern | | | | | 432,500 | | |
| | | 9,220 | | | | Norfolk Southern Corp. | | | | | 1,604,741 | | |
| | | 78,602 | | | | Union Pacific Corp. | | | | | 12,730,380 | | |
| | | 57,774 | | | | United Parcel Service Inc., Class B Shares | | | | | 6,855,463 | | |
| | | | | | | Total Transportation | | | | | 36,257,790 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 326,314,571 | | |
| TECHNOLOGY – 16.3% | | ||||||||||||
| Computers – 2.1% | | ||||||||||||
| | | 22,029 | | | | Accenture PLC, Class A Shares | | | | | 4,365,487 | | |
| | | 251,165 | | | | Apple Inc. | | | | | 52,428,182 | | |
| | | 19,635 | | | | Cognizant Technology Solutions Corp., Class A Shares | | | | | 1,205,393 | | |
| | | 9,311 | | | | DXC Technology Co. | | | | | 309,311 | | |
| | | 4,886 | | | | Fortinet Inc.* | | | | | 386,873 | | |
| | | 47,725 | | | | Hewlett Packard Enterprise Co. | | | | | 659,560 | | |
| | | 53,507 | | | | HP Inc. | | | | | 978,643 | | |
| | | 112,661 | | | | International Business Machines Corp. | | | | | 15,268,945 | | |
| | | 4,979 | | | | Leidos Holdings Inc. | | | | | 434,966 | | |
| | | 8,685 | | | | NetApp Inc. | | | | | 417,401 | | |
| | | 8,826 | | | | Seagate Technology PLC | | | | | 443,153 | | |
| | | 58,850 | | | | Western Digital Corp. | | | | | 3,370,340 | | |
| | | | | | | Total Computers | | | | | 80,268,254 | | |
| Office/Business Equipment – 0.1% | | ||||||||||||
| | | 146,335 | | | | Xerox Holdings Corp. | | | | | 4,242,252 | | |
| Semiconductors – 4.2% | | ||||||||||||
| | | 158,513 | | | | Advanced Micro Devices Inc.* | | | | | 4,985,234 | | |
| | | 12,771 | | | | Analog Devices Inc. | | | | | 1,402,639 | | |
| | | 495,255 | | | | Applied Materials Inc. | | | | | 23,782,145 | | |
| | | 28,360 | | | | ASML Holding NV, Class NY Registered Shares, ADR | | | | | 6,313,220 | | |
| | | 95,393 | | | | Broadcom Inc. | | | | | 26,961,878 | | |
| | | 490,927 | | | | Intel Corp. | | | | | 23,274,849 | | |
| | | 1,285 | | | | IPG Photonics Corp.* | | | | | 158,993 | | |
| | | 5,647 | | | | KLA Corp. | | | | | 835,191 | | |
| | | 5,215 | | | | Lam Research Corp. | | | | | 1,097,810 | | |
| | | 226,461 | | | | Marvell Technology Group Ltd. | | | | | 5,428,270 | | |
| | | 9,544 | | | | Maxim Integrated Products Inc. | | | | | 520,530 | | |
| | | 54,380 | | | | Microchip Technology Inc. | | | | | 4,694,625 | | |
| | | 100,036 | | | | Micron Technology Inc.* | | | | | 4,528,630 | | |
| | | 162,837 | | | | NVIDIA Corp. | | | | | 27,276,826 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Semiconductors – (continued) | | ||||||||||||
| | | 4,482 | | | | Qorvo Inc.* | | | | $ | 320,149 | | |
| | | 210,810 | | | | QUALCOMM Inc. | | | | | 16,394,694 | | |
| | | 6,056 | | | | Skyworks Solutions Inc. | | | | | 455,835 | | |
| | | 65,185 | | | | Texas Instruments Inc. | | | | | 8,066,644 | | |
| | | 8,770 | | | | Xilinx Inc. | | | | | 912,606 | | |
| | | | | | | Total Semiconductors | | | | | 157,410,768 | | |
| Software – 9.9% | | ||||||||||||
| | | 469,141 | | | | Activision Blizzard Inc. | | | | | 23,738,534 | | |
| | | 92,458 | | | | Adobe Inc.* | | | | | 26,305,226 | | |
| | | 5,493 | | | | Akamai Technologies Inc.* | | | | | 489,591 | | |
| | | 2,859 | | | | ANSYS Inc.* | | | | | 590,555 | | |
| | | 5,591 | | | | Atlassian Corp. PLC, Class A Shares* | | | | | 752,045 | | |
| | | 34,212 | | | | Autodesk Inc.* | | | | | 4,886,158 | | |
| | | 3,966 | | | | Broadridge Financial Solutions Inc. | | | | | 513,359 | | |
| | | 9,628 | | | | Cadence Design Systems Inc.* | | | | | 659,325 | | |
| | | 11,239 | | | | Cerner Corp. | | | | | 774,479 | | |
| | | 4,381 | | | | Citrix Systems Inc. | | | | | 407,345 | | |
| | | 10,173 | | | | Electronic Arts Inc.* | | | | | 953,007 | | |
| | | 131,088 | | | | Fidelity National Information Services Inc. | | | | | 17,856,807 | | |
| | | 136,114 | | | | Fiserv Inc.* | | | | | 14,556,031 | | |
| | | 60,827 | | | | Intuit Inc. | | | | | 17,540,074 | | |
| | | 2,600 | | | | Jack Henry & Associates Inc. | | | | | 376,896 | | |
| | | 666,978 | | | | Microsoft Corp. | | | | | 91,949,587 | | |
| | | 72,233 | | | | MSCI Inc., Class A Shares | | | | | 16,948,029 | | |
| | | 598,453 | | | | Oracle Corp. | | | | | 31,155,463 | | |
| | | 11,047 | | | | Paychex Inc. | | | | | 902,540 | | |
| | | 313,421 | | | | salesforce.com Inc.* | | | | | 48,915,616 | | |
| | | 97,885 | | | | ServiceNow Inc.* | | | | | 25,630,208 | | |
| | | 77,410 | | | | Slack Technologies Inc., Class A Shares* | | | | | 2,217,022 | | |
| | | 187,567 | | | | Splunk Inc.* | | | | | 20,973,742 | | |
| | | 5,116 | | | | Synopsys Inc.* | | | | | 725,500 | | |
| | | 3,866 | | | | Take-Two Interactive Software Inc.* | | | | | 510,196 | | |
| | | 19,530 | | | | Temenos AG* | | | | | 3,271,443 | | |
| | | 90,276 | | | | Teradata Corp.* | | | | | 2,786,820 | | |
| | | 41,413 | | | | VMware Inc., Class A Shares | | | | | 5,857,455 | | |
| | | 30,993 | | | | Workday Inc., Class A Shares* | | | | | 5,494,439 | | |
| | | 2,652 | | | | Zoom Video Communications Inc., Class A Shares*(a) | | | | | 243,109 | | |
| | | | | | | Total Software | | | | | 367,980,601 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 609,901,875 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| UTILITIES – 2.1% | | ||||||||||||
| Electric – 2.1% | | ||||||||||||
| | | 22,269 | | | | AES Corp. | | | | $ | 341,384 | | |
| | | 7,883 | | | | Alliant Energy Corp. | | | | | 413,463 | | |
| | | 8,428 | | | | Ameren Corp. | | | | | 650,220 | | |
| | | 58,779 | | | | American Electric Power Co., Inc. | | | | | 5,357,706 | | |
| | | 17,199 | | | | CenterPoint Energy Inc. | | | | | 476,240 | | |
| | | 9,750 | | | | CMS Energy Corp. | | | | | 614,738 | | |
| | | 11,297 | | | | Consolidated Edison Inc. | | | | | 1,004,303 | | |
| | | 27,712 | | | | Dominion Energy Inc. | | | | | 2,151,283 | | |
| | | 6,279 | | | | DTE Energy Co. | | | | | 814,135 | | |
| | | 25,145 | | | | Duke Energy Corp. | | | | | 2,331,947 | | |
| | | 397,617 | | | | Edison International | | | | | 28,735,781 | | |
| | | 6,560 | | | | Entergy Corp. | | | | | 740,230 | | |
| | | 9,049 | | | | Evergy Inc. | | | | | 588,185 | | |
| | | 11,090 | | | | Eversource Energy | | | | | 888,642 | | |
| | | 33,535 | | | | Exelon Corp. | | | | | 1,584,864 | | |
| | | 17,214 | | | | FirstEnergy Corp. | | | | | 791,844 | | |
| | | 38,531 | | | | NextEra Energy Inc. | | | | | 8,441,371 | | |
| | | 9,847 | | | | NRG Energy Inc. | | | | | 358,431 | | |
| | | 3,760 | | | | Pinnacle West Capital Corp. | | | | | 358,366 | | |
| | | 204,849 | | | | PPL Corp. | | | | | 6,053,288 | | |
| | | 17,457 | | | | Public Service Enterprise Group Inc. | | | | | 1,055,625 | | |
| | | 50,322 | | | | Sempra Energy | | | | | 7,127,105 | | |
| | | 35,948 | | | | Southern Co. | | | | | 2,094,330 | | |
| | | 10,895 | | | | WEC Energy Group Inc. | | | | | 1,043,414 | | |
| | | 17,776 | | | | Xcel Energy Inc. | | | | | 1,141,575 | | |
| | | | | | | Total Electric | | | | | 75,158,470 | | |
| Gas – 0.0% | | ||||||||||||
| | | 3,956 | | | | Atmos Energy Corp. | | | | | 436,070 | | |
| | | 12,886 | | | | NiSource Inc. | | | | | 380,781 | | |
| | | | | | | Total Gas | | | | | 816,851 | | |
| Water – 0.0% | | ||||||||||||
| | | 6,235 | | | | American Water Works Co., Inc. | | | | | 793,840 | | |
| | | | | | | TOTAL UTILITIES | | | | | 76,769,161 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $3,167,332,879) | | | | | 3,677,883,176 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – 0.1% | | ||||||||||||
| CONSUMER CYCLICAL – 0.1% | | ||||||||||||
| Auto Manufacturers – 0.1% | | ||||||||||||
| | | 48,210 | | | | Aurora Innovation Inc., Series B, Private Placement*(b)(c)@ | | | | $ | 445,475 | | |
| | | 48,400 | | | | GM Cruise Holdings LLC, Class F Shares, Private Placement*(b)(c)@ | | | | | 883,300 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 1,328,775 | | |
| TECHNOLOGY – 0.0% | | ||||||||||||
| Software – 0.0% | | ||||||||||||
| | | 15,057 | | | | Magic Leap Inc., Series D, Private Placement*(b)(c)@ | | | | | 365,885 | | |
| | | 17,300 | | | | Uipath Inc, Series D1, Private Placement*(b)(c)@ | | | | | 680,784 | | |
| | | 2,905 | | | | Uipath Inc, Series D2, Private Placement*(b)(c)@ | | | | | 114,317 | | |
| | | | | | | Total Software | | | | | 1,160,986 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 1,160,986 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $2,530,415) | | | | | 2,489,761 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $3,169,863,294) | | | | | 3,680,372,937 | | |
| Face Amount† | | | | ||||||||||
| SHORT-TERM INVESTMENTS – 1.7% | | ||||||||||||
| TIME DEPOSITS – 1.7% | | ||||||||||||
| | $ | 14,023,459 | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 14,023,459 | | |
| | | 9,060,984 | | | | Barclays Bank PLC – London, 1.490% due 9/3/19 | | | | | 9,060,984 | | |
| | | 279,567HKD | | | | BNP Paribas – Paris, 0.750% due 9/2/19 | | | | | 35,655 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | |
| | | 5,551CHF | | | | (1.580)% due 9/2/19 | | | | | 5,608 | | |
| | | 4GBP | | | | 0.370% due 9/2/19 | | | | | 5 | | |
| | | 18,014CAD | | | | 0.870% due 9/3/19 | | | | | 13,532 | | |
| | | 21,684,959 | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 21,684,959 | | |
| | | 16,113,688 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 16,113,688 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $60,937,890) | | | | | 60,937,890 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.5% | | ||||||||||||
| MONEY MARKET FUND – 0.5% | | ||||||||||||
| | | 19,637,880 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(d) (Cost – $19,637,880) | | | | | 19,637,880 | | |
| | | | | | | TOTAL INVESTMENTS – 100.6% (Cost – $3,250,439,064#) | | | | | 3,760,948,707 | | |
| | | | | | | Liabilities in Excess of Other Assets – (0.6)% | | | | | (20,954,007) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 3,739,994,700 | | |
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Ant International Co., Ltd., Class C Shares, Private Placement | | | | | 6/7/18 | | | | | $ | 1,584,623 | | | | | $ | 1,584,623 | | | | | | 0.04% | | |
Aurora Innovation Inc., Series B, Private Placement | | | | | 3/1/19 | | | | | | 445,475 | | | | | | 445,475 | | | | | | 0.01% | | |
GM Cruise Holdings LLC, Class F Shares, Private Placement | | | | | 5/7/19 | | | | | | 883,300 | | | | | | 883,300 | | | | | | 0.03% | | |
Magic Leap Inc., Series D, Private Placement | | | | | 10/12/17 | | | | | | 406,539 | | | | | | 365,885 | | | | | | 0.01% | | |
Uipath Inc, Series D1, Private Placement | | | | | 4/26/19 | | | | | | 680,784 | | | | | | 680,784 | | | | | | 0.02% | | |
Uipath Inc, Series D2, Private Placement | | | | | 4/26/19 | | | | | | 114,317 | | | | | | 114,317 | | | | | | 0.00% | | |
Total | | | | | | | ��� | | | | | | | | | $ | 4,074,384 | | | | | | 0.11% | | |
| Consumer Non-cyclical | | | | | 23.5% | | |
| Communications | | | | | 17.7 | | |
| Technology | | | | | 16.2 | | |
| Financial | | | | | 16.2 | | |
| Industrial | | | | | 8.7 | | |
| Consumer Cyclical | | | | | 6.7 | | |
| Energy | | | | | 4.7 | | |
| Basic Materials | | | | | 2.2 | | |
| Utilities | | | | | 2.0 | | |
| Short-Term Investments | | | | | 1.6 | | |
| Money Market Fund | | | | | 0.5 | | |
| | | | | | 100.0% | | |
Open Futures Contracts | | | Number of Contracts | | | Expiration Date (Month/Year) | | | Notional Amounts | | | Market Value | | | Unrealized Appreciation | | |||||||||||||||
Contracts to Buy: | | | | | | | |||||||||||||||||||||||||
S&P 500 E-mini Index September Futures | | | | | 74 | | | | | | 9/19 | | | | | $ | 10,757,515 | | | | | $ | 10,821,575 | | | | | $ | 64,060 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 91.0% | | ||||||||||||
| BASIC MATERIALS – 3.3% | | ||||||||||||
| Chemicals – 2.2% | | ||||||||||||
| | | 19,676 | | | | Cabot Corp. | | | | $ | 787,040 | | |
| | | 37,411 | | | | HB Fuller Co. | | | | | 1,594,083 | | |
| | | 17,049 | | | | Ingevity Corp.* | | | | | 1,298,622 | | |
| | | 93,196 | | | | Olin Corp. | | | | | 1,582,468 | | |
| | | 61,500 | | | | PPG Industries Inc. | | | | | 6,813,585 | | |
| | | 45,155 | | | | Sensient Technologies Corp. | | | | | 2,949,525 | | |
| | | 145,592 | | | | Valvoline Inc. | | | | | 3,290,379 | | |
| | | 35,693 | | | | WR Grace & Co. | | | | | 2,416,773 | | |
| | | | | | | Total Chemicals | | | | | 20,732,475 | | |
| Iron/Steel – 0.6% | | ||||||||||||
| | | 91,052 | | | | Allegheny Technologies Inc.* | | | | | 1,804,651 | | |
| | | 80,400 | | | | Nucor Corp. | | | | | 3,937,992 | | |
| | | | | | | Total Iron/Steel | | | | | 5,742,643 | | |
| Mining – 0.5% | | ||||||||||||
| 1 88,097 | | | Constellium SE, Class A Shares* | | | | | 2,264,688 | | | |||
| | | 204,540 | | | | Livent Corp.* | | | | | 1,257,921 | | |
| | | 82,103 | | | | SSR Mining Inc.* | | | | | 1,348,131 | | |
| | | | | | | Total Mining | | | | | 4,870,740 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 31,345,858 | | |
| COMMUNICATIONS – 5.4% | | ||||||||||||
| Advertising – 2.1% | | ||||||||||||
| | | 320,300 | | | | Interpublic Group of Cos., Inc. | | | | | 6,367,564 | | |
| | | 112,000 | | | | Omnicom Group Inc. | | | | | 8,518,720 | | |
| | | 521,378 | | | | Telaria Inc.* | | | | | 5,203,352 | | |
| | | | | | | Total Advertising | | | | | 20,089,636 | | |
| Internet – 1.6% | | ||||||||||||
| | | 81,875 | | | | Cardlytics Inc.* | | | | | 3,076,044 | | |
| | | 29,109 | | | | Cogent Communications Holdings Inc. | | | | | 1,772,447 | | |
| | | 56,228 | | | | EverQuote Inc., Class A Shares* | | | | | 1,258,945 | | |
| | | 29,564 | | | | Mimecast Ltd.* | | | | | 1,210,055 | | |
| | | 75,662 | | | | Perficient Inc.* | | | | | 2,787,388 | | |
| | | 498,452 | | | | Rubicon Project Inc.* | | | | | 5,099,164 | | |
| | | | | | | Total Internet | | | | | 15,204,043 | | |
| Media – 0.6% | | ||||||||||||
| | | 48,950 | | | | Meredith Corp. | | | | | 2,143,031 | | |
| | | 24,206 | | | | Nexstar Media Group Inc., Class A Shares | | | | | 2,393,731 | | |
| | | 22,050 | | | | Tribune Media Co., Class A Shares | | | | | 1,027,089 | | |
| | | | | | | Total Media | | | | | 5,563,851 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| COMMUNICATIONS – (continued) | | ||||||||||||
| Telecommunications – 1.1% | | ||||||||||||
| | | 35,300 | | | | Motorola Solutions Inc. | | | | $ | 6,386,123 | | |
| | | 94,631 | | | | Sonim Technologies Inc.*(a) | | | | | 687,021 | | |
| | | 236,432 | | | | Viavi Solutions Inc.* | | | | | 3,284,040 | | |
| | | | | | | Total Telecommunications | | | | | 10,357,184 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 51,214,714 | | |
| CONSUMER CYCLICAL – 7.8% | | ||||||||||||
| Airlines – 0.2% | | ||||||||||||
| | | 203,074 | | | | Controladora Vuela Cia de Aviacion SAB de CV, ADR* | | | | | 1,805,328 | | |
| Apparel – 1.1% | | ||||||||||||
| | | 21,717 | | | | Carter’s Inc. | | | | | 1,986,671 | | |
| | | 18,010 | | | | Oxford Industries Inc. | | | | | 1,256,738 | | |
| | | 79,900 | | | | PVH Corp. | | | | | 6,056,420 | | |
| | | 34,526 | | | | Steven Madden Ltd. | | | | | 1,146,954 | | |
| | | | | | | Total Apparel | | | | | 10,446,783 | | |
| Auto Manufacturers – 0.3% | | ||||||||||||
| | | 286,700 | | | | Ford Motor Co. | | | | | 2,629,039 | | |
| Auto Parts & Equipment – 0.8% | | ||||||||||||
| | | 199,700 | | | | BorgWarner Inc. | | | | | 6,516,211 | | |
| | | 26,786 | | | | Douglas Dynamics Inc. | | | | | 1,118,583 | | |
| | | | | | | Total Auto Parts & Equipment | | | | | 7,634,794 | | |
| Home Builders – 1.3% | | ||||||||||||
| | | 73,691 | | | | Century Communities Inc.* | | | | | 2,076,612 | | |
| | | 37,637 | | | | Installed Building Products Inc.* | | | | | 2,141,922 | | |
| | | 49,297 | | | | LGI Homes Inc.* | | | | | 4,018,199 | | |
| | ��� | 158,160 | | | | Skyline Champion Corp.* | | | | | 4,428,480 | | |
| | | | | | | Total Home Builders | | | | | 12,665,213 | | |
| Leisure Time – 1.4% | | ||||||||||||
| | | 74,500 | | | | Brunswick Corp. | | | | | 3,471,700 | | |
| | | 76,221 | | | | Callaway Golf Co. | | | | | 1,353,685 | | |
| | | 128,170 | | | | Lindblad Expeditions Holdings Inc.* | | | | | 2,391,652 | | |
| | | 119,235 | | | | OneSpaWorld Holdings Ltd.* | | | | | 1,871,989 | | |
| | | 31,600 | | | | Royal Caribbean Cruises Ltd. | | | | | 3,295,248 | | |
| | | 93,074 | | | | Vista Outdoor Inc.* | | | | | 520,284 | | |
| | | | | | | Total Leisure Time | | | | | 12,904,558 | | |
| Lodging – 0.4% | | ||||||||||||
| | | 162,412 | | | | Century Casinos Inc.* | | | | | 1,247,324 | | |
| | | 84,000 | | | | MGM Resorts International | | | | | 2,357,040 | | |
| | | | | | | Total Lodging | | | | | 3,604,364 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER CYCLICAL – (continued) | | ||||||||||||
| Office Furnishings – 0.3% | | ||||||||||||
| | | 119,246 | | | | Knoll Inc. | | | | $ | 2,749,813 | | |
| Retail – 1.7% | | ||||||||||||
| | | 119,614 | | | | Boot Barn Holdings Inc.* | | | | | 4,096,779 | | |
| | | 34,209 | | | | Freshpet Inc.* | | | | | 1,678,978 | | |
| | | 86,661 | | | | GMS Inc.* | | | | | 2,553,033 | | |
| | | 81,120 | | | | Lovesac Co.* | | | | | 1,395,264 | | |
| | | 82,622 | | | | Michaels Cos., Inc.* | | | | | 468,467 | | |
| | | 74,061 | | | | PetIQ Inc., Class A Shares* | | | | | 2,344,771 | | |
| | | 81,273 | | | | Sonic Automotive Inc., Class A Shares | | | | | 2,187,056 | | |
| | | 22,787 | | | | Wingstop Inc. | | | | | 2,282,574 | | |
| | | | | | | Total Retail | | | | | 17,006,922 | | |
| Toys/Games/Hobbies – 0.3% | | ||||||||||||
| | | 117,146 | | | | Funko Inc., Class A Shares*(a) | | | | | 2,810,333 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 74,257,147 | | |
| CONSUMER NON-CYCLICAL – 21.2% | | ||||||||||||
| Agriculture – 0.7% | | ||||||||||||
| | | 198,945 | | | | Darling Ingredients Inc.* | | | | | 3,700,377 | | |
| | | 32,018 | | | | Turning Point Brands Inc.(a) | | | | | 1,147,845 | | |
| | | 133,113 | | | | Village Farms International Inc.*(a) | | | | | 1,397,686 | | |
| | | | | | | Total Agriculture | | | | | 6,245,908 | | |
| Biotechnology – 2.2% | | ||||||||||||
| | | 22,433 | | | | Allakos Inc.*(a) | | | | | 1,984,423 | | |
| | | 34,952 | | | | Argenx SE, ADR* | | | | | 4,594,440 | | |
| | | 148,869 | | | | NeoGenomics Inc.* | | | | | 3,718,748 | | |
| | | 142,488 | | | | Orchard Therapeutics PLC, ADR*(a) | | | | | 2,108,822 | | |
| | | 85,753 | | | | Twist Bioscience Corp.* | | | | | 2,489,410 | | |
| | | 68,562 | | | | Veracyte Inc.* | | | | | 1,816,893 | | |
| | | 174,689 | | | | Vericel Corp.* | | | | | 2,889,356 | | |
| | | 41,005 | | | | Y-mAbs Therapeutics Inc.* | | | | | 1,089,503 | | |
| | | | | | | Total Biotechnology | | | | | 20,691,595 | | |
| Commercial Services – 3.1% | | ||||||||||||
| | | 112,502 | | | | Career Education Corp.* | | | | | 2,307,416 | | |
| | | 49,100 | | | | Global Payments Inc. | | | | | 8,149,618 | | |
| | | 48,583 | | | | Huron Consulting Group Inc.* | | | | | 2,973,765 | | |
| | | 133,432 | | | | I3 Verticals Inc., Class A Shares* | | | | | 3,018,232 | | |
| | | 15,648 | | | | ICF International Inc. | | | | | 1,324,760 | | |
| | | 54,786 | | | | Kelly Services Inc., Class A Shares | | | | | 1,326,369 | | |
| | | 53,773 | | | | Korn Ferry | | | | | 2,101,449 | | |
| | | 36,086 | | | | Matthews International Corp., Class A Shares | | | | | 1,057,681 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Commercial Services – (continued) | | ||||||||||||
| | | 167,356 | | | | R1 RCM Inc.* | | | | $ | 1,951,371 | | |
| | | 161,261 | | | | Team Inc.* | | | | | 2,657,581 | | |
| | | 24,311 | | | | Vectrus Inc.* | | | | | 983,623 | | |
| | | 52,963 | | | | Willdan Group Inc.* | | | | | 1,914,612 | | |
| | | | | | | Total Commercial Services | | | | | 29,766,477 | | |
| Cosmetics/Personal Care – 0.4% | | ||||||||||||
| | | 226,411 | | | | elf Beauty Inc.* | | | | | 3,695,028 | | |
| Food – 2.6% | | ||||||||||||
| | | 35,717 | | | | Cal-Maine Foods Inc. | | | | | 1,447,967 | | |
| | | 90,850 | | | | Hain Celestial Group Inc.* | | | | | 1,730,693 | | |
| | | 189,335 | | | | Hostess Brands Inc., Class A Shares* | | | | | 2,654,477 | | |
| | | 133,200 | | | | Kellogg Co. | | | | | 8,364,960 | | |
| | | 137,900 | | | | Kroger Co. | | | | | 3,265,472 | | |
| | | 46,233 | | | | Performance Food Group Co.* | | | | | 2,163,242 | | |
| | | 9,983 | | | | Sanderson Farms Inc. | | | | | 1,493,656 | | |
| | | 85,076 | | | | TreeHouse Foods Inc.* | | | | | 4,309,099 | | |
| | | | | | | Total Food | | | | | 25,429,566 | | |
| Healthcare-Products – 5.0% | | ||||||||||||
| | | 238,641 | | | | Alphatec Holdings Inc.* | | | | | 1,248,092 | | |
| | | 101,346 | | | | BioLife Solutions Inc.*(a) | | | | | 2,096,849 | | |
| | | 87,621 | | | | Inspire Medical Systems Inc.* | | | | | 6,090,536 | | |
| | | 17,964 | | | | Integra LifeSciences Holdings Corp.* | | | | | 1,078,199 | | |
| | | 12,593 | | | | iRhythm Technologies Inc.* | | | | | 958,579 | | |
| | | 105,631 | | | | OrthoPediatrics Corp.* | | | | | 3,400,262 | | |
| | | 63,165 | | | | Patterson Cos., Inc. | | | | | 1,056,119 | | |
| | | 35,223 | | | | Tactile Systems Technology Inc.* | | | | | 1,776,648 | | |
| | | 62,124 | | | | Tandem Diabetes Care Inc.* | | | | | 4,499,641 | | |
| | | 176,400 | | | | Zimmer Biomet Holdings Inc. | | | | | 24,554,880 | | |
| | | 86,191 | | | | Zynex Inc.(a) | | | | | 770,548 | | |
| | | | | | | Total Healthcare-Products | | | | | 47,530,353 | | |
| Healthcare-Services – 3.1% | | ||||||||||||
| | | 62,458 | | | | Castle Biosciences Inc.* | | | | | 1,743,828 | | |
| | | 72,500 | | | | Humana Inc. | | | | | 20,532,725 | | |
| | | 124,396 | | | | Natera Inc.* | | | | | 4,098,848 | | |
| | | 110,861 | | | | SI-BONE Inc.* | | | | | 2,155,138 | | |
| | | 56,590 | | | | Vapotherm Inc.* | | | | | 656,444 | | |
| | | | | | | Total Healthcare-Services | | | | | 29,186,983 | | |
| Household Products/Wares – 0.2% | | ||||||||||||
| | | 26,444 | | | | Spectrum Brands Holdings Inc. | | | | | 1,477,426 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Pharmaceuticals – 3.9% | | ||||||||||||
| | | 96,600 | | | | AmerisourceBergen Corp., Class A Shares | | | | $ | 7,947,282 | | |
| | | 336,583 | | | | Cytokinetics Inc.* | | | | | 4,728,991 | | |
| | | 27,508 | | | | Global Blood Therapeutics Inc.* | | | | | 1,264,818 | | |
| | | 98,881 | | | | Kura Oncology Inc.* | | | | | 1,501,014 | | |
| | | 35,014 | | | | Mirati Therapeutics Inc.* | | | | | 2,870,098 | | |
| | | 76,288 | | | | MyoKardia Inc.* | | | | | 4,102,006 | | |
| | | 78,522 | | | | Odonate Therapeutics Inc.* | | | | | 2,419,263 | | |
| | | 83,022 | | | | Prestige Consumer Healthcare Inc.* | | | | | 2,646,741 | | |
| | | 38,807 | | | | Principia Biopharma Inc.* | | | | | 1,540,638 | | |
| | | 62,126 | | | | Ra Pharmaceuticals Inc.* | | | | | 1,689,827 | | |
| | | 33,545 | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | | | 2,586,320 | | |
| | | 38,856 | | | | Sutro Biopharma Inc.* | | | | | 313,568 | | |
| | | 57,871 | | | | Tricida Inc.* | | | | | 2,019,119 | | |
| | | 35,529 | | | | Turning Point Therapeutics Inc.*(a) | | | | | 1,937,396 | | |
| | | | | | | Total Pharmaceuticals | | | | | 37,567,081 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 201,590,417 | | |
| DIVERSIFIED – 0.2% | | ||||||||||||
| Holding Companies-Diversified – 0.2% | | ||||||||||||
| | | 181,537 | | | | Repay Holdings Corp.* | | | | | 2,305,520 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 2,305,520 | | |
| ENERGY – 4.9% | | ||||||||||||
| Energy-Alternate Sources – 0.1% | | ||||||||||||
| | | 74,796 | | | | Sunrun Inc.* | | | | | 1,146,623 | | |
| Oil & Gas – 4.6% | | ||||||||||||
| | | 243,669 | | | | Callon Petroleum Co.* | | | | | 1,001,480 | | |
| | | 108,148 | | | | Carrizo Oil & Gas Inc.* | | | | | 896,547 | | |
| | | 116,500 | | | | Diamondback Energy Inc. | | | | | 11,426,320 | | |
| | | 332,600 | | | | Marathon Petroleum Corp. | | | | | 16,367,246 | | |
| | | 56,071 | | | | Murphy USA Inc.* | | | | | 5,012,747 | | |
| | | 399,500 | | | | Noble Energy Inc. | | | | | 9,020,710 | | |
| | | 124,819 | | | | SRC Energy Inc.* | | | | | 626,591 | | |
| | | | | | | Total Oil & Gas | | | | | 44,351,641 | | |
| Oil & Gas Services – 0.2% | | ||||||||||||
| | | 22,560 | | | | DMC Global Inc. | | | | | 979,781 | | |
| | | 81,568 | | | | Select Energy Services Inc., Class A Shares* | | | | | 665,595 | | |
| | | | | | | Total Oil & Gas Services | | | | | 1,645,376 | | |
| | | | | | | TOTAL ENERGY | | | | | 47,143,640 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 19.5% | | ||||||||||||
| Banks – 5.2% | | ||||||||||||
| | | 81,355 | | | | Bank of NT Butterfield & Son Ltd. | | | | $ | 2,242,144 | | |
| | | 90,891 | | | | BankUnited Inc. | | | | | 2,886,698 | | |
| | | 36,145 | | | | Eagle Bancorp Inc. | | | | | 1,472,547 | | |
| | | 156,871 | | | | First Horizon National Corp. | | | | | 2,483,268 | | |
| | | 358,087 | | | | FNB Corp. | | | | | 3,849,435 | | |
| | | 50,775 | | | | IBERIABANK Corp. | | | | | 3,502,967 | | |
| | | 93,273 | | | | OFG Bancorp | | | | | 1,913,962 | | |
| | | 227,700 | | | | PacWest Bancorp | | | | | 7,760,016 | | |
| | | 216,800 | | | | Pinnacle Financial Partners Inc. | | | | | 11,418,856 | | |
| | | 17,192 | | | | TCF Financial Corp. | | | | | 662,923 | | |
| | | 91,118 | | | | Univest Financial Corp. | | | | | 2,306,197 | | |
| | | 214,200 | | | | Zions Bancorp N.A. | | | | | 8,801,478 | | |
| | | | | | | Total Banks | | | | | 49,300,491 | | |
| Diversified Financial Services – 1.1% | | ||||||||||||
| | | 93,600 | | | | Affiliated Managers Group Inc. | | | | | 7,172,568 | | |
| | | 89,783 | | | | Meta Financial Group Inc. | | | | | 2,775,193 | | |
| | | 67,201 | | | | Paysign Inc.*(a) | | | | | 893,101 | | |
| | | | | | | Total Diversified Financial Services | | | | | 10,840,862 | | |
| Equity Real Estate Investment Trusts (REITs) – 6.4% | | ||||||||||||
| | | 166,400 | | | | American Campus Communities Inc. | | | | | 7,734,272 | | |
| | | 333,900 | | | | American Homes 4 Rent, Class A Shares | | | | | 8,541,162 | | |
| | | 64,769 | | | | Americold Realty Trust | | | | | 2,358,887 | | |
| | | 111,000 | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | | | 3,862,800 | | |
| | | 67,500 | | | | Boston Properties Inc. | | | | | 8,668,350 | | |
| | | 110,369 | | | | Columbia Property Trust Inc. | | | | | 2,360,793 | | |
| | | 82,258 | | | | Corporate Office Properties Trust | | | | | 2,376,433 | | |
| | | 279,300 | | | | Cousins Properties Inc. | | | | | 9,691,710 | | |
| | | 71,859 | | | | Dynex Capital Inc. | | | | | 1,014,649 | | |
| | | 137,143 | | | | Lexington Realty Trust | | | | | 1,424,916 | | |
| | | 418,900 | | | | Medical Properties Trust Inc. | | | | | 7,787,351 | | |
| | | 180,500 | | | | MGM Growth Properties LLC, Class A Shares | | | | | 5,566,620 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 61,387,943 | | |
| Insurance – 5.7% | | ||||||||||||
| | | 25,400 | | | | Assurant Inc. | | | | | 3,124,200 | | |
| | | 50,147 | | | | eHealth Inc.* | | | | | 4,177,747 | | |
| | | 62,042 | | | | Goosehead Insurance Inc., Class A Shares | | | | | 2,868,822 | | |
| | | 9,124 | | | | Hanover Insurance Group Inc. | | | | | 1,214,861 | | |
| | | 212,800 | | | | Hartford Financial Services Group Inc. | | | | | 12,401,984 | | |
| | | 23,793 | | | | James River Group Holdings Ltd. | | | | | 1,172,519 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Insurance – (continued) | | ||||||||||||
| | | 41,499 | | | | Kinsale Capital Group Inc. | | | | $ | 4,076,447 | | |
| | | 93,201 | | | | MGIC Investment Corp. | | | | | 1,178,993 | | |
| | | 81,253 | | | | Palomar Holdings Inc.* | | | | | 2,765,039 | | |
| | | 78,084 | | | | ProAssurance Corp. | | | | | 3,050,742 | | |
| | | 112,600 | | | | Progressive Corp. | | | | | 8,535,080 | | |
| | | 47,000 | | | | Willis Towers Watson PLC | | | | | 9,304,590 | | |
| | | | | | | Total Insurance | | | | | 53,871,024 | | |
| Private Equity – 0.3% | | ||||||||||||
| | | 238,436 | | | | Hercules Capital Inc.(a) | | | | | 3,130,665 | | |
| Real Estate – 0.2% | | ||||||||||||
| | | 91,905 | | | | Redfin Corp.*(a) | | | | | 1,552,275 | | |
| Savings & Loans – 0.6% | | ||||||||||||
| | | 95,386 | | | | Banc of California Inc. | | | | | 1,389,774 | | |
| | | 235,583 | | | | Sterling Bancorp | | | | | 4,492,568 | | |
| | | | | | | Total Savings & Loans | | | | | 5,882,342 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 185,965,602 | | |
| INDUSTRIAL – 11.6% | | ||||||||||||
| Aerospace/Defense – 0.9% | | ||||||||||||
| | | 135,256 | | | | Kratos Defense & Security Solutions Inc.* | | | | | 2,701,062 | | |
| | | 69,100 | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | | | 5,569,460 | | |
| | | | | | | Total Aerospace/Defense | | | | | 8,270,522 | | |
| Building Materials – 1.0% | | ||||||||||||
| | | 337,700 | | | | Louisiana-Pacific Corp. | | | | | 8,118,308 | | |
| | | 21,211 | | | | Masonite International Corp.* | | | | | 1,132,455 | | |
| | | | | | | Total Building Materials | | | | | 9,250,763 | | |
| Electrical Components & Equipment – 2.2% | | ||||||||||||
| | | 25,259 | | | | Belden Inc. | | | | | 1,152,063 | | |
| | | 380,400 | | | | Energizer Holdings Inc. | | | | | 14,645,400 | | |
| | | 37,324 | | | | Generac Holdings Inc.* | | | | | 2,910,899 | | |
| | | 19,800 | | | | Hubbell Inc., Class B Shares | | | | | 2,596,572 | | |
| | | | | | | Total Electrical Components & Equipment | | | | | 21,304,934 | | |
| Electronics – 1.5% | | ||||||||||||
| | | 93,000 | | | | Agilent Technologies Inc. | | | | | 6,613,230 | | |
| | | 103,300 | | | | FLIR Systems Inc. | | | | | 5,089,591 | | |
| | | 296,009 | | | | Fluidigm Corp.* | | | | | 1,651,730 | | |
| | | 44,999 | | | | Stoneridge Inc.* | | | | | 1,381,919 | | |
| | | | | | | Total Electronics | | | | | 14,736,470 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Engineering & Construction – 0.4% | | ||||||||||||
| | | 47,696 | | | | Arcosa Inc. | | | | $ | 1,549,643 | | |
| | | 17,779 | | | | EMCOR Group Inc. | | | | | 1,554,596 | | |
| | | | | | | Total Engineering & Construction | | | | | 3,104,239 | | |
| Environmental Control – 0.4% | | ||||||||||||
| | | 34,883 | | | | Casella Waste Systems Inc., Class A Shares* | | | | | 1,587,177 | | |
| | | 32,153 | | | | Clean Harbors Inc.* | | | | | 2,364,853 | | |
| | | | | | | Total Environmental Control | | | | | 3,952,030 | | |
| Hand/Machine Tools – 0.5% | | ||||||||||||
| | | 159,393 | | | | Milacron Holdings Corp.* | | | | | 2,526,379 | | |
| | | 28,683 | | | | Regal Beloit Corp. | | | | | 2,033,625 | | |
| | | | | | | Total Hand/Machine Tools | | | | | 4,560,004 | | |
| Machinery-Construction & Mining – 0.3% | | ||||||||||||
| | | 43,016 | | | | BWX Technologies Inc. | | | | | 2,546,547 | | |
| Machinery-Diversified – 1.7% | | ||||||||||||
| | | 54,577 | | | | Altra Industrial Motion Corp. | | | | | 1,418,456 | | |
| | | 38,893 | | | | Columbus McKinnon Corp. | | | | | 1,258,967 | | |
| | | 47,900 | | | | Rockwell Automation Inc. | | | | | 7,318,641 | | |
| | | 22,814 | | | | SPX FLOW Inc.* | | | | | 769,060 | | |
| | | 68,900 | | | | Xylem Inc. | | | | | 5,278,429 | | |
| | | | | | | Total Machinery-Diversified | | | | | 16,043,553 | | |
| Metal Fabricate/Hardware – 0.4% | | ||||||||||||
| | | 38,712 | | | | CIRCOR International Inc.* | | | | | 1,330,531 | | |
| | | 70,236 | | | | Mayville Engineering Co., Inc.* | | | | | 928,520 | | |
| | | 59,726 | | | | TriMas Corp.* | | | | | 1,754,750 | | |
| | | | | | | Total Metal Fabricate/Hardware | | | | | 4,013,801 | | |
| Miscellaneous Manufacturers – 1.9% | | ||||||||||||
| | | 59,249 | | | | Actuant Corp., Class A Shares | | | | | 1,315,920 | | |
| | | 30,578 | | | | EnPro Industries Inc. | | | | | 1,904,398 | | |
| | | 45,628 | | | | Federal Signal Corp. | | | | | 1,355,608 | | |
| | | 20,897 | | | | Hexcel Corp. | | | | | 1,758,483 | | |
| | | 50,066 | | | | ITT Inc. | | | | | 2,849,757 | | |
| | | 43,300 | | | | Parker-Hannifin Corp. | | | | | 7,177,841 | | |
| | | 29,982 | | | | Standex International Corp. | | | | | 2,061,262 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 18,423,269 | | |
| Packaging & Containers – 0.3% | | ||||||||||||
| | | 112,171 | | | | Owens-Illinois Inc. | | | | | 1,140,779 | | |
| | | 52,903 | | | | Silgan Holdings Inc. | | | | | 1,574,393 | | |
| | | | | | | Total Packaging & Containers | | | | | 2,715,172 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – 0.1% | | ||||||||||||
| | | 16,246 | | | | Saia Inc.* | | | | $ | 1,389,683 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 110,310,987 | | |
| TECHNOLOGY – 11.3% | | ||||||||||||
| Computers – 3.6% | | ||||||||||||
| | | 18,307 | | | | CACI International Inc., Class A Shares* | | | | | 4,069,463 | | |
| | | 33,811 | | | | Carbon Black Inc.* | | | | | 882,467 | | |
| | | 227,111 | | | | Conduent Inc.* | | | | | 1,478,493 | | |
| | | 125,796 | | | | Endava PLC, ADR* | | | | | 4,728,672 | | |
| | | 41,898 | | | | ExlService Holdings Inc.* | | | | | 2,836,494 | | |
| | | 63,301 | | | | Kornit Digital Ltd.* | | | | | 1,785,721 | | |
| | | 50,642 | | | | Mercury Systems Inc.* | | | | | 4,336,474 | | |
| | | 71,224 | | | | Tufin Software Technologies Ltd.*(a) | | | | | 1,283,456 | | |
| | | 32,393 | | | | Virtusa Corp.* | | | | | 1,170,683 | | |
| | | 174,500 | | | | Western Digital Corp. | | | | | 9,993,615 | | |
| | | 27,758 | | | | Zscaler Inc.* | | | | | 1,908,085 | | |
| | | | | | | Total Computers | | | | | 34,473,623 | | |
| Semiconductors – 3.3% | | ||||||||||||
| | | 116,079 | | | | Adesto Technologies Corp.* | | | | | 1,184,006 | | |
| | | 56,000 | | | | Cabot Microelectronics Corp. | | | | | 6,980,400 | | |
| | | 52,393 | | | | Impinj Inc.*(a) | | | | | 1,906,057 | | |
| | | 81,602 | | | | Inphi Corp.* | | | | | 4,993,227 | | |
| | | 277,891 | | | | MACOM Technology Solutions Holdings Inc.* | | | | | 5,457,779 | | |
| | | 21,541 | | | | Semtech Corp.* | | | | | 904,076 | | |
| | | 93,000 | | | | Xilinx Inc. | | | | | 9,677,580 | | |
| | | | | | | Total Semiconductors | | | | | 31,103,125 | | |
| Software – 4.4% | | ||||||||||||
| | | 28,554 | | | | Alteryx Inc., Class A Shares* | | | | | 4,067,517 | | |
| | | 63,596 | | | | Bandwidth Inc., Class A Shares* | | | | | 5,544,935 | | |
| | | 200,711 | | | | Digital Turbine Inc.* | | | | | 1,527,411 | | |
| | | 66,749 | | | | Everbridge Inc.* | | | | | 5,753,764 | | |
| | | 143,618 | | | | Fastly Inc., Class A Shares*(a) | | | | | 4,538,329 | | |
| | | 40,333 | | | | Five9 Inc.* | | | | | 2,549,449 | | |
| | | 19,148 | | | | Health Catalyst Inc.* | | | | | 763,239 | | |
| | | 45,049 | | | | ManTech International Corp., Class A Shares | | | | | 3,166,044 | | |
| | | 67,929 | | | | Phreesia Inc.* | | | | | 1,818,460 | | |
| | | 37,901 | | | | PROS Holdings Inc.* | | | | | 2,691,729 | | |
| | | 79,871 | | | | Smartsheet Inc., Class A Shares* | | | | | 3,881,731 | | |
| | | 150,244 | | | | SVMK Inc.* | | | | | 2,515,084 | | |
| | | 13,129 | | | | Tabula Rasa HealthCare Inc.* | | | | | 745,727 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| TECHNOLOGY – (continued) | | ||||||||||||
| Software – (continued) | | ||||||||||||
| | | 59,752 | | | | Upland Software Inc.* | | | | $ | 2,270,576 | | |
| | | | | | | Total Software | | | | | 41,833,995 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 107,410,743 | | |
| UTILITIES – 5.8% | | ||||||||||||
| Electric – 5.8% | | ||||||||||||
| | | 24,499 | | | | Black Hills Corp. | | | | | 1,879,318 | | |
| | | 80,200 | | | | CMS Energy Corp. | | | | | 5,056,610 | | |
| | | 131,300 | | | | Edison International | | | | | 9,489,051 | | |
| | | 251,300 | | | | FirstEnergy Corp. | | | | | 11,559,800 | | |
| | | 41,529 | | | | Hawaiian Electric Industries Inc. | | | | | 1,843,888 | | |
| | | 20,275 | | | | IDACORP Inc. | | | | | 2,226,398 | | |
| | | 68,377 | | | | Portland General Electric Co. | | | | | 3,889,967 | | |
| | | 225,100 | | | | Public Service Enterprise Group Inc. | | | | | 13,611,797 | | |
| | | 44,500 | | | | Sempra Energy | | | | | 6,302,535 | | |
| | | | | | | Total Electric | | | | | 55,859,364 | | |
| | | | | | | TOTAL UTILITIES | | | | | 55,859,364 | | |
| | | | | | | TOTAL COMMON STOCKS | | | | | | | |
| | | | | | | (Cost – $797,483,693) | | | | | 867,403,992 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 6.7% | | ||||||||||||
| | | 201,249 | | | | iShares Core S&P Mid-Cap | | | | | 37,869,024 | | |
| | | 321,835 | | | | iShares Core S&P Small-Cap | | | | | 24,324,289 | | |
| | | 16,508 | | | | iShares Russell 2000 Value | | | | | 1,885,214 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) | | | | | | | |
| | | | | | | (Cost – $57,995,572) | | | | | 64,078,527 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | | | | | | | |
| | | | | | | (Cost – $855,479,265) | | | | | 931,482,519 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 2.4% | | ||||||||||||
| TIME DEPOSITS – 2.4% | | ||||||||||||
| | $ | 7,884,367 | | | | Citibank – New York, 1.490% due 9/3/19 | | | | $ | 7,884,367 | | |
| | | 14,777,625 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 14,777,625 | | |
| | | | | | | TOTAL TIME DEPOSITS | | | | | | | |
| | | | | | | (Cost – $22,661,992) | | | | | 22,661,992 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 2.1% | | ||||||||||||
| MONEY MARKET FUND – 2.1% | | ||||||||||||
| | | 20,073,213 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(b) | | | | | | | |
| | | | | | | (Cost – $20,073,213) | | | | | 20,073,213 | | |
| | | | | | | TOTAL INVESTMENTS – 102.2% | | ||||||
| | | | | | | (Cost – $898,214,470#) | | | | | 974,217,724 | | |
| | | | | | | Liabilities in Excess of Other Assets – (2.2)% | | | | | (20,913,951) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 953,303,773 | | |
| ADR — American Depositary Receipts | |
| LLC — Limited Liability Company | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 20.7% | | |
| Financial | | | | | 19.2 | | |
| Industrial | | | | | 11.3 | | |
| Technology | | | | | 11.0 | | |
| Consumer Cyclical | | | | | 7.6 | | |
| Utilities | | | | | 5.7 | | |
| Communications | | | | | 5.3 | | |
| Energy | | | | | 4.8 | | |
| Basic Materials | | | | | 3.2 | | |
| Diversified | | | | | 0.2 | | |
| Exchange Traded Funds (ETFs) | | | | | 6.6 | | |
| Short-Term Investments | | | | | 2.3 | | |
| Money Market Fund | | | | | 2.1 | | |
| | | | | | 100.0% | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BOND & NOTE – 0.0% | | ||||||||||||
| India – 0.0% | | ||||||||||||
| | | 48,721INR | | | | Britannia Industries Ltd., Senior Secured Notes, 8.000% due 8/28/22 | | | | $ | 696 | | |
| | | | | | | TOTAL CORPORATE BOND & NOTE (Cost – $20,156) | | | | | 696 | | |
| Shares/Units | | | | | | | | ||||||
| COMMON STOCKS – 81.3% | | ||||||||||||
| Argentina – 0.2% | | ||||||||||||
| | | 10,074 | | | | Globant SA* | | | | | 956,325 | | |
| | | 4,062 | | | | MercadoLibre Inc.* | | | | | 2,415,265 | | |
| | | 52,614 | | | | YPF SA, ADR | | | | | 450,376 | | |
| | | | | | | Total Argentina | | | | | 3,821,966 | | |
| Australia – 2.0% | | ||||||||||||
| | | 173,770 | | | | Appen Ltd. | | | | | 3,019,245 | | |
| | | 213,462 | | | | Brambles Ltd. | | | | | 1,625,880 | | |
| | | 277,836 | | | | HUB24 Ltd. | | | | | 2,309,926 | | |
| | | 1,167,220 | | | | Nanosonics Ltd.* | | | | | 5,229,139 | | |
| | | 338,165 | | | | Nick Scali Ltd.(a) | | | | | 1,558,461 | | |
| | | 546,269 | | | | Pro Medicus Ltd.(a)(b) | | | | | 13,484,912 | | |
| | | 1,243,628 | | | | South32 Ltd. | | | | | 2,208,236 | | |
| | | 607,211 | | | | Webjet Ltd.(a) | | | | | 5,049,990 | | |
| | | 38,278 | | | | WiseTech Global Ltd. | | | | | 947,971 | | |
| | | | | | | Total Australia | | | | | 35,433,760 | | |
| Austria – 0.3% | | ||||||||||||
| | | 153,594 | | | | Erste Group Bank AG | | | | | 4,944,434 | | |
| Belgium – 0.1% | | ||||||||||||
| | | 9,002 | | | | Galapagos NV* | | | | | 1,518,144 | | |
| Bermuda – 0.1% | | ||||||||||||
| | | 136,373 | | | | Hiscox Ltd. | | | | | 2,580,304 | | |
| Brazil – 1.9% | | ||||||||||||
| | | 45,678 | | | | Azul SA, ADR* | | | | | 1,604,211 | | |
| | | 138,172 | | | | Azul SA, Class Preferre Shares* | | | | | 1,571,293 | | |
| | | 555,957 | | | | B3 SA – Brasil Bolsa Balcao | | | | | 6,013,611 | | |
| | | 291,871 | | | | Banco Bradesco SA, ADR | | | | | 2,332,049 | | |
| | | 66,655 | | | | Banco do Brasil SA | | | | | 744,161 | | |
| | | 1,202,577 | | | | Kroton Educacional SA | | | | | 2,926,776 | | |
| | | 118,282 | | | | Notre Dame Intermedica Participacoes SA | | | | | 1,601,559 | | |
| | | 127,523 | | | | Pagseguro Digital Ltd., Class A Shares* | | | | | 6,371,049 | | |
| | | 398,050 | | | | Petroleo Brasileiro SA, ADR | | | | | 5,393,578 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Brazil – (continued) | | ||||||||||||
| | | 826,945 | | | | Rumo SA* | | | | $ | 4,412,503 | | |
| | | 47,453 | | | | StoneCo Ltd., Class A Shares* | | | | | 1,427,386 | | |
| | | | | | | Total Brazil | | | | | 34,398,176 | | |
| Canada – 1.6% | | ||||||||||||
| | | 8,700 | | | | Canadian Pacific Railway Ltd. | | | | | 2,094,993 | | |
| | | 433,791 | | | | Computer Modelling Group Ltd. | | | | | 2,206,021 | | |
| | | 23,787 | | | | Descartes Systems Group Inc.* | | | | | 843,735 | | |
| | | 60,008 | | | | Equitable Group Inc. | | | | | 4,454,453 | | |
| | | 5,580 | | | | Fairfax Financial Holdings Ltd. | | | | | 2,486,636 | | |
| | | 125,243 | | | | Magna International Inc. | | | | | 6,275,927 | | |
| | | 53,910 | | | | Restaurant Brands International Inc. | | | | | 4,229,239 | | |
| | | 526,769 | | | | Seven Generations Energy Ltd., Class A Shares* | | | | | 2,849,004 | | |
| | | 42,713 | | | | Thomson Reuters Corp. | | | | | 2,935,446 | | |
| | | | | | | Total Canada | | | | | 28,375,454 | | |
| China – 7.7% | | ||||||||||||
| | | 41,703 | | | | 58.com Inc., ADR* | | | | | 2,243,204 | | |
| | | 7,560,000 | | | | AK Medical Holdings Ltd.(a)(c) | | | | | 6,671,818 | | |
| | | 121,113 | | | | Alibaba Group Holding Ltd., ADR* | | | | | 21,198,408 | | |
| | | 429,400 | | | | BTG Hotels Group Co., Ltd., Class A Shares(b) | | | | | 1,053,000 | | |
| | | 776,452 | | | | China Everbright Ltd. | | | | | 882,973 | | |
| | | 385,301 | | | | China International Travel Service Corp., Ltd, Class A Shares(b) | | | | | 5,131,679 | | |
| | | 1,785,311 | | | | China Mengniu Dairy Co., Ltd.* | | | | | 7,058,454 | | |
| | | 519,572 | | | | China Mobile Ltd. | | | | | 4,296,046 | | |
| | | 68,448 | | | | GDS Holdings Ltd., ADR*(a) | | | | | 2,761,192 | | |
| | | 385,900 | | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares(b) | | | | | 2,989,254 | | |
| | | 3,179,815 | | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | | | 3,187,313 | | |
| | | 1,542,648 | | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | | | 1,461,518 | | |
| | | 471,269 | | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares(b) | | | | | 2,033,171 | | |
| | | 248,000 | | | | Hansoh Pharmaceutical Group Co., Ltd.*(d) | | | | | 836,373 | | |
| | | 1,087,819 | | | | Hua Hong Semiconductor Ltd.(a)(d) | | | | | 1,809,892 | | |
| | | 1,767,510 | | | | JNBY Design Ltd.(c) | | | | | 2,521,859 | | |
| | | 1,357,407 | | | | Kingdee International Software Group Co., Ltd. | | | | | 1,220,429 | | |
| | | 22,853 | | | | Kweichow Moutai Co., Ltd., Class A Shares(b) | | | | | 3,643,197 | | |
| | | 3,574,704 | | | | Lenovo Group Ltd. | | | | | 2,340,569 | | |
| | | 109,253 | | | | LexinFintech Holdings Ltd., ADR* | | | | | 1,119,843 | | |
| | | 571,402 | | | | Midea Group Co., Ltd., Class A Shares(b) | | | | | 4,208,890 | | |
| | | 69,520 | | | | Momo Inc., ADR | | | | | 2,556,946 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| China – (continued) | | ||||||||||||
| | | 34,212 | | | | New Oriental Education & Technology Group Inc., ADR* | | | | $ | 3,879,641 | | |
| | | 358,432 | | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | | | 4,084,875 | | |
| | | 153,647 | | | | Qudian Inc., ADR* | | | | | 1,227,640 | | |
| | | 270,035 | | | | Shenzhou International Group Holdings Ltd. | | | | | 3,648,984 | | |
| | | 1,432,346 | | | | Sino Biopharmaceutical Ltd. | | | | | 2,117,526 | | |
| | | 613,532 | | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | | | 2,210,981 | | |
| | | 104,423 | | | | Sunny Optical Technology Group Co., Ltd. | | | | | 1,430,705 | | |
| | | 310,989 | | | | Tencent Holdings Ltd. | | | | | 12,807,264 | | |
| | | 10,129 | | | | Tencent Holdings Ltd., ADR | | | | | 418,024 | | |
| | | 52,025 | | | | Tencent Music Entertainment Group, ADR* | | | | | 691,932 | | |
| | | 4,582,336 | | | | WH Group Ltd.(d) | | | | | 3,651,938 | | |
| | | 1,921,570 | | | | Xiaomi Corp., Class B Shares*(a)(d) | | | | | 2,082,035 | | |
| | | 1,384,000 | | | | Yihai International Holding Ltd.*(c) | | | | | 8,265,336 | | |
| | | 280,008 | | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(b) | | | | | 2,998,493 | | |
| | | 20,940 | | | | YY Inc., ADR* | | | | | 1,196,721 | | |
| | | 107,901 | | | | Zai Lab Ltd., ADR* | | | | | 3,518,652 | | |
| | | | | | | Total China | | | | | 135,456,775 | | |
| Denmark – 0.4% | | ||||||||||||
| | | 23,127 | | | | Jyske Bank AS, Class Registered Shares* | | | | | 648,628 | | |
| | | 70,874 | | | | Novozymes AS, Class B Shares | | | | | 3,021,147 | | |
| | | 32,987 | | | | Royal Unibrew AS | | | | | 2,852,879 | | |
| | | 30,665 | | | | Sydbank AS | | | | | 428,630 | | |
| | | | | | | Total Denmark | | | | | 6,951,284 | | |
| Egypt – 0.2% | | ||||||||||||
| | | 9,142,791 | | | | Cleopatra Hospital* | | | | | 3,467,955 | | |
| Finland – 0.3% | | ||||||||||||
| | | 268,977 | | | | Nokia OYJ, ADR | | | | | 1,334,126 | | |
| | | 85,501 | | | | Sampo OYJ, Class A Shares | | | | | 3,397,834 | | |
| | | 49,020 | | | | Wartsila OYJ Abp | | | | | 601,454 | | |
| | | | | | | Total Finland | | | | | 5,333,414 | | |
| France – 5.8% | | ||||||||||||
| | | 29,813 | | | | Air Liquide SA | | | | | 4,153,612 | | |
| | | 25,819 | | | | Airbus SE | | | | | 3,560,023 | | |
| | | 31,895 | | | | Akka Technologies | | | | | 2,065,865 | | |
| | | 45,570 | | | | Aubay | | | | | 1,628,298 | | |
| | | 111,913 | | | | Danone SA | | | | | 10,022,732 | | |
| | | 3,196 | | | | Dassault Aviation SA | | | | | 4,549,994 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| France – (continued) | | ||||||||||||
| | | 34,737 | | | | Dassault Systemes SE | | | | $ | 4,900,139 | | |
| | | 79,731 | | | | Esker SA | | | | | 7,097,151 | | |
| | | 53,062 | | | | EssilorLuxottica SA | | | | | 7,836,883 | | |
| | | 107,111 | | | | Legrand SA | | | | | 7,566,011 | | |
| | | 33,573 | | | | L’Oreal SA | | | | | 9,183,098 | | |
| | | 6,892 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | 2,749,158 | | |
| | | 43,882 | | | | MGI Digital Graphic Technology* | | | | | 2,238,275 | | |
| | | 70,450 | | | | Pernod Ricard SA | | | | | 13,457,070 | | |
| | | 109,976 | | | | Schneider Electric SE | | | | | 9,214,211 | | |
| | | 79,740 | | | | Thales SA | | | | | 9,221,796 | | |
| | | 34,070 | | | | TOTAL SA | | | | | 1,701,099 | | |
| | | 27,174 | | | | Ubisoft Entertainment SA* | | | | | 2,201,419 | | |
| | | | | | | Total France | | | | | 103,346,834 | | |
| Germany – 5.1% | | ||||||||||||
| | | 71,322 | | | | Bayer AG, Class Registered Shares | | | | | 5,277,403 | | |
| | | 52,991 | | | | Brenntag AG | | | | | 2,552,710 | | |
| | | 182,850 | | | | Deutsche Wohnen SE | | | | | 6,480,476 | | |
| | | 144,435 | | | | Elmos Semiconductor AG | | | | | 3,920,815 | | |
| | | 97,329 | | | | GEA Group AG | | | | | 2,624,191 | | |
| | | 107,885 | | | | Henkel AG & Co. KGaA | | | | | 10,802,575 | | |
| | | 34,511 | | | | Hypoport AG* | | | | | 9,047,453 | | |
| | | 277,477 | | | | Infineon Technologies AG | | | | | 4,797,994 | | |
| | | 96,052 | | | | Isra Vision AG | | | | | 3,473,220 | | |
| | | 17,080 | | | | Knorr-Bremse AG | | | | | 1,595,485 | | |
| | | 25,222 | | | | LEG Immobilien AG | | | | | 2,960,163 | | |
| | | 12,516 | | | | New Work SE | | | | | 3,659,019 | | |
| | | 77,821 | | | | Nexus AG | | | | | 2,437,581 | | |
| | | 64,121 | | | | SAP SE | | | | | 7,649,077 | | |
| | | 3,981 | | | | Sartorius AG | | | | | 795,638 | | |
| | | 15,882 | | | | Siemens AG, Class Registered Shares | | | | | 1,587,700 | | |
| | | 74,747 | | | | Symrise AG, Class A Shares | | | | | 6,976,167 | | |
| | | 94,484 | | | | TAG Immobilien AG* | | | | | 2,206,387 | | |
| | | 137,393 | | | | Vonovia SE | | | | | 6,838,862 | | |
| | | 11,923 | | | | Wirecard AG | | | | | 1,899,723 | | |
| | | 42,506 | | | | Zalando SE*(d) | | | | | 2,102,371 | | |
| | | | | | | Total Germany | | | | | 89,685,010 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Greece – 0.2% | | ||||||||||||
| | | 414,293 | | | | Sarantis SA | | | | $ | 3,777,584 | | |
| Hong Kong – 1.5% | | ||||||||||||
| | | 745,400 | | | | AIA Group Ltd. | | | | | 7,216,405 | | |
| | | 588,000 | | | | China Overseas Land & Investment Ltd. | | | | | 1,851,321 | | |
| | | 262,000 | | | | CK Hutchison Holdings Ltd. | | | | | 2,272,578 | | |
| | | 582,020 | | | | Esprit Holdings Ltd.* | | | | | 87,565 | | |
| | | 75,000 | | | | Jardine Matheson Holdings Ltd. | | | | | 4,068,962 | | |
| | | 1,718,267 | | | | Kunlun Energy Co., Ltd. | | | | | 1,492,054 | | |
| | | 441,211 | | | | Techtronic Industries Co., Ltd. | | | | | 3,032,485 | | |
| | | 4,656,984 | | | | Tongda Group Holdings Ltd.(a) | | | | | 318,441 | | |
| | | 1,488,000 | | | | Vitasoy International Holdings Ltd.(c) | | | | | 6,909,836 | | |
| | | | | | | Total Hong Kong | | | | | 27,249,647 | | |
| Hungary – 0.1% | | ||||||||||||
| | | 35,590 | | | | Wizz Air Holdings PLC*(d) | | | | | 1,558,875 | | |
| India – 5.7% | | ||||||||||||
| | | 228,845 | | | | Aavas Financiers Ltd.* | | | | | 4,800,978 | | |
| | | 176,344 | | | | Amara Raja Batteries Ltd. | | | | | 1,523,305 | | |
| | | 385,427 | | | | Axis Bank Ltd. | | | | | 3,585,621 | | |
| | | 37,861 | | | | Bajaj Finance Ltd. | | | | | 1,761,368 | | |
| | | 190,777 | | | | Bandhan Bank Ltd.(d) | | | | | 1,250,395 | | |
| | | 692,342 | | | | Berger Paints India Ltd. | | | | | 3,581,148 | | |
| | | 49,457 | | | | Britannia Industries Ltd. | | | | | 1,872,751 | | |
| | | 119,275 | | | | Divi’s Laboratories Ltd. | | | | | 2,739,183 | | |
| | | 204,411 | | | | Dr Lal PathLabs Ltd. | | | | | 3,549,049 | | |
| | | 48,268 | | | | Dr Reddy’s Laboratories Ltd. | | | | | 1,728,158 | | |
| | | 16,342 | | | | Dr Reddy’s Laboratories Ltd., ADR | | | | | 584,226 | | |
| | | 673,670 | | | | Edelweiss Financial Services Ltd. | | | | | 1,037,949 | | |
| | | 443,880 | | | | Exide Industries Ltd. | | | | | 1,109,744 | | |
| | | 495,192 | | | | Gulf Oil Lubricants India Ltd.(b) | | | | | 5,992,476 | | |
| | | 113,903 | | | | HDFC Bank Ltd. | | | | | 3,550,987 | | |
| | | 382,308 | | | | Housing Development Finance Corp., Ltd | | | | | 11,570,855 | | |
| | | 1,271,516 | | | | JM Financial Ltd. | | | | | 1,303,035 | | |
| | | 396,828 | | | | Kajaria Ceramics Ltd. | | | | | 2,628,290 | | |
| | | 164,306 | | | | Kotak Mahindra Bank Ltd. | | | | | 3,300,302 | | |
| | | 97,450 | | | | Manpasand Beverages Ltd.* | | | | | 20,527 | | |
| | | 32,580 | | | | Maruti Suzuki India Ltd. | | | | | 2,778,852 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| India – (continued) | | ||||||||||||
| | | 485,011 | | | | Max Financial Services Ltd.* | | | | $ | 2,867,081 | | |
| | | 252,291 | | | | Metropolis Healthcare Ltd.* | | | | | 4,103,215 | | |
| | | 1,881,825 | | | | Minda Corp., Ltd.(b) | | | | | 2,617,395 | | |
| | | 2,993,654 | | | | NTPC Ltd. | | | | | 5,106,411 | | |
| | | 57,497 | | | | Piramal Enterprises Ltd. | | | | | 1,645,906 | | |
| | | 136,944 | | | | RBL Bank Ltd.(d) | | | | | 628,699 | | |
| | | 263,750 | | | | Reliance Industries Ltd. | | | | | 4,622,984 | | |
| | | 450,416 | | | | Reliance Nippon Life Asset Management Ltd.(d) | | | | | 1,730,992 | | |
| | | 325,802 | | | | SBI Life Insurance Co., Ltd.(d) | | | | | 3,822,913 | | |
| | | 145,639 | | | | Spandana Sphoorty Financial Ltd.*(b)@ | | | | | 1,808,946 | | |
| | | 203,223 | | | | Supreme Industries Ltd. | | | | | 3,128,643 | | |
| | | 234,097 | | | | Tata Communications Ltd. | | | | | 1,403,519 | | |
| | | 667,387 | | | | Tata Global Beverages Ltd. | | | | | 2,598,535 | | |
| | | 60,156 | | | | Titan Co., Ltd. | | | | | 926,642 | | |
| | | 146,094 | | | | V-Mart Retail Ltd. | | | | | 4,084,209 | | |
| | | 482,821 | | | | Yes Bank Ltd. | | | | | 409,191 | | |
| | | | | | | Total India | | | | | 101,774,480 | | |
| Indonesia – 0.9% | | ||||||||||||
| | | 40,971,600 | | | | Ace Hardware Indonesia Tbk PT | | | | | 4,980,504 | | |
| | | 2,465,100 | | | | Bank Central Asia Tbk PT | | | | | 5,283,320 | | |
| | | 44,603,400 | | | | Sarana Menara Nusantara Tbk PT@ | | | | | 2,214,339 | | |
| | | 7,724,230 | | | | Telekomunikasi Indonesia Persero Tbk PT | | | | | 2,426,370 | | |
| | | 3,732,485 | | | | Tower Bersama Infrastructure Tbk PT | | | | | 1,567,811 | | |
| | | | | | | Total Indonesia | | | | | 16,472,344 | | |
| Ireland – 0.7% | | ||||||||||||
| | | 161,142 | | | | Experian PLC | | | | | 4,939,271 | | |
| | | 49,265 | | | | Kerry Group PLC, Class A Shares | | | | | 5,890,311 | | |
| | | 36,473 | | | | Ryanair Holdings PLC, ADR* | | | | | 2,089,903 | | |
| | | | | | | Total Ireland | | | | | 12,919,485 | | |
| Israel – 0.3% | | ||||||||||||
| | | 7,589 | | | | Check Point Software Technologies Ltd.* | | | | | 817,335 | | |
| | | 56,512 | | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | | | | | 2,955,263 | | |
| | | 7,294 | | | | Wix.com Ltd.* | | | | | 1,022,984 | | |
| | | | | | | Total Israel | | | | | 4,795,582 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Italy – 0.4% | | ||||||||||||
| | | 550,776 | | | | Banca Mediolanum SpA | | | | $ | 4,002,316 | | |
| | | 153,418 | | | | Gruppo MutuiOnline SpA | | | | | 2,553,003 | | |
| | | | | | | Total Italy | | | | | 6,555,319 | | |
| Japan – 12.8% | | ||||||||||||
| | | 112,100 | | | | Arcland Service Holdings Co., Ltd. | | | | | 2,005,571 | | |
| | | 59,700 | | | | Atrae Inc.*(a) | | | | | 1,301,597 | | |
| | | 252,811 | | | | Avant Corp.(a) | | | | | 4,618,366 | | |
| | | 185,800 | | | | Chiba Bank Ltd. | | | | | 924,909 | | |
| | | 28,900 | | | | Chugai Pharmaceutical Co., Ltd. | | | | | 2,065,613 | | |
| | | 24,000 | | | | Daiichi Sankyo Co., Ltd. | | | | | 1,583,410 | | |
| | | 44,000 | | | | Digital Arts Inc. | | | | | 3,147,573 | | |
| | | 16,700 | | | | Disco Corp. | | | | | 3,023,366 | | |
| | | 303,700 | | | | eGuarantee Inc. | | | | | 3,626,943 | | |
| | | 274,000 | | | | Elan Corp.(a) | | | | | 4,393,885 | | |
| | | 85,412 | | | | en-japan Inc. | | | | | 3,175,508 | | |
| | | 23,800 | | | | Ezaki Glico Co., Ltd. | | | | | 1,030,403 | | |
| | | 69,600 | | | | Fixstars Corp. | | | | | 1,006,034 | | |
| | | 163,500 | | | | Fujitsu General Ltd. | | | | | 2,627,586 | | |
| | | 182,200 | | | | Hachijuni Bank Ltd. | | | | | 653,950 | | |
| | | 40,610 | | | | Hirose Electric Co., Ltd. | | | | | 4,603,012 | | |
| | | 16,600 | | | | Hoshizaki Corp. | | | | | 1,194,401 | | |
| | | 317,365 | | | | Infomart Corp. | | | | | 4,657,677 | | |
| | | 190,800 | | | | IR Japan Holdings Ltd.(a) | | | | | 7,781,608 | | |
| | | 117,500 | | | | Ito En Ltd. | | | | | 5,362,267 | | |
| | | 244,200 | | | | Japan Elevator Service Holdings Co., Ltd.(a) | | | | | 5,851,201 | | |
| | | 199,068 | | | | Japan Material Co., Ltd. | | | | | 2,041,287 | | |
| | | 143,400 | | | | Kansai Paint Co., Ltd. | | | | | 2,978,313 | | |
| | | 131,900 | | | | Kao Corp. | | | | | 9,528,683 | | |
| | | 54,100 | | | | KDDI Corp. | | | | | 1,442,561 | | |
| | | 70,800 | | | | Kobayashi Pharmaceutical Co., Ltd. | | | | | 5,290,870 | | |
| | | 24,300 | | | | Koito Manufacturing Co., Ltd. | | | | | 1,138,199 | | |
| | | 8,200 | | | | Kose Corp. | | | | | 1,405,562 | | |
| | | 50,400 | | | | Kusuri no Aoki Holdings Co., Ltd. | | | | | 3,863,710 | | |
| | | 306,700 | | | | Mebuki Financial Group Inc. | | | | | 682,943 | | |
| | | 175,500 | | | | Miroku Jyoho Service Co., Ltd. | | | | | 4,545,007 | | |
| | | 75,000 | | | | MISUMI Group Inc. | | | | | 1,694,721 | | |
| | | 281,000 | | | | Mitsubishi Electric Corp. | | | | | 3,386,509 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Japan – (continued) | | ||||||||||||
| | | 83,300 | | | | Murata Manufacturing Co., Ltd. | | | | $ | 3,485,654 | | |
| | | 129,200 | | | | Nihon Kohden Corp. | | | | | 3,584,145 | | |
| | | 134,900 | | | | Nippon Telegraph & Telephone Corp. | | | | | 6,466,667 | | |
| | | 18,300 | | | | Nissin Foods Holdings Co., Ltd. | | | | | 1,266,467 | | |
| | | 246,700 | | | | Nomura Research Institute Ltd. | | | | | 4,902,547 | | |
| | | 273,000 | | | | North Pacific Bank Ltd. | | | | | 546,304 | | |
| | | 39,000 | | | | Obic Co., Ltd. | | | | | 4,454,855 | | |
| | | 82,200 | | | | Omron Corp. | | | | | 4,057,524 | | |
| | | 179,000 | | | | Open Door Inc.* | | | | | 3,749,643 | | |
| | | 36,300 | | | | Otsuka Holdings Co., Ltd. | | | | | 1,490,268 | | |
| | | 110,500 | | | | Outsourcing Inc. | | | | | 1,002,282 | | |
| | | 93,600 | | | | Pan Pacific International Holdings Corp. | | | | | 1,464,823 | | |
| | | 125,500 | | | | Persol Holdings Co., Ltd. | | | | | 2,541,649 | | |
| | | 501,153 | | | | Prestige International Inc. | | | | | 8,817,435 | | |
| | | 225,298 | | | | Rakus Co., Ltd. | | | | | 6,481,491 | | |
| | | 100,300 | | | | Rohto Pharmaceutical Co., Ltd. | | | | | 2,483,257 | | |
| | | 318,700 | | | | Santen Pharmaceutical Co., Ltd. | | | | | 5,575,537 | | |
| | | 65,500 | | | | Secom Co., Ltd. | | | | | 5,582,566 | | |
| | | 114,400 | | | | Sega Sammy Holdings Inc. | | | | | 1,563,498 | | |
| | | 170,600 | | | | Seven & i Holdings Co., Ltd. | | | | | 6,026,517 | | |
| | | 8,400 | | | | SMC Corp. | | | | | 3,165,090 | | |
| | | 173,938 | | | | SMS Co., Ltd. | | | | | 3,882,495 | | |
| | | 36,100 | | | | Sohgo Security Services Co., Ltd. | | | | | 1,819,037 | | |
| | | 90,600 | | | | Stanley Electric Co., Ltd. | | | | | 2,246,088 | | |
| | | 30,700 | | | | Suzuki Motor Corp. | | | | | 1,181,073 | | |
| | | 451,200 | | | | Systena Corp. | | | | | 6,716,922 | | |
| | | 238,840 | | | | Takeda Pharmaceutical Co., Ltd. | | | | | 8,071,421 | | |
| | | 182,000 | | | | Terumo Corp. | | | | | 5,277,828 | | |
| | | 129,800 | | | | Toyo Suisan Kaisha Ltd. | | | | | 5,277,828 | | |
| | | 24,600 | | | | Trend Micro Inc. | | | | | 1,190,785 | | |
| | | 48,400 | | | | USS Co., Ltd. | | | | | 913,277 | | |
| | | 44,955 | | | | Wantedly Inc.*(a) | | | | | 1,448,809 | | |
| | | 1,020,000 | | | | Yahoo Japan Corp. | | | | | 2,549,287 | | |
| | | 101,290 | | | | Yakuodo Holdings Co., Ltd.(b)(e) | | | | | 2,312,339 | | |
| | | 90,300 | | | | Yokogawa Electric Corp. | | | | | 1,636,369 | | |
| | | 115,559 | | | | Yume No Machi Souzou Iinkai Co., Ltd.(a) | | | | | 1,607,602 | | |
| | | | | | | Total Japan | | | | | 227,472,624 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Malaysia – 0.3% | | ||||||||||||
| | | 4,603,595 | | | | 7-Eleven Malaysia Holdings Bhd | | | | $ | 1,585,934 | | |
| | | 458,200 | | | | Carlsberg Brewery Malaysia Bhd | | | | | 2,816,722 | | |
| | | | | | | Total Malaysia | | | | | 4,402,656 | | |
| Mexico – 1.1% | | ||||||||||||
| | | 32,418 | | | | Fomento Economico Mexicano SAB de CV, ADR | | | | | 2,961,709 | | |
| | | 198,970 | | | | Gruma SAB de CV, Class B Shares | | | | | 1,852,899 | | |
| | | 787,982 | | | | Grupo Lala SAB de CV, Class B Shares | | | | | 823,333 | | |
| | | 397,071 | | | | Infraestructura Energetica Nova SAB de CV* | | | | | 1,673,805 | | |
| | | 1,923,100 | | | | Qualitas Controladora SAB de CV | | | | | 6,460,904 | | |
| | | 1,636,980 | | | | Unifin Financiera SAB de CV SOFOM ENR | | | | | 2,878,472 | | |
| | | 1,045,997 | | | | Wal-Mart de Mexico SAB de CV | | | | | 2,967,701 | | |
| | | | | | | Total Mexico | | | | | 19,618,823 | | |
| Netherlands – 1.7% | | ||||||||||||
| | | 25,369 | | | | ASML Holding NV | | | | | 5,649,932 | | |
| | | 24,671 | | | | Core Laboratories NV | | | | | 976,725 | | |
| | | 16,550 | | | | Euronext NV(d) | | | | | 1,304,511 | | |
| | | 69,002 | | | | Heineken NV | | | | | 7,342,063 | | |
| | | 151,451 | | | | Koninklijke Philips NV | | | | | 7,144,078 | | |
| | | 70,229 | | | | NXP Semiconductors NV | | | | | 7,173,190 | | |
| | | | | | | Total Netherlands | | | | | 29,590,499 | | |
| Nigeria – 0.0% | | ||||||||||||
| | | 1,912,536 | | | | Lekoil Ltd., CDI* | | | | | 151,843 | | |
| Panama – 0.2% | | ||||||||||||
| | | 38,261 | | | | Copa Holdings SA, Class A Shares | | | | | 3,947,770 | | |
| Peru – 0.2% | | ||||||||||||
| | | 14,765 | | | | Credicorp Ltd. | | | | | 3,058,127 | | |
| Philippines – 1.0% | | ||||||||||||
| | | 4,164,782 | | | | Ayala Land Inc. | | | | | 3,774,845 | | |
| | | 1,407,354 | | | | BDO Unibank Inc. | | | | | 4,022,945 | | |
| | | 8,482,949 | | | | Metro Pacific Investments Corp. | | | | | 804,990 | | |
| | | 3,006,508 | | | | Philippine Seven Corp.(b) | | | | | 8,309,736 | | |
| | | 83,350 | | | | SM Investments Corp.@ | | | | | 1,642,206 | | |
| | | | | | | Total Philippines | | | | | 18,554,722 | | |
| Poland – 0.1% | | ||||||||||||
| | | 120,655 | | | | Powszechny Zaklad Ubezpieczen SA | | | | | 1,133,272 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Portugal – 0.6% | | ||||||||||||
| | | 391,543 | | | | Galp Energia SGPS SA | | | | $ | 5,624,421 | | |
| | | 284,208 | | | | Jeronimo Martins SGPS SA | | | | | 4,699,599 | | |
| | | | | | | Total Portugal | | | | | 10,324,020 | | |
| Russia – 0.5% | | ||||||||||||
| | | 462,930 | | | | Sberbank of Russia PJSC, ADR | | | | | 6,354,795 | | |
| | | 67,951 | | | | Yandex NV, Class A Shares* | | | | | 2,520,982 | | |
| | | | | | | Total Russia | | | | | 8,875,777 | | |
| Saudi Arabia – 0.1% | | ||||||||||||
| | | 68,074 | | | | Al Rajhi Bank | | | | | 1,099,313 | | |
| Singapore – 0.2% | | ||||||||||||
| | | 3,462,400 | | | | Sheng Siong Group Ltd. | | | | | 2,942,051 | | |
| South Africa – 1.8% | | ||||||||||||
| | | 58,452 | | | | AngloGold Ashanti Ltd., ADR | | | | | 1,329,783 | | |
| | | 195,983 | | | | Bid Corp., Ltd | | | | | 4,198,997 | | |
| | | 180,449 | | | | Bidvest Group Ltd. | | | | | 2,124,533 | | |
| | | 818,226 | | | | FirstRand Ltd. | | | | | 3,232,910 | | |
| | | 210,717 | | | | Gold Fields Ltd., ADR | | | | | 1,251,659 | | |
| | | 2,958,968 | | | | Italtile Ltd. | | | | | 2,774,158 | | |
| | | 44,414 | | | | Mr Price Group Ltd. | | | | | 501,964 | | |
| | | 55,174 | | | | Naspers Ltd., Class N Shares | | | | | 12,561,490 | | |
| | | 1,359,932 | | | | Pepkor Holdings Ltd.(d) | | | | | 1,491,823 | | |
| | | 77,482 | | | | Sasol Ltd. | | | | | 1,469,675 | | |
| | | 42,559 | | | | Sasol Ltd., ADR(a) | | | | | 805,216 | | |
| | | | | | | Total South Africa | | | | | 31,742,208 | | |
| South Korea – 2.4% | | ||||||||||||
| | | 51,148 | | | | KB Financial Group Inc. | | | | | 1,675,357 | | |
| | | 109,368 | | | | Kia Motors Corp. | | | | | 3,947,831 | | |
| | | 125,021 | | | | LEENO Industrial Inc. | | | | | 5,731,691 | | |
| | | 2,423 | | | | LG Household & Health Care Ltd. | | | | | 2,359,966 | | |
| | | 271,405 | | | | Minwise Co., Ltd.(a) | | | | | 3,744,091 | | |
| | | 52,809 | | | | NAVER Corp. | | | | | 6,379,387 | | |
| | | 315,273 | | | | NICE Information Service Co., Ltd. | | | | | 3,437,583 | | |
| | | 436,582 | | | | Samsung Electronics Co., Ltd. | | | | | 15,868,099 | | |
| | | | | | | Total South Korea | | | | | 43,144,005 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Spain – 0.9% | | ||||||||||||
| | | 194,715 | | | | Amadeus IT Group SA | | | | $ | 14,515,548 | | |
| | | 29,291 | | | | Grifols SA, ADR | | | | | 623,898 | | |
| | | | | | | Total Spain | | | | | 15,139,446 | | |
| Sweden – 2.2% | | ||||||||||||
| | | 224,004 | | | | Biotage AB | | | | | 2,335,787 | | |
| | | 123,300 | | | | Cellavision AB | | | | | 4,572,838 | | |
| | | 52,442 | | | | Epiroc AB, Class A Shares | | | | | 544,087 | | |
| | | 291,949 | | | | Essity AB, Class B Shares | | | | | 9,113,101 | | |
| | | 556,892 | | | | Fortnox AB(b) | | | | | 8,682,953 | | |
| | | 48,495 | | | | Hexagon AB, Class B Shares | | | | | 2,158,776 | | |
| | | 195,680 | | | | HMS Networks AB | | | | | 3,069,245 | | |
| | | 202,313 | | | | RaySearch Laboratories AB* | | | | | 3,518,022 | | |
| | | 233,741 | | | | Svenska Handelsbanken AB, Class A Shares | | | | | 2,058,701 | | |
| | | 177,926 | | | | Xvivo Perfusion AB* | | | | | 3,060,660 | | |
| | | | | | | Total Sweden | | | | | 39,114,170 | | |
| Switzerland – 5.0% | | ||||||||||||
| | | 24,774 | | | | Alcon Inc.* | | | | | 1,510,381 | | |
| | | 55 | | | | Chocoladefabriken Lindt & Spruengli AG | | | | | 407,082 | | |
| | | 38,504 | | | | Cie Financiere Richemont SA, Class Registered Shares | | | | | 2,992,032 | | |
| | | 2,909 | | | | dormakaba Holding AG* | | | | | 1,962,701 | | |
| | | 4,254 | | | | Geberit AG, Class Registered Shares | | | | | 1,935,749 | | |
| | | 5,713 | | | | Givaudan SA, Class Registered Shares | | | | | 15,456,252 | | |
| | | 106,905 | | | | Julius Baer Group Ltd.* | | | | | 4,231,660 | | |
| | | 16,018 | | | | Lonza Group AG, Class Registered Shares* | | | | | 5,666,668 | | |
| | | 280,280 | | | | Nestle SA, Class Registered Shares | | | | | 31,452,585 | | |
| | | 13,521 | | | | Roche Holding AG | | | | | 3,698,272 | | |
| | | 8,311 | | | | Schindler Holding AG | | | | | 1,899,245 | | |
| | | 2,663 | | | | SGS SA, Class Registered Shares | | | | | 6,543,437 | | |
| | | 11,566 | | | | Sika AG, Class Registered Shares | | | | | 1,661,515 | | |
| | | 833,597 | | | | UBS Group AG, Class Registered Shares* | | | | | 8,812,342 | | |
| | | | | | | Total Switzerland | | | | | 88,229,921 | | |
| Taiwan – 3.1% | | ||||||||||||
| | | 521,000 | | | | Chief Telecom Inc. | | | | | 4,154,612 | | |
| | | 108,375 | | | | Dadi Early-Childhood Education Group Ltd. | | | | | 856,480 | | |
| | | 808,000 | | | | Delta Electronics Inc. | | | | | 3,774,815 | | |
| | | 243,251 | | | | Eclat Textile Co., Ltd. | | | | | 2,976,319 | | |
| | | 1,216,915 | | | | Far EasTone Telecommunications Co., Ltd. | | | | | 2,843,180 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| Taiwan – (continued) | | ||||||||||||
| | | 185,770 | | | | Ginko International Co., Ltd. | | | | $ | 1,039,597 | | |
| | | 345,175 | | | | Makalot Industrial Co., Ltd. | | | | | 2,034,981 | | |
| | | 293,820 | | | | Poya International Co., Ltd. | | | | | 3,906,525 | | |
| | | 908,867 | | | | Taiwan Mobile Co., Ltd. | | | | | 3,249,133 | | |
| | | 907,000 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | | | 7,489,787 | | |
| | | 355,843 | | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | | | 15,169,587 | | |
| | | 256,060 | | | | TCI Co., Ltd. | | | | | 2,514,055 | | |
| | | 231,000 | | | | Voltronic Power Technology Corp.* | | | | | 5,189,802 | | |
| | | | | | | Total Taiwan | | | | | 55,198,873 | | |
| Thailand – 0.8% | | ||||||||||||
| | | 265,498 | | | | Bangkok Bank PCL, Class F Shares | | | | | 1,485,051 | | |
| | | 191,536 | | | | Bangkok Bank PCL, NVDR | | | | | 1,067,595 | | |
| | | 30,855 | | | | CP ALL PCL | | | | | 84,460 | | |
| | | 2,650,031 | | | | CP ALL PCL, Class F Shares(b) | | | | | 7,271,031 | | |
| | | 16,881,864 | | | | Humanica PCL, Class F Shares(a)(b) | | | | | 4,714,680 | | |
| | | | | | | Total Thailand | | | | | 14,622,817 | | |
| United Arab Emirates – 0.3% | | ||||||||||||
| | | 609,277 | | | | First Abu Dhabi Bank PJSC | | | | | 2,533,072 | | |
| | | 389,083 | | | | Network International Holdings PLC*(d) | | | | | 2,845,462 | | |
| | | | | | | Total United Arab Emirates | | | | | 5,378,534 | | |
| United Kingdom – 7.2% | | ||||||||||||
| | | 104,253 | | | | 4imprint Group PLC | | | | | 3,522,737 | | |
| | | 713,569 | | | | Advanced Medical Solutions Group PLC | | | | | 2,726,835 | | |
| | | 536,327 | | | | Amcor PLC | | | | | 5,214,823 | | |
| | | 576,740 | | | | ASA International Group PLC(b) | | | | | 2,671,825 | | |
| | | 188,617 | | | | Avon Rubber PLC | | | | | 4,083,808 | | |
| | | 156,409 | | | | British American Tobacco PLC | | | | | 5,484,876 | | |
| | | 67,320 | | | | Burberry Group PLC | | | | | 1,775,181 | | |
| | | 916,062 | | | | Clipper Logistics PLC(a)(b) | | | | | 2,437,648 | | |
| | | 309,955 | | | | Compass Group PLC | | | | | 7,860,892 | | |
| | | 460,731 | | | | ConvaTec Group PLC(d) | | | | | 980,106 | | |
| | | 184,003 | | | | Craneware PLC(b) | | | | | 4,053,983 | | |
| | | 16,947 | | | | Croda International PLC | | | | | 970,076 | | |
| | | 285,562 | | | | Diageo PLC | | | | | 12,207,562 | | |
| | | 102,524 | | | | Farfetch Ltd., Class A Shares* | | | | | 1,002,685 | | |
| | | 210,982 | | | | Future PLC | | | | | 3,054,085 | | |
| | | 610,234 | | | | GB Group PLC | | | | | 4,286,538 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United Kingdom – (continued) | | ||||||||||||
| | | 150,406 | | | | Halma PLC | | | | $ | 3,594,289 | | |
| | | 123,442 | | | | HomeServe PLC | | | | | 1,725,082 | | |
| | | 781,093 | | | | Horizon Discovery Group PLC*(b) | | | | | 1,341,295 | | |
| | | 293,272 | | | | IMI PLC | | | | | 3,589,409 | | |
| | | 65,787 | | | | Intertek Group PLC | | | | | 4,350,693 | | |
| | | 24,339 | | | | Linde PLC | | | | | 4,564,790 | | |
| | | 24,480 | | | | LivaNova PLC* | | | | | 1,900,382 | | |
| | | 49,960 | | | | London Stock Exchange Group PLC | | | | | 4,230,116 | | |
| | | 441,742 | | | | On the Beach Group PLC | | | | | 2,002,740 | | |
| | | 309,651 | | | | Patisserie Holdings PLC*(b)(e) | | | | | 3,768 | | |
| | | 128,263 | | | | Prudential PLC | | | | | 2,137,466 | | |
| | | 154,141 | | | | Reckitt Benckiser Group PLC | | | | | 12,023,389 | | |
| | | 75,034 | | | | RELX PLC | | | | | 1,795,599 | | |
| | | 217,591 | | | | Rentokil Initial PLC | | | | | 1,192,485 | | |
| | | 132,916 | | | | Smith & Nephew PLC | | | | | 3,180,798 | | |
| | | 82,646 | | | | Spectris PLC | | | | | 2,329,363 | | |
| | | 55,601 | | | | Spirax-Sarco Engineering PLC | | | | | 5,432,458 | | |
| | | 54,368 | | | | St James’s Place PLC | | | | | 607,604 | | |
| | | 1,422,002 | | | | Tullow Oil PLC | | | | | 3,542,708 | | |
| | | 1,309,477 | | | | Vodafone Group PLC | | | | | 2,472,600 | | |
| | | 395,775 | | | | YouGov PLC | | | | | 2,807,467 | | |
| | | | | | | Total United Kingdom | | | | | 127,158,161 | | |
| United States – 3.3% | | ||||||||||||
| | | 58,654 | | | | Analog Devices Inc. | | | | | 6,441,969 | | |
| | | 26,879 | | | | ANSYS Inc.* | | | | | 5,552,126 | | |
| | | 2,220 | | | | Booking Holdings Inc.* | | | | | 4,365,430 | | |
| | | 160,064 | | | | Cadence Design Systems Inc.* | | | | | 10,961,183 | | |
| | | 101,418 | | | | Colgate-Palmolive Co. | | | | | 7,520,145 | | |
| | | 26,747 | | | | DENTSPLY SIRONA Inc. | | | | | 1,394,856 | | |
| | | 124,234 | | | | Liberty Latin America Ltd., Class C Shares* | | | | | 2,048,619 | | |
| | | 18,400 | | | | Mastercard Inc., Class A Shares | | | | | 5,177,208 | | |
| | | 21,679 | | | | Nordson Corp. | | | | | 2,947,477 | | |
| | | 60,724 | | | | Philip Morris International Inc. | | | | | 4,377,593 | | |
| | | 25,798 | | | | Texas Instruments Inc. | | | | | 3,192,502 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 43,246 | | | | Waste Connections Inc. | | | | $ | 3,974,307 | | |
| | | | | | | Total United States | | | | | 57,953,415 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $1,272,095,828) | | | | | 1,439,269,873 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 14.8% | | ||||||||||||
| United States – 14.8% | | ||||||||||||
| | | 3,114,985 | | | | iShares Core MSCI EAFE | | | | | 184,812,060 | | |
| | | 1,592,904 | | | | iShares Core MSCI Emerging Markets | | | | | 76,889,476 | | |
| | | | | | | Total United States | | | | | 261,701,536 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $256,053,458) | | | | | 261,701,536 | | |
| PREFERRED STOCK – 0.0% | | ||||||||||||
| United Kingdom – 0.0% | | ||||||||||||
| | | 1,899 | | | | Roofoods Ltd. Series G, Private Placement*(b)(e)@ (Cost – $793,594) | | | | | 793,594 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,528,963,036) | | | | | 1,701,765,699 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 4.1% | | ||||||||||||
| TIME DEPOSITS – 3.3% | | ||||||||||||
| | $ | 10,905,089 | | | | ANZ National Bank – London, 1.490% due 9/3/19 | | | | | 10,905,089 | | |
| | | 19,175,738 | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 19,175,738 | | |
| | | 224,316HKD | | | | BNP Paribas – Paris, 0.750% due 9/2/19 | | | | | 28,609 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | |||||
| | | 175CHF | | | | (1.580)% due 9/2/19 | | | | | 177 | | |
| | | 1,254,098DKK | | | | (0.800)% due 9/2/19 | | | | | 184,850 | | |
| | | 2,466EUR | | | | (0.580)% due 9/2/19 | | | | | 2,710 | | |
| | | 1,791SEK | | | | (0.320)% due 9/2/19 | | | | | 182 | | |
| | | 1,486,350JPY | | | | (0.250)% due 9/2/19 | | | | | 13,992 | | |
| | | 4NZD | | | | 0.280% due 9/2/19 | | | | | 2 | | |
| | | 63GBP | | | | 0.370% due 9/2/19 | | | | | 77 | | |
| | | 77AUD | | | | 0.450% due 9/2/19 | | | | | 52 | | |
| | | 109NOK | | | | 0.500% due 9/2/19 | | | | | 12 | | |
| | | 5,604HKD | | | | 0.750% due 9/2/19 | | | | | 715 | | |
| | | 768SGD | | | | 0.940% due 9/2/19 | | | | | 553 | | |
| | | 8,788ZAR | | | | 5.460% due 9/2/19 | | | | | 579 | | |
| | | 33CAD | | | | 0.870% due 9/3/19 | | | | | 25 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| TIME DEPOSITS – (continued) | | ||||||||||||
| | $ | 19 | | | | 1.490% due 9/3/19 | | | | $ | 19 | | |
| | | 478,278GBP | | | | Citibank – London, 0.370% due 9/2/19 | | | | | 581,921 | | |
| | | 27,779,380 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 27,779,380 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $58,674,682) | | | | | 58,674,682 | | |
| U.S. GOVERNMENT AGENCY – 0.8% | | ||||||||||||
| | | 14,359,000 | | | | Federal Home Loan Bank (FHLB) Discount Notes, zero coupon, due 9/3/19(f) (Cost – $14,357,484) | | | | | 14,357,484 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $73,032,166) | | | | | 73,032,166 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.7% | | ||||||||||||
| MONEY MARKET FUND – 1.7% | | ||||||||||||
| | | 30,252,118 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(g) (Cost – $30,252,118) | | | | | 30,252,118 | | |
| | | | | | | TOTAL INVESTMENTS – 101.9% (Cost – $1,632,247,320#) | | | | | 1,805,049,983 | | |
| | | | | | | Liabilities in Excess of Other Assets – (1.9)% | | | | | (34,113,486) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,770,936,497 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | ||||||||||||
Roofoods Ltd. Series G, Private Placement | | | | | 5/16/19 | | | | | $ | 793,594 | | | | | $ | 793,594 | | | | | | 0.04% | | |
Sarana Menara Nusantara Tbk PT | | | | | 4/3/17 | | | | | | 1,400 | | | | | | 2,214,339 | | | | | | 0.13% | | |
SM Investments Corp. | | | | | 5/23/18 | | | | | | 348,872 | | | | | | 1,642,206 | | | | | | 0.09% | | |
Spandana Sphoorty Financial Ltd. | | | | | 8/2/19 | | | | | | 1,788,956 | | | | | | 1,808,946 | | | | | | 0.10% | | |
Total | | | | | | | | | | | | | | | | $ | 6,459,085 | | | | | | 0.36% | | |
| ADR — American Depositary Receipts | |
| CDI — Clearing House Electronics Systems (CHESS) Depositary Interest | |
| NVDR — Non Voting Depository Receipts | |
| PCL — Public Company Limited | |
| PLC — Public Limited Company | |
| Consumer Non-cyclical | | | | | 26.4% | | |
| Financial | | | | | 12.0 | | |
| Technology | | | | | 11.0 | | |
| Industrial | | | | | 9.0 | | |
| Consumer Cyclical | | | | | 8.3 | | |
| Communications | | | | | 8.0 | | |
| Basic Materials | | | | | 2.8 | | |
| Energy | | | | | 1.5 | | |
| Utilities | | | | | 0.4 | | |
| Diversified | | | | | 0.4 | | |
| Exchange Traded Funds (ETFs) | | | | | 14.5 | | |
| Short-Term Investments | | | | | 4.0 | | |
| Money Market Fund | | | | | 1.7 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | |||||||||||||||||||||||||||||||||||
Japanese Yen | | | | | 220,042,000 | | | | | | JPM | | | | | $ | 2,073,401 | | | | | | 9/17/19 | | | | | $ | 17,504 | | | | | $ | — | | | | | $ | 17,504 | | |
Japanese Yen | | | | | 1,563,100,000 | | | | | | HSBC | | | | | | 14,894,981 | | | | | | 2/21/20 | | | | | | — | | | | | | (32,619) | | | | | | (32,619) | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | $ | 17,504 | | | | | $ | (32,619) | | | | | $ | (15,115) | | |
| AUD — Australian Dollar | |
| CAD — Canadian Dollar | |
| CHF — Swiss Franc | |
| DKK — Danish Krone | |
| EUR — Euro | |
| GBP — British Pound | |
| HKD — Hong Kong Dollar | |
| INR — Indian Rupee | |
| JPY — Japanese Yen | |
| NOK — Norwegian Krone | |
| NZD — New Zealand Dollar | |
| SEK — Swedish Krona | |
| SGD — Singapore Dollar | |
| ZAR — South African Rand | |
| HSBC — HSBC Bank USA | |
| JPM — JPMorgan Chase & Co. | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 77.2% | | ||||||||||||
| BASIC MATERIALS – 0.9% | | ||||||||||||
| Chemicals – 0.9% | | ||||||||||||
| | | 37,770 | | | | DuPont de Nemours Inc. | | | | $ | 2,565,716 | | |
| | | 14,400 | | | | LyondellBasell Industries NV, Class A Shares | | | | | 1,114,272 | | |
| | | | | | | Total Chemicals | | | | | 3,679,988 | | |
| | | | | | | TOTAL BASIC MATERIALS | | | | | 3,679,988 | | |
| COMMUNICATIONS – 8.8% | | ||||||||||||
| Media – 0.4% | | ||||||||||||
| | | 66,255 | | | | Viacom Inc., Class B Shares | | | | | 1,655,050 | | |
| Telecommunications – 8.4% | | ||||||||||||
| | | 295,172 | | | | AT&T Inc. | | | | | 10,407,765 | | |
| | | 147,243 | | | | BCE Inc. | | | | | 6,968,004 | | |
| | | 41,400 | | | | Nippon Telegraph & Telephone Corp. | | | | | 1,986,109 | | |
| | | 170,400 | | | | Telefonica Brasil SA | | | | | 2,208,092 | | |
| | | 159,426 | | | | Verizon Communications Inc. | | | | | 9,272,216 | | |
| | | 2,226,168 | | | | Vodafone Group PLC | | | | | 4,204,797 | | |
| | | | | | | Total Telecommunications | | | | | 35,046,983 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 36,702,033 | | |
| CONSUMER CYCLICAL – 3.7% | | ||||||||||||
| Airlines – 0.9% | | ||||||||||||
| | | 67,615 | | | | Delta Air Lines Inc. | | | | | 3,912,204 | | |
| Distribution/Wholesale – 0.5% | | ||||||||||||
| | | 127,000 | | | | Mitsui & Co., Ltd. | | | | | 1,988,242 | | |
| Home Builders – 0.6% | | ||||||||||||
| | | 149,400 | | | | Sekisui House Ltd. | | | | | 2,651,859 | | |
| Retail – 0.8% | | ||||||||||||
| | | 12,100 | | | | Cracker Barrel Old Country Store Inc. | | | | | 2,001,340 | | |
| | | 541,300 | | | | Kingfisher PLC | | | | | 1,280,647 | | |
| | | | | | | Total Retail | | | | | 3,281,987 | | |
| Toys/Games/Hobbies – 0.9% | | ||||||||||||
| | | 10,000 | | | | Nintendo Co., Ltd. | | | | | 3,792,892 | | |
| | | | | | | TOTAL CONSUMER CYCLICAL | | | | | 15,627,184 | | |
| CONSUMER NON-CYCLICAL – 18.4% | | ||||||||||||
| Agriculture – 3.9% | | ||||||||||||
| | | 114,134 | | | | Altria Group Inc. | | | | | 4,992,221 | | |
| | | 73,350 | | | | British American Tobacco PLC | | | | | 2,570,254 | | |
| | | 119,721 | | | | Philip Morris International Inc. | | | | | 8,630,687 | | |
| | | | | | | Total Agriculture | | | | | 16,193,162 | | |
| Beverages – 3.6% | | ||||||||||||
| | | 158,061 | | | | Coca-Cola Co. | | | | | 8,699,677 | | |
| | | 47,250 | | | | PepsiCo Inc. | | | | | 6,460,493 | | |
| | | | | | | Total Beverages | | | | | 15,160,170 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – 1.1% | | ||||||||||||
| | | 73,073 | | | | Gilead Sciences Inc. | | | | $ | 4,643,058 | | |
| Household Products/Wares – 1.5% | | ||||||||||||
| | | 19,100 | | | | Henkel AG & Co. KGaA | | | | | 1,912,358 | | |
| | | 31,125 | | | | Kimberly-Clark Corp. | | | | | 4,392,049 | | |
| | | | | | | Total Household Products/Wares | | | | | 6,304,407 | | |
| Pharmaceuticals – 8.3% | | ||||||||||||
| | | 133,426 | | | | AbbVie Inc. | | | | | 8,771,425 | | |
| | | 20,866 | | | | AstraZeneca PLC | | | | | 1,857,869 | | |
| | | 26,500 | | | | Bayer AG, Class Registered Shares | | | | | 1,961,266 | | |
| | | 42,845 | | | | Bristol-Myers Squibb Co. | | | | | 2,059,559 | | |
| | | 539,875 | | | | GlaxoSmithKline PLC | | | | | 11,242,917 | | |
| | | 152,275 | | | | Pfizer Inc. | | | | | 5,413,376 | | |
| | | 4,858 | | | | Roche Holding AG | | | | | 1,328,122 | | |
| | | 23,110 | | | | Sanofi | | | | | 1,984,173 | | |
| | | | | | | Total Pharmaceuticals | | | | | 34,618,707 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 76,919,504 | | |
| ENERGY – 12.2% | | ||||||||||||
| Oil & Gas – 9.7% | | ||||||||||||
| | | 1,162,925 | | | | BP PLC | | | | | 7,077,484 | | |
| | | 49,439 | | | | BP PLC, ADR | | | | | 1,826,771 | | |
| | | 84,372 | | | | Chevron Corp. | | | | | 9,932,272 | | |
| | | 117,875 | | | | Exxon Mobil Corp. | | | | | 8,072,080 | | |
| | | 74,400 | | | | Occidental Petroleum Corp. | | | | | 3,234,912 | | |
| | | 78,575 | | | | Suncor Energy Inc. | | | | | 2,296,747 | | |
| | | 155,782 | | | | TOTAL SA | | | | | 7,771,322 | | |
| | | | | | | Total Oil & Gas | | | | | 40,211,588 | | |
| Pipelines – 2.5% | | ||||||||||||
| | | 111,075 | | | | Enbridge Inc. | | | | | 3,715,433 | | |
| | | 148,800 | | | | Enterprise Products Partners LP | | | | | 4,242,288 | | |
| | | 98,036 | | | | Equitrans Midstream Corp. | | | | | 1,322,505 | | |
| | | 26,375 | | | | TC Energy Corp. | | | | | 1,351,589 | | |
| | | | | | | Total Pipelines | | | | | 10,631,815 | | |
| | | | | | | TOTAL ENERGY | | | | | 50,843,403 | | |
| FINANCIAL – 15.9% | | ||||||||||||
| Banks – 6.1% | | ||||||||||||
| | | 647,485 | | | | AIB Group PLC | | | | | 1,643,838 | | |
| | | 66,880 | | | | Bank of America Corp. | | | | | 1,839,869 | | |
| | | 40,450 | | | | Bank of NT Butterfield & Son Ltd. | | | | | 1,114,802 | | |
| | | 47,875 | | | | Canadian Imperial Bank of Commerce | | | | | 3,708,807 | | |
| | | 64,000 | | | | Citigroup Inc. | | | | | 4,118,400 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – (continued) | | ||||||||||||
| Banks – (continued) | | ||||||||||||
| | | 249,695 | | | | ING Groep NV | | | | $ | 2,386,694 | | |
| | | 17,920 | | | | JPMorgan Chase & Co. | | | | | 1,968,691 | | |
| | | 137,025 | | | | KeyCorp | | | | | 2,274,615 | | |
| | | 20,175 | | | | PNC Financial Services Group Inc. | | | | | 2,601,163 | | |
| | | 175,600 | | | | Regions Financial Corp. | | | | | 2,567,272 | | |
| | | 1,395,000 | | | | Unicaja Banco SA(a) | | | | | 1,027,227 | | |
| | | | | | | Total Banks | | | | | 25,251,378 | | |
| Diversified Financial Services – 1.3% | | ||||||||||||
| | | 396,515 | | | | Daiwa Securities Group Inc. | | | | | 1,708,869 | | |
| | | 14,100 | | | | Deutsche Boerse AG | | | | | 2,072,671 | | |
| | | 115,300 | | | | Invesco Ltd. | | | | | 1,810,210 | | |
| | | | | | | Total Diversified Financial Services | | | | | 5,591,750 | | |
| Equity Real Estate Investment Trusts (REITs) – 5.2% | | ||||||||||||
| | | 22,325 | | | | Crown Castle International Corp. | | | | | 3,240,920 | | |
| | | 17,975 | | | | Digital Realty Trust Inc. | | | | | 2,222,249 | | |
| | | 62,245 | | | | MGM Growth Properties LLC, Class A Shares | | | | | 1,919,636 | | |
| | | 38,625 | | | | National Retail Properties Inc. | | | | | 2,168,794 | | |
| | | 77,550 | | | | Omega Healthcare Investors Inc. | | | | | 3,154,734 | | |
| | | 94,550 | | | | Ventas Inc. | | | | | 6,939,024 | | |
| | | 23,175 | | | | Welltower Inc. | | | | | 2,075,553 | | |
| | | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | | | 21,720,910 | | |
| Insurance – 2.6% | | ||||||||||||
| | | 51,350 | | | | Ageas | | | | | 2,748,444 | | |
| | | 8,230 | | | | Allianz SE, Class Registered Shares | | | | | 1,813,559 | | |
| | | 39,237 | | | | CNA Financial Corp. | | | | | 1,849,240 | | |
| | | 80,317 | | | | Old Republic International Corp. | | | | | 1,876,205 | | |
| | | 13,135 | | | | RenaissanceRe Holdings Ltd. | | | | | 2,371,524 | | |
| | | | | | | Total Insurance | | | | | 10,658,972 | | |
| Private Equity – 0.5% | | ||||||||||||
| | | 54,480 | | | | AURELIUS Equity Opportunities SE & Co. KGaA | | | | | 2,119,619 | | |
| Real Estate – 0.2% | | ||||||||||||
| | | 297,000 | | | | Great Eagle Holdings Ltd. | | | | | 1,096,584 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 66,439,213 | | |
| INDUSTRIAL – 4.0% | | ||||||||||||
| Miscellaneous Manufacturers – 1.0% | | ||||||||||||
| | | 23,450 | | | | Eaton Corp. PLC | | | | | 1,892,884 | | |
| | | 24,300 | | | | Siemens AG, Class Registered Shares | | | | | 2,428,994 | | |
| | | | | | | Total Miscellaneous Manufacturers | | | | | 4,321,878 | | |
| Packaging & Containers – 0.5% | | ||||||||||||
| | | 193,775 | | | | Amcor PLC* | | | | | 1,902,871 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| INDUSTRIAL – (continued) | | ||||||||||||
| Transportation – 2.5% | | ||||||||||||
| | | 123,060 | | | | Deutsche Post AG, Class Registered Shares | | | | $ | 4,043,948 | | |
| | | 52,275 | | | | United Parcel Service Inc., Class B Shares | | | | | 6,202,951 | | |
| | | | | | | Total Transportation | | | | | 10,246,899 | | |
| | | | | | | TOTAL INDUSTRIAL | | | | | 16,471,648 | | |
| TECHNOLOGY – 2.8% | | ||||||||||||
| Semiconductors – 1.4% | | ||||||||||||
| | | 6,588 | | | | Broadcom Inc. | | | | | 1,862,032 | | |
| | | 56,524 | | | | Cypress Semiconductor Corp. | | | | | 1,300,617 | | |
| | | 70,500 | | | | Infineon Technologies AG | | | | | 1,220,203 | | |
| | | 52,100 | | | | Samsung Electronics Co., Ltd. | | | | | 1,586,210 | | |
| | | | | | | Total Semiconductors | | | | | 5,969,062 | | |
| Software – 1.4% | | ||||||||||||
| | | 22,000 | | | | Microsoft Corp. | | | | | 3,032,920 | | |
| | | 51,780 | | | | Oracle Corp. | | | | | 2,695,667 | | |
| | | | | | | Total Software | | | | | 5,728,587 | | |
| | | | | | | TOTAL TECHNOLOGY | | | | | 11,697,649 | | |
| UTILITIES – 10.5% | | ||||||||||||
| Electric – 7.8% | | ||||||||||||
| | | 126,475 | | | | Dominion Energy Inc. | | | | | 9,818,254 | | |
| | | 85,200 | | | | Duke Energy Corp. | | | | | 7,901,448 | | |
| | | 128,240 | | | | Engie SA | | | | | 1,948,525 | | |
| | | 43,490 | | | | FirstEnergy Corp. | | | | | 2,000,540 | | |
| | | 191,525 | | | | PPL Corp. | | | | | 5,659,564 | | |
| | | 89,190 | | | | Southern Co. | | | | | 5,196,210 | | |
| | | | | | | Total Electric | | | | | 32,524,541 | | |
| Gas – 2.2% | | ||||||||||||
| | | 882,933 | | | | National Grid PLC | | | | | 9,222,561 | | |
| Water – 0.5% | | ||||||||||||
| | | 78,060 | | | | Veolia Environnement SA | | | | | 1,865,973 | | |
| | | | | | | TOTAL UTILITIES | | | | | 43,613,075 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $321,395,984) | | | | | 321,993,697 | | |
| EXCHANGE TRADED FUNDS (ETFs) – 19.6% | | ||||||||||||
| | | 1,340,702 | | | | iShares Core Dividend Growth(b) | | | | | 51,228,223 | | |
| | | 331,594 | | | | iShares Core High Dividend(b) | | | | | 30,725,500 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Cost – $72,966,312) | | | | | 81,953,723 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CONVERTIBLE PREFERRED STOCK – 0.4% | | ||||||||||||
| UTILITIES – 0.4% | | ||||||||||||
| Electric – 0.4% | | ||||||||||||
| | | 37,060 | | | | CenterPoint Energy Inc., 7.000% (Cost – $1,894,704) | | | | $ | 1,832,617 | | |
| WARRANT – 0.3% | | ||||||||||||
| FINANCIAL – 0.3% | | ||||||||||||
| Diversified Financial Services – 0.3% | | ||||||||||||
| | | 3,901 | | | | Merrill Lynch International & Co. CV*(a)(c)(d) (Cost – $1,095,857) | | | | | 1,100,233 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $397,352,857) | | | | | 406,880,270 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 2.3% | | ||||||||||||
| TIME DEPOSITS – 2.3% | | ||||||||||||
| | $ | 6,675,644 | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 6,675,644 | | |
| | | | | | | Brown Brothers Harriman – Grand Cayman: | | | | | | | |
| | | 9HKD | | | | 0.750% due 9/2/19 | | | | | 1 | | |
| | | 17 | | | | 1.490% due 9/3/19 | | | | | 17 | | |
| | | 2,813,088 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 2,813,088 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $9,488,750) | | | | | 9,488,750 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.2% | | ||||||||||||
| MONEY MARKET FUND – 0.2% | | ||||||||||||
| | | 799,570 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(e) (Cost – $799,570) | | | | | 799,570 | | |
| | | | | | | TOTAL INVESTMENTS – 100.0% (Cost – $407,641,177#) | | | | | 417,168,590 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.0% | | | | | 118,469 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 417,287,059 | | |
| Consumer Non-cyclical | | | | | 18.5% | | |
| Financial | | | | | 16.2 | | |
| Energy | | | | | 12.2 | | |
| Utilities | | | | | 10.9 | | |
| Communications | | | | | 8.8 | | |
| Industrial | | | | | 3.9 | | |
| Consumer Cyclical | | | | | 3.7 | | |
| Technology | | | | | 2.8 | | |
| Basic Materials | | | | | 0.9 | | |
| Exchange Traded Funds (ETFs) | | | | | 19.6 | | |
| Short-Term Investments | | | | | 2.3 | | |
| Money Market Fund | | | | | 0.2 | | |
| | | | | | 100.0% | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – 5.6% | | ||||||||||||
| Canada – 5.5% | | ||||||||||||
| | | 17,533,079 | | | | Turquoise Hill Resources Ltd.* | | | | $ | 7,721,568 | | |
| United States – 0.1% | | ||||||||||||
| | | 74,934 | | | | Covia Holdings Corp.*(a) | | | | | 112,401 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $26,440,488) | | | | | 7,833,969 | | |
| EXCHANGE TRADED FUND (ETF) – 25.9% | | ||||||||||||
| United States – 25.9% | | ||||||||||||
| | | 670,691 | | | | iShares Core US REIT(a) (Cost – $32,181,372) | | | | | 36,478,884 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $58,621,860) | | | | | 44,312,853 | | |
| Face Amount† | | | | | | | | | | | |||
| SHORT-TERM INVESTMENTS – 64.6% | | ||||||||||||
| TIME DEPOSITS – 64.6% | | ||||||||||||
| | $ | 55,819,366 | | | | Banco Bilbao Vizcaya Argentaria SA – Madrid, 1.490% due 9/3/19 | | | | | 55,819,366 | | |
| | | 1,311,013 | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 1,311,013 | | |
| | | 12AUD | | | | Brown Brothers Harriman – Grand Cayman, 0.450% due 9/2/19 | | | | | 8 | | |
| | | 33,635,990 | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 33,635,990 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $90,766,377) | | | | | 90,766,377 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.4% | | ||||||||||||
| MONEY MARKET FUND – 0.4% | | ||||||||||||
| | | 616,340 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(b) (Cost – $616,340) | | | | | 616,340 | | |
| | | | | | | TOTAL INVESTMENTS – 96.5% (Cost – $150,004,577#) | | | | | 135,695,570 | | |
| | | | | | | Other Assets in Excess of Liabilities – 3.5% | | | | | 4,877,840 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 140,573,410 | | |
| REIT — Real Estate Investment Trust | |
| Currency Abbreviations used in this schedule: | |
| AUD — Australian Dollar | |
| Basic Materials | | | | | 5.8% | | |
| Exchange Traded Fund (ETF) | | | | | 26.9 | | |
| Short-Term Investments | | | | | 66.9 | | |
| Money Market Fund | | | | | 0.4 | | |
| | | | | | 100.0% | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 22.0% | | ||||||||||||
| | | | | | | 20 Times Square Trust: | | ||||||
| | $ | 491,000 | | | | Series 2018-20TS, Class F, 3.203% due 5/15/35(a)(b) | | | | $ | 485,178 | | |
| | | 491,000 | | | | Series 2018-20TS, Class G, 3.203% due 5/15/35(a)(b) | | | | | 477,226 | | |
| | | | | | | Alternative Loan Trust: | | ||||||
| | | 8,944,916 | | | | Series 2005-7CB, Class 2A2, 2.905% (1-Month USD-LIBOR + 5.050%) due 4/25/35(a)(c) | | | | | 923,590 | | |
| | | 8,944,916 | | | | Series 2005-7CB, Class 2A5, 2.595% (1-Month USD-LIBOR + 0.450%) due 4/25/35(a) | | | | | 7,823,267 | | |
| | | 1,169,574 | | | | Series 2005-28CB, Class 1A7, 5.500% due 8/25/35 | | | | | 1,170,477 | | |
| | | | | | | Angel Oak Mortgage Trust I LLC: | | ||||||
| | | 1,520,776 | | | | Series 2018-3, Class A1, 3.649% due 9/25/48(a)(b) | | | | | 1,537,555 | | |
| | | 1,657,763 | | | | Series 2018-3, Class A2, 3.751% due 9/25/48(a)(b) | | | | | 1,676,280 | | |
| | | 1,583,043 | | | | Series 2018-3, Class A3, 3.853% due 9/25/48(a)(b) | | | | | 1,600,943 | | |
| | | 831,913 | | | | Ashford Hospitality Trust, Series 2018-ASHF, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 4/15/35(a)(b) | | | | | 832,030 | | |
| | | | | | | Atrium Hotel Portfolio Trust: | | ||||||
| | | 991,000 | | | | Series 2018-ATRM, Class A, 3.145% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 988,197 | | |
| | | 991,000 | | | | Series 2018-ATRM, Class D, 4.495% (1-Month USD-LIBOR + 2.300%) due 6/15/35(a)(b) | | | | | 992,539 | | |
| | | 9,833,698 | | | | Banc of America Funding Trust, Series 2007-1, Class TA2, 2.275% (1-Month USD-LIBOR + 0.130%) due 1/25/37(a) | | | | | 8,239,469 | | |
| | | | | | | BANK: | | ||||||
| | | 12,388,861 | | | | Series 2017-BNK4, Class XA, 1.592% due 5/15/50(a)(c) | | | | | 984,037 | | |
| | | 16,289,253 | | | | Series 2018-BN10, Class XA, 0.888% due 2/15/61(a)(c) | | | | | 862,420 | | |
| | | 16,184,945 | | | | Series 2019-BN16, Class XA, 1.129% due 2/15/52(a)(c) | | | | | 1,192,991 | | |
| | | 1,358,000 | | | | Series 2019-BN19, Class AS, 3.446% due 8/15/61 | | | | | 1,460,135 | | |
| | | | | | | BBCMS Mortgage Trust: | | ||||||
| | | 178,000 | | | | Series 2017-DELC, Class C, 3.395% (1-Month USD-LIBOR + 1.200%) due 8/15/36(a)(b) | | | | | 177,108 | | |
| | | 203,000 | | | | Series 2017-DELC, Class D, 3.895% (1-Month USD-LIBOR + 1.700%) due 8/15/36(a)(b) | | | | | 202,745 | | |
| | | 408,000 | | | | Series 2017-DELC, Class E, 4.695% (1-Month USD-LIBOR + 2.500%) due 8/15/36(a)(b) | | | | | 407,997 | | |
| | | 407,000 | | | | Series 2017-DELC, Class F, 5.695% (1-Month USD-LIBOR + 3.500%) due 8/15/36(a)(b) | | | | | 406,997 | | |
| | | | | | | BBCMS Trust: | | ||||||
| | | 103,488 | | | | Series 2018-BXH, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 10/15/37(a)(b) | | | | | 103,228 | | |
| | | 1,083,000 | | | | Series 2018-CBM, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 7/15/37(a)(b) | | | | | 1,083,012 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 4,342,617 | | | | Bear Stearns ALT-A Trust, Series 2006-1, Class 21A2, 4.026% due 2/25/36(a) | | | | $ | 3,753,763 | | |
| | | 200,000 | | | | Benchmark, Series 2018-B4, Class A2, 3.976% due 7/15/51 | | | | | 213,786 | | |
| | | | | | | Benchmark Mortgage Trust: | | ||||||
| | | 600,000 | | | ��� | Series 2018-B5, Class A4, 4.208% due 7/15/51 | | | | | 692,407 | | |
| | | 35,672,038 | | | | Series 2018-B7, Class XA, 0.605% due 5/15/53(a)(c) | | | | | 1,175,290 | | |
| | | 35,710,616 | | | | Series 2019-B9, Class XA, 1.215% due 3/15/52(a)(c) | | | | | 2,956,557 | | |
| | | 750,000 | | | | Series 2019-B11, Class A4, 3.281% due 5/15/52 | | | | | 816,216 | | |
| | | 997,000 | | | | BHMS, Series 2018-ATLS, Class A, 3.445% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | | 996,985 | | |
| | | | | | | BX Commercial Mortgage Trust: | | ||||||
| | | 984,000 | | | | Series 2018-BIOA, Class D, 3.516% (1-Month USD-LIBOR + 1.321%) due 3/15/37(a)(b) | | | | | 986,463 | | |
| | | 917,700 | | | | Series 2018-IND, Class A, 2.945% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(b) | | | | | 918,064 | | |
| | | | | | | BX Trust: | | ||||||
| | | 279,650 | | | | Series 2017-SLCT, Class D, 4.245% (1-Month USD-LIBOR + 2.050%) due 7/15/34(a)(b) | | | | | 279,646 | | |
| | | 474,300 | | | | Series 2017-SLCT, Class E, 5.345% (1-Month USD-LIBOR + 3.150%) due 7/15/34(a)(b) | | | | | 475,037 | | |
| | | 112,516 | | | | Series 2018-EXCL, Class A, 3.283% (1-Month USD-LIBOR + 1.088%) due 9/15/37(a)(b) | | | | | 111,951 | | |
| | | 903,000 | | | | Series 2018-GW, Class A, 2.995% (1-Month USD-LIBOR + 0.800%) due 5/15/35(a)(b) | | | | | 901,013 | | |
| | | 100,000 | | | | Series 2018-GW, Class D, 3.965% (1-Month USD-LIBOR + 1.770%) due 5/15/35(a)(b) | | | | | 100,280 | | |
| | | 982,000 | | | | Series 2018-MCSF, Class F, 4.842% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b) | | | | | 986,912 | | |
| | | 1,145,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 3.265% (1-Month USD-LIBOR + 1.070%) due 12/15/37(a)(b) | | | | | 1,146,777 | | |
| | | | | | | CD Mortgage Trust: | | ||||||
| | | 400,000 | | | | Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | | | 438,839 | | |
| | | 20,147,942 | | | | Series 2017-CD4, Class XA, 1.468% due 5/10/50(a)(c) | | | | | 1,491,113 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | ||||||
| | | 2,008,942 | | | | Series 2016-C3, Class XA, 1.194% due 1/10/48(a)(c) | | | | | 111,527 | | |
| | | 16,492,349 | | | | Series 2017-C8, Class XA, 1.816% due 6/15/50(a)(c) | | | | | 1,500,745 | | |
| | | | | | | Citigroup Commercial Mortgage Trust: | | ||||||
| | | 37,541,608 | | | | Series 2015-GC35, Class XA, 1.010% due 11/10/48(a)(c) | | | | | 1,365,249 | | |
| | | 1,250,000 | | | | Series 2016-GC37, Class A4, 3.314% due 4/10/49 | | | | | 1,337,399 | | |
| | | | | | | Citigroup Mortgage Loan Trust: | | ||||||
| | | 6,714,284 | | | | Series 2018-A, Class A1, 4.000% due 1/25/68(a)(b) | | | | | 6,733,622 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,962,397 | | | | Series 2019-B, Class A1, 3.258% due 4/25/66(a)(b)(d) | | | | $ | 2,965,028 | | |
| | | | | | | CLNS Trust: | | ||||||
| | | 565,000 | | | | Series 2017-IKPR, Class D, 4.251% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | | 564,461 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class E, 5.701% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 565,876 | | |
| | | 565,000 | | | | Series 2017-IKPR, Class F, 6.701% (1-Month USD-LIBOR + 4.500%) due 6/11/32(a)(b) | | | | | 567,292 | | |
| | | | | | | Commercial Mortgage Trust: | | ||||||
| | | 255,036,850 | | | | Series 2013-CR9, Class XA, 0.163% due 7/10/45(a)(c) | | | | | 827,033 | | |
| | | 1,127,000 | | | | Series 2016-GCT, Class F, 3.577% due 8/10/29(a)(b) | | | | | 1,115,703 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | ||||||
| | | 713,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(b) | | | | | 715,266 | | |
| | | 848,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(a)(b) | | | | | 849,503 | | |
| | | 1,246,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(a)(b) | | | | | 1,238,881 | | |
| | | 69,653,000 | | | | Series 2017-LSTK, Class XACP, 0.681% due 4/5/33(a)(b)(c) | | | | | 281,865 | | |
| | | 25,355,000 | | | | Series 2017-LSTK, Class XBCP, 0.316% due 4/5/33(a)(b)(c) | | | | | 41,448 | | |
| | | 4,973,988 | | | | Series 2019-RPL2, Class A1, 3.926% due 7/25/58(b) | | | | | 5,061,420 | | |
| | | 2,709,072 | | | | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5A6, 5.500% due 10/25/35 | | | | | 2,414,206 | | |
| | | 1,090,000 | | | | CSWF, Series 2018-TOP, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 1,089,305 | | |
| | | 920,714 | | | | DBGS Mortgage Trust, Series 2018-BIOD, Class A, 2.998% (1-Month USD-LIBOR + 0.803%) due 5/15/35(a)(b) | | | | | 920,704 | | |
| | | 1,220,687 | | | | Exantas Capital Corp. Ltd., Series 2019-RSO7, Class A, 3.197% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | | | 1,221,053 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | ||||||
| | | 10,568,966 | | | | Series 4223, Class SB, 2.740% (1-Month USD-LIBOR + 5.431%) due 7/15/43(a) | | | | | 10,836,764 | | |
| | | 5,926,221 | | | | Series 4610, Class LA, 2.500% due 1/15/41 | | | | | 5,991,392 | | |
| | | 4,074,979 | | | | Series 4627, Class Z, 3.000% due 10/15/46 | | | | | 4,029,884 | | |
| | | 12,263,464 | | | | Series 4640, Class VB, 3.000% due 3/15/37 | | | | | 12,615,171 | | |
| | | 7,838,071 | | | | Series 4653, Class Z, 3.000% due 2/15/47 | | | | | 8,070,597 | | |
| | | 8,312,942 | | | | Series 4655, Class CZ, 3.000% due 2/15/47 | | | | | 8,655,771 | | |
| | | 14,928,172 | | | | Series 4664, Class TC, 3.000% due 6/15/41 | | | | | 15,082,664 | | |
| | | 12,607,001 | | | | Series 4745, Class EC, 3.000% due 12/15/44 | | | | | 12,934,840 | | |
| | | 8,000,000 | | | | Series 4749, Class LV, 3.500% due 4/15/38 | | | | | 8,515,386 | | |
| | | 17,552,150 | | | | Series 4750, Class PA, 3.000% due 7/15/46 | | | | | 17,884,043 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | ||||||
| | | 5,629,489 | | | | Series 2015-55, Class PD, 2.500% due 3/25/43 | | | | | 5,645,202 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 13,761,771 | | | | Series 2016-61, Class MZ, 3.000% due 9/25/46 | | | | $ | 13,600,682 | | |
| | | 16,839,356 | | | | Series 2017-107, Class GA, 3.000% due 8/25/45 | | | | | 17,291,004 | | |
| | | 30,013,667 | | | | Series 2017-12, Class TA, 3.000% due 4/25/42 | | | | | 30,360,418 | | |
| | | 7,731,019 | | | | Series 2017-24, Class LG, 3.000% due 4/25/37 | | | | | 8,104,380 | | |
| | | 18,972,082 | | | | Series 2017-32, Class CA, 3.000% due 10/25/42 | | | | | 19,196,884 | | |
| | | 19,268,845 | | | | Series 2018-33, Class C, 3.000% due 5/25/48 | | | | | 19,740,119 | | |
| | | 8,551,948 | | | | Series 2018-38, Class LA, 3.000% due 6/25/48 | | | | | 8,700,655 | | |
| | | | | | | Freddie Mac Multifamily Structured Pass-Through Certificates: | | ||||||
| | | 1,750,000 | | | | Series K020, Class A2, 2.373% due 5/25/22 | | | | | 1,772,050 | | |
| | | 1,540,000 | | | | Series K062, Class A2, 3.413% due 12/25/26 | | | | | 1,693,998 | | |
| | | 300,000 | | | | Series K078, Class A2, 3.854% due 6/25/28 | | | | | 342,530 | | |
| | | 2,904,350 | | | | FWDSecuritization Trust, Series 2019-INV1, Class A3, 3.110% due 6/25/49(a)(b) | | | | | 2,928,984 | | |
| | | | | | | Great Wolf Trust: | | ||||||
| | | 272,000 | | | | Series 2017-WOLF, Class D, 4.295% (1-Month USD-LIBOR + 2.100%) due 9/15/34(a)(b) | | | | | 272,081 | | |
| | | 422,000 | | | | Series 2017-WOLF, Class E, 5.295% (1-Month USD-LIBOR + 3.100%) due 9/15/34(a)(b) | | | | | 422,259 | | |
| | | 225,000 | | | | Series 2017-WOLF, Class F, 6.265% (1-Month USD-LIBOR + 4.070%) due 9/15/34(a)(b) | | | | | 225,208 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | ||||||
| | | 990,000 | | | | Series 2018-3PCK, Class A, 3.645% (1-Month USD-LIBOR + 1.450%) due 9/15/31(a)(b) | | | | | 987,604 | | |
| | | 1,133,000 | | | | Series 2018-FBLU, Class F, 5.445% (1-Month USD-LIBOR + 3.250%) due 11/15/35(a)(b) | | | | | 1,137,952 | | |
| | | 400,000 | | | | Series 2018-TWR, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 399,125 | | |
| | | 400,000 | | | | Series 2018-TWR, Class D, 3.795% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 398,405 | | |
| | | 400,000 | | | | Series 2018-TWR, Class E, 4.295% (1-Month USD-LIBOR + 2.100%) due 7/15/31(a)(b) | | | | | 401,186 | | |
| | | 400,000 | | | | Series 2018-TWR, Class F, 4.995% (1-Month USD-LIBOR + 2.800%) due 7/15/31(a)(b) | | | | | 401,594 | | |
| | | 400,000 | | | | Series 2018-TWR, Class G, 6.120% (1-Month USD-LIBOR + 3.925%) due 7/15/31(a)(b) | | | | | 402,603 | | |
| | | 1,250,000 | | | | Series 2019-SOHO, Class E, 4.070% (1-Month USD-LIBOR + 1.875%) due 6/15/36(a)(b) | | | | | 1,246,263 | | |
| | | | | | | GS Mortgage Securities Trust: | | ||||||
| | | 896,614 | | | | Series 2012-GC6, Class A3, 3.482% due 1/10/45 | | | | | 919,396 | | |
| | | 10,515,909 | | | | Series 2017-GS7, Class XA, 1.280% due 8/10/50(a)(c) | | | | | 746,323 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 8,748,091 | | | | HarborView Mortgage Loan Trust, Series 2006-14, Class 2A1A, 2.332% (1-Month USD-LIBOR + 0.150%) due 1/25/47(a) | | | | $ | 8,648,366 | | |
| | | 1,243,000 | | | | HPLY Trust, Series 2019-HIT, Class F, 5.345% (1-Month USD-LIBOR + 3.150%) due 11/15/36(a)(b) | | | | | 1,248,056 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Corp.: | | ||||||
| | | 101,458 | | | | Series 2017-FL10, Class B, 3.195% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 100,934 | | |
| | | 161,000 | | | | Series 2017-FL10, Class C, 3.445% (1-Month USD-LIBOR + 1.250%) due 6/15/32(a)(b) | | | | | 159,904 | | |
| | | 523,000 | | | | Series 2017-FL10, Class D, 4.095% (1-Month USD-LIBOR + 1.900%) due 6/15/32(a)(b) | | | | | 518,240 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | ||||||
| | | 784,914 | | | | Series 2012-C8, Class A3, 2.829% due 10/15/45 | | | | | 803,335 | | |
| | | 976,716 | | | | Series 2018-LAQ, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 975,485 | | |
| | | | | | | JP Morgan Mortgage Trust: | | ||||||
| | | 4,477,262 | | | | Series 2006-S1, Class 2A9, 6.500% due 4/25/36 | | | | | 4,939,444 | | |
| | | 9,219,352 | | | | Series 2006-S4, Class A7, 6.000% due 1/25/37 | | | | | 7,002,592 | | |
| | | 3,259,866 | | | | Series 2018-7FRB, Class A2, 3.016% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 3,246,501 | | |
| | | | | | | JPMBB Commercial Mortgage Securities Trust: | | ||||||
| | | 1,667,000 | | | | Series 2015-C27, Class C, 4.483% due 2/15/48(a) | | | | | 1,750,550 | | |
| | | 1,906,000 | | | | Series 2015-C28, Class C, 4.360% due 10/15/48(a) | | | | | 1,992,606 | | |
| | | 1,911,199 | | | | Legacy Mortgage Asset Trust, Series 2019-SL3, Class A, step bond to yield, 3.474% due 11/25/61(b)(d) | | | | | 1,915,295 | | |
| | | 8,802,083 | | | | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1, Class AF1, 5.750% due 8/25/36 | | | | | 5,803,098 | | |
| | | 1,817,000 | | | | Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F, 6.527% due 9/12/42(a)(b) | | | | | 1,829,902 | | |
| | | 1,082,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.115% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 1,079,281 | | |
| | | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | ||||||
| | | 431,972 | | | | Series 2014-C15, Class A3, 3.773% due 4/15/47 | | | | | 462,814 | | |
| | | 2,000,000 | | | | Series 2014-C17, Class C, 4.656% due 8/15/47(a) | | | | | 2,130,123 | | |
| | | 19,660,213 | | | | Series 2014-C19, Class XA, 1.199% due 12/15/47(a)(c) | | | | | 814,108 | | |
| | | 852,000 | | | | Series 2016-C31, Class C, 4.459% due 11/15/49(a) | | | | | 892,121 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | |||||
| | | 1,964,000 | | | | Series 2011-C1, Class D, 5.554% due 9/15/47(a)(b) | | | | | 2,039,657 | | |
| | | 17,860,487 | | | | Series 2016-UB11, Class XA, 1.767% due 8/15/49(a)(c) | | | | | 1,414,894 | | |
| | | 14,424,843 | | | | Series 2016-UB12, Class XA, 0.924% due 12/15/49(a)(c) | | | | | 586,035 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 1,083,000 | | | | Series 2018-SUN, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | $ | 1,082,142 | | |
| | | 1,356,000 | | | | Series 2019-H7, Class AS, 3.524% due 7/15/52 | | | | | 1,459,848 | | |
| | | 583,000 | | | | Series 2019-H7, Class B, 3.725% due 7/15/52 | | | | | 627,342 | | |
| | | 827,750 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.115% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | | | 827,482 | | |
| | | 1,122,000 | | | | MSCG Trust, Series 2018-SELF, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 10/15/37(a)(b) | | | | | 1,123,107 | | |
| | | 931,788 | | | | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.275% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 929,281 | | |
| | | 2,980,227 | | | | PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 4.991% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(b)(d) | | | | | 2,985,845 | | |
| | | 8,881,864 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(b)(d) | | | | | 8,976,654 | | |
| | | | | | | Rali Series Trust: | | | |||||
| | | 2,373,818 | | | | Series 2005-QS13, Class 1A3, 5.500% due 9/25/35 | | | | | 2,240,234 | | |
| | | 24,067,716 | | | | Series 2007-QH5, Class AII, 2.375% (1-Month USD-LIBOR + 0.230%) due 6/25/37(a) | | | | | 13,250,260 | | |
| | | | | | | Rosslyn Portfolio Trust: | | | |||||
| | | 429,000 | | | | Series 2017-ROSS, Class A, 3.145% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 428,976 | | |
| | | 429,000 | | | | Series 2017-ROSS, Class B, 3.445% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | | 428,556 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | |||||
| | | 5,752,302 | | | | Series 2017-C1, Class XA, 1.734% due 6/15/50(a)(c) | | | | | 530,650 | | |
| | | 979,000 | | | | Series 2018-C8, Class C, 4.860% due 2/15/51(a) | | | | | 1,075,280 | | |
| | | 4,881,507 | | | | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class XA, 1.091% due 3/10/46(a)(b)(c) | | | | | 132,599 | | |
| | | 1,686,000 | | | | UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class D, 6.252% due 1/10/45(a)(b) | | | | | 1,761,245 | | |
| | | 6,400,000 | | | | Verus Securitization Trust, Series 2019-INV2, Class M1, 3.499% due 7/25/59(a)(b) | | | | | 6,501,155 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | |||||
| | | 295,000 | | | | Series 2010-C1, Class C, 5.783% due 11/15/43(a)(b) | | | | | 302,918 | | |
| | | 1,356,000 | | | | Series 2015-C27, Class C, 3.894% due 2/15/48 | | | | | 1,379,209 | | |
| | | 275,000 | | | | Series 2015-C31, Class A4, 3.695% due 11/15/48 | | | | | 299,952 | | |
| | | 1,000,000 | | | | Series 2015-LC20, Class A3, 3.086% due 4/15/50 | | | | | 1,020,208 | | |
| | | 2,581,000 | | | | Series 2015-NXS4, Class E, 3.751% due 12/15/48(a)(b) | | | | | 2,313,164 | | |
| | | 17,339,859 | | | | Series 2016-C33, Class XA, 1.926% due 3/15/59(a)(c) | | | | | 1,394,161 | | |
| | | 10,934,664 | | | | Series 2016-NXS6, Class XA, 1.778% due 11/15/49(a)(c) | | | | | 849,499 | | |
| Face Amount | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 10,361,303 | | | | Series 2017-C38, Class XA, 1.212% due 7/15/50(a)(c) | | | | $ | 667,520 | | |
| | | 1,200,000 | | | | Series 2017-C42, Class A4, 3.589% due 12/15/50 | | | | | 1,316,456 | | |
| | | 1,505,000 | | | | WFRBS Commercial Mortgage Trust, Series 2012-C6, Class A4, 3.440% due 4/15/45 | | | | | 1,540,966 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $426,440,045) | | | | | 431,307,573 | | |
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – 22.2% | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – 21.8% | | ||||||||||||
| | | | | | | U.S. Treasury Bonds: | | ||||||
| | | 1,000,000 | | | | 5.250% due 11/15/28 | | | | | 1,322,578 | | |
| | | 500,000 | | | | 6.250% due 5/15/30 | | | | | 733,379 | | |
| | | 600,000 | | | | 5.375% due 2/15/31 | | | | | 841,711 | | |
| | | 2,800,000 | | | | 4.500% due 5/15/38 | | | | | 4,034,844 | | |
| | | 1,500,000 | | | | 4.375% due 11/15/39 | | | | | 2,153,555 | | |
| | | 3,500,000 | | | | 3.875% due 8/15/40 | | | | | 4,741,680 | | |
| | | 3,000,000 | | | | 4.375% due 5/15/41 | | | | | 4,347,891 | | |
| | | 2,500,000 | | | | 3.125% due 11/15/41 | | | | | 3,058,789 | | |
| | | 3,500,000 | | | | 2.750% due 8/15/42 | | | | | 4,042,090 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/42 | | | | | 1,154,883 | | |
| | | 3,500,000 | | | | 2.875% due 5/15/43 | | | | | 4,130,820 | | |
| | | 300,000 | | | | 3.750% due 11/15/43 | | | | | 406,043 | | |
| | | 3,500,000 | | | | 3.125% due 8/15/44 | | | | | 4,317,852 | | |
| | | 1,475,000 | | | | 2.500% due 2/15/45 | | | | | 1,636,731 | | |
| | | 3,000,000 | | | | 2.875% due 8/15/45 | | | | | 3,562,617 | | |
| | | 1,000,000 | | | | 2.500% due 2/15/46 | | | | | 1,110,898 | | |
| | | 2,500,000 | | | | 2.500% due 5/15/46 | | | | | 2,779,199 | | |
| | | 1,700,000 | | | | 2.875% due 11/15/46 | | | | | 2,028,777 | | |
| | | 3,500,000 | | | | 3.000% due 2/15/47 | | | | | 4,277,930 | | |
| | | 1,000,000 | | | | 3.000% due 5/15/47 | | | | | 1,222,539 | | |
| | | 1,100,000 | | | | 2.750% due 8/15/47 | | | | | 1,285,582 | | |
| | | 1,000,000 | | | | 2.750% due 11/15/47 | | | | | 1,169,648 | | |
| | | 1,100,000 | | | | 3.000% due 8/15/48 | | | | | 1,351,238 | | |
| | | 23,400,000 | | | | 2.875% due 5/15/49 | | | | | 28,196,086 | | |
| | | 6,599,744 | | | | U.S. Treasury Inflation Indexed Notes, 0.625% due 4/15/23 | | | | | 6,699,280 | | |
| | | | | | | U.S. Treasury Notes: | | ||||||
| | | 6,000,000 | | | | 1.375% due 9/30/20 | | | | | 5,973,984 | | |
| | | 4,000,000 | | | | 1.875% due 12/15/20 | | | | | 4,009,063 | | |
| | | 2,000,000 | | | | 1.750% due 12/31/20 | | | | | 2,001,484 | | |
| Face Amount | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 5,000,000 | | | | 2.000% due 1/15/21 | | | | $ | 5,022,461 | | |
| | | 9,000,000 | | | | 2.125% due 1/31/21 | | | | | 9,057,656 | | |
| | | 10,000,000 | | | | 2.250% due 3/31/21 | | | | | 10,097,266 | | |
| | | 3,500,000 | | | | 1.125% due 6/30/21 | | | | | 3,472,246 | | |
| | | 12,000,000 | | | | 2.125% due 6/30/21 | | | | | 12,121,406 | | |
| | | 1,000,000 | | | | 2.875% due 10/15/21 | | | | | 1,028,164 | | |
| | | 4,000,000 | | | | 1.875% due 1/31/22 | | | | | 4,036,563 | | |
| | | 500,000 | | | | 1.750% due 2/28/22 | | | | | 503,477 | | |
| | | 6,000,000 | | | | 1.875% due 3/31/22 | | | | | 6,061,875 | | |
| | | 800,000 | | | | 1.750% due 4/30/22 | | | | | 806,250 | | |
| | | 4,000,000 | | | | 1.750% due 6/30/22 | | | | | 4,035,000 | | |
| | | 5,500,000 | | | | 1.875% due 7/31/22 | | | | | 5,567,246 | | |
| | | 1,500,000 | | | | 1.625% due 8/15/22 | | | | | 1,508,320 | | |
| | | 1,000,000 | | | | 1.625% due 8/31/22 | | | | | 1,005,430 | | |
| | | 4,000,000 | | | | 1.875% due 10/31/22 | | | | | 4,055,000 | | |
| | | 1,250,000 | | | | 2.000% due 11/30/22 | | | | | 1,272,363 | | |
| | | 6,000,000 | | | | 1.750% due 1/31/23 | | | | | 6,063,984 | | |
| | | 7,250,000 | | | | 2.375% due 1/31/23 | | | | | 7,476,846 | | |
| | | 5,000,000 | | | | 1.500% due 3/31/23 | | | | | 5,014,648 | | |
| | | 5,000,000 | | | | 1.625% due 5/31/23 | | | | | 5,036,719 | | |
| | | 6,000,000 | | | | 1.375% due 8/31/23 | | | | | 5,990,625 | | |
| | | 2,500,000 | | | | 1.625% due 10/31/23 | | | | | 2,520,801 | | |
| | | 9,000,000 | | | | 2.250% due 12/31/23 | | | | | 9,313,242 | | |
| | | 5,000,000 | | | | 2.750% due 2/15/24 | | | | | 5,286,328 | | |
| | | 19,700,000 | | | | 2.125% due 2/29/24 | | | | | 20,301,774 | | |
| | | 9,500,000 | | | | 2.125% due 3/31/24 | | | | | 9,797,246 | | |
| | | 2,600,000 | | | | 2.000% due 4/30/24 | | | | | 2,668,250 | | |
| | | 2,000,000 | | | | 2.500% due 5/15/24 | | | | | 2,098,359 | | |
| | | 900,000 | | | | 2.000% due 5/31/24 | | | | | 924,609 | | |
| | | 2,500,000 | | | | 1.750% due 6/30/24 | | | | | 2,540,234 | | |
| | | 4,000,000 | | | | 2.000% due 6/30/24 | | | | | 4,109,062 | | |
| | | 25,200,000 | | | | 2.125% due 7/31/24 | | | | | 26,049,516 | | |
| | | 1,000,000 | | | | 1.875% due 8/31/24 | | | | | 1,022,148 | | |
| | | 400,000 | | | | 2.125% due 9/30/24 | | | | | 413,781 | | |
| | | 4,000,000 | | | | 2.250% due 11/15/24 | | | | | 4,165,156 | | |
| | | 4,000,000 | | | | 2.125% due 11/30/24 | | | | | 4,141,563 | | |
| | | 2,400,000 | | | | 2.250% due 12/31/24 | | | | | 2,501,813 | | |
| Face Amount | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS – (continued) | | ||||||||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 2,500,000 | | | | 2.000% due 2/15/25 | | | | $ | 2,575,293 | | |
| | | 2,000,000 | | | | 2.875% due 7/31/25 | | | | | 2,161,719 | | |
| | | 1,000,000 | | | | 2.000% due 8/15/25 | | | | | 1,031,719 | | |
| | | 2,000,000 | | | | 2.750% due 8/31/25 | | | | | 2,149,688 | | |
| | | 33,100,000 | | | | 2.250% due 11/15/25 | | | | | 34,673,543 | | |
| | | 5,000,000 | | | | 1.625% due 2/15/26 | | | | | 5,053,320 | | |
| | | 2,000,000 | | | | 2.500% due 2/28/26 | | | | | 2,129,688 | | |
| | | 27,650,000 | | | | 1.625% due 5/15/26 | | | | | 27,954,582 | | |
| | | 5,600,000 | | | | 1.625% due 8/15/29 | | | | | 5,663,656 | | |
| | | 4,000,000 | | | | 2.250% due 2/15/27 | | | | | 4,224,062 | | |
| | | 400,000 | | | | 2.375% due 5/15/27 | | | | | 426,594 | | |
| | | 2,000,000 | | | | 2.250% due 8/15/27 | | | | | 2,116,953 | | |
| | | 5,000,000 | | | | 2.250% due 11/15/27 | | | | | 5,297,852 | | |
| | | 11,678,000 | | | | 2.625% due 2/15/29 | | | | | 12,828,009 | | |
| | | 3,800,000 | | | | 2.875% due 8/15/28 | | | | | 4,237,297 | | |
| | | 10,000,000 | | | | 3.125% due 11/15/28 | | | | | 11,389,453 | | |
| | | 2,000,000 | | | | 2.375% due 5/15/29 | | | | | 2,156,250 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | | | 425,748,276 | | |
| U.S. GOVERNMENT AGENCIES – 0.4% | | ||||||||||||
| | | | | | | Federal Home Loan Banks (FHLB): | | | |||||
| | | 1,000,000 | | | | 1.375% due 2/18/21 | | | | | 997,376 | | |
| | | 2,000,000 | | | | 3.625% due 6/11/21 | | | | | 2,071,530 | | |
| | | 555,000 | | | | 3.125% due 6/13/25 | | | ��� | | 604,671 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | |||||
| | | 1,645,000 | | | | 2.375% due 1/13/22 | | | | | 1,676,581 | | |
| | | 1,300,000 | | | | 6.250% due 7/15/32 | | | | | 1,957,088 | | |
| | | | | | | Federal National Mortgage Association (FNMA): | | | |||||
| | | 350,000 | | | | 2.625% due 1/11/22 | | | | | 358,621 | | |
| | | 1,000,000 | | | | 1.875% due 4/5/22 | | | | | 1,010,128 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | | | 8,675,995 | | |
| | | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost – $410,797,420) | | | | | 434,424,271 | | |
| CORPORATE BONDS & NOTES – 20.1% | | ||||||||||||
| Basic Materials – 0.9% | | ||||||||||||
| | | 350,000 | | | | Air Products & Chemicals Inc., Senior Unsecured Notes, 3.000% due 11/3/21 | | | | | 358,999 | | |
| | | | | | | AK Steel Corp., Company Guaranteed Notes: | | | |||||
| | | 50,000 | | | | 7.625% due 10/1/21 | | | | | 49,687 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 60,000 | | | | 6.375% due 10/15/25 | | | | $ | 49,650 | | |
| | | 400,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(b) | | | | | 416,000 | | |
| | | 25,000 | | | | ArcelorMittal, Senior Unsecured Notes, 7.000% due 10/15/39 | | | | | 29,916 | | |
| | | 530,000 | | | | Ashland LLC, Company Guaranteed Notes, 4.750% due 8/15/22 | | | | | 557,009 | | |
| | | 100,000 | | | | Barrick North America Finance LLC, Company Guaranteed Notes, 5.750% due 5/1/43 | | | | | 134,500 | | |
| | | 200,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 4.125% due 2/24/42 | | | | | 237,236 | | |
| | | 750,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 5.500% due 4/30/49(b) | | | | | 829,687 | | |
| | | 800,000 | | | | CSN Islands XII Corp., Company Guaranteed Notes, 7.000%(e) | | | | | 679,008 | | |
| | | | | | | CSN Resources SA, Company Guaranteed Notes: | | | |||||
| | | 400,000 | | | | 7.625% due 2/13/23 | | | | | 408,004 | | |
| | | 400,000 | | | | 7.625% due 4/17/26(b) | | | | | 403,000 | | |
| | | 250,000 | | | | Dow Chemical Co., Senior Unsecured Notes, 4.625% due 10/1/44 | | | | | 274,942 | | |
| | | 730,000 | | | | DuPont de Nemours Inc., Senior Unsecured Notes, 5.419% due 11/15/48 | | | | | 937,706 | | |
| | | 150,000 | | | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | | | 157,535 | | |
| | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | |||||
| | | 1,300,000 | | | | 5.400% due 11/14/34 | | | | | 1,248,000 | | |
| | | 850,000 | | | | 5.450% due 3/15/43 | | | | | 775,625 | | |
| | | 1,000,000 | | | | Fresnillo PLC, Senior Unsecured Notes, 5.500% due 11/13/23 | | | | | 1,085,010 | | |
| | | 560,000 | | | | Georgia-Pacific LLC, Senior Unsecured Notes, 3.600% due 3/1/25(b) | | | | | 596,347 | | |
| | | 95,000 | | | | Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(b) | | | | | 91,913 | | |
| | | | | | | International Paper Co., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 3.000% due 2/15/27 | | | | | 511,441 | | |
| | | 100,000 | | | | 4.400% due 8/15/47 | | | | | 106,633 | | |
| | | 200,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.750% due 9/15/24 | | | | | 215,109 | | |
| | | 500,000 | | | | LYB International Finance II BV, Company Guaranteed Notes, 3.500% due 3/2/27 | | | | | 516,272 | | |
| | | 840,000 | | | | Mosaic Co., Senior Unsecured Notes, 4.050% due 11/15/27 | | | | | 876,535 | | |
| | | 200,000 | | | | Nexa Resources SA, Company Guaranteed Notes, 5.375% due 5/4/27 | | | | | 210,300 | | |
| | | 150,000 | | | | Nutrien Ltd., Senior Unsecured Notes, 6.125% due 1/15/41 | | | | | 190,703 | | |
| | | 100,000 | | | | PPG Industries Inc., Senior Unsecured Notes, 2.800% due 8/15/29 | | | | | 101,330 | | |
| | | 200,000 | | | | Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 5.200% due 11/2/40 | | | | | 263,442 | | |
| | | 160,000 | | | | Schweitzer-Mauduit International Inc., Company Guaranteed Notes, 6.875% due 10/1/26(b) | | | | | 164,800 | | |
| | | 100,000 | | | | Sherwin-Williams Co., Senior Unsecured Notes, 4.500% due 6/1/47 | | | | | 113,829 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Basic Materials – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 4.375% due 1/28/25 | | | | $ | 211,750 | | |
| | | | | | | Southern Copper Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 3.875% due 4/23/25 | | | | | 130,857 | | |
| | | 125,000 | | | | 6.750% due 4/16/40 | | | | | 163,675 | | |
| | | 1,600,000 | | | | Syngenta Finance NV, Company Guaranteed Notes, 5.676% due 4/24/48 | | | | | 1,708,504 | | |
| | | 1,100,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 1,107,554 | | |
| | | 250,000 | | | | Vale Overseas Ltd., Company Guaranteed Notes, 6.250% due 8/10/26 | | | | | 287,938 | | |
| | | 400,000 | | | | Vedanta Resources Finance II PLC, Company Guaranteed Notes, 9.250% due 4/23/26(b) | | | | | 387,800 | | |
| | | | | | | Vedanta Resources Ltd., Senior Unsecured Notes: | | ||||||
| | | 200,000 | | | | 7.125% due 5/31/23 | | | | | 191,300 | | |
| | | 1,600,000 | | | | 6.125% due 8/9/24 | | | | | 1,440,800 | | |
| | | 100,000 | | | | Westlake Chemical Corp., Company Guaranteed Notes, 5.000% due 8/15/46 | | | | | 108,406 | | |
| | | | | | | Total Basic Materials | | | | | 18,328,752 | | |
| Communications – 2.1% | | ||||||||||||
| | | 200,000 | | | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 4.000% due 12/6/37 | | | | | 220,157 | | |
| | | 255,000 | | | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(b) | | | | | 272,213 | | |
| | | | | | | Amazon.com Inc., Senior Unsecured Notes: | | ||||||
| | | 845,000 | | | | 2.800% due 8/22/24 | | | | | 882,128 | | |
| | | 635,000 | | | | 3.800% due 12/5/24 | | | | | 693,318 | | |
| | | 250,000 | | | | 3.150% due 8/22/27 | | | | | 268,842 | | |
| | | 250,000 | | | | 4.050% due 8/22/47 | | | | | 306,808 | | |
| | | 250,000 | | | | America Movil SAB de CV, Senior Unsecured Notes, 4.375% due 7/16/42 | | | | | 290,227 | | |
| | | | | | | AT&T Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.200% due 3/1/22 | | | | | 512,890 | | |
| | | 250,000 | | | | 3.800% due 3/1/24 | | | | | 265,857 | | |
| | | 840,000 | | | | 3.400% due 5/15/25 | | | | | 882,271 | | |
| | | 300,000 | | | | 3.800% due 2/15/27 | | | | | 320,309 | | |
| | | 250,000 | | | | 4.250% due 3/1/27 | | | | | 275,136 | | |
| | | 100,000 | | | | 4.300% due 2/15/30 | | | | | 111,043 | | |
| | | 250,000 | | | | 5.250% due 3/1/37 | | | | | 297,181 | | |
| | | 250,000 | | | | 5.350% due 9/1/40 | | | | | 297,783 | | |
| | | 250,000 | | | | 4.850% due 7/15/45 | | | | | 286,285 | | |
| | | 200,000 | | | | 4.500% due 3/9/48 | | | | | 218,305 | | |
| | | 300,000 | | | | 5.700% due 3/1/57 | | | | | 380,008 | | |
| | | 1,000,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 1,012,179 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Baidu Inc., Senior Unsecured Notes, 4.875% due 11/14/28 | | | | $ | 226,731 | | |
| | | 600,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 634,878 | | |
| | | 1,200,000 | | | | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25 | | | | | 1,241,676 | | |
| | | | | | | C&W Senior Financing DAC, Senior Unsecured Notes: | | ||||||
| | | 600,000 | | | | 7.500% due 10/15/26(b) | | | | | 650,880 | | |
| | | 1,600,000 | | | | 6.875% due 9/15/27 | | | | | 1,703,824 | | |
| | | | | | | CBS Corp., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 3.375% due 3/1/22 | | | | | 102,727 | | |
| | | 100,000 | | | | 5.900% due 10/15/40 | | | | | 126,899 | | |
| | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | ||||||
| | | 555,000 | | | | 5.750% due 2/15/26(b) | | | | | 587,606 | | |
| | | 125,000 | | | | 5.000% due 2/1/28(b) | | | | | 131,250 | | |
| | | 165,000 | | | | Cengage Learning Inc., Senior Unsecured Notes, 9.500% due 6/15/24(b) | | | | | 152,625 | | |
| | | 350,000 | | | | Charter Communications Operating LLC / Charter Communications Operating Capital, Senior Secured Notes, 5.050% due 3/30/29 | | | | | 395,671 | | |
| | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | |||||
| | | 490,000 | | | | 4.464% due 7/23/22 | | | | | 517,742 | | |
| | | 250,000 | | | | 4.908% due 7/23/25 | | | | | 276,296 | | |
| | | 250,000 | | | | 6.484% due 10/23/45 | | | | | 309,135 | | |
| | | 195,000 | | | | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(b) | | | | | 177,937 | | |
| | | | | | | Cisco Systems Inc., Senior Unsecured Notes: | | ||||||
| | | 150,000 | | | | 2.200% due 9/20/23 | | | | | 152,274 | | |
| | | 100,000 | | | | 3.625% due 3/4/24 | | | | | 107,986 | | |
| | | 100,000 | | | | 5.500% due 1/15/40 | | | | | 140,289 | | |
| | | | | | | Clear Channel Worldwide Holdings Inc.: | | ||||||
| | | 126,000 | | | | Company Guaranteed Notes, 9.250% due 2/15/24(b) | | | | | 138,127 | | |
| | | 160,000 | | | | Senior Secured Notes, 5.125% due 8/15/27(b) | | | | | 167,400 | | |
| | | 200,000 | | | | Colombia Telecomunicaciones SA ESP, Junior Subordinated Notes, 8.500% (5-Year USD Swap Rate + 6.958%)(a)(e) | | | | | 205,502 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.000% due 2/1/24 | | | | | 259,960 | | |
| | | 250,000 | | | | 3.300% due 2/1/27 | | | | | 266,143 | | |
| | | 500,000 | | | | 4.150% due 10/15/28 | | | | | 567,279 | | |
| | | 150,000 | | | | 4.400% due 8/15/35 | | | | | 176,768 | | |
| | | 400,000 | | | | 3.400% due 7/15/46 | | | | | 416,264 | | |
| | | 870,000 | | | | 4.700% due 10/15/48 | | | | | 1,088,525 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 3.999% due 11/1/49 | | | | $ | 113,131 | | |
| | | | | | | CommScope Inc., Senior Secured Notes: | | ||||||
| | | 105,000 | | | | 5.500% due 3/1/24(b) | | | | | 106,444 | | |
| | | 100,000 | | | | 6.000% due 3/1/26(b) | | | | | 101,850 | | |
| | | 500,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 516,875 | | |
| | | | | | | CSC Holdings LLC: | | ||||||
| | | 215,000 | | | | Company Guaranteed Notes, 5.375% due 7/15/23(b) | | | | | 220,968 | | |
| | | 345,000 | | | | Senior Unsecured Notes, 5.250% due 6/1/24 | | | | | 369,150 | | |
| | | 175,000 | | | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 5.375% due 8/15/26(b) | | | | | 183,750 | | |
| | | 502,138 | | | | Digicel Group Two Ltd., Senior Unsecured Notes, 9.125% due 4/1/24(b)(f) | | | | | 37,660 | | |
| | | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 2.950% due 3/20/23 | | | | | 204,155 | | |
| | | 400,000 | | | | 3.800% due 3/13/24 | | | | | 419,743 | | |
| | | 350,000 | | | | 4.125% due 5/15/29 | | | | | 374,478 | | |
| | | 120,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 5.875% due 11/15/24 | | | | | 114,156 | | |
| | | 100,000 | | | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | | | 98,979 | | |
| | | 195,000 | | | | Embarq Corp., Senior Unsecured Notes, 7.995% due 6/1/36 | | | | | 191,170 | | |
| | | 800,000 | | | | Empresa Nacional de Telecomunicaciones SA, Senior Unsecured Notes, 4.750% due 8/1/26 | | | | | 845,876 | | |
| | | 900,000 | | | | Expedia Group Inc., Company Guaranteed Notes, 3.800% due 2/15/28 | | | | | 953,566 | | |
| | | | | | | Frontier Communications Corp.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 45,000 | | | | 8.500% due 4/15/20 | | | | | 27,900 | | |
| | | 100,000 | | | | 7.125% due 1/15/23 | | | | | 51,000 | | |
| | | 80,000 | | | | Secured Notes, 8.500% due 4/1/26(b) | | | | | 77,800 | | |
| | | 125,000 | | | | Senior Secured Notes, 8.000% due 4/1/27(b) | | | | | 130,313 | | |
| | | 190,000 | | | | Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., Senior Secured Notes, 9.875% due 5/1/24(b) | | | | | 198,313 | | |
| | | | | | | Gray Television Inc.: | | ||||||
| | | 65,000 | | | | Company Guaranteed Notes, 5.125% due 10/15/24(b) | | | | | 67,113 | | |
| | | 190,000 | | | | Senior Unsecured Notes, 7.000% due 5/15/27(b) | | | | | 207,755 | | |
| | | 135,000 | | | | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(b) | | | | | 141,075 | | |
| | | 250,000 | | | | Grupo Televisa SAB, Senior Unsecured Notes, 4.625% due 1/30/26 | | | | | 268,807 | | |
| | | 140,000 | | | | GTT Communications Inc., Company Guaranteed Notes, 7.875% due 12/31/24(b) | | | | | 88,200 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | | | | | iHeartCommunications Inc.: | | ||||||
| | | | | | | Senior Secured Notes: | | | | | | | |
| | $ | 45,000 | | | | 6.375% due 5/1/26 | | | | $ | 48,600 | | |
| | | 105,000 | | | | 5.250% due 8/15/27(b) | | | | | 110,400 | | |
| | | 25,000 | | | | Company Guaranteed Notes, 8.375% due 5/1/27 | | | | | 26,969 | | |
| | | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | ||||||
| | | 65,000 | | | | 5.500% due 8/1/23 | | | | | 59,150 | | |
| | | 210,000 | | | | 8.500% due 10/15/24(b) | | | | | 208,425 | | |
| | | 270,000 | | | | Iridium Communications Inc., Senior Unsecured Notes, 10.250% due 4/15/23(b) | | | | | 292,950 | | |
| | | 320,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 1/15/24 | | | | | 325,600 | | |
| | | 255,000 | | | | Match Group Inc., Senior Unsecured Notes, 5.000% due 12/15/27(b) | | | | | 267,750 | | |
| | | | | | | Millicom International Cellular SA, Senior Unsecured Notes: | | ||||||
| | | 400,000 | | | | 6.000% due 3/15/25 | | | | | 415,500 | | |
| | | 200,000 | | | | 6.625% due 10/15/26(b) | | | | | 218,000 | | |
| | | 600,000 | | | | 5.125% due 1/15/28 | | | | | 622,500 | | |
| | | 700,000 | | | | 6.250% due 3/25/29(b) | | | | | 761,313 | | |
| | | | | | | Netflix Inc., Senior Unsecured Notes: | | ||||||
| | | 140,000 | | | | 5.875% due 2/15/25 | | | | | 154,525 | | |
| | | 75,000 | | | | 5.375% due 11/15/29(b) | | | | | 81,563 | | |
| | | 100,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.600% due 4/15/26 | | | | | 106,196 | | |
| | | 250,000 | | | | Orange SA, Senior Unsecured Notes, 9.000% due 3/1/31 | | | | | 395,667 | | |
| | | 180,000 | | | | Radiate Holdco LLC/Radiate Finance Inc., Senior Unsecured Notes, 6.875% due 2/15/23(b) | | | | | 183,600 | | |
| | | 100,000 | | | | Rogers Communications Inc., Company Guaranteed Notes, 5.000% due 3/15/44 | | | | | 124,738 | | |
| | | 155,000 | | | | Scripps Escrow Inc., Senior Unsecured Notes, 5.875% due 7/15/27(b) | | | | | 156,356 | | |
| | | 600,000 | | | | SingTel Group Treasury Pte Ltd., Company Guaranteed Notes, 4.500% due 9/8/21 | | | | | 626,677 | | |
| | | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | ||||||
| | | 225,000 | | | | 5.375% due 7/15/26(b) | | | | | 237,656 | | |
| | | 110,000 | | | | 5.500% due 7/1/29(b) | | | | | 119,868 | | |
| | | 415,000 | | | | Sprint Capital Corp., Company Guaranteed Notes, 6.875% due 11/15/28 | | | | | 460,131 | | |
| | | 395,000 | | | | Sprint Corp., Company Guaranteed Notes, 7.125% due 6/15/24 | | | | | 436,657 | | |
| | | 1,000,000 | | | | Telecom Argentina SA, Senior Unsecured Notes, 8.000% due 7/18/26(b) | | | | | 795,000 | | |
| | | 250,000 | | | | Telefonica Celular del Paraguay SA, Senior Unsecured Notes, 5.875% due 4/15/27(b) | | | | �� | 265,313 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | $ | 206,492 | | |
| | | | | | | Telefonica Emisiones SA, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.103% due 3/8/27 | | | | | 273,613 | | |
| | | 200,000 | | | | 5.213% due 3/8/47 | | | | | 232,958 | | |
| | | 260,000 | | | | Telesat Canada/Telesat LLC, Company Guaranteed Notes, 8.875% due 11/15/24(b) | | | | | 281,286 | | |
| | | 300,000 | | | | TELUS Corp., Senior Unsecured Notes, 3.700% due 9/15/27 | | | | | 323,082 | | |
| | | | | | | Time Warner Cable LLC, Senior Secured Notes: | | ||||||
| | | 150,000 | | | | 4.000% due 9/1/21 | | | | | 153,819 | | |
| | | 150,000 | | | | 7.300% due 7/1/38 | | | | | 192,418 | | |
| | | 150,000 | | | | 4.500% due 9/15/42 | | | | | 150,573 | | |
| | | 500,000 | | | | T-Mobile USA Inc., Company Guaranteed Notes, 4.500% due 2/1/26 | | | | | 518,750 | | |
| | | | | | | TWDC Enterprises 18 Corp., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 2.450% due 3/4/22 | | | | | 509,175 | | |
| | | 125,000 | | | | 3.150% due 9/17/25 | | | | | 134,147 | | |
| | | 155,000 | | | | Uber Technologies Inc., Company Guaranteed Notes, 8.000% due 11/1/26(b) | | | | | 163,041 | | |
| | | 45,000 | | | | Univision Communications Inc., Senior Secured Notes, 5.125% due 5/15/23(b) | | | | | 44,438 | | |
| | | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | |||||
| | | 493,000 | | | | 4.329% due 9/21/28 | | | | | 566,296 | | |
| | | 530,000 | | | | 4.016% due 12/3/29(b) | | | | | 598,633 | | |
| | | 285,000 | | | | 4.272% due 1/15/36 | | | | | 327,220 | | |
| | | 500,000 | | | | 5.250% due 3/16/37 | | | | | 633,508 | | |
| | | 500,000 | | | | 5.012% due 4/15/49 | | | | | 639,169 | | |
| | | 40,000 | | | | 4.672% due 3/15/55 | | | | | 49,267 | | |
| | | 200,000 | | | | Viacom Inc., Senior Unsecured Notes, 5.850% due 9/1/43 | | | | | 250,242 | | |
| | | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 4.375% due 5/30/28 | | | | | 392,636 | | |
| | | 250,000 | | | | 4.375% due 2/19/43 | | | | | 267,021 | | |
| | | | | | | VTR Finance BV, Senior Secured Notes: | | ||||||
| | | 1,263,000 | | | | 6.875% due 1/15/24 | | | | | 1,304,048 | | |
| | | 270,000 | | | | 6.875% due 1/15/24(b) | | | | | 278,775 | | |
| | | | | | | Walt Disney Co., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.375% due 11/15/26(b) | | | | | 270,047 | | |
| | | 250,000 | | | | 4.750% due 11/15/46(b) | | | | | 328,275 | | |
| | | | | | | Total Communications | | | | | 41,415,594 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – 1.3% | | ||||||||||||
| | $ | 380,000 | | | | 1011778 BC ULC/New Red Finance Inc., Secured Notes, 5.000% due 10/15/25(b) | | | | $ | 392,350 | | |
| | | 330,000 | | | | Allison Transmission Inc., Senior Unsecured Notes, 5.000% due 10/1/24(b) | | | | | 339,520 | | |
| | | 130,000 | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.250% due 3/15/26 | | | | | 120,575 | | |
| | | 500,000 | | | | American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24 | | | | | 518,525 | | |
| | | 305,000 | | | | Aramark Services Inc., Company Guaranteed Notes, 5.000% due 4/1/25(b) | | | | | 315,111 | | |
| | | 365,000 | | | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(b) | | | | | 359,981 | | |
| | | 370,000 | | | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(b) | | | | | 403,762 | | |
| | | 215,000 | | | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(b) | | | | | 218,762 | | |
| | | 125,000 | | | | Carvana Co., Company Guaranteed Notes, 8.875% due 10/1/23(b) | | | | | 128,750 | | |
| | | 280,000 | | | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29(b) | | | | | 303,800 | | |
| | | 115,000 | | | | Century Communities Inc., Senior Unsecured Notes, 6.750% due 6/1/27(b) | | | | | 121,900 | | |
| | | 140,000 | | | | Constellation Merger Sub Inc., Senior Unsecured Notes, 8.500% due 9/15/25(b) | | | | | 119,000 | | |
| | | 700,000 | | | | Controladora Mabe SA de CV, Company Guaranteed Notes, 5.600% due 10/23/28 | | | | | 744,625 | | |
| | | 235,000 | | | | Dana Financing Luxembourg SARL, Company Guaranteed Notes, 5.750% due 4/15/25(b) | | | | | 239,700 | | |
| | | 705,000 | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | | | 725,573 | | |
| | | 575,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 4.000% due 5/15/25 | | | | | 607,841 | | |
| | | 200,000 | | | | eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(b) | | | | | 193,000 | | |
| | | 180,000 | | | | Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25 | | | | | 190,800 | | |
| | | 250,000 | | | | Ford Motor Co., Senior Unsecured Notes, 5.291% due 12/8/46 | | | | | 240,861 | | |
| | | 500,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.810% due 1/9/24 | | | | | 504,253 | | |
| | | | | | | General Motors Co., Senior Unsecured Notes: | | ||||||
| | | 205,000 | | | | 3.009% (3-Month USD-LIBOR + 0.800%) due 8/7/20(a) | | | | | 205,270 | | |
| | | 100,000 | | | | 6.750% due 4/1/46 | | | | | 119,025 | | |
| | | | | | | General Motors Financial Co., Inc.: | | ||||||
| | | | | | | Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.450% due 1/14/22 | | | | | 509,554 | | |
| | | 810,000 | | | | 3.279% (3-Month USD-LIBOR + 0.990%) due 1/5/23(a) | | | | | 800,840 | | |
| | | 415,000 | | | | 3.950% due 4/13/24 | | | | | 429,384 | | |
| | | 500,000 | | | | 4.350% due 1/17/27 | | | | | 518,132 | | |
| | | 150,000 | | | | Senior Unsecured Notes, 5.650% due 1/17/29 | | | | | 167,827 | | |
| | | 1,500,000 | | | | Gohl Capital Ltd., Company Guaranteed Notes, 4.250% due 1/24/27 | | | | | 1,585,429 | | |
| | | 105,000 | | | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(b) | | | | | 109,211 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 340,000 | | | | Golden Nugget Inc., Senior Unsecured Notes, 6.750% due 10/15/24(b) | | | | $ | 347,650 | | |
| | | 640,000 | | | | Hasbro Inc., Senior Unsecured Notes, 3.500% due 9/15/27 | | | | | 652,857 | | |
| | | 510,000 | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 4.250% due 9/1/24 | | | | | 520,200 | | |
| | | | | | | Home Depot Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.625% due 6/1/22 | | | | | 255,993 | | |
| | | 250,000 | | | | 2.125% due 9/15/26 | | | | | 251,223 | | |
| | | 565,000 | | | | 3.900% due 6/15/47 | | | | | 655,727 | | |
| | | 250,000 | | | | 3.500% due 9/15/56 | | | | | 272,182 | | |
| | | 210,000 | | | | IAA Inc., Senior Unsecured Notes, 5.500% due 6/15/27(b) | | | | | 223,650 | | |
| | | 240,000 | | | | IRB Holding Corp., Company Guaranteed Notes, 6.750% due 2/15/26(b) | | | | | 241,200 | | |
| | | 255,000 | | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(b) | | | | | 262,650 | | |
| | | | | | | Latam Finance Ltd., Company Guaranteed Notes: | | ||||||
| | | 400,000 | | | | 6.875% due 4/11/24 | | | | | 415,004 | | |
| | | 600,000 | | | | 7.000% due 3/1/26(b) | | | | | 623,256 | | |
| | | 235,000 | | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 6.375% due 2/1/24(b) | | | | | 248,205 | | |
| | | 310,000 | | | | Live Nation Entertainment Inc., Company Guaranteed Notes, 5.625% due 3/15/26(b) | | | | | 330,538 | | |
| | | 250,000 | | | | Lowe’s Cos. Inc., Senior Unsecured Notes, 3.700% due 4/15/46 | | | | | 255,219 | | |
| | | 330,000 | | | | LTF Merger Sub Inc., Company Guaranteed Notes, 8.500% due 6/15/23(b) | | | | | 337,838 | | |
| | | 18,000 | | | | Macy’s Retail Holdings Inc., Company Guaranteed Notes, 4.500% due 12/15/34 | | | | | 16,536 | | |
| | | 210,000 | | | | Marriott Ownership Resorts Inc./ILG LLC, Company Guaranteed Notes, 6.500% due 9/15/26 | | | | | 226,632 | | |
| | | | | | | McDonald’s Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.500% due 3/1/27 | | | | | 269,651 | | |
| | | 75,000 | | | | 4.875% due 12/9/45 | | | | | 92,462 | | |
| | | 250,000 | | | | 4.450% due 3/1/47 | | | | | 293,769 | | |
| | | 115,000 | | | | MGM Resorts International, Company Guaranteed Notes, 5.750% due 6/15/25 | | | | | 126,647 | | |
| | | 97,000 | | | | Newell Brands Inc., Senior Unsecured Notes, 5.375% due 4/1/36 | | | | | 103,859 | | |
| | | 300,000 | | | | Nordstrom Inc., Senior Unsecured Notes, 4.000% due 3/15/27 | | | | | 306,111 | | |
| | | | | | | Panther BF Aggregator 2 LP/Panther Finance Co., Inc.: | | ||||||
| | | 80,000 | | | | Company Guaranteed Notes, 8.500% due 5/15/27(b) | | | | | 78,000 | | |
| | | 195,000 | | | | Senior Secured Notes, 6.250% due 5/15/26(b) | | | | | 202,312 | | |
| | | 230,000 | | | | Penn National Gaming Inc., Senior Unsecured Notes, 5.625% due 1/15/27(b) | | | | | 236,061 | | |
| | | | | | | PetSmart Inc.: | | ||||||
| | | 130,000 | | | | Company Guaranteed Notes, 7.125% due 3/15/23(b) | | | | | 120,900 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Cyclical – (continued) | | ||||||||||||
| | $ | 76,000 | | | | Senior Secured Notes, 5.875% due 6/1/25(b) | | | | $ | 74,480 | | |
| | | 225,000 | | | | Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(b) | | | | | 239,063 | | |
| | | 400,000 | | | | SACI Falabella, Senior Unsecured Notes, 3.750% due 4/30/23 | | | | | 411,015 | | |
| | | 200,000 | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | | | 230,883 | | |
| | | | | | | Scientific Games International Inc.: | | ||||||
| | | 125,000 | | | | Company Guaranteed Notes, 8.250% due 3/15/26(b) | | | | | 132,500 | | |
| | | 200,000 | | | | Senior Secured Notes, 5.000% due 10/15/25(b) | | | | | 206,648 | | |
| | | 280,000 | | | | Six Flags Entertainment Corp., Company Guaranteed Notes, 4.875% due 7/31/24(b) | | | | | 289,800 | | |
| | | 195,000 | | | | Staples Inc., Senior Secured Notes, 7.500% due 4/15/26(b) | | | | | 196,950 | | |
| | | 150,000 | | | | Starbucks Corp., Senior Unsecured Notes, 3.550% due 8/15/29 | | | | | 164,127 | | |
| | | 235,000 | | | | Stars Group Holdings BV/Stars Group US Co.-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(b) | | | | | 249,394 | | |
| | | 225,000 | | | | Superior Plus LP/Superior General Partner Inc., Senior Unsecured Notes, 7.000% due 7/15/26(b) | | | | | 235,688 | | |
| | | | | | | Target Corp., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 2.900% due 1/15/22 | | | | | 103,053 | | |
| | | 125,000 | | | | 3.500% due 7/1/24 | | | | | 134,576 | | |
| | | 100,000 | | | | 3.900% due 11/15/47 | | | | | 118,119 | | |
| | | 320,000 | | | | Tempur Sealy International Inc., Company Guaranteed Notes, 5.500% due 6/15/26 | | | | | 334,400 | | |
| | | 750,000 | | | | Toyota Motor Corp., Senior Unsecured Notes, 3.419% due 7/20/23 | | | | | 796,662 | | |
| | | 150,000 | | | | Twin River Worldwide Holdings Inc., Senior Unsecured Notes, 6.750% due 6/1/27(b) | | | | | 158,063 | | |
| | | 355,000 | | | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(b) | | | | | 368,312 | | |
| | | 500,000 | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | | | 519,202 | | |
| | | | | | | Walmart Inc., Senior Unsecured Notes: | | | |||||
| | | 150,000 | | | | 3.125% due 6/23/21 | | | | | 153,669 | | |
| | | 250,000 | | | | 2.550% due 4/11/23 | | | | | 256,479 | | |
| | | 250,000 | | | | 3.300% due 4/22/24 | | | | | 265,339 | | |
| | | 250,000 | | | | 4.300% due 4/22/44 | | | | | 312,881 | | |
| | | 250,000 | | | | 4.050% due 6/29/48 | | | | | 311,291 | | |
| | | 245,000 | | | | William Carter Co., Company Guaranteed Notes, 5.625% due 3/15/27(b) | | | | | 260,920 | | |
| | | 100,000 | | | | WW Grainger Inc., Senior Unsecured Notes, 4.200% due 5/15/47 | | | | | 114,549 | | |
| | | | | | | Total Consumer Cyclical | | | | | 25,837,756 | | |
| Consumer Non-cyclical – 3.0% | | ||||||||||||
| | | | | | | Abbott Laboratories, Senior Unsecured Notes: | | ||||||
| | | 140,000 | | | | 3.750% due 11/30/26 | | | | | 154,054 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 4.900% due 11/30/46 | | | | $ | 334,173 | | |
| | | | | | | AbbVie Inc., Senior Unsecured Notes: | | ||||||
| | | 520,000 | | | | 3.200% due 11/6/22 | | | | | 532,700 | | |
| | | 350,000 | | | | 2.850% due 5/14/23 | | | | | 356,676 | | |
| | | 475,000 | | | | 4.450% due 5/14/46 | | | | | 499,079 | | |
| | | 400,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.950% due 1/19/22 | | | | | 411,000 | | |
| | | 100,000 | | | | Aetna Inc., Senior Unsecured Notes, 3.875% due 8/15/47 | | | | | 99,764 | | |
| | | 150,000 | | | | Air Medical Group Holdings Inc., Senior Unsecured Notes, 6.375% due 5/15/23(b) | | | | | 131,437 | | |
| | | 280,000 | | | | Albertsons Cos LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes, 5.875% due 2/15/28(b) | | | | | 295,081 | | |
| | | 100,000 | | | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | | | 102,204 | | |
| | | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | ||||||
| | | 290,000 | | | | 3.850% due 6/15/24 | | | | | 306,249 | | |
| | | 405,000 | | | | 3.800% due 3/15/25 | | | | | 426,089 | | |
| | | 100,000 | | | | 4.550% due 3/15/35 | | | | | 107,574 | | |
| | | 84,000 | | | | 4.750% due 3/15/45 | | | | | 92,133 | | |
| | | | | | | Altria Group Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.800% due 2/14/29 | | | | | 283,089 | | |
| | | 250,000 | | | | 3.875% due 9/16/46 | | | | | 245,559 | | |
| | | 555,000 | | | | 5.950% due 2/14/49 | | | | | 712,555 | | |
| | | | | | | Amgen Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.600% due 8/19/26 | | | | | 505,810 | | |
| | | 150,000 | | | | 4.950% due 10/1/41 | | | | | 180,954 | | |
| | | 50,000 | | | | 4.663% due 6/15/51 | | | | | 59,585 | | |
| | | | | | | Anheuser-Busch Cos LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 63,000 | | | | 3.650% due 2/1/26 | | | | | 67,697 | | |
| | | 450,000 | | | | 4.700% due 2/1/36 | | | | | 523,816 | | |
| | | 269,000 | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23 | | | | | 280,069 | | |
| | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | |||||
| | | 200,000 | | | | 4.000% due 4/13/28 | | | | | 221,728 | | |
| | | 350,000 | | | | 4.950% due 1/15/42 | | | | | 416,196 | | |
| | | 200,000 | | | | 3.750% due 7/15/42 | | | | | 206,014 | | |
| | | 150,000 | | | | 4.600% due 4/15/48 | | | | | 174,371 | | |
| | | 645,000 | | | | 5.550% due 1/23/49 | | | | | 849,664 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Anthem Inc., Senior Unsecured Notes: | | | |||||
| | $ | 1,295,000 | | | | 3.300% due 1/15/23 | | | | $ | 1,337,546 | | |
| | | 100,000 | | | | 4.650% due 1/15/43 | | | | | 112,714 | | |
| | | 200,000 | | | | 4.375% due 12/1/47 | | | | | 224,380 | | |
| | | 120,000 | | | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(b) | | | | | 80,700 | | |
| | | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | |||||
| | | 575,000 | | | | 2.375% due 6/12/22 | | | | | 579,598 | | |
| | | 350,000 | | | | 3.375% due 11/16/25 | | | | | 371,162 | | |
| | | 100,000 | | | | 4.375% due 11/16/45 | | | | | 119,558 | | |
| | | 320,000 | | | | Avantor Inc., Senior Unsecured Notes, 9.000% due 10/1/25(b) | | | | | 360,000 | | |
| | | 205,000 | | | | B&G Foods Inc., Company Guaranteed Notes, 5.250% due 4/1/25 | | | | | 207,880 | | |
| | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 3.222% due 8/15/24 | | | | | 102,866 | | |
| | | 200,000 | | | | 3.557% due 8/15/27 | | | | | 204,960 | | |
| | | | | | | Bausch Health Cos. Inc.: | | ||||||
| | | | | | | Company Guaranteed Notes: | | ||||||
| | | 235,000 | | | | 7.000% due 1/15/28(b) | | | | | 246,264 | | |
| | | 235,000 | | | | 7.250% due 5/30/29(b) | | | | | 248,512 | | |
| | | | | | | Senior Secured Notes: | | ||||||
| | | 65,000 | | | | 7.000% due 3/15/24(b) | | | | | 68,650 | | |
| | | 110,000 | | | | 5.750% due 8/15/27(b) | | | | | 117,975 | | |
| | | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | ||||||
| | | 1,280,000 | | | | 2.894% due 6/6/22 | | | | | 1,301,115 | | |
| | | 200,000 | | | | 3.363% due 6/6/24 | | | | | 208,542 | | |
| | | 163,000 | | | | 3.700% due 6/6/27 | | | | | 174,620 | | |
| | | 100,000 | | | | Biogen Inc., Senior Unsecured Notes, 5.200% due 9/15/45 | | | | | 120,506 | | |
| | | 350,000 | | | | Boston Scientific Corp., Senior Unsecured Notes, 4.000% due 3/1/28 | | | | | 385,259 | | |
| | | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.250% due 2/27/27 | | | | | 268,088 | | |
| | | 500,000 | | | | 3.400% due 7/26/29(b) | | | | | 541,258 | | |
| | | 250,000 | | | | Campbell Soup Co., Senior Unsecured Notes, 3.950% due 3/15/25 | | | | | 264,670 | | |
| | | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | |||||
| | | 1,140,000 | | | | 3.410% due 6/15/27 | | | | | 1,155,695 | | |
| | | 150,000 | | | | 4.368% due 6/15/47 | | | | | 145,039 | | |
| | | 205,000 | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 5.000% due 7/15/27(b) | | | | | 214,760 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | Celgene Corp., Senior Unsecured Notes: | | | |||||
| | $ | 100,000 | | | | 2.750% due 2/15/23 | | | | $ | 102,132 | | |
| | | 500,000 | | | | 3.875% due 8/15/25 | | | | | 542,806 | | |
| | | 100,000 | | | | 5.000% due 8/15/45 | | | | | 127,283 | | |
| | | 1,180,000 | | | | 4.350% due 11/15/47 | | | | | 1,424,776 | | |
| | | | | | | Centene Corp., Senior Unsecured Notes: | | | |||||
| | | 310,000 | | | | 4.750% due 1/15/25 | | | | | 321,625 | | |
| | | 140,000 | | | | 5.375% due 6/1/26(b) | | | | | 149,667 | | |
| | | 200,000 | | | | Children’s Hospital Corp., Company Guaranteed Notes, 4.115% due 1/1/47 | | | | | 244,671 | | |
| | | | | | | Cigna Corp., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.400% due 9/17/21 | | | | | 511,896 | | |
| | | 595,000 | | | | 3.193% (3-Month USD-LIBOR + 0.890%) due 7/15/23(a) | | | | | 595,951 | | |
| | | 675,000 | | | | 4.900% due 12/15/48 | | | | | 798,789 | | |
| | | 300,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 306,569 | | |
| | | 250,000 | | | | Coca-Cola Co., Senior Unsecured Notes, 2.200% due 5/25/22 | | | | | 252,912 | | |
| | | | | | | CommonSpirit Health, Senior Secured Notes: | | ||||||
| | | 36,000 | | | | 3.817% due 10/1/49 | | | | | 37,338 | | |
| | | 13,000 | | | | 4.187% due 10/1/49 | | | | | 13,903 | | |
| | | 250,000 | | | | Conagra Brands Inc., Senior Unsecured Notes, 4.850% due 11/1/28 | | | | | 286,381 | | |
| | | 350,000 | | | | Constellation Brands Inc., Company Guaranteed Notes, 2.700% due 5/9/22 | | | | | 354,919 | | |
| | | 230,000 | | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(b) | | | | | 239,782 | | |
| | | | | | | CVS Health Corp., Senior Unsecured Notes: | | | |||||
| | | 125,000 | | | | 2.125% due 6/1/21 | | | | | 125,134 | | |
| | | 100,000 | | | | 3.500% due 7/20/22 | | | | | 103,580 | | |
| | | 1,275,000 | | | | 3.700% due 3/9/23 | | | | | 1,333,264 | | |
| | | 150,000 | | | | 4.100% due 3/25/25 | | | | | 160,475 | | |
| | | 350,000 | | | | 2.875% due 6/1/26 | | | | | 352,198 | | |
| | | 250,000 | | | | 4.300% due 3/25/28 | | | | | 272,885 | | |
| | | 250,000 | | | | 4.780% due 3/25/38 | | | | | 280,341 | | |
| | | 250,000 | | | | 5.050% due 3/25/48 | | | | | 291,290 | | |
| | | 138,000 | | | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | | | 166,680 | | |
| | | 180,000 | | | | Eagle Holding Co. II LLC, Unsecured Notes, 7.750% due 5/15/22(b)(f) | | | | | 182,025 | | |
| | | 250,000 | | | | Eli Lilly & Co., Senior Unsecured Notes, 3.950% due 3/15/49 | | | | | 292,606 | | |
| | | 619,000 | | | | Embotelladora Andina SA, Senior Unsecured Notes, 5.000% due 10/1/23 | | | | | 663,904 | | |
| | | 459,605 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 472,823 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 15,000 | | | | Envision Healthcare Corp., Company Guaranteed Notes, 8.750% due 10/15/26(b) | | | | $ | 8,175 | | |
| | | 100,000 | | | | Estee Lauder Cos. Inc., Senior Unsecured Notes, 4.150% due 3/15/47 | | | | | 121,799 | | |
| | | 250,000 | | | | Express Scripts Holding Co., Company Guaranteed Notes, 4.800% due 7/15/46 | | | | | 285,937 | | |
| | | 220,000 | | | | Garda World Security Corp., Senior Unsecured Notes, 8.750% due 5/15/25(b) | | | | | 226,939 | | |
| | | 200,000 | | | | General Mills Inc., Senior Unsecured Notes, 4.700% due 4/17/48 | | | | | 236,793 | | |
| | | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | |||||
| | | 350,000 | | | | 2.950% due 3/1/27 | | | | | 363,877 | | |
| | | 250,000 | | | | 4.150% due 3/1/47 | | | | | 282,846 | | |
| | | 500,000 | | | | GlaxoSmithKline Capital Inc., Company Guaranteed Notes, 3.625% due 5/15/25 | | | | | 537,781 | | |
| | | 600,000 | | | | Grupo Bimbo SAB de CV, Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%)(a)(e) | | | | | 628,506 | | |
| | | 135,000 | | | | HCA Healthcare Inc., Senior Unsecured Notes, 6.250% due 2/15/21 | | | | | 141,804 | | |
| | | | | | | HCA Inc.: | | ||||||
| | | | | | | Company Guaranteed Notes: | | ||||||
| | | 515,000 | | | | 5.375% due 9/1/26 | | | | | 574,225 | | |
| | | 20,000 | | | | 5.875% due 2/1/29 | | | | | 23,025 | | |
| | | | | | | Senior Secured Notes: | | ||||||
| | | 65,000 | | | | 5.250% due 4/15/25 | | | | | 72,548 | | |
| | | 635,000 | | | | 4.125% due 6/15/29 | | | | | 676,605 | | |
| | | 55,000 | | | | H-Food Holdings LLC/Hearthside Finance Co. Inc., Senior Unsecured Notes, 8.500% due 6/1/26(b) | | | | | 42,350 | | |
| | | 200,000 | | | | Horizon Pharma USA Inc., Company Guaranteed Notes, 5.500% due 8/1/27(b) | | | | | 208,500 | | |
| | | 100,000 | | | | Huntington Bancshares Inc., Senior Unsecured Notes, 4.800% due 3/15/47 | | | | | 117,532 | | |
| | | | | | | JBS Investments II GmbH, Company Guaranteed Notes: | | ||||||
| | | 1,100,000 | | | | 7.000% due 1/15/26(b) | | | | | 1,189,375 | | |
| | | 400,000 | | | | 5.750% due 1/15/28(b) | | | | | 420,000 | | |
| | | | | | | JBS USA LUX SA/JBS USA Finance Inc., Company Guaranteed Notes: | | ||||||
| | | 40,000 | | | | 5.875% due 7/15/24(b) | | | | | 41,050 | | |
| | | 30,000 | | | | 5.750% due 6/15/25(b) | | | | | 31,200 | | |
| | | 175,000 | | | | 6.750% due 2/15/28(b) | | | | | 195,125 | | |
| | | | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc.: | | ||||||
| | | 165,000 | | | | Company Guaranteed Notes, 6.500% due 4/15/29(b) | | | | | 182,738 | | |
| | | 90,000 | | | | Senior Unsecured Notes, 5.500% due 1/15/30(b) | | | | | 95,400 | | |
| | | | | | | Johnson & Johnson, Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.250% due 3/3/22 | | | | | 253,227 | | |
| | | 150,000 | | | | 2.950% due 3/3/27 | | | | | 159,232 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 3.625% due 3/3/37 | | | | $ | 281,660 | | |
| | | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.597% due 5/25/28 | | | | | 282,440 | | |
| | | 100,000 | | | | 5.085% due 5/25/48 | | | | | 120,397 | | |
| | | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.000% due 6/1/26 | | | | | 491,762 | | |
| | | 250,000 | | | | 5.200% due 7/15/45 | | | | | 263,771 | | |
| | | 200,000 | | | | Kroger Co., Senior Unsecured Notes, 4.450% due 2/1/47 | | | | | 209,279 | | |
| | | 80,000 | | | | Kronos Acquisition Holdings Inc., Company Guaranteed Notes, 9.000% due 8/15/23(b) | | | | | 70,600 | | |
| | | 1,325,000 | | | | Laboratory Corp. of America Holdings, Senior Unsecured Notes, 3.600% due 2/1/25 | | | | | 1,392,918 | | |
| | | | | | | MARB BondCo PLC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 7.000% due 3/15/24(b) | | | | | 511,255 | | |
| | | 200,000 | | | | 7.000% due 3/15/24 | | | | | 204,502 | | |
| | | 900,000 | | | | 6.875% due 1/19/25 | | | | | 915,327 | | |
| | | 250,000 | | | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | | | 271,602 | | |
| | | | | | | Medtronic Inc., Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.150% due 3/15/22 | | | | | 516,996 | | |
| | | 125,000 | | | | 4.625% due 3/15/45 | | | | | 162,315 | | |
| | | 250,000 | | | | Merck & Co., Inc., Senior Unsecured Notes, 3.700% due 2/10/45 | | | | | 286,230 | | |
| | | | | | | Minerva Luxembourg SA, Company Guaranteed Notes: | | ||||||
| | | 800,000 | | | | 6.500% due 9/20/26 | | | | | 828,000 | | |
| | | 1,000,000 | | | | 5.875% due 1/19/28 | | | | | 993,760 | | |
| | | 150,000 | | | | Molson Coors Brewing Co., Company Guaranteed Notes, 4.200% due 7/15/46 | | | | | 152,678 | | |
| | | 300,000 | | | | Moody’s Corp., Senior Unsecured Notes, 2.750% due 12/15/21 | | | | | 304,060 | | |
| | | 250,000 | | | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(b) | | | | | 223,453 | | |
| | | | | | | Mylan NV, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 3.150% due 6/15/21 | | | | | 252,952 | | |
| | | 125,000 | | | | 5.250% due 6/15/46 | | | | | 136,978 | | |
| | | 250,000 | | | | NBM US Holdings Inc., Company Guaranteed Notes, 7.000% due 5/14/26(b) | | | | | 255,295 | | |
| | | 10,000 | | | | Northwell Healthcare Inc., Secured Notes, 4.260% due 11/1/47 | | | | | 11,680 | | |
| | | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 2.400% due 5/17/22 | | | | | 254,065 | | |
| | | 150,000 | | | | 3.100% due 5/17/27 | | | | | 161,322 | | |
| | | 95,000 | | | | NVA Holdings Inc., Company Guaranteed Notes, 6.875% due 4/1/26(b) | | | | | 101,441 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | | | | | | PepsiCo Inc., Senior Unsecured Notes: | | ||||||
| | $ | 500,000 | | | | 2.750% due 3/5/22 | | | | $ | 513,800 | | |
| | | 150,000 | | | | 2.375% due 10/6/26 | | | | | 153,706 | | |
| | | 250,000 | | | | 3.450% due 10/6/46 | | | | | 276,052 | | |
| | | | | | | Pfizer Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.800% due 3/11/22 | | | | | 512,880 | | |
| | | 250,000 | | | | 4.000% due 12/15/36 | | | | | 290,515 | | |
| | | 250,000 | | | | 4.125% due 12/15/46 | | | | | 299,345 | | |
| | | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.625% due 2/18/22 | | | | | 506,601 | | |
| | | 250,000 | | | | 3.375% due 8/15/29 | | | | | 262,311 | | |
| | | 100,000 | | | | 4.125% due 3/4/43 | | | | | 106,918 | | |
| | | 300,000 | | | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(b) | | | | | 323,250 | | |
| | | 120,000 | | | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% due 12/1/22(b)(f) | | | | | 100,800 | | |
| | | | | | | Post Holdings Inc., Company Guaranteed Notes: | | ||||||
| | | 235,000 | | | | 5.500% due 3/1/25(b) | | | | | 245,869 | | |
| | | 45,000 | | | | 5.500% due 12/15/29(b) | | | | | 47,574 | | |
| | | 130,000 | | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(b) | | | | | 136,708 | | |
| | | 150,000 | | | | Procter & Gamble Co., Senior Unsecured Notes, 3.500% due 10/25/47 | | | | | 174,379 | | |
| | | 8,000 | | | | Providence St Joseph Health Obligated Group, Unsecured Notes, 3.930% due 10/1/48 | | | | | 9,402 | | |
| | | | | | | Refinitiv US Holdings Inc.: | | ||||||
| | | 165,000 | | | | Company Guaranteed Notes, 8.250% due 11/15/26(b) | | | | | 185,625 | | |
| | | 160,000 | | | | Senior Secured Notes, 6.250% due 5/15/26(b) | | | | | 174,200 | | |
| | | | | | | Reynolds American Inc., Company Guaranteed Notes: | | ||||||
| | | 1,250,000 | | | | 4.000% due 6/12/22 | | | | | 1,306,420 | | |
| | | 250,000 | | | | 5.850% due 8/15/45 | | | | | 282,026 | | |
| | | 200,000 | | | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(b) | | | | | 208,100 | | |
| | | 250,000 | | | | ServiceMaster Co. LLC, Company Guaranteed Notes, 5.125% due 11/15/24(b) | | | | | 262,408 | | |
| | | 125,000 | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.875% due 9/23/23 | | | | | 127,851 | | |
| | | 650,000 | | | | Smithfield Foods Inc., Company Guaranteed Notes, 4.250% due 2/1/27(b) | | | | | 680,965 | | |
| | | 7,000 | | | | Stanford Health Care, Unsecured Notes, 3.795% due 11/15/48 | | | | | 8,318 | | |
| | | 350,000 | | | | Stryker Corp., Senior Unsecured Notes, 3.375% due 11/1/25 | | | | | 372,960 | | |
| | | | | | | Sysco Corp., Company Guaranteed Notes: | | ||||||
| | | 350,000 | | | | 3.550% due 3/15/25 | | | | | 373,152 | | |
| | | 585,000 | | | | 3.250% due 7/15/27 | | | | | 617,519 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 5.000% due 11/26/28(b) | | | | $ | 295,933 | | |
| | | | | | | Tenet Healthcare Corp.: | | ||||||
| | | | | | | Senior Secured Notes: | | ||||||
| | | 190,000 | | | | 4.875% due 1/1/26(b) | | | | | 195,244 | | |
| | | 80,000 | | | | 5.125% due 11/1/27(b) | | | | | 82,700 | | |
| | | 200,000 | | | | Secured Notes, 6.250% due 2/1/27(b) | | | | | 207,500 | | |
| | | 180,000 | | | | Senior Unsecured Notes, 7.000% due 8/1/25(g) | | | | | 181,800 | | |
| | | 150,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 4.100% due 8/15/47 | | | | | 172,818 | | |
| | | 125,000 | | | | Total System Services Inc., Senior Unsecured Notes, 4.800% due 4/1/26 | | | | | 140,758 | | |
| | | 150,000 | | | | Tyson Foods Inc., Senior Unsecured Notes, 4.550% due 6/2/47 | | | | | 172,740 | | |
| | | 500,000 | | | | Unilever Capital Corp., Company Guaranteed Notes, 3.125% due 3/22/23 | | | | | 520,064 | | |
| | | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | |||||
| | | 270,000 | | | | 6.500% due 12/15/26 | | | | | 293,625 | | |
| | | 15,000 | | | | 5.250% due 1/15/30 | | | | | 16,031 | | |
| | | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | ||||||
| | | 750,000 | | | | 2.125% due 3/15/21 | | | | | 751,683 | | |
| | | 450,000 | | | | 3.850% due 6/15/28 | | | | | 500,502 | | |
| | | 250,000 | | | | 4.250% due 4/15/47 | | | | | 293,368 | | |
| | | 125,000 | | | | Verisk Analytics Inc., Senior Unsecured Notes, 4.125% due 9/12/22 | | | | | 131,588 | | |
| | | 253,000 | | | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(b) | | | | | 270,857 | | |
| | | 95,000 | | | | Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(b) | | | | | 102,125 | | |
| | | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | |||||
| | | 160,000 | | | | 5.250% due 4/1/25 | | | | | 167,528 | | |
| | | 330,000 | | | | 5.375% due 8/15/26(b) | | | | | 351,863 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 58,927,950 | | |
| Diversified – 0.0% | | ||||||||||||
| | | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes: | | ||||||
| | | 200,000 | | | | 2.875% due 4/5/22(b) | | | | | 202,293 | | |
| | | 300,000 | | | | 3.500% due 4/5/27(b) | | | | | 317,595 | | |
| | | | | | | Total Diversified | | | | | 519,888 | | |
| Energy – 2.5% | | ||||||||||||
| | | 750,000 | | | | AI Candelaria Spain SLU, Senior Secured Notes, 7.500% due 12/15/28 | | | | | 843,750 | | |
| | | 150,000 | | | | Aker BP ASA, Senior Unsecured Notes, 4.750% due 6/15/24(b) | | | | | 153,375 | | |
| | | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 5.550% due 3/15/26 | | | | | 113,269 | | |
| | | 150,000 | | | | 6.600% due 3/15/46 | | | | | 200,008 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 275,000 | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 3/1/27(b) | | | | $ | 252,312 | | |
| | | 250,000 | | | | Apache Corp., Senior Unsecured Notes, 4.250% due 1/15/44 | | | | | 226,938 | | |
| | | 145,000 | | | | Baker Hughes a GE Co. LLC/Baker Hughes Co.-Obligor Inc., Senior Unsecured Notes, 3.337% due 12/15/27 | | | | | 148,730 | | |
| | | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 2.520% due 9/19/22 | | | | | 101,459 | | |
| | | 500,000 | | | | 3.224% due 4/14/24 | | | | | 522,707 | | |
| | | 1,500,000 | | | | BPRL International Singapore Pte Ltd., Company Guaranteed Notes, 4.375% due 1/18/27 | | | | | 1,614,607 | | |
| | | 70,000 | | | | Calfrac Holdings LP, Company Guaranteed Notes, 8.500% due 6/15/26(b) | | | | | 44,100 | | |
| | | | | | | Canacol Energy Ltd., Company Guaranteed Notes: | | ||||||
| | | 1,200,000 | | | | 7.250% due 5/3/25 | | | | | 1,258,512 | | |
| | | 200,000 | | | | 7.250% due 5/3/25(b) | | | | | 209,752 | | |
| | | | | | | Canadian Natural Resources Ltd., Senior Unsecured Notes: | | ||||||
| | | 1,150,000 | | | | 2.950% due 1/15/23 | | | | | 1,168,303 | | |
| | | 125,000 | | | | 5.850% due 2/1/35 | | | | | 151,062 | | |
| | | | | | | Cenovus Energy Inc., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 4.250% due 4/15/27 | | | | | 522,127 | | |
| | | 550,000 | | | | 5.400% due 6/15/47 | | | | | 625,336 | | |
| | | | | | | Cheniere Energy Partners LP: | | ||||||
| | | 185,000 | | | | Company Guaranteed Notes, 5.625% due 10/1/26 | | | | | 195,175 | | |
| | | 310,000 | | | | Senior Secured Notes, 5.250% due 10/1/25 | | | | | 320,462 | | |
| | | 250,000 | | | | Chevron Corp., Senior Unsecured Notes, 2.498% due 3/3/22 | | | | | 254,339 | | |
| | | 750,000 | | | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | | | 787,500 | | |
| | | 240,000 | | | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Senior Unsecured Notes, 6.500% due 3/15/26(b) | | | | | 224,520 | | |
| | | | | | | ConocoPhillips Co., Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.950% due 3/15/26 | | | | | 290,314 | | |
| | | 200,000 | | | | 5.950% due 3/15/46 | | | | | 289,611 | | |
| | | 280,000 | | | | CSI Compressco LP/CSI Compressco Finance Inc., Senior Secured Notes, 7.500% due 4/1/25(b) | | | | | 273,700 | | |
| | | | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes: | | ||||||
| | | 200,000 | | | | 5.082% due 12/30/23(b) | | | | | 206,931 | | |
| | | 300,000 | | | | 5.412% due 12/30/25(b) | | | | | 310,337 | | |
| | | | | | | Devon Energy Corp., Senior Unsecured Notes: | | ||||||
| | | 75,000 | | | | 5.600% due 7/15/41 | | | | | 92,044 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 5.000% due 6/15/45 | | | | $ | 117,595 | | |
| | | 500,000 | | | | Ecopetrol SA, Senior Unsecured Notes, 5.375% due 6/26/26 | | | | | 559,380 | | |
| | | 150,000 | | | | Enbridge Energy Partners LP, Company Guaranteed Notes, 5.500% due 9/15/40 | | | | | 180,731 | | |
| | | | | | | Enbridge Inc., Company Guaranteed Notes: | | ||||||
| | | 100,000 | | | | 4.000% due 10/1/23 | | | | | 105,857 | | |
| | | 250,000 | | | | 3.700% due 7/15/27 | | | | | 267,946 | | |
| | | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 5.875% due 1/15/24 | | | | | 559,450 | | |
| | | 600,000 | | | | 4.750% due 1/15/26 | | | | | 656,165 | | |
| | | 250,000 | | | | 4.200% due 4/15/27 | | | | | 265,607 | | |
| | | 200,000 | | | | 5.300% due 4/15/47 | | | | | 217,430 | | |
| | | 150,000 | | | | 6.000% due 6/15/48 | | | | | 178,903 | | |
| | | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 2.850% due 4/15/21 | | | | | 505,615 | | |
| | | 820,000 | | | | 3.750% due 2/15/25 | | | | | 879,186 | | |
| | | 250,000 | | | | 3.950% due 2/15/27 | | | | | 273,033 | | |
| | | 250,000 | | | | 4.900% due 5/15/46 | | | | | 295,772 | | |
| | | 115,000 | | | | EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(b) | | | | | 96,025 | | |
| | | 635,000 | | | | EQM Midstream Partners LP, Senior Unsecured Notes, 4.750% due 7/15/23 | | | | | 640,194 | | |
| | | 630,000 | | | | EQT Corp., Senior Unsecured Notes, 3.900% due 10/1/27 | | | | | 548,730 | | |
| | | | | | | Equinor ASA, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 2.450% due 1/17/23 | | | | | 253,959 | | |
| | | 100,000 | | | | 3.700% due 3/1/24 | | | | | 107,422 | | |
| | | 135,000 | | | | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25 | | | | | 135,590 | | |
| | | 50,000 | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes, 5.625% due 2/1/26(b) | | | | | 33,000 | | |
| | | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 3.043% due 3/1/26 | | | | | 530,416 | | |
| | | 100,000 | | | | 3.567% due 3/6/45 | | | | | 111,366 | | |
| | | 140,000 | | | | Foresight Energy LLC/Foresight Energy Finance Corp., Secured Notes, 11.500% due 4/1/23(b) | | | | | 36,400 | | |
| | | 105,000 | | | | FTS International Inc., Senior Secured Notes, 6.250% due 5/1/22 | | | | | 87,347 | | |
| | | 1,400,000 | | | | Geopark Ltd., Senior Secured Notes, 6.500% due 9/21/24 | | | | | 1,428,014 | | |
| | | 200,000 | | | | GNL Quintero SA, Senior Unsecured Notes, 4.634% due 7/31/29 | | | | | 214,502 | | |
| | | 200,000 | | | | Gran Tierra Energy Inc., Company Guaranteed Notes, 7.750% due 5/23/27(b) | | | | | 194,000 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 1,100,000 | | | | Gran Tierra Energy International Holdings Ltd., Company Guaranteed Notes, 6.250% due 2/15/25 | | | | $ | 1,012,000 | | |
| | | 185,000 | | | | Gulfport Energy Corp., Company Guaranteed Notes, 6.375% due 5/15/25 | | | | | 133,200 | | |
| | | 250,000 | | | | Halliburton Co., Senior Unsecured Notes, 5.000% due 11/15/45 | | | | | 279,992 | | |
| | | 100,000 | | | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | | | 115,672 | | |
| | | 495,000 | | | | Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., Senior Unsecured Notes, 5.625% due 2/15/26(b) | | | | | 512,325 | | |
| | | 260,000 | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(b) | | | | | 239,200 | | |
| | | | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes: | | ||||||
| | | 600,000 | | | | 5.625% due 8/2/21 | | | | | 632,561 | | |
| | | 1,000,000 | | | | 5.750% due 8/1/23 | | | | | 1,108,152 | | |
| | | 125,000 | | | | Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(b) | | | | | 103,125 | | |
| | | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | ||||||
| | | 125,000 | | | | 3.500% due 3/1/21 | | | | | 126,929 | | |
| | | 100,000 | | | | 4.250% due 9/1/24 | | | | | 107,774 | | |
| | | 150,000 | | | | 6.950% due 1/15/38 | | | | | 199,198 | | |
| | | 75,000 | | | | 5.000% due 8/15/42 | | | | | 82,056 | | |
| | | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | ||||||
| | | 550,000 | | | | 4.300% due 3/1/28 | | | | | 602,594 | | |
| | | 250,000 | | | | 5.050% due 2/15/46 | | | | | 281,993 | | |
| | | | | | | Marathon Petroleum Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 5.125% due 3/1/21 | | | | | 260,123 | | |
| | | 75,000 | | | | 6.500% due 3/1/41 | | | | | 95,409 | | |
| | | 90,000 | | | | MEG Energy Corp., Company Guaranteed Notes, 7.000% due 3/31/24(b) | | | | | 85,613 | | |
| | | 90,000 | | | | Moss Creek Resources Holdings Inc., Company Guaranteed Notes, 7.500% due 1/15/26(b) | | | | | 62,775 | | |
| | | 250,000 | | | | MPLX LP, Senior Unsecured Notes, 5.200% due 3/1/47 | | | | | 272,285 | | |
| | | 120,000 | | | | Nabors Industries Inc., Company Guaranteed Notes, 5.750% due 2/1/25 | | | | | 96,000 | | |
| | | 125,000 | | | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 4/15/26(b) | | | | | 126,562 | | |
| | | | | | | Noble Energy Inc., Senior Unsecured Notes: | | ||||||
| | | 150,000 | | | | 3.850% due 1/15/28 | | | | | 156,459 | | |
| | | 150,000 | | | | 4.950% due 8/15/47 | | | | | 166,888 | | |
| | | 215,000 | | | | NuStar Logistics LP, Company Guaranteed Notes, 6.000% due 6/1/26 | | | | | 230,588 | | |
| | | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | ||||||
| | | 165,000 | | | | 6.875% due 3/15/22 | | | | | 153,450 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 100,000 | | | | 6.250% due 5/1/26(b) | | | | $ | 80,625 | | |
| | | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | ||||||
| | | 125,000 | | | | 4.100% due 2/1/21 | | | | | 127,591 | | |
| | | 100,000 | | | | 4.400% due 4/15/46 | | | | | 102,953 | | |
| | | 200,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 203,752 | | |
| | | 250,000 | | | | ONEOK Inc., Company Guaranteed Notes, 4.000% due 7/13/27 | | | | | 262,989 | | |
| | | 1,500,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 3.750% due 7/27/26 | | | | | 1,562,715 | | |
| | | 165,000 | | | | Par Petroleum LLC/Par Petroleum Finance Corp., Senior Secured Notes, 7.750% due 12/15/25(b) | | | | | 162,937 | | |
| | | 115,000 | | | | Parkland Fuel Corp., Senior Unsecured Notes, 5.875% due 7/15/27(b) | | | | | 120,750 | | |
| | | 245,000 | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/27(b) | | | | | 252,350 | | |
| | | 365,000 | | | | Peabody Energy Corp., Senior Secured Notes, 6.000% due 3/31/22(b) | | | | | 375,950 | | |
| | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | ||||||
| | | 1,100,000 | | | | 5.750% due 2/1/29 | | | | | 1,191,300 | | |
| | | 200,000 | | | | 7.250% due 3/17/44 | | | | | 235,640 | | |
| | | 750,000 | | | | 6.900% due 3/19/49 | | | | | 851,625 | | |
| | | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | ||||||
| | | 750,000 | | | | 4.250% due 1/15/25 | | | | | 717,525 | | |
| | | 150,000 | | | | 6.500% due 3/13/27 | | | | | 153,975 | | |
| | | 500,000 | | | | 5.625% due 1/23/46 | | | | | 426,400 | | |
| | | 100,000 | | | | 6.750% due 9/21/47 | | | | | 95,250 | | |
| | | 500,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.500% due 3/18/25 | | | | | 530,862 | | |
| | | | | | | Phillips 66, Company Guaranteed Notes: | | ||||||
| | | 250,000 | | | | 4.300% due 4/1/22 | | | | | 264,232 | | |
| | | 150,000 | | | | 4.875% due 11/15/44 | | | | | 179,680 | | |
| | | 100,000 | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.500% due 12/15/26 | | | | | 107,217 | | |
| | | 400,000 | | | | PTTEP Treasury Center Co., Ltd., Company Guaranteed Notes, 4.600% (5-Year CMT Index + 2.724%)(a)(e) | | | | | 408,065 | | |
| | | 235,000 | | | | QEP Resources Inc., Senior Unsecured Notes, 5.250% due 5/1/23 | | | | | 205,625 | | |
| | | 200,000 | | | | Raizen Fuels Finance SA, Company Guaranteed Notes, 5.300% due 1/20/27 | | | | | 215,000 | | |
| | | 1,750,000 | | | | Reliance Holding USA Inc., Company Guaranteed Notes, 5.400% due 2/14/22 | | | | | 1,869,454 | | |
| | | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | ||||||
| | | 100,000 | | | | 5.750% due 5/15/24 | | | | | 111,628 | | |
| | | 540,000 | | | | 5.000% due 3/15/27 | | | | | 596,406 | | |
| | | 400,000 | | | | 4.200% due 3/15/28 | | | | | 424,502 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Shell International Finance BV, Company Guaranteed Notes: | | ||||||
| | $ | 250,000 | | | | 1.750% due 9/12/21 | | | | $ | 249,607 | | |
| | | 250,000 | | | | 2.500% due 9/12/26 | | | | | 257,243 | | |
| | | 100,000 | | | | 4.000% due 5/10/46 | | | | | 117,514 | | |
| | | 250,000 | | | | 3.750% due 9/12/46 | | | | | 284,929 | | |
| | | 1,000,000 | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.750% due 9/29/26 | | | | | 1,008,251 | | |
| | | 250,000 | | | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(b) | | | | | 236,719 | | |
| | | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.600% due 12/1/24 | | | | | 263,550 | | |
| | | 100,000 | | | | 6.500% due 6/15/38 | | | | | 140,665 | | |
| | | 100,000 | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 4.250% due 4/1/24 | | | | | 105,621 | | |
| | | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | ||||||
| | | 195,000 | | | | 5.500% due 2/15/26 | | | | | 202,312 | | |
| | | 105,000 | | | | 6.000% due 4/15/27 | | | | | 110,513 | | |
| | | 70,000 | | | | Tapstone Energy LLC/Tapstone Energy Finance Corp., Senior Unsecured Notes, 9.750% due 6/1/22(b) | | | | | 17,500 | | |
| | | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 160,000 | | | | 5.875% due 4/15/26 | | | | | 167,600 | | |
| | | 125,000 | | | | 6.500% due 7/15/27(b) | | | | | 135,625 | | |
| | | 125,000 | | | | TerraForm Power Operating LLC, Company Guaranteed Notes, 4.250% due 1/31/23(b) | | | | | 128,081 | | |
| | | | | | | Total Capital International SA, Company Guaranteed Notes: | | ||||||
| | | 500,000 | | | | 3.700% due 1/15/24 | | | | | 533,108 | | |
| | | 50,000 | | | | 3.461% due 7/12/49 | | | | | 53,840 | | |
| | | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 4.875% due 1/15/26 | | | | | 281,698 | | |
| | | 75,000 | | | | 7.625% due 1/15/39 | | | | | 111,935 | | |
| | | 200,000 | | | | 4.875% due 5/15/48 | | | | | 237,909 | | |
| | | 250,000 | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26 | | | | | 320,090 | | |
| | | 53,400 | | | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(b) | | | | | 53,867 | | |
| | | 125,000 | | | | Transocean Inc., Company Guaranteed Notes, 7.250% due 11/1/25(b) | | | | | 113,750 | | |
| | | 300,000 | | | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(b) | | | | | 313,125 | | |
| | | 127,500 | | | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(b) | | | | | 130,369 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 600,000 | | | | Transportadora de Gas del Peru SA, Senior Unsecured Notes, 4.250% due 4/30/28 | | | | $ | 639,900 | | |
| | | 340,000 | | | | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 9/1/27(b) | | | | | 349,717 | | |
| | | 75,000 | | | | Valero Energy Corp., Senior Unsecured Notes, 4.900% due 3/15/45 | | | | | 86,283 | | |
| | | 65,000 | | | | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., Company Guaranteed Notes, 8.750% due 4/15/23(b) | | | | | 35,100 | | |
| | | 70,000 | | | | Weatherford International Ltd., Company Guaranteed Notes, 9.875% due 2/15/24(h) | | | | | 29,575 | | |
| | | 150,000 | | | | Western Midstream Operating LP, Senior Unsecured Notes, 5.450% due 4/1/44 | | | | | 138,701 | | |
| | | 240,000 | | | | Whiting Petroleum Corp., Company Guaranteed Notes, 6.625% due 1/15/26 | | | | | 173,688 | | |
| | | | | | | Williams Cos. Inc., Senior Unsecured Notes: | | ||||||
| | | 525,000 | | | | 3.750% due 6/15/27 | | | | | 547,948 | | |
| | | 250,000 | | | | 5.100% due 9/15/45 | | | | | 280,357 | | |
| | | | | | | YPF SA, Senior Unsecured Notes: | | ||||||
| | | 950,000 | | | | 8.500% due 7/28/25 | | | | | 617,510 | | |
| | | 400,000 | | | | 6.950% due 7/21/27 | | | | | 248,000 | | |
| | | | | | | Total Energy | | | | | 48,683,036 | | |
| Financial – 6.2% | | ||||||||||||
| | | 230,000 | | | | Acrisure LLC/Acrisure Finance Inc., Senior Secured Notes, 8.125% due 2/15/24(b) | | | | | 247,825 | | |
| | | 350,000 | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.500% due 5/26/22 | | | | | 359,553 | | |
| | | | | | | Air Lease Corp., Senior Unsecured Notes: | | ||||||
| | | 1,340,000 | | | | 3.250% due 3/1/25 | | | | | 1,371,656 | | |
| | | 250,000 | | | | 3.625% due 4/1/27 | | | | | 260,044 | | |
| | | 250,000 | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.950% due 1/15/28 | | | | | 272,699 | | |
| | | 355,000 | | | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Company Guaranteed Notes, 8.250% due 8/1/23(b) | | | | | 362,544 | | |
| | | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | ||||||
| | | 130,000 | | | | Senior Secured Notes, 6.625% due 7/15/26(b) | | | | | 138,125 | | |
| | | 95,000 | | | | Senior Unsecured Notes, 9.750% due 7/15/27(b) | | | | | 99,513 | | |
| | | 250,000 | | | | Allstate Corp., Senior Unsecured Notes, 4.500% due 6/15/43 | | | | | 311,816 | | |
| | | | | | | American Express Co.: | | ||||||
| | | 685,000 | | | | Senior Unsecured Notes, 2.500% due 8/1/22 | | | | | 694,629 | | |
| | | 500,000 | | | | Subordinated Notes, 3.625% due 12/5/24 | | | | | 531,958 | | |
| | | 250,000 | | | | American Express Credit Corp., Senior Unsecured Notes, 2.250% due 5/5/21 | | | | | 251,131 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | American International Group Inc., Senior Unsecured Notes: | | ||||||
| | $ | 250,000 | | | | 4.200% due 4/1/28 | | | | $ | 275,657 | | |
| | | 150,000 | | | | 4.500% due 7/16/44 | | | | | 171,478 | | |
| | | | | | | American Tower Corp., Senior Unsecured Notes: | | ||||||
| | | 100,000 | | | | 3.500% due 1/31/23 | | | | | 104,081 | | |
| | | 100,000 | | | | 4.000% due 6/1/25 | | | | | 107,610 | | |
| | | 250,000 | | | | 3.800% due 8/15/29 | | | | | 269,461 | | |
| | | 200,000 | | | | Aon PLC, Company Guaranteed Notes, 4.750% due 5/15/45 | | | | | 241,957 | | |
| | | 310,000 | | | | AssuredPartners Inc., Senior Unsecured Notes, 7.000% due 8/15/25(b) | | | | | 309,225 | | |
| | | 250,000 | | | | AvalonBay Communities Inc., Senior Unsecured Notes, 3.300% due 6/1/29 | | | | | 268,595 | | |
| | | 200,000 | | | | Avation Capital SA, Company Guaranteed Notes, 6.500% due 5/15/21(b) | | | | | 206,500 | | |
| | | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 240,000 | | | | 5.250% due 5/15/24(b) | | | | | 257,448 | | |
| | | 430,000 | | | | 3.950% due 7/1/24(b) | | | | | 442,556 | | |
| | | | | | | AXA Equitable Holdings Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.900% due 4/20/23 | | | | | 262,572 | | |
| | | 250,000 | | | | 4.350% due 4/20/28 | | | | | 268,420 | | |
| | | 300,000 | | | | Banco BBVA Peru SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 318,378 | | |
| | | 300,000 | | | | Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes, 4.875% due 4/21/25 | | | | | 319,878 | | |
| | | | | | | Banco BTG Pactual SA: | | ||||||
| | | 200,000 | | | | Junior Subordinated Notes, 8.750% (5-Year CMT Index + 6.978%)(a)(e) | | | | | 199,502 | | |
| | | 1,650,000 | | | | Subordinated Notes, 7.750% (5-Year CMT Index + 5.257%) due 2/15/29(a)(b) | | | | | 1,711,875 | | |
| | | 600,000 | | | | Banco de Credito e Inversiones SA, Senior Unsecured Notes, 4.000% due 2/11/23 | | | | | 630,383 | | |
| | | 800,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 835,200 | | |
| | | 2,000,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 6.250% (5-Year CMT Index + 4.398%)(a)(e) | | | | | 1,940,000 | | |
| | | 200,000 | | | | Banco General SA, Senior Unsecured Notes, 4.125% due 8/7/27 | | | | | 208,252 | | |
| | | 500,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 516,880 | | |
| | | | | | | Banco Macro SA, Subordinated Notes: | | ||||||
| | | 200,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(a)(b) | | | | | 114,000 | | |
| | | 950,000 | | | | 6.750% (5-Year USD Swap Rate + 5.463%) due 11/4/26(a) | | | | | 541,500 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | | | | | | Banco Mercantil del Norte SA: | | ||||||
| | | | | | | Junior Subordinated Notes: | | ||||||
| | $ | 1,000,000 | | | | 6.875% (5-Year CMT Index + 5.035%)(a)(e) | | | | $ | 990,010 | | |
| | | 1,000,000 | | | | 7.625% (5-Year CMT Index + 5.353%)(a)(e) | | | | | 1,000,300 | | |
| | | 200,000 | | | | Subordinated Notes, 5.750% (5-Year CMT Index + 4.447%) due 10/4/31(a) | | | | | 195,752 | | |
| | | 200,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(a) | | | | | 202,502 | | |
| | | 550,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | | 585,068 | | |
| | | 200,000 | | | | Banco Santander SA, Senior Unsecured Notes, 4.379% due 4/12/28 | | | | | 219,978 | | |
| | | | | | | Bancolombia SA, Subordinated Notes: | | ||||||
| | | 450,000 | | | | 5.125% due 9/11/22 | | | | | 475,425 | | |
| | | 600,000 | | | | 4.875% (5-Year CMT Index + 2.929%) due 10/18/27(a) | | | | | 615,006 | | |
| | | 200,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 200,002 | | |
| | | | | | | Bank of America Corp.: | | ||||||
| | | | | | | Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.625% due 4/19/21 | | | | | 504,832 | | |
| | | 1,330,000 | | | | 2.369% (3-Month USD-LIBOR + 0.660%) due 7/21/21(a) | | | | | 1,332,191 | | |
| | | 430,000 | | | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(a) | | | | | 441,286 | | |
| | | 750,000 | | | | 3.875% due 8/1/25 | | | | | 818,386 | | |
| | | 500,000 | | | | 3.366% (3-Month USD-LIBOR + 0.810%) due 1/23/26(a) | | | | | 524,219 | | |
| | | 250,000 | | | | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(a) | | | | | 263,831 | | |
| | | 250,000 | | | | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(a) | | | | | 277,119 | | |
| | | 250,000 | | | | 4.443% (3-Month USD-LIBOR + 1.990%) due 1/20/48(a) | | | | | 307,169 | | |
| | | 250,000 | | | | Subordinated Notes, 7.750% due 5/14/38 | | | | | 390,346 | | |
| | | 500,000 | | | | Bank of Montreal, Senior Unsecured Notes, 1.900% due 8/27/21 | | | | | 500,225 | | |
| | | | | | | Bank of New York Mellon Corp., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 3.450% due 8/11/23 | | | | | 263,309 | | |
| | | 250,000 | | | | 3.400% due 1/29/28 | | | | | 270,894 | | |
| | | | | | | Bank of Nova Scotia, Senior Unsecured Notes: | | ||||||
| | | 500,000 | | | | 2.700% due 3/7/22 | | | | | 509,426 | | |
| | | 650,000 | | | | 3.400% due 2/11/24 | | | | | 685,011 | | |
| | | 250,000 | | | | Barclays PLC, Senior Unsecured Notes, 4.950% due 1/10/47 | | | | | 274,528 | | |
| | | 500,000 | | | | BB&T Corp., Senior Unsecured Notes, 2.750% due 4/1/22 | | | | | 508,859 | | |
| | | | | | | BBVA Bancomer SA, Subordinated Notes: | | ||||||
| | | 200,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 199,002 | | |
| | | 2,000,000 | | | | 5.125% (5-Year CMT Index + 2.650%) due 1/18/33(a) | | | | | 1,915,000 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | BDO Unibank Inc., Senior Unsecured Notes, 2.950% due 3/6/23 | | | | $ | 1,017,077 | | |
| | | 150,000 | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.200% due 8/15/48 | | | | | 180,243 | | |
| | | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | ||||||
| | | 250,000 | | | | 2.750% due 3/15/23 | | | | | 257,995 | | |
| | | 250,000 | | | | 3.125% due 3/15/26 | | | | | 265,027 | | |
| | | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | | | | |
| | | 350,000 | | | | 3.200% due 1/15/25 | | | | | 364,208 | | |
| | | 1,280,000 | | | | 3.650% due 2/1/26 | | | | | 1,363,064 | | |
| | | 250,000 | | | | 3.400% due 6/21/29 | | | | | 265,351 | | |
| | | 100,000 | | | | Brighthouse Financial Inc., Senior Unsecured Notes, 3.700% due 6/22/27 | | | | | 98,721 | | |
| | | 250,000 | | | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 3.900% due 3/15/27 | | | | | 263,513 | | |
| | | 350,000 | | | | Brookfield Finance Inc., Company Guaranteed Notes, 4.000% due 4/1/24 | | | | | 373,366 | | |
| | | 250,000 | | | | Canadian Imperial Bank of Commerce, Senior Unsecured Notes, 3.100% due 2/4/24 | | | | | 259,431 | | |
| | | | | | | Capital One Financial Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.050% due 3/9/22 | | | | | 255,754 | | |
| | | 250,000 | | | | 3.750% due 3/9/27 | | | | | 264,839 | | |
| | | 125,000 | | | | CBRE Services Inc., Company Guaranteed Notes, 5.250% due 3/15/25 | | | | | 140,482 | | |
| | | 250,000 | | | | Charles Schwab Corp., Senior Unsecured Notes, 3.200% due 3/2/27 | | | | | 264,981 | | |
| | | 500,000 | | | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | | | 536,501 | | |
| | | | | | | Citigroup Inc.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.700% due 3/30/21 | | | | | 252,524 | | |
| | | 100,000 | | | | 2.350% due 8/2/21 | | | | | 100,644 | | |
| | | 500,000 | | | | 2.750% due 4/25/22 | | | | | 508,958 | | |
| | | 500,000 | | | | 4.044% (3-Month USD-LIBOR + 1.023%) due 6/1/24(a) | | | | | 532,144 | | |
| | | 450,000 | | | | 3.887% (3-Month USD-LIBOR + 1.563%) due 1/10/28(a) | | | | | 488,177 | | |
| | | 1,540,000 | | | | 3.668% (3-Month USD-LIBOR + 1.390%) due 7/24/28(a) | | | | | 1,651,043 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 250,000 | | | | 4.450% due 9/29/27 | | | | | 275,124 | | |
| | | 100,000 | | | | 5.300% due 5/6/44 | | | | | 127,686 | | |
| | | 250,000 | | | | 4.750% due 5/18/46 | | | | | 302,887 | | |
| | | 250,000 | | | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | | | | | 254,069 | | |
| | | 115,000 | | | | CNO Financial Group Inc., Senior Unsecured Notes, 5.250% due 5/30/29 | | | | | 127,075 | | |
| | | 50,000 | | | | Comerica Inc., Senior Unsecured Notes, 4.000% due 2/1/29 | | | | | 55,669 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 985,000 | | | | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(b) | | | | $ | 1,127,040 | | |
| | | | | | | Cooperatieve Rabobank UA: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | | | | | |
| | | 500,000 | | | | 3.875% due 2/8/22 | | | | | 522,194 | | |
| | | 250,000 | | | | 3.750% due 7/21/26 | | | | | 261,745 | | |
| | | 250,000 | | | | Senior Unsecured Notes, 2.750% due 1/10/23 | | | | | 256,705 | | |
| | | 275,000 | | | | Credit Acceptance Corp., Company Guaranteed Notes, 6.625% due 3/15/26(b) | | | | | 297,517 | | |
| | | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.125% due 12/10/20 | | | | | 505,612 | | |
| | | 250,000 | | | | 3.750% due 3/26/25 | | | | | 264,252 | | |
| | | 250,000 | | | | 4.550% due 4/17/26 | | | | | 277,013 | | |
| | | | | | | Credito Real SAB de CV SOFOM ER: | | | |||||
| | | 700,000 | | | | Company Guaranteed Notes, 9.500% due 2/7/26(b) | | | | | 788,200 | | |
| | | 803,000 | | | | Junior Subordinated Notes, 9.125% (5-Year CMT Index + 7.026%)(a)(e) | | | | | 817,061 | | |
| | | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | |||||
| | | 300,000 | | | | 4.000% due 3/1/27 | | | | | 324,668 | | |
| | | 570,000 | | | | 4.300% due 2/15/29 | | | | | 638,657 | | |
| | | 30,000 | | | | 4.000% due 11/15/49 | | | | | 32,234 | | |
| | | | | | | DBS Group Holdings Ltd.: | | | | | | | |
| | | 1,350,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(e) | | | | | 1,351,687 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 2.896% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a) | | | | | 201,009 | | |
| | | 500,000 | | | | Deutsche Bank AG, Senior Unsecured Notes, 3.950% due 2/27/23 | | | | | 506,902 | | |
| | | 250,000 | | | | Digital Realty Trust LP, Company Guaranteed Notes, 3.600% due 7/1/29 | | | | | 263,783 | | |
| | | 810,000 | | | | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | | | | | 872,111 | | |
| | | 500,000 | | | | Docuformas SAPI de CV, Senior Unsecured Notes, 10.250% due 7/24/24(b) | | | | | 490,005 | | |
| | | 200,000 | | | | Enstar Group Ltd., Senior Unsecured Notes, 4.500% due 3/10/22 | | | | | 208,040 | | |
| | | 250,000 | | | | ERP Operating LP, Senior Unsecured Notes, 3.000% due 7/1/29 | | | | | 261,882 | | |
| | | 415,000 | | | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(b) | | | | | 429,006 | | |
| | | 250,000 | | | | Federal Realty Investment Trust, Senior Unsecured Notes, 3.200% due 6/15/29 | | | | | 262,758 | | |
| | | 250,000 | | | | Fifth Third Bancorp, Senior Unsecured Notes, 3.950% due 3/14/28 | | | | | 277,142 | | |
| | | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | | | | | | |
| | | 250,000 | | | | 3.373% due 11/15/25 | | | | | 253,595 | | |
| | | 250,000 | | | | 4.418% due 11/15/35 | | | | | 254,004 | | |
| | | | | | | Gilex Holding SARL, Senior Secured Notes: | | | | | | | |
| | | 450,000 | | | | 8.500% due 5/2/23 | | | | | 480,375 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | 8.500% due 5/2/23(b) | | | | $ | 213,500 | | |
| | | 235,000 | | | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% due 9/15/24(b)(f) | | | | | 233,825 | | |
| | | | | | | Global Bank Corp., Senior Unsecured Notes: | | | | | | | |
| | | 1,200,000 | | | | 4.500% due 10/20/21 | | | | | 1,234,800 | | |
| | | 700,000 | | | | 5.250% (3-Month USD-LIBOR + 3.300%) due 4/16/29(a)(b) | | | | | 754,425 | | |
| | | 150,000 | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.300% due 1/15/29 | | | | | 166,804 | | |
| | | | | | | Goldman Sachs Group Inc.: | | | |||||
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.350% due 11/15/21 | | | | | 500,938 | | |
| | | 200,000 | | | | 5.750% due 1/24/22 | | | | | 216,546 | | |
| | | 500,000 | | | | 3.000% due 4/26/22 | | | | | 506,517 | | |
| | | 465,000 | | | | 3.036% (3-Month USD-LIBOR + 0.780%) due 10/31/22(a) | | | | | 466,040 | | |
| | | 825,000 | | | | 3.328% (3-Month USD-LIBOR + 1.170%) due 5/15/26(a) | | | | | 825,245 | | |
| | | 500,000 | | | | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(a) | | | | | 553,053 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 250,000 | | | | 4.250% due 10/21/25 | | | | | 269,664 | | |
| | | 250,000 | | | | 6.750% due 10/1/37 | | | | | 342,523 | | |
| | | 250,000 | | | | 5.150% due 5/22/45 | | | | | 304,865 | | |
| | | 400,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 412,020 | | |
| | | 350,000 | | | | Host Hotels & Resorts LP, Senior Unsecured Notes, 3.875% due 4/1/24 | | | | | 367,646 | | |
| | | | | | | HSBC Holdings PLC: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(a) | | | | | 510,261 | | |
| | | 250,000 | | | | 4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(a) | | | | | 266,678 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 250,000 | | | | 6.500% due 5/2/36 | | | | | 334,664 | | |
| | | 250,000 | | | | 5.250% due 3/14/44 | | | | | 309,960 | | |
| | | 200,000 | | | | Huntington Bancshares Inc., Senior Unsecured Notes, 2.625% due 6/8/24 | | | | | 203,898 | | |
| | | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 230,000 | | | | 6.250% due 2/1/22 | | | | | 236,900 | | |
| | | 60,000 | | | | 6.375% due 12/15/25 | | | | | 63,525 | | |
| | | 295,000 | | | | 6.250% due 5/15/26(b) | | | | | 307,921 | | |
| | | 300,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 311,100 | | |
| | | 500,000 | | | | ING Groep NV, Senior Unsecured Notes, 3.150% due 3/29/22 | | | | | 512,568 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | Intercontinental Exchange Inc., Company Guaranteed Notes, 3.750% due 12/1/25 | | | | $ | 270,610 | | |
| | | 1,300,000 | | | | Itau Unibanco Holding SA, Junior Subordinated Notes, 6.500% (5-Year CMT Index + 3.863%)(a)(e) | | | | | 1,330,459 | | |
| | | 250,000 | | | | Jefferies Group LLC/Jefferies Group Capital Finance Inc., Senior Unsecured Notes, 4.850% due 1/15/27 | | | | | 267,463 | | |
| | | | | | | JPMorgan Chase & Co.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 4.250% due 10/15/20 | | | | | 256,114 | | |
| | | 1,000,000 | | | | 4.500% due 1/24/22 | | | | | 1,058,330 | | |
| | | 250,000 | | | | 2.972% due 1/15/23 | | | | | 255,112 | | |
| | | 250,000 | | | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(a) | | | | | 272,063 | | |
| | | 250,000 | | | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(a) | | | | | 267,704 | | |
| | | 250,000 | | | | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(a) | | | | | 277,794 | | |
| | | 250,000 | | | | 3.882% (3-Month USD-LIBOR + 1.360%) due 7/24/38(a) | | | | | 280,266 | | |
| | | 150,000 | | | | 5.400% due 1/6/42 | | | | | 204,977 | | |
| | | 250,000 | | | | 4.260% (3-Month USD-LIBOR + 1.580%) due 2/22/48(a) | | | | | 303,854 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 200,000 | | | | 3.875% due 9/10/24 | | | | | 213,822 | | |
| | | 200,000 | | | | 3.625% due 12/1/27 | | | | | 212,627 | | |
| | | 250,000 | | | | KeyBank NA, Senior Unsecured Notes, 3.375% due 3/7/23 | | | | | 261,147 | | |
| | | | | | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed Notes: | | | | | | | |
| | | 2,000,000 | | | | 1.625% due 3/15/21 | | | | | 1,999,763 | | |
| | | 500,000 | | | | 2.125% due 3/7/22 | | | | | 507,710 | | |
| | | 500,000 | | | | 2.375% due 12/29/22 | | | | | 514,615 | | |
| | | 100,000 | | | | 2.500% due 11/20/24 | | | | | 105,152 | | |
| | | 250,000 | | | | 2.875% due 4/3/28 | | | | | 276,509 | | |
| | | | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes: | | | | | | | |
| | | 250,000 | | | | 2.375% due 6/10/25 | | | | | 261,827 | | |
| | | 75,000 | | | | 1.750% due 7/27/26 | | | | | 75,938 | | |
| | | 250,000 | | | | Lincoln National Corp., Senior Unsecured Notes, 3.800% due 3/1/28 | | | | | 268,704 | | |
| | | | | | | Lloyds Banking Group PLC: | | | | | | | |
| | | 1,000,000 | | | | Senior Unsecured Notes, 3.100% due 7/6/21 | | | | | 1,014,690 | | |
| | | 200,000 | | | | Subordinated Notes, 4.344% due 1/9/48 | | | | | 201,320 | | |
| | | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 520,000 | | | | 3.189% (3-Month USD-LIBOR + 1.023%) due 11/28/23(a)(b) | | | | | 531,660 | | |
| | | 1,275,000 | | | | 4.150% (3-Month USD-LIBOR + 1.330%) due 3/27/24(a)(b) | | | | | 1,350,859 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,700,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | $ | 1,736,941 | | |
| | | 250,000 | | | | Manulife Financial Corp., Subordinated Notes, 4.061% (5-Year USD 1100 Run ICE Swap Rate + 1.647%) due 2/24/32(a) | | | | | 263,135 | | |
| | | 200,000 | | | | Marsh & McLennan Cos. Inc., Senior Unsecured Notes, 4.900% due 3/15/49 | | | | | 259,658 | | |
| | | 250,000 | | | | Mastercard Inc., Senior Unsecured Notes, 3.950% due 2/26/48 | | | | | 301,627 | | |
| | | 150,000 | | | | MetLife Inc., Senior Unsecured Notes, 4.600% due 5/13/46 | | | | | 186,685 | | |
| | | 235,000 | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 5.750% due 2/1/27(b) | | | | | 259,428 | | |
| | | 250,000 | | | | Mid-America Apartments LP, Senior Unsecured Notes, 3.750% due 6/15/24 | | | | | 264,347 | | |
| | | | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes: | | | |||||
| | | 500,000 | | | | 2.998% due 2/22/22 | | | | | 509,709 | | |
| | | 630,000 | | | | 2.878% (3-Month USD-LIBOR + 0.740%) due 3/2/23(a) | | | | | 629,178 | | |
| | | 200,000 | | | | 3.407% due 7/3/24 | | | | | 209,952 | | |
| | | 250,000 | | | | 3.741% due 3/7/29 | | | | | 276,170 | | |
| | | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.953% due 2/28/22 | | | | | 254,557 | | |
| | | 250,000 | | | | 3.663% due 2/28/27 | | | | | 271,617 | | |
| | | | | | | Morgan Stanley: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.625% due 11/17/21 | | | | | 505,236 | | |
| | | 500,000 | | | | 3.125% due 1/23/23 | | | | | 515,545 | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 1,270,000 | | | | 3.737% (3-Month USD-LIBOR + 0.847%) due 4/24/24(a) | | | | | 1,336,142 | | |
| | | 250,000 | | | | 3.591% (3-Month USD-LIBOR + 1.340%) due 7/22/28(a) | | | | | 266,423 | | |
| | | 250,000 | | | | 3.772% (3-Month USD-LIBOR + 1.140%) due 1/24/29(a) | | | | | 270,541 | | |
| | | 250,000 | | | | 6.375% due 7/24/42 | | | | | 370,918 | | |
| | | 250,000 | | | | Subordinated Notes, 4.350% due 9/8/26 | | | | | 273,746 | | |
| | | | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 5.250% due 8/1/26 | | | | | 105,655 | | |
| | | 260,000 | | | | 5.000% due 10/15/27 | | | | | 277,550 | | |
| | | 140,000 | | | | 4.625% due 8/1/29 | | | | | 145,600 | | |
| | | 250,000 | | | | National Australia Bank Ltd., Senior Unsecured Notes, 3.375% due 1/14/26 | | | | | 268,354 | | |
| | | 200,000 | | | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 8.125% due 7/15/23(b) | | | | | 207,116 | | |
| | | 300,000 | | | | Navient Corp., Senior Unsecured Notes, 6.500% due 6/15/22 | | | | | 324,750 | | |
| | | 680,000 | | | | New York Life Global Funding, Secured Notes, 2.300% due 6/10/22(b) | | | | | 686,171 | | |
| | | 310,000 | | | | NFP Corp., Senior Unsecured Notes, 6.875% due 7/15/25(b) | | | | | 309,225 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,250,000 | | | | Nuveen Finance LLC, Senior Unsecured Notes, 4.125% due 11/1/24(b) | | | | $ | 1,359,670 | | |
| | | 900,000 | | | | Oesterreichische Kontrollbank AG, Government Guaranteed Notes, 1.500% due 10/21/20 | | | | | 897,622 | | |
| | | 500,000 | | | | PNC Bank NA, Senior Unsecured Notes, 2.625% due 2/17/22 | | | | | 508,232 | | |
| | | 150,000 | | | | PNC Financial Services Group Inc., Subordinated Notes, 3.900% due 4/29/24 | | | | | 161,647 | | |
| | | 250,000 | | | | Principal Financial Group Inc., Company Guaranteed Notes, 3.700% due 5/15/29 | | | | | 271,731 | | |
| | | 150,000 | | | | Progressive Corp., Senior Unsecured Notes, 4.125% due 4/15/47 | | | | | 180,327 | | |
| | | | | | | Prudential Financial Inc.: | | | | | | | |
| | | 250,000 | | | | Junior Subordinated Notes, 5.625% (3-Month USD-LIBOR + 3.920%) due 6/15/43(a) | | | | | 267,900 | | |
| | | 143,000 | | | | Senior Unsecured Notes, 3.935% due 12/7/49 | | | | | 159,351 | | |
| | | 1,500,000 | | | | Radiant Access Ltd., Company Guaranteed Notes, 4.600%(e) | | | | | 1,476,000 | | |
| | | 100,000 | | | | Regency Centers LP, Company Guaranteed Notes, 4.400% due 2/1/47 | | | | | 116,930 | | |
| | | | | | | Royal Bank of Canada: | | | | | | | |
| | | 1,635,000 | | | | Senior Unsecured Notes, 2.550% due 7/16/24 | | | | | 1,666,762 | | |
| | | 250,000 | | | | Subordinated Notes, 4.650% due 1/27/26 | | | | | 278,853 | | |
| | | | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 4.892% (3-Month USD-LIBOR + 1.754%) due 5/18/29(a) | | | | | 274,332 | | |
| | | 200,000 | | | | 4.445% (3-Month USD-LIBOR + 1.871%) due 5/8/30(a) | | | | | 213,988 | | |
| | | 200,000 | | | | Sabra Health Care LP, Company Guaranteed Notes, 5.125% due 8/15/26 | | | | | 215,946 | | |
| | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.700% due 3/28/22 | | | | | 256,531 | | |
| | | 695,000 | | | | 3.400% due 1/18/23 | | | | | 714,976 | | |
| | | 250,000 | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(a) | | | | | 254,551 | | |
| | | 1,500,000 | | | | SBA Tower Trust, Asset Backed, 3.168% due 4/11/22(b) | | | | | 1,520,772 | | |
| | | | | | | Simon Property Group LP, Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.350% due 1/30/22 | | | | | 504,600 | | |
| | | 100,000 | | | | 3.375% due 10/1/24 | | | | | 106,229 | | |
| | | | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes: | | | | | | | |
| | | 939,579 | | | | zero coupon, due 12/5/22(b) | | | | | 897,580 | | |
| | | 683,330 | | | | zero coupon, due 12/5/22 | | | | | 652,786 | | |
| | | | | | | Springleaf Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 180,000 | | | | 7.125% due 3/15/26 | | | | | 205,290 | | |
| | | 40,000 | | | | 6.625% due 1/15/28 | | | | | 43,900 | | |
| | | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.934% due 3/9/21 | | | | | 506,056 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 250,000 | | | | 2.778% due 10/18/22 | | | | $ | 254,726 | | |
| | | 845,000 | | | | 3.043% (3-Month USD-LIBOR + 0.740%) due 1/17/23(a) | | | | | 844,865 | | |
| | | 250,000 | | | | 3.102% due 1/17/23 | | | | | 257,894 | | |
| | | 100,000 | | | | 2.632% due 7/14/26 | | | | | 101,020 | | |
| | | 250,000 | | | | SunTrust Bank, Senior Unsecured Notes, 3.200% due 1/4/24 | | | | | 262,162 | | |
| | | 800,000 | | | | SURA Asset Management SA, Company Guaranteed Notes, 4.875% due 4/17/24 | | | | | 857,008 | | |
| | | | | | | Synchrony Bank, Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.650% due 5/24/21 | | | | | 255,099 | | |
| | | 350,000 | | | | 3.000% due 6/15/22 | | | | | 356,353 | | |
| | | 1,500,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 1,525,414 | | |
| | | 250,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 3.250% due 11/3/24 | | | | | 263,060 | | |
| | | 125,000 | | | | Travelers Cos. Inc., Senior Unsecured Notes, 5.350% due 11/1/40 | | | | | 170,415 | | |
| | | 100,000 | | | | UDR Inc., Company Guaranteed Notes, 3.200% due 1/15/30 | | | | | 104,585 | | |
| | | | | | | Unifin Financiera SAB de CV SOFOM ENR: | | | | | | | |
| | | 200,000 | | | | Senior Unsecured Notes, 7.375% due 2/12/26 | | | | | 190,230 | | |
| | | 1,700,000 | | | | Subordinated Notes, 8.875% (5-Year CMT Index + 6.308%)(a)(e) | | | | | 1,496,017 | | |
| | | | | | | United Overseas Bank Ltd.: | | | | | | | |
| | | 500,000 | | | | Junior Subordinated Notes, 3.875% (5-Year USD Swap Rate + 1.794%)(a)(e) | | | | | 502,181 | | |
| | | 1,000,000 | | | | Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 1,013,240 | | |
| | | 750,000 | | | | US Bancorp, Senior Unsecured Notes, 2.625% due 1/24/22 | | | | | 762,426 | | |
| | | 100,000 | | | | Ventas Realty LP, Company Guaranteed Notes, 4.375% due 2/1/45 | | | | | 112,476 | | |
| | | | | | | Visa Inc., Senior Unsecured Notes: | | | | | | | |
| | | 750,000 | | | | 2.800% due 12/14/22 | | | | | 773,583 | | |
| | | 100,000 | | | | 4.150% due 12/14/35 | | | | | 121,747 | | |
| | | | | | | Wells Fargo & Co.: | | | | | | | |
| | | | | | | Senior Unsecured Notes: | | | | | | | |
| | | 1,000,000 | | | | 2.625% due 7/22/22 | | | | | 1,017,012 | | |
| | | 875,000 | | | | 3.069% due 1/24/23 | | | | | 894,768 | | |
| | | 250,000 | | | | 3.000% due 4/22/26 | | | | | 259,130 | | |
| | | 300,000 | | | | 3.000% due 10/23/26 | | | | | 311,821 | | |
| | | 910,000 | | | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(a) | | | | | 975,878 | | |
| | | 250,000 | | | | 4.150% due 1/24/29 | | | | | 280,565 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 250,000 | | | | 4.400% due 6/14/46 | | | | | 290,293 | | |
| | | 150,000 | | | | 4.750% due 12/7/46 | | | | | 184,015 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 1,520,000 | | | | Welltower Inc., Senior Unsecured Notes, 4.125% due 3/15/29 | | | | $ | 1,676,227 | | |
| | | 300,000 | | | | Western Union Co., Senior Unsecured Notes, 3.600% due 3/15/22 | | | | | 309,437 | | |
| | | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 3.650% due 5/15/23 | | | | | 529,468 | | |
| | | 1,295,000 | | | | 3.300% due 2/26/24 | | | | | 1,364,426 | | |
| | | 250,000 | | | | 3.350% due 3/8/27 | | | | | 271,050 | | |
| | | 75,000 | | | | WeWork Cos., Inc., Company Guaranteed Notes, 7.875% due 5/1/25(b)(g) | | | | | 76,500 | | |
| | | 250,000 | | | | Weyerhaeuser Co., Senior Unsecured Notes, 4.625% due 9/15/23 | | | | | 271,292 | | |
| | | | | | | Total Financial | | | | | 120,166,223 | | |
| Government – 0.3% | | ||||||||||||
| | | 1,500,000 | | | | Asian Development Bank, Senior Unsecured Notes, 2.000% due 2/16/22 | | | | | 1,517,558 | | |
| | | | | | | European Investment Bank, Senior Unsecured Notes: | | | |||||
| | | 1,500,000 | | | | 2.625% due 5/20/22 | | | | | 1,544,780 | | |
| | | 500,000 | | | | 2.250% due 6/24/24 | | | | | 517,971 | | |
| | | | | | | Inter-American Development Bank: | | | | | | | |
| | | 500,000 | | | | Senior Unsecured Notes, 2.375% due 7/7/27 | | | | | 529,573 | | |
| | | 1,000,000 | | | | Unsecured Notes, 2.625% due 4/19/21 | | | | | 1,015,825 | | |
| | | 300,000 | | | | Malaysia Sovereign Sukuk Bhd, Unsecured Notes, 3.043% due 4/22/25 | | | | | 313,236 | | |
| | | 500,000 | | | | Svensk Exportkredit AB, Senior Unsecured Notes, 2.375% due 3/9/22 | | | | | 509,938 | | |
| | | | | | | Total Government | | | | | 5,948,881 | | |
| Industrial – 1.3% | | ||||||||||||
| | | | | | | 3M Co., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.750% due 3/1/22 | | | | | 511,307 | | |
| | | 250,000 | | | | 3.375% due 3/1/29 | | | | | 271,105 | | |
| | | 100,000 | | | | 3.250% due 8/26/49 | | | | | 101,192 | | |
| | | 420,000 | | | | AECOM, Company Guaranteed Notes, 5.125% due 3/15/27 | | | | | 438,698 | | |
| | | 200,000 | | | | Aeropuerto Internacional de Tocumen SA, Senior Secured Notes, 5.625% due 5/18/36 | | | | | 237,752 | | |
| | | 175,000 | | | | Amsted Industries Inc., Company Guaranteed Notes, 5.625% due 7/1/27(b) | | | | | 186,812 | | |
| | | 200,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(b) | | | | | 208,875 | | |
| | | 615,000 | | | | Arrow Electronics Inc., Senior Unsecured Notes, 3.875% due 1/12/28 | | | | | 635,384 | | |
| | | 220,000 | | | | Berry Global Inc., Secured Notes, 5.625% due 7/15/27(b) | | | | | 231,000 | | |
| | | | | | | Boeing Co., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.125% due 3/1/22 | | | | | 502,388 | | |
| | | 250,000 | | | | 3.650% due 3/1/47 | | | | | 271,747 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | Bombardier Inc., Senior Unsecured Notes: | | ||||||
| | $ | 105,000 | | | | 6.000% due 10/15/22(b) | | | | $ | 104,212 | | |
| | | 110,000 | | | | 7.875% due 4/15/27(b) | | | | | 106,563 | | |
| | | | | | | Builders FirstSource Inc., Senior Secured Notes: | | | | | | | |
| | | 273,000 | | | | 5.625% due 9/1/24(b) | | | | | 284,261 | | |
| | | 70,000 | | | | 6.750% due 6/1/27(b) | | | | | 76,475 | | |
| | | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.250% due 6/15/27 | | | | | 268,045 | | |
| | | 250,000 | | | | 4.125% due 6/15/47 | | | | | 298,268 | | |
| | | | | | | Canadian Pacific Railway Co.: | | | |||||
| | | 250,000 | | | | Company Guaranteed Notes, 4.000% due 6/1/28 | | | | | 281,641 | | |
| | | 100,000 | | | | Senior Unsecured Notes, 2.900% due 2/1/25 | | | | | 103,523 | | |
| | | 500,000 | | | | Caterpillar Financial Services Corp., Senior Unsecured Notes, 1.700% due 8/9/21 | | | | | 497,632 | | |
| | | | | | | Caterpillar Inc., Senior Unsecured Notes: | | | |||||
| | | 1,045,000 | | | | 3.400% due 5/15/24 | | | | | 1,112,646 | | |
| | | 100,000 | | | | 3.803% due 8/15/42 | | | | | 115,566 | | |
| | | 479,000 | | | | CIMPOR Financial Operations BV, Company Guaranteed Notes, 5.750% due 7/17/24 | | | | | 375,958 | | |
| | | | | | | Clean Harbors Inc., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 4.875% due 7/15/27(b) | | | | | 264,375 | | |
| | | 45,000 | | | | 5.125% due 7/15/29(b) | | | | | 47,925 | | |
| | | | | | | Colfax Corp., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 6.000% due 2/15/24(b) | | | | | 106,625 | | |
| | | 270,000 | | | | 6.375% due 2/15/26(b) | | | | | 293,625 | | |
| | | 135,000 | | | | Crown Americas LLC/Crown Americas Capital Corp. IV, Company Guaranteed Notes, 4.500% due 1/15/23 | | | | | 141,750 | | |
| | | 190,000 | | | | Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26 | | | | | 199,500 | | |
| | | | | | | CSX Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.600% due 11/1/26 | | | | | 255,173 | | |
| | | 250,000 | | | | 4.500% due 8/1/54 | | | | | 297,447 | | |
| | | 100,000 | | | | Eaton Corp., Company Guaranteed Notes, 4.150% due 2/11/42 | | | | | 113,358 | | |
| | | 200,000 | | | | Embraer Netherlands Finance BV, Company Guaranteed Notes, 5.400% due 2/1/27 | | | | | 225,752 | | |
| | | 165,000 | | | | Energizer Holdings Inc., Company Guaranteed Notes, 7.750% due 1/15/27(b) | | | | | 180,469 | | |
| | | | | | | FedEx Corp., Company Guaranteed Notes: | | | | | | | |
| | | 400,000 | | | | 3.300% due 3/15/27 | | | | | 417,335 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | $ | 310,000 | | | | 4.750% due 11/15/45 | | | | $ | 345,608 | | |
| | | 250,000 | | | | 4.400% due 1/15/47 | | | | | 267,733 | | |
| | | 200,000 | | | | Fideicomiso PA Pacifico Tres, Senior Secured Notes, 8.250% due 1/15/35 | | | | | 225,502 | | |
| | | 140,000 | | | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 6.875% due 1/15/25(b) | | | | | 126,000 | | |
| | | 225,000 | | | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(b) | | | | | 244,125 | | |
| | | 350,000 | | | | GATX Corp., Senior Unsecured Notes, 3.850% due 3/30/27 | | | | | 372,541 | | |
| | | | | | | General Electric Co., Senior Unsecured Notes: | | | | | | | |
| | | 540,000 | | | | 5.875% due 1/14/38 | | | | | 623,701 | | |
| | | 150,000 | | | | 4.125% due 10/9/42 | | | | | 143,801 | | |
| | | 300,000 | | | | 4.500% due 3/11/44 | | | | | 303,287 | | |
| | | 90,000 | | | | GFL Environmental Inc., Senior Unsecured Notes, 8.500% due 5/1/27(b) | | | | | 98,550 | | |
| | | 500,000 | | | | Honeywell International Inc., Senior Unsecured Notes, 1.850% due 11/1/21 | | | | | 499,423 | | |
| | | 250,000 | | | | Ingersoll-Rand Luxembourg Finance SA, Company Guaranteed Notes, 3.800% due 3/21/29 | | | | | 271,155 | | |
| | | 300,000 | | | | Jeld-Wen Inc., Company Guaranteed Notes, 4.625% due 12/15/25(b) | | | | | 294,000 | | |
| | | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.950% due 4/1/22 | | | | | 511,849 | | |
| | | 250,000 | | | | 2.800% due 9/8/27 | | | | | 261,111 | | |
| | | 100,000 | | | | Johnson Controls International PLC, Senior Unsecured Notes, 4.500% due 2/15/47 | | | | | 112,557 | | |
| | | 1,200,000 | | | | JSL Europe SA, Company Guaranteed Notes, 7.750% due 7/26/24 | | | | | 1,239,300 | | |
| | | 160,000 | | | | Kratos Defense & Security Solutions Inc., Senior Secured Notes, 6.500% due 11/30/25(b) | | | | | 171,600 | | |
| | | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.550% due 1/15/26 | | | | | 271,188 | | |
| | | 250,000 | | | | 4.700% due 5/15/46 | | | | | 325,024 | | |
| | | 155,000 | | | | Masonite International Corp., Company Guaranteed Notes, 5.750% due 9/15/26(b) | | | | | 164,106 | | |
| | | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.900% due 6/15/26 | | | | | 258,827 | | |
| | | 350,000 | | | | 3.800% due 8/1/28 | | | | | 391,914 | | |
| | | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 2.550% due 10/15/22 | | | | | 203,103 | | |
| | | 100,000 | | | | 4.030% due 10/15/47 | | | | | 115,779 | | |
| | | 250,000 | | | | Owens Corning, Senior Unsecured Notes, 3.400% due 8/15/26 | | | | | 250,576 | | |
| | | | | | | Parker-Hannifin Corp., Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 3.250% due 3/1/27 | | | | | 314,406 | | |
| | | 150,000 | | | | 4.100% due 3/1/47 | | | | | 169,564 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Industrial – (continued) | | ||||||||||||
| | | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | ||||||
| | $ | 40,000 | | | | 3.400% due 11/15/26(b) | | | | $ | 41,302 | | |
| | | 225,000 | | | | 4.200% due 4/1/27(b) | | | | | 242,616 | | |
| | | 100,000 | | | | Rockwell Collins Inc., Senior Unsecured Notes, 3.200% due 3/15/24 | | | | | 104,234 | | |
| | | | | | | Roper Technologies Inc., Senior Unsecured Notes: | | | | | | | |
| | | 570,000 | | | | 4.200% due 9/15/28 | | | | | 633,045 | | |
| | | 250,000 | | | | 2.950% due 9/15/29 | | | | | 252,987 | | |
| | | | | | | Ryder System Inc., Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 2.800% due 3/1/22 | | | | | 304,333 | | |
| | | 30,000 | | | | 2.500% due 9/1/24 | | | | | 30,245 | | |
| | | 250,000 | | | | Stanley Black & Decker Inc., Senior Secured Notes, 3.400% due 3/1/26 | | | | | 268,030 | | |
| | | 200,000 | | | | Stevens Holding Co., Inc., Company Guaranteed Notes, 6.125% due 10/1/26(b) | | | | | 208,000 | | |
| | | 300,000 | | | | Tech Data Corp., Senior Unsecured Notes, 3.700% due 2/15/22 | | | | | 307,684 | | |
| | | 200,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 215,250 | | |
| | | 325,000 | | | | Tervita Corp., Secured Notes, 7.625% due 12/1/21(b) | | | | | 329,875 | | |
| | | | | | | TransDigm Inc.: | | | | | | | |
| | | 140,000 | | | | Company Guaranteed Notes, 6.375% due 6/15/26 | | | | | 146,928 | | |
| | | 220,000 | | | | Senior Secured Notes, 6.250% due 3/15/26(b) | | | | | 237,321 | | |
| | | 140,000 | | | | Trident TPI Holdings Inc., Senior Unsecured Notes, 6.625% due 11/1/25(b) | | | | | 120,750 | | |
| | | 194,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 194,485 | | |
| | | 200,000 | | | | Trivium Packaging Finance BV, Senior Secured Notes, 5.500% due 8/15/26(b) | | | | | 211,500 | | |
| | | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.350% due 8/15/46 | | | | | 253,319 | | |
| | | 590,000 | | | | 4.300% due 3/1/49 | | | | | 702,962 | | |
| | | 125,000 | | | | 3.875% due 2/1/55 | | | | | 135,501 | | |
| | | 250,000 | | | | United Parcel Service Inc., Senior Unsecured Notes, 3.750% due 11/15/47 | | | | | 276,159 | | |
| | | | | | | United Technologies Corp., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.300% due 5/4/22 | | | | | 504,343 | | |
| | | 100,000 | | | | 4.500% due 1/6/42 | | | | | 120,627 | | |
| | | 250,000 | | | | 3.750% due 11/1/46 | | | | | 277,557 | | |
| | | 100,000 | | | | Vulcan Materials Co., Senior Unsecured Notes, 4.500% due 6/15/47 | | | | | 108,354 | | |
| | | 825,000 | | | | Waste Management Inc., Company Guaranteed Notes, 3.450% due 6/15/29 | | | | | 903,553 | | |
| | | 250,000 | | | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(b) | | | | | 260,000 | | |
| | | 630,000 | | | | WRKCo Inc., Company Guaranteed Notes, 3.750% due 3/15/25 | | | | | 665,413 | | |
| | | | | | | Total Industrial | | | | | 26,397,087 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – 0.8% | | ||||||||||||
| | | | | | | Apple Inc., Senior Unsecured Notes: | | ||||||
| | $ | 75,000 | | | | 2.850% due 5/6/21 | | | | $ | 76,267 | | |
| | | 500,000 | | | | 2.850% due 2/23/23 | | | | | 517,136 | | |
| | | 300,000 | | | | 2.400% due 5/3/23 | | | | | 306,355 | | |
| | | 250,000 | | | | 3.000% due 2/9/24 | | | | | 261,405 | | |
| | | 250,000 | | | | 3.350% due 2/9/27 | | | | | 270,179 | | |
| | | 250,000 | | | | 3.000% due 6/20/27 | | | | | 265,193 | | |
| | | 250,000 | | | | 4.250% due 2/9/47 | | | | | 303,614 | | |
| | | 250,000 | | | | 3.750% due 11/13/47 | | | | | 284,181 | | |
| | | 100,000 | | | | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | | | | | 122,556 | | |
| | | | | | | Ascend Learning LLC, Senior Unsecured Notes: | | | | | | | |
| | | 205,000 | | | | 6.875% due 8/1/25(b) | | | | | 212,431 | | |
| | | 125,000 | | | | 6.875% due 8/1/25(b) | | | | | 129,531 | | |
| | | 70,000 | | | | Banff Merger Sub Inc., Senior Unsecured Notes, 9.750% due 9/1/26(b) | | | | | 63,700 | | |
| | | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | |||||
| | | 500,000 | | | | 3.000% due 1/15/22 | | | | | 504,056 | | |
| | | 100,000 | | | | 3.625% due 1/15/24 | | | | | 102,056 | | |
| | | 250,000 | | | | Broadcom Inc., Company Guaranteed Notes, 4.750% due 4/15/29(b) | | | | | 263,388 | | |
| | | 300,000 | | | | CA Inc., Senior Unsecured Notes, 3.600% due 8/15/22 | | | | | 305,843 | | |
| | | 250,000 | | | | Camelot Finance SA, Company Guaranteed Notes, 7.875% due 10/15/24(b) | | | | | 260,625 | | |
| | | | | | | CDK Global Inc., Senior Unsecured Notes: | | | | | | | |
| | | 95,000 | | | | 5.875% due 6/15/26 | | | | | 100,899 | | |
| | | 165,000 | | | | 5.250% due 5/15/29(b) | | | | | 170,363 | | |
| | | 100,000 | | | | Dell International LLC / EMC Corp., Senior Secured Notes, 8.100% due 7/15/36(b) | | | | | 126,805 | | |
| | | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | | | | |
| | | 100,000 | | | | 5.450% due 6/15/23(b) | | | | | 108,688 | | |
| | | 250,000 | | | | 6.020% due 6/15/26(b) | | | | | 282,150 | | |
| | | | | | | Dun & Bradstreet Corp.: | | | | | | | |
| | | 140,000 | | | | Senior Secured Notes, 6.875% due 8/15/26(b) | | | | | 151,725 | | |
| | | 45,000 | | | | Senior Unsecured Notes, 10.250% due 2/15/27(b) | | | | | 49,163 | | |
| | | 393,000 | | | | DXC Technology Co., Senior Unsecured Notes, 4.750% due 4/15/27 | | | | | 418,760 | | |
| | | 150,000 | | | | Fidelity National Information Services Inc., Senior Unsecured Notes, 4.750% due 5/15/48 | | | | | 184,702 | | |
| | | 250,000 | | | | Fiserv Inc., Senior Unsecured Notes, 3.500% due 7/1/29 | | | | | 265,523 | | |
| | | 360,000 | | | | Genesys Telecommunications Laboratories Inc./Greeneden Lux 3 SARL/Greeneden US Ho, Company Guaranteed Notes, 10.000% due 11/30/24(b) | | | | | 388,800 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | | | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes: | | ||||||
| | $ | 100,000 | | | | 3.600% due 10/15/20 | | | | $ | 101,432 | | |
| | | 150,000 | | | | 6.200% due 10/15/35 | | | | | 174,600 | | |
| | | 310,000 | | | | Informatica LLC, Senior Unsecured Notes, 7.125% due 7/15/23(b) | | | | | 315,425 | | |
| | | | | | | Intel Corp., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 2.700% due 12/15/22 | | | | | 514,666 | | |
| | | 250,000 | | | | 4.100% due 5/19/46 | | | | | 297,494 | | |
| | | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 2.500% due 1/27/22 | | | | | 253,265 | | |
| | | 250,000 | | | | 3.300% due 1/27/27 | | | | | 264,244 | | |
| | | 500,000 | | | | 3.500% due 5/15/29 | | | | | 542,854 | | |
| | | 100,000 | | | | 4.000% due 6/20/42 | | | | | 112,835 | | |
| | | 205,000 | | | | IQVIA Inc., Company Guaranteed Notes, 5.000% due 5/15/27(b) | | | | | 216,531 | | |
| | | 125,000 | | | | KLA Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | | | 138,012 | | |
| | | | | | | Microsoft Corp., Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 2.400% due 2/6/22 | | | | | 254,294 | | |
| | | 250,000 | | | | 2.875% due 2/6/24 | | | | | 261,766 | | |
| | | 250,000 | | | | 3.300% due 2/6/27 | | | | | 273,339 | | |
| | | 250,000 | | | | 3.450% due 8/8/36 | | | | | 280,925 | | |
| | | 650,000 | | | | 4.250% due 2/6/47 | | | | | 827,795 | | |
| | | | | | | Oracle Corp., Senior Unsecured Notes: | | | | | | | |
| | | 500,000 | | | | 1.900% due 9/15/21 | | | | | 499,774 | | |
| | | 100,000 | | | | 2.950% due 11/15/24 | | | | | 104,728 | | |
| | | 100,000 | | | | 2.650% due 7/15/26 | | | | | 102,448 | | |
| | | 250,000 | | | | 3.850% due 7/15/36 | | | | | 281,929 | | |
| | | 250,000 | | | | 4.000% due 7/15/46 | | | | | 285,245 | | |
| | | 200,000 | | | | 4.000% due 11/15/47 | | | | | 228,963 | | |
| | | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 3.000% due 5/20/22 | | | | | 205,691 | | |
| | | 100,000 | | | | 4.650% due 5/20/35 | | | | | 117,755 | | |
| | | 100,000 | | | | 4.300% due 5/20/47 | | | | | 113,479 | | |
| | | 80,000 | | | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(b) | | | | | 46,400 | | |
| | | 400,000 | | | | Seagate HDD Cayman, Company Guaranteed Notes, 4.250% due 3/1/22 | | | | | 414,189 | | |
| | | 230,000 | | | | Sophia LP/Sophia Finance Inc., Senior Unsecured Notes, 9.000% due 9/30/23(b) | | | | | 236,325 | | |
| | | 230,000 | | | | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(b) | | | | | 241,500 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 350,000 | | | | Tempo Acquisition LLC/Tempo Acquisition Finance Corp., Senior Unsecured Notes, 6.750% due 6/1/25(b) | | | | $ | 359,555 | | |
| | | | | | | Total Technology | | | | | 14,563,552 | | |
| Utilities – 1.7% | | ||||||||||||
| | | 1,300,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 1,386,138 | | |
| | | | | | | AES Gener SA, Junior Subordinated Notes: | | | | | | | |
| | | 900,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 953,100 | | |
| | | 600,000 | | | | 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a) | | | | | 635,400 | | |
| | | 100,000 | | | | Ameren Illinois Co., 1st Mortgage Notes, 3.700% due 12/1/47 | | | | | 111,814 | | |
| | | | | | | American Water Capital Corp., Senior Unsecured Notes: | | | | | | | |
| | | 250,000 | | | | 3.750% due 9/1/28 | | | | | 275,858 | | |
| | | 350,000 | | | | 3.450% due 6/1/29 | | | | | 377,677 | | |
| | | | | | | Berkshire Hathaway Energy Co., Senior Unsecured Notes: | | | | | | | |
| | | 200,000 | | | | 6.125% due 4/1/36 | | | | | 282,859 | | |
| | | 150,000 | | | | 5.150% due 11/15/43 | | | | | 196,273 | | |
| | | | | | | Calpine Corp.: | | | |||||
| | | 120,000 | | | | Senior Secured Notes, 5.250% due 6/1/26(b) | | | | | 121,500 | | |
| | | 120,000 | | | | Senior Unsecured Notes, 5.750% due 1/15/25 | | | | | 121,800 | | |
| | | 250,000 | | | | CenterPoint Energy Inc., Senior Unsecured Notes, 3.850% due 2/1/24 | | | | | 265,990 | | |
| | | 200,000 | | | | Colbun SA, Senior Unsecured Notes, 3.950% due 10/11/27 | | | | | 208,002 | | |
| | | 2,096,250 | | | | Cometa Energia SA de CV, Senior Secured Notes, 6.375% due 4/24/35 | | | | | 2,232,506 | | |
| | | | | | | Commonwealth Edison Co., 1st Mortgage Notes: | | | | | | | |
| | | 150,000 | | | | 3.750% due 8/15/47 | | | | | 169,771 | | |
| | | 150,000 | | | | 4.000% due 3/1/48 | | | | | 175,415 | | |
| | | 250,000 | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes, 3.950% due 3/1/43 | | | | | 281,203 | | |
| | | 150,000 | | | | DTE Electric Co., General and Refunding Mortgage Bonds, 3.750% due 8/15/47 | | | | | 170,452 | | |
| | | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | | | | |
| | | 1,705,000 | | | | 2.650% due 9/1/26 | | | | | 1,725,478 | | |
| | | 350,000 | | | | 3.750% due 9/1/46 | | | | | 368,531 | | |
| | | 250,000 | | | | Duke Energy Progress LLC, 1st Mortgage Notes, 6.300% due 4/1/38 | | | | | 364,963 | | |
| | | 700,000 | | | | Empresa de Transmision Electrica SA, Senior Unsecured Notes, 5.125% due 5/2/49(b) | | | | | 812,007 | | |
| | | | | | | Empresa Electrica Angamos SA: | | | | | | | |
| | | 260,850 | | | | Senior Secured Notes, 4.875% due 5/25/29 | | | | | 273,265 | | |
| | | 900,000 | | | | Senior Unsecured Notes, 4.560% due 4/30/25 | | | | | 823,542 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 4.250% due 7/18/29(b) | | | | $ | 1,050,700 | | |
| | | | | | | Energuate Trust, Company Guaranteed Notes: | | | | | | | |
| | | 200,000 | | | | 5.875% due 5/3/27(b) | | | | | 200,250 | | |
| | | 200,000 | | | | 5.875% due 5/3/27 | | | | | 200,250 | | |
| | | 600,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 624,917 | | |
| | | 200,000 | | | | Entergy Louisiana LLC, Collateral Trust, 4.000% due 3/15/33 | | | | | 232,115 | | |
| | | 100,000 | | | | Eversource Energy, Senior Unsecured Notes, 2.900% due 10/1/24 | | | | | 103,222 | | |
| | | 500,000 | | | | Exelon Generation Co. LLC, Senior Unsecured Notes, 3.400% due 3/15/22 | | | | | 514,854 | | |
| | | 500,000 | | | | FirstEnergy Corp., Senior Unsecured Notes, 3.900% due 7/15/27 | | | | | 537,126 | | |
| | | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | | | | |
| | | 250,000 | | | | 3.125% due 12/1/25 | | | | | 266,838 | | |
| | | 150,000 | | | | 3.950% due 3/1/48 | | | | | 176,680 | | |
| | | 550,000 | | | | Fortis Inc., Senior Unsecured Notes, 2.100% due 10/4/21 | | | | | 547,862 | | |
| | | 250,000 | | | | Georgia Power Co., Senior Unsecured Notes, 3.250% due 3/30/27 | | | | | 260,691 | | |
| | | 1,000,000 | | | | Inkia Energy Ltd., Senior Unsecured Notes, 5.875% due 11/9/27 | | | | | 1,038,760 | | |
| | | 988,200 | | | | LLPL Capital Pte Ltd., Senior Secured Notes, 6.875% due 2/4/39(b) | | | | | 1,171,999 | | |
| | | 756,456 | | | | Mexico Generadora de Energia S de rl, Senior Secured Notes, 5.500% due 12/6/32 | | | | | 822,646 | | |
| | | 500,000 | | | | MidAmerican Energy Co., 1st Mortgage Notes, 3.100% due 5/1/27 | | | | | 532,177 | | |
| | | | | | | Minejesa Capital BV, Senior Secured Notes: | | | | | | | |
| | | 800,000 | | | | 4.625% due 8/10/30 | | | | | 839,932 | | |
| | | 700,000 | | | | 5.625% due 8/10/37 | | | | | 777,911 | | |
| | | 255,000 | | | | Monongahela Power Co., 1st Mortgage Notes, 5.400% due 12/15/43(b) | | | | | 345,071 | | |
| | | 250,000 | | | | National Rural Utilities Cooperative Finance Corp., Collateral Trust, 3.050% due 2/15/22 | | | | | 255,717 | | |
| | | 250,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 3.550% due 5/1/27 | | | | | 267,228 | | |
| | | | | | | NiSource Inc., Senior Unsecured Notes: | | | | | | | |
| | | 150,000 | | | | 3.490% due 5/15/27 | | | | | 159,163 | | |
| | | 100,000 | | | | 4.375% due 5/15/47 | | | | | 115,235 | | |
| | | 250,000 | | | | Northern States Power Co., 1st Mortgage Notes, 3.600% due 5/15/46 | | | | | 278,949 | | |
| | | 245,000 | | | | NRG Energy Inc., Company Guaranteed Notes, 5.250% due 6/15/29(b) | | | | | 261,432 | | |
| | | 350,000 | | | | NSTAR Electric Co., Senior Unsecured Notes, 3.250% due 5/15/29 | | | | | 375,885 | | |
| | | 100,000 | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes, 5.300% due 6/1/42 | | | | | 135,791 | | |
| | | 400,000 | | | | Orazul Energy Egenor S en C por A, Company Guaranteed Notes, 5.625% due 4/28/27 | | | | | 412,000 | | |
| | | 1,000,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.500% due 1/24/27 | | | | | 630,000 | | |
| Face Amount | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Utilities – (continued) | | ||||||||||||
| | $ | 250,000 | | | | PECO Energy Co., 1st Mortgage Notes, 4.150% due 10/1/44 | | | | $ | 297,494 | | |
| | | | | | | PPL Capital Funding Inc., Company Guaranteed Notes: | | | | | | | |
| | | 100,000 | | | | 3.400% due 6/1/23 | | | | | 103,344 | | |
| | | 250,000 | | | | 3.100% due 5/15/26 | | | | | 256,423 | | |
| | | 125,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.000% due 6/15/21 | | | | | 126,526 | | |
| | | 200,000 | | | | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.050% due 5/1/48 | | | | | 237,137 | | |
| | | 100,000 | | | | Public Service Enterprise Group Inc., Senior Unsecured Notes, 2.650% due 11/15/22 | | | | | 100,973 | | |
| | | 150,000 | | | | Puget Sound Energy Inc., 1st Mortgage Notes, 4.223% due 6/15/48 | | | | | 180,304 | | |
| | | 100,000 | | | | San Diego Gas & Electric Co., 1st Mortgage Notes, 6.000% due 6/1/39 | | | | | 134,679 | | |
| | | 125,000 | | | | Sempra Energy, Senior Unsecured Notes, 4.050% due 12/1/23 | | | | | 132,853 | | |
| | | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | | | | |
| | | 125,000 | | | | 4.050% due 3/15/42 | | | | | 135,071 | | |
| | | 565,000 | | | | 4.000% due 4/1/47 | | | | | 616,190 | | |
| | | 150,000 | | | | Southern California Gas Co., 1st Mortgage Notes, 3.150% due 9/15/24 | | | | | 157,424 | | |
| | | 250,000 | | | | Southern Co., Senior Unsecured Notes, 4.400% due 7/1/46 | | | | | 282,366 | | |
| | | 150,000 | | | | Southern Co. Gas Capital Corp, Company Guaranteed Notes, 4.400% due 5/30/47 | | | | | 171,010 | | |
| | | 250,000 | | | | Southwestern Electric Power Co., Senior Unsecured Notes, 3.900% due 4/1/45 | | | | | 268,021 | | |
| | | 100,000 | | | | Southwestern Public Service Co., 1st Mortgage Notes, 4.500% due 8/15/41 | | | | | 121,583 | | |
| | | 1,149,600 | | | | Star Energy Geothermal Wayang Windu Ltd., Senior Secured Notes, 6.750% due 4/24/33 | | | | | 1,179,924 | | |
| | | 971,780 | | | | Stoneway Capital Corp., Senior Secured Notes, 10.000% due 3/1/27 | | | | | 534,479 | | |
| | | 110,000 | | | | Talen Energy Supply LLC, Senior Secured Notes, 6.625% due 1/15/28(b) | | | | | 106,425 | | |
| | | 200,000 | | | | Transelec SA, Senior Unsecured Notes, 4.625% due 7/26/23 | | | | | 212,752 | | |
| | | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | | | | |
| | | 100,000 | | | | 2.950% due 1/15/22 | | | | | 101,901 | | |
| | | 250,000 | | | | 3.500% due 3/15/27 | | | | | 269,510 | | |
| | | 250,000 | | | | 4.000% due 1/15/43 | | | | | 283,991 | | |
| | | 255,000 | | | | Vistra Operations Co. LLC, Senior Unsecured Notes, 5.625% due 2/15/27(b) | | | | | 269,981 | | |
| | | 350,000 | | | | Wisconsin Power & Light Co., Senior Unsecured Notes, 3.000% due 7/1/29 | | | | | 368,584 | | |
| | | | | | | Total Utilities | | | | | 32,117,890 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $375,010,876) | | | | | 392,906,609 | | |
| Face Amount | | | Security | | | Value | | ||||||
| MORTGAGE-BACKED SECURITIES – 18.7% | | ||||||||||||
| FHLMC – 3.7% | | ||||||||||||
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | | |||||
| | $ | 600,000 | | | | 0.000% due 9/1/49 | | | | $ | 618,628 | | |
| | | 3,239,268 | | | | 2.500% due 2/1/32 | | | | | 3,287,098 | | |
| | | 18,323,221 | | | | 3.000% due 3/1/32 – 1/1/46 | | | | | 18,923,960 | | |
| | | 35,754,867 | | | | 3.500% due 6/1/33 – 7/1/49 | | | | | 37,605,722 | | |
| | | 6,454,155 | | | | 4.000% due 5/1/46 – 6/1/49 | | | | | 6,864,963 | | |
| | | 4,013,330 | | | | 4.500% due 9/1/46 – 3/1/49 | | | | | 4,278,479 | | |
| | | 201,625 | | | | 5.000% due 10/1/48 | | | | | 215,660 | | |
| | | | | | | TOTAL FHLMC | | | | | 71,794,510 | | |
| FNMA – 12.6% | | ||||||||||||
| | | | | | | Federal National Mortgage Association (FNMA): | | ||||||
| | | 810,000 | | | | 0.000% due 8/1/49 | | | | | 837,625 | | |
| | | 1,700,000 | | | | 2.490% due 9/1/28 | | | | | 1,756,907 | | |
| | | 21,443,304 | | | | 2.500% due 1/1/32 – 4/1/47 | | | | | 21,595,652 | | |
| | | 24,000 | | | | 2.500% due 9/1/48(i) | | | | | 24,136 | | |
| | | 12,395,000 | | | | 2.690% due 8/1/30 | | | | | 12,956,731 | | |
| | | 5,147,500 | | | | 2.760% due 8/1/31 | | | | | 5,397,966 | | |
| | | 5,825,000 | | | | 2.770% due 7/1/31 | | | | | 6,113,818 | | |
| | | 90,587,969 | | | | 3.000% due 2/1/32 – 8/1/49 | | | | | 93,284,869 | | |
| | | 53,931,690 | | | | 3.500% due 7/1/26 – 4/1/48 | | | | | 56,554,177 | | |
| | | 21,000 | | | | 3.500% due 9/1/34(i) | | | | | 21,763 | | |
| | | 32,987,725 | | | | 4.000% due 7/1/26 – 6/1/49 | | | | | 34,576,029 | | |
| | | 235,000 | | | | 4.000% due 9/1/33(i) | | | | | 244,766 | | |
| | | 5,734,285 | | | | 4.500% due 5/1/48 – 2/1/49 | | | | | 6,040,125 | | |
| | | 240,708 | | | | 4.500% due 6/1/49 | | | | | 253,501 | | |
| | | 6,085,220 | | | | 5.000% due 4/1/40 – 1/1/49 | | | | | 6,701,184 | | |
| | | | | | | TOTAL FNMA | | | | | 246,359,249 | | |
| GNMA – 2.4% | | ||||||||||||
| | | | | | | Government National Mortgage Association II (GNMA): | | | |||||
| | | 420,930 | | | | 2.500% due 1/20/47 | | | | | 427,362 | | |
| | | 10,426,883 | | | | 3.000% due 6/20/46 – 5/20/47 | | | | | 10,796,480 | | |
| | | 17,193,830 | | | | 3.500% due 5/20/43 – 5/20/49 | | | | | 18,021,771 | | |
| | | 10,665,424 | | | | 4.000% due 9/20/45 – 7/20/49 | | | | | 11,225,003 | | |
| | | 25,000 | | | | 4.000% due 9/1/49(i) | | | | | 26,053 | | |
| | | 5,663,098 | | | | 4.500% due 2/20/47 – 5/20/49 | | | | | 5,937,176 | | |
| | | 1,337,730 | | | | 5.000% due 3/20/48 – 4/20/49 | | | | | 1,411,379 | | |
| | | | | | | TOTAL GNMA | | | | | 47,845,224 | | |
| | | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost – $355,206,514) | | | | | 365,998,983 | | |
| Face Amount | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – 7.5% | | ||||||||||||
| | $ | 2,728,281 | | | | AASET US Ltd., Series 2018-1A, Class A, 3.844% due 1/16/38(b) | | | | $ | 2,758,001 | | |
| | | 500,000 | | | | Americredit Automobile Receivables Trust, Series 2018-1, Class D, 3.820% due 3/18/24 | | | | | 516,774 | | |
| | | 500,000 | | | | Assurant CLO III Ltd., Series 2018-2A, Class A, 3.508% (3-Month USD-LIBOR + 1.230%) due 10/20/31(a)(b) | | | | | 498,203 | | |
| | | 1,815,284 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(b) | | | | | 1,815,012 | | |
| | | | | | | BDS Ltd.: | | | |||||
| | | 1,807,000 | | | | Series 2019-FL4, Class A, 3.295% (1-Month USD-LIBOR + 1.100%) due 8/15/36(a)(b) | | | | | 1,808,016 | | |
| | | 1,807,000 | | | | Series 2019-FL4, Class AS, 3.595% (1-Month USD-LIBOR + 1.400%) due 8/15/36(a)(b) | | | | | 1,808,086 | | |
| | | 3,245,299 | | | | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3, 2.305% (1-Month USD-LIBOR + 0.160%) due 10/25/36(a) | | | | | 3,006,748 | | |
| | | 1,729,756 | | | | Castlelake Aircraft Securitization Trust, Series 2018-1, Class A, 4.125% due 6/15/43(b) | | | | | 1,773,098 | | |
| | | 500,000 | | | | CBAM Ltd., Series 2018-6A, Class A, 3.243% (3-Month USD-LIBOR + 0.940%) due 7/15/31(a)(b) | | | | | 498,987 | | |
| | | 1,000,000 | | | | CFIP CLO Ltd., Series 2014-1A, Class AR, 3.623% (3-Month USD-LIBOR + 1.320%) due 7/13/29(a)(b) | | | | | 1,000,839 | | |
| | | | | | | Citibank Credit Card Issuance Trust: | | | | | | | |
| | | 200,000 | | | | Series 2017-A3, Class A3, 1.920% due 4/7/22 | | | | | 199,909 | | |
| | | 600,000 | | | | Series 2018-A6, Class A6, 3.210% due 12/7/24 | | | | | 629,525 | | |
| | | 6,038,465 | | | | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB4, Class AV4, 2.385% (1-Month USD-LIBOR + 0.240%) due 5/25/36(a) | | | | | 5,107,567 | | |
| | | 8,900,219 | | | | CSMC Trust, Series 2018-RPL8, Class A1, 4.125% due 7/25/58(a)(b) | | | | | 8,991,141 | | |
| | | 1,000,000 | | | | CVP CLO Ltd., Series 2017-1A, Class A, 3.618% (3-Month USD-LIBOR + 1.340%) due 7/20/30(a)(b) | | | | | 997,689 | | |
| | | 1,000,000 | | | | Elevation CLO Ltd., Series 2014-2A, Class A1R, 3.533% (3-Month USD-LIBOR + 1.230%) due 10/15/29(a)(b) | | | | | 999,170 | | |
| | | 800,000 | | | | Flatiron CLO 17 Ltd., Series 2017-1A, Class B, 3.758% (3-Month USD-LIBOR + 1.600%) due 5/15/30(a)(b) | | | | | 790,034 | | |
| | | 750,000 | | | | Ford Credit Auto Owner Trust, Series 2017-C, Class A4, 2.160% due 3/15/23 | | | | | 753,945 | | |
| | | 386,094 | | | | FREED ABS Trust, Series 2019-1, Class A, 3.420% due 6/18/26(b) | | | | | 387,533 | | |
| | | 1,199,000 | | | | GPMT Ltd., Series 2019-FL2, Class A, 3.495% (1-Month USD-LIBOR + 1.300%) due 2/22/36(a)(b) | | | | | 1,202,357 | | |
| | | 4,506,302 | | | | Helios Issuer LLC, Series 2017-1A, Class A, 4.940% due 9/20/49(b) | | | | | 4,750,170 | | |
| | | 529,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.275% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 529,000 | | |
| Face Amount | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | | | | | | Invitation Homes Trust: | | | |||||
| | $ | 2,240,000 | | | | Series 2018-SFR1, Class C, 3.432% (1-Month USD-LIBOR + 1.250%) due 3/17/37(a)(b) | | | | $ | 2,230,688 | | |
| | | 1,425,000 | | | | Series 2018-SFR1, Class D, 3.632% (1-Month USD-LIBOR + 1.450%) due 3/17/37(a)(b) | | | | | 1,421,313 | | |
| | | 980,000 | | | | Jimmy Johns Funding LLC, Series 2017-1A, Class A2II, 4.846% due 7/30/47(b) | | | | | 1,057,518 | | |
| | | 1,127,000 | | | | KREF Ltd., Series 2018-FL1, Class A, 3.297% (1-Month USD-LIBOR + 1.100%) due 6/15/36(a)(b) | | | | | 1,128,810 | | |
| | | 1,000,000 | | | | LCM XV LP, Series 15A, Class DR, 5.978% (3-Month USD-LIBOR + 3.700%) due 7/20/30(a)(b) | | | | | 995,344 | | |
| | | 497,316 | | | | Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, step bond to yield, 3.200% due 5/25/59(b) | | | | | 498,286 | | |
| | | 1,237,000 | | | | LoanCore Issuer Ltd., Series 2019-CRE2, Class AS, 3.695% (1-Month USD-LIBOR + 1.500%) due 5/15/36(a)(b) | | | | | 1,238,979 | | |
| | | 1,000,000 | | | | Madison Park Funding XI Ltd., Series 2013-11A, Class AR, 3.419% (3-Month USD-LIBOR + 1.160%) due 7/23/29(a)(b) | | | | | 1,001,436 | | |
| | | 1,000,000 | | | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.022% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | | | 994,788 | | |
| | | 1,925,956 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 3.576% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 1,926,558 | | |
| | | 1,000,000 | | | | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 3.608% (3-Month USD-LIBOR + 1.330%) due 1/20/32(a)(b) | | | | | 1,001,397 | | |
| | | 98,743 | | | | Marlette Funding Trust, Series 2018-1A, Class A, 2.610% due 3/15/28(b) | | | | | 98,761 | | |
| | | 1,500,000 | | | | Midocean Credit CLO VII, Series 2017-7A, Class A1, 3.623% (3-Month USD-LIBOR + 1.320%) due 7/15/29(a)(b) | | | | | 1,501,304 | | |
| | | 1,000,000 | | | | MP CLO III Ltd., Series 2013-1A, Class AR, 3.528% (3-Month USD-LIBOR + 1.250%) due 10/20/30(a)(b) | | | | | 995,722 | | |
| | | 1,000,000 | | | | MP CLO IV Ltd., Series 2013-2A, Class ARR, 3.556% (3-Month USD-LIBOR + 1.280%) due 7/25/29(a)(b) | | | | | 997,464 | | |
| | | 500,000 | | | | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 498,286 | | |
| | | 1,145,332 | | | | Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740% due 8/16/21 | | | | | 1,143,965 | | |
| | | 500,000 | | | | Northwoods Capital XI-B Ltd., Series 2018-11BA, Class A1, 3.403% (3-Month USD-LIBOR + 1.100%) due 4/19/31(a)(b) | | | | | 495,895 | | |
| | | 1,000,000 | | | | Northwoods Capital XVI Ltd., Series 2017-16A, Class A, 3.428% (3-Month USD-LIBOR + 1.270%) due 11/15/30(a)(b) | | | | | 997,393 | | |
| | | 2,058,713 | | | | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, step bond to yield, 3.000% due 7/25/57(b) | | | | | 2,052,500 | | |
| | | 14,289,607 | | | | Option One Mortgage Loan Trust, Series 2007-6, Class 1A1, 2.335% (1-Month USD-LIBOR + 0.190%) due 7/25/37(a) | | | | | 12,948,501 | | |
| Face Amount | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 469,248 | | | | Palmer Square Loan Funding Ltd., Series 2017-1A, Class A1, 3.043% (3-Month USD-LIBOR + 0.740%) due 10/15/25(a)(b) | | | | $ | 468,334 | | |
| | | 1,036,000 | | | | Pretium Mortgage Credit Partners I LLC, Series 2019-CFL1, Class A1, step bond to yield, 3.721% due 1/25/59(b)(d) | | | | | 1,037,168 | | |
| | | | | | | PRPM LLC: | | | |||||
| | | 6,587,023 | | | | Series 2017-2A, Class A1, step bond to yield, 3.470% due 9/25/22(b) | | | | | 6,600,248 | | |
| | | 4,861,442 | | | | Series 2019-2A, Class A1, step bond to yield, 3.967% due 4/25/24(b) | | | | | 4,906,294 | | |
| | | 2,600,000 | | | | Series 2019-3A, Class A1, step bond to yield, 3.351% due 7/25/24(b) | | | | | 2,605,553 | | |
| | | 1,000,000 | | | | Regatta XI Funding Ltd., Series 2018-1A, Class B, 3.953% (3-Month USD-LIBOR + 1.650%) due 7/17/31(a)(b) | | | | | 980,135 | | |
| | | 1,000,000 | | | | Rockford Tower CLO Ltd., Series 2017-3A, Class A, 3.468% (3-Month USD-LIBOR + 1.190%) due 10/20/30(a)(b) | | | | | 996,658 | | |
| | | 1,000,000 | | | | Sofi Professional Loan Program Trust, Series 2018-B, Class BFX, 3.830% due 8/25/47(b) | | | | | 1,069,308 | | |
| | | 500,000 | | | | Sound Point CLO XXI Ltd., Series 2018-3A, Class A1A, 3.447% (3-Month USD-LIBOR + 1.180%) due 10/26/31(a)(b) | | | | | 493,998 | | |
| | | 1,000,000 | | | | Steele Creek CLO Ltd., Series 2015-1A, Class AR, 3.412% (3-Month USD-LIBOR + 1.260%) due 5/21/29(a)(b) | | | | | 997,458 | | |
| | | 1,000,000 | | | | Symphony CLO XV Ltd., Series 2014-15A, Class AR2, 3.563% (3-Month USD-LIBOR + 1.260%) due 1/17/32(a)(b) | | | | | 997,010 | | |
| | | 1,985,000 | | | | Taco Bell Funding LLC, Series 2018-1A, Class A2I, 4.318% due 11/25/48(b) | | | | | 2,067,894 | | |
| | | 1,182,868 | | | | Textainer Marine Containers V Ltd., Series 2017-1A, Class A, 3.720% due 5/20/42(b) | | | | | 1,204,334 | | |
| | | 1,000,000 | | | | THL Credit Wind River CLO Ltd., Series 2014-2A, Class AR, 3.443% (3-Month USD-LIBOR + 1.140%) due 1/15/31(a)(b) | | | | | 993,236 | | |
| | | | | | | Vericrest Opportunity Loan Trust: | | | |||||
| | | 4,867,090 | | | | Series 2019-NPL3, Class A1, step bond to yield, 3.967% due 3/25/49(b) | | | | | 4,905,640 | | |
| | | 3,000,000 | | | | Series 2019-NPL4, Class A1A, step bond to yield, 3.352% due 8/25/49(b) | | | | | 2,999,997 | | |
| | | 500,000 | | | | Vibrant CLO X Ltd., Series 2018-10A, Class A1, 3.478% (3-Month USD-LIBOR + 1.200%) due 10/20/31(a)(b) | | | | | 497,480 | | |
| | | 8,582,267 | | | | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, step bond to yield, 4.213% due 10/26/48(b) | | | | | 8,631,672 | | |
| | | 10,379,953 | | | | WaMu Asset-Backed Certificates WaMu Trust, Series 2007-HE4, Class 1A, 2.315% (1-Month USD-LIBOR + 0.170%) due 7/25/47(a) | | | | | 8,012,093 | | |
| | | 14,371,641 | | | | Washington Mutural Asset-Backed Certificates WMABS Trust, Series 2006-HE3, Class 1A, 2.300% (1-Month USD-LIBOR + 0.155%) due 8/25/36(a) | | | | | 13,458,789 | | |
| | | | | | | Wellfleet CLO Ltd.: | | | |||||
| | | 1,000,000 | | | | Series 2017-2A, Class A1, 3.528% (3-Month USD-LIBOR + 1.250%) due 10/20/29(a)(b) | | | | | 999,464 | | |
| | | 1,000,000 | | | | Series 2017-3A, Class A1, 3.453% (3-Month USD-LIBOR + 1.150%) due 1/17/31(a)(b) | | | | | 992,548 | | |
| Face Amount | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 500,000 | | | | Series 2018-2A, Class A1, 3.478% (3-Month USD-LIBOR + 1.200%) due 10/20/31(a)(b) | | | | $ | 497,478 | | |
| | | 4,000,000 | | | | York CLO-6 Ltd., Series 2019-1A, Class A1, 3.516% (3-Month USD-LIBOR + 1.350%) due 7/22/32(a)(b)(d) | | | | | 3,998,756 | | |
| | | 1,000,000 | | | | Zais CLO 5 Ltd., Series 2016-2A, Class A1, 3.833% (3-Month USD-LIBOR + 1.530%) due 10/15/28(a)(b) | | | | | 998,803 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $144,948,994) | | | | | 147,457,060 | | |
| SOVEREIGN BONDS – 1.0% | | ||||||||||||
| Argentina – 0.0% | | ||||||||||||
| | | 950,000 | | | | Provincia de Buenos Aires, 7.875% due 6/15/27 | | | | | 304,000 | | |
| Canada – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Province of Ontario Canada, 2.400% due 2/8/22 | | | | | 1,017,863 | | |
| | | 750,000 | | | | Province of Quebec Canada, 2.375% due 1/31/22 | | | | | 763,408 | | |
| | | | | | | Total Canada | | | | | 1,781,271 | | |
| Chile – 0.0% | | ||||||||||||
| | | 200,000 | | | | Chile Government International Bond, 3.860% due 6/21/47 | | | | | 242,500 | | |
| Colombia – 0.1% | | ||||||||||||
| | | | | | | Colombia Government International Bond: | | | |||||
| | | 750,000 | | | | 3.875% due 4/25/27 | | | | | 810,382 | | |
| | | 200,000 | | | | 4.500% due 3/15/29 | | | | | 227,500 | | |
| | | 250,000 | | | | 5.625% due 2/26/44 | | | | | 321,565 | | |
| | | 200,000 | | | | 5.200% due 5/15/49 | | | | | 250,800 | | |
| | | | | | | Total Colombia | | | | | 1,610,247 | | |
| Dominican Republic – 0.0% | | ||||||||||||
| | | 400,000 | | | | Dominican Republic International Bond, 6.400% due 6/5/49(b) | | | | | 438,500 | | |
| Hungary – 0.0% | | ||||||||||||
| | | 500,000 | | | | Hungary Government International Bond, 6.375% due 3/29/21 | | | | | 531,080 | | |
| India – 0.0% | | ||||||||||||
| | | 200,000 | | | | Export-Import Bank of India, 4.000% due 1/14/23 | | | | | 208,980 | | |
| Indonesia – 0.2% | | ||||||||||||
| | | 200,000 | | | | Indonesia Government International Bond, 5.350% due 2/11/49 | | | | | 261,613 | | |
| | | | | | | Perusahaan Penerbit SBSN Indonesia III: | | | |||||
| | | 400,000 | | | | 3.400% due 3/29/22 | | | | | 408,584 | | |
| | | 2,100,000 | | | | 3.750% due 3/1/23 | | | | | 2,177,469 | | |
| | | 1,300,000 | | | | 4.150% due 3/29/27(b) | | | | | 1,409,122 | | |
| | | | | | | Total Indonesia | | | | | 4,256,788 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Japan – 0.0% | | ||||||||||||
| | | | | | | Japan Bank for International Cooperation: | | | |||||
| | $ | 250,000 | | | | 2.875% due 6/1/27 | | | | $ | 268,435 | | |
| | | 250,000 | | | | 2.750% due 11/16/27 | | | | | 266,529 | | |
| | | | | | | Total Japan | | | | | 534,964 | | |
| Mexico – 0.1% | | ||||||||||||
| | | | | | | Mexico Government International Bond: | | | |||||
| | | 500,000 | | | | 3.500% due 1/21/21 | | | | | 509,375 | | |
| | | 600,000 | | | | 4.150% due 3/28/27 | | | | | 640,506 | | |
| | | 350,000 | | | | 3.750% due 1/11/28 | | | | | 365,929 | | |
| | | 750,000 | | | | 4.600% due 1/23/46 | | | | | 810,945 | | |
| | | | | | | Total Mexico | | | | | 2,326,755 | | |
| Panama – 0.0% | | ||||||||||||
| | | 250,000 | | | | Panama Government International Bond, 4.500% due 5/15/47 | | | | | 310,002 | | |
| Peru – 0.1% | | ||||||||||||
| | | | | | | Peruvian Government International Bond: | | | |||||
| | | 250,000 | | | | 2.844% due 6/20/30 | | | | | 264,375 | | |
| | | 100,000 | | | | 5.625% due 11/18/50 | | | | | 152,501 | | |
| | | | | | | Total Peru | | | | | 416,876 | | |
| Philippines – 0.1% | | ||||||||||||
| | | | | | | Philippine Government International Bond: | | | |||||
| | | 1,000,000 | | | | 4.200% due 1/21/24 | | | | | 1,089,319 | | |
| | | 500,000 | | | | 3.950% due 1/20/40 | | | | | 599,975 | | |
| | | | | | | Total Philippines | | | | | 1,689,294 | | |
| Poland – 0.1% | | ||||||||||||
| | | 500,000 | | | | Republic of Poland Government International Bond, 4.000% due 1/22/24 | | | | | 543,882 | | |
| South Korea – 0.0% | | ||||||||||||
| | | 250,000 | | | | Export-Import Bank of Korea, 2.625% due 5/26/26 | | | | | 256,138 | | |
| | | 200,000 | | | | Korea International Bond, 2.500% due 6/19/29 | | | | | 207,345 | | |
| | | | | | | Total South Korea | | | | | 463,483 | | |
| Supranational – 0.1% | | ||||||||||||
| | | | | | | International Bank for Reconstruction & Development: | | | |||||
| | | 1,000,000 | | | | 1.375% due 9/20/21 | | | | | 996,340 | | |
| | | 500,000 | | | | 2.500% due 3/19/24 | | | | | 522,605 | | |
| | | 250,000 | | | | 1.875% due 10/27/26 | | | | | 256,268 | | |
| | | 250,000 | | | | 2.500% due 11/22/27 | | | | | 268,009 | | |
| | | | | | | Total Supranational | | | | | 2,043,222 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Thailand – 0.0% | | ||||||||||||
| | $ | 400,000 | | | | Export Import Bank of Thailand, 2.998% due 5/23/24(a) | | | | $ | 400,360 | | |
| Uruguay – 0.1% | | ||||||||||||
| | | | | | | Uruguay Government International Bond: | | | |||||
| | | 250,000 | | | | 4.375% due 1/23/31 | | | | | 283,125 | | |
| | | 250,000 | | | | 4.125% due 11/20/45 | | | | | 277,128 | | |
| | | | | | | Total Uruguay | | | | | 560,253 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $18,229,568) | | | | | 18,662,457 | | |
| SENIOR LOANS(a) – 1.3% | | ||||||||||||
| | | 241,975 | | | | 1011778 BC Unlimited Liability Co., 4.362% (1-Month USD-LIBOR + 2.250%) due 2/16/24 | | | | | 241,500 | | |
| | | 24,875 | | | | 8th Avenue Food & Provisions Inc., 5.963% (1-Month USD-LIBOR + 3.750%) due 10/1/25 | | | | | 24,891 | | |
| | | 114,414 | | | | Acadia Healthcare Co., Inc., 4.612% (1-Month USD-LIBOR + 2.500%) due 2/16/23 | | | | | 114,414 | | |
| | | 104,030 | | | | Access CIG LLC, 6.069% (3-Month USD-LIBOR + 3.750%) due 2/27/25 | | | | | 102,079 | | |
| | | 94,763 | | | | Achilles Acquisition LLC, 6.125% (1-Month USD-LIBOR + 4.000%) due 10/13/25 | | | | | 94,585 | | |
| | | 155,304 | | | | Acrisure LLC, 6.362% (1-Month USD-LIBOR + 4.250%) due 11/22/23 | | | | | 153,906 | | |
| | | 99,750 | | | | Agiliti Health Inc., 5.250% (1-Month USD-LIBOR + 3.000%) due 1/4/26 | | | | | 99,875 | | |
| | | 107,375 | | | | Air Medical Group Holdings Inc., 5.432% (1-Month USD-LIBOR + 3.250%) due 4/28/22 | | | | | 100,765 | | |
| | | 222,903 | | | | Air Methods Corp., 5.830% (3-Month USD-LIBOR + 3.500%) due 4/22/24 | | | | | 183,431 | | |
| | | | | | | Albertson’s LLC: | | | |||||
| | | 30,075 | | | | 4.862% (1-Month USD-LIBOR + 2.750%) due 11/17/25(j) | | | | | 30,170 | | |
| | | 88,853 | | | | 4.862% (1-Month USD-LIBOR + 2.750%) due 8/17/26 | | | | | 89,186 | | |
| | | 78,149 | | | | Alera Group Intermediate Holdings Inc., 0.000% (1-Month USD-LIBOR + 4.500%) due 8/1/25 | | | | | 78,100 | | |
| | | 154,943 | | | | Aleris International Inc., 6.862% (1-Month USD-LIBOR + 4.750%) due 2/27/23 | | | | | 154,882 | | |
| | | 110,000 | | | | Alliant Holdings Intermediate LLC, 5.451% (1-Month USD-LIBOR + 3.250%) due 5/9/25 | | | | | 108,419 | | |
| | | 109,189 | | | | Allied Universal Holdco LLC, 6.507% (3-Month USD-LIBOR + 4.250%) due 7/10/26 | | | | | 108,944 | | |
| | | 168,683 | | | | Alterra Mountain Co., 5.112% (1-Month USD-LIBOR + 3.000%) due 7/31/24 | | | | | 167,839 | | |
| | | 73,257 | | | | Altice France SA, 6.197% (1-Month USD-LIBOR + 4.000%) due 8/14/26 | | | | | 72,555 | | |
| | | 75,000 | | | | American Airlines Inc., 4.195% (1-Month USD-LIBOR + 2.000%) due 12/14/23 | | | | | 74,663 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 113,259 | | | | American Tire Distributors Inc., 9.624% (3-Month USD-LIBOR + 7.500%) due 9/2/24(j) | | | | $ | 101,933 | | |
| | | 155,871 | | | | Applied Systems Inc., 5.330% (3-Month USD-LIBOR + 3.000%) due 9/19/24 | | | | | 155,287 | | |
| | | 175,000 | | | | Aramark Intermediate HoldCo Corp., 4.080% (3-Month USD-LIBOR + 1.750%) due 3/11/25 | | | | | 174,781 | | |
| | | 145,302 | | | | AssuredPartners Inc., 5.612% (1-Month USD-LIBOR + 3.500%) due 10/22/24 | | | | | 144,394 | | |
| | | | | | | Asurion LLC: | | | |||||
| | | 154,849 | | | | 5.112% (1-Month USD-LIBOR + 3.000%) due 11/3/23 | | | | | 154,877 | | |
| | | 35,509 | | | | 8.612% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | | | | 35,999 | | |
| | | 120,176 | | | | athenahealth Inc., 6.681% (1/3-Month USD-LIBOR + 4.500%) due 2/11/26 | | | | | 119,501 | | |
| | | 154,674 | | | | Auris Luxembourg III Sarl, 5.874% (1-Month USD-LIBOR + 3.750%) due 2/27/26 | | | | | 152,675 | | |
| | | 129,249 | | | | Avantor Inc., 5.112% (1-Month USD-LIBOR + 3.000%) due 11/21/24 | | | | | 130,272 | | |
| | | 93,541 | | | | Avaya Inc., 6.439% (1/2-Month USD-LIBOR + 4.250%) due 12/15/24 | | | | | 91,787 | | |
| | | 181,649 | | | | Axalta Coating Systems Dutch Holding B BV, 4.080% (3-Month USD-LIBOR + 1.750%) due 6/1/24 | | | | | 180,457 | | |
| | | 60,000 | | | | Azalea TopCo Inc., 5.612% (1-Month USD-LIBOR + 3.500%) due 7/24/26 | | | | | 59,650 | | |
| | | 49,621 | | | | Bass Pro Group LLC, 7.112% (1-Month USD-LIBOR + 5.000%) due 9/25/24 | | | | | 47,109 | | |
| | | | | | | Bausch Health Cos., Inc.: | | | |||||
| | | 53,364 | | | | 5.201% (1-Month USD-LIBOR + 3.000%) due 6/2/25 | | | | | 53,424 | | |
| | | 166,500 | | | | 4.951% (1-Month USD-LIBOR + 2.750%) due 11/27/25 | | | | | 166,334 | | |
| | | | | | | Berry Global Inc.: | | | |||||
| | | 26,700 | | | | 4.451% (1-Month USD-LIBOR + 2.250%) due 10/1/22 | | | | | 26,706 | | |
| | | 233,157 | | | | 4.701% (1-Month USD-LIBOR + 2.500%) due 7/1/26 | | | | | 233,029 | | |
| | | 154,574 | | | | BJ’s Wholesale Club Inc., 4.944% (1-Month USD-LIBOR + 2.750%) due 2/3/24 | | | | | 154,606 | | |
| | | 144,918 | | | | Blackhawk Network Holdings Inc., 5.112% (1-Month USD-LIBOR + 3.000%) due 6/15/25 | | | | | 143,560 | | |
| | | 185,000 | | | | Blackstone CQP Holdco LP, 5.887% (3-Month USD-LIBOR + 3.500%) due 9/30/24 | | | | | 184,943 | | |
| | | 62,649 | | | | Boxer Parent Co., Inc., 6.580% (3-Month USD-LIBOR + 4.250%) due 10/2/25 | | | | | 59,082 | | |
| | | 127,461 | | | | Brazos Delaware II LLC, 6.169% (1-Month USD-LIBOR + 4.000%) due 5/21/25 | | | | | 114,184 | | |
| | | 93,751 | | | | Bright Bidco BV, 5.759% (1/3-Month USD-LIBOR + 3.500%) due 6/30/24 | | | | | 55,724 | | |
| | | 116,754 | | | | Brookfield WEC Holdings Inc., 5.612% (1-Month USD-LIBOR + 3.500%) due 8/1/25 | | | | | 116,796 | | |
| | | | | | | Calpine Corp.: | | | |||||
| | | 181,131 | | | | 5.080% (3-Month USD-LIBOR + 2.750%) due 4/5/26 | | | | | 180,829 | | |
| | | 15,000 | | | | 4.612% (1-Month USD-LIBOR + 2.500%) due 8/12/26 | | | | | 14,951 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 157,523 | | | | Canyon Valor Cos. Inc., 5.080% (3-Month USD-LIBOR + 2.750%) due 6/16/23 | | | | $ | 156,342 | | |
| | | 157,873 | | | | Capri Acquisitions BidCo Ltd., 5.506% (3-Month USD-LIBOR + 3.250%) due 11/1/24 | | | | | 154,421 | | |
| | | 184,538 | | | | Catalent Pharma Solutions Inc., 4.362% (1-Month USD-LIBOR + 2.250%) due 5/18/26 | | | | | 185,076 | | |
| | | 221,562 | | | | CBS Radio Inc., 4.890% (1-Month USD-LIBOR + 2.750%) due 11/18/24 | | | | | 221,148 | | |
| | | 161,208 | | | | Cengage Learning Inc., 6.362% (1-Month USD-LIBOR + 4.250%) due 6/7/23 | | | | | 154,210 | | |
| | | 129,507 | | | | CEOC LLC, 4.112% (1-Month USD-LIBOR + 2.000%) due 10/7/24 | | | | | 129,244 | | |
| | | 143,320 | | | | Change Healthcare Holdings Inc., 4.612% (1-Month USD-LIBOR + 2.500%) due 3/1/24 | | | | | 141,647 | | |
| | | 35,000 | | | | Charter NEX US Inc., 5.612% (1-Month USD-LIBOR + 3.500%) due 5/16/24 | | | | | 34,935 | | |
| | | 120,942 | | | | CHG PPC Parent LLC, 4.862% (1-Month USD-LIBOR + 2.750%) due 3/31/25 | | | | | 119,883 | | |
| | | 65,868 | | | | Cincinnati Bell Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 10/2/24 | | | | | 65,503 | | |
| | | 75,000 | | | | Clear Channel Outdoor Holdings Inc., 5.667% (1-Month USD-LIBOR + 3.500%) due 8/21/26 | | | | | 74,906 | | |
| | | 77,565 | | | | ClubCorp Holdings Inc., 5.080% (3-Month USD-LIBOR + 2.750%) due 9/18/24 | | | | | 69,343 | | |
| | | 64,758 | | | | Commscope Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 4/6/26 | | | | | 64,380 | | |
| | | 119,742 | | | | Compass Power Generation LLC, 5.612% (1-Month USD-LIBOR + 3.500%) due 12/20/24 | | | | | 119,862 | | |
| | | 58,682 | | | | Covia Holdings Corp., 6.313% (3-Month USD-LIBOR + 4.000%) due 6/1/25 | | | | | 48,233 | | |
| | | 44,775 | | | | CPM Holdings Inc., 5.862% (1-Month USD-LIBOR + 3.750%) due 11/17/25 | | | | | 44,159 | | |
| | | | | | | CSC Holdings LLC: | | | |||||
| | | 15,705 | | | | 4.445% (1-Month USD-LIBOR + 2.250%) due 7/17/25 | | | | | 15,619 | | |
| | | 54,725 | | | | 4.445% (1-Month USD-LIBOR + 2.250%) due 1/15/26 | | | | | 54,406 | | |
| | | 169,575 | | | | 5.195% (1-Month USD-LIBOR + 3.000%) due 4/15/27 | | | | | 170,084 | | |
| | | 135,446 | | | | CSM Bakery Solutions Ltd., 6.290% (3-Month USD-LIBOR + 4.000%) due 7/3/20 | | | | | 128,928 | | |
| | | 133,176 | | | | Cvent Inc., 5.862% (1-Month USD-LIBOR + 3.750%) due 11/29/24(j) | | | | | 130,970 | | |
| | | 103,290 | | | | Cyxtera DC Holdings Inc., 5.210% (1-Month USD-LIBOR + 3.000%) due 5/1/24(j) | | | | | 96,628 | | |
| | | 60,000 | | | | DaVita Inc., due 8/12/26(j) | | | | | 60,064 | | |
| | | 66,560 | | | | Deerfield Dakota Holding LLC, 5.362% (1-Month USD-LIBOR + 3.250%) due 2/13/25 | | | | | 64,576 | | |
| | | 240,923 | | | | Dell International LLC, 4.120% (1-Month USD-LIBOR + 2.000%) due 9/7/23 | | | | | 241,398 | | |
| | | 97,241 | | | | Dentalcorp Health Services ULC, 5.862% (1-Month USD-LIBOR + 3.750%) due 6/6/25 | | | | | 94,872 | | |
| | | 30,000 | | | | Diamond Sports Group LLC, due 8/24/26(j) | | | | | 30,000 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 54,149 | | | | Digicel International Finance Ltd., 5.340% (3-Month USD-LIBOR + 3.250%) due 5/27/24 | | | | $ | 45,837 | | |
| | | 100,000 | | | | DigiCert Holdings Inc., due 8/7/26(j) | | | | | 99,583 | | |
| | | 95,931 | | | | Dun & Bradstreet Corp., 7.145% (1-Month USD-LIBOR + 5.000%) due 2/6/26 | | | | | 96,130 | | |
| | | 75,000 | | | | Dynasty Acquisition Co., Inc., 6.330% (3-Month USD-LIBOR + 4.000%) due 4/6/26 | | | | | 74,933 | | |
| | | 138,858 | | | | Dynatrace LLC, 4.862% (1-Month USD-LIBOR + 2.750%) due 8/22/25 | | | | | 138,824 | | |
| | | 139,650 | | | | E.W. Scripps Co., 4.862% (1-Month USD-LIBOR + 2.750%) due 5/1/26 | | | | | 139,601 | | |
| | | 156,322 | | | | EAB Global Inc., 6.381% (2/3-Month USD-LIBOR + 3.750%) due 11/15/24 | | | | | 153,782 | | |
| | | 139,562 | | | | Edelman Financial Center LLC, 5.432% (1-Month USD-LIBOR + 3.250%) due 7/21/25 | | | | | 139,387 | | |
| | | 120,523 | | | | Edgewater Generation LLC, 5.862% (1-Month USD-LIBOR + 3.750%) due 12/13/25(j) | | | | | 118,865 | | |
| | | 104,386 | | | | EG Group Ltd., 6.330% (3-Month USD-LIBOR + 4.000%) due 2/7/25 | | | | | 102,755 | | |
| | | 72,995 | | | | Envision Healthcare Corp., 5.862% (1-Month USD-LIBOR + 3.750%) due 10/10/25 | | | | | 56,338 | | |
| | | 109,562 | | | | ESH Hospitality Inc., 4.112% (1-Month USD-LIBOR + 2.000%) due 8/30/23 | | | | | 109,580 | | |
| | | 54,650 | | | | Exgen Renewables IV LLC, 5.130% (3-Month USD-LIBOR + 3.000%) due 11/28/24 | | | | | 52,601 | | |
| | | 64,837 | | | | Explorer Holdings Inc., 6.080% (3-Month USD-LIBOR + 3.750%) due 5/2/23 | | | | | 64,654 | | |
| | | 228,287 | | | | Filtration Group Corp., 5.112% (1-Month USD-LIBOR + 3.000%) due 3/29/25 | | | | | 228,145 | | |
| | | 154,963 | | | | Flexera Software LLC, 5.620% (1-Month USD-LIBOR + 3.500%) due 2/26/25 | | | | | 154,915 | | |
| | | 194,425 | | | | Foresight Energy LLC, 7.874% (3-Month USD-LIBOR + 5.750%) due 3/28/22(j) | | | | | 126,028 | | |
| | | 174,125 | | | | Forest City Enterprises LP, 6.112% (1-Month USD-LIBOR + 4.000%) due 12/8/25 | | | | | 175,213 | | |
| | | 83,748 | | | | Forterra Finance LLC, 5.112% (1-Month USD-LIBOR + 3.000%) due 10/25/23 | | | | | 78,139 | | |
| | | 93,092 | | | | Frontdoor Inc., 4.625% (1-Month USD-LIBOR + 2.500%) due 8/16/25 | | | | | 93,208 | | |
| | | 66,018 | | | | Frontera Generation Holdings LLC, 6.451% (1-Month USD-LIBOR + 4.250%) due 5/2/25 | | | | | 62,552 | | |
| | | 65,192 | | | | Gates Global LLC, 4.862% (1-Month USD-LIBOR + 2.750%) due 4/1/24 | | | | | 63,504 | | |
| | | 192,299 | | | | Gentiva Health Services Inc., 5.875% (1-Month USD-LIBOR + 3.750%) due 7/2/25 | | | | | 192,180 | | |
| | | 94,637 | | | | Getty Images Inc., 6.625% (1-Month USD-LIBOR + 4.500%) due 2/19/26 | | | | | 94,046 | | |
| | | 169,350 | | | | Go Daddy Operating Co. LLC, 4.112% (1-Month USD-LIBOR + 2.000%) due 2/15/24 | | | | | 169,604 | | |
| | | 116,339 | | | | GOBP Holdings Inc., 5.759% (3-Month USD-LIBOR + 3.500%) due 10/22/25 | | | | | 116,594 | | |
| | | 129,568 | | | | GoodRx Inc., 4.932% (1-Month USD-LIBOR + 2.750%) due 10/10/25 | | | | | 128,337 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 122,480 | | | | Graftech International Ltd., 5.612% (1-Month USD-LIBOR + 3.500%) due 2/12/25 | | | | $ | 118,959 | | |
| | | 258,720 | | | | Gray Television Inc., 4.832% (3-Month USD-LIBOR + 2.500%) due 1/2/26 | | | | | 258,666 | | |
| | | 145,615 | | | | Greeneden US Holdings I LLC, 5.362% (1-Month USD-LIBOR + 3.250%) due 12/1/23 | | | | | 143,831 | | |
| | | 147,561 | | | | GTT Communications Inc., 4.860% (1-Month USD-LIBOR + 2.750%) due 5/31/25 | | | | | 118,249 | | |
| | | 128,371 | | | | Gulf Finance LLC, 7.517% (3-Month USD-LIBOR + 5.250%) due 8/25/23 | | | | | 100,557 | | |
| | | 186,828 | | | | GW Honos Security Corp., 6.020% (3-Month USD-LIBOR + 3.500%) due 5/24/24 | | | | | 186,811 | | |
| | | 61,478 | | | | Harbor Freight Tools USA Inc., 4.612% (1-Month USD-LIBOR + 2.500%) due 8/18/23 | | | | | 59,077 | | |
| | | 65,708 | | | | Hayward Industries Inc., 5.612% (1-Month USD-LIBOR + 3.500%) due 8/5/24 | | | | | 62,997 | | |
| | | 175,000 | | | | HC Group Holdings II Inc., 6.612% (1-Month USD-LIBOR + 4.500%) due 8/6/26 | | | | | 174,270 | | |
| | | 104,736 | | | | HD Supply Inc., 3.862% (1-Month USD-LIBOR + 1.750%) due 10/17/23 | | | | | 105,085 | | |
| | | 60,000 | | | | Hexion Inc., 5.820% (3-Month USD-LIBOR + 3.500%) due 7/1/26 | | | | | 59,850 | | |
| | | | | | | Hyland Software Inc.: | | | |||||
| | | 155,299 | | | | 5.362% (1-Month USD-LIBOR + 3.250%) due 7/1/24 | | | | | 154,620 | | |
| | | 45,596 | | | | 9.112% (1-Month USD-LIBOR + 7.000%) due 7/7/25 | | | | | 45,682 | | |
| | | 45,000 | | | | IAA Inc., 4.625% (3-Month USD-LIBOR + 2.250%) due 6/29/26 | | | | | 45,169 | | |
| | | 70,960 | | | | iHeartCommunications Inc., 6.230% (1-Month USD-LIBOR + 4.000%) due 5/1/26 | | | | | 71,120 | | |
| | | 119,851 | | | | Informatica LLC, 5.362% (1-Month USD-LIBOR + 3.250%) due 8/5/22 | | | | | 119,877 | | |
| | | 49,408 | | | | ION Trading Technologies SARL, 6.651% (3-Month USD-LIBOR + 4.000%) due 11/21/24 | | | | | 47,391 | | |
| | | | | | | Iqvia Inc.: | | | |||||
| | | 174,114 | | | | 4.330% (3-Month USD-LIBOR + 2.000%) due 1/17/25 | | | | | 174,295 | | |
| | | 85,534 | | | | 4.008% (2-Month USD-LIBOR + 1.750%) due 6/11/25 | | | | | 85,347 | | |
| | | 156,072 | | | | IRB Holding Corp., 5.550% (3-Month USD-LIBOR + 3.250%) due 2/5/25 | | | | | 154,853 | | |
| | | 64,687 | | | | IRI Holdings Inc., 6.624% (1/3-Month USD-LIBOR + 4.500%) due 12/1/25 | | | | | 61,587 | | |
| | | 155,407 | | | | Jaguar Holding Co. I LLC, 4.612% (1-Month USD-LIBOR + 2.500%) due 8/18/22 | | | | | 154,414 | | |
| | | 258,535 | | | | JBS USA Lux SA, 4.612% (1-Month USD-LIBOR + 2.500%) due 5/1/26 | | | | | 258,859 | | |
| | | 17,056 | | | | KAR Auction Services Inc., 4.875% (3-Month USD-LIBOR + 2.500%) due 3/9/23 | | | | | 17,034 | | |
| | | 102,605 | | | | KBR Inc., 5.862% (1-Month USD-LIBOR + 3.750%) due 4/25/25 | | | | | 102,990 | | |
| | | 65,324 | | | | Kindred Healthcare LLC, 7.125% (1-Month USD-LIBOR + 5.000%) due 7/2/25 | | | | | 64,589 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 72,402 | | | | Klockner Pentaplast of America Inc., 6.362% (1-Month USD-LIBOR + 4.250%) due 6/30/22 | | | | $ | 64,583 | | |
| | | 137,111 | | | | Kronos Acquisition Intermediate Inc., 6.256% (3-Month USD-LIBOR + 4.000%) due 5/15/23 | | | | | 129,855 | | |
| | | 155,311 | | | | Kronos Inc., 5.253% (3-Month USD-LIBOR + 3.000%) due 11/1/23 | | | | | 155,134 | | |
| | | 259,226 | | | | Level 3 Financing Inc., 4.362% (1-Month USD-LIBOR + 2.250%) due 2/22/24 | | | | | 259,335 | | |
| | | 155,214 | | | | Life Time Fitness Inc., 4.874% (1/3-Month USD-LIBOR + 2.750%) due 6/10/22 | | | | | 154,373 | | |
| | | 172,283 | | | | Lions Gate Capital Holdings LLC, 4.362% (1-Month USD-LIBOR + 2.250%) due 3/24/25 | | | | | 171,636 | | |
| | | 129,461 | | | | Lower Cadence Holdings LLC, 6.145% (1-Month USD-LIBOR + 4.000%) due 5/22/26(j) | | | | | 125,982 | | |
| | | 134,426 | | | | Lucid Energy Group II Borrower LLC, 5.112% (1-Month USD-LIBOR + 3.000%) due 2/17/25 | | | | | 123,840 | | |
| | | 73,152 | | | | McDermott International Inc., 7.112% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 66,980 | | |
| | | 65,000 | | | | MED Parentco LP, due 7/31/26(j) | | | | | 64,241 | | |
| | | 156,259 | | | | Meredith Corp., 4.862% (1-Month USD-LIBOR + 2.750%) due 1/31/25(j) | | | | | 156,436 | | |
| | | 65,295 | | | | Messer Industries GmbH, 4.830% (3-Month USD-LIBOR + 2.500%) due 3/1/26 | | | | | 64,829 | | |
| | | 164,280 | | | | MGM Growth Properties Operating Partnership LP, 4.112% (1-Month USD-LIBOR + 2.000%) due 3/21/25 | | | | | 164,229 | | |
| | | 115,487 | | | | Milacron LLC, 4.612% (1-Month USD-LIBOR + 2.500%) due 9/28/23 | | | | | 115,343 | | |
| | | 218,511 | | | | Minotaur Acquisition Inc., 7.112% (1-Month USD-LIBOR + 5.000%) due 3/27/26(j) | | | | | 210,728 | | |
| | | 71,429 | | | | Mister Car Wash Holdings Inc., 5.658% (3-Month USD-LIBOR + 3.500%) due 5/14/26 | | | | | 71,173 | | |
| | | 53,105 | | | | Misys Ltd., 5.696% (6-Month USD-LIBOR + 3.500%) due 6/13/24(j) | | | | | 51,172 | | |
| | | 68,265 | | | | Mitchell International Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 11/29/24 | | | | | 63,862 | | |
| | | 62,621 | | | | MLN US HoldCo LLC, 6.612% (1-Month USD-LIBOR + 4.500%) due 11/30/25 | | | | | 59,725 | | |
| | | 150,117 | | | | MPH Acquisition Holdings LLC, 5.080% (3-Month USD-LIBOR + 2.750%) due 6/7/23 | | | | | 139,421 | | |
| | | 65,000 | | | | Nascar Holdings Inc., due 7/27/26(j) | | | | | 65,311 | | |
| | | 45,000 | | | | NCR Corp., due 8/28/26(j) | | | | | 44,860 | | |
| | | 144,275 | | | | NEP Group Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 10/20/25 | | | | | 140,524 | | |
| | | 185,000 | | | | Nexstar Broadcasting Inc., due 6/19/26(j) | | | | | 185,000 | | |
| | | 65,916 | | | | Nouryon Finance BV, 5.463% (1-Month USD-LIBOR + 3.250%) due 10/1/25 | | | | | 63,581 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 44,775 | | | | Outcomes Group Holdings Inc., 5.624% (1/3-Month USD-LIBOR + 3.500%) due 10/24/25 | | | | $ | 44,159 | | |
| | | 32,696 | | | | Panther BF Aggregator 2 LP, 5.612% (1-Month USD-LIBOR + 3.500%) due 4/30/26(j) | | | | | 32,205 | | |
| | | 59,354 | | | | Parexel International Corp., 4.862% (1-Month USD-LIBOR + 2.750%) due 9/27/24 | | | | | 55,698 | | |
| | | 55,000 | | | | PCI Gaming Authority, 5.112% (1-Month USD-LIBOR + 3.000%) due 5/29/26 | | | | | 55,249 | | |
| | | 52,218 | | | | Peak 10 Holding Corp., 5.830% (3-Month USD-LIBOR + 3.500%) due 8/1/24 | | | | | 44,864 | | |
| | | 44,887 | | | | Penn National Gaming Inc., 4.362% (1-Month USD-LIBOR + 2.250%) due 10/15/25 | | | | | 44,988 | | |
| | | 162,596 | | | | PetSmart Inc., 6.210% (1-Month USD-LIBOR + 4.000%) due 3/11/22(j) | | | | | 157,718 | | |
| | | 68,559 | | | | Pike Corp., 5.400% (1-Month USD-LIBOR + 3.250%) due 7/24/26 | | | | | 68,530 | | |
| | | 64,689 | | | | Plantronics Inc., 4.612% (1-Month USD-LIBOR + 2.500%) due 7/2/25 | | | | | 64,365 | | |
| | | 67,699 | | | | Playa Resorts Holding BV, 4.860% (1-Month USD-LIBOR + 2.750%) due 4/29/24 | | | | | 64,652 | | |
| | | 66,422 | | | | Ply Gem Midco Inc., 5.951% (1-Month USD-LIBOR + 3.750%) due 4/12/25 | | | | | 64,409 | | |
| | | 146,171 | | | | PODS LLC, 5.053% (3-Month USD-LIBOR + 2.750%) due 12/6/24 | | | | | 144,709 | | |
| | | 230,949 | | | | PowerTeam Services LLC, 5.580% (3-Month USD-LIBOR + 3.250%) due 3/6/25 | | | | | 207,854 | | |
| | | 89,775 | | | | Prairie ECI Acquiror LP, 7.080% (3-Month USD-LIBOR + 4.750%) due 3/11/26 | | | | | 87,486 | | |
| | | 15,000 | | | | Pregis TopCo LLC, 6.253% (3-Month USD-LIBOR + 4.000%) due 7/31/26 | | | | | 14,919 | | |
| | | 181,270 | | | | Prime Security Services Borrower LLC, 4.862% (1-Month USD-LIBOR + 2.750%) due 5/2/22 | | | | | 181,025 | | |
| | | 123,601 | | | | Project Alpha Intermediate Holding Inc., 5.810% (3-Month USD-LIBOR + 3.500%) due 4/26/24 | | | | | 121,825 | | |
| | | 98,375 | | | | Radiate Holdco LLC, 5.112% (1-Month USD-LIBOR + 3.000%) due 2/1/24 | | | | | 97,392 | | |
| | | 87,018 | | | | Radiology Partners Inc., 6.767% due 7/9/25(j) | | | | | 83,407 | | |
| | | 123,493 | | | | Refinitiv US Holdings Inc., 5.862% (1-Month USD-LIBOR + 3.750%) due 10/1/25 | | | | | 124,042 | | |
| | | 96,352 | | | | Regionalcare Hospital Partners Holdings Inc., 6.645% (1-Month USD-LIBOR + 4.500%) due 11/16/25 | | | | | 95,991 | | |
| | | 123,564 | | | | Renaissance Holding Corp., 5.362% (1-Month USD-LIBOR + 3.250%) due 5/30/25 | | | | | 120,814 | | |
| | | 317,314 | | | | RentPath LLC, 6.870% (1-Month USD-LIBOR + 4.750%) due 12/17/21 | | | | | 166,986 | | |
| | | 103,634 | | | | Reynolds Group Holdings Inc., 4.862% (1-Month USD-LIBOR + 2.750%) due 2/5/23(j) | | | | | 103,523 | | |
| | | 113,060 | | | | RPI Finance Trust, 4.112% (1-Month USD-LIBOR + 2.000%) due 3/27/23 | | | | | 113,217 | | |
| | | 155,928 | | | | Scientific Games International Inc., 4.889% (1/2-Month USD-LIBOR + 2.750%) due 8/14/24 | | | | | 153,935 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 290,656 | | | | Securus Technologies Holdings Inc., 6.830% (3-Month USD-LIBOR + 4.500%) due 11/1/24 | | | | $ | 258,684 | | |
| | | 145,907 | | | | Sedgwick Claims Management Services Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 12/31/25 | | | | | 141,347 | | |
| | | 241,125 | | | | Select Medical Corp., 4.850% (3-Month USD-LIBOR + 2.500%) due 3/6/25 | | | | | 239,719 | | |
| | | 121,487 | | | | Severin Acquisition LLC, 5.459% (3-Month USD-LIBOR + 3.250%) due 8/1/25 | | | | | 119,158 | | |
| | | 50,000 | | | | Sinclair Television Group Inc., 4.700% (3-Month USD-LIBOR + 2.500%) due 9/30/26(j) | | | | | 49,938 | | |
| | | 145,000 | | | | Six Flags Theme Parks Inc., 4.120% (1-Month USD-LIBOR + 2.000%) due 4/17/26 | | | | | 145,091 | | |
| | | 65,900 | | | | Solenis Holdings LLC, 6.112% (1-Month USD-LIBOR + 4.000%) due 6/26/25 | | | | | 63,813 | | |
| | | 155,797 | | | | Solera LLC, 4.862% (1-Month USD-LIBOR + 2.750%) due 3/3/23 | | | | | 154,922 | | |
| | | 144,356 | | | | Sophia LP, 5.580% (3-Month USD-LIBOR + 3.250%) due 9/30/22 | | | | | 144,145 | | |
| | | 168,446 | | | | Sound Inpatient Physicians Inc., 4.862% (1-Month USD-LIBOR + 2.750%) due 6/27/25 | | | | | 166,551 | | |
| | | 61,806 | | | | Southern Graphics Inc., 5.380% (1/2-Month USD-LIBOR + 3.250%) due 12/31/22(j) | | | | | 49,291 | | |
| | | 138,947 | | | | SpeedCast International Ltd., 5.080% (3-Month USD-LIBOR + 2.750%) due 5/15/25 | | | | | 128,353 | | |
| | | 157,370 | | | | Sprint Communications Inc., 4.625% (1-Month USD-LIBOR + 2.500%) due 2/2/24 | | | | | 156,238 | | |
| | | 198,481 | | | | SS&C Technologies Holdings Inc., 4.362% (1-Month USD-LIBOR + 2.250%) due 4/16/25 | | | | | 198,453 | | |
| | | 74,870 | | | | Staples Inc., 7.197% (1-Month USD-LIBOR + 5.000%) due 4/16/26 | | | | | 71,875 | | |
| | | 84,749 | | | | Stars Group Holdings BV, 5.830% (3-Month USD-LIBOR + 3.500%) due 7/10/25 | | | | | 84,956 | | |
| | | 35,000 | | | | Sunshine Luxembourg VII SARL, due 7/17/26(j) | | | | | 34,974 | | |
| | | 172,721 | | | | Syncreon Global Finance (US) Inc., 6.362% (1-Month USD-LIBOR + 4.250%) due 10/28/20 | | | | | 80,747 | | |
| | | 138,800 | | | | Syneos Health Inc., 4.112% (1-Month USD-LIBOR + 2.000%) due 8/1/24 | | | | | 138,661 | | |
| | | 60,000 | | | | TAMKO Building Products Inc., 5.546% (3-Month USD-LIBOR + 3.250%) due 5/29/26 | | | | | 60,000 | | |
| | | 60,776 | | | | Telesat Canada, 4.830% (3-Month USD-LIBOR + 2.500%) due 11/17/23 | | | | | 60,684 | | |
| | | 168,563 | | | | Tempo Acquisition LLC, 5.112% (1-Month USD-LIBOR + 3.000%) due 5/1/24(j) | | | | | 168,423 | | |
| | | 54,024 | | | | Titan Acquisition Ltd., 5.112% (1-Month USD-LIBOR + 3.000%) due 3/28/25 | | | | | 51,743 | | |
| | | 158,575 | | | | TKC Holdings Inc., 5.870% (1-Month USD-LIBOR + 3.750%) due 2/1/23 | | | | | 154,470 | | |
| | | 195,429 | | | | Transdigm Inc., 4.830% (3-Month USD-LIBOR + 2.500%) due 6/9/23 | | | | | 193,891 | | |
| | | 148,500 | | | | Travel Leaders Group LLC, 6.170% (1-Month USD-LIBOR + 4.000%) due 1/25/24 | | | | | 148,871 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 54,454 | | | | Travelport Finance (Luxembourg) SARL, 7.541% (3-Month USD-LIBOR + 5.000%) due 5/29/26 | | | | $ | 50,016 | | |
| | | 143,852 | | | | Uber Technologies Inc., 6.195% (1-Month USD-LIBOR + 4.000%) due 4/4/25 | | | | | 143,852 | | |
| | | 168,425 | | | | UFC Holdings LLC, 5.370% (1-Month USD-LIBOR + 3.250%) due 4/29/26 | | | | | 168,385 | | |
| | | 80,000 | | | | UGI Energy Services LLC, 5.862% (1-Month USD-LIBOR + 3.750%) due 8/13/26 | | | | | 80,000 | | |
| | | 80,000 | | | | Ultimate Software Group Inc., 6.080% (3-Month USD-LIBOR + 3.750%) due 5/4/26 | | | | | 80,143 | | |
| | | 59,847 | | | | US Anesthesia Partners Inc., 5.112% (1-Month USD-LIBOR + 3.000%) due 6/23/24 | | | | | 57,274 | | |
| | | 95,000 | | | | US Foods Inc., due 8/14/26(j) | | | | | 95,159 | | |
| | | 114,716 | | | | USIC Holdings Inc., 5.112% (1-Month USD-LIBOR + 3.000%) due 12/8/23 | | | | | 113,090 | | |
| | | 78,821 | | | | Vantage Specialty Chemicals Inc., 5.618% (1/3-Month USD-LIBOR + 3.500%) due 10/28/24 | | | | | 75,274 | | |
| | | 167,643 | | | | Verscend Holding Corp., 6.612% (1-Month USD-LIBOR + 4.500%) due 8/27/25 | | | | | 167,904 | | |
| | | 133,796 | | | | Vertafore Inc., 5.362% (1-Month USD-LIBOR + 3.250%) due 7/2/25 | | | | | 129,072 | | |
| | | 259,917 | | | | VICI Properties 1 LLC, 4.170% (1-Month USD-LIBOR + 2.000%) due 12/20/24 | | | | | 260,288 | | |
| | | 63,227 | | | | Victory Capital Holdings Inc., 5.569% (3-Month USD-LIBOR + 3.250%) due 7/1/26 | | | | | 63,129 | | |
| | | 258,520 | | | | Virgin Media Bristol LLC, 4.695% (1-Month USD-LIBOR + 2.500%) due 1/15/26(j) | | | | | 258,321 | | |
| | | 240,171 | | | | Vistra Operations Co. LLC, 4.147% (1/3-Month USD-LIBOR + 2.000%) due 12/31/25 | | | | | 240,371 | | |
| | | 34,913 | | | | Vizient Inc., 4.612% (1-Month USD-LIBOR + 2.500%) due 5/6/26 | | | | | 35,029 | | |
| | | 150,000 | | | | Wand Newco 3 Inc., 5.713% (1-Month USD-LIBOR + 3.500%) due 2/5/26 | | | | | 150,375 | | |
| | | 115,000 | | | | WestJet Airlines Ltd., due 8/7/26(j) | | | | | 115,252 | | |
| | | 55,000 | | | | Whatabrands LLC, 5.516% (3-Month USD-LIBOR + 3.250%) due 8/2/26 | | | | | 55,189 | | |
| | | 146,988 | | | | Wink Holdco Inc., 5.112% (1-Month USD-LIBOR + 3.000%) due 12/2/24 | | | | | 142,854 | | |
| | | 144,344 | | | | WP CPP Holdings LLC, 6.010% (1/3-Month USD-LIBOR + 3.750%) due 4/30/25 | | | | | 144,074 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $25,953,699) | | | | | 25,261,609 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 0.2%†† | | |||||||||||||||
| California – 0.1% | | | ||||||||||||||
| | $ | 125,000 | | | | AA | | | Bay Area Toll Authority, Series F2, 6.263% due 4/1/49 | | | | $ | 205,034 | | |
| | | 100,000 | | | | AA+ | | | Los Angeles Community College District, GO, Series E, 6.750% due 8/1/49 | | | | | 171,743 | | |
| | | 150,000 | | | | AA+ | | | Los Angeles Department of Water & Power System Revenue, Series B, 6.603% due 7/1/50 | | | | | 255,406 | | |
| | | 150,000 | | | | A+ | | | Los Angeles Unified School District, GO, Series RY, 6.758% due 7/1/34 | | | | | 215,904 | | |
| | | | | | | | | | State of California, GO: | | ||||||
| | | 25,000 | | | | AA- | | | 3.500% due 4/1/28 | | | | | 27,638 | | |
| | | 40,000 | | | | AA- | | | 4.600% due 4/1/38 | | | | | 45,152 | | |
| | | 100,000 | | | | AA- | | | 7.500% due 4/1/34 | | | | | 157,542 | | |
| | | 200,000 | | | | AA- | | | 7.550% due 4/1/39 | | | | | 335,346 | | |
| | | 125,000 | | | | AA- | | | 7.600% due 11/1/40 | | | | | 215,499 | | |
| | | | | | | | | | University of California: | | ||||||
| | | 100,000 | | | | AA | | | Series AJ, 4.601% due 5/15/31 | | | | | 117,724 | | |
| | | 25,000 | | | | AA | | | Series AX, 3.063% due 7/1/25 | | | | | 26,455 | | |
| | | 75,000 | | | | AA | | | Series R, 5.770% due 5/15/43 | | | | | 106,848 | | |
| | | | | | | | | | Total California | | | | | 1,880,291 | | |
| Florida – 0.0% | | | ||||||||||||||
| | | 20,000 | | | | A | | | County of Miami-Dade FL Aviation Revenue, Series C, 4.280% due 10/1/41 | | | | | 22,219 | | |
| Illinois – 0.0% | | | ||||||||||||||
| | | 20,000 | | | | A | | | Chicago O’Hare International Airport, Series C, 4.472% due 1/1/49 | | | | | 25,947 | | |
| | | | | | | | | | State of Illinois, GO: | | ||||||
| | | 250,000 | | | | BBB- | | | 5.100% due 6/1/33 | | | | | 272,060 | | |
| | | 100,000 | | | | BBB- | | | 6.725% due 4/1/35 | | | | | 118,718 | | |
| | | | | | | | | | Total Illinois | | | | | 416,725 | | |
| Massachusetts – 0.0% | | | ||||||||||||||
| | | 100,000 | | | | AA | | | Commonwealth of Massachusetts, GO, Series E, 5.456% due 12/1/39 | | | | | 135,536 | | |
| Nevada – 0.0% | | | ||||||||||||||
| | | 100,000 | | | | AA- | | | County of Clark Department of Aviation, Series C, 6.820% due 7/1/45 | | | | | 169,820 | | |
| New Jersey – 0.0% | | | ||||||||||||||
| | | 100,000 | | | | A+ | | | New Jersey Turnpike Authority, Series F, 7.414% due 1/1/40 | | | | | 165,042 | | |
| New York – 0.1% | | | ||||||||||||||
| | | 150,000 | | | | AA | | | Metropolitan Transportation Authority, Series C, 7.336% due 11/15/39 | | | | | 248,868 | | |
| | | 125,000 | | | | AA+ | | | New York City Water & Sewer System, Series AA, 5.440% due 6/15/43 | | | | | 181,226 | | |
| | | 200,000 | | | | AA- | | | Port Authority of New York & New Jersey, 4.458% due 10/1/62 | | | | | 261,376 | | |
| | | | | | | | | | Total New York | | | | | 691,470 | | |
| Face Amount/Units | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – 0.0% | | | ||||||||||||||
| | $ | 100,000 | | | | A | | | American Municipal Power Inc. Series B, 8.084% due 2/15/50 | | | | $ | 186,210 | | |
| Texas – 0.0% | | | ||||||||||||||
| | | 75,000 | | | | AAA | | | State of Texas, GO, Series A, 5.517% due 4/1/39 | | | | | 107,722 | | |
| Wisconsin – 0.0% | | | ||||||||||||||
| | | 10,000 | | | | AA- | | | State of Wisconsin, Series C, 3.154% due 5/1/27 | | | | | 10,719 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $3,160,393) | | | | | 3,785,754 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $1,759,747,509) | | | | | 1,819,804,316 | | |
| SHORT-TERM INVESTMENTS – 6.8% | | |||||||||||||||
| TIME DEPOSITS – 3.6% | | |||||||||||||||
| | | 24,271,749 | | | | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 24,271,749 | | |
| | | 12,529,492 | | | | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 12,529,492 | | |
| | | 33,152,578 | | | | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 33,152,578 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $69,953,819) | | | | | 69,953,819 | | |
| U.S. GOVERNMENT OBLIGATIONS – 3.2% | | |||||||||||||||
| | | | | | | | | | U.S. Treasury Bills: | | | |||||
| | | 28,000,000 | | | | | | | 2.442% due 1/2/20(k) | | | | | 27,823,840 | | |
| | | 7,400,000 | | | | | | | 1.844% due 2/13/20(k) | | | | | 7,338,294 | | |
| | | 28,100,000 | | | | | | | 2.442% due 2/27/20(k) | | | | | 27,846,479 | | |
| | | | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $62,875,851) | | | | | 63,008,613 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $132,829,670) | | | | | 132,962,432 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.0% | | |||||||||||||||
| MONEY MARKET FUND – 0.0% | | |||||||||||||||
| | | 237,591 | | | | | | | Federated Government Obligations Fund, Premier Class, 2.012%(l) (Cost – $237,591) | | | | | 237,591 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 99.8% (Cost – $1,892,814,770#) | | | | | 1,953,004,339 | | |
| | | | | | | | | | Other Assets in Excess of Liabilities – 0.2% | | | | | 4,350,501 | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,957,354,840 | | |
|
| Collateralized Mortgage Obligations | | | | | 22.1% | | |
| U.S. Government Agencies & Obligations | | | | | 22.2 | | |
| Corporate Bonds & Notes | | | | | 20.1 | | |
| Mortgage-Backed Securities | | | | | 18.7 | | |
| Asset-Backed Securities | | | | | 7.6 | | |
| Sovereign Bonds | | | | | 1.0 | | |
| Senior Loans | | | | | 1.3 | | |
| Municipal Bonds | | | | | 0.2 | | |
| Short-Term Investments | | | | | 6.8 | | |
| Money Market Fund | | | | | 0.0* | | |
| | | | | | 100.0% | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 45.9% | | ||||||||||||
| Basic Materials – 2.1% | | ||||||||||||
| | | | | | | Braskem Finance Ltd., Company Guaranteed Notes: | | | |||||
| | $ | 150,000 | | | | 7.000% due 5/7/20 | | | | $ | 153,371 | | |
| | | 200,000 | | | | 5.750% due 4/15/21 | | | | | 206,280 | | |
| | | 100,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 104,000 | | |
| | | 65,000 | | | | DuPont de Nemours Inc., Senior Unsecured Notes, 3.766% due 11/15/20 | | | | | 66,341 | | |
| | | 100,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 4.550% due 11/14/24 | | | | | 100,981 | | |
| | | 6,947,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(a) | | | | | 6,964,726 | | |
| | | 100,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 5.500% due 4/21/20 | | | | | 101,875 | | |
| | | 300,000 | | | | Southern Copper Corp., Senior Unsecured Notes, 5.375% due 4/16/20 | | | | | 304,878 | | |
| | | 200,000 | | | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20 | | | | | 200,770 | | |
| | | 200,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 201,373 | | |
| | | | | | | Total Basic Materials | | | | | 8,404,595 | | |
| Communications – 19.7% | | ||||||||||||
| | | 190,000 | | | | AT&T Inc., Senior Unsecured Notes, 2.800% due 2/17/21 | | | | | 191,881 | | |
| | | 400,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 404,871 | | |
| | | 4,666,000 | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.250% due 3/15/21 | | | | | 4,680,581 | | |
| | | 7,782,000 | | | | CenturyLink Inc., Senior Unsecured Notes, 6.150% due 9/15/19 | | | | | 7,788,226 | | |
| | | 7,760,000 | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 6.500% due 11/15/22 | | | | | 7,928,159 | | |
| | | 6,486,000 | | | | Cogent Communications Group Inc., Company Guaranteed Notes, 5.625% due 4/15/21(a) | | | | | 6,550,860 | | |
| | | 250,000 | | | | Colombia Telecomunicaciones SA ESP, Junior Subordinated Notes, 8.500% (5-Year USD Swap Rate + 6.958%)(b)(c) | | | | | 256,877 | | |
| | | 185,000 | | | | Comcast Corp., Company Guaranteed Notes, 3.450% due 10/1/21 | | | | | 190,551 | | |
| | | 200,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 206,750 | | |
| | | 428,000 | | | | CSC Holdings LLC, Company Guaranteed Notes, 5.375% due 7/15/23(a) | | | | | 439,881 | | |
| | | 10,481,000 | | | | DISH DBS Corp., Company Guaranteed Notes, 7.875% due 9/1/19 | | | | | 10,481,000 | | |
| | | 195,000 | | | | eBay Inc., Senior Unsecured Notes, 2.750% due 1/30/23 | | | | | 198,769 | | |
| | | 200,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 207,500 | | |
| | | 1,027,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(a) | | | | | 893,490 | | |
| | | 5,379,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 4.875% due 5/15/22(a) | | | | | 5,432,790 | | |
| | | 3,580,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a) | | | | | 3,571,050 | | |
| | | 2,451,000 | | | | Level 3 Financing Inc., Company Guaranteed Notes, 6.125% due 1/15/21 | | | | | 2,463,255 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Communications – (continued) | | ||||||||||||
| | | 6,468,000EUR | | | | Linkem SpA, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000%) due 8/9/22(a)(b)(d)(e) | | | | $ | 7,002,025 | | |
| | $ | 1,400,000 | | | | Mediacom Broadband LLC/Mediacom Broadband Corp., Senior Unsecured Notes, 5.500% due 4/15/21 | | | | | 1,400,000 | | |
| | | 185,000 | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.625% due 5/1/22 | | | | | 192,495 | | |
| | | 4,364,000 | | | | Sprint Communications Inc., Company Guaranteed Notes, 7.000% due 3/1/20(a) | | | | | 4,451,280 | | |
| | | 4,763,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 4,768,239 | | |
| | | 8,903,000 | | | | Twitter Inc., Senior Unsecured Notes, 0.250% due 9/15/19 | | | | | 8,894,930 | | |
| | | 200,000 | | | | Verizon Communications Inc., Senior Unsecured Notes, 3.258% (3-Month USD-LIBOR + 1.100%) due 5/15/25(b) | | | | | 203,055 | | |
| | | 361,000 | | | | VTR Finance BV, Senior Secured Notes, 6.875% due 1/15/24 | | | | | 372,733 | | |
| | | | | | | Total Communications | | | | | 79,171,248 | | |
| Consumer Cyclical – 5.8% | | ||||||||||||
| | | 8,166,000 | | | | American Airlines Group Inc., Company Guaranteed Notes, 5.500% due 10/1/19(a) | | | | | 8,178,249 | | |
| | | 175,000 | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 2.300% due 2/12/21(a) | | | | | 174,957 | | |
| | | 190,000 | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.400% due 4/19/21 | | | | | 192,616 | | |
| | | 1,700,000EUR | | | | European Lingerie Group AB, Senior Secured Notes, 7.750% (3-Month EURIBOR + 7.750%) due 2/22/21(b) | | | | | 1,743,110 | | |
| | | 7,000,000SEK | | | | Gaming Innovation Group PLC, Senior Unsecured Notes, 9.000% (3-Month SEK-STIBOR + 9.000%) due 6/28/22(b) | | | | | 703,513 | | |
| | | 190,000 | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 3.200% due 7/6/21 | | | | | 192,366 | | |
| | | 4,944,000 | | | | Lennar Corp., Company Guaranteed Notes, 4.500% due 11/15/19 | | | | | 4,946,966 | | |
| | | 3,556,000 | | | | Virgin Australia Holdings Ltd., Company Guaranteed Notes, 8.500% due 11/15/19(a) | | | | | 3,566,668 | | |
| | | 3,734,000 | | | | Yum! Brands Inc., Senior Unsecured Notes, 5.300% due 9/15/19 | | | | | 3,735,867 | | |
| | | | | | | Total Consumer Cyclical | | | | | 23,434,312 | | |
| Consumer Non-cyclical – 4.2% | | ||||||||||||
| | | 200,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.950% due 1/19/22 | | | | | 205,500 | | |
| | | 100,000 | | | | Altria Group Inc., Company Guaranteed Notes, 3.490% due 2/14/22 | | | | | 103,305 | | |
| | | 190,000 | | | | Anthem Inc., Senior Unsecured Notes, 2.500% due 11/21/20 | | | | | 190,952 | | |
| | | 285,000 | | | | AstraZeneca PLC, Senior Unsecured Notes, 2.375% due 11/16/20 | | | | | 285,751 | | |
| | | 240,000 | | | | BAT Capital Corp., Company Guaranteed Notes, 2.297% due 8/14/20 | | | | | 240,026 | | |
| | | 205,000 | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 2.600% due 5/16/22(a) | | | | | 208,852 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Consumer Non-cyclical – (continued) | | ||||||||||||
| | $ | 285,000 | | | | Cardinal Health Inc., Senior Unsecured Notes, 2.616% due 6/15/22 | | | | $ | 286,968 | | |
| | | 180,000 | | | | Cigna Corp., Company Guaranteed Notes, 3.400% due 9/17/21 | | | | | 184,283 | | |
| | | 190,000 | | | | Cintas Corp. No 2, Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 194,161 | | |
| | | 175,000 | | | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | | | | | 177,011 | | |
| | | 185,000 | | | | CVS Health Corp., Senior Unsecured Notes, 3.700% due 3/9/23 | | | | | 193,454 | | |
| | | 306,403 | | | | ENA Norte Trust, Pass-Thru Certificates, 4.950% due 4/25/23 | | | | | 315,215 | | |
| | | 450,000 | | | | Grupo Bimbo SAB de CV, Company Guaranteed Notes, 4.875% due 6/30/20 | | | | | 458,037 | | |
| | | 185,000 | | | | Mondelez International Inc., Senior Unsecured Notes, 3.000% due 5/7/20 | | | | | 185,891 | | |
| | | 6,491,000 | | | | Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes, 4.500% due 10/1/20 | | | | | 6,496,193 | | |
| | | 45,000 | | | | Reynolds American Inc., Company Guaranteed Notes, 3.250% due 6/12/20 | | | | | 45,341 | | |
| | | 2,396,000 | | | | Spectrum Brands Inc., Company Guaranteed Notes, 6.625% due 11/15/22 | | | | | 2,437,930 | | |
| | | | | | | Tenet Healthcare Corp., Senior Secured Notes: | | | |||||
| | | 1,459,000 | | | | 4.750% due 6/1/20 | | | | | 1,483,803 | | |
| | | 2,794,000 | | | | 6.000% due 10/1/20 | | | | | 2,902,966 | | |
| | | 285,000 | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | | | 292,630 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 16,888,269 | | |
| Diversified – 0.1% | | ||||||||||||
| | | 200,000 | | | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | | | 209,905 | | |
| Energy – 1.1% | | ||||||||||||
| | | 200,000 | | | | Bharat Petroleum Corp., Ltd., Senior Unsecured Notes, 4.625% due 10/25/22 | | | | | 210,800 | | |
| | | 200,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | | 207,334 | | |
| | | 200,000 | | | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | | | 200,432 | | |
| | | 200,000 | | | | CNPC General Capital Ltd., Company Guaranteed Notes, 3.950% due 4/19/22 | | | | | 207,647 | | |
| | | 200,000 | | | | CNPC HK Overseas Capital Ltd., Company Guaranteed Notes, 4.500% due 4/28/21 | | | | | 206,804 | | |
| | | 160,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(a) | | | | | 162,299 | | |
| | | 200,000 | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes, 5.625% due 8/2/21 | | | | | 210,854 | | |
| | | 110,000 | | | | Occidental Petroleum Corp., Senior Unsecured Notes, 2.700% due 8/15/22 | | | | | 111,083 | | |
| | | 400,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 407,504 | | |
| | | 400,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 400,077 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | | | | | | Pertamina Persero PT, Senior Unsecured Notes: | | | |||||
| | $ | 200,000 | | | | 5.250% due 5/23/21 | | | | $ | 209,096 | | |
| | | 200,000 | | | | 4.875% due 5/3/22 | | | | | 211,333 | | |
| | | 150,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21 | | | | | 154,875 | | |
| | | 400,000 | | | | Petronas Global Sukuk Ltd., Senior Unsecured Notes, 2.707% due 3/18/20 | | | | | 400,744 | | |
| | | 200,000 | | | | PTTEP Treasury Center Co., Ltd., Company Guaranteed Notes, 4.600% (5-Year CMT Index + 2.724%)(b)(c) | | | | | 204,032 | | |
| | | | | | | Reliance Holding USA Inc., Company Guaranteed Notes: | | | |||||
| | | 250,000 | | | | 4.500% due 10/19/20 | | | | | 255,264 | | |
| | | 250,000 | | | | 5.400% due 2/14/22 | | | | | 267,065 | | |
| | | 140,000 | | | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.750% due 5/1/24(a) | | | | | 148,044 | | |
| | | 400,000 | | | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | | | 400,386 | | |
| | | | | | | Total Energy | | | | | 4,575,673 | | |
| Financial – 2.9% | | ||||||||||||
| | | 95,000 | | | | Air Lease Corp., Senior Unsecured Notes, 2.500% due 3/1/21 | | | | | 95,405 | | |
| | | 190,000 | | | | American Express Co., Senior Unsecured Notes, 3.700% due 11/5/21 | | | | | 196,610 | | |
| | | 185,000 | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 3.625% due 5/1/22(a) | | | | | 187,645 | | |
| | | 100,000 | | | | B3 SA – Brasil Bolsa Balcao, Senior Unsecured Notes, 5.500% due 7/16/20 | | | | | 102,251 | | |
| | | 300,000 | | | | Banco BBVA Peru SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 318,378 | | |
| | | 350,000 | | | | Banco Bradesco SA, Subordinated Notes, 5.900% due 1/16/21 | | | | | 361,935 | | |
| | | | | | | Banco de Credito del Peru, Senior Unsecured Notes: | | | |||||
| | | 250,000 | | | | 5.375% due 9/16/20(a) | | | | | 257,625 | | |
| | | 200,000 | | | | 5.375% due 9/16/20 | | | | | 206,100 | | |
| | | 150,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 156,600 | | |
| | | 200,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 8.500% (5-Year CMT Index + 7.782%)(b)(c) | | | | | 210,752 | | |
| | | 200,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 206,752 | | |
| | | 200,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(b)(c) | | | | | 198,002 | | |
| | | | | | | Bancolombia SA: | | | |||||
| | | 250,000 | | | | Senior Unsecured Notes, 5.950% due 6/3/21 | | | | | 263,903 | | |
| | | 100,000 | | | | Subordinated Notes, 6.125% due 7/26/20 | | | | | 102,776 | | |
| | | 200,000 | | | | Bangkok Bank PCL, Senior Unsecured Notes, 4.800% due 10/18/20 | | | | | 205,604 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Bank of America Corp., Senior Unsecured Notes, 3.269% (3-Month USD-LIBOR + 0.790%) due 3/5/24(b) | | | | $ | 200,021 | | |
| | | 190,000 | | | | Bank of Montreal, Senior Unsecured Notes, 2.900% due 3/26/22 | | | | | 194,025 | | |
| | | 350,000 | | | | BBVA Bancomer SA, Subordinated Notes, 6.500% due 3/10/21 | | | | | 366,191 | | |
| | | 295,000 | | | | Capital One Financial Corp., Senior Unsecured Notes, 2.400% due 10/30/20 | | | | | 295,835 | | |
| | | 290,000 | | | | Citigroup Inc., Senior Unsecured Notes, 3.161% (3-Month USD-LIBOR + 1.023%) due 6/1/24(b) | | | | | 291,864 | | |
| | | 400,000 | | | | DBS Group Holdings Ltd., Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(b)(c) | | | | | 400,500 | | |
| | | 200,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 205,800 | | |
| | | 200,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.700% due 5/18/21 | | | | | 209,252 | | |
| | | 2,818,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 5.875% due 2/1/22 | | | | | 2,863,792 | | |
| | | 100,000 | | | | Industrial Senior Trust, Company Guaranteed Notes, 5.500% due 11/1/22 | | | | | 103,700 | | |
| | | 400,000 | | | | Itau Unibanco Holding SA/Cayman Island, Subordinated Notes, 5.750% due 1/22/21 | | | | | 412,200 | | |
| | | 185,000 | | | | JPMorgan Chase & Co., Senior Unsecured Notes, 3.207% (3-Month USD-LIBOR + 0.695%) due 4/1/23(b) | | | | | 190,196 | | |
| | | 200,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(b) | | | | | 204,346 | | |
| | | 150,000 | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 3.519% (3-Month USD-LIBOR + 1.200%) due 12/29/21(b) | | | | | 150,288 | | |
| | | 155,000 | | | | Mitsubishi UFJ Financial Group Inc., Senior Unsecured Notes, 3.218% due 3/7/22 | | | | | 159,020 | | |
| | | 290,000 | | | | Morgan Stanley, Senior Unsecured Notes, 3.208% (3-Month USD-LIBOR + 0.930%) due 7/22/22(b) | | | | | 292,006 | | |
| | | 206,179 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass-Thru Certificates, zero coupon, due 6/2/25 | | | | | 187,880 | | |
| | | | | | | Prudential Financial Inc., Senior Unsecured Notes: | | | |||||
| | | 180,000 | | | | 4.500% due 11/15/20 | | | | | 185,561 | | |
| | | 100,000 | | | | 3.500% due 5/15/24 | | | | | 106,735 | | |
| | | 300,000 | | | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | | | 307,172 | | |
| | | 341,665 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22 | | | | | 326,393 | | |
| | | 300,000 | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.058% due 7/14/21 | | | | | 299,647 | | |
| | | 195,000 | | | | Toronto-Dominion Bank, Senior Unsecured Notes, 3.250% due 6/11/21 | | | | | 199,480 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Financial – (continued) | | ||||||||||||
| | $ | 200,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | $ | 203,752 | | |
| | | 200,000 | | | | United Overseas Bank Ltd., Subordinated Notes, 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(b) | | | | | 202,648 | | |
| | | 195,000 | | | | Welltower Inc., Senior Unsecured Notes, 3.625% due 3/15/24 | | | | | 205,430 | | |
| | | | | | | Total Financial | | | | | 11,834,072 | | |
| Industrial – 7.4% | | ||||||||||||
| | | 5,951,000 | | | | Arconic Inc., Company Guaranteed Notes, 1.625% due 10/15/19 | | | | | 5,936,609 | | |
| | | 7,526,000 | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Secured Notes, 4.625% due 5/15/23(a) | | | | | 7,702,560 | | |
| | | 1,250,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(a) | | | | | 1,175,000 | | |
| | | 2,006,000 | | | | Briggs & Stratton Corp., Company Guaranteed Notes, 6.875% due 12/15/20 | | | | | 2,011,015 | | |
| | | 1,675,000 | | | | Dynagas LNG Partners LP/Dynagas Finance Inc., Senior Unsecured Notes, 6.250% due 10/30/19 | | | | | 1,541,000 | | |
| | | 110,000 | | | | FedEx Corp., Company Guaranteed Notes, 3.400% due 1/14/22 | | | | | 113,485 | | |
| | | 145,000 | | | | General Electric Co., Senior Unsecured Notes, 2.700% due 10/9/22 | | | | | 144,056 | | |
| | | 600,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.550% (3-Month USD-LIBOR + 4.400%) due 5/22/20(b) | | | | | 600,000 | | |
| | | 1,300,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 7.093% (3-Month USD-LIBOR + 4.750%) due 9/22/22(b) | | | | | 1,300,021 | | |
| | | 190,000 | | | | Northrop Grumman Corp., Senior Unsecured Notes, 2.080% due 10/15/20 | | | | | 190,075 | | |
| | | 90,000 | | | | Republic Services Inc., Senior Unsecured Notes, 2.500% due 8/15/24 | | | | | 91,637 | | |
| | | 2,425,677 | | | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | | | 2,431,741 | | |
| | | 1,178,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 1,223,241 | | |
| | | 300,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 297,000 | | |
| | | 200,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 215,250 | | |
| | | 185,000 | | | | Union Pacific Corp., Senior Unsecured Notes, 3.200% due 6/8/21 | | | | | 188,580 | | |
| | | 190,000 | | | | Waste Management Inc., Company Guaranteed Notes, 2.950% due 6/15/24 | | | | | 197,627 | | |
| | | 3,405,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 3,656,119 | | |
| | | 634,000 | | | | WESCO Distribution Inc., Company Guaranteed Notes, 5.375% due 12/15/21 | | | | | 638,755 | | |
| | | | | | | Total Industrial | | | | | 29,653,771 | | |
| Technology – 1.3% | | ||||||||||||
| | | 190,000 | | | | Analog Devices Inc., Senior Unsecured Notes, 2.950% due 1/12/21 | | | | | 191,847 | | |
| | | 919,000 | | | | CDK Global Inc., Senior Unsecured Notes, 3.800% due 10/15/19 | | | | | 919,000 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Technology – (continued) | | ||||||||||||
| | $ | 3,803,000 | | | | Dell International LLC/EMC Corp., Company Guaranteed Notes, 5.875% due 6/15/21(a) | | | | $ | 3,865,856 | | |
| | | 190,000 | | | | Microchip Technology Inc., Senior Secured Notes, 3.922% due 6/1/21 | | | | | 194,061 | | |
| | | | | | | Total Technology | | | | | 5,170,764 | | |
| Utilities – 1.3% | | ||||||||||||
| | | 200,000 | | | | AES Gener SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 211,800 | | |
| | | 195,000 | | | | Consolidated Edison Inc., Senior Unsecured Notes, 2.000% due 5/15/21 | | | | | 194,926 | | |
| | | 95,000 | | | | DTE Energy Co., Senior Unsecured Notes, 2.529% due 10/1/24 | | | | | 95,809 | | |
| | | 200,000 | | | | Israel Electric Corp., Ltd, Senior Secured Notes, 6.875% due 6/21/23 | | | | | 229,482 | | |
| | | 190,000 | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.900% due 4/1/22 | | | | | 194,073 | | |
| | | | | | | Pacific Gas & Electric Co., Senior Unsecured Notes: | | | |||||
| | | 1,550,000 | | | | 3.500% due 10/1/20(f) | | | | | 1,503,500 | | |
| | | 1,738,000 | | | | 4.250% due 5/15/21(f) | | | | | 1,690,205 | | |
| | | 655,000 | | | | 3.250% due 9/15/21(f) | | | | | 632,075 | | |
| | | 50,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | | 34,001 | | |
| | | 200,000 | | | | Perusahaan Listrik Negara PT, Senior Unsecured Notes, 5.500% due 11/22/21 | | | | | 212,500 | | |
| | | 180,000 | | | | PSEG Power LLC, Company Guaranteed Notes, 3.850% due 6/1/23 | | | | | 190,163 | | |
| | | | | | | Total Utilities | | | | | 5,188,534 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $185,028,360) | | | | | 184,531,143 | | |
| SENIOR LOANS(b) – 11.2% | | ||||||||||||
| | | 3,280,000 | | | | Advanced Disposal Services Inc., 4.385% (1-Week USD-LIBOR + 2.250%) due 11/10/23 | | | | | 3,282,067 | | |
| | | 1,954,880 | | | | Crestwood Holdings LLC, 9.710% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 1,866,910 | | |
| | | 2,829,000 | | | | Fieldwood Energy LLC, 7.506% (3-Month USD-LIBOR + 5.250%) due 4/11/22 | | | | | 2,478,911 | | |
| | | 3,780,690 | | | | Infor (US) Inc., 5.080% (3-Month USD-LIBOR + 2.750%) due 2/1/22 | | | | | 3,776,758 | | |
| | | 1,606,774 | | | | Internap Corp., 9.190% (1-Month USD-LIBOR + 7.000%) due 4/6/22 | | | | | 1,132,776 | | |
| | | 3,278,636 | | | | Kinetic Concepts Inc., 5.580% (3-Month USD-LIBOR + 3.250%) due 2/2/24 | | | | | 3,280,276 | | |
| | | 3,678,160 | | | | LSC Communications Inc., 7.627% (1-Week USD-LIBOR + 5.500%) due 9/30/22 | | | | | 3,094,252 | | |
| | | 700,817 | | | | Monitronics International Inc., 8.612% (1-Month USD-LIBOR + 6.500%) due 3/29/24 | | | | | 657,016 | | |
| | | 2,543,000 | | | | Shutterfly Inc., due 8/17/24(g) | | | | | 2,540,355 | | |
| | | 777,648 | | | | Town Sports International LLC, 5.612% (1-Month USD-LIBOR + 3.500%) due 11/15/20 | | | | | 707,660 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SENIOR LOANS(b) – (continued) | | ||||||||||||
| | $ | 4,210,000 | | | | Tribune Media Co., 5.112% (1-Month USD-LIBOR + 3.000%) due 1/26/24 | | | | $ | 4,201,917 | | |
| | | | | | | Windstream Services LLC: | | | |||||
| | | 6,487,250 | | | | 4.620% (1-Month USD-LIBOR + 2.500%) due 2/26/21 | | | | | 6,503,468 | | |
| | | 5,552,000 | | | | 10.250% (Prime Lending Rate + 5.000%) due 3/29/21 | | | | | 5,630,838 | | |
| | | 5,938,811 | | | | Zayo Group LLC, 4.112% (1-Month USD-LIBOR + 2.000%) due 1/19/21 | | | | | 5,938,811 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $46,460,641) | | | | | 45,092,015 | | |
| ASSET-BACKED SECURITIES – 10.7% | | ||||||||||||
| | | 340,283 | | | | AccessLex Institute, Series 2004-2, Class A3, 2.466% (3-Month USD-LIBOR + 0.190%) due 10/25/24(b) | | | | | 334,280 | | |
| | | 500,000 | | | | AIMCO CLO, Series 2015-AA, Class AR, 3.153% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | | | 497,373 | | |
| | | 1,368,350 | | | | Ajax Mortgage Loan Trust, Series 2019-C, Class A, 3.950% due 10/25/58(a)(b) | | | | | 1,402,196 | | |
| | | 104,202 | | | | Apidos CLO XVI, Series 2013-16A, Class A1R, 3.283% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | | | 104,254 | | |
| | | 1,000,000 | | | | Assurant CLO IV Ltd., Series 2019-1A, Class A, 3.628% (3-Month USD-LIBOR + 1.350%) due 4/20/30(a)(b) | | | | | 1,000,107 | | |
| | | 1,090,000 | | | | Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class AR, 2.954% (3-Month USD-LIBOR + 0.830%) due 11/17/27(a)(b) | | | | | 1,086,830 | | |
| | | 500,000 | | | | Avery Point VII CLO Ltd., Series 2015-7A, Class AR, 3.443% (3-Month USD-LIBOR + 1.140%) due 1/15/28(a)(b) | | | | | 499,981 | | |
| | | 201,698 | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-RN6, Class A1, step bond to yield, 4.090% due 7/25/33(a) | | | | | 201,668 | | |
| | | 918,278 | | | | Bayview Opportunity Master Fund IVa Trust 2019-SBR1, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(a) | | | | | 917,941 | | |
| | | 352,000 | | | | BSPRT Issuer Ltd., Series 2019-FL5, Class A, 3.475% (1-Month USD-LIBOR + 1.150%) due 5/15/29(a)(b) | | | | | 352,197 | | |
| | | 500,000 | | | | Catamaran CLO Ltd., Series 2018-1A, Class A1, 3.526% (3-Month USD-LIBOR + 1.250%) due 10/25/31(a)(b) | | | | | 498,664 | | |
| | | 1,000,000 | | | | Cathedral Lake V Ltd., Series 2018-5A, Class A1, 3.478% (3-Month USD-LIBOR + 1.200%) due 10/21/30(a)(b) | | | | | 994,579 | | |
| | | 445,011 | | | | Credit Suisse Commercial Mortgage Capital Trust, Series 2018-RPL8, Class A1, 4.125% due 7/25/58(a)(b) | | | | | 449,557 | | |
| | | 378,529 | | | | DRB Prime Student Loan Trust, Series 2016-R, Class A1, 4.166% (1-Month USD-LIBOR + 1.900%) due 10/25/44(a)(b) | | | | | 381,427 | | |
| | | 217,669 | | | | Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650% due 1/25/41(a) | | | | | 219,052 | | |
| | | 386,094 | | | | FREED ABS Trust, Series 2019-1, Class A, 3.420% due 6/18/26(a) | | | | | 387,533 | | |
| | | | | | | GLS Auto Receivables Issuer Trust: | | | |||||
| | | 361,751 | | | | Series 2019-1A, Class A, 3.370% due 1/17/23(a) | | | | | 364,761 | | |
| | | 437,298 | | | | Series 2019-2A, Class A, 3.060% due 4/17/23(a) | | | | | 440,118 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 384,381 | | | | GLS Auto Receivables Trust, Series 2018-3A, Class A, 3.350% due 8/15/22(a) | | | | $ | 386,274 | | |
| | | 345,000 | | | | GPMT Ltd., Series 2019-FL2, Class A, 3.495% (1-Month USD-LIBOR + 1.300%) due 2/22/36(a)(b) | | | | | 345,966 | | |
| | | 1,000,000 | | | | Greywolf CLO V Ltd., Series 2015-1A, Class A1R, 3.436% (3-Month USD-LIBOR + 1.160%) due 1/27/31(a)(b) | | | | | 992,851 | | |
| | | 1,000,000 | | | | Greywolf CLO VII Ltd., Series 2018-2A, Class A1, 3.458% (3-Month USD-LIBOR + 1.180%) due 10/20/31(a)(b) | | | | | 993,787 | | |
| | | 500,000 | | | | Hayfin Kingsland VIII Ltd., Series 2018-8A, Class A, 3.398% (3-Month USD-LIBOR + 1.120%) due 4/20/31(a)(b) | | | | | 495,705 | | |
| | | 228,000 | | | | Hunt CRE Ltd., Series 2018-FL2, Class A, 3.275% (1-Month USD-LIBOR + 1.080%) due 8/15/28(a)(b) | | | | | 228,000 | | |
| | | | | | | Invitation Homes Trust: | | | |||||
| | | 188,732 | | | | Series 2017-SFR2, Class A, 3.032% (1-Month USD-LIBOR + 0.850%) due 12/17/36(a)(b) | | | | | 188,554 | | |
| | | 190,849 | | | | Series 2018-SFR1, Class A, 2.882% (1-Month USD-LIBOR + 0.700%) due 3/17/37(a)(b) | | | | | 188,444 | | |
| | | 364,305 | | | | Jamestown CLO IV Ltd., Series 2014-4A, Class A1AR, 2.993% (3-Month USD-LIBOR + 0.690%) due 7/15/26(a)(b) | | | | | 363,137 | | |
| | | 500,000 | | | | Kabbage Funding LLC, Series 2019-1, Class A, 3.825% due 3/15/24(a) | | | | | 506,528 | | |
| | | 321,000 | | | | KREF Ltd., Series 2018-FL1, Class A, 3.297% (1-Month USD-LIBOR + 1.100%) due 6/15/36(a)(b) | | | | | 321,515 | | |
| | | 500,000 | | | | Laurel Road Prime Student Loan Trust 2019-A, Series 2019-A, Class A1FX, 2.340% due 10/25/48(a) | | | | | 501,255 | | |
| | | 666,363 | | | | Legacy Mortgage Asset Trust, Series 2018-SL1, Class A, 4.000% due 2/25/58(a)(b) | | | | | 666,662 | | |
| | | 962,978 | | | | Marathon CLO VII Ltd., Series 2014-7A, Class A1R, 3.576% (3-Month USD-LIBOR + 1.320%) due 10/28/25(a)(b) | | | | | 963,279 | | |
| | | | | | | Marlette Funding Trust: | | | |||||
| | | 191,251 | | | | Series 2018-3A, Class A, 3.200% due 9/15/28(a) | | | | | 191,666 | | |
| | | 465,430 | | | | Series 2018-4A, Class A, 3.710% due 12/15/28(a) | | | | | 470,271 | | |
| | | 429,709 | | | | Series 2019-2A, Class A, 3.130% due 7/16/29(a) | | | | | 432,879 | | |
| | | 1,000,000 | | | | MP CLO VII LTD, Series 2015-1A, Class ARR, 3.380% (3-Month USD-LIBOR + 1.080%) due 10/18/28(a)(b) | | | | | 995,105 | | |
| | | 341,000 | | | | NLY Commercial Mortgage Trust, Series 2019-FL2, Class AS, 3.795% (1-Month USD-LIBOR + 1.600%) due 2/15/36(a)(b) | | | | | 342,301 | | |
| | | 278,436 | | | | NRZ Excess Spread-Collateralized Notes, Series 2018-PLS1, Class A, 3.193% due 1/25/23(a) | | | | | 280,045 | | |
| | | 1,000,000 | | | | Ocean Trails CLO V, Series 2014-5A, Class ARR, 3.583% (3-Month USD-LIBOR + 1.280%) due 10/13/31(a)(b) | | | | | 999,660 | | |
| | | 250,000 | | | | OCP CLO Ltd., Series 2014-5A, Class A1R, 3.347% (3-Month USD-LIBOR + 1.080%) due 4/26/31(a)(b) | | | | | 247,751 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 3,000,000 | | | | Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1A, 3.558% (3-Month USD-LIBOR + 1.280%) due 10/20/31(a)(b) | | | | $ | 2,992,588 | | |
| | | | | | | Prosper Marketplace Issuance Trust: | | | |||||
| | | 4,178 | | | | Series 2018-1A, Class A, 3.110% due 6/17/24(a) | | | | | 4,178 | | |
| | | 474,118 | | | | Series 2019-1A, Class A, 3.540% due 4/15/25(a)(d) | | | | | 476,165 | | |
| | | 400,472 | | | | Series 2019-2A, Class A, 3.200% due 9/15/25(a) | | | | | 402,000 | | |
| | | 1,000,000 | | | | Race Point IX CLO Ltd., Series 2015-9A, Class A1AR, 3.513% (3-Month USD-LIBOR + 1.210%) due 10/15/30(a)(b) | | | | | 999,368 | | |
| | | 1,000,000 | | | | Regatta Funding LP, Series 2013-2A, Class A1R2, 3.553% (3-Month USD-LIBOR + 1.250%) due 1/15/29(a)(b) | | | | | 1,001,426 | | |
| | | 500,000 | | | | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3.236% (3-Month USD-LIBOR + 1.100%) due 5/20/31(a)(b) | | | | | 496,114 | | |
| | | | | | | Sofi Consumer Loan Program LLC: | | | |||||
| | | 598,817 | | | | Series 2016-5, Class A, 3.060% due 9/25/28(a) | | | | | 601,547 | | |
| | | 294,887 | | | | Series 2017-3, Class A, 2.770% due 5/25/26(a) | | | | | 295,958 | | |
| | | | | | | Sofi Consumer Loan Program Trust: | | | |||||
| | | 48,368 | | | | Series 2018-2, Class A1, 2.930% due 4/26/27(a) | | | | | 48,413 | | |
| | | 168,629 | | | | Series 2018-3, Class A1, 3.200% due 8/25/27(a) | | | | | 169,081 | | |
| | | 360,002 | | | | Series 2019-1, Class A, 3.240% due 2/25/28(a) | | | | | 364,336 | | |
| | | | | | | Sofi Professional Loan Program LLC: | | | |||||
| | | 465,494 | | | | Series 2015-C, Class A2, 2.510% due 8/25/33(a) | | | | | 469,810 | | |
| | | 51,256 | | | | Series 2017-C, Class A2A, 1.750% due 7/25/40(a) | | | | | 51,173 | | |
| | | 399,453 | | | | Series 2019-A, Class A1FX, 3.180% due 6/15/48(a) | | | | | 404,169 | | |
| | | 1,000,000 | | | | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A, 3.528% (3-Month USD-LIBOR + 1.250%) due 10/20/31(a)(b) | | | | | 997,547 | | |
| | | 500,000 | | | | Sound Point CLO XVIII Ltd., Series 2017-4A, Class A1, 3.398% (3-Month USD-LIBOR + 1.120%) due 1/21/31(a)(b) | | | | | 495,850 | | |
| | | | | | | Steele Creek CLO Ltd.: | | | |||||
| | | 1,000,000 | | | | Series 2015-1A, Class AR, 3.412% (3-Month USD-LIBOR + 1.260%) due 5/21/29(a)(b) | | | | | 997,458 | | |
| | | 1,000,000 | | | | Series 2018-2A, Class A, 3.324% (3-Month USD-LIBOR + 1.200%) due 8/18/31(a)(b) | | | | | 995,454 | | |
| | | 504,167 | | | | TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330% due 5/20/39(a) | | | | | 505,618 | | |
| | | 407,242 | | | | Tesla Auto Lease Trust, Series 2018-B, Class A, 3.710% due 8/20/21(a) | | | | | 414,481 | | |
| | | 250,000 | | | | THL Credit Wind River 2012-1 CLO Ltd., Series 2012-1A, Class AR2, 3.183% (3-Month USD-LIBOR + 0.880%) due 1/15/26(a)(b) | | | | | 249,857 | | |
| | | 1,000,000 | | | | Trimaran Cavu 2019-1 Ltd., Series 2019-1A, Class A1, 3.927% (3-Month USD-LIBOR + 1.460%) due 7/20/32(a)(b) | | | | | 999,339 | | |
| | | 408,270 | | | | Triton Container Finance IV LLC, Series 2017-2A, Class A, 3.620% due 8/20/42(a) | | | | | 415,442 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| ASSET-BACKED SECURITIES – (continued) | | ||||||||||||
| | $ | 442,758 | | | | Upgrade Receivables Trust, Series 2018-1A, Class A, 3.760% due 11/15/24(a) | | | | $ | 444,327 | | |
| | | 568,165 | | | | VOLT LXIV LLC, Series 2017-NP11, Class A1, step bond to yield, 3.375% due 10/25/47(a) | | | | | 568,656 | | |
| | | 561,036 | | | | VOLT LXX LLC, Series 2018-NPL6, Class A1A, step bond to yield, 4.115% due 9/25/48(a) | | | | | 563,185 | | |
| | | 954,061 | | | | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, step bond to yield, 3.967% due 9/25/48(a) | | | | | 959,935 | | |
| | | 1,604,162 | | | | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, step bond to yield, 4.213% due 10/26/48(a) | | | | | 1,613,397 | | |
| | | 403,083 | | | | VOLT LXXIII LLC, Series 2018-NPL9, Class A1A, step bond to yield, 4.458% due 10/25/48(a) | | | | | 405,216 | | |
| | | 1,397,842 | | | | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, step bond to yield, 4.336% due 1/25/49(a)(d) | | | | | 1,408,362 | | |
| | | 500,000 | | | | Westlake Automobile Receivables Trust, Series 2018-2A, Class B, 3.200% due 1/16/24(a) | | | | | 502,734 | | |
| | | 524,910 | | | | Zais CLO 2 Ltd., Series 2014-2A, Class A1AR, 3.476% (3-Month USD-LIBOR + 1.200%) due 7/25/26(a)(b) | | | | | 524,870 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $42,941,773) | | | | | 43,072,207 | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS – 8.8% | | ||||||||||||
| | | 2,618,618 | | | | Ajax Mortgage Loan Trust 2018-C, Series 2018-C, Class A, 4.360% due 9/25/65(a)(b) | | | | | 2,663,745 | | |
| | | | | | | Atrium Hotel Portfolio Trust: | | | |||||
| | | 118,000 | | | | Series 2017-ATRM, Class E, 5.245% (1-Month USD-LIBOR + 3.050%) due 12/15/36(a)(b) | | | | | 118,441 | | |
| | | 321,000 | | | | Series 2018-ATRM, Class D, 4.495% (1-Month USD-LIBOR + 2.300%) due 6/15/35(a)(b) | | | | | 321,499 | | |
| | | 158,023 | | | | Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 9/15/35(a)(b) | | | | | 157,974 | | |
| | | | | | | BANK: | | | |||||
| | | 1,553,017 | | | | Series 2017-BNK4, Class XA, 1.592% due 5/15/50(b)(h) | | | | | 123,355 | | |
| | | 1,879,453 | | | | Series 2017-BNK6, Class XA, 1.000% due 7/15/60(b)(h) | | | | | 96,222 | | |
| | | 426,000 | | | | BBCMS Mortgage Trust, Series 2018-TALL, Class A, 2.917% (1-Month USD-LIBOR + 0.722%) due 3/15/37(a)(b) | | | | | 424,664 | | |
| | | 110,487 | | | | Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AJ, 5.776% due 12/11/40(b) | | | | | 113,174 | | |
| | | | | | | Bellemeade Re Ltd.: | | | |||||
| | | 235,807 | | | | Series 2018-2A, Class M1A, 3.095% (1-Month USD-LIBOR + 0.950%) due 8/25/28(a)(b) | | | | | 235,892 | | |
| | | 1,400,000 | | | | Series 2019-2A, Class M1A, 3.145% (1-Month USD-LIBOR + 1.000%) due 4/25/29(a)(b)(d) | | | | | 1,400,281 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | BHMS: | | | |||||
| | $ | 75,000 | | | | Series 2018-ATLS, Class A, 3.445% (1-Month USD-LIBOR + 1.250%) due 7/15/35(a)(b) | | | | $ | 74,999 | | |
| | | 650,000 | | | | Series 2018-ATLS, Class C, 4.095% (1-Month USD-LIBOR + 1.900%) due 7/15/35(a)(b) | | | | | 650,600 | | |
| | | | | | | BHP Trust 2019-BXHP: | | | |||||
| | | 216,000 | | | | Series 2019-BXHP, Class A, 3.235% (1-Month USD-LIBOR + 0.975%) due 8/15/36(a)(b) | | | | | 214,983 | | |
| | | 216,000 | | | | Series 2019-BXHP, Class C, 3.782% (1-Month USD-LIBOR + 1.522%) due 8/15/36(a)(b) | | | | | 215,322 | | |
| | | 21,112 | | | | BSPRT Issuer Ltd., Series 2017-FL2, Class B, 3.595% (1-Month USD-LIBOR + 1.400%) due 10/15/34(a)(b) | | | | | 21,129 | | |
| | | | | | | BX Commercial Mortgage Trust: | | | |||||
| | | 118,000 | | | | Series 2018-BIOA, Class E, 4.146% (1-Month USD-LIBOR + 1.951%) due 3/15/37(a)(b) | | | | | 118,073 | | |
| | | 261,504 | | | | Series 2018-IND, Class A, 2.945% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(b) | | | | | 261,607 | | |
| | | | | | | BX Trust: | | | |||||
| | | 227,800 | | | | Series 2017-APPL, Class B, 3.345% (1-Month USD-LIBOR + 1.150%) due 7/15/34(a)(b) | | | | | 227,512 | | |
| | | 485,452 | | | | Series 2018-EXCL, Class A, 3.283% (1-Month USD-LIBOR + 1.088%) due 9/15/37(a)(b) | | | | | 483,017 | | |
| | | 250,000 | | | | Series 2018-GW, Class F, 4.615% (1-Month USD-LIBOR + 2.420%) due 5/15/35(a)(b) | | | | | 250,937 | | |
| | | 118,000 | | | | Series 2018-MCSF, Class F, 4.842% (1-Month USD-LIBOR + 2.647%) due 4/15/35(a)(b) | | | | | 118,590 | | |
| | | 323,000 | | | | Series 2019-MMP, Class B, 3.600% (1-Month USD-LIBOR + 1.300%) due 8/15/36(a)(b) | | | | | 323,201 | | |
| | | 117,000 | | | | BXMT Ltd., Series 2017-FL1, Class C, 4.147% (1-Month USD-LIBOR + 1.950%) due 6/15/35(a)(b) | | | | | 117,257 | | |
| | | 323,000 | | | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 3.265% (1-Month USD-LIBOR + 1.070%) due 12/15/37(a)(b) | | | | | 323,501 | | |
| | | 1,685,248 | | | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.468% due 5/10/50(b)(h) | | | | | 124,722 | | |
| | | | | | | CFCRE Commercial Mortgage Trust: | | | |||||
| | | 1,369,624 | | | | Series 2017-C8, Class XA, 1.816% due 6/15/50(b)(h) | | | | | 124,631 | | |
| | | 287,000 | | | | Series 2017-C8, Class XB, 1.120% due 6/15/50(b)(h) | | | | | 18,956 | | |
| | | 405,000 | | | | Series 2018-TAN, Class B, 4.690% due 2/15/33(a) | | | | | 433,428 | | |
| | | 325,000 | | | | CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class A, 2.985% (1-Month USD-LIBOR + 0.790%) due 7/15/32(a)(b) | | | | | 325,000 | | |
| | | 118,000 | | | | CGGS Commercial Mortgage Trust, Series 2018-WSS, Class D, 4.495% (1-Month USD-LIBOR + 2.300%) due 2/15/37(a)(b) | | | | | 117,814 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | | | | | | CHT Mortgage Trust: | | | |||||
| | $ | 117,000 | | | | Series 2017-CSMO, Class A, 3.125% (1-Month USD-LIBOR + 0.930%) due 11/15/36(a)(b) | | | | $ | 116,962 | | |
| | | 77,000 | | | | Series 2017-CSMO, Class E, 5.195% (1-Month USD-LIBOR + 3.000%) due 11/15/36(a)(b) | | | | | 77,072 | | |
| | | 41,000 | | | | Series 2017-CSMO, Class F, 5.936% (1-Month USD-LIBOR + 3.741%) due 11/15/36(a)(b) | | | | | 41,051 | | |
| | | 178,000 | | | | Citigroup Commercial Mortgage Trust, Series 2018-TBR, Class B, 3.345% (1-Month USD-LIBOR + 1.150%) due 12/15/36(a)(b) | | | | | 177,665 | | |
| | | 955,479 | | | | Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, step bond to yield, 4.125% due 3/25/59(a) | | | | | 963,074 | | |
| | | | | | | CLNS Trust: | | | |||||
| | | 47,000 | | | | Series 2017-IKPR, Class D, 4.251% (1-Month USD-LIBOR + 2.050%) due 6/11/32(a)(b) | | | | | 46,955 | | |
| | | 47,000 | | | | Series 2017-IKPR, Class E, 5.701% (1-Month USD-LIBOR + 3.500%) due 6/11/32(a)(b) | | | | | 47,073 | | |
| | | | | | | Commercial Mortgage Trust: | | | |||||
| | | 21,896,433 | | | | Series 2013-CR9, Class XA, 0.163% due 7/10/45(b)(h) | | | | | 71,006 | | |
| | | 2,151,602 | | | | Series 2013-LC6, Class XA, 1.491% due 1/10/46(b)(h) | | | | | 80,673 | | |
| | | 325,000 | | | | Series 2014-FL5, Class C, 3.711% (1-Month USD-LIBOR + 2.150%) due 10/15/31(a)(b) | | | | | 324,969 | | |
| | | 344,000 | | | | Series 2014-FL5, Class D, 3.711% (1-Month USD-LIBOR + 4.000%) due 10/15/31(a)(b) | | | | | 340,201 | | |
| | | 321,000 | | | | Series 2015-CR23, Class CMD, 3.807% due 5/10/48(a)(b) | | | | | 321,380 | | |
| | | 227,000 | | | | Series 2018-HCLV, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 9/15/33(a)(b) | | | | | 226,145 | | |
| | | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | |||||
| | | 70,000 | | | | Series 2017-CHOP, Class D, 4.095% (1-Month USD-LIBOR + 1.900%) due 7/15/32(a)(b) | | | | | 69,933 | | |
| | | 650,000 | | | | Series 2017-CHOP, Class E, 5.495% (1-Month USD-LIBOR + 3.300%) due 7/15/32(a)(b) | | | | | 650,602 | | |
| | | 107,000 | | | | Series 2017-LSTK, Class C, 3.229% due 4/5/33(a) | | | | | 107,340 | | |
| | | 128,000 | | | | Series 2017-LSTK, Class D, 3.442% due 4/5/33(a)(b) | | | | | 128,227 | | |
| | | 47,000 | | | | Series 2017-LSTK, Class E, 3.442% due 4/5/33(a)(b) | | | | | 46,732 | | |
| | | 8,157,000 | | | | Series 2017-LSTK, Class XACP, 0.681% due 4/5/33(a)(b)(h) | | | | | 33,009 | | |
| | | 2,969,000 | | | | Series 2017-LSTK, Class XBCP, 0.316% due 4/5/33(a)(b)(h) | | | | | 4,853 | | |
| | | | | | | Credit Suisse Commercial Mortgage Securities Corp.: | | | |||||
| | | 344,000 | | | | Series 2019-SKLZ, Class A, 3.445% (1-Month USD-LIBOR + 1.250%) due 1/15/34(a)(b) | | | | | 344,784 | | |
| | | 17,050,000 | | | | Series 2019-SKLZ, Class XCP, 1.622% due 7/15/34(a)(b)(h) | | | | | 209,647 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 352,000 | | | | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A, 3.175% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(b) | | | | $ | 352,221 | | |
| | | | | | | CSAIL Commercial Mortgage Trust: | | | |||||
| | | 819,369 | | | | Series 2017-C8, Class XA, 1.394% due 6/15/50(b)(h) | | | | | 51,551 | | |
| | | 4,805,884 | | | | Series 2017-CX10, Class XA, 0.861% due 11/15/50(b)(h) | | | | | 227,323 | | |
| | | 3,530,510 | | | | Series 2018-CX12, Class XA, 0.779% due 8/15/51(b)(h) | | | | | 158,601 | | |
| | | 230,000 | | | | CSWF, Series 2018-TOP, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 8/15/35(a)(b) | | | | | 229,853 | | |
| | | | | | | Deephaven Residential Mortgage Trust: | | | |||||
| | | 136,261 | | | | Series 2017-1A, Class A1, 2.725% due 12/26/46(a)(b) | | | | | 135,918 | | |
| | | 136,261 | | | | Series 2017-1A, Class A2, 2.928% due 12/26/46(a)(b) | | | | | 135,915 | | |
| | | 251,504 | | | | Series 2018-3A, Class A2, 3.891% due 8/25/58(a)(b) | | | | | 253,239 | | |
| | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | |||||
| | | 549,614 | | | | Series 4703, Class FA, 2.545% (1-Month USD-LIBOR + 0.350%) due 7/15/47(b) | | | | | 548,616 | | |
| | | 767,895 | | | | Series 4718, Class FA, 2.545% (1-Month USD-LIBOR + 0.350%) due 9/15/47(b) | | | | | 766,376 | | |
| | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | |||||
| | | 322,100 | | | | Series 2010-113, Class FA, 2.545% (1-Month USD-LIBOR + 0.400%) due 10/25/40(b) | | | | | 322,551 | | |
| | | 447,795 | | | | Series 2012-110, Class MF, 2.605% (1-Month USD-LIBOR + 0.460%) due 10/25/42(b) | | | | | 449,138 | | |
| | | 714,729 | | | | Series 2012-56, Class FK, 2.595% (1-Month USD-LIBOR + 0.450%) due 6/25/42(b) | | | | | 716,583 | | |
| | | 79,971 | | | | Series 2013-81, Class EF, 2.495% (1-Month USD-LIBOR + 0.350%) due 12/25/42(b) | | | | | 79,917 | | |
| | | 574,560 | | | | Series 2014-84, Class BF, 2.752% (1-Month USD-LIBOR + 0.350%) due 12/25/44(b) | | | | | 574,503 | | |
| | | 426,489 | | | | Series 2018-49, Class FB, 2.445% (1-Month USD-LIBOR + 0.300%) due 7/25/48(b) | | | | | 425,747 | | |
| | | 202,496 | | | | Series 2018-55, Class FA, 2.445% (1-Month USD-LIBOR + 0.300%) due 8/25/48(b) | | | | | 202,273 | | |
| | | 447,726 | | | | Series 2018-64, Class FA, 2.495% (1-Month USD-LIBOR + 0.350%) due 9/25/48(b) | | | | | 445,244 | | |
| | | 418,364 | | | | Series 2018-77, Class FA, 2.445% (1-Month USD-LIBOR + 0.300%) due 10/25/48(b) | | | | | 416,038 | | |
| | | 69,702 | | | | GPMT Ltd., Series 2018-FL1, Class A, 3.069% (1-Month USD-LIBOR + 0.900%) due 11/21/35(a)(b) | | | | | 69,702 | | |
| | | | | | | GS Mortgage Securities Corp. Trust: | | | |||||
| | | 77,000 | | | | Series 2017-500K, Class E, 3.695% (1-Month USD-LIBOR + 1.500%) due 7/15/32(a)(b) | | | | | 76,976 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 53,000 | | | | Series 2017-500K, Class F, 3.995% (1-Month USD-LIBOR + 1.800%) due 7/15/32(a)(b) | | | | $ | 53,016 | | |
| | | 551,000 | | | | Series 2018-FBLU, Class E, 4.945% (1-Month USD-LIBOR + 2.750%) due 11/15/35(a)(b) | | | | | 554,618 | | |
| | | 200,000 | | | | Series 2018-TWR, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 7/15/31(a)(b) | | | | | 199,562 | | |
| | | 200,000 | | | | Series 2018-TWR, Class D, 3.795% (1-Month USD-LIBOR + 1.600%) due 7/15/31(a)(b) | | | | | 199,203 | | |
| | | | | | | GS Mortgage Securities Trust: | | | |||||
| | | 5,261,193 | | | | Series 2016-GS4, Class XA, 0.698% due 11/10/49(b)(h) | | | | | 152,550 | | |
| | | 1,766,210 | | | | Series 2017-GS6, Class XA, 1.190% due 5/10/50(b)(h) | | | | | 121,877 | | |
| | | 3,614,917 | | | | Series 2017-GS8, Class XA, 1.124% due 11/10/50(b)(h) | | | | | 228,826 | | |
| | | 78,000 | | | | Hilton Orlando Trust, Series 2018-ORL, Class B, 3.245% (1-Month USD-LIBOR + 1.050%) due 12/15/34(a)(b) | | | | | 77,925 | | |
| | | 1,286,019 | | | | Homeward Opportunities Fund I Trust, Series 2018-1, Class A1, 3.766% due 6/25/48(a)(b) | | | | | 1,306,487 | | |
| | | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | |||||
| | | 7,520 | | | | Series 2007-LDPX, Class AM, 5.464% due 1/15/49(b) | | | | | 7,494 | | |
| | | 3,003,247 | | | | Series 2014-C20, Class XA, 1.134% due 7/15/47(b)(h) | | | | | 85,422 | | |
| | | 114,735 | | | | Series 2018-LAQ, Class A, 3.195% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | | | 114,590 | | |
| | | 321,000 | | | | Series 2019-MFP, Class A, 3.155% (1-Month USD-LIBOR + 0.960%) due 7/15/36(a)(b) | | | | | 320,800 | | |
| | | 488,980 | | | | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 3.016% (1-Month USD-LIBOR + 0.750%) due 4/25/46(a)(b) | | | | | 486,975 | | |
| | | 1,358,834 | | | | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class XA, 1.519% due 11/15/48(b)(h) | | | | | 55,019 | | |
| | | 227,000 | | | | Monarch Beach Resort Trust, Series 2018-MBR, Class A, 3.115% (1-Month USD-LIBOR + 0.920%) due 7/15/35(a)(b) | | | | | 226,430 | | |
| | | | | | | Morgan Stanley Capital I Trust: | | | |||||
| | | 280,522 | | | | Series 2007-T27, Class AJ, 6.144% due 6/11/42(b) | | | | | 299,186 | | |
| | | 164,000 | | | | Series 2011-C1, Class D, 5.554% due 9/15/47(a)(b) | | | | | 170,318 | | |
| | | 550,000 | | | | Series 2013-WLSR, Class A, 2.695% due 1/11/32(a) | | | | | 549,399 | | |
| | | 300,000 | | | | Series 2014-CPT, Class F, 3.560% due 7/13/29(a)(b) | | | | | 302,839 | | |
| | | 1,494,860 | | | | Series 2016-UB11, Class XA, 1.767% due 8/15/49(b)(h) | | | | | 118,422 | | |
| | | 4,169,002 | | | | Series 2016-UB12, Class XA, 0.924% due 12/15/49(b)(h) | | | | | 169,373 | | |
| | | 76,000 | | | | Series 2017-ASHF, Class D, 4.395% (1-Month USD-LIBOR + 2.200%) due 11/15/34(a)(b) | | | | | 75,904 | | |
| | | 162,000 | | | | Series 2017-ASHF, Class E, 5.345% (1-Month USD-LIBOR + 3.150%) due 11/15/34(a)(b) | | | | | 161,796 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 123,000 | | | | Series 2017-ASHF, Class F, 6.545% (1-Month USD-LIBOR + 4.350%) due 11/15/34(a)(b) | | | | $ | 122,922 | | |
| | | 186,000 | | | | Series 2017-CLS, Class E, 4.145% (1-Month USD-LIBOR + 1.950%) due 11/15/34(a)(b) | | | | | 186,116 | | |
| | | 206,000 | | | | Series 2017-CLS, Class F, 4.795% (1-Month USD-LIBOR + 2.600%) due 11/15/34(a)(b) | | | | | 206,129 | | |
| | | 983,773 | | | | Series 2017-H1, Class XA, 1.598% due 6/15/50(b)(h) | | | | | 75,597 | | |
| | | 142,000 | | | | Series 2018-SUN, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 7/15/35(a)(b) | | | | | 141,887 | | |
| | | 547,342 | | | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.115% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | | | 547,165 | | |
| | | 534,000 | | | | MSCG Trust, Series 2018-SELF, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 10/15/37(a)(b) | | | | | 534,527 | | |
| | | | | | | Natixis Commercial Mortgage Securities Trust: | | | |||||
| | | 350,000 | | | | Series 2018-850T, Class C, 3.349% (1-Month USD-LIBOR + 1.154%) due 7/15/33(a)(b) | | | | | 349,583 | | |
| | | 350,000 | | | | Series 2018-850T, Class D, 3.649% (1-Month USD-LIBOR + 1.454%) due 7/15/33(a)(b) | | | | | 349,582 | | |
| | | 109,347 | | | | Series 2018-FL1, Class A, 3.275% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | | | 109,053 | | |
| | | 344,000 | | | | OBP Depositor LLC Trust, Series 2010-OBP, Class A, 4.646% due 7/15/45(a) | | | | | 346,506 | | |
| | | 888,186 | | | | PRPM LLC, Series 2019-1A, Class A1, step bond to yield, 4.500% due 1/25/24(a)(d) | | | | | 897,665 | | |
| | | 36,000 | | | | RAIT Trust, Series 2017-FL7, Class AS, 3.495% (1-Month USD-LIBOR + 1.300%) due 6/15/37(a)(b) | | | | | 35,780 | | |
| | | 641,815 | | | | RCO Trust, Series 2017-INV1, Class A, 3.197% due 11/25/52(a)(b) | | | | | 639,004 | | |
| | | | | | | Rosslyn Portfolio Trust: | | | |||||
| | | 198,000 | | | | Series 2017-ROSS, Class A, 3.145% (1-Month USD-LIBOR + 0.950%) due 6/15/33(a)(b) | | | | | 197,989 | | |
| | | 35,000 | | | | Series 2017-ROSS, Class B, 3.445% (1-Month USD-LIBOR + 1.250%) due 6/15/33(a)(b) | | | | | 34,964 | | |
| | | 352,000 | | | | Shelter Growth CRE Issuer Ltd., Series 2019-FL2, Class B, 4.495% (1-Month USD-LIBOR + 2.300%) due 5/15/36(a)(b) | | | | | 352,458 | | |
| | | 166,792 | | | | SLIDE, Series 2018-FUN, Class A, 3.095% (1-Month USD-LIBOR + 0.900%) due 6/15/31(a)(b) | | | | | 166,685 | | |
| | | | | | | UBS Commercial Mortgage Trust: | | | |||||
| | | 1,835,829 | | | | Series 2012-C1, Class XA, 2.243% due 5/10/45(a)(b)(h) | | | | | 78,020 | | |
| | | 1,114,539 | | | | Series 2017-C1, Class XA, 1.734% due 6/15/50(b)(h) | | | | | 102,816 | | |
| | | 296,840 | | | | Verus Securitization Trust, Series 2018-1, Class A1, 2.929% due 2/25/48(a)(b) | | | | | 297,116 | | |
| | | 1,382,502 | | | | Verus Securitization Trust 2019-INV2, Series 2019-INV2, Class A3, 3.219% due 7/25/59(a)(b) | | | | | 1,384,892 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 510,811 | | | | VMC Finance LLC, Series 2018-FL2, Class A, 3.117% (1-Month USD-LIBOR + 0.920%) due 10/15/35(a)(b) | | | | $ | 509,872 | | |
| | | | | | | Wells Fargo Commercial Mortgage Trust: | | | |||||
| | | 2,840,633 | | | | Series 2015-LC22, Class XA, 0.993% due 9/15/58(b)(h) | | | | | 113,067 | | |
| | | 6,093,534 | | | | Series 2015-NXS2, Class XA, 0.870% due 7/15/58(b)(h) | | | | | 175,310 | | |
| | | 3,479,151 | | | | Series 2018-C46, Class XA, 1.113% due 8/15/51(b)(h) | | | | | 209,752 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $36,463,389) | | | | | 35,470,652 | | |
| U.S. GOVERNMENT OBLIGATIONS – 0.9% | | ||||||||||||
| | | | | | | U.S. Treasury Notes: | | | |||||
| | | 710,000 | | | | 2.250% due 3/31/20 | | | | | 711,387 | | |
| | | 1,040,000 | | | | 1.625% due 4/30/23 | | | | | 1,047,394 | | |
| | | 1,650,000 | | | | 2.250% due 12/31/23 | | | | | 1,707,428 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost – $3,379,839) | | | | | 3,466,209 | | |
| SOVEREIGN BONDS – 0.5% | | ||||||||||||
| Brazil – 0.1% | | ||||||||||||
| | | 200,000 | | | | Brazilian Government International Bond, 4.875% due 1/22/21 | | | | | 207,602 | | |
| Colombia – 0.1% | | ||||||||||||
| | | 450,000 | | | | Colombia Government International Bond, 4.375% due 7/12/21 | | | | | 466,879 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 400,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 420,504 | | |
| Indonesia – 0.1% | | ||||||||||||
| | | 400,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 3.400% due 3/29/22 | | | | | 408,584 | | |
| Mexico – 0.1% | | ||||||||||||
| | | 200,000 | | | | Nacional Financiera SNC, 3.375% due 11/5/20 | | | | | 201,252 | | |
| Thailand – 0.0% | | ||||||||||||
| | | 200,000 | | | | Export Import Bank of Thailand, 3.036% (3-Month USD-LIBOR + 0.900%) due 11/20/23(b) | | | | | 200,600 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $1,898,771) | | | | | 1,905,421 | | |
| MORTGAGE-BACKED SECURITY – 0.2% | | ||||||||||||
| FNMA – 0.2% | | ||||||||||||
| | | 600,000 | | | | Federal National Mortgage Association (FNMA), 2.670% due 9/1/21 (Cost – $606,152) | | | | | 608,356 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| EXCHANGE TRADED FUND (ETF) – 5.7% | | ||||||||||||
| | | 456,184 | | | | iShares Core 1-5 Year USD Bond | | | |||||
| | | | | | | (Cost – $22,868,636) | | | | $ | 23,105,720 | | |
| COMMON STOCK – 0.0% | | ||||||||||||
| BASIC MATERIALS – 0.0% | | ||||||||||||
| Forest Products & Paper – 0.0% | | ||||||||||||
| | | 20,309 | | | | Appvion Inc.*(d)(e) | | | |||||
| | | | | | | (Cost – $395,660) | | | | | 201,059 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | | | |||||
| | | | | | | (Cost – $340,043,220) | | | | | 337,452,782 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 15.4% | | ||||||||||||
| COMMERCIAL PAPERS – 10.8% | | ||||||||||||
| | $ | 1,344,000 | | | | Arrow Electronics Inc., 2.556% due 9/16/19(i) | | | | | 1,342,393 | | |
| | | | | | | Boston Scientific Corp.: | | | |||||
| | | 2,622,000 | | | | 2.404% due 9/5/19(i) | | | | | 2,621,013 | | |
| | | 1,344,000 | | | | 2.445% due 9/13/19(i) | | | | | 1,342,810 | | |
| | | 6,215,000 | | | | Campbell Soup Co., 2.409% due 10/7/19(i) | | | | | 6,199,813 | | |
| | | 5,684,000 | | | | Dow Chemical Co., 2.276% due 9/27/19(i) | | | | | 5,673,805 | | |
| | | 4,569,000 | | | | EI du Pont de Nemours & Co., 2.304% due 9/10/19(i) | | | | | 4,565,873 | | |
| | | 5,564,000 | | | | Keurig Dr Pepper Inc., 2.257% due 10/2/19(i) | | | | | 5,552,208 | | |
| | | 5,697,000 | | | | Marriott International Inc., 2.356% due 9/16/19(i) | | | | | 5,690,855 | | |
| | | 4,589,000 | | | | Mondelez International Inc., 2.326% due 9/19/19(i) | | | | | 4,583,162 | | |
| | | 5,698,000 | | | | Royal Caribbean Ltd., 2.487% due 9/20/19(i) | | | | | 5,690,382 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS | | | |||||
| | | | | | | (Cost – $43,266,778) | | | | | 43,262,314 | | |
| TIME DEPOSITS – 3.9% | | ||||||||||||
| | | 12,665,259 | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 12,665,259 | | |
| | | 2,824,574 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 2,824,574 | | |
| | | | | | | TOTAL TIME DEPOSITS | | | |||||
| | | | | | | (Cost – $15,489,833) | | | | | 15,489,833 | | |
| U.S. GOVERNMENT OBLIGATIONS – 0.7% | | ||||||||||||
| | | | | | | U.S. Treasury Bills: | | | |||||
| | | 590,000 | | | | 2.139% due 9/19/19(i) | | | | | 589,373 | | |
| | | 530,000 | | | | 2.385% due 10/10/19(i) | | | | | 528,646 | | |
| | | 660,000 | | | | 2.532% due 11/7/19(i) | | | | | 657,678 | | |
| | | 390,000 | | | | 1.968% due 12/5/19(i) | | | | | 388,091 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| U.S. GOVERNMENT OBLIGATIONS – (continued) | | ||||||||||||
| | $ | 860,000 | | | | 1.964% due 1/30/20(i) | | | | $ | 853,445 | | |
| | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | |||||
| | | | | | | (Cost – $3,015,945) | | | | | 3,017,233 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS | | | |||||
| | | | | | | (Cost – $61,772,556) | | | | | 61,769,380 | | |
| | | | | | | TOTAL INVESTMENTS – 99.3% | | | |||||
| | | | | | | (Cost – $401,815,776#) | | | | | 399,222,162 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.7% | | | | | 2,626,213 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 401,848,375 | | |
|
| Corporate Bonds & Notes | | | | | 46.2% | | |
| Senior Loans | | | | | 11.3 | | |
| Asset-Backed Securities | | | | | 10.8 | | |
| Collateralized Mortgage Obligations | | | | | 8.9 | | |
| Exchange Traded Fund (ETF) | | | | | 5.7 | | |
| U.S. Government Obligations | | | | | 0.9 | | |
| Sovereign Bonds | | | | | 0.5 | | |
| Mortgage-Backed Security | | | | | 0.2 | | |
| Common Stock | | | | | 0.0* | | |
| Short-Term Investments | | | | | 15.5 | | |
| | | | | | 100.0% | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 8,020,000 | | | | | | BBH | | | | | $ | 8,820,427 | | | | | | 9/13/19 | | | | | $ | 193,010 | | | | | $ | — | | | | | $ | 193,010 | | |
Swedish Krona | | | | | 7,050,000 | | | | | | BBH | | | | | | 718,780 | | | | | | 9/13/19 | | | | | | 19,160 | | | | | | — | | | | | | 19,160 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 212,170 | | | | | $ | — | | | | | $ | 212,170 | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| EUR — Euro | | | BBH — Brown Brothers Harriman & Co. | |
| SEK — Swedish Krona | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 63.2% | | ||||||||||||
| Argentina – 0.1% | | ||||||||||||
| | $ | 900,000 | | | | Pampa Energia SA, Senior Unsecured Notes, 7.375% due 7/21/23 | | | | $ | 612,009 | | |
| Australia – 0.9% | | ||||||||||||
| | | 550,000 | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes, 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(b) | | | | | 644,160 | | |
| | | 4,100,000 | | | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | | | 4,108,856 | | |
| | | 2,000,000 | | | | QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44(a)@ | | | | | 2,200,000 | | |
| | | | | | | Total Australia | | | | | 6,953,016 | | |
| Austria – 0.1% | | ||||||||||||
| | | 554,000 | | | | JBS Investments GmbH, Company Guaranteed Notes, 6.250% due 2/5/23 | | | | | 566,465 | | |
| Bahamas – 0.8% | | ||||||||||||
| | | 5,819,000 | | | | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(b) | | | | | 6,233,604 | | |
| Bermuda – 1.2% | | ||||||||||||
| | | 1,000,000 | | | | Catlin Insurance Co., Ltd., Junior Subordinated Notes, 5.278% (3-Month USD-LIBOR + 2.975%)(a)(b)(c) | | | | | 995,000 | | |
| | | 1,100,000 | | | | Digicel Group Two Ltd., Senior Unsecured Notes, 8.250% due 9/30/22(b) | | | | | 198,000 | | |
| | | 3,136,000 | | | | Ship Finance International Ltd., Senior Unsecured Notes, 5.750% due 10/15/21 | | | | | 3,256,439 | | |
| | | 5,100,000 | | | | Stolt-Nielsen Ltd., Senior Unsecured Notes, 6.375% due 9/21/22 | | | | | 5,049,000 | | |
| | | | | | | Total Bermuda | | | | | 9,498,439 | | |
| Brazil – 2.0% | | ||||||||||||
| | | 1,600,000 | | | | B3 SA – Brasil Bolsa Balcao, Senior Unsecured Notes, 5.500% due 7/16/20 | | | | | 1,636,016 | | |
| | | 1,800,000 | | | | Banco Bradesco SA, Subordinated Notes, 5.900% due 1/16/21 | | | | | 1,861,380 | | |
| | | | | | | Banco BTG Pactual SA: | | | |||||
| | | 2,300,000 | | | | Senior Unsecured Notes, 4.000% due 1/16/20 | | | | | 2,300,023 | | |
| | | 700,000 | | | | Subordinated Notes, 7.750% (5-Year CMT Index + 5.257%) due 2/15/29(a)(b) | | | | | 726,250 | | |
| | | 1,900,000 | | | | Banco do Brasil SA, Junior Subordinated Notes, 8.500% (5-Year CMT Index + 7.782%)(a)(c) | | | | | 2,002,144 | | |
| | | 3,230,000 | | | | Globo Comunicacao e Participacoes SA, Senior Unsecured Notes, 4.875% due 4/11/22 | | | | | 3,351,125 | | |
| | | | | | | Itau Unibanco Holding SA: | | | |||||
| | | 400,000 | | | | Junior Subordinated Notes, 6.125% (5-Year CMT Index + 3.981%)(a)(c) | | | | | 404,200 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 800,000 | | | | 6.200% due 4/15/20 | | | | | 812,440 | | |
| | | 2,400,000 | | | | 5.750% due 1/22/21 | | | | | 2,473,200 | | |
| | | 400,000 | | | | 6.200% due 12/21/21 | | | | | 422,500 | | |
| | | | | | | Total Brazil | | | | | 15,989,278 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| British Virgin Islands – 2.8% | | ||||||||||||
| | $ | 3,200,000 | | | | CNOOC Finance 2012 Ltd., Company Guaranteed Notes, 3.875% due 5/2/22 | | | | $ | 3,317,345 | | |
| | | 4,965,000 | | | | CNPC General Capital Ltd., Company Guaranteed Notes, 3.950% due 4/19/22 | | | | | 5,154,837 | | |
| | | 1,200,000 | | | | CNPC HK Overseas Capital Ltd., Company Guaranteed Notes, 4.500% due 4/28/21 | | | | | 1,240,824 | | |
| | | 4,800,000 | | | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | | | 4,914,745 | | |
| | | 3,900,000 | | | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | | | 3,903,759 | | |
| | | 2,300,000 | | | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.000% due 9/29/21(b) | | | | | 2,280,330 | | |
| | | 1,200,000 | | | | Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes, 3.000% due 4/12/22(b) | | | | | 1,218,638 | | |
| | | | | | | Total British Virgin Islands | | | | | 22,030,478 | | |
| Canada – 0.4% | | ||||||||||||
| | | 950,000 | | | | Emera Inc., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 5.440%) due 6/15/76(a) | | | | | 1,033,125 | | |
| | | 1,872,000 | | | | NOVA Chemicals Corp., Senior Unsecured Notes, 5.250% due 6/1/27(b) | | | | | 1,953,900 | | |
| | | 673,000CAD | | | | Postmedia Network Inc., Senior Secured Notes, 8.250% due 7/15/21(b) | | | | | 505,798 | | |
| | | | | | | Total Canada | | | | | 3,492,823 | | |
| Cayman Islands – 3.9% | | ||||||||||||
| | | 1,500,000 | | | | Banco Continental SA Via Continental Senior Trustees Cayman Ltd., Senior Unsecured Notes, 5.500% due 11/18/20 | | | | | 1,552,500 | | |
| | | | | | | Braskem Finance Ltd., Company Guaranteed Notes: | | | | | | | |
| | | 650,000 | | | | 7.000% due 5/7/20 | | | | | 664,605 | | |
| | | 2,000,000 | | | | 5.750% due 4/15/21 | | | | | 2,062,800 | | |
| | | 4,500,000 | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(b) | | | | | 4,552,253 | | |
| | | 200,000 | | | | Comunicaciones Celulares SA Via Comcel Trust, Senior Unsecured Notes, 6.875% due 2/6/24 | | | | | 206,750 | | |
| | | 2,000,000 | | | | Grupo Aval Ltd., Company Guaranteed Notes, 4.750% due 9/26/22 | | | | | 2,060,100 | | |
| | | 771,924 | | | | Guanay Finance Ltd., Senior Secured Notes, 6.000% due 12/15/20 | | | | | 783,503 | | |
| | | 1,900,000 | | | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | | | 1,994,093 | | |
| | | 2,600,000 | | | | Latam Finance Ltd., Company Guaranteed Notes, 6.875% due 4/11/24 | | | | | 2,697,526 | | |
| | | 2,495,000 | | | | Nexteer Automotive Group Ltd., Company Guaranteed Notes, 5.875% due 11/15/21(b) | | | | | 2,538,365 | | |
| | | 230,920 | | | | Peru Enhanced Pass-Through Finance Ltd., Pass Thru Certificates, zero coupon, due 6/2/25 | | | | | 210,426 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Cayman Islands – (continued) | | ||||||||||||
| | $ | 5,833,933 | | | | SPARC EM SPC Panama Metro Line 2 SP, Senior Secured Notes, zero coupon, due 12/5/22(b)(d) | | | | $ | 5,573,157 | | |
| | | 1,900,000 | | | | Tecnoglass Inc., Company Guaranteed Notes, 8.200% due 1/31/22 | | | | | 2,044,875 | | |
| | | 4,129,000 | | | | Vantage Drilling International, Senior Secured Notes, 9.250% due 11/15/23(b) | | | | | 4,190,935 | | |
| | | | | | | Total Cayman Islands | | | | | 31,131,888 | | |
| Chile – 2.3% | | ||||||||||||
| | | 3,200,000 | | | | AES Gener SA, Junior Subordinated Notes, 7.125% (5-Year USD Swap Rate + 4.644%) due 3/26/79(a)(b) | | | | | 3,388,800 | | |
| | | 500,000 | | | | Banco del Estado de Chile, Senior Unsecured Notes, 3.875% due 2/8/22 | | | | | 518,771 | | |
| | | 500,000 | | | | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | | | | | 520,000 | | |
| | | 300,000 | | | | Corp. Nacional del Cobre de Chile, Senior Unsecured Notes, 3.875% due 11/3/21 | | | | | 308,073 | | |
| | | 3,000,000 | | | | Engie Energia Chile SA, Senior Unsecured Notes, 5.625% due 1/15/21 | | | | | 3,124,586 | | |
| | | 5,135,000 | | | | Inversiones CMPC SA, Company Guaranteed Notes, 4.500% due 4/25/22 | | | | | 5,347,034 | | |
| | | 900,000 | | | | Sociedad Quimica y Minera de Chile SA, Senior Unsecured Notes, 5.500% due 4/21/20 | | | | | 916,875 | | |
| | | 4,000,000 | | | | Telefonica Chile SA, Senior Unsecured Notes, 3.875% due 10/12/22 | | | | | 4,129,837 | | |
| | | | | | | Total Chile | | | | | 18,253,976 | | |
| Colombia – 1.8% | | ||||||||||||
| | | | | | | Bancolombia SA: | | | | | | | |
| | | 4,071,000 | | | | Senior Unsecured Notes, 5.950% due 6/3/21 | | | | | 4,297,388 | | |
| | | 1,100,000 | | | | Subordinated Notes, 6.125% due 7/26/20 | | | | | 1,130,536 | | |
| | | | | | | Colombia Telecomunicaciones SA ESP: | | | |||||
| | | 1,222,000 | | | | Junior Subordinated Notes, 8.500% (5-Year USD Swap Rate + 6.958%)(a)(c) | | | | | 1,255,617 | | |
| | | 1,443,000 | | | | Senior Unsecured Notes, 5.375% due 9/27/22 | | | | | 1,455,626 | | |
| | | 1,145,000 | | | | Grupo de Inversiones Suramericana SA, Senior Unsecured Notes, 5.700% due 5/18/21 | | | | | 1,197,968 | | |
| | | 4,500,000 | | | | Oleoducto Central SA, Senior Unsecured Notes, 4.000% due 5/7/21 | | | | | 4,584,420 | | |
| | | | | | | Total Colombia | | | | | 13,921,555 | | |
| Denmark – 0.1% | | ||||||||||||
| | | 600,000EUR | | | | Georg Jensen AS, Senior Secured Notes, 6.000% due 5/15/23 | | | | | 652,836 | | |
| Dominican Republic – 0.1% | | ||||||||||||
| | | 1,100,000 | | | | Banco de Reservas de la Republica Dominicana, Subordinated Notes, 7.000% due 2/1/23 | | | | | 1,148,400 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| France – 0.6% | | ||||||||||||
| | $ | 1,000,000 | | | | BNP Paribas SA, Junior Subordinated Notes, 6.625% (5-Year USD Swap Rate + 4.149%)(a)(b)(c) | | | | $ | 1,047,500 | | |
| | | 1,675,000 | | | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(b)(c) | | | | | 1,952,919 | | |
| | | | | | | Societe Generale SA, Junior Subordinated Notes: | | | | | | | |
| | | 1,090,000 | | | | 7.875% (5-Year USD Swap Rate + 4.979%)(a)(b)(c) | | | | | 1,175,838 | | |
| | | 490,000 | | | | 8.000% (5-Year USD 1100 Run ICE Swap Rate + 5.873%)(a)(b)(c) | | | | | 547,575 | | |
| | | | | | | Total France | | | | | 4,723,832 | | |
| Germany – 0.4% | | ||||||||||||
| | | 2,765,000EUR | | | | LifeFit Group, 7.500% due 7/26/23 | | | | | 3,064,704 | | |
| India – 1.4% | | ||||||||||||
| | | 1,000,000 | | | | Adani Ports & Special Economic Zone Ltd., Senior Unsecured Notes, 3.950% due 1/19/22 | | | | | 1,027,499 | | |
| | | | | | | Bharat Petroleum Corp., Ltd, Senior Unsecured Notes: | | | | | | | |
| | | 300,000 | | | | 4.375% due 1/24/22 | | | | | 311,040 | | |
| | | 4,000,000 | | | | 4.625% due 10/25/22 | | | | | 4,216,000 | | |
| | | | | | | Indian Oil Corp., Ltd, Senior Unsecured Notes: | | | | | | | |
| | | 2,995,000 | | | | 5.625% due 8/2/21 | | | | | 3,157,534 | | |
| | | 2,000,000 | | | | 5.750% due 8/1/23 | | | | | 2,216,305 | | |
| | | | | | | Total India | | | | | 10,928,378 | | |
| Indonesia – 1.0% | | ||||||||||||
| | | | | | | Pertamina Persero PT, Senior Unsecured Notes: | | | | | | | |
| | | 4,100,000 | | | | 5.250% due 5/23/21 | | | | | 4,286,460 | | |
| | | 2,500,000 | | | | 4.875% due 5/3/22 | | | | | 2,641,665 | | |
| | | 1,000,000 | | | | Perusahaan Listrik Negara PT, Senior Unsecured Notes, 5.500% due 11/22/21 | | | | | 1,062,500 | | |
| | | | | | | Total Indonesia | | | | | 7,990,625 | | |
| Ireland – 0.4% | | ||||||||||||
| | | 3,100,000 | | | | C&W Senior Financing DAC, Senior Unsecured Notes, 7.500% due 10/15/26 | | | | | 3,362,880 | | |
| Israel – 0.4% | | ||||||||||||
| | | 2,479,000 | | | | Delek & Avner Tamar Bond Ltd., Senior Secured Notes, 4.435% due 12/30/20(b) | | | | | 2,514,613 | | |
| | | 500,000 | | | | Israel Electric Corp., Ltd, Senior Secured Notes, 6.875% due 6/21/23 | | | | | 573,705 | | |
| | | | | | | Total Israel | | | | | 3,088,318 | | |
| Italy – 1.6% | | ||||||||||||
| | | 635,000 | | | | Intesa Sanpaolo SpA, Company Guaranteed Notes, 7.700% (5-Year USD Swap Rate + 5.462%)(a)(b)(c) | | | | | 646,112 | | |
| | | 10,374,000EUR | | | | Linkem SpA, Senior Secured Notes, 7.000% due 8/9/22(e)(f) | | | | | 11,230,521 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Italy – (continued) | | ||||||||||||
| | $ | 450,000 | | | | UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%)(a)(c)@ | | | | $ | 461,138 | | |
| | | | | | | Total Italy | | | | | 12,337,771 | | |
| Luxembourg – 0.6% | | ||||||||||||
| | | 1,400,000 | | | | Euronav Luxembourg SA, Company Guaranteed Notes, 7.500% due 5/31/22(b) | | | | | 1,421,000 | | |
| | | | | | | Millicom International Cellular SA, Senior Unsecured Notes: | | | | | | | |
| | | 2,200,000 | | | | 6.000% due 3/15/25 | | | | | 2,285,250 | | |
| | | 600,000 | | | | 6.625% due 10/15/26 | | | | | 654,000 | | |
| | | 400,000 | | | | Swiss Re Finance Luxembourg SA, Company Guaranteed Notes, 5.000% (5-Year CMT Index + 3.582%) due 4/2/49(a)(b) | | | | | 441,000 | | |
| | | | | | | Total Luxembourg | | | | | 4,801,250 | | |
| Malaysia – 1.7% | | ||||||||||||
| | | 6,200,000 | | | | Axiata SPV2 Bhd, Senior Unsecured Notes, 3.466% due 11/19/20 | | | | | 6,275,507 | | |
| | | 1,715,000 | | | | Malayan Banking Bhd, Subordinated Notes, 3.905% (5-Year USD Swap Rate + 2.542%) due 10/29/26(a) | | | | | 1,752,267 | | |
| | | 500,000 | | | | Petronas Capital Ltd., Company Guaranteed Notes, 3.125% due 3/18/22 | | | | | 509,603 | | |
| | | 5,055,000 | | | | Petronas Global Sukuk Ltd., Senior Unsecured Notes, 2.707% due 3/18/20 | | | | | 5,064,402 | | |
| | | | | | | Total Malaysia | | | | | 13,601,779 | | |
| Marshall Islands – 1.0% | | ||||||||||||
| | | 5,067,000 | | | | Borealis Finance LLC, Senior Secured Notes, 7.500% due 11/16/22(b) | | | | | 4,762,980 | | |
| | | 2,000,000 | | | | Chembulk Holding LLC, Senior Secured Notes, 8.000% due 2/2/23(b) | | | | | 1,935,000 | | |
| | | 1,200,000 | | | | Golar LNG Partners LP, Senior Unsecured Notes, 6.550% (3-Month USD-LIBOR + 4.400%) due 5/22/20(a) | | | | | 1,200,000 | | |
| | | | | | | Total Marshall Islands | | | | | 7,897,980 | | |
| Mauritius – 0.4% | | ||||||||||||
| | | 3,000,000 | | | | UPL Corp., Ltd, Senior Unsecured Notes, 3.250% due 10/13/21 | | | | | 3,020,601 | | |
| Mexico – 3.8% | | ||||||||||||
| | | 5,400,000 | | | | Banco Mercantil del Norte SA, Junior Subordinated Notes, 6.875% (5-Year CMT Index + 5.035%)(a)(c) | | | | | 5,346,054 | | |
| | | 3,700,000 | | | | Banco Nacional de Comercio Exterior SNC, Subordinated Notes, 3.800% (5-Year CMT Index + 3.000%) due 8/11/26(a) | | | | | 3,746,287 | | |
| | | 500,000 | | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Subordinated Notes, 5.950% (5-Year CMT Index + 2.995%) due 10/1/28(a)(b) | | | | | 531,880 | | |
| | | | | | | BBVA Bancomer SA: | | | | | | | |
| | | 2,000,000 | | | | Junior Subordinated Notes, 7.250% due 4/22/20 | | | | | 2,050,020 | | |
| | | | | | | Subordinated Notes: | | | | | | | |
| | | 1,500,000 | | | | 6.500% due 3/10/21 | | | | | 1,569,390 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Mexico – (continued) | | ||||||||||||
| | $ | 1,300,000 | | | | 6.750% due 9/30/22 | | | | $ | 1,404,000 | | |
| | | 1,943,000 | | | | 5.350% (5-Year CMT Index + 3.000%) due 11/12/29(a) | | | | | 1,933,304 | | |
| | | | | | | Cemex SAB de CV, Senior Secured Notes: | | | | | | | |
| | | 1,200,000 | | | | 6.125% due 5/5/25 | | | | | 1,243,812 | | |
| | | 1,000,000 | | | | 7.750% due 4/16/26 | | | | | 1,076,260 | | |
| | | 1,700,000 | | | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | | | | | 1,719,536 | | |
| | | 700,000 | | | | Credito Real SAB de CV SOFOM ER, Senior Unsecured Notes, 7.250% due 7/20/23 | | | | | 730,632 | | |
| | | | | | | Grupo Bimbo SAB de CV: | | | | | | | |
| | | 2,610,000 | | | | Company Guaranteed Notes, 4.875% due 6/30/20 | | | | | 2,656,615 | | |
| | | 3,400,000 | | | | Subordinated Notes, 5.950% (5-Year CMT Index + 3.280%)(a)(c) | | | | | 3,561,534 | | |
| | | 2,950,000 | | | | Unifin Financiera SAB de CV SOFOM ENR, Company Guaranteed Notes, 7.250% due 9/27/23 | | | | | 3,005,342 | | |
| | | | | | | Total Mexico | | | | | 30,574,666 | | |
| Netherlands – 1.9% | | ||||||||||||
| | | 400,000 | | | | AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It, Company Guaranteed Notes, 7.950% due 5/11/26 | | | | | 426,504 | | |
| | | 3,903,000 | | | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.750% due 9/30/24(b) | | | | | 4,098,150 | | |
| | | 1,400,000 | | | | Bharti Airtel International Netherlands BV, Company Guaranteed Notes, 5.125% due 3/11/23 | | | | | 1,481,382 | | |
| | | 400,000 | | | | ING Groep NV, Junior Subordinated Notes, 6.750% (5-Year USD Swap Rate + 4.204%)(a)(c) | | | | | 419,768 | | |
| | | 3,000,000 | | | | MPC Container Ships Invest BV, Senior Secured Notes, 7.093% (3-Month USD-LIBOR + 4.750%) due 9/22/22(a) | | | | | 3,000,048 | | |
| | | 1,044,000 | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21 | | | | | 1,077,930 | | |
| | | 200,000 | | | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20 | | | | | 200,769 | | |
| | | 4,400,000 | | | | VTR Finance BV, Senior Secured Notes, 6.875% due 1/15/24 | | | | | 4,543,000 | | |
| | | | | | | Total Netherlands | | | | | 15,247,551 | | |
| Norway – 0.2% | | ||||||||||||
| | | 2,200,000 | | | | Jacktel AS, Senior Secured Notes, 10.000% due 12/4/23(b) | | | | | 1,958,000 | | |
| Panama – 1.4% | | ||||||||||||
| | | 1,500,000 | | | | Banco Latinoamericano de Comercio Exterior SA, Senior Unsecured Notes, 3.250% due 5/7/20 | | | | | 1,501,875 | | |
| | | 800,000 | | | | Banistmo SA, Senior Unsecured Notes, 3.650% due 9/19/22(b) | | | | | 800,008 | | |
| | | 4,667,747 | | | | ENA Norte Trust, Pass Thru Certificates, 4.950% due 4/25/23 | | | | | 4,801,992 | | |
| | | 2,900,000 | | | | Global Bank Corp., Senior Unsecured Notes, 4.500% due 10/20/21 | | | | | 2,984,100 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Panama – (continued) | | ||||||||||||
| | $ | 1,000,000 | | | | Multibank Inc., Senior Unsecured Notes, 4.375% due 11/9/22 | | | | $ | 1,030,000 | | |
| | | | | | | Total Panama | | | | | 11,117,975 | | |
| Peru – 1.0% | | ||||||||||||
| | | 165,000 | | | | Banco BBVA Peru SA, Senior Unsecured Notes, 5.000% due 8/26/22 | | | | | 175,108 | | |
| | | 5,555,000 | | | | Banco de Credito del Peru, Senior Unsecured Notes, 5.375% due 9/16/20(b) | | | | | 5,724,427 | | |
| | | 1,900,000 | | | | Banco Internacional del Peru SAA, Senior Unsecured Notes, 5.750% due 10/7/20 | | | | | 1,964,144 | | |
| | | | | | | Total Peru | | | | | 7,863,679 | | |
| Philippines – 0.1% | | ||||||||||||
| | | 800,000 | | | | Union Bank of the Philippines, Senior Unsecured Notes, 3.369% due 11/29/22 | | | | | 820,802 | | |
| Portugal – 0.0% | | ||||||||||||
| | | 70,068 | | | | Invepar, zero coupon due 12/30/28(e)(f) | | | | | 2,996 | | |
| Singapore – 2.8% | | ||||||||||||
| | | | | | | DBS Group Holdings Ltd.: | | | | | | | |
| | | 5,000,000 | | | | Junior Subordinated Notes, 3.600% (5-Year USD Swap Rate + 2.390%)(a)(c) | | | | | 5,006,250 | | |
| | | 200,000 | | | | Senior Unsecured Notes, 2.943% (3-Month USD-LIBOR + 0.490%) due 6/8/20(a) | | | | | 200,176 | | |
| | | 500,000 | | | | Subordinated Notes, 4.520% (5-Year USD 1100 Run ICE Swap Rate + 1.590%) due 12/11/28(a) | | | | | 534,385 | | |
| | | 4,015,000 | | | | ONGC Videsh Vankorneft Pte Ltd., Company Guaranteed Notes, 2.875% due 1/27/22 | | | | | 4,015,777 | | |
| | | 3,000,000 | | | | SP PowerAssets Ltd., Senior Unsecured Notes, 2.700% due 9/14/22 | | | | | 3,053,671 | | |
| | | 3,450,000 | | | | Temasek Financial I Ltd., Company Guaranteed Notes, 2.375% due 1/23/23 | | | | | 3,508,452 | | |
| | | | | | | United Overseas Bank Ltd., Subordinated Notes: | | | | | | | |
| | | 4,500,000 | | | | 3.500% (5-Year USD Swap Rate + 2.236%) due 9/16/26(a) | | | | | 4,559,580 | | |
| | | 400,000 | | | | 2.880% (5-Year USD Swap Rate + 1.654%) due 3/8/27(a) | | | | | 400,520 | | |
| | | 600,000 | | | | 3.750% (5-Year CMT Index + 1.500%) due 4/15/29(a) | | | | | 625,249 | | |
| | | | | | | Total Singapore | | | | | 21,904,060 | | |
| Switzerland – 0.4% | | ||||||||||||
| | | | | | | Credit Suisse Group AG, Junior Subordinated Notes: | | | | | | | |
| | | 1,000,000 | | | | 6.375% (5-Year CMT Index + 4.822%)(a)(b)(c) | | | | | 1,033,000 | | |
| | | 655,000 | | | | 7.500% (5-Year USD Swap Rate + 4.600%)(a)(b)(c) | | | | | 697,640 | | |
| | | 1,400,000 | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.866%)(a)(c)@ | | | | | 1,532,404 | | |
| | | | | | | Total Switzerland | | | | | 3,263,044 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Thailand – 0.6% | | ||||||||||||
| | $ | 1,300,000 | | | | Bangkok Bank PCL, Senior Unsecured Notes, 4.800% due 10/18/20 | | | | $ | 1,336,426 | | |
| | | 3,200,000 | | | | PTTEP Treasury Center Co., Ltd., Company Guaranteed Notes, 4.600% (5-Year CMT Index + 2.724%)(a)(c) | | | | | 3,264,520 | | |
| | | | | | | Total Thailand | | | | | 4,600,946 | | |
| United Kingdom – 2.3% | | ||||||||||||
| | | 1,700,000 | | | | Barclays PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 4.842%)(a)(c) | | | | | 1,736,125 | | |
| | | 1,713,000EUR | | | | CentralNic Group PLC, Senior Secured Notes, 7.000% (3-Month EURIBOR + 7.000%) due 7/3/23(a) | | | | | 1,882,672 | | |
| | | 2,015,000 | | | | Inmarsat Finance PLC, Company Guaranteed Notes, 6.500% due 10/1/24(b) | | | | | 2,118,269 | | |
| | | 1,900,000 | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.760%)(a)(c) | | | | | 1,964,375 | | |
| | | 4,600,000 | | | | MARB BondCo PLC, Company Guaranteed Notes, 7.000% due 3/15/24 | | | | | 4,703,546 | | |
| | | 1,645,000 | | | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(a)(c) | | | | | 1,741,644 | | |
| | | 2,300,000EUR | | | | SB Holdco PLC, Senior Secured Notes, 8.000% (3-Month EURIBOR + 8.000%) due 7/13/22(a) | | | | | 2,445,661 | | |
| | | 600,000 | | | | Standard Chartered PLC, Junior Subordinated Notes, 7.750% (5-Year USD Swap Rate + 5.723%)(a)(b)(c) | | | | | 642,000 | | |
| | | | | | | Vedanta Resources Ltd., Senior Unsecured Notes: | | | | | | | |
| | | 800,000 | | | | 7.125% due 5/31/23 | | | | | 765,200 | | |
| | | 200,000 | | | | 6.125% due 8/9/24 | | | | | 180,100 | | |
| | | 370,000 | | | | Vodafone Group PLC, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.873%) due 4/4/79(a) | | | | | 418,433 | | |
| | | | | | | Total United Kingdom | | | | | 18,598,025 | | |
| United States – 22.7% | | ||||||||||||
| | | 1,585,000 | | | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month USD-LIBOR + 4.300%) due 6/15/45(a)(b) | | | | | 1,690,006 | | |
| | | 167,010 | | | | America West Airlines Pass-Through Trust, Pass Thru Certificates, 8.057% due 7/2/20 | | | | | 173,636 | | |
| | | 706,000 | | | | American Express Co., Junior Subordinated Notes, 5.200% (3-Month USD-LIBOR + 3.428%)(a)(c) | | | | | 706,353 | | |
| | | 1,350,000 | | | | American International Group Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 2.868%) due 4/1/48(a) | | | | | 1,427,760 | | |
| | | 1,230,000 | | | | Assurant Inc., Subordinated Notes, 7.000% (3-Month USD-LIBOR + 4.135%) due 3/27/48(a) | | | | | 1,340,700 | | |
| | | 2,369,000 | | | | Assured Guaranty Municipal Holdings Inc., Company Guaranteed Notes, 6.400% (1-Month USD-LIBOR + 2.215%) due 12/15/66(a)(b) | | | | | 2,380,845 | | |
| | | | | | | Bank of America Corp., Junior Subordinated Notes: | | | | | | | |
| | | 1,060,000 | | | | 6.100% (3-Month USD-LIBOR + 3.898%)(a)(c) | | | | | 1,155,400 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 275,000 | | | | 6.250% (3-Month USD-LIBOR + 3.705%)(a)(c) | | | | $ | 299,750 | | |
| | | 1,340,000 | | | | 6.300% (3-Month USD-LIBOR + 4.553%)(a)(c) | | | | | 1,512,525 | | |
| | | 245,000 | | | | Bayer US Finance II LLC, Company Guaranteed Notes, 2.979% (3-Month USD-LIBOR + 0.630%) due 6/25/21(a)(b) | | | | | 245,054 | | |
| | | 1,740,000 | | | | BB&T Corp., Junior Subordinated Notes, 4.800% (5-Year CMT Index + 3.003%)(a)(c) | | | | | 1,753,050 | | |
| | | 1,600,000 | | | | Capital One Financial Corp., Junior Subordinated Notes, 5.550% (3-Month USD-LIBOR + 3.800%)(a)(c) | | | | | 1,618,000 | | |
| | | 995,000 | | | | CenterPoint Energy Inc., Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 3.270%)(a)(c) | | | | | 1,042,262 | | |
| | | 290,000 | | | | CIT Group Inc., Junior Subordinated Notes, 5.800% (3-Month USD-LIBOR + 3.972%)(a)(c) | | | | | 294,846 | | |
| | | 2,105,000 | | | | CITGO Petroleum Corp., Senior Secured Notes, 6.250% due 8/15/22(b) | | | | | 2,115,525 | | |
| | | | | | | Citigroup Inc., Junior Subordinated Notes: | | | | | | | |
| | | 2,389,000 | | | | 5.950% (3-Month USD-LIBOR + 3.905%)(a)(c) | | | | | 2,556,230 | | |
| | | 500,000 | | | | 6.300% (3-Month USD-LIBOR + 3.423%)(a)(c) | | | | | 530,750 | | |
| | | 675,000 | | | | Citizens Financial Group Inc., Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.960%)(a)(c) | | | | | 680,062 | | |
| | | 1,175,000 | | | | CoBank ACB, Junior Subordinated Notes, 6.250% (3-Month USD-LIBOR + 4.660%)(a)(c) | | | | | 1,263,125 | | |
| | | | | | | Comcast Corp., Company Guaranteed Notes: | | | | | | | |
| | | 520,000 | | | | 2.649% (3-Month USD-LIBOR + 0.330%) due 10/1/20(a) | | | | | 520,725 | | |
| | | 520,000 | | | | 3.300% due 10/1/20 | | | | | 527,566 | | |
| | | 260,000 | | | | 2.759% (3-Month USD-LIBOR + 0.440%) due 10/1/21(a) | | | | | 260,610 | | |
| | | 483,210 | | | | Continental Airlines Class A Pass-Through Trust, Pass-Thru Certificates, 5.983% due 4/19/22 | | | | | 512,202 | | |
| | | 303,019 | | | | Continental Airlines Class A-1 Pass-Through Trust, Pass-Thru Certificates, 7.707% due 4/2/21 | | | | | 314,382 | | |
| | | 20,787 | | | | Continental Airlines Class C-2 Pass-Through Trust, Pass-Thru Certificates, 6.236% due 3/15/20 | | | | | 21,166 | | |
| | | 3,675,000 | | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(b) | | | | | 3,831,298 | | |
| | | 4,227,000 | | | | CSC Holdings LLC, Company Guaranteed Notes, 5.375% due 7/15/23(b) | | | | | 4,344,342 | | |
| | | 535,000 | | | | Dairy Farmers of America Inc., Junior Subordinated Notes, 7.125%(b)(c) | | | | | 505,575 | | |
| | | 1,615,000 | | | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 5.375% due 8/15/26(b) | | | | | 1,695,750 | | |
| | | 1,060,000 | | | | Discover Financial Services, Junior Subordinated Notes, 5.500% (3-Month USD-LIBOR + 3.076%)(a)(c) | | | | | 1,065,385 | | |
| | | 7,688,000 | | | | Dollar Tree Inc., Senior Unsecured Notes, 3.003% (3-Month USD-LIBOR + 0.700%) due 4/17/20(a) | | | | | 7,688,471 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 2,922,000 | | | | DXC Technology Co., Senior Unsecured Notes, 3.082% (3-Month USD-LIBOR + 0.950%) due 3/1/21(a) | | | | $ | 2,922,002 | | |
| | | 135,000 | | | | Farm Credit Bank of Texas, Junior Subordinated Notes, 6.200% (3-Month USD-LIBOR + 3.223%)(a)(b)(c)(e) | | | | | 145,393 | | |
| | | 1,944,000 | | | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(b) | | | | | 1,950,075 | | |
| | | 5,222,000 | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 3.226% (3-Month USD-LIBOR + 0.790%) due 6/12/20(a) | | | | | 5,222,774 | | |
| | | 2,900,000 | | | | Freeport-McMoRan Inc., Company Guaranteed Notes, 4.550% due 11/14/24 | | | | | 2,928,449 | | |
| | | 2,126,000 | | | | Fresh Market Inc., Senior Secured Notes, 9.750% due 5/1/23(b) | | | | | 1,206,505 | | |
| | | 6,487,000 | | | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(b) | | | | | 5,757,212 | | |
| | | 2,120,000 | | | | General Electric Co., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.330%)(a)(c) | | | | | 1,923,900 | | |
| | | 1,935,000 | | | | General Motors Financial Co., Inc., Junior Subordinated Notes, 5.750% (3-Month USD-LIBOR + 3.598%)(a)(c) | | | | | 1,799,550 | | |
| | | | | | | Goldman Sachs Group Inc., Junior Subordinated Notes: | | | | | | | |
| | | 325,000 | | | | 5.375% (3-Month USD-LIBOR + 3.922%)(a)(c) | | | | | 328,250 | | |
| | | 2,524,000 | | | | 5.500% (5-Year CMT Index + 3.623%)(a)(c) | | | | | 2,637,310 | | |
| | | 1,410,000 | | | | Hadrian Merger Sub Inc., Senior Unsecured Notes, 8.500% due 5/1/26(b) | | | | | 1,350,075 | | |
| | | 5,133,000 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(b) | | | | | 4,465,710 | | |
| | | 3,207,000 | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 5/15/26(b) | | | | | 3,347,467 | | |
| | | 10,927,000 | | | | INVISTA Finance LLC, Senior Secured Notes, 4.250% due 10/15/19(b) | | | | | 10,954,882 | | |
| | | | | | | JPMorgan Chase & Co., Junior Subordinated Notes: | | | | | | | |
| | | 1,745,000 | | | | 5.000% (SOFR rate + 3.380%)(a)(c) | | | | | 1,810,438 | | |
| | | 2,650,000 | | | | 6.750% (3-Month USD-LIBOR + 3.780%)(a)(c) | | | | | 2,951,437 | | |
| | | 475,000 | | | | KeyCorp, Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.606%)(a)(c) | | | | | 485,687 | | |
| | | | | | | Land O’ Lakes Inc., Junior Subordinated Notes: | | | | | | | |
| | | 415,000 | | | | 7.000%(b)(c)(e) | | | | | 394,250 | | |
| | | 2,050,000 | | | | 7.250%(b)(c)(e) | | | | | 1,991,062 | | |
| | | 8,428,000 | | | | Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(b) | | | | | 8,406,930 | | |
| | | 3,418,000 | | | | LSC Communications Inc., Senior Secured Notes, 8.750% due 10/15/23(b)(d) | | | | | 2,580,590 | | |
| | | 1,125,000 | | | | M&T Bank Corp., Junior Subordinated Notes, 5.125% (3-Month USD-LIBOR + 3.520%)(a)(c) | | | | | 1,178,437 | | |
| | | 985,000 | | | | MetLife Inc., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.959%)(a)(c) | | | | | 1,056,412 | | |
| | | 13,692,000 | | | | Mueller Industries Inc., Subordinated Notes, 6.000% due 3/1/27 | | | | | 13,863,150 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | $ | 510,000 | | | | NiSource Inc., Junior Subordinated Notes, 5.650% (5-Year CMT Index + 2.843%)(a)(c) | | | | $ | 507,358 | | |
| | | 2,625,000 | | | | Pacific Gas & Electric Co., Senior Unsecured Notes, 2.950% due 3/1/26(g) | | | | | 2,533,125 | | |
| | | 902,000 | | | | PNC Financial Services Group Inc., Junior Subordinated Notes, 5.000% (3-Month USD-LIBOR + 3.300%)(a)(c) | | | | | 926,805 | | |
| | | 955,000 | | | | Provident Financing Trust I, Limited Guaranteed Notes, 7.405% due 3/15/38 | | | | | 1,086,312 | | |
| | | | | | | Reliance Holding USA Inc., Company Guaranteed Notes: | | | | | | | |
| | | 3,700,000 | | | | 4.500% due 10/19/20 | | | | | 3,777,914 | | |
| | | 2,400,000 | | | | 5.400% due 2/14/22 | | | | | 2,563,823 | | |
| | | 538,000 | | | | Salem Media Group Inc., Senior Secured Notes, 6.750% due 6/1/24(b) | | | | | 470,078 | | |
| | | 3,350,000 | | | | SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21 | | | | | 2,361,750 | | |
| | | 2,273,000 | | | | Sirius XM Radio Inc., Company Guaranteed Notes, 5.000% due 8/1/27(b) | | | | | 2,398,015 | | |
| | | 4,400,000 | | | | Southern Copper Corp., Senior Unsecured Notes, 5.375% due 4/16/20 | | | | | 4,471,548 | | |
| | | 1,360,000 | | | | SunTrust Banks Inc., Junior Subordinated Notes, 5.050% (3-Month USD-LIBOR + 3.102%)(a)(c) | | | | | 1,370,200 | | |
| | | 4,020,000 | | | | Tapestry Inc., Senior Unsecured Notes, 4.250% due 4/1/25 | | | | | 4,162,332 | | |
| | | 7,639,000 | | | | TEGNA Inc., Company Guaranteed Notes, 5.125% due 10/15/19 | | | | | 7,647,403 | | |
| | | 632,299 | | | | Toll Road Investors Partnership II LP, Senior Secured Notes, zero coupon, due 2/15/45(b) | | | | | 179,221 | | |
| | | | | | | Trimble Inc., Senior Unsecured Notes: | | | | | | | |
| | | 2,930,000 | | | | 4.150% due 6/15/23 | | | | | 3,073,703 | | |
| | | 3,901,000 | | | | 4.750% due 12/1/24 | | | | | 4,216,969 | | |
| | | 945,000 | | | | Triumph Group Inc., Company Guaranteed Notes, 7.750% due 8/15/25 | | | | | 947,363 | | |
| | | 2,083,000 | | | | W&T Offshore Inc., Secured Notes, 9.750% due 11/1/23(b) | | | | | 2,010,095 | | |
| | | 5,628,000 | | | | Welbilt Inc., Company Guaranteed Notes, 9.500% due 2/15/24 | | | | | 6,043,065 | | |
| | | 3,810,000 | | | | Wells Fargo & Co., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(a)(c) | | | | | 4,201,630 | | |
| | | | | | | Total United States | | | | | 180,680,007 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $499,411,914) | | | | | 501,934,636 | | |
| SENIOR LOANS(a) – 9.0% | | ||||||||||||
| | | 1,539,572 | | | | Appvion Operations Inc., 8.230% (3-Month USD-LIBOR + 6.000%) due 6/12/26 | | | | | 1,508,780 | | |
| | | 2,626,994 | | | | BI-LO LLC, 10.330% (3-Month USD-LIBOR + 8.000%) due 5/31/24 | | | | | 2,511,406 | | |
| | | 6,826,346 | | | | Crestwood Holdings LLC, 9.710% (1-Month USD-LIBOR + 7.500%) due 3/6/23 | | | | | 6,519,161 | | |
| | | 4,753,720 | | | | Dell International LLC, 4.120% (1-Month USD-LIBOR + 2.000%) due 9/7/23 | | | | | 4,763,085 | | |
| | | 4,538,000 | | | | Fieldwood Energy LLC, 7.506% (3-Month USD-LIBOR + 5.250%) due 4/11/22 | | | | | 3,976,422 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SENIOR LOANS(a) – (continued) | | ||||||||||||
| | $ | 2,168,000 | | | | General Nutrition Centers Inc., 9.120% (1-Month USD-LIBOR + 7.000%) due 12/31/22 | | | | $ | 2,187,642 | | |
| | | 6,212,900 | | | | IEA Energy Services LLC, 10.416% (1-Month USD-LIBOR + 8.250%) due 9/25/24 | | | | | 5,979,916 | | |
| | | 5,382,391 | | | | Internap Corp., 9.190% (1-Month USD-LIBOR + 7.000%) due 4/6/22 | | | | | 3,794,586 | | |
| | | 2,857,130 | | | | Lee Enterprises Inc., 12.000% (3-Month USD-LIBOR + 12.000%) due 12/15/22 | | | | | 2,828,559 | | |
| | | 2,646,589 | | | | LSC Communications Inc., 7.627% (1-Week USD-LIBOR + 5.500%) due 9/30/22 | | | | | 2,226,443 | | |
| | | 3,679,187 | | | | McDermott International Inc., 7.110% (1-Month USD-LIBOR + 5.000%) due 5/12/25 | | | | | 3,368,774 | | |
| | | 1,153,891 | | | | Monitronics International Inc., 8.612% (1-Month USD-LIBOR + 6.500%) due 3/29/24 | | | | | 1,081,773 | | |
| | | 1,079,000 | | | | PMHC II Inc., 9.933% (3-Month USD-LIBOR + 7.750%) due 3/30/26 | | | | | 873,990 | | |
| | | 2,450,000 | | | | Production Resource Group LLC, 9.160% (3-Month USD-LIBOR + 7.000%) due 8/21/24 | | | | | 2,401,000 | | |
| | | 1,069,837 | | | | RA Acquistion Purchaser LLC, 12.330% (3-Month USD-LIBOR + 10.000%) due 5/31/23(f) | | | | | 1,069,837 | | |
| | | 1,410,952 | | | | Town Sports International LLC, 5.612% (1-Month USD-LIBOR + 3.500%) due 11/15/20 | | | | | 1,283,966 | | |
| | | 5,293,180 | | | | Trico Group LLC, 9.330% (3-Month USD-LIBOR + 7.000%) due 2/2/24 | | | | | 5,134,385 | | |
| | | | | | | Windstream Services LLC: | | | | | | | |
| | | 9,515,903 | | | | 4.620% (1-Month USD-LIBOR + 2.500%) due 2/26/21 | | | | | 9,539,693 | | |
| | | 7,653,000 | | | | 10.250% (Prime Lending Rate + 5.000%) due 3/29/21 | | | | | 7,761,673 | | |
| | | 2,735,860 | | | | YI LLC, 6.330% (3-Month USD-LIBOR + 4.000%) due 11/7/24 | | | | | 2,725,601 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $74,030,670) | | | | | 71,536,692 | | |
| SOVEREIGN BONDS – 3.8% | | ||||||||||||
| Brazil – 0.1% | | ||||||||||||
| | | 900,000 | | | | Brazilian Government International Bond, 4.875% due 1/22/21 | | | | | 934,209 | | |
| Chile – 0.3% | | ||||||||||||
| | | 2,000,000 | | | | Chile Government International Bond, 2.250% due 10/30/22 | | | | | 2,010,000 | | |
| Colombia – 0.9% | | ||||||||||||
| | | 6,900,000 | | | | Colombia Government International Bond, 4.375% due 7/12/21 | | | | | 7,158,819 | | |
| Costa Rica – 0.1% | | ||||||||||||
| | | 1,150,000 | | | | Costa Rica Government International Bond, 9.995% due 8/1/20 | | | | | 1,208,937 | | |
| Dominican Republic – 0.8% | | ||||||||||||
| | | 6,320,000 | | | | Dominican Republic International Bond, 7.500% due 5/6/21 | | | | | 6,643,963 | | |
| India – 0.3% | | ||||||||||||
| | | 2,000,000 | | | | Export-Import Bank of India, 3.125% due 7/20/21 | | | | | 2,023,927 | | |
| Face Amount/Units† | | | Security | | | Value | | ||||||
| SOVEREIGN BONDS – (continued) | | ||||||||||||
| Indonesia – 0.9% | | ||||||||||||
| | | | | | | Indonesia Government International Bond: | | | | | | | |
| | $ | 3,000,000 | | | | 4.875% due 5/5/21 | | | | $ | 3,117,069 | | |
| | | 2,795,000 | | | | 3.700% due 1/8/22 | | | | | 2,876,528 | | |
| | | 1,000,000 | | | | Perusahaan Penerbit SBSN Indonesia III, 3.400% due 3/29/22 | | | | | 1,021,460 | | |
| | | | | | | Total Indonesia | | | | | 7,015,057 | | |
| Mexico – 0.1% | | ||||||||||||
| | | 800,000 | | | | Nacional Financiera SNC, 3.375% due 11/5/20 | | | | | 805,008 | | |
| Peru – 0.2% | | ||||||||||||
| | | 1,500,000 | | | | Fondo MIVIVIENDA SA, 3.500% due 1/31/23 | | | | | 1,543,500 | | |
| Philippines – 0.1% | | ||||||||||||
| | | 1,000,000 | | | | Philippine Government International Bond, 4.000% due 1/15/21 | | | | | 1,024,851 | | |
| | | | | | | TOTAL SOVEREIGN BONDS (Cost – $30,074,462) | | | | | 30,368,271 | | |
| Shares/Units | | | | | | | | ||||||
| PREFERRED STOCKS – 2.3% | | ||||||||||||
| Bermuda – 0.4% | | ||||||||||||
| | | 30,926 | | | | Aspen Insurance Holdings Ltd., 5.625%(c) | | | | | 800,983 | | |
| | | 17,350 | | | | Athene Holding Ltd., 6.350% (3-Month USD-LIBOR + 4.253%)*(a)(c) | | | | | 493,261 | | |
| | | 19,389 | | | | Axis Capital Holdings Ltd., 5.500%(c) | | | | | 492,287 | | |
| | | 42,868 | | | | Enstar Group Ltd., 7.000% (3-Month USD-LIBOR + 4.015%)(a)(c) | | | | | 1,144,147 | | |
| | | | | | | Total Bermuda | | | | | 2,930,678 | | |
| United States – 1.9% | | ||||||||||||
| | | 10,100 | | | | Air Lease Corp., 6.150% (3-Month USD-LIBOR + 3.650%)(a)(c) | | | | | 276,740 | | |
| | | 3,000 | | | | CoBank ACB, 6.250% (3-Month USD-LIBOR + 4.557%)(a)(c) | | | | | 317,250 | | |
| | | 1,000 | | | | Dairy Farmers of America Inc., 7.875%(b)(c) | | | | | 100,000 | | |
| | | 50,000 | | | | Delphi Financial Group Inc., 5.348% (3-Month USD-LIBOR + 3.190%)(a) | | | | | 1,125,000 | | |
| | | 21,970 | | | | Farm Credit Bank of Texas, 6.750% (3-Month USD-LIBOR + 4.010%)(a)(b)(c) | | | | | 2,345,297 | | |
| | | 25,550 | | | | GMAC Capital Trust I, 7.943% (3-Month USD-LIBOR + 5.785%)(a) | | | | | 669,410 | | |
| | | 54,847 | | | | Huntington Bancshares Inc., 6.250%(c) | | | | | 1,450,155 | | |
| | | | | | | Morgan Stanley: | | | | | | | |
| | | 75,960 | | | | 5.850%(3-Month USD-LIBOR + 3.491%(a)(c)(d) | | | | | 2,050,920 | | |
| | | 49,200 | | | | 6.375% (3-Month USD-LIBOR + 3.708%(a)(c) | | | | | 1,365,300 | | |
| | | 20,000 | | | | New York Community Bancorp Inc., 6.375% (3-Month USD-LIBOR + 3.821%)(a)(c) | | | | | 556,000 | | |
| | | 45,000 | | | | NuStar Energy LP, 7.625% (3-Month USD-LIBOR + 5.643%)(a)(c) | | | | | 928,800 | | |
| | | 43,830 | | | | Regions Financial Corp., 5.700% (3-Month USD-LIBOR + 3.148%)(a)(c) | | | | | 1,200,942 | | |
| | | 13,000 | | | | Synovus Financial Corp., 5.875% (5-Year CMT Index + 4.127%)*(a)(c) | | | | | 342,420 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| PREFERRED STOCKS – (continued) | | ||||||||||||
| United States – (continued) | | ||||||||||||
| | | 90,000 | | | | Voya Financial Inc., 5.350% (5-Year CMT Index + 3.210%)(a)(c) | | | | $ | 2,462,400 | | |
| | | | | | | Total United States | | | | | 15,190,634 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost – $17,834,397) | | | | | 18,121,312 | | |
| COMMON STOCKS – 1.2% | | ||||||||||||
| Colombia – 0.0% | | ||||||||||||
| | | 21,182 | | | | Frontera Energy Corp.(f) | | | | | 204,438 | | |
| United States – 1.2% | | ||||||||||||
| | | 267,281 | | | | Appvion Inc.*(e)(f) | | | | | 2,646,082 | | |
| | | 219,500 | | | | Forum Merger II Corp., Class A Shares*(e) | | | | | 2,216,950 | | |
| | | 61,500 | | | | Landcadia Holdings II Inc., Class A Shares* | | | | | 602,700 | | |
| | | 52 | | | | Real Alloy Holding Inc.*(e)(f) | | | | | 1,737,095 | | |
| | | 136,369 | | | | Tuscan Holdings Corp.* | | | | | 1,350,053 | | |
| | | 80,750 | | | | Tuscan Holdings Corp. II*(e) | | | | | 786,505 | | |
| | | | | | | Total United States | | | | | 9,339,385 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $10,993,587) | | | | | 9,543,823 | | |
| WARRANTS – 0.0% | | ||||||||||||
| Brazil – 0.0% | | ||||||||||||
| | | 58,463 | | | | OAS SA*(f) | | | | | — | | |
| United States – 0.0% | | ||||||||||||
| | | 40,375 | | | | Tuscan Holdings Corp. II*(e) | | | | | 23,418 | | |
| | | | | | | TOTAL WARRANTS (Cost – $23,985) | | | | | 23,418 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $632,369,015) | | | | | 631,528,152 | | |
| Face Amount† | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 18.7% | | ||||||||||||
| COMMERCIAL PAPERS – 13.1% | | ||||||||||||
| | $ | 10,233,000 | | | | Anheuser-Busch InBev SA/NV, 2.427% due 9/9/19(h) | | | | | 10,226,462 | | |
| | | | | | | Arrow Electronics Inc.: | | | | | | | |
| | | 2,113,000 | | | | 2.556% due 9/16/19(h) | | | | | 2,110,473 | | |
| | | 5,631,000 | | | | 2.505% due 9/27/19(h) | | | | | 5,619,875 | | |
| | | 5,721,000 | | | | AutoZone Inc., 2.222% due 9/9/19(h) | | | | | 5,717,397 | | |
| | | | | | | Boston Scientific Corp.: | | | | | | | |
| | | 2,113,000 | | | | 2.445% due 9/13/19(h) | | | | | 2,111,128 | | |
| | | 6,605,000 | | | | 2.369% due 10/25/19(h) | | | | | 6,581,091 | | |
| Face Amount† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – (continued) | | ||||||||||||
| COMMERCIAL PAPERS – (continued) | | ||||||||||||
| | $ | 8,817,000 | | | | Campbell Soup, 2.435% due 9/11/19(h) | | | | $ | 8,810,319 | | |
| | | 8,940,000 | | | | Dow Chemical Co., 2.276% due 9/27/19(h) | | | | | 8,923,965 | | |
| | | 7,186,000 | | | | EI du Pont de Nemours & Co., 2.304% due 9/10/19(h) | | | | | 7,181,082 | | |
| | | 11,959,000 | | | | Keurig Dr Pepper Inc., 2.358% due 9/20/19(h) | | | | | 11,943,011 | | |
| | | 8,960,000 | | | | Marriott International Inc., 2.356% due 9/16/19(h) | | | | | 8,950,336 | | |
| | | 10,559,000 | | | | Mondelez International Inc., 2.490% due 9/10/19(h) | | | | | 10,551,708 | | |
| | | 8,962,000 | | | | Royal Caribbean Ltd., 2.487% due 9/20/19(h) | | | | | 8,950,018 | | |
| | | 6,390,000 | | | | Textron Inc., 2.226% due 10/8/19(h) | | | | | 6,372,189 | | |
| | | | | | | TOTAL COMMERCIAL PAPERS (Cost – $104,061,960) | | | | | 104,049,054 | | |
| TIME DEPOSITS – 5.6% | | ||||||||||||
| | | 44,060,112 | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 44,060,112 | | |
| | | 515,696 | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 515,696 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $44,575,808) | | | | | 44,575,808 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $148,637,768) | | | | | 148,624,862 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 0.5% | | ||||||||||||
| MONEY MARKET FUND – 0.5% | | ||||||||||||
| | | 4,016,865 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(i) (Cost – $4,016,865) | | | | | 4,016,865 | | |
| | | | | | | TOTAL INVESTMENTS – 98.7% (Cost – $785,023,648#) | | | | | 784,169,879 | | |
| | | | | | | Other Assets in Excess of Liabilities – 1.3% | | | | | 9,931,760 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 794,101,639 | | |
|
Security | | | Acquisition Date | | | Acquisition Cost | | | Market Value | | | Percent of Net Assets | | |||||||||
QBE Insurance Group Ltd., Subordinated Notes, 6.750% (USD Swap Rate + 4.300%) due 12/2/44 | | | 10/2/18 | | | | $ | 2,109,000 | | | | | $ | 2,200,000 | | | | | | 0.28% | | |
UniCredit SpA, Junior Subordinated Notes, 8.000% (5-Year USD Swap Rate + 5.180%) | | | 5/4/17 | | | | | 328,006 | | | | | | 461,138 | | | | | | 0.06% | | |
UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000% (5-Year USD Swap Rate + 4.866%) | | | 4/18/17 | | | | | 1,300,500 | | | | | | 1,532,404 | | | | | | 0.19% | | |
Total | | | | | | | | | | | | | $ | 4,193,542 | | | | | | 0.53% | | |
| Corporate Bonds & Notes | | | | | 64.0% | | |
| Senior Loans | | | | | 9.1 | | |
| Sovereign Bonds | | | | | 3.9 | | |
| Preferred Stocks | | | | | 2.3 | | |
| Common Stocks | | | | | 1.2 | | |
| Warrants | | | | | 0.0* | | |
| Short-Term Investments | | | | | 19.0 | | |
| Money Market Fund | | | | | 0.5 | | |
| | | | | | 100.0% | | |
Equity Options
| Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | | ||||||
| 377 | | | 3,285,932 | | | iShares iBoxx HighYield Corp. | | | DB | | | 9/20/19 | | | | $ | 82.00 | | | | | $ | 2,639 | | |
| 889 | | | 7,748,524 | | | iShares iBoxx HighYield Corp. | | | DB | | | 9/20/19 | | | | | 87.00 | | | | | | 37,338 | | |
| | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received – $76,901) | | | | | | | | | | | | | | | | $ | 39,977 | | |
Foreign Currency | | | Local Currency | | | Counterparty | | | Market Value | | | Settlement Date | | | Unrealized Appreciation | | | Unrealized (Depreciation) | | | Net Unrealized Appreciation/ (Depreciation) | | |||||||||||||||||||||
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | | | 17,615,000 | | | | | | BBH | | | | | $ | 19,373,046 | | | | | | 9/13/19 | | | | | $ | 423,924 | | | | | $ | — | | | | | $ | 423,924 | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | $ | 423,924 | | | | | $ | — | | | | | $ | 423,924 | | | ||||||||||||||||||||||||
|
| Currency Abbreviations used in this schedule: | | | Counterparty Abbreviations used in this schedule: | |
| CAD — Canadian Dollar | | | BBH — Brown Brothers Harriman & Co. | |
| EUR — Euro | | | DB — Deutsche Bank | |
| Face Amount† | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 0.7% | | ||||||||||||
| CORPORATE BONDS & NOTES – 0.7% | | ||||||||||||
| Germany – 0.1% | | ||||||||||||
| | | 824,000EUR | | | | BASF SE, Senior Unsecured Notes, 0.875% due 11/15/27 | | | | $ | 975,051 | | |
| Japan – 0.2% | | ||||||||||||
| | $ | 1,604,000 | | | | SoftBank Group Corp., Senior Unsecured Notes, 4.750% due 9/19/24 | | | | | 1,644,340 | | |
| United States – 0.4% | | ||||||||||||
| | | 1,418,000 | | | | DaVita Inc., Company Guaranteed Notes, 5.125% due 7/15/24 | | | | | 1,442,404 | | |
| | | 840,000 | | | | McKesson Corp., Senior Unsecured Notes, 3.950% due 2/16/28 | | | | | 896,264 | | |
| | | 840,000 | | | | Quest Diagnostics Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | | | 891,190 | | |
| | | | | | | Total United States | | | | | 3,229,858 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Proceeds – $5,533,978) | | | | $ | 5,849,249 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 0.7% (Proceeds – $5,533,978) | | | | $ | 5,849,249 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 92.6% | | |||||||||||||||
| Alabama – 1.2% | | |||||||||||||||
| | $ | 2,000,000 | | | | AA- | | | Auburn University, Revenue Bonds, Series A, 5.000% due 6/1/35 | | | | $ | 2,531,780 | | |
| | | 1,835,000 | | | | Aa2(a) | | | Black Belt Energy Gas District, Revenue Bonds, Series A, 4.000% due 7/1/46(b) | | | | | 1,918,456 | | |
| | | 355,000 | | | | AA- | | | County of Jefferson AL, GO, Series B, 5.000% due 4/1/21 | | | | | 376,037 | | |
| | | 220,000 | | | | A- | | | Industrial Development Board of the City of Mobile Alabama, Revenue Bonds, 1.850% due 6/1/34(b) | | | | | 220,557 | | |
| | | | | | | | | | Mobile County Board of School Commissioners, Special Tax: | | | | | | | |
| | | 260,000 | | | | A- | | | 5.000% due 3/1/28 | | | | | 310,076 | | |
| | | 175,000 | | | | A- | | | 5.000% due 3/1/29 | | | | | 208,077 | | |
| | | 180,000 | | | | A- | | | 5.000% due 3/1/30 | | | | | 213,176 | | |
| | | 185,000 | | | | A- | | | 5.000% due 3/1/31 | | | | | 218,196 | | |
| | | 145,000 | | | | A- | | | 5.000% due 3/1/32 | | | | | 170,121 | | |
| | | 215,000 | | | | A- | | | 5.000% due 3/1/33 | | | | | 251,772 | | |
| | | | | | | | | | Montgomery Medical Clinic Board, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB | | | 5.000% due 3/1/26 | | | | | 71,041 | | |
| | | 115,000 | | | | BBB | | | 5.000% due 3/1/27 | | | | | 135,465 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/28 | | | | | 146,653 | | |
| | | 105,000 | | | | BBB | | | 5.000% due 3/1/29 | | | | | 122,748 | | |
| | | 125,000 | | | | BBB | | | 5.000% due 3/1/30 | | | | | 145,390 | | |
| | | 3,500,000 | | | | A3(a) | | | Southeast Alabama Gas Supply District, Revenue Bonds, Series A, 4.000% due 6/1/49(b) | | | | | 3,860,290 | | |
| | | | | | | | | | Total Alabama | | | | | 10,899,835 | | |
| Alaska – 0.2% | | |||||||||||||||
| | | 1,000,000 | | | | AA+ | | | Alaska Housing Finance Corp., Revenue Bonds, Series A, 5.000% due 6/1/30 | | | | | 1,243,230 | | |
| | | 50,000 | | | | AA | | | Borough of North Slope AK, GO, Series A, Prerefunded 6/30/20 @ 100, 5.000% due 6/30/21(c) | | | | | 51,625 | | |
| | | 215,000 | | | | AA | | | State of Alaska, GO, Series A, 5.000% due 8/1/33 | | | | | 256,794 | | |
| | | 225,000 | | | | A1(a) | | | State of Alaska International Airports System, Revenue Bonds, Series B, 5.000% due 10/1/33 | | | | | 267,239 | | |
| | | | | | | | | | Total Alaska | | | | | 1,818,888 | | |
| Arizona – 3.4% | | |||||||||||||||
| | | 5,000,000 | | | | AA+ | | | Arizona Department of Transportation State Highway Fund Revenue, Revenue Bonds, 5.000% due 7/1/27 | | | | | 6,246,000 | | |
| | | 2,000,000 | | | | AA | | | Arizona State University, Revenue Bonds, Series A, 5.000% due 7/1/39 | | | | | 2,569,100 | | |
| | | 1,800,000 | | | | A+ | | | Chandler Industrial Development Authority, Revenue Bonds, 5.000% due 6/1/49(b)(d) | | | | | 2,088,180 | | |
| | | | | | | | | | City of Glendale AZ, Revenue Bonds: | | | | | | | |
| | | 230,000 | | | | AA+ | | | Series A, 5.000% due 7/1/27 | | | | | 277,909 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 260,000 | | | | AA+ | | | Series A, 5.000% due 7/1/28 | | | | $ | 316,226 | | |
| | | 235,000 | | | | AA+ | | | Series A, 5.000% due 7/1/29 | | | | | 282,545 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/23 | | | | | 119,993 | | |
| | | 95,000 | | | | AA | | | 5.000% due 7/1/25 | | | | | 115,275 | | |
| | | 85,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 105,394 | | |
| | | 65,000 | | | | AA | | | City of Glendale AZ, GO, AGM, 4.000% due 7/1/21 | | | | | 68,492 | | |
| | | | | | | | | | City of Glendale AZ Transportation Excise Tax Revenue, Revenue Bonds, AGM: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 7/1/24 | | | | | 64,929 | | |
| | | 60,000 | | | | AA | | | 5.000% due 7/1/25 | | | | | 72,880 | | |
| | | 105,000 | | | | AA | | | 5.000% due 7/1/26 | | | | | 126,767 | | |
| | | | | | | | | | City of Phoenix Civic Improvement Corp., Revenue Bonds: | | | | | | | |
| | | 6,365,000 | | | | AAA | | | Series B, 4.000% due 7/1/29 | | | | | 7,142,803 | | |
| | | 30,000 | | | | AAA | | | Series C, 5.000% due 7/1/21 | | | | | 32,159 | | |
| | | 65,000 | | | | AA- | | | Series A, 5.000% due 7/1/27(d) | | | | | 82,024 | | |
| | | 90,000 | | | | AA- | | | Series A, 5.000% due 7/1/28(d) | | | | | 112,924 | | |
| | | 30,000 | | | | AAA | | | Series A, 5.000% due 7/1/20 | | | | | 30,983 | | |
| | | 1,000,000 | | | | AAA | | | City of Scottsdale AZ, GO, 5.000% due 7/1/23 | | | | | 1,148,460 | | |
| | | | | | | | | | County of Pima AZ Sewer System Revenue, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 7/1/20 | | | | | 61,951 | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/22 | | | | | 16,633 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 7/1/23 | | | | | 33,248 | | |
| | | 60,000 | | | | AA | | | Series B, Prerefunded 7/1/21 @ 100, 5.000% due 7/1/25(c) | | | | | 64,193 | | |
| | | 2,500,000 | | | | BBB+ | | | Industrial Development Authority of the City of Phoenix, Revenue Bonds, 1.520% due 12/1/35(b)(d) | | | | | 2,500,300 | | |
| | | 820,000 | | | | AAA | | | Maricopa County Community College District, GO, Series D, 4.250% due 7/1/25 | | | | | 867,757 | | |
| | | | | | | | | | Maricopa County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | AA- | | | Series D, 5.000% due 1/1/46(b) | | | | | 985,160 | | |
| | | 145,000 | | | | NR | | | 6.000% due 1/1/48(e) | | | | | 154,155 | | |
| | | 735,000 | | | | A2(a) | | | Series B, 5.000% due 9/1/45(b) | | | | | 862,354 | | |
| | | 190,000 | | | | AA- | | | Series A, 4.000% due 1/1/24 | | | | | 212,758 | | |
| | | 70,000 | | | | AA- | | | Series A, 5.000% due 1/1/22 | | | | | 76,226 | | |
| | | 145,000 | | | | AA- | | | Series A, 5.000% due 1/1/23 | | | | | 163,213 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 1/1/24 | | | | | 69,711 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 1/1/25 | | | | | 269,298 | | |
| | | 430,000 | | | | AA- | | | Series B, 5.000% due 1/1/48(b) | | | | | 478,964 | | |
| | | 290,000 | | | | AA- | | | Series C, 5.000% due 1/1/48(b) | | | | | 342,145 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Arizona – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | AA- | | | McAllister Academic Village LLC, Revenue Bonds, 5.000% due 7/1/21 | | | | $ | 53,560 | | |
| | | 145,000 | | | | AA | | | Salt River Project Agricultural Improvement & Power District, Revenue Bonds, Series A, 5.000% due 1/1/33 | | | | | 185,139 | | |
| | | | | | | | | | State of Arizona, COP: | | | | | | | |
| | | 195,000 | | | | AA | | | AGM, Series A, 5.250% due 10/1/20 | | | | | 195,606 | | |
| | | 245,000 | | | | AA- | | | Series A, 5.000% due 10/1/20 | | | | | 255,236 | | |
| | | 215,000 | | | | AA- | | | Series A, 5.000% due 10/1/21 | | | | | 232,237 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 10/1/22 | | | | | 251,545 | | |
| | | 300,000 | | | | AA- | | | Series A, 5.000% due 10/1/23 | | | | | 346,470 | | |
| | | 310,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 369,446 | | |
| | | | | | | | | | Tempe Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 5,000 | | | | NR | | | Series A, 6.000% due 10/1/37(e) | | | | | 5,808 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/47(e) | | | | | 17,270 | | |
| | | 15,000 | | | | NR | | | Series A, 6.125% due 10/1/52(e) | | | | | 17,214 | | |
| | | 225,000 | | | | NR | | | Series B, 4.000% due 10/1/23(e) | | | | | 227,835 | | |
| | | | | | | | | | Total Arizona | | | | | 30,318,475 | | |
| Arkansas – 0.0% | | |||||||||||||||
| | | 90,000 | | | | Aa2(a) | | | Little Rock School District, GO, 3.000% due 2/1/22 | | | | | 93,650 | | |
| California – 2.5% | | |||||||||||||||
| | | 60,000 | | | | A- | | | Alameda Corridor Transportation Authority, Revenue Bonds, Series A, 5.000% due 10/1/23 | | | | | 69,632 | | |
| | | | | | | | | | Bay Area Toll Authority, Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AA | | | Series A, 2.250% due 4/1/45(b) | | | | | 2,049,460 | | |
| | | 255,000 | | | | AA | | | Series A, 2.950% due 4/1/47(b) | | | | | 280,628 | | |
| | | 210,000 | | | | AA | | | Series B, 2.850% due 4/1/47(b) | | | | | 227,396 | | |
| | | 195,000 | | | | AA | | | Series C, 2.100% due 4/1/45(b) | | | | | 199,265 | | |
| | | | | | | | | | California Health Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 132,728 | | |
| | | 85,000 | | | | AA- | | | Series D, 5.000% due 8/15/35 | | | | | 90,822 | | |
| | | | | | | | | | California Municipal Finance Authority, Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | BBB+(g) | | | 5.000% due 6/30/28(d) | | | | | 70,156 | | |
| | | 45,000 | | | | BBB+(g) | | | 5.000% due 12/31/28(d) | | | | | 57,280 | | |
| | | 60,000 | | | | BBB+(g) | | | 5.000% due 6/30/29(d) | | | | | 76,136 | | |
| | | 30,000 | | | | BBB+(g) | | | 5.000% due 12/31/29(d) | | | | | 37,967 | | |
| | | 90,000 | | | | BBB+(g) | | | 5.000% due 6/30/31(d) | | | | | 112,906 | | |
| | | 85,000 | | | | BBB+(g) | | | 5.000% due 12/31/31(d) | | | | | 106,368 | | |
| | | 1,700,000 | | | | BBB+ | | | California Pollution Control Financing Authority, Revenue Bonds, Series A, 1.550% due 8/1/23(b)(d)(e) | | | | | 1,700,289 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | | | | | | | | | California State Public Works Board, Revenue Bonds: | | | |||||
| | $ | 70,000 | | | | A+ | | | Series D, 5.000% due 12/1/21 | | | | $ | 76,267 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 4/1/22 | | | | | 66,158 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 4/1/23 | | | | | 159,608 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/24 | | | | | 124,932 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.250% due 10/1/25 | | | | | 124,907 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/23 | | | | | 33,693 | | |
| | | 30,000 | | | | A+ | | | Series G, 5.000% due 11/1/24 | | | | | 33,683 | | |
| | | 3,000,000 | | | | AA- | | | City of Riverside CA Sewer Revenue, Revenue Bonds, Series A, 5.000% due 8/1/36 | | | | | 3,853,590 | | |
| | | | | | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A+ | | | Series A, AMBAC, zero coupon, due 6/1/24 | | | | | 164,080 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 6/1/29 | | | | | 166,026 | | |
| | | 115,000 | | | | BBB+ | | | Series A1, 5.000% due 6/1/25 | | | | | 135,324 | | |
| | | 30,000 | | | | BBB+ | | | Series A1, 5.000% due 6/1/26 | | | | | 35,960 | | |
| | | 290,000 | | | | AA | | | Los Angeles Department of Water & Power System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 348,423 | | |
| | | 1,500,000 | | | | Aa3(a) | | | Los Angeles Unified School District, GO, Series A, 5.000% due 7/1/27 | | | | | 1,923,510 | | |
| | | | | | | | | | Modesto Irrigation District, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 32,233 | | |
| | | 110,000 | | | | A+ | | | Series A, 5.000% due 7/1/23 | | | | | 117,978 | | |
| | | 170,000 | | | | Aa3(a) | | | Oakland Alameda County Coliseum Authority, Revenue Bonds, Series A, 5.000% due 2/1/23 | | | | | 186,121 | | |
| | | | | | | | | | Oakland Unified School District, GO: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 8/1/28 | | | | | 36,281 | | |
| | | 100,000 | | | | AA | | | AGM, 5.000% due 8/1/26 | | | | | 121,636 | | |
| | | 145,000 | | | | A+ | | | Port of Oakland, Revenue Bonds, Series P, 5.000% due 5/1/22(d) | | | | | 159,109 | | |
| | | | | | | | | | Poway Unified School District Public Financing Authority, Special Tax: | | | | | | | |
| | | 35,000 | | | | NR | | | Series A, 5.000% due 9/1/25 | | | | | 41,363 | | |
| | | 45,000 | | | | NR | | | Series A, 5.000% due 9/1/28 | | | | | 52,781 | | |
| | | 50,000 | | | | NR | | | Series A, 5.000% due 9/1/32 | | | | | 57,849 | | |
| | | 90,000 | | | | A | | | Sacramento City Financing Authority, Tax Allocation, Series A, NPFG, zero coupon, due 12/1/26 | | | | | 77,464 | | |
| | | 255,000 | | | | AA- | | | San Diego Convention Center Expansion Financing Authority, Revenue Bonds, Series A, 5.000% due 4/15/23 | | | | | 281,558 | | |
| | | 75,000 | | | | AA- | | | San Diego Unified School District, GO, Series C, zero coupon, due 7/1/34 | | | | | 54,031 | | |
| | | | | | | | | | San Marcos Unified School District, GO: | | | | | | | |
| | | 105,000 | | | | AA- | | | Series B, zero coupon, due 8/1/35 | | | | | 73,110 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| California – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | AA- | | | Series B, zero coupon, due 8/1/37 | | | | $ | 39,421 | | |
| | | 55,000 | | | | AA+ | | | Santa Monica-Malibu Unified School District, GO, NPFG, zero coupon, due 8/1/20 | | | | | 54,479 | | |
| | | | | | | | | | State of California, GO: | | | | | | | |
| | | 3,125,000 | | | | AA- | | | 4.000% due 12/1/30(b) | | | | | 3,275,938 | | |
| | | 3,000,000 | | | | AA- | | | 5.000% due 4/1/36 | | | | | 3,894,960 | | |
| | | 80,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 99,998 | | |
| | | 435,000 | | | | AA- | | | Series B, 5.000% due 8/1/26 | | | | | 548,705 | | |
| | | 205,000 | | | | AA- | | | Series C, 5.000% due 8/1/29 | | | | | 255,742 | | |
| | | | | | | | | | State of California Department of Water Resources, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AAA | | | Series AI, 5.000% due 12/1/25 | | | | | 70,910 | | |
| | | 140,000 | | | | AAA | | | Series AI, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/29(c) | | | | | 153,035 | | |
| | | 40,000 | | | | AA+ | | | Union Elementary School District, GO, Series A, NPFG, zero coupon, due 9/1/20 | | | | | 39,536 | | |
| | | 100,000 | | | | Aa3(a) | | | Washington Township Health Care District, GO, Series A, 5.500% due 8/1/40 | | | | | 119,181 | | |
| | | 230,000 | | | | AA- | | | West Contra Costa Unified School District, GO, 5.000% due 8/1/26 | | | | | 255,903 | | |
| | | | | | | | | | Total California | | | | | 22,556,516 | | |
| Colorado – 1.2% | | |||||||||||||||
| | | | | | | | | | City & County of Denver CO Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 11/15/24(d) | | | | | 76,888 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/15/27(d) | | | | | 38,053 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/28(d) | | | | | 183,067 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 11/15/29(d) | | | | | 181,969 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 11/15/30(d) | | | | | 143,475 | | |
| | | | | | | | | | Colorado Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 220,000 | | | | A- | | | 2.800% due 5/15/42(b) | | | | | 228,833 | | |
| | | 500,000 | | | | BBB+ | | | 5.000% due 8/1/44 | | | | | 609,295 | | |
| | | 325,000 | | | | BBB+ | | | 5.000% due 8/1/49(b) | | | | | 391,498 | | |
| | | 640,000 | | | | AA | | | 5.000% due 11/15/49(b) | | | | | 801,408 | | |
| | | 220,000 | | | | BBB+ | | | Series D3, 5.000% due 10/1/38(b) | | | | | 236,502 | | |
| | | 2,115,000 | | | | AA | | | 5.000% due 11/15/36(b) | | | | | 2,438,066 | | |
| | | 655,000 | | | | Aaa(a) | | | zero coupon, due 7/15/22 | | | | | 632,219 | | |
| | | 190,000 | | | | A3(a) | | | 5.000% due 9/1/46 | | | | | 220,478 | | |
| | | 145,000 | | | | A+ | | | Colorado Housing & Finance Authority, Revenue Bonds, Series H, 4.250% due 11/1/49 | | | | | 161,906 | | |
| | | | | | | | | | E-470 Public Highway Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A | | | zero coupon, due 9/1/35 | | | | | 39,621 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Colorado – (continued) | | |||||||||||||||
| | $ | 85,000 | | | | A | | | zero coupon, due 9/1/37 | | | | $ | 52,157 | | |
| | | 110,000 | | | | A | | | zero coupon, due 9/1/38 | | | | | 65,039 | | |
| | | 140,000 | | | | A | | | Series B, NPFG, zero coupon, due 9/1/20 | | | | | 138,253 | | |
| | | 1,500,000 | | | | AAA | | | Metro Wastewater Reclamation District, Revenue Bonds, Series A, 4.000% due 4/1/30 | | | | | 1,601,100 | | |
| | | 2,250,000 | | | | AA- | | | State of Colorado, COP, Series A, 4.000% due 12/15/36 | | | | | 2,624,917 | | |
| | | 210,000 | | | | AA- | | | University of Colorado Hospital Authority, Revenue Bonds, Series C, 5.000% due 11/15/38(b) | | | | | 225,437 | | |
| | | | | | | | | | Total Colorado | | | | | 11,090,181 | | |
| Connecticut – 1.2% | | |||||||||||||||
| | | | | | | | | | Connecticut State Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 505,000 | | | | AA- | | | 1.800% due 7/1/49(b) | | | | | 515,529 | | |
| | | 705,000 | | | | NR | | | 5.000% due 7/1/25(e) | | | | | 781,570 | | |
| | | 385,000 | | | | NR | | | 5.000% due 7/1/49(e) | | | | | 422,095 | | |
| | | 65,000 | | | | A- | | | Series S, 5.000% due 7/1/26 | | | | | 79,784 | | |
| | | 30,000 | | | | A- | | | Series S, 5.000% due 7/1/29 | | | | | 38,155 | | |
| | | 1,030,000 | | | | AAA | | | Series A, 2.050% due 7/1/35(b) | | | | | 1,046,964 | | |
| | | 4,465,000 | | | | AAA | | | Series V1, 1.250% due 7/1/36(b) | | | | | 4,465,000 | | |
| | | | | | | | | | State of Connecticut, GO: | | | | | | | |
| | | 375,000 | | | | A | | | Series A, 5.000% due 4/15/26 | | | | | 460,279 | | |
| | | 90,000 | | | | A | | | Series A, 5.000% due 3/15/26 | | | | | 110,232 | | |
| | | 150,000 | | | | A | | | Series A, 5.000% due 4/15/30 | | | | | 192,936 | | |
| | | 170,000 | | | | A | | | Series A, 5.000% due 4/15/34 | | | | | 214,654 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 4/15/35 | | | | | 75,510 | | |
| | | 85,000 | | | | A | | | Series E, 5.000% due 9/15/23 | | | | | 94,509 | | |
| | | 100,000 | | | | A | | | Series E, 5.000% due 10/15/26 | | | | | 124,259 | | |
| | | 150,000 | | | | A | | | Series E, 5.000% due 10/15/29 | | | | | 184,119 | | |
| | | 1,600,000 | | | | A | | | Series F, 5.000% due 9/15/26 | | | | | 1,984,448 | | |
| | | 330,000 | | | | A+ | | | University of Connecticut, Revenue Bonds, Series A, 5.000% due 11/1/27 | | | | | 418,816 | | |
| | | | | | | | | | Total Connecticut | | | | | 11,208,859 | | |
| Delaware – 0.4% | | |||||||||||||||
| | | | | | | | | | Delaware River & Bay Authority, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 92,498 | | |
| | | 35,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 40,617 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 92,830 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Delaware – (continued) | | |||||||||||||||
| | $ | 3,160,000 | | | | NR | | | State of Delaware, GO, Series B, Prerefunded 7/1/24 @ 100, 5.000% due 7/1/27(c) | | | | $ | 3,731,012 | | |
| | | | | | | | | | Total Delaware | | | | | 3,956,957 | | |
| District of Columbia – 0.7% | | |||||||||||||||
| | | | | | | | | | District of Columbia, Revenue Bonds: | | | | | | | |
| | | 195,000 | | | | A1(a) | | | Series A, 5.000% due 6/1/40 | | | | | 199,791 | | |
| | | 120,000 | | | | AAA | | | Series A, 5.000% due 12/1/36 | | | | | 129,600 | | |
| | | | | | | | | | Metropolitan Washington Airports Authority, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AA- | | | 5.000% due 10/1/21(d) | | | | | 96,810 | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 10/1/22(d) | | | | | 55,562 | | |
| | | 195,000 | | | | AA- | | | Series C, 5.000% due 10/1/22(d) | | | | | 209,796 | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 10/1/23(d) | | | | | 85,972 | | |
| | | 210,000 | | | | AA- | | | Series C, 5.000% due 10/1/23(d) | | | | | 226,025 | | |
| | | 190,000 | | | | AA- | | | Series C, 5.000% due 10/1/24(d) | | | | | 204,457 | | |
| | | 225,000 | | | | AA- | | | Series A, 5.000% due 10/1/25(d) | | | | | 272,772 | | |
| | | 255,000 | | | | AA- | | | Series C, 5.000% due 10/1/25(d) | | | | | 274,186 | | |
| | | 2,500,000 | | | | AA- | | | Series A, 5.000% due 10/1/24(d) | | | | | 2,952,300 | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/28(d) | | | | | 148,291 | | |
| | | 120,000 | | | | AA- | | | Series A, 5.000% due 10/1/29(d) | | | | | 153,977 | | |
| | | 160,000 | | | | AA- | | | 5.000% due 10/1/29(d) | | | | | 200,907 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 10/1/30(d) | | | | | 121,206 | | |
| | | 70,000 | | | | AA- | | | Series A, 5.000% due 10/1/31(d) | | | | | 86,984 | | |
| | | 135,000 | | | | AA- | | | 5.000% due 10/1/31(d) | | | | | 171,237 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 10/1/34(d) | | | | | 73,887 | | |
| | | 55,000 | | | | AA- | | | Series A, 5.000% due 10/1/36(d) | | | | | 67,373 | | |
| | | 240,000 | | | | AA- | | | Washington Metropolitan Area Transit Authority, Revenue Bonds, Series B, 5.000% due 7/1/34 | | | | | 298,901 | | |
| | | | | | | | | | Total District of Columbia | | | | | 6,030,034 | | |
| Florida – 5.0% | | |||||||||||||||
| | | | | | | | | | Brevard County School District, COP: | | | | | | | |
| | | 95,000 | | | | Aa3(a) | | | 5.000% due 7/1/27 | | | | | 111,175 | | |
| | | 215,000 | | | | Aa3(a) | | | 5.000% due 7/1/30 | | | | | 250,359 | | |
| | | 85,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 99,994 | | |
| | | | | | | | | | Citizens Property Insurance Corp., Revenue Bonds: | | | | | | | |
| | | 80,000 | | | | A+ | | | Series A1, 5.000% due 6/1/21 | | | | | 85,323 | | |
| | | 60,000 | | | | A+ | | | Series A1, 5.000% due 6/1/22 | | | | | 66,240 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | City of Clearwater FL Water & Sewer Revenue, Revenue Bonds: | | ||||||
| | $ | 40,000 | | | | AA | | | 5.000% due 12/1/21 | | | | $ | 43,460 | | |
| | | 65,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/23(c) | | | | | 70,642 | | |
| | | 70,000 | | | | AA | | | Prerefunded 12/1/21 @ 100, 5.000% due 12/1/24(c) | | | | | 76,076 | | |
| | | 685,000 | | | | AA- | | | City of Gainesville FL Utilities System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/44 | | | | | 865,333 | | |
| | | | | | | | | | City of Jacksonville FL, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | 5.000% due 10/1/22 | | | | | 128,049 | | |
| | | 155,000 | | | | A+ | | | 5.000% due 10/1/23 | | | | | 172,489 | | |
| | | | | | | | | | City of Tallahassee FL, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Baa1(a) | | | 5.000% due 12/1/40 | | | | | 56,798 | | |
| | | 35,000 | | | | Baa1(a) | | | 5.000% due 12/1/21 | | | | | 37,671 | | |
| | | 15,000 | | | | Baa1(a) | | | 5.000% due 12/1/19 | | | | | 15,128 | | |
| | | | | | | | | | City of Tampa FL, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | Aa2(a) | | | 5.000% due 11/15/19 | | | | | 45,352 | | |
| | | 55,000 | | | | A+ | | | 5.000% due 9/1/28 | | | | | 60,615 | | |
| | | 170,000 | | | | AA | | | City of Tampa FL Solid Waste System Revenue, Revenue Bonds, AGM, 5.000% due 10/1/19(d) | | | | | 170,479 | | |
| | | | | | | | | | County of Broward FL Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | A+ | | | Series Q1, 5.000% due 10/1/23 | | | | | 100,647 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 10/1/30(d) | | | | | 74,645 | | |
| | | 90,000 | | | | A+ | | | 5.000% due 10/1/31(d) | | | | | 111,453 | | |
| | | 120,000 | | | | A+ | | | Series A, 5.000% due 10/1/29(d) | | | | | 143,600 | | |
| | | 85,000 | | | | A+ | | | Series A, 5.000% due 10/1/31(d) | | | | | 100,891 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 10/1/32(d) | | | | | 136,237 | | |
| | | | | | | | | | County of Hillsborough FL Solid Waste & Resource Recovery Revenue, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/20(d) | | | | | 41,466 | | |
| | | 40,000 | | | | AA+ | | | Series A, 5.000% due 9/1/21(d) | | | | | 42,834 | | |
| | | 50,000 | | | | AA+ | | | Series A, 5.000% due 9/1/22(d) | | | | | 55,274 | | |
| | | 60,000 | | | | AA+ | | | Series A, 5.000% due 9/1/23(d) | | | | | 68,302 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/24(d) | | | | | 75,957 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/25(d) | | | | | 77,923 | | |
| | | 65,000 | | | | AA+ | | | Series A, 5.000% due 9/1/26(d) | | | | | 79,916 | | |
| | | | | | | | | | County of Indian River FL Water & Sewer Revenue, Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | AA | | | 5.000% due 9/1/21 | | | | | 55,000 | | |
| | | 65,000 | | | | AA | | | 5.000% due 9/1/22 | | | | | 65,000 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | County of Miami-Dade FL, Revenue Bonds: | | ||||||
| | $ | 210,000 | | | | A+ | | | Series B, NPFG, 5.000% due 6/1/20 | | | | $ | 215,966 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 10/1/28 | | | | | 198,480 | | |
| | | 120,000 | | | | A+ | | | 5.000% due 10/1/29 | | | | | 148,631 | | |
| | | 215,000 | | | | A+ | | | 5.000% due 10/1/30 | | | | | 265,559 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 10/1/25 | | | | | 72,313 | | |
| | | 120,000 | | | | AA | | | County of Miami-Dade FL, GO, Series A, 5.000% due 11/1/23 | | | | | 138,958 | | |
| | | | | | | | | | County of Miami-Dade FL Aviation Revenue, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 10/1/21(d) | | | | | 187,943 | | |
| | | 295,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/35 | | | | | 306,543 | | |
| | | 90,000 | | | | A | | | Series A1, 5.000% due 10/1/22 | | | | | 93,878 | | |
| | | 1,800,000 | | | | A2(a) | | | Series A1, Prerefunded 10/1/20 @ 100, 5.375% due 10/1/41(c) | | | | | 1,883,574 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/30 | | | | | 86,356 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 10/1/31 | | | | | 36,812 | | |
| | | 65,000 | | | | A | | | Series B, 5.000% due 10/1/24 | | | | | 72,773 | | |
| | | 215,000 | | | | A | | | Series B, 5.000% due 10/1/37 | | | | | 248,177 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 10/1/22(d) | | | | | 94,183 | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 10/1/24(d) | | | | | 322,350 | | |
| | | 55,000 | | | | A | | | Series A, 5.000% due 10/1/27(d) | | | | | 64,272 | | |
| | | 80,000 | | | | A | | | Series A, 5.000% due 10/1/29(d) | | | | | 93,105 | | |
| | | 160,000 | | | | A | | | Series A, 5.000% due 10/1/33(d) | | | | | 184,270 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 10/1/35(d) | | | | | 80,289 | | |
| | | 105,000 | | | | A | | | Series B, 5.000% due 10/1/20(d) | | | | | 109,156 | | |
| | | | | | | | | | County of Miami-Dade FL Transit System, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | 5.000% due 7/1/21 | | | | | 37,466 | | |
| | | 50,000 | | | | AA | | | 5.000% due 7/1/42 | | | | | 54,875 | | |
| | | | | | | | | | Duval County Public Schools, COP: | | | | | | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 149,422 | | |
| | | 30,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 35,769 | | |
| | | 190,000 | | | | A+ | | | Series B, 5.000% due 7/1/30 | | | | | 226,752 | | |
| | | | | | | | | | Florida Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 80,000 | | | | A1(a) | | | Series A, 5.000% due 10/1/22 | | | | | 89,438 | | |
| | | 30,000 | | | | A2(a) | | | 5.000% due 10/1/24 | | | | | 35,688 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 10/1/27 | | | | | 54,525 | | |
| | | 55,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/30 | | | | | 68,017 | | |
| | | 60,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/31 | | | | | 73,896 | | |
| | | 355,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/26 | | | | | 392,786 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 2,500,000 | | | | AA | | | Florida’s Turnpike Enterprise, Revenue Bonds, Series C, 4.375% due 7/1/37 | | | | $ | 2,721,800 | | |
| | | | | | | | | | Greater Orlando Aviation Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A+ | | | Series A, 5.000% due 10/1/28(d) | | | | | 126,562 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 10/1/30(d) | | | | | 74,594 | | |
| | | | | | | | | | Halifax Hospital Medical Center, Revenue Bonds: | | | |||||
| | | 35,000 | | | | A- | | | 5.000% due 6/1/28 | | | | | 41,251 | | |
| | | 70,000 | | | | A- | | | 5.000% due 6/1/35 | | | | | 80,999 | | |
| | | 345,000 | | | | AA | | | Highlands County Health Facilities Authority, Revenue Bonds, 6.000% due 11/15/37 | | | | | 348,333 | | |
| | | | | | | | | | Indian River County School Board, COP: | | | | | | | |
| | | 75,000 | | | | AA- | | | Series A, 5.000% due 7/1/24 | | | | | 88,153 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 7/1/25 | | | | | 72,617 | | |
| | | 200,000 | | | | A | | | JEA Electric System Revenue, Revenue Bonds, Series B, 5.000% due 10/1/26 | | | | | 246,186 | | |
| | | | | | | | | | Lake County School Board, COP: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/25 | | | | | 34,962 | | |
| | | 50,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/26 | | | | | 58,071 | | |
| | | 15,000 | | | | AA | | | Series A, AGM, 5.000% due 6/1/28 | | | | | 17,439 | | |
| | | | | | | | | | Lee Memorial Health System, Revenue Bonds: | | | | | | | |
| | | 755,000 | | | | A+ | | | Series A, 5.000% due 4/1/33(b) | | | | | 907,661 | | |
| | | 550,000 | | | | A+ | | | Series A, 5.000% due 4/1/33 | | | | | 700,579 | | |
| | | 415,000 | | | | A+ | | | Series A, 5.000% due 4/1/35 | | | | | 522,784 | | |
| | | 60,000 | | | | AA | | | Manatee County School District, Revenue Bonds, AGM, 5.000% due 10/1/25 | | | | | 73,288 | | |
| | | | | | | | | | Miami-Dade County Expressway Authority, Revenue Bonds: | | | | | | | |
| | | 235,000 | | | | A | | | Series A, 5.000% due 7/1/40 | | | | | 242,175 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 7/1/44 | | | | | 96,150 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 7/1/31 | | | | | 54,277 | | |
| | | 115,000 | | | | A | | | Series A, 5.000% due 7/1/32 | | | | | 137,955 | | |
| | | 95,000 | | | | A | | | Series A, 5.000% due 7/1/33 | | | | | 113,282 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 35,789 | | |
| | | | | | | | | | Mid-Bay Bridge Authority, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/27 | | | | | 124,045 | | |
| | | 145,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/28 | | | | | 170,987 | | |
| | | 80,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/29 | | | | | 93,960 | | |
| | | 70,000 | | | | BBB+ | | | Series A, 5.000% due 10/1/30 | | | | | 81,756 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | | | | | | | | | Orange County Health Facilities Authority, Revenue Bonds: | | ||||||
| | $ | 200,000 | | | | A+ | | | Series A, 5.000% due 10/1/39 | | | | $ | 237,346 | | |
| | | 365,000 | | | | A+ | | | Series A, 5.000% due 10/1/42 | | | | | 392,010 | | |
| | | 130,000 | | | | A+ | | | Prerefunded 10/1/19 @ 100, 5.250% due 10/1/20(c) | | | | | 130,404 | | |
| | | 150,000 | | | | A+ | | | Series B, 5.000% due 10/1/42 | | | | | 161,100 | | |
| | | | | | | | | | Orange County School Board, COP: | | | |||||
| | | 115,000 | | | | Aa2(a) | | | Series B, Prerefunded 8/1/22 @ 100, 5.000% due 8/1/26(c) | | | | | 128,047 | | |
| | | 200,000 | | | | Aa2(a) | | | Series C, 5.000% due 8/1/29 | | | | | 241,712 | | |
| | | | | | | | | | Orlando Utilities Commission, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | AA | | | Series A, 5.000% due 10/1/23 | | | | | 57,766 | | |
| | | 25,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 30,718 | | |
| | | 45,000 | | | | AA | | | Series B, 5.000% due 10/1/19 | | | | | 45,134 | | |
| | | 100,000 | | | | AA | | | Series B, 5.000% due 10/1/20 | | | | | 104,255 | | |
| | | 60,000 | | | | A+ | | | Orlando-Orange County Expressway Authority, Revenue Bonds, 5.000% due 7/1/20 | | | | | 61,951 | | |
| | | | | | | | | | Palm Beach County Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | A+ | | | 5.000% due 12/1/23 | | | | | 11,548 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 12/1/24 | | | | | 23,799 | | |
| | | | | | | | | | Palm Beach County School District, COP: | | | | | | | |
| | | 135,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/25 | | | | | 164,725 | | |
| | | 705,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/26 | | | | | 882,885 | | |
| | | 55,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/22 | | | | | 61,110 | | |
| | | 35,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/23 | | | | | 40,191 | | |
| | | 40,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/24 | | | | | 47,363 | | |
| | | 135,000 | | | | Aa3(a) | | | Series A, 5.000% due 8/1/25 | | | | | 164,726 | | |
| | | 300,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/26 | | | | | 363,762 | | |
| | | 240,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/27 | | | | | 290,249 | | |
| | | 160,000 | | | | Aa3(a) | | | Series B, 5.000% due 8/1/28 | | | | | 192,994 | | |
| | | 695,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/26 | | | | | 842,715 | | |
| | | 315,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/27 | | | | | 380,952 | | |
| | | 110,000 | | | | Aa3(a) | | | Series D, 5.000% due 8/1/28 | | | | | 132,683 | | |
| | | 250,000 | | | | AA+ | | | Palm Beach County Solid Waste Authority, Revenue Bonds, 5.000% due 10/1/24 | | | | | 270,095 | | |
| | | | | | | | | | School Board of Miami-Dade County, COP: | | | | | | | |
| | | 570,000 | | | | A+ | | | Series A, 5.000% due 5/1/31 | | | | | 686,069 | | |
| | | 120,000 | | | | AA | | | Series A, AGM, 5.000% due 5/1/27 | | | | | 143,670 | | |
| | | 220,000 | | | | A+ | | | Series B, 5.000% due 8/1/27 | | | | | 271,605 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 340,000 | | | | A+ | | | Series D, 5.000% due 11/1/24 | | | | $ | 405,667 | | |
| | | 355,000 | | | | A+ | | | Series D, 5.000% due 11/1/25 | | | | | 420,043 | | |
| | | 230,000 | | | | A+ | | | Series D, 5.000% due 11/1/26 | | | | | 269,882 | | |
| | | 115,000 | | | | A+ | | | Series D, 5.000% due 2/1/29 | | | | | 138,826 | | |
| | | 190,000 | | | | A+ | | | Series D, 5.000% due 2/1/30 | | | | | 228,479 | | |
| | | 395,000 | | | | A+ | | | Series B, 5.000% due 5/1/28 | | | | | 469,580 | | |
| | | | | | | | | | School District of Broward County, COP: | | | |||||
| | | 70,000 | | | | A+ | | | Series A, 5.000% due 7/1/32 | | | | | 84,872 | | |
| | | 120,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/25(c) | | | | | 132,910 | | |
| | | 580,000 | | | | NR | | | Series A, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/26(c) | | | | | 642,396 | | |
| | | 155,000 | | | | A+ | | | Series A, 5.000% due 7/1/21 | | | | | 165,831 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 7/1/22 | | | | | 160,570 | | |
| | | 60,000 | | | | A+ | | | Series B, 5.000% due 7/1/25 | | | | | 72,805 | | |
| | | 335,000 | | | | A+ | | | Series B, 5.000% due 7/1/26 | | | | | 404,398 | | |
| | | 230,000 | | | | A+ | | | Series B, 5.000% due 7/1/27 | | | | | 276,787 | | |
| | | 390,000 | | | | A+ | | | Series B, 5.000% due 7/1/28 | | | | | 468,679 | | |
| | | 460,000 | | | | A+ | | | Series A, 5.000% due 7/1/26 | | | | | 542,451 | | |
| | | 265,000 | | | | A+ | | | Series A, 5.000% due 7/1/27 | | | | | 318,906 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28 | | ��� | | | 138,200 | | |
| | | 45,000 | | | | A+ | | | Series A, 5.000% due 7/1/25 | | | | | 49,832 | | |
| | | | | | | | | | Seminole County School Board, COP: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/23 | | | | | 68,423 | | |
| | | 50,000 | | | | Aa3(a) | | | Series C, 5.000% due 7/1/24 | | | | | 58,743 | | |
| | | 115,000 | | | | AA | | | South Florida Water Management District, COP, 5.000% due 10/1/30 | | | | | 139,983 | | |
| | | 80,000 | | | | Baa1(a) | | | South Lake County Hospital District, Revenue Bonds, Series A, 6.250% due 4/1/39 | | | | | 80,236 | | |
| | | | | | | | | | South Miami Health Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA- | | | 5.000% due 8/15/24 | | | | | 88,476 | | |
| | | 120,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 145,590 | | |
| | | | | | | | | | St Lucie County School Board, COP: | | | | | | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 67,893 | | |
| | | 125,000 | | | | A | | | Series A, 5.000% due 7/1/27 | | | | | 141,114 | | |
| | | | | | | | | | State of Florida, GO: | | | | | | | |
| | | 8,610,000 | | | | AAA | | | 5.000% due 7/1/32 | | | | | 11,225,362 | | |
| | | 145,000 | | | | AAA | | | Series E, 5.000% due 6/1/24 | | | | | 154,886 | | |
| | | 358,000 | | | | AAA | | | Series C, 5.000% due 6/1/20 | | | | | 368,443 | | |
| | | 289,000 | | | | AAA | | | Series C, 5.000% due 6/1/22 | | | | | 309,016 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Florida – (continued) | | |||||||||||||||
| | $ | 2,000,000 | | | | AA+ | | | State of Florida Department of Transportation, Revenue Bonds, 5.000% due 7/1/27 | | | | $ | 2,575,020 | | |
| | | | | | | | | | Tampa Bay Water, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | AA+ | | | Series A, NPFG, 6.000% due 10/1/29 | | | | | 99,842 | | |
| | | 70,000 | | | | AA+ | | | NPFG, 5.500% due 10/1/22 | | | | | 79,313 | | |
| | | 145,000 | | | | AA | | | Volusia County School Board, COP, Series A, 5.000% due 8/1/32 | | | | | 173,413 | | |
| | | | | | | | | | Total Florida | | | | | 44,700,656 | | |
| Georgia – 2.6% | | |||||||||||||||
| | | 830,000 | | | | A- | | | Burke County Development Authority, Revenue Bonds, 2.925% due 11/1/53(b) | | | | | 873,226 | | |
| | | | | | | | | | City of Atlanta GA Water & Wastewater Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 36,429 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 84,522 | | |
| | | 205,000 | | | | Aaa(a) | | | Colquitt County Development Authority, Revenue Bonds, zero coupon, due 12/1/21 | | | | | 198,909 | | |
| | | 45,000 | | | | A+ | | | County of DeKalb GA Water & Sewerage Revenue, Revenue Bonds, Series A, 5.250% due 10/1/25 | | | | | 48,789 | | |
| | | | | | | | | | DeKalb County Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 170,000 | | | | WD(g) | | | Prerefunded 9/1/20 @ 100, 6.000% due 9/1/30(c) | | | | | 177,847 | | |
| | | 310,000 | | | | WD(g) | | | Prerefunded 9/1/20 @ 100, 6.125% due 9/1/40(c) | | | | | 324,691 | | |
| | | 155,000 | | | | AA- | | | Fulton County Development Authority, Revenue Bonds, 5.000% due 6/15/44 | | | | | 195,427 | | |
| | | | | | | | | | Main Street Natural Gas, Inc., Revenue Bonds: | | | | | | | |
| | | 1,690,000 | | | | Aa1(a) | | | Series B, 4.000% due 8/1/49(b) | | | | | 1,921,412 | | |
| | | 840,000 | | | | Aa2(a) | | | Series C, 4.000% due 8/1/48(b) | | | | | 924,084 | | |
| | | 195,000 | | | | A3(a) | | | Monroe County Development Authority, Revenue Bonds, 2.350% due 10/1/48(b) | | | | | 197,346 | | |
| | | | | | | | | | Municipal Electric Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | A | | | Series GG, 5.000% due 1/1/24 | | | | | 117,373 | | |
| | | 35,000 | | | | A | | | Series GG, 5.000% due 1/1/25 | | | | | 39,121 | | |
| | | 145,000 | | | | A | | | Series GG, 5.000% due 1/1/26 | | | | | 161,832 | | |
| | | 265,000 | | | | A- | | | Series A, 5.000% due 1/1/21 | | | | | 277,906 | | |
| | | 45,000 | | | | A- | | | Series A, 5.250% due 1/1/20 | | | | | 45,576 | | |
| | | | | | | | | | Municipal Gas Authority of Georgia, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA- | | | 5.000% due 10/1/24 | | | | | 47,172 | | |
| | | 60,000 | | | | AA- | | | Series Q, 5.000% due 10/1/22 | | | | | 66,789 | | |
| | | 35,000 | | | | AA- | | | Series S, 5.000% due 10/1/22 | | | | | 38,960 | | |
| | | 70,000 | | | | AA- | | | Series S, 5.000% due 10/1/24 | | | | | 77,809 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Georgia – (continued) | | |||||||||||||||
| | $ | 3,000,000 | | | | AA | | | Private Colleges & Universities Authority, Revenue Bonds, Series B, 5.000% due 9/1/29 | | | | $ | 3,001,950 | | |
| | | | | | | | | | State of Georgia, GO: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | Series A, 5.000% due 7/1/32 | | | | | 3,320,550 | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 7/1/29 | | | | | 6,570,000 | | |
| | | 3,835,000 | | | | AAA | | | Series C, 5.000% due 7/1/29 | | | | | 4,919,078 | | |
| | | | | | | | | | Total Georgia | | | | | 23,666,798 | | |
| Hawaii – 0.1% | | |||||||||||||||
| | | | | | | | | | City & County of Honolulu HI, GO: | | | | | | | |
| | | 115,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/22 | | | | | 128,316 | | |
| | | 90,000 | | | | Aa1(a) | | | Series D, 5.000% due 9/1/26 | | | | | 113,234 | | |
| | | 500,000 | | | | AA+ | | | State of Hawaii, GO, Series FH, 5.000% due 10/1/28 | | | | | 627,135 | | |
| | | 115,000 | | | | AA- | | | State of Hawaii Airports System Revenue, Revenue Bonds, Series A, 5.000% due 7/1/45(d) | | | | | 133,455 | | |
| | | | | | | | | | Total Hawaii | | | | | 1,002,140 | | |
| Idaho – 0.4% | | |||||||||||||||
| | | | | | | | | | Idaho Housing & Finance Association, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | Aa1(a) | | | 4.000% due 1/1/50 | | | | | 82,778 | | |
| | | 60,000 | | | | A2(a) | | | 5.000% due 7/15/20 | | | | | 61,984 | | |
| | | 90,000 | | | | A2(a) | | | 5.000% due 7/15/21 | | | | | 96,370 | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 7/15/22 | | | | | 110,555 | | |
| | | 45,000 | | | | A2(a) | | | 5.000% due 7/15/23 | | | | | 51,307 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/24 | | | | | 41,096 | | |
| | | 35,000 | | | | A2(a) | | | 5.000% due 7/15/25 | | | | | 42,253 | | |
| | | 95,000 | | | | A2(a) | | | 5.000% due 7/15/27 | | | | | 120,462 | | |
| | | 2,380,000 | | | | Aa1(a) | | | Kootenai County School District No 271 Coeur d’Alene, GO, 4.000% due 9/15/28 | | | | | 2,844,671 | | |
| | | | | | | | | | Total Idaho | | | | | 3,451,476 | | |
| Illinois – 6.5% | | |||||||||||||||
| | | | | | | | | | Chicago Board of Education, GO: | | | | | | | |
| | | 60,000 | | | | BB- | | | Series A, 5.000% due 12/1/41 | | | | | 62,452 | | |
| | | 55,000 | | | | BB- | | | Series A, 5.000% due 12/1/42 | | | | | 58,161 | | |
| | | 100,000 | | | | BB- | | | Series C, 5.000% due 12/1/24 | | | | | 112,168 | | |
| | | 640,000 | | | | BB- | | | Series C, 5.000% due 12/1/25 | | | | | 729,766 | | |
| | | 1,465,000 | | | | BB- | | | Series C, 5.000% due 12/1/26 | | | | | 1,697,188 | | |
| | | 505,000 | | | | BB- | | | Series C, 5.000% due 12/1/27 | | | | | 591,426 | | |
| | | 170,000 | | | | BB- | | | Series C, 5.500% due 12/1/39 | | | | | 178,973 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 530,000 | | | | BB- | | | Series D, 5.000% due 12/1/46 | | | | $ | 597,342 | | |
| | | 45,000 | | | | BB- | | | Series C, 5.250% due 12/1/39 | | | | | 49,544 | | |
| | | 45,000 | | | | BB- | | | Series A, NPFG, 5.250% due 12/1/21 | | | | | 48,001 | | |
| | | 185,000 | | | | BB- | | | Series A, 5.000% due 12/1/27 | | | | | 216,661 | | |
| | | 30,000 | | | | BB- | | | Series F, 5.000% due 12/1/20 | | | | | 31,192 | | |
| | | | | | | | | | Chicago Midway International Airport, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A | | | Series A, 5.000% due 1/1/29(d) | | | | | 77,717 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 1/1/30(d) | | | | | 119,116 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 1/1/31(d) | | | | | 83,041 | | |
| | | 190,000 | | | | A | | | Series A, 5.000% due 1/1/32(d) | | | | | 213,982 | | |
| | | 30,000 | | | | A | | | Series B, 5.000% due 1/1/22 | | | | | 32,596 | | |
| | | 95,000 | | | | A | | | Series B, 5.000% due 1/1/24 | | | | | 109,767 | | |
| | | | | | | | | | Chicago O’Hare International Airport, Revenue Bonds: | | | | | | | |
| | | 130,000 | | | | A | | | Series B, 5.000% due 1/1/20 | | | | | 131,608 | | |
| | | 420,000 | | | | A | | | Series C, Prerefunded 1/1/21 @ 100, 6.500% due 1/1/41(c) | | | | | 450,148 | | |
| | | 200,000 | | | | A | | | Series B, 5.000% due 1/1/22(d) | | | | | 216,680 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/22 | | | | | 70,640 | | |
| | | 40,000 | | | | A | | | Series C, 5.000% due 1/1/23 | | | | | 44,871 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 1/1/24 | | | | | 52,036 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 1/1/25 | | | | | 77,316 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 1/1/26 | | | | | 73,261 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 1/1/33 | | | | | 83,717 | | |
| | | 80,000 | | | | A | | | Series C, 5.000% due 1/1/34 | | | | | 95,490 | | |
| | | 60,000 | | | | A | | | Series D, 5.000% due 1/1/27(d) | | | | | 74,106 | | |
| | | 15,000 | | | | A | | | Series D, 5.000% due 1/1/28(d) | | | | | 18,428 | | |
| | | 85,000 | | | | A | | | Series D, 5.000% due 1/1/31(d) | | | | | 102,979 | | |
| | | 45,000 | | | | A | | | Series D, 5.000% due 1/1/33(d) | | | | | 54,200 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/22 | | | | | 54,338 | | |
| | | 75,000 | | | | BBB+ | | | 5.000% due 7/1/38(d) | | | | | 89,759 | | |
| | | | | | | | | | Chicago Transit Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | A+ | | | 5.000% due 6/1/23 | | | | | 50,445 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 6/1/22 | | | | | 54,518 | | |
| | | 500,000 | | | | BBB+ | | | City of Chicago IL, GO, zero coupon, due 1/1/20 | | | | | 496,850 | | |
| | | 40,000 | | | | A | | | City of Chicago IL Wastewater Transmission Revenue, Revenue Bonds, 5.000% due 1/1/23 | | | | | 43,092 | | |
| | | 30,000 | | | | AA | | | City of Chicago IL Waterworks Revenue, Revenue Bonds, AGM, 5.250% due 11/1/33 | | | | | 30,081 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | | | | | | | | | Cook County Forest Preserve District, GO: | | ||||||
| | $ | 60,000 | | | | AA- | | | Series C, 5.000% due 12/15/25 | | | | $ | 64,839 | | |
| | | 40,000 | | | | AA- | | | Series B, 5.000% due 12/15/24 | | | | | 43,303 | | |
| | | 30,000 | | | | AA- | | | Series B, 5.000% due 12/15/23 | | | | | 32,479 | | |
| | | 155,000 | | | | Aaa(a) | | | Cook Kane Lake & McHenry Counties Community College District No 512, GO, Series B, 5.000% due 12/1/24 | | | | | 184,534 | | |
| | | | | | | | | | County of Cook IL, GO: | | | | | | | |
| | | 565,000 | | | | AA- | | | Series A, 5.250% due 11/15/24 | | | | | 592,272 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 11/15/22 | | | | | 66,233 | | |
| | | 145,000 | | | | AA- | | | Series C, 5.000% due 11/15/23 | | | | | 159,873 | | |
| | | 540,000 | | | | AA- | | | Series C, 5.000% due 11/15/24 | | | | | 595,037 | | |
| | | 85,000 | | | | AA- | | | Series G, 5.000% due 11/15/25 | | | | | 88,670 | | |
| | | 15,000 | | | | AA | | | Series C, AGM, 5.000% due 11/15/25 | | | | | 16,657 | | |
| | | 35,000 | | | | Aa3(a) | | | Grundy & Will Counties Community Unit School District No 1 Coal City, GO, 5.000% due 2/1/29 | | | | | 42,662 | | |
| | | 835,000 | | | | AA+ | | | Illinois Development Finance Authority, Revenue Bonds, zero coupon, due 7/15/23 | | | | | 792,699 | | |
| | | | | | | | | | Illinois Finance Authority, Revenue Bonds: | | | | | | | |
| | | 485,000 | | | | AA+ | | | Series C, 4.000% due 2/15/41 | | | | | 540,028 | | |
| | | 170,000 | | | | A | | | 5.000% due 1/1/36 | | | | | 199,847 | | |
| | | 2,230,000 | | | | A3(a) | | | 5.000% due 12/1/40 | | | | | 2,590,836 | | |
| | | 15,000 | | | | AA+ | | | Series A, 5.000% due 9/1/34 | | | | | 17,366 | | |
| | | 315,000 | | | | AA+ | | | 5.000% due 9/1/38 | | | | | 344,749 | | |
| | | 235,000 | | | | AA+ | | | 5.000% due 9/1/32 | | | | | 258,852 | | |
| | | 150,000 | | | | AAA | | | 5.000% due 7/1/29 | | | | | 187,781 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 1/1/30 | | | | | 181,109 | | |
| | | 255,000 | | | | AAA | | | 5.000% due 7/1/31 | | | | | 316,320 | | |
| | | 230,000 | | | | Baa2(a) | | | 5.000% due 5/15/43 | | | | | 245,306 | | |
| | | 100,000 | | | | A3(a) | | | 5.000% due 12/1/46 | | | | | 115,351 | | |
| | | 110,000 | | | | A3(a) | | | 5.000% due 12/1/29 | | | | | 131,454 | | |
| | | 4,260,000 | | | | AA+ | | | 5.000% due 7/15/57(b) | | | | | 4,770,518 | | |
| | | 40,000 | | | | AA+ | | | 5.000% due 7/15/25 | | | | | 48,541 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/26 | | | | | 74,736 | | |
| | | 60,000 | | | | AA+ | | | 5.000% due 7/15/28 | | | | | 76,911 | | |
| | | 100,000 | | | | A | | | Series A, 5.000% due 11/15/32 | | | | | 117,701 | | |
| | | 70,000 | | | | A | | | Series A, 5.000% due 11/15/45 | | | | | 79,689 | | |
| | | 40,000 | | | | A | | | 5.000% due 5/15/29 | | | | | 48,166 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/28 | | | | | 84,574 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 55,000 | | | | A | | | Series A, 5.000% due 11/15/29 | | | | $ | 65,488 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 11/15/28 | | | | | 41,871 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 11/15/27 | | | | | 36,021 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 5/15/23 | | | | | 49,340 | | |
| | | 45,000 | | | | NR | | | Series C, Prerefunded 8/15/20 @ 100, 5.000% due 8/15/23(c) | | | | | 46,640 | | |
| | | 35,000 | | | | AA+ | | | Series C, 3.750% due 2/15/34 | | | | | 38,011 | | |
| | | 160,000 | | | | AA+ | | | Series C, 4.000% due 2/15/36 | | | | | 180,165 | | |
| | | 315,000 | | | | AA+ | | | Series C, 5.000% due 2/15/41 | | | | | 375,719 | | |
| | | 145,000 | | | | AA+ | | | Series C, 5.000% due 2/15/33 | | | | | 177,874 | | |
| | | 15,000 | | | | AA+ | | | Series C, 5.000% due 2/15/24 | | | | | 17,530 | | |
| | | 65,000 | | | | AA+ | | | Series C, 5.000% due 2/15/36 | | | | | 78,436 | | |
| | | 75,000 | | | | AA+ | | | Series C, 5.000% due 2/15/26 | | | | | 92,705 | | |
| | | 200,000 | | | | AA+ | | | Series C, 5.000% due 2/15/28 | | | | | 251,278 | | |
| | | 135,000 | | | | AA+ | | | Series C, 5.000% due 2/15/29 | | | | | 168,826 | | |
| | | 50,000 | | | | AA+ | | | Series C, 5.000% due 2/15/31 | | | | | 61,723 | | |
| | | 35,000 | | | | AA+ | | | Series C, 5.000% due 2/15/22 | | | | | 38,292 | | |
| | | 365,000 | | | | AA+ | | | Series C, 5.000% due 2/15/32 | | | | | 448,720 | | |
| | | 185,000 | | | | AA+ | | | Series A, Prerefunded 5/1/20 @ 100, 6.250% due 5/1/21(c) | | | | | 191,205 | | |
| | | 60,000 | | | | AA+ | | | Series A, 6.000% due 5/1/20 | | | | | 61,914 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/29 | | | | | 1,269,560 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/30 | | | | | 1,259,680 | | |
| | | 1,000,000 | | | | A | | | Series A, 5.000% due 5/15/31 | | | | | 1,246,140 | | |
| | | 45,000 | | | | A- | | | Series C, 5.000% due 8/1/24 | | | | | 51,887 | | |
| | | 40,000 | | | | A- | | | Series C, 5.000% due 8/1/22 | | | | | 43,804 | | |
| | | 870,000 | | | | A | | | 5.000% due 1/1/38 | | | | | 1,022,937 | | |
| | | 1,300,000 | | | | A | | | 5.000% due 1/1/44 | | | | | 1,511,367 | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 7/1/34 | | | | | 58,949 | | |
| | | 75,000 | | | | A | | | Series A, 5.000% due 7/1/30 | | | | | 90,200 | | |
| | | 255,000 | | | | A | | | Series A, 5.000% due 7/1/36 | | | | | 298,735 | | |
| | | 25,000 | | | | Baa1(a) | | | 5.000% due 8/15/27 | | | | | 29,392 | | |
| | | 175,000 | | | | Baa1(a) | | | 5.000% due 8/15/35 | | | | | 201,226 | | |
| | | 840,000 | | | | Baa1(a) | | | 5.000% due 8/15/44 | | | | | 951,569 | | |
| | | 60,000 | | | | WD(g) | | | Series A, Prerefunded 2/15/20 @ 100, 5.500% due 8/15/24(c) | | | | | 61,169 | | |
| | | 40,000 | | | | WD(g) | | | Series A, Prerefunded 2/15/20 @ 100, 5.750% due 8/15/29(c) | | | | | 40,823 | | |
| | | 95,000 | | | | AA- | | | Series A, 5.000% due 2/15/25 | | | | | 112,904 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 2/15/26 | | | | | 54,842 | | |
| | | 495,000 | | | | AA- | | | Series A, 5.000% due 2/15/24 | | | | | 572,661 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 25,000 | | | | A+ | | | 5.000% due 11/15/29 | | | | $ | 27,361 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 11/15/26 | | | | | 82,549 | | |
| | | 20,000 | | | | BBB+ | | | Series A, 5.000% due 8/1/47 | | | | | 22,934 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 8/1/49 | | | | | 28,580 | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/15/26 | | | | | 101,238 | | |
| | | 60,000 | | | | A+ | | | Series A, 5.000% due 11/15/34 | | | | | 69,470 | | |
| | | 10,000 | | | | A+ | | | Series A, 5.000% due 11/15/21 | | | | | 10,816 | | |
| | | 95,000 | | | | A+ | | | 5.000% due 11/15/43 | | | | | 101,440 | | |
| | | 95,000 | | | | BBB | | | Series A, 5.000% due 8/15/33 | | | | | 110,811 | | |
| | | 60,000 | | | | AA- | | | Series L, Prerefunded 12/1/21 @ 100, 5.000% due 12/1/22(c) | | | | | 65,069 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/23 | | | | | 93,342 | | |
| | | 1,055,000 | | | | AA+ | | | Series E, 1.750% due 11/15/42(b) | | | | | 1,063,366 | | |
| | | | | | | | | | Illinois Municipal Electric Agency, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | A | | | Series A, 5.000% due 2/1/28 | | | | | 347,263 | | |
| | | 105,000 | | | | A | | | Series A, 5.000% due 2/1/31 | | | | | 124,532 | | |
| | | | | | | | | | Illinois State Toll Highway Authority, Revenue Bonds: | | | | | | | |
| | | 290,000 | | | | AA- | | | 5.000% due 1/1/38 | | | | | 334,933 | | |
| | | 365,000 | | | | AA- | | | Series A, 5.000% due 1/1/40 | | | | | 425,145 | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/31 | | | | | 59,790 | | |
| | | 175,000 | | | | AA- | | | Series D, 5.000% due 1/1/24 | | | | | 202,121 | | |
| | | 255,000 | | | | Aa3(a) | | | Kane Cook & DuPage Counties School District No U-46 Elgin, GO, Series B, AMBAC, zero coupon, due 1/1/22 | | | | | 247,490 | | |
| | | | | | | | | | Kane McHenry Cook & De Kalb Counties Unit School District No 300, GO: | | | | | | | |
| | | 260,000 | | | | AA | | | 5.000% due 1/1/26 | | | | | 306,210 | | |
| | | 55,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 67,784 | | |
| | | 155,000 | | | | Baa2(a) | | | Lake County Community High School District No 117 Antioch, GO, Series B, NPFG, zero coupon, due 12/1/20 | | | | | 151,677 | | |
| | | 230,000 | | | | AA | | | McHenry & Kane Counties Community Consolidated School District No 158 Huntley, GO, AGM, zero coupon, due 1/1/24 | | | | | 211,191 | | |
| | | | | | | | | | McHenry County Community Unit School District No 200 Woodstock, GO: | | | | | | | |
| | | 215,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/24 | | | | | 198,548 | | |
| | | 225,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/25 | | | | | 203,679 | | |
| | | 170,000 | | | | Aa2(a) | | | Series B, NPFG, zero coupon, due 1/15/26 | | | | | 150,498 | | |
| | | | | | | | | | McHenry County Conservation District, GO: | | | | | | | |
| | | 65,000 | | | | AA+ | | | 5.000% due 2/1/24 | | | | | 75,324 | | |
| | | 175,000 | | | | AA+ | | | 5.000% due 2/1/27 | | | | | 207,779 | | |
| | | | | | | | | | Metropolitan Pier & Exposition Authority, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | Baa2(a) | | | Series A, NPFG, zero coupon, due 6/15/20 | | | | | 73,998 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 105,000 | | | | Baa2(a) | | | Series A, NPFG, zero coupon, due 6/15/23 | | | | $ | 97,204 | | |
| | | 115,000 | | | | AA | | | Series B, AGM, zero coupon, due 6/15/47 | | | | | 45,348 | | |
| | | 4,680,000 | | | | BBB | | | Series A, NPFG, zero coupon, due 6/15/28 | | | | | 3,778,679 | | |
| | | 195,000 | | | | BBB | | | Series A, NPFG, zero coupon, due 12/15/23 | | | | | 178,376 | | |
| | | | | | | | | | Railsplitter Tobacco Settlement Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 350,285 | | |
| | | 405,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 469,970 | | |
| | | 405,000 | | | | WD(g) | | | Prerefunded 6/1/21 @ 100, 5.500% due 6/1/23(c) | | | | | 435,505 | | |
| | | | | | | | | | Regional Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/20 | | | | | 72,176 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 7/1/21 | | | | | 74,760 | | |
| | | | | | | | | | State of Illinois, GO: | | | | | | | |
| | | 95,000 | | | | BBB- | | | 5.000% due 3/1/20 | | | | | 96,524 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/24 | | | | | 408,957 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/23 | | | | | 403,529 | | |
| | | 360,000 | | | | BBB- | | | Series B, 5.000% due 9/1/22 | | | | | 390,798 | | |
| | | 365,000 | | | | BBB- | | | Series B, 5.000% due 9/1/21 | | | | | 387,517 | | |
| | | 105,000 | | | | BBB- | | | Series A, 5.000% due 1/1/33 | | | | | 110,338 | | |
| | | 65,000 | | | | BBB- | | | Series A, 4.000% due 1/1/23 | | | | | 67,577 | | |
| | | 115,000 | | | | BBB- | | | 5.500% due 7/1/38 | | | | | 126,224 | | |
| | | 305,000 | | | | BBB- | | | 5.250% due 2/1/31 | | | | | 337,925 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 5/1/33 | | | | | 208,679 | | |
| | | 70,000 | | | | BBB- | | | 5.000% due 5/1/32 | | | | | 76,986 | | |
| | | 25,000 | | | | BBB- | | | 5.000% due 5/1/28 | | | | | 27,783 | | |
| | | 60,000 | | | | BBB- | | | 5.000% due 4/1/28 | | | | | 66,576 | | |
| | | 405,000 | | | | BBB- | | | Series D, 5.000% due 11/1/25 | | | | | 461,708 | | |
| | | 425,000 | | | | BBB- | | | 5.000% due 2/1/27 | | | | | 492,681 | | |
| | | 390,000 | | | | BBB- | | | Series D, 5.000% due 11/1/26 | | | | | 451,948 | | |
| | | 65,000 | | | | BBB- | | | 5.000% due 2/1/26 | | | | | 71,928 | | |
| | | 120,000 | | | | BBB- | | | 5.000% due 11/1/20 | | | | | 124,422 | | |
| | | 80,000 | | | | BBB- | | | 5.000% due 3/1/21 | | | | | 83,787 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 1/1/22 | | | | | 240,075 | | |
| | | 3,005,000 | | | | BBB- | | | 5.000% due 6/1/26 | | | | | 3,480,091 | | |
| | | 145,000 | | | | BBB- | | | 5.000% due 3/1/22 | | | | | 155,395 | | |
| | | 620,000 | | | | BBB- | | | Series D, 5.000% due 11/1/23 | | | | | 683,358 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 6/1/25 | | | | | 255,863 | | |
| | | 220,000 | | | | BBB- | | | 5.000% due 4/1/23 | | | | | 240,902 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Illinois – (continued) | | |||||||||||||||
| | $ | 45,000 | | | | BBB- | | | 5.000% due 2/1/23 | | | | $ | 49,085 | | |
| | | 190,000 | | | | BBB- | | | 5.000% due 8/1/22 | | | | | 205,814 | | |
| | | 100,000 | | | | BBB- | | | 5.000% due 8/1/23 | | | | | 110,344 | | |
| | | 165,000 | | | | BBB- | | | 5.000% due 2/1/29 | | | | | 191,804 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 8/1/21 | | | | | 47,706 | | |
| | | 345,000 | | | | AA | | | AGM, 5.000% due 1/1/21 | | | | | 349,040 | | |
| | | 1,500,000 | | | | BBB- | | | Series B, 5.000% due 10/1/26 | | | | | 1,746,840 | | |
| | | 180,000 | | | | BBB- | | | 5.000% due 2/1/28 | | | | | 209,921 | | |
| | | 735,000 | | | | A2(a) | | | Tender Option Bond Trust Receipts/Certificates, Special Tax, Series 2017XG0108, 1.530% due 4/1/46(b)(e) | | | | | 735,000 | | |
| | | | | | | | | | University of Illinois, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 6.000% due 10/1/42 | | | | | 131,208 | | |
| | | 115,000 | | | | A- | | | 6.250% due 10/1/38 | | | | | 132,658 | | |
| | | | | | | | | | Will County Community Unit School District No 365 Valley View, GO: | | | | | | | |
| | | 165,000 | | | | AA | | | AGM, Series B, zero coupon, due 11/1/26 | | | | | 144,755 | | |
| | | 2,420,000 | | | | Aa2(a) | | | Series A, 5.000% due 11/1/25 | | | | | 2,922,803 | | |
| | | 200,000 | | | | AA | | | Will County School District No 86 Joliet, GO, AGM, zero coupon, due 11/1/21 | | | | | 192,980 | | |
| | | | | | | | | | Total Illinois | | | | | 59,071,122 | | |
| Indiana – 1.3% | | |||||||||||||||
| | | | | | | | | | City of Indianapolis IN Thermal Energy System Revenue, Revenue Bonds: | | | | | | | |
| | | 240,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/20 | | | | | 249,975 | | |
| | | 160,000 | | | | AA | | | Series B, AGM, 5.000% due 10/1/21 | | | | | 172,278 | | |
| | | 315,000 | | | | A | | | Series A, 5.000% due 10/1/24 | | | | | 369,958 | | |
| | | 340,000 | | | | A | | | Series A, 5.000% due 10/1/25 | | | | | 410,424 | | |
| | | | | | | | | | City of Whiting IN, Revenue Bonds: | | | | | | | |
| | | 1,020,000 | | | | A- | | | 5.000% due 11/1/45(b)(d) | | | | | 1,133,434 | | |
| | | 415,000 | | | | A- | | | 5.250% due 1/1/21 | | | | | 435,219 | | |
| | | 330,000 | | | | AA+ | | | Hobart Building Corp., Revenue Bonds, Prerefunded 1/15/20 @ 100, NPFG, 6.500% due 1/15/29(c) | | | | | 336,472 | | |
| | | | | | | | | | Indiana Finance Authority, Revenue Bonds: | | | | | | | |
| | | 1,800,000 | | | | BBB+ | | | 1.600% due 5/1/34(b)(d) | | | | | 1,800,000 | | |
| | | 535,000 | | | | AA | | | Series H, 1.650% due 12/1/42(b) | | | | | 539,227 | | |
| | | 320,000 | | | | AA | | | Series B, 2.250% due 12/1/58(b) | | | | | 335,594 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 102,505 | | |
| | | 155,000 | | | | AA- | | | 5.000% due 3/1/41 | | | | | 165,955 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 9/1/36 | | | | | 71,610 | | |
| | | 240,000 | | | | AA- | | | 5.000% due 3/1/36 | | | | | 277,944 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Indiana – (continued) | | |||||||||||||||
| | $ | 30,000 | | | | AA- | | | 5.000% due 3/1/30 | | | | $ | 32,425 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 9/1/29 | | | | | 18,267 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/26 | | | | | 37,063 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 9/1/25 | | | | | 36,193 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 3/1/23 | | | | | 49,041 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 3/1/22 | | | | | 32,725 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 10/1/25 | | | | | 72,690 | | |
| | | 70,000 | | | | AA | | | Series A, 5.000% due 10/1/26 | | | | | 83,050 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 10/1/28 | | | | | 41,405 | | |
| | | 115,000 | | | | AA | | | Series A, 5.250% due 10/1/24 | | | | | 124,486 | | |
| | | | | | | | | | Indiana Health Facility Financing Authority, Revenue Bonds: | | | | | | | |
| | | 2,500,000 | | | | AA+ | | | Series E, 1.320% due 11/15/39(b) | | | | | 2,500,000 | | |
| | | 1,000,000 | | | | AA+ | | | Series F, 2.000% due 11/15/36(b) | | | | | 1,024,620 | | |
| | | | | | | | | | Indiana Municipal Power Agency, Revenue Bonds: | | | | | | | |
| | | 10,000 | | | | NR | | | Prerefunded 7/1/22 @ 100, 5.000% due 1/1/24(c) | | | | | 11,105 | | |
| | | 10,000 | | | | NR | | | Prerefunded 7/1/22 @ 100, 5.000% due 1/1/25(c) | | | | | 11,105 | | |
| | | 25,000 | | | | NR | | | Prerefunded 7/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 27,764 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 22,024 | | |
| | | 20,000 | | | | A+ | | | Series A, 5.000% due 1/1/25 | | | | | 22,012 | | |
| | | 55,000 | | | | A+ | | | Series A, 5.000% due 1/1/26 | | | | | 60,502 | | |
| | | 515,000 | | | | AAA | | | Indiana University, Revenue Bonds, Series W-1, 5.000% due 8/1/26 | | | | | 609,255 | | |
| | | | | | | | | | Lake Central Multi-District School Building Corp., Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | AA+ | | | Series B, 4.000% due 1/15/22 | | | | | 42,598 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 7/15/22 | | | | | 33,175 | | |
| | | 80,000 | | | | AA+ | | | Series B, 5.000% due 7/15/23 | | | | | 89,938 | | |
| | | 120,000 | | | | AA+ | | | Series B, 5.000% due 7/15/24 | | | | | 134,779 | | |
| | | 125,000 | | | | AA+ | | | Series B, 5.000% due 7/15/25 | | | | | 140,264 | | |
| | | | | | | | | | Total Indiana | | | | | 11,657,081 | | |
| Iowa – 1.4% | | |||||||||||||||
| | | 1,155,000 | | | | Aa1(a) | | | City of Cedar Rapids IA, GO, Series A, 5.000% due 6/1/25 | | | | | 1,358,696 | | |
| | | | | | | | | | Iowa Finance Authority, Revenue Bonds: | | | | | | | |
| | | 3,840,000 | | | | AAA | | | 5.000% due 8/1/31 | | | | | 4,860,173 | | |
| | | 90,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/43 | | | | | 103,256 | | |
| | | 215,000 | | | | BBB(g) | | | Series A, 5.000% due 5/15/48 | | | | | 245,874 | | |
| | | 5,000,000 | | | | A3(a) | | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | | | 6,018,500 | | |
| | | | | | | | | | Total Iowa | | | | | 12,586,499 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kansas – 0.2% | | |||||||||||||||
| | $ | 1,000,000 | | | | Aa2(a) | | | Geary County Unified School District No 475, GO, Series B, 5.000% due 9/1/20 | | | | $ | 1,038,760 | | |
| | | | | | | | | | Kansas Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series H, 5.000% due 3/1/25 | | | | | 30,544 | | |
| | | 10,000 | | | | AA | | | 5.000% due 11/15/19 | | | | | 10,077 | | |
| | | | | | | | | | Wyandotte County-Kansas City Unified Government Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 9/1/30 | | | | | 35,768 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 9/1/32 | | | | | 41,429 | | |
| | | 30,000 | | | | A | | | Series B, 5.000% due 9/1/23 | | | | | 33,276 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 9/1/24 | | | | | 49,901 | | |
| | | 130,000 | | | | A | | | Series A, 5.000% due 9/1/24 | | | | | 144,158 | | |
| | | | | | | | | | Total Kansas | | | | | 1,383,913 | | |
| Kentucky – 1.7% | | |||||||||||||||
| | | | | | | | | | City of Pikeville KY, Revenue Bonds: | | | | | | | |
| | | 595,000 | | | | Baa2(a) | | | 6.000% due 3/1/22 | | | | | 630,658 | | |
| | | 185,000 | | | | Baa2(a) | | | Prerefunded 3/1/21 @ 100, 6.000% due 3/1/22(c) | | | | | 198,318 | | |
| | | | | | | | | | County of Carroll KY, Revenue Bonds: | | | | | | | |
| | | 1,250,000 | | | | NR | | | 1.200% due 2/1/32(b)(d) | | | | | 1,248,700 | | |
| | | 280,000 | | | | A1(a) | | | 1.750% due 10/1/34(b)(d) | | | | | 281,193 | | |
| | | | | | | | | | Kenton County Airport Board, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A1(a) | | | 5.000% due 1/1/25 | | | | | 29,965 | | |
| | | 15,000 | | | | A1(a) | | | 5.000% due 1/1/26 | | | | | 18,489 | | |
| | | 45,000 | | | | A1(a) | | | 5.000% due 1/1/29 | | | | | 54,798 | | |
| | | 50,000 | | | | A1(a) | | | 5.000% due 1/1/30 | | | | | 60,557 | | |
| | | 1,530,000 | | | | A2(a) | | | Kentucky Bond Development Corp., Revenue Bonds, Series A, 5.000% due 9/1/24 | | | | | 1,795,960 | | |
| | | | | | | | | | Kentucky Economic Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 12/1/47 | | | | | 49,445 | | |
| | | 50,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/25 | | | | | 57,670 | | |
| | | 55,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/26 | | | | | 63,707 | | |
| | | 55,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/27 | | | | | 63,543 | | |
| | | 60,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/28 | | | | | 69,155 | | |
| | | 65,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/29 | | | | | 74,695 | | |
| | | 65,000 | | | | Baa3(a) | | | Series B, 5.000% due 6/1/30 | | | | | 74,420 | | |
| | | 5,000,000 | | | | A1(a) | | | Kentucky Public Energy Authority, Revenue Bonds, Series B, 4.000% due 1/1/49(b) | | | | | 5,602,850 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Kentucky – (continued) | | |||||||||||||||
| | | | | | | | | | Kentucky State Property & Building Commission, Revenue Bonds: | | ||||||
| | $ | 110,000 | | | | A- | | | Series A, 5.000% due 10/1/27 | | | | $ | 125,203 | | |
| | | 165,000 | | | | A- | | | Series A, 5.000% due 2/1/29 | | | | | 196,414 | | |
| | | 170,000 | | | | A- | | | Series A, 5.000% due 2/1/30 | | | | | 201,586 | | |
| | | 65,000 | | | | A- | | | Series A, 5.000% due 2/1/32 | | | | | 76,522 | | |
| | | 80,000 | | | | A- | | | Series A, 5.000% due 2/1/33 | | | | | 94,002 | | |
| | | 145,000 | | | | A- | | | 5.000% due 5/1/28 | | | | | 181,833 | | |
| | | 15,000 | | | | A- | | | 5.000% due 5/1/29 | | | | | 18,733 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 50,048 | | |
| | | 1,285,000 | | | | A- | | | Series B, 5.000% due 11/1/27 | | | | | 1,563,382 | | |
| | | 55,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/21 | | | | | 58,421 | | |
| | | 35,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/26 | | | | | 42,536 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/27 | | | | | 36,965 | | |
| | | 30,000 | | | | A1(a) | | | Series D, 5.000% due 5/1/28 | | | | | 36,800 | | |
| | | | | | | | | | Louisville/Jefferson County Metropolitan Government, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | BBB+ | | | Prerefunded 6/1/22 @ 100, 5.000% due 12/1/28 | | | | | 110,017 | | |
| | | 335,000 | | | | BBB+ | | | Prerefunded 6/1/22 @ 100, 5.000% due 12/1/29 | | | | | 368,557 | | |
| | | 20,000 | | | | BBB+ | | | Prerefunded 6/1/22 @ 100, 5.000% due 12/1/30 | | | | | 22,003 | | |
| | | 70,000 | | | | A | | | Series A, 5.500% due 10/1/33 | | | | | 79,948 | | |
| | | 185,000 | | | | A | | | Series A, 5.750% due 10/1/38 | | | | | 212,078 | | |
| | | 525,000 | | | | A | | | 5.000% due 10/1/29 | | | | | 642,348 | | |
| | | 95,000 | | | | A | | | 5.000% due 10/1/32 | | | | | 114,485 | | |
| | | 355,000 | | | | A+ | | | University of Louisville, Revenue Bonds, Series C, 3.000% due 9/1/21 | | | | | 366,889 | | |
| | | | | | | | | | Total Kentucky | | | | | 14,972,893 | | |
| Louisiana – 0.7% | | |||||||||||||||
| | | | | | | | | | Calcasieu Parish Memorial Hospital Service District, Revenue Bonds: | | | |||||
| | | 100,000 | | | | BB+ | | | 5.000% due 12/1/25 | | | | | 117,445 | | |
| | | 100,000 | | | | BB+ | | | 5.000% due 12/1/26 | | | | | 119,443 | | |
| | | 100,000 | | | | BB+ | | | 5.000% due 12/1/27 | | | | | 121,011 | | |
| | | 100,000 | | | | BB+ | | | 5.000% due 12/1/28 | | | | | 122,302 | | |
| | | 90,000 | | | | AA- | | | City of New Orleans LA, GO, 5.000% due 12/1/20 | | | | | 94,201 | | |
| | | 1,500,000 | | | | AA | | | Louisiana Local Government Environmental Facilities & Community Development Authority, Revenue Bonds, 5.000% due 10/1/26 | | | | | 1,863,420 | | |
| | | | | | | | | | Louisiana Public Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | Series A, 5.000% due 12/15/22 | | | | | 44,821 | | |
| | | 85,000 | | | | A | | | Series A, 5.000% due 12/15/23 | | | | | 98,350 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Louisiana – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A2(a) | | | Louisiana Stadium & Exposition District, Revenue Bonds, Series A, 5.000% due 7/1/24 | | | | $ | 68,253 | | |
| | | | | | | | | | New Orleans Aviation Board, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/26(d) | | | | | 23,977 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/29(d) | | | | | 18,232 | | |
| | | 20,000 | | | | A- | | | Series D2, 5.000% due 1/1/30(d) | | | | | 24,191 | | |
| | | 45,000 | | | | A- | | | Series D2, 5.000% due 1/1/32(d) | | | | | 53,944 | | |
| | | 35,000 | | | | A- | | | Series D2, 5.000% due 1/1/35(d) | | | | | 41,634 | | |
| | | 15,000 | | | | A- | | | Series D2, 5.000% due 1/1/38(d) | | | | | 17,711 | | |
| | | 10,000 | | | | A- | | | Series B, 5.000% due 1/1/29(d) | | | | | 12,155 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/31(d) | | | | | 24,079 | | |
| | | 20,000 | | | | A- | | | Series B, 5.000% due 1/1/36(d) | | | | | 23,748 | | |
| | | 15,000 | | | | A- | | | Series B, 5.000% due 1/1/37(d) | | | | | 17,745 | | |
| | | 70,000 | | | | A- | | | Series B, 5.000% due 1/1/24(d) | | | | | 79,834 | | |
| | | 85,000 | | | | A- | | | Series B, 5.000% due 1/1/25(d) | | | | | 99,388 | | |
| | | 65,000 | | | | A- | | | Series B, 5.000% due 1/1/27(d) | | | | | 75,957 | | |
| | | 3,500,000 | | | | AA- | | | State of Louisiana, GO, Series C, 5.000% due 7/15/20 | | | | | 3,618,545 | | |
| | | | | | | | | | Total Louisiana | | | | | 6,780,386 | | |
| Maine – 0.3% | | |||||||||||||||
| | | | | | | | | | Maine Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | BBB | | | Series A, 4.000% due 7/1/41 | | | | | 63,449 | | |
| | | 80,000 | | | | BBB | | | Series A, 4.000% due 7/1/46 | | | | | 84,231 | | |
| | | 25,000 | | | | BBB | | | Series A, 5.000% due 7/1/41 | | | | | 28,328 | | |
| | | 15,000 | | | | BBB | | | Series A, 5.000% due 7/1/46 | | | | | 16,945 | | |
| | | 155,000 | | | | BBB | | | 5.000% due 7/1/43 | | | | | 168,059 | | |
| | | 2,500,000 | | | | AA+ | | | Maine State Housing Authority, Revenue Bonds, Series B, 3.150% due 11/15/39 | | | | | 2,609,250 | | |
| | | | | | | | | | Maine Turnpike Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | 5.000% due 7/1/25 | | | | | 79,364 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 72,317 | | |
| | | | | | | | | | Total Maine | | | | | 3,121,943 | | |
| Maryland – 3.9% | | |||||||||||||||
| | | | | | | | | | City of Baltimore MD, Revenue Bonds: | | | | | | | |
| | | 105,000 | | | | AA | | | Series C, 5.000% due 7/1/28 | | | | | 132,201 | | |
| | | 195,000 | | | | AA | | | Series C, 5.000% due 7/1/31 | | | | | 242,502 | | |
| | | 200,000 | | | | AA | | | Series C, 5.000% due 7/1/33 | | | | | 247,568 | | |
| | | 170,000 | | | | AA- | | | Series D, 5.000% due 7/1/33 | | | | | 210,035 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | | | | | | | | | County of Baltimore MD, GO: | | ||||||
| | $ | 2,500,000 | | | | SP-1+ | | | 4.000% due 3/19/20(f) | | | | $ | 2,539,925 | | |
| | | 4,230,000 | | | | AAA | | | Series B, 4.500% due 9/1/24 | | | | | 4,932,519 | | |
| | | 2,500,000 | | | | AAA | | | County of Howard MD, GO, Series D, 5.000% due 2/15/30 | | | | | 3,240,200 | | |
| | | | | | | | | | County of Prince George’s MD, GO: | | | | | | | |
| | | 3,595,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 3,993,793 | | |
| | | 5,805,000 | | | | AAA | | | Series A, 5.000% due 7/15/29 | | | | | 7,628,235 | | |
| | | 2,065,000 | | | | AAA | | | Series C, 4.000% due 8/1/26 | | | | | 2,300,575 | | |
| | | 405,000 | | | | Aa2(a) | | | Maryland Community Development Administration, Revenue Bonds, Series B, 4.000% due 9/1/49 | | | | | 447,715 | | |
| | | | | | | | | | Maryland Economic Development Corp., Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | BBB | | | Series D, 5.000% due 3/31/30(d) | | | | | 41,465 | | |
| | | 65,000 | | | | BBB | | | Series D, 5.000% due 3/31/51(d) | | | | | 73,879 | | |
| | | 45,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/23 | | | | | 50,585 | | |
| | | 45,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/24 | | | | | 52,018 | | |
| | | 45,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/25 | | | | | 53,236 | | |
| | | 60,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/26 | | | | | 72,638 | | |
| | | 40,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/27 | | | | | 49,365 | | |
| | | 30,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/31 | | | | | 37,096 | | |
| | | 30,000 | | | | Baa3(a) | | | Series A, 5.000% due 6/1/32 | | | | | 36,974 | | |
| | | | | | | | | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | WD(g) | | | Prerefunded 7/1/20 @ 100, 5.625% due 7/1/30(c) | | | | | 72,611 | | |
| | | 225,000 | | | | WD(g) | | | Prerefunded 7/1/20 @ 100, 5.750% due 7/1/38(c) | | | | | 233,622 | | |
| | | 155,000 | | | | BBB | | | Series A, 4.000% due 7/1/42 | | | | | 166,048 | | |
| | | 65,000 | | | | BBB | | | Series A, 5.000% due 7/1/33 | | | | | 76,599 | | |
| | | 50,000 | | | | BBB | | | Series A, 5.000% due 7/1/34 | | | | | 58,672 | | |
| | | 20,000 | | | | BBB | | | Series A, 5.000% due 7/1/35 | | | | | 23,413 | | |
| | | 50,000 | | | | BBB | | | Series A, 5.000% due 7/1/36 | | | | | 58,300 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 7/1/27 | | | | | 35,491 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 7/1/28 | | | | | 47,210 | | |
| | | 65,000 | | | | BBB | | | 5.000% due 7/1/29 | | | | | 76,477 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 7/1/31 | | | | | 34,999 | | |
| | | 35,000 | | | | A | | | Series A, 5.000% due 7/1/24 | | | | | 38,532 | | |
| | | 30,000 | | | | A | | | Series A, 5.000% due 7/1/25 | | | | | 32,975 | | |
| | | | | | | | | | State of Maryland, GO: | | | | | | | |
| | | 2,500,000 | | | | AAA | | | Series B, 5.000% due 8/1/22 | | | | | 2,781,550 | | |
| | | 1,500,000 | | | | AAA | | | Series C, 5.000% due 8/1/20 | | | | | 1,553,415 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Maryland – (continued) | | |||||||||||||||
| | $ | 3,000,000 | | | | AAA | | | State of Maryland Department of Transportation, Revenue Bonds, 3.500% due 10/1/33 | | | | $ | 3,311,970 | | |
| | | | | | | | | | Total Maryland | | | | | 34,984,408 | | |
| Massachusetts – 1.5% | | |||||||||||||||
| | | | | | | | | | Commonwealth of Massachusetts, GO: | | | | | | | |
| | | 2,000,000 | | | | AA | | | 5.000% due 5/1/42 | | | | | 2,522,680 | | |
| | | 1,500,000 | | | | AA | | | 5.000% due 5/1/47 | | | | | 1,883,505 | | |
| | | 290,000 | | | | AA | | | Series A, Prerefunded 4/1/21 @ 100, 5.000% due 4/1/23(c) | | | | | 307,986 | | |
| | | 90,000 | | | | AA | | | Series B, 5.000% due 7/1/22 | | | | | 99,851 | | |
| | | 400,000 | | | | AA | | | Series B, 5.250% due 8/1/20 | | | | | 415,220 | | |
| | | 520,000 | | | | AA | | | Series C, 5.000% due 4/1/23 | | | | | 591,484 | | |
| | | 45,000 | | | | AA | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.000% due 7/1/45 | | | | | 53,006 | | |
| | | | | | | | | | Massachusetts Development Finance Agency, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | 5.000% due 7/1/30 | | | | | 64,517 | | |
| | | 235,000 | | | | A | | | 5.000% due 7/1/31 | | | | | 301,498 | | |
| | | 500,000 | | | | Baa2(a) | | | 5.000% due 7/1/34 | | | | | 625,370 | | |
| | | 585,000 | | | | A+ | | | Series S-1, 5.000% due 10/1/24 | | | | | 699,093 | | |
| | | 55,000 | | | | AA- | | | Series Q-1, 5.000% due 7/1/21 | | | | | 55,160 | | |
| | | 140,000 | | | | BBB | | | Series D, 5.000% due 7/1/44 | | | | | 158,092 | | |
| | | 65,000 | | | | AAA | | | Series A, 5.000% due 7/15/22 | | | | | 72,308 | | |
| | | 145,000 | | | | NR | | | Series A, Prerefunded 11/15/23 @ 100, 6.250% due 11/15/28(c)(e) | | | | | 169,567 | | |
| | | 335,000 | | | | AA- | | | Series S4, 5.000% due 7/1/38(b) | | | | | 389,565 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 51,626 | | |
| | | 115,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 136,235 | | |
| | | 105,000 | | | | AA- | | | Series S, 5.000% due 7/1/30 | | | | | 134,723 | | |
| | | 500,000 | | | | AA+ | | | Series N, 1.450% due 7/1/41(b) | | | | | 502,240 | | |
| | | 215,000 | | | | AA- | | | Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Series I4, 5.000% due 7/1/20 | | | | | 215,606 | | |
| | | 1,170,000 | | | | AA | | | Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, Revenue Bonds, Series A, 5.000% due 1/1/39(b) | | | | | 1,312,471 | | |
| | | 2,500,000 | | | | AA- | | | University of Massachusetts Building Authority, Revenue Bonds, 4.000% due 11/1/43 | | | | | 2,666,950 | | |
| | | | | | | | | | Total Massachusetts | | | | | 13,428,753 | | |
| Michigan – 1.4% | | |||||||||||||||
| | | 160,000 | | | | AA | | | City of Detroit MI Sewage Disposal System Revenue, Revenue Bonds, Series G, AGM, 2.154% (3-Month USD-LIBOR) due 7/1/32(b) | | | | | 157,349 | | |
| | | 85,000 | | | | Aa1(a) | | | Clarkston Community Schools, GO, 5.000% due 5/1/22 | | | | | 93,529 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 155,000 | | | | AA | | | Detroit Downtown Development Authority, Tax Allocation, Series A, AGM, 5.000% due 7/1/37 | | | | $ | 175,020 | | |
| | | | | | | | | | Grand Rapids Public Schools, GO, AGM: | | | | | | | |
| | | 100,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 121,780 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 175,846 | | |
| | | 20,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 24,187 | | |
| | | 90,000 | | | | AA | | | 5.000% due 5/1/33 | | | | | 108,702 | | |
| | | 40,000 | | | | AA | | | 5.000% due 5/1/27 | | | | | 50,630 | | |
| | | 55,000 | | | | AA | | | 5.000% due 5/1/29 | | | | | 68,864 | | |
| | | | | | | | | | Kalamazoo Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 100,000 | | | | A2(a) | | | 5.000% due 5/15/27 | | | | | 121,794 | | |
| | | 75,000 | | | | A2(a) | | | 5.000% due 5/15/28 | | | | | 91,091 | | |
| | | 100,000 | | | | AAA | | | Kent County Building Authority, Revenue Bonds, 5.500% due 6/1/22 | | | | | 111,486 | | |
| | | | | | | | | | Kent Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 11/15/20 | | | | | 31,358 | | |
| | | 20,000 | | | | AA | | | Series A, 5.000% due 11/15/21 | | | | | 21,655 | | |
| | | | | | | | | | Michigan Finance Authority, Revenue Bonds: | | | | | | | |
| | | 310,000 | | | | AA | | | Series C, AGM, 5.000% due 7/1/22 | | | | | 342,922 | | |
| | | 190,000 | | | | A | | | Series A, 5.000% due 11/15/48 | | | | | 235,017 | | |
| | | 45,000 | | | | WR(a) | | | Series A, 5.000% due 6/1/21 | | | | | 47,922 | | |
| | | 735,000 | | | | AA- | | | 5.000% due 12/1/44(b) | | | | | 872,563 | | |
| | | 65,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/27(c) | | | | | 71,789 | | |
| | | 140,000 | | | | WR(a) | | | Series A, Prerefunded 6/1/22 @ 100, 5.000% due 6/1/39(c) | | | | | 154,623 | | |
| | | 1,250,000 | | | | Aa3(a) | | | 5.000% due 11/1/23 | | | | | 1,437,575 | | |
| | | 750,000 | | | | Aa3(a) | | | 5.000% due 11/1/24 | | | | | 889,065 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/32 | | | | | 35,503 | | |
| | | 25,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 29,584 | | |
| | | 35,000 | | | | AA- | | | 5.000% due 7/1/31 | | | | | 41,446 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/29 | | | | | 35,791 | | |
| | | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | | 11,996 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 8/15/29 | | | | | 67,965 | | |
| | | 160,000 | | | | A+ | | | 5.000% due 8/15/28 | | | | | 181,768 | | |
| | | 60,000 | | | | AA- | | | Series A, 5.000% due 12/1/28 | | | | | 76,885 | | |
| | | 85,000 | | | | AA- | | | Series A, 5.000% due 12/1/25 | | | | | 104,244 | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 12/1/27 | | | | | 44,937 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 12/1/23 | | | | | 52,025 | | |
| | | 50,000 | | | | AA- | | | Series A, 5.000% due 12/1/24 | | | | | 59,583 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 40,000 | | | | AA- | | | 5.000% due 12/1/26 | | | | $ | 50,284 | | |
| | | 205,000 | | | | A+ | | | 5.000% due 11/15/36 | | | | | 224,159 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 11/15/42 | | | | | 48,783 | | |
| | | | | | | | | | Michigan State Building Authority, Revenue Bonds: | | | | | | | |
| | | 495,000 | | | | AA- | | | Series I, 5.000% due 10/15/34 | | | | | 604,132 | | |
| | | 80,000 | | | | AA- | | | Series I, 5.000% due 4/15/35 | | | | | 97,517 | | |
| | | | | | | | | | Michigan State Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 710,000 | | | | AA+ | | | Series F5, 4.000% due 11/15/47(b) | | | | | 799,943 | | |
| | | 180,000 | | | | AA+ | | | Series C, 2.400% due 11/15/47(b) | | | | | 187,126 | | |
| | | 750,000 | | | | AA- | | | Series C, 5.000% due 12/1/19 | | | | | 756,967 | | |
| | | 700,000 | | | | AA- | | | Series C, 5.000% due 12/1/20 | | | | | 733,299 | | |
| | | 45,000 | | | | AA- | | | Series C, 5.000% due 12/1/24 | | | | | 53,625 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/25 | | | | | 49,056 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/26 | | | | | 75,426 | | |
| | | 40,000 | | | | AA- | | | Series C, 5.000% due 12/1/27 | | | | | 51,357 | | |
| | | 60,000 | | | | AA- | | | Series C, 5.000% due 12/1/28 | | | | | 76,885 | | |
| | | | | | | | | | Michigan Strategic Fund, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A | | | 1.450% due 9/1/30(b) | | | | | 34,958 | | |
| | | 290,000 | | | | A | | | 1.450% due 8/1/29(b) | | | | | 289,652 | | |
| | | | | | | | | | Portage Public Schools, GO: | | | | | | | |
| | | 35,000 | | | | AA- | | | 5.000% due 11/1/27 | | | | | 43,197 | | |
| | | 90,000 | | | | AA- | | | 5.000% due 11/1/29 | | | | | 110,548 | | |
| | | | | | | | | | Royal Oak Hospital Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 9/1/22 | | | | | 33,352 | | |
| | | 60,000 | | | | A+ | | | 5.000% due 9/1/24 | | | | | 69,844 | | |
| | | 95,000 | | | | AA | | | State of Michigan, Revenue Bonds, 5.000% due 3/15/27 | | | | | 120,061 | | |
| | | 280,000 | | | | AA+ | | | State of Michigan Trunk Line Revenue, Revenue Bonds, AGM, 5.500% due 11/1/20 | | | | | 294,638 | | |
| | | | | | | | | | Warren Consolidated Schools, GO: | | | | | | | |
| | | 130,000 | | | | AA | | | 5.000% due 5/1/30 | | | | | 156,580 | | |
| | | 140,000 | | | | AA | | | 5.000% due 5/1/31 | | | | | 167,923 | | |
| | | 145,000 | | | | AA | | | 5.000% due 5/1/32 | | | | | 173,442 | | |
| | | | | | | | | | Wayne County Airport Authority, Revenue Bonds: | | | | | | | |
| | | 5,000 | | | | A | | | Series A, 5.000% due 12/1/29 | | | | | 6,306 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/30 | | | | | 12,547 | | |
| | | 10,000 | | | | A | | | Series A, 5.000% due 12/1/31 | | | | | 12,476 | | |
| | | 15,000 | | | | A | | | Series A, 5.000% due 12/1/36 | | | | | 18,429 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Michigan – (continued) | | |||||||||||||||
| | $ | 60,000 | | | | A | | | Series C, 5.000% due 12/1/22 | | | | $ | 67,209 | | |
| | | 65,000 | | | | A | | | Series C, 5.000% due 12/1/23 | | | | | 75,060 | | |
| | | 70,000 | | | | A | | | Series C, 5.000% due 12/1/24 | | | | | 83,220 | | |
| | | 60,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 73,301 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 56,287 | | |
| | | 45,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 57,414 | | |
| | | 620,000 | | | | A | | | Series B, 5.000% due 12/1/29(d) | | | | | 772,216 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/30(d) | | | | | 18,560 | | |
| | | 15,000 | | | | A | | | Series B, 5.000% due 12/1/31(d) | | | | | 18,468 | | |
| | | 10,000 | | | | A | | | Series B, 5.000% due 12/1/33(d) | | | | | 12,245 | | |
| | | 25,000 | | | | A | | | Series B, 5.000% due 12/1/36(d) | | | | | 30,355 | | |
| | | | | | | | | | Total Michigan | | | | | 12,763,341 | | |
| Minnesota – 1.7% | | |||||||||||||||
| | | 60,000 | | | | Baa1(a) | | | City of Maple Grove MN, Revenue Bonds, 5.000% due 9/1/26 | | | | | 71,964 | | |
| | | 40,000 | | | | WD(g) | | | Housing & Redevelopment Authority of The City of St Paul Minnesota, Revenue Bonds, Series Prerefunded 11/15/25 @ 100, 5.000% due 11/15/40(c) | | | | | 48,971 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan Council, GO, 3.000% due 3/1/27 | | | | | 2,610,925 | | |
| | | | | | | | | | Minnesota Agricultural & Economic Development Board, Revenue Bonds: | | | | | | | |
| | | 120,000 | | | | AA | | | Series C1, AGC, 5.000% due 2/15/21 | | | | | 122,070 | | |
| | | 165,000 | | | | AA | | | Series C1, AGC, 5.000% due 2/15/22 | | | | | 167,876 | | |
| | | 130,000 | | | | A- | | | Northern Municipal Power Agency, Revenue Bonds, Series A1, 5.000% due 1/1/20 | | | | | 131,634 | | |
| | | | | | | | | | State of Minnesota, GO: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, 5.000% due 8/1/37 | | | | | 6,406,450 | | |
| | | 4,835,000 | | | | AAA | | | Series B, 5.000% due 8/1/27 | | | | | 6,237,150 | | |
| | | | | | | | | | Total Minnesota | | | | | 15,797,040 | | |
| Mississippi – 0.7% | | |||||||||||||||
| | | | | | | | | | Mississippi Hospital Equipment & Facilities Authority, Revenue Bonds: | | | |||||
| | | 435,000 | | | | A2(a) | | | Series A, 5.000% due 1/1/34 | | | | | 550,058 | | |
| | | 225,000 | | | | A2(a) | | | Series B, 5.000% due 1/1/30 | | | | | 287,730 | | |
| | | 3,000,000 | | | | A+ | | | State of Mississippi, Revenue Bonds, Series A, 5.000% due 10/15/34 | | | | | 3,801,630 | | |
| | | | | | | | | | State of Mississippi, GO: | | | | | | | |
| | | 160,000 | | | | AA | | | Series A, 5.000% due 10/1/30 | | | | | 204,171 | | |
| | | 1,250,000 | | | | AA | | | Series A, 5.000% due 10/1/34 | | | | | 1,575,575 | | |
| | | | | | | | | | Total Mississippi | | | | | 6,419,164 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Missouri – 0.5% | | |||||||||||||||
| | | | | | | | | | Cape Girardeau County Industrial Development Authority, Revenue Bonds: | | ||||||
| | $ | 30,000 | | | | BBB- | | | Series A, 5.000% due 3/1/27 | | | | $ | 36,054 | | |
| | | 35,000 | | | | BBB- | | | Series A, 5.000% due 3/1/36 | | | | | 40,684 | | |
| | | | | | | | | | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/29 | | | | | 36,505 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/30 | | | | | 36,309 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 5/15/31 | | | | | 36,115 | | |
| | | 85,000 | | | | A+ | | | 5.000% due 5/15/36 | | | | | 100,569 | | |
| | | 20,000 | | | | AA- | | | Series B, 4.000% due 2/1/40 | | | | | 21,624 | | |
| | | 70,000 | | | | AA- | | | Series B, 5.000% due 2/1/30 | | | | | 83,514 | | |
| | | 80,000 | | | | AA- | | | Series B, 5.000% due 2/1/32 | | | | | 94,704 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/36 | | | | | 76,024 | | |
| | | 105,000 | | | | AA- | | | Series B, 5.000% due 2/1/45 | | | | | 120,924 | | |
| | | 2,500,000 | | | | AAA | | | Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/37 | | | | | 3,096,425 | | |
| | | 5,000 | | | | A | | | Missouri Development Finance Board, Revenue Bonds, Series A, 6.000% due 6/1/20 | | | | | 5,168 | | |
| | | 85,000 | | | | AA+ | | | Missouri Housing Development Commission, Revenue Bonds, Series B, 4.000% due 5/1/50 | | | | | 94,189 | | |
| | | 10,000 | | | | Aaa(a) | | | Missouri State Environmental Improvement & Energy Resources Authority, Revenue Bonds, 5.125% due 1/1/20 | | | | | 10,031 | | |
| | | 220,000 | | | | BB+(g) | | | St Louis County Industrial Development Authority, Revenue Bonds, Series A, 5.125% due 9/1/48 | | | | | 251,379 | | |
| | | | | | | | | | Total Missouri | | | | | 4,140,218 | | |
| Montana – 0.1% | | |||||||||||||||
| | | | | | | | | | Montana Board of Housing, Revenue Bonds: | | | | | | | |
| | | 120,000 | | | | AA+ | | | Series A1, 4.000% due 12/1/47(d) | | | | | 126,501 | | |
| | | 40,000 | | | | AA+ | | | 4.000% due 6/1/50 | | | | | 45,145 | | |
| | | | | | | | | | Montana Facility Finance Authority, Revenue Bonds: | | | |||||
| | | 35,000 | ��� | | | A+(g) | | | 5.000% due 2/15/21 | | | | | 36,897 | | |
| | | 40,000 | | | | A+(g) | | | 5.000% due 2/15/22 | | | | | 43,549 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/23 | | | | | 67,309 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/24 | | | | | 69,217 | | |
| | | 60,000 | | | | A+(g) | | | 5.000% due 2/15/25 | | | | | 71,169 | | |
| | | 90,000 | | | | A+(g) | | | 5.000% due 2/15/26 | | | | | 109,191 | | |
| | | | | | | | | | Total Montana | | | | | 568,978 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Nebraska – 0.1% | | |||||||||||||||
| | $ | 245,000 | | | | AA+ | | | Nebraska Investment Finance Authority, Revenue Bonds, Series B, 4.000% due 9/1/49(d) | | | | $ | 268,020 | | |
| | | | | | | | | | Nebraska Public Power District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series B, 5.000% due 1/1/31 | | | | | 139,173 | | |
| | | 125,000 | | | | A+ | | | Series B, 5.000% due 1/1/34 | | | | | 150,116 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 1/1/36 | | | | | 185,095 | | |
| | | | | | | | | | Total Nebraska | | | | | 742,404 | | |
| Nevada – 1.2% | | |||||||||||||||
| | | | | | | | | | City of Carson City NV, Revenue Bonds: | | | |||||
| | | 20,000 | | | | A- | | | 5.000% due 9/1/24 | | | | | 23,152 | | |
| | | 15,000 | | | | A- | | | 5.000% due 9/1/28 | | | | | 18,457 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/30 | | | | | 24,378 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/32 | | | | | 24,203 | | |
| | | 20,000 | | | | A- | | | 5.000% due 9/1/34 | | | | | 24,016 | | |
| | | | | | | | | | Clark County School District, GO: | | | | | | | |
| | | 3,620,000 | | | | A+ | | | Series A, 5.000% due 6/15/28 | | | | | 4,637,618 | | |
| | | 75,000 | | | | A+ | | | Series A, 5.000% due 6/15/21 | | | | | 80,115 | | |
| | | 65,000 | | | | A+ | | | Series A, 5.000% due 6/15/23 | | | | | 73,995 | | |
| | | 1,000,000 | | | | A+ | | | Series C, 5.000% due 6/15/23 | | | | | 1,138,390 | | |
| | | 170,000 | | | | A+ | | | Series A, 5.000% due 6/15/25 | | | | | 204,959 | | |
| | | 280,000 | | | | A+ | | | County of Clark Department of Aviation, Revenue Bonds, Series C, 5.000% due 7/1/21(d) | | | | | 298,987 | | |
| | | 345,000 | | | | A- | | | County of Clark NV, Revenue Bonds, Series A, 1.875% due 6/1/31(b) | | | | | 345,890 | | |
| | | 2,250,000 | | | | AA+ | | | County of Clark NV, GO, Series A, 5.000% due 6/1/35 | | | | | 2,850,345 | | |
| | | | | | | | | | Las Vegas Valley Water District, GO: | | | | | | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/22 | | | | | 33,188 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/23 | | | | | 66,343 | | |
| | | 60,000 | | | | AA+ | | | Series B, 5.000% due 6/1/24 | | | | | 66,325 | | |
| | | 30,000 | | | | AA+ | | | Series B, 5.000% due 6/1/25 | | | | | 33,146 | | |
| | | 85,000 | | | | AA+ | | | Series A, 5.000% due 6/1/32 | | | | | 104,021 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 6/1/33 | | | | | 177,115 | | |
| | | 155,000 | | | | AA+ | | | Series A, 5.000% due 6/1/34 | | | | | 188,874 | | |
| | | 130,000 | | | | AA+ | | | Nevada Housing Division, Revenue Bonds, Series B, 4.000% due 10/1/49 | | | | | 144,154 | | |
| | | | | | | | | | State of Nevada, GO: | | | | | | | |
| | | 40,000 | | | | AA | | | 5.000% due 8/1/21 | | | | | 42,977 | | |
| | | 80,000 | | | | AA | | | 5.000% due 3/1/25 | | | | | 90,630 | | |
| | | | | | | | | | Total Nevada | | | | | 10,691,278 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Hampshire – 0.4% | | |||||||||||||||
| | $ | 1,535,000 | | | | BBB+ | | | City of Manchester NH General Airport Revenue, Revenue Bonds, Series A, 5.000% due 1/1/21 | | | | $ | 1,607,467 | | |
| | | 740,000 | | | | A- | | | New Hampshire Business Finance Authority, Revenue Bonds, Series A2, 2.150% due 7/1/27(b)(d) | | | | | 758,633 | | |
| | | | | | | | | | New Hampshire Health & Education Facilities Authority Act, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A- | | | 4.000% due 7/1/22 | | | | | 42,828 | | |
| | | 35,000 | | | | A- | | | 5.000% due 7/1/26 | | | | | 38,453 | | |
| | | 70,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/43 | | | | | 75,974 | | |
| | | 25,000 | | | | A- | | | 4.000% due 10/1/38 | | | | | 27,385 | | |
| | | 135,000 | | | | A- | | | 5.000% due 10/1/26 | | | | | 166,073 | | |
| | | 145,000 | | | | A- | | | 5.000% due 10/1/27 | | | | | 176,971 | | |
| | | 60,000 | | | | A- | | | 5.000% due 10/1/28 | | | | | 72,943 | | |
| | | 210,000 | | | | A- | | | 5.000% due 10/1/30 | | | | | 252,504 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 47,386 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 7/1/30 | | | | | 89,816 | | |
| | | | | | | | | | New Hampshire State Turnpike System, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/22 | | | | | 70,985 | | |
| | | 65,000 | | | | AA- | | | Series B, 5.000% due 2/1/23 | | | | | 70,904 | | |
| | | 50,000 | | | | AA- | | | Series B, 5.000% due 2/1/24 | | | | | 54,467 | | |
| | | | | | | | | | Total New Hampshire | | | | | 3,552,789 | | |
| New Jersey – 1.9% | | |||||||||||||||
| | | | | | | | | | Camden County Improvement Authority, Revenue Bonds: | | | |||||
| | | 60,000 | | | | BBB+ | | | 5.000% due 2/15/24 | | | | | 68,854 | | |
| | | 30,000 | | | | BBB+ | | | 5.000% due 2/15/25 | | | | | 34,383 | | |
| | | | | | | | | | City of Bayonne NJ, GO: | | | |||||
| | | 45,000 | | | | AA | | | 5.000% due 7/1/31 | | | | | 54,310 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/32 | | | | | 36,116 | | |
| | | 30,000 | | | | AA | | | 5.000% due 7/1/33 | | | | | 36,049 | | |
| | | | | | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | BBB+ | | | 5.000% due 6/15/30 | | | | | 1,224,980 | | |
| | | 580,000 | | | | BBB+ | | | Series XX, 5.000% due 6/15/26 | | | | | 673,745 | | |
| | | 30,000 | | | | AA | | | AGM, 5.000% due 6/1/25 | | | | | 35,745 | | |
| | | 40,000 | | | | AA | | | AGM, 5.000% due 6/1/27 | | | | | 49,758 | | |
| | | 60,000 | | | | AA | | | AGM, 5.000% due 6/1/28 | | | | | 74,159 | | |
| | | 45,000 | | | | AA | | | AGM, 5.000% due 6/1/29 | | | | | 55,295 | | |
| | | 40,000 | | | | BBB+ | | | 5.000% due 3/1/25 | | | | | 44,248 | | |
| | | 220,000 | | | | BBB+ | | | Series II, 5.000% due 3/1/21 | | | | | 232,221 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | $ | 270,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/23 | | | | $ | 301,152 | | |
| | | 370,000 | | | | BBB+ | | | Series NN, 5.000% due 3/1/24 | | | | | 410,519 | | |
| | | 125,000 | | | | BBB+ | | | Series I, 5.500% due 9/1/19 | | | | | 125,000 | | |
| | | 55,000 | | | | Baa1(a) | | | New Jersey Educational Facilities Authority, Revenue Bonds, Series A, 5.000% due 7/1/29 | | | | | 66,084 | | |
| | | | | | | | | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | AA | | | Series A, 5.000% due 7/1/28 | | | | | 18,555 | | |
| | | 45,000 | | | | AA | | | Series A, 5.000% due 7/1/33 | | | | | 54,815 | | |
| | | 10,000 | | | | BBB | | | 5.000% due 7/1/21 | | | | | 10,622 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/22 | | | | | 27,413 | | |
| | | 90,000 | | | | BBB | | | 5.000% due 7/1/23 | | | | | 101,410 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/24 | | | | | 28,877 | | |
| | | 25,000 | | | | BBB | | | 5.000% due 7/1/25 | | | | | 29,563 | | |
| | | 10,000 | | | | BBB | | | 5.000% due 7/1/26 | | | | | 12,072 | | |
| | | 15,000 | | | | BBB | | | 5.000% due 7/1/27 | | | | | 18,072 | | |
| | | 75,000 | | | | BBB | | | 5.000% due 7/1/28 | | | | | 89,958 | | |
| | | 250,000 | | | | BBB- | | | 5.000% due 7/1/41 | | | | | 288,308 | | |
| | | | | | | | | | New Jersey Higher Education Student Assistance Authority, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/22 | | | | | 184,769 | | |
| | | 115,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/23 | | | | | 132,644 | | |
| | | 65,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/24 | | | | | 77,095 | | |
| | | 125,000 | | | | Aa1(a) | | | Series A, 5.000% due 12/1/25 | | | | | 152,125 | | |
| | | 40,000 | | | | AA | | | Series 1B, 5.000% due 12/1/21(d) | | | | | 43,062 | | |
| | | 40,000 | | | | AA | | | Series 1A, 5.000% due 12/1/22(d) | | | | | 44,320 | | |
| | | 100,000 | | | | AA | | | Series 1A, 5.000% due 12/1/24(d) | | | | | 116,729 | | |
| | | | | | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | | | | |
| | | 870,000 | | | | BBB+ | | | Series A, zero coupon, due 12/15/27 | | | | | 715,210 | | |
| | | 195,000 | | | | BBB+ | | | Series A, zero coupon, due 12/15/28 | | | | | 155,146 | | |
| | | 220,000 | | | | BBB+ | | | Series A, 5.000% due 12/15/33 | | | | | 265,698 | | |
| | | 2,000,000 | | | | BBB+ | | | Series A, 5.000% due 12/15/34 | | | | | 2,407,480 | | |
| | | 5,000,000 | | | | A+ | | | 5.000% due 6/15/24 | | | | | 5,793,400 | | |
| | | 435,000 | | | | A+ | | | 5.000% due 6/15/27 | | | | | 527,642 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/23 | | | | | 235,530 | | |
| | | 345,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/24 | | | | | 377,030 | | |
| | | 360,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/25 | | | | | 414,036 | | |
| | | 215,000 | | | | BBB+ | | | Series AA, 5.000% due 6/15/26 | | | | | 247,091 | | |
| | | 90,000 | | | | BBB+ | | | Series B4, 5.250% due 12/15/19 | | | | | 91,008 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New Jersey – (continued) | | |||||||||||||||
| | | | | | | | | | New Jersey Turnpike Authority, Revenue Bonds: | | | |||||
| | $ | 60,000 | | | | A+ | | | Series C1, 1.901% (1-Month USD-LIBOR) due 1/1/21(b) | | | | $ | 60,053 | | |
| | | 555,000 | | | | A+ | | | Series C5, 2.021% (1-Month USD-LIBOR) due 1/1/28(b) | | | | | 555,644 | | |
| | | | | | | | | | Total New Jersey | | | | | 16,797,995 | | |
| New Mexico – 0.1% | | |||||||||||||||
| | | 340,000 | | | | A- | | | City of Farmington NM, Revenue Bonds, Series A, 1.875% due 4/1/29(b) | | | | | 340,877 | | |
| | | 185,000 | | | | Aaa(a) | | | New Mexico Mortgage Finance Authority, Revenue Bonds, Series D, 3.750% due 1/1/50 | | | | | 203,387 | | |
| | | | | | | | | | Total New Mexico | | | | | 544,264 | | |
| New York – 13.9% | | |||||||||||||||
| | | | | | | | | | City of New York NY, GO: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | Series J6, 1.390% due 8/1/24(b) | | | | | 5,000,000 | | |
| | | 4,500,000 | | | | AA | | | Series B5, 1.430% due 10/1/46(b) | | | | | 4,500,000 | | |
| | | 5,620,000 | | | | AA | | | Series H, 5.000% due 1/1/36 | | | | | 7,193,937 | | |
| | | 10,000,000 | | | | AA | | | Series D3, 5.000% due 8/1/38(b) | | | | | 11,453,400 | | |
| | | 90,000 | | | | AA | | | Series J, 5.000% due 8/1/22 | | | | | 100,108 | | |
| | | 2,825,000 | | | | AA+ | | | Series F4, 1.220% due 6/1/44(b) | | | | | 2,825,000 | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 8/1/22 | | | | | 211,339 | | |
| | | 90,000 | | | | AA | | | Series C, 5.000% due 8/1/27 | | | | | 108,103 | | |
| | | 2,035,000 | | | | AA | | | Series B1, 5.000% due 12/1/38 | | | | | 2,476,107 | | |
| | | 5,000,000 | | | | AA | | | Series D1, 5.000% due 12/1/34 | | | | | 6,409,550 | | |
| | | 1,000,000 | | | | AA | | | Series F1, 5.000% due 4/1/43 | | | | | 1,236,970 | | |
| | | 1,925,000 | | | | AA | | | County of Nassau NY, GO, Series A. AGM, 5.000% due 4/1/32 | | | | | 2,440,149 | | |
| | | | | | | | | | Dutchess County Local Development Corp., Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.750% due 7/1/40 | | | | | 31,132 | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 7/1/20 | | | | | 30,948 | | |
| | | | | | | | | | Hudson Yards Infrastructure Corp., Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 2/15/32 | | | | | 144,487 | | |
| | | 215,000 | | | | A+ | | | Series A, 5.000% due 2/15/35 | | | | | 267,830 | | |
| | | | | | | | | | Long Island Power Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A- | | | Series B, 5.000% due 9/1/22 | | | | | 66,948 | | |
| | | 45,000 | | | | A- | | | Series B, 5.000% due 9/1/23 | | | | | 51,851 | | |
| | | 40,000 | | | | A- | | | Series B, 5.000% due 9/1/24 | | | | | 47,548 | | |
| | | | | | | | | | Metropolitan Transportation Authority, Revenue Bonds: | | | | | | | |
| | | 3,300,000 | | | | AA+ | | | 1.380% due 11/15/50(b) | | | | | 3,300,000 | | |
| | | 230,000 | | | | A | | | Series B, NPFG, 5.250% due 11/15/19 | | | | | 231,861 | | |
| | | 3,765,000 | | | | SP-1 | | | Series B1A, 5.000% due 5/15/20 | | | | | 3,862,363 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | $ | 2,000,000 | | | | SP-1 | | | Series B1D, 5.000% due 5/15/20 | | | | $ | 2,051,720 | | |
| | | 2,735,000 | | | | SP-1 | | | Series B2D, 5.000% due 5/15/21 | | | | | 2,906,184 | | |
| | | 1,000,000 | | | | SP-1 | | | Series C2, 5.000% due 9/1/21 | | | | | 1,073,130 | | |
| | | 290,000 | | | | A | | | Series C2, zero coupon, due 11/15/33 | | | | | 207,947 | | |
| | | 770,000 | | | | A | | | Series A1, 5.000% due 11/15/45(b) | | | | | 802,971 | | |
| | | | | | | | | | MTA Hudson Rail Yards Trust Obligations, Revenue Bonds: | | | | | | | |
| | | 370,000 | | | | A2(a) | | | Series A, 5.000% due 11/15/51 | | | | | 396,222 | | |
| | | 860,000 | | | | A2(a) | | | Series A, 5.000% due 11/15/56 | | | | | 963,372 | | |
| | | 3,000,000 | | | | AA | | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/29 | | | | | 3,820,440 | | |
| | | | | | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | | | | |
| | | 3,000,000 | | | | AAA | | | 1.380% due 2/1/45(b) | | | | | 3,000,000 | | |
| | | 2,500,000 | | | | AAA | | | 1.390% due 8/1/45(b) | | | | | 2,500,000 | | |
| | | 5,000,000 | | | | AAA | | | 1.430% due 8/1/39(b) | | | | | 5,000,000 | | |
| | | 305,000 | | | | NR | | | Series Prerefunded 11/1/19 @ 100, 5.000% due 11/1/20(c) | | | | | 306,931 | | |
| | | 2,000,000 | | | | AAA | | | Series A3, 4.000% due 8/1/42 | | | | | 2,270,060 | | |
| | | 275,000 | | | | AAA | | | Series C2, 5.000% due 5/1/32 | | | | | 351,986 | | |
| | | 160,000 | | | | AAA | | | Series A, 5.000% due 11/1/21 | | | | | 173,549 | | |
| | | 145,000 | | | | AAA | | | Series B, 4.000% due 2/1/21 | | | | | 151,046 | | |
| | | 100,000 | | | | AAA | | | Series B, 5.000% due 2/1/21 | | | | | 105,565 | | |
| | | 770,000 | | | | AAA | | | 5.000% due 11/1/20 | | | | | 774,836 | | |
| | | | | | | | | | New York City Water & Sewer System, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | Series AA, 5.000% due 6/15/32 | | | | | 5,352,100 | | |
| | | 4,200,000 | | | | AA+ | | | Series B, 1.370% due 6/15/32(b) | | | | | 4,200,000 | | |
| | | 4,285,000 | | | | AA+ | | | 1.390% due 6/15/50(b) | | | | | 4,285,000 | | |
| | | 1,725,000 | | | | AA+ | | | 5.000% due 6/15/23 | | | | | 1,986,510 | | |
| | | | | | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | AA+ | | | Series A, 5.000% due 2/15/20 | | | | | 86,509 | | |
| | | 4,000,000 | | | | Aa1(a) | | | Series A, 5.250% due 3/15/38 | | | | | 5,145,040 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/23 | | | | | 34,259 | | |
| | | 70,000 | | | | A- | | | Series A, 5.000% due 7/1/25 | | | | | 84,764 | | |
| | | 7,000,000 | | | | AA+ | | | Series C, 5.000% due 3/15/33 | | | | | 8,914,290 | | |
| | | 385,000 | | | | AA | | | 5.000% due 5/15/23 | | | | | 426,029 | | |
| | | 2,150,000 | | | | AAA | | | New York State Environmental Facilities Corp., Revenue Bonds, Series A, 5.000% due 6/15/33 | | | | | 2,785,153 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| New York – (continued) | | |||||||||||||||
| | | | | | | | | | New York State Thruway Authority Highway & Bridge Trust Fund, Revenue Bonds: | | ||||||
| | $ | 235,000 | | | | AA+ | | | Series A, Prerefunded 4/1/20 @ 100, 5.000% due 4/1/23(c) | | | | $ | 240,320 | | |
| | | 65,000 | | | | AA+ | | | Series A1, 5.000% due 4/1/20 | | | | | 66,464 | | |
| | | 60,000 | | | | AA+ | | | Series A1, 5.000% due 4/1/21 | | | | | 63,682 | | |
| | | | | | | | | | New York State Urban Development Corp., Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AA+ | | | Series A, 5.000% due 3/15/20 | | | | | 5,105,300 | | |
| | | 285,000 | | | | AA+ | | | Series A, 5.000% due 3/15/22 | | | | | 304,611 | | |
| | | 80,000 | | | | AA+ | | | Series A, 5.000% due 3/15/32 | | | | | 99,997 | | |
| | | | | | | | | | New York Transportation Development Corp., Revenue Bonds: | | | | | | | |
| | | 245,000 | | | | Baa3(a) | | | 5.000% due 7/1/41(d) | | | | | 275,517 | | |
| | | 395,000 | | | | Baa3(a) | | | 5.250% due 1/1/50(d) | | | | | 445,209 | | |
| | | 5,000,000 | | | | AA- | | | Port Authority of New York & New Jersey, Revenue Bonds, Series 207, 5.000% due 9/15/24(d) | | | | | 5,899,650 | | |
| | | 400,000 | | | | AA+ | | | Sales Tax Asset Receivable Corp., Revenue Bonds, Series A, 4.000% due 10/15/32 | | | | | 456,448 | | |
| | | | | | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | AA- | | | Series B, 5.000% due 11/15/23 | | | | | 99,046 | | |
| | | 115,000 | | | | AA- | | | Series B, 5.000% due 11/15/24 | | | | | 133,693 | | |
| | | | | | | | | | Total New York | | | | | 125,335,181 | | |
| North Carolina – 2.2% | | |||||||||||||||
| | | | | | | | | | County of New Hanover NC, Revenue Bonds: | | | | | | | |
| | | 25,000 | | | | A+ | | | 5.000% due 10/1/27 | | | | | 31,176 | | |
| | | 205,000 | | | | A+ | | | 5.000% due 10/1/47 | | | | | 240,420 | | |
| | | 100,000 | | | | BBB | | | Nash Health Care Systems, Revenue Bonds, 5.000% due 11/1/41 | | | | | 106,320 | | |
| | | | | | | | | | North Carolina Medical Care Commission, Revenue Bonds: | | | | | | | |
| | | 655,000 | | | | A | | | 2.200% due 12/1/48(b) | | | | | 666,089 | | |
| | | 175,000 | | | | A | | | 5.000% due 6/1/21 | | | | | 179,984 | | |
| | | 115,000 | | | | A | | | 5.000% due 6/1/22 | | | | | 118,250 | | |
| | | 15,000 | | | | A | | | North Carolina Municipal Power Agency No 1, Revenue Bonds, Series A, 5.000% due 1/1/30 | | | | | 15,040 | | |
| | | | | | | | | | State of North Carolina, Revenue Bonds: | | | | | | | |
| | | 330,000 | | | | AA | | | 5.000% due 3/1/22 | | | | | 361,505 | | |
| | | 290,000 | | | | AA | | | 5.000% due 3/1/23 | | | | | 328,532 | | |
| | | 6,500,000 | | | | AAA | | | State of North Carolina, GO, Series A, 5.000% due 6/1/26 | | | | | 8,165,950 | | |
| | | 10,000,000 | | | | AAA | | | University of North Carolina at Chapel Hill, Revenue Bonds, Series B, 1.844% (1-Month USD-LIBOR) due 12/1/34(b) | | | | | 10,007,700 | | |
| | | | | | | | | | Total North Carolina | | | | | 20,220,966 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – 1.1% | | |||||||||||||||
| | $ | 1,605,000 | | | | Baa2(a) | | | Akron Bath Copley Joint Township Hospital District, Revenue Bonds, 5.250% due 11/15/46 | | | | $ | 1,908,056 | | |
| | | | | | | | | | American Municipal Power, Inc., Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | A | | | Series A, 2.300% due 2/15/38(b) | | | | | 814,952 | | |
| | | 45,000 | | | | A | | | Series B, 5.000% due 2/15/21 | | | | | 47,519 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 2/15/22 | | | | | 65,613 | | |
| | | 65,000 | | | | A | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | | 71,071 | | |
| | | 60,000 | | | | A | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/24(c) | | | | | 65,604 | | |
| | | 10,000 | | | | NR | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 10,934 | | |
| | | 40,000 | | | | A | | | 5.000% due 2/15/42 | | | | | 43,016 | | |
| | | | | | | | | | City of Cleveland OH Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/26 | | | | | 35,602 | | |
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/28 | | | | | 53,077 | | |
| | | 65,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/29 | | | | | 76,448 | | |
| | | 60,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/30 | | | | | 70,307 | | |
| | | | | | | | | | Cleveland Department of Public Utilities Division of Water, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/26(c) | | | | | 38,192 | | |
| | | 45,000 | | | | AA | | | Series A, Prerefunded 1/1/22 @ 100, 5.000% due 1/1/27(c) | | | | | 49,104 | | |
| | | 55,000 | | | | AA | | | Columbus City School District, GO, 5.000% due 12/1/32 | | | | | 67,202 | | |
| | | 80,000 | | | | A+ | | | County of Allen OH Hospital Facilities Revenue, Revenue Bonds, Series B, 5.000% due 8/1/47(b) | | | | | 87,771 | | |
| | | | | | | | | | County of Fairfield OH, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | Baa3(a) | | | 5.000% due 6/15/25 | | | | | 77,404 | | |
| | | 75,000 | | | | Baa3(a) | | | 5.000% due 6/15/26 | | | | | 82,712 | | |
| | | 80,000 | | | | Baa3(a) | | | 5.000% due 6/15/27 | | | | | 87,913 | | |
| | | 85,000 | | | | Baa3(a) | | | 5.000% due 6/15/28 | | | | | 93,095 | | |
| | | | | | | | | | County of Franklin OH, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa2(a) | | | 5.000% due 11/1/25 | | | | | 73,416 | | |
| | | 60,000 | | | | Aa2(a) | | | 5.000% due 11/1/26 | | | | | 75,280 | | |
| | | 65,000 | | | | Baa1(a) | | | County of Lake OH, Revenue Bonds, 5.000% due 8/15/27 | | | | | 76,901 | | |
| | | 135,000 | | | | BBB | | | County of Lucas OH, Revenue Bonds, Series A, Prerefunded 11/15/21 @ 100, 6.500% due 11/15/37(c) | | | | | 150,686 | | |
| | | | | | | | | | County of Muskingum OH, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | BB+ | | | 5.000% due 2/15/20 | | | | | 35,463 | | |
| | | 170,000 | | | | BB+ | | | 5.000% due 2/15/27 | | | | | 186,995 | | |
| | | 465,000 | | | | A3(a) | | | County of Scioto OH, Revenue Bonds, 5.000% due 2/15/29 | | | | | 538,892 | | |
| | | | | | | | | | County of Wood OH, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | Ba2(a) | | | 5.000% due 12/1/32 | | | | | 21,363 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Ohio – (continued) | | |||||||||||||||
| | $ | 25,000 | | | | Ba2(a) | | | 5.000% due 12/1/42 | | | | $ | 26,435 | | |
| | | 140,000 | | | | A | | | Ohio Higher Educational Facility Commission, Revenue Bonds, Series A, 5.250% due 1/15/21 | | | | | 142,071 | | |
| | | 60,000 | | | | Aaa(a) | | | Ohio Housing Finance Agency, Revenue Bonds, 4.500% due 3/1/50 | | | | | 67,854 | | |
| | | | | | | | | | Ohio State Building Authority, Revenue Bonds: | | | | | | | |
| | | 235,000 | | | | AA | | | Series B, 5.000% due 10/1/21 | | | | | 235,688 | | |
| | | 60,000 | | | | AA | | | Series B, 5.000% due 10/1/22 | | | | | 60,176 | | |
| | | 85,000 | | | | AA | | | Series B, 5.000% due 10/1/23 | | | | | 85,249 | | |
| | | 335,000 | | | | A+ | | | Ohio Turnpike & Infrastructure Commission, Revenue Bonds, Series A2, zero coupon, due 2/15/42 | | | | | 180,880 | | |
| | | 2,000,000 | | | | AAA | | | Ohio Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, Series A, 1.320% due 12/1/36(b) | | | | | 2,000,000 | | |
| | | 1,500,000 | | | | AAA | | | State of Ohio, GO, Series U, 5.000% due 5/1/28 | | | | | 1,966,545 | | |
| | | | | | | | | | State of Ohio, Revenue Bonds: | | | | | | | |
| | | 75,000 | | | | AA | | | 5.000% due 1/1/27 | | | | | 94,764 | | |
| | | 145,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 186,651 | | |
| | | | | | | | | | Total Ohio | | | | | 10,050,901 | | |
| Oklahoma – 0.3% | | |||||||||||||||
| | | 560,000 | | | | AA- | | | Canadian County Educational Facilities Authority, Revenue Bonds, 5.000% due 9/1/26 | | | | | 693,532 | | |
| | | | | | | | | | Grand River Dam Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA- | | | Series A, 5.000% due 6/1/27 | | | | | 41,143 | | |
| | | 45,000 | | | | AA- | | | Series A, 5.000% due 6/1/28 | | | | | 52,814 | | |
| | | | | | | | | | Oklahoma City Public Property Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/1/25 | | | | | 36,448 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/1/26 | | | | | 54,397 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/1/27 | | | | | 42,242 | | |
| | | | | | | | | | Oklahoma Development Finance Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | BB+ | | | Series B, 5.000% due 8/15/27 | | | | | 37,016 | | |
| | | 30,000 | | | | BB+ | | | Series B, 5.000% due 8/15/28 | | | | | 37,707 | | |
| | | 10,000 | | | | BB+ | | | Series B, 5.000% due 8/15/29 | | | | | 12,464 | | |
| | | 90,000 | | | | WR(a) | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/23(c) | | | | | 98,406 | | |
| | | 210,000 | | | | WR(a) | | | Series Prerefunded 2/15/22 @ 100, 5.000% due 2/15/42(c) | | | | | 229,614 | | |
| | | | | | | | | | Oklahoma Municipal Power Authority, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | Series A, 5.000% due 1/1/26 | | | | | 59,252 | | |
| | | 175,000 | | | | A | | | Series A, 5.000% due 1/1/27 | | | | | 206,946 | | |
| | | 60,000 | | | | A | | | Series A, 5.000% due 1/1/28 | | | | | 70,837 | | |
| | | 45,000 | | | | A | | | Series A, 5.000% due 1/1/29 | | | | | 53,077 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Oklahoma – (continued) | | |||||||||||||||
| | $ | 115,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/21 | | | | $ | 116,464 | | |
| | | 360,000 | | | | AA | | | Series A, AGM, 5.000% due 1/1/22 | | | | | 364,558 | | |
| | | 60,000 | | | | A | | | Series B, 5.000% due 1/1/27 | | | | | 70,953 | | |
| | | | | | | | | | Total Oklahoma | | | | | 2,277,870 | | |
| Oregon – 1.0% | | |||||||||||||||
| | | 20,000 | | | | NR | | | Clackamas County Hospital Facility Authority, Revenue Bonds, 3.000% due 11/15/22 | | | | | 20,041 | | |
| | | 3,800,000 | | | | A+ | | | Oregon State Business Development Commission, Revenue Bonds, Series 232, 2.400% due 12/1/40(b) | | | | | 3,951,012 | | |
| | | 2,675,000 | | | | AA+ | | | Salem-Keizer School District No 24J, GO, 5.000% due 6/15/32 | | | | | 3,445,266 | | |
| | | 1,035,000 | | | | AA+ | | | State of Oregon, GO, Series A, 5.000% due 5/1/20 | | | | | 1,062,014 | | |
| | | 85,000 | | | | Aa1(a) | | | Washington County School District No 1 West Union, GO, 5.000% due 6/15/30 | | | | | 107,665 | | |
| | | | | | | | | | Total Oregon | | | | | 8,585,998 | | |
| Pennsylvania – 2.1% | | |||||||||||||||
| | | 600,000 | | | | A+ | | | Allegheny County Hospital Development Authority, Revenue Bonds, 5.000% due 7/15/25 | | | | | 727,356 | | |
| | | | | | | | | | City of Philadelphia PA, GO: | | | | | | | |
| | | 195,000 | | | | A | | | Series A, 5.000% due 8/1/20 | | | | | 201,852 | | |
| | | 550,000 | | | | A | | | Series A, 5.000% due 8/1/22 | | | | | 608,768 | | |
| | | 1,000,000 | | | | A | | | Series B, 5.000% due 2/1/24 | | | | �� | 1,160,210 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 8/1/27 | | | | | 102,440 | | |
| | | 300,000 | | | | A | | | Series B, 5.000% due 8/1/29 | | | | | 357,675 | | |
| | | 320,000 | | | | A | | | Series B, 5.000% due 8/1/30 | | | | | 380,032 | | |
| | | 335,000 | | | | A | | | Series B, 5.000% due 8/1/31 | | | | | 396,385 | | |
| | | | | | | | | | City of Philadelphia PA Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A | | | Series B, 5.000% due 7/1/30(d) | | | | | 61,721 | | |
| | | 70,000 | | | | A | | | Series B, 5.000% due 7/1/31(d) | | | | | 85,887 | | |
| | | | | | | | | | Commonwealth Financing Authority, Revenue Bonds: | | | | | | | |
| | | 1,010,000 | | | | A | | | Series A, 5.000% due 6/1/28 | | | | | 1,264,530 | | |
| | | 500,000 | | | | A | | | Series B, 5.000% due 6/1/25 | | | | | 593,025 | | |
| | | | | | | | | | Commonwealth of Pennsylvania, GO: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 7/1/21 | | | | | 64,239 | | |
| | | 110,000 | | | | A+ | | | 5.000% due 3/15/31 | | | | | 130,502 | | |
| | | 3,070,000 | | | | A+ | | | 5.000% due 1/15/24 | | | | | 3,572,651 | | |
| | | 290,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 333,317 | | |
| | | 810,000 | | | | A+ | | | 5.000% due 9/15/29 | | | | | 1,002,302 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | $ | 220,000 | | | | NR | | | Erie County Hospital Authority, Revenue Bonds, Series A, Prerefunded 7/1/20 @ 100, 7.000% due 7/1/27(c) | | | | $ | 230,494 | | |
| | | | | | | | | | General Authority of Southcentral Pennsylvania, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | Aa3(a) | | | 5.000% due 6/1/38 | | | | | 239,493 | | |
| | | 310,000 | | | | Aa3(a) | | | 5.000% due 6/1/39 | | | | | 389,732 | | |
| | | | | | | | | | Lehigh County Industrial Development Authority, Revenue Bonds: | | | | | | | |
| | | 165,000 | | | | A | | | 1.800% due 2/15/27(b) | | | | | 167,150 | | |
| | | 1,375,000 | | | | A | | | Series A, 1.800% due 9/1/29(b) | | | | | 1,386,302 | | |
| | | 95,000 | | | | A+ | | | Monroeville Finance Authority, Revenue Bonds, 5.000% due 2/15/26 | | | | | 116,830 | | |
| | | | | | | | | | Montgomery County Higher Education & Health Authority, Revenue Bonds: | | | | | | | |
| | | 325,000 | | | | A | | | 5.000% due 9/1/33 | | | | | 412,662 | | |
| | | 115,000 | | | | A | | | Series A, AMBAC, 6.000% due 6/1/22(f) | | | | | 126,948 | | |
| | | 10,000 | | | | BBB- | | | 5.000% due 10/1/23 | | | | | 11,105 | | |
| | | 40,000 | | | | BBB- | | | 5.000% due 10/1/28 | | | | | 46,770 | | |
| | | 45,000 | | | | BBB- | | | 5.000% due 10/1/29 | | | | | 52,378 | | |
| | | 140,000 | | | | BBB- | | | 5.000% due 10/1/32 | | | | | 160,908 | | |
| | | 225,000 | | | | BBB- | | | 5.000% due 10/1/36 | | | | | 256,221 | | |
| | | 500,000 | | | | BBB- | | | 5.000% due 10/1/40 | | | | | 565,595 | | |
| | | | | | | | | | Northampton County General Purpose Authority, Revenue Bonds: | | | | | | | |
| | | 1,000,000 | | | | A+ | | | 5.000% due 11/1/27 | | | | | 1,286,870 | | |
| | | 75,000 | | | | A- | | | 4.000% due 8/15/48 | | | | | 81,345 | | |
| | | | | | | | | | Pennsylvania Economic Development Financing Authority, Revenue Bonds: | | | | | | | |
| | | 300,000 | | | | BBB+ | | | 1.500% due 4/1/49(b)(d)(f) | | | | | 300,018 | | |
| | | 90,000 | | | | A | | | 5.000% due 3/1/21 | | | | | 94,739 | | |
| | | 60,000 | | | | A | | | 5.000% due 3/1/22 | | | | | 65,248 | | |
| | | 165,000 | | | | A- | | | Series A, 1.700% due 8/1/37(b)(d) | | | | | 165,299 | | |
| | | | | | | | | | Pennsylvania Higher Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/27 | | | | | 44,823 | | |
| | | 35,000 | | | | AA | | | Series A, 5.000% due 8/15/28 | | | | | 44,360 | | |
| | | 60,000 | | | | AA | | | Series A, 5.000% due 8/15/30 | | | | | 75,183 | | |
| | | | | | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/22 | | | | | 16,858 | | |
| | | 15,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/23 | | | | | 17,396 | | |
| | | 45,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/29 | | | | | 56,994 | | |
| | | 30,000 | | | | A1(a) | | | Series A1, 5.000% due 12/1/34 | | | | | 37,187 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/28 | | | | | 44,509 | | |
| | | 35,000 | | | | A | | | Series A2, 5.000% due 12/1/33 | | | | | 43,457 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Pennsylvania – (continued) | | |||||||||||||||
| | | | | | | | | | Philadelphia Gas Works Co., Revenue Bonds: | | ||||||
| | $ | 30,000 | | | | A | | | 5.000% due 8/1/23 | | | | $ | 34,264 | | |
| | | 20,000 | | | | A | | | 5.000% due 8/1/24 | | | | | 23,483 | | |
| | | 25,000 | | | | A | | | 5.000% due 8/1/25 | | | | | 30,045 | | |
| | | | | | | | | | Pittsburgh School District, GO: | | | | | | | |
| | | 45,000 | | | | AA | | | Series A, AGM, 5.000% due 9/1/19 | | | | | 45,000 | | |
| | | 30,000 | | | | AA | | | Series A, AGM, 5.000% due 9/1/20 | | | | | 31,166 | | |
| | | 250,000 | | | | AA | | | Pittsburgh Water & Sewer Authority, Revenue Bonds, Series A, AGM, 5.000% due 9/1/44 | | | | | 313,315 | | |
| | | | | | | | | | School District of Philadelphia, GO: | | | | | | | |
| | | 405,000 | | | | A2(a) | | | Series C, 5.000% due 9/1/20 | | | | | 419,839 | | |
| | | 175,000 | | | | A2(a) | | | Series C, 5.000% due 9/1/21 | | | | | 181,515 | | |
| | | | | | | | | | State Public School Building Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A2(a) | | | 5.000% due 6/1/26 | | | | | 47,524 | | |
| | | 180,000 | | | | AA | | | 5.000% due 12/1/28 | | | | | 221,186 | | |
| | | 130,000 | | | | AA | | | 5.000% due 12/1/33 | | | | | 155,602 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 19,082,705 | | |
| Rhode Island – 0.4% | | |||||||||||||||
| | | | | | | | | | Rhode Island Health & Educational Building Corp., Revenue Bonds: | | | | | | | |
| | | 2,000,000 | | | | AA+ | | | Series A, 5.000% due 9/1/29 | | | | | 2,578,500 | | |
| | | 240,000 | | | | AA | | | 5.000% due 5/15/25 | | | | | 287,505 | | |
| | | 195,000 | | | | BB- | | | 5.000% due 9/1/31 | | | | | 226,093 | | |
| | | 165,000 | | | | BBB+ | | | 5.000% due 5/15/39 | | | | | 191,732 | | |
| | | 155,000 | | | | AA+ | | | Rhode Island Housing & Mortgage Finance Corp./RI, Revenue Bonds, 4.000% due 10/1/49 | | | | | 171,449 | | |
| | | 105,000 | | | | AA | | | Rhode Island Student Loan Authority, Revenue Bonds, Series A, 3.500% due 12/1/34(d) | | | | | 111,644 | | |
| | | | | | | | | | Tobacco Settlement Financing Corp., Revenue Bonds: | | | | | | | |
| | | 55,000 | | | | BBB+ | | | Series A, 5.000% due 6/1/27 | | | | | 63,842 | | |
| | | 70,000 | | | | BBB | | | Series A, 5.000% due 6/1/28 | | | | | 81,029 | | |
| | | | | | | | | | Total Rhode Island | | | | | 3,711,794 | | |
| South Carolina – 3.2% | | |||||||||||||||
| | | | | | | | | | Beaufort-Jasper Water & Sewer Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/22 | | | | | 32,911 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/24 | | | | | 35,167 | | |
| | | 30,000 | | | | AA | | | Series B, 5.000% due 3/1/25 | | | | | 36,227 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Carolina – (continued) | | |||||||||||||||
| | | | | | | | | | County of Charleston SC, GO: | | ||||||
| | $ | 4,385,000 | | | | AAA | | | 5.000% due 11/1/22 | | | | $ | 4,923,303 | | |
| | | 2,500,000 | | | | AAA | | | Series C, 5.000% due 11/1/27 | | | | | 3,250,900 | | |
| | | 13,000,000 | | | | Aa2(a) | | | Patriots Energy Group Financing Agency, Revenue Bonds, Series A, 4.000% due 10/1/48(b) | | | | | 14,346,670 | | |
| | | | | | | | | | Scago Educational Facilities Corp. for Colleton School District, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | A- | | | 5.000% due 12/1/27 | | | | | 136,795 | | |
| | | 95,000 | | | | A- | | | 5.000% due 12/1/29 | | | | | 112,516 | | |
| | | | | | | | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 200,000 | | | | A+ | | | Prerefunded 11/1/22 @ 100, 5.000% due 11/1/28(c) | | | | | 224,276 | | |
| | | 65,000 | | | | A+ | | | 5.000% due 2/1/22 | | | | | 70,547 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 2/1/24 | | | | | 34,500 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/25 | | | | | 59,072 | | |
| | | 50,000 | | | | A+ | | | 5.000% due 2/1/26 | | | | | 60,501 | | |
| | | | | | | | | | South Carolina Ports Authority, Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A+ | | | 5.000% due 7/1/28(d) | | | | | 83,348 | | |
| | | 140,000 | | | | A+ | | | 5.000% due 7/1/30(d) | | | | | 177,479 | | |
| | | | | | | | | | South Carolina Public Service Authority, Revenue Bonds: | | | | | | | |
| | | 2,080,000 | | | | A | | | Series A, 5.000% due 12/1/49 | | | | | 2,335,840 | | |
| | | 515,000 | | | | A | | | Series A, 5.500% due 12/1/54 | | | | | 588,619 | | |
| | | 185,000 | | | | A | | | Series B, 5.000% due 12/1/35 | | | | | 223,054 | | |
| | | 275,000 | | | | A | | | Series B, 5.000% due 12/1/36 | | | | | 330,770 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/25 | | | | | 135,778 | | |
| | | 115,000 | | | | A | | | Series C, 5.000% due 12/1/26 | | | | | 135,582 | | |
| | | 90,000 | | | | A | | | Series C, 5.000% due 12/1/27 | | | | | 105,828 | | |
| | | 105,000 | | | | A | | | Series C, 5.000% due 12/1/46 | | | | | 119,476 | | |
| | | 190,000 | | | | A | | | Series E, 5.500% due 12/1/53 | | | | | 214,761 | | |
| | | 355,000 | | | | A | | | Series A, 5.000% due 12/1/50 | | | | | 406,891 | | |
| | | 230,000 | | | | Aaa(a) | | | South Carolina State Housing Finance & Development Authority, Revenue Bonds, Series A, 4.000% due 1/1/50 | | | | | 256,549 | | |
| | | 50,000 | | | | A1(a) | | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Series A, 5.000% due 10/1/25 | | | | | 61,106 | | |
| | | | | | | | | | Total South Carolina | | | | | 28,498,466 | | |
| South Dakota – 0.0% | | |||||||||||||||
| | | | | | | | | | South Dakota Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 5.000% due 7/1/23 | | | | | 34,187 | | |
| | | 15,000 | | | | AA- | | | 5.000% due 7/1/24 | | | | | 17,615 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| South Dakota – (continued) | | |||||||||||||||
| | $ | 10,000 | | | | AA- | | | 5.000% due 7/1/27 | | | | $ | 12,594 | | |
| | | 50,000 | | | | AA- | | | 5.000% due 7/1/33 | | | | | 61,048 | | |
| | | 40,000 | | | | AA- | | | 5.000% due 7/1/35 | | | | | 48,570 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/24 | | | | | 41,413 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/25 | | | | | 41,441 | | |
| | | 5,000 | | | | A+ | | | Series B, 5.000% due 11/1/26 | | | | | 5,896 | | |
| | | | | | | | | | Total South Dakota | | | | | 262,764 | | |
| Tennessee – 1.0% | | |||||||||||||||
| | | | | | | | | | Greeneville Health & Educational Facilities Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 7/1/29 | | | | | 37,818 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 7/1/30 | | | | | 43,785 | | |
| | | | | | | | | | Knox County Health Educational & Housing Facility Board, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | BBB | | | 5.000% due 4/1/24 | | | | | 34,123 | | |
| | | 40,000 | | | | BBB | | | 5.000% due 4/1/25 | | | | | 46,586 | | |
| | | 35,000 | | | | BBB | | | 5.000% due 9/1/22 | | | | | 38,250 | | |
| | | 30,000 | | | | BBB | | | 5.000% due 9/1/24 | | | | | 34,480 | | |
| | | 145,000 | | | | A | | | Memphis-Shelby County Airport Authority, Revenue Bonds, Series B, 5.625% due 7/1/20(d) | | | | | 150,114 | | |
| | | 6,240,000 | | | | Aa2(a) | | | Tennergy Corp., Revenue Bonds, Series A, 5.000% due 2/1/50(b) | | | | | 7,289,007 | | |
| | | | | | | | | | Tennessee Energy Acquisition Corp., Revenue Bonds: | | | | | | | |
| | | 675,000 | | | | A3(a) | | | 4.000% due 11/1/49(b) | | | | | 758,464 | | |
| | | 350,000 | | | | A3(a) | | | Series A, 4.000% due 5/1/48(b) | | | | | 378,777 | | |
| | | | | | | | | | Total Tennessee | | | | | 8,811,404 | | |
| Texas – 13.2% | | |||||||||||||||
| | | 1,895,000 | | | | AAA | | | Alamo Community College District, GO, 5.000% due 8/15/34 | | | | | 2,380,461 | | |
| | | 40,000 | | | | AA- | | | Austin Community College District, Revenue Bonds AMBAC, zero coupon, due 2/1/22 | | | | | 38,693 | | |
| | | 2,525,000 | | | | Aa3(a) | | | Brownsville Independent School District, GO, 4.000% due 8/15/22 | | | | | 2,730,838 | | |
| | | | | | | | | | Central Texas Regional Mobility Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A- | | | 5.000% due 1/1/31 | | | | | 83,179 | | |
| | | 145,000 | | | | A- | | | 5.000% due 1/1/32 | | | | | 171,643 | | |
| | | 95,000 | | | | A- | | | 5.000% due 1/1/35 | | | | | 111,573 | | |
| | | 45,000 | | | | A- | | | 5.000% due 1/1/36 | | | | | 52,766 | | |
| | | 35,000 | | | | A- | | | Series A, 5.000% due 1/1/31 | | | | | 41,138 | | |
| | | 30,000 | | | | A- | | | Series A, 5.000% due 1/1/32 | | | | | 35,137 | | |
| | | 60,000 | | | | A- | | | Series A, 5.000% due 1/1/34 | | | | | 69,914 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 160,000 | | | | A- | | | Series A, 5.000% due 1/1/40 | | | | $ | 184,462 | | |
| | | 510,000 | | | | A- | | | Central Texas Turnpike System, Revenue Bonds, Series A, 5.000% due 8/15/42(b) | | | | | 520,889 | | |
| | | 90,000 | | | | AA | | | City of Arlington TX, Special Tax, Series C, 5.000% due 2/15/45 | | | | | 93,956 | | |
| | | 80,000 | | | | A | | | City of Austin TX Airport System Revenue, Revenue Bonds, 5.000% due 11/15/29(d) | | | | | 93,492 | | |
| | | 45,000 | | | | AA | | | City of Austin TX Electric Utility Revenue, Revenue Bonds, Series A, 5.000% due 11/15/23 | | | | | 50,319 | | |
| | | | | | | | | | City of Dallas TX, GO: | | | | | | | |
| | | 2,060,000 | | | | AA- | | | 5.000% due 2/15/25 | | | | | 2,467,365 | | |
| | | 170,000 | | | | AA- | | | 5.000% due 2/15/24 | | | | | 197,871 | | |
| | | 130,000 | | | | AA- | | | 5.000% due 2/15/23 | | | | | 142,259 | | |
| | | | | | | | | | City of Houston TX, GO: | | | | | | | |
| | | 60,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/23 | | | | | 67,840 | | |
| | | 2,290,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/24 | | | | | 2,666,911 | | |
| | | 120,000 | | | | Aa3(a) | | | Series A, 5.000% due 3/1/25 | | | | | 143,917 | | |
| | | | | | | | | | City of Houston TX Airport System Revenue, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/26(d) | | | | | 61,226 | | |
| | | 60,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/27(d) | | | | | 74,959 | | |
| | | 30,000 | | | | A1(a) | | | Series A, 5.000% due 7/1/28(d) | | | | | 38,213 | | |
| | | 230,000 | | | | A+ | | | Series A, 5.000% due 7/1/20(d) | | | | | 237,227 | | |
| | | 350,000 | | | | A+ | | | Series A, 5.000% due 7/1/23(d) | | | | | 385,934 | | |
| | | 90,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/28 | | | | | 116,695 | | |
| | | 360,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/29 | | | | | 464,001 | | |
| | | 190,000 | | | | A1(a) | | | Series B, 5.000% due 7/1/30 | | | | | 243,192 | | |
| | | 2,000,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/24 | | | | | 2,354,860 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/25 | | | | | 1,816,365 | | |
| | | 1,500,000 | | | | A1(a) | | | Series D, 5.000% due 7/1/26 | | | | | 1,864,260 | | |
| | | | | | | | | | City of Houston TX Combined Utility System Revenue, Revenue Bonds: | | | | | | | |
| | | 250,000 | | | | Aa2(a) | | | Series B, 4.000% due 11/15/21 | | | | | 265,845 | | |
| | | 70,000 | | | | Aa2(a) | | | Series B, 5.000% due 11/15/33 | | | | | 86,297 | | |
| | | 75,000 | | | | AA | | | Series C, 5.000% due 5/15/28 | | | | | 87,986 | | |
| | | 1,040,000 | | | | AAA | | | City of Irving TX, GO, 5.500% due 8/15/23 | | | | | 1,215,760 | | |
| | | | | | | | | | City of San Antonio TX Electric & Gas Systems Revenue, Revenue Bonds: | | | | | | | |
| | | 1,500,000 | | | | AA- | | | 2.750% due 2/1/48(b) | | | | | 1,565,940 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/29 | | | | | 57,409 | | |
| | | 30,000 | | | | AA | | | 5.000% due 2/1/30 | | | | | 38,069 | | |
| | | 45,000 | | | | AA | | | 5.000% due 2/1/31 | | | | | 56,859 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 35,000 | | | | AA | | | 5.000% due 2/1/33 | | | | $ | 43,838 | | |
| | | 90,000 | | | | AA | | | 5.250% due 2/1/25 | | | | | 109,532 | | |
| | | 205,000 | | | | AA- | | | Series B, 2.000% due 2/1/33(b) | | | | | 207,112 | | |
| | | | | | | | | | County of Harris TX, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | Series C, 5.000% due 8/15/24 | | | | | 33,266 | | |
| | | 110,000 | | | | AA- | | | Series C, 5.000% due 8/15/25 | | | | | 121,907 | | |
| | | | | | | | | | County of Travis TX, GO: | | | | | | | |
| | | 1,490,000 | | | | AAA | | | Series A, 5.000% due 3/1/38 | | | | | 1,902,864 | | |
| | | 85,000 | | | | AAA | | | Series A, 5.000% due 3/1/24 | | | | | 99,396 | | |
| | | 2,215,000 | | | | AAA | | | County of Williamson TX, GO, 5.000% due 2/15/30 | | | | | 2,775,395 | | |
| | | | | | | | | | Cypress-Fairbanks Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 9,000,000 | | | | AAA | | | Series B1, 2.125% due 2/15/40(b) | | | | | 9,147,690 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 158,859 | | |
| | | 145,000 | | | | AAA | | | 5.000% due 2/15/23 | | | | | 164,236 | | |
| | | 725,000 | | | | AAA | | | 5.000% due 2/15/24 | | | | | 847,634 | | |
| | | 620,000 | | | | AAA | | | 5.000% due 2/15/25 | | | | | 746,591 | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/27 | | | | | 129,353 | | |
| | | 90,000 | | | | AAA | | | Series C, 5.000% due 2/15/44 | | | | | 102,757 | | |
| | | 165,000 | | | | AAA | | | Series B2, 1.400% due 2/15/40(b) | | | | | 165,203 | | |
| | | 180,000 | | | | AAA | | | Series B3, 1.400% due 2/15/44(b) | | | | | 180,221 | | |
| | | 210,000 | | | | AA+ | | | Dallas Area Rapid Transit, Revenue Bonds AMBAC, 5.250% due 12/1/29 | | | | | 286,810 | | |
| | | 185,000 | | | | A2(a) | | | Dallas County Utility & Reclamation District, GO, 5.000% due 2/15/24 | | | | | 214,112 | | |
| | | | | | | | ��� | | Dallas Independent School District, GO: | | | | | | | |
| | | 85,000 | | | | AAA | | | PSF-GTD, 5.000% due 2/15/36(b) | | | | | 92,477 | | |
| | | 20,000 | | | | Aaa(a) | | | Prerefunded 2/15/22 @ 100, 5.000% due 2/15/36(c) | | | | | 21,868 | | |
| | | | | | | | | | Dallas Love Field, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A | | | 5.000% due 11/1/30(d) | | | | | 47,476 | | |
| | | 90,000 | | | | A | | | 5.000% due 11/1/31(d) | | | | | 106,449 | | |
| | | | | | | | | | Dallas/Fort Worth International Airport, Revenue Bonds: | | | | | | | |
| | | 85,000 | | | | A+ | | | Series B, 5.000% due 11/1/26(d) | | | | | 94,648 | | |
| | | 35,000 | | | | A+ | | | Series B, 5.000% due 11/1/27(d) | | | | | 38,927 | | |
| | | 80,000 | | | | A+ | | | Series B, 5.000% due 11/1/28(d) | | | | | 88,844 | | |
| | | 155,000 | | | | A+ | | | Series B, 5.000% due 11/1/30(d) | | | | | 171,222 | | |
| | | 330,000 | | | | A+ | | | Series B, 5.000% due 11/1/31(d) | | | | | 363,465 | | |
| | | 420,000 | | | | A+ | | | Series B, 5.000% due 11/1/32(d) | | | | | 462,046 | | |
| | | 290,000 | | | | A+ | | | Series B, 5.000% due 11/1/33(d) | | | | | 318,658 | | |
| | | 70,000 | | | | A+ | | | Series B, 5.000% due 11/1/34(d) | | | | | 76,804 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 1,500,000 | | | | A+ | | | Series E, 5.000% due 11/1/22(d) | | | | $ | 1,668,285 | | |
| | | 30,000 | | | | A+ | | | Series A, 5.000% due 11/1/19 | | | | | 30,187 | | |
| | | 85,000 | | | | AAA | | | Denton Independent School District, GO, PSF-GTD, zero coupon, due 8/15/25 | | | | | 78,157 | | |
| | | | | | | | | | Fort Bend Independent School District, GO: | | | | | | | |
| | | 160,000 | | | | AAA | | | Series D, PSF-GTD, 1.500% due 8/1/42(b) | | | | | 160,475 | | |
| | | 80,000 | | | | AAA | | | Series C, PSF-GTD, 1.350% due 8/1/42(b) | | | | | 80,158 | | |
| | | | | | | | | | Fort Worth Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 105,000 | | | | AAA | | | 5.000% due 2/15/26 | | | | | 130,155 | | |
| | | 80,000 | | | | AAA | | | 5.000% due 2/15/22 | | | | | 87,544 | | |
| | | | | | | | | | Grand Parkway Transportation Corp., Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | BBB | | | Series A, 5.125% due 10/1/43 | | | | | 78,161 | | |
| | | 170,000 | | | | BBB | | | Series A, 5.500% due 4/1/53 | | | | | 192,935 | | |
| | | 150,000 | | | | AA+ | | | Series A, 5.000% due 10/1/31 | | | | | 191,220 | | |
| | | 125,000 | | | | AA+ | | | Series A, 5.000% due 10/1/32 | | | | | 158,821 | | |
| | | 190,000 | | | | AA+ | | | Series A, 5.000% due 10/1/33 | | | | | 240,856 | | |
| | | 145,000 | | | | AA+ | | | Series A, 5.000% due 10/1/34 | | | | | 183,093 | | |
| | | 1,210,000 | | | | AA+ | | | Series B, 5.000% due 10/1/52(b) | | | | | 1,381,832 | | |
| | | 35,000 | | | | AA+ | | | Series B, 5.000% due 4/1/53 | | | | | 39,333 | | |
| | | 70,000 | | | | AA+ | | | Series B, 5.250% due 10/1/51 | | | | | 80,075 | | |
| | | 940,000 | | | | WR(a) | | | Gregg County Health Facilities Development Corp., Revenue Bonds, Series C, Prerefunded 7/1/22 @ 100, 5.000% due 7/1/42(c) | | | | | 1,039,743 | | |
| | | | | | | | | | Harris County Flood Control District, Revenue Bonds: | | | | | | | |
| | | 5,000,000 | | | | AAA | | | Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/39(c) | | | | | 5,209,450 | | |
| | | 1,000,000 | | | | AAA | | | Series A, Prerefunded 10/1/20 @ 100, 5.000% due 10/1/34(c) | | | | | 1,041,890 | | |
| | | 2,000,000 | | | | AAA | | | Houston Independent School District, GO, Series PSF-GTD, 5.000% due 2/15/36 | | | | | 2,505,000 | | |
| | | | | | | | | | Irving Hospital Authority, Revenue Bonds: | | | | | | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/24 | | | | | 17,499 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/26 | | | | | 24,299 | | |
| | | 15,000 | | | | A+ | | | 5.000% due 10/15/27 | | | | | 18,129 | | |
| | | 20,000 | | | | A+ | | | 5.000% due 10/15/29 | | | | | 23,986 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/31 | | | | | 35,492 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 10/15/35 | | | | | 46,627 | | |
| | | 30,000 | | | | A+ | | | 5.000% due 10/15/36 | | | | | 34,893 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 10/15/39 | | | | | 40,426 | | |
| | | 45,000 | | | | A+ | | | 5.000% due 10/15/44 | | | | | 51,561 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | | | | | | | | | Lamar Consolidated Independent School District, GO: | | ||||||
| | $ | 7,280,000 | | | | AAA | | | Series PSF-GTD, 5.000% due 2/15/31 | | | | $ | 9,067,604 | | |
| | | 7,050,000 | | | | AAA | | | Series PSF-GTD, 5.000% due 2/15/34 | | | | | 8,705,410 | | |
| | | 1,225,000 | | | | AA+ | | | Lewisville Independent School District, GO, Series B, 5.000% due 8/15/28 | | | | | 1,482,152 | | |
| | | | | | | | | | Lower Colorado River Authority, Revenue Bonds: | | | | | | | |
| | | 1,135,000 | | | | A | | | 5.000% due 5/15/22 | | | | | 1,208,457 | | |
| | | 135,000 | | | | A | | | 5.000% due 5/15/32 | | | | | 171,674 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/34 | | | | | 88,480 | | |
| | | 70,000 | | | | A | | | 5.000% due 5/15/36 | | | | | 87,971 | | |
| | | 400,000 | | | | A | | | Series B, 5.000% due 5/15/21 | | | | | 411,112 | | |
| | | 195,000 | | | | A | | | Series B, 5.000% due 5/15/25 | | | | | 235,499 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/27 | | | | | 101,750 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 5/15/28 | | | | | 101,095 | | |
| | | 245,000 | | | | A | | | Series B, 5.000% due 5/15/29 | | | | | 292,606 | | |
| | | 25,000 | | | | A | | | Series D, 5.000% due 5/15/22 | | | | | 27,545 | | |
| | | 20,000 | | | | A | | | Series D, 5.000% due 5/15/23 | | | | | 22,763 | | |
| | | 35,000 | | | | A | | | Series D, 5.000% due 5/15/24 | | | | | 41,085 | | |
| | | 40,000 | | | | A | | | Series D, 5.000% due 5/15/26 | | | | | 48,172 | | |
| | | 2,720,000 | | | | AAA | | | Midlothian Independent School District, GO, Series B, PSF-GTD, 2.500% due 8/1/52(b) | | | | | 2,753,565 | | |
| | | | | | | | | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | Aa2(a) | | | Series A, 5.000% due 8/15/24 | | | | | 70,971 | | |
| | | 70,000 | | | | Aa2(a) | | | Series A, 5.000% due 8/15/25 | | | | | 85,196 | | |
| | | 45,000 | | | | Aa2(a) | | | Series A, 5.000% due 8/15/26 | | | | | 56,209 | | |
| | | 45,000 | | | | Aa2(a) | | | Series A, 5.000% due 8/15/27 | | | | | 57,435 | | |
| | | 70,000 | | | | Aa2(a) | | | Series A, 5.000% due 8/15/30 | | | | | 87,417 | | |
| | | | | | | | | | Newark Higher Education Finance Corp., Revenue Bonds: | | | | | | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 4/1/27 | | | | | 77,698 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 4/1/28 | | | | | 47,596 | | |
| | | 125,000 | | | | AAA | | | North East Independent School District, GO, Series B, PSF-GTD, 1.420% due 8/1/40(b) | | | | | 125,024 | | |
| | | | | | | | | | North Harris County Regional Water Authority, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA- | | | 4.000% due 12/15/23 | | | | | 32,701 | | |
| | | 55,000 | | | | AA- | | | 4.000% due 12/15/24 | | | | | 59,856 | | |
| | | | | | | | | | North Texas Tollway Authority, Revenue Bonds: | | | | | | | |
| | | 3,000,000 | | | | A+ | | | Series A, 5.000% due 1/1/38 | | | | | 3,801,750 | | |
| | | 200,000 | | | | A+ | | | Series A, 5.000% due 1/1/39 | | | | | 236,688 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 290,000 | | | | A+ | | | Series B, 5.000% due 1/1/29 | | | | $ | 343,360 | | |
| | | 160,000 | | | | A+ | | | Series B, 5.000% due 1/1/30 | | | | | 189,312 | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 1/1/30 | | | | | 42,413 | | |
| | | 40,000 | | | | A+ | | | Series A, 5.000% due 1/1/33 | | | | | 49,219 | | |
| | | 20,000 | | | | A | | | Series B, 5.000% due 1/1/31 | | | | | 24,017 | | |
| | | 85,000 | | | | A | | | Series B, 5.000% due 1/1/32 | | | | | 104,554 | | |
| | | 50,000 | | | | A+ | | | Series A, 5.000% due 1/1/23 | | | | | 56,333 | | |
| | | 145,000 | | | | A+ | | | Series A, 5.000% due 1/1/24 | | | | | 168,668 | | |
| | | 370,000 | | | | WD(g) | | | Series A, Prerefunded 9/1/21 @ 100, 5.500% due 9/1/41(c) | | | | | 401,831 | | |
| | | 30,000 | | | | WD(g) | | | Series A, Prerefunded 9/1/21 @ 100, 6.000% due 9/1/41(c) | | | | | 32,876 | | |
| | | 685,000 | | | | Aaa(a) | | | Northside Independent School District, GO, PSF-GTD, 2.750% due 8/1/48(b) | | | | | 721,613 | | |
| | | | | | | | | | Permanent University Fund – University of Texas System, Revenue Bonds: | | | | | | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/22 | | | | | 55,457 | | |
| | | 50,000 | | | | Aaa(a) | | | Series B, 5.000% due 7/1/29 | | | | | 62,068 | | |
| | | 430,000 | | | | Aaa(a) | | | Prosper Independent School District, GO, PSF-GTD, 5.000% due 2/15/44 | | | | | 541,017 | | |
| | | 50,000 | | | | AAA | | | Rockwall Independent School District, GO, PSF-GTD, zero coupon, due 2/15/25 | | | | | 46,328 | | |
| | | 1,195,000 | | | | Aaa(a) | | | San Antonio Independent School District, GO, Series A, PSF-GTD, 5.000% due 8/1/28 | | | | | 1,486,520 | | |
| | | | | | | | | | San Antonio Public Facilities Corp., Revenue Bonds: | | | | | | | |
| | | 140,000 | | | | AA+ | | | 5.000% due 9/15/23 | | | | | 155,840 | | |
| | | 215,000 | | | | AA+ | | | 5.000% due 9/15/24 | | | | | 239,187 | | |
| | | 270,000 | | | | AA+ | | | 5.000% due 9/15/25 | | | | | 300,205 | | |
| | | | | | | | | | San Antonio Water System, Revenue Bonds: | | | | | | | |
| | | 175,000 | | | | NR | | | 5.000% due 5/15/22 | | | | | 193,279 | | |
| | | 390,000 | | | | AA | | | Series B, 2.000% due 5/1/44(b) | | | | | 397,344 | | |
| | | 2,000,000 | | | | AA | | | Series A, 5.000% due 5/15/36 | | | | | 2,520,800 | | |
| | | | | | | | | | Sherman Independent School District, GO, PSF-GTD: | | | | | | | |
| | | 2,130,000 | | | | Aaa(a) | | | Series B, 3.000% due 8/1/48(b) | | | | | 2,165,891 | | |
| | | 45,000 | | | | Aaa(a) | | | Series B, Prerefunded 8/1/20 @ 100, 3.000% due 8/1/48(b)(c) | | | | | 45,742 | | |
| | | | | | | | | | Southwest Higher Education Authority, Inc., Revenue Bonds: | | | | | | | |
| | | 90,000 | | | | AA- | | | 5.000% due 10/1/19 | | | | | 90,262 | | |
| | | 65,000 | | | | AA- | | | Prerefunded 10/1/19 @ 100, 5.000% due 10/1/20(c) | | | | | 65,193 | | |
| | | | | | | | | | State of Texas, GO: | | | | | | | |
| | | 240,000 | | | | AAA | | | 1.850% due 8/1/29(b) | | | | | 241,121 | | |
| | | 1,085,000 | | | | AAA | | | 2.250% due 8/1/29(b) | | | | | 1,095,351 | | |
| | | 3,500,000 | | | | Aaa(a) | | | 5.000% due 8/1/21 | | | | | 3,761,999 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 150,000 | | | | AAA | | | 5.000% due 8/1/26(d) | | | | $ | 176,734 | | |
| | | 45,000 | | | | AAA | | | Series A, 5.000% due 8/1/21(d) | | | | | 48,278 | | |
| | | 350,000 | | | | AAA | | | Series B, 5.000% due 8/1/25(d) | | | | | 401,184 | | |
| | | 360,000 | | | | AAA | | | 4.000% due 8/1/21(d) | | | | | 379,447 | | |
| | | 45,000 | | | | AAA | | | Series C, 5.000% due 8/1/20(d) | | | | | 46,573 | | |
| | | 40,000 | | | | AAA | | | Series C, 5.000% due 8/1/21(d) | | | | | 42,914 | | |
| | | 2,500,000 | | | | AAA | | | 5.000% due 10/1/24 | | | | | 2,934,575 | | |
| | | | | | | | | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds: | | | | | | | |
| | | 400,000 | | | | A(g) | | | Series B, 5.000% due 11/15/40 | | | | | 457,948 | | |
| | | 155,000 | | | | A | | | 5.500% due 9/1/43 | | | | | 174,243 | | |
| | | 30,000 | | | | AA- | | | 5.000% due 8/15/25 | | | | | 34,330 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/26 | | | | | 51,364 | | |
| | | 45,000 | | | | AA- | | | 5.000% due 8/15/28 | | | | | 51,141 | | |
| | | 110,000 | | | | AA- | | | 5.000% due 8/15/33 | | | | | 123,613 | | |
| | | 165,000 | | | | AA | | | 5.000% due 2/15/25 | | | | | 197,629 | | |
| | | 60,000 | | | | AA | | | 5.000% due 2/15/34 | | | | | 72,626 | | |
| | | 165,000 | | | | AAA | | | Texas A&M University, Revenue Bonds, Series C, 5.000% due 5/15/23 | | | | | 188,374 | | |
| | | | | | | | | | Texas Department of Housing & Community Affairs, Revenue Bonds: | | | | | | | |
| | | 420,000 | | | | Aaa(a) | | | 2.950% due 7/1/36 | | | | | 442,718 | | |
| | | 440,000 | | | | AA+ | | | Series A, 4.000% due 3/1/50 | | | | | 496,518 | | |
| | | 460,000 | | | | Baa3(a) | | | Texas Private Activity Bond Surface Transportation Corp., Revenue Bonds, 7.000% due 12/31/38(d) | | | | | 544,709 | | |
| | | 600,000 | | | | AA+ | | | Texas Public Finance Authority, Revenue Bonds, 5.000% due 2/1/28 | | | | | 774,876 | | |
| | | 135,000 | | | | Aa2(a) | | | Texas State University System, Revenue Bonds, Series A, 5.000% due 3/15/29 | | | | | 169,677 | | |
| | | | | | | | | | Texas Transportation Commission, Revenue Bonds: | | | | | | | |
| | | 800,000 | | | | Baa3(a) | | | zero coupon, due 8/1/35 | | | | | 461,024 | | |
| | | 500,000 | | | | Baa3(a) | | | zero coupon, due 8/1/36 | | | | | 272,985 | | |
| | | | | | | | | | Texas Water Development Board, Revenue Bonds: | | | | | | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/22 | | | | | 137,507 | | |
| | | 180,000 | | | | AAA | | | Series A, 5.000% due 4/15/25 | | | | | 217,838 | | |
| | | 75,000 | | | | AAA | | | Series A, 5.000% due 10/15/25 | | | | | 92,105 | | |
| | | 125,000 | | | | AAA | | | Series A, 5.000% due 4/15/26 | | | | | 155,571 | | |
| | | 190,000 | | | | AAA | | | Series A, 5.000% due 4/15/29 | | | | | 243,962 | | |
| | | 505,000 | | | | AAA | | | Series A, 5.000% due 4/15/30 | | | | | 645,683 | | |
| | | | | | | | | | Travis County Health Facilities Development Corp., Revenue Bonds: | | | | | | | |
| | | 2,305,000 | | | | NR | | | Series Prerefunded 1/1/21 @ 100, 7.000% due 1/1/32(c) | | | | | 2,479,534 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Texas – (continued) | | |||||||||||||||
| | $ | 1,365,000 | | | | NR | | | Series Prerefunded 1/1/21 @ 100, 7.125% due 1/1/46(c) | | | | $ | 1,470,583 | | |
| | | | | | | | | | University of Houston, Revenue Bonds: | | | | | | | |
| | | 190,000 | | | | AA | | | Series A, 5.000% due 2/15/30 | | | | | 231,380 | | |
| | | 10,000 | | | | AA | | | 5.250% due 2/15/25 | | | | | 10,030 | | |
| | | | | | | | | | University of Texas System, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | AAA | | | Series D, 5.000% due 8/15/20 | | | | | 62,245 | | |
| | | 65,000 | | | | AAA | | | Series D, 5.000% due 8/15/21 | | | | | 69,961 | | |
| | | 70,000 | | | | AAA | | | Series D, 5.000% due 8/15/22 | | | | | 78,009 | | |
| | | 80,000 | | | | AAA | | | Series E, 5.000% due 8/15/22 | | | | | 89,153 | | |
| | | 90,000 | | | | AAA | | | Series J, 5.000% due 8/15/22 | | | | | 100,297 | | |
| | | 1,785,000 | | | | NR | | | Series A, Prerefunded 2/15/22 @ 100, 5.000% due 8/15/27(c) | | | | | 1,953,986 | | |
| | | 90,000 | | | | AAA | | | Series B, 5.000% due 8/15/22 | | | | | 100,297 | | |
| | | | | | | | | | Total Texas | | | | | 119,430,564 | | |
| Utah – 0.4% | | |||||||||||||||
| | | | | | | | | | Salt Lake City Corp. Airport Revenue, Revenue Bonds: | | | | | | | |
| | | 35,000 | | | | A+ | | | Series A, 5.000% due 7/1/26(d) | | | | | 42,909 | | |
| | | 115,000 | | | | A+ | | | Series A, 5.000% due 7/1/28(d) | | | | | 143,332 | | |
| | | 85,000 | | | | A | | | Utah Associated Municipal Power Systems, Revenue Bonds, Series A, Prerefunded 9/1/22 @ 100, 5.000% due 9/1/24(c) | | | | | 94,650 | | |
| | | 2,500,000 | | | | A+ | | | Utah Transit Authority, Revenue Bonds, Series A, 5.000% due 6/15/31 | | | | | 3,324,675 | | |
| | | | | | | | | | Total Utah | | | | | 3,605,566 | | |
| Virginia – 2.2% | | |||||||||||||||
| | | 30,000 | | | | BBB | | | City of Chesapeake VA Chesapeake Expressway Toll Road Revenue, Revenue Bonds, Series A, 5.000% due 7/15/22 | | | | | 32,944 | | |
| | | 2,635,000 | | | | AAA | | | City of Suffolk VA, GO, Series A, 5.000% due 2/1/27 | | | | | 3,365,844 | | |
| | | 5,000,000 | | | | AAA | | | Commonwealth of Virginia, GO, Series B, 4.000% due 6/1/24 | | | | | 5,544,900 | | |
| | | | | | | | | | Fredericksburg Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/27 | | | | | 46,605 | | |
| | | 40,000 | | | | A3(a) | | | 5.000% due 6/15/29 | | | | | 46,412 | | |
| | | 45,000 | | | | A3(a) | | | 5.000% due 6/15/33 | | | | | 51,810 | | |
| | | 3,180,000 | | | | AA | | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 5.000% due 7/1/35 | | | | | 4,023,718 | | |
| | | 1,065,000 | | | | A- | | | King George County Economic Development Authority, Revenue Bonds, 2.500% due 6/1/23(b)(d) | | | | | 1,102,382 | | |
| | | 320,000 | | | | AA | | | Norfolk Economic Development Authority, Revenue Bonds, Series B, 5.000% due 11/1/48(b) | | | | | 413,571 | | |
| | | | | | | | | | Stafford County Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 20,000 | | | | A3(a) | | | 4.000% due 6/15/37 | | | | | 21,712 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Virginia – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | A3(a) | | | 5.000% due 6/15/32 | | | | $ | 60,101 | | |
| | | 65,000 | | | | A3(a) | | | 5.000% due 6/15/34 | | | | | 77,612 | | |
| | | | | | | | | | Virginia College Building Authority, Revenue Bonds: | | | | | | | |
| | | 2,805,000 | | | | AA+ | | | Series A, 5.000% due 9/1/32 | | | | | 3,634,298 | | |
| | | 265,000 | | | | AA+ | | | Series E, 5.000% due 2/1/30 | | | | | 342,224 | | |
| | | 305,000 | | | | AA+ | | | Series E, 5.000% due 2/1/31 | | | | | 391,827 | | |
| | | 165,000 | | | | AA+ | | | Series D, 5.000% due 2/1/26 | | | | | 204,654 | | |
| | | 360,000 | | | | AA+ | | | Virginia Commonwealth Transportation Board, Revenue Bonds, Series A, 5.000% due 5/15/30 | | | | | 461,704 | | |
| | | 220,000 | | | | BBB | | | Virginia Small Business Financing Authority, Revenue Bonds, 5.000% due 1/1/40(d) | | | | | 235,382 | | |
| | | | | | | | | | Winchester Economic Development Authority, Revenue Bonds: | | | | | | | |
| | | 60,000 | | | | A+ | | | 5.000% due 1/1/32 | | | | | 71,340 | | |
| | | 75,000 | | | | A+ | | | 5.000% due 1/1/33 | | | | | 88,760 | | |
| | | | | | | | | | Total Virginia | | | | | 20,217,800 | | |
| Washington – 4.0% | | |||||||||||||||
| | | 60,000 | | | | AA | | | Chelan County Public Utility District No 1, Revenue Bonds, Series A, NPFG, zero coupon, due 6/1/24 | | | | | 55,966 | | |
| | | | | | | | | | City of Tacoma WA Electric System Revenue, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | 5.000% due 1/1/29 | | | | | 37,632 | | |
| | | 35,000 | | | | AA | | | 5.000% due 1/1/36 | | | | | 42,804 | | |
| | | 85,000 | | | | Aaa(a) | | | Clark County School District No 37 Vancouver, GO, Series C, NPFG, zero coupon, due 12/1/19 | | | | | 84,754 | | |
| | | | | | | | | | Grant County Public Utility District No 2, Revenue Bonds: | | | | | | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/22 | | | | | 32,654 | | |
| | | 30,000 | | | | AA | | | Series A, 5.000% due 1/1/23 | | | | | 33,212 | | |
| | | 65,000 | | | | AA | | | Series A, 5.000% due 1/1/24 | | | | | 71,712 | | |
| | | | | | | | | | Port of Seattle WA, Revenue Bonds: | | | | | | | |
| | | 135,000 | | | | AA- | | | Series B, 5.000% due 10/1/29(d) | | | | | 163,156 | | |
| | | 35,000 | | | | A+ | | | 5.000% due 2/1/27 | | | | | 42,884 | | |
| | | 70,000 | | | | A+ | | | 5.000% due 2/1/29 | | | | | 85,169 | | |
| | | 25,000 | | | | A | | | 5.000% due 6/1/23(d) | | | | | 28,327 | | |
| | | | | | | | | | State of Washington, GO: | | | | | | | |
| | | 2,500,000 | | | | AA+ | | | Series 2010E, Prerefunded 2/1/20 @ 100, 5.000% due 2/1/34(c) | | | | | 2,540,425 | | |
| | | 5,000,000 | | | | AA+ | | | Series 2010E, Prerefunded 2/1/20 @ 100, 5.000% due 2/1/35(c) | | | | | 5,080,850 | | |
| | | 50,000 | | | | AA+ | | | Series 2017A, 5.000% due 8/1/27 | | | | | 62,663 | | |
| | | 8,430,000 | | | | AA+ | | | Series A, 5.000% due 8/1/32 | | | | | 10,834,376 | | |
| | | 5,000,000 | | | | AA+ | | | Series C, 5.000% due 2/1/33 | | | | | 6,499,900 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Washington – (continued) | | |||||||||||||||
| | $ | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/28 | | | | $ | 62,460 | | |
| | | 50,000 | | | | AA+ | | | Series R2017A, 5.000% due 8/1/30 | | | | | 61,947 | | |
| | | 725,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/32 | | | | | 912,717 | | |
| | | 640,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/33 | | | | | 804,026 | | |
| | | 5,000,000 | | | | AA+ | | | Series R2018D, 5.000% due 8/1/35 | | | | | 6,246,050 | | |
| | | | | | | | | | Tobacco Settlement Authority, Revenue Bonds: | | | | | | | |
| | | 70,000 | | | | A | | | 5.000% due 6/1/23 | | | | | 78,989 | | |
| | | 100,000 | | | | A | | | 5.000% due 6/1/24 | | | | | 112,803 | | |
| | | | | | | | | | Washington Health Care Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 115,000 | | | | AA- | | | Series A, 5.000% due 10/1/24 | | | | | 128,086 | | |
| | | 95,000 | | | | BBB | | | 5.000% due 8/15/32 | | | | | 112,886 | | |
| | | 40,000 | | | | A+ | | | 5.000% due 1/1/29 | | | | | 47,286 | | |
| | | 700,000 | | | | A | | | 5.000% due 7/1/42 | | | | | 839,314 | | |
| | | 65,000 | | | | A2(a) | | | Prerefunded 7/1/20 @ 100, 5.500% due 7/1/30(c) | | | | | 67,357 | | |
| | | 5,000 | | | | A | | | 5.000% due 7/1/25 | | | | | 6,011 | | |
| | | 60,000 | | | | A | | | 5.000% due 7/1/26 | | | | | 74,041 | | |
| | | 90,000 | | | | A | | | 5.000% due 7/1/29 | | | | | 113,731 | | |
| | | 20,000 | | | | A | | | 5.000% due 7/1/34 | | | | | 24,659 | | |
| | | 70,000 | | | | AA- | | | 5.000% due 10/1/27 | | | | | 88,986 | | |
| | | 60,000 | | | | AA- | | | 5.000% due 10/1/28 | | | | | 77,899 | | |
| | | 110,000 | | | | BBB | | | 5.000% due 8/15/28 | | | | | 133,251 | | |
| | | 275,000 | | | | BBB | | | 5.000% due 8/15/31 | | | | | 327,827 | | |
| | | | | | | | | | Washington Higher Education Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 210,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/33 | | | | | 245,763 | | |
| | | 15,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/29 | | | | | 17,802 | | |
| | | 35,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/30 | | | | | 41,348 | | |
| | | 40,000 | | | | Baa1(a) | | | Series A, 5.000% due 10/1/31 | | | | | 47,033 | | |
| | | | | | | | | | Total Washington | | | | | 36,368,756 | | |
| West Virginia – 1.7% | | |||||||||||||||
| | | | | | | | | | State of West Virginia, GO: | | | | | | | |
| | | 9,860,000 | | | | AA- | | | Series B, 5.000% due 12/1/34 | | | | | 12,545,963 | | |
| | | 2,000,000 | | | | AA- | | | Series B, 5.000% due 6/1/35 | | | | | 2,541,080 | | |
| | | 190,000 | | | | BBB+ | | | West Virginia Hospital Finance Authority, Revenue Bonds, 5.000% due 1/1/33 | | | | | 235,043 | | |
| | | | | | | | | | Total West Virginia | | | | | 15,322,086 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – (continued) | | |||||||||||||||
| Wisconsin – 1.4% | | |||||||||||||||
| | | | | | | | | | Public Finance Authority, Revenue Bonds: | | ||||||
| | $ | 600,000 | | | | A- | | | 1.530% due 10/1/25(b)(d) | | | | $ | 600,084 | | |
| | | 535,000 | | | | A2(a) | | | Series A, 5.000% due 10/1/44 | | | | | 653,931 | | |
| | | 25,000 | | | | BB(g) | | | 5.000% due 10/1/43(e) | | | | | 27,907 | | |
| | | 30,000 | | | | BB(g) | | | 5.000% due 10/1/48(e) | | | | | 33,400 | | |
| | | 130,000 | | | | BB(g) | | | 5.000% due 10/1/53(e) | | | | | 144,352 | | |
| | | 35,000 | | | | BB(g) | | | 5.000% due 5/15/23(e) | | | | | 38,605 | | |
| | | 35,000 | | | | BB(g) | | | 5.000% due 5/15/30(e) | | | | | 40,024 | | |
| | | 10,000 | | | | BB(g) | | | 5.250% due 5/15/37(e) | | | | | 11,384 | | |
| | | 15,000 | | | | BB(g) | | | 5.250% due 5/15/42(e) | | | | | 16,923 | | |
| | | 15,000 | | | | BB(g) | | | 5.250% due 5/15/47(e) | | | | | 16,865 | | |
| | | 25,000 | | | | BB(g) | | | 5.250% due 5/15/52(e) | | | | | 28,038 | | |
| | | 610,000 | | | | BBB | | | Series A, 5.250% due 10/1/43 | | | | | 717,640 | | |
| | | 610,000 | | | | BBB | | | Series A, 5.250% due 10/1/48 | | | | | 714,042 | | |
| | | | | | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | | | | |
| | | 7,255,000 | | | | AA | | | 5.000% due 8/15/54(b) | | | | | 8,180,941 | | |
| | | 50,000 | | | | WR(a) | | | Prerefunded 7/1/20 @ 100, 5.500% due 7/1/40(c) | | | | | 51,792 | | |
| | | 30,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/25(c) | | | | | 34,273 | | |
| | | 200,000 | | | | WR(a) | | | Series B, Prerefunded 7/1/23 @ 100, 5.000% due 7/1/36(c) | | | | | 228,488 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/26 | | | | | 28,475 | | |
| | | 50,000 | | | | BBB+ | | | 5.000% due 5/1/28 | | | | | 56,744 | | |
| | | 25,000 | | | | BBB+ | | | 5.000% due 5/1/29 | | | | | 28,352 | | |
| | | 65,000 | | | | BBB- | | | 5.000% due 9/1/36 | | | | | 75,184 | | |
| | | 50,000 | | | | BBB- | | | 5.000% due 9/1/34 | | | | | 58,367 | | |
| | | 50,000 | | | | A3(a) | | | 5.000% due 6/1/27 | | | | | 54,111 | | |
| | | 30,000 | | | | A3(a) | | | 5.000% due 6/1/32 | | | | | 32,300 | | |
| | | 70,000 | | | | A3(a) | | | 5.000% due 6/1/39 | | | | | 74,748 | | |
| | | 55,000 | | | | NR | | | Prerefunded 7/1/20 @ 100, 5.750% due 7/1/30(c) | | | | | 57,085 | | |
| | | 255,000 | | | | AA- | | | 5.000% due 11/15/24 | | | | | 302,060 | | |
| | | 195,000 | | | | AA- | | | 5.000% due 11/15/27 | | | | | 229,355 | | |
| | | 50,000 | | | | NR | | | Series C, Prerefunded 8/15/22 @ 100, 5.000% due 8/15/32(c) | | | | | 55,593 | | |
| | | 35,000 | | | | WD(g) | | | Series Prerefunded 8/15/25 @ 100, 4.000% due 2/15/38(c) | | | | | 40,456 | | |
| | | | | | | | | | Total Wisconsin | | | | | 12,631,519 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $793,504,471) | | | | | 835,213,274 | | |
| | | | | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $793,504,471) | | | | | 835,213,274 | | |
| Face Amount | | | Rating†† | | | Security | | | Value | | ||||||
| SHORT-TERM INVESTMENTS – 9.3% | | |||||||||||||||
| MUNICIPAL BONDS – 5.3% | | |||||||||||||||
| | $ | 4,125,000 | | | | SP-1+ | | | City of Los Angeles CA, Revenue Notes 5.000% due 6/25/20 | | | | $ | 4,257,577 | | |
| | | 10,000,000 | | | | MIG1(a) | | | Cobb County School District, GO 3.000% due 12/18/19 | | | | | 10,053,300 | | |
| | | 10,000,000 | | | | SP-1 | | | County of Fulton GA, Revenue Notes 2.500% due 12/31/19 | | | | | 10,044,900 | | |
| | | 2,500,000 | | | | MIG1(a) | | | PMA Levy & Aid Anticipation Notes Program WI, Revenue Notes 3.000% due 10/18/19 | | | | | 2,502,740 | | |
| | | 20,000,000 | | | | SP-1+ | | | State of Texas, Revenue Notes 4.000% due 8/27/20 | | | | | 20,554,200 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $47,355,640) | | | | | 47,412,717 | | |
| TIME DEPOSITS – 4.0% | | |||||||||||||||
| | | 9,930,649 | | | | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 9,930,649 | | |
| | | 7,566,920 | | | | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 7,566,920 | | |
| | | 18,915,463 | | | | | | | JPMorgan Chase & Co. – New York, 1.490% due 9/3/19 | | | | | 18,915,463 | | |
| | | | | | | | | | TOTAL TIME DEPOSITS (Cost – $36,413,032) | | | | | 36,413,032 | | |
| | | | | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost – $83,768,672) | | | | | 83,825,749 | | |
| | | | | | | | | | TOTAL INVESTMENTS – 101.9% (Cost – $877,273,143#) | | | | | 919,039,023 | | |
| | | | | | | | | | Liabilities in Excess of Other Assets – (1.9)% | | | | | (16,845,965) | | |
| | | | | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 902,193,058 | | |
|
| General Obligation | | | | | 46.3% | | |
| Education | | | | | 14.6 | | |
| Health Care Providers & Services | | | | | 10.0 | | |
| Transportation | | | | | 6.7 | | |
| Water and Sewer | | | | | 4.7 | | |
| Airport | | | | | 3.0 | | |
| Development | | | | | 1.5 | | |
| Power | | | | | 1.3 | | |
| Pollution | | | | | 1.0 | | |
| Housing | | | | | 0.9 | | |
| Utilities | | | | | 0.6 | | |
| Tobacco | | | | | 0.2 | | |
| Facilities | | | | | 0.1 | | |
| Community Facilities Districts | | | | | 0.0* | | |
| Short-Term Investments | | | | | 9.1 | | |
| | | | | | 100.0% | | |
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – 20.3% | | ||||||||||||
| Communications – 5.0% | | ||||||||||||
| | $ | 14,773,000 | | | | Consolidated Communications Inc., Company Guaranteed Notes, 6.500% due 10/1/22(a) | | | | $ | 13,812,755 | | |
| | | 7,400,000 | | | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | | | | | 7,779,250 | | |
| | | 13,500,000 | | | | Frontier Communications Corp., Senior Unsecured Notes, 10.500% due 9/15/22 | | | | | 7,020,000 | | |
| | | 10,277,500 | | | | HC2 Holdings Inc., Senior Secured Notes, 11.500% due 12/1/21(a)(b) | | | | | 8,941,425 | | |
| | | 10,000,000 | | | | Intelsat Connect Finance SA, Company Guaranteed Notes, 9.500% due 2/15/23(b) | | | | | 8,900,000 | | |
| | | | | | | Total Communications | | | | | 46,453,430 | | |
| Consumer Cyclical – 2.9% | | ||||||||||||
| | | 6,715,000 | | | | Arrow Bidco LLC, Senior Secured Notes, 9.500% due 3/15/24(a)(b) | | | | | 6,698,213 | | |
| | | 4,000,000 | | | | CEC Entertainment Inc., Company Guaranteed Notes, 8.000% due 2/15/22 | | | | | 3,800,000 | | |
| | | 7,593,000 | | | | JC Penney Corp. Inc., Senior Secured Notes, 5.875% due 7/1/23(b) | | | | | 6,378,120 | | |
| | | 1,670,000 | | | | PetSmart Inc., Senior Secured Notes, 5.875% due 6/1/25(b) | | | | | 1,636,600 | | |
| | | 10,000,000 | | | | Tesla Inc., Company Guaranteed Notes, 5.300% due 8/15/25(b) | | | | | 8,925,000 | | |
| | | | | | | Total Consumer Cyclical | | | | | 27,437,933 | | |
| Consumer Non-cyclical – 4.9% | | ||||||||||||
| | | | | | | CHS/Community Health Systems Inc., Senior Secured Notes: | | | | | | | |
| | | 994,000 | | | | 6.250% due 3/31/23 | | | | | 961,794 | | |
| | | 7,000,000 | | | | 8.000% due 3/15/26(b) | | | | | 6,720,000 | | |
| | | 7,000,000 | | | | Coty Inc., Company Guaranteed Notes, 6.500% due 4/15/26(b) | | | | | 6,615,000 | | |
| | | | | | | Endo Dac/Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes: | | | | | | | |
| | | 3,500,000 | | | | 6.000% due 7/15/23(b) | | | | | 2,310,000 | | |
| | | 8,878,000 | | | | 6.000% due 2/1/25(b) | | | | | 5,548,750 | | |
| | | 8,267,000 | | | | HLF Financing SARL LLC/Herbalife International Inc., Company Guaranteed Notes, 7.250% due 8/15/26(b) | | | | | 8,163,662 | | |
| | | 8,339,000 | | | | Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21 | | | | | 7,588,490 | | |
| | | 8,099,000 | | | | Vector Group Ltd., Senior Secured Notes, 6.125% due 2/1/25(a)(b) | | | | | 7,937,020 | | |
| | | | | | | Total Consumer Non-cyclical | | | | | 45,844,716 | | |
| Energy – 1.6% | | ||||||||||||
| | | 13,375,000 | | | | California Resources Corp., Secured Notes, 8.000% due 12/15/22(b) | | | | | 7,690,625 | | |
| | | | | | | EP Energy LLC/Everest Acquisition Finance Inc.: | | | | | | | |
| | | | | | | Company Guaranteed Notes: | | | �� | | | | |
| | | 1,340,000 | | | | 9.375% due 5/1/20 | | | | | 6,700 | | |
| | | 1,660,000 | | | | 7.750% due 9/1/22 | | | | | 4,150 | | |
| | | 11,951,000 | | | | 6.375% due 6/15/23 | | | | | 29,878 | | |
| | | 11,986,000 | | | | Secured Notes, 9.375% due 5/1/24(b) | | | | | 898,950 | | |
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| CORPORATE BONDS & NOTES – (continued) | | ||||||||||||
| Energy – (continued) | | ||||||||||||
| | $ | 4,000,000 | | | | Senior Secured Notes, 8.000% due 11/29/24(b) | | | | $ | 1,720,000 | | |
| | | | | | | Sable Permian Resources Land LLC/AEPB Finance Corp., Company Guaranteed Notes: | | | | | | | |
| | | 6,336,000 | | | | 7.125% due 11/1/20(b) | | | | | 633,600 | | |
| | | 3,242,000 | | | | 7.375% due 11/1/21(b) | | | | | 324,200 | | |
| | | | | | | Sanchez Energy Corp., Company Guaranteed Notes: | | | | | | | |
| | | 40,536,000 | | | | 7.750% due 6/15/21(c) | | | | | 1,824,120 | | |
| | | 430,000 | | | | 6.125% due 1/15/23(c) | | | | | 18,275 | | |
| | | 12,129,931 | | | | Ultra Resources Inc., Secured Notes, 11.000% due 7/12/24(d) | | | | | 1,455,592 | | |
| | | | | | | Total Energy | | | | | 14,606,090 | | |
| Financial – 4.3% | | ||||||||||||
| | | 35,844 | | | | Capital Southwest Corp., Corporate Unsecured Notes, 5.950% due 12/15/22(e) | | | | | 933,736 | | |
| | | | | | | Genworth Holdings Inc., Company Guaranteed Notes: | | | | | | | |
| | | 7,253,000 | | | | 7.700% due 6/15/20(e) | | | | | 7,463,700 | | |
| | | 2,999,000 | | | | 7.625% due 9/24/21 | | | | | 3,126,457 | | |
| | | 11,600,000 | | | | ILFC E-Capital Trust I, Limited Guaranteed Notes, 4.090% due 12/21/65(a)(b)(f) | | | | | 8,120,000 | | |
| | | 15,582 | | | | Portman Ridge Finance Corp., Corporate Unsecured Notes, 6.125% due 9/30/22 | | | | | 394,536 | | |
| | | 8,000,000 | | | | Realogy Group LLC/Realogy Co.-Issuer Corp., Company Guaranteed Notes, 9.375% due 4/1/27(b) | | | | | 6,920,000 | | |
| | | 3,505,000 | | | | State Street Corp., Junior Subordinated Notes, 3.410% (3-Month USD-LIBOR + 1.000%) due 6/15/37(f) | | | | | 2,690,432 | | |
| | | 29,980 | | | | TriplePoint Venture Growth BDC Corp., Corporate Unsecured Notes, 5.750% due 7/15/22 | | | | | 769,398 | | |
| | | 11,142,000 | | | | USB Realty Corp., Junior Subordinated Notes, 3.450% (3-Month USD-LIBOR + 1.147%)(a)(b)(f)(g) | | | | | 9,526,410 | | |
| | | | | | | Total Financial | | | | | 39,944,669 | | |
| Technology – 0.6% | | ||||||||||||
| | | 6,000,000 | | | | Avaya Holdings Corp., Senior Unsecured Notes, 2.250% due 6/15/23 | | | | | 5,593,336 | | |
| Utilities – 1.0% | | ||||||||||||
| | | 3,000,000 | | | | Pacific Gas & Electric Co., Senior Unsecured Notes, 3.950% due 12/1/47(c) | | | | | 2,902,500 | | |
| | | | | | | Talen Energy Supply LLC, Company Guaranteed Notes: | | | | | | | |
| | | 5,000,000 | | | | 6.500% due 6/1/25 | | | | | 3,800,000 | | |
| | | 3,511,000 | | | | 10.500% due 1/15/26(b) | | | | | 3,191,499 | | |
| | | | | | | Total Utilities | | | | | 9,893,999 | | |
| | | | | | | TOTAL CORPORATE BONDS & NOTES (Cost – $255,807,075) | | | | | 189,774,173 | | |
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 10.5% | | ||||||||||||
| | | | | | | Bear Stearns ALT-A Trust: | | | |||||
| | $ | 1,390,338 | | | | Series 2004-8, Class 1A, 2.845% (1-Month USD-LIBOR + 0.700%) due 9/25/34(f) | | | | $ | 1,389,338 | | |
| | | 5,167,118 | | | | Series 2004-8, Class 2A, 2.825% (1-Month USD-LIBOR + 0.680%) due 9/25/34(f) | | | | | 5,209,252 | | |
| | | 3,719,854 | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series 2017-C02, Class 2M1, 3.295% (1-Month USD-LIBOR + 1.150%) due 9/25/29(f) | | | | | 3,726,173 | | |
| | | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities (Restricted): | | | | | | | |
| | | 2,291,343 | | | | Series 2014-C04, Class 2M2, 7.145% (1-Month USD-LIBOR + 5.000%) due 11/25/24(f) | | | | | 2,441,360 | | |
| | | 2,859,432 | | | | Series 2015-C01, Class 1M2, 6.445% (1-Month USD-LIBOR + 4.300%) due 2/25/25(f) | | | | | 3,012,763 | | |
| | | 6,137,116 | | | | Series 2016-C01, Class 2M2, 9.095% (1-Month USD-LIBOR + 6.950%) due 8/25/28(f) | | | | | 6,611,733 | | |
| | | 8,940,700 | | | | Series 2016-C02, Class 1M2, 8.145% (1-Month USD-LIBOR + 6.000%) due 9/25/28(f) | | | | | 9,671,197 | | |
| | | 5,000,000 | | | | Series 2016-C03, Class 1M2, 7.445% (1-Month USD-LIBOR + 5.300%) due 10/25/28(f) | | | | | 5,406,776 | | |
| | | 9,045,112 | | | | Series 2016-C03, Class 2M2, 8.045% (1-Month USD-LIBOR + 5.900%) due 10/25/28(f) | | | | | 9,742,592 | | |
| | | 7,475,191 | | | | Series 2016-C05, Class 2M2, 6.595% (1-Month USD-LIBOR + 4.450%) due 1/25/29(f) | | | | | 7,839,482 | | |
| | | 12,473,515 | | | | Series 2016-C07, Class 2M2, 6.495% (1-Month USD-LIBOR + 4.350%) due 5/25/29(f) | | | | | 13,069,102 | | |
| | | 12,480,000 | | | | Series 2017-C01, Class 1M2, 5.816% (1-Month USD-LIBOR + 3.550%) due 7/25/29(f) | | | | | 13,042,089 | | |
| | | 11,450,000 | | | | Series 2017-C02, Class 2M2, 5.795% (1-Month USD-LIBOR + 3.650%) due 9/25/29(f) | | | | | 12,005,853 | | |
| | | 3,000,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes (Restricted), Series 2016-DNA4, Class M3, 5.945% (1-Month USD-LIBOR + 3.800%) due 3/25/29(f) | | | | | 3,175,367 | | |
| | | 1,326,941 | | | | MASTR Adjustable Rate Mortgages Trust, Series 2004-9, Class M2, 3.295% (1-Month USD-LIBOR + 1.150%) due 11/25/34(f) | | | | | 1,311,692 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost – $99,607,606) | | | | | 97,654,769 | | |
| Face Amount/Units/Shares | | | Security | | | Value | | ||||||
| SENIOR LOANS(f) – 5.0% | | ||||||||||||
| | $ | 9,200,000 | | | | Asurion LLC, 8.612% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | | | $ | 9,327,052 | | |
| | | 4,807,585 | | | | Bausch Health Cos. Inc., 5.201% (1-Month USD-LIBOR + 3.000%) due 6/2/25 | | | | | 4,813,018 | | |
| | | 5,818,249 | | | | Fossil Group Inc., 10.090% (1-Week USD-LIBOR + 8.000%) due 12/31/20 | | | | | 5,808,532 | | |
| | | 4,495,709 | | | | Genworth Holdings Inc., 6.670% (2-Month USD-LIBOR + 4.500%) due 3/7/23 | | | | | 4,523,807 | | |
| | | 7,697,308 | | | | Mallinckrodt International Finance SA, 5.080% (3-Month USD-LIBOR + 2.750%) due 9/24/24 | | | | | 5,959,641 | | |
| | | 2,250,000 | | | | Pacific Gas & Electric Co., 4.500% (1-Month USD-LIBOR + 2.250%) due 12/31/20 | | | | | 2,255,625 | | |
| | | 5,009,564 | | | | Uber Technologies Inc., 5.645% (1-Month USD-LIBOR + 3.500%) due 7/13/23 | | | | | 4,989,876 | | |
| | | 8,931,298 | | | | Uniti Group Inc., 7.112% (1-Month USD-LIBOR + 5.000%) due 10/24/22 | | | | | 8,620,935 | | |
| | | | | | | TOTAL SENIOR LOANS (Cost – $47,621,860) | | | | | 46,298,486 | | |
| ASSET-BACKED SECURITIES – 1.4% | | ||||||||||||
| | | 989,212 | | | | Aames Mortgage Investment Trust, Series 2006-1, Class A4, 2.705% (1-Month USD-LIBOR + 0.560%) due 4/25/36(f) | | | | | 984,267 | | |
| | | | | | | Ellington Loan Acquisition Trust: | | | | | | | |
| | | 470,962 | | | | Series 2007-1, Class M1, 4.245% (1-Month USD-LIBOR + 2.100%) due 5/25/37(b)(f) | | | | | 403,720 | | |
| | | 1,565,000 | | | | Series 2007-2, Class M1A, 4.145% (1-Month USD-LIBOR + 2.000%) due 5/25/37(b)(f) | | | | | 1,295,159 | | |
| | | 602,383 | | | | Finance America Mortgage Loan Trust, Series 2004-2, Class M7, 4.845% (1-Month USD-LIBOR + 2.700%) due 8/25/34(f) | | | | | 522,023 | | |
| | | 2,624,024 | | | | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5, 2.295% (1-Month USD-LIBOR + 0.150%) due 12/25/36(f) | | | | | 2,294,818 | | |
| | | 3,125,402 | | | | GSAMP Trust, Series 2006-HE5, Class A2C, 2.295% (1-Month USD-LIBOR + 0.150%) due 8/25/36(f) | | | | | 3,037,782 | | |
| | | 2,222,010 | | | | Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AV1B, 2.405% (1-Month USD-LIBOR + 0.260%) due 7/25/35(f) | | | | | 2,220,052 | | |
| | | 4,447,000 | | | | Renaissance Home Equity Loan Trust, Series 2005-3, Class M1, step bond to yield, 5.256% due 11/25/35 | | | | | 2,341,770 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost – $13,043,176) | | | | | 13,099,591 | | |
| Face Amount/Units/Shares | | | | | | Security | | | Value | | ||||||
| MUNICIPAL BONDS – 1.3% | | | ||||||||||||||
| Ohio – 0.0% | | | ||||||||||||||
| | $ | 14,650 | | | | NR | | | Ohio Air Quality Development Authority, Revenue Bonds, 3.100% due 3/1/23(c)(f) | | | | $ | 12,801 | | |
| Pennsylvania – 0.0% | | | ||||||||||||||
| | | | | | | | | | Beaver County Industrial Development Authority, Revenue Bonds: | | | |||||
| | | 10,000 | | | | NR | | | Series A, 2.700% due 4/1/35(c)(f) | | | | | 8,737 | | |
| | | 10,000 | | | | NR | | | Series A, 3.500% due 4/1/41(c)(f) | | | | | 8,738 | | |
| | | | | | | | | | Total Pennsylvania | | | | | 17,475 | | |
| Puerto Rico – 1.3% | | | ||||||||||||||
| | | 22,175,000 | | | | NR | | | Commonwealth of Puerto Rico, GO, Series A, 8.000% due 7/1/35(c) | | | | | 12,279,406 | | |
| | | | | | | | | | TOTAL MUNICIPAL BONDS (Cost – $8,742,534) | | | | | 12,309,682 | | |
| Shares/Units | | | | | | | | ||||||
| OPEN-END FUND – 18.2% | | ||||||||||||
| | | 14,793,800 | | | | JPMorgan Strategic Income Opportunities Fund, Class R6 Shares (Cost – $171,708,427) | | | | | 169,980,765 | | |
| COMMON STOCKS – 16.2% | | ||||||||||||
| BASIC MATERIALS – 0.1% | | ||||||||||||
| Chemicals – 0.1% | | ||||||||||||
| | | 48,936 | | | | Hexion Holdings Corp., Class B Shares*(h) | | | | | 585,617 | | |
| COMMUNICATIONS – 1.1% | | ||||||||||||
| Telecommunications – 1.1% | | ||||||||||||
| | | 664,737 | | | | Consolidated Communications Holdings Inc. | | | | | 2,678,890 | | |
| | | 199,938 | | | | HC2 Holdings Inc.*(e) | | | | | 399,876 | | |
| | | 218,500 | | | | Zayo Group Holdings Inc.*(a) | | | | | 7,354,710 | | |
| | | | | | | Total Telecommunications | | | | | 10,433,476 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 10,433,476 | | |
| CONSUMER CYCLICAL – 0.2% | | ||||||||||||
| Entertainment – 0.2% | | ||||||||||||
| | | 174,972 | | | | Lions Gate Entertainment Corp., Class A Shares | | | | | 1,579,997 | | |
| CONSUMER NON-CYCLICAL – 8.2% | | ||||||||||||
| Biotechnology – 2.8% | | ||||||||||||
| | | 12,053 | | | | Allakos Inc.*(e) | | | | | 1,066,208 | | |
| | | 75,274 | | | | Argenx SE, ADR*(a) | | | | | 9,894,767 | | |
| | | 39,823 | | | | Blueprint Medicines Corp.* | | | | | 3,053,230 | | |
| | | 50,386 | | | | Celgene Corp.*(a) | | | | | 4,877,365 | | |
| | | 16,072 | | | | Deciphera Pharmaceuticals Inc.* | | | | | 583,092 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| CONSUMER NON-CYCLICAL – (continued) | | ||||||||||||
| Biotechnology – (continued) | | ||||||||||||
| | | 1,146 | | | | DermTech Inc.*(i) | | | | $ | 6,188 | | |
| | | 445,158 | | | | Orchard Therapeutics PLC, ADR*(a) | | | | | 6,588,338 | | |
| | | | | | | Total Biotechnology | | | | | 26,069,188 | | |
| Healthcare-Products – 0.7% | | ||||||||||||
| | | 502,341 | | | | Alphatec Holdings Inc.* | | | | | 2,627,244 | | |
| | | 50,769 | | | | Inspire Medical Systems Inc.* | | | | | 3,528,953 | | |
| | | | | | | Total Healthcare-Products | | | | | 6,156,197 | | |
| Healthcare-Services – 0.6% | | ||||||||||||
| | | 253,708 | | | | SI-BONE Inc.*(a) | | | | | 4,932,084 | | |
| | | 97,259 | | | | Vapotherm Inc.* | | | | | 1,128,204 | | |
| | | | | | | Total Healthcare-Services | | | | | 6,060,288 | | |
| Pharmaceuticals – 4.1% | | ||||||||||||
| | | 51,621 | | | | Allergan PLC | | | | | 8,244,906 | | |
| | | 40,341 | | | | Ascendis Pharma AS, ADR*(a) | | | | | 4,519,402 | | |
| | | 624,303 | | | | Cytokinetics Inc.*(a) | | | | | 8,771,457 | | |
| | | 23,446 | | | | Ideaya Biosciences Inc.* | | | | | 159,433 | | |
| | | 46,209 | | | | Mirati Therapeutics Inc.*(a) | | | | | 3,787,752 | | |
| | | 160,789 | | | | MyoKardia Inc.*(a) | | | | | 8,645,625 | | |
| | | 93,847 | | | | Odonate Therapeutics Inc.*(e) | | | | | 2,891,426 | | |
| | | 63,596 | | | | Sutro Biopharma Inc.* | | | | | 513,220 | | |
| | | 101,038 | | | | Trevi Therapeutics Inc.*(i) | | | | | 501,148 | | |
| | | | | | | Total Pharmaceuticals | | | | | 38,034,369 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 76,320,042 | | |
| DIVERSIFIED – 2.0% | | ||||||||||||
| SPACs – 2.0% | | ||||||||||||
| | | 76,557 | | | | 8i Enterprises Acquisition Corp.*(i) | | | | | 762,508 | | |
| | | 42,677 | | | | Act II Global Acquisition Corp.*(i) | | | | | 434,879 | | |
| | | 100,702 | | | | Agba Acquisition Ltd.*(i) | | | | | 1,018,097 | | |
| | | 41,641 | | | | Alberton Acquisition Corp.*(i) | | | | | 434,732 | | |
| | | 42,105 | | | | Andina Acquisition Corp. III*(e)(i) | | | | | 421,471 | | |
| | | 36,775 | | | | B Riley Principal Merger Corp.* | | | | | 367,750 | | |
| | | 50,725 | | | | Big Rock Partners Acquisition Corp.*(i) | | | | | 529,062 | | |
| | | 33,529 | | | | Boxwood Merger Corp., Class A Shares* | | | | | 336,631 | | |
| | | 24,648 | | | | CF Finance Acquisition Corp.* | | | | | 259,297 | | |
| | | 4,940 | | | | Chardan Healthcare Acquisition Corp.* | | | | | 50,437 | | |
| | | 28,503 | | | | ChaSerg Technology Acquisition Corp.*(i) | | | | | 291,586 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 18,907 | | | | Churchill Capital Corp. II* | | | | $ | 196,255 | | |
| | | 43,875 | | | | DD3 Acquisition Corp.* | | | | | 441,821 | | |
| | | 483,000 | | | | Diamond Eagle Acquisition Corp.*(a) | | | | | 4,873,470 | | |
| | | 28,503 | | | | Edtechx Holdings Acquisition Corp.* | | | | | 293,581 | | |
| | | 2 | | | | Far Point Acquisition Corp.* | | | | | 21 | | |
| | | 16,206 | | | | Far Point Acquisition Corp., Class A Shares* | | | | | 167,084 | | |
| | | 37,048 | | | | Fellazo Inc.*(i) | | | | | 369,369 | | |
| | | 25,081 | | | | FinTech Acquisition Corp. III* | | | | | 267,113 | | |
| | | 38,120 | | | | GigCapital2 Inc.* | | | | | 384,208 | | |
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.* | | | | | 174,556 | | |
| | | 43,099 | | | | Graf Industrial Corp.*(i) | | | | | 450,385 | | |
| | | 35,473 | | | | GX Acquisition Corp.* | | | | | 361,115 | | |
| | | 26,238 | | | | Haymaker Acquisition Corp. II* | | | | | 269,989 | | |
| | | 22,488 | | | | Health Sciences Acquisitions Corp.*(i) | | | | | 238,373 | | |
| | | 32,628 | | | | Hennessy Capital Acquisition Corp. IV* | | | | | 342,594 | | |
| | | 40,972 | | | | Insurance Acquisition Corp.*(i) | | | | | 417,095 | | |
| | | 42,092 | | | | Legacy Acquisition Corp., Class A Shares* | | | | | 428,076 | | |
| | | 61,710 | | | | Leisure Acquisition Corp.* | | | | | 630,059 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp., Class A Shares* | | | | | 28,721 | | |
| | | 10,785 | | | | Monocle Acquisition Corp.* | | | | | 112,595 | | |
| | | 18,239 | | | | Opes Acquisition Corp.* | | | | | 188,409 | | |
| | | 14,462 | | | | Pivotal Acquisition Corp., Class A Shares* | | | | | 147,079 | | |
| | | 95,271 | | | | Proficient Alpha Acquisition Corp.* | | | | | 966,048 | | |
| | | 30,657 | | | | Pure Acquisition Corp.* | | | | | 312,702 | | |
| | | 43,473 | | | | Schultze Special Purpose Acquisition Corp.*(i) | | | | | 446,902 | | |
| | | 51,279 | | | | South Mountain Merger Corp.* | | | | | 515,867 | | |
| | | 8,304 | | | | Tiberius Acquisition Corp.* | | | | | 84,701 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.*(e) | | | | | 44,182 | | |
| | | 3,426 | | | | Trinity Merger Corp., Class A Shares* | | | | | 35,493 | | |
| | | 32,225 | | | | Tuscan Holdings Corp.* | | | | | 343,196 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.* | | | | | 189,693 | | |
| | | 17,313 | | | | VectoIQ Acquisition Corp.* | | | | | 176,419 | | |
| | | 32,363 | | | | Wealthbridge Acquisition Ltd.* | | | | | 332,368 | | |
| | | | | | | Total SPACs | | | | | 19,135,989 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 19,135,989 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| COMMON STOCKS – (continued) | | ||||||||||||
| FINANCIAL – 3.9% | | ||||||||||||
| Banks – 0.6% | | ||||||||||||
| | | 410,186 | | | | Kearny Financial Corp.(a) | | | | $ | 5,160,140 | | |
| Insurance – 1.3% | | ||||||||||||
| | | 1,577,119 | | | | FGL Holdings(a) | | | | | 12,585,409 | | |
| Investment Companies – 1.1% | | ||||||||||||
| | | 812,481 | | | | Barings BDC Inc. | | | | | 8,124,810 | | |
| | | 52,808 | | | | FS KKR Capital Corp. | | | | | 298,365 | | |
| | | 287,780 | | | | Garrison Capital Inc. | | | | | 2,002,949 | | |
| | | | | | | Total Investment Companies | | | | | 10,426,124 | | |
| Savings & Loans – 0.9% | | ||||||||||||
| | | 271,934 | | | | OceanFirst Financial Corp.(a) | | | | | 5,716,053 | | |
| | | 178,297 | | | | Waterstone Financial Inc(a) | | | | | 2,957,947 | | |
| | | | | | | Total Savings & Loans | | | | | 8,674,000 | | |
| | | | | | | TOTAL FINANCIAL | | | | | 36,845,673 | | |
| INDUSTRIAL – 0.3% | | ||||||||||||
| Electronics – 0.3% | | ||||||||||||
| | | 432,487 | | | | Fluidigm Corp.*(a) | | | | | 2,413,278 | | |
| TECHNOLOGY – 0.4% | | ||||||||||||
| Computers – 0.4% | | ||||||||||||
| | | 153,385 | | | | Perspecta Inc. | | | | | 3,980,341 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost – $147,579,519) | | | | | 151,294,413 | | |
| CLOSED-END FUNDS – 15.0% | | ||||||||||||
| | | 279,048 | | | | Aberdeen Emerging Markets Equity Income Fund Inc., Class Common Shares | | | | | 1,922,641 | | |
| | | 685,296 | | | | Aberdeen Total Dynamic Dividend Fund, Class Common Shares | | | | | 5,496,074 | | |
| | | 21,998 | | | | Advent Convertible & Income, Class Common Shares(e) | | | | | 314,791 | | |
| | | 217,211 | | | | AllianzGI Convertible & Income 2024 Target, Class Common Shares | | | | | 2,035,267 | | |
| | | 390,924 | | | | AllianzGI NFJ Dividend Interest & Premium Strategy Fund, Class Common Shares | | | | | 4,734,090 | | |
| | | 28,677 | | | | BlackRock California Municipal Income Trust, Class Common Shares | | | | | 396,029 | | |
| | | 53,693 | | | | BlackRock Debt Strategies Fund Inc., Class Common Shares | | | | | 574,515 | | |
| | | 107,504 | | | | BlackRock New York Municipal Income Quality Trust, Class Common Shares | | | | | 1,490,435 | | |
| | | 163,325 | | | | BlackRock Resources & Commodities Strategy Trust, Class Common Shares | | | | | 1,228,204 | | |
| | | 541,792 | | | | BrandywineGLOBAL Global Income Opportunities Fund Inc., Class Common Shares | | | | | 6,452,743 | | |
| | | 3 | | | | Clough Global Dividend & Income Fund, Class Common Shares | | | | | 33 | | |
| | | 59,807 | | | | Clough Global Equity Fund, Class Common Shares | | | | | 694,359 | | |
| | | 440,324 | | | | Clough Global Opportunities Fund, Class Common Shares | | | | | 4,099,416 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 211,961 | | | | Cornerstone Strategic Value Fund Inc., Class Common Shares | | | | $ | 2,431,193 | | |
| | | 23,130 | | | | Cornerstone Total Return Fund Inc., Class Common Shares | | | | | 257,899 | | |
| | | 15,816 | | | | Cushing Renaissance Fund, Class Common Shares | | | | | 206,873 | | |
| | | 314,726 | | | | Delaware Enhanced Global Dividend & Income Fund, Class Common Shares | | | | | 3,021,370 | | |
| | | 561,532 | | | | Eaton Vance Ltd. Duration Income Fund, Class Common Shares | | | | | 7,030,381 | | |
| | | 102,977 | | | | Eaton Vance Tax-Managed Buy-Wr, Class Common Shares | | | | | 972,103 | | |
| | | 88,110 | | | | Franklin Ltd. Duration Income Trust, Class Common Shares(e) | | | | | 827,353 | | |
| | | 21,356 | | | | GDL Fund, Class Common Shares | | | | | 195,621 | | |
| | | 24,494 | | | | General American Investors Co., Inc., Class Preferred Shares(b) | | | | | 660,473 | | |
| | | 136,884 | | | | Highland Global Allocation Fund, Class Common Shares | | | | | 1,382,528 | | |
| | | 543,445 | | | | Highland Income Fund, Class Z Shares(a) | | | | | 7,097,392 | | |
| | | 42,485 | | | | India Fund Inc., Class Common Shares | | | | | 850,550 | | |
| | | 723,951 | | | | Invesco Dynamic Credit Opportunities Fund, Class Common Shares(e) | | | | | 7,854,868 | | |
| | | 243,414 | | | | Invesco High Income Trust II, Class Common Shares | | | | | 3,471,084 | | |
| | | 42,462 | | | | Invesco Municipal Opportunity Trust, Class Common Shares | | | | | 542,240 | | |
| | | 1,919,854 | | | | Invesco Senior Income Trust, Class Common Shares(a) | | | | | 7,948,196 | | |
| | | 212,913 | | | | Kayne Anderson MLP/Midstream Investment Co., Class Common Shares(e) | | | | | 3,006,332 | | |
| | | 82,797 | | | | Lazard World Dividend & Income Fund Inc., Class Common Shares | | | | | 754,281 | | |
| | | 97,711 | | | | Morgan Stanley Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 904,804 | | |
| | | 29,186 | | | | Neuberger Berman California Municipal Fund Inc., Class Common Shares(e) | | | | | 414,733 | | |
| | | 333,015 | | | | Neuberger Berman High Yield Strategies Fund Inc., Class Common Shares | | | | | 3,943,997 | | |
| | | 28,298 | | | | Neuberger Berman New York Municipal Fund Inc., Class Common Shares | | | | | 352,310 | | |
| | | 110,981 | | | | NexPoint Strategic Opportunities Fund, Class Common Shares | | | | | 1,975,462 | | |
| | | 30,554 | | | | Nuveen Connecticut Quality Municipal Income Fund, Class Common Shares | | | | | 414,312 | | |
| | | 531,384 | | | | Nuveen Credit Strategies Income Fund, Class Common Shares | | | | | 3,985,380 | | |
| | | 97,651 | | | | Nuveen Georgia Quality Municipal Income Fund, Class Common Shares | | | | | 1,235,520 | | |
| | | 79,667 | | | | Nuveen Intermediate Duration Quality Municipal Term Fund, Class Common Shares | | | | | 1,098,767 | | |
| | | 61,104 | | | | Nuveen Mortgage Opportunity Term Fund 2, Class Common Shares | | | | | 1,361,935 | | |
| | | 166,424 | | | | Nuveen Mortgage Opportunity Term Fund, Class Common Shares | | | | | 3,832,745 | | |
| | | 33,108 | | | | Nuveen North Carolina Quality Municipal Income Fund, Class Common Shares | | | | | 453,580 | | |
| | | 28,463 | | | | Nuveen Ohio Quality Municipal Income Fund, Class Common Shares | | | | | 452,562 | | |
| | | 120,475 | | | | Nuveen Quality Municipal Income Fund, Class Common Shares | | | | | 1,752,911 | | |
| | | 661,060 | | | | PGIM Global High Yield Fund Inc., Class Common Shares(a) | | | | | 9,320,946 | | |
| | | 235,718 | | | | PGIM High Yield Bond Fund Inc., Class Common Shares | | | | | 3,403,768 | | |
| | | 238,831 | | | | Royce Micro-Capital Trust Inc., Class Common Shares | | | | | 1,874,823 | | |
| | | 19,538 | | | | Source Capital Inc., Class Common Shares | | | | | 692,427 | | |
| | | 106,401 | | | | Special Opportunities Fund Inc., Class Common Shares | | | | | 1,470,462 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| CLOSED-END FUNDS – (continued) | | ||||||||||||
| | | 829,493 | | | | Templeton Global Income Fund, Class Common Shares | | | | $ | 5,051,612 | | |
| | | 216,980 | | | | Tortoise Midstream Energy Fund Inc., Class Common Shares | | | | | 2,610,269 | | |
| | | 8,009 | | | | Virtus Total Return Fund Inc., Class Common Shares | | | | | 86,417 | | |
| | | 568 | | | | Voya Emerging Markets High Income Dividend Equity Fund, Class Common Shares | | | | | 3,908 | | |
| | | 1,739,832 | | | | Voya Prime Rate Trust, Class Common Shares(a) | | | | | 8,090,219 | | |
| | | 99,238 | | | | Western Asset Corporate Loan Fund Inc., Class Common Shares | | | | | 932,837 | | |
| | | 42,738 | | | | Western Asset Emerging Markets Debt Fund Inc., Class Common Shares | | | | | 580,382 | | |
| | | 299,186 | | | | Western Asset Global High Income Fund Inc., Class Common Shares | | | | | 2,917,063 | | |
| | | 596,406 | | | | Western Asset High Income Opportunity Fund Inc., Class Common Shares | | | | | 2,987,994 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost – $143,230,766) | | | | | 140,151,479 | | |
| PREFERRED STOCK – 0.1% | | ||||||||||||
| FINANCIAL – 0.1% | | ||||||||||||
| Investment Companies – 0.1% | | ||||||||||||
| | | 34,533 | | | | THL Credit Inc., 6.125% | | | | | | | |
| | | | | | | (Cost – $858,338) | | | | | 915,124 | | |
| WARRANTS – 0.0% | | ||||||||||||
| DIVERSIFIED – 0.0% | | ||||||||||||
| SPACs – 0.0% | | ||||||||||||
| | | 76,557 | | | | 8i Enterprises Acquisition Corp.*(i) | | | | | 21,528 | | |
| | | 1,071 | | | | Akerna Corp.*(i) | | | | | 1,189 | | |
| | | 62,291 | | | | Allied Esports Entertainment Inc.*(i) | | | | | 11,835 | | |
| | | 25,362 | | | | Big Rock Partners Acquisition Corp.*(i) | | | | | 5,326 | | |
| | | 33,529 | | | | Boxwood Merger Corp.*(i) | | | | | 20,811 | | |
| | | 32,931 | | | | Chardan Healthcare Acquisition Corp.*(i) | | | | | 25,456 | | |
| | | 43,875 | | | | DD3 Acquisition Corp.*(i) | | | | | 11,732 | | |
| | | 22,935 | | | | DermTech Inc.(i)* | | | | | 2,064 | | |
| | | 5,402 | | | | Far Point Acquisition Corp.*(i) | | | | | 7,131 | | |
| | | 16,736 | | | | Gordon Pointe Acquisition Corp.*(i) | | | | | 7,531 | | |
| | | 42,092 | | | | Legacy Acquisition Corp.*(i) | | | | | 16,795 | | |
| | | 30,854 | | | | Leisure Acquisition Corp.*(i) | | | | | 22,983 | | |
| | | 2,813 | | | | LF Capital Acquisition Corp.*(i) | | | | | 955 | | |
| | | 10,017 | | | | NRC Group Holdings Corp.*(i) | | | | | 21,036 | | |
| | | 18,239 | | | | Opes Acquisition Corp.*(i) | | | | | 3,099 | | |
| | | 36,319 | | | | Pensare Acquisition Corp.*(i) | | | | | 9,076 | | |
| | | 14,462 | | | | Pivotal Acquisition Corp.*(i) | | | | | 18,656 | | |
| | | 15,328 | | | | Pure Acquisition Corp.*(i) | | | | | 15,328 | | |
| | | 4,234 | | | | Repay Holdings Corp.*(i) | | | | | 3,260 | | |
| Shares/Units | | | Security | | | Value | | ||||||
| WARRANTS – (continued) | | ||||||||||||
| DIVERSIFIED – (continued) | | ||||||||||||
| SPACs – (continued) | | ||||||||||||
| | | 8,304 | | | | Tiberius Acquisition Corp.*(i) | | | | $ | 4,733 | | |
| | | 4,232 | | | | Trident Acquisitions Corp.*(i) | | | | | 664 | | |
| | | 3,426 | | | | Trinity Merger Corp.*(i) | | | | | 2,223 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.*(i) | | | | | 3,527 | | |
| | | 190,596 | | | | Ultra Petroleum Corp.*(i) | | | | | 1,906 | | |
| | | 17,313 | | | | VectoIQ Acquisition Corp.*(i) | | | | | 7,964 | | |
| | | 23,299 | | | | X4 Pharmaceuticals Inc.*(h) | | | | | — | | |
| | | | | | | Total SPACs | | | | | 246,808 | | |
| | | | | | | TOTAL DIVERSIFIED | | | | | 246,808 | | |
| | | | | | | TOTAL WARRANTS (Cost – $434,780) | | | | | 246,808 | | |
| RIGHTS – 0.0% | | ||||||||||||
| | | 76,557 | | | | 8i Enterprises Acquisition Corp.*(i) | | | | | 23,733 | | |
| | | 50,724 | | | | Big Rock Partners Acquisition Corp.*(i) | | | | | 7,608 | | |
| | | 72,639 | | | | Pensare Acquisition Corp.*(i) | | | | | 14,528 | | |
| | | 18,561 | | | | Twelve Seas Investment Co.*(i) | | | | | 4,640 | | |
| | | | | | | TOTAL RIGHTS (Cost – $89,538) | | | | | 50,509 | | |
| | | | | | | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost – $888,723,619) | | | | | 821,775,799 | | |
| Face Amount | | | | | | | | ||||||
| SHORT-TERM INVESTMENTS – 10.2% | | ||||||||||||
| TIME DEPOSITS – 10.2% | | ||||||||||||
| | | 49,499,428GBP | | | | ANZ National Bank – London, 1.490% due 9/3/19 | | | | | 49,499,428 | | |
| | | 3,478,465EUR | | | | Banco Santander SA – Frankfurt, 1.490% due 9/3/19 | | | | | 3,478,465 | | |
| | $ | 35,643,404 | | | | Citibank – New York, 1.490% due 9/3/19 | | | | | 35,643,404 | | |
| | | 6,658,295JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.490% due 9/3/19 | | | | | 6,658,295 | | |
| | | | | | | TOTAL TIME DEPOSITS (Cost – $95,279,592) | | | | | 95,279,592 | | |
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING – 1.2% | | ||||||||||||
| MONEY MARKET FUND – 1.2% | | ||||||||||||
| | | 11,094,771 | | | | Federated Government Obligations Fund, Premier Class, 2.012%(j) (Cost – $11,094,771) | | | | | 11,094,771 | | |
| | | | | | | TOTAL INVESTMENTS – 99.4% (Cost – $995,097,982#) | | | | | 928,150,162 | | |
| | | | | | | Other Assets in Excess of Liabilities – 0.6% | | | | | 5,909,728 | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 934,059,890 | | |
|
| Corporate Bonds & Notes | | | | | 20.4% | | |
| Open-End Fund | | | | | 18.3 | | |
| Common Stocks | | | | | 16.3 | | |
| Closed-End Funds | | | | | 15.1 | | |
| Collateralized Mortgage Obligations | | | | | 10.5 | | |
| Senior Loans | | | | | 5.1 | | |
| Asset-Backed Securities | | | | | 1.4 | | |
| Municipal Bonds | | | | | 1.3 | | |
| Preferred Stock | | | | | 0.1 | | |
| Warrants | | | | | 0.0* | | |
| Rights | | | | | 0.0* | | |
| Short-Term Investments | | | | | 10.3 | | |
| Money Market Fund | | | | | 1.2 | | |
| | | | | | 100.0% | | |
|
Equity Options
Number of Contracts | | | Notional Amount | | | Security Name | | | Counterparty | | | Expiration Date | | | Exercise Rate | | | Value | |
121 | | | 1,070,366 | | | Allakos Inc. | | | GSC | | | 9/20/19 | | | $95.00 | | | $37,510 | |
| | | | | | TOTAL OPTION CONTRACTS WRITTEN (Premiums received – $67,926) | | | | | | | | | | | | $37,510 | |
Reference Obligation | | | Fixed Deal Receive Rate | | | Maturity Date | | | Payment Frequency | | | Counterparty | | | Implied Credit Spread at 8/31/2019(2) | | | Notional Amounts in (000’s)(3) | | | Market Value | | | Upfront Premiums (Received) | | | Unrealized Appreciation | | |||||||||||||||||||||
CDX IG CDSI Series 31 5Y | | | | | 1.000% | | | | | | 12/20/23 | | | | 3-Month | | | GSC | | | | | 2.000% | | | | | $ | 20,000 | | | | | $ | (790,562) | | | | | $ | (1,206,000) | | | | | $ | 415,438 | | |
CDX IG CDSI Series 31 5Y | | | | | 1.000% | | | | | | 12/20/23 | | | | 3-Month | | | GSC | | | | | 2.000% | | | | | | 10,000 | | | | | | (395,281) | | | | | | (750,000) | | | | | | 354,719 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (1,185,843) | | | | | | (1,956,000) | | | | | | 770,157 | | |
| Face Amount | | | Security | | | Value | | ||||||
| SECURITIES SOLD SHORT – 7.8% | | ||||||||||||
| CORPORATE BOND & NOTE – 0.5% | | ||||||||||||
| Consumer Non-cyclical – 0.5% | | ||||||||||||
| | $ | 4,800,000 | | | | Hadrian Merger Sub Inc., Senior Unsecured Notes, 8.500% due 5/1/26(a) (Proceeds – $4,572,000) | | | | $ | 4,596,000 | | |
| Shares/Units | | | | | | | | ||||||
| EXCHANGE TRADED FUNDS (ETFs) – 6.4% | | ||||||||||||
| | | 202,997 | | | | Invesco Senior Loan | | | | | 4,589,762 | | |
| | | 85,000 | | | | iShares iBoxx High Yield Corporate Bond | | | | | 7,408,600 | | |
| | | 87,693 | | | | iShares Nasdaq Biotechnology | | | | | 9,026,241 | | |
| | | 103,000 | | | | SPDR Bloomberg Barclays Short Term High Yield Bond | | | | | 2,784,090 | | |
| | | 263,905 | | | | SPDR S&P Biotech | | | | | 21,210,045 | | |
| | | 290,560 | | | | SPDR S&P Regional Banking | | | | | 14,562,867 | | |
| | | | | | | TOTAL EXCHANGE TRADED FUNDS (ETFs) (Proceeds – $61,723,528) | | | | | 59,581,605 | | |
| COMMON STOCKS – 0.9% | | ||||||||||||
| COMMUNICATIONS – 0.3% | | ||||||||||||
| Internet – 0.3% | | ||||||||||||
| | | 50,000 | | | | Chewy Inc., Class A Shares* | | | | | 1,650,000 | | |
| | | 20,000 | | | | Uber Technologies Inc.* | | | | | 651,400 | | |
| | | | | | | Total Internet | | | | | 2,301,400 | | |
| | | | | | | TOTAL COMMUNICATIONS | | | | | 2,301,400 | | |
| CONSUMER NON-CYCLICAL – 0.6% | | ||||||||||||
| Pharmaceuticals – 0.6% | | ||||||||||||
| | | 44,703 | | | | AbbVie Inc. | | | | | 2,938,775 | | |
| | | 50,386 | | | | Bristol-Myers Squibb Co. | | | | | 2,422,055 | | |
| | | 15,265 | | | | Herbalife Nutrition Ltd.* | | | | | 525,574 | | |
| | | 50,000 | | | | Mallinckrodt PLC* | | | | | 129,500 | | |
| | | | | | | Total Pharmaceuticals | | | | | 6,015,904 | | |
| | | | | | | TOTAL CONSUMER NON-CYCLICAL | | | | | 6,015,904 | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds – $9,135,117) | | | | | 8,317,304 | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT – 7.8% (Proceeds – $75,430,645) | | | | $ | 72,494,909 | | |
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 3,760,948,707 | | | | | $ | 974,217,724 | | | | | $ | 1,805,049,983 | | | | | $ | 417,168,590 | | | | | $ | 135,695,570 | | |
Foreign currency, at value(3) | | | | | 17 | | | | | | — | | | | | | 1,099,480 | | | | | | — | | | | | | — | | |
Cash | | | | | 81,567 | | | | | | 37,751 | | | | | | 75,872 | | | | | | 12,933 | | | | | | 18,755 | | |
Unrealized appreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Receivable for securities sold | | | | | 10,400,810 | | | | | | 9,395,548 | | | | | | 1,421,226 | | | | | | 2,080,482 | | | | | | 5,516,826 | | |
Dividends and interest receivable | | | | | 5,119,737 | | | | | | 1,189,111 | | | | | | 2,324,737 | | | | | | 1,270,448 | | | | | | 168,389 | | |
Receivable for Fund shares sold | | | | | 1,704,289 | | | | | | 396,828 | | | | | | 774,194 | | | | | | 217,577 | | | | | | 55,242 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 17,504 | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts(4) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Deposits with counterparty(4) | | | | | 466,200 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Prepaid expenses | | | | | 39,841 | | | | | | 10,879 | | | | | | 19,135 | | | | | | 4,607 | | | | | | 2,559 | | |
Prepaid Chief Compliance Officer expense | | | | | 26,539 | | | | | | 6,708 | | | | | | 12,426 | | | | | | 2,936 | | | | | | 1,111 | | |
Total Assets | | | | | 3,778,787,707 | | | | | | 985,254,549 | | | | | | 1,810,794,557 | | | | | | 420,757,573 | | | | | | 141,458,452 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 19,637,880 | | | | | | 20,073,213 | | | | | | 30,252,118 | | | | | | 799,570 | | | | | | 616,340 | | |
Payable for Fund shares repurchased | | | | | 2,854,931 | | | | | | 834,048 | | | | | | 1,360,433 | | | | | | 187,136 | | | | | | 93,117 | | |
Payable for securities purchased | | | | | 13,589,942 | | | | | | 10,162,157 | | | | | | 6,342,745 | | | | | | 2,161,358 | | | | | | — | | |
Investment management fee payable | | | | | 1,953,573 | | | | | | 699,982 | | | | | | 1,373,255 | | | | | | 228,315 | | | | | | 119,779 | | |
Transfer agent fees payable | | | | | 427,572 | | | | | | 108,722 | | | | | | 206,109 | | | | | | 41,910 | | | | | | 16,723 | | |
Custody fee payable | | | | | 115,030 | | | | | | 38,903 | | | | | | 166,479 | | | | | | 19,870 | | | | | | 16,861 | | |
Trustees’ fees payable | | | | | 39,303 | | | | | | 10,852 | | | | | | 18,984 | | | | | | 4,370 | | | | | | 2,853 | | |
Registration fees payable | | | | | 73,061 | | | | | | 10,678 | | | | | | 40,458 | | | | | | 18,385 | | | | | | 7,270 | | |
Shareholder services | | | | | 64,894 | | | | | | 2,333 | | | | | | 22,088 | | | | | | 174 | | | | | | 110 | | |
Variation margin on open future contracts (Note 4) | | | | | 2,415 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Due to custodian(3) | | | | | — | | | | | | — | | | | | | — | | | | | | 50 | | | | | | 2,623 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | 32,619 | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued expenses | | | | | 34,406 | | | | | | 9,888 | | | | | | 42,772 | | | | | | 9,376 | | | | | | 9,366 | | |
Total Liabilities | | | | | 38,793,007 | | | | | | 31,950,776 | | | | | | 39,858,060 | | | | | | 3,470,514 | | | | | | 885,042 | | |
Total Net Assets | | | | $ | 3,739,994,700 | | | | | $ | 953,303,773 | | | | | $ | 1,770,936,497 | | | | | $ | 417,287,059 | | | | | $ | 140,573,410 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 315,753 | | | | | $ | 83,832 | | | | | $ | 159,508 | | | | | $ | 40,877 | | | | | $ | 34,534 | | |
Paid-in capital in excess of par value | | | | | 3,189,939,732 | | | | | | 847,543,620 | | | | | | 1,621,305,038 | | | | | | 402,308,985 | | | | | | 340,585,146 | | |
Total distributable earnings (losses) | | | | | 549,739,215 | | | | | | 105,676,321 | | | | | | 149,471,951 | | | | | | 14,937,197 | | | | | | (200,046,270) | | |
Total Net Assets | | | | $ | 3,739,994,700 | | | | | $ | 953,303,773 | | | | | $ | 1,770,936,497 | | | | | $ | 417,287,059 | | | | | $ | 140,573,410 | | |
Total Net Assets Class I | | | | $ | 3,566,867,760 | | | | | $ | 911,673,943 | | | | | $ | 1,691,326,505 | | | | | $ | 402,047,050 | | | | | $ | 134,710,539 | | |
Total Net Assets Class Z | | | | $ | 173,126,940 | | | | | $ | 41,629,830 | | | | | $ | 79,609,992 | | | | | $ | 15,240,009 | | | | | $ | 5,862,871 | | |
Shares Outstanding Class I | | | | | 298,026,193 | | | | | | 79,379,802 | | | | | | 151,355,929 | | | | | | 39,340,422 | | | | | | 33,110,158 | | |
Shares Outstanding Class Z | | | | | 17,726,992 | | | | | | 4,452,792 | | | | | | 8,152,436 | | | | | | 1,537,024 | | | | | | 1,423,968 | | |
Net Asset Value Class I | | | | $ | 11.97 | | | | | $ | 11.48 | | | | | $ | 11.17 | | | | | $ | 10.22 | | | | | $ | 4.07 | | |
Net Asset Value Class Z | | | | $ | 9.77 | | | | | $ | 9.35 | | | | | $ | 9.77 | | | | | $ | 9.92 | | | | | $ | 4.12 | | |
(1) Investments, at cost | | | | $ | 3,250,439,064 | | | | | $ | 898,214,470 | | | | | $ | 1,632,247,320 | | | | | $ | 407,641,177 | | | | | $ | 150,004,577 | | |
(2) Includes securities on loan | | | | $ | 19,219,210 | | | | | $ | 19,624,122 | | | | | $ | 28,204,097 | | | | | $ | 782,670 | | | | | $ | 597,006 | | |
(3) Foreign currency, at cost | | | | $ | 134 | | | | | $ | — | | | | | $ | 1,101,879 | | | | | $ | (50) | | | | | $ | (2,626) | | |
(4) Related to futures contracts | | | | $ | 466,200 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value(1)(2) | | | | $ | 1,953,004,339 | | | | | $ | 399,222,162 | | | | | $ | 784,169,879 | | | | | $ | 919,039,023 | | | | | $ | 928,150,162 | | |
Foreign currency, at value(3) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cash | | | | | 107,696 | | | | | | 38,494 | | | | | | 73,239 | | | | | | 35,200 | | | | | | 127,750 | | |
Unrealized appreciation on unfunded loan commitments | | | | | 82 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,510 | | |
Receivable for securities sold | | | | | 7,573,839 | | | | | | 64,426 | | | | | | 3,010,651 | | | | | | 143,205 | | | | | | 30,517 | | |
Dividends and interest receivable | | | | | 9,603,005 | | | | | | 3,547,397 | | | | | | 8,756,202 | | | | | | 7,412,710 | | | | | | 6,283,212 | | |
Receivable for Fund shares sold | | | | | 1,606,815 | | | | | | 304,298 | | | | | | 408,536 | | | | | | 508,853 | | | | | | 512,411 | | |
Receivable for expense reimbursement | | | | | — | | | | | | — | | | | | | — | | | | | | 6,364 | | | | | | — | | |
Unrealized appreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | 212,170 | | | | | | 423,924 | | | | | | — | | | | | | — | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unrealized appreciation on swap contracts(4) (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 770,157 | | |
Deposits with counterparty(4) | | | | | — | | | | | | — | | | | | | 2,800,000 | | | | | | — | | | | | | 18,304,226 | | |
Cash held at Broker | | | | | — | | | | | | — | | | | | | 5,519,634 | | | | | | — | | | | | | 67,640,747 | | |
Prepaid expenses | | | | | 19,815 | | | | | | 4,323 | | | | | | 8,815 | | | | | | 9,427 | | | | | | 10,470 | | |
Prepaid Chief Compliance Officer expense | | | | | 13,388 | | | | | | 2,786 | | | | | | 5,550 | | | | | | 4,545 | | | | | | 6,502 | | |
Total Assets | | | | | 1,971,928,979 | | | | | | 403,396,056 | | | | | | 805,176,430 | | | | | | 927,159,327 | | | | | | 1,021,840,664 | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for collateral received from securities on loan | | | | | 237,591 | | | | | | — | | | | | | 4,016,865 | | | | | | — | | | | | | 11,094,771 | | |
Payable for Fund shares repurchased | | | | | 1,319,537 | | | | | | 222,844 | | | | | | 422,696 | | | | | | 316,454 | | | | | | 535,669 | | |
Payable for securities purchased | | | | | 11,573,595 | | | | | | 1,002,500 | | | | | | — | | | | | | 24,015,965 | | | | | | 492,992 | | |
Investment management fee payable | | | | | 943,128 | | | | | | 230,836 | | | | | | 497,569 | | | | | | 417,322 | | | | | | 772,821 | | |
Transfer agent fees payable | | | | | 230,058 | | | | | | 48,443 | | | | | | 93,085 | | | | | | 107,738 | | | | | | 109,402 | | |
Custody fee payable | | | | | 142,084 | | | | | | 32,838 | | | | | | 58,572 | | | | | | 86,153 | | | | | | 68,060 | | |
Trustees’ fees payable | | | | | 18,836 | | | | | | 4,130 | | | | | | 7,960 | | | | | | 8,674 | | | | | | 10,124 | | |
Registration fees payable | | | | | 55,717 | | | | | | 306 | | | | | | 14,576 | | | | | | 1,094 | | | | | | 51,694 | | |
Shareholder services | | | | | 24,298 | | | | | | 77 | | | | | | 1,025 | | | | | | 7,443 | | | | | | 211 | | |
Variation margin on open future contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Upfront premiums received on swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,956,000 | | |
Unrealized depreciation on unfunded loan commitments | | | | | 13 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short(5) (Note 5) | | | | | — | | | | | | — | | | | | | 5,849,249 | | | | | | — | | | | | | 72,494,909 | | |
Due to custodian(3) | | | | | — | | | | | | 13 | | | | | | 1 | | | | | | — | | | | | | 4 | | |
Options contracts written, at value(6) (Note 4) | | | | | — | | | | | | — | | | | | | 39,977 | | | | | | — | | | | | | 37,510 | | |
Unrealized depreciation on open forward foreign currency contracts (Note 4) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Investment interest payable on securities sold short | | | | | — | | | | | | — | | | | | | 58,666 | | | | | | — | | | | | | 136,000 | | |
Accrued expenses | | | | | 29,282 | | | | | | 5,694 | | | | | | 14,550 | | | | | | 5,426 | | | | | | 20,607 | | |
Total Liabilities | | | | | 14,574,139 | | | | | | 1,547,681 | | | | | | 11,074,791 | | | | | | 24,966,269 | | | | | | 87,780,774 | | |
Total Net Assets | | | | $ | 1,957,354,840 | | | | | $ | 401,848,375 | | | | | $ | 794,101,639 | | | | | $ | 902,193,058 | | | | | $ | 934,059,890 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Par value | | | | $ | 190,304 | | | | | $ | 40,802 | | | | | $ | 80,073 | | | | | $ | 85,761 | | | | | $ | 97,764 | | |
Paid-in capital in excess of par value | | | | | 1,902,803,629 | | | | | | 405,279,441 | | | | | | 805,899,898 | | | | | | 859,393,151 | | | | | | 970,765,223 | | |
Total distributable earnings (losses) | | | | | 54,360,907 | | | | | | (3,471,868) | | | | | | (11,878,332) | | | | | | 42,714,146 | | | | | | (36,803,097) | | |
Total Net Assets | | | | $ | 1,957,354,840 | | | | | $ | 401,848,375 | | | | | $ | 794,101,639 | | | | | $ | 902,193,058 | | | | | $ | 934,059,890 | | |
Total Net Assets Class I | | | | $ | 1,871,423,321 | | | | | $ | 386,439,323 | | | | | $ | 763,456,036 | | | | | $ | 885,671,473 | | | | | $ | 897,621,774 | | |
Total Net Assets Class Z | | | | $ | 85,931,519 | | | | | $ | 15,409,052 | | | | | $ | 30,645,603 | | | | | $ | 16,521,585 | | | | | $ | 36,438,116 | | |
Shares Outstanding Class I | | | | | 182,147,428 | | | | | | 39,266,361 | | | | | | 77,029,411 | | | | | | 84,194,211 | | | | | | 93,863,348 | | |
Shares Outstanding Class Z | | | | | 8,156,554 | | | | | | 1,535,868 | | | | | | 3,043,129 | | | | | | 1,566,381 | | | | | | 3,900,752 | | |
Net Asset Value Class I | | | | $ | 10.27 | | | | | $ | 9.84 | | | | | $ | 9.91 | | | | | $ | 10.52 | | | | | $ | 9.56 | | |
Net Asset Value Class Z | | | | $ | 10.54 | | | | | $ | 10.03 | | | | | $ | 10.07 | | | | | $ | 10.55 | | | | | $ | 9.34 | | |
(1) Investments, at cost | | | | $ | 1,892,814,770 | | | | | $ | 401,815,776 | | | | | $ | 785,023,648 | | | | | $ | 877,273,143 | | | | | $ | 995,097,982 | | |
(2) Includes securities on loan | | | | $ | 232,592 | | | | | $ | — | | | | | $ | 3,937,672 | | | | | $ | — | | | | | $ | 10,861,620 | | |
(3) Foreign currency, at cost | | | | $ | — | | | | | $ | (13) | | | | | $ | 9,388 | | | | | $ | — | | | | | $ | (4) | | |
(4) Related to futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
(5) Proceeds received | | | | $ | — | | | | | $ | — | | | | | $ | 5,533,978 | | | | | $ | — | | | | | $ | 77,386,645 | | |
(6) Premiums received | | | | $ | — | | | | | $ | — | | | | | $ | 76,901 | | | | | $ | — | | | | | $ | 67,926 | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | 30,061,076 | | | | | $ | 7,891,044 | | | | | $ | 24,061,110 | | | | | $ | 9,460,881 | | | | | $ | 1,504,680 | | |
Interest | | | | | 1,017,027 | | | | | | 304,508 | | | | | | 657,987 | | | | | | 135,280 | | | | | | 74,093 | | |
Income from securities lending | | | | | 61,725 | | | | | | 124,039 | | | | | | 397,981 | | | | | | 25,912 | | | | | | 24,154 | | |
Less: Foreign taxes withheld (Note 5) | | | | | (197,044) | | | | | | (1,006) | | | | | | (1,835,974) | | | | | | (376,909) | | | | | | (71,844) | | |
Total Investment Income | | | | | 30,942,784 | | | | | | 8,318,585 | | | | | | 23,281,104 | | | | | | 9,245,164 | | | | | | 1,531,083 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 13,759,726 | | | | | | 4,443,290 | | | | | | 8,692,370 | | | | | | 1,661,382 | | | | | | 956,652 | | |
Transfer agent fees | | | | | 2,737,764 | | | | | | 738,201 | | | | | | 1,297,800 | | | | | | 309,320 | | | | | | 143,169 | | |
Custody fees | | | | | 524,927 | | | | | | 157,144 | | | | | | 652,276 | | | | | | 79,551 | | | | | | 42,210 | | |
Trustees’ fees | | | | | 111,890 | | | | | | 31,365 | | | | | | 52,674 | | | | | | 12,917 | | | | | | 7,016 | | |
Insurance | | | | | 36,611 | | | | | | 9,917 | | | | | | 17,180 | | | | | | 4,239 | | | | | | 2,379 | | |
Audit and tax | | | | | 23,903 | | | | | | 8,615 | | | | | | 35,266 | | | | | | 5,904 | | | | | | 4,506 | | |
Legal expense | | | | | 69,699 | | | | | | 18,135 | | | | | | 31,376 | | | | | | 9,929 | | | | | | 5,168 | | |
Chief Compliance Officer expense | | | | | 60,172 | | | | | | 16,640 | | | | | | 28,430 | | | | | | 6,840 | | | | | | 3,678 | | |
Shareholder services | | | | | 62,691 | | | | | | 17,686 | | | | | | 29,960 | | | | | | 16,586 | | | | | | 16,030 | | |
Registration fees | | | | | 89,666 | | | | | | 35,397 | | | | | | 49,877 | | | | | | 22,172 | | | | | | 20,834 | | |
Miscellaneous expense | | | | | 44,364 | | | | | | 14,231 | | | | | | 31,815 | | | | | | 8,977 | | | | | | 7,595 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | — | | | | | | 1,069,952 | | | | | | — | | |
Total Expenses | | | | | 17,521,413 | | | | | | 5,490,621 | | | | | | 10,919,024 | | | | | | 3,207,769 | | | | | | 1,209,237 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (2,307,870) | | | | | | (246,239) | | | | | | (753,207) | | | | | | (318,509) | | | | | | (40,571) | | |
Net Expenses | | | | | 15,213,543 | | | | | | 5,244,382 | | | | | | 10,165,817 | | | | | | 2,889,260 | | | | | | 1,168,666 | | |
Net Investment Income (Loss) | | | | $ | 15,729,241 | | | | | $ | 3,074,203 | | | | | $ | 13,115,287 | | | | | $ | 6,355,904 | | | | | $ | 362,417 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 28,634,483 | | | | | $ | 39,439,979 | | | | | $ | (11,779,425) | | | | | $ | 3,123,088 | | | | | $ | (171,141,571) | | |
Futures contracts | | | | | 1,490,847 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | (425,942) | | | | | | | | | | | | | | |
Foreign currency transactions | | | | | 2,205 | | | | | | — | | | | | | (251,924) | | | | | | (42,414) | | | | | | (16,237) | | |
Realized Gain (Loss) | | | | | 30,127,535 | | | | | | 39,439,979 | | | | | | (12,457,291) | | | | | | 3,080,674 | | | | | | (171,157,808) | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 61,994,889 | | | | | | (25,838,874) | | | | | | 46,281,303 | | | | | | (3,736,473) | | | | | | 89,913,622 | | |
Futures contracts | | | | | (744,005) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Options contracts written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward sale commitments | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Forward foreign currency contracts | | | | | — | | | | | | — | | | | | | (134,811) | | | | | | — | | | | | | — | | |
Foreign currency transactions | | | | | 715 | | | | | | — | | | | | | 7,626 | | | | | | (11,297) | | | | | | 471 | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 61,251,599 | | | | | | (25,838,874) | | | | | | 46,154,118 | | | | | | (3,747,770) | | | | | | 89,914,093 | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Securities Short Sold, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | | | | | 91,379,134 | | | | | | 13,601,105 | | | | | | 33,696,827 | | | | | | (667,096) | | | | | | (81,243,715) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 107,108,375 | | | | | $ | 16,675,308 | | | | | $ | 46,812,114 | | | | | $ | 5,688,808 | | | | | $ | (80,881,298) | | |
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | |||||||||||||||
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends | | | | $ | — | | | | | $ | 323,407 | | | | | $ | 486,311 | | | | | $ | — | | | | | $ | 9,998,313 | | |
Interest | | | | | 34,288,094 | | | | | | 8,276,516 | | | | | | 18,229,265 | | | | | | 9,166,914 | | | | | | 18,129,067 | | |
Income from securities lending | | | | | 1,314 | | | | | | 36,841 | | | | | | 33,755 | | | | | | — | | | | | | 501,922 | | |
Less: Foreign taxes withheld (Note 5) | | | | | — | | | | | | — | | | | | | (2,500) | | | | | | — | | | | | | — | | |
Total Investment Income | | | | | 34,289,408 | | | | | | 8,636,764 | | | | | | 18,746,831 | | | | | | 9,166,914 | | | | | | 28,629,302 | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee (Note 7) | | | | | 5,975,383 | | | | | | 1,401,912 | | | | | | 3,398,543 | | | | | | 3,123,095 | | | | | | 6,279,413 | | |
Transfer agent fees | | | | | 1,375,080 | | | | | | 300,377 | | | | | | 598,345 | | | | | | 674,141 | | | | | | 696,862 | | |
Custody fees | | | | | 460,370 | | | | | | 109,517 | | | | | | 169,229 | | | | | | 256,713 | | | | | | 181,864 | | |
Trustees’ fees | | | | | 56,115 | | | | | | 12,438 | | | | | | 25,574 | | | | | | 27,930 | | | | | | 29,497 | | |
Insurance | | | ��� | | 18,599 | | | | | | 3,815 | | | | | | 7,975 | | | | | | 7,859 | | | | | | 10,053 | | |
Audit and tax | | | | | 16,328 | | | | | | 7,608 | | | | | | 9,994 | | | | | | 12,062 | | | | | | 11,817 | | |
Legal expense | | | | | 36,283 | | | | | | 7,100 | | | | | | 20,058 | | | | | | 20,237 | | | | | | 53,456 | | |
Chief Compliance Officer expense | | | | | 29,813 | | | | | | 6,691 | | | | | | 13,366 | | | | | | 16,564 | | | | | | 15,538 | | |
Shareholder services | | | | | 31,236 | | | | | | 17,240 | | | | | | 16,154 | | | | | | 15,129 | | | | | | 35,730 | | |
Registration fees | | | | | 50,489 | | | | | | 26,096 | | | | | | 31,920 | | | | | | 83,457 | | | | | | 32,453 | | |
Miscellaneous expense | | | | | 23,336 | | | | | | 8,081 | | | | | | 13,372 | | | | | | 9,714 | | | | | | 16,520 | | |
Interest and dividend expense | | | | | — | | | | | | — | | | | | | 113,583 | | | | | | — | | | | | | 598,115 | | |
Total Expenses | | | | | 8,073,032 | | | | | | 1,900,875 | | | | | | 4,418,113 | | | | | | 4,246,901 | | | | | | 7,961,318 | | |
Less: Fee waivers and/or expense reimbursement (Note 7) | | | | | (718,938) | | | | | | (42,774) | | | | | | (443,067) | | | | | | (687,263) | | | | | | (1,847,507) | | |
Net Expenses | | | | | 7,354,094 | | | | | | 1,858,101 | | | | | | 3,975,046 | | | | | | 3,559,638 | | | | | | 6,113,811 | | |
Net Investment Income (Loss) | | | | $ | 26,935,314 | | | | | $ | 6,778,663 | | | | | $ | 14,771,785 | | | | | $ | 5,607,276 | | | | | $ | 22,515,491 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SECURITIES SHORT SOLD, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 4 AND 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | $ | 1,184,354 | | | | | $ | 144,615 | | | | | $ | (1,422,471) | | | | | $ | 3,871,845 | | | | | $ | 12,512,326 | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,300 | | |
Forward sale commitments | | | | | (12,914) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Option written | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (24,798) | | | | | | — | | | | | | 98,733 | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 269,945 | | |
Forward foreign currency contracts | | | | | — | | | | | | 53,122 | | | | | | 132,154 | | | | | | — | | | | | | 18,374 | | |
Foreign currency transactions | | | | | — | | | | | | (6,899) | | | | | | (63,864) | | | | | | — | | | | | | (1,234) | | |
Realized Gain (Loss) | | | | | 1,171,440 | | | | | | 190,838 | | | | | | (1,378,979) | | | | | | 3,871,845 | | | | | | 12,905,444 | | |
Change in Net Unrealized Appreciation (Depreciation) From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | 79,391,139 | | | | | | 67,794 | | | | | | 9,974,915 | | | | | | 34,064,203 | | | | | | (44,326,927) | | |
Futures contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Unfunded loan commitments | | | | | 946 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,510 | | |
Options contracts written | | | | | — | | | | | | — | | | | | | 36,924 | | | | | | — | | | | | | 30,416 | | |
Forward sale commitments | | | | | (4,368) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Securities sold short | | | | | — | | | | | | — | | | | | | (282,060) | | | | | | — | | | | | | 4,453,637 | | |
Swap contracts | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 770,157 | | |
Forward foreign currency contracts | | | | | — | | | | | | 239,470 | | | | | | 467,015 | | | | | | — | | | | | | 72,219 | | |
Foreign currency transactions | | | | | — | | | | | | (12,679) | | | | | | (21,375) | | | | | | — | | | | | | — | | |
Change in Net Unrealized Appreciation (Depreciation): | | | | | 79,387,717 | | | | | | 294,585 | | | | | | 10,175,419 | | | | | | 34,064,203 | | | | | | (38,995,988) | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Securities Short Sold, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | | | | | 80,559,157 | | | | | | 485,423 | | | | | | 8,796,440 | | | | | | 37,936,048 | | | | | | (26,090,544) | | |
Total Increase (Decrease) in Net Assets from Operations | | | | $ | 107,494,471 | | | | | $ | 7,264,086 | | | | | $ | 23,568,225 | | | | | $ | 43,543,324 | | | | | $ | (3,575,053) | | |
|
| | | Destinations Large Cap Equity Fund | | | Destinations Small-Mid Cap Equity Fund | | | Destinations International Equity Fund | | |||||||||||||||||||||||||||
| | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 15,729,241 | | | | | $ | 26,810,929 | | | | | $ | 3,074,203 | | | | | $ | 4,215,903 | | | | | $ | 13,115,287 | | | | | $ | 11,465,367 | | |
Net realized gain (loss) | | | | | 30,127,535 | | | | | | 33,192,862 | | | | | | 39,439,979 | | | | | | 20,208,237 | | | | | | (12,457,291) | | | | | | (19,339,489) | | |
Change in unrealized appreciation (depreciation) | | | | | 61,251,599 | | | | | | 75,932,601 | | | | | | (25,838,874) | | | | | | 58,022,773 | | | | | | 46,154,118 | | | | | | (50,824,061) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 107,108,375 | | | | | | 135,936,392 | | | | | | 16,675,308 | | | | | | 82,446,913 | | | | | | 46,812,114 | | | | | | (58,698,183) | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | (92,350,553) | | | | | | — | | | | | | (38,682,869) | | | | | | — | | | | | | (17,525,265) | | |
Class Z | | | | | — | | | | | | (2,777,284) | | | | | | — | | | | | | (1,128,328) | | | | | | — | | | | | | (526,786) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | — | | | | | | (95,127,837) | | | | | | — | | | | | | (39,811,197) | | | | | | — | | | | | | (18,052,051) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 316,134,097 | | | | | | 1,129,725,279 | | | | | | 78,984,749 | | | | | | 371,756,983 | | | | | | 168,851,745 | | | | | | 553,782,717 | | |
Class Z | | | | | 111,563,919 | | | | | | 82,958,463 | | | | | | 26,660,052 | | | | | | 22,691,457 | | | | | | 50,736,568 | | | | | | 37,465,208 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | — | | | | | | 92,147,062 | | | | | | — | | | | | | 38,556,303 | | | | | | — | | | | | | 17,486,924 | | |
Class Z | | | | | — | | | | | | 2,777,276 | | | | | | — | | | | | | 1,128,317 | | | | | | — | | | | | | 526,783 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (283,017,543) | | | | | | (643,323,422) | | | | | | (146,169,404) | | | | | | (193,629,966) | | | | | | (142,411,890) | | | | | | (289,212,441) | | |
Class Z | | | | | (8,273,828) | | | | | | (12,343,692) | | | | | | (3,688,329) | | | | | | (3,142,418) | | | | | | (4,309,974) | | | | | | (4,606,198) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 136,406,645 | | | | | | 651,940,966 | | | | | | (44,212,932) | | | | | | 237,360,676 | | | | | | 72,866,449 | | | | | | 315,442,993 | | |
Increase (Decrease) in Net Assets | | | | | 243,515,020 | | | | | | 692,749,521 | | | | | | (27,537,624) | | | | | | 279,996,392 | | | | | | 119,678,563 | | | | | | 238,692,759 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 3,496,479,680 | | | | | | 2,803,730,159 | | | | | | 980,841,397 | | | | | | 700,845,005 | | | | | | 1,651,257,934 | | | | | | 1,412,565,175 | | |
End of period | | | | $ | 3,739,994,700 | | | | | $ | 3,496,479,680 | | | | | $ | 953,303,773 | | | | | $ | 980,841,397 | | | | | | 1,770,936,497 | | | | | $ | 1,651,257,934 | | |
|
| | | Destinations Equity Income Fund | | | Destinations Real Assets Fund | | | | ||||||||||||||||||||||
| | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | | | ||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Net investment income (loss) | | | | $ | 6,355,904 | | | | | $ | 10,377,071 | | | | | $ | 362,417 | | | | | $ | 539,576 | | | | | ||||
Net realized gain (loss) | | | | | 3,080,674 | | | | | | 7,560,091 | | | | | | (171,157,808) | | | | | | (12,872,446) | | | | | ||||
Change in unrealized appreciation (depreciation) | | | | | (3,747,770) | | | | | | 9,687,449 | | | | | | 89,914,093 | | | | | | (80,119,505) | | | | | ||||
Increase (Decrease) in Net Assets From Operations | | | | | 5,688,808 | | | | | | 27,624,611 | | | | | | (80,881,298) | | | | | | (92,452,375) | | | | | ||||
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Class I | | | | | (4,886,903) | | | | | | (20,431,968) | | | | | | — | | | | | | (337,560) | | | | | ||||
Class Z | | | | | (161,146) | | | | | | (434,597) | | | | | | — | | | | | | (11,547) | | | | | ||||
Decrease in Net Assets From Distributions to Shareholders | | | | | (5,048,049) | | | | | | (20,866,565) | | | | | | — | | | | | | (349,107) | | | | | ||||
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Class I | | | | | 42,267,379 | | | | | | 146,101,281 | | | | | | 14,183,948 | | | | | | 138,429,624 | | | | | ||||
Class Z | | | | | 6,600,565 | | | | | | 11,442,280 | | | | | | 4,682,435 | | | | | | 5,826,365 | | | | | ||||
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Class I | | | | | 4,876,208 | | | | | | 20,394,007 | | | | | | — | | | | | | 337,006 | | | | | ||||
Class Z | | | | | 158,249 | | | | | | 434,586 | | | | | | — | | | | | | 11,547 | | | | | ||||
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (37,163,171) | | | | | | (102,029,957) | | | | | | (14,603,804) | | | | | | (56,134,660) | | | | | ||||
Class Z | | | | | (1,633,964) | | | | | | (1,541,776) | | | | | | (392,911) | | | | | | (634,022) | | | | | ||||
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 15,105,266 | | | | | | 74,800,421 | | | | | | 3,869,668 | | | | | | 87,835,860 | | | | | ||||
Increase (Decrease) in Net Assets | | | | | 15,746,025 | | | | | | 81,558,467 | | | | | | (77,011,630) | | | | | | (4,965,622) | | | | | ||||
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||
Beginning of period | | | | | 401,541,034 | | | | | | 319,982,567 | | | | | | 217,585,040 | | | | | | 222,550,662 | | | | | ||||
End of period | | | | $ | 417,287,059 | | | | | $ | 401,541,034 | | | | | $ | 140,573,410 | | | | | $ | 217,585,040 | | | | | ||||
|
| | | Destinations Core Fixed Income Fund | | | Destinations Low Duration Fixed Income Fund | | | Destinations Global Fixed Income Opportunities Fund | | |||||||||||||||||||||||||||
| | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | ||||||||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 26,935,314 | | | | | $ | 45,639,857 | | | | | $ | 6,778,663 | | | | | $ | 9,347,197 | | | | | $ | 14,771,785 | | | | | $ | 27,952,952 | | |
Net realized gain (loss) | | | | | 1,171,440 | | | | | | (7,262,537) | | | | | | 190,838 | | | | | | (819,390) | | | | | | (1,378,979) | | | | | | (7,820,934) | | |
Change in unrealized appreciation (depreciation) | | | | | 79,387,717 | | | | | | 6,551,442 | | | | | | 294,585 | | | | | | (1,209,607) | | | | | | 10,175,419 | | | | | | (4,790,612) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 107,494,471 | | | | | | 44,928,762 | | | | | | 7,264,086 | | | | | | 7,318,200 | | | | | | 23,568,225 | | | | | | 15,341,406 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (25,915,402) | | | | | | (43,867,648) | | | | | | (6,949,928) | | | | | | (9,092,756) | | | | | | (15,691,538) | | | | | | (27,291,806) | | |
Class Z | | | | | (739,767) | | | | | | (358,847) | | | | | | (179,385) | | | | | | (86,004) | | | | | | (438,495) | | | | | | (257,556) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (26,655,169) | | | | | | (44,226,495) | | | | | | (7,129,313) | | | | | | (9,178,760) | | | | | | (16,130,033) | | | | | | (27,549,362) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 194,830,222 | | | | | | 504,965,401 | | | | | | 36,718,185 | | | | | | 257,497,046 | | | | | | 63,722,398 | | | | | | 326,225,606 | | |
Class Z | | | | | 58,257,244 | | | | | | 31,239,465 | | | | | | 9,921,571 | | | | | | 6,912,149 | | | | | | 18,092,036 | | | | | | 16,628,666 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | 25,814,809 | | | | | | 43,781,187 | | | | | | 6,921,376 | | | | | | 9,068,735 | | | | | | 15,625,768 | | | | | | 27,223,257 | | |
Class Z | | | | | 726,910 | | | | | | 358,837 | | | | | | 176,321 | | | | | | 86,000 | | | | | | 431,080 | | | | | | 257,546 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | (136,353,895) | | | | | | (340,488,950) | | | | | | (43,134,043) | | | | | | (57,419,750) | | | | | | (92,242,898) | | | | | | (173,684,915) | | |
Class Z | | | | | (3,841,772) | | | | | | (3,221,197) | | | | | | (777,059) | | | | | | (865,282) | | | | | | (2,306,864) | | | | | | (2,465,584) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | 139,433,518 | | | | | | 236,634,743 | | | | | | 9,826,351 | | | | | | 215,278,898 | | | | | | 3,321,520 | | | | | | 194,184,576 | | |
Increase (Decrease) in Net Assets | | | | | 220,272,820 | | | | | | 237,337,010 | | | | | | 9,961,124 | | | | | | 213,418,338 | | | | | | 10,759,712 | | | | | | 181,976,620 | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | 1,737,082,020 | | | | | | 1,499,745,010 | | | | | | 391,887,251 | | | | | | 178,468,913 | | | | | | 783,341,927 | | | | | | 601,365,307 | | |
End of period | | | | $ | 1,957,354,840 | | | | | $ | 1,737,082,020 | | | | | $ | 401,848,375 | | | | | $ | 391,887,251 | | | | | $ | 794,101,639 | | | | | $ | 783,341,927 | | |
|
| | | Destinations Municipal Fixed Income Fund | | | Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||
| | | August 31, 2019 | | | February 28, 2019 | | | August 31, 2019 | | | February 28, 2019 | | ||||||||||||
OPERATIONS: | | | | | | | | | | | | | | | | ||||||||||
Net investment income (loss) | | | | $ | 5,607,276 | | | | | $ | 10,499,326 | | | | | $ | 22,515,491 | | | | | $ | 38,158,965 | | |
Net realized gain (loss) | | | | | 3,871,845 | | | | | | (246,781) | | | | | | 12,905,444 | | | | | | 9,075,599 | | |
Change in unrealized appreciation (depreciation) | | | | | 34,064,203 | | | | | | 10,877,481 | | | | | | (38,995,988) | | | | | | (35,965,422) | | |
Increase (Decrease) in Net Assets From Operations | | | | | 43,543,324 | | | | | | 21,130,026 | | | | | | (3,575,053) | | | | | | 11,269,142 | | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 5): | | | | | | | | | | | | | | | | ||||||||||
Class I | | | | | (8,361,672) | | | | | | (10,144,192) | | | | | | (15,385,414) | | | | | | (47,043,549) | | |
Class Z | | | | | (149,262) | | | | | | (109,819) | | | | | | (326,771) | | | | | | (586,246) | | |
Decrease in Net Assets From Distributions to Shareholders | | | | | (8,510,934) | | | | | | (10,254,011) | | | | | | (15,712,185) | | | | | | (47,629,795) | | |
FUND SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | ||||||||||
Net proceeds from sale of shares: | | | | | | | | | | | | | | | | ||||||||||
Class I | | | | | 67,487,086 | | | | | | 756,168,946 | | | | | | 75,431,019 | | | | | | 364,349,389 | | |
Class Z | | | | | 5,214,878 | | | | | | 14,466,808 | | | | | | 23,463,017 | | | | | | 20,189,598 | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | ||||||||||
Class I | | | | | 8,315,116 | | | | | | 10,104,941 | | | | | | 15,346,065 | | | | | | 46,982,654 | | |
Class Z | | | | | 146,629 | | | | | | 109,817 | | | | | | 319,962 | | | | | | 586,237 | | |
Cost of shares repurchased: | | | | | | | | | | | | | | | | ||||||||||
Class I | | | | | (86,606,725) | | | | | | (144,701,847) | | | | | | (71,537,047) | | | | | | (387,871,442) | | |
Class Z | | | | | (1,524,855) | | | | | | (2,633,236) | | | | | | (1,965,659) | | | | | | (4,963,160) | | |
Increase (Decrease) in Net Assets From Fund Share Transactions | | | | | (6,967,871) | | | | | | 633,515,429 | | | | | | 41,057,357 | | | | | | 39,273,276 | | |
Increase (Decrease) in Net Assets | | | | | 28,064,519 | | | | | | 644,391,444 | | | | | | 21,770,119 | | | | | | 2,912,623 | | |
NET ASSETS: | | | | | | | | | | | | | | | | ||||||||||
Beginning of period | | | | | 874,128,539 | | | | | | 229,737,095 | | | | | | 912,289,771 | | | | | | 909,377,148 | | |
End of period | | | | $ | 902,193,058 | | | | | $ | 874,128,539 | | | | | $ | 934,059,890 | | | | | $ | 912,289,771 | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 11.61 | | | | | $ | 11.71 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.05 | | | | | | 0.11 | | | | | | 0.10 | | |
Net realized and unrealized gain | | | | | 0.31 | | | | | | 0.18 | | | | | | 1.69 | | |
Total Income from Operations | | | | | 0.36 | | | | | | 0.29 | | | | | | 1.79 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.10) | | | | | | (0.08) | | |
Net realized gain | | | | | — | | | | | | (0.29) | | | | | | — | | |
Total Distributions | | | | | — | | | | | | (0.39) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 11.97 | | | | | $ | 11.61 | | | | | $ | 11.71 | | |
Total Return(4)(5) | | | | | 3.10% | | | | | | 2.73% | | | | | | 17.89% | | |
Net Assets, End of Period (millions) | | | | $ | 3,567 | | | | | $ | 3,427 | | | | | $ | 2,804 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.96% | | | | | | 0.97% | | | | | | 0.98% | | |
Net expenses(6)(7) | | | | | 0.83% | | | | | | 0.85% | | | | | | 0.85% | | |
Net investment income(6)(7) | | | | | 0.85% | | | | | | 0.91% | | | | | | 0.97% | | |
Portfolio Turnover Rate(5)(8) | | | | | 22% | | | | | | 28% | | | | | | 52% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.46 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.05 | | | | | | 0.07 | | |
Net realized and unrealized gain | | | | | 0.26 | | | | | | (0.21) | | |
Total Income from Operations | | | | | 0.31 | | | | | | (0.14) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.11) | | |
Net realized gain | | | | | — | | | | | | (0.29) | | |
Total Distributions | | | | | — | | | | | | (0.40) | | |
Net Asset Value, End of Period | | | | $ | 9.77 | | | | | $ | 9.46 | | |
Total Return(4)(5) | | | | | 3.28% | | | | | | (0.94)% | | |
Net Assets, End of Period (millions) | | | | $ | 173 | | | | | $ | 70 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.81% | | | | | | 0.82% | | |
Net expenses(6)(7) | | | | | 0.68% | | | | | | 0.70% | | |
Net investment income(6)(7) | | | | | 0.96% | | | | | | 1.06% | | |
Portfolio Turnover Rate(5)(8) | | | | | 22% | | | | | | 28% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 11.31 | | | | | $ | 10.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.04 | | | | | | 0.06 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.13 | | | | | | 0.84 | | | | | | 1.04 | | |
Total Income from Operations | | | | | 0.17 | | | | | | 0.90 | | | | | | 1.08 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.05) | | | | | | (0.04) | | |
Net realized gain | | | | | — | | | | | | (0.52) | | | | | | (0.06) | | |
Total Distributions | | | | | — | | | | | | (0.57) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 11.48 | | | | | $ | 11.31 | | | | | $ | 10.98 | | |
Total Return(4)(5) | | | | | 1.50% | | | | | | 9.02% | | | | | | 10.83% | | |
Net Assets, End of Period (millions) | | | | $ | 912 | | | | | $ | 962 | | | | | $ | 701 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.11% | | | | | | 1.12% | | | | | | 1.14% | | |
Net expenses(6)(7) | | | | | 1.06% | | | | | | 1.03% | | | | | | 1.03% | | |
Net investment income(6)(7) | | | | | 0.62% | | | | | | 0.53% | | | | | | 0.41% | | |
Portfolio Turnover Rate(5)(8) | | | | | 50% | | | | | | 85% | | | | | | 112% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.03 | | | | | | 0.04 | | |
Net realized and unrealized gain | | | | | 0.12 | | | | | | (0.25) | | |
Total Income from Operations | | | | | 0.15 | | | | | | (0.21) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.07) | | |
Net realized gain | | | | | — | | | | | | (0.52) | | |
Total Distributions | | | | | — | | | | | | (0.59) | | |
Net Asset Value, End of Period | | | | $ | 9.35 | | | | | $ | 9.20 | | |
Total Return(4)(5) | | | | | 1.63% | | | | | | (1.24)% | | |
Net Assets, End of Period (millions) | | | | $ | 42 | | | | | $ | 19 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.96% | | | | | | 0.97% | | |
Net expenses(6)(7) | | | | | 0.91% | | | | | | 0.88% | | |
Net investment income(6)(7) | | | | | 0.73% | | | | | | 0.68% | | |
Portfolio Turnover Rate(5)(8) | | | | | 50% | | | | | | 85% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 10.86 | | | | | $ | 11.69 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.09 | | | | | | 0.09 | | | | | | 0.07 | | |
Net realized and unrealized gain | | | | | 0.22 | | | | | | (0.77) | | | | | | 1.70 | | |
Total Income from Operations | | | | | 0.31 | | | | | | (0.68) | | | | | | 1.77 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.12) | | | | | | (0.07) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | | | | | (0.01) | | |
Total Distributions | | | | | — | | | | | | (0.15) | | | | | | (0.08) | | |
Net Asset Value, End of Period | | | | $ | 11.17 | | | | | $ | 10.86 | | | | | $ | 11.69 | | |
Total Return(4)(5) | | | | | 2.85% | | | | | | (5.71)% | | | | | | 17.70% | | |
Net Assets, End of Period (millions) | | | | $ | 1,691 | | | | | $ | 1,618 | | | | | $ | 1,413 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.26% | | | | | | 1.28% | | | | | | 1.30% | | |
Net expenses(6)(7) | | | | | 1.17% | | | | | | 1.18% | | | | | | 1.15% | | |
Net investment income(6)(7) | | | | | 1.51% | | | | | | 0.83% | | | | | | 0.69% | | |
Portfolio Turnover Rate(5)(8) | | | | | 14% | | | | | | 32% | | | | | | 50% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.48 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.07 | | | | | | 0.02 | | |
Net realized and unrealized gain | | | | | 0.22 | | | | | | (0.38) | | |
Total Income from Operations | | | | | 0.29 | | | | | | (0.36) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.13) | | |
Net realized gain | | | | | — | | | | | | (0.03) | | |
Total Distributions | | | | | — | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 9.77 | | | | | $ | 9.48 | | |
Total Return(4)(5) | | | | | 3.06% | | | | | | (3.43)% | | |
Net Assets, End of Period (millions) | | | | $ | 80 | | | | | $ | 33 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.11% | | | | | | 1.13% | | |
Net expenses(6)(7) | | | | | 1.02% | | | | | | 1.03% | | |
Net investment income(6)(7) | | | | | 1.33% | | | | | | 0.98% | | |
Portfolio Turnover Rate(5)(8) | | | | | 14% | | | | | | 32% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 10.20 | | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.16 | | | | | | 0.32 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | (0.01) | | | | | | 0.39 | | | | | | 0.12 | | |
Total Income from Operations | | | | | 0.15 | | | | | | 0.71 | | | | | | 0.43 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.29) | | | | | | (0.26) | | |
Net realized gain | | | | | — | | | | | | (0.36) | | | | | | (0.03) | | |
Total Distributions | | | | | (0.13) | | | | | | (0.65) | | | | | | (0.29) | | |
Net Asset Value, End of Period | | | | $ | 10.22 | | | | | $ | 10.20 | | | | | $ | 10.14 | | |
Total Return(4)(5) | | | | | 1.43% | | | | | | 7.52% | | | | | | 4.34% | | |
Net Assets, End of Period (millions) | | | | $ | 402 | | | | | $ | 391 | | | | | $ | 320 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.55% | | | | | | 1.04% | | | | | | 1.05% | | |
Net expenses(6)(7) | | | | | 1.39% | | | | | | 0.87% | | | | | | 0.93% | | |
Net investment income(6)(7) | | | | | 3.05% | | | | | | 3.13% | | | | | | 3.18% | | |
Portfolio Turnover Rate(5)(8) | | | | | 16% | | | | | | 74% | | | | | | 57% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.89 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.16 | | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | 0.00(4) | | | | | | 0.21 | | |
Total Income from Operations | | | | | 0.16 | | | | | | 0.41 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.13) | | | | | | (0.16) | | |
Net realized gain | | | | | — | | | | | | (0.36) | | |
Total Distributions | | | | | (0.13) | | | | | | (0.52) | | |
Net Asset Value, End of Period | | | | $ | 9.92 | | | | | $ | 9.89 | | |
Total Return(5)(6) | | | | | 1.63% | | | | | | 4.51% | | |
Net Assets, End of Period (millions) | | | | | 15 | | | | | $ | 10 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(7) | | | | | 1.40% | | | | | | 0.89% | | |
Net expenses(7)(8) | | | | | 1.24% | | | | | | 0.72% | | |
Net investment income(7)(8) | | | | | 3.13% | | | | | | 3.28% | | |
Portfolio Turnover Rate(6)(9) | | | | | 16% | | | | | | 74% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 6.43 | | | | | $ | 8.94 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.01 | | | | | | 0.02 | | | | | | 0.00(4) | | |
Net realized and unrealized gain | | | | | (2.37) | | | | | | (2.52) | | | | | | (0.78) | | |
Total Income from Operations | | | | | (2.36) | | | | | | (2.50) | | | | | | (0.78) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.00)(5) | | | | | | (0.04) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | | | | | (0.24) | | |
Total Distributions | | | | | — | | | | | | (0.01) | | | | | | (0.28) | | |
Net Asset Value, End of Period | | | | $ | 4.07 | | | | | $ | 6.43 | | | | | $ | 8.94 | | |
Total Return(5)(6) | | | | | (36.70)% | | | | | | (27.95)% | | | | | | (7.95)% | | |
Net Assets, End of Period (millions) | | | | $ | 135 | | | | | $ | 214 | | | | | $ | 223 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(7) | | | | | 1.26% | | | | | | 1.24% | | | | | | 1.29% | | |
Net expenses(7)(8) | | | | | 1.22% | | | | | | 1.20% | | | | | | 1.19% | | |
Net investment income(7)(8) | | | | | 0.38% | | | | | | 0.21% | | | | | | 0.02% | | |
Portfolio Turnover Rate(6)(9) | | | | | 29% | | | | | | 66% | | | | | | 58% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 6.50 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.01 | | | | | | 0.02 | | |
Net realized and unrealized gain | | | | | (2.39) | | | | | | (3.50) | | |
Total Income from Operations | | | | | (2.38) | | | | | | (3.48) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | — | | | | | | (0.01) | | |
Net realized gain | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | — | | | | | | (0.02) | | |
Net Asset Value, End of Period | | | | $ | 4.12 | | | | | $ | 6.50 | | |
Total Return(4)(5) | | | | | (36.62)% | | | | | | (34.79)% | | |
Net Assets, End of Period (millions) | | | | $ | 6 | | | | | $ | 4 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.11% | | | | | | 1.09% | | |
Net expenses(6)(7) | | | | | 1.07% | | | | | | 1.05% | | |
Net investment income(6)(7) | | | | | 0.48% | | | | | | 0.36% | | |
Portfolio Turnover Rate(5)(8) | | | | | 29% | | | | | | 66% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.83 | | | | | $ | 9.83 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.15 | | | | | | 0.28 | | | | | | 0.21 | | |
Net realized and unrealized gain | | | | | 0.44 | | | | | | (0.01) | | | | | | (0.17) | | |
Total Income from Operations | | | | | 0.59 | | | | | | 0.27 | | | | | | 0.04 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.15) | | | | | | (0.27) | | | | | | (0.19) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.02) | | |
Total Distributions | | | | | (0.15) | | | | | | (0.27) | | | | | | (0.21) | | |
Net Asset Value, End of Period | | | | $ | 10.27 | | | | | $ | 9.83 | | | | | $ | 9.83 | | |
Total Return(4)(5) | | | | | 6.00% | | | | | | 2.77% | | | | | | 0.34% | | |
Net Assets, End of Period (millions) | | | | $ | 1,871 | | | | | $ | 1,708 | | | | | $ | 1,500 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.88% | | | | | | 0.89% | | | | | | 0.90% | | |
Net expenses(6)(7) | | | | | 0.80% | | | | | | 0.81% | | | | | | 0.82% | | |
Net investment income(6)(7) | | | | | 2.92% | | | | | | 2.85% | | | | | | 2.22% | | |
Portfolio Turnover Rate(5)(8) | | | | | 24% | | | | | | 64% | | | | | | 170% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.08 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.16 | | | | | | 0.20 | | |
Net realized and unrealized gain | | | | | 0.45 | | | | | | 0.03 | | |
Total Income from Operations | | | | | 0.61 | | | | | | 0.23 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.15) | | | | | | (0.15) | | |
Total Distributions | | | | | (0.15) | | | | | | (0.15) | | |
Net Asset Value, End of Period | | | | $ | 10.54 | | | | | $ | 10.08 | | |
Total Return(4)(5) | | | | | 6.13% | | | | | | 2.29% | | |
Net Assets, End of Period (millions) | | | | $ | 86 | | | | | $ | 29 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.73% | | | | | | 0.74% | | |
Net expenses(6)(7) | | | | | 0.65% | | | | | | 0.66% | | |
Net investment income(6)(7) | | | | | 3.04% | | | | | | 3.00% | | |
Portfolio Turnover Rate(5)(8) | | | | | 24% | | | | | | 64% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.84 | | | | | $ | 9.90 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.17 | | | | | | 0.35 | | | | | | 0.27 | | |
Net realized and unrealized gain | | | | | 0.01 | | | | | | (0.08) | | | | | | (0.12) | | |
Total Income from Operations | | | | | 0.18 | | | | | | 0.27 | | | | | | 0.15 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | 0.18 | | | | | | (0.33) | | | | | | (0.25) | | |
Total Distributions | | | | | — | | | | | | (0.33) | | | | | | (0.25) | | |
Net Asset Value, End of Period | | | | $ | 9.84 | | | | | $ | 9.84 | | | | | $ | 9.90 | | |
Total Return(4)(5) | | | | | 1.80% | | | | | | 2.79% | | | | | | 1.52% | | |
Net Assets, End of Period (millions) | | | | $ | 386 | | | | | $ | 386 | | | | | $ | 178 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.95% | | | | | | 0.97% | | | | | | 1.00% | | |
Net expenses(6)(7) | | | | | 0.93% | | | | | | 0.93% | | | | | | 0.94% | | |
Net investment income(6)(7) | | | | | 3.37% | | | | | | 3.51% | | | | | | 2.84% | | |
Portfolio Turnover Rate(5)(8) | | | | | 68% | | | | | | 120% | | | | | | 32% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.03 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.18 | | | | | | 0.22 | | |
Net realized and unrealized gain | | | | | 0.00(4) | | | | | | (0.03) | | |
Total Income from Operations | | | | | 0.18 | | | | | | 0.19 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.18) | | | | | | (0.16) | | |
Total Distributions | | | | | (0.18) | | | | | | (0.16) | | |
Net Asset Value, End of Period | | | | $ | 10.03 | | | | | $ | 10.03 | | |
Total Return(5)(6) | | | | | 1.84% | | | | | | 1.82% | | |
Net Assets, End of Period (millions) | | | | $ | 15 | | | | | $ | 6 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(7) | | | | | 0.80% | | | | | | 0.82% | | |
Net expenses(7)(8) | | | | | 0.78% | | | | | | 0.78% | | |
Net investment income(7)(8) | | | | | 3.49% | | | | | | 3.66% | | |
Portfolio Turnover Rate(6)(9) | | | | | 68% | | | | | | 120% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.82 | | | | | $ | 9.99 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.18 | | | | | | 0.38 | | | | | | 0.37 | | |
Net realized and unrealized gain | | | | | 0.11 | | | | | | (0.18) | | | | | | (0.02) | | |
Total Income from Operations | | | | | 0.29 | | | | | | 0.20 | | | | | | 0.35 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.20) | | | | | | (0.37) | | | | | | (0.35) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.20) | | | | | | (0.37) | | | | | | (0.36) | | |
Net Asset Value, End of Perid | | | | $ | 9.91 | | | | | $ | 9.82 | | | | | $ | 9.99 | | |
Total Return(4)(5) | | | | | 2.98% | | | | | | 2.20% | | | | | | 3.45% | | |
Net Assets, End of Period (millions) | | | | $ | 763 | | | | | $ | 769 | | | | | $ | 601 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.11%(7) | | | | | | 1.09%(8) | | | | | | 1.10% | | |
Net expenses(6)(9) | | | | | 1.00%(7) | | | | | | 0.98%(8) | | | | | | 0.99% | | |
Net investment income(6)(9) | | | | | 3.68% | | | | | | 3.90% | | | | | | 3.88% | | |
Portfolio Turnover Rate(5)(10) | | | | | 44% | | | | | | 79% | | | | | | 64% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.98 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.19 | | | | | | 0.26 | | |
Net realized and unrealized gain | | | | | 0.11 | | | | | | (0.08) | | |
Total Income from Operations | | | | | 0.30 | | | | | | 0.18 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.21) | | | | | | (0.20) | | |
Total Distributions | | | | | (0.21) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 10.07 | | | | | $ | 9.98 | | |
Total Return(4)(5) | | | | | 3.01% | | | | | | 1.72% | | |
Net Assets, End of Period (millions) | | | | $ | 31 | | | | | $ | 14 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.96%(7) | | | | | | 0.94%(8) | | |
Net expenses(6)(9) | | | | | 0.85%(7) | | | | | | 0.83%(8) | | |
Net investment income(6)(9) | | | | | 3.83% | | | | | | 4.05% | | |
Portfolio Turnover Rate(5)(10) | | | | | 44% | | | | | | 79% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 10.11 | | | | | $ | 9.93 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.07 | | | | | | 0.17 | | | | | | 0.08 | | |
Net realized and unrealized gain | | | | | 0.44 | | | | | | 0.15 | | | | | | (0.09) | | |
Total Income from Operations | | | | | 0.51 | | | | | | 0.32 | | | | | | (0.01) | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.10) | | | | | | (0.14) | | | | | | (0.05) | | |
Net realized gain | | | | | — | | | | | | — | | | | | | (0.01) | | |
Total Distributions | | | | | (0.10) | | | | | | (0.14) | | | | | | (0.06) | | |
Net Asset Value, End of Period | | | | $ | 10.52 | | | | | $ | 10.11 | | | | | $ | 9.93 | | |
Total Return(4)(5) | | | | | 5.05% | | | | | | 3.30% | | | | | | (0.14)% | | |
Net Assets, End of Period (millions) | | | | $ | 886 | | | | | $ | 862 | | | | | $ | 230 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.95% | | | | | | 0.95% | | | | | | 0.97% | | |
Net expenses(6)(7) | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | |
Net investment income(6)(7) | | | | | 1.25% | | | | | | 1.71% | | | | | | 0.79% | | |
Portfolio Turnover Rate(5)(8) | | | | | 21% | | | | | | 84% | | | | | | 69% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 10.14 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.07 | | | | | | 0.13 | | |
Net realized and unrealized gain | | | | | 0.45 | | | | | | 0.11 | | |
Total Income from Operations | | | | | 0.52 | | | | | | 0.24 | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.11) | | | | | | (0.10) | | |
Total Distributions | | | | | (0.11) | | | | | | (0.10) | | |
Net Asset Value, End of Period | | | | $ | 10.55 | | | | | $ | 10.14 | | |
Total Return(4)(5) | | | | | 5.12% | | | | | | 2.42% | | |
Net Assets, End of Period (millions) | | | | $ | 17 | | | | | $ | 12 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 0.80% | | | | | | 0.80% | | |
Net expenses(6)(7) | | | | | 0.65% | | | | | | 0.65% | | |
Net investment income(6)(7) | | | | | 1.40% | | | | | | 1.86% | | |
Portfolio Turnover Rate(5)(8) | | | | | 21% | | | | | | 84% | | |
| | | Class I | | |||||||||||||||
| | | 2019(1) | | | 2019 | | | 2018(2) | | |||||||||
Net asset value, Beginning of Period | | | | $ | 9.76 | | | | | $ | 10.20 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.24 | | | | | | 0.40 | | | | | | 0.27 | | |
Net realized and unrealized gain | | | | | (0.27) | | | | | | (0.32) | | | | | | 0.13 | | |
Total Income from Operations | | | | | (0.03) | | | | | | 0.08 | | | | | | 0.40 | | |
Less Distributions From: | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | (0.17) | | | | | | (0.35) | | | | | | (0.20) | | |
Net realized gain | | | | | — | | | | | | (0.17) | | | | | | — | | |
Total Distributions | | | | | (0.17) | | | | | | (0.52) | | | | | | (0.20) | | |
Net Asset Value, End of Period | | | | $ | 9.56 | | | | | $ | 9.76 | | | | | $ | 10.20 | | |
Total Return(4)(5) | | | | | (0.36)% | | | | | | 1.00% | | | | | | 4.04% | | |
Net Assets, End of Period (millions) | | | | $ | 898 | | | | | $ | 897 | | | | | $ | 909 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.71%(7) | | | | | | 1.71%(8) | | | | | | 1.73%(9) | | |
Net expenses(6)(10) | | | | | 1.31%(7) | | | | | | 1.23%(8) | | | | | | 1.25%(9) | | |
Net investment income(6)(10) | | | | | 4.82% | | | | | | 4.01% | | | | | | 2.82% | | |
Portfolio Turnover Rate(5)(11) | | | | | 52% | | | | | | 109% | | | | | | 111% | | |
| | | Class Z | | |||||||||
| | | 2019(1) | | | 2019(2) | | ||||||
Net asset value, Beginning of Period | | | | $ | 9.54 | | | | | $ | 10.00 | | |
Income (Loss) from Operations: | | | | | | | | | | | | | |
Net investment income(3) | | | | | 0.24 | | | | | | 0.31 | | |
Net realized and unrealized gain | | | | | (0.27) | | | | | | (0.35) | | |
Total Income from Operations | | | | | (0.03) | | | | | | (0.04) | | |
Less Distributions From: | | | | | | | | | | | | | |
Net investment income | | | | | (0.17) | | | | | | (0.25) | | |
Net realized gain | | | | | — | | | | | | (0.17) | | |
Total Distributions | | | | | (0.17) | | | | | | (0.42) | | |
Net Asset Value, End of Period | | | | $ | 9.34 | | | | | $ | 9.54 | | |
Total Return(4)(5) | | | | | (0.32)% | | | | | | (0.21)% | | |
Net Assets, End of Period (millions) | | | | $ | 36 | | | | | $ | 15 | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | |
Gross expenses(6) | | | | | 1.56%(7) | | | | | | 1.56%(8) | | |
Net expenses(6)(9) | | | | | 1.16%(7) | | | | | | 1.08%(8) | | |
Net investment income(6)(9) | | | | | 4.98% | | | | | | 4.16% | | |
Portfolio Turnover Rate(5)(10) | | | | | 52% | | | | | | 109% | | |
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks: | | ||||||||||||||||||||||||
Basic Materials | | | | $ | 84,227,150 | | | | | $ | 84,227,150 | | | | | $ | — | | | | | $ | — | | |
Communications | | | | | 660,636,836 | | | | | | 660,636,836 | | | | | | — | | | | | | — | | |
Consumer Cyclical | | | | | 252,444,115 | | | | | | 252,444,115 | | | | | | — | | | | | | — | | |
Consumer Non-cyclical | | | | | 879,920,088 | | | | | | 879,920,088 | | | | | | — | | | | | | — | | |
Energy | | | | | 178,001,799 | | | | | | 178,001,799 | | | | | | — | | | | | | — | | |
Financial | | | | | 609,667,581 | | | | | | 608,082,958 | | | | | | — | | | | | | 1,584,623 | | |
Industrial | | | | | 326,314,571 | | | | | | 326,314,571 | | | | | | — | | | | | | — | | |
Technology | | | | | 609,901,875 | | | | | | 609,901,875 | | | | | | — | | | | | | — | | |
Utilities | | | | | 76,769,161 | | | | | | 76,769,161 | | | | | | — | | | | | | — | | |
Preferred Stocks | | | | | 2,489,761 | | | | | | — | | | | | | — | | | | | | 2,489,761 | | |
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Large Cap Equity Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Short-Term Investments: | | ||||||||||||||||||||||||
Time Deposits | | | | | 60,937,890 | | | | | | — | | | | | | 60,937,890 | | | | | | — | | |
Money Market Fund | | | | | 19,637,880 | | | | | | 19,637,880 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 3,760,948,707 | | | | | $ | 3,695,936,433 | | | | | $ | 60,937,890 | | | | | $ | 4,074,384 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contract | | | | $ | 64,060 | | | | | $ | 64,060 | | | | | $ | — | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 64,060 | | | | | $ | 64,060 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 867,403,992 | | | | | $ | 867,403,992 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 64,078,527 | | | | | | 64,078,527 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 22,661,992 | | | | | | — | | | | | | 22,661,992 | | | | | | — | | |
Money Market Fund | | | | | 20,073,213 | | | | | | 20,073,213 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 974,217,724 | | | | | $ | 951,555,732 | | | | | $ | 22,661,992 | | | | | $ | — | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bond & Note | | | | $ | 696 | | | | | $ | — | | | | | $ | 696 | | | | | $ | — | | |
Common Stocks: | | ||||||||||||||||||||||||
Argentina | | | | | 3,821,966 | | | | | | 3,821,966 | | | | | | — | | | | | | — | | |
Australia | | | | | 35,433,760 | | | | | | — | | | | | | 35,433,760 | | | | | | — | | |
Austria | | | | | 4,944,434 | | | | | | — | | | | | | 4,944,434 | | | | | | — | | |
Belgium | | | | | 1,518,144 | | | | | | — | | | | | | 1,518,144 | | | | | | — | | |
Bermuda | | | | | 2,580,304 | | | | | | — | | | | | | 2,580,304 | | | | | | — | | |
Brazil | | | | | 34,398,176 | | | | | | 23,141,884 | | | | | | 11,256,292 | | | | | | — | | |
Canada | | | | | 28,375,454 | | | | | | 28,375,454 | | | | | | — | | | | | | — | | |
China | | | | | 135,456,775 | | | | | | 40,812,203 | | | | | | 94,644,572 | | | | | | — | | |
Denmark | | | | | 6,951,284 | | | | | | — | | | | | | 6,951,284 | | | | | | — | | |
Egypt | | | | | 3,467,955 | | | | | | — | | | | | | 3,467,955 | | | | | | — | | |
Finland | | | | | 5,333,414 | | | | | | 1,334,126 | | | | | | 3,999,288 | | | | | | — | | |
France | | | | | 103,346,834 | | | | | | — | | | | | | 103,346,834 | | | | | | — | | |
Germany | | | | | 89,685,010 | | | | | | — | | | | | | 89,685,010 | | | | | | — | | |
Greece | | | | | 3,777,584 | | | | | | — | | | | | | 3,777,584 | | | | | | — | | |
Hong Kong | | | | | 27,249,647 | | | | | | — | | | | | | 27,249,647 | | | | | | — | | |
Hungary | | | | | 1,558,875 | | | | | | — | | | | | | 1,558,875 | | | | | | — | | |
India | | | | | 101,774,480 | | | | | | 584,226 | | | | | | 101,190,254 | | | | | | — | | |
Indonesia | | | | | 16,472,344 | | | | | | — | | | | | | 16,472,344 | | | | | | — | | |
Ireland | | | | | 12,919,485 | | | | | | 2,089,903 | | | | | | 10,829,582 | | | | | | — | | |
Israel | | | | | 4,795,582 | | | | | | 1,840,319 | | | | | | 2,955,263 | | | | | | — | | |
Italy | | | | | 6,555,319 | | | | | | — | | | | | | 6,555,319 | | | | | | — | | |
Japan | | | | | 227,472,624 | | | | | | 2,312,339 | | | | | | 225,160,285 | | | | | | — | | |
Malaysia | | | | | 4,402,656 | | | | | | — | | | | | | 4,402,656 | | | | | | — | | |
Mexico | | | | | 19,618,823 | | | | | | 2,961,709 | | | | | | 16,657,114 | | | | | | — | | |
Netherlands | | | | | 29,590,499 | | | | | | 8,149,915 | | | | | | 21,440,584 | | | | | | — | | |
Nigeria | | | | | 151,843 | | | | | | — | | | | | | 151,843 | | | | | | — | | |
Panama | | | | | 3,947,770 | | | | | | 3,947,770 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations International Equity Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Common Stocks: (continued) | | ||||||||||||||||||||||||
Peru | | | | $ | 3,058,127 | | | | | $ | 3,058,127 | | | | | $ | — | | | | | $ | — | | |
Philippines | | | | | 18,554,722 | | | | | | — | | | | | | 18,554,722 | | | | | | — | | |
Poland | | | | | 1,133,272 | | | | | | — | | | | | | 1,133,272 | | | | | | — | | |
Portugal | | | | | 10,324,020 | | | | | | — | | | | | | 10,324,020 | | | | | | — | | |
Russia | | | | | 8,875,777 | | | | | | 7,181,232 | | | | | | 1,694,545 | | | | | | — | | |
Saudi Arabia | | | | | 1,099,313 | | | | | | — | | | | | | 1,099,313 | | | | | | — | | |
Singapore | | | | | 2,942,051 | | | | | | — | | | | | | 2,942,051 | | | | | | — | | |
South Africa | | | | | 31,742,208 | | | | | | 3,386,658 | | | | | | 28,355,550 | | | | | | — | | |
South Korea | | | | | 43,144,005 | | | | | | — | | | | | | 43,144,005 | | | | | | — | | |
Spain | | | | | 15,139,446 | | | | | | 623,898 | | | | | | 14,515,548 | | | | | | — | | |
Sweden | | | | | 39,114,170 | | | | | | — | | | | | | 39,114,170 | | | | | | — | | |
Switzerland | | | | | 88,229,921 | | | | | | — | | | | | | 88,229,921 | | | | | | — | | |
Taiwan | | | | | 55,198,873 | | | | | | 15,169,587 | | | | | | 40,029,286 | | | | | | — | | |
Thailand | | | | | 14,622,817 | | | | | | — | | | | | | 14,622,817 | | | | | | — | | |
United Arab Emirates | | | | | 5,378,534 | | | | | | — | | | | | | 5,378,534 | | | | | | — | | |
United Kingdom | | | | | 127,158,161 | | | | | | 2,903,067 | | | | | | 124,251,326 | | | | | | 3,768 | | |
United States | | | | | 57,953,415 | | | | | | 57,953,415 | | | | | | — | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | 261,701,536 | | | | | | 261,701,536 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 793,594 | | | | | | — | | | | | | — | | | | | | 793,594 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 58,674,682 | | | | | | — | | | | | | 58,674,682 | | | | | | — | | |
U.S. Government Agency | | | | | 14,357,484 | | | | | | — | | | | | | 14,357,484 | | | | | | — | | |
Money Market Fund | | | | | 30,252,118 | | | | | | 30,252,118 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,805,049,983 | | | | | $ | 501,601,452 | | | | | $ | 1,302,651,169 | | | | | $ | 797,362 | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | 17,504 | | | | | $ | — | | | | | $ | 17,504 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 17,504 | | | | | $ | — | | | | | $ | 17,504 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | (32,619) | | | | | $ | — | | | | | $ | (32,619) | | | | | $ | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (32,619) | | | | | $ | — | | | | | $ | (32,619) | | | | | $ | — | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 321,993,697 | | | | | $ | 321,993,697 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Funds (ETFs) | | | | | 81,953,723 | | | | | | 81,953,723 | | | | | | — | | | | | | — | | |
Convertible Preferred Stock | | | | | 1,832,617 | | | | | | 1,832,617 | | | | | | — | | | | | | — | | |
Warrant | | | | | 1,100,233 | | | | | | 1,100,233 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 9,488,750 | | | | | | — | | | | | | 9,488,750 | | | | | | — | | |
Money Market Fund | | | | | 799,570 | | | | | | 799,570 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 417,168,590 | | | | | $ | 407,679,840 | | | | | $ | 9,488,750 | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Real Assets Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Common Stocks | | | | $ | 7,833,969 | | | | | $ | 7,833,969 | | | | | $ | — | | | | | $ | — | | |
Exchange Traded Fund (ETF) | | | | | 36,478,884 | | | | | | 36,478,884 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 90,766,377 | | | | | | — | | | | | | 90,766,377 | | | | | | — | | |
Money Market Fund | | | | | 616,340 | | | | | | 616,340 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 135,695,570 | | | | | $ | 44,929,193 | | | | | $ | 90,766,377 | | | | | $ | — | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Collateralized Mortgage Obligations | | | | $ | 431,307,573 | | | | | | — | | | | | $ | 431,307,573 | | | | | $ | — | | |
U.S. Government Agencies & Obligations | | | | | 434,424,271 | | | | | | — | | | | | | 434,424,271 | | | | | | — | | |
Corporate Bonds & Notes | | | | | 392,906,609 | | | | | | — | | | | | | 392,906,609 | | | | | | — | | |
Mortgage-Backed Securities | | | | | 365,998,983 | | | | | | — | | | | | | 365,998,983 | | | | | | — | | |
Asset-Backed Securities | | | | | 147,457,060 | | | | | | — | | | | | | 147,457,060 | | | | | | — | | |
Sovereign Bonds | | | | | 18,662,457 | | | | | | — | | | | | | 18,662,457 | | | | | | — | | |
Senior Loans | | | | | 25,261,609 | | | | | | — | | | | | | 25,261,609 | | | | | | — | | |
Municipal Bonds | | | | | 3,785,754 | | | | | | — | | | | | | 3,785,754 | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 69,953,819 | | | | | | — | | | | | | 69,953,819 | | | | | | — | | |
U.S. Government Obligations | | | | | 63,008,613 | | | | | | — | | | | | | 63,008,613 | | | | | | — | | |
Money Market Fund | | | | | 237,591 | | | | | | 237,591 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 1,953,004,339 | | | | | $ | 237,591 | | | | | $ | 1,952,766,748 | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | $ | 184,531,143 | | | | | | — | | | | | $ | 184,531,143 | | | | | $ | — | | |
Senior Loans | | | | | 45,092,015 | | | | | | — | | | | | | 45,092,015 | | | | | | — | | |
Asset-Backed Securities | | | | | 43,072,207 | | | | | | — | | | | | | 43,072,207 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 35,470,652 | | | | | | — | | | | | | 35,470,652 | | | | | | — | | |
U.S. Government Agencies & Obligations | | | | | 3,466,209 | | | | | | — | | | | | | 3,466,209 | | | | | | — | | |
Sovereign Bonds | | | | | 1,905,421 | | | | | | — | | | | | | 1,905,421 | | | | | | — | | |
Mortgage-Backed Security | | | | | 608,356 | | | | | | — | | | | | | 608,356 | | | | | | — | | |
Exchange Traded Fund (ETF) | | | | | 23,105,720 | | | | | | 23,105,720 | | | | | | — | | | | | | — | | |
Common Stock | | | | | 201,059 | | | | | | — | | | | | | — | | | | | | 201,059 | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | | 43,262,314 | | | | | | — | | | | | | 43,262,314 | | | | | | — | | |
Time Deposits | | | | | 15,489,833 | | | | | | — | | | | | | 15,489,833 | | | | | | — | | |
U.S. Government Obligations | | | | | 3,017,233 | | | | | | — | | | | | | 3,017,233 | | | | | | — | | |
Total Investments, at value | | | | $ | 399,222,162 | | | | | $ | 23,105,720 | | | | | $ | 375,915,383 | | | | | $ | 201,059 | | |
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 212,170 | | | | | $ | — | | | | | $ | 212,170 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 212,170 | | | | | $ | — | | | | | $ | 212,170 | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentina | | | | $ | 612,009 | | | | | $ | — | | | | | $ | 612,009 | | | | | $ | — | | |
Australia | | | | | 6,953,016 | | | | | | — | | | | | | 6,953,016 | | | | | | — | | |
Austria | | | | | 566,465 | | | | | | — | | | | | | 566,465 | | | | | | — | | |
Bahamas | | | | | 6,233,604 | | | | | | — | | | | | | 6,233,604 | | | | | | — | | |
Bermuda | | | | | 9,498,439 | | | | | | — | | | | | | 9,498,439 | | | | | | — | | |
Brazil | | | | | 15,989,278 | | | | | | — | | | | | | 15,989,278 | | | | | | — | | |
British Virgin Islands | | | | | 22,030,478 | | | | | | — | | | | | | 22,030,478 | | | | | | — | | |
Canada | | | | | 3,492,823 | | | | | | — | | | | | | 3,492,823 | | | | | | — | | |
Cayman Islands | | | | | 31,131,888 | | | | | | — | | | | | | 31,131,888 | | | | | | — | | |
Chile | | | | | 18,253,976 | | | | | | — | | | | | | 18,253,976 | | | | | | — | | |
Colombia | | | | | 13,921,555 | | | | | | — | | | | | | 13,921,555 | | | | | | — | | |
Denmark | | | | | 652,836 | | | | | | — | | | | | | 652,836 | | | | | | — | | |
Dominican Republic | | | | | 1,148,400 | | | | | | — | | | | | | 1,148,400 | | | | | | — | | |
France | | | | | 4,723,832 | | | | | | — | | | | | | 4,723,832 | | | | | | — | | |
Germany | | | | | 3,064,704 | | | | | | — | | | | | | 3,064,704 | | | | | | — | | |
India | | | | | 10,928,378 | | | | | | — | | | | | | 10,928,378 | | | | | | — | | |
Indonesia | | | | | 7,990,625 | | | | | | — | | | | | | 7,990,625 | | | | | | — | | |
Ireland | | | | | 3,362,880 | | | | | | — | | | | | | 3,362,880 | | | | | | — | | |
Israel | | | | | 3,088,318 | | | | | | — | | | | | | 3,088,318 | | | | | | — | | |
Italy | | | | | 12,337,771 | | | | | | — | | | | | | 12,337,771 | | | | | | — | | |
Luxembourg | | | | | 4,801,250 | | | | | | — | | | | | | 4,801,250 | | | | | | — | | |
Malaysia | | | | | 13,601,779 | | | | | | — | | | | | | 13,601,779 | | | | | | — | | |
Marshall Island | | | | | 7,897,980 | | | | | | — | | | | | | 7,897,980 | | | | | | — | | |
Mauritius | | | | | 3,020,601 | | | | | | — | | | | | | 3,020,601 | | | | | | — | | |
Mexico | | | | | 30,574,666 | | | | | | — | | | | | | 30,574,666 | | | | | | — | | |
Netherlands | | | | | 15,247,551 | | | | | | — | | | | | | 15,247,551 | | | | | | — | | |
Norway | | | | | 1,958,000 | | | | | | — | | | | | | 1,958,000 | | | | | | — | | |
Panama | | | | | 11,117,975 | | | | | | — | | | | | | 11,117,975 | | | | | | — | | |
Peru | | | | | 7,863,679 | | | | | | — | | | | | | 7,863,679 | | | | | | — | | |
Philippines | | | | | 820,802 | | | | | | — | | | | | | 820,802 | | | | | | — | | |
Portugal | | | | | 2,996 | | | | | | — | | | | | | — | | | | | | 2,996 | | |
Singapore | | | | | 21,904,060 | | | | | | — | | | | | | 21,904,060 | | | | | | — | | |
Switzerland | | | | | 3,263,044 | | | | | | — | | | | | | 3,263,044 | | | | | | — | | |
Thailand | | | | | 4,600,946 | | | | | | — | | | | | | 4,600,946 | | | | | | — | | |
United Kingdom | | | | | 18,598,025 | | | | | | — | | | | | | 18,598,025 | | | | | | — | | |
United States | | | | | 180,680,007 | | | | | | — | | | | | | 180,680,007 | | | | | | — | | |
Senior Loans | | | | | 71,536,692 | | | | | | — | | | | | | 70,466,855 | | | | | | 1,069,837 | | |
Sovereign Bonds | | | | | 30,368,271 | | | | | | — | | | | | | 30,368,271 | | | | | | — | | |
Preferred Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Bermuda | | | | | 2,930,678 | | | | | | 2,930,678 | | | | | | — | | | | | | — | | |
United States | | | | | 15,190,634 | | | | | | 13,965,634 | | | | | | 1,225,000 | | | | | | — | | |
Common Stocks: | | | | | | | | | | | | | | | | | | | | | | | | | |
Colombia | | | | | 204,438 | | | | | | — | | | | | | — | | | | | | 204,438 | | |
United States | | | | | 9,339,385 | | | | | | 4,956,208 | | | | | | — | | | | | | 4,383,177 | | |
Warrants: | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazil | | | | | —* | | | | | | — | | | | | | — | | | | | | —* | | |
United States | | | | | 23,418 | | | | | | 23,418 | | | | | | — | | | | | | — | | |
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund (continued) | | ||||||||||||||||||||||||
Investments, at value (continued) | | ||||||||||||||||||||||||
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Papers | | | | $ | 104,049,054 | | | | | $ | — | | | | | $ | 104,049,054 | | | | | $ | — | | |
Time Deposits | | | | | 44,575,808 | | | | | | — | | | | | | 44,575,808 | | | | | | — | | |
Money Market Fund | | | | | 4,016,865 | | | | | | 4,016,865 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 784,169,879* | | | | | $ | 25,892,803 | | | | | $ | 752,616,628 | | | | | $ | 5,660,448* | | |
Other Financial Instruments – Asset | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contract | | | | $ | 423,924 | | | | | $ | — | | | | | $ | 423,924 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 423,924 | | | | | $ | — | | | | | $ | 423,924 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Options Contracts Written | | | | $ | (39,977) | | | | | $ | (39,977) | | | | | $ | — | | | | | $ | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | (5,849,249) | | | | | | — | | | | | | (5,849,249) | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (5,889,226) | | | | | $ | (39,977) | | | | | $ | (5,849,249) | | | | | $ | — | | |
Destinations Municipal Fixed Income Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Municipal Bonds | | | | $ | 835,213,274 | | | | | $ | — | | | | | $ | 835,213,274 | | | | | $ | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 36,413,032 | | | | | | — | | | | | | 36,413,032 | | | | | | — | | |
Municipal Bonds | | | | | 47,412,717 | | | | | | — | | | | | | 47,412,717 | | | | | | — | | |
Total Investments, at value | | | | $ | 919,039,023 | | | | | $ | — | | | | | $ | 919,039,023 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Investments, at value | | ||||||||||||||||||||||||
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | | | | | | | | | | |
Communications | | | | $ | 46,453,430 | | | | | $ | — | | | | | $ | 46,453,430 | | | | | $ | — | | |
Consumer Cyclical | | | | | 27,437,933 | | | | | | — | | | | | | 27,437,933 | | | | | | — | | |
Consumer Non-cyclical | | | | | 45,844,716 | | | | | | — | | | | | | 45,844,716 | | | | | | — | | |
Energy | | | | | 14,606,090 | | | | | | — | | | | | | 14,606,090 | | | | | | — | | |
Financial | | | | | 39,944,669 | | | | | | 2,097,670 | | | | | | 37,846,999 | | | | | | — | | |
Technology | | | | | 5,593,336 | | | | | | — | | | | | | 5,593,336 | | | | | | — | | |
Utilities | | | | | 9,893,999 | | | | | | — | | | | | | 9,893,999 | | | | | | — | | |
Collateralized Mortgage Obligations | | | | | 97,654,769 | | | | | | — | | | | | | 97,654,769 | | | | | | — | | |
Senior Loans | | | | | 46,298,486 | | | | | | — | | | | | | 46,298,486 | | | | | | — | | |
Asset-Backed Securities | | | | | 13,099,591 | | | | | | — | | | | | | 13,099,591 | | | | | | — | | |
Municipal Bonds | | | | | 12,309,682 | | | | | | — | | | | | | 12,309,682 | | | | | | — | | |
Open-End Fund | | | | | 169,980,765 | | | | | | 169,980,765 | | | | | | — | | | | | | — | | |
Common Stocks | | | | | 151,294,413 | | | | | | 151,294,413 | | | | | | — | | | | | | — | | |
Closed-End Funds | | | | | 140,151,479 | | | | | | 140,151,479 | | | | | | — | | | | | | — | | |
Preferred Stock | | | | | 915,124 | | | | | | 915,124 | | | | | | — | | | | | | — | | |
Warrants | | | | | 246,808* | | | | | | 246,808 | | | | | | —* | | | | | | — | | |
Rights | | | | | 50,509 | | | | | | 50,509 | | | | | | — | | | | | | — | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | |
Time Deposits | | | | | 95,279,592 | | | | | | — | | | | | | 95,279,592 | | | | | | — | | |
Money Market Fund | | | | | 11,094,771 | | | | | | 11,094,771 | | | | | | — | | | | | | — | | |
Total Investments, at value | | | | $ | 928,150,162* | | | | | $ | 475,831,539 | | | | | $ | 452,318,623* | | | | | $ | — | | |
|
| | | Total Fair Value at August 31, 2019 | | | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | | | Significant Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund (continued) | | ||||||||||||||||||||||||
Other Financial Instruments – Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps | | | | $ | 770,157 | | | | | $ | — | | | | | $ | 770,157 | | | | | $ | — | | |
Total Other Financial Instruments – Assets | | | | $ | 770,157 | | | | | $ | — | | | | | $ | 770,157 | | | | | $ | — | | |
Other Financial Instruments – Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Option Contracts Written | | | | $ | (37,510) | | | | | $ | — | | | | | $ | (37,510) | | | | | $ | — | | |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond & Note | | | | | (4,596,000) | | | | | | — | | | | | | (4,596,000) | | | | | | — | | |
Exchange Traded Funds (ETFs) | | | | | (59,581,605) | | | | | | (59,581,605) | | | | | | — | | | | | | — | | |
Common Stocks | | | | | (8,317,304) | | | | | | (8,317,304) | | | | | | — | | | | | | — | | |
Total Other Financial Instruments – Liabilities | | | | $ | (72,532,419) | | | | | $ | (67,898,909) | | | | | $ | (4,633,510) | | | | | $ | — | | |
|
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | ||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2019 | | | | $ | 1,991,162 | | | | | $ | 1,584,623 | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2019 | | | | $ | 1,991,162 | | | | | $ | 1,584,623 | | | | | $ | — | | | | | $ | 406,539 | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | ||||||||||||||||||
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2019 | | | | $ | 4,107 | | | | | | 4,107 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | 793,594 | | | | | | — | | | | | | — | | | | | | 793,594 | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (339) | | | | | | (339) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2019 | | | | $ | 797,362 | | | | | $ | 3,768 | | | | | $ | — | | | | | $ | 793,594 | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | | | $ | (339) | | | | | $ | (339) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2019 | | | | $ | 264,017 | | | | | $ | 264,017 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (62,958) | | | | | | (62,958) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | �� |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2019 | | | | $ | 201,059 | | | | | $ | 201,059 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | | | $ | (62,958) | | | | | $ | (62,958) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2019 | | | | $ | 4,869,557 | | | | | $ | 3,799,720 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,069,837 | | | | | $ | — | | |
Purchases | | | | | 931,780* | | | | | | 909,119 | | | | | | 22,661 | | | | | | — | | | | | | — | | | | | | —* | | |
(Sales/Paydowns) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | (345,327) | | | | | | (325,662) | | | | | | (19,665) | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | 204,438 | | | | | | 204,438 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2019 | | | | $ | 5,660,448* | | | | | $ | 4,587,615 | | | | | $ | 2,996 | | | | | $ | — | | | | | $ | 1,069,837 | | | | | $ | —* | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | | | $ | (848,517) | | | | | $ | (828,571) | | | | | $ | (19,946) | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| | | Total | | | Common Stocks | | | Corporate Bonds & Notes | | | Preferred Stocks | | | Senior Loans | | | Warrants | | ||||||||||||||||||
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||||||||
Balance as of February 28, 2019 | | | | $ | —* | | | | | $ | — | | | | | $ | —* | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Purchases | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
(Sales/Paydowns) | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | | | | | — | | |
Accrued Discounts (premiums) | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total realized gain (loss) | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | | | | | — | | |
Change in unrealized appreciation (depreciation) | | | | | —* | | | | | | — | | | | | | —* | | | | | | — | | | | | | — | | | | | | — | | |
Transfers In | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Transfers Out | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of August 31, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts(a) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 64,060 | | | | | $ | 64,060 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 64,060 | | | | | $ | 64,060 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,490,847 | | | | | $ | 1,490,847 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 1,490,847 | | | | | $ | 1,490,847 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (744,005) | | | | | $ | (744,005) | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (744,005) | | | | | $ | (744,005) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 17,504 | | | | | $ | — | | | | | $ | — | | | | | $ | 17,504 | | |
| | | | $ | — | | | | | $ | 17,504 | | | | | $ | — | | | | | $ | — | | | | | $ | 17,504 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts(e) | | | | $ | — | | | | | $ | 32,619 | | | | | $ | — | | | | | $ | — | | | | | $ | 32,619 | | |
| | | | $ | — | | | | | $ | 32,619 | | | | | $ | — | | | | | $ | — | | | | | $ | 32,619 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on forward foreign currency contracts | | | | $ | — | | | | | $ | (425,942) | | | | | $ | — | | | | | $ | — | | | | | $ | (425,942) | | |
| | | | $ | — | | | | | $ | (425,942) | | | | | $ | — | | | | | $ | — | | | ��� | | $ | (425,942) | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | (134,811) | | | | | $ | — | | | | | $ | — | | | | | $ | (134,811) | | |
| | | | $ | — | | | | | $ | (134,811) | | | | | $ | — | | | | | $ | — | | | | | $ | (134,811) | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 212,170 | | | | | $ | — | | | | | $ | — | | | | | $ | 212,170 | | |
| | | | $ | — | | | | | $ | 212,170 | | | | | $ | — | | | | | $ | — | | | | | $ | 212,170 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on forward foreign currency contracts | | | | $ | — | | | | | $ | 53,122 | | | | | $ | — | | | | | $ | — | | | | | $ | 53,122 | | |
| | | | $ | — | | | | | $ | 53,122 | | | | | $ | — | | | | | $ | — | | | | | $ | 53,122 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 239,470 | | | | | $ | — | | | | | $ | — | | | | | $ | 239,470 | | |
| | | | $ | — | | | | | $ | 239,470 | | | | | $ | — | | | | | $ | — | | | | | $ | 239,470 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Asset derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts(d) | | | | $ | — | | | | | $ | 423,924 | | | | | $ | — | | | | | $ | — | | | | | $ | 423,924 | | |
| | | | $ | — | | | | | $ | 423,924 | | | | | $ | — | | | | | $ | — | | | | | $ | 423,924 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(f) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 39,977 | | | | | $ | 39,977 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 39,977 | | | | | $ | 39,977 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on forward foreign currency contracts | | | | $ | — | | | | | $ | 132,154 | | | | | $ | — | | | | | $ | — | | | | | $ | 132,154 | | |
| | | | $ | — | | | | | $ | 132,154 | | | | | $ | — | | | | | $ | — | | | | | $ | 132,154 | | |
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 36,924 | | | | | $ | 36,924 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | $ | — | | | | | $ | 467,015 | | | | | $ | — | | | | | $ | — | | | | | $ | 467,015 | | |
| | | | $ | — | | | | | $ | 467,015 | | | | | $ | — | | | | | $ | 36,924 | | | | | $ | 503,939 | | |
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Assets derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on swap contracts(g) | | | | $ | — | | | | | $ | — | | | | | $ | 770,157 | | | | | $ | — | | | | | $ | 770,157 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | 770,157 | | | | | $ | — | | | | | $ | 770,157 | | |
Liability derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding(f) | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 37,510 | | | | | $ | 37,510 | | |
| | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 37,510 | | | | | $ | 37,510 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income(b) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on futures contracts | | | | $ | 7,300 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 7,300 | | |
Net realized gain (loss) on forward foreign currency contracts | | | | | — | | | | | | 18,374 | | | | | | — | | | | | | — | | | | | | 18,374 | | |
Net realized gain (loss) on swap contracts | | | | | — | | | | | | — | | | | | | 269,945 | | | | | | — | | | | | | 269,945 | | |
| | | | $ | 7,300 | | | | | $ | 18,374 | | | | | $ | 269,945 | | | | | $ | — | | | | | $ | 295,619 | | |
|
Location | | | Interest rate risk | | | Foreign exchange risk | | | Credit risk | | | Equity risk | | | Total | | |||||||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income(c) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on options contracts written | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 30,416 | | | | | $ | 30,416 | | |
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | | | | | — | | | | | | 72,219 | | | | | | — | | | | | | — | | | | | | 72,219 | | |
Net change in unrealized appreciation (depreciation) on swap contracts | | | | | — | | | | | | — | | | | | | 770,157 | | | | | | — | | | | | | 770,157 | | |
| | | | $ | — | | | | | $ | 72,219 | | | | | $ | 770,157 | | | | | $ | 30,416 | | | | | $ | 872,792 | | |
| | | Average notional amounts | | |||
Futures contracts | | | | $ | 11,451,282 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 16,488,146 | | |
| | | Average notional amounts | | |||
Forward foreign currency contracts | | | | $ | 3,819,766 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 13,179 | | |
Forward foreign currency contracts | | | | | 6,318,312 | | |
| | | Average notional amounts | | |||
Option contracts written | | | | $ | 37,510 | | |
Forward foreign currency contracts | | | | | 796,803 | | |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | | ||||||||||||||||||||||||
| | | Gross Asset Amount Presented in Statements of Assets and Liabilities(a) | | | Financial Instrument | | | Collateral Received(b)(c) | | | Net Amount (Not Less than $0) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 19,219,210 | | | | | $ | — | | | | | $ | (19,219,210) | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 19,624,122 | | | | | | — | | | | | | (19,624,122) | | | | | | — | | |
Destinations International Equity Fund | | | | | 28,204,097 | | | | | | — | | | | | | (28,204,097) | | | | | | — | | |
Destinations Equity Income Fund | | | | | 782,670 | | | | | | — | | | | | | (782,670) | | | | | | — | | |
Destinations Real Assets Fund | | | | | 597,006 | | | | | | — | | | | | | (597,006) | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 232,592 | | | | | | — | | | | | | (232,592) | | | | | | — | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 3,937,672 | | | | | | — | | | | | | (3,937,672) | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 10,861,620 | | | | | | — | | | | | | (10,861,620) | | | | | | — | | |
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2019 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Large Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 19,637,880 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 19,637,880 | | |
Total Borrowings | | | | $ | 19,637,880 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 19,637,880 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 19,637,880 | | |
Destinations Small-Mid Cap Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 20,073,213 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,073,213 | | |
Total Borrowings | | | | $ | 20,073,213 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 20,073,213 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 20,073,213 | | |
Destinations International Equity Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 30,252,118 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 30,252,118 | | |
Total Borrowings | | | | $ | 30,252,118 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 30,252,118 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 30,252,118 | | |
Destinations Equity Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | | | $ | 799,570 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 799,570 | | |
Total Borrowings | | | | $ | 799,570 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 799,570 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 799,570 | | |
Destinations Real Assets Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | |||||||||||||||||||||||||
Common Stocks | | | | $ | 527,700 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 527,700 | | |
Exchange Traded Funds (ETFs) | | | | | 88,640 | | | | | | — | | | | | | — | | | | | | — | | | | | | 88,640 | | |
Total Borrowings | | | | $ | 616,340 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 616,340 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 616,340 | | |
Destinations Core Fixed Income Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | | | $ | 237,591 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 237,591 | | |
Total Borrowings | | | | $ | 237,591 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 237,591 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 237,591 | | |
|
| | | Remaining Contractual Maturity of the Agreements As of August 31, 2019 | | |||||||||||||||||||||||||||
| | | Overnight and Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | | |||||||||||||||
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | | | $ | 4,014,191 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,014,191 | | |
Preferred Stocks | | | | | 2,674 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,674 | | |
Total Borrowings | | | | $ | 4,016,865 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,016,865 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 4,016,865 | | |
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||||||||
Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Closed-End Funds | | | | $ | 280,420 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 280,420 | | |
Corporate Securities | | | | | 7,506,857 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,506,857 | | |
Common Stocks | | | | | 3,256,669 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,256,669 | | |
Preferred Stocks | | | | | 50,825 | | | | | | — | | | | | | — | | | | | | — | | | | | | 50,825 | | |
Total Borrowings | | | | $ | 11,094,771 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 11,094,771 | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 11,094,771 | | |
|
| | | Principal | | | Unfunded Bank Loan Interest (Cost) | | | Value of Underlying Bank Loan Interest (Value) | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Allied Universal Holdco LLC | | | | $ | 10,811 | | | | | $ | 10,705 | | | | | $ | 10,786 | | | | | $ | 82 | | |
Mister Car Wash Holdings Inc. | | | | | 3,571 | | | | | | 3,571 | | | | | | 3,559 | | | | | | (13) | | |
| | | | $ | 14,382 | | | | | $ | 14,276 | | | | | $ | 14,345 | | | | | $ | 69 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
Pacific Gas & Electric Co. | | | | $ | 750,000 | | | | | $ | 747,365 | | | | | $ | 751,875 | | | | | $ | 4,510 | | |
| | | Assets | | | Liabilities | | ||||||
Derivative Instruments(a) | | | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | | | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities | | ||||||
Destinations International Equity Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 17,504 | | | | | $ | 32,619 | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 17,504 | | | | | $ | 32,619 | | |
Destinations Low Duration Fixed Income Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 212,170 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 212,170 | | | | | $ | — | | |
Destinations Global Fixed Income Opportunities Fund: | | | | | | | | | | | | | |
Forward foreign currency contracts | | | | $ | 423,924 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 423,924 | | | | | $ | — | | |
Destinations Multi Strategy Alternatives Fund: | | | | | | | | | | | | | |
Swap contracts(b) | | | | $ | 770,157 | | | | | $ | — | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | | | $ | 770,157 | | | | | $ | — | | |
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations International Equity Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
JPMorgan Chase & Co. | | | | $ | 17,504 | | | | | $ | — | | | | | $ | — | | | | | $ | 17,504 | | |
Total Over-the-counter derivative instruments | | | | $ | 17,504 | | | | | $ | — | | | | | $ | — | | | | | $ | 17,504 | | |
|
Counterparty | | | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(c) | | | Other Cash Collateral(e) | | | Net Amount(d) | | ||||||||||||
Destinations International Equity Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
HSBC Bank USA. | | | | $ | 32,619 | | | | | $ | — | | | | | $ | — | | | | | $ | 32,619 | | |
Total Over-the-counter derivative instruments | | | | $ | 32,619 | | | | | $ | — | | | | | $ | — | | | | | $ | 32,619 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Low Duration Fixed Income Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 212,170 | | | | | $ | — | | | | | $ | — | | | | | $ | 212,170 | | |
Total Over-the-counter derivative instruments | | | | $ | 212,170 | | | | | $ | — | | | | | $ | — | | | | | $ | 212,170 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Global Fixed Income Opportunities Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Brown Brothers Harriman & Co. | | | | $ | 423,924 | | | | | $ | — | | | | | $ | — | | | | | $ | 423,924 | | |
Total Over-the-counter derivative instruments | | | | $ | 423,924 | | | | | $ | — | | | | | $ | — | | | | | $ | 423,924 | | |
|
Counterparty | | | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | | | Financial Instruments Available for Offset(a) | | | Other Cash Collateral(e) | | | Net Amount(b) | | ||||||||||||
Destinations Multi Strategy Alternatives Fund | | ||||||||||||||||||||||||
Over-the-counter | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs & Co. | | | | $ | 770,157 | | | | | $ | — | | | | | $ | — | | | | | $ | 770,157 | | |
Total Over-the-counter derivative instruments | | | | $ | 770,157 | | | | | $ | — | | | | | $ | — | | | | | $ | 770,157 | | |
Fund | | | Subadvisory Fee | | | Brinker Capital Inc. Fee | | | Maximum Allowable Annual Management Fee | | |||||||||
Destinations Large Cap Equity Fund | | | | | 0.23% | | | | | | 0.39% | | | | | | 0.75% | | |
Destinations Small-Mid Cap Equity Fund | | | | | 0.46% | | | | | | 0.39% | | | | | | 0.90% | | |
Destinations International Equity Fund | | | | | 0.52% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Equity Income Fund | | | | | 0.26% | | | | | | 0.39% | | | | | | 0.80% | | |
Destinations Real Assets Fund | | | | | 0.57% | | | | | | 0.39% | | | | | | 1.00% | | |
Destinations Core Fixed Income Fund | | | | | 0.18% | | | | | | 0.39% | | | | | | 0.65% | | |
Destinations Low Duration Fixed Income Fund | | | | | 0.29% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 0.35% | | | | | | 0.39% | | | | | | 0.85% | | |
Destinations Municipal Fixed Income Fund | | | | | 0.16% | | | | | | 0.39% | | | | | | 0.70% | | |
Destinations Multi Strategy Alternatives Fund | | | | | 0.56% | | | | | | 0.39% | | | | | | 1.35% | | |
Fund | | | | | | | |
Destinations Large Cap Equity Fund | | | | $ | 2,307,870 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 246,239 | | |
Destinations International Equity Fund | | | | | 753,207 | | |
Destinations Equity Income Fund | | | | | 318,509 | | |
Destinations Real Assets Fund | | | | | 40,571 | | |
Destinations Core Fixed Income Fund | | | | | 718,938 | | |
Destinations Low Duration Fixed Income Fund | | | | | 42,774 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 443,067 | | |
Destinations Municipal Fixed Income Fund | | | | | 687,263 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 1,847,507 | | |
| | | Sub-Transfer Agent Fees | | |||
Fund | | | Class I | | |||
Destinations Large Cap Equity Fund | | | | $ | 2,672,054 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 720,373 | | |
Destinations International Equity Fund | | | | | 1,266,511 | | |
Destinations Equity Income Fund | | | | | 301,930 | | |
Destinations Real Assets Fund | | | | | 139,883 | | |
Destinations Core Fixed Income Fund | | | | | 1,343,066 | | |
Destinations Low Duration Fixed Income Fund | | | | | 293,359 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 584,464 | | |
Destinations Municipal Fixed Income Fund | | | | | 658,581 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 680,714 | | |
Fund | | | Investments | | | U.S. Government & Agency Obligations | | ||||||||||||||||||
| Purchases | | | Sales | | | Purchases | | | Sales | | ||||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 979,360,729 | | | | | $ | 775,780,831 | | | | | $ | — | | | | | $ | — | | |
Destinations Small-Mid Cap Equity Fund | | | | | 477,360,974 | | | | | | 504,229,613 | | | | | | — | | | | | | — | | |
Destinations International Equity Fund | | | | | 329,415,650 | | | | | | 239,358,379 | | | | | | — | | | | | | — | | |
Destinations Equity Income Fund | | | | | 78,104,957 | | | | | | 64,333,404 | | | | | | — | | | | | | — | | |
Destinations Real Assets Fund | | | | | 49,019,162 | | | | | | 137,018,552 | | | | | | — | | | | | | — | | |
Destinations Core Fixed Income Fund | | | | | 463,901,833 | | | | | | 402,613,632 | | | | | | 304,223,125 | | | | | | 252,771,273 | | |
Destinations Low Duration Fixed Income Fund | | | | | 187,965,428 | | | | | | 189,710,441 | | | | | | 2,828,184 | | | | | | 1,017,321 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 279,158,383 | | | | | | 331,112,980 | | | | | | — | | | | | | — | | |
Destinations Municipal Fixed Income Fund | | | | | 223,602,474 | | | | | | 171,557,083 | | | | | | — | | | | | | — | | |
Destinations Multi Strategy Alternatives Fund | | | | | 449,165,315 | | | | | | 427,195,375 | | | | | | — | | | | | | — | | |
Fund | | | Aggregate Cost For Federal Income Tax Purposes | | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized Appreciation (Depreciation) | | ||||||||||||
Destinations Large Cap Equity Fund | | | | $ | 3,250,439,064 | | | | | $ | 662,762,449 | | | | | $ | (152,188,746) | | | | | $ | 510,573,703 | | |
Destinations Small-Mid Cap Equity Fund | | | | | 898,214,470 | | | | | | 123,792,010 | | | | | | (47,788,756) | | | | | | 76,003,254 | | |
Destinations International Equity Fund | | | | | 1,632,247,320 | | | | | | 278,024,685 | | | | | | (105,237,137) | | | | | | 172,787,548 | | |
Destinations Equity Income Fund | | | | | 407,641,177 | | | | | | 34,820,959 | | | | | | (25,293,546) | | | | | | 9,527,413 | | |
Destinations Real Assets Fund | | | | | 150,004,577 | | | | | | 4,297,512 | | | | | | (18,606,519) | | | | | | (14,309,007) | | |
Destinations Core Fixed Income Fund | | | | | 1,893,008,289 | | | | | | 74,179,171 | | | | | | (14,183,121) | | | | | | 59,996,050 | | |
Destinations Low Duration Fixed Income Fund | | | | | 402,040,102 | | | | | | 1,478,448 | | | | | | (4,084,218) | | | | | | (2,605,770) | | |
Destinations Global Fixed Income Opportunities Fund | | | | | 785,921,387 | | | | | | 9,750,668 | | | | | | (11,041,329) | | | | | | (1,290,661) | | |
Destinations Municipal Fixed Income Fund | | | | | 877,273,143 | | | | | | 41,989,961 | | | | | | (224,081) | | | | | | 41,765,880 | | |
Destinations Multi Strategy Alternatives Fund | | | | | 995,097,982 | | | | | | 22,946,205 | | | | | | (89,088,942) | | | | | | (66,142,737) | | |
| | | Period ended August 31, 2019 | | | Period ended August 31, 2019 | | | Year ended February 28, 2019 | | | Period ended February 28, 2019* | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 26,482,784 | | | | | | 316,134,097 | | | | | | 11,218,027 | | | | | | 111,563,919 | | | | | | 101,792,492 | | | | | | 1,129,725,279 | | | | | | 8,374,344 | | | | | | 82,958,463 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 8,817,901 | | | | | | 92,147,062 | | | | | | 325,972 | | | | | | 2,777,276 | | |
Shares repurchased | | | | | (23,735,302) | | | | | | (283,017,543) | | | | | | (848,480) | | | | | | (8,273,828) | | | | | | (54,731,880) | | | | | | (643,323,422) | | | | | | (1,342,871) | | | | | | (12,343,692) | | |
Net Increase | | | | | 2,747,482 | | | | | | 33,116,554 | | | | | | 10,369,547 | | | | | | 103,290,091 | | | | | | 55,878,513 | | | | | | 578,548,919 | | | | | | 7,357,445 | | | | | | 73,392,047 | | |
Destinations Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 6,911,706 | | | | | | 78,984,749 | | | | | | 2,811,954 | | | | | | 26,660,052 | | | | | | 34,664,792 | | | | | | 371,756,983 | | | | | | 2,255,609 | | | | | | 22,691,457 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,886,724 | | | | | | 38,556,303 | | | | | | 139,990 | | | | | | 1,128,317 | | |
Shares repurchased | | | | | (12,622,746) | | | | | | (146,169,404) | | | | | | (391,594) | | | | | | (3,688,329) | | | | | | (17,268,373) | | | | | | (193,629,966) | | | | | | (363,167) | | | | | | (3,142,418) | | |
Net Increase (Decrease) | | | | | (5,711,040) | | | | | | (67,184,655) | | | | | | 2,420,360 | | | | | | 22,971,723 | | | | | | 21,283,143 | | | | | | 216,683,320 | | | | | | 2,032,432 | | | | | | 20,677,356 | | |
Destinations International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 15,043,253 | | | | | | 168,851,745 | | | | | | 5,122,243 | | | | | | 50,736,568 | | | | | | 52,618,227 | | | | | | 553,782,717 | | | | | | 3,921,131 | | | | | | 37,465,208 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,768,142 | | | | | | 17,486,924 | | | | | | 61,041 | | | | | | 526,783 | | |
Shares repurchased | | | | | (12,722,344) | | | | | | (142,411,890) | | | | | | (440,678) | | | | | | (4,309,974) | | | | | | (26,142,011) | | | | | | (289,212,441) | | | | | | (511,301) | | | | | | (4,606,198) | | |
Net Increase | | | | | 2,320,909 | | | | | | 26,439,855 | | | | | | 4,681,565 | | | | | | 46,426,594 | | | | | | 28,244,358 | | | | | | 282,057,200 | | | | | | 3,470,871 | | | | | | 33,385,793 | | |
Destinations Equity Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 4,081,172 | | | | | | 42,267,379 | | | | | | 656,271 | | | | | | 6,600,565 | | | | | | 14,820,009 | | | | | | 146,101,281 | | | | | | 1,144,805 | | | | | | 11,442,280 | | |
Shares issued on reinvestment | | | | | 472,208 | | | | | | 4,876,208 | | | | | | 15,796 | | | | | | 158,249 | | | | | | 2,088,485 | | | | | | 20,394,007 | | | | | | 46,257 | | | | | | 434,586 | | |
Shares repurchased | | | | | (3,593,637) | | | | | | (37,163,171) | | | | | | (164,679) | | | | | | (1,633,964) | | | | | | (10,089,294) | | | | | | (102,029,957) | | | | | | (161,426) | | | | | | (1,541,776) | | |
Net Increase | | | | | 959,743 | | | | | | 9,980,416 | | | | | | 507,388 | | | | | | 5,124,850 | | | | | | 6,819,200 | | | | | | 64,465,331 | | | | | | 1,029,636 | | | | | | 10,335,090 | | |
|
| | | Period ended August 31, 2019 | | | Period ended August 31, 2019 | | | Year ended February 28, 2019 | | | Period ended February 28, 2019* | | ||||||||||||||||||||||||||||||||||||
| | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | | Shares | | | Amount | | ||||||||||||||||||||||||
| | | Class I | | | Class Z | | | Class I | | | Class Z | | ||||||||||||||||||||||||||||||||||||
Destinations Real Assets Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 2,517,664 | | | | | | 14,183,948 | | | | | | 884,321 | | | | | | 4,682,435 | | | | | | 15,078,673 | | | | | | 138,429,624 | | | | | | 703,514 | | | | | | 5,826,365 | | |
Shares issued on reinvestment | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 55,796 | | | | | | 337,006 | | | | | | 1,890 | | | | | | 11,547 | | |
Shares repurchased | | | | | (2,613,676) | | | | | | (14,603,804) | | | | | | (72,751) | | | | | | (392,911) | | | | | | (6,821,564) | | | | | | (56,134,660) | | | | | | (93,006) | | | | | | (634,022) | | |
Net Increase (Decrease) | | | | | (96,012) | | | | | | (419,856) | | | | | | 811,570 | | | | | | 4,289,524 | | | | | | 8,312,905 | | | | | | 82,631,970 | | | | | | 612,398 | | | | | | 5,203,890 | | |
Destinations Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 19,364,332 | | | | | | 194,830,222 | | | | | | 5,620,918 | | | | | | 58,257,244 | | | | | | 51,629,353 | | | | | | 504,965,401 | | | | | | 3,123,658 | | | | | | 31,239,465 | | |
Shares issued on reinvestment | | | | | 2,563,612 | | | | | | 25,814,809 | | | | | | 70,122 | | | | | | 726,910 | | | | | | 4,484,582 | | | | | | 43,781,187 | | | | | | 35,951 | | | | | | 358,837 | | |
Shares repurchased | | | | | (13,562,427) | | | | | | (136,353,895) | | | | | | (371,612) | | | | | | (3,841,772) | | | | | | (34,866,632) | | | | | | (340,488,950) | | | | | | (322,483) | | | | | | (3,221,197) | | |
Net Increase | | | | | 8,365,517 | | | | | | 84,291,136 | | | | | | 5,319,428 | | | | | | 55,142,382 | | | | | | 21,247,303 | | | | | | 208,257,638 | | | | | | 2,837,126 | | | | | | 28,377,105 | | |
Destinations Low Duration Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 3,719,846 | | | | | | 36,718,185 | | | | | | 985,567 | | | | | | 9,921,571 | | | | | | 26,087,024 | | | | | | 257,497,046 | | | | | | 687,831 | | | | | | 6,912,149 | | |
Shares issued on reinvestment | | | | | 702,172 | | | | | | 6,921,376 | | | | | | 17,554 | | | | | | 176,321 | | | | | | 922,285 | | | | | | 9,068,735 | | | | | | 8,602 | | | | | | 86,000 | | |
Shares repurchased | | | | | (4,369,121) | | | | | | (43,134,043) | | | | | | (77,246) | | | | | | (777,059) | | | | | | (5,827,894) | | | | | | (57,419,750) | | | | | | (86,440) | | | | | | (865,282) | | |
Net Increase | | | | | 52,897 | | | | | | 505,518 | | | | | | 925,875 | | | | | | 9,320,833 | | | | | | 21,181,415 | | | | | | 209,146,031 | | | | | | 609,993 | | | | | | 6,132,867 | | |
Destinations Global Fixed Income Opportunities Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 6,430,172 | | | | | | 63,722,398 | | | | | | 1,791,009 | | | | | | 18,092,036 | | | | | | 32,997,812 | | | | | | 326,225,606 | | | | | | 1,660,540 | | | | | | 16,628,666 | | |
Shares issued on reinvestment | | | | | 1,577,559 | | | | | | 15,625,768 | | | | | | 42,814 | | | | | | 431,080 | | | | | | 2,770,666 | | | | | | 27,223,257 | | | | | | 25,960 | | | | | | 257,546 | | |
Shares repurchased | | | | | (9,293,843) | | | | | | (92,242,898) | | | | | | (228,816) | | | | | | (2,306,864) | | | | | | (17,652,417) | | | | | | (173,684,915) | | | | | | (248,378) | | | | | | (2,465,584) | | |
Net Increase (Decrease) | | | | | (1,286,112) | | | | | | (12,894,732) | | | | | | 1,605,007 | | | | | | 16,216,252 | | | | | | 18,116,061 | | | | | | 179,763,948 | | | | | | 1,438,122 | | | | | | 14,420,628 | | |
Destinations Municipal Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 6,545,241 | | | | | | 67,487,086 | | | | | | 503,597 | | | | | | 5,214,878 | | | | | | 75,603,154 | | | | | | 756,168,946 | | | | | | 1,447,265 | | | | | | 14,466,808 | | |
Shares issued on reinvestment | | | | | 804,483 | | | | | | 8,315,116 | | | | | | 14,141 | | | | | | 146,629 | | | | | | 1,013,048 | | | | | | 10,104,941 | | | | | | 10,976 | | | | | | 109,817 | | |
Shares repurchased | | | | | (8,397,339) | | | | | | (86,606,725) | | | | | | (147,533) | | | | | | (1,524,855) | | | | | | (14,507,379) | | | | | | (144,701,847) | | | | | | (262,065) | | | | | | (2,633,236) | | |
Net Increase (Decrease) | | | | | (1,047,615) | | | | | | (10,804,523) | | | | | | 370,205 | | | | | | 3,836,652 | | | | | | 62,108,823 | | | | | | 621,572,040 | | | | | | 1,196,176 | | | | | | 11,943,389 | | |
Destinations Multi Strategy Alternatives Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | 7,759,554 | | | | | | 75,431,019 | | | | | | 2,478,621 | | | | | | 23,463,017 | | | | | | 35,970,092 | | | | | | 364,349,389 | | | | | | 2,040,589 | | | | | | 20,189,598 | | |
Shares issued on reinvestment | | | | | 1,587,415 | | | | | | 15,346,065 | | | | | | 33,899 | | | | | | 319,962 | | | | | | 4,873,632 | | | | | | 46,982,654 | | | | | | 63,263 | | | | | | 586,237 | | |
Shares repurchased | | | | | (7,364,856) | | | | | | (71,537,047) | | | | | | (207,522) | | | | | | (1,965,659) | | | | | | (38,135,236) | | | | | | (387,871,442) | | | | | | (508,098) | | | | | | (4,963,160) | | |
Net Increase | | | | | 1,982,113 | | | | | | 19,240,037 | | | | | | 2,304,998 | | | | | | 21,817,320 | | | | | | 2,708,488 | | | | | | 23,460,601 | | | | | | 1,595,754 | | | | | | 15,812,675 | | |
|
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
INDEPENDENT TRUSTEES* | | |||||||||||||||
Ellyn L. Brown Brown Associates 11055 Greenspring Ave, Annex A Lutherville, MD 21093 Birth Year: 1950 | | | Chair of the Board of Trustees | | | Chair as of April 1, 2018; Trustee Since 2017 | | | Retired Attorney since 2006. Former Principal of Brown and Associates from 1996 to 2006. | | | 10 | | | CNO Financial, Inc. since 2012, Walter Investment Management Corp. from 2013 to 2017, NYSE Regulation, Inc. from 2010 to 2014, Financial Industry Regulatory Authority, Inc. (FINRA) from 2007 to 2012, NYSE-Euronext from 2006 to 2013. | |
J. Scott Coleman, CFA | | | | | | | ||||||||||
7 Forest Road Wayne, PA 19087 Birth Year: 1960 | | | Trustee | | | Since 2017 | | | Retired since 2015. President and CEO of Optimum Fund Trust from 2011 to 2015. President of Delaware Distributors from 2008 to 2015. Executive Vice President, Head of Distribution and Marketing, Delaware Investments 2008 to 2015. In addition, Head of Macquarie Investment Management EMEA Distribution from 2012 to 2015. Managing Director at Goldman Sachs & Co. from 2001 to 2008. | | | 10 | | | Optimum Fund Trust from 2011 to 2015. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
Nicholas Marsini, Jr. 120 St. Moritz Drive Wilmington, DE 19807 Birth Year: 1955 | | | Trustee, Chair of Audit Committee | | | Since 2017 | | | Retired since 2016. Regional President of PNC Bank, Delaware from 2011 to 2016. Executive Vice President and Chief Financial Officer of PNC Global Investment Servicing from 1997 to 2010. | | | 10 | | | FundVantage Trust. | |
Gregory E. McGowan Franklin Templeton 300 SE 2nd Street Fort Lauderdale, FL 33301 Birth Year: 1949 | | | Trustee | | | Since 2017 | | | President and CEO, GEMPENN Global Consultancy, Inc. since 2016. Senior Strategic Advisor, Franklin Templeton Investments in 2016. Executive Vice President, Director and General Counsel of Templeton International, Inc. from 1992 to 2016. Executive Vice President, Secretary and General Counsel of Templeton Global Advisors Limited (a Bahamian corporation) from 1992 to 2016. | | | 10 | | | Global Capital PLC (Malta Public Company), Franklin Templeton Sealand Fund Management Co. Ltd., China Life Franklin Asset Management Company Limited, Templeton Investment Counsel LLC, Franklin Templeton Trustee Services Private Limited (India), Franklin Templeton International Services S.A. (Luxembourg), Franklin Templeton Investments (Asia) Limited, Franklin Templeton Investments Japan Ltd., Templeton Asset Management Ltd. (Singapore), Franklin Templeton Holding Limited (Mauritius), Franklin Templeton Investment Services Mexico, S. de R. L. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served* | | | Principal Occupation(s) During Past Five Years | | | Number of Funds in Fund Complex Overseen by Trustee | | | Other Board Memberships Held During Past Five Years by Trustee | |
INTERESTED TRUSTEES* | | |||||||||||||||
Joseph V. Del Raso Pepper Hamilton LLP 3000 Two Logan Square, 18th & Arch Streets Philadelphia, PA 19103-2799 Birth Year: 1952 | | | Trustee | | | Since 2017 (Chair of the Board until April 1, 2018). | | | Partner at Pepper Hamilton LLP (law firm) since 1998. | | | 10 | | | Global Capital PLC (Malta Public Company). | |
Noreen D. Beaman Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1964 | | | Trustee and Chief Executive Officer | | | Since 2018 | | | Chief Executive Officer of Brinker Capital, Inc. since 2012. | | | 10 | | | PIMCO RIA Advisory Board, MMI Board of Governors, MMI Leadership Pathway, Envestnet Institute Women In Wealth; St. Peter’s University Board of Trustees (2014 to 2017). | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
OFFICERS* | | | | | ||||||
Philip Green, Jr. Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1970 | | | Chief Financial Officer & Treasurer | | | Since January 2017 | | | Chief Financial Officer, Brinker Capital Holdings Inc., Brinker Capital Inc. and Brinker Capital Securities since 2000. | |
Brian Ferko Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Chief Compliance Officer & Anti-Money Laundering Officer | | | Since January 2017 | | | Chief Compliance Officer of Brinker Capital, Inc. since 2015; Chief Compliance Officer of Brinker Capital, Inc. contracted through Cipperman Compliance Services from 2010 to 2015; Chief Operating Officer of CCS from 2012 to 2015. | |
Jason B. Moore Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1972 | | | President | | | Since January 2017 | | | Chief Administrative Officer, Brinker Capital, Inc. since 2016; Managing Director, Morgan Stanley from 2012 to 2016. | |
Donna Marley Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1955 | | | Chief Operating Officer | | | Since April 2017 | | | Senior Vice President of Funds, Brinker Capital, Inc. since 2017; Executive Director, Morgan Stanley from 2009 to 2017. | |
Name, Address and Date of Birth | | | Position(s) Held with Trust | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past Five Years | |
Peter Townsend Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1977 | | | Secretary & Deputy Chief Compliance Officer | | | Since January 2017 | | | Deputy Funds Chief Compliance Officer at Brinker Capital, Inc. since 2017; Director of Compliance at Penn Capital Management Company, Inc. from 2015 to 2017; Director of Compliance at Cipperman Compliance Services from 2013 to 2015; Associate at J.P. Morgan Chase & Co. from 2008 to 2013. | |
Charles Widger Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1945 | | | Investment Officer | | | Since January 2017 | | | Executive Chairman of Brinker Capital, Inc. since 2012. | |
Jeffrey Raupp, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Chief Investment Officer | | | Since January 2017 | | | Chief Investment Officer of Brinker Capital, Inc. since 2018; Director of Investments of Brinker Capital, Inc. since 2017; Senior Vice President of Brinker Capital, Inc. in 2016; Senior Investment Manager of Brinker Capital, Inc. from 2008 to 2016. | |
Amy Magnotta, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1978 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Discretionary Portfolios of Brinker Capital Inc. since 2017; Senior Investment Manager of Brinker Capital, Inc. from 2008 to 2017. | |
Leigh Lowman, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1982 | | | Investment Officer | | | Since January 2017 | | | Investment Manager, Brinker Capital, Inc. since 2017; Senior Investment Analyst, Brinker Capital, Inc. from 2015 to 2017; Outreach Analyst, The Investment Fund for Foundations from 2014 to 2015; Senior Associate, Mondrian Investment Partners from 2011 to 2014. | |
Christopher Hart Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1971 | | | Investment Officer | | | Since January 2017 | | | Senior Vice President and Head of Platform Manager Research at Brinker Capital, Inc. since 2017; Senior Vice President in 2016; Core Investment Manager at Brinker Capital, Inc. from 2014 to 2016; Investment Director at RS Investments 2013; Vice President/Investment Officer at Morgan Stanley Smith Barney from 2006 to 2013. | |
Timothy Holland, CFA Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1969 | | | Investment Officer | | | Since June 2017 | | | Senior Vice President and Global Investment Strategist of Brinker Capital, Inc. since 2017; Co-Head US Sub Advisory of Pictet Asset Management in 2016; Portfolio Manager and Partner of TAMRO Capital Partners from 2005 to 2016. | |
Kristin Pilipzeck Brinker Capital, Inc. 1055 Westlakes Drive, Suite 250 Berwyn, PA 19312 Birth Year: 1987 | | | Investment Officer | | | Since March 2019 | | | Investment Analyst, Brinker Capital, Inc. since 2017; Operations Associate, Brinker Capital, Inc. from 2001-2017. | |
1055 Westlakes Drive, Suite 250
Berwyn, PA 19312
www.brinkercapital.com
Three Canal Plaza, Suite 100
Portland, ME 04101
www.foreside.com
1701 Market Street
Philadelphia, PA 19103
www.morganlewis.com
Two Liberty Place
50 South 16th Street, Suite 2900
Philadelphia, PA 19102
www.taitweller.com
ITEM 2. CODE OF ETHICS.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable. This item is only required in an annual report on Form N-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable. This item is only required in an annual report of Form N-CSR.
ITEM 6. INVESTMENTS.
(a) | A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
(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 COMPANIES 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 (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 officer and principal financial officer, 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 (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based ontheir evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (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 Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 13. EXHIBITS.
(a)(1) Not Applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(a)(3) Not Applicable.
(a)(4) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Brinker Capital Destinations Trust | |
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 6, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Jason B. Moore |
Jason B. Moore | |
President | |
Date: | November 6, 2019 |
By: | /s/ Philip Green, Jr. |
Philip Green, Jr. | |
Chief Financial Officer and Treasurer | |
Date: | November 6, 2019 |